Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Utilities — (Continued) | |||
Duke Energy Corp. | 8,717 | $ 860,542 | |
Exelon Corp. | 34,341 | 1,521,650 | |
MDU Resources Group, Inc. | 17,142 | 537,230 | |
NextEra Energy, Inc. | 1,890 | 138,499 | |
NRG Energy, Inc. | 5,935 | 239,181 | |
TransAlta Corp. (Canada) | 559 | 5,579 | |
6,505,766 | |||
TOTAL COMMON STOCKS (Cost $365,772,546) | 465,649,943 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% | 24,971,868 | ||
NET ASSETS - 100.0% | $490,621,811 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Long | ||||||||||
Automobiles & Components | ||||||||||
Adient PLC (Ireland) | Morgan Stanley | 278 | $12,943 | $12,566 | $(376) | |||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 1,381 | 10,825 | 14,293 | 3,470 | |||||
Aptiv PLC (Jersey) | Morgan Stanley | 1,195 | 168,293 | 188,009 | 19,718 | |||||
Ford Motor Co. | Morgan Stanley | 93,572 | 814,289 | 1,390,480 | 576,192 | |||||
General Motors Co. | Morgan Stanley | 25,490 | 1,157,809 | 1,508,243 | 350,436 | |||||
Gentex Corp. | Morgan Stanley | 4,835 | 169,033 | 159,990 | (8,627) | |||||
Gentherm, Inc. | Morgan Stanley | 43 | 2,927 | 3,055 | 130 | |||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 8,249 | 164,851 | 141,470 | (23,379) | |||||
Harley-Davidson, Inc. | Morgan Stanley | 621 | 29,438 | 28,454 | (907) | |||||
Standard Motor Products, Inc. | Morgan Stanley | 26 | 1,126 | 1,127 | 3 | |||||
Tenneco, Inc., Class A | Morgan Stanley | 5,976 | 65,686 | 115,456 | 49,772 | |||||
Visteon Corp. | Morgan Stanley | 203 | 23,690 | 24,551 | 862 | |||||
Winnebago Industries, Inc. | Morgan Stanley | 1,006 | 73,035 | 68,368 | (4,507) | |||||
XPEL, Inc. | Morgan Stanley | 12 | 1,015 | 1,006 | (7) | |||||
142,887 | 2,694,960 | 3,657,068 | 962,780 | |||||||
Capital Goods | ||||||||||
3M Co. | Morgan Stanley | 4,813 | 787,728 | 956,006 | 191,339 | |||||
A O Smith Corp. | Morgan Stanley | 6,951 | 390,969 | 500,889 | 113,298 | |||||
Advanced Drainage Systems, Inc. | Morgan Stanley | 988 | 54,711 | 115,171 | 60,813 | |||||
AECOM | Morgan Stanley | 1 | 53 | 63 | 12 | |||||
AeroVironment, Inc. | Morgan Stanley | 845 | 93,093 | 84,627 | (9,204) | |||||
Allegion PLC (Ireland) | Morgan Stanley | 22 | 3,048 | 3,065 | 26 | |||||
AMETEK, Inc. | Morgan Stanley | 2,052 | 211,701 | 273,942 | 63,507 | |||||
Apogee Enterprises, Inc. | Morgan Stanley | 3,113 | 68,879 | 126,792 | 59,726 | |||||
Applied Industrial Technologies, Inc. | Morgan Stanley | 6 | 500 | 546 | 49 | |||||
Atkore, Inc. | Morgan Stanley | 8,671 | 238,024 | 615,641 | 377,618 | |||||
Barnes Group, Inc. | Morgan Stanley | 288 | 10,122 | 14,760 | 4,791 | |||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 2,875 | 143,966 | 153,094 | 9,129 | |||||
Boise Cascade Co. | Morgan Stanley | 1,066 | 53,653 | 62,201 | 9,328 | |||||
Caterpillar, Inc. | Morgan Stanley | 440 | 102,098 | 95,757 | (6,120) | |||||
Chart Industries, Inc. | Morgan Stanley | 114 | 15,704 | 16,680 | 979 | |||||
Columbus McKinnon Corp. | Morgan Stanley | 66 | 3,197 | 3,184 | (12) | |||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 380 | 31,090 | 29,940 | (1,130) | |||||
Crane Co. | Morgan Stanley | 22 | 2,003 | 2,032 | (1,141) | |||||
Cummins, Inc. | Morgan Stanley | 6,341 | 1,223,177 | 1,545,999 | 355,540 | |||||
Curtiss-Wright Corp. | Morgan Stanley | 113 | 13,627 | 13,420 | (205) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Deere & Co. | Morgan Stanley | 111 | $32,745 | $39,151 | $6,645 | |||||
Donaldson Co., Inc. | Morgan Stanley | 1,746 | 95,651 | 110,923 | 17,000 | |||||
Douglas Dynamics, Inc. | Morgan Stanley | 126 | 5,387 | 5,127 | (233) | |||||
Dover Corp. | Morgan Stanley | 198 | 23,949 | 29,819 | 6,091 | |||||
Dycom Industries, Inc. | Morgan Stanley | 7,477 | 314,689 | 557,261 | 242,573 | |||||
EMCOR Group, Inc. | Morgan Stanley | 506 | 46,628 | 62,334 | 15,776 | |||||
Emerson Electric Co. | Morgan Stanley | 341 | 28,579 | 32,818 | 4,492 | |||||
Enerpac Tool Group Corp. | Morgan Stanley | 26 | 699 | 692 | (5) | |||||
EnerSys | Morgan Stanley | 598 | 55,548 | 58,443 | 2,988 | |||||
Flowserve Corp. | Morgan Stanley | 52 | 2,010 | 2,097 | 109 | |||||
Fortive Corp. | Morgan Stanley | 4,723 | 282,242 | 329,382 | 48,133 | |||||
Franklin Electric Co., Inc. | Morgan Stanley | 1 | 68 | 81 | 14 | |||||
Generac Holdings, Inc. | Morgan Stanley | 719 | 217,815 | 298,493 | 84,879 | |||||
General Dynamics Corp. | Morgan Stanley | 938 | 139,817 | 176,588 | 37,889 | |||||
Gibraltar Industries, Inc. | Morgan Stanley | 216 | 11,238 | 16,483 | 5,246 | |||||
GMS, Inc. | Morgan Stanley | 2,468 | 60,418 | 118,810 | 58,393 | |||||
Gorman-Rupp Co. (The) | Morgan Stanley | 3 | 103 | 103 | 1 | |||||
Granite Construction, Inc. | Morgan Stanley | 2,411 | 93,338 | 100,129 | 7,224 | |||||
Herc Holdings, Inc. | Morgan Stanley | 4,736 | 185,662 | 530,764 | 345,103 | |||||
Hillenbrand, Inc. | Morgan Stanley | 284 | 12,726 | 12,519 | (167) | |||||
Honeywell International, Inc. | Morgan Stanley | 747 | 162,960 | 163,854 | 1,312 | |||||
Howmet Aerospace, Inc. | Morgan Stanley | 15,475 | 261,390 | 533,423 | 272,034 | |||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 123 | 21,492 | 25,922 | 4,712 | |||||
IES Holdings, Inc. | Morgan Stanley | 5 | 258 | 257 | 1 | |||||
Ingersoll Rand, Inc. | Morgan Stanley | 3,259 | 159,178 | 159,072 | (271) | |||||
ITT, Inc. | Morgan Stanley | 10 | 914 | 916 | 286 | |||||
John Bean Technologies Corp. | Morgan Stanley | 316 | 44,013 | 45,068 | 1,084 | |||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 7,138 | 338,287 | 489,881 | 156,650 | |||||
Kaman Corp. | Morgan Stanley | 9 | 456 | 454 | 9,571 | |||||
Lennox International, Inc. | Morgan Stanley | 163 | 53,834 | 57,180 | 3,651 | |||||
Lockheed Martin Corp. | Morgan Stanley | 1,031 | 361,709 | 390,079 | 33,296 | |||||
Masco Corp. | Morgan Stanley | 144 | 8,194 | 8,483 | 324 | |||||
MasTec, Inc. | Morgan Stanley | 1,276 | 120,367 | 135,384 | 15,018 | |||||
Middleby Corp. (The) | Morgan Stanley | 252 | 36,971 | 43,662 | 7,366 | |||||
MRC Global, Inc. | Morgan Stanley | 12,735 | 78,829 | 119,709 | 40,881 | |||||
Mueller Industries, Inc. | Morgan Stanley | 61 | 1,683 | 2,642 | 986 | |||||
MYR Group, Inc. | Morgan Stanley | 342 | 27,665 | 31,095 | 3,431 | |||||
Nordson Corp. | Morgan Stanley | 206 | 41,625 | 45,219 | 3,645 | |||||
Northrop Grumman Corp. | Morgan Stanley | 2,492 | 849,757 | 905,668 | 60,936 | |||||
NOW, Inc. | Morgan Stanley | 28,322 | 237,908 | 268,776 | 30,869 | |||||
nVent Electric PLC (Ireland) | Morgan Stanley | 45 | 1,390 | 1,406 | 18 | |||||
Oshkosh Corp. | Morgan Stanley | 463 | 59,578 | 57,708 | (1,868) | |||||
Owens Corning | Morgan Stanley | 2,451 | 239,150 | 239,953 | 805 | |||||
Parker-Hannifin Corp. | Morgan Stanley | 2,090 | 546,540 | 641,860 | 98,972 | |||||
Pentair PLC (Ireland) | Morgan Stanley | 4,551 | 219,067 | 307,147 | 90,207 | |||||
Quanta Services, Inc. | Morgan Stanley | 625 | 34,607 | 56,606 | 22,124 | |||||
RBC Bearings, Inc. | Morgan Stanley | 204 | 24,876 | 40,682 | 15,807 | |||||
Regal Beloit Corp. | Morgan Stanley | 1 | 93 | 134 | 43 | |||||
Resideo Technologies, Inc. | Morgan Stanley | 3,581 | 104,041 | 107,430 | 3,391 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
REV Group, Inc. | Morgan Stanley | 269 | $4,305 | $4,221 | $(71) | |||||
Rush Enterprises, Inc., Class A | Morgan Stanley | 101 | 4,303 | 4,367 | 65 | |||||
Simpson Manufacturing Co., Inc. | Morgan Stanley | 2 | 183 | 221 | 40 | |||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 338 | 55,174 | 57,210 | 2,038 | |||||
Snap-on, Inc. | Morgan Stanley | 3,882 | 578,349 | 867,355 | 305,586 | |||||
SPX FLOW, Inc. | Morgan Stanley | 12,380 | 491,847 | 807,671 | 318,037 | |||||
Standex International Corp. | Morgan Stanley | 22 | 2,061 | 2,088 | 29 | |||||
Stanley Black & Decker, Inc. | Morgan Stanley | 2,773 | 505,476 | 568,437 | 65,974 | |||||
Teledyne Technologies, Inc. | Morgan Stanley | 276 | 113,892 | 115,597 | 1,707 | |||||
Tennant Co. | Morgan Stanley | 140 | 11,580 | 11,179 | (383) | |||||
Terex Corp. | Morgan Stanley | 3,515 | 175,049 | 167,384 | (7,341) | |||||
Textron, Inc. | Morgan Stanley | 1,799 | 120,941 | 123,717 | 2,805 | |||||
Toro Co. (The) | Morgan Stanley | 941 | 88,284 | 103,397 | 15,713 | |||||
TPI Composites, Inc. | Morgan Stanley | 1,700 | 72,746 | 82,314 | 9,594 | |||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 370 | 50,042 | 68,132 | 18,621 | |||||
TriMas Corp. | Morgan Stanley | 9 | 271 | 273 | 4 | |||||
UFP Industries, Inc. | Morgan Stanley | 86 | 4,541 | 6,393 | 1,890 | |||||
United Rentals, Inc. | Morgan Stanley | 405 | 69,627 | 129,199 | 59,574 | |||||
Vicor Corp. | Morgan Stanley | 330 | 28,044 | 34,894 | 6,852 | |||||
Watsco, Inc. | Morgan Stanley | 129 | 28,925 | 36,977 | 8,569 | |||||
184,431 | 11,499,127 | 15,166,522 | 3,795,078 | |||||||
Commercial & Professional Services | ||||||||||
ABM Industries, Inc. | Morgan Stanley | 11,619 | 434,578 | 515,303 | 88,305 | |||||
ASGN, Inc. | Morgan Stanley | 41 | 3,910 | 3,974 | 66 | |||||
Brady Corp., Class A | Morgan Stanley | 31 | 1,733 | 1,737 | 6 | |||||
Brink's Co. (The) | Morgan Stanley | 824 | 64,819 | 63,316 | (1,343) | |||||
CACI International, Inc., Class A | Morgan Stanley | 812 | 167,320 | 207,157 | 39,839 | |||||
Cintas Corp. | Morgan Stanley | 1,432 | 439,238 | 547,024 | 114,962 | |||||
Clean Harbors, Inc. | Morgan Stanley | 13 | 1,147 | 1,211 | 66 | |||||
Copart, Inc. | Morgan Stanley | 285 | 35,766 | 37,572 | 1,807 | |||||
Covanta Holding Corp. | Morgan Stanley | 308 | 2,588 | 5,424 | 2,918 | |||||
Healthcare Services Group, Inc. | Morgan Stanley | 2,447 | 64,753 | 77,252 | 13,352 | |||||
Heidrick & Struggles International, Inc. | Morgan Stanley | 3 | 133 | 134 | 2 | |||||
Herman Miller, Inc. | Morgan Stanley | 36 | 1,639 | 1,697 | 59 | |||||
HNI Corp. | Morgan Stanley | 758 | 33,524 | 33,329 | (81) | |||||
IAA, Inc. | Morgan Stanley | 187 | 10,078 | 10,199 | 123 | |||||
ICF International, Inc. | Morgan Stanley | 289 | 25,807 | 25,392 | (358) | |||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 55 | 6,179 | 6,196 | 19 | |||||
Interface, Inc. | Morgan Stanley | 408 | 6,311 | 6,242 | (67) | |||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 908 | 98,994 | 121,145 | 22,534 | |||||
KAR Auction Services, Inc. | Morgan Stanley | 141 | 2,491 | 2,475 | (17) | |||||
Leidos Holdings, Inc. | Morgan Stanley | 1,072 | 110,661 | 108,379 | (1,939) | |||||
ManpowerGroup, Inc. | Morgan Stanley | 57 | 6,464 | 6,778 | 328 | |||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 15,948 | 418,358 | 393,437 | (24,842) | |||||
Republic Services, Inc. | Morgan Stanley | 4,193 | 360,977 | 461,272 | 107,360 | |||||
Robert Half International, Inc. | Morgan Stanley | 773 | 58,835 | 68,774 | 10,314 | |||||
Rollins, Inc. | Morgan Stanley | 3,375 | 114,838 | 115,425 | 822 | |||||
Steelcase, Inc., Class A | Morgan Stanley | 1,165 | 13,027 | 17,603 | 4,904 | |||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 2,288 | 190,307 | 227,244 | 39,015 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Commercial & Professional Services — (continued) | ||||||||||
TriNet Group, Inc. | Morgan Stanley | 142 | $10,541 | $10,292 | $(369) | |||||
UniFirst Corp. | Morgan Stanley | 86 | 19,166 | 20,179 | 1,037 | |||||
49,696 | 2,704,182 | 3,096,162 | 418,822 | |||||||
Consumer Durables & Apparel | ||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 99 | 4,830 | 4,891 | 62 | |||||
BRP, Inc., sub-voting shares (Canada) | Morgan Stanley | 159 | 12,461 | 12,459 | (1) | |||||
Brunswick Corp. | Morgan Stanley | 229 | 22,257 | 22,813 | 570 | |||||
Capri Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 4,350 | 63,592 | 248,777 | 185,186 | |||||
Cavco Industries, Inc. | Morgan Stanley | 422 | 75,579 | 93,764 | 18,187 | |||||
DR Horton, Inc. | Morgan Stanley | 350 | 26,425 | 31,630 | 5,330 | |||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 721 | 68,811 | 104,285 | 36,810 | |||||
G-III Apparel Group Ltd. | Morgan Stanley | 18,012 | 203,954 | 591,874 | 387,922 | |||||
Gildan Activewear, Inc. (Canada) | Morgan Stanley | 3,170 | 57,256 | 117,036 | 60,197 | |||||
GoPro, Inc., Class A | Morgan Stanley | 2,870 | 31,327 | 33,436 | 2,110 | |||||
Hasbro, Inc. | Morgan Stanley | 170 | 16,431 | 16,068 | (361) | |||||
Kontoor Brands, Inc. | Morgan Stanley | 1,715 | 37,093 | 96,743 | 61,709 | |||||
La-Z-Boy, Inc. | Morgan Stanley | 1,284 | 41,313 | 47,559 | 6,816 | |||||
Mattel, Inc. | Morgan Stanley | 5,027 | 100,111 | 101,043 | 933 | |||||
Mohawk Industries, Inc. | Morgan Stanley | 1,356 | 117,246 | 260,610 | 143,366 | |||||
Newell Brands, Inc. | Morgan Stanley | 3,243 | 70,657 | 89,085 | 20,111 | |||||
NIKE, Inc., Class B | Morgan Stanley | 556 | 74,086 | 85,896 | 12,043 | |||||
Polaris, Inc. | Morgan Stanley | 1,091 | 122,219 | 149,423 | 28,382 | |||||
PulteGroup, Inc. | Morgan Stanley | 450 | 25,981 | 24,557 | (1,381) | |||||
PVH Corp. | Morgan Stanley | 8,807 | 448,276 | 947,545 | 499,270 | |||||
Skyline Champion Corp. | Morgan Stanley | 1,840 | 87,249 | 98,072 | 10,824 | |||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 6,377 | 102,868 | 221,282 | 119,589 | |||||
Sonos, Inc. | Morgan Stanley | 4,794 | 180,726 | 168,893 | (11,832) | |||||
Steven Madden Ltd. | Morgan Stanley | 1,860 | 38,497 | 81,394 | 43,457 | |||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 1,641 | 105,693 | 147,657 | 45,381 | |||||
Tempur Sealy International, Inc. | Morgan Stanley | 629 | 12,820 | 24,651 | 11,920 | |||||
Tupperware Brands Corp. | Morgan Stanley | 2,927 | 49,582 | 69,516 | 19,936 | |||||
Whirlpool Corp. | Morgan Stanley | 1,583 | 306,117 | 345,126 | 44,188 | |||||
YETI Holdings, Inc. | Morgan Stanley | 409 | 23,402 | 37,554 | 14,154 | |||||
76,141 | 2,526,859 | 4,273,639 | 1,764,878 | |||||||
Consumer Services | ||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 9,342 | 275,375 | 332,949 | 57,576 | |||||
Bloomin' Brands, Inc. | Morgan Stanley | 965 | 26,812 | 26,190 | (621) | |||||
Boyd Gaming Corp. | Morgan Stanley | 200 | 12,837 | 12,298 | (537) | |||||
Brinker International, Inc. | Morgan Stanley | 1,457 | 87,964 | 90,115 | 2,153 | |||||
Caesars Entertainment, Inc. | Morgan Stanley | 827 | 83,078 | 85,801 | 2,724 | |||||
Chegg, Inc. | Morgan Stanley | 67 | 5,003 | 5,568 | 567 | |||||
Darden Restaurants, Inc. | Morgan Stanley | 619 | 88,349 | 90,368 | 2,020 | |||||
Everi Holdings, Inc. | Morgan Stanley | 597 | 10,733 | 14,889 | 4,157 | |||||
Expedia Group, Inc. | Morgan Stanley | 1,919 | 274,003 | 314,159 | 40,158 | |||||
Golden Entertainment, Inc. | Morgan Stanley | 289 | 12,580 | 12,947 | 368 | |||||
Graham Holdings Co., Class B | Morgan Stanley | 383 | 186,630 | 242,784 | 57,112 | |||||
Grand Canyon Education, Inc. | Morgan Stanley | 1,724 | 162,704 | 155,108 | (7,595) | |||||
International Game Technology PLC (United Kingdom) | Morgan Stanley | 1,372 | 33,766 | 32,873 | (891) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Services — (continued) | ||||||||||
Jack in the Box, Inc. | Morgan Stanley | 2,625 | $237,256 | $292,530 | $58,042 | |||||
Marriott International, Inc., Class A | Morgan Stanley | 2,354 | 311,328 | 321,368 | 10,042 | |||||
McDonald's Corp. | Morgan Stanley | 622 | 130,627 | 143,676 | 14,319 | |||||
Penn National Gaming, Inc. | Morgan Stanley | 2,641 | 234,242 | 202,010 | (32,230) | |||||
Perdoceo Education Corp. | Morgan Stanley | 5,900 | 69,987 | 72,393 | 2,407 | |||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 21,963 | 243,248 | 933,428 | 690,181 | |||||
Service Corp. International | Morgan Stanley | 2,860 | 141,524 | 153,267 | 12,784 | |||||
Starbucks Corp. | Morgan Stanley | 1,757 | 197,415 | 196,450 | (673) | |||||
Texas Roadhouse, Inc. | Morgan Stanley | 2,434 | 240,821 | 234,151 | (6,170) | |||||
Vail Resorts, Inc. | Morgan Stanley | 486 | 155,580 | 153,829 | (1,750) | |||||
Wendy's Co. (The) | Morgan Stanley | 1,394 | 31,938 | 32,647 | 779 | |||||
Yum! Brands, Inc. | Morgan Stanley | 8,590 | 808,875 | 988,108 | 194,642 | |||||
73,387 | 4,062,675 | 5,139,906 | 1,099,564 | |||||||
Diversified Financials | ||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 122 | 19,217 | 18,814 | (402) | |||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 16,693 | 3,676,322 | 4,639,319 | 962,998 | |||||
BlackRock, Inc. | Morgan Stanley | 1,078 | 602,536 | 943,218 | 353,180 | |||||
Federated Hermes, Inc. | Morgan Stanley | 2,476 | 53,976 | 83,961 | 34,469 | |||||
Intercontinental Exchange, Inc. | Morgan Stanley | 2,343 | 262,865 | 278,114 | 17,451 | |||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 5,692 | 147,668 | 152,147 | 5,217 | |||||
Moody's Corp. | Morgan Stanley | 230 | 79,337 | 83,345 | 4,052 | |||||
Nasdaq, Inc. | Morgan Stanley | 2,242 | 284,546 | 394,144 | 112,750 | |||||
S&P Global, Inc. | Morgan Stanley | 214 | 87,778 | 87,836 | 60 | |||||
T Rowe Price Group, Inc. | Morgan Stanley | 2,470 | 388,373 | 488,986 | 112,680 | |||||
33,560 | 5,602,618 | 7,169,884 | 1,602,455 | |||||||
Energy | ||||||||||
Antero Resources Corp. | Morgan Stanley | 17,581 | 161,207 | 264,242 | 103,037 | |||||
APA Corp. | Morgan Stanley | 1,846 | 35,351 | 39,929 | 4,607 | |||||
Archrock, Inc. | Morgan Stanley | 19,711 | 175,519 | 175,625 | 5,565 | |||||
Bonanza Creek Energy, Inc. | Morgan Stanley | 377 | 16,561 | 17,745 | 1,288 | |||||
Cabot Oil & Gas Corp. | Morgan Stanley | 1,894 | 30,697 | 33,069 | 2,413 | |||||
Cactus, Inc., Class A | Morgan Stanley | 493 | 10,971 | 18,103 | 7,191 | |||||
Callon Petroleum Co. | Morgan Stanley | 1,959 | 71,196 | 113,015 | 43,297 | |||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 10,907 | 179,586 | 395,706 | 224,550 | |||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 2,160 | 13,700 | 14,645 | 946 | |||||
Cimarex Energy Co. | Morgan Stanley | 3,075 | 214,199 | 222,784 | 8,820 | |||||
Clean Energy Fuels Corp. | Morgan Stanley | 19,899 | 51,672 | 201,975 | 150,305 | |||||
CNX Resources Corp. | Morgan Stanley | 490 | 6,569 | 6,693 | 126 | |||||
Continental Resources, Inc. | Morgan Stanley | 710 | 22,538 | 27,001 | 4,465 | |||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 61,638 | 332,215 | 400,031 | 91,586 | |||||
EOG Resources, Inc. | Morgan Stanley | 9,964 | 403,304 | 831,396 | 438,578 | |||||
Extraction Oil & Gas, Inc. | Morgan Stanley | 129 | 7,131 | 7,083 | (46) | |||||
Exxon Mobil Corp. | Morgan Stanley | 9,458 | 533,609 | 596,611 | 70,412 | |||||
Green Plains, Inc. | Morgan Stanley | 799 | 19,860 | 26,862 | 7,802 | |||||
Halliburton Co. | Morgan Stanley | 9,471 | 163,218 | 218,970 | 56,532 | |||||
Hess Corp. | Morgan Stanley | 4,783 | 383,790 | 417,652 | 34,944 | |||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 942 | 31,349 | 28,637 | (2,705) | |||||
Kinder Morgan, Inc. | Morgan Stanley | 14,373 | 245,076 | 262,020 | 19,331 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Energy — (continued) | ||||||||||
Kosmos Energy Ltd. | Morgan Stanley | 693 | $1,114 | $2,398 | $1,285 | |||||
Magnolia Oil & Gas Corp., Class A | Morgan Stanley | 784 | 4,630 | 12,254 | 7,626 | |||||
Marathon Oil Corp. | Morgan Stanley | 14,955 | 160,823 | 203,687 | 43,479 | |||||
Marathon Petroleum Corp. | Morgan Stanley | 4,102 | 132,218 | 247,843 | 122,764 | |||||
Occidental Petroleum Corp. | Morgan Stanley | 38,413 | 604,937 | 1,201,175 | 597,287 | |||||
Oceaneering International, Inc. | Morgan Stanley | 8,451 | 109,773 | 131,582 | 21,810 | |||||
ONEOK, Inc. | Morgan Stanley | 1,505 | 79,603 | 83,738 | 4,137 | |||||
Ovintiv, Inc. | Morgan Stanley | 8,413 | 220,057 | 264,757 | 45,461 | |||||
PDC Energy, Inc. | Morgan Stanley | 2,111 | 89,271 | 96,663 | 7,599 | |||||
SM Energy Co. | Morgan Stanley | 17,698 | 104,129 | 435,902 | 331,951 | |||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 8,739 | 204,091 | 209,474 | 6,244 | |||||
TC Energy Corp. (Canada) | Morgan Stanley | 3,014 | 151,999 | 149,253 | (1,015) | |||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 8,592 | 31,081 | 38,836 | 7,853 | |||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 7,335 | 48,264 | 64,181 | 15,919 | |||||
Whiting Petroleum Corp. | Morgan Stanley | 859 | 29,514 | 46,858 | 17,346 | |||||
World Fuel Services Corp. | Morgan Stanley | 13,653 | 367,545 | 433,210 | 70,442 | |||||
331,976 | 5,448,367 | 7,941,605 | 2,573,232 | |||||||
Food & Staples Retailing | ||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 5,098 | 107,102 | 126,685 | 19,584 | |||||
Sysco Corp. | Morgan Stanley | 2,448 | 158,785 | 190,332 | 33,446 | |||||
U.S. Foods Holding Corp. | Morgan Stanley | 1,469 | 31,661 | 56,351 | 24,692 | |||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 3,715 | 148,058 | 195,446 | 51,804 | |||||
Walmart, Inc. | Morgan Stanley | 2,838 | 391,465 | 400,215 | 11,015 | |||||
15,568 | 837,071 | 969,029 | 140,541 | |||||||
Food, Beverage & Tobacco | ||||||||||
Altria Group, Inc. | Morgan Stanley | 5,375 | 231,777 | 256,280 | 37,296 | |||||
Archer-Daniels-Midland Co. | Morgan Stanley | 1,180 | 68,060 | 71,508 | 3,886 | |||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 500 | 44,766 | 39,075 | (5,477) | |||||
Coca-Cola Co. (The) | Morgan Stanley | 2,728 | 144,461 | 147,612 | 4,298 | |||||
Conagra Brands, Inc. | Morgan Stanley | 5,897 | 206,676 | 214,533 | 11,527 | |||||
Constellation Brands, Inc., Class A | Morgan Stanley | 219 | 47,653 | 51,222 | 3,745 | |||||
Darling Ingredients, Inc. | Morgan Stanley | 1,936 | 136,596 | 130,680 | (5,915) | |||||
Flowers Foods, Inc. | Morgan Stanley | 2,054 | 45,867 | 49,707 | 4,661 | |||||
General Mills, Inc. | Morgan Stanley | 4,682 | 272,868 | 285,274 | 17,477 | |||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | 1,201 | 49,612 | 48,184 | (1,640) | |||||
Hershey Co. (The) | Morgan Stanley | 1,353 | 226,291 | 235,666 | 10,462 | |||||
J M Smucker Co. (The) | Morgan Stanley | 2,672 | 293,115 | 346,211 | 61,480 | |||||
John B Sanfilippo & Son, Inc. | Morgan Stanley | 46 | 4,175 | 4,074 | (100) | |||||
Kraft Heinz Co. (The) | Morgan Stanley | 17,690 | 595,017 | 721,398 | 141,592 | |||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 9,517 | 356,841 | 510,968 | 154,128 | |||||
Mondelez International, Inc., Class A | Morgan Stanley | 2,965 | 163,122 | 185,135 | 23,882 | |||||
Monster Beverage Corp. | Morgan Stanley | 6,929 | 577,050 | 632,964 | 55,916 | |||||
PepsiCo, Inc. | Morgan Stanley | 723 | 103,768 | 107,127 | 3,907 | |||||
Philip Morris International, Inc. | Morgan Stanley | 1,857 | 141,208 | 184,047 | 51,002 | |||||
Sanderson Farms, Inc. | Morgan Stanley | 386 | 62,843 | 72,556 | 9,715 | |||||
SunOpta, Inc. (Canada) | Morgan Stanley | 6,517 | 87,409 | 79,768 | (7,639) | |||||
Tyson Foods, Inc., Class A | Morgan Stanley | 3,179 | 193,694 | 234,483 | 45,677 | |||||
79,606 | 4,052,869 | 4,608,472 | 619,880 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services | ||||||||||
Abbott Laboratories | Morgan Stanley | 2,616 | $308,092 | $303,273 | $(3,943) | |||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 2,158 | 124,543 | 135,415 | 10,873 | |||||
Align Technology, Inc. | Morgan Stanley | 1,264 | 654,298 | 772,304 | 118,007 | |||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 14,942 | 142,038 | 276,576 | 134,540 | |||||
Amedisys, Inc. | Morgan Stanley | 78 | 19,219 | 19,105 | (113) | |||||
AmerisourceBergen Corp. | Morgan Stanley | 1,260 | 122,374 | 144,257 | 22,994 | |||||
AngioDynamics, Inc. | Morgan Stanley | 380 | 9,050 | 10,309 | 1,261 | |||||
Anthem, Inc. | Morgan Stanley | 993 | 316,904 | 379,127 | 64,129 | |||||
Becton Dickinson and Co. | Morgan Stanley | 209 | 50,537 | 50,827 | 552 | |||||
Cerner Corp. | Morgan Stanley | 1,221 | 87,356 | 95,433 | 8,612 | |||||
Change Healthcare, Inc. | Morgan Stanley | 1,323 | 30,885 | 30,482 | (402) | |||||
Cigna Corp. | Morgan Stanley | 271 | 65,999 | 64,246 | (1,670) | |||||
Community Health Systems, Inc. | Morgan Stanley | 21,304 | 173,835 | 328,934 | 155,100 | |||||
Cooper Cos., Inc. (The) | Morgan Stanley | 168 | 64,332 | 66,573 | 2,243 | |||||
CVS Health Corp. | Morgan Stanley | 3,482 | 223,538 | 290,538 | 71,497 | |||||
Danaher Corp. | Morgan Stanley | 3,399 | 726,442 | 912,156 | 187,841 | |||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 1,306 | 84,093 | 82,618 | (1,398) | |||||
Ensign Group, Inc. (The) | Morgan Stanley | 1,575 | 100,977 | 136,505 | 35,751 | |||||
Envista Holdings Corp. | Morgan Stanley | 13,023 | 490,126 | 562,724 | 72,600 | |||||
Fulgent Genetics, Inc. | Morgan Stanley | 2,294 | 176,229 | 211,576 | 35,722 | |||||
Globus Medical, Inc., Class A | Morgan Stanley | 265 | 18,817 | 20,545 | 1,729 | |||||
HCA Healthcare, Inc. | Morgan Stanley | 434 | 77,632 | 89,725 | 12,415 | |||||
Heska Corp. | Morgan Stanley | 3 | 683 | 689 | (102) | |||||
Hologic, Inc. | Morgan Stanley | 3,225 | 189,866 | 215,172 | 25,307 | |||||
ICU Medical, Inc. | Morgan Stanley | 156 | 31,734 | 32,105 | 372 | |||||
IDEXX Laboratories, Inc. | Morgan Stanley | 1,273 | 521,116 | 803,963 | 282,849 | |||||
Inogen, Inc. | Morgan Stanley | 90 | 5,989 | 5,865 | (122) | |||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 65 | 4,454 | 4,436 | (17) | |||||
Intuitive Surgical, Inc. | Morgan Stanley | 187 | 161,362 | 171,973 | 10,612 | |||||
Laboratory Corp. of America Holdings | Morgan Stanley | 3,185 | 664,981 | 878,582 | 214,146 | |||||
LHC Group, Inc. | Morgan Stanley | 129 | 24,930 | 25,834 | 905 | |||||
LivaNova PLC (United Kingdom) | Morgan Stanley | 410 | 33,523 | 34,485 | 963 | |||||
McKesson Corp. | Morgan Stanley | 1,361 | 242,091 | 260,278 | 19,051 | |||||
MEDNAX, Inc. | Morgan Stanley | 3,032 | 95,541 | 91,415 | (4,125) | |||||
Medtronic PLC (Ireland) | Morgan Stanley | 1,187 | 140,745 | 147,342 | 7,615 | |||||
Meridian Bioscience, Inc. | Morgan Stanley | 4,381 | 84,589 | 97,171 | 12,585 | |||||
Merit Medical Systems, Inc. | Morgan Stanley | 2,443 | 137,492 | 157,964 | 20,474 | |||||
ModivCare, Inc. | Morgan Stanley | 310 | 29,829 | 52,722 | 22,894 | |||||
Molina Healthcare, Inc. | Morgan Stanley | 363 | 90,000 | 91,861 | 1,995 | |||||
Natus Medical, Inc. | Morgan Stanley | 2,294 | 50,383 | 59,598 | 9,217 | |||||
Omnicell, Inc. | Morgan Stanley | 1,112 | 142,875 | 168,412 | 26,706 | |||||
OptimizeRx Corp. | Morgan Stanley | 6 | 366 | 371 | 7 | |||||
Owens & Minor, Inc. | Morgan Stanley | 726 | 18,861 | 30,732 | 11,875 | |||||
Patterson Cos., Inc. | Morgan Stanley | 11 | 328 | 334 | 31 | |||||
Quest Diagnostics, Inc. | Morgan Stanley | 2,579 | 311,021 | 340,351 | 33,044 | |||||
Quidel Corp. | Morgan Stanley | 3,076 | 368,733 | 394,097 | 21,620 | |||||
Select Medical Holdings Corp. | Morgan Stanley | 86 | 2,954 | 3,634 | 691 | |||||
Shockwave Medical, Inc. | Morgan Stanley | 237 | 45,970 | 44,966 | (1,003) | |||||
SmileDirectClub, Inc. | Morgan Stanley | 1,707 | 14,836 | 14,817 | (18) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
STAAR Surgical Co. | Morgan Stanley | 134 | $15,076 | $20,435 | $5,361 | |||||
Stryker Corp. | Morgan Stanley | 54 | 13,979 | 14,025 | 68 | |||||
Tenet Healthcare Corp. | Morgan Stanley | 169 | 9,425 | 11,321 | 1,897 | |||||
Tivity Health, Inc. | Morgan Stanley | 674 | 15,666 | 17,733 | 2,068 | |||||
UnitedHealth Group, Inc. | Morgan Stanley | 1,335 | 456,463 | 534,587 | 81,183 | |||||
ViewRay, Inc. | Morgan Stanley | 1,139 | 6,955 | 7,517 | 564 | |||||
111,104 | 8,000,132 | 9,718,035 | 1,737,053 | |||||||
Household & Personal Products | ||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 6,129 | 463,403 | 498,594 | 41,641 | |||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,134 | 265,747 | 360,703 | 96,514 | |||||
Inter Parfums, Inc. | Morgan Stanley | 118 | 8,732 | 8,496 | (213) | |||||
Procter & Gamble Co. (The) | Morgan Stanley | 1,785 | 232,260 | 240,850 | 10,044 | |||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | 768 | 62,741 | 65,311 | 3,040 | |||||
9,934 | 1,032,883 | 1,173,954 | 151,026 | |||||||
Materials | ||||||||||
Alcoa Corp. | Morgan Stanley | 1,041 | 36,348 | 38,350 | 2,004 | |||||
Amcor PLC (Jersey) | Morgan Stanley | 16,208 | 170,442 | 185,744 | 21,017 | |||||
Ashland Global Holdings, Inc. | Morgan Stanley | 3,268 | 281,015 | 285,950 | 6,613 | |||||
Avery Dennison Corp. | Morgan Stanley | 86 | 18,350 | 18,081 | (225) | |||||
Avient Corp. | Morgan Stanley | 1,948 | 47,410 | 95,764 | 49,982 | |||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 507 | 16,036 | 15,458 | (576) | |||||
Balchem Corp. | Morgan Stanley | 95 | 11,627 | 12,470 | 845 | |||||
Barrick Gold Corp. (Canada) | Morgan Stanley | 8,207 | 175,640 | 169,721 | (5,918) | |||||
Carpenter Technology Corp. | Morgan Stanley | 10,578 | 218,583 | 425,447 | 213,825 | |||||
CF Industries Holdings, Inc. | Morgan Stanley | 1,138 | 31,236 | 58,550 | 28,302 | |||||
Compass Minerals International, Inc. | Morgan Stanley | 184 | 11,773 | 10,904 | (813) | |||||
Corteva, Inc. | Morgan Stanley | 2,267 | 104,885 | 100,541 | (3,992) | |||||
Crown Holdings, Inc. | Morgan Stanley | 80 | 8,024 | 8,177 | 154 | |||||
Domtar Corp. | Morgan Stanley | 574 | 30,717 | 31,547 | 831 | |||||
Dow, Inc. | Morgan Stanley | 659 | 30,274 | 41,702 | 12,763 | |||||
DuPont de Nemours, Inc. | Morgan Stanley | 6,018 | 493,985 | 465,853 | (26,413) | |||||
Eagle Materials, Inc. | Morgan Stanley | 455 | 66,115 | 64,660 | (1,370) | |||||
Eastman Chemical Co. | Morgan Stanley | 724 | 59,460 | 84,527 | 26,775 | |||||
Ferro Corp. | Morgan Stanley | 827 | 17,814 | 17,838 | 26 | |||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | 4,252 | 26,914 | 23,599 | (3,314) | |||||
Freeport-McMoRan, Inc. | Morgan Stanley | 2,294 | 73,970 | 85,130 | 11,334 | |||||
Greif, Inc., Class A | Morgan Stanley | 6 | 363 | 363 | 2 | |||||
Hecla Mining Co. | Morgan Stanley | 1,095 | 8,107 | 8,147 | 42 | |||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 46,388 | 154,301 | 136,845 | (17,455) | |||||
Ingevity Corp. | Morgan Stanley | 29 | 2,125 | 2,359 | 236 | |||||
Innospec, Inc. | Morgan Stanley | 274 | 26,500 | 24,827 | (1,608) | |||||
International Paper Co. | Morgan Stanley | 3,858 | 197,134 | 236,534 | 42,647 | |||||
Kaiser Aluminum Corp. | Morgan Stanley | 2,364 | 160,458 | 291,930 | 136,462 | |||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 7,425 | 47,322 | 47,149 | (172) | |||||
Kronos Worldwide, Inc. | Morgan Stanley | 91 | 1,400 | 1,303 | (95) | |||||
Linde PLC (Ireland) | Morgan Stanley | 350 | 88,087 | 101,185 | 13,465 | |||||
Louisiana-Pacific Corp. | Morgan Stanley | 2,225 | 110,955 | 134,145 | 23,818 | |||||
Martin Marietta Materials, Inc. | Morgan Stanley | 353 | 100,736 | 124,189 | 23,848 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
Minerals Technologies, Inc. | Morgan Stanley | 18 | $1,415 | $1,416 | $2 | |||||
Mosaic Co. (The) | Morgan Stanley | 10,485 | 364,024 | 334,576 | (29,447) | |||||
Newmont Corp. | Morgan Stanley | 2,304 | 138,600 | 146,028 | 8,632 | |||||
Nucor Corp. | Morgan Stanley | 1,267 | 85,349 | 121,543 | 37,205 | |||||
O-I Glass, Inc. | Morgan Stanley | 8,588 | 118,905 | 140,242 | 21,338 | |||||
Olin Corp. | Morgan Stanley | 1,003 | 45,954 | 46,399 | 446 | |||||
PPG Industries, Inc. | Morgan Stanley | 1,537 | 188,839 | 260,936 | 74,834 | |||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 15,838 | 186,007 | 151,411 | (34,594) | |||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 605 | 92,075 | 91,295 | (779) | |||||
Sealed Air Corp. | Morgan Stanley | 2,014 | 82,170 | 119,330 | 38,200 | |||||
Sherwin-Williams Co. (The) | Morgan Stanley | 735 | 165,467 | 200,251 | 35,872 | |||||
Southern Copper Corp. | Morgan Stanley | 460 | 31,215 | 29,587 | (1,441) | |||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 1,938 | 119,287 | 115,970 | (3,257) | |||||
Vulcan Materials Co. | Morgan Stanley | 1,000 | 180,475 | 174,070 | (6,504) | |||||
Westlake Chemical Corp. | Morgan Stanley | 1,535 | 154,632 | 138,288 | (16,029) | |||||
Westrock Co. | Morgan Stanley | 445 | 23,851 | 23,683 | (167) | |||||
Worthington Industries, Inc. | Morgan Stanley | 1,914 | 90,292 | 117,099 | 28,036 | |||||
177,554 | 4,896,663 | 5,561,113 | 705,387 | |||||||
Media & Entertainment | ||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 10,604 | 809,550 | 1,012,046 | 207,370 | |||||
Alphabet, Inc., Class A | Morgan Stanley | 181 | 369,824 | 441,964 | 72,141 | |||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 797 | 27,232 | 27,210 | (21) | |||||
Cargurus, Inc. | Morgan Stanley | 811 | 19,532 | 21,273 | 1,742 | |||||
Cars.com, Inc. | Morgan Stanley | 381 | 5,268 | 5,460 | 193 | |||||
Charter Communications, Inc., Class A | Morgan Stanley | 85 | 51,182 | 61,323 | 10,143 | |||||
Comcast Corp., Class A | Morgan Stanley | 2,391 | 129,932 | 136,335 | 6,498 | |||||
DISH Network Corp., Class A | Morgan Stanley | 7,920 | 247,262 | 331,056 | 83,796 | |||||
Facebook, Inc., Class A | Morgan Stanley | 543 | 161,196 | 188,807 | 27,612 | |||||
Fox Corp., Class A | Morgan Stanley | 3,173 | 83,338 | 117,813 | 36,251 | |||||
Gray Television, Inc. | Morgan Stanley | 4,447 | 75,570 | 104,060 | 29,203 | |||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 10,122 | 254,816 | 328,864 | 80,245 | |||||
Madison Square Garden Sports Corp. | Morgan Stanley | 1,052 | 165,877 | 181,544 | 15,669 | |||||
Meredith Corp. | Morgan Stanley | 2,813 | 54,161 | 122,197 | 68,037 | |||||
MSG Networks, Inc., Class A | Morgan Stanley | 7,356 | 79,768 | 107,250 | 27,482 | |||||
Netflix, Inc. | Morgan Stanley | 1,258 | 625,132 | 664,488 | 39,357 | |||||
New York Times Co. (The), Class A | Morgan Stanley | 1,112 | 45,963 | 48,428 | 2,575 | |||||
News Corp., Class A | Morgan Stanley | 731 | 17,652 | 18,838 | 1,236 | |||||
Omnicom Group, Inc. | Morgan Stanley | 307 | 24,354 | 24,557 | 204 | |||||
Snap, Inc., Class A | Morgan Stanley | 4,639 | 303,817 | 316,101 | 12,286 | |||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 1,698 | 305,727 | 300,580 | (5,146) | |||||
TechTarget, Inc. | Morgan Stanley | 562 | 39,257 | 43,549 | 4,672 | |||||
Twitter, Inc. | Morgan Stanley | 668 | 33,347 | 45,965 | 12,619 | |||||
Walt Disney Co. (The) | Morgan Stanley | 264 | 46,169 | 46,403 | 236 | |||||
Warner Music Group Corp., Class A | Morgan Stanley | 1,071 | 34,775 | 38,599 | 4,297 | |||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 1,056 | 57,485 | 61,132 | 3,765 | |||||
Yelp, Inc. | Morgan Stanley | 1,915 | 74,455 | 76,523 | 2,070 | |||||
67,957 | 4,142,641 | 4,872,365 | 744,532 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
AbbVie, Inc. | Morgan Stanley | 926 | $97,843 | $104,305 | $7,667 | |||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 121 | 2,728 | 2,662 | (65) | |||||
Agilent Technologies, Inc. | Morgan Stanley | 741 | 75,146 | 109,527 | 34,755 | |||||
Alexion Pharmaceuticals, Inc. | Morgan Stanley | 2,280 | 349,471 | 418,859 | 69,390 | |||||
Amphastar Pharmaceuticals, Inc. | Morgan Stanley | 34 | 661 | 685 | 26 | |||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 300 | 6,991 | 6,444 | (545) | |||||
BioCryst Pharmaceuticals, Inc. | Morgan Stanley | 536 | 8,828 | 8,474 | (353) | |||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 349 | 188,984 | 224,857 | 41,407 | |||||
Blueprint Medicines Corp. | Morgan Stanley | 636 | 57,311 | 55,943 | (1,697) | |||||
Bruker Corp. | Morgan Stanley | 145 | 10,178 | 11,017 | 844 | |||||
Cassava Sciences, Inc. | Morgan Stanley | 4,129 | 311,119 | 352,782 | 41,665 | |||||
Charles River Laboratories International, Inc. | Morgan Stanley | 79 | 26,823 | 29,224 | 2,402 | |||||
Denali Therapeutics, Inc. | Morgan Stanley | 260 | 13,407 | 20,394 | 10,719 | |||||
Dynavax Technologies Corp. | Morgan Stanley | 284 | 2,803 | 2,797 | (4) | |||||
Emergent BioSolutions, Inc. | Morgan Stanley | 146 | 8,576 | 9,197 | 622 | |||||
FibroGen, Inc. | Morgan Stanley | 177 | 4,861 | 4,714 | (146) | |||||
Gilead Sciences, Inc. | Morgan Stanley | 1,329 | 85,277 | 91,515 | 7,549 | |||||
Halozyme Therapeutics, Inc. | Morgan Stanley | 1,585 | 64,891 | 71,975 | 7,503 | |||||
HEXO Corp. (Canada) | Morgan Stanley | 13,832 | 89,340 | 80,226 | (9,113) | |||||
Innoviva, Inc. | Morgan Stanley | 4,740 | 50,513 | 63,563 | 13,051 | |||||
Instil Bio, Inc. | Morgan Stanley | 1 | 20 | 19 | — | |||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 3,526 | 39,617 | 45,380 | 6,018 | |||||
Johnson & Johnson | Morgan Stanley | 2,556 | 391,213 | 421,075 | 33,728 | |||||
Luminex Corp. | Morgan Stanley | 1,180 | 25,896 | 43,424 | 17,883 | |||||
Merck & Co., Inc. | Morgan Stanley | 8,066 | 586,205 | 627,293 | 49,204 | |||||
PerkinElmer, Inc. | Morgan Stanley | 1,813 | 247,053 | 279,945 | 32,964 | |||||
Pfizer, Inc. | Morgan Stanley | 23,798 | 874,098 | 931,930 | 63,344 | |||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 906 | 32,012 | 47,203 | 15,192 | |||||
Protagonist Therapeutics, Inc. | Morgan Stanley | 299 | 12,931 | 13,419 | 489 | |||||
Prothena Corp. PLC (Ireland) | Morgan Stanley | 680 | 15,704 | 34,959 | 19,256 | |||||
Sage Therapeutics, Inc. | Morgan Stanley | 3,600 | 255,463 | 204,516 | (50,946) | |||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | 18,545 | 17,140 | 17,599 | 461 | |||||
Syneos Health, Inc. | Morgan Stanley | 254 | 21,026 | 22,730 | 1,757 | |||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 822 | 352,258 | 414,674 | 63,031 | |||||
Translate Bio, Inc. | Morgan Stanley | 1,014 | 17,564 | 27,926 | 10,973 | |||||
United Therapeutics Corp. | Morgan Stanley | 65 | 11,521 | 11,662 | 142 | |||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 3,008 | 582,781 | 606,503 | 22,289 | |||||
Waters Corp. | Morgan Stanley | 478 | 128,642 | 165,202 | 36,561 | |||||
Zoetis, Inc. | Morgan Stanley | 1,487 | 233,820 | 277,117 | 44,096 | |||||
104,727 | 5,300,715 | 5,861,736 | 592,119 | |||||||
Retailing | ||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 16,271 | 215,284 | 755,463 | 540,180 | |||||
Advance Auto Parts, Inc. | Morgan Stanley | 6,239 | 943,026 | 1,279,868 | 346,080 | |||||
Amazon.com, Inc. | Morgan Stanley | 124 | 385,911 | 426,580 | 40,670 | |||||
At Home Group, Inc. | Morgan Stanley | 449 | 16,491 | 16,541 | 52 | |||||
AutoNation, Inc. | Morgan Stanley | 7,224 | 395,041 | 684,907 | 289,867 | |||||
AutoZone, Inc. | Morgan Stanley | 97 | 106,747 | 144,745 | 37,999 | |||||
Best Buy Co., Inc. | Morgan Stanley | 2 | 228 | 230 | 5 | |||||
Buckle, Inc. (The) | Morgan Stanley | 4,436 | 93,844 | 220,691 | 138,813 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Retailing — (continued) | ||||||||||
eBay, Inc. | Morgan Stanley | 692 | $40,198 | $48,585 | $8,479 | |||||
Etsy, Inc. | Morgan Stanley | 3,730 | 506,620 | 767,783 | 261,164 | |||||
Five Below, Inc. | Morgan Stanley | 59 | 11,466 | 11,403 | (62) | |||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | 529 | 51,940 | 55,915 | 3,976 | |||||
Foot Locker, Inc. | Morgan Stanley | 2,429 | 71,310 | 149,699 | 79,605 | |||||
Genuine Parts Co. | Morgan Stanley | 2,103 | 209,798 | 265,966 | 61,002 | |||||
Group 1 Automotive, Inc. | Morgan Stanley | 267 | 39,914 | 41,233 | 1,478 | |||||
Guess?, Inc. | Morgan Stanley | 296 | 6,805 | 7,814 | 1,077 | |||||
Hibbett, Inc. | Morgan Stanley | 187 | 15,309 | 16,761 | 1,453 | |||||
Home Depot, Inc. (The) | Morgan Stanley | 33 | 10,299 | 10,523 | 226 | |||||
L Brands, Inc. | Morgan Stanley | 712 | 38,893 | 51,307 | 12,522 | |||||
Lands' End, Inc. | Morgan Stanley | 241 | 8,115 | 9,893 | 1,779 | |||||
LKQ Corp. | Morgan Stanley | 11,379 | 342,039 | 560,074 | 218,035 | |||||
Lowe's Cos., Inc. | Morgan Stanley | 101 | 19,461 | 19,591 | 139 | |||||
Macy's, Inc. | Morgan Stanley | 10,188 | 59,661 | 193,164 | 133,504 | |||||
MarineMax, Inc. | Morgan Stanley | 1,384 | 79,785 | 67,456 | (12,327) | |||||
Ollie's Bargain Outlet Holdings, Inc. | Morgan Stanley | 1,783 | 151,685 | 150,004 | (1,680) | |||||
O'Reilly Automotive, Inc. | Morgan Stanley | 398 | 174,278 | 225,352 | 51,075 | |||||
Overstock.com, Inc. | Morgan Stanley | 1,523 | 108,178 | 140,421 | 40,787 | |||||
Penske Automotive Group, Inc. | Morgan Stanley | 48 | 3,583 | 3,624 | 42 | |||||
Qurate Retail, Inc., Series A | Morgan Stanley | 18,503 | 156,367 | 242,204 | 107,293 | |||||
RH | Morgan Stanley | 43 | 28,448 | 29,197 | 751 | |||||
Shutterstock, Inc. | Morgan Stanley | 3,642 | 241,498 | 357,535 | 117,207 | |||||
Signet Jewelers Ltd. (Bermuda) | Morgan Stanley | 1 | 55 | 81 | 27 | |||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 266 | 10,606 | 11,901 | 1,370 | |||||
Stitch Fix, Inc., Class A | Morgan Stanley | 34 | 2,079 | 2,050 | (27) | |||||
Target Corp. | Morgan Stanley | 2,574 | 499,664 | 622,239 | 128,707 | |||||
Tractor Supply Co. | Morgan Stanley | 120 | 21,582 | 22,327 | 997 | |||||
Ulta Beauty, Inc. | Morgan Stanley | 217 | 73,089 | 75,032 | 1,944 | |||||
Urban Outfitters, Inc. | Morgan Stanley | 1,761 | 36,369 | 72,588 | 36,221 | |||||
Wayfair, Inc., Class A | Morgan Stanley | 1,106 | 339,176 | 349,175 | 10,001 | |||||
Williams-Sonoma, Inc. | Morgan Stanley | 33 | 5,599 | 5,268 | (329) | |||||
Zumiez, Inc. | Morgan Stanley | 3,558 | 97,823 | 174,306 | 76,485 | |||||
104,782 | 5,618,264 | 8,289,496 | 2,736,587 | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
Amkor Technology, Inc. | Morgan Stanley | 7,884 | 92,838 | 186,614 | 94,724 | |||||
Applied Materials, Inc. | Morgan Stanley | 967 | 124,842 | 137,701 | 12,860 | |||||
Axcelis Technologies, Inc. | Morgan Stanley | 3,541 | 86,657 | 143,127 | 56,472 | |||||
Broadcom, Inc. | Morgan Stanley | 3,722 | 1,232,517 | 1,774,798 | 591,129 | |||||
Brooks Automation, Inc. | Morgan Stanley | 63 | 5,829 | 6,003 | 175 | |||||
Cirrus Logic, Inc. | Morgan Stanley | 227 | 16,654 | 19,322 | 2,670 | |||||
First Solar, Inc. | Morgan Stanley | 1 | 61 | 91 | 31 | |||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 1,537 | 81,512 | 82,691 | 1,180 | |||||
Intel Corp. | Morgan Stanley | 23,885 | 1,336,184 | 1,340,904 | 18,599 | |||||
KLA Corp. | Morgan Stanley | 556 | 126,781 | 180,261 | 54,572 | |||||
Lam Research Corp. | Morgan Stanley | 43 | 27,683 | 27,980 | 313 | |||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 5,115 | 184,070 | 327,769 | 143,700 | |||||
Maxim Integrated Products, Inc. | Morgan Stanley | 461 | 34,228 | 48,571 | 14,345 | |||||
Microchip Technology, Inc. | Morgan Stanley | 968 | 95,546 | 144,948 | 50,804 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
MKS Instruments, Inc. | Morgan Stanley | 1,161 | $205,264 | $206,600 | $1,453 | |||||
NVIDIA Corp. | Morgan Stanley | 293 | 232,585 | 234,429 | 1,768 | |||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 3,295 | 639,768 | 677,847 | 40,874 | |||||
ON Semiconductor Corp. | Morgan Stanley | 2,332 | 85,907 | 89,269 | 3,755 | |||||
Onto Innovation, Inc. | Morgan Stanley | 902 | 55,734 | 65,882 | 10,149 | |||||
Qorvo, Inc. | Morgan Stanley | 9,486 | 1,189,229 | 1,855,936 | 667,065 | |||||
QUALCOMM, Inc. | Morgan Stanley | 9,252 | 1,281,937 | 1,322,388 | 52,659 | |||||
Rambus, Inc. | Morgan Stanley | 1,644 | 32,634 | 38,979 | 6,577 | |||||
Skyworks Solutions, Inc. | Morgan Stanley | 1,009 | 174,162 | 193,476 | 19,748 | |||||
Synaptics, Inc. | Morgan Stanley | 703 | 87,408 | 109,373 | 21,966 | |||||
Texas Instruments, Inc. | Morgan Stanley | 2,110 | 330,415 | 405,753 | 79,712 | |||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 949 | 47,117 | 50,980 | 3,865 | |||||
82,106 | 7,807,562 | 9,671,692 | 1,951,165 | |||||||
Software & Services | ||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 939 | 216,598 | 276,808 | 62,012 | |||||
ACI Worldwide, Inc. | Morgan Stanley | 4,341 | 109,895 | 161,225 | 51,331 | |||||
Adobe, Inc. | Morgan Stanley | 214 | 96,359 | 125,327 | 28,969 | |||||
Alliance Data Systems Corp. | Morgan Stanley | 4,472 | 203,475 | 465,938 | 266,177 | |||||
ANSYS, Inc. | Morgan Stanley | 209 | 71,476 | 72,536 | 1,061 | |||||
Automatic Data Processing, Inc. | Morgan Stanley | 2,392 | 373,094 | 475,099 | 106,870 | |||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 2,336 | 320,251 | 377,334 | 61,367 | |||||
C3.ai, Inc., Class A | Morgan Stanley | 343 | 20,043 | 21,448 | 1,407 | |||||
Cadence Design Systems, Inc. | Morgan Stanley | 668 | 71,158 | 91,396 | 20,239 | |||||
Cerence, Inc. | Morgan Stanley | 470 | 41,168 | 50,154 | 9,562 | |||||
CGI, Inc. (Canada) | Morgan Stanley | 1,981 | 138,174 | 179,479 | 41,519 | |||||
Cloudera, Inc. | Morgan Stanley | 3,012 | 47,587 | 47,770 | 185 | |||||
CommVault Systems, Inc. | Morgan Stanley | 227 | 15,082 | 17,745 | 2,664 | |||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 423 | 16,248 | 21,818 | 5,572 | |||||
CSG Systems International, Inc. | Morgan Stanley | 859 | 39,786 | 40,528 | 1,139 | |||||
Digital Turbine, Inc. | Morgan Stanley | 1,868 | 126,560 | 142,024 | 15,759 | |||||
DocuSign, Inc. | Morgan Stanley | 1,164 | 297,908 | 325,419 | 27,513 | |||||
Domo, Inc., Class B | Morgan Stanley | 359 | 26,997 | 29,018 | 2,023 | |||||
DXC Technology Co. | Morgan Stanley | 3,301 | 129,795 | 128,541 | (1,252) | |||||
Elastic N.V. (Netherlands) | Morgan Stanley | 709 | 102,706 | 103,344 | 640 | |||||
Everbridge, Inc. | Morgan Stanley | 284 | 38,018 | 38,647 | 630 | |||||
Fair Isaac Corp. | Morgan Stanley | 111 | 53,167 | 55,797 | 2,696 | |||||
Fiserv, Inc. | Morgan Stanley | 7,883 | 774,436 | 842,614 | 68,180 | |||||
Fortinet, Inc. | Morgan Stanley | 916 | 165,578 | 218,182 | 52,605 | |||||
Gartner, Inc. | Morgan Stanley | 72 | 13,861 | 17,438 | 3,579 | |||||
International Business Machines Corp. | Morgan Stanley | 1,816 | 232,252 | 266,207 | 36,890 | |||||
Intuit, Inc. | Morgan Stanley | 299 | 132,086 | 146,561 | 14,476 | |||||
J2 Global, Inc. | Morgan Stanley | 205 | 25,048 | 28,198 | 3,540 | |||||
Lightspeed POS, Inc. (Canada) | Morgan Stanley | 212 | 18,143 | 17,725 | (416) | |||||
Mastercard, Inc., Class A | Morgan Stanley | 323 | 118,848 | 117,924 | (922) | |||||
Maximus, Inc. | Morgan Stanley | 1,489 | 134,349 | 130,987 | (3,244) | |||||
Microsoft Corp. | Morgan Stanley | 1,919 | 461,415 | 519,857 | 59,418 | |||||
Momentive Global, Inc. | Morgan Stanley | 608 | 13,231 | 12,811 | (419) | |||||
MongoDB, Inc. | Morgan Stanley | 478 | 180,394 | 172,807 | (7,586) | |||||
NortonLifeLock, Inc. | Morgan Stanley | 2,184 | 51,345 | 59,448 | 8,396 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
Nutanix, Inc., Class A | Morgan Stanley | 2,846 | $103,560 | $108,774 | $5,216 | |||||
OneSpan, Inc. | Morgan Stanley | 15 | 390 | 383 | (5) | |||||
Open Text Corp. (Canada) | Morgan Stanley | 6,407 | 273,338 | 325,476 | 55,502 | |||||
Oracle Corp. | Morgan Stanley | 8,956 | 658,019 | 697,135 | 39,831 | |||||
Paychex, Inc. | Morgan Stanley | 306 | 30,172 | 32,834 | 2,755 | |||||
PayPal Holdings, Inc. | Morgan Stanley | 764 | 182,155 | 222,691 | 40,537 | |||||
Progress Software Corp. | Morgan Stanley | 2,145 | 75,949 | 99,206 | 24,733 | |||||
Proofpoint, Inc. | Morgan Stanley | 250 | 43,409 | 43,440 | 33 | |||||
PTC, Inc. | Morgan Stanley | 150 | 19,602 | 21,189 | 1,589 | |||||
salesforce.com, Inc. | Morgan Stanley | 2,029 | 440,076 | 495,624 | 55,549 | |||||
SecureWorks Corp., Class A | Morgan Stanley | 33 | 643 | 611 | (30) | |||||
ServiceNow, Inc. | Morgan Stanley | 374 | 178,050 | 205,532 | 27,483 | |||||
Slack Technologies, Inc., Class A | Morgan Stanley | 120 | 5,354 | 5,316 | (36) | |||||
SPS Commerce, Inc. | Morgan Stanley | 4,826 | 364,629 | 481,876 | 117,219 | |||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 2,248 | 164,741 | 161,991 | (2,515) | |||||
Synopsys, Inc. | Morgan Stanley | 186 | 44,308 | 51,297 | 6,991 | |||||
Teradata Corp. | Morgan Stanley | 5,070 | 105,415 | 253,348 | 148,416 | |||||
Verint Systems, Inc. | Morgan Stanley | 5,845 | 271,482 | 263,434 | (8,047) | |||||
VeriSign, Inc. | Morgan Stanley | 569 | 111,918 | 129,556 | 17,639 | |||||
Vertex, Inc., Class A | Morgan Stanley | 203 | 4,390 | 4,454 | 65 | |||||
Visa, Inc., Class A | Morgan Stanley | 795 | 169,026 | 185,887 | 17,120 | |||||
Western Union Co. (The) | Morgan Stanley | 7,297 | 163,576 | 167,612 | 9,948 | |||||
Workiva, Inc. | Morgan Stanley | 503 | 38,512 | 55,999 | 17,489 | |||||
101,023 | 8,325,245 | 9,811,819 | 1,520,062 | |||||||
Technology Hardware & Equipment | ||||||||||
3D Systems Corp. | Morgan Stanley | 3,537 | 104,809 | 141,374 | 36,567 | |||||
Badger Meter, Inc. | Morgan Stanley | 317 | 20,156 | 31,104 | 11,162 | |||||
Benchmark Electronics, Inc. | Morgan Stanley | 203 | 6,052 | 5,777 | (240) | |||||
CDW Corp. | Morgan Stanley | 1,350 | 158,068 | 235,778 | 79,317 | |||||
Ciena Corp. | Morgan Stanley | 8 | 458 | 455 | (1) | |||||
Cisco Systems, Inc. | Morgan Stanley | 3,585 | 164,300 | 190,005 | 27,165 | |||||
Cognex Corp. | Morgan Stanley | 297 | 22,336 | 24,963 | 3,095 | |||||
Coherent, Inc. | Morgan Stanley | 414 | 108,098 | 109,437 | 1,340 | |||||
Corning, Inc. | Morgan Stanley | 5,024 | 185,341 | 205,482 | 23,056 | |||||
CTS Corp. | Morgan Stanley | 28 | 1,004 | 1,040 | 38 | |||||
Diebold Nixdorf, Inc. | Morgan Stanley | 61,610 | 392,936 | 791,072 | 398,108 | |||||
EchoStar Corp., Class A | Morgan Stanley | 17,490 | 462,263 | 424,832 | (37,571) | |||||
Extreme Networks, Inc. | Morgan Stanley | 4,034 | 44,444 | 45,019 | 577 | |||||
F5 Networks, Inc. | Morgan Stanley | 45 | 8,444 | 8,400 | (42) | |||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 19,321 | 220,794 | 281,700 | 67,639 | |||||
HP, Inc. | Morgan Stanley | 12,819 | 273,577 | 387,006 | 120,642 | |||||
Keysight Technologies, Inc. | Morgan Stanley | 620 | 87,363 | 95,734 | 8,409 | |||||
Knowles Corp. | Morgan Stanley | 1,566 | 31,732 | 30,913 | (818) | |||||
Lumentum Holdings, Inc. | Morgan Stanley | 272 | 18,467 | 22,312 | 3,847 | |||||
NCR Corp. | Morgan Stanley | 19,447 | 388,067 | 886,978 | 498,912 | |||||
NetApp, Inc. | Morgan Stanley | 7,956 | 394,829 | 650,960 | 265,856 | |||||
NETGEAR, Inc. | Morgan Stanley | 3,220 | 114,075 | 123,390 | 9,298 | |||||
Plantronics, Inc. | Morgan Stanley | 2,000 | 74,258 | 83,460 | 9,285 | |||||
Sanmina Corp. | Morgan Stanley | 4,152 | 111,601 | 161,762 | 50,163 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Technology Hardware & Equipment — (continued) | ||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 1,739 | $149,431 | $152,910 | $3,481 | |||||
SYNNEX Corp. | Morgan Stanley | 1,027 | 105,582 | 125,048 | 19,682 | |||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 413 | 53,089 | 55,842 | 3,001 | |||||
TTM Technologies, Inc. | Morgan Stanley | 9,605 | 127,787 | 137,352 | 9,566 | |||||
Ubiquiti, Inc. | Morgan Stanley | 265 | 72,159 | 82,730 | 10,696 | |||||
Vishay Intertechnology, Inc. | Morgan Stanley | 1,086 | 24,430 | 24,489 | 105 | |||||
Vontier Corp. | Morgan Stanley | 10,432 | 306,026 | 339,875 | 34,091 | |||||
Xerox Holdings Corp. | Morgan Stanley | 2,173 | 51,697 | 51,044 | (48) | |||||
Zebra Technologies Corp., Class A | Morgan Stanley | 472 | 212,611 | 249,919 | 37,310 | |||||
196,527 | 4,496,284 | 6,158,162 | 1,693,688 | |||||||
Telecommunication Services | ||||||||||
AT&T, Inc. | Morgan Stanley | 6,950 | 197,681 | 200,021 | 7,899 | |||||
Gogo, Inc. | Morgan Stanley | 2,947 | 35,128 | 33,537 | (1,590) | |||||
Iridium Communications, Inc. | Morgan Stanley | 1,765 | 49,965 | 70,582 | 21,313 | |||||
Lumen Technologies, Inc. | Morgan Stanley | 7,004 | 76,896 | 95,184 | 21,387 | |||||
T-Mobile U.S., Inc. | Morgan Stanley | 2,044 | 246,243 | 296,033 | 49,791 | |||||
Verizon Communications, Inc. | Morgan Stanley | 4,706 | 258,852 | 263,677 | 7,771 | |||||
25,416 | 864,765 | 959,034 | 106,571 | |||||||
Transportation | ||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 11,194 | 413,382 | 675,110 | 261,730 | |||||
ArcBest Corp. | Morgan Stanley | 10,418 | 321,295 | 606,223 | 288,238 | |||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 7,939 | 452,003 | 540,725 | 88,724 | |||||
CSX Corp. | Morgan Stanley | 7,494 | 197,049 | 240,408 | 45,378 | |||||
Echo Global Logistics, Inc. | Morgan Stanley | 3,563 | 94,150 | 109,527 | 15,379 | |||||
Expeditors International of Washington, Inc. | Morgan Stanley | 9,334 | 763,611 | 1,181,684 | 428,146 | |||||
FedEx Corp. | Morgan Stanley | 1,175 | 316,460 | 350,538 | 35,048 | |||||
Hub Group, Inc., Class A | Morgan Stanley | 32 | 2,120 | 2,111 | (8) | |||||
Kansas City Southern | Morgan Stanley | 1 | 174 | 283 | 112 | |||||
Norfolk Southern Corp. | Morgan Stanley | 67 | 16,809 | 17,782 | 1,041 | |||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 478 | 112,761 | 121,316 | 8,655 | |||||
Ryder System, Inc. | Morgan Stanley | 2,416 | 144,177 | 179,581 | 38,495 | |||||
Saia, Inc. | Morgan Stanley | 298 | 67,237 | 62,428 | (4,808) | |||||
Schneider National, Inc., Class B | Morgan Stanley | 10,303 | 257,046 | 224,296 | (11,179) | |||||
SkyWest, Inc. | Morgan Stanley | 8,201 | 237,804 | 353,217 | 115,415 | |||||
Southwest Airlines Co. | Morgan Stanley | 1,947 | 109,960 | 103,366 | (6,593) | |||||
Union Pacific Corp. | Morgan Stanley | 755 | 157,305 | 166,047 | 10,176 | |||||
United Parcel Service, Inc., Class B | Morgan Stanley | 1,615 | 268,419 | 335,872 | 71,172 | |||||
77,230 | 3,931,762 | 5,270,514 | 1,385,121 | |||||||
Utilities | ||||||||||
AES Corp. (The) | Morgan Stanley | 5,310 | 130,639 | 138,432 | 8,820 | |||||
Alliant Energy Corp. | Morgan Stanley | 37 | 2,057 | 2,063 | 7 | |||||
American Water Works Co., Inc. | Morgan Stanley | 63 | 9,763 | 9,710 | (43) | |||||
Dominion Energy, Inc. | Morgan Stanley | 13,171 | 934,514 | 968,990 | 47,045 | |||||
Duke Energy Corp. | Morgan Stanley | 5,532 | 478,718 | 546,119 | 83,287 | |||||
Exelon Corp. | Morgan Stanley | 14,193 | 548,727 | 628,892 | 95,482 | |||||
MDU Resources Group, Inc. | Morgan Stanley | 2,949 | 96,305 | 92,422 | (3,615) | |||||
NextEra Energy, Inc. | Morgan Stanley | 496 | 37,170 | 36,347 | (317) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Utilities — (continued) | ||||||||||
NRG Energy, Inc. | Morgan Stanley | 14,880 | $492,556 | $599,664 | $126,573 | |||||
TransAlta Corp. (Canada) | Morgan Stanley | 165 | 1,580 | 1,647 | 70 | |||||
56,796 | 2,732,029 | 3,024,286 | 357,309 | |||||||
Total Reference Entity — Long | 96,577,673 | 122,394,493 | 26,657,850 | |||||||
Short | ||||||||||
Automobiles & Components | ||||||||||
Dana, Inc. | Morgan Stanley | (15,568) | (407,501) | (369,896) | 36,520 | |||||
Dorman Products, Inc. | Morgan Stanley | (82) | (8,461) | (8,501) | (49) | |||||
Fox Factory Holding Corp. | Morgan Stanley | (3,196) | (460,657) | (497,489) | (41,120) | |||||
LCI Industries | Morgan Stanley | (5,209) | (709,238) | (684,567) | 15,748 | |||||
Lear Corp. | Morgan Stanley | (5,112) | (963,042) | (896,031) | 62,142 | |||||
Patrick Industries, Inc. | Morgan Stanley | (6,423) | (523,254) | (468,879) | 49,439 | |||||
Workhorse Group, Inc. | Morgan Stanley | (46,604) | (751,731) | (773,160) | (23,127) | |||||
(82,194) | (3,823,884) | (3,698,523) | 99,553 | |||||||
Capital Goods | ||||||||||
Allison Transmission Holdings, Inc. | Morgan Stanley | (5,773) | (260,532) | (229,419) | 31,301 | |||||
Altra Industrial Motion Corp. | Morgan Stanley | (5,818) | (377,767) | (378,286) | (1,428) | |||||
American Woodmark Corp. | Morgan Stanley | (879) | (73,900) | (71,806) | 2,007 | |||||
Arcosa, Inc. | Morgan Stanley | (6,199) | (394,777) | (364,129) | 30,078 | |||||
Armstrong World Industries, Inc. | Morgan Stanley | (4,004) | (330,737) | (429,469) | (100,825) | |||||
Axon Enterprise, Inc. | Morgan Stanley | (3,678) | (492,074) | (650,270) | (158,785) | |||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (69,017) | (1,074,769) | (1,250,588) | (177,107) | |||||
Bloom Energy Corp., Class A | Morgan Stanley | (13,160) | (316,593) | (353,609) | (37,395) | |||||
Boeing Co. (The) | Morgan Stanley | (9,362) | (2,291,883) | (2,242,761) | 46,375 | |||||
BWX Technologies, Inc. | Morgan Stanley | (13,448) | (876,196) | (781,598) | 90,573 | |||||
CAI International, Inc. | Morgan Stanley | (221) | (12,298) | (12,376) | (91) | |||||
Carrier Global Corp. | Morgan Stanley | (1,279) | (61,997) | (62,159) | (235) | |||||
Construction Partners, Inc., Class A | Morgan Stanley | (20,679) | (569,398) | (649,321) | (80,604) | |||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (19,270) | (345,356) | (350,329) | (5,385) | |||||
CSW Industrials, Inc. | Morgan Stanley | (919) | (121,477) | (108,865) | 12,329 | |||||
Energy Recovery, Inc. | Morgan Stanley | (4,799) | (100,258) | (109,321) | (9,182) | |||||
EnPro Industries, Inc. | Morgan Stanley | (1,423) | (133,820) | (138,244) | (4,799) | |||||
Evoqua Water Technologies Corp. | Morgan Stanley | (58,336) | (1,702,054) | (1,970,590) | (270,576) | |||||
Fluor Corp. | Morgan Stanley | (22,456) | (525,722) | (397,471) | 138,945 | |||||
FuelCell Energy, Inc. | Morgan Stanley | (80,138) | (1,232,011) | (713,228) | 517,307 | |||||
GATX Corp. | Morgan Stanley | (8,051) | (728,558) | (712,272) | 7,263 | |||||
Global Industrial Co. | Morgan Stanley | (140) | (5,166) | (5,139) | 22 | |||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (7,184) | (105,279) | (104,958) | 196 | |||||
Greenbrier Cos., Inc. (The) | Morgan Stanley | (1,153) | (52,511) | (50,248) | 2,201 | |||||
Helios Technologies, Inc. | Morgan Stanley | (436) | (33,235) | (34,030) | (833) | |||||
Hexcel Corp. | Morgan Stanley | (11,245) | (630,557) | (701,688) | (72,828) | |||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (2,469) | (103,539) | (180,188) | (79,687) | |||||
Kennametal, Inc. | Morgan Stanley | (24,885) | (863,803) | (893,869) | (49,136) | |||||
Lindsay Corp. | Morgan Stanley | (1,087) | (179,654) | (179,659) | (499) | |||||
Lydall, Inc. | Morgan Stanley | (151) | (9,177) | (9,139) | 29 | |||||
Maxar Technologies, Inc. | Morgan Stanley | (3,718) | (174,313) | (148,423) | 25,608 | |||||
Mercury Systems, Inc. | Morgan Stanley | (18,855) | (1,282,795) | (1,249,709) | 31,548 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Meritor, Inc. | Morgan Stanley | (26,710) | $(685,358) | $(625,548) | $58,989 | |||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (1,539) | (140,720) | (138,094) | 2,593 | |||||
Navistar International Corp. | Morgan Stanley | (15,797) | (701,057) | (702,966) | (2,749) | |||||
NV5 Global, Inc. | Morgan Stanley | (3,928) | (217,454) | (371,235) | (156,636) | |||||
Parsons Corp. | Morgan Stanley | (8,053) | (298,634) | (316,966) | (19,071) | |||||
PGT Innovations, Inc. | Morgan Stanley | (23,721) | (430,973) | (551,039) | (120,581) | |||||
Proto Labs, Inc. | Morgan Stanley | (7,148) | (1,338,056) | (656,186) | 680,266 | |||||
Raven Industries, Inc. | Morgan Stanley | (634) | (36,590) | (36,677) | (129) | |||||
Rexnord Corp. | Morgan Stanley | (19,125) | (968,976) | (957,015) | 9,853 | |||||
Rockwell Automation, Inc. | Morgan Stanley | (1,826) | (516,376) | (522,273) | (6,515) | |||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (16,553) | (729,179) | (781,136) | (53,023) | |||||
SPX Corp. | Morgan Stanley | (2,042) | (121,241) | (124,725) | (3,873) | |||||
Sunrun, Inc. | Morgan Stanley | (15,309) | (1,026,349) | (853,936) | 162,226 | |||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (14,330) | (449,795) | (483,924) | (34,667) | |||||
TransDigm Group, Inc. | Morgan Stanley | (2,328) | (1,550,507) | (1,506,891) | 42,647 | |||||
Trex Co., Inc. | Morgan Stanley | (14,599) | (1,268,380) | (1,492,164) | (225,304) | |||||
Welbilt, Inc. | Morgan Stanley | (48,151) | (728,673) | (1,114,696) | (412,350) | |||||
WESCO International, Inc. | Morgan Stanley | (3,988) | (196,642) | (410,046) | (229,076) | |||||
Westport Fuel Systems, Inc. (Canada) | Morgan Stanley | (51,324) | (402,613) | (272,530) | 130,282 | |||||
(697,337) | (27,269,779) | (27,451,208) | (290,731) | |||||||
Commercial & Professional Services | ||||||||||
ADT, Inc. | Morgan Stanley | (143,557) | (1,293,968) | (1,548,980) | (266,831) | |||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (4,510) | (388,374) | (384,162) | 2,195 | |||||
Clarivate PLC (Jersey) | Morgan Stanley | (26,866) | (714,950) | (739,621) | (26,346) | |||||
CoStar Group, Inc. | Morgan Stanley | (30,817) | (2,675,088) | (2,552,264) | 118,119 | |||||
FTI Consulting, Inc. | Morgan Stanley | (5,192) | (737,849) | (709,279) | 27,728 | |||||
Harsco Corp. | Morgan Stanley | (22,183) | (363,178) | (452,977) | (90,617) | |||||
Insperity, Inc. | Morgan Stanley | (7,051) | (641,150) | (637,199) | (393) | |||||
KBR, Inc. | Morgan Stanley | (2,883) | (117,623) | (109,986) | 7,232 | |||||
ManTech International Corp., Class A | Morgan Stanley | (4,459) | (384,641) | (385,882) | (2,956) | |||||
MSA Safety, Inc. | Morgan Stanley | (29) | (4,813) | (4,802) | 7 | |||||
Pitney Bowes, Inc. | Morgan Stanley | (58,820) | (503,334) | (515,851) | (15,228) | |||||
TransUnion | Morgan Stanley | (7,490) | (795,733) | (822,477) | (28,345) | |||||
U.S. Ecology, Inc. | Morgan Stanley | (17,235) | (604,654) | (646,657) | (42,924) | |||||
Upwork, Inc. | Morgan Stanley | (3,367) | (138,735) | (196,262) | (62,337) | |||||
Viad Corp. | Morgan Stanley | (7,308) | (293,317) | (364,304) | (71,337) | |||||
Waste Connections, Inc. (Canada) | Morgan Stanley | (1,627) | (199,702) | (194,313) | 4,861 | |||||
(343,394) | (9,857,109) | (10,265,016) | (447,172) | |||||||
Consumer Durables & Apparel | ||||||||||
Callaway Golf Co. | Morgan Stanley | (11,825) | (414,081) | (398,857) | 14,729 | |||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (4,639) | (170,224) | (202,910) | (32,889) | |||||
Columbia Sportswear Co. | Morgan Stanley | (1,438) | (136,627) | (141,442) | (5,733) | |||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (4,263) | (933,597) | (972,476) | (39,997) | |||||
Installed Building Products, Inc. | Morgan Stanley | (1,604) | (214,806) | (196,265) | 17,808 | |||||
Levi Strauss & Co., Class A | Morgan Stanley | (7,560) | (215,631) | (209,563) | 5,357 | |||||
Lovesac Co. (The) | Morgan Stanley | (1,064) | (81,599) | (84,897) | (3,394) | |||||
Lululemon Athletica, Inc. | Morgan Stanley | (1,396) | (458,901) | (509,498) | (51,147) | |||||
Malibu Boats, Inc., Class A | Morgan Stanley | (4,352) | (347,113) | (319,132) | 27,788 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Durables & Apparel — (continued) | ||||||||||
Oxford Industries, Inc. | Morgan Stanley | (8,592) | $(515,313) | $(849,233) | $(341,597) | |||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (27,622) | (2,752,033) | (3,425,680) | (734,924) | |||||
Purple Innovation, Inc. | Morgan Stanley | (24,714) | (907,954) | (652,697) | 259,508 | |||||
Ralph Lauren Corp. | Morgan Stanley | (5,586) | (650,160) | (658,087) | (12,902) | |||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (4,134) | (154,455) | (205,997) | (51,726) | |||||
VF Corp. | Morgan Stanley | (7,360) | (629,585) | (603,814) | 23,263 | |||||
Vista Outdoor, Inc. | Morgan Stanley | (241) | (11,136) | (11,153) | 490 | |||||
Vizio Holding Corp., Class A | Morgan Stanley | (473) | (12,583) | (12,776) | (206) | |||||
Vuzix Corp. | Morgan Stanley | (1,086) | (20,050) | (19,928) | (8,029) | |||||
(117,949) | (8,625,848) | (9,474,405) | (933,601) | |||||||
Consumer Services | ||||||||||
Aramark | Morgan Stanley | (61,835) | (2,312,981) | (2,303,354) | 2,768 | |||||
Bally's Corp. | Morgan Stanley | (16,232) | (1,014,590) | (878,314) | 135,061 | |||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (9,851) | (1,656,929) | (1,449,181) | 205,762 | |||||
Carnival Corp. (Panama) | Morgan Stanley | (5,981) | (158,522) | (157,659) | 674 | |||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (462) | (706,126) | (716,257) | (10,977) | |||||
Dave & Buster's Entertainment, Inc. | Morgan Stanley | (11,602) | (506,969) | (471,041) | 31,841 | |||||
Denny's Corp. | Morgan Stanley | (58,558) | (857,054) | (965,621) | (109,595) | |||||
Domino's Pizza, Inc. | Morgan Stanley | (818) | (375,772) | (381,589) | (6,266) | |||||
DraftKings, Inc., Class A | Morgan Stanley | (25,580) | (1,307,260) | (1,334,509) | (28,815) | |||||
Frontdoor, Inc. | Morgan Stanley | (5,603) | (305,142) | (279,141) | 25,750 | |||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | (1,238) | (150,591) | (149,328) | 1,084 | |||||
Hyatt Hotels Corp., Class A | Morgan Stanley | (1,151) | (91,399) | (89,364) | 1,927 | |||||
MGM Resorts International | Morgan Stanley | (39,034) | (1,614,512) | (1,664,800) | (52,293) | |||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (4,023) | (141,546) | (266,202) | (125,326) | |||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (5,143) | (150,611) | (151,256) | (824) | |||||
Planet Fitness, Inc., Class A | Morgan Stanley | (12,450) | (944,098) | (936,862) | 6,105 | |||||
Restaurant Brands International, Inc. (Canada) | Morgan Stanley | (3,695) | (255,528) | (238,106) | 15,948 | |||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (10,868) | (946,129) | (926,823) | 18,173 | |||||
Shake Shack, Inc., Class A | Morgan Stanley | (9,104) | (848,894) | (974,310) | (126,433) | |||||
Strategic Education, Inc. | Morgan Stanley | (1,681) | (131,641) | (127,857) | 3,627 | |||||
Stride, Inc. | Morgan Stanley | (40,013) | (1,853,785) | (1,285,618) | 565,945 | |||||
Wingstop, Inc. | Morgan Stanley | (1,055) | (166,547) | (166,300) | 49 | |||||
Wynn Resorts Ltd. | Morgan Stanley | (1,443) | (123,555) | (176,479) | (53,070) | |||||
(327,420) | (16,620,181) | (16,089,971) | 501,115 | |||||||
Diversified Financials | ||||||||||
SEI Investments Co. | Morgan Stanley | (3,114) | (195,501) | (192,975) | 1,171 | |||||
State Street Corp. | Morgan Stanley | (475) | (38,804) | (39,083) | (442) | |||||
(3,589) | (234,305) | (232,058) | 729 | |||||||
Energy | ||||||||||
Antero Midstream Corp. | Morgan Stanley | (1,927) | (20,008) | (20,022) | (36) | |||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (213,230) | (1,817,472) | (2,042,743) | (229,881) | |||||
Chevron Corp. | Morgan Stanley | (2,673) | (284,667) | (279,970) | 775 | |||||
ConocoPhillips | Morgan Stanley | (13,031) | (701,344) | (793,588) | (98,687) | |||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | (243,458) | (1,050,469) | (1,102,865) | (54,165) | |||||
CVR Energy, Inc. | Morgan Stanley | (3,181) | (58,799) | (57,131) | 1,599 | |||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (29,209) | (536,861) | (631,499) | (104,383) | |||||
Denbury, Inc. | Morgan Stanley | (7,065) | (500,154) | (542,451) | (42,895) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Energy — (continued) | ||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (48,522) | $(3,936,032) | $(4,555,731) | $(632,604) | |||||
Dril-Quip, Inc. | Morgan Stanley | (9,720) | (330,203) | (328,828) | 975 | |||||
Enerplus Corp. (Canada) | Morgan Stanley | (641) | (4,604) | (4,609) | (2) | |||||
Gevo, Inc. | Morgan Stanley | (48,918) | (356,098) | (355,634) | 39 | |||||
Laredo Petroleum, Inc. | Morgan Stanley | (770) | (67,092) | (71,448) | (4,436) | |||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (23,594) | (279,720) | (334,091) | (54,920) | |||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (1,604) | (7,843) | (7,635) | 200 | |||||
Northern Oil and Gas, Inc. | Morgan Stanley | (12,564) | (245,884) | (260,954) | (15,695) | |||||
Par Pacific Holdings, Inc. | Morgan Stanley | (419) | (6,883) | (7,048) | (171) | |||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (19,631) | (160,423) | (195,132) | (37,215) | |||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (24,534) | (646,737) | (779,445) | (160,086) | |||||
Phillips 66 | Morgan Stanley | (2,646) | (224,004) | (227,080) | (5,725) | |||||
Pioneer Natural Resources Co. | Morgan Stanley | (29,137) | (4,633,664) | (4,735,345) | (123,360) | |||||
RPC, Inc. | Morgan Stanley | (80,527) | (270,532) | (398,609) | (128,400) | |||||
Southwestern Energy Co. | Morgan Stanley | (399,416) | (1,708,753) | (2,264,689) | (585,600) | |||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (77,194) | (632,402) | (698,606) | (66,961) | |||||
Valaris Ltd. (Bermuda) | Morgan Stanley | (668) | (19,458) | (19,292) | 144 | |||||
(1,294,279) | (18,500,106) | (20,714,445) | (2,341,490) | |||||||
Food & Staples Retailing | ||||||||||
BJ's Wholesale Club Holdings, Inc. | Morgan Stanley | (5,624) | (265,750) | (267,590) | (2,157) | |||||
Casey's General Stores, Inc. | Morgan Stanley | (1,825) | (365,024) | (355,218) | 9,370 | |||||
Chefs' Warehouse, Inc. (The) | Morgan Stanley | (16,639) | (485,375) | (529,619) | (44,825) | |||||
Grocery Outlet Holding Corp. | Morgan Stanley | (41,738) | (1,724,085) | (1,446,639) | 275,379 | |||||
Performance Food Group Co. | Morgan Stanley | (3,176) | (133,678) | (154,004) | (23,427) | |||||
Rite Aid Corp. | Morgan Stanley | (20,237) | (369,448) | (329,863) | 39,055 | |||||
United Natural Foods, Inc. | Morgan Stanley | (5,037) | (186,877) | (186,268) | 386 | |||||
(94,276) | (3,530,237) | (3,269,201) | 253,781 | |||||||
Food, Beverage & Tobacco | ||||||||||
B&G Foods, Inc. | Morgan Stanley | (27,365) | (880,155) | (897,572) | (41,049) | |||||
Beyond Meat, Inc. | Morgan Stanley | (6,106) | (962,101) | (961,634) | (4,158) | |||||
Brown-Forman Corp., Class B | Morgan Stanley | (10,461) | (801,653) | (783,947) | 15,684 | |||||
Calavo Growers, Inc. | Morgan Stanley | (7,233) | (459,144) | (458,717) | (7,247) | |||||
Celsius Holdings, Inc. | Morgan Stanley | (9,832) | (522,133) | (748,117) | (234,376) | |||||
Freshpet, Inc. | Morgan Stanley | (3,412) | (548,911) | (556,020) | (7,766) | |||||
Hormel Foods Corp. | Morgan Stanley | (15,269) | (749,447) | (729,095) | 19,853 | |||||
Ingredion, Inc. | Morgan Stanley | (8,018) | (767,281) | (725,629) | 35,959 | |||||
J & J Snack Foods Corp. | Morgan Stanley | (2,851) | (430,587) | (497,243) | (73,588) | |||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (16,628) | (1,353,446) | (1,341,214) | 7,423 | |||||
McCormick & Co, Inc., Non Voting Shares | Morgan Stanley | (1,284) | (116,190) | (113,403) | 2,649 | |||||
MGP Ingredients, Inc. | Morgan Stanley | (5,386) | (207,218) | (364,309) | (162,711) | |||||
Pilgrim's Pride Corp. | Morgan Stanley | (24,253) | (436,264) | (537,932) | (103,627) | |||||
Post Holdings, Inc. | Morgan Stanley | (6,180) | (718,546) | (670,345) | 47,340 | |||||
Simply Good Foods Co. (The) | Morgan Stanley | (669) | (24,413) | (24,425) | (40) | |||||
Universal Corp. | Morgan Stanley | (2,732) | (122,993) | (155,642) | (38,916) | |||||
Utz Brands, Inc. | Morgan Stanley | (9,427) | (219,732) | (205,414) | 13,790 | |||||
(157,106) | (9,320,214) | (9,770,658) | (530,780) | |||||||
Health Care Equipment & Services | ||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (16,375) | (559,522) | (541,357) | 17,495 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
ABIOMED, Inc. | Morgan Stanley | (4,688) | $(1,422,852) | $(1,463,172) | $(42,025) | |||||
AdaptHealth Corp. | Morgan Stanley | (13,499) | (353,283) | (370,008) | (17,147) | |||||
Alphatec Holdings, Inc. | Morgan Stanley | (9,153) | (134,944) | (140,224) | (5,440) | |||||
American Well Corp., Class A | Morgan Stanley | (26,014) | (365,202) | (327,256) | 37,509 | |||||
Avanos Medical, Inc. | Morgan Stanley | (8,241) | (267,400) | (299,725) | (33,710) | |||||
Axogen, Inc. | Morgan Stanley | (19,748) | (237,667) | (426,754) | (190,627) | |||||
BioLife Solutions, Inc. | Morgan Stanley | (3,757) | (135,312) | (167,224) | (32,073) | |||||
Cardinal Health, Inc. | Morgan Stanley | (17,163) | (946,718) | (979,836) | (49,495) | |||||
Cardiovascular Systems, Inc. | Morgan Stanley | (12,742) | (448,033) | (543,446) | (95,949) | |||||
Castle Biosciences, Inc. | Morgan Stanley | (10,821) | (718,529) | (793,504) | (77,033) | |||||
Covetrus, Inc. | Morgan Stanley | (27,452) | (845,022) | (741,204) | 102,805 | |||||
CryoPort, Inc. | Morgan Stanley | (5,297) | (297,410) | (334,241) | (40,097) | |||||
DaVita, Inc. | Morgan Stanley | (4,436) | (557,807) | (534,227) | 23,051 | |||||
Dexcom, Inc. | Morgan Stanley | (4,459) | (1,786,199) | (1,903,993) | (120,728) | |||||
Edwards Lifesciences Corp. | Morgan Stanley | (8,196) | (795,585) | (848,860) | (54,227) | |||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (3,493) | (143,788) | (125,783) | 18,752 | |||||
Guardant Health, Inc. | Morgan Stanley | (16,235) | (2,155,248) | (2,016,225) | 135,211 | |||||
Haemonetics Corp. | Morgan Stanley | (11,608) | (933,688) | (773,557) | 159,013 | |||||
Hanger, Inc. | Morgan Stanley | (59) | (1,481) | (1,492) | (11) | |||||
Humana, Inc. | Morgan Stanley | (397) | (175,494) | (175,760) | (725) | |||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (5,588) | (182,255) | (190,439) | (8,402) | |||||
Inspire Medical Systems, Inc. | Morgan Stanley | (1,002) | (175,871) | (193,647) | (17,985) | |||||
Insulet Corp. | Morgan Stanley | (7,578) | (2,004,742) | (2,080,237) | (81,629) | |||||
Integer Holdings Corp. | Morgan Stanley | (2,951) | (272,281) | (277,984) | (6,028) | |||||
Joint Corp. (The) | Morgan Stanley | (1,356) | (101,767) | (113,796) | (12,149) | |||||
Lantheus Holdings, Inc. | Morgan Stanley | (35,539) | (750,990) | (982,298) | (232,207) | |||||
LeMaitre Vascular, Inc. | Morgan Stanley | (744) | (45,188) | (45,399) | (263) | |||||
Magellan Health, Inc. | Morgan Stanley | (1,956) | (182,629) | (184,255) | (1,844) | |||||
Masimo Corp. | Morgan Stanley | (3,865) | (951,008) | (937,069) | 12,800 | |||||
Mesa Laboratories, Inc. | Morgan Stanley | (968) | (229,546) | (262,493) | (34,126) | |||||
Neogen Corp. | Morgan Stanley | (4,097) | (187,785) | (188,626) | (1,096) | |||||
Oak Street Health, Inc. | Morgan Stanley | (2,363) | (131,766) | (138,401) | (6,792) | |||||
Option Care Health, Inc. | Morgan Stanley | (15,660) | (328,614) | (342,484) | (14,263) | |||||
OrthoPediatrics Corp. | Morgan Stanley | (6,246) | (317,602) | (394,622) | (78,630) | |||||
Penumbra, Inc. | Morgan Stanley | (2,771) | (727,930) | (759,420) | (32,363) | |||||
PetIQ, Inc. | Morgan Stanley | (21,852) | (791,663) | (843,487) | (53,853) | |||||
Progyny, Inc. | Morgan Stanley | (12,205) | (768,797) | (720,095) | 47,782 | |||||
RadNet, Inc. | Morgan Stanley | (19,696) | (318,821) | (663,558) | (348,255) | |||||
ResMed, Inc. | Morgan Stanley | (6,932) | (1,457,182) | (1,708,877) | (253,441) | |||||
SI-BONE, Inc. | Morgan Stanley | (118) | (3,622) | (3,713) | (95) | |||||
Silk Road Medical, Inc. | Morgan Stanley | (11,783) | (663,728) | (563,934) | 98,999 | |||||
Simulations Plus, Inc. | Morgan Stanley | (3,986) | (284,106) | (218,871) | 64,719 | |||||
Surgery Partners, Inc. | Morgan Stanley | (6,259) | (283,860) | (416,975) | (133,454) | |||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (18,387) | (1,047,507) | (919,350) | 126,902 | |||||
Tactile Systems Technology, Inc. | Morgan Stanley | (8,029) | (304,792) | (417,508) | (113,096) | |||||
Teladoc Health, Inc. | Morgan Stanley | (2,984) | (459,569) | (496,209) | (37,191) | |||||
Varex Imaging Corp. | Morgan Stanley | (4,287) | (74,643) | (114,977) | (42,393) | |||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (7,349) | (1,295,108) | (1,181,866) | 110,719 | |||||
(440,384) | (27,624,556) | (28,868,438) | (1,313,085) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Household & Personal Products | ||||||||||
BellRing Brands, Inc., Class A | Morgan Stanley | (729) | $(22,493) | $(22,847) | $(379) | |||||
Central Garden & Pet Co., Class A | Morgan Stanley | (3,388) | (175,513) | (163,640) | 11,663 | |||||
Clorox Co. (The) | Morgan Stanley | (467) | (84,192) | (84,018) | 75 | |||||
Kimberly-Clark Corp. | Morgan Stanley | (4,560) | (603,290) | (610,037) | (7,469) | |||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (4,277) | (129,734) | (129,807) | (1,392) | |||||
WD-40 Co. | Morgan Stanley | (31) | (7,910) | (7,945) | (280) | |||||
(13,452) | (1,023,132) | (1,018,294) | 2,218 | |||||||
Materials | ||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | (12,352) | (872,170) | (746,678) | 122,658 | |||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | (47,558) | (507,243) | (363,819) | 138,775 | |||||
Arconic Corp. | Morgan Stanley | (6,813) | (229,888) | (242,679) | (13,366) | |||||
Ball Corp. | Morgan Stanley | (23,006) | (2,023,787) | (1,863,946) | 154,688 | |||||
Cabot Corp. | Morgan Stanley | (1,811) | (113,233) | (103,100) | 10,051 | |||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (99,228) | (1,155,593) | (689,635) | 464,574 | |||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (12,230) | (208,854) | (193,356) | 15,249 | |||||
HB Fuller Co. | Morgan Stanley | (2,263) | (143,968) | (143,949) | (152) | |||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (28,607) | (4,061,798) | (4,273,886) | (237,972) | |||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (18,170) | (866,647) | (700,090) | 155,906 | |||||
MAG Silver Corp. (Canada) | Morgan Stanley | (437) | (8,984) | (9,142) | (168) | |||||
Materion Corp. | Morgan Stanley | (2,054) | (150,008) | (154,769) | (5,162) | |||||
Methanex Corp. (Canada) | Morgan Stanley | (12,898) | (258,574) | (426,537) | (171,027) | |||||
NewMarket Corp. | Morgan Stanley | (500) | (175,167) | (160,990) | 13,045 | |||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (41,076) | (442,295) | (329,019) | 112,747 | |||||
Orla Mining Ltd. (Canada) | Morgan Stanley | (621) | (2,695) | (2,559) | 135 | |||||
Quaker Chemical Corp. | Morgan Stanley | (1,910) | (438,677) | (453,033) | (15,527) | |||||
Ranpak Holdings Corp. | Morgan Stanley | (536) | (13,032) | (13,416) | (398) | |||||
Schnitzer Steel Industries, Inc., Class A | Morgan Stanley | (4,764) | (222,977) | (233,674) | (11,062) | |||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (18,504) | (341,563) | (324,745) | 16,410 | |||||
Silgan Holdings, Inc. | Morgan Stanley | (4,877) | (209,099) | (202,395) | 5,771 | |||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (1,445) | (13,689) | (12,615) | 1,059 | |||||
Steel Dynamics, Inc. | Morgan Stanley | (3,517) | (148,667) | (209,613) | (63,015) | |||||
Stepan Co. | Morgan Stanley | (2,308) | (298,946) | (277,583) | 20,379 | |||||
Summit Materials, Inc., Class A | Morgan Stanley | (10,348) | (357,386) | (360,628) | (3,697) | |||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (35,184) | (782,344) | (810,639) | (30,040) | |||||
Tronox Holdings PLC, Class A (United Kingdom) | Morgan Stanley | (6,238) | (49,136) | (139,731) | (104,297) | |||||
U.S. Concrete, Inc. | Morgan Stanley | (4,063) | (301,262) | (299,849) | 1,053 | |||||
United States Steel Corp. | Morgan Stanley | (20,930) | (521,785) | (502,320) | 18,841 | |||||
Valvoline, Inc. | Morgan Stanley | (66,209) | (1,776,582) | (2,149,144) | (389,010) | |||||
Warrior Met Coal, Inc. | Morgan Stanley | (37,172) | (632,355) | (639,358) | (14,308) | |||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (547,445) | (2,423,530) | (2,310,218) | 86,800 | |||||
(1,075,074) | (19,751,934) | (19,343,115) | 278,940 | |||||||
Media & Entertainment | ||||||||||
Angi, Inc. | Morgan Stanley | (94,031) | (1,290,478) | (1,271,299) | 14,958 | |||||
Bumble, Inc., Class A | Morgan Stanley | (4,320) | (215,248) | (248,832) | (33,841) | |||||
Cable One, Inc. | Morgan Stanley | (128) | (240,630) | (244,840) | (4,497) | |||||
Cardlytics, Inc. | Morgan Stanley | (1,031) | (131,140) | (130,865) | (104) | |||||
Cinemark Holdings, Inc. | Morgan Stanley | (39,877) | (731,108) | (875,300) | (145,068) | |||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (95,471) | (210,860) | (252,043) | (41,435) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Media & Entertainment — (continued) | ||||||||||
EverQuote, Inc., Class A | Morgan Stanley | (2,564) | $(83,609) | $(83,792) | $(281) | |||||
iHeartMedia, Inc., Class A | Morgan Stanley | (24,398) | (437,842) | (657,038) | (220,222) | |||||
Live Nation Entertainment, Inc. | Morgan Stanley | (2,396) | (211,390) | (209,866) | 1,272 | |||||
Madison Square Garden Entertainment Corp. | Morgan Stanley | (5,869) | (564,244) | (492,820) | 70,749 | |||||
Magnite, Inc. | Morgan Stanley | (15,070) | (554,461) | (509,969) | 43,671 | |||||
Match Group, Inc. | Morgan Stanley | (12,541) | (1,995,399) | (2,022,236) | (29,230) | |||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (7,883) | (212,317) | (227,976) | (17,981) | |||||
Sirius XM Holdings, Inc. | Morgan Stanley | (226,971) | (1,505,970) | (1,484,390) | 18,581 | |||||
TripAdvisor, Inc. | Morgan Stanley | (22,196) | (968,631) | (894,499) | 72,972 | |||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (6,249) | (329,866) | (326,010) | 3,461 | |||||
Zynga, Inc., Class A | Morgan Stanley | (28,058) | (325,570) | (298,257) | 26,925 | |||||
(589,053) | (10,008,763) | (10,230,032) | (240,070) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (4,864) | (735,288) | (952,468) | (222,561) | |||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (19,123) | (886,537) | (781,366) | 104,008 | |||||
Alector, Inc. | Morgan Stanley | (9,096) | (202,965) | (189,470) | 13,253 | |||||
Allogene Therapeutics, Inc. | Morgan Stanley | (3,621) | (89,181) | (94,436) | (5,360) | |||||
Allovir, Inc. | Morgan Stanley | (92) | (1,849) | (1,816) | 32 | |||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (10,343) | (868,492) | (350,007) | 517,445 | |||||
Arcus Biosciences, Inc. | Morgan Stanley | (3,973) | (110,552) | (109,099) | 1,322 | |||||
Arvinas, Inc. | Morgan Stanley | (14,570) | (641,459) | (1,121,890) | (487,522) | |||||
Aurinia Pharmaceuticals, Inc. (Canada) | Morgan Stanley | (1,755) | (23,073) | (22,745) | 302 | |||||
Avantor, Inc. | Morgan Stanley | (31,761) | (1,047,096) | (1,127,833) | (81,992) | |||||
Axsome Therapeutics, Inc. | Morgan Stanley | (3,960) | (310,657) | (267,142) | 43,840 | |||||
Berkeley Lights, Inc. | Morgan Stanley | (17,787) | (875,294) | (797,035) | 77,110 | |||||
Bristol-Myers Squibb Co. | Morgan Stanley | (7,721) | (515,954) | (515,917) | (581) | |||||
Catalent, Inc. | Morgan Stanley | (5,183) | (612,974) | (560,386) | 51,854 | |||||
Codexis, Inc. | Morgan Stanley | (21,296) | (280,690) | (482,567) | (202,213) | |||||
Cytokinetics, Inc. | Morgan Stanley | (787) | (16,773) | (15,575) | 1,180 | |||||
Eli Lilly & Co. | Morgan Stanley | (9,244) | (2,139,042) | (2,121,683) | 14,795 | |||||
Enanta Pharmaceuticals, Inc. | Morgan Stanley | (227) | (10,556) | (9,990) | 554 | |||||
Epizyme, Inc. | Morgan Stanley | (12,981) | (184,071) | (107,872) | 75,980 | |||||
Exact Sciences Corp. | Morgan Stanley | (3,632) | (400,882) | (451,494) | (51,091) | |||||
Exelixis, Inc. | Morgan Stanley | (29,143) | (670,586) | (530,985) | 142,549 | |||||
Global Blood Therapeutics, Inc. | Morgan Stanley | (568) | (18,901) | (19,891) | (1,011) | |||||
Horizon Therapeutics PLC (Ireland) | Morgan Stanley | (9,176) | (868,520) | (859,241) | 8,239 | |||||
Immunovant, Inc. | Morgan Stanley | (1,864) | (19,964) | (19,702) | 240 | |||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (5,917) | (291,750) | (236,029) | 55,372 | |||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (1,640) | (61,649) | (42,673) | 18,904 | |||||
Keros Therapeutics, Inc. | Morgan Stanley | (51) | (2,167) | (2,166) | — | |||||
Krystal Biotech, Inc. | Morgan Stanley | (37) | (2,589) | (2,516) | 71 | |||||
Ligand Pharmaceuticals, Inc. | Morgan Stanley | (87) | (11,762) | (11,414) | 336 | |||||
Medpace Holdings, Inc. | Morgan Stanley | (3,484) | (621,715) | (615,379) | 5,592 | |||||
Mersana Therapeutics, Inc. | Morgan Stanley | (24) | (322) | (326) | (2) | |||||
Mirati Therapeutics, Inc. | Morgan Stanley | (1,186) | (196,437) | (191,575) | 4,629 | |||||
NanoString Technologies, Inc. | Morgan Stanley | (6,397) | (331,567) | (414,462) | (83,291) | |||||
Neurocrine Biosciences, Inc. | Morgan Stanley | (1,105) | (111,921) | (107,539) | 4,774 | |||||
NGM Biopharmaceuticals, Inc. | Morgan Stanley | (431) | (8,804) | (8,499) | 296 | |||||
Ocular Therapeutix, Inc. | Morgan Stanley | (5,564) | (78,294) | (78,898) | (696) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Organon & Co. | Morgan Stanley | (3,107) | $(93,883) | $(94,018) | $(246) | |||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (10,755) | (490,919) | (493,117) | (5,126) | |||||
Personalis, Inc. | Morgan Stanley | (17,715) | (474,040) | (448,189) | 24,176 | |||||
PPD, Inc. | Morgan Stanley | (4,064) | (188,010) | (187,310) | 476 | |||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (6,405) | (1,002,677) | (906,500) | 94,939 | |||||
Repare Therapeutics, Inc. (Canada) | Morgan Stanley | (4) | (131) | (125) | 8 | |||||
Repligen Corp. | Morgan Stanley | (3,558) | (699,595) | (710,248) | (11,491) | |||||
Revance Therapeutics, Inc. | Morgan Stanley | (4,892) | (129,929) | (144,999) | (15,224) | |||||
Scholar Rock Holding Corp. | Morgan Stanley | (2,055) | (59,110) | (59,389) | (349) | |||||
Seagen, Inc. | Morgan Stanley | (5,830) | (899,559) | (920,440) | (21,959) | |||||
Sorrento Therapeutics, Inc. | Morgan Stanley | (13,346) | (143,951) | (129,323) | 14,522 | |||||
TG Therapeutics, Inc. | Morgan Stanley | (299) | (11,472) | (11,598) | (138) | |||||
Theravance Biopharma, Inc. (Cayman Islands) | Morgan Stanley | (34,985) | (695,394) | (507,982) | 186,579 | |||||
Travere Therapeutics, Inc. | Morgan Stanley | (1,082) | (16,415) | (15,786) | 610 | |||||
Viatris, Inc. | Morgan Stanley | (80,340) | (1,175,095) | (1,148,059) | 16,259 | |||||
Vir Biotechnology, Inc. | Morgan Stanley | (557) | (26,033) | (26,335) | (331) | |||||
Xencor, Inc. | Morgan Stanley | (745) | (27,032) | (25,695) | 1,306 | |||||
Zomedica Corp. (Canada) | Morgan Stanley | (143,062) | (135,248) | (119,128) | 15,966 | |||||
(581,491) | (19,518,826) | (19,170,327) | 306,334 | |||||||
Retailing | ||||||||||
Bed Bath & Beyond, Inc. | Morgan Stanley | (12,188) | (372,640) | (405,739) | (36,716) | |||||
CarMax, Inc. | Morgan Stanley | (15,983) | (2,048,456) | (2,064,204) | (21,126) | |||||
Carvana Co. | Morgan Stanley | (2,714) | (699,993) | (819,139) | (122,473) | |||||
Children's Place, Inc. (The) | Morgan Stanley | (9,562) | (641,163) | (889,840) | (249,445) | |||||
Core-Mark Holding Co., Inc. | Morgan Stanley | (8,528) | (289,100) | (383,845) | (98,422) | |||||
Designer Brands, Inc., Class A | Morgan Stanley | (51,559) | (684,309) | (853,301) | (169,812) | |||||
Dollar General Corp. | Morgan Stanley | (12,384) | (2,544,164) | (2,679,774) | (138,661) | |||||
Dollar Tree, Inc. | Morgan Stanley | (2,386) | (241,824) | (237,407) | 6,147 | |||||
GrowGeneration Corp. | Morgan Stanley | (19,671) | (867,714) | (946,175) | (84,906) | |||||
Leslie's, Inc. | Morgan Stanley | (64,673) | (1,750,200) | (1,777,861) | (29,759) | |||||
Monro, Inc. | Morgan Stanley | (17,606) | (1,086,501) | (1,118,157) | (49,519) | |||||
Nordstrom, Inc. | Morgan Stanley | (22,066) | (515,772) | (806,954) | (291,799) | |||||
ODP Corp. (The) | Morgan Stanley | (2,491) | (122,530) | (119,593) | 2,792 | |||||
Pool Corp. | Morgan Stanley | (536) | (207,210) | (245,842) | (39,308) | |||||
Poshmark, Inc., Class A | Morgan Stanley | (3,821) | (174,438) | (182,415) | (8,184) | |||||
RealReal, Inc. (The) | Morgan Stanley | (42,867) | (1,022,445) | (847,052) | 174,168 | |||||
Ross Stores, Inc. | Morgan Stanley | (2,660) | (331,525) | (329,840) | 147 | |||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (59,345) | (1,029,702) | (1,309,744) | (292,301) | |||||
Stamps.com, Inc. | Morgan Stanley | (164) | (34,158) | (32,848) | 1,271 | |||||
Vroom, Inc. | Morgan Stanley | (18,383) | (682,263) | (769,512) | (88,067) | |||||
(369,587) | (15,346,107) | (16,819,242) | (1,535,973) | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (9,675) | (888,647) | (988,978) | (106,744) | |||||
Cohu, Inc. | Morgan Stanley | (825) | (30,280) | (30,352) | (106) | |||||
Cree, Inc. | Morgan Stanley | (8,519) | (877,556) | (834,266) | 41,833 | |||||
Diodes, Inc. | Morgan Stanley | (4,088) | (342,207) | (326,100) | 15,729 | |||||
Enphase Energy, Inc. | Morgan Stanley | (16,476) | (2,529,264) | (3,025,488) | (536,734) | |||||
FormFactor, Inc. | Morgan Stanley | (1,688) | (61,301) | (61,544) | (315) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
Lattice Semiconductor Corp. | Morgan Stanley | (2,942) | $(164,492) | $(165,282) | $(986) | |||||
Marvell Technology, Inc. | Morgan Stanley | (27,273) | (1,432,754) | (1,590,834) | (193,826) | |||||
Monolithic Power Systems, Inc. | Morgan Stanley | (395) | (146,898) | (147,513) | (802) | |||||
Silicon Laboratories, Inc. | Morgan Stanley | (11,895) | (1,686,384) | (1,822,909) | (144,134) | |||||
Teradyne, Inc. | Morgan Stanley | (2,433) | (322,668) | (325,925) | (3,642) | |||||
Xilinx, Inc. | Morgan Stanley | (6,919) | (905,469) | (1,000,764) | (96,380) | |||||
(93,128) | (9,387,920) | (10,319,955) | (1,026,107) | |||||||
Software & Services | ||||||||||
8x8, Inc. | Morgan Stanley | (30,025) | (587,714) | (833,494) | (247,025) | |||||
A10 Networks, Inc. | Morgan Stanley | (323) | (3,652) | (3,637) | 12 | |||||
Akamai Technologies, Inc. | Morgan Stanley | (4,629) | (508,196) | (539,741) | (32,154) | |||||
Alarm.com Holdings, Inc. | Morgan Stanley | (1,539) | (131,678) | (130,353) | 1,169 | |||||
Alteryx, Inc., Class A | Morgan Stanley | (25,585) | (2,950,946) | (2,200,822) | 750,120 | |||||
Anaplan, Inc. | Morgan Stanley | (18,482) | (1,060,835) | (985,091) | 74,473 | |||||
Appfolio, Inc., Class A | Morgan Stanley | (3,757) | (507,164) | (530,488) | (23,931) | |||||
Avalara, Inc. | Morgan Stanley | (2,403) | (305,999) | (388,805) | (83,172) | |||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (59,673) | (547,646) | (729,204) | (183,210) | |||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (7,742) | (290,855) | (287,073) | 3,434 | |||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (20,058) | (1,848,590) | (1,923,963) | (77,590) | |||||
Citrix Systems, Inc. | Morgan Stanley | (14,139) | (1,710,175) | (1,658,081) | 45,577 | |||||
Conduent, Inc. | Morgan Stanley | (65,436) | (367,337) | (490,770) | (131,033) | |||||
Coupa Software, Inc. | Morgan Stanley | (3,677) | (951,341) | (963,778) | (14,249) | |||||
Dynatrace, Inc. | Morgan Stanley | (3,798) | (218,530) | (221,879) | (3,610) | |||||
Euronet Worldwide, Inc. | Morgan Stanley | (4,583) | (676,190) | (620,309) | 54,997 | |||||
Evo Payments, Inc., Class A | Morgan Stanley | (5,321) | (148,187) | (147,605) | 352 | |||||
Fastly, Inc., Class A | Morgan Stanley | (15,491) | (1,085,397) | (923,264) | 160,833 | |||||
FleetCor Technologies, Inc. | Morgan Stanley | (791) | (226,940) | (202,543) | 29,492 | |||||
Global Payments, Inc. | Morgan Stanley | (693) | (133,782) | (129,965) | 3,658 | |||||
Globant S.A. (Luxembourg) | Morgan Stanley | (871) | (196,016) | (190,906) | 4,877 | |||||
GoDaddy, Inc., Class A | Morgan Stanley | (7,953) | (683,358) | (691,593) | (9,053) | |||||
Guidewire Software, Inc. | Morgan Stanley | (9,705) | (1,050,393) | (1,093,948) | (49,523) | |||||
InterDigital, Inc. | Morgan Stanley | (1,371) | (113,179) | (100,124) | 13,776 | |||||
Jack Henry & Associates, Inc. | Morgan Stanley | (2,876) | (474,710) | (470,255) | 3,887 | |||||
LiveRamp Holdings, Inc. | Morgan Stanley | (17,096) | (845,463) | (800,948) | 43,503 | |||||
McAfee Corp., Class A | Morgan Stanley | (12,990) | (366,510) | (363,980) | 824 | |||||
Medallia, Inc. | Morgan Stanley | (29,941) | (911,694) | (1,010,509) | (105,853) | |||||
Model N, Inc. | Morgan Stanley | (4,990) | (173,321) | (171,007) | 2,107 | |||||
New Relic, Inc. | Morgan Stanley | (12,045) | (744,207) | (806,654) | (64,226) | |||||
Okta, Inc. | Morgan Stanley | (2,898) | (674,160) | (709,083) | (35,730) | |||||
PagerDuty, Inc. | Morgan Stanley | (10,086) | (406,298) | (429,462) | (24,105) | |||||
Paycom Software, Inc. | Morgan Stanley | (3,342) | (1,272,080) | (1,214,717) | 55,839 | |||||
Paylocity Holding Corp. | Morgan Stanley | (2,326) | (430,841) | (443,801) | (13,475) | |||||
Ping Identity Holding Corp. | Morgan Stanley | (70,052) | (2,200,513) | (1,604,191) | 593,684 | |||||
PROS Holdings, Inc. | Morgan Stanley | (17,989) | (737,321) | (819,759) | (83,708) | |||||
Q2 Holdings, Inc. | Morgan Stanley | (5,195) | (642,395) | (532,903) | 109,347 | |||||
Qualys, Inc. | Morgan Stanley | (2,199) | (287,060) | (221,417) | 65,300 | |||||
Rackspace Technology, Inc. | Morgan Stanley | (37,023) | (879,274) | (726,021) | 152,361 | |||||
RingCentral, Inc., Class A | Morgan Stanley | (3,370) | (1,035,823) | (979,255) | 53,519 | |||||
Sabre Corp. | Morgan Stanley | (65,981) | (887,104) | (823,443) | 62,598 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (9,453) | $(817,340) | $(885,935) | $(69,574) | |||||
SolarWinds Corp. | Morgan Stanley | (47,539) | (798,486) | (802,934) | (5,404) | |||||
Splunk, Inc. | Morgan Stanley | (10,485) | (1,751,649) | (1,515,921) | 259,732 | |||||
Sumo Logic, Inc. | Morgan Stanley | (7,902) | (152,709) | (163,176) | (11,367) | |||||
Switch, Inc., Class A | Morgan Stanley | (36,293) | (647,467) | (766,145) | (127,050) | |||||
Sykes Enterprises, Inc. | Morgan Stanley | (360) | (19,261) | (19,332) | (93) | |||||
Telos Corp. | Morgan Stanley | (7,072) | (245,497) | (240,519) | 4,685 | |||||
Trade Desk, Inc. (The), Class A | Morgan Stanley | (22,536) | (1,383,541) | (1,743,385) | (361,502) | |||||
Tucows, Inc., Class A | Morgan Stanley | (3,969) | (247,415) | (318,790) | (71,688) | |||||
Twilio, Inc., Class A | Morgan Stanley | (1,040) | (327,844) | (409,926) | (82,474) | |||||
Tyler Technologies, Inc. | Morgan Stanley | (2,937) | (1,292,025) | (1,328,611) | (38,134) | |||||
Upland Software, Inc. | Morgan Stanley | (8,418) | (349,002) | (346,569) | 2,016 | |||||
Verra Mobility Corp. | Morgan Stanley | (57,329) | (739,290) | (881,147) | (142,742) | |||||
Vonage Holdings Corp. | Morgan Stanley | (12,657) | (185,719) | (182,387) | 3,110 | |||||
WEX, Inc. | Morgan Stanley | (8,895) | (1,769,563) | (1,724,740) | 42,600 | |||||
Workday, Inc., Class A | Morgan Stanley | (1,456) | (331,627) | (347,605) | (16,375) | |||||
Yext, Inc. | Morgan Stanley | (102,116) | (1,676,377) | (1,459,238) | 215,130 | |||||
Zuora, Inc., Class A | Morgan Stanley | (13,913) | (165,148) | (239,999) | (81,571) | |||||
(962,814) | (42,172,834) | (41,491,200) | 623,391 | |||||||
Technology Hardware & Equipment | ||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (282) | (31,993) | (31,784) | 172 | |||||
Amphenol Corp., Class A | Morgan Stanley | (5,961) | (408,607) | (407,792) | (556) | |||||
Arista Networks, Inc. | Morgan Stanley | (5,946) | (1,984,870) | (2,154,295) | (180,993) | |||||
Avnet, Inc. | Morgan Stanley | (10,817) | (470,230) | (433,545) | 34,046 | |||||
Calix, Inc. | Morgan Stanley | (1,147) | (54,973) | (54,482) | 426 | |||||
CommScope Holding Co., Inc. | Morgan Stanley | (86,275) | (1,351,668) | (1,838,520) | (495,426) | |||||
Fabrinet (Cayman Islands) | Morgan Stanley | (9,989) | (785,677) | (957,645) | (172,909) | |||||
FARO Technologies, Inc. | Morgan Stanley | (1,249) | (94,059) | (97,135) | (3,187) | |||||
II-VI, Inc. | Morgan Stanley | (1,078) | (78,337) | (78,252) | (8) | |||||
Infinera Corp. | Morgan Stanley | (16,367) | (128,001) | (166,943) | (40,858) | |||||
Inseego Corp. | Morgan Stanley | (56,351) | (534,506) | (568,582) | (34,715) | |||||
Insight Enterprises, Inc. | Morgan Stanley | (8,158) | (441,649) | (815,882) | (383,289) | |||||
IPG Photonics Corp. | Morgan Stanley | (1,887) | (412,575) | (397,723) | 14,359 | |||||
Jabil, Inc. | Morgan Stanley | (3,994) | (229,690) | (232,131) | (2,715) | |||||
Littelfuse, Inc. | Morgan Stanley | (1,405) | (370,921) | (357,980) | 11,879 | |||||
Methode Electronics, Inc. | Morgan Stanley | (134) | (6,514) | (6,594) | (87) | |||||
National Instruments Corp. | Morgan Stanley | (24,801) | (1,029,744) | (1,048,586) | (24,570) | |||||
nLight, Inc. | Morgan Stanley | (16,546) | (377,249) | (600,289) | (226,563) | |||||
PC Connection, Inc. | Morgan Stanley | (552) | (26,185) | (25,541) | 614 | |||||
Pure Storage, Inc., Class A | Morgan Stanley | (35,224) | (838,402) | (687,925) | 155,669 | |||||
Ribbon Communications, Inc. | Morgan Stanley | (6,183) | (44,326) | (47,053) | (2,778) | |||||
Super Micro Computer, Inc. | Morgan Stanley | (8,055) | (257,072) | (283,375) | (26,610) | |||||
Trimble, Inc. | Morgan Stanley | (2,092) | (171,770) | (171,188) | 377 | |||||
Viasat, Inc. | Morgan Stanley | (5,412) | (214,270) | (269,734) | (55,731) | |||||
Western Digital Corp. | Morgan Stanley | (15,367) | (1,167,886) | (1,093,669) | 72,817 | |||||
(325,272) | (11,511,174) | (12,826,645) | (1,360,636) | |||||||
Telecommunication Services | ||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (6,586) | (452,912) | (506,398) | (69,756) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Telecommunication Services — (continued) | ||||||||||
Globalstar, Inc. | Morgan Stanley | (169,373) | $(234,909) | $(301,484) | $(66,855) | |||||
Shenandoah Telecommunications Co. | Morgan Stanley | (3,432) | (169,768) | (166,486) | 2,354 | |||||
United States Cellular Corp. | Morgan Stanley | (5,602) | (183,854) | (203,409) | (19,773) | |||||
(184,993) | (1,041,443) | (1,177,777) | (154,030) | |||||||
Transportation | ||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (27,287) | (661,019) | (633,877) | 26,350 | |||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (24,679) | (2,430,025) | (2,311,682) | 105,463 | |||||
Delta Air Lines, Inc. | Morgan Stanley | (3,410) | (147,276) | (147,517) | (415) | |||||
Hawaiian Holdings, Inc. | Morgan Stanley | (23,083) | (358,882) | (562,533) | (204,079) | |||||
JetBlue Airways Corp. | Morgan Stanley | (24,206) | (436,003) | (406,177) | 29,305 | |||||
Kirby Corp. | Morgan Stanley | (3,813) | (225,194) | (231,220) | (8,578) | |||||
Landstar System, Inc. | Morgan Stanley | (3,481) | (608,098) | (550,068) | 57,854 | |||||
Uber Technologies, Inc. | Morgan Stanley | (66,338) | (3,320,857) | (3,324,861) | (7,986) | |||||
United Airlines Holdings, Inc. | Morgan Stanley | (2,998) | (162,904) | (156,765) | 5,945 | |||||
XPO Logistics, Inc. | Morgan Stanley | (1,372) | (195,434) | (191,929) | 2,864 | |||||
(180,667) | (8,545,692) | (8,516,629) | 6,723 | |||||||
Utilities | ||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (29,815) | (471,543) | (443,647) | 22,483 | |||||
ALLETE, Inc. | Morgan Stanley | (12,581) | (750,054) | (880,418) | (162,725) | |||||
Ameren Corp. | Morgan Stanley | (11,006) | (891,531) | (880,920) | (5,704) | |||||
Atmos Energy Corp. | Morgan Stanley | (2,472) | (224,746) | (237,584) | (16,170) | |||||
Avangrid, Inc. | Morgan Stanley | (10,045) | (483,298) | (516,614) | (46,551) | |||||
Black Hills Corp. | Morgan Stanley | (12,489) | (809,444) | (819,653) | (24,944) | |||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (6,659) | (271,492) | (279,278) | (9,090) | |||||
California Water Service Group | Morgan Stanley | (2,398) | (114,791) | (133,185) | (20,185) | |||||
CenterPoint Energy, Inc. | Morgan Stanley | (10,924) | (226,320) | (267,856) | (43,634) | |||||
Clearway Energy, Inc., Class A | Morgan Stanley | (12,696) | (316,735) | (320,193) | (11,700) | |||||
Consolidated Edison, Inc. | Morgan Stanley | (17,899) | (1,254,123) | (1,283,716) | (44,057) | |||||
Edison International | Morgan Stanley | (8,902) | (522,503) | (514,714) | (5,343) | |||||
Entergy Corp. | Morgan Stanley | (5,195) | (557,544) | (517,941) | 26,977 | |||||
Essential Utilities, Inc. | Morgan Stanley | (5,686) | (263,834) | (259,850) | (815) | |||||
Evergy, Inc. | Morgan Stanley | (18,327) | (1,115,164) | (1,107,501) | (1,958) | |||||
Eversource Energy | Morgan Stanley | (11,724) | (987,436) | (940,734) | 37,225 | |||||
FirstEnergy Corp. | Morgan Stanley | (29,377) | (1,059,448) | (1,093,118) | (40,832) | |||||
Fortis, Inc. (Canada) | Morgan Stanley | (4,070) | (186,465) | (180,016) | 6,409 | |||||
Middlesex Water Co. | Morgan Stanley | (469) | (39,547) | (38,331) | 1,170 | |||||
New Jersey Resources Corp. | Morgan Stanley | (4,502) | (150,143) | (178,144) | (36,731) | |||||
NiSource, Inc. | Morgan Stanley | (49,169) | (1,253,641) | (1,204,640) | 47,498 | |||||
Northwest Natural Holding Co. | Morgan Stanley | (10,285) | (512,340) | (540,168) | (33,381) | |||||
NorthWestern Corp. | Morgan Stanley | (7,845) | (488,841) | (472,426) | 8,351 | |||||
OGE Energy Corp. | Morgan Stanley | (21,821) | (742,379) | (734,277) | 7,213 | |||||
ONE Gas, Inc. | Morgan Stanley | (1,514) | (118,402) | (112,218) | 5,094 | |||||
Ormat Technologies, Inc. | Morgan Stanley | (2,598) | (246,029) | (180,639) | 65,269 | |||||
Otter Tail Corp. | Morgan Stanley | (2,329) | (104,488) | (113,678) | (10,227) | |||||
Pinnacle West Capital Corp. | Morgan Stanley | (9,438) | (810,424) | (773,633) | 35,821 | |||||
PNM Resources, Inc. | Morgan Stanley | (8,820) | (432,344) | (430,151) | 772 | |||||
Portland General Electric Co. | Morgan Stanley | (9,965) | (451,400) | (459,187) | (19,320) | |||||
PPL Corp. | Morgan Stanley | (24,821) | (715,646) | (694,243) | 5,459 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Utilities — (continued) | ||||||||||
Sempra Energy | Morgan Stanley | (10,108) | $(1,358,135) | $(1,339,108) | $3,002 | |||||
SJW Group | Morgan Stanley | (3,732) | (245,971) | (236,236) | 4,524 | |||||
South Jersey Industries, Inc. | Morgan Stanley | (18,388) | (491,807) | (476,801) | 10,064 | |||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (10,175) | (688,878) | (673,483) | 7,775 | |||||
Spire, Inc. | Morgan Stanley | (5,383) | (393,398) | (389,029) | 1,597 | |||||
Vistra Corp. | Morgan Stanley | (80,084) | (1,318,988) | (1,485,558) | (180,068) | |||||
WEC Energy Group, Inc. | Morgan Stanley | (8,342) | (707,096) | (742,021) | (43,634) | |||||
(502,053) | (21,776,368) | (21,950,909) | (460,366) | |||||||
Total Reference Entity — Short | (285,490,412) | (292,698,048) | (8,561,257) | |||||||
Net Value of Reference Entity | $(188,912,739) | $(170,303,555) | $18,096,593 |
* | Includes $(512,591) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Long | ||||||||||
Automobiles & Components | ||||||||||
Adient PLC (Ireland) | Morgan Stanley | 7,129 | $173,380 | $322,231 | $148,972 | |||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 17,185 | 131,831 | 177,865 | 46,103 | |||||
Aptiv PLC (Jersey) | Morgan Stanley | 2,165 | 307,564 | 340,619 | 33,260 | |||||
Ford Motor Co. | Morgan Stanley | 78,964 | 725,450 | 1,173,405 | 448,419 | |||||
General Motors Co. | Morgan Stanley | 23,196 | 1,082,912 | 1,372,507 | 290,281 | |||||
Gentex Corp. | Morgan Stanley | 6,831 | 239,661 | 226,038 | (13,190) | |||||
Gentherm, Inc. | Morgan Stanley | 733 | 27,134 | 52,080 | 25,774 | |||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 4,220 | 79,759 | 72,373 | (7,322) | |||||
Harley-Davidson, Inc. | Morgan Stanley | 892 | 42,544 | 40,871 | (1,519) | |||||
Standard Motor Products, Inc. | Morgan Stanley | 26 | 1,126 | 1,127 | 24 | |||||
Tenneco, Inc., Class A | Morgan Stanley | 3,265 | 42,326 | 63,080 | 20,794 | |||||
Visteon Corp. | Morgan Stanley | 834 | 67,343 | 100,864 | 34,103 | |||||
Winnebago Industries, Inc. | Morgan Stanley | 1,846 | 117,373 | 125,454 | 8,627 | |||||
XPEL, Inc. | 15 | 1,269 | 1,258 | 4 | ||||||
147,301 | 3,039,672 | 4,069,772 | 1,034,330 | |||||||
Capital Goods | ||||||||||
3M Co. | Morgan Stanley | 3,883 | 641,643 | 771,280 | 149,075 | |||||
A O Smith Corp. | Morgan Stanley | 4,327 | 263,151 | 311,804 | 50,113 | |||||
AAR Corp. | Morgan Stanley | 546 | 10,710 | 21,158 | 10,468 | |||||
Acuity Brands, Inc. | Morgan Stanley | 328 | 28,918 | 61,346 | 32,707 | |||||
Advanced Drainage Systems, Inc. | Morgan Stanley | 1,371 | 76,411 | 159,817 | 83,954 | |||||
AECOM | Morgan Stanley | 2,653 | 86,939 | 167,988 | 81,117 | |||||
AeroVironment, Inc. | Morgan Stanley | 1,553 | 167,625 | 155,533 | (12,377) | |||||
AGCO Corp. | Morgan Stanley | 18 | 2,313 | 2,347 | 49 | |||||
Allegion PLC (Ireland) | Morgan Stanley | 271 | 37,510 | 37,750 | 360 | |||||
Altra Industrial Motion Corp. | Morgan Stanley | 502 | 27,135 | 32,640 | 6,036 | |||||
AMETEK, Inc. | Morgan Stanley | 1,394 | 153,923 | 186,099 | 33,510 | |||||
Apogee Enterprises, Inc. | Morgan Stanley | 1,140 | 25,423 | 46,432 | 21,711 | |||||
Applied Industrial Technologies, Inc. | Morgan Stanley | 369 | 19,591 | 33,601 | 14,559 | |||||
Atkore, Inc. | Morgan Stanley | 4,361 | 195,090 | 309,631 | 114,676 | |||||
Barnes Group, Inc. | Morgan Stanley | 456 | 16,112 | 23,370 | 7,600 | |||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 3,223 | 181,537 | 171,625 | (9,786) | |||||
Boise Cascade Co. | Morgan Stanley | 2,962 | 180,691 | 172,833 | (6,983) | |||||
CAE, Inc. (Canada) | Morgan Stanley | 19 | 577 | 585 | 23 | |||||
Caterpillar, Inc. | Morgan Stanley | 1,017 | 233,605 | 221,330 | (11,847) | |||||
Chart Industries, Inc. | Morgan Stanley | 315 | 43,480 | 46,091 | 2,652 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Colfax Corp. | Morgan Stanley | 1,866 | $28,383 | $85,481 | $60,248 | |||||
Columbus McKinnon Corp. | Morgan Stanley | 231 | 11,337 | 11,143 | (173) | |||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 787 | 64,622 | 62,008 | (2,528) | |||||
Cummins, Inc. | Morgan Stanley | 2,555 | 578,476 | 622,935 | 51,777 | |||||
Curtiss-Wright Corp. | Morgan Stanley | 708 | 74,259 | 84,082 | 10,117 | |||||
Deere & Co. | Morgan Stanley | 1,104 | 159,329 | 389,392 | 234,672 | |||||
Donaldson Co., Inc. | Morgan Stanley | 915 | 50,100 | 58,130 | 8,829 | |||||
Douglas Dynamics, Inc. | Morgan Stanley | 120 | 5,131 | 4,883 | (205) | |||||
Dover Corp. | Morgan Stanley | 1,095 | 109,361 | 164,907 | 58,057 | |||||
Dycom Industries, Inc. | Morgan Stanley | 1,163 | 64,362 | 86,678 | 22,371 | |||||
EMCOR Group, Inc. | Morgan Stanley | 536 | 49,874 | 66,030 | 16,347 | |||||
Emerson Electric Co. | Morgan Stanley | 3,554 | 222,243 | 342,037 | 129,171 | |||||
Enerpac Tool Group Corp. | Morgan Stanley | 25 | 672 | 666 | 8 | |||||
EnerSys | Morgan Stanley | 1,155 | 108,502 | 112,878 | 4,633 | |||||
EnPro Industries, Inc. | Morgan Stanley | 298 | 13,572 | 28,951 | 16,382 | |||||
Flowserve Corp. | Morgan Stanley | 1,324 | 28,495 | 53,384 | 26,420 | |||||
Fortive Corp. | Morgan Stanley | 2,445 | 146,998 | 170,514 | 24,134 | |||||
Fortune Brands Home & Security, Inc. | Morgan Stanley | 386 | 15,824 | 38,449 | 31,633 | |||||
Franklin Electric Co., Inc. | Morgan Stanley | 568 | 27,724 | 45,792 | 18,474 | |||||
Generac Holdings, Inc. | Morgan Stanley | 1,501 | 455,695 | 623,140 | 172,013 | |||||
General Dynamics Corp. | Morgan Stanley | 1,350 | 202,042 | 254,151 | 53,840 | |||||
Gibraltar Industries, Inc. | Morgan Stanley | 205 | 8,562 | 15,644 | 7,224 | |||||
Global Industrial Co. | Morgan Stanley | 1,697 | 37,363 | 62,297 | 25,499 | |||||
Gorman-Rupp Co. (The) | Morgan Stanley | 4 | 138 | 138 | 14 | |||||
Granite Construction, Inc. | Morgan Stanley | 3,390 | 132,506 | 140,787 | 8,935 | |||||
Herc Holdings, Inc. | Morgan Stanley | 1,473 | 71,311 | 165,079 | 94,833 | |||||
Hillenbrand, Inc. | Morgan Stanley | 2,261 | 108,089 | 99,665 | (7,878) | |||||
Honeywell International, Inc. | Morgan Stanley | 3,034 | 495,463 | 665,508 | 178,608 | |||||
Howmet Aerospace, Inc. | Morgan Stanley | 23,907 | 363,142 | 824,074 | 465,806 | |||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 334 | 51,946 | 70,390 | 19,454 | |||||
IES Holdings, Inc. | Morgan Stanley | 5 | 259 | 257 | 12 | |||||
Ingersoll Rand, Inc. | Morgan Stanley | 5,453 | 266,377 | 266,161 | (332) | |||||
ITT, Inc. | Morgan Stanley | 270 | 24,305 | 24,729 | 460 | |||||
John Bean Technologies Corp. | Morgan Stanley | 953 | 108,917 | 135,917 | 27,271 | |||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 5,455 | 275,949 | 374,377 | 102,363 | |||||
Kaman Corp. | Morgan Stanley | 39 | 2,020 | 1,966 | (39) | |||||
Lennox International, Inc. | Morgan Stanley | 289 | 95,369 | 101,381 | 6,579 | |||||
Lockheed Martin Corp. | Morgan Stanley | 1,719 | 607,764 | 650,384 | 54,014 | |||||
Masco Corp. | Morgan Stanley | 4,486 | 182,268 | 264,270 | 87,914 | |||||
Masonite International Corp. (Canada) | Morgan Stanley | 290 | 32,518 | 32,419 | (67) | |||||
MasTec, Inc. | Morgan Stanley | 1,456 | 138,906 | 154,482 | 15,676 | |||||
Middleby Corp. (The) | Morgan Stanley | 383 | 56,301 | 66,359 | 10,589 | |||||
MRC Global, Inc. | Morgan Stanley | 4,573 | 52,676 | 42,986 | (9,717) | |||||
Mueller Industries, Inc. | Morgan Stanley | 480 | 12,231 | 20,789 | 8,866 | |||||
MYR Group, Inc. | Morgan Stanley | 358 | 28,958 | 32,549 | 3,623 | |||||
Nordson Corp. | Morgan Stanley | 388 | 77,582 | 85,170 | 7,808 | |||||
Northrop Grumman Corp. | Morgan Stanley | 3,142 | 1,103,582 | 1,141,897 | 44,586 | |||||
NOW, Inc. | Morgan Stanley | 9,188 | 58,027 | 87,194 | 29,217 | |||||
nVent Electric PLC (Ireland) | Morgan Stanley | 229 | 7,010 | 7,154 | 163 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Oshkosh Corp. | Morgan Stanley | 749 | $96,479 | $93,355 | $(3,050) | |||||
Owens Corning | Morgan Stanley | 3,987 | 349,352 | 390,327 | 41,926 | |||||
Parker-Hannifin Corp. | Morgan Stanley | 1,547 | 391,968 | 475,099 | 86,063 | |||||
Pentair PLC (Ireland) | Morgan Stanley | 7,496 | 349,503 | 505,905 | 161,400 | |||||
Quanta Services, Inc. | Morgan Stanley | 984 | 53,274 | 89,121 | 36,094 | |||||
Regal Beloit Corp. | Morgan Stanley | 154 | 18,503 | 20,561 | 2,231 | |||||
Resideo Technologies, Inc. | Morgan Stanley | 902 | 26,710 | 27,060 | 380 | |||||
Rush Enterprises, Inc., Class A | Morgan Stanley | 106 | 4,513 | 4,583 | 88 | |||||
Sensata Technologies Holding PLC (United Kingdom) | Morgan Stanley | 515 | 29,690 | 29,855 | 197 | |||||
Simpson Manufacturing Co., Inc. | Morgan Stanley | 579 | 33,946 | 63,945 | 30,841 | |||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 449 | 73,444 | 75,998 | 2,613 | |||||
Snap-on, Inc. | Morgan Stanley | 1,820 | 302,100 | 406,643 | 112,854 | |||||
SPX FLOW, Inc. | Morgan Stanley | 4,798 | 165,986 | 313,022 | 147,982 | |||||
Standex International Corp. | Morgan Stanley | 22 | 2,061 | 2,088 | 42 | |||||
Stanley Black & Decker, Inc. | Morgan Stanley | 3,470 | 643,855 | 711,315 | 71,384 | |||||
Teledyne Technologies, Inc. | Morgan Stanley | 380 | 156,863 | 159,155 | 2,403 | |||||
Tennant Co. | Morgan Stanley | 153 | 12,601 | 12,217 | (343) | |||||
Terex Corp. | Morgan Stanley | 5,805 | 222,412 | 276,434 | 55,077 | |||||
Textron, Inc. | Morgan Stanley | 2,823 | 189,911 | 194,138 | 4,400 | |||||
Toro Co. (The) | Morgan Stanley | 1,093 | 103,789 | 120,099 | 17,055 | |||||
TPI Composites, Inc. | Morgan Stanley | 2,101 | 89,120 | 101,730 | 16,242 | |||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 2,527 | 240,666 | 465,322 | 231,177 | |||||
TriMas Corp. | Morgan Stanley | 13 | 391 | 394 | 17 | |||||
UFP Industries, Inc. | Morgan Stanley | 319 | 17,277 | 23,714 | 6,510 | |||||
United Rentals, Inc. | Morgan Stanley | 1,412 | 255,749 | 450,442 | 194,865 | |||||
Univar Solutions, Inc. | Morgan Stanley | 2,468 | 30,899 | 60,170 | 29,809 | |||||
Valmont Industries, Inc. | Morgan Stanley | 161 | 17,037 | 38,004 | 21,630 | |||||
Watsco, Inc. | Morgan Stanley | 179 | 40,108 | 51,309 | 11,987 | |||||
Watts Water Technologies, Inc., Class A | Morgan Stanley | 390 | 44,354 | 56,905 | 13,719 | |||||
Xylem, Inc. | Morgan Stanley | 226 | 21,665 | 27,111 | 5,580 | |||||
177,483 | 13,193,150 | 17,018,935 | 3,986,491 | |||||||
Commercial & Professional Services | ||||||||||
ABM Industries, Inc. | Morgan Stanley | 4,321 | 176,827 | 191,636 | 17,324 | |||||
ASGN, Inc. | Morgan Stanley | 267 | 26,018 | 25,880 | (108) | |||||
Brady Corp., Class A | Morgan Stanley | 120 | 6,763 | 6,725 | (20) | |||||
BrightView Holdings, Inc. | Morgan Stanley | 24 | 390 | 387 | 11 | |||||
Brink's Co. (The) | Morgan Stanley | 670 | 51,296 | 51,483 | 295 | |||||
CACI International, Inc., Class A | Morgan Stanley | 119 | 25,321 | 30,359 | 5,068 | |||||
Cimpress PLC (Ireland) | Morgan Stanley | 1,522 | 75,942 | 165,000 | 90,796 | |||||
Cintas Corp. | Morgan Stanley | 490 | 145,855 | 187,180 | 43,883 | |||||
Clean Harbors, Inc. | Morgan Stanley | 609 | 32,760 | 56,722 | 23,996 | |||||
Copart, Inc. | Morgan Stanley | 1,034 | 129,947 | 136,312 | 6,460 | |||||
Driven Brands Holdings, Inc. | Morgan Stanley | 6 | 184 | 186 | 16 | |||||
Healthcare Services Group, Inc. | Morgan Stanley | 6,242 | 153,984 | 197,060 | 48,668 | |||||
Heidrick & Struggles International, Inc. | Morgan Stanley | 3 | 133 | 134 | 14 | |||||
Herman Miller, Inc. | Morgan Stanley | 54 | 2,463 | 2,546 | 98 | |||||
HNI Corp. | Morgan Stanley | 1,113 | 49,410 | 48,939 | (260) | |||||
IAA, Inc. | Morgan Stanley | 680 | 36,665 | 37,087 | 459 | |||||
ICF International, Inc. | Morgan Stanley | 342 | 30,743 | 30,048 | (601) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Commercial & Professional Services — (continued) | ||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 82 | $9,222 | $9,238 | $35 | |||||
Interface, Inc. | Morgan Stanley | 435 | 6,744 | 6,656 | (71) | |||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 950 | 105,010 | 126,749 | 22,359 | |||||
KAR Auction Services, Inc. | Morgan Stanley | 166 | 2,933 | 2,913 | (85) | |||||
Leidos Holdings, Inc. | Morgan Stanley | 2,020 | 208,822 | 204,222 | (3,831) | |||||
ManpowerGroup, Inc. | Morgan Stanley | 520 | 35,312 | 61,833 | 28,004 | |||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 27,802 | 647,619 | 685,875 | 40,153 | |||||
Republic Services, Inc. | Morgan Stanley | 3,471 | 274,642 | 381,845 | 114,566 | |||||
Robert Half International, Inc. | Morgan Stanley | 1,032 | 69,894 | 91,817 | 22,805 | |||||
Rollins, Inc. | Morgan Stanley | 4,286 | 144,752 | 146,581 | 1,991 | |||||
Science Applications International Corp. | Morgan Stanley | 182 | 12,998 | 15,967 | 4,055 | |||||
Steelcase, Inc., Class A | Morgan Stanley | 751 | 8,350 | 11,348 | 3,181 | |||||
Tetra Tech, Inc. | Morgan Stanley | 185 | 14,427 | 22,577 | 8,319 | |||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 2,113 | 176,650 | 209,863 | 35,250 | |||||
TriNet Group, Inc. | Morgan Stanley | 646 | 36,101 | 46,822 | 10,750 | |||||
62,257 | 2,698,177 | 3,191,990 | 523,580 | |||||||
Consumer Durables & Apparel | ||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 225 | 11,021 | 11,115 | 114 | |||||
BRP, Inc., sub-voting shares (Canada) | Morgan Stanley | 336 | 26,567 | 26,329 | (207) | |||||
Brunswick Corp. | Morgan Stanley | 2,792 | 188,485 | 278,139 | 90,811 | |||||
Capri Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 5,508 | 83,440 | 315,003 | 231,628 | |||||
Carter's, Inc. | Morgan Stanley | 457 | 35,516 | 47,149 | 11,852 | |||||
Cavco Industries, Inc. | Morgan Stanley | 370 | 63,920 | 82,210 | 19,052 | |||||
Deckers Outdoor Corp. | Morgan Stanley | 99 | 25,058 | 38,023 | 18,377 | |||||
DR Horton, Inc. | Morgan Stanley | 5,655 | 241,575 | 511,042 | 274,219 | |||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 1,677 | 129,621 | 242,561 | 117,647 | |||||
GoPro, Inc., Class A | Morgan Stanley | 4,837 | 53,743 | 56,351 | 2,655 | |||||
Hasbro, Inc. | Morgan Stanley | 422 | 39,740 | 39,887 | 349 | |||||
Kontoor Brands, Inc. | Morgan Stanley | 4,295 | 86,468 | 242,281 | 161,034 | |||||
La-Z-Boy, Inc. | Morgan Stanley | 1,364 | 43,122 | 50,523 | 8,084 | |||||
Mattel, Inc. | Morgan Stanley | 8,635 | 135,986 | 173,563 | 37,675 | |||||
Mohawk Industries, Inc. | Morgan Stanley | 1,785 | 135,206 | 343,059 | 208,804 | |||||
Newell Brands, Inc. | Morgan Stanley | 3,725 | 80,907 | 102,326 | 23,416 | |||||
NIKE, Inc., Class B | Morgan Stanley | 3,969 | 454,838 | 613,171 | 162,266 | |||||
Polaris, Inc. | Morgan Stanley | 1,419 | 157,387 | 194,346 | 38,834 | |||||
PulteGroup, Inc. | Morgan Stanley | 1,536 | 45,911 | 83,820 | 38,892 | |||||
PVH Corp. | Morgan Stanley | 1,578 | 94,927 | 169,777 | 74,922 | |||||
Skyline Champion Corp. | Morgan Stanley | 3,427 | 138,640 | 182,659 | 44,119 | |||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 5,581 | 89,758 | 193,661 | 105,008 | |||||
Sonos, Inc. | Morgan Stanley | 5,863 | 221,032 | 206,553 | (14,509) | |||||
Steven Madden Ltd. | Morgan Stanley | 3,662 | 76,732 | 160,249 | 87,519 | |||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 1,618 | 104,261 | 145,588 | 44,618 | |||||
Tapestry, Inc. | Morgan Stanley | 769 | 28,818 | 33,436 | 4,727 | |||||
Tempur Sealy International, Inc. | Morgan Stanley | 3,020 | 46,298 | 118,354 | 78,320 | |||||
Tupperware Brands Corp. | Morgan Stanley | 4,975 | 81,303 | 118,156 | 36,917 | |||||
Under Armour, Inc., Class C | Morgan Stanley | 2,278 | 41,390 | 42,302 | 954 | |||||
Whirlpool Corp. | Morgan Stanley | 1,226 | 256,978 | 267,293 | 13,152 | |||||
YETI Holdings, Inc. | Morgan Stanley | 1,035 | 51,423 | 95,034 | 43,657 | |||||
84,138 | 3,270,071 | 5,183,960 | 1,964,906 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Services | ||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 6,011 | $196,620 | $214,232 | $17,747 | |||||
Bloomin' Brands, Inc. | Morgan Stanley | 15,657 | 158,057 | 424,931 | 266,662 | |||||
Booking Holdings, Inc. | Morgan Stanley | 70 | 155,597 | 153,166 | (2,320) | |||||
Boyd Gaming Corp. | Morgan Stanley | 4,371 | 64,187 | 268,773 | 204,686 | |||||
Brinker International, Inc. | Morgan Stanley | 3,531 | 212,062 | 218,392 | 6,074 | |||||
Caesars Entertainment, Inc. | Morgan Stanley | 2,183 | 224,798 | 226,486 | 1,842 | |||||
Chegg, Inc. | Morgan Stanley | 254 | 18,813 | 21,110 | 2,373 | |||||
Darden Restaurants, Inc. | Morgan Stanley | 1,192 | 169,999 | 174,020 | 4,140 | |||||
Dine Brands Global, Inc. | Morgan Stanley | 4,217 | 148,821 | 376,367 | 228,690 | |||||
Everi Holdings, Inc. | Morgan Stanley | 1,203 | 21,513 | 30,003 | 8,800 | |||||
Expedia Group, Inc. | Morgan Stanley | 1,855 | 313,743 | 303,682 | (10,061) | |||||
Golden Entertainment, Inc. | Morgan Stanley | 458 | 20,034 | 20,518 | 511 | |||||
Graham Holdings Co., Class B | Morgan Stanley | 122 | 73,143 | 77,336 | 4,379 | |||||
Grand Canyon Education, Inc. | Morgan Stanley | 1,346 | 132,765 | 121,100 | (11,569) | |||||
International Game Technology PLC (United Kingdom) | Morgan Stanley | 1,768 | 43,042 | 42,361 | (640) | |||||
Jack in the Box, Inc. | Morgan Stanley | 829 | 73,663 | 92,384 | 19,916 | |||||
Marriott International, Inc., Class A | Morgan Stanley | 3,553 | 496,094 | 485,056 | (10,714) | |||||
McDonald's Corp. | Morgan Stanley | 879 | 187,764 | 203,040 | 19,687 | |||||
MGM Resorts International | Morgan Stanley | 80 | 1,291 | 3,412 | 2,145 | |||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | 1,162 | 16,990 | 34,174 | 17,208 | |||||
Penn National Gaming, Inc. | Morgan Stanley | 4,252 | 389,536 | 325,235 | (64,044) | |||||
Perdoceo Education Corp. | Morgan Stanley | 10,564 | 142,598 | 129,620 | (12,875) | |||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 2,742 | 94,614 | 116,535 | 21,995 | |||||
Scientific Games Corp. | Morgan Stanley | 18 | 272 | 1,394 | 1,136 | |||||
Service Corp. International | Morgan Stanley | 4,038 | 198,222 | 216,396 | 19,994 | |||||
Starbucks Corp. | Morgan Stanley | 2,710 | 303,861 | 303,005 | (367) | |||||
Texas Roadhouse, Inc. | Morgan Stanley | 2,900 | 286,574 | 278,980 | (6,819) | |||||
Vail Resorts, Inc. | Morgan Stanley | 811 | 260,103 | 256,698 | (3,230) | |||||
Wendy's Co. (The) | Morgan Stanley | 1,584 | 36,272 | 37,097 | 921 | |||||
Yum! Brands, Inc. | Morgan Stanley | 2,894 | 272,716 | 332,897 | 65,554 | |||||
83,254 | 4,713,764 | 5,488,400 | 791,821 | |||||||
Diversified Financials | ||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 1,134 | 180,227 | 174,874 | (5,225) | |||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 5,183 | 1,143,828 | 1,440,459 | 297,355 | |||||
BlackRock, Inc. | Morgan Stanley | 1,086 | 612,371 | 950,217 | 350,526 | |||||
Federated Hermes, Inc. | Morgan Stanley | 1,854 | 40,963 | 62,869 | 25,167 | |||||
Franklin Resources, Inc. | Morgan Stanley | 445 | 14,363 | 14,236 | 90 | |||||
Intercontinental Exchange, Inc. | Morgan Stanley | 4,248 | 476,986 | 504,238 | 31,517 | |||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 9,696 | 247,100 | 259,174 | 13,564 | |||||
Moody's Corp. | Morgan Stanley | 437 | 151,264 | 158,356 | 7,276 | |||||
Nasdaq, Inc. | Morgan Stanley | 3,074 | 389,635 | 540,409 | 155,392 | |||||
S&P Global, Inc. | Morgan Stanley | 336 | 137,827 | 137,911 | 183 | |||||
T Rowe Price Group, Inc. | Morgan Stanley | 3,842 | 614,753 | 760,601 | 164,552 | |||||
31,335 | 4,009,317 | 5,003,344 | 1,040,397 | |||||||
Energy | ||||||||||
Antero Resources Corp. | Morgan Stanley | 3,671 | 32,743 | 55,175 | 22,466 | |||||
APA Corp. | Morgan Stanley | 12,411 | 106,046 | 268,450 | 162,565 | |||||
Archrock, Inc. | Morgan Stanley | 2,480 | 23,568 | 22,097 | (1,108) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Energy — (continued) | ||||||||||
Bonanza Creek Energy, Inc. | Morgan Stanley | 2,057 | $92,895 | $96,823 | $4,457 | |||||
Cactus, Inc., Class A | Morgan Stanley | 586 | 12,363 | 21,518 | 9,305 | |||||
California Resources Corp. | Morgan Stanley | 22 | 650 | 663 | 27 | |||||
Callon Petroleum Co. | Morgan Stanley | 3,812 | 138,904 | 219,914 | 83,004 | |||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 9,574 | 159,389 | 347,345 | 196,504 | |||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 8,658 | 56,355 | 58,701 | 2,395 | |||||
Chevron Corp. | Morgan Stanley | 135 | 9,118 | 14,140 | 5,222 | |||||
Cimarex Energy Co. | Morgan Stanley | 3,542 | 246,717 | 256,618 | 10,341 | |||||
ConocoPhillips | Morgan Stanley | 1 | 26 | 61 | 49 | |||||
Continental Resources, Inc. | Morgan Stanley | 622 | 21,968 | 23,655 | 1,714 | |||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | 2,792 | 3,838 | 12,648 | 8,849 | |||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 16,012 | 84,971 | 103,918 | 21,450 | |||||
EOG Resources, Inc. | Morgan Stanley | 6,702 | 261,316 | 559,215 | 305,260 | |||||
Extraction Oil & Gas, Inc. | Morgan Stanley | 75 | 4,128 | 4,118 | 6 | |||||
Exxon Mobil Corp. | Morgan Stanley | 15,542 | 878,683 | 980,389 | 114,649 | |||||
Green Plains, Inc. | Morgan Stanley | 1,988 | 53,350 | 66,837 | 13,550 | |||||
Halliburton Co. | Morgan Stanley | 19,498 | 264,407 | 450,794 | 190,213 | |||||
Hess Corp. | Morgan Stanley | 7,527 | 610,507 | 657,258 | 48,841 | |||||
HollyFrontier Corp. | Morgan Stanley | 214 | 4,077 | 7,041 | 3,131 | |||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 1,630 | 54,220 | 49,552 | (4,615) | |||||
Kinder Morgan, Inc. | Morgan Stanley | 25,569 | 433,775 | 466,123 | 37,183 | |||||
Kosmos Energy Ltd. | Morgan Stanley | 65,948 | 106,013 | 228,180 | 122,698 | |||||
Magnolia Oil & Gas Corp., Class A | Morgan Stanley | 4,556 | 26,480 | 71,210 | 44,789 | |||||
Marathon Oil Corp. | Morgan Stanley | 16,856 | 179,236 | 229,579 | 51,128 | |||||
Marathon Petroleum Corp. | Morgan Stanley | 3,909 | 135,902 | 236,182 | 108,039 | |||||
Murphy Oil Corp. | Morgan Stanley | 2,513 | 20,643 | 58,503 | 38,718 | |||||
Occidental Petroleum Corp. | Morgan Stanley | 14,639 | 393,247 | 457,762 | 70,719 | |||||
Oceaneering International, Inc. | Morgan Stanley | 10,329 | 133,786 | 160,823 | 27,134 | |||||
ONEOK, Inc. | Morgan Stanley | 1,742 | 92,139 | 96,925 | 4,857 | |||||
Ovintiv, Inc. | Morgan Stanley | 9,655 | 252,062 | 303,843 | 52,835 | |||||
PDC Energy, Inc. | Morgan Stanley | 2,671 | 112,871 | 122,305 | 9,791 | |||||
SM Energy Co. | Morgan Stanley | 15,904 | 93,618 | 391,716 | 298,328 | |||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 11,778 | 275,249 | 282,319 | 8,439 | |||||
TC Energy Corp. (Canada) | Morgan Stanley | 3,922 | 198,034 | 194,217 | (1,436) | |||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 11,618 | 42,400 | 52,513 | 10,231 | |||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 7,191 | 47,870 | 62,921 | 15,094 | |||||
Whiting Petroleum Corp. | Morgan Stanley | 579 | 19,598 | 31,584 | 12,012 | |||||
Williams Cos., Inc. (The) | Morgan Stanley | 1,454 | 27,529 | 38,604 | 12,759 | |||||
World Fuel Services Corp. | Morgan Stanley | 6,311 | 171,544 | 200,248 | 31,028 | |||||
336,695 | 5,882,235 | 7,962,487 | 2,152,621 | |||||||
Food & Staples Retailing | ||||||||||
Costco Wholesale Corp. | Morgan Stanley | 303 | 99,035 | 119,888 | 23,763 | |||||
Kroger Co. (The) | Morgan Stanley | 563 | 17,200 | 21,569 | 13,541 | |||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 4,784 | 101,171 | 118,882 | 17,789 | |||||
Sysco Corp. | Morgan Stanley | 3,453 | 217,878 | 268,471 | 55,593 | |||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 4,352 | 172,060 | 228,959 | 62,387 | |||||
Walmart, Inc. | Morgan Stanley | 10,634 | 1,333,889 | 1,499,607 | 187,985 | |||||
24,089 | 1,941,233 | 2,257,376 | 361,058 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Food, Beverage & Tobacco | ||||||||||
Altria Group, Inc. | Morgan Stanley | 11,619 | $468,893 | $553,994 | $129,170 | |||||
Archer-Daniels-Midland Co. | Morgan Stanley | 3,625 | 216,198 | 219,675 | 5,513 | |||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 2,139 | 189,558 | 167,163 | (21,722) | |||||
Coca-Cola Co. (The) | Morgan Stanley | 7,845 | 391,631 | 424,493 | 47,568 | |||||
Conagra Brands, Inc. | Morgan Stanley | 3,079 | 107,968 | 112,014 | 6,267 | |||||
Constellation Brands, Inc., Class A | Morgan Stanley | 1,684 | 227,054 | 393,871 | 172,859 | |||||
Darling Ingredients, Inc. | Morgan Stanley | 3,396 | 239,370 | 229,230 | (9,998) | |||||
Flowers Foods, Inc. | Morgan Stanley | 1,370 | 30,830 | 33,154 | 2,805 | |||||
General Mills, Inc. | Morgan Stanley | 4,074 | 237,238 | 248,229 | 15,668 | |||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | 2,242 | 92,582 | 89,949 | (2,829) | |||||
Hershey Co. (The) | Morgan Stanley | 2,471 | 414,471 | 430,399 | 18,188 | |||||
J M Smucker Co. (The) | Morgan Stanley | 2,199 | 242,319 | 284,924 | 48,982 | |||||
John B Sanfilippo & Son, Inc. | Morgan Stanley | 46 | 4,180 | 4,074 | (90) | |||||
Kraft Heinz Co. (The) | Morgan Stanley | 25,288 | 862,366 | 1,031,245 | 185,739 | |||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 1,757 | 84,330 | 94,333 | 10,898 | |||||
Mondelez International, Inc., Class A | Morgan Stanley | 4,623 | 256,903 | 288,660 | 34,679 | |||||
Monster Beverage Corp. | Morgan Stanley | 8,407 | 697,670 | 767,979 | 70,756 | |||||
PepsiCo, Inc. | Morgan Stanley | 1,670 | 231,875 | 247,444 | 19,451 | |||||
Philip Morris International, Inc. | Morgan Stanley | 2,848 | 217,566 | 282,265 | 77,272 | |||||
Sanderson Farms, Inc. | Morgan Stanley | 555 | 90,486 | 104,323 | 14,216 | |||||
SunOpta, Inc. (Canada) | Morgan Stanley | 7,924 | 107,447 | 96,990 | (10,377) | |||||
Tyson Foods, Inc., Class A | Morgan Stanley | 3,444 | 208,242 | 254,029 | 51,116 | |||||
102,305 | 5,619,177 | 6,358,437 | 866,131 | |||||||
Health Care Equipment & Services | ||||||||||
Abbott Laboratories | Morgan Stanley | 5,237 | 609,100 | 607,125 | (153) | |||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 4,225 | 255,788 | 265,119 | 9,504 | |||||
Alcon, Inc. (Switzerland) | 25 | 1,753 | 1,757 | 19 | ||||||
Align Technology, Inc. | Morgan Stanley | 816 | 426,149 | 498,576 | 72,705 | |||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 7,728 | 105,084 | 143,045 | 39,521 | |||||
Amedisys, Inc. | Morgan Stanley | 488 | 122,184 | 119,526 | (2,568) | |||||
AmerisourceBergen Corp. | Morgan Stanley | 387 | 38,084 | 44,308 | 6,584 | |||||
AngioDynamics, Inc. | Morgan Stanley | 1,090 | 26,412 | 29,572 | 3,190 | |||||
Anthem, Inc. | Morgan Stanley | 1,609 | 544,669 | 614,316 | 72,215 | |||||
Becton Dickinson and Co. | Morgan Stanley | 346 | 83,244 | 84,144 | 1,168 | |||||
Bioventus, Inc., Class A | Morgan Stanley | 3 | 53 | 53 | 14 | |||||
Boston Scientific Corp. | Morgan Stanley | 1,243 | 52,354 | 53,151 | 843 | |||||
Cerner Corp. | Morgan Stanley | 2,007 | 131,170 | 156,867 | 28,080 | |||||
Change Healthcare, Inc. | Morgan Stanley | 8,188 | 191,632 | 188,652 | (2,847) | |||||
Cigna Corp. | Morgan Stanley | 1,676 | 409,504 | 397,329 | (11,511) | |||||
Community Health Systems, Inc. | Morgan Stanley | 8,544 | 69,403 | 131,919 | 62,574 | |||||
CONMED Corp. | Morgan Stanley | 499 | 39,961 | 68,578 | 29,048 | |||||
Cooper Cos., Inc. (The) | Morgan Stanley | 445 | 170,690 | 176,340 | 5,770 | |||||
CVS Health Corp. | Morgan Stanley | 2,480 | 157,576 | 206,931 | 52,825 | |||||
Danaher Corp. | Morgan Stanley | 3,483 | 730,587 | 934,698 | 208,162 | |||||
DaVita, Inc. | Morgan Stanley | 7 | 589 | 843 | 268 | |||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 1,812 | 101,154 | 114,627 | 13,912 | |||||
Ensign Group, Inc. (The) | Morgan Stanley | 1,740 | 122,737 | 150,806 | 28,384 | |||||
Envista Holdings Corp. | Morgan Stanley | 13,157 | 538,751 | 568,514 | 30,111 | |||||
Fulgent Genetics, Inc. | Morgan Stanley | 4,341 | 331,678 | 400,370 | 68,879 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | 516 | $36,863 | $40,005 | $3,342 | |||||
HCA Healthcare, Inc. | Morgan Stanley | 2,062 | 301,021 | 426,298 | 127,283 | |||||
Heska Corp. | Morgan Stanley | 4 | 911 | 919 | (146) | |||||
Hologic, Inc. | Morgan Stanley | 6,837 | 343,331 | 456,165 | 114,636 | |||||
ICU Medical, Inc. | Morgan Stanley | 210 | 42,772 | 43,218 | 486 | |||||
IDEXX Laboratories, Inc. | Morgan Stanley | 1,354 | 570,685 | 855,119 | 285,969 | |||||
Inogen, Inc. | Morgan Stanley | 138 | 9,219 | 8,993 | (206) | |||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 153 | 10,540 | 10,441 | (79) | |||||
Intuitive Surgical, Inc. | Morgan Stanley | 503 | 434,346 | 462,579 | 28,516 | |||||
Laboratory Corp. of America Holdings | Morgan Stanley | 2,375 | 515,877 | 655,144 | 140,037 | |||||
LHC Group, Inc. | Morgan Stanley | 251 | 48,571 | 50,265 | 1,742 | |||||
LivaNova PLC (United Kingdom) | Morgan Stanley | 760 | 62,164 | 63,924 | 1,812 | |||||
McKesson Corp. | Morgan Stanley | 2,020 | 348,550 | 386,305 | 39,907 | |||||
MEDNAX, Inc. | Morgan Stanley | 6,492 | 150,005 | 195,734 | 45,836 | |||||
Medtronic PLC (Ireland) | Morgan Stanley | 5,815 | 556,785 | 721,816 | 180,547 | |||||
Meridian Bioscience, Inc. | Morgan Stanley | 3,462 | 68,985 | 76,787 | 7,851 | |||||
Merit Medical Systems, Inc. | Morgan Stanley | 1,787 | 104,391 | 115,547 | 11,233 | |||||
Molina Healthcare, Inc. | Morgan Stanley | 602 | 149,223 | 152,342 | 3,389 | |||||
Natus Medical, Inc. | Morgan Stanley | 299 | 8,255 | 7,768 | (468) | |||||
NextGen Healthcare, Inc. | Morgan Stanley | 5,449 | 81,229 | 90,399 | 9,258 | |||||
Omnicell, Inc. | Morgan Stanley | 1,476 | 189,946 | 223,540 | 34,890 | |||||
OptimizeRx Corp. | 4 | 244 | 248 | 18 | ||||||
Owens & Minor, Inc. | Morgan Stanley | 1,191 | 31,196 | 50,415 | 19,258 | |||||
Patterson Cos., Inc. | Morgan Stanley | 4,302 | 63,378 | 130,738 | 75,934 | |||||
Quest Diagnostics, Inc. | Morgan Stanley | 1,079 | 129,571 | 142,396 | 14,365 | |||||
Quidel Corp. | Morgan Stanley | 4,102 | 487,567 | 525,548 | 34,655 | |||||
Select Medical Holdings Corp. | Morgan Stanley | 4,362 | 63,839 | 184,338 | 122,741 | |||||
Shockwave Medical, Inc. | Morgan Stanley | 317 | 61,543 | 60,144 | (1,347) | |||||
SmileDirectClub, Inc. | Morgan Stanley | 2,111 | 18,348 | 18,323 | 1 | |||||
STAAR Surgical Co. | Morgan Stanley | 183 | 20,764 | 27,908 | 7,170 | |||||
STERIS PLC (Ireland) | Morgan Stanley | 66 | 9,892 | 13,616 | 5,308 | |||||
Stryker Corp. | Morgan Stanley | 387 | 71,396 | 100,516 | 30,120 | |||||
Tenet Healthcare Corp. | Morgan Stanley | 2,553 | 52,313 | 171,025 | 120,120 | |||||
Tivity Health, Inc. | Morgan Stanley | 7,183 | 80,204 | 188,985 | 109,428 | |||||
UnitedHealth Group, Inc. | Morgan Stanley | 2,177 | 744,166 | 871,758 | 133,027 | |||||
Universal Health Services, Inc., Class B | Morgan Stanley | 632 | 57,602 | 92,544 | 36,002 | |||||
ViewRay, Inc. | Morgan Stanley | 1,154 | 7,049 | 7,616 | 585 | |||||
West Pharmaceutical Services, Inc. | Morgan Stanley | 2 | 459 | 718 | 274 | |||||
145,946 | 11,193,506 | 13,587,310 | 2,460,191 | |||||||
Household & Personal Products | ||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 9,268 | 644,569 | 753,952 | 127,455 | |||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,420 | 300,663 | 451,674 | 154,030 | |||||
Inter Parfums, Inc. | Morgan Stanley | 168 | 12,505 | 12,096 | (356) | |||||
Procter & Gamble Co. (The) | Morgan Stanley | 5,377 | 633,702 | 725,519 | 104,830 | |||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | 1,099 | 89,995 | 93,459 | 4,198 | |||||
17,332 | 1,681,434 | 2,036,700 | 390,157 | |||||||
Materials | ||||||||||
Air Products and Chemicals, Inc. | Morgan Stanley | 24 | 6,909 | 6,904 | 30 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
Alcoa Corp. | Morgan Stanley | 15,565 | $577,221 | $573,415 | $(3,434) | |||||
Allegheny Technologies, Inc. | Morgan Stanley | 3,675 | 25,012 | 76,624 | 51,874 | |||||
Amcor PLC (Jersey) | Morgan Stanley | 6,424 | 68,084 | 73,619 | 9,195 | |||||
Ashland Global Holdings, Inc. | Morgan Stanley | 1,461 | 125,588 | 127,837 | 3,038 | |||||
Avery Dennison Corp. | Morgan Stanley | 721 | 153,345 | 151,583 | (1,342) | |||||
Avient Corp. | Morgan Stanley | 6,278 | 124,060 | 308,626 | 193,285 | |||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 5,795 | 182,688 | 176,690 | (5,871) | |||||
Balchem Corp. | Morgan Stanley | 226 | 27,712 | 29,665 | 1,984 | |||||
Barrick Gold Corp. (Canada) | Morgan Stanley | 14,908 | 320,444 | 308,297 | (11,069) | |||||
Carpenter Technology Corp. | Morgan Stanley | 4,210 | 86,020 | 169,326 | 86,488 | |||||
CF Industries Holdings, Inc. | Morgan Stanley | 3,401 | 87,357 | 174,981 | 91,605 | |||||
Chemours Co. (The) | Morgan Stanley | 5,369 | 45,158 | 186,841 | 150,193 | |||||
Commercial Metals Co. | Morgan Stanley | 2,443 | 45,465 | 75,049 | 32,440 | |||||
Compass Minerals International, Inc. | Morgan Stanley | 1,243 | 71,181 | 73,660 | 4,602 | |||||
Corteva, Inc. | Morgan Stanley | 3,813 | 177,684 | 169,107 | (7,917) | |||||
Crown Holdings, Inc. | Morgan Stanley | 607 | 61,101 | 62,041 | 934 | |||||
Domtar Corp. | Morgan Stanley | 722 | 38,557 | 39,681 | 1,162 | |||||
Dow, Inc. | Morgan Stanley | 6,029 | 279,096 | 381,515 | 121,829 | |||||
DuPont de Nemours, Inc. | Morgan Stanley | 17,670 | 1,411,517 | 1,367,835 | (36,843) | |||||
Eagle Materials, Inc. | Morgan Stanley | 1,007 | 146,928 | 143,105 | (3,529) | |||||
Eastman Chemical Co. | Morgan Stanley | 2,395 | 152,628 | 279,616 | 139,409 | |||||
Ferro Corp. | Morgan Stanley | 2,567 | 40,784 | 55,370 | 14,625 | |||||
FMC Corp. | Morgan Stanley | 2 | 199 | 216 | 58 | |||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | 8,334 | 52,740 | 46,254 | (6,440) | |||||
Freeport-McMoRan, Inc. | Morgan Stanley | 11,511 | 173,834 | 427,173 | 255,909 | |||||
Greif, Inc., Class A | Morgan Stanley | 7 | 423 | 424 | 95 | |||||
Hecla Mining Co. | Morgan Stanley | 6,051 | 32,892 | 45,019 | 12,293 | |||||
Huntsman Corp. | Morgan Stanley | 889 | 24,908 | 23,576 | (1,180) | |||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 36,019 | 117,736 | 106,256 | (11,393) | |||||
Ingevity Corp. | Morgan Stanley | 1,439 | 68,160 | 117,077 | 48,973 | |||||
Innospec, Inc. | Morgan Stanley | 456 | 43,462 | 41,318 | (1,964) | |||||
International Paper Co. | Morgan Stanley | 5,033 | 259,512 | 308,573 | 53,631 | |||||
Kaiser Aluminum Corp. | Morgan Stanley | 61 | 4,076 | 7,533 | 4,683 | |||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 12,372 | 79,110 | 78,562 | (485) | |||||
Kraton Corp. | Morgan Stanley | 1,471 | 21,269 | 47,499 | 26,745 | |||||
Kronos Worldwide, Inc. | Morgan Stanley | 121 | 1,862 | 1,733 | (115) | |||||
Linde PLC (Ireland) | Morgan Stanley | 2,339 | 444,306 | 676,205 | 241,216 | |||||
Louisiana-Pacific Corp. | Morgan Stanley | 2,567 | 166,533 | 154,764 | (11,504) | |||||
Martin Marietta Materials, Inc. | Morgan Stanley | 430 | 116,834 | 151,278 | 35,321 | |||||
Minerals Technologies, Inc. | Morgan Stanley | 385 | 18,023 | 30,288 | 12,389 | |||||
Mosaic Co. (The) | Morgan Stanley | 15,483 | 443,171 | 494,063 | 50,715 | |||||
Newmont Corp. | Morgan Stanley | 4,516 | 274,514 | 286,224 | 14,184 | |||||
Nucor Corp. | Morgan Stanley | 2,975 | 171,660 | 285,392 | 117,333 | |||||
O-I Glass, Inc. | Morgan Stanley | 10,351 | 157,464 | 169,032 | 11,680 | |||||
Olin Corp. | Morgan Stanley | 2,303 | 104,027 | 106,537 | 2,589 | |||||
PPG Industries, Inc. | Morgan Stanley | 1,177 | 157,546 | 199,819 | 44,841 | |||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 15,056 | 175,924 | 143,935 | (31,962) | |||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 1,180 | 151,985 | 178,062 | 27,425 | |||||
Sealed Air Corp. | Morgan Stanley | 3,374 | 119,941 | 199,909 | 82,209 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
Sensient Technologies Corp. | Morgan Stanley | 491 | $21,947 | $42,501 | $21,479 | |||||
Sherwin-Williams Co. (The) | Morgan Stanley | 1,079 | 242,619 | 293,974 | 53,023 | |||||
Southern Copper Corp. | Morgan Stanley | 1,037 | 50,800 | 66,700 | 17,450 | |||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 2,680 | 165,096 | 160,371 | (4,522) | |||||
Vulcan Materials Co. | Morgan Stanley | 1,344 | 243,100 | 233,950 | (9,149) | |||||
Westlake Chemical Corp. | Morgan Stanley | 2,022 | 203,835 | 182,162 | (21,129) | |||||
Westrock Co. | Morgan Stanley | 650 | 34,856 | 34,593 | (228) | |||||
Worthington Industries, Inc. | Morgan Stanley | 2,017 | 94,012 | 123,400 | 31,072 | |||||
263,775 | 8,692,915 | 10,475,759 | 1,897,930 | |||||||
Media & Entertainment | ||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 4,152 | 336,297 | 396,267 | 61,783 | |||||
Alphabet, Inc., Class A | Morgan Stanley | 1,013 | 1,328,538 | 2,473,533 | 1,145,834 | |||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 5,004 | 171,454 | 170,837 | (497) | |||||
Cargurus, Inc. | Morgan Stanley | 1,453 | 35,392 | 38,112 | 2,826 | |||||
Cars.com, Inc. | Morgan Stanley | 1,849 | 26,206 | 26,496 | 320 | |||||
Charter Communications, Inc., Class A | Morgan Stanley | 654 | 408,567 | 471,828 | 63,528 | |||||
Comcast Corp., Class A | Morgan Stanley | 4,869 | 267,473 | 277,630 | 10,338 | |||||
DISH Network Corp., Class A | Morgan Stanley | 13,750 | 406,306 | 574,750 | 169,890 | |||||
Facebook, Inc., Class A | Morgan Stanley | 7,668 | 1,418,038 | 2,666,240 | 1,255,750 | |||||
Fox Corp., Class A | Morgan Stanley | 9,972 | 263,217 | 370,260 | 111,379 | |||||
Gray Television, Inc. | Morgan Stanley | 2,962 | 51,465 | 69,311 | 18,370 | |||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 16,185 | 388,432 | 525,851 | 150,349 | |||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | 2,918 | 30,881 | 53,399 | 23,070 | |||||
Madison Square Garden Sports Corp. | Morgan Stanley | 704 | 122,821 | 121,489 | (1,241) | |||||
MSG Networks, Inc., Class A | Morgan Stanley | 5,851 | 95,066 | 85,308 | (9,746) | |||||
Netflix, Inc. | Morgan Stanley | 2,623 | 1,257,389 | 1,385,495 | 134,552 | |||||
New York Times Co. (The), Class A | Morgan Stanley | 1,759 | 72,879 | 76,604 | 4,149 | |||||
News Corp., Class A | Morgan Stanley | 10,390 | 113,459 | 267,750 | 156,303 | |||||
Omnicom Group, Inc. | Morgan Stanley | 280 | 22,214 | 22,397 | 211 | |||||
Pinterest, Inc., Class A | Morgan Stanley | 468 | 17,046 | 36,949 | 19,927 | |||||
Snap, Inc., Class A | Morgan Stanley | 6,188 | 403,868 | 421,650 | 18,047 | |||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 2,279 | 411,473 | 403,429 | (7,775) | |||||
TechTarget, Inc. | Morgan Stanley | 774 | 54,308 | 59,977 | 5,864 | |||||
Twitter, Inc. | Morgan Stanley | 15,110 | 474,773 | 1,039,719 | 565,255 | |||||
Walt Disney Co. (The) | Morgan Stanley | 537 | 94,019 | 94,388 | 441 | |||||
Warner Music Group Corp., Class A | Morgan Stanley | 1,493 | 48,704 | 53,808 | 5,568 | |||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 189 | 10,996 | 10,941 | (34) | |||||
Yelp, Inc. | Morgan Stanley | 2,684 | 104,550 | 107,253 | 2,781 | |||||
123,778 | 8,435,831 | 12,301,671 | 3,907,242 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
AbbVie, Inc. | Morgan Stanley | 2,431 | 257,892 | 273,828 | 18,909 | |||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 1,784 | 39,080 | 39,248 | 206 | |||||
Agilent Technologies, Inc. | Morgan Stanley | 1,195 | 126,400 | 176,633 | 50,856 | |||||
Alexion Pharmaceuticals, Inc. | Morgan Stanley | 3,244 | 509,370 | 595,955 | 86,915 | |||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | 273 | 1,438 | 1,398 | (25) | |||||
Amphastar Pharmaceuticals, Inc. | Morgan Stanley | 166 | 3,277 | 3,347 | 85 | |||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 1,976 | 45,993 | 42,444 | (3,506) | |||||
BioCryst Pharmaceuticals, Inc. | Morgan Stanley | 5,258 | 86,150 | 83,129 | (3,140) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Biogen, Inc. | Morgan Stanley | 59 | $20,417 | $20,430 | $14,624 | |||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 248 | 136,517 | 159,784 | 25,867 | |||||
Blueprint Medicines Corp. | Morgan Stanley | 1,798 | 157,431 | 158,152 | 307 | |||||
Bruker Corp. | Morgan Stanley | 1,241 | 86,558 | 94,291 | 7,838 | |||||
Cassava Sciences, Inc. | Morgan Stanley | 5,579 | 416,318 | 476,670 | 60,624 | |||||
Charles River Laboratories International, Inc. | Morgan Stanley | 324 | 112,826 | 119,854 | 7,112 | |||||
Cortexyme, Inc. | Morgan Stanley | 4 | 222 | 212 | 4 | |||||
Denali Therapeutics, Inc. | Morgan Stanley | 668 | 34,883 | 52,398 | 20,598 | |||||
Dynavax Technologies Corp. | Morgan Stanley | 331 | 3,267 | 3,260 | 9 | |||||
Emergent BioSolutions, Inc. | Morgan Stanley | 413 | 24,530 | 26,015 | 1,601 | |||||
FibroGen, Inc. | Morgan Stanley | 377 | 10,401 | 10,040 | (341) | |||||
Gilead Sciences, Inc. | Morgan Stanley | 3,690 | 235,645 | 254,093 | 22,944 | |||||
Halozyme Therapeutics, Inc. | Morgan Stanley | 2,189 | 89,409 | 99,402 | 10,853 | |||||
HEXO Corp. (Canada) | Morgan Stanley | 11,067 | 72,643 | 64,189 | (8,748) | |||||
Innoviva, Inc. | Morgan Stanley | 5,429 | 57,922 | 72,803 | 15,608 | |||||
Instil Bio, Inc. | Morgan Stanley | 1 | 19 | 19 | 14 | |||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 6,373 | 72,819 | 82,021 | 9,539 | |||||
Johnson & Johnson | Morgan Stanley | 5,124 | 783,173 | 844,128 | 82,595 | |||||
Merck & Co., Inc. | Morgan Stanley | 12,555 | 916,130 | 976,402 | 80,411 | |||||
Organon & Co. | Morgan Stanley | 1,738 | 54,516 | 52,592 | (1,876) | |||||
PerkinElmer, Inc. | Morgan Stanley | 5,642 | 616,789 | 871,181 | 263,624 | |||||
Pfizer, Inc. | Morgan Stanley | 44,686 | 1,548,839 | 1,749,904 | 228,422 | |||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 1,313 | 47,029 | 68,407 | 21,903 | |||||
Protagonist Therapeutics, Inc. | Morgan Stanley | 319 | 13,670 | 14,317 | 669 | |||||
Sage Therapeutics, Inc. | Morgan Stanley | 4,360 | 313,136 | 247,692 | (65,236) | |||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | 41,871 | 38,146 | 39,736 | 1,627 | |||||
Syneos Health, Inc. | Morgan Stanley | 425 | 35,300 | 38,033 | 3,059 | |||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 1,270 | 548,519 | 640,677 | 93,311 | |||||
Translate Bio, Inc. | Morgan Stanley | 1,099 | 19,013 | 30,266 | 11,997 | |||||
United Therapeutics Corp. | Morgan Stanley | 248 | 43,280 | 44,494 | 1,255 | |||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 4,604 | 895,014 | 928,305 | 30,903 | |||||
Waters Corp. | Morgan Stanley | 691 | 180,757 | 238,817 | 58,186 | |||||
Zoetis, Inc. | Morgan Stanley | 2,437 | 389,888 | 454,159 | 65,662 | |||||
184,500 | 9,044,626 | 10,148,725 | 1,215,265 | |||||||
Retailing | ||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | 20 | 655 | 637 | (3) | |||||
Advance Auto Parts, Inc. | Morgan Stanley | 2,850 | 466,584 | 584,649 | 121,614 | |||||
Amazon.com, Inc. | Morgan Stanley | 712 | 1,854,672 | 2,449,394 | 595,887 | |||||
Asbury Automotive Group, Inc. | Morgan Stanley | 268 | 19,812 | 45,927 | 26,142 | |||||
At Home Group, Inc. | Morgan Stanley | 678 | 24,896 | 24,978 | 107 | |||||
AutoNation, Inc. | Morgan Stanley | 2,169 | 101,238 | 205,643 | 104,482 | |||||
AutoZone, Inc. | Morgan Stanley | 28 | 31,685 | 41,782 | 10,131 | |||||
Best Buy Co., Inc. | Morgan Stanley | 1,154 | 61,547 | 132,687 | 74,705 | |||||
Buckle, Inc. (The) | Morgan Stanley | 3,351 | 69,524 | 166,712 | 107,064 | |||||
Caleres, Inc. | Morgan Stanley | 37 | 1,014 | 1,010 | 10 | |||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 2,081 | 63,744 | 85,300 | 23,812 | |||||
eBay, Inc. | Morgan Stanley | 9,153 | 294,454 | 642,632 | 442,358 | |||||
Etsy, Inc. | Morgan Stanley | 3,270 | 465,602 | 673,097 | 207,798 | |||||
Five Below, Inc. | Morgan Stanley | 177 | 34,665 | 34,209 | (421) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Retailing — (continued) | ||||||||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | 1,032 | $101,138 | $109,082 | $8,512 | |||||
Foot Locker, Inc. | Morgan Stanley | 3,595 | 106,896 | 221,560 | 116,542 | |||||
Gap, Inc. (The) | Morgan Stanley | 2,017 | 33,127 | 67,872 | 35,268 | |||||
Genuine Parts Co. | Morgan Stanley | 1,917 | 193,506 | 242,443 | 55,930 | |||||
Group 1 Automotive, Inc. | Morgan Stanley | 362 | 53,564 | 55,904 | 2,594 | |||||
Guess?, Inc. | Morgan Stanley | 5,174 | 54,693 | 136,594 | 84,305 | |||||
Hibbett, Inc. | Morgan Stanley | 378 | 31,056 | 33,880 | 2,857 | |||||
Home Depot, Inc. (The) | Morgan Stanley | 1,485 | 245,988 | 473,552 | 236,253 | |||||
L Brands, Inc. | Morgan Stanley | 11,201 | 322,890 | 807,144 | 504,924 | |||||
Lands' End, Inc. | Morgan Stanley | 339 | 11,458 | 13,916 | 2,478 | |||||
LKQ Corp. | Morgan Stanley | 5,326 | 192,015 | 262,146 | 70,264 | |||||
Lowe's Cos., Inc. | Morgan Stanley | 4,905 | 554,375 | 951,423 | 408,556 | |||||
Macy's, Inc. | Morgan Stanley | 15,545 | 91,436 | 294,733 | 203,368 | |||||
MarineMax, Inc. | Morgan Stanley | 2,296 | 130,400 | 111,907 | (18,398) | |||||
Murphy U.S.A., Inc. | Morgan Stanley | 41 | 4,702 | 5,468 | 813 | |||||
Ollie's Bargain Outlet Holdings, Inc. | Morgan Stanley | 2,318 | 197,345 | 195,013 | (2,196) | |||||
O'Reilly Automotive, Inc. | Morgan Stanley | 425 | 192,422 | 240,639 | 48,493 | |||||
Overstock.com, Inc. | Morgan Stanley | 2,104 | 150,375 | 193,989 | 50,167 | |||||
Qurate Retail, Inc., Series A | Morgan Stanley | 21,924 | 185,548 | 286,985 | 126,501 | |||||
RH | Morgan Stanley | 60 | 40,560 | 40,740 | 218 | |||||
Shoe Carnival, Inc. | Morgan Stanley | 595 | 20,633 | 42,596 | 22,153 | |||||
Shutterstock, Inc. | Morgan Stanley | 2,364 | 162,436 | 232,074 | 70,430 | |||||
Signet Jewelers Ltd. (Bermuda) | Morgan Stanley | 7,187 | 50,788 | 580,638 | 548,985 | |||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 3,633 | 98,074 | 162,540 | 67,163 | |||||
Stitch Fix, Inc., Class A | Morgan Stanley | 51 | 3,119 | 3,075 | (28) | |||||
Target Corp. | Morgan Stanley | 4,226 | 849,391 | 1,021,593 | 180,351 | |||||
Tractor Supply Co. | Morgan Stanley | 236 | 42,732 | 43,910 | 1,476 | |||||
Ulta Beauty, Inc. | Morgan Stanley | 347 | 116,909 | 119,982 | 3,159 | |||||
Wayfair, Inc., Class A | Morgan Stanley | 1,432 | 439,368 | 452,097 | 13,015 | |||||
Williams-Sonoma, Inc. | Morgan Stanley | 193 | 32,552 | 30,812 | (1,706) | |||||
Zumiez, Inc. | Morgan Stanley | 2,517 | 71,044 | 123,308 | 52,802 | |||||
131,173 | 8,270,632 | 12,646,272 | 4,608,935 | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
Amkor Technology, Inc. | Morgan Stanley | 4,205 | 48,185 | 99,532 | 54,700 | |||||
Analog Devices, Inc. | Morgan Stanley | 2,354 | 374,876 | 405,265 | 33,967 | |||||
Applied Materials, Inc. | Morgan Stanley | 7,981 | 878,632 | 1,136,494 | 289,315 | |||||
Axcelis Technologies, Inc. | Morgan Stanley | 751 | 17,575 | 30,355 | 13,241 | |||||
Broadcom, Inc. | Morgan Stanley | 1,605 | 635,198 | 765,328 | 144,355 | |||||
Brooks Automation, Inc. | Morgan Stanley | 1,038 | 96,945 | 98,901 | 2,077 | |||||
Cirrus Logic, Inc. | Morgan Stanley | 863 | 61,706 | 73,459 | 12,775 | |||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 2,571 | 136,200 | 138,320 | 2,218 | |||||
Intel Corp. | Morgan Stanley | 18,519 | 1,013,601 | 1,039,657 | 35,761 | |||||
KLA Corp. | Morgan Stanley | 1,737 | 334,871 | 563,153 | 235,211 | |||||
Lam Research Corp. | Morgan Stanley | 44 | 28,327 | 28,631 | 513 | |||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 7,167 | 250,701 | 459,261 | 212,154 | |||||
Maxim Integrated Products, Inc. | Morgan Stanley | 1,156 | 82,202 | 121,796 | 39,665 | |||||
Microchip Technology, Inc. | Morgan Stanley | 1,727 | 171,164 | 258,601 | 90,133 | |||||
MKS Instruments, Inc. | Morgan Stanley | 1,698 | 300,286 | 302,159 | 2,220 | |||||
NVIDIA Corp. | Morgan Stanley | 501 | 389,517 | 400,850 | 11,588 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 5,721 | $1,115,188 | $1,176,924 | $67,227 | |||||
ON Semiconductor Corp. | Morgan Stanley | 3,060 | 113,050 | 117,137 | 4,530 | |||||
Onto Innovation, Inc. | Morgan Stanley | 1,143 | 70,986 | 83,485 | 12,576 | |||||
Qorvo, Inc. | Morgan Stanley | 3,257 | 545,370 | 637,232 | 92,215 | |||||
QUALCOMM, Inc. | Morgan Stanley | 10,147 | 1,383,268 | 1,450,311 | 79,647 | |||||
Rambus, Inc. | Morgan Stanley | 2,564 | 51,272 | 60,792 | 9,712 | |||||
Skyworks Solutions, Inc. | Morgan Stanley | 3,490 | 423,778 | 669,207 | 251,568 | |||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | 854 | 21,218 | 40,719 | 19,843 | |||||
Synaptics, Inc. | Morgan Stanley | 2,679 | 192,021 | 416,799 | 234,579 | |||||
Texas Instruments, Inc. | Morgan Stanley | 3,547 | 553,461 | 682,088 | 136,502 | |||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 2,009 | 76,272 | 107,923 | 31,713 | |||||
92,388 | 9,365,870 | 11,364,379 | 2,120,005 | |||||||
Software & Services | ||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 2,735 | 548,374 | 806,251 | 269,078 | |||||
ACI Worldwide, Inc. | Morgan Stanley | 1,792 | 50,699 | 66,555 | 15,898 | |||||
Adobe, Inc. | Morgan Stanley | 860 | 365,315 | 503,650 | 138,575 | |||||
Agilysys, Inc. | Morgan Stanley | 8 | 446 | 455 | 22 | |||||
Alliance Data Systems Corp. | Morgan Stanley | 1,048 | 57,715 | 109,191 | 51,196 | |||||
ANSYS, Inc. | Morgan Stanley | 1,016 | 345,784 | 352,613 | 7,057 | |||||
Automatic Data Processing, Inc. | Morgan Stanley | 6,308 | 1,042,264 | 1,252,895 | 228,795 | |||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 2,798 | 351,355 | 451,961 | 108,370 | |||||
C3.ai, Inc., Class A | Morgan Stanley | 2,992 | 180,740 | 187,090 | 6,476 | |||||
Cadence Design Systems, Inc. | Morgan Stanley | 4,474 | 420,318 | 612,133 | 192,921 | |||||
CDK Global, Inc. | Morgan Stanley | 670 | 29,612 | 33,292 | 4,034 | |||||
Cerence, Inc. | Morgan Stanley | 877 | 77,434 | 93,585 | 17,394 | |||||
CGI, Inc. (Canada) | Morgan Stanley | 1,144 | 80,698 | 103,646 | 23,045 | |||||
Cloudera, Inc. | Morgan Stanley | 15,411 | 243,836 | 244,418 | 748 | |||||
CommVault Systems, Inc. | Morgan Stanley | 531 | 35,606 | 41,508 | 6,157 | |||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 966 | 36,689 | 49,826 | 13,906 | |||||
CSG Systems International, Inc. | Morgan Stanley | 903 | 41,659 | 42,604 | 1,330 | |||||
Digital Turbine, Inc. | Morgan Stanley | 6,942 | 466,453 | 527,800 | 69,091 | |||||
DocuSign, Inc. | Morgan Stanley | 2,509 | 637,585 | 701,441 | 64,266 | |||||
Domo, Inc., Class B | Morgan Stanley | 992 | 73,356 | 80,183 | 6,887 | |||||
DXC Technology Co. | Morgan Stanley | 7,809 | 307,141 | 304,082 | (2,854) | |||||
Elastic N.V. (Netherlands) | Morgan Stanley | 1,386 | 201,573 | 202,023 | 589 | |||||
Everbridge, Inc. | Morgan Stanley | 506 | 68,042 | 68,856 | 870 | |||||
Fair Isaac Corp. | Morgan Stanley | 182 | 87,899 | 91,488 | 3,765 | |||||
Fiserv, Inc. | Morgan Stanley | 8,443 | 843,819 | 902,472 | 59,191 | |||||
Fortinet, Inc. | Morgan Stanley | 3,124 | 337,585 | 744,106 | 407,987 | |||||
Gartner, Inc. | Morgan Stanley | 1,450 | 173,051 | 351,190 | 183,490 | |||||
International Business Machines Corp. | Morgan Stanley | 2,741 | 350,747 | 401,803 | 55,422 | |||||
Intuit, Inc. | Morgan Stanley | 1,326 | 477,242 | 649,965 | 174,257 | |||||
J2 Global, Inc. | Morgan Stanley | 320 | 39,190 | 44,016 | 5,952 | |||||
Lightspeed POS, Inc., sub-voting shares (Canada) | Morgan Stanley | 384 | 32,685 | 32,106 | (545) | |||||
Mastercard, Inc., Class A | Morgan Stanley | 509 | 187,185 | 185,831 | (1,224) | |||||
Maximus, Inc. | Morgan Stanley | 2,184 | 197,294 | 192,126 | (4,884) | |||||
Microsoft Corp. | Morgan Stanley | 5,708 | 1,107,910 | 1,546,297 | 453,136 | |||||
Momentive Global, Inc. | Morgan Stanley | 953 | 20,718 | 20,080 | (611) | |||||
MongoDB, Inc. | Morgan Stanley | 672 | 253,836 | 242,941 | (10,723) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 14,882 | $281,006 | $405,088 | $133,004 | |||||
Nutanix, Inc., Class A | Morgan Stanley | 4,650 | 167,039 | 177,723 | 10,802 | |||||
OneSpan, Inc. | Morgan Stanley | 15 | 390 | 383 | 7 | |||||
Open Text Corp. (Canada) | Morgan Stanley | 4,949 | 211,172 | 251,409 | 43,078 | |||||
Oracle Corp. | Morgan Stanley | 27,771 | 1,701,924 | 2,161,695 | 484,225 | |||||
Palo Alto Networks, Inc. | Morgan Stanley | 79 | 27,977 | 29,313 | 1,367 | |||||
Paychex, Inc. | Morgan Stanley | 6,680 | 403,222 | 716,764 | 334,057 | |||||
PayPal Holdings, Inc. | Morgan Stanley | 3,909 | 735,677 | 1,139,395 | 405,412 | |||||
Progress Software Corp. | Morgan Stanley | 687 | 24,855 | 31,774 | 7,443 | |||||
Proofpoint, Inc. | Morgan Stanley | 349 | 60,594 | 60,642 | 99 | |||||
PTC, Inc. | Morgan Stanley | 2,921 | 207,374 | 412,620 | 205,389 | |||||
Sailpoint Technologies Holdings, Inc. | Morgan Stanley | 1,247 | 25,698 | 63,684 | 45,014 | |||||
salesforce.com, Inc. | Morgan Stanley | 2,406 | 518,719 | 587,714 | 69,331 | |||||
SecureWorks Corp., Class A | Morgan Stanley | 40 | 790 | 741 | (34) | |||||
ServiceNow, Inc. | Morgan Stanley | 2,570 | 863,341 | 1,412,343 | 549,553 | |||||
Slack Technologies, Inc., Class A | Morgan Stanley | 188 | 8,388 | 8,328 | (40) | |||||
SPS Commerce, Inc. | Morgan Stanley | 836 | 78,546 | 83,475 | 4,954 | |||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 2,914 | 213,701 | 209,983 | (3,308) | |||||
Synopsys, Inc. | Morgan Stanley | 2,211 | 417,628 | 609,772 | 194,626 | |||||
Teradata Corp. | Morgan Stanley | 5,551 | 120,751 | 277,383 | 158,883 | |||||
Verint Systems, Inc. | Morgan Stanley | 8,233 | 359,202 | 371,061 | 12,096 | |||||
VeriSign, Inc. | Morgan Stanley | 1,290 | 255,243 | 293,720 | 38,649 | |||||
Vertex, Inc., Class A | Morgan Stanley | 210 | 4,538 | 4,607 | 86 | |||||
Visa, Inc., Class A | Morgan Stanley | 2,017 | 405,435 | 471,615 | 68,756 | |||||
Western Union Co. (The) | Morgan Stanley | 8,899 | 175,017 | 204,410 | 38,547 | |||||
Workiva, Inc. | Morgan Stanley | 460 | 34,953 | 51,212 | 16,294 | |||||
Xperi Holding Corp. | Morgan Stanley | 1,163 | 24,651 | 25,865 | 1,385 | |||||
199,800 | 17,099,686 | 22,303,198 | 5,368,739 | |||||||
Technology Hardware & Equipment | ||||||||||
3D Systems Corp. | Morgan Stanley | 11,620 | 355,818 | 464,451 | 108,868 | |||||
Apple, Inc. | Morgan Stanley | 25,606 | 1,793,903 | 3,506,998 | 1,738,827 | |||||
Arrow Electronics, Inc. | Morgan Stanley | 889 | 46,875 | 101,195 | 55,918 | |||||
Badger Meter, Inc. | Morgan Stanley | 6 | 356 | 589 | 252 | |||||
Belden, Inc. | Morgan Stanley | 691 | 21,427 | 34,944 | 13,701 | |||||
Benchmark Electronics, Inc. | Morgan Stanley | 821 | 24,654 | 23,366 | (1,129) | |||||
CDW Corp. | Morgan Stanley | 982 | 120,365 | 171,506 | 52,358 | |||||
Cisco Systems, Inc. | Morgan Stanley | 21,322 | 894,393 | 1,130,066 | 267,580 | |||||
Cognex Corp. | Morgan Stanley | 747 | 56,752 | 62,785 | 6,676 | |||||
Coherent, Inc. | Morgan Stanley | 1,556 | 407,623 | 411,313 | 3,956 | |||||
Corning, Inc. | Morgan Stanley | 8,058 | 223,776 | 329,572 | 112,911 | |||||
CTS Corp. | Morgan Stanley | 83 | 2,984 | 3,084 | 116 | |||||
Diebold Nixdorf, Inc. | Morgan Stanley | 7,324 | 40,586 | 94,040 | 53,466 | |||||
EchoStar Corp., Class A | Morgan Stanley | 2,393 | 57,485 | 58,126 | 656 | |||||
Extreme Networks, Inc. | Morgan Stanley | 4,914 | 54,904 | 54,840 | (16) | |||||
F5 Networks, Inc. | Morgan Stanley | 77 | 14,422 | 14,373 | (26) | |||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 27,496 | 413,066 | 400,892 | (8,471) | |||||
HP, Inc. | Morgan Stanley | 29,054 | 503,101 | 877,140 | 397,119 | |||||
Keysight Technologies, Inc. | Morgan Stanley | 1,119 | 157,936 | 172,785 | 15,887 | |||||
Knowles Corp. | Morgan Stanley | 2,458 | 49,617 | 48,521 | (1,052) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Technology Hardware & Equipment — (continued) | ||||||||||
Lumentum Holdings, Inc. | Morgan Stanley | 638 | $44,114 | $52,335 | $8,838 | |||||
NCR Corp. | Morgan Stanley | 8,282 | 197,441 | 377,742 | 180,437 | |||||
NetApp, Inc. | Morgan Stanley | 6,619 | 398,397 | 541,567 | 148,668 | |||||
NETGEAR, Inc. | Morgan Stanley | 2,594 | 95,100 | 99,402 | 4,358 | |||||
OSI Systems, Inc. | Morgan Stanley | 269 | 23,441 | 27,341 | 3,929 | |||||
Plantronics, Inc. | Morgan Stanley | 4,140 | 159,589 | 172,762 | 13,214 | |||||
Plexus Corp. | Morgan Stanley | 31 | 2,827 | 2,834 | 22 | |||||
Rogers Corp. | Morgan Stanley | 135 | 25,091 | 27,108 | 2,047 | |||||
Sanmina Corp. | Morgan Stanley | 3,736 | 96,558 | 145,555 | 49,071 | |||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 4,239 | 280,260 | 372,735 | 92,663 | |||||
SYNNEX Corp. | Morgan Stanley | 2,707 | 201,042 | 329,604 | 129,596 | |||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 2,109 | 149,854 | 285,158 | 139,899 | |||||
TTM Technologies, Inc. | Morgan Stanley | 7,853 | 105,076 | 112,298 | 7,301 | |||||
Ubiquiti, Inc. | Morgan Stanley | 783 | 176,099 | 244,445 | 71,464 | |||||
Vishay Intertechnology, Inc. | Morgan Stanley | 1,289 | 28,974 | 29,067 | 178 | |||||
Vontier Corp. | Morgan Stanley | 8,818 | 258,328 | 287,290 | 29,336 | |||||
Xerox Holdings Corp. | Morgan Stanley | 3,176 | 76,642 | 74,604 | (1,184) | |||||
Zebra Technologies Corp., Class A | Morgan Stanley | 862 | 322,029 | 456,420 | 134,605 | |||||
205,496 | 7,880,905 | 11,598,853 | 3,832,039 | |||||||
Telecommunication Services | ||||||||||
AT&T, Inc. | Morgan Stanley | 15,534 | 441,210 | 447,069 | 32,755 | |||||
BCE, Inc. (Canada) | Morgan Stanley | 22 | 1,085 | 1,085 | 15 | |||||
Gogo, Inc. | Morgan Stanley | 5,630 | 67,592 | 64,069 | (3,467) | |||||
Iridium Communications, Inc. | Morgan Stanley | 2,835 | 85,098 | 113,372 | 28,905 | |||||
Lumen Technologies, Inc. | Morgan Stanley | 7,097 | 77,276 | 96,448 | 22,387 | |||||
T-Mobile U.S., Inc. | Morgan Stanley | 2,690 | 302,938 | 389,593 | 86,857 | |||||
Verizon Communications, Inc. | Morgan Stanley | 12,050 | 641,263 | 675,161 | 57,837 | |||||
45,858 | 1,616,462 | 1,786,797 | 225,289 | |||||||
Transportation | ||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 4,899 | 193,845 | 295,459 | 101,747 | |||||
ArcBest Corp. | Morgan Stanley | 2,096 | 83,415 | 121,966 | 39,389 | |||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 1,940 | 109,046 | 132,133 | 23,169 | |||||
CSX Corp. | Morgan Stanley | 24,361 | 532,132 | 781,501 | 257,875 | |||||
Echo Global Logistics, Inc. | Morgan Stanley | 8,228 | 158,224 | 252,929 | 95,357 | |||||
Expeditors International of Washington, Inc. | Morgan Stanley | 2,304 | 269,175 | 291,686 | 24,021 | |||||
FedEx Corp. | Morgan Stanley | 2,363 | 645,050 | 704,954 | 62,052 | |||||
Heartland Express, Inc. | Morgan Stanley | 2 | 35 | 34 | 14 | |||||
Hub Group, Inc., Class A | Morgan Stanley | 748 | 50,653 | 49,353 | (1,255) | |||||
Norfolk Southern Corp. | Morgan Stanley | 946 | 129,580 | 251,078 | 126,043 | |||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 938 | 225,039 | 238,064 | 13,360 | |||||
Saia, Inc. | Morgan Stanley | 478 | 104,571 | 100,136 | (4,356) | |||||
Schneider National, Inc., Class B | Morgan Stanley | 1,412 | 30,014 | 30,739 | 1,832 | |||||
Southwest Airlines Co. | Morgan Stanley | 3,631 | 207,873 | 192,770 | (14,961) | |||||
Union Pacific Corp. | Morgan Stanley | 1,164 | 244,439 | 255,999 | 13,749 | |||||
United Parcel Service, Inc., Class B | Morgan Stanley | 2,376 | 399,182 | 494,137 | 100,690 | |||||
57,886 | 3,382,273 | 4,192,938 | 838,726 | |||||||
Utilities | ||||||||||
AES Corp. (The) | Morgan Stanley | 12,947 | 329,668 | 337,528 | 9,138 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Utilities — (continued) | ||||||||||
Alliant Energy Corp. | Morgan Stanley | 60 | $3,336 | $3,346 | $25 | |||||
American States Water Co. | Morgan Stanley | 12 | 960 | 955 | 9 | |||||
American Water Works Co., Inc. | Morgan Stanley | 262 | 40,484 | 40,382 | (15) | |||||
Avista Corp. | Morgan Stanley | 242 | 10,469 | 10,326 | (123) | |||||
Dominion Energy, Inc. | Morgan Stanley | 13,137 | 936,394 | 966,489 | 45,350 | |||||
Duke Energy Corp. | Morgan Stanley | 3,702 | 339,123 | 365,461 | 36,327 | |||||
Exelon Corp. | Morgan Stanley | 15,401 | 595,247 | 682,418 | 104,170 | |||||
MDU Resources Group, Inc. | Morgan Stanley | 5,343 | 167,793 | 167,450 | 694 | |||||
NextEra Energy, Inc. | Morgan Stanley | 2,236 | 163,341 | 163,854 | 1,416 | |||||
NRG Energy, Inc. | Morgan Stanley | 4,954 | 166,055 | 199,646 | 36,566 | |||||
TransAlta Corp. (Canada) | Morgan Stanley | 132 | 1,256 | 1,317 | 78 | |||||
58,428 | 2,754,126 | 2,939,172 | 233,635 | |||||||
Total Reference Entity — Long | 133,785,062 | 171,916,475 | 39,819,488 | |||||||
Short | ||||||||||
Automobiles & Components | ||||||||||
Dana, Inc. | Morgan Stanley | (12,913) | (315,343) | (306,813) | 4,318 | |||||
Dorman Products, Inc. | Morgan Stanley | (2,319) | (193,373) | (240,411) | (47,450) | |||||
Fox Factory Holding Corp. | Morgan Stanley | (2,008) | (287,645) | (312,565) | (27,661) | |||||
LCI Industries | Morgan Stanley | (2,077) | (289,899) | (272,959) | 13,559 | |||||
Lear Corp. | Morgan Stanley | (2,977) | (564,386) | (521,809) | 39,538 | |||||
Patrick Industries, Inc. | Morgan Stanley | (3,307) | (260,270) | (241,411) | 15,332 | |||||
Workhorse Group, Inc. | Morgan Stanley | (20,604) | (335,826) | (341,820) | (6,774) | |||||
(46,205) | (2,246,742) | (2,237,788) | (9,138) | |||||||
Capital Goods | ||||||||||
AAON, Inc. | Morgan Stanley | (1,792) | (124,601) | (112,161) | 11,765 | |||||
Air Lease Corp. | Morgan Stanley | (166) | (7,011) | (6,929) | 81 | |||||
Alamo Group, Inc. | Morgan Stanley | (302) | (37,285) | (46,109) | (9,161) | |||||
Albany International Corp., Class A | Morgan Stanley | (676) | (58,816) | (60,340) | (1,870) | |||||
Allison Transmission Holdings, Inc. | Morgan Stanley | (3,764) | (169,783) | (149,581) | 20,121 | |||||
American Woodmark Corp. | Morgan Stanley | (2,105) | (176,441) | (171,957) | 4,109 | |||||
Arcosa, Inc. | Morgan Stanley | (2,851) | (181,738) | (167,468) | 13,840 | |||||
Argan, Inc. | Morgan Stanley | (2,300) | (97,375) | (109,917) | (21,422) | |||||
Armstrong World Industries, Inc. | Morgan Stanley | (2,053) | (170,389) | (220,205) | (51,044) | |||||
Axon Enterprise, Inc. | Morgan Stanley | (1,991) | (267,953) | (352,009) | (85,241) | |||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (41,462) | (652,117) | (751,291) | (100,598) | |||||
Bloom Energy Corp., Class A | Morgan Stanley | (4,595) | (110,710) | (123,468) | (12,988) | |||||
Boeing Co. (The) | Morgan Stanley | (5,575) | (1,362,387) | (1,335,547) | 23,850 | |||||
BWX Technologies, Inc. | Morgan Stanley | (7,112) | (466,938) | (413,349) | 51,097 | |||||
CAI International, Inc. | Morgan Stanley | (194) | (10,803) | (10,864) | (71) | |||||
Carrier Global Corp. | Morgan Stanley | (649) | (31,459) | (31,541) | (138) | |||||
Construction Partners, Inc., Class A | Morgan Stanley | (8,014) | (242,498) | (251,640) | (9,663) | |||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (9,113) | (162,174) | (165,674) | (3,844) | |||||
CSW Industrials, Inc. | Morgan Stanley | (420) | (55,824) | (49,753) | 5,899 | |||||
Energy Recovery, Inc. | Morgan Stanley | (2,216) | (46,200) | (50,480) | (4,368) | |||||
Evoqua Water Technologies Corp. | Morgan Stanley | (32,905) | (959,784) | (1,111,531) | (153,849) | |||||
Federal Signal Corp. | Morgan Stanley | (2,407) | (85,286) | (96,834) | (13,102) | |||||
Fluor Corp. | Morgan Stanley | (14,539) | (339,550) | (257,340) | 87,136 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
FuelCell Energy, Inc. | Morgan Stanley | (36,543) | $(564,737) | $(325,233) | $238,273 | |||||
GATX Corp. | Morgan Stanley | (4,258) | (388,377) | (376,705) | 6,618 | |||||
GMS, Inc. | Morgan Stanley | (343) | (16,340) | (16,512) | (194) | |||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (3,113) | (45,582) | (45,481) | 15 | |||||
Greenbrier Cos., Inc. (The) | Morgan Stanley | (485) | (22,088) | (21,136) | 917 | |||||
Helios Technologies, Inc. | Morgan Stanley | (2,348) | (121,043) | (183,261) | (63,625) | |||||
Hexcel Corp. | Morgan Stanley | (5,834) | (329,945) | (364,042) | (35,217) | |||||
Hubbell, Inc. | Morgan Stanley | (251) | (49,065) | (46,897) | 1,803 | |||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (2,681) | (156,428) | (195,659) | (45,617) | |||||
Kennametal, Inc. | Morgan Stanley | (12,100) | (449,367) | (434,632) | 5,343 | |||||
Lindsay Corp. | Morgan Stanley | (553) | (91,458) | (91,400) | (270) | |||||
Lydall, Inc. | Morgan Stanley | (61) | (3,708) | (3,692) | 22 | |||||
Maxar Technologies, Inc. | Morgan Stanley | (1,352) | (66,382) | (53,972) | 12,250 | |||||
Mercury Systems, Inc. | Morgan Stanley | (9,254) | (634,819) | (613,355) | 20,078 | |||||
Meritor, Inc. | Morgan Stanley | (13,004) | (339,604) | (304,554) | 34,433 | |||||
Moog, Inc., Class A | Morgan Stanley | (1,864) | (170,196) | (156,688) | 10,800 | |||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (720) | (66,284) | (64,606) | 1,605 | |||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (7,549) | (85,337) | (108,857) | (27,138) | |||||
Navistar International Corp. | Morgan Stanley | (8,715) | (386,704) | (387,818) | (1,952) | |||||
NV5 Global, Inc. | Morgan Stanley | (1,935) | (138,019) | (182,877) | (45,941) | |||||
Parsons Corp. | Morgan Stanley | (3,950) | (145,757) | (155,472) | (10,210) | |||||
PGT Innovations, Inc. | Morgan Stanley | (16,459) | (266,596) | (382,343) | (116,320) | |||||
Proto Labs, Inc. | Morgan Stanley | (3,488) | (669,694) | (320,198) | 348,033 | |||||
Raven Industries, Inc. | Morgan Stanley | (356) | (20,547) | (20,595) | (80) | |||||
REV Group, Inc. | Morgan Stanley | (6,666) | (77,526) | (104,590) | (29,106) | |||||
Rexnord Corp. | Morgan Stanley | (10,578) | (535,761) | (529,323) | 4,793 | |||||
Rockwell Automation, Inc. | Morgan Stanley | (1,135) | (320,895) | (324,633) | (4,432) | |||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (8,700) | (403,943) | (410,553) | (7,556) | |||||
SPX Corp. | Morgan Stanley | (1,060) | (62,981) | (64,745) | (2,003) | |||||
Sunrun, Inc. | Morgan Stanley | (6,851) | (473,705) | (382,149) | 87,650 | |||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (6,463) | (202,828) | (218,256) | (15,861) | |||||
TransDigm Group, Inc. | Morgan Stanley | (1,038) | (694,517) | (671,887) | 21,355 | |||||
Trex Co., Inc. | Morgan Stanley | (8,606) | (768,163) | (879,619) | (113,135) | |||||
Welbilt, Inc. | Morgan Stanley | (24,577) | (377,318) | (568,958) | (204,694) | |||||
WESCO International, Inc. | Morgan Stanley | (1,776) | (96,057) | (182,608) | (93,680) | |||||
Westport Fuel Systems, Inc. (Canada) | Morgan Stanley | (25,173) | (197,925) | (133,669) | 64,209 | |||||
(387,040) | (15,256,818) | (15,372,963) | (208,295) | |||||||
Commercial & Professional Services | ||||||||||
ADT, Inc. | Morgan Stanley | (81,719) | (743,098) | (881,748) | (146,965) | |||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (2,592) | (223,259) | (220,787) | 1,076 | |||||
Casella Waste Systems, Inc., Class A | Morgan Stanley | (1,140) | (70,200) | (72,310) | (3,104) | |||||
Clarivate PLC (Jersey) | Morgan Stanley | (12,574) | (338,297) | (346,162) | (8,930) | |||||
CoStar Group, Inc. | Morgan Stanley | (17,833) | (1,545,567) | (1,476,929) | 64,203 | |||||
Covanta Holding Corp. | Morgan Stanley | (15,158) | (255,495) | (266,932) | (24,473) | |||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (2,593) | (63,807) | (55,412) | 8,268 | |||||
Forrester Research, Inc. | Morgan Stanley | (2,257) | (78,985) | (103,371) | (24,546) | |||||
FTI Consulting, Inc. | Morgan Stanley | (2,967) | (422,019) | (405,322) | 15,815 | |||||
Harsco Corp. | Morgan Stanley | (8,958) | (147,989) | (182,922) | (35,376) | |||||
Insperity, Inc. | Morgan Stanley | (8,477) | (829,144) | (766,066) | 41,313 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Commercial & Professional Services — (continued) | ||||||||||
Korn Ferry | Morgan Stanley | (1,210) | $(52,453) | $(87,786) | $(36,546) | |||||
ManTech International Corp., Class A | Morgan Stanley | (2,133) | (184,012) | (184,590) | (1,565) | |||||
MSA Safety, Inc. | Morgan Stanley | (315) | (52,270) | (52,158) | (48) | |||||
Pitney Bowes, Inc. | Morgan Stanley | (30,675) | (261,467) | (269,020) | (9,147) | |||||
TransUnion | Morgan Stanley | (4,179) | (445,640) | (458,896) | (14,581) | |||||
U.S. Ecology, Inc. | Morgan Stanley | (7,986) | (494,706) | (299,635) | 194,176 | |||||
Upwork, Inc. | Morgan Stanley | (1,845) | (76,031) | (107,545) | (34,208) | |||||
Viad Corp. | Morgan Stanley | (3,126) | (126,084) | (155,831) | (30,012) | |||||
Waste Connections, Inc. (Canada) | Morgan Stanley | (825) | (101,431) | (98,530) | 2,536 | |||||
(208,562) | (6,511,954) | (6,491,952) | (42,114) | |||||||
Consumer Durables & Apparel | ||||||||||
Callaway Golf Co. | Morgan Stanley | (4,788) | (169,601) | (161,499) | 7,741 | |||||
Columbia Sportswear Co. | Morgan Stanley | (1,017) | (103,183) | (100,032) | 1,960 | |||||
G-III Apparel Group Ltd. | Morgan Stanley | (12,052) | (351,661) | (396,029) | (45,363) | |||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (1,933) | (426,876) | (440,956) | (15,007) | |||||
Installed Building Products, Inc. | Morgan Stanley | (865) | (115,752) | (105,841) | 9,416 | |||||
Levi Strauss & Co., Class A | Morgan Stanley | (6,599) | (161,318) | (182,924) | (22,945) | |||||
Lovesac Co. (The) | Morgan Stanley | (160) | (12,632) | (12,766) | (148) | |||||
Lululemon Athletica, Inc. | Morgan Stanley | (620) | (203,891) | (226,281) | (22,826) | |||||
Malibu Boats, Inc., Class A | Morgan Stanley | (2,015) | (162,844) | (147,760) | 14,878 | |||||
Oxford Industries, Inc. | Morgan Stanley | (3,403) | (206,478) | (336,353) | (133,019) | |||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (15,151) | (1,529,264) | (1,879,027) | (393,304) | |||||
Purple Innovation, Inc. | Morgan Stanley | (14,965) | (547,225) | (395,226) | 150,807 | |||||
Ralph Lauren Corp. | Morgan Stanley | (2,337) | (274,367) | (275,322) | (3,246) | |||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (1,714) | (66,466) | (85,409) | (19,076) | |||||
VF Corp. | Morgan Stanley | (3,183) | (270,646) | (261,133) | 8,286 | |||||
Vista Outdoor, Inc. | Morgan Stanley | (116) | (5,360) | (5,368) | 262 | |||||
Vizio Holding Corp., Class A | Morgan Stanley | (275) | (7,316) | (7,428) | (114) | |||||
Vuzix Corp. | Morgan Stanley | (387) | (7,145) | (7,101) | (2,552) | |||||
Wolverine World Wide, Inc. | Morgan Stanley | (8,201) | (238,364) | (275,882) | (44,580) | |||||
(79,781) | (4,860,389) | (5,302,337) | (508,830) | |||||||
Consumer Services | ||||||||||
Aramark | Morgan Stanley | (39,749) | (1,528,258) | (1,480,650) | 37,922 | |||||
Bally's Corp. | Morgan Stanley | (8,273) | (517,597) | (447,652) | 68,818 | |||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (6,251) | (1,057,156) | (919,585) | 135,255 | |||||
Carnival Corp. (Panama) | Morgan Stanley | (2,863) | (74,988) | (75,469) | (632) | |||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (279) | (426,288) | (432,545) | (7,182) | |||||
Churchill Downs, Inc. | Morgan Stanley | (333) | (70,932) | (66,021) | 4,840 | |||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | (433) | (61,797) | (64,283) | (2,983) | |||||
Dave & Buster's Entertainment, Inc. | Morgan Stanley | (5,516) | (246,502) | (223,950) | 22,755 | |||||
Denny's Corp. | Morgan Stanley | (31,134) | (453,058) | (513,400) | (61,326) | |||||
Domino's Pizza, Inc. | Morgan Stanley | (543) | (249,494) | (253,304) | (4,347) | |||||
DraftKings, Inc., Class A | Morgan Stanley | (14,911) | (765,647) | (777,907) | (13,934) | |||||
frontdoor, Inc. | Morgan Stanley | (3,772) | (201,782) | (187,921) | 13,448 | |||||
Hyatt Hotels Corp., Class A | Morgan Stanley | (730) | (58,095) | (56,677) | 1,303 | |||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (3,449) | (151,729) | (228,220) | (76,969) | |||||
Planet Fitness, Inc., Class A | Morgan Stanley | (7,281) | (552,179) | (547,895) | 3,080 | |||||
Restaurant Brands International, Inc. (Canada) | Morgan Stanley | (2,844) | (195,366) | (183,267) | 10,220 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Services — (continued) | ||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (6,352) | $(555,082) | $(541,699) | $12,174 | |||||
Shake Shack, Inc., Class A | Morgan Stanley | (4,125) | (391,734) | (441,458) | (50,573) | |||||
Strategic Education, Inc. | Morgan Stanley | (886) | (69,304) | (67,389) | 1,776 | |||||
Stride, Inc. | Morgan Stanley | (6,986) | (192,938) | (224,460) | (33,089) | |||||
Terminix Global Holdings, Inc. | Morgan Stanley | (971) | (49,020) | (46,326) | 2,749 | |||||
Wingstop, Inc. | Morgan Stanley | (664) | (104,812) | (104,666) | (72) | |||||
Wyndham Hotels & Resorts, Inc. | Morgan Stanley | (793) | (58,870) | (57,326) | 1,438 | |||||
Wynn Resorts Ltd. | Morgan Stanley | (770) | (66,219) | (94,171) | (28,084) | |||||
(149,908) | (8,098,847) | (8,036,241) | 36,587 | |||||||
Diversified Financials | ||||||||||
SEI Investments Co. | Morgan Stanley | (1,856) | (116,555) | (115,016) | 627 | |||||
State Street Corp. | Morgan Stanley | (248) | (20,260) | (20,405) | (177) | |||||
(2,104) | (136,815) | (135,421) | 450 | |||||||
Energy | ||||||||||
Antero Midstream Corp. | Morgan Stanley | (1,018) | (10,570) | (10,577) | (17) | |||||
Cabot Oil & Gas Corp. | Morgan Stanley | (7,472) | (155,982) | (130,461) | 22,554 | |||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (127,078) | (1,082,160) | (1,217,407) | (139,062) | |||||
Cheniere Energy, Inc. | Morgan Stanley | (4,402) | (330,374) | (381,829) | (53,870) | |||||
Clean Energy Fuels Corp. | Morgan Stanley | (5,865) | (62,797) | (59,530) | 3,142 | |||||
CVR Energy, Inc. | Morgan Stanley | (1,713) | (31,496) | (30,765) | 674 | |||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (11,717) | (246,456) | (253,322) | (17,283) | |||||
Denbury, Inc. | Morgan Stanley | (5,840) | (369,687) | (448,395) | (81,007) | |||||
Diamondback Energy, Inc. | Morgan Stanley | (27,747) | (2,243,055) | (2,605,166) | (371,720) | |||||
Dril-Quip, Inc. | Morgan Stanley | (5,717) | (185,886) | (193,406) | (8,047) | |||||
Enerplus Corp. (Canada) | Morgan Stanley | (17,394) | (96,641) | (125,063) | (29,215) | |||||
Gevo, Inc. | Morgan Stanley | (17,693) | (132,827) | (128,628) | 3,919 | |||||
Laredo Petroleum, Inc. | Morgan Stanley | (656) | (54,418) | (60,870) | (6,558) | |||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (10,234) | (121,953) | (144,913) | (23,532) | |||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (736) | (3,601) | (3,503) | 103 | |||||
Northern Oil and Gas, Inc. | Morgan Stanley | (6,199) | (121,275) | (128,753) | (7,896) | |||||
Par Pacific Holdings, Inc. | Morgan Stanley | (154) | (2,530) | (2,590) | (52) | |||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (10,571) | (86,641) | (105,076) | (19,659) | |||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (12,411) | (421,627) | (394,297) | (537) | |||||
Phillips 66 | Morgan Stanley | (701) | (59,489) | (60,160) | (1,419) | |||||
Pioneer Natural Resources Co. | Morgan Stanley | (15,180) | (2,405,690) | (2,467,054) | (75,079) | |||||
RPC, Inc. | Morgan Stanley | (38,132) | (180,743) | (188,753) | (8,412) | |||||
SFL Corp. Ltd. (Bermuda) | Morgan Stanley | (16,237) | (222,609) | (124,213) | 66,263 | |||||
Southwestern Energy Co. | Morgan Stanley | (239,892) | (1,031,965) | (1,360,188) | (346,630) | |||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (38,395) | (317,084) | (347,475) | (31,076) | |||||
Valaris Ltd. (Bermuda) | Morgan Stanley | (315) | (9,176) | (9,097) | 72 | |||||
(623,469) | (9,986,732) | (10,981,491) | (1,124,344) | |||||||
Food & Staples Retailing | ||||||||||
BJ's Wholesale Club Holdings, Inc. | Morgan Stanley | (2,902) | (137,175) | (138,077) | (1,191) | |||||
Casey's General Stores, Inc. | Morgan Stanley | (1,021) | (204,225) | (198,727) | 5,061 | |||||
Chefs' Warehouse, Inc. (The) | Morgan Stanley | (5,187) | (149,836) | (165,102) | (15,583) | |||||
Grocery Outlet Holding Corp. | Morgan Stanley | (21,949) | (906,926) | (760,752) | 144,189 | |||||
PriceSmart, Inc. | Morgan Stanley | (1,340) | (85,777) | (121,953) | (37,764) | |||||
Rite Aid Corp. | Morgan Stanley | (10,055) | (179,041) | (163,897) | 14,692 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Food & Staples Retailing — (continued) | ||||||||||
U.S. Foods Holding Corp. | Morgan Stanley | (3,423) | $(142,458) | $(131,306) | $11,921 | |||||
United Natural Foods, Inc. | Morgan Stanley | (2,768) | (102,544) | (102,361) | (29) | |||||
(48,645) | (1,907,982) | (1,782,175) | 121,296 | |||||||
Food, Beverage & Tobacco | ||||||||||
B&G Foods, Inc. | Morgan Stanley | (12,407) | (403,446) | (406,950) | (16,081) | |||||
Beyond Meat, Inc. | Morgan Stanley | (2,767) | (449,434) | (435,775) | 11,313 | |||||
Brown-Forman Corp., Class B | Morgan Stanley | (5,647) | (433,263) | (423,186) | 8,550 | |||||
Calavo Growers, Inc. | Morgan Stanley | (4,901) | (384,489) | (310,821) | 64,612 | |||||
Celsius Holdings, Inc. | Morgan Stanley | (5,156) | (277,581) | (392,320) | (119,783) | |||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | Morgan Stanley | (6,991) | (186,664) | (229,864) | (48,130) | |||||
Freshpet, Inc. | Morgan Stanley | (1,919) | (311,862) | (312,720) | (1,532) | |||||
Hormel Foods Corp. | Morgan Stanley | (8,904) | (437,126) | (425,166) | 11,248 | |||||
Ingredion, Inc. | Morgan Stanley | (4,766) | (456,253) | (431,323) | 21,115 | |||||
J & J Snack Foods Corp. | Morgan Stanley | (1,702) | (294,653) | (296,846) | (8,681) | |||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (9,552) | (778,515) | (770,464) | 4,578 | |||||
McCormick & Co, Inc., Non Voting Shares | Morgan Stanley | (773) | (69,979) | (68,271) | 1,567 | |||||
MGP Ingredients, Inc. | Morgan Stanley | (3,292) | (173,796) | (222,671) | (52,955) | |||||
Pilgrim's Pride Corp. | Morgan Stanley | (10,707) | (235,334) | (237,481) | (2,803) | |||||
Post Holdings, Inc. | Morgan Stanley | (3,566) | (414,729) | (386,804) | 27,101 | |||||
Primo Water Corp. (Canada) | Morgan Stanley | (3,565) | (58,697) | (59,642) | (1,256) | |||||
Simply Good Foods Co. (The) | Morgan Stanley | (394) | (14,377) | (14,385) | (26) | |||||
Universal Corp. | Morgan Stanley | (1,114) | (58,957) | (63,465) | (9,317) | |||||
Utz Brands, Inc. | Morgan Stanley | (4,737) | (110,758) | (103,219) | 7,166 | |||||
(92,860) | (5,549,913) | (5,591,373) | (103,314) | |||||||
Health Care Equipment & Services | ||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (9,564) | (327,173) | (316,186) | 10,280 | |||||
ABIOMED, Inc. | Morgan Stanley | (2,735) | (829,720) | (853,621) | (25,716) | |||||
AdaptHealth Corp. | Morgan Stanley | (7,427) | (194,320) | (203,574) | (9,669) | |||||
Alphatec Holdings, Inc. | Morgan Stanley | (4,138) | (61,066) | (63,394) | (2,450) | |||||
American Well Corp., Class A | Morgan Stanley | (14,512) | (204,276) | (182,561) | 21,279 | |||||
Avanos Medical, Inc. | Morgan Stanley | (5,569) | (206,706) | (202,545) | 3,709 | |||||
Axogen, Inc. | Morgan Stanley | (10,992) | (169,096) | (237,537) | (69,239) | |||||
BioLife Solutions, Inc. | Morgan Stanley | (1,829) | (66,846) | (81,409) | (14,697) | |||||
Cardinal Health, Inc. | Morgan Stanley | (8,940) | (496,593) | (510,385) | (22,590) | |||||
Cardiovascular Systems, Inc. | Morgan Stanley | (7,826) | (362,745) | (333,779) | 28,180 | |||||
Castle Biosciences, Inc. | Morgan Stanley | (5,583) | (370,069) | (409,401) | (40,769) | |||||
Covetrus, Inc. | Morgan Stanley | (10,713) | (357,107) | (289,251) | 67,082 | |||||
CryoPort, Inc. | Morgan Stanley | (3,090) | (173,499) | (194,979) | (23,329) | |||||
Dexcom, Inc. | Morgan Stanley | (1,842) | (744,241) | (786,534) | (44,891) | |||||
Edwards Lifesciences Corp. | Morgan Stanley | (4,596) | (449,061) | (476,008) | (27,964) | |||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (2,022) | (83,234) | (72,812) | 10,761 | |||||
Guardant Health, Inc. | Morgan Stanley | (9,538) | (1,253,656) | (1,184,524) | 64,704 | |||||
Haemonetics Corp. | Morgan Stanley | (6,949) | (561,779) | (463,081) | 97,473 | |||||
Hanger, Inc. | Morgan Stanley | (24) | (602) | (607) | 8 | |||||
Health Catalyst, Inc. | Morgan Stanley | (1,171) | (56,919) | (65,002) | (8,195) | |||||
HealthEquity, Inc. | Morgan Stanley | (1,314) | (115,969) | (105,751) | 10,000 | |||||
Humana, Inc. | Morgan Stanley | (202) | (89,294) | (89,429) | (318) | |||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (2,708) | (88,181) | (92,289) | (4,288) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
Inspire Medical Systems, Inc. | Morgan Stanley | (552) | $(96,828) | $(106,680) | $(10,051) | |||||
Insulet Corp. | Morgan Stanley | (4,334) | (1,149,648) | (1,189,726) | (45,515) | |||||
Integer Holdings Corp. | Morgan Stanley | (19) | (1,779) | (1,790) | (1) | |||||
Joint Corp. (The) | Morgan Stanley | (637) | (47,591) | (53,457) | (5,957) | |||||
Lantheus Holdings, Inc. | Morgan Stanley | (16,017) | (339,173) | (442,710) | (104,271) | |||||
LeMaitre Vascular, Inc. | Morgan Stanley | (328) | (19,913) | (20,015) | (132) | |||||
Magellan Health, Inc. | Morgan Stanley | (1,017) | (94,967) | (95,801) | (1,030) | |||||
Masimo Corp. | Morgan Stanley | (2,217) | (545,773) | (537,512) | 7,072 | |||||
Mesa Laboratories, Inc. | Morgan Stanley | (456) | (118,431) | (123,654) | (5,933) | |||||
Neogen Corp. | Morgan Stanley | (2,238) | (102,524) | (103,038) | (733) | |||||
Novocure Ltd. (Jersey) | Morgan Stanley | (208) | (44,542) | (46,139) | (2,001) | |||||
Oak Street Health, Inc. | Morgan Stanley | (1,567) | (87,687) | (91,779) | (4,272) | |||||
Option Care Health, Inc. | Morgan Stanley | (7,069) | (148,424) | (154,599) | (6,488) | |||||
OrthoPediatrics Corp. | Morgan Stanley | (2,786) | (141,745) | (176,019) | (35,115) | |||||
Penumbra, Inc. | Morgan Stanley | (1,600) | (419,975) | (438,496) | (19,433) | |||||
PetIQ, Inc. | Morgan Stanley | (9,910) | (312,938) | (382,526) | (71,435) | |||||
Progyny, Inc. | Morgan Stanley | (7,141) | (450,394) | (421,319) | 28,007 | |||||
RadNet, Inc. | Morgan Stanley | (8,940) | (130,396) | (301,189) | (172,662) | |||||
ResMed, Inc. | Morgan Stanley | (3,879) | (812,503) | (956,251) | (145,525) | |||||
SI-BONE, Inc. | Morgan Stanley | (71) | (2,199) | (2,234) | (27) | |||||
Silk Road Medical, Inc. | Morgan Stanley | (6,282) | (352,961) | (300,657) | 51,541 | |||||
Simulations Plus, Inc. | Morgan Stanley | (1,878) | (134,319) | (103,121) | 30,830 | |||||
Surgery Partners, Inc. | Morgan Stanley | (2,736) | (136,149) | (182,272) | (46,409) | |||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (8,303) | (480,843) | (415,150) | 64,728 | |||||
Tactile Systems Technology, Inc. | Morgan Stanley | (3,668) | (141,964) | (190,736) | (49,071) | |||||
Teladoc Health, Inc. | Morgan Stanley | (1,291) | (207,699) | (214,680) | (7,425) | |||||
U.S. Physical Therapy, Inc. | Morgan Stanley | (2,447) | (321,819) | (283,534) | 34,518 | |||||
Varex Imaging Corp. | Morgan Stanley | (1,751) | (30,506) | (46,962) | (17,497) | |||||
Vocera Communications, Inc. | Morgan Stanley | (2,660) | (64,071) | (106,001) | (42,058) | |||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (4,144) | (729,928) | (666,438) | 61,481 | |||||
(229,430) | (14,929,841) | (15,369,144) | (495,503) | |||||||
Household & Personal Products | ||||||||||
BellRing Brands, Inc., Class A | Morgan Stanley | (338) | (10,434) | (10,593) | (168) | |||||
Central Garden & Pet Co., Class A | Morgan Stanley | (4,689) | (168,050) | (226,479) | (58,786) | |||||
Church & Dwight Co., Inc. | Morgan Stanley | (888) | (79,030) | (75,675) | 3,032 | |||||
Clorox Co. (The) | Morgan Stanley | (212) | (38,220) | (38,141) | 9 | |||||
Kimberly-Clark Corp. | Morgan Stanley | (2,485) | (328,620) | (332,443) | (4,533) | |||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (2,244) | (68,027) | (68,105) | (817) | |||||
WD-40 Co. | Morgan Stanley | (14) | (3,572) | (3,588) | (143) | |||||
(10,870) | (695,953) | (755,024) | (61,406) | |||||||
Materials | ||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | (6,913) | (488,512) | (417,891) | 68,935 | |||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | (17,828) | (187,762) | (136,384) | 49,463 | |||||
Arconic Corp. | Morgan Stanley | (4,150) | (142,470) | (147,823) | (5,935) | |||||
Ball Corp. | Morgan Stanley | (12,801) | (1,125,387) | (1,037,137) | 84,197 | |||||
Cabot Corp. | Morgan Stanley | (1,120) | (70,008) | (63,762) | 6,038 | |||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (48,733) | (547,548) | (338,694) | 209,316 | |||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (7,479) | (127,864) | (118,243) | 9,353 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
HB Fuller Co. | Morgan Stanley | (1,018) | $(64,760) | $(64,755) | $(124) | |||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (16,265) | (2,305,967) | (2,429,991) | (141,241) | |||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (6,116) | (274,205) | (235,649) | 35,329 | |||||
MAG Silver Corp. (Canada) | Morgan Stanley | (253) | (5,203) | (5,293) | (88) | |||||
Materion Corp. | Morgan Stanley | (1,007) | (73,233) | (75,877) | (2,902) | |||||
Methanex Corp. (Canada) | Morgan Stanley | (2,627) | (87,282) | (86,875) | (1,252) | |||||
NewMarket Corp. | Morgan Stanley | (230) | (80,450) | (74,055) | 5,812 | |||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (23,572) | (255,999) | (188,812) | 66,637 | |||||
Orla Mining Ltd. (Canada) | Morgan Stanley | (284) | (1,239) | (1,170) | 80 | |||||
Quaker Chemical Corp. | Morgan Stanley | (786) | (186,526) | (186,431) | (303) | |||||
Ranpak Holdings Corp. | Morgan Stanley | (270) | (6,561) | (6,758) | (198) | |||||
Schnitzer Steel Industries, Inc., Class A | Morgan Stanley | (2,521) | (118,764) | (123,655) | (5,193) | |||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (8,638) | (159,598) | (151,597) | 7,663 | |||||
Silgan Holdings, Inc. | Morgan Stanley | (2,591) | (111,243) | (107,527) | 3,123 | |||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (678) | (6,455) | (5,919) | 536 | |||||
SSR Mining, Inc. (Canada) | Morgan Stanley | (4,656) | (76,522) | (72,587) | 3,592 | |||||
Steel Dynamics, Inc. | Morgan Stanley | (1,435) | (60,794) | (85,526) | (25,475) | |||||
Stepan Co. | Morgan Stanley | (1,074) | (139,020) | (129,170) | 9,267 | |||||
Summit Materials, Inc., Class A | Morgan Stanley | (6,276) | (216,832) | (218,719) | (2,404) | |||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (18,976) | (424,304) | (437,207) | (14,501) | |||||
Tronox Holdings PLC, Class A (United Kingdom) | Morgan Stanley | (3,433) | (39,599) | (76,899) | (43,349) | |||||
U.S. Concrete, Inc. | Morgan Stanley | (2,370) | (175,740) | (174,906) | 460 | |||||
United States Steel Corp. | Morgan Stanley | (9,484) | (235,580) | (227,616) | 7,458 | |||||
Valvoline, Inc. | Morgan Stanley | (37,814) | (1,019,956) | (1,227,442) | (218,381) | |||||
Warrior Met Coal, Inc. | Morgan Stanley | (19,411) | (338,718) | (333,869) | 213 | |||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (297,614) | (1,328,959) | (1,255,931) | 57,797 | |||||
(568,423) | (10,483,060) | (10,244,170) | 163,923 | |||||||
Media & Entertainment | ||||||||||
Angi, Inc. | Morgan Stanley | (49,422) | (680,911) | (668,185) | 9,853 | |||||
Bumble, Inc., Class A | Morgan Stanley | (2,760) | (137,704) | (158,976) | (21,562) | |||||
Cable One, Inc. | Morgan Stanley | (74) | (139,042) | (141,548) | (2,798) | |||||
Cardlytics, Inc. | Morgan Stanley | (437) | (56,222) | (55,468) | 538 | |||||
Cinemark Holdings, Inc. | Morgan Stanley | (17,834) | (370,465) | (391,456) | (21,795) | |||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (42,823) | (94,203) | (113,053) | (19,043) | |||||
EverQuote, Inc., Class A | Morgan Stanley | (1,194) | (38,835) | (39,020) | (257) | |||||
EW Scripps Co. (The), Class A | Morgan Stanley | (4,945) | (71,363) | (100,829) | (30,774) | |||||
iHeartMedia, Inc., Class A | Morgan Stanley | (11,928) | (216,191) | (321,221) | (105,688) | |||||
Live Nation Entertainment, Inc. | Morgan Stanley | (1,390) | (122,642) | (121,750) | 635 | |||||
Madison Square Garden Entertainment Corp. | Morgan Stanley | (3,131) | (304,434) | (262,910) | 40,867 | |||||
Magnite, Inc. | Morgan Stanley | (8,609) | (312,587) | (291,329) | 20,410 | |||||
Match Group, Inc. | Morgan Stanley | (7,423) | (1,181,020) | (1,196,959) | (18,528) | |||||
Meredith Corp. | Morgan Stanley | (7,915) | (302,646) | (343,828) | (47,181) | |||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (4,273) | (115,131) | (123,575) | (9,739) | |||||
Sinclair Broadcast Group, Inc., Class A | Morgan Stanley | (9,096) | (352,199) | (302,169) | 36,962 | |||||
Sirius XM Holdings, Inc. | Morgan Stanley | (129,637) | (861,479) | (847,826) | 10,899 | |||||
TEGNA, Inc. | Morgan Stanley | (10,655) | (197,386) | (199,888) | (5,903) | |||||
TripAdvisor, Inc. | Morgan Stanley | (9,842) | (434,555) | (396,633) | 36,978 | |||||
WideOpenWest, Inc. | Morgan Stanley | (7,884) | (45,334) | (163,278) | (118,029) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Media & Entertainment — (continued) | ||||||||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (3,981) | $(210,552) | $(207,689) | $2,413 | |||||
Zynga, Inc., Class A | Morgan Stanley | (15,498) | (181,498) | (164,744) | 16,368 | |||||
(350,751) | (6,426,399) | (6,612,334) | (225,374) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (2,575) | (395,180) | (504,237) | (114,841) | |||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (9,815) | (460,641) | (401,041) | 58,595 | |||||
Alector, Inc. | Morgan Stanley | (1,170) | (34,345) | (24,371) | 10,419 | |||||
Allogene Therapeutics, Inc. | Morgan Stanley | (1,955) | (48,199) | (50,986) | (2,880) | |||||
Allovir, Inc. | Morgan Stanley | (26) | (525) | (513) | 25 | |||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (6,135) | (519,440) | (207,608) | 310,702 | |||||
Arcus Biosciences, Inc. | Morgan Stanley | (1,219) | (35,679) | (33,474) | 2,141 | |||||
Arvinas, Inc. | Morgan Stanley | (7,405) | (361,564) | (570,185) | (212,982) | |||||
Aurinia Pharmaceuticals, Inc. (Canada) | Morgan Stanley | (4,364) | (69,214) | (56,557) | 12,518 | |||||
Avantor, Inc. | Morgan Stanley | (18,139) | (599,154) | (644,116) | (46,269) | |||||
Axsome Therapeutics, Inc. | Morgan Stanley | (2,283) | (178,466) | (154,011) | 24,450 | |||||
Berkeley Lights, Inc. | Morgan Stanley | (9,896) | (488,631) | (443,440) | 43,973 | |||||
Bristol-Myers Squibb Co. | Morgan Stanley | (4,219) | (281,969) | (281,914) | (552) | |||||
Catalent, Inc. | Morgan Stanley | (2,558) | (303,715) | (276,571) | 26,488 | |||||
Codexis, Inc. | Morgan Stanley | (13,692) | (198,460) | (310,261) | (112,312) | |||||
Cytokinetics, Inc. | Morgan Stanley | (80) | (1,762) | (1,583) | 189 | |||||
Eli Lilly & Co. | Morgan Stanley | (5,379) | (1,244,191) | (1,234,588) | 6,874 | |||||
Enanta Pharmaceuticals, Inc. | Morgan Stanley | (40) | (1,797) | (1,760) | 47 | |||||
Endo International PLC (Ireland) | Morgan Stanley | (1,045) | (10,116) | (4,891) | 5,217 | |||||
Epizyme, Inc. | Morgan Stanley | (275) | (6,225) | (2,285) | 5,650 | |||||
Exact Sciences Corp. | Morgan Stanley | (2,195) | (240,892) | (272,860) | (32,486) | |||||
Exelixis, Inc. | Morgan Stanley | (17,613) | (407,565) | (320,909) | 88,274 | |||||
Global Blood Therapeutics, Inc. | Morgan Stanley | (163) | (5,380) | (5,708) | (326) | |||||
Horizon Therapeutics PLC (Ireland) | Morgan Stanley | (5,545) | (524,462) | (519,234) | 4,086 | |||||
Immunovant, Inc. | Morgan Stanley | (497) | (5,323) | (5,253) | 71 | |||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (3,506) | (168,859) | (139,854) | 28,630 | |||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (674) | (25,520) | (17,537) | 7,940 | |||||
Keros Therapeutics, Inc. | Morgan Stanley | (17) | (720) | (722) | 10 | |||||
Krystal Biotech, Inc. | Morgan Stanley | (19) | (1,330) | (1,292) | 49 | |||||
Ligand Pharmaceuticals, Inc. | Morgan Stanley | (23) | (3,114) | (3,017) | 104 | |||||
Luminex Corp. | Morgan Stanley | (17,145) | (630,309) | (630,936) | (3,626) | |||||
Medpace Holdings, Inc. | Morgan Stanley | (2,021) | (360,381) | (356,969) | 2,632 | |||||
Mersana Therapeutics, Inc. | Morgan Stanley | (16) | (215) | (217) | 10 | |||||
Mirati Therapeutics, Inc. | Morgan Stanley | (699) | (115,786) | (112,909) | 2,635 | |||||
NanoString Technologies, Inc. | Morgan Stanley | (3,678) | (191,092) | (238,298) | (47,614) | |||||
Neurocrine Biosciences, Inc. | Morgan Stanley | (702) | (71,116) | (68,319) | 3,052 | |||||
NGM Biopharmaceuticals, Inc. | Morgan Stanley | (206) | (4,210) | (4,062) | 152 | |||||
Ocular Therapeutix, Inc. | Morgan Stanley | (1,287) | (18,270) | (18,250) | (6) | |||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (7,259) | (352,277) | (332,825) | 15,523 | |||||
Personalis, Inc. | Morgan Stanley | (9,567) | (257,343) | (242,045) | 14,268 | |||||
PPD, Inc. | Morgan Stanley | (2,067) | (95,633) | (95,268) | 168 | |||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (2,764) | (450,281) | (391,189) | 57,992 | |||||
Repligen Corp. | Morgan Stanley | (2,063) | (404,600) | (411,816) | (8,094) | |||||
Revance Therapeutics, Inc. | Morgan Stanley | (2,102) | (56,183) | (62,303) | (6,230) | |||||
Scholar Rock Holding Corp. | Morgan Stanley | (829) | (24,036) | (23,958) | 38 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Seagen, Inc. | Morgan Stanley | (3,574) | $(552,744) | $(564,263) | $(12,724) | |||||
Sorrento Therapeutics, Inc. | Morgan Stanley | (4,735) | (52,411) | (45,882) | 7,004 | |||||
TG Therapeutics, Inc. | Morgan Stanley | (139) | (5,343) | (5,392) | (47) | |||||
Theravance Biopharma, Inc. (Cayman Islands) | Morgan Stanley | (15,671) | (317,535) | (227,543) | 89,306 | |||||
Travere Therapeutics, Inc. | Morgan Stanley | (304) | (4,627) | (4,435) | 196 | |||||
Viatris, Inc. | Morgan Stanley | (40,197) | (590,432) | (574,415) | 9,936 | |||||
Vir Biotechnology, Inc. | Morgan Stanley | (298) | (13,924) | (14,089) | (182) | |||||
Xencor, Inc. | Morgan Stanley | (191) | (6,832) | (6,588) | 244 | |||||
Zentalis Pharmaceuticals, Inc. | Morgan Stanley | (33) | (1,783) | (1,756) | 37 | |||||
Zomedica Corp. (Canada) | Morgan Stanley | (89,068) | (84,099) | (74,167) | 9,776 | |||||
(329,137) | (11,283,900) | (10,998,672) | 248,250 | |||||||
Retailing | ||||||||||
Bed Bath & Beyond, Inc. | Morgan Stanley | (6,657) | (204,900) | (221,612) | (18,724) | |||||
Boot Barn Holdings, Inc. | Morgan Stanley | (2,465) | (123,519) | (207,183) | (85,330) | |||||
CarMax, Inc. | Morgan Stanley | (9,387) | (1,205,400) | (1,212,331) | (11,115) | |||||
Carvana Co. | Morgan Stanley | (1,284) | (336,217) | (387,537) | (52,047) | |||||
Children's Place, Inc. (The) | Morgan Stanley | (4,417) | (324,690) | (411,046) | (87,058) | |||||
Core-Mark Holding Co., Inc. | Morgan Stanley | (4,708) | (160,243) | (211,907) | (54,556) | |||||
Designer Brands, Inc., Class A | Morgan Stanley | (28,468) | (382,892) | (471,145) | (90,054) | |||||
Dollar General Corp. | Morgan Stanley | (7,124) | (1,464,452) | (1,541,562) | (80,325) | |||||
Dollar Tree, Inc. | Morgan Stanley | (634) | (64,276) | (63,083) | 3,359 | |||||
GrowGeneration Corp. | Morgan Stanley | (11,293) | (498,905) | (543,193) | (48,809) | |||||
Leslie's, Inc. | Morgan Stanley | (36,566) | (989,752) | (1,005,199) | (17,615) | |||||
Monro, Inc. | Morgan Stanley | (10,025) | (736,052) | (636,688) | 82,423 | |||||
Nordstrom, Inc. | Morgan Stanley | (11,988) | (309,049) | (438,401) | (130,019) | |||||
ODP Corp. (The) | Morgan Stanley | (1,497) | (73,577) | (71,871) | 1,558 | |||||
Penske Automotive Group, Inc. | Morgan Stanley | (762) | (46,113) | (57,523) | (13,252) | |||||
Pool Corp. | Morgan Stanley | (338) | (130,490) | (155,027) | (25,082) | |||||
Poshmark, Inc., Class A | Morgan Stanley | (2,221) | (101,428) | (106,031) | (4,812) | |||||
RealReal, Inc. (The) | Morgan Stanley | (19,397) | (469,321) | (383,285) | 85,015 | |||||
Ross Stores, Inc. | Morgan Stanley | (3,076) | (381,827) | (381,424) | (2,044) | |||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (30,976) | (562,485) | (683,640) | (127,669) | |||||
Stamps.com, Inc. | Morgan Stanley | (92) | (19,167) | (18,427) | 712 | |||||
TJX Cos., Inc. (The) | Morgan Stanley | (1,016) | (73,217) | (68,499) | 4,405 | |||||
Urban Outfitters, Inc. | Morgan Stanley | (25,522) | (988,078) | (1,052,017) | (66,103) | |||||
Vroom, Inc. | Morgan Stanley | (10,491) | (391,178) | (439,153) | (48,824) | |||||
(230,404) | (10,037,228) | (10,767,784) | (785,966) | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (4,996) | (459,403) | (510,691) | (55,026) | |||||
Cohu, Inc. | Morgan Stanley | (441) | (16,186) | (16,224) | (60) | |||||
Cree, Inc. | Morgan Stanley | (3,723) | (390,106) | (364,593) | 24,527 | |||||
Diodes, Inc. | Morgan Stanley | (2,008) | (168,533) | (160,178) | 8,015 | |||||
Enphase Energy, Inc. | Morgan Stanley | (9,379) | (1,439,266) | (1,722,266) | (316,898) | |||||
First Solar, Inc. | Morgan Stanley | (1,748) | (160,515) | (158,211) | 1,964 | |||||
FormFactor, Inc. | Morgan Stanley | (778) | (28,243) | (28,366) | (171) | |||||
Lattice Semiconductor Corp. | Morgan Stanley | (1,704) | (95,513) | (95,731) | (415) | |||||
Marvell Technology, Inc. | Morgan Stanley | (15,398) | (809,512) | (898,165) | (114,384) | |||||
MaxLinear, Inc. | Morgan Stanley | (1,182) | (39,019) | (50,223) | (12,490) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | (211) | $(78,486) | $(78,798) | $(517) | |||||
Silicon Laboratories, Inc. | Morgan Stanley | (6,740) | (953,779) | (1,032,905) | (84,937) | |||||
Teradyne, Inc. | Morgan Stanley | (1,349) | (178,860) | (180,712) | (2,232) | |||||
Xilinx, Inc. | Morgan Stanley | (4,224) | (549,141) | (610,959) | (63,015) | |||||
(53,881) | (5,366,562) | (5,908,022) | (615,639) | |||||||
Software & Services | ||||||||||
8x8, Inc. | Morgan Stanley | (15,377) | (372,934) | (426,866) | (55,062) | |||||
A10 Networks, Inc. | Morgan Stanley | (138) | (1,560) | (1,554) | 17 | |||||
Akamai Technologies, Inc. | Morgan Stanley | (2,451) | (269,111) | (285,787) | (17,255) | |||||
Alarm.com Holdings, Inc. | Morgan Stanley | (865) | (73,890) | (73,266) | 475 | |||||
Alteryx, Inc., Class A | Morgan Stanley | (13,798) | (1,587,606) | (1,186,904) | 399,147 | |||||
Anaplan, Inc. | Morgan Stanley | (10,526) | (593,951) | (561,036) | 31,620 | |||||
Appfolio, Inc., Class A | Morgan Stanley | (1,844) | (247,936) | (260,373) | (12,970) | |||||
Avalara, Inc. | Morgan Stanley | (1,293) | (165,568) | (209,207) | (43,990) | |||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (30,751) | (282,668) | (375,777) | (94,146) | |||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (3,487) | (131,021) | (129,298) | 1,448 | |||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (11,553) | (1,066,031) | (1,108,164) | (44,469) | |||||
Citrix Systems, Inc. | Morgan Stanley | (8,117) | (981,910) | (951,881) | 25,306 | |||||
Conduent, Inc. | Morgan Stanley | (68,340) | (479,345) | (512,550) | (34,825) | |||||
Coupa Software, Inc. | Morgan Stanley | (1,667) | (433,272) | (436,937) | (4,841) | |||||
Dynatrace, Inc. | Morgan Stanley | (2,371) | (136,642) | (138,514) | (2,159) | |||||
Euronet Worldwide, Inc. | Morgan Stanley | (2,549) | (376,775) | (345,007) | 30,914 | |||||
Evo Payments, Inc., Class A | Morgan Stanley | (2,378) | (66,546) | (65,966) | 422 | |||||
Fastly, Inc., Class A | Morgan Stanley | (6,909) | (497,664) | (411,776) | 84,804 | |||||
FleetCor Technologies, Inc. | Morgan Stanley | (328) | (94,233) | (83,988) | 12,255 | |||||
Global Payments, Inc. | Morgan Stanley | (398) | (76,833) | (74,641) | 2,036 | |||||
Globant S.A. (Luxembourg) | Morgan Stanley | (499) | (112,340) | (109,371) | 2,735 | |||||
GoDaddy, Inc., Class A | Morgan Stanley | (4,621) | (397,026) | (401,842) | (5,677) | |||||
Guidewire Software, Inc. | Morgan Stanley | (5,430) | (583,847) | (612,070) | (32,272) | |||||
InterDigital, Inc. | Morgan Stanley | (868) | (71,494) | (63,390) | 8,360 | |||||
Jack Henry & Associates, Inc. | Morgan Stanley | (1,668) | (275,340) | (272,735) | 2,012 | |||||
LiveRamp Holdings, Inc. | Morgan Stanley | (9,410) | (459,887) | (440,859) | 18,029 | |||||
McAfee Corp., Class A | Morgan Stanley | (7,473) | (210,973) | (209,393) | 400 | |||||
Medallia, Inc. | Morgan Stanley | (16,703) | (508,699) | (563,726) | (59,381) | |||||
Model N, Inc. | Morgan Stanley | (2,221) | (77,116) | (76,114) | 846 | |||||
New Relic, Inc. | Morgan Stanley | (5,441) | (341,501) | (364,384) | (23,877) | |||||
Okta, Inc. | Morgan Stanley | (1,381) | (322,019) | (337,903) | (16,581) | |||||
PagerDuty, Inc. | Morgan Stanley | (4,734) | (192,473) | (201,574) | (9,588) | |||||
Paycom Software, Inc. | Morgan Stanley | (1,853) | (684,355) | (673,510) | 9,350 | |||||
Paylocity Holding Corp. | Morgan Stanley | (1,391) | (257,469) | (265,403) | (8,488) | |||||
Ping Identity Holding Corp. | Morgan Stanley | (35,603) | (1,097,839) | (815,309) | 280,124 | |||||
PROS Holdings, Inc. | Morgan Stanley | (7,793) | (340,469) | (355,127) | (15,694) | |||||
Q2 Holdings, Inc. | Morgan Stanley | (2,885) | (356,656) | (295,943) | 60,310 | |||||
Qualys, Inc. | Morgan Stanley | (1,152) | (145,925) | (115,995) | 29,622 | |||||
Rackspace Technology, Inc. | Morgan Stanley | (20,797) | (495,907) | (407,829) | 87,120 | |||||
RingCentral, Inc., Class A | Morgan Stanley | (1,701) | (527,145) | (494,277) | 29,706 | |||||
Sabre Corp. | Morgan Stanley | (29,304) | (400,142) | (365,714) | 33,560 | |||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (4,271) | (374,798) | (400,278) | (26,293) | |||||
SolarWinds Corp. | Morgan Stanley | (24,963) | (419,804) | (421,625) | (2,732) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
Splunk, Inc. | Morgan Stanley | (5,502) | $(916,735) | $(795,479) | $134,521 | |||||
Sumo Logic, Inc. | Morgan Stanley | (5,228) | (101,748) | (107,958) | (6,818) | |||||
Switch, Inc., Class A | Morgan Stanley | (18,071) | (295,444) | (381,479) | (92,105) | |||||
Sykes Enterprises, Inc. | Morgan Stanley | (159) | (8,507) | (8,538) | (36) | |||||
Telos Corp. | Morgan Stanley | (3,521) | (123,672) | (119,749) | 3,664 | |||||
Trade Desk, Inc. (The), Class A | Morgan Stanley | (13,429) | (821,413) | (1,038,867) | (219,252) | |||||
Tucows, Inc., Class A | Morgan Stanley | (1,891) | (103,575) | (151,885) | (48,525) | |||||
Twilio, Inc., Class A | Morgan Stanley | (408) | (129,574) | (160,817) | (31,515) | |||||
Tyler Technologies, Inc. | Morgan Stanley | (1,733) | (762,144) | (783,957) | (23,480) | |||||
Upland Software, Inc. | Morgan Stanley | (3,825) | (160,945) | (157,475) | 3,129 | |||||
Verra Mobility Corp. | Morgan Stanley | (26,084) | (336,964) | (400,911) | (64,676) | |||||
Vonage Holdings Corp. | Morgan Stanley | (7,826) | (114,842) | (112,773) | 1,831 | |||||
WEX, Inc. | Morgan Stanley | (5,196) | (1,033,941) | (1,007,504) | 24,041 | |||||
Workday, Inc., Class A | Morgan Stanley | (759) | (173,284) | (181,204) | (8,288) | |||||
Yext, Inc. | Morgan Stanley | (41,481) | (665,601) | (592,763) | 71,538 | |||||
Zuora, Inc., Class A | Morgan Stanley | (9,241) | (146,839) | (159,407) | (13,999) | |||||
(521,656) | (22,483,948) | (22,064,629) | 370,348 | |||||||
Technology Hardware & Equipment | ||||||||||
ADTRAN, Inc. | Morgan Stanley | (7,837) | (88,478) | (161,834) | (78,854) | |||||
Advanced Energy Industries, Inc. | Morgan Stanley | (169) | (19,174) | (19,048) | 97 | |||||
Amphenol Corp., Class A | Morgan Stanley | (3,844) | (263,427) | (262,968) | (686) | |||||
Arista Networks, Inc. | Morgan Stanley | (3,372) | (1,131,401) | (1,221,709) | (99,711) | |||||
Avnet, Inc. | Morgan Stanley | (6,532) | (284,116) | (261,803) | 20,420 | |||||
Calix, Inc. | Morgan Stanley | (644) | (30,868) | (30,590) | 224 | |||||
Celestica, Inc. (Canada) | Morgan Stanley | (12,261) | (91,306) | (96,249) | (5,134) | |||||
CommScope Holding Co., Inc. | Morgan Stanley | (46,965) | (747,068) | (1,000,824) | (259,977) | |||||
Fabrinet (Cayman Islands) | Morgan Stanley | (4,634) | (358,492) | (444,262) | (86,546) | |||||
FARO Technologies, Inc. | Morgan Stanley | (425) | (32,491) | (33,052) | (619) | |||||
II-VI, Inc. | Morgan Stanley | (463) | (33,659) | (33,609) | (10) | |||||
Infinera Corp. | Morgan Stanley | (10,307) | (58,788) | (105,131) | (48,252) | |||||
Inseego Corp. | Morgan Stanley | (30,685) | (292,106) | (309,612) | (18,136) | |||||
Insight Enterprises, Inc. | Morgan Stanley | (4,315) | (316,001) | (431,543) | (119,124) | |||||
IPG Photonics Corp. | Morgan Stanley | (825) | (172,722) | (173,885) | (1,530) | |||||
Itron, Inc. | Morgan Stanley | (598) | (59,565) | (59,788) | (340) | |||||
Juniper Networks, Inc. | Morgan Stanley | (2,962) | (84,930) | (81,011) | 4,370 | |||||
Littelfuse, Inc. | Morgan Stanley | (779) | (205,274) | (198,481) | 6,025 | |||||
Methode Electronics, Inc. | Morgan Stanley | (65) | (3,158) | (3,199) | (34) | |||||
National Instruments Corp. | Morgan Stanley | (12,052) | (500,560) | (509,559) | (12,621) | |||||
nLight, Inc. | Morgan Stanley | (7,184) | (115,375) | (260,636) | (147,597) | |||||
Novanta, Inc. (Canada) | Morgan Stanley | (348) | (47,177) | (46,896) | 176 | |||||
PC Connection, Inc. | Morgan Stanley | (238) | (11,304) | (11,012) | 280 | |||||
Pure Storage, Inc., Class A | Morgan Stanley | (18,628) | (444,361) | (363,805) | 82,945 | |||||
Ribbon Communications, Inc. | Morgan Stanley | (2,640) | (18,982) | (20,090) | (1,136) | |||||
Super Micro Computer, Inc. | Morgan Stanley | (2,198) | (78,380) | (77,326) | 895 | |||||
Trimble, Inc. | Morgan Stanley | (1,245) | (102,186) | (101,878) | 96 | |||||
Viasat, Inc. | Morgan Stanley | (2,468) | (126,680) | (123,005) | 3,376 | |||||
Western Digital Corp. | Morgan Stanley | (6,085) | (463,953) | (433,069) | 29,875 | |||||
(190,768) | (6,181,982) | (6,875,874) | (731,528) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Telecommunication Services | ||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (3,600) | $(247,222) | $(276,804) | $(38,378) | |||||
Globalstar, Inc. | Morgan Stanley | (97,927) | (136,466) | (174,310) | (38,131) | |||||
Shenandoah Telecommunications Co. | Morgan Stanley | (2,046) | (99,715) | (99,251) | (237) | |||||
United States Cellular Corp. | Morgan Stanley | (2,553) | (86,399) | (92,699) | (6,477) | |||||
(106,126) | (569,802) | (643,064) | (83,223) | |||||||
Transportation | ||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (13,649) | (288,314) | (317,066) | (29,375) | |||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (14,124) | (1,391,564) | (1,322,995) | 59,980 | |||||
Delta Air Lines, Inc. | Morgan Stanley | (2,160) | (93,315) | (93,442) | (319) | |||||
Hawaiian Holdings, Inc. | Morgan Stanley | (5,920) | (154,571) | (144,270) | 9,388 | |||||
JetBlue Airways Corp. | Morgan Stanley | (12,049) | (216,158) | (202,182) | 13,513 | |||||
Kirby Corp. | Morgan Stanley | (2,192) | (128,776) | (132,923) | (5,647) | |||||
Landstar System, Inc. | Morgan Stanley | (2,025) | (353,644) | (319,991) | 33,213 | |||||
SkyWest, Inc. | Morgan Stanley | (1,383) | (67,071) | (59,566) | 7,371 | |||||
Uber Technologies, Inc. | Morgan Stanley | (38,091) | (1,907,208) | (1,909,121) | (6,104) | |||||
XPO Logistics, Inc. | Morgan Stanley | (684) | (97,467) | (95,685) | 1,303 | |||||
(92,277) | (4,698,088) | (4,597,241) | 83,323 | |||||||
Utilities | ||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (16,754) | (265,124) | (249,300) | 12,512 | |||||
ALLETE, Inc. | Morgan Stanley | (5,990) | (442,816) | (419,180) | 2,173 | |||||
Ameren Corp. | Morgan Stanley | (5,362) | (439,584) | (429,174) | 2,344 | |||||
Atmos Energy Corp. | Morgan Stanley | (1,378) | (125,405) | (132,440) | (8,997) | |||||
Avangrid, Inc. | Morgan Stanley | (6,011) | (300,279) | (309,146) | (22,991) | |||||
Black Hills Corp. | Morgan Stanley | (9,111) | (680,332) | (597,955) | 59,523 | |||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (3,547) | (144,899) | (148,761) | (4,677) | |||||
California Water Service Group | Morgan Stanley | (1,192) | (56,991) | (66,204) | (10,149) | |||||
CenterPoint Energy, Inc. | Morgan Stanley | (4,895) | (102,513) | (120,025) | (18,550) | |||||
Clearway Energy, Inc., Class A | Morgan Stanley | (4,388) | (113,227) | (110,665) | 1,084 | |||||
Consolidated Edison, Inc. | Morgan Stanley | (9,445) | (666,354) | (677,395) | (19,092) | |||||
Edison International | Morgan Stanley | (4,670) | (343,586) | (270,019) | 53,932 | |||||
Entergy Corp. | Morgan Stanley | (2,340) | (253,693) | (233,298) | 14,475 | |||||
Essential Utilities, Inc. | Morgan Stanley | (2,918) | (135,724) | (133,353) | 63 | |||||
Evergy, Inc. | Morgan Stanley | (9,695) | (593,729) | (585,869) | 1,508 | |||||
Eversource Energy | Morgan Stanley | (5,820) | (496,130) | (466,997) | 24,380 | |||||
FirstEnergy Corp. | Morgan Stanley | (15,515) | (566,545) | (577,313) | (13,195) | |||||
Fortis, Inc. (Canada) | Morgan Stanley | (2,274) | (104,171) | (100,579) | 3,258 | |||||
Middlesex Water Co. | Morgan Stanley | (244) | (20,582) | (19,942) | 608 | |||||
New Jersey Resources Corp. | Morgan Stanley | (1,754) | (64,004) | (69,406) | (9,468) | |||||
NiSource, Inc. | Morgan Stanley | (26,566) | (678,570) | (650,867) | 26,221 | |||||
Northwest Natural Holding Co. | Morgan Stanley | (5,152) | (259,402) | (270,583) | (14,088) | |||||
NorthWestern Corp. | Morgan Stanley | (4,714) | (312,420) | (283,877) | 20,588 | |||||
OGE Energy Corp. | Morgan Stanley | (12,388) | (421,551) | (416,856) | 3,779 | |||||
Ormat Technologies, Inc. | Morgan Stanley | (1,242) | (112,976) | (86,356) | 26,483 | |||||
Otter Tail Corp. | Morgan Stanley | (1,077) | (48,515) | (52,568) | (4,568) | |||||
Pinnacle West Capital Corp. | Morgan Stanley | (5,337) | (458,691) | (437,474) | 20,220 | |||||
PNM Resources, Inc. | Morgan Stanley | (4,939) | (242,154) | (240,875) | 209 | |||||
Portland General Electric Co. | Morgan Stanley | (5,196) | (241,235) | (239,432) | (4,905) | |||||
PPL Corp. | Morgan Stanley | (13,508) | (388,520) | (377,819) | 4,026 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Utilities — (continued) | ||||||||||
Sempra Energy | Morgan Stanley | (5,431) | $(734,205) | $(719,499) | $6,845 | |||||
SJW Group | Morgan Stanley | (1,368) | (83,673) | (86,594) | (5,262) | |||||
South Jersey Industries, Inc. | Morgan Stanley | (11,641) | (308,477) | (301,851) | 2,983 | |||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (6,766) | (529,142) | (447,842) | 67,427 | |||||
Spire, Inc. | Morgan Stanley | (2,911) | (212,845) | (210,378) | 744 | |||||
Vistra Corp. | Morgan Stanley | (46,412) | (765,821) | (860,943) | (103,742) | |||||
WEC Energy Group, Inc. | Morgan Stanley | (3,905) | (332,341) | (347,350) | (19,674) | |||||
(271,856) | (12,046,226) | (11,748,185) | 96,027 | |||||||
Total Reference Entity — Short | (159,759,181) | (162,515,884) | (3,874,470) | |||||||
Net Value of Reference Entity | $(25,974,119) | $9,400,591 | $35,945,018 |
* | Includes $570,308 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
Saia, Inc.* | 167 | $ 34,985 | |
Schneider National, Inc., Class B(a) | 4,025 | 87,624 | |
SkyWest, Inc.(a)* | 1,257 | 54,139 | |
Southwest Airlines Co.* | 1,171 | 62,168 | |
Union Pacific Corp.(a) | 171 | 37,608 | |
United Parcel Service, Inc., Class B(a) | 615 | 127,902 | |
Werner Enterprises, Inc. | 224 | 9,973 | |
932,752 | |||
Utilities — 1.4% | |||
AES Corp. (The)(a) | 4,715 | 122,920 | |
Alliant Energy Corp. | 51 | 2,844 | |
American States Water Co. | 6 | 477 | |
American Water Works Co., Inc. | 89 | 13,718 | |
Avista Corp. | 545 | 23,255 | |
Dominion Energy, Inc.(a) | 800 | 58,856 | |
Duke Energy Corp.(a) | 1,786 | 176,314 | |
Exelon Corp.(a) | 1,709 | 75,726 | |
MDU Resources Group, Inc. | 2,247 | 70,421 | |
National Fuel Gas Co. | 214 | 11,181 | |
TransAlta Corp. (Canada) | 37 | 369 | |
556,081 | |||
TOTAL COMMON STOCKS (Cost $30,504,836) | 38,205,529 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9% | 1,977,333 | ||
NET ASSETS - 100.0% | $40,182,862 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Long | ||||||||||
Automobiles & Components | ||||||||||
Adient PLC (Ireland) | Morgan Stanley | 100 | $4,745 | $4,520 | $(225) | |||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 118 | 1,276 | 1,221 | (55) | |||||
Aptiv PLC (Jersey) | Morgan Stanley | 40 | 5,560 | 6,293 | 733 | |||||
Ford Motor Co. | Morgan Stanley | 2,717 | 26,084 | 40,375 | 14,290 | |||||
General Motors Co. | Morgan Stanley | 919 | 42,713 | 54,377 | 11,664 | |||||
Gentex Corp. | Morgan Stanley | 1,091 | 38,248 | 36,101 | (2,077) | |||||
Gentherm, Inc. | Morgan Stanley | 4 | 247 | 284 | 37 | |||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 645 | 12,894 | 11,062 | (1,833) | |||||
Harley-Davidson, Inc. | Morgan Stanley | 96 | 4,507 | 4,399 | (99) | |||||
Standard Motor Products, Inc. | Morgan Stanley | 3 | 130 | 130 | — | |||||
Tenneco, Inc., Class A | Morgan Stanley | 299 | 3,459 | 5,777 | 2,317 | |||||
Visteon Corp. | Morgan Stanley | 13 | 1,465 | 1,572 | 107 | |||||
Winnebago Industries, Inc. | Morgan Stanley | 137 | 9,962 | 9,311 | (630) | |||||
XPEL, Inc. | Morgan Stanley | 1 | 85 | 84 | (1) | |||||
6,183 | 151,375 | 175,506 | 24,228 | |||||||
Capital Goods | ||||||||||
3M Co. | Morgan Stanley | 151 | 25,854 | 29,993 | 4,548 | |||||
A O Smith Corp. | Morgan Stanley | 931 | 52,392 | 67,088 | 15,164 | |||||
AeroVironment, Inc. | Morgan Stanley | 83 | 9,191 | 8,312 | (1,031) | |||||
AGCO Corp. | Morgan Stanley | 4 | 536 | 522 | (15) | |||||
Albany International Corp., Class A | Morgan Stanley | 141 | 7,318 | 12,586 | 5,379 | |||||
Allegion PLC (Ireland) | Morgan Stanley | 4 | 553 | 557 | 5 | |||||
Altra Industrial Motion Corp. | Morgan Stanley | 6 | 331 | 390 | 59 | |||||
AMETEK, Inc. | Morgan Stanley | 108 | 12,691 | 14,418 | 1,767 | |||||
Apogee Enterprises, Inc. | Morgan Stanley | 290 | 6,219 | 11,812 | 5,762 | |||||
Atkore, Inc. | Morgan Stanley | 139 | 6,850 | 9,869 | 3,019 | |||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 113 | 6,415 | 6,017 | (398) | |||||
Boise Cascade Co. | Morgan Stanley | 89 | 5,660 | 5,193 | (462) | |||||
CAE, Inc. (Canada) | Morgan Stanley | 2 | 61 | 62 | 1 | |||||
Caterpillar, Inc. | Morgan Stanley | 22 | 4,759 | 4,788 | 28 | |||||
Columbus McKinnon Corp. | Morgan Stanley | 4 | 195 | 193 | (2) | |||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 42 | 3,401 | 3,309 | (93) | |||||
Crane Co. | Morgan Stanley | 101 | 9,537 | 9,329 | (181) | |||||
Cummins, Inc. | Morgan Stanley | 76 | 18,072 | 18,530 | 634 | |||||
Curtiss-Wright Corp. | Morgan Stanley | 15 | 1,807 | 1,781 | (25) | |||||
Deere & Co. | Morgan Stanley | 47 | 15,436 | 16,577 | 1,216 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Donaldson Co., Inc. | Morgan Stanley | 286 | $15,713 | $18,170 | $2,630 | |||||
Douglas Dynamics, Inc. | Morgan Stanley | 16 | 676 | 651 | (22) | |||||
Dover Corp. | Morgan Stanley | 37 | 5,408 | 5,572 | 182 | |||||
EMCOR Group, Inc. | Morgan Stanley | 111 | 10,382 | 13,674 | 3,330 | |||||
Emerson Electric Co. | Morgan Stanley | 57 | 5,116 | 5,486 | 399 | |||||
Enerpac Tool Group Corp. | Morgan Stanley | 2 | 54 | 53 | (1) | |||||
EnerSys | Morgan Stanley | 32 | 3,074 | 3,127 | 53 | |||||
Fortive Corp. | Morgan Stanley | 68 | 4,227 | 4,742 | 529 | |||||
Generac Holdings, Inc. | Morgan Stanley | 49 | 14,471 | 20,342 | 7,435 | |||||
General Dynamics Corp. | Morgan Stanley | 44 | 6,525 | 8,283 | 1,811 | |||||
Gibraltar Industries, Inc. | Morgan Stanley | 2 | 123 | 153 | 29 | |||||
Graco, Inc. | Morgan Stanley | 30 | 2,303 | 2,271 | (32) | |||||
Granite Construction, Inc. | Morgan Stanley | 320 | 12,443 | 13,290 | 905 | |||||
Herc Holdings, Inc. | Morgan Stanley | 18 | 1,711 | 2,017 | 306 | |||||
Hillenbrand, Inc. | Morgan Stanley | 13 | 564 | 573 | 4 | |||||
Honeywell International, Inc. | Morgan Stanley | 38 | 8,432 | 8,335 | (88) | |||||
Howmet Aerospace, Inc. | Morgan Stanley | 244 | 4,097 | 8,411 | 4,313 | |||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 19 | 3,321 | 4,004 | 727 | |||||
Ingersoll Rand, Inc. | Morgan Stanley | 738 | 35,991 | 36,022 | (34) | |||||
ITT, Inc. | Morgan Stanley | 30 | 2,686 | 2,748 | 62 | |||||
John Bean Technologies Corp. | Morgan Stanley | 50 | 6,934 | 7,131 | 201 | |||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 311 | 17,177 | 21,344 | 4,323 | |||||
Lennox International, Inc. | Morgan Stanley | 34 | 11,216 | 11,927 | 766 | |||||
Lockheed Martin Corp. | Morgan Stanley | 20 | 6,999 | 7,567 | 620 | |||||
Masco Corp. | Morgan Stanley | 17 | 975 | 1,001 | 30 | |||||
MasTec, Inc. | Morgan Stanley | 133 | 13,050 | 14,111 | 1,061 | |||||
Middleby Corp. (The) | Morgan Stanley | 61 | 9,681 | 10,569 | 924 | |||||
MRC Global, Inc. | Morgan Stanley | 1,831 | 10,418 | 17,211 | 6,793 | |||||
MYR Group, Inc. | Morgan Stanley | 27 | 2,181 | 2,455 | 273 | |||||
Nordson Corp. | Morgan Stanley | 32 | 6,641 | 7,024 | 388 | |||||
Northrop Grumman Corp. | Morgan Stanley | 253 | 87,288 | 91,948 | 5,161 | |||||
NOW, Inc. | Morgan Stanley | 7,788 | 56,619 | 73,908 | 17,289 | |||||
nVent Electric PLC (Ireland) | Morgan Stanley | 8 | 247 | 250 | 3 | |||||
Oshkosh Corp. | Morgan Stanley | 73 | 9,346 | 9,099 | (248) | |||||
Owens Corning | Morgan Stanley | 309 | 30,157 | 30,251 | 94 | |||||
Parker-Hannifin Corp. | Morgan Stanley | 83 | 22,879 | 25,490 | 2,705 | |||||
Pentair PLC (Ireland) | Morgan Stanley | 131 | 8,110 | 8,841 | 740 | |||||
Quanta Services, Inc. | Morgan Stanley | 23 | 1,979 | 2,083 | 106 | |||||
Regal Beloit Corp. | Morgan Stanley | 1 | 116 | 133 | 18 | |||||
Rush Enterprises, Inc., Class A | Morgan Stanley | 10 | 427 | 432 | 5 | |||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 30 | 4,881 | 5,078 | 197 | |||||
Snap-on, Inc. | Morgan Stanley | 156 | 28,461 | 34,855 | 6,688 | |||||
SPX FLOW, Inc. | Morgan Stanley | 25 | 1,670 | 1,631 | (37) | |||||
Stanley Black & Decker, Inc. | Morgan Stanley | 212 | 40,925 | 43,458 | 2,708 | |||||
Teledyne Technologies, Inc. | Morgan Stanley | 44 | 18,139 | 18,429 | 289 | |||||
Tennant Co. | Morgan Stanley | 9 | 743 | 719 | (24) | |||||
Terex Corp. | Morgan Stanley | 420 | 21,318 | 20,000 | (1,281) | |||||
Textron, Inc. | Morgan Stanley | 83 | 5,557 | 5,708 | 152 | |||||
Toro Co. (The) | Morgan Stanley | 128 | 12,217 | 14,065 | 1,922 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
TPI Composites, Inc. | Morgan Stanley | 142 | $6,268 | $6,876 | $608 | |||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 15 | 2,239 | 2,762 | 540 | |||||
TriMas Corp. | Morgan Stanley | 3 | 90 | 91 | — | |||||
United Rentals, Inc. | Morgan Stanley | 24 | 7,389 | 7,656 | 267 | |||||
Watsco, Inc. | Morgan Stanley | 26 | 5,894 | 7,453 | 1,664 | |||||
Watts Water Technologies, Inc., Class A | Morgan Stanley | 18 | 2,270 | 2,626 | 360 | |||||
17,052 | 785,096 | 893,432 | 113,218 | |||||||
Commercial & Professional Services | ||||||||||
ABM Industries, Inc. | Morgan Stanley | 192 | 7,495 | 8,515 | 1,117 | |||||
ASGN, Inc. | Morgan Stanley | 5 | 486 | 485 | (2) | |||||
Brady Corp., Class A | Morgan Stanley | 10 | 556 | 560 | 4 | |||||
Brink's Co. (The) | Morgan Stanley | 88 | 6,872 | 6,762 | (93) | |||||
Clean Harbors, Inc. | Morgan Stanley | 2 | 176 | 186 | 10 | |||||
Copart, Inc. | Morgan Stanley | 39 | 4,878 | 5,141 | 263 | |||||
CoreCivic, Inc. | Morgan Stanley | 216 | 1,685 | 2,262 | 576 | |||||
Deluxe Corp. | Morgan Stanley | 1,216 | 34,532 | 58,088 | 24,650 | |||||
Driven Brands Holdings, Inc. | Morgan Stanley | 3 | 92 | 93 | 1 | |||||
Healthcare Services Group, Inc. | Morgan Stanley | 3,551 | 74,477 | 112,105 | 39,792 | |||||
Heidrick & Struggles International, Inc. | Morgan Stanley | 1 | 44 | 45 | — | |||||
Herman Miller, Inc. | Morgan Stanley | 6 | 276 | 283 | 6 | |||||
HNI Corp. | Morgan Stanley | 90 | 3,995 | 3,957 | (25) | |||||
IAA, Inc. | Morgan Stanley | 75 | 4,037 | 4,090 | 53 | |||||
ICF International, Inc. | Morgan Stanley | 31 | 2,784 | 2,724 | (55) | |||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 8 | 900 | 901 | 1 | |||||
Interface, Inc. | Morgan Stanley | 41 | 640 | 627 | (13) | |||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 104 | 11,696 | 13,876 | 2,222 | |||||
Leidos Holdings, Inc. | Morgan Stanley | 147 | 15,173 | 14,862 | (261) | |||||
ManpowerGroup, Inc. | Morgan Stanley | 6 | 699 | 713 | 14 | |||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 2,340 | 62,864 | 57,728 | (5,137) | |||||
Republic Services, Inc. | Morgan Stanley | 79 | 8,091 | 8,691 | 645 | |||||
Robert Half International, Inc. | Morgan Stanley | 76 | 5,804 | 6,762 | 990 | |||||
Rollins, Inc. | Morgan Stanley | 628 | 21,239 | 21,478 | 247 | |||||
SP Plus Corp. | Morgan Stanley | 1,198 | 24,667 | 36,647 | 11,980 | |||||
Steelcase, Inc., Class A | Morgan Stanley | 3,779 | 39,483 | 57,101 | 18,753 | |||||
Tetra Tech, Inc. | Morgan Stanley | 1 | 87 | 122 | 35 | |||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 432 | 35,920 | 42,906 | 7,281 | |||||
TriNet Group, Inc. | Morgan Stanley | 4 | 290 | 290 | (1) | |||||
UniFirst Corp. | Morgan Stanley | 10 | 2,231 | 2,346 | 118 | |||||
14,378 | 372,169 | 470,346 | 103,171 | |||||||
Consumer Durables & Apparel | ||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 29 | 1,424 | 1,433 | 8 | |||||
BRP, Inc., sub-voting shares (Canada) | Morgan Stanley | 21 | 1,669 | 1,646 | (24) | |||||
Brunswick Corp. | Morgan Stanley | 64 | 6,309 | 6,376 | 66 | |||||
Century Communities, Inc. | Morgan Stanley | 3 | 200 | 200 | (1) | |||||
DR Horton, Inc. | Morgan Stanley | 11 | 973 | 994 | 21 | |||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 63 | 6,726 | 9,112 | 2,480 | |||||
G-III Apparel Group Ltd. | Morgan Stanley | 1,224 | 14,383 | 40,221 | 25,838 | |||||
GoPro, Inc., Class A | Morgan Stanley | 260 | 2,977 | 3,029 | 52 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Durables & Apparel — (continued) | ||||||||||
Hasbro, Inc. | Morgan Stanley | 23 | $2,220 | $2,174 | $(46) | |||||
iRobot Corp. | Morgan Stanley | 44 | 4,264 | 4,109 | (155) | |||||
Kontoor Brands, Inc. | Morgan Stanley | 8 | 191 | 451 | 269 | |||||
La-Z-Boy, Inc. | Morgan Stanley | 26 | 821 | 963 | 152 | |||||
Mattel, Inc. | Morgan Stanley | 295 | 5,911 | 5,929 | 19 | |||||
Mohawk Industries, Inc. | Morgan Stanley | 8 | 1,490 | 1,538 | 47 | |||||
Newell Brands, Inc. | Morgan Stanley | 160 | 4,221 | 4,395 | 206 | |||||
Polaris, Inc. | Morgan Stanley | 107 | 14,095 | 14,655 | 558 | |||||
PulteGroup, Inc. | Morgan Stanley | 50 | 2,703 | 2,728 | 25 | |||||
Skyline Champion Corp. | Morgan Stanley | 250 | 11,817 | 13,325 | 1,508 | |||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 840 | 13,431 | 29,148 | 15,871 | |||||
Sonos, Inc. | Morgan Stanley | 294 | 10,759 | 10,358 | (402) | |||||
Steven Madden Ltd. | Morgan Stanley | 4,888 | 103,339 | 213,899 | 112,026 | |||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 162 | 10,472 | 14,577 | 4,447 | |||||
Tupperware Brands Corp. | Morgan Stanley | 55 | 1,378 | 1,306 | (73) | |||||
Whirlpool Corp. | Morgan Stanley | 129 | 30,230 | 28,125 | (1,922) | |||||
9,014 | 252,003 | 410,691 | 160,970 | |||||||
Consumer Services | ||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 1,051 | 32,990 | 37,458 | 4,467 | |||||
Bloomin' Brands, Inc. | Morgan Stanley | 28 | 716 | 760 | 44 | |||||
Boyd Gaming Corp. | Morgan Stanley | 84 | 5,340 | 5,165 | (175) | |||||
Brinker International, Inc. | Morgan Stanley | 180 | 10,461 | 11,133 | 665 | |||||
Caesars Entertainment, Inc. | Morgan Stanley | 36 | 3,477 | 3,735 | 258 | |||||
Chegg, Inc. | Morgan Stanley | 34 | 2,549 | 2,826 | 276 | |||||
Choice Hotels International, Inc. | Morgan Stanley | 3 | 355 | 357 | 2 | |||||
Darden Restaurants, Inc. | Morgan Stanley | 76 | 10,874 | 11,095 | 221 | |||||
Everi Holdings, Inc. | Morgan Stanley | 65 | 1,144 | 1,621 | 538 | |||||
Expedia Group, Inc. | Morgan Stanley | 122 | 20,599 | 19,973 | (627) | |||||
Golden Entertainment, Inc. | Morgan Stanley | 31 | 1,345 | 1,389 | 43 | |||||
Graham Holdings Co., Class B | Morgan Stanley | 10 | 5,870 | 6,339 | 484 | |||||
Grand Canyon Education, Inc. | Morgan Stanley | 294 | 29,255 | 26,451 | (2,804) | |||||
International Game Technology PLC (United Kingdom) | Morgan Stanley | 87 | 2,070 | 2,085 | 14 | |||||
Jack in the Box, Inc. | Morgan Stanley | 363 | 32,727 | 40,453 | 8,088 | |||||
Marriott International, Inc., Class A | Morgan Stanley | 163 | 23,396 | 22,253 | (1,144) | |||||
McDonald's Corp. | Morgan Stanley | 19 | 4,416 | 4,389 | (27) | |||||
Papa John's International, Inc. | Morgan Stanley | 125 | 10,111 | 13,055 | 3,067 | |||||
Penn National Gaming, Inc. | Morgan Stanley | 197 | 15,181 | 15,069 | (112) | |||||
Perdoceo Education Corp. | Morgan Stanley | 5,094 | 74,685 | 62,503 | (12,182) | |||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 3 | 112 | 127 | 16 | |||||
Service Corp. International | Morgan Stanley | 268 | 14,311 | 14,362 | 106 | |||||
Starbucks Corp. | Morgan Stanley | 59 | 6,556 | 6,597 | 40 | |||||
Texas Roadhouse, Inc. | Morgan Stanley | 312 | 30,473 | 30,014 | (406) | |||||
Vail Resorts, Inc. | Morgan Stanley | 82 | 26,259 | 25,955 | (305) | |||||
Wendy's Co. (The) | Morgan Stanley | 223 | 5,106 | 5,223 | 126 | |||||
Yum! Brands, Inc. | Morgan Stanley | 122 | 12,137 | 14,034 | 2,011 | |||||
9,131 | 382,515 | 384,421 | 2,684 | |||||||
Diversified Financials | ||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 45 | 7,144 | 6,939 | (205) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Diversified Financials — (continued) | ||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 544 | $119,541 | $151,188 | $31,647 | |||||
BlackRock, Inc. | Morgan Stanley | 5 | 4,028 | 4,375 | 367 | |||||
Franklin Resources, Inc. | Morgan Stanley | 51 | 1,626 | 1,631 | 57 | |||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 272 | 7,340 | 7,271 | (52) | |||||
Moody's Corp. | Morgan Stanley | 15 | 5,106 | 5,436 | 332 | |||||
Morningstar, Inc. | Morgan Stanley | 14 | 3,143 | 3,600 | 485 | |||||
Nasdaq, Inc. | Morgan Stanley | 56 | 7,188 | 9,845 | 2,730 | |||||
S&P Global, Inc. | Morgan Stanley | 10 | 4,100 | 4,104 | 4 | |||||
T Rowe Price Group, Inc. | Morgan Stanley | 103 | 18,114 | 20,391 | 2,702 | |||||
1,115 | 177,330 | 214,780 | 38,067 | |||||||
Energy | ||||||||||
Antero Midstream Corp. | Morgan Stanley | 1 | 5 | 10 | 6 | |||||
Antero Resources Corp. | Morgan Stanley | 3,591 | 32,742 | 53,973 | 21,230 | |||||
APA Corp. | Morgan Stanley | 1 | 9 | 22 | 12 | |||||
Bonanza Creek Energy, Inc. | Morgan Stanley | 100 | 4,372 | 4,707 | 361 | |||||
Cabot Oil & Gas Corp. | Morgan Stanley | 584 | 9,862 | 10,197 | 306 | |||||
Cactus, Inc., Class A | Morgan Stanley | 42 | 925 | 1,542 | 622 | |||||
California Resources Corp. | Morgan Stanley | 2 | 59 | 60 | 1 | |||||
Callon Petroleum Co. | Morgan Stanley | 253 | 9,222 | 14,596 | 5,373 | |||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 85 | 3,015 | 3,084 | 68 | |||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 402 | 2,594 | 2,726 | 131 | |||||
Cimarex Energy Co. | Morgan Stanley | 458 | 31,123 | 33,182 | 2,095 | |||||
CNX Resources Corp. | Morgan Stanley | 392 | 5,216 | 5,355 | 139 | |||||
Comstock Resources, Inc. | Morgan Stanley | 1,104 | 6,383 | 7,364 | 991 | |||||
Continental Resources, Inc. | Morgan Stanley | 136 | 4,257 | 5,172 | 915 | |||||
Core Laboratories N.V. (Netherlands) | Morgan Stanley | 21 | 290 | 818 | 528 | |||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 11,134 | 57,867 | 72,260 | 17,486 | |||||
DMC Global, Inc. | Morgan Stanley | 958 | 34,756 | 53,849 | 19,093 | |||||
EOG Resources, Inc. | Morgan Stanley | 372 | 29,862 | 31,040 | 1,178 | |||||
Extraction Oil & Gas, Inc. | Morgan Stanley | 14 | 772 | 769 | (4) | |||||
Exxon Mobil Corp. | Morgan Stanley | 551 | 32,267 | 34,757 | 2,725 | |||||
Green Plains, Inc. | Morgan Stanley | 372 | 9,643 | 12,507 | 2,871 | |||||
Halliburton Co. | Morgan Stanley | 394 | 7,323 | 9,109 | 1,808 | |||||
Hess Corp. | Morgan Stanley | 573 | 45,739 | 50,034 | 4,426 | |||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 168 | 5,583 | 5,107 | (482) | |||||
Kinder Morgan, Inc. | Morgan Stanley | 1,282 | 22,038 | 23,371 | 1,562 | |||||
Kosmos Energy Ltd. | Morgan Stanley | 26,326 | 38,173 | 91,088 | 52,915 | |||||
Marathon Oil Corp. | Morgan Stanley | 998 | 10,509 | 13,593 | 3,129 | |||||
Marathon Petroleum Corp. | Morgan Stanley | 114 | 4,933 | 6,888 | 2,087 | |||||
New Fortress Energy, Inc. | Morgan Stanley | 97 | 4,259 | 3,674 | (674) | |||||
Oasis Petroleum, Inc. | Morgan Stanley | 45 | 3,439 | 4,525 | 1,096 | |||||
Occidental Petroleum Corp. | Morgan Stanley | 115 | 1,444 | 3,596 | 2,150 | |||||
Oceaneering International, Inc. | Morgan Stanley | 730 | 9,480 | 11,366 | 1,885 | |||||
ONEOK, Inc. | Morgan Stanley | 88 | 4,635 | 4,896 | 261 | |||||
Ovintiv, Inc. | Morgan Stanley | 1,098 | 28,664 | 34,554 | 5,989 | |||||
PDC Energy, Inc. | Morgan Stanley | 204 | 9,073 | 9,341 | 284 | |||||
Range Resources Corp. | Morgan Stanley | 321 | 3,157 | 5,380 | 2,222 | |||||
SM Energy Co. | Morgan Stanley | 2,919 | 17,186 | 71,895 | 54,738 | |||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 1,306 | 30,515 | 31,305 | 912 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Energy — (continued) | ||||||||||
TC Energy Corp. (Canada) | Morgan Stanley | 463 | $23,361 | $22,928 | $(167) | |||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 1,168 | 4,272 | 5,279 | 1,007 | |||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 897 | 7,010 | 7,849 | 838 | |||||
Whiting Petroleum Corp. | Morgan Stanley | 211 | 7,190 | 11,510 | 4,320 | |||||
World Fuel Services Corp. | Morgan Stanley | 1,293 | 35,207 | 41,027 | 6,290 | |||||
61,383 | 598,431 | 816,305 | 222,723 | |||||||
Food & Staples Retailing | ||||||||||
Kroger Co. (The) | Morgan Stanley | 794 | 24,517 | 30,418 | 6,193 | |||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 240 | 5,706 | 5,964 | 258 | |||||
Sysco Corp. | Morgan Stanley | 191 | 12,182 | 14,850 | 2,796 | |||||
United Natural Foods, Inc. | Morgan Stanley | 338 | 11,480 | 12,499 | 1,019 | |||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 325 | 12,769 | 17,098 | 4,641 | |||||
Walmart, Inc. | Morgan Stanley | 170 | 22,970 | 23,973 | 1,126 | |||||
Weis Markets, Inc. | Morgan Stanley | 292 | 14,466 | 15,085 | 912 | |||||
2,350 | 104,090 | 119,887 | 16,945 | |||||||
Food, Beverage & Tobacco | ||||||||||
Altria Group, Inc. | Morgan Stanley | 506 | 21,680 | 24,126 | 3,229 | |||||
Archer-Daniels-Midland Co. | Morgan Stanley | 42 | 2,538 | 2,545 | 21 | |||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 187 | 15,799 | 14,614 | (1,093) | |||||
Coca-Cola Co. (The) | Morgan Stanley | 334 | 16,352 | 18,073 | 2,007 | |||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 140 | 38,577 | 56,298 | 17,825 | |||||
Conagra Brands, Inc. | Morgan Stanley | 471 | 16,354 | 17,135 | 1,089 | |||||
Constellation Brands, Inc., Class A | Morgan Stanley | 26 | 5,943 | 6,081 | 148 | |||||
Darling Ingredients, Inc. | Morgan Stanley | 182 | 12,650 | 12,285 | (365) | |||||
Flowers Foods, Inc. | Morgan Stanley | 543 | 12,299 | 13,141 | 1,068 | |||||
General Mills, Inc. | Morgan Stanley | 137 | 7,788 | 8,347 | 704 | |||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | 328 | 13,595 | 13,159 | (553) | |||||
Hershey Co. (The) | Morgan Stanley | 212 | 35,475 | 36,926 | 1,635 | |||||
Hostess Brands, Inc. | Morgan Stanley | 166 | 2,598 | 2,688 | 90 | |||||
J M Smucker Co. (The) | Morgan Stanley | 101 | 11,392 | 13,087 | 1,873 | |||||
John B Sanfilippo & Son, Inc. | Morgan Stanley | 243 | 19,585 | 21,522 | 2,537 | |||||
Kellogg Co. | Morgan Stanley | 94 | 5,398 | 6,047 | 756 | |||||
Kraft Heinz Co. (The) | Morgan Stanley | 1,542 | 57,294 | 62,883 | 6,273 | |||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 137 | 5,748 | 7,356 | 1,607 | |||||
Mondelez International, Inc., Class A | Morgan Stanley | 328 | 18,071 | 20,480 | 2,615 | |||||
Monster Beverage Corp. | Morgan Stanley | 170 | 14,340 | 15,529 | 1,190 | |||||
National Beverage Corp. | Morgan Stanley | 2 | 79 | 94 | 15 | |||||
Philip Morris International, Inc. | Morgan Stanley | 25 | 2,467 | 2,478 | (150) | |||||
Sanderson Farms, Inc. | Morgan Stanley | 56 | 9,122 | 10,526 | 1,447 | |||||
SunOpta, Inc. (Canada) | Morgan Stanley | 715 | 9,722 | 8,752 | (971) | |||||
TreeHouse Foods, Inc. | Morgan Stanley | 985 | 42,168 | 43,852 | 1,719 | |||||
Tyson Foods, Inc., Class A | Morgan Stanley | 193 | 11,275 | 14,236 | 3,218 | |||||
7,865 | 408,309 | 452,260 | 47,934 | |||||||
Health Care Equipment & Services | ||||||||||
Abbott Laboratories | Morgan Stanley | 300 | 34,839 | 34,779 | 140 | |||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 339 | 19,689 | 21,272 | 1,582 | |||||
Align Technology, Inc. | Morgan Stanley | 45 | 23,327 | 27,495 | 4,168 | |||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 4,137 | 39,211 | 76,576 | 37,401 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
Amedisys, Inc. | Morgan Stanley | 14 | $3,483 | $3,429 | $(54) | |||||
AmerisourceBergen Corp. | Morgan Stanley | 73 | 7,102 | 8,358 | 1,320 | |||||
AngioDynamics, Inc. | Morgan Stanley | 43 | 1,024 | 1,167 | 142 | |||||
Anthem, Inc. | Morgan Stanley | 11 | 4,143 | 4,200 | 67 | |||||
Avanos Medical, Inc. | Morgan Stanley | 1 | 36 | 36 | (654) | |||||
Becton Dickinson and Co. | Morgan Stanley | 42 | 10,170 | 10,214 | 101 | |||||
Boston Scientific Corp. | Morgan Stanley | 116 | 4,918 | 4,960 | 42 | |||||
Cerner Corp. | Morgan Stanley | 74 | 5,251 | 5,784 | 563 | |||||
Change Healthcare, Inc. | Morgan Stanley | 239 | 5,604 | 5,507 | (97) | |||||
Cigna Corp. | Morgan Stanley | 23 | 5,559 | 5,453 | (101) | |||||
Community Health Systems, Inc. | Morgan Stanley | 569 | 4,455 | 8,785 | 4,330 | |||||
CONMED Corp. | Morgan Stanley | 1 | 135 | 137 | 2 | |||||
Cooper Cos., Inc. (The) | Morgan Stanley | 26 | 9,951 | 10,303 | 352 | |||||
CVS Health Corp. | Morgan Stanley | 330 | 22,456 | 27,535 | 5,396 | |||||
Danaher Corp. | Morgan Stanley | 231 | 50,648 | 61,991 | 11,767 | |||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 135 | 8,647 | 8,540 | (101) | |||||
Ensign Group, Inc. (The) | Morgan Stanley | 91 | 7,681 | 7,887 | 212 | |||||
Envista Holdings Corp. | Morgan Stanley | 1,425 | 61,500 | 61,574 | 74 | |||||
Fulgent Genetics, Inc. | Morgan Stanley | 478 | 35,625 | 44,086 | 8,585 | |||||
Globus Medical, Inc., Class A | Morgan Stanley | 69 | 4,930 | 5,350 | 431 | |||||
HCA Healthcare, Inc. | Morgan Stanley | 88 | 16,760 | 18,193 | 1,474 | |||||
Hill-Rom Holdings, Inc. | Morgan Stanley | 57 | 5,663 | 6,475 | 943 | |||||
Hologic, Inc. | Morgan Stanley | 1 | 61 | 67 | 5 | |||||
ICU Medical, Inc. | Morgan Stanley | 50 | 10,212 | 10,290 | 78 | |||||
IDEXX Laboratories, Inc. | Morgan Stanley | 29 | 12,722 | 18,315 | 6,064 | |||||
Inogen, Inc. | Morgan Stanley | 10 | 661 | 652 | (9) | |||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 18 | 1,241 | 1,228 | (13) | |||||
Intuitive Surgical, Inc. | Morgan Stanley | 15 | 12,941 | 13,795 | 854 | |||||
Laboratory Corp. of America Holdings | Morgan Stanley | 254 | 57,497 | 70,066 | 12,600 | |||||
LHC Group, Inc. | Morgan Stanley | 26 | 5,020 | 5,207 | 187 | |||||
McKesson Corp. | Morgan Stanley | 158 | 27,545 | 30,216 | 2,763 | |||||
MEDNAX, Inc. | Morgan Stanley | 415 | 10,862 | 12,512 | 1,650 | |||||
Medtronic PLC (Ireland) | Morgan Stanley | 150 | 18,173 | 18,619 | 555 | |||||
Meridian Bioscience, Inc. | Morgan Stanley | 438 | 8,554 | 9,715 | 1,156 | |||||
Merit Medical Systems, Inc. | Morgan Stanley | 98 | 6,050 | 6,337 | 286 | |||||
ModivCare, Inc. | Morgan Stanley | 74 | 6,992 | 12,585 | 5,593 | |||||
Molina Healthcare, Inc. | Morgan Stanley | 64 | 15,849 | 16,196 | 359 | |||||
Natus Medical, Inc. | Morgan Stanley | 2,110 | 38,318 | 54,818 | 16,500 | |||||
NextGen Healthcare, Inc. | Morgan Stanley | 2 | 28 | 33 | 5 | |||||
Omnicell, Inc. | Morgan Stanley | 310 | 39,951 | 46,949 | 7,149 | |||||
Owens & Minor, Inc. | Morgan Stanley | 236 | 6,190 | 9,990 | 3,800 | |||||
Quest Diagnostics, Inc. | Morgan Stanley | 427 | 51,552 | 56,351 | 5,425 | |||||
Quidel Corp. | Morgan Stanley | 487 | 57,629 | 62,394 | 3,469 | |||||
Shockwave Medical, Inc. | Morgan Stanley | 37 | 7,169 | 7,020 | (150) | |||||
SmileDirectClub, Inc. | Morgan Stanley | 241 | 2,095 | 2,092 | (3) | |||||
STAAR Surgical Co. | Morgan Stanley | 16 | 1,799 | 2,440 | 641 | |||||
Stryker Corp. | Morgan Stanley | 9 | 2,330 | 2,338 | 11 | |||||
Tenet Healthcare Corp. | Morgan Stanley | 9 | 497 | 603 | 106 | |||||
Tivity Health, Inc. | Morgan Stanley | 22 | 510 | 579 | 68 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 75 | $26,001 | $30,033 | $4,191 | |||||
Varex Imaging Corp. | Morgan Stanley | 3 | 80 | 80 | — | |||||
ViewRay, Inc. | Morgan Stanley | 116 | 699 | 766 | 66 | |||||
Vocera Communications, Inc. | Morgan Stanley | 85 | 3,164 | 3,387 | 224 | |||||
14,942 | 825,199 | 975,759 | 151,715 | |||||||
Household & Personal Products | ||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 96 | 7,372 | 7,810 | 480 | |||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 115 | 28,971 | 36,579 | 7,743 | |||||
Inter Parfums, Inc. | Morgan Stanley | 14 | 1,029 | 1,008 | (19) | |||||
Procter & Gamble Co. (The) | Morgan Stanley | 112 | 14,418 | 15,112 | 779 | |||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | 108 | 8,885 | 9,184 | 354 | |||||
445 | 60,675 | 69,693 | 9,337 | |||||||
Materials | ||||||||||
Air Products and Chemicals, Inc. | Morgan Stanley | 1 | 287 | 288 | — | |||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | 2,543 | 19,909 | 19,454 | (352) | |||||
Alcoa Corp. | Morgan Stanley | 474 | 17,563 | 17,462 | (214) | |||||
Ashland Global Holdings, Inc. | Morgan Stanley | 227 | 19,531 | 19,862 | 438 | |||||
Avery Dennison Corp. | Morgan Stanley | 32 | 6,805 | 6,728 | (62) | |||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 296 | 9,308 | 9,025 | (283) | |||||
Balchem Corp. | Morgan Stanley | 12 | 1,486 | 1,575 | 88 | |||||
Barrick Gold Corp. (Canada) | Morgan Stanley | 1,568 | 34,047 | 32,426 | (1,574) | |||||
Carpenter Technology Corp. | Morgan Stanley | 804 | 16,866 | 32,337 | 15,948 | |||||
CF Industries Holdings, Inc. | Morgan Stanley | 2 | 98 | 103 | 4 | |||||
Compass Minerals International, Inc. | Morgan Stanley | 33 | 2,191 | 1,956 | (222) | |||||
Corteva, Inc. | Morgan Stanley | 120 | 5,518 | 5,322 | (181) | |||||
Crown Holdings, Inc. | Morgan Stanley | 19 | 1,901 | 1,942 | 40 | |||||
Domtar Corp. | Morgan Stanley | 80 | 4,304 | 4,397 | 93 | |||||
Dow, Inc. | Morgan Stanley | 177 | 10,927 | 11,201 | 397 | |||||
DuPont de Nemours, Inc. | Morgan Stanley | 1,082 | 88,459 | 83,758 | (4,385) | |||||
Eagle Materials, Inc. | Morgan Stanley | 91 | 13,260 | 12,932 | (311) | |||||
Eastman Chemical Co. | Morgan Stanley | 30 | 3,337 | 3,502 | 187 | |||||
Ferro Corp. | Morgan Stanley | 85 | 1,831 | 1,833 | 2 | |||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | 755 | 4,823 | 4,190 | (633) | |||||
Freeport-McMoRan, Inc. | Morgan Stanley | 414 | 14,726 | 15,364 | 648 | |||||
Greif, Inc., Class A | Morgan Stanley | 1 | 60 | 61 | — | |||||
Hecla Mining Co. | Morgan Stanley | 295 | 1,738 | 2,195 | 461 | |||||
Huntsman Corp. | Morgan Stanley | 97 | 2,684 | 2,572 | (101) | |||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 7,813 | 26,138 | 23,048 | (3,090) | |||||
Innospec, Inc. | Morgan Stanley | 38 | 3,769 | 3,443 | (322) | |||||
International Paper Co. | Morgan Stanley | 128 | 7,942 | 7,848 | (47) | |||||
Kaiser Aluminum Corp. | Morgan Stanley | 683 | 43,903 | 84,344 | 41,881 | |||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 1,178 | 7,547 | 7,480 | (67) | |||||
Kraton Corp. | Morgan Stanley | 647 | 9,601 | 20,892 | 11,290 | |||||
Kronos Worldwide, Inc. | Morgan Stanley | 11 | 170 | 158 | (13) | |||||
Linde PLC (Ireland) | Morgan Stanley | 114 | 29,001 | 32,957 | 4,056 | |||||
Louisiana-Pacific Corp. | Morgan Stanley | 225 | 14,988 | 13,565 | (1,417) | |||||
Martin Marietta Materials, Inc. | Morgan Stanley | 12 | 3,972 | 4,222 | 257 | |||||
Minerals Technologies, Inc. | Morgan Stanley | 6 | 472 | 472 | — |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
Mosaic Co. (The) | Morgan Stanley | 1,196 | $41,192 | $38,164 | $(3,028) | |||||
NewMarket Corp. | Morgan Stanley | 206 | 76,733 | 66,328 | (8,887) | |||||
Newmont Corp. | Morgan Stanley | 162 | 9,525 | 10,268 | 795 | |||||
Nucor Corp. | Morgan Stanley | 91 | 7,423 | 8,730 | 1,343 | |||||
O-I Glass, Inc. | Morgan Stanley | 393 | 6,153 | 6,418 | 265 | |||||
PPG Industries, Inc. | Morgan Stanley | 61 | 8,757 | 10,356 | 1,652 | |||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 1,345 | 16,035 | 12,858 | (3,253) | |||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 78 | 11,879 | 11,770 | (109) | |||||
Sealed Air Corp. | Morgan Stanley | 175 | 7,505 | 10,369 | 2,941 | |||||
Sherwin-Williams Co. (The) | Morgan Stanley | 20 | 4,723 | 5,449 | 743 | |||||
Southern Copper Corp. | Morgan Stanley | 20 | 1,281 | 1,286 | 5 | |||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 341 | 20,693 | 20,405 | (276) | |||||
Vulcan Materials Co. | Morgan Stanley | 164 | 29,579 | 28,547 | (1,053) | |||||
Westlake Chemical Corp. | Morgan Stanley | 241 | 24,292 | 21,712 | (2,533) | |||||
Westrock Co. | Morgan Stanley | 33 | 1,771 | 1,756 | (15) | |||||
Worthington Industries, Inc. | Morgan Stanley | 108 | 5,097 | 6,607 | 1,568 | |||||
24,727 | 701,800 | 749,937 | 52,674 | |||||||
Media & Entertainment | ||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 545 | 41,889 | 52,015 | 10,382 | |||||
Alphabet, Inc., Class A | Morgan Stanley | 17 | 37,835 | 41,510 | 3,675 | |||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 192 | 6,512 | 6,555 | 42 | |||||
AMC Networks, Inc., Class A | Morgan Stanley | 6 | 293 | 401 | 108 | |||||
Cargurus, Inc. | Morgan Stanley | 80 | 1,937 | 2,098 | 162 | |||||
Cars.com, Inc. | Morgan Stanley | 21 | 304 | 301 | (3) | |||||
Charter Communications, Inc., Class A | Morgan Stanley | 20 | 11,849 | 14,429 | 2,580 | |||||
Comcast Corp., Class A | Morgan Stanley | 124 | 6,763 | 7,070 | 307 | |||||
DISH Network Corp., Class A | Morgan Stanley | 261 | 10,748 | 10,910 | 162 | |||||
Facebook, Inc., Class A | Morgan Stanley | 181 | 48,080 | 62,935 | 14,856 | |||||
Fox Corp., Class A | Morgan Stanley | 281 | 10,090 | 10,434 | 358 | |||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 887 | 28,665 | 28,819 | 338 | |||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | 2,902 | 24,707 | 53,107 | 28,460 | |||||
Madison Square Garden Sports Corp. | Morgan Stanley | 205 | 34,852 | 35,377 | 524 | |||||
Meredith Corp. | Morgan Stanley | 161 | 3,066 | 6,994 | 3,927 | |||||
MSG Networks, Inc., Class A | Morgan Stanley | 5,353 | 52,159 | 78,047 | 25,851 | |||||
Netflix, Inc. | Morgan Stanley | 114 | 55,551 | 60,216 | 4,669 | |||||
New York Times Co. (The), Class A | Morgan Stanley | 231 | 9,591 | 10,060 | 488 | |||||
News Corp., Class A | Morgan Stanley | 79 | 1,892 | 2,036 | 148 | |||||
Omnicom Group, Inc. | Morgan Stanley | 14 | 1,111 | 1,120 | 8 | |||||
Snap, Inc., Class A | Morgan Stanley | 691 | 45,079 | 47,085 | 2,005 | |||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 217 | 39,371 | 38,413 | (958) | |||||
TechTarget, Inc. | Morgan Stanley | 71 | 4,968 | 5,502 | 547 | |||||
TEGNA, Inc. | Morgan Stanley | 202 | 2,776 | 3,790 | 1,050 | |||||
Twitter, Inc. | Morgan Stanley | 423 | 22,116 | 29,107 | 6,990 | |||||
ViacomCBS, Inc., Class B | Morgan Stanley | 84 | 3,224 | 3,797 | 593 | |||||
Warner Music Group Corp., Class A | Morgan Stanley | 416 | 12,590 | 14,993 | 2,554 | |||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 228 | 12,507 | 13,199 | 718 | |||||
Yelp, Inc. | Morgan Stanley | 194 | 7,634 | 7,752 | 118 | |||||
14,200 | 538,159 | 648,072 | 110,659 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 8 | $180 | $176 | $(5) | |||||
Agilent Technologies, Inc. | Morgan Stanley | 57 | 5,863 | 8,425 | 2,590 | |||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | 5 | 26 | 26 | — | |||||
Amphastar Pharmaceuticals, Inc. | Morgan Stanley | 11 | 218 | 222 | 4 | |||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 86 | 1,992 | 1,847 | (145) | |||||
BioCryst Pharmaceuticals, Inc. | Morgan Stanley | 170 | 2,590 | 2,688 | 71 | |||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 87 | 48,036 | 56,053 | 8,689 | |||||
Blueprint Medicines Corp. | Morgan Stanley | 43 | 3,837 | 3,782 | (87) | |||||
Bruker Corp. | Morgan Stanley | 21 | 1,483 | 1,596 | 112 | |||||
Cassava Sciences, Inc. | Morgan Stanley | 555 | 41,713 | 47,419 | 5,706 | |||||
Charles River Laboratories International, Inc. | Morgan Stanley | 24 | 7,742 | 8,878 | 1,136 | |||||
Denali Therapeutics, Inc. | Morgan Stanley | 132 | 5,257 | 10,354 | 5,217 | |||||
Dynavax Technologies Corp. | Morgan Stanley | 44 | 434 | 433 | (1) | |||||
Emergent BioSolutions, Inc. | Morgan Stanley | 41 | 2,448 | 2,583 | 141 | |||||
FibroGen, Inc. | Morgan Stanley | 32 | 870 | 852 | (18) | |||||
Gilead Sciences, Inc. | Morgan Stanley | 26 | 1,771 | 1,790 | 19 | |||||
Halozyme Therapeutics, Inc. | Morgan Stanley | 343 | 14,053 | 15,576 | 1,628 | |||||
HEXO Corp. (Canada) | Morgan Stanley | 1,261 | 8,104 | 7,314 | (855) | |||||
Innoviva, Inc. | Morgan Stanley | 3,744 | 44,656 | 50,207 | 5,598 | |||||
Instil Bio, Inc. | Morgan Stanley | 2 | 41 | 39 | (2) | |||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 552 | 6,306 | 7,104 | 820 | |||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | 29 | 4,672 | 5,152 | 480 | |||||
Johnson & Johnson | Morgan Stanley | 223 | 33,167 | 36,737 | 3,954 | |||||
Luminex Corp. | Morgan Stanley | 140 | 3,129 | 5,152 | 2,065 | |||||
Medpace Holdings, Inc. | Morgan Stanley | 1 | 110 | 177 | 67 | |||||
Merck & Co., Inc. | Morgan Stanley | 44 | 3,112 | 3,422 | 535 | |||||
PerkinElmer, Inc. | Morgan Stanley | 363 | 51,014 | 56,051 | 5,038 | |||||
Pfizer, Inc. | Morgan Stanley | 2,140 | 79,160 | 83,802 | 5,060 | |||||
Prelude Therapeutics, Inc. | Morgan Stanley | 1 | 30 | 29 | (1) | |||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 1,065 | 38,847 | 55,486 | 16,640 | |||||
Protagonist Therapeutics, Inc. | Morgan Stanley | 20 | 858 | 898 | 40 | |||||
Sage Therapeutics, Inc. | Morgan Stanley | 548 | 40,541 | 31,132 | (9,409) | |||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | 2,912 | 2,687 | 2,763 | 76 | |||||
Syneos Health, Inc. | Morgan Stanley | 34 | 2,840 | 3,043 | 248 | |||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 26 | 11,495 | 13,116 | 1,634 | |||||
Translate Bio, Inc. | Morgan Stanley | 168 | 2,906 | 4,627 | 1,759 | |||||
United Therapeutics Corp. | Morgan Stanley | 31 | 5,406 | 5,562 | 155 | |||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 309 | 60,150 | 62,304 | 1,931 | |||||
Waters Corp. | Morgan Stanley | 44 | 11,774 | 15,207 | 3,432 | |||||
Zoetis, Inc. | Morgan Stanley | 9 | 1,313 | 1,677 | 366 | |||||
15,351 | 550,831 | 613,701 | 64,688 | |||||||
Retailing | ||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | 3 | 98 | 96 | (3) | |||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 3,386 | 45,970 | 157,212 | 111,241 | |||||
Advance Auto Parts, Inc. | Morgan Stanley | 364 | 54,766 | 74,671 | 20,408 | |||||
Amazon.com, Inc. | Morgan Stanley | 15 | 45,884 | 51,602 | 5,718 | |||||
Asbury Automotive Group, Inc. | Morgan Stanley | 1 | 93 | 171 | 78 | |||||
AutoNation, Inc. | Morgan Stanley | 25 | 1,320 | 2,370 | 1,050 | |||||
AutoZone, Inc. | Morgan Stanley | 13 | 14,306 | 19,399 | 5,092 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Retailing — (continued) | ||||||||||
Best Buy Co., Inc. | Morgan Stanley | 1 | $108 | $115 | $7 | |||||
Buckle, Inc. (The) | Morgan Stanley | 354 | 7,193 | 17,611 | 11,917 | |||||
Dick's Sporting Goods, Inc. | Morgan Stanley | 9 | 836 | 902 | 65 | |||||
eBay, Inc. | Morgan Stanley | 115 | 5,386 | 8,074 | 2,747 | |||||
Etsy, Inc. | Morgan Stanley | 80 | 14,165 | 16,467 | 2,838 | |||||
Five Below, Inc. | Morgan Stanley | 15 | 2,893 | 2,899 | 6 | |||||
Floor & Decor Holdings, Inc., Class A | Morgan Stanley | 160 | 15,906 | 16,912 | 1,020 | |||||
Genuine Parts Co. | Morgan Stanley | 133 | 14,787 | 16,820 | 2,193 | |||||
Group 1 Automotive, Inc. | Morgan Stanley | 78 | 11,446 | 12,046 | 647 | |||||
Guess?, Inc. | Morgan Stanley | 1 | 12 | 26 | 14 | |||||
Hibbett, Inc. | Morgan Stanley | 31 | 2,555 | 2,779 | 223 | |||||
Home Depot, Inc. (The) | Morgan Stanley | 37 | 11,350 | 11,799 | 449 | |||||
Lands' End, Inc. | Morgan Stanley | 19 | 641 | 780 | 139 | |||||
LKQ Corp. | Morgan Stanley | 348 | 15,372 | 17,129 | 1,753 | |||||
Lowe's Cos., Inc. | Morgan Stanley | 72 | 13,144 | 13,966 | 853 | |||||
Macy's, Inc. | Morgan Stanley | 5,402 | 32,735 | 102,422 | 69,686 | |||||
MarineMax, Inc. | Morgan Stanley | 44 | 2,104 | 2,145 | 40 | |||||
Ollie's Bargain Outlet Holdings, Inc. | Morgan Stanley | 263 | 22,340 | 22,126 | (214) | |||||
O'Reilly Automotive, Inc. | Morgan Stanley | 24 | 11,681 | 13,589 | 1,965 | |||||
Overstock.com, Inc. | Morgan Stanley | 192 | 13,533 | 17,702 | 4,878 | |||||
Qurate Retail, Inc. | Morgan Stanley | 2,046 | 17,072 | 26,782 | 12,087 | |||||
RH | Morgan Stanley | 4 | 2,741 | 2,716 | (25) | |||||
Shutterstock, Inc. | Morgan Stanley | 683 | 43,258 | 67,050 | 24,014 | |||||
Stitch Fix, Inc., Class A | Morgan Stanley | 12 | 739 | 724 | (15) | |||||
Target Corp. | Morgan Stanley | 272 | 62,190 | 65,753 | 4,104 | |||||
Ulta Beauty, Inc. | Morgan Stanley | 15 | 5,062 | 5,187 | 124 | |||||
Urban Outfitters, Inc. | Morgan Stanley | 193 | 3,950 | 7,955 | 4,005 | |||||
Wayfair, Inc., Class A | Morgan Stanley | 166 | 50,649 | 52,408 | 1,759 | |||||
Williams-Sonoma, Inc. | Morgan Stanley | 3 | 504 | 479 | (25) | |||||
Zumiez, Inc. | Morgan Stanley | 122 | 3,526 | 5,977 | 2,450 | |||||
14,701 | 550,315 | 836,861 | 293,288 | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
Amkor Technology, Inc. | Morgan Stanley | 39 | 434 | 923 | 494 | |||||
Analog Devices, Inc. | Morgan Stanley | 119 | 19,035 | 20,487 | 1,536 | |||||
Applied Materials, Inc. | Morgan Stanley | 59 | 7,132 | 8,402 | 1,270 | |||||
Axcelis Technologies, Inc. | Morgan Stanley | 244 | 5,827 | 9,862 | 4,035 | |||||
Broadcom, Inc. | Morgan Stanley | 98 | 42,970 | 46,730 | 4,455 | |||||
Brooks Automation, Inc. | Morgan Stanley | 24 | 2,289 | 2,287 | (3) | |||||
Cirrus Logic, Inc. | Morgan Stanley | 55 | 4,066 | 4,682 | 690 | |||||
First Solar, Inc. | Morgan Stanley | 1 | 61 | 90 | 29 | |||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 83 | 4,504 | 4,465 | (39) | |||||
Intel Corp. | Morgan Stanley | 365 | 21,260 | 20,491 | (726) | |||||
KLA Corp. | Morgan Stanley | 46 | 13,915 | 14,914 | 1,034 | |||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 1,830 | 67,139 | 117,266 | 50,127 | |||||
MKS Instruments, Inc. | Morgan Stanley | 162 | 28,549 | 28,828 | 290 | |||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 216 | 41,811 | 44,435 | 2,915 | |||||
ON Semiconductor Corp. | Morgan Stanley | 201 | 7,310 | 7,694 | 408 | |||||
Power Integrations, Inc. | Morgan Stanley | 73 | 5,735 | 5,990 | 264 | |||||
Qorvo, Inc. | Morgan Stanley | 237 | 40,901 | 46,369 | 5,606 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
QUALCOMM, Inc. | Morgan Stanley | 258 | $33,666 | $36,876 | $3,378 | |||||
Rambus, Inc. | Morgan Stanley | 253 | 5,039 | 5,999 | 967 | |||||
Skyworks Solutions, Inc. | Morgan Stanley | 96 | 16,415 | 18,408 | 2,032 | |||||
Synaptics, Inc. | Morgan Stanley | 32 | 4,028 | 4,979 | 950 | |||||
Texas Instruments, Inc. | Morgan Stanley | 111 | 19,077 | 21,345 | 2,404 | |||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 70 | 3,530 | 3,760 | 230 | |||||
4,672 | 394,693 | 475,282 | 82,346 | |||||||
Software & Services | ||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 140 | 35,372 | 41,271 | 6,020 | |||||
Adobe, Inc. | Morgan Stanley | 5 | 2,247 | 2,928 | 681 | |||||
Alliance Data Systems Corp. | Morgan Stanley | 4 | 424 | 417 | (7) | |||||
ANSYS, Inc. | Morgan Stanley | 6 | 2,043 | 2,082 | 39 | |||||
Automatic Data Processing, Inc. | Morgan Stanley | 254 | 41,861 | 50,449 | 9,034 | |||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 213 | 28,494 | 34,406 | 6,277 | |||||
C3.ai, Inc., Class A | Morgan Stanley | 26 | 1,530 | 1,626 | 96 | |||||
Cadence Design Systems, Inc. | Morgan Stanley | 84 | 10,736 | 11,493 | 757 | |||||
Cerence, Inc. | Morgan Stanley | 77 | 6,774 | 8,217 | 1,492 | |||||
CGI, Inc. (Canada) | Morgan Stanley | 381 | 27,538 | 34,519 | 6,980 | |||||
Cloudera, Inc. | Morgan Stanley | 603 | 9,539 | 9,564 | 25 | |||||
CommVault Systems, Inc. | Morgan Stanley | 48 | 3,207 | 3,752 | 544 | |||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 656 | 22,903 | 33,836 | 10,933 | |||||
CSG Systems International, Inc. | Morgan Stanley | 927 | 39,436 | 43,736 | 5,164 | |||||
Digital Turbine, Inc. | Morgan Stanley | 204 | 13,599 | 15,510 | 1,911 | |||||
DocuSign, Inc. | Morgan Stanley | 205 | 51,595 | 57,312 | 5,717 | |||||
Domo, Inc., Class B | Morgan Stanley | 43 | 3,169 | 3,476 | 307 | |||||
DXC Technology Co. | Morgan Stanley | 99 | 3,868 | 3,855 | (13) | |||||
Elastic N.V. (Netherlands) | Morgan Stanley | 103 | 15,074 | 15,013 | (61) | |||||
Everbridge, Inc. | Morgan Stanley | 40 | 5,353 | 5,443 | 90 | |||||
Fair Isaac Corp. | Morgan Stanley | 14 | 6,818 | 7,038 | 220 | |||||
Fiserv, Inc. | Morgan Stanley | 521 | 54,248 | 55,690 | 1,441 | |||||
Fortinet, Inc. | Morgan Stanley | 37 | 7,584 | 8,813 | 1,229 | |||||
Gartner, Inc. | Morgan Stanley | 5 | 1,133 | 1,211 | 77 | |||||
International Business Machines Corp. | Morgan Stanley | 183 | 23,517 | 26,826 | 3,609 | |||||
Intuit, Inc. | Morgan Stanley | 24 | 10,544 | 11,764 | 1,220 | |||||
J2 Global, Inc. | Morgan Stanley | 59 | 7,252 | 8,115 | 938 | |||||
Lightspeed POS, Inc., sub-voting shares (Canada) | Morgan Stanley | 25 | 2,129 | 2,090 | (40) | |||||
Mastercard, Inc., Class A | Morgan Stanley | 20 | 7,328 | 7,302 | (26) | |||||
Maximus, Inc. | Morgan Stanley | 231 | 20,882 | 20,321 | (548) | |||||
Microsoft Corp. | Morgan Stanley | 201 | 43,889 | 54,451 | 10,780 | |||||
Momentive Global, Inc. | Morgan Stanley | 125 | 2,540 | 2,634 | 94 | |||||
MongoDB, Inc. | Morgan Stanley | 75 | 28,300 | 27,114 | (1,186) | |||||
NortonLifeLock, Inc. | Morgan Stanley | 320 | 8,153 | 8,710 | 573 | |||||
Nutanix, Inc., Class A | Morgan Stanley | 489 | 17,513 | 18,690 | 1,176 | |||||
Open Text Corp. (Canada) | Morgan Stanley | 744 | 31,865 | 37,795 | 6,288 | |||||
Oracle Corp. | Morgan Stanley | 645 | 49,613 | 50,207 | 594 | |||||
Paychex, Inc. | Morgan Stanley | 62 | 6,586 | 6,653 | 81 | |||||
PayPal Holdings, Inc. | Morgan Stanley | 124 | 28,292 | 36,144 | 7,851 | |||||
Progress Software Corp. | Morgan Stanley | 19 | 701 | 879 | 188 | |||||
Proofpoint, Inc. | Morgan Stanley | 54 | 9,375 | 9,383 | 7 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
PTC, Inc. | Morgan Stanley | 2 | $203 | $283 | $80 | |||||
salesforce.com, Inc. | Morgan Stanley | 84 | 17,755 | 20,519 | 2,763 | |||||
SecureWorks Corp., Class A | Morgan Stanley | 4 | 83 | 74 | (9) | |||||
ServiceNow, Inc. | Morgan Stanley | 23 | 10,955 | 12,640 | 1,685 | |||||
Slack Technologies, Inc., Class A | Morgan Stanley | 93 | 4,136 | 4,120 | (16) | |||||
SPS Commerce, Inc. | Morgan Stanley | 21 | 1,825 | 2,097 | 272 | |||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 316 | 23,138 | 22,771 | (336) | |||||
Synopsys, Inc. | Morgan Stanley | 22 | 5,156 | 6,067 | 911 | |||||
Teradata Corp. | Morgan Stanley | 319 | 7,272 | 15,940 | 8,668 | |||||
Verint Systems, Inc. | Morgan Stanley | 847 | 39,256 | 38,174 | (1,082) | |||||
VeriSign, Inc. | Morgan Stanley | 89 | 17,066 | 20,264 | 3,198 | |||||
Vertex, Inc., Class A | Morgan Stanley | 24 | 516 | 527 | 10 | |||||
Visa, Inc., Class A | Morgan Stanley | 64 | 13,425 | 14,964 | 1,563 | |||||
Western Union Co. (The) | Morgan Stanley | 92 | 2,198 | 2,113 | (75) | |||||
Workiva, Inc. | Morgan Stanley | 67 | 4,971 | 7,459 | 2,488 | |||||
10,162 | 840,979 | 948,747 | 110,672 | |||||||
Technology Hardware & Equipment | ||||||||||
3D Systems Corp. | Morgan Stanley | 533 | 16,582 | 21,304 | 4,722 | |||||
Apple, Inc. | Morgan Stanley | 308 | 37,519 | 42,184 | 4,728 | |||||
Belden, Inc. | Morgan Stanley | 401 | 13,968 | 20,279 | 6,389 | |||||
Benchmark Electronics, Inc. | Morgan Stanley | 28 | 834 | 797 | (34) | |||||
Cambium Networks Corp. (Cayman Islands) | Morgan Stanley | 16 | 744 | 774 | 29 | |||||
Cisco Systems, Inc. | Morgan Stanley | 472 | 20,950 | 25,016 | 4,248 | |||||
Cognex Corp. | Morgan Stanley | 17 | 1,261 | 1,429 | 248 | |||||
Coherent, Inc. | Morgan Stanley | 93 | 24,322 | 24,584 | 261 | |||||
Corning, Inc. | Morgan Stanley | 309 | 13,375 | 12,638 | (691) | |||||
CTS Corp. | Morgan Stanley | 3 | 109 | 111 | 3 | |||||
Diebold Nixdorf, Inc. | Morgan Stanley | 4 | 53 | 51 | (4) | |||||
EchoStar Corp., Class A | Morgan Stanley | 1,747 | 50,006 | 42,435 | (7,600) | |||||
Extreme Networks, Inc. | Morgan Stanley | 477 | 5,226 | 5,323 | 97 | |||||
F5 Networks, Inc. | Morgan Stanley | 4 | 748 | 747 | (2) | |||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 1,067 | 16,740 | 15,557 | (1,092) | |||||
HP, Inc. | Morgan Stanley | 994 | 23,645 | 30,009 | 6,756 | |||||
Keysight Technologies, Inc. | Morgan Stanley | 114 | 16,081 | 17,603 | 1,604 | |||||
Knowles Corp. | Morgan Stanley | 264 | 5,335 | 5,211 | (124) | |||||
Lumentum Holdings, Inc. | Morgan Stanley | 57 | 3,883 | 4,676 | 793 | |||||
NCR Corp. | Morgan Stanley | 2,241 | 48,179 | 102,212 | 54,032 | |||||
NetApp, Inc. | Morgan Stanley | 308 | 25,030 | 25,201 | 170 | |||||
NETGEAR, Inc. | Morgan Stanley | 394 | 13,849 | 15,098 | 1,245 | |||||
OSI Systems, Inc. | Morgan Stanley | 701 | 55,204 | 71,250 | 16,046 | |||||
Plantronics, Inc. | Morgan Stanley | 188 | 6,676 | 7,845 | 1,192 | |||||
Plexus Corp. | Morgan Stanley | 3 | 274 | 274 | — | |||||
Sanmina Corp. | Morgan Stanley | 28 | 697 | 1,091 | 394 | |||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 148 | 13,357 | 13,014 | (344) | |||||
SYNNEX Corp. | Morgan Stanley | 63 | 7,332 | 7,671 | 346 | |||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 71 | 9,302 | 9,600 | 319 | |||||
TTM Technologies, Inc. | Morgan Stanley | 870 | 11,713 | 12,441 | 728 | |||||
Ubiquiti, Inc. | Morgan Stanley | 31 | 8,620 | 9,678 | 1,071 | |||||
Viavi Solutions, Inc. | Morgan Stanley | 129 | 2,075 | 2,278 | 212 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Technology Hardware & Equipment — (continued) | ||||||||||
Vishay Intertechnology, Inc. | Morgan Stanley | 119 | $2,679 | $2,683 | $9 | |||||
Vontier Corp. | Morgan Stanley | 911 | 27,097 | 29,680 | 2,602 | |||||
Xerox Holdings Corp. | Morgan Stanley | 249 | 5,987 | 5,849 | (76) | |||||
Zebra Technologies Corp., Class A | Morgan Stanley | 35 | 16,466 | 18,532 | 2,066 | |||||
13,397 | 505,918 | 605,125 | 100,343 | |||||||
Telecommunication Services | ||||||||||
AT&T, Inc. | Morgan Stanley | 768 | 21,641 | 22,103 | 1,055 | |||||
BCE, Inc. (Canada) | Morgan Stanley | 5 | 246 | 247 | — | |||||
Gogo, Inc. | Morgan Stanley | 469 | 5,530 | 5,337 | (193) | |||||
Iridium Communications, Inc. | Morgan Stanley | 64 | 1,895 | 2,559 | 664 | |||||
Lumen Technologies, Inc. | Morgan Stanley | 413 | 5,273 | 5,613 | 481 | |||||
T-Mobile U.S., Inc. | Morgan Stanley | 99 | 13,329 | 14,338 | 1,008 | |||||
Verizon Communications, Inc. | Morgan Stanley | 669 | 36,641 | 37,484 | 1,261 | |||||
2,487 | 84,555 | 87,681 | 4,276 | |||||||
Transportation | ||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 343 | 12,412 | 20,686 | 8,274 | |||||
ArcBest Corp. | Morgan Stanley | 2,008 | 68,150 | 116,845 | 49,175 | |||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 781 | 44,074 | 53,194 | 9,119 | |||||
CSX Corp. | Morgan Stanley | 452 | 14,444 | 14,500 | 99 | |||||
Expeditors International of Washington, Inc. | Morgan Stanley | 62 | 7,496 | 7,849 | 381 | |||||
FedEx Corp. | Morgan Stanley | 94 | 25,764 | 28,043 | 2,338 | |||||
Heartland Express, Inc. | Morgan Stanley | 6 | 104 | 103 | (1) | |||||
Hub Group, Inc., Class A | Morgan Stanley | 92 | 6,404 | 6,070 | (335) | |||||
Marten Transport Ltd, | Morgan Stanley | 2 | 33 | 33 | — | |||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 64 | 15,629 | 16,243 | 623 | |||||
Ryder System, Inc. | Morgan Stanley | 251 | 14,622 | 18,657 | 4,361 | |||||
Saia, Inc. | Morgan Stanley | 44 | 9,867 | 9,218 | (649) | |||||
Schneider National, Inc., Class B | Morgan Stanley | 47 | 1,070 | 1,023 | (46) | |||||
Southwest Airlines Co. | Morgan Stanley | 262 | 14,881 | 13,910 | (972) | |||||
Union Pacific Corp. | Morgan Stanley | 38 | 7,919 | 8,357 | 490 | |||||
United Parcel Service, Inc., Class B | Morgan Stanley | 122 | 21,971 | 25,372 | 3,622 | |||||
Werner Enterprises, Inc. | Morgan Stanley | 44 | 1,759 | 1,959 | 208 | |||||
4,712 | 266,599 | 342,062 | 76,687 | |||||||
Utilities | ||||||||||
AES Corp. (The) | Morgan Stanley | 460 | 11,615 | 11,992 | 442 | |||||
Alliant Energy Corp. | Morgan Stanley | 10 | 559 | 558 | (1) | |||||
American States Water Co. | Morgan Stanley | 2 | 160 | 159 | (1) | |||||
American Water Works Co., Inc. | Morgan Stanley | 5 | 768 | 771 | 2 | |||||
Avista Corp. | Morgan Stanley | 33 | 1,470 | 1,408 | (58) | |||||
Dominion Energy, Inc. | Morgan Stanley | 906 | 62,993 | 66,654 | 4,792 | |||||
Duke Energy Corp. | Morgan Stanley | 466 | 44,984 | 46,003 | 1,302 | |||||
Exelon Corp. | Morgan Stanley | 392 | 15,920 | 17,370 | 1,720 | |||||
MDU Resources Group, Inc. | Morgan Stanley | 561 | 18,420 | 17,582 | (781) | |||||
National Fuel Gas Co. | Morgan Stanley | 56 | 2,263 | 2,926 | 745 | |||||
TransAlta Corp. (Canada) | Morgan Stanley | 23 | 219 | 230 | 10 | |||||
2,914 | 159,371 | 165,653 | 8,172 | |||||||
Total Reference Entity — Long | 8,710,412 | 10,456,201 | 1,794,797 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Short | ||||||||||
Automobiles & Components | ||||||||||
BorgWarner, Inc. | Morgan Stanley | (2,797) | $(134,905) | $(135,766) | $(1,559) | |||||
Dana, Inc. | Morgan Stanley | (3,363) | (85,141) | (79,905) | 4,747 | |||||
Dorman Products, Inc. | Morgan Stanley | (7) | (722) | (726) | (4) | |||||
Fox Factory Holding Corp. | Morgan Stanley | (699) | (96,545) | (108,806) | (13,025) | |||||
LCI Industries | Morgan Stanley | (764) | (95,220) | (100,405) | (7,150) | |||||
Lear Corp. | Morgan Stanley | (765) | (143,846) | (134,089) | 9,045 | |||||
Patrick Industries, Inc. | Morgan Stanley | (1,076) | (73,951) | (78,548) | (5,569) | |||||
Tesla, Inc. | Morgan Stanley | (49) | (33,502) | (33,305) | 167 | |||||
Workhorse Group, Inc. | Morgan Stanley | (3,533) | (58,139) | (58,612) | (524) | |||||
(13,053) | (721,971) | (730,162) | (13,872) | |||||||
Capital Goods | ||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | (48) | (5,579) | (5,595) | (22) | |||||
Air Lease Corp. | Morgan Stanley | (414) | (18,573) | (17,280) | 1,277 | |||||
Allison Transmission Holdings, Inc. | Morgan Stanley | (883) | (39,803) | (35,090) | 4,717 | |||||
American Woodmark Corp. | Morgan Stanley | (191) | (17,235) | (15,603) | 1,617 | |||||
Arcosa, Inc. | Morgan Stanley | (576) | (36,569) | (33,834) | 2,687 | |||||
Armstrong World Industries, Inc. | Morgan Stanley | (569) | (46,610) | (61,031) | (14,705) | |||||
Astec Industries, Inc. | Morgan Stanley | (299) | (16,116) | (18,819) | (2,894) | |||||
Axon Enterprise, Inc. | Morgan Stanley | (465) | (62,639) | (82,212) | (19,775) | |||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (11,872) | (187,329) | (215,121) | (27,952) | |||||
Barnes Group, Inc. | Morgan Stanley | (268) | (14,679) | (13,735) | 898 | |||||
Bloom Energy Corp., Class A | Morgan Stanley | (2,591) | (60,406) | (69,620) | (9,266) | |||||
Boeing Co. (The) | Morgan Stanley | (1,383) | (338,922) | (331,312) | 7,321 | |||||
BWX Technologies, Inc. | Morgan Stanley | (994) | (66,413) | (57,771) | 8,424 | |||||
CAI International, Inc. | Morgan Stanley | (36) | (2,004) | (2,016) | (14) | |||||
Carrier Global Corp. | Morgan Stanley | (186) | (9,016) | (9,040) | (32) | |||||
Chart Industries, Inc. | Morgan Stanley | (110) | (17,436) | (16,095) | 1,459 | |||||
Construction Partners, Inc., Class A | Morgan Stanley | (2,156) | (54,643) | (67,698) | (13,103) | |||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (1,873) | (33,202) | (34,051) | (878) | |||||
Dycom Industries, Inc. | Morgan Stanley | (547) | (43,460) | (40,768) | 2,654 | |||||
Energy Recovery, Inc. | Morgan Stanley | (404) | (8,419) | (9,203) | (791) | |||||
EnPro Industries, Inc. | Morgan Stanley | (113) | (10,644) | (10,978) | (360) | |||||
Evoqua Water Technologies Corp. | Morgan Stanley | (7,345) | (211,350) | (248,114) | (36,945) | |||||
Fluor Corp. | Morgan Stanley | (4,836) | (112,029) | (85,597) | 27,495 | |||||
FuelCell Energy, Inc. | Morgan Stanley | (6,682) | (103,780) | (59,470) | 44,221 | |||||
GATX Corp. | Morgan Stanley | (829) | (76,333) | (73,342) | 2,146 | |||||
Global Industrial Co. | Morgan Stanley | (6) | (221) | (220) | — | |||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (573) | (8,358) | (8,372) | (21) | |||||
Greenbrier Cos., Inc. (The) | Morgan Stanley | (116) | (5,343) | (5,055) | 283 | |||||
Helios Technologies, Inc. | Morgan Stanley | (748) | (33,954) | (58,381) | (24,645) | |||||
Hexcel Corp. | Morgan Stanley | (1,232) | (69,794) | (76,877) | (7,197) | |||||
Hubbell, Inc. | Morgan Stanley | (58) | (11,356) | (10,837) | 446 | |||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (523) | (21,778) | (38,169) | (16,903) | |||||
Kennametal, Inc. | Morgan Stanley | (3,783) | (121,731) | (135,885) | (16,935) | |||||
Kratos Defense & Security Solutions, Inc. | Morgan Stanley | (1,167) | (24,972) | (33,248) | (8,367) | |||||
Lindsay Corp. | Morgan Stanley | (96) | (15,866) | (15,867) | (39) | |||||
Lydall, Inc. | Morgan Stanley | (11) | (668) | (666) | 2 | |||||
Maxar Technologies, Inc. | Morgan Stanley | (1,011) | (43,641) | (40,359) | 3,223 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Mercury Systems, Inc. | Morgan Stanley | (1,775) | $(122,978) | $(117,647) | $5,226 | |||||
Meritor, Inc. | Morgan Stanley | (3,928) | (95,203) | (91,994) | 3,145 | |||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (165) | (15,199) | (14,805) | 391 | |||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (2,279) | (25,229) | (32,863) | (8,190) | |||||
Navistar International Corp. | Morgan Stanley | (1,508) | (66,918) | (67,106) | (246) | |||||
NV5 Global, Inc. | Morgan Stanley | (398) | (20,712) | (37,615) | (17,137) | |||||
Parsons Corp. | Morgan Stanley | (420) | (15,835) | (16,531) | (721) | |||||
PGT Innovations, Inc. | Morgan Stanley | (2,221) | (44,060) | (51,594) | (7,572) | |||||
Proto Labs, Inc. | Morgan Stanley | (814) | (157,997) | (74,725) | 83,136 | |||||
Raven Industries, Inc. | Morgan Stanley | (73) | (4,212) | (4,223) | (15) | |||||
Resideo Technologies, Inc. | Morgan Stanley | (442) | (6,254) | (13,260) | (7,745) | |||||
REV Group, Inc. | Morgan Stanley | (1,922) | (15,423) | (30,156) | (15,010) | |||||
Rexnord Corp. | Morgan Stanley | (1,332) | (67,219) | (66,653) | 508 | |||||
Rockwell Automation, Inc. | Morgan Stanley | (274) | (77,366) | (78,370) | (1,076) | |||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (2,590) | (117,058) | (122,222) | (5,291) | |||||
SPX Corp. | Morgan Stanley | (254) | (15,067) | (15,514) | (480) | |||||
Sunrun, Inc. | Morgan Stanley | (1,338) | (99,300) | (74,634) | 24,581 | |||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (1,168) | (36,547) | (39,443) | (2,928) | |||||
TransDigm Group, Inc. | Morgan Stanley | (364) | (236,547) | (235,614) | (604) | |||||
Trex Co., Inc. | Morgan Stanley | (2,182) | (192,820) | (223,022) | (30,368) | |||||
Triumph Group, Inc. | Morgan Stanley | (557) | (8,403) | (11,558) | (3,250) | |||||
UFP Industries, Inc. | Morgan Stanley | (219) | (16,038) | (16,280) | (257) | |||||
Univar Solutions, Inc. | Morgan Stanley | (5,309) | (124,256) | (129,433) | (5,703) | |||||
Vicor Corp. | Morgan Stanley | (742) | (65,341) | (78,459) | (13,339) | |||||
Welbilt, Inc. | Morgan Stanley | (6,512) | (100,124) | (150,753) | (53,396) | |||||
WESCO International, Inc. | Morgan Stanley | (944) | (46,282) | (97,062) | (52,805) | |||||
Westport Fuel Systems, Inc. (Canada) | Morgan Stanley | (6,012) | (47,269) | (31,924) | 15,330 | |||||
(100,736) | (3,790,528) | (3,960,791) | (185,790) | |||||||
Commercial & Professional Services | ||||||||||
ADT, Inc. | Morgan Stanley | (18,806) | (170,963) | (202,917) | (33,672) | |||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (490) | (42,452) | (41,738) | 517 | |||||
Cintas Corp. | Morgan Stanley | (262) | (98,409) | (100,084) | (1,759) | |||||
Clarivate PLC (Jersey) | Morgan Stanley | (2,442) | (65,768) | (67,228) | (1,561) | |||||
CoStar Group, Inc. | Morgan Stanley | (4,119) | (356,592) | (341,136) | 14,914 | |||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (468) | (11,577) | (10,001) | 1,566 | |||||
Forrester Research, Inc. | Morgan Stanley | (449) | (16,263) | (20,564) | (4,316) | |||||
FTI Consulting, Inc. | Morgan Stanley | (514) | (73,401) | (70,218) | 3,128 | |||||
GFL Environmental, Inc., sub-voting shares (Canada) | Morgan Stanley | (53) | (1,694) | (1,692) | 1 | |||||
Harsco Corp. | Morgan Stanley | (4,216) | (61,781) | (86,091) | (24,434) | |||||
Insperity, Inc. | Morgan Stanley | (1,114) | (91,738) | (100,672) | (10,224) | |||||
KAR Auction Services, Inc. | Morgan Stanley | (1,650) | (26,799) | (28,958) | (2,420) | |||||
KBR, Inc. | Morgan Stanley | (627) | (25,262) | (23,920) | 1,237 | |||||
ManTech International Corp., Class A | Morgan Stanley | (372) | (32,081) | (32,193) | (243) | |||||
MSA Safety, Inc. | Morgan Stanley | (3) | (498) | (497) | — | |||||
Pitney Bowes, Inc. | Morgan Stanley | (7,809) | (66,926) | (68,485) | (1,936) | |||||
TransUnion | Morgan Stanley | (990) | (105,385) | (108,712) | (3,504) | |||||
U.S. Ecology, Inc. | Morgan Stanley | (1,564) | (59,010) | (58,681) | 282 | |||||
Upwork, Inc. | Morgan Stanley | (734) | (29,971) | (42,785) | (13,310) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Commercial & Professional Services — (continued) | ||||||||||
Viad Corp. | Morgan Stanley | (727) | $(29,301) | $(36,241) | $(6,965) | |||||
Waste Connections, Inc. (Canada) | Morgan Stanley | (102) | (12,583) | (12,182) | 364 | |||||
(47,511) | (1,378,454) | (1,454,995) | (82,335) | |||||||
Consumer Durables & Apparel | ||||||||||
Callaway Golf Co. | Morgan Stanley | (2,203) | (76,221) | (74,307) | 1,839 | |||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (1,068) | (38,768) | (46,714) | (7,980) | |||||
Columbia Sportswear Co. | Morgan Stanley | (239) | (22,447) | (23,508) | (1,206) | |||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (352) | (78,129) | (80,298) | (2,236) | |||||
Installed Building Products, Inc. | Morgan Stanley | (375) | (48,797) | (45,885) | 2,707 | |||||
Levi Strauss & Co., Class A | Morgan Stanley | (1,003) | (28,526) | (27,803) | 638 | |||||
Lovesac Co. (The) | Morgan Stanley | (63) | (4,777) | (5,027) | (255) | |||||
Lululemon Athletica, Inc. | Morgan Stanley | (215) | (70,628) | (78,469) | (7,901) | |||||
Malibu Boats, Inc., Class A | Morgan Stanley | (444) | (35,884) | (32,559) | 3,314 | |||||
NIKE, Inc., Class B | Morgan Stanley | (431) | (58,927) | (66,585) | (8,537) | |||||
Oxford Industries, Inc. | Morgan Stanley | (326) | (25,992) | (32,222) | (6,385) | |||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (3,362) | (342,440) | (416,955) | (81,888) | |||||
Purple Innovation, Inc. | Morgan Stanley | (3,761) | (136,978) | (99,328) | 38,030 | |||||
Ralph Lauren Corp. | Morgan Stanley | (749) | (87,492) | (88,240) | (1,368) | |||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (1,895) | (69,799) | (94,428) | (24,754) | |||||
VF Corp. | Morgan Stanley | (1,176) | (101,078) | (96,479) | 4,197 | |||||
Vista Outdoor, Inc. | Morgan Stanley | (31) | (1,432) | (1,435) | 62 | |||||
Vizio Holding Corp., Class A | Morgan Stanley | (126) | (3,233) | (3,403) | (173) | |||||
Vuzix Corp. | Morgan Stanley | (753) | (12,649) | (13,818) | (1,179) | |||||
(18,572) | (1,244,197) | (1,327,463) | (93,075) | |||||||
Consumer Services | ||||||||||
Aramark | Morgan Stanley | (9,275) | (346,958) | (345,494) | 580 | |||||
Bally's Corp. | Morgan Stanley | (1,550) | (97,260) | (83,871) | 13,307 | |||||
Booking Holdings, Inc. | Morgan Stanley | (24) | (56,012) | (52,514) | 3,794 | |||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (1,478) | (245,249) | (217,429) | 27,611 | |||||
Carnival Corp. (Panama) | Morgan Stanley | (273) | (7,179) | (7,196) | (24) | |||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (70) | (106,725) | (108,524) | (1,890) | |||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | (170) | (23,811) | (25,238) | (1,577) | |||||
Dave & Buster's Entertainment, Inc. | Morgan Stanley | (1,097) | (48,741) | (44,538) | 4,272 | |||||
Denny's Corp. | Morgan Stanley | (6,281) | (93,363) | (103,574) | (10,291) | |||||
Domino's Pizza, Inc. | Morgan Stanley | (124) | (57,049) | (57,845) | (845) | |||||
DraftKings, Inc., Class A | Morgan Stanley | (3,329) | (171,001) | (173,674) | (2,819) | |||||
Frontdoor, Inc. | Morgan Stanley | (527) | (28,835) | (26,255) | 2,563 | |||||
MGM Resorts International | Morgan Stanley | (5,537) | (228,449) | (236,153) | (7,911) | |||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (791) | (37,196) | (52,340) | (15,196) | |||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (65) | (1,901) | (1,912) | (12) | |||||
Planet Fitness, Inc., Class A | Morgan Stanley | (1,799) | (136,294) | (135,375) | 802 | |||||
Restaurant Brands International, Inc. (Canada) | Morgan Stanley | (478) | (33,138) | (30,802) | 2,131 | |||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (1,264) | (110,867) | (107,794) | 2,978 | |||||
Shake Shack, Inc., Class A | Morgan Stanley | (749) | (72,087) | (80,158) | (8,133) | |||||
Strategic Education, Inc. | Morgan Stanley | (74) | (5,813) | (5,628) | 179 | |||||
Stride, Inc. | Morgan Stanley | (2,419) | (93,978) | (77,722) | 16,175 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Consumer Services — (continued) | ||||||||||
Terminix Global Holdings, Inc. | Morgan Stanley | (244) | $(12,309) | $(11,641) | $677 | |||||
Wingstop, Inc. | Morgan Stanley | (284) | (43,440) | (44,767) | (1,364) | |||||
(37,902) | (2,057,655) | (2,030,444) | 25,007 | |||||||
Diversified Financials | ||||||||||
Federated Hermes, Inc. | Morgan Stanley | (583) | (19,556) | (19,770) | (231) | |||||
Intercontinental Exchange, Inc. | Morgan Stanley | (147) | (17,429) | (17,449) | 97 | |||||
SEI Investments Co. | Morgan Stanley | (432) | (27,130) | (26,771) | 179 | |||||
State Street Corp. | Morgan Stanley | (78) | (6,372) | (6,418) | (108) | |||||
(1,240) | (70,487) | (70,408) | (63) | |||||||
Energy | ||||||||||
Archrock, Inc. | Morgan Stanley | (1,242) | (8,098) | (11,066) | (3,683) | |||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (30,780) | (261,778) | (294,872) | (33,680) | |||||
Cheniere Energy, Inc. | Morgan Stanley | (897) | (67,497) | (77,806) | (10,715) | |||||
ConocoPhillips | Morgan Stanley | (847) | (48,261) | (51,582) | (3,736) | |||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | (19,749) | (85,312) | (89,463) | (4,264) | |||||
CVR Energy, Inc. | Morgan Stanley | (378) | (6,953) | (6,789) | 158 | |||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (3,922) | (61,693) | (84,794) | (23,251) | |||||
Denbury, Inc. | Morgan Stanley | (926) | (65,721) | (71,098) | (5,434) | |||||
Devon Energy Corp. | Morgan Stanley | (288) | (7,414) | (8,407) | (1,098) | |||||
Diamondback Energy, Inc. | Morgan Stanley | (6,378) | (516,611) | (598,830) | (83,802) | |||||
Dril-Quip, Inc. | Morgan Stanley | (459) | (15,669) | (15,528) | 125 | |||||
Enerplus Corp. (Canada) | Morgan Stanley | (3,395) | (19,231) | (24,410) | (5,300) | |||||
Gevo, Inc. | Morgan Stanley | (5,966) | (42,826) | (43,373) | (584) | |||||
Laredo Petroleum, Inc. | Morgan Stanley | (102) | (8,310) | (9,465) | (1,162) | |||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (1,702) | (20,684) | (24,100) | (3,457) | |||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (3,055) | (8,890) | (14,542) | (5,660) | |||||
Northern Oil and Gas, Inc. | Morgan Stanley | (1,033) | (20,207) | (21,455) | (1,293) | |||||
Par Pacific Holdings, Inc. | Morgan Stanley | (28) | (460) | (471) | (12) | |||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (2,339) | (19,152) | (23,250) | (4,303) | |||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (4,158) | (104,756) | (132,100) | (33,400) | |||||
Pioneer Natural Resources Co. | Morgan Stanley | (3,576) | (557,584) | (581,172) | (26,051) | |||||
Renewable Energy Group, Inc. | Morgan Stanley | (141) | (8,209) | (8,790) | (588) | |||||
RPC, Inc. | Morgan Stanley | (4,175) | (13,922) | (20,666) | (6,765) | |||||
Southwestern Energy Co. | Morgan Stanley | (43,566) | (187,011) | (247,019) | (62,975) | |||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (9,324) | (77,379) | (84,382) | (7,069) | |||||
Valaris Ltd. (Bermuda) | Morgan Stanley | (60) | (1,748) | (1,733) | 13 | |||||
(148,486) | (2,235,376) | (2,547,163) | (327,986) | |||||||
Food & Staples Retailing | ||||||||||
BJ's Wholesale Club Holdings, Inc. | Morgan Stanley | (511) | (24,180) | (24,313) | (154) | |||||
Casey's General Stores, Inc. | Morgan Stanley | (215) | (43,003) | (41,848) | 1,119 | |||||
Chefs' Warehouse, Inc. (The) | Morgan Stanley | (1,915) | (53,825) | (60,954) | (7,176) | |||||
Costco Wholesale Corp. | Morgan Stanley | (72) | (28,501) | (28,488) | (373) | |||||
Grocery Outlet Holding Corp. | Morgan Stanley | (4,093) | (170,592) | (141,863) | 28,583 | |||||
Performance Food Group Co. | Morgan Stanley | (521) | (21,818) | (25,263) | (3,465) | |||||
Rite Aid Corp. | Morgan Stanley | (1,678) | (32,671) | (27,351) | 5,339 | |||||
U.S. Foods Holding Corp. | Morgan Stanley | (1,697) | (67,291) | (65,097) | 2,157 | |||||
(10,702) | (441,881) | (415,177) | 26,030 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Food, Beverage & Tobacco | ||||||||||
B&G Foods, Inc. | Morgan Stanley | (1,444) | $(43,379) | $(47,363) | $(4,708) | |||||
Beyond Meat, Inc. | Morgan Stanley | (489) | (71,310) | (77,013) | (5,763) | |||||
Brown-Forman Corp., Class B | Morgan Stanley | (1,068) | (81,902) | (80,036) | 1,688 | |||||
Calavo Growers, Inc. | Morgan Stanley | (846) | (54,323) | (53,653) | (316) | |||||
Celsius Holdings, Inc. | Morgan Stanley | (1,385) | (73,275) | (105,385) | (33,267) | |||||
Freshpet, Inc. | Morgan Stanley | (477) | (77,898) | (77,732) | 100 | |||||
Hormel Foods Corp. | Morgan Stanley | (1,627) | (79,876) | (77,689) | 2,171 | |||||
Ingredion, Inc. | Morgan Stanley | (1,016) | (97,249) | (91,948) | 4,614 | |||||
J & J Snack Foods Corp. | Morgan Stanley | (236) | (35,756) | (41,161) | (5,929) | |||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (2,177) | (177,468) | (175,597) | 1,304 | |||||
MGP Ingredients, Inc. | Morgan Stanley | (544) | (20,993) | (36,796) | (16,258) | |||||
Pilgrim's Pride Corp. | Morgan Stanley | (1,808) | (32,829) | (40,101) | (7,395) | |||||
Post Holdings, Inc. | Morgan Stanley | (766) | (89,105) | (83,088) | 5,960 | |||||
Simply Good Foods Co. (The) | Morgan Stanley | (361) | (13,064) | (13,180) | (128) | |||||
Utz Brands, Inc. | Morgan Stanley | (816) | (19,061) | (17,781) | 1,239 | |||||
(15,060) | (967,488) | (1,018,523) | (56,688) | |||||||
Health Care Equipment & Services | ||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (2,362) | (80,855) | (78,088) | 2,698 | |||||
ABIOMED, Inc. | Morgan Stanley | (621) | (188,225) | (193,820) | (5,756) | |||||
AdaptHealth Corp. | Morgan Stanley | (1,542) | (40,305) | (42,266) | (1,996) | |||||
Alphatec Holdings, Inc. | Morgan Stanley | (783) | (11,525) | (11,996) | (481) | |||||
American Well Corp., Class A | Morgan Stanley | (2,604) | (37,093) | (32,758) | 4,302 | |||||
Axogen, Inc. | Morgan Stanley | (2,114) | (25,199) | (45,684) | (20,607) | |||||
BioLife Solutions, Inc. | Morgan Stanley | (371) | (13,890) | (16,513) | (2,636) | |||||
Brookdale Senior Living, Inc. | Morgan Stanley | (2,165) | (9,755) | (17,104) | (7,725) | |||||
Cardinal Health, Inc. | Morgan Stanley | (1,823) | (102,455) | (104,075) | (3,264) | |||||
Cardiovascular Systems, Inc. | Morgan Stanley | (1,439) | (50,948) | (61,373) | (10,470) | |||||
Castle Biosciences, Inc. | Morgan Stanley | (920) | (60,916) | (67,464) | (6,651) | |||||
Covetrus, Inc. | Morgan Stanley | (3,583) | (110,690) | (96,741) | 13,852 | |||||
CryoPort, Inc. | Morgan Stanley | (771) | (43,056) | (48,650) | (5,999) | |||||
DaVita, Inc. | Morgan Stanley | (757) | (94,601) | (91,166) | 3,389 | |||||
Dexcom, Inc. | Morgan Stanley | (887) | (344,003) | (378,749) | (35,388) | |||||
Edwards Lifesciences Corp. | Morgan Stanley | (1,028) | (100,694) | (106,470) | (6,023) | |||||
Evolent Health, Inc., Class A | Morgan Stanley | (3,674) | (52,648) | (77,595) | (25,131) | |||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (788) | (32,293) | (28,376) | 3,972 | |||||
Guardant Health, Inc. | Morgan Stanley | (2,246) | (292,624) | (278,931) | 13,049 | |||||
Haemonetics Corp. | Morgan Stanley | (1,713) | (139,216) | (114,154) | 24,943 | |||||
Hanger, Inc. | Morgan Stanley | (5) | (126) | (126) | (1) | |||||
Health Catalyst, Inc. | Morgan Stanley | (12) | (670) | (666) | 3 | |||||
HealthEquity, Inc. | Morgan Stanley | (430) | (37,673) | (34,606) | 3,038 | |||||
Humana, Inc. | Morgan Stanley | (80) | (35,389) | (35,418) | (79) | |||||
Inari Medical, Inc. | Morgan Stanley | (234) | (23,244) | (21,828) | 1,396 | |||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (490) | (15,949) | (16,699) | (764) | |||||
Inspire Medical Systems, Inc. | Morgan Stanley | (172) | (30,214) | (33,241) | (3,053) | |||||
Insulet Corp. | Morgan Stanley | (1,015) | (268,616) | (278,628) | (10,938) | |||||
Integer Holdings Corp. | Morgan Stanley | (291) | (26,900) | (27,412) | (535) | |||||
Joint Corp. (The) | Morgan Stanley | (111) | (8,259) | (9,315) | (1,064) | |||||
Lantheus Holdings, Inc. | Morgan Stanley | (2,936) | (61,730) | (81,151) | (19,474) | |||||
LeMaitre Vascular, Inc. | Morgan Stanley | (49) | (2,974) | (2,990) | (19) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Health Care Equipment & Services — (continued) | ||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | (124) | $(6,920) | $(10,430) | $(4,056) | |||||
Masimo Corp. | Morgan Stanley | (473) | (116,344) | (114,679) | 1,565 | |||||
Mesa Laboratories, Inc. | Morgan Stanley | (131) | (33,099) | (35,523) | (2,516) | |||||
Neogen Corp. | Morgan Stanley | (423) | (19,502) | (19,475) | 10 | |||||
Novocure Ltd. (Jersey) | Morgan Stanley | (55) | (11,778) | (12,200) | (478) | |||||
NuVasive, Inc. | Morgan Stanley | (141) | (9,611) | (9,557) | 45 | |||||
Oak Street Health, Inc. | Morgan Stanley | (447) | (25,153) | (26,181) | (1,050) | |||||
Option Care Health, Inc. | Morgan Stanley | (1,282) | (26,943) | (28,037) | (1,118) | |||||
OrthoPediatrics Corp. | Morgan Stanley | (424) | (21,763) | (26,788) | (5,116) | |||||
Penumbra, Inc. | Morgan Stanley | (336) | (88,271) | (92,084) | (3,918) | |||||
PetIQ, Inc. | Morgan Stanley | (1,801) | (63,665) | (69,519) | (6,014) | |||||
Progyny, Inc. | Morgan Stanley | (1,709) | (108,033) | (100,831) | 7,098 | |||||
RadNet, Inc. | Morgan Stanley | (2,018) | (30,653) | (67,986) | (37,639) | |||||
ResMed, Inc. | Morgan Stanley | (820) | (172,174) | (202,146) | (30,120) | |||||
Schrodinger, Inc. | Morgan Stanley | (258) | (19,226) | (19,507) | (298) | |||||
SI-BONE, Inc. | Morgan Stanley | (17) | (528) | (535) | (7) | |||||
Silk Road Medical, Inc. | Morgan Stanley | (1,272) | (70,960) | (60,878) | 10,021 | |||||
Simulations Plus, Inc. | Morgan Stanley | (5) | (274) | (275) | (1) | |||||
STERIS PLC (Ireland) | Morgan Stanley | (529) | (111,497) | (109,133) | 2,077 | |||||
Surgery Partners, Inc. | Morgan Stanley | (1,620) | (56,968) | (107,924) | (51,052) | |||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (1,502) | (76,286) | (75,100) | 1,119 | |||||
Tactile Systems Technology, Inc. | Morgan Stanley | (626) | (23,274) | (32,552) | (9,298) | |||||
Teladoc Health, Inc. | Morgan Stanley | (200) | (33,631) | (33,258) | 344 | |||||
Universal Health Services, Inc., Class B | Morgan Stanley | (1,200) | (185,994) | (175,716) | 10,233 | |||||
West Pharmaceutical Services, Inc. | Morgan Stanley | (25) | (8,926) | (8,978) | (59) | |||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (927) | (163,217) | (149,080) | 14,064 | |||||
(56,381) | (3,827,425) | (4,022,425) | (203,576) | |||||||
Household & Personal Products | ||||||||||
BellRing Brands, Inc., Class A | Morgan Stanley | (54) | (1,668) | (1,692) | (26) | |||||
Central Garden & Pet Co., Class A | Morgan Stanley | (312) | (16,180) | (15,070) | 1,097 | |||||
Clorox Co. (The) | Morgan Stanley | (42) | (7,572) | (7,556) | 9 | |||||
Kimberly-Clark Corp. | Morgan Stanley | (530) | (70,140) | (70,903) | (824) | |||||
WD-40 Co. | Morgan Stanley | (3) | (765) | (769) | (14) | |||||
(941) | (96,325) | (95,990) | 242 | |||||||
Materials | ||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | (1,193) | (84,952) | (72,117) | 12,539 | |||||
Arconic Corp. | Morgan Stanley | (1,374) | (47,283) | (48,942) | (1,778) | |||||
Ball Corp. | Morgan Stanley | (3,192) | (281,194) | (258,616) | 21,882 | |||||
Cabot Corp. | Morgan Stanley | (160) | (10,004) | (9,109) | 863 | |||||
Coeur Mining, Inc. | Morgan Stanley | (1,073) | (11,649) | (9,528) | 2,573 | |||||
Element Solutions, Inc. | Morgan Stanley | (356) | (6,783) | (8,323) | (1,699) | |||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (10,967) | (141,239) | (76,221) | 64,898 | |||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (1,034) | (16,248) | (16,348) | (113) | |||||
FMC Corp. | Morgan Stanley | (1,401) | (165,438) | (151,588) | 13,524 | |||||
HB Fuller Co. | Morgan Stanley | (179) | (11,387) | (11,386) | (9) | |||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (3,683) | (521,836) | (550,240) | (31,601) | |||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (2,362) | (124,474) | (91,008) | 32,232 | |||||
MAG Silver Corp. (Canada) | Morgan Stanley | (67) | (1,378) | (1,402) | (25) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Materials — (continued) | ||||||||||
Materion Corp. | Morgan Stanley | (211) | $(15,226) | $(15,899) | $(710) | |||||
Methanex Corp. (Canada) | Morgan Stanley | (2,702) | (62,686) | (89,355) | (27,250) | |||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (3,995) | (43,799) | (32,000) | 11,762 | |||||
Orla Mining Ltd. (Canada) | Morgan Stanley | (67) | (296) | (276) | 20 | |||||
Quaker Chemical Corp. | Morgan Stanley | (257) | (56,087) | (60,958) | (5,069) | |||||
Ranpak Holdings Corp. | Morgan Stanley | (47) | (1,143) | (1,176) | (35) | |||||
Schnitzer Steel Industries, Inc., Class A | Morgan Stanley | (573) | (27,228) | (28,106) | (912) | |||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (614) | (10,818) | (10,776) | 33 | |||||
Silgan Holdings, Inc. | Morgan Stanley | (414) | (17,793) | (17,181) | 538 | |||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (221) | (2,124) | (1,929) | 192 | |||||
Steel Dynamics, Inc. | Morgan Stanley | (420) | (17,134) | (25,032) | (8,147) | |||||
Stepan Co. | Morgan Stanley | (166) | (21,525) | (19,965) | 1,499 | |||||
Summit Materials, Inc., Class A | Morgan Stanley | (1,769) | (60,865) | (61,650) | (850) | |||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (4,171) | (92,937) | (96,100) | (3,353) | |||||
Tronox Holdings PLC, Class A (United Kingdom) | Morgan Stanley | (3,335) | (31,616) | (74,704) | (45,271) | |||||
U.S. Concrete, Inc. | Morgan Stanley | (540) | (40,045) | (39,852) | 158 | |||||
United States Steel Corp. | Morgan Stanley | (1,715) | (46,135) | (41,160) | 4,932 | |||||
Valvoline, Inc. | Morgan Stanley | (8,743) | (234,717) | (283,798) | (51,253) | |||||
Warrior Met Coal, Inc. | Morgan Stanley | (3,881) | (64,899) | (66,753) | (2,500) | |||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (36,681) | (176,254) | (154,794) | 20,427 | |||||
(97,563) | (2,447,192) | (2,426,292) | 7,497 | |||||||
Media & Entertainment | ||||||||||
Angi, Inc. | Morgan Stanley | (10,092) | (143,776) | (136,444) | 6,957 | |||||
Bumble, Inc., Class A | Morgan Stanley | (781) | (38,951) | (44,986) | (6,068) | |||||
Cable One, Inc. | Morgan Stanley | (15) | (28,230) | (28,692) | (487) | |||||
Cardlytics, Inc. | Morgan Stanley | (261) | (33,075) | (33,129) | (107) | |||||
Cinemark Holdings, Inc. | Morgan Stanley | (3,423) | (77,448) | (75,135) | 2,246 | |||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (10,016) | (21,836) | (26,442) | (4,625) | |||||
Eventbrite, Inc.,, Class A | Morgan Stanley | (22) | (421) | (418) | 3 | |||||
EverQuote, Inc., Class A | Morgan Stanley | (193) | (6,305) | (6,307) | (8) | |||||
EW Scripps Co. (The), Class A | Morgan Stanley | (2,652) | (30,236) | (54,074) | (24,156) | |||||
iHeartMedia, Inc., Class A | Morgan Stanley | (2,432) | (44,391) | (65,494) | (21,185) | |||||
Live Nation Entertainment, Inc. | Morgan Stanley | (373) | (32,900) | (32,671) | 201 | |||||
Madison Square Garden Entertainment Corp. | Morgan Stanley | (676) | (65,460) | (56,764) | 8,640 | |||||
Magnite, Inc. | Morgan Stanley | (2,142) | (79,763) | (72,485) | 7,210 | |||||
Match Group, Inc. | Morgan Stanley | (1,760) | (279,747) | (283,800) | (4,292) | |||||
Playtika Holding Corp. | Morgan Stanley | (390) | (11,068) | (9,298) | 1,760 | |||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (776) | (21,018) | (22,442) | (1,627) | |||||
Sirius XM Holdings, Inc. | Morgan Stanley | (28,933) | (192,602) | (189,222) | 3,020 | |||||
TripAdvisor, Inc. | Morgan Stanley | (1,817) | (81,213) | (73,225) | 7,919 | |||||
Walt Disney Co. (The) | Morgan Stanley | (366) | (65,634) | (64,332) | 1,746 | |||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (1,054) | (55,826) | (54,987) | 791 | |||||
Zynga, Inc., Class A | Morgan Stanley | (2,240) | (26,096) | (23,811) | 2,262 | |||||
(70,414) | (1,335,996) | (1,354,158) | (19,800) | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (581) | (88,789) | (113,771) | (26,432) | |||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (2,418) | (115,679) | (98,800) | 16,780 | |||||
Allogene Therapeutics, Inc. | Morgan Stanley | (362) | (9,022) | (9,441) | (427) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Allovir, Inc. | Morgan Stanley | (8) | $(161) | $(158) | $2 | |||||
Applied Molecular Transport, Inc. | Morgan Stanley | (2) | (91) | (91) | (1) | |||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (632) | (49,682) | (21,387) | 28,253 | |||||
Arcus Biosciences, Inc. | Morgan Stanley | (131) | (3,858) | (3,597) | 258 | |||||
Arvinas, Inc. | Morgan Stanley | (1,767) | (79,687) | (136,059) | (57,523) | |||||
Aurinia Pharmaceuticals, Inc. (Canada) | Morgan Stanley | (138) | (1,813) | (1,788) | 23 | |||||
Avantor, Inc. | Morgan Stanley | (4,239) | (140,089) | (150,527) | (10,558) | |||||
Axsome Therapeutics, Inc. | Morgan Stanley | (544) | (42,451) | (36,698) | 5,769 | |||||
Berkeley Lights, Inc. | Morgan Stanley | (2,185) | (108,400) | (97,910) | 10,329 | |||||
Biogen, Inc. | Morgan Stanley | (128) | (52,419) | (44,323) | 15,257 | |||||
Bristol-Myers Squibb Co. | Morgan Stanley | (973) | (65,418) | (65,016) | 346 | |||||
Catalent, Inc. | Morgan Stanley | (510) | (61,062) | (55,141) | 5,868 | |||||
Codexis, Inc. | Morgan Stanley | (3,309) | (47,358) | (74,982) | (27,684) | |||||
Corcept Therapeutics, Inc. | Morgan Stanley | (139) | (3,141) | (3,058) | 80 | |||||
Cytokinetics, Inc. | Morgan Stanley | (27) | (576) | (534) | 41 | |||||
Eli Lilly & Co. | Morgan Stanley | (1,232) | (284,974) | (282,769) | 1,962 | |||||
Enanta Pharmaceuticals, Inc. | Morgan Stanley | (7) | (313) | (308) | 4 | |||||
Epizyme, Inc. | Morgan Stanley | (1,600) | (20,991) | (13,296) | 7,677 | |||||
Exact Sciences Corp. | Morgan Stanley | (541) | (59,673) | (67,252) | (7,630) | |||||
Exelixis, Inc. | Morgan Stanley | (4,163) | (95,450) | (75,850) | 19,959 | |||||
Global Blood Therapeutics, Inc. | Morgan Stanley | (42) | (1,401) | (1,471) | (71) | |||||
Horizon Therapeutics PLC (Ireland) | Morgan Stanley | (1,335) | (126,084) | (125,009) | 967 | |||||
Immunovant, Inc. | Morgan Stanley | (63) | (687) | (666) | 20 | |||||
Intra-Cellular Therapies, Inc. | Morgan Stanley | (206) | (6,819) | (8,409) | (1,736) | |||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (947) | (46,474) | (37,776) | 8,658 | |||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (345) | (12,842) | (8,977) | 3,854 | |||||
Keros Therapeutics, Inc. | Morgan Stanley | (4) | (170) | (170) | — | |||||
Kiniksa Pharmaceuticals Ltd., Class A (Bermuda) | Morgan Stanley | (10) | (143) | (139) | 3 | |||||
Krystal Biotech, Inc. | Morgan Stanley | (5) | (348) | (340) | 8 | |||||
Ligand Pharmaceuticals, Inc. | Morgan Stanley | (5) | (672) | (656) | 15 | |||||
Mersana Therapeutics, Inc. | Morgan Stanley | (15) | (201) | (204) | (3) | |||||
Mirati Therapeutics, Inc. | Morgan Stanley | (168) | (27,846) | (27,137) | 685 | |||||
NanoString Technologies, Inc. | Morgan Stanley | (952) | (49,541) | (61,680) | (12,201) | |||||
Neurocrine Biosciences, Inc. | Morgan Stanley | (185) | (18,715) | (18,004) | 743 | |||||
NGM Biopharmaceuticals, Inc. | Morgan Stanley | (29) | (593) | (572) | 20 | |||||
Ocular Therapeutix, Inc. | Morgan Stanley | (793) | (11,195) | (11,245) | (59) | |||||
Organon & Co. | Morgan Stanley | (374) | (11,315) | (11,317) | (12) | |||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (2,022) | (98,550) | (92,709) | 4,861 | |||||
Personalis, Inc. | Morgan Stanley | (2,315) | (61,829) | (58,570) | 3,102 | |||||
PPD, Inc. | Morgan Stanley | (280) | (12,961) | (12,905) | 45 | |||||
Precigen, Inc. | Morgan Stanley | (9) | (59) | (59) | — | |||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (501) | (54,023) | (70,907) | (16,930) | |||||
Repare Therapeutics, Inc. (Canada) | Morgan Stanley | (2) | (66) | (62) | 3 | |||||
Repligen Corp. | Morgan Stanley | (498) | (97,737) | (99,411) | (1,758) | |||||
Revance Therapeutics, Inc. | Morgan Stanley | (413) | (11,081) | (12,241) | (1,170) | |||||
Scholar Rock Holding Corp. | Morgan Stanley | (40) | (1,193) | (1,156) | 36 | |||||
Seagen, Inc. | Morgan Stanley | (838) | (129,490) | (132,303) | (2,924) | |||||
Sorrento Therapeutics, Inc. | Morgan Stanley | (875) | (9,697) | (8,479) | 1,209 | |||||
TG Therapeutics, Inc. | Morgan Stanley | (78) | (2,990) | (3,026) | (38) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Theravance Biopharma, Inc. (Cayman Islands) | Morgan Stanley | (3,479) | $(65,092) | $(50,515) | $14,521 | |||||
Travere Therapeutics, Inc. | Morgan Stanley | (62) | (940) | (905) | 34 | |||||
Viatris, Inc. | Morgan Stanley | (8,050) | (118,466) | (115,035) | 2,351 | |||||
Vir Biotechnology, Inc. | Morgan Stanley | (95) | (4,442) | (4,492) | (54) | |||||
Xencor, Inc. | Morgan Stanley | (22) | (764) | (759) | 4 | |||||
Zentalis Pharmaceuticals, Inc. | Morgan Stanley | (15) | (799) | (798) | — | |||||
Zomedica Corp. (Canada) | Morgan Stanley | (23,170) | (21,829) | (19,294) | 2,521 | |||||
(73,878) | (2,338,151) | (2,350,154) | (10,943) | |||||||
Retailing | ||||||||||
Bed Bath & Beyond, Inc. | Morgan Stanley | (1,695) | (51,974) | (56,427) | (4,750) | |||||
Camping World Holdings, Inc., Class A | Morgan Stanley | (736) | (32,809) | (30,169) | 2,427 | |||||
CarMax, Inc. | Morgan Stanley | (1,935) | (247,874) | (249,905) | (2,789) | |||||
CarParts.com, Inc. | Morgan Stanley | (919) | (16,057) | (18,711) | (2,717) | |||||
Carvana Co. | Morgan Stanley | (224) | (59,854) | (67,608) | (7,805) | |||||
Children's Place, Inc. (The) | Morgan Stanley | (804) | (59,302) | (74,820) | (15,569) | |||||
Core-Mark Holding Co., Inc. | Morgan Stanley | (236) | (10,602) | (10,622) | (41) | |||||
Designer Brands, Inc., Class A | Morgan Stanley | (7,511) | (100,657) | (124,307) | (23,736) | |||||
Dollar General Corp. | Morgan Stanley | (1,541) | (317,741) | (333,457) | (15,988) | |||||
Dollar Tree, Inc. | Morgan Stanley | (720) | (72,592) | (71,640) | 871 | |||||
GrowGeneration Corp. | Morgan Stanley | (2,920) | (127,344) | (140,452) | (14,295) | |||||
Leslie's, Inc. | Morgan Stanley | (9,217) | (249,158) | (253,375) | (4,431) | |||||
Monro, Inc. | Morgan Stanley | (1,999) | (93,093) | (126,957) | (35,684) | |||||
Murphy U.S.A., Inc. | Morgan Stanley | (513) | (67,497) | (68,419) | (979) | |||||
Nordstrom, Inc. | Morgan Stanley | (2,176) | (79,572) | (79,576) | (73) | |||||
ODP Corp. (The) | Morgan Stanley | (282) | (13,744) | (13,539) | 193 | |||||
Penske Automotive Group, Inc. | Morgan Stanley | (203) | (12,132) | (15,324) | (3,719) | |||||
Pool Corp. | Morgan Stanley | (71) | (27,435) | (32,565) | (5,210) | |||||
Poshmark, Inc., Class A | Morgan Stanley | (485) | (22,169) | (23,154) | (1,004) | |||||
RealReal, Inc. (The) | Morgan Stanley | (3,532) | (86,777) | (69,792) | 16,910 | |||||
Ross Stores, Inc. | Morgan Stanley | (967) | (119,756) | (119,908) | (621) | |||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (10,464) | (168,884) | (230,941) | (63,915) | |||||
Stamps.com, Inc. | Morgan Stanley | (13) | (2,689) | (2,604) | 130 | |||||
Vroom, Inc. | Morgan Stanley | (2,401) | (90,077) | (100,506) | (10,506) | |||||
(51,564) | (2,129,789) | (2,314,778) | (193,301) | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (1,272) | (115,231) | (130,024) | (15,433) | |||||
CEVA, Inc. | Morgan Stanley | (388) | (16,573) | (18,352) | (1,811) | |||||
Cohu, Inc. | Morgan Stanley | (681) | (24,957) | (25,054) | (119) | |||||
Cree, Inc. | Morgan Stanley | (736) | (79,649) | (72,077) | 7,497 | |||||
Diodes, Inc. | Morgan Stanley | (554) | (45,900) | (44,193) | 1,664 | |||||
Enphase Energy, Inc. | Morgan Stanley | (2,283) | (344,079) | (419,227) | (82,955) | |||||
FormFactor, Inc. | Morgan Stanley | (156) | (5,661) | (5,688) | (32) | |||||
Lattice Semiconductor Corp. | Morgan Stanley | (590) | (32,870) | (33,146) | (304) | |||||
Marvell Technology, Inc. | Morgan Stanley | (3,794) | (200,035) | (221,304) | (27,397) | |||||
Maxim Integrated Products, Inc. | Morgan Stanley | (498) | (51,217) | (52,469) | (2,045) | |||||
Monolithic Power Systems, Inc. | Morgan Stanley | (123) | (44,013) | (45,934) | (2,002) | |||||
NVIDIA Corp. | Morgan Stanley | (212) | (152,331) | (169,621) | (20,593) | |||||
Semtech Corp. | Morgan Stanley | (221) | (15,872) | (15,205) | 680 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (1,613) | $(227,977) | $(247,192) | $(20,256) | |||||
Teradyne, Inc. | Morgan Stanley | (428) | (56,546) | (57,335) | (837) | |||||
Xilinx, Inc. | Morgan Stanley | (1,143) | (146,981) | (165,324) | (18,468) | |||||
(14,692) | (1,559,892) | (1,722,145) | (182,411) | |||||||
Software & Services | ||||||||||
8x8, Inc. | Morgan Stanley | (2,791) | (59,683) | (77,478) | (17,867) | |||||
A10 Networks, Inc. | Morgan Stanley | (28) | (317) | (315) | 1 | |||||
Akamai Technologies, Inc. | Morgan Stanley | (348) | (38,461) | (40,577) | (2,149) | |||||
Alarm.com Holdings, Inc. | Morgan Stanley | (103) | (8,915) | (8,724) | 183 | |||||
Altair Engineering, Inc., Class A | Morgan Stanley | (236) | (10,272) | (16,277) | (6,123) | |||||
Alteryx, Inc., Class A | Morgan Stanley | (3,422) | (405,964) | (294,360) | 111,609 | |||||
Anaplan, Inc. | Morgan Stanley | (2,776) | (155,475) | (147,961) | 7,381 | |||||
Appfolio, Inc., Class A | Morgan Stanley | (332) | (44,564) | (46,878) | (2,353) | |||||
Avalara, Inc. | Morgan Stanley | (305) | (39,113) | (49,349) | (10,270) | |||||
Avaya Holdings Corp. | Morgan Stanley | (814) | (18,587) | (21,897) | (3,402) | |||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (5,986) | (55,075) | (73,149) | (18,281) | |||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (646) | (24,256) | (23,954) | 282 | |||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (2,821) | (259,112) | (270,590) | (11,700) | |||||
Citrix Systems, Inc. | Morgan Stanley | (1,806) | (218,385) | (211,790) | 5,859 | |||||
Conduent, Inc. | Morgan Stanley | (15,263) | (63,464) | (114,473) | (51,699) | |||||
Coupa Software, Inc. | Morgan Stanley | (302) | (79,079) | (79,157) | (175) | |||||
Dynatrace, Inc. | Morgan Stanley | (951) | (53,764) | (55,557) | (1,839) | |||||
Euronet Worldwide, Inc. | Morgan Stanley | (673) | (98,235) | (91,091) | 7,047 | |||||
Evo Payments, Inc., Class A | Morgan Stanley | (472) | (13,182) | (13,093) | 75 | |||||
Fastly, Inc., Class A | Morgan Stanley | (1,307) | (97,902) | (77,897) | 19,921 | |||||
FleetCor Technologies, Inc. | Morgan Stanley | (97) | (27,832) | (24,838) | 3,460 | |||||
Global Payments, Inc. | Morgan Stanley | (81) | (15,637) | (15,191) | 432 | |||||
Globant S.A. (Luxembourg) | Morgan Stanley | (119) | (26,759) | (26,082) | 653 | |||||
GoDaddy, Inc., Class A | Morgan Stanley | (1,086) | (93,298) | (94,439) | (1,220) | |||||
Guidewire Software, Inc. | Morgan Stanley | (1,237) | (132,210) | (139,435) | (7,952) | |||||
InterDigital, Inc. | Morgan Stanley | (181) | (14,857) | (13,218) | 1,680 | |||||
Jack Henry & Associates, Inc. | Morgan Stanley | (385) | (63,536) | (62,951) | 530 | |||||
Jamf Holding Corp. | Morgan Stanley | (466) | (14,849) | (15,644) | (808) | |||||
LiveRamp Holdings, Inc. | Morgan Stanley | (2,453) | (121,443) | (114,923) | 6,416 | |||||
McAfee Corp., Class A | Morgan Stanley | (1,652) | (46,638) | (46,289) | 150 | |||||
Medallia, Inc. | Morgan Stanley | (4,218) | (138,153) | (142,358) | (4,823) | |||||
Model N, Inc. | Morgan Stanley | (69) | (2,436) | (2,365) | 69 | |||||
New Relic, Inc. | Morgan Stanley | (997) | (63,131) | (66,769) | (3,704) | |||||
Okta, Inc. | Morgan Stanley | (268) | (62,446) | (65,574) | (3,181) | |||||
PagerDuty, Inc. | Morgan Stanley | (1,320) | (53,502) | (56,206) | (2,782) | |||||
Paycom Software, Inc. | Morgan Stanley | (523) | (199,351) | (190,095) | 9,085 | |||||
Paylocity Holding Corp. | Morgan Stanley | (345) | (63,656) | (65,826) | (2,225) | |||||
Ping Identity Holding Corp. | Morgan Stanley | (9,008) | (293,526) | (206,283) | 86,992 | |||||
PROS Holdings, Inc. | Morgan Stanley | (1,526) | (61,707) | (69,540) | (7,893) | |||||
Q2 Holdings, Inc. | Morgan Stanley | (712) | (87,824) | (73,037) | 14,780 | |||||
Qualys, Inc. | Morgan Stanley | (103) | (10,466) | (10,371) | 86 | |||||
Rackspace Technology, Inc. | Morgan Stanley | (4,195) | (100,488) | (82,264) | 18,162 | |||||
RingCentral, Inc., Class A | Morgan Stanley | (346) | (106,956) | (100,541) | 5,817 | |||||
Sabre Corp. | Morgan Stanley | (5,475) | (74,606) | (68,328) | 6,214 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Software & Services — (continued) | ||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (781) | $(68,849) | $(73,195) | $(4,405) | |||||
SolarWinds Corp. | Morgan Stanley | (4,901) | (82,463) | (82,778) | (386) | |||||
Splunk, Inc. | Morgan Stanley | (1,251) | (210,490) | (180,870) | 33,038 | |||||
Sumo Logic, Inc. | Morgan Stanley | (1,488) | (28,743) | (30,727) | (2,103) | |||||
Switch, Inc., Class A | Morgan Stanley | (3,843) | (66,100) | (81,126) | (15,733) | |||||
Sykes Enterprises, Inc. | Morgan Stanley | (22) | (1,177) | (1,181) | (6) | |||||
Telos Corp. | Morgan Stanley | (735) | (25,515) | (24,997) | 495 | |||||
Trade Desk, Inc. (The), Class A | Morgan Stanley | (3,621) | (218,234) | (280,121) | (62,073) | |||||
Twilio, Inc., Class A | Morgan Stanley | (71) | (22,696) | (27,985) | (5,309) | |||||
Tyler Technologies, Inc. | Morgan Stanley | (403) | (177,181) | (182,305) | (5,275) | |||||
Upland Software, Inc. | Morgan Stanley | (792) | (33,255) | (32,607) | 619 | |||||
Verra Mobility Corp. | Morgan Stanley | (5,421) | (69,027) | (83,321) | (14,353) | |||||
Vonage Holdings Corp. | Morgan Stanley | (2,172) | (31,832) | (31,299) | 506 | |||||
WEX, Inc. | Morgan Stanley | (1,416) | (292,044) | (274,562) | 17,155 | |||||
Workday, Inc., Class A | Morgan Stanley | (229) | (52,467) | (54,671) | (2,250) | |||||
Xperi Holding Corp. | Morgan Stanley | (46) | (1,033) | (1,023) | 14 | |||||
Yext, Inc. | Morgan Stanley | (13,126) | (263,297) | (187,571) | 75,501 | |||||
Zuora, Inc., Class A | Morgan Stanley | (3,838) | (58,491) | (66,206) | (8,083) | |||||
(122,400) | (5,322,006) | (5,163,679) | 153,790 | |||||||
Technology Hardware & Equipment | ||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (179) | (15,032) | (20,175) | (5,185) | |||||
Amphenol Corp., Class A | Morgan Stanley | (1,038) | (71,085) | (71,010) | (139) | |||||
Arista Networks, Inc. | Morgan Stanley | (765) | (257,070) | (277,167) | (22,007) | |||||
Avnet, Inc. | Morgan Stanley | (2,063) | (87,200) | (82,685) | 3,737 | |||||
Calix, Inc. | Morgan Stanley | (159) | (7,622) | (7,553) | 63 | |||||
Ciena Corp. | Morgan Stanley | (437) | (24,906) | (24,861) | (6) | |||||
CommScope Holding Co., Inc. | Morgan Stanley | (11,114) | (178,872) | (236,839) | (59,288) | |||||
Fabrinet (Cayman Islands) | Morgan Stanley | (1,313) | (95,347) | (125,877) | (30,612) | |||||
FARO Technologies, Inc. | Morgan Stanley | (446) | (28,356) | (34,685) | (6,354) | |||||
II-VI, Inc. | Morgan Stanley | (139) | (10,061) | (10,090) | (38) | |||||
Infinera Corp. | Morgan Stanley | (5,140) | (37,514) | (52,428) | (15,254) | |||||
Inseego Corp. | Morgan Stanley | (7,194) | (68,690) | (72,587) | (3,957) | |||||
Insight Enterprises, Inc. | Morgan Stanley | (1,030) | (66,556) | (103,010) | (37,203) | |||||
IPG Photonics Corp. | Morgan Stanley | (243) | (52,115) | (51,217) | 854 | |||||
Itron, Inc. | Morgan Stanley | (171) | (17,040) | (17,097) | (71) | |||||
Jabil, Inc. | Morgan Stanley | (628) | (35,947) | (36,499) | (584) | |||||
Juniper Networks, Inc. | Morgan Stanley | (829) | (23,767) | (22,673) | 1,160 | |||||
Littelfuse, Inc. | Morgan Stanley | (165) | (43,245) | (42,040) | 1,102 | |||||
National Instruments Corp. | Morgan Stanley | (2,272) | (95,248) | (96,060) | (1,399) | |||||
nLight, Inc. | Morgan Stanley | (1,867) | (44,733) | (67,735) | (23,277) | |||||
Novanta, Inc. (Canada) | Morgan Stanley | (174) | (22,892) | (23,448) | (605) | |||||
PC Connection, Inc. | Morgan Stanley | (31) | (1,462) | (1,434) | 26 | |||||
Pure Storage, Inc., Class A | Morgan Stanley | (5,240) | (124,316) | (102,337) | 22,624 | |||||
Ribbon Communications, Inc. | Morgan Stanley | (610) | (4,358) | (4,642) | (288) | |||||
Super Micro Computer, Inc. | Morgan Stanley | (421) | (14,997) | (14,811) | 173 | |||||
Trimble, Inc. | Morgan Stanley | (351) | (28,771) | (28,722) | 24 | |||||
Viasat, Inc. | Morgan Stanley | (901) | (36,950) | (44,906) | (8,028) | |||||
Western Digital Corp. | Morgan Stanley | (4,592) | (327,650) | (326,813) | 557 | |||||
(49,512) | (1,821,802) | (1,999,401) | (183,975) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Telecommunication Services | ||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (591) | $(40,248) | $(45,442) | $(6,439) | |||||
Globalstar, Inc. | Morgan Stanley | (27,133) | (36,965) | (48,297) | (11,363) | |||||
Shenandoah Telecommunications Co. | Morgan Stanley | (355) | (19,142) | (17,221) | 1,821 | |||||
United States Cellular Corp. | Morgan Stanley | (463) | (17,107) | (16,812) | 281 | |||||
(28,542) | (113,462) | (127,772) | (15,700) | |||||||
Transportation | ||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (3,379) | (86,799) | (78,494) | 8,231 | |||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (3,058) | (301,455) | (286,443) | 13,555 | |||||
Delta Air Lines, Inc. | Morgan Stanley | (494) | (21,333) | (21,370) | (56) | |||||
Hawaiian Holdings, Inc. | Morgan Stanley | (2,130) | (35,886) | (51,908) | (16,053) | |||||
JetBlue Airways Corp. | Morgan Stanley | (2,608) | (46,590) | (43,762) | 2,788 | |||||
Kirby Corp. | Morgan Stanley | (682) | (39,139) | (41,357) | (2,518) | |||||
Landstar System, Inc. | Morgan Stanley | (412) | (72,063) | (65,104) | 6,955 | |||||
Matson, Inc. | Morgan Stanley | (321) | (13,110) | (20,544) | (7,952) | |||||
Uber Technologies, Inc. | Morgan Stanley | (8,741) | (438,214) | (438,099) | (260) | |||||
United Airlines Holdings, Inc. | Morgan Stanley | (368) | (21,759) | (19,243) | 3,202 | |||||
XPO Logistics, Inc. | Morgan Stanley | (199) | (28,237) | (27,838) | 336 | |||||
(22,392) | (1,104,585) | (1,094,162) | 8,228 | |||||||
Utilities | ||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (3,353) | (53,051) | (49,893) | 2,435 | |||||
ALLETE, Inc. | Morgan Stanley | (1,724) | (93,028) | (120,646) | (30,991) | |||||
Ameren Corp. | Morgan Stanley | (850) | (70,630) | (68,034) | 1,587 | |||||
Atmos Energy Corp. | Morgan Stanley | (94) | (8,669) | (9,034) | (490) | |||||
Avangrid, Inc. | Morgan Stanley | (1,066) | (51,540) | (54,824) | (4,543) | |||||
Black Hills Corp. | Morgan Stanley | (1,540) | (95,643) | (101,070) | (6,863) | |||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (776) | (31,591) | (32,545) | (1,095) | |||||
CenterPoint Energy, Inc. | Morgan Stanley | (350) | (7,879) | (8,582) | (772) | |||||
Clearway Energy, Inc., Class A | Morgan Stanley | (782) | (20,156) | (19,722) | 196 | |||||
Consolidated Edison, Inc. | Morgan Stanley | (1,649) | (117,888) | (118,266) | (1,578) | |||||
Edison International | Morgan Stanley | (331) | (20,727) | (19,138) | 1,332 | |||||
Entergy Corp. | Morgan Stanley | (258) | (28,237) | (25,723) | 1,978 | |||||
Essential Utilities, Inc. | Morgan Stanley | (489) | (22,947) | (22,347) | 304 | |||||
Evergy, Inc. | Morgan Stanley | (1,836) | (112,654) | (110,950) | 745 | |||||
Eversource Energy | Morgan Stanley | (970) | (83,265) | (77,833) | 4,752 | |||||
FirstEnergy Corp. | Morgan Stanley | (2,699) | (101,559) | (100,430) | 842 | |||||
Fortis, Inc. (Canada) | Morgan Stanley | (414) | (18,964) | (18,311) | 636 | |||||
Middlesex Water Co. | Morgan Stanley | (34) | (2,891) | (2,779) | 109 | |||||
New Jersey Resources Corp. | Morgan Stanley | (1,014) | (31,352) | (40,124) | (10,511) | |||||
NextEra Energy, Inc. | Morgan Stanley | (820) | (60,605) | (60,090) | (167) | |||||
NiSource, Inc. | Morgan Stanley | (5,113) | (130,767) | (125,269) | 5,387 | |||||
Northwest Natural Holding Co. | Morgan Stanley | (957) | (47,958) | (50,262) | (2,787) | |||||
NorthWestern Corp. | Morgan Stanley | (789) | (49,916) | (47,514) | 1,678 | |||||
OGE Energy Corp. | Morgan Stanley | (2,605) | (88,635) | (87,658) | 901 | |||||
ONE Gas, Inc. | Morgan Stanley | (134) | (10,533) | (9,932) | 513 | |||||
Ormat Technologies, Inc. | Morgan Stanley | (242) | (24,958) | (16,826) | 8,060 | |||||
Otter Tail Corp. | Morgan Stanley | (184) | (8,258) | (8,981) | (802) | |||||
Pinnacle West Capital Corp. | Morgan Stanley | (1,062) | (91,182) | (87,052) | 4,052 | |||||
PNM Resources, Inc. | Morgan Stanley | (878) | (43,039) | (42,820) | 101 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Utilities — (continued) | ||||||||||
Portland General Electric Co. | Morgan Stanley | (1,040) | $(46,968) | $(47,923) | $(2,048) | |||||
PPL Corp. | Morgan Stanley | (2,451) | (71,088) | (68,554) | 1,335 | |||||
Sempra Energy | Morgan Stanley | (1,114) | (151,355) | (147,583) | 2,586 | |||||
SJW Group | Morgan Stanley | (378) | (23,913) | (23,927) | (409) | |||||
South Jersey Industries, Inc. | Morgan Stanley | (1,531) | (41,237) | (39,699) | 1,132 | |||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (948) | (62,083) | (62,748) | (947) | |||||
Spire, Inc. | Morgan Stanley | (502) | (36,740) | (36,280) | 213 | |||||
Vistra Corp. | Morgan Stanley | (10,223) | (169,002) | (189,637) | (22,339) | |||||
WEC Energy Group, Inc. | Morgan Stanley | (484) | (41,738) | (43,052) | (1,958) | |||||
(51,684) | (2,172,646) | (2,196,058) | (47,426) | |||||||
Total Reference Entity — Short | (37,177,308) | (38,422,140) | (1,396,147) | |||||||
Net Value of Reference Entity | $(28,466,896) | $(27,965,939) | $398,650 |
* | Includes $(102,307) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
Number of Shares | Value | ||
COMMON STOCKS — (Continued) | |||
Transportation — (Continued) | |||
Union Pacific Corp. | 3,788 | $ 833,095 | |
United Parcel Service, Inc., Class B(a) | 9,559 | 1,987,985 | |
8,203,621 | |||
Utilities — 2.1% | |||
AES Corp. (The) | 12,445 | 324,441 | |
Dominion Energy, Inc.(a) | 47,846 | 3,520,030 | |
Duke Energy Corp. | 8,046 | 794,301 | |
Exelon Corp. | 28,769 | 1,274,754 | |
NextEra Energy, Inc. | 5,026 | 368,305 | |
NRG Energy, Inc.(a) | 65,705 | 2,647,912 | |
Public Service Enterprise Group, Inc. | 7,339 | 438,432 | |
Southern Co. (The) | 5,298 | 320,582 | |
9,688,757 | |||
TOTAL COMMON STOCKS (Cost $299,737,901) | 394,752,307 | ||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY — 7.9% | |||
Gotham Enhanced 500 ETF* | 1,571,000 | 36,380,118 | |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY (Cost $35,609,663) | 36,380,118 | ||
TOTAL INVESTMENTS - 93.6% (Cost $335,347,564) | 431,132,425 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.4% | 29,389,379 | ||
NET ASSETS - 100.0% | $460,521,804 |
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
ETF | Exchange-Traded Fund |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Long | ||||||||||
Automobiles & Components | ||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | 958 | $137,555 | $150,722 | $13,298 | |||||
BorgWarner, Inc. | Morgan Stanley | 2 | 60 | 97 | 74 | |||||
Ford Motor Co. | Morgan Stanley | 112,997 | 1,329,172 | 1,679,135 | 350,876 | |||||
General Motors Co. | Morgan Stanley | 23,021 | 939,467 | 1,362,153 | 425,180 | |||||
136,978 | 2,406,254 | 3,192,107 | 789,428 | |||||||
Banks | ||||||||||
Bank of America Corp. | Morgan Stanley | 61,002 | 2,138,315 | 2,515,112 | 406,471 | |||||
Citigroup, Inc. | Morgan Stanley | 430 | 18,577 | 30,423 | 12,489 | |||||
Fifth Third Bancorp | Morgan Stanley | 38,711 | 772,393 | 1,479,922 | 753,186 | |||||
First Republic Bank | Morgan Stanley | 7,795 | 1,186,093 | 1,458,990 | 276,495 | |||||
JPMorgan Chase & Co. | Morgan Stanley | 21,875 | 2,995,582 | 3,402,437 | 437,357 | |||||
PNC Financial Services Group, Inc. (The) | Morgan Stanley | 7,691 | 1,072,796 | 1,467,135 | 421,802 | |||||
Regions Financial Corp. | Morgan Stanley | 61,863 | 1,365,456 | 1,248,395 | (111,310) | |||||
SVB Financial Group | Morgan Stanley | 3,004 | 1,051,694 | 1,671,516 | 620,550 | |||||
Truist Financial Corp. | Morgan Stanley | 1 | 57 | 56 | 1,486 | |||||
Wells Fargo & Co. | Morgan Stanley | 47,373 | 1,060,975 | 2,145,523 | 1,099,186 | |||||
249,745 | 11,661,938 | 15,419,509 | 3,917,712 | |||||||
Capital Goods | ||||||||||
3M Co. | Morgan Stanley | 8,975 | 1,427,029 | 1,782,704 | 416,367 | |||||
A.O. Smith Corp. | Morgan Stanley | 10,565 | 722,646 | 761,314 | 39,180 | |||||
AMETEK, Inc. | Morgan Stanley | 9,306 | 873,927 | 1,242,351 | 375,862 | |||||
Caterpillar, Inc. | Morgan Stanley | 8,219 | 1,703,571 | 1,788,701 | 94,407 | |||||
Cummins, Inc. | Morgan Stanley | 6,612 | 1,323,118 | 1,612,072 | 330,332 | |||||
Deere & Co. | Morgan Stanley | 3,274 | 662,915 | 1,154,773 | 502,965 | |||||
Dover Corp. | Morgan Stanley | 7,356 | 675,035 | 1,107,814 | 450,160 | |||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 6,373 | 702,434 | 944,351 | 263,479 | |||||
Emerson Electric Co. | Morgan Stanley | 20,995 | 1,566,628 | 2,020,559 | 488,556 | |||||
Fortive Corp. | Morgan Stanley | 2,643 | 164,684 | 184,323 | 25,591 | |||||
Fortune Brands Home & Security, Inc. | Morgan Stanley | 4,429 | 343,133 | 441,173 | 103,793 | |||||
General Dynamics Corp. | Morgan Stanley | 8,188 | 1,335,460 | 1,541,473 | 225,429 | |||||
Honeywell International, Inc. | Morgan Stanley | 9,339 | 1,506,349 | 2,048,510 | 572,099 | |||||
Howmet Aerospace, Inc. | Morgan Stanley | 87,286 | 1,270,804 | 3,008,748 | 1,738,818 | |||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 2,899 | 637,058 | 610,964 | (25,638) | |||||
Illinois Tool Works, Inc. | Morgan Stanley | 1,805 | 402,366 | 403,526 | 2,690 | |||||
Ingersoll Rand, Inc. | Morgan Stanley | 3,577 | 174,616 | 174,593 | 128 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods — (continued) | ||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 24,958 | $1,019,940 | $1,712,868 | $719,946 | |||||
L3Harris Technologies, Inc. | Morgan Stanley | 3,706 | 728,961 | 801,052 | 76,938 | |||||
Lockheed Martin Corp. | Morgan Stanley | 4,920 | 1,763,158 | 1,861,482 | 120,243 | |||||
Masco Corp. | Morgan Stanley | 6,237 | 259,141 | 367,422 | 112,148 | |||||
Northrop Grumman Corp. | Morgan Stanley | 6,730 | 2,274,036 | 2,445,884 | 185,691 | |||||
Parker-Hannifin Corp. | Morgan Stanley | 5,993 | 1,660,539 | 1,840,510 | 186,898 | |||||
Pentair PLC (Ireland) | Morgan Stanley | 23,223 | 998,092 | 1,567,320 | 588,877 | |||||
Quanta Services, Inc. | Morgan Stanley | 2,118 | 93,735 | 191,827 | 98,719 | |||||
Roper Technologies, Inc. | Morgan Stanley | 606 | 235,476 | 284,941 | 50,891 | |||||
Snap-on, Inc. | Morgan Stanley | 7,626 | 958,872 | 1,703,877 | 786,256 | |||||
Stanley Black & Decker, Inc. | Morgan Stanley | 7,091 | 1,365,514 | 1,453,584 | 94,521 | |||||
Textron, Inc. | Morgan Stanley | 17,979 | 1,204,997 | 1,236,416 | 32,563 | |||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 9,406 | 1,177,261 | 1,732,021 | 575,005 | |||||
United Rentals, Inc. | Morgan Stanley | 7,346 | 1,386,444 | 2,343,447 | 957,953 | |||||
WW Grainger, Inc. | Morgan Stanley | 1,856 | 669,531 | 812,928 | 151,955 | |||||
331,636 | 31,287,470 | 41,183,528 | 10,342,822 | |||||||
Commercial & Professional Services | ||||||||||
Cintas Corp. | Morgan Stanley | 1,950 | 431,832 | 744,900 | 322,972 | |||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 297 | 22,859 | 33,460 | 10,821 | |||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 5,843 | 714,203 | 779,573 | 67,104 | |||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 109,636 | 2,438,056 | 2,704,720 | 271,589 | |||||
Republic Services, Inc. | Morgan Stanley | 18,163 | 1,568,599 | 1,998,112 | 459,828 | |||||
Robert Half International, Inc. | Morgan Stanley | 6,570 | 341,514 | 584,533 | 252,459 | |||||
142,459 | 5,517,063 | 6,845,298 | 1,384,773 | |||||||
Consumer Durables & Apparel | ||||||||||
DR Horton, Inc. | Morgan Stanley | 1,117 | 87,534 | 100,943 | 14,459 | |||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 4,768 | 522,243 | 689,644 | 176,702 | |||||
Hanesbrands, Inc. | Morgan Stanley | 73,648 | 967,423 | 1,375,008 | 438,662 | |||||
Hasbro, Inc. | Morgan Stanley | 2,652 | 247,733 | 250,667 | 4,337 | |||||
Lennar Corp., Class A | Morgan Stanley | 1,653 | 88,335 | 164,226 | 77,877 | |||||
Mohawk Industries, Inc. | Morgan Stanley | 9,293 | 1,138,662 | 1,786,022 | 648,146 | |||||
Newell Brands, Inc. | Morgan Stanley | 21,396 | 412,986 | 587,748 | 194,374 | |||||
NIKE, Inc., Class B | Morgan Stanley | 7,766 | 743,821 | 1,199,769 | 465,924 | |||||
PulteGroup, Inc. | Morgan Stanley | 2,362 | 80,412 | 128,894 | 50,175 | |||||
PVH Corp. | Morgan Stanley | 19,402 | 956,527 | 2,087,461 | 1,131,601 | |||||
Tapestry, Inc. | Morgan Stanley | 49,644 | 1,962,943 | 2,158,521 | 196,909 | |||||
Under Armour, Inc., Class C | Morgan Stanley | 50,254 | 925,313 | 933,217 | 8,549 | |||||
Whirlpool Corp. | Morgan Stanley | 2,802 | 287,093 | 610,892 | 340,023 | |||||
246,757 | 8,421,025 | 12,073,012 | 3,747,738 | |||||||
Consumer Services | ||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 6,617 | 901,083 | 903,353 | 2,900 | |||||
McDonald's Corp. | Morgan Stanley | 9,195 | 1,786,619 | 2,123,953 | 391,105 | |||||
Penn National Gaming, Inc. | Morgan Stanley | 24,087 | 2,115,951 | 1,842,415 | (272,106) | |||||
Starbucks Corp. | Morgan Stanley | 11,002 | 1,250,187 | 1,230,134 | (16,650) | |||||
Yum! Brands, Inc. | Morgan Stanley | 18,460 | 1,568,970 | 2,123,454 | 593,673 | |||||
69,361 | 7,622,810 | 8,223,309 | 698,922 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Diversified Financials | ||||||||||
Ameriprise Financial, Inc. | Morgan Stanley | 3,013 | $713,526 | $749,875 | $39,364 | |||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 25,065 | 4,990,936 | 6,966,065 | 1,978,456 | |||||
BlackRock, Inc. | Morgan Stanley | 2,700 | 1,616,789 | 2,362,419 | 820,272 | |||||
Capital One Financial Corp. | Morgan Stanley | 7,459 | 1,111,652 | 1,153,833 | 44,794 | |||||
Charles Schwab Corp. (The) | Morgan Stanley | 13,457 | 969,630 | 979,804 | 10,849 | |||||
CME Group, Inc. | Morgan Stanley | 3,144 | 646,571 | 668,666 | 25,049 | |||||
Discover Financial Services | Morgan Stanley | 7,141 | 353,190 | 844,709 | 534,209 | |||||
Franklin Resources, Inc. | Morgan Stanley | 49,683 | 1,323,008 | 1,589,359 | 303,309 | |||||
Goldman Sachs Group, Inc. (The) | Morgan Stanley | 3,890 | 885,778 | 1,476,372 | 612,828 | |||||
Intercontinental Exchange, Inc. | Morgan Stanley | 16,326 | 1,689,091 | 1,937,896 | 303,223 | |||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 97,097 | 1,065,801 | 2,595,403 | 1,589,728 | |||||
Nasdaq, Inc. | Morgan Stanley | 10,739 | 1,263,107 | 1,887,916 | 661,688 | |||||
Raymond James Financial, Inc. | Morgan Stanley | 6,415 | 823,376 | 833,308 | 12,895 | |||||
S&P Global, Inc. | Morgan Stanley | 3,037 | 1,040,411 | 1,246,537 | 212,233 | |||||
Synchrony Financial | Morgan Stanley | 11,166 | 495,371 | 541,774 | 48,324 | |||||
T Rowe Price Group, Inc. | Morgan Stanley | 10,864 | 1,467,150 | 2,150,746 | 763,043 | |||||
271,196 | 20,455,387 | 27,984,682 | 7,960,264 | |||||||
Energy | ||||||||||
APA Corp. | Morgan Stanley | 63,709 | 692,652 | 1,378,026 | 685,866 | |||||
Chevron Corp. | Morgan Stanley | 1,597 | 87,917 | 167,270 | 89,826 | |||||
ConocoPhillips | Morgan Stanley | 16,592 | 490,913 | 1,010,453 | 534,170 | |||||
EOG Resources, Inc. | Morgan Stanley | 16,827 | 631,616 | 1,404,045 | 785,421 | |||||
Exxon Mobil Corp. | Morgan Stanley | 5,660 | 347,471 | 357,033 | 12,393 | |||||
Halliburton Co. | Morgan Stanley | 70,914 | 1,038,817 | 1,639,532 | 613,228 | |||||
Hess Corp. | Morgan Stanley | 15,860 | 1,311,437 | 1,384,895 | 78,009 | |||||
Kinder Morgan, Inc. | Morgan Stanley | 57,695 | 917,602 | 1,051,780 | 177,803 | |||||
Marathon Oil Corp. | Morgan Stanley | 210,640 | 2,325,943 | 2,868,917 | 553,162 | |||||
Marathon Petroleum Corp. | Morgan Stanley | 2,238 | 141,934 | 135,220 | (6,580) | |||||
NOV, Inc. | Morgan Stanley | 82,091 | 741,590 | 1,257,634 | 516,568 | |||||
Occidental Petroleum Corp. | Morgan Stanley | 98,049 | 2,637,085 | 3,065,992 | 432,023 | |||||
Phillips 66 | Morgan Stanley | 2 | 122 | 172 | 92 | |||||
Williams Cos., Inc. (The) | Morgan Stanley | 30,384 | 595,277 | 806,695 | 248,988 | |||||
672,258 | 11,960,376 | 16,527,664 | 4,720,969 | |||||||
Food & Staples Retailing | ||||||||||
Kroger Co. (The) | Morgan Stanley | 4,659 | 148,242 | 178,486 | 36,714 | |||||
Sysco Corp. | Morgan Stanley | 975 | 50,359 | 75,806 | 26,833 | |||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 7,117 | 325,420 | 374,425 | 54,007 | |||||
Walmart, Inc. | Morgan Stanley | 26,709 | 3,190,490 | 3,766,503 | 657,869 | |||||
39,460 | 3,714,511 | 4,395,220 | 775,423 | |||||||
Food, Beverage & Tobacco | ||||||||||
Altria Group, Inc. | Morgan Stanley | 24,798 | 1,025,638 | 1,182,369 | 237,816 | |||||
Archer-Daniels-Midland Co. | Morgan Stanley | 9,625 | 468,647 | 583,275 | 124,881 | |||||
Campbell Soup Co. | Morgan Stanley | 12,344 | 574,184 | 562,763 | (13) | |||||
Coca-Cola Co. (The) | Morgan Stanley | 48,817 | 2,393,114 | 2,641,488 | 316,797 | |||||
Conagra Brands, Inc. | Morgan Stanley | 29,368 | 1,041,277 | 1,068,408 | 41,199 | |||||
Constellation Brands, Inc., Class A | Morgan Stanley | 8,790 | 1,705,115 | 2,055,893 | 371,828 | |||||
General Mills, Inc. | Morgan Stanley | 22,811 | 1,311,815 | 1,389,874 | 107,594 | |||||
Hershey Co. (The) | Morgan Stanley | 8,723 | 1,382,062 | 1,519,372 | 145,820 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Food, Beverage & Tobacco — (continued) | ||||||||||
JM Smucker Co. (The) | Morgan Stanley | 11,154 | $1,263,405 | $1,445,224 | $216,927 | |||||
Kellogg Co. | Morgan Stanley | 16,394 | 1,024,743 | 1,054,626 | 46,904 | |||||
Kraft Heinz Co. (The) | Morgan Stanley | 46,670 | 1,602,351 | 1,903,203 | 353,795 | |||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 6,727 | 236,225 | 361,173 | 131,517 | |||||
Mondelez International, Inc., Class A | Morgan Stanley | 26,128 | 1,473,592 | 1,631,432 | 173,941 | |||||
PepsiCo, Inc. | Morgan Stanley | 5,701 | 790,322 | 844,717 | 72,545 | |||||
Philip Morris International, Inc. | Morgan Stanley | 12,939 | 1,016,077 | 1,282,384 | 325,507 | |||||
Tyson Foods, Inc., Class A | Morgan Stanley | 16,465 | 1,155,209 | 1,214,458 | 84,647 | |||||
307,454 | 18,463,776 | 20,740,659 | 2,751,705 | |||||||
Health Care Equipment & Services | ||||||||||
Abbott Laboratories | Morgan Stanley | 20,736 | 1,821,311 | 2,403,924 | 612,414 | |||||
Align Technology, Inc. | Morgan Stanley | 1,514 | 904,606 | 925,054 | 21,080 | |||||
AmerisourceBergen Corp. | Morgan Stanley | 14,630 | 1,556,494 | 1,674,989 | 128,882 | |||||
Anthem, Inc. | Morgan Stanley | 5,639 | 1,716,246 | 2,152,970 | 454,683 | |||||
Baxter International, Inc. | Morgan Stanley | 10,544 | 817,601 | 848,792 | 39,689 | |||||
Becton Dickinson and Co. | Morgan Stanley | 6,380 | 1,552,065 | 1,551,552 | 6,123 | |||||
Cerner Corp. | Morgan Stanley | 4,910 | 359,150 | 383,766 | 26,685 | |||||
Cigna Corp. | Morgan Stanley | 2,387 | 604,018 | 565,886 | (36,302) | |||||
CVS Health Corp. | Morgan Stanley | 19,838 | 1,330,795 | 1,655,283 | 361,429 | |||||
Danaher Corp. | Morgan Stanley | 6,522 | 1,408,156 | 1,750,244 | 354,039 | |||||
DaVita, Inc. | Morgan Stanley | 571 | 49,942 | 68,766 | 18,891 | |||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 11,746 | 515,827 | 743,052 | 232,101 | |||||
HCA Healthcare, Inc. | Morgan Stanley | 7,121 | 1,294,360 | 1,472,196 | 182,517 | |||||
Hologic, Inc. | Morgan Stanley | 35,794 | 2,127,767 | 2,388,176 | 261,420 | |||||
Laboratory Corp. of America Holdings | Morgan Stanley | 3,283 | 788,089 | 905,616 | 118,082 | |||||
McKesson Corp. | Morgan Stanley | 12,928 | 2,313,076 | 2,472,351 | 170,752 | |||||
Medtronic PLC (Ireland) | Morgan Stanley | 24,417 | 2,591,786 | 3,030,882 | 496,245 | |||||
Quest Diagnostics, Inc. | Morgan Stanley | 1 | 121 | 132 | 50 | |||||
STERIS PLC (Ireland) | Morgan Stanley | 105 | 15,772 | 21,662 | 6,588 | |||||
Stryker Corp. | Morgan Stanley | 3,921 | 975,938 | 1,018,401 | 46,252 | |||||
UnitedHealth Group, Inc. | Morgan Stanley | 9,111 | 3,180,626 | 3,648,409 | 518,856 | |||||
Universal Health Services, Inc., Class B | Morgan Stanley | 345 | 31,083 | 50,518 | 19,537 | |||||
202,443 | 25,954,829 | 29,732,621 | 4,040,013 | |||||||
Household & Personal Products | ||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 20,912 | 1,535,034 | 1,701,191 | 195,680 | |||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 2,375 | 590,926 | 755,440 | 181,417 | |||||
Kimberly-Clark Corp. | Morgan Stanley | 6,114 | 801,940 | 817,931 | 25,659 | |||||
Procter & Gamble Co. (The) | Morgan Stanley | 10,545 | 1,325,671 | 1,422,837 | 115,594 | |||||
39,946 | 4,253,571 | 4,697,399 | 518,350 | |||||||
Insurance | ||||||||||
Aflac, Inc. | Morgan Stanley | 24,519 | 1,312,526 | 1,315,690 | 10,937 | |||||
Allstate Corp. (The) | Morgan Stanley | 7,105 | 952,595 | 926,776 | (23,993) | |||||
Aon PLC, Class A (Ireland) | Morgan Stanley | 3,002 | 693,013 | 716,758 | 29,272 | |||||
Arthur J Gallagher & Co. | Morgan Stanley | 4,256 | 485,156 | 596,180 | 115,571 | |||||
Assurant, Inc. | Morgan Stanley | 4,793 | 706,511 | 748,571 | 46,458 | |||||
Hartford Financial Services Group, Inc. (The) | Morgan Stanley | 1,118 | 40,720 | 69,282 | 30,247 | |||||
Loews Corp. | Morgan Stanley | 13,612 | 761,194 | 743,896 | (15,842) | |||||
Marsh & McLennan Cos., Inc. | Morgan Stanley | 10,955 | 1,187,645 | 1,541,149 | 368,856 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Insurance — (continued) | ||||||||||
MetLife, Inc. | Morgan Stanley | 22,730 | $1,044,520 | $1,360,390 | $352,878 | |||||
Principal Financial Group, Inc. | Morgan Stanley | 4,164 | 251,795 | 263,123 | 12,801 | |||||
Progressive Corp. (The) | Morgan Stanley | 3,877 | 356,828 | 380,760 | 28,166 | |||||
Prudential Financial, Inc. | Morgan Stanley | 1,010 | 100,463 | 103,495 | 5,939 | |||||
Travelers Cos., Inc. (The) | Morgan Stanley | 2,825 | 426,128 | 422,931 | 1,228 | |||||
103,966 | 8,319,094 | 9,189,001 | 962,518 | |||||||
Materials | ||||||||||
Avery Dennison Corp. | Morgan Stanley | 4,125 | 842,783 | 867,240 | 27,779 | |||||
CF Industries Holdings, Inc. | Morgan Stanley | 16,749 | 475,068 | 861,736 | 405,806 | |||||
Corteva, Inc. | Morgan Stanley | 18,950 | 860,237 | 840,432 | (19,202) | |||||
Dow, Inc. | Morgan Stanley | 37,566 | 2,180,327 | 2,377,176 | 243,531 | |||||
DuPont de Nemours, Inc. | Morgan Stanley | 54,775 | 4,265,588 | 4,240,133 | (3,952) | |||||
Eastman Chemical Co. | Morgan Stanley | 4,991 | 350,295 | 582,699 | 250,250 | |||||
Freeport-McMoRan, Inc. | Morgan Stanley | 30,971 | 714,914 | 1,149,334 | 436,783 | |||||
International Paper Co. | Morgan Stanley | 26,883 | 1,062,768 | 1,648,197 | 648,258 | |||||
Linde PLC (Ireland) | Morgan Stanley | 7,025 | 1,380,541 | 2,030,927 | 673,883 | |||||
Martin Marietta Materials, Inc. | Morgan Stanley | 556 | 180,035 | 195,606 | 17,394 | |||||
Mosaic Co. (The) | Morgan Stanley | 57,539 | 1,033,120 | 1,836,069 | 811,928 | |||||
Newmont Corp. | Morgan Stanley | 9,221 | 559,333 | 584,427 | 30,295 | |||||
Nucor Corp. | Morgan Stanley | 4,743 | 353,051 | 454,996 | 105,614 | |||||
PPG Industries, Inc. | Morgan Stanley | 8,996 | 1,188,762 | 1,527,251 | 358,941 | |||||
Sealed Air Corp. | Morgan Stanley | 20,272 | 450,057 | 1,201,116 | 768,445 | |||||
Sherwin-Williams Co. (The) | Morgan Stanley | 5,837 | 1,343,353 | 1,590,291 | 254,116 | |||||
Westrock Co. | Morgan Stanley | 25,110 | 1,359,412 | 1,336,354 | (18,522) | |||||
334,309 | 18,599,644 | 23,323,984 | 4,991,347 | |||||||
Media & Entertainment | ||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 4,859 | 343,941 | 463,743 | 122,306 | |||||
Alphabet, Inc., Class A | Morgan Stanley | 5,215 | 6,642,573 | 12,733,935 | 6,095,780 | |||||
Charter Communications, Inc., Class A | Morgan Stanley | 1,666 | 812,496 | 1,201,936 | 403,081 | |||||
Comcast Corp., Class A | Morgan Stanley | 12,675 | 634,369 | 722,728 | 98,972 | |||||
DISH Network Corp., Class A | Morgan Stanley | 34,606 | 1,337,082 | 1,446,531 | 110,366 | |||||
Electronic Arts, Inc. | Morgan Stanley | 1,545 | 183,855 | 222,217 | 39,289 | |||||
Facebook, Inc., Class A | Morgan Stanley | 9,845 | 2,175,888 | 3,423,205 | 1,248,788 | |||||
Fox Corp., Class A | Morgan Stanley | 31,846 | 1,197,909 | 1,182,442 | (14,641) | |||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 32,635 | 750,611 | 1,060,311 | 338,012 | |||||
Netflix, Inc. | Morgan Stanley | 2,492 | 1,051,912 | 1,316,299 | 265,116 | |||||
News Corp., Class A | Morgan Stanley | 14,021 | 334,660 | 361,321 | 27,670 | |||||
Omnicom Group, Inc. | Morgan Stanley | 3,700 | 279,326 | 295,963 | 21,601 | |||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 595 | 80,037 | 105,327 | 25,377 | |||||
Twitter, Inc. | Morgan Stanley | 4,143 | 131,433 | 285,080 | 153,769 | |||||
ViacomCBS, Inc., Class B | Morgan Stanley | 17,430 | 707,583 | 787,836 | 84,520 | |||||
Walt Disney Co. (The) | Morgan Stanley | 8,786 | 976,101 | 1,544,315 | 605,525 | |||||
186,059 | 17,639,776 | 27,153,189 | 9,625,531 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
AbbVie, Inc. | Morgan Stanley | 18,460 | 1,878,092 | 2,079,334 | 233,567 | |||||
Agilent Technologies, Inc. | Morgan Stanley | 6,257 | 914,684 | 924,847 | 10,802 | |||||
Alexion Pharmaceuticals, Inc. | Morgan Stanley | 9,158 | 1,217,945 | 1,682,416 | 465,310 | |||||
Biogen, Inc. | Morgan Stanley | 1,042 | 248,317 | 360,813 | 112,696 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 6,781 | $423,325 | $453,106 | $42,196 | |||||
Eli Lilly & Co. | Morgan Stanley | 816 | 150,033 | 187,288 | 38,031 | |||||
Gilead Sciences, Inc. | Morgan Stanley | 25,715 | 1,615,827 | 1,770,735 | 213,384 | |||||
Illumina, Inc. | Morgan Stanley | 946 | 345,097 | 447,657 | 102,823 | |||||
Incyte Corp. | Morgan Stanley | 1,438 | 140,102 | 120,979 | (18,996) | |||||
Johnson & Johnson | Morgan Stanley | 35,541 | 4,835,282 | 5,855,024 | 1,260,604 | |||||
Merck & Co., Inc. | Morgan Stanley | 42,602 | 3,146,989 | 3,313,158 | 227,460 | |||||
Organon & Co. | Morgan Stanley | 65,024 | 1,950,692 | 1,967,626 | 18,256 | |||||
PerkinElmer, Inc. | Morgan Stanley | 13,753 | 1,617,844 | 2,123,601 | 557,023 | |||||
Pfizer, Inc. | Morgan Stanley | 93,404 | 3,062,492 | 3,657,701 | 694,231 | |||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 561 | 275,280 | 313,341 | 38,278 | |||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 2,876 | 1,183,036 | 1,450,856 | 271,263 | |||||
Waters Corp. | Morgan Stanley | 4,267 | 1,189,821 | 1,474,718 | 285,717 | |||||
328,641 | 24,194,858 | 28,183,200 | 4,552,645 | |||||||
Real Estate | ||||||||||
Alexandria Real Estate Equities, Inc., REIT | Morgan Stanley | 7,431 | 1,266,836 | 1,351,996 | 111,224 | |||||
American Tower Corp., REIT | Morgan Stanley | 3,262 | 817,793 | 881,197 | 80,502 | |||||
AvalonBay Communities, Inc., REIT | Morgan Stanley | 2,571 | 486,745 | 536,542 | 61,085 | |||||
CBRE Group, Inc., Class A | Morgan Stanley | 12,498 | 904,042 | 1,071,454 | 168,043 | |||||
Crown Castle International Corp., REIT | Morgan Stanley | 2,864 | 479,303 | 558,766 | 95,936 | |||||
Duke Realty Corp., REIT | Morgan Stanley | 11,371 | 472,134 | 538,417 | 68,907 | |||||
Extra Space Storage, Inc., REIT | Morgan Stanley | 5,639 | 787,273 | 923,781 | 143,009 | |||||
Iron Mountain, Inc., REIT | Morgan Stanley | 12,206 | 472,148 | 516,558 | 51,569 | |||||
Kimco Realty Corp., REIT | Morgan Stanley | 44,425 | 965,308 | 926,261 | (36,080) | |||||
Mid-America Apartment Communities, Inc., REIT | Morgan Stanley | 5,182 | 720,440 | 872,752 | 161,776 | |||||
Prologis, Inc., REIT | Morgan Stanley | 1,538 | 189,724 | 183,837 | (5,727) | |||||
Public Storage, REIT | Morgan Stanley | 3,316 | 822,832 | 997,088 | 188,842 | |||||
SBA Communications Corp., REIT | Morgan Stanley | 709 | 214,872 | 225,958 | 12,556 | |||||
Simon Property Group, Inc., REIT | Morgan Stanley | 6,483 | 543,225 | 845,902 | 332,292 | |||||
Welltower, Inc., REIT | Morgan Stanley | 8,401 | 444,864 | 698,123 | 273,251 | |||||
Weyerhaeuser Co., REIT | Morgan Stanley | 91,132 | 2,210,862 | 3,136,763 | 961,720 | |||||
219,028 | 11,798,401 | 14,265,395 | 2,668,905 | |||||||
Retailing | ||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 7,651 | 1,179,216 | 1,569,526 | 402,262 | |||||
Amazon.com, Inc. | Morgan Stanley | 2,259 | 5,473,615 | 7,771,321 | 2,301,353 | |||||
AutoZone, Inc. | Morgan Stanley | 831 | 1,005,125 | 1,240,035 | 235,608 | |||||
Best Buy Co., Inc. | Morgan Stanley | 5,521 | 467,738 | 634,805 | 184,015 | |||||
Dollar Tree, Inc. | Morgan Stanley | 12,188 | 1,333,072 | 1,212,706 | (119,451) | |||||
eBay, Inc. | Morgan Stanley | 7,832 | 433,825 | 549,885 | 122,276 | |||||
Genuine Parts Co. | Morgan Stanley | 15,616 | 1,537,699 | 1,974,956 | 478,340 | |||||
Home Depot, Inc. (The) | Morgan Stanley | 4,488 | 1,109,720 | 1,431,178 | 336,454 | |||||
L Brands, Inc. | Morgan Stanley | 41,225 | 1,745,544 | 2,970,673 | 1,232,500 | |||||
LKQ Corp. | Morgan Stanley | 47,539 | 1,343,494 | 2,339,870 | 997,297 | |||||
Lowe's Cos., Inc. | Morgan Stanley | 8,079 | 1,048,430 | 1,567,084 | 536,720 | |||||
O'Reilly Automotive, Inc. | Morgan Stanley | 2,029 | 936,349 | 1,148,840 | 213,392 | |||||
Target Corp. | Morgan Stanley | 8,598 | 1,432,432 | 2,078,481 | 680,901 | |||||
Ulta Beauty, Inc. | Morgan Stanley | 3,611 | 1,208,603 | 1,248,575 | 40,805 | |||||
167,467 | 20,254,862 | 27,737,935 | 7,642,472 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Semiconductors & Semiconductor Equipment | ||||||||||
Applied Materials, Inc. | Morgan Stanley | 25,800 | $2,457,058 | $3,673,920 | $1,227,394 | |||||
Broadcom, Inc. | Morgan Stanley | 1,729 | 553,659 | 824,456 | 294,788 | |||||
Intel Corp. | Morgan Stanley | 75,333 | 4,019,387 | 4,229,195 | 311,450 | |||||
KLA Corp. | Morgan Stanley | 5,857 | 1,576,093 | 1,898,898 | 333,816 | |||||
Lam Research Corp. | Morgan Stanley | 1,782 | 824,457 | 1,159,547 | 342,512 | |||||
Maxim Integrated Products, Inc. | Morgan Stanley | 7,980 | 529,427 | 840,773 | 311,730 | |||||
Micron Technology, Inc. | Morgan Stanley | 6,077 | 288,710 | 516,423 | 227,939 | |||||
NVIDIA Corp. | Morgan Stanley | 1,388 | 816,935 | 1,110,539 | 294,653 | |||||
NXP Semiconductors NV (Netherlands) | Morgan Stanley | 8,615 | 1,642,910 | 1,772,278 | 134,637 | |||||
Qorvo, Inc. | Morgan Stanley | 9,234 | 1,605,146 | 1,806,632 | 206,316 | |||||
QUALCOMM, Inc. | Morgan Stanley | 18,135 | 2,424,745 | 2,592,036 | 184,197 | |||||
Skyworks Solutions, Inc. | Morgan Stanley | 3,594 | 601,610 | 689,150 | 87,972 | |||||
Texas Instruments, Inc. | Morgan Stanley | 11,164 | 1,684,481 | 2,146,837 | 490,769 | |||||
176,688 | 19,024,618 | 23,260,684 | 4,448,173 | |||||||
Software & Services | ||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 1,283 | 306,554 | 378,216 | 78,041 | |||||
Adobe, Inc. | Morgan Stanley | 2,350 | 830,013 | 1,376,254 | 546,823 | |||||
ANSYS, Inc. | Morgan Stanley | 754 | 226,659 | 261,683 | 35,209 | |||||
Autodesk, Inc. | Morgan Stanley | 25 | 7,207 | 7,298 | 130 | |||||
Automatic Data Processing, Inc. | Morgan Stanley | 13,693 | 2,582,836 | 2,719,704 | 151,224 | |||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 6,748 | 999,282 | 1,090,004 | 100,708 | |||||
Cadence Design Systems, Inc. | Morgan Stanley | 1,819 | 187,018 | 248,876 | 62,017 | |||||
Cognizant Technology Solutions Corp., Class A | Morgan Stanley | 4,822 | 294,842 | 333,972 | 47,454 | |||||
DXC Technology Co. | Morgan Stanley | 33,454 | 1,315,735 | 1,302,699 | (12,133) | |||||
Fiserv, Inc. | Morgan Stanley | 5,476 | 607,276 | 585,330 | (21,691) | |||||
FleetCor Technologies, Inc. | Morgan Stanley | 2 | 490 | 512 | 57 | |||||
Gartner, Inc. | Morgan Stanley | 1,312 | 296,426 | 317,766 | 21,571 | |||||
International Business Machines Corp. | Morgan Stanley | 11,652 | 1,405,745 | 1,708,067 | 368,079 | |||||
Intuit, Inc. | Morgan Stanley | 1,402 | 657,972 | 687,218 | 29,715 | |||||
Mastercard, Inc., Class A | Morgan Stanley | 3,856 | 1,130,565 | 1,407,787 | 284,065 | |||||
Microsoft Corp. | Morgan Stanley | 24,719 | 5,029,277 | 6,696,377 | 1,750,971 | |||||
Oracle Corp. | Morgan Stanley | 33,412 | 1,630,231 | 2,600,790 | 1,013,905 | |||||
Paychex, Inc. | Morgan Stanley | 16,919 | 1,502,256 | 1,815,409 | 350,727 | |||||
PayPal Holdings, Inc. | Morgan Stanley | 7,209 | 1,112,937 | 2,101,279 | 989,112 | |||||
PTC, Inc. | Morgan Stanley | 4,187 | 553,284 | 591,456 | 38,571 | |||||
salesforce.com, Inc. | Morgan Stanley | 4,790 | 980,926 | 1,170,053 | 189,809 | |||||
ServiceNow, Inc. | Morgan Stanley | 1,023 | 395,718 | 562,190 | 166,768 | |||||
Synopsys, Inc. | Morgan Stanley | 841 | 170,769 | 231,939 | 61,318 | |||||
VeriSign, Inc. | Morgan Stanley | 2,291 | 438,537 | 521,638 | 83,426 | |||||
Visa, Inc., Class A | Morgan Stanley | 11,937 | 2,411,315 | 2,791,109 | 400,798 | |||||
Western Union Co. (The) | Morgan Stanley | 68,424 | 1,494,963 | 1,571,699 | 127,009 | |||||
264,400 | 26,568,833 | 33,079,325 | 6,863,683 | |||||||
Technology Hardware & Equipment | ||||||||||
Apple, Inc. | Morgan Stanley | 160,361 | 9,981,394 | 21,963,043 | 12,216,345 | |||||
CDW Corp. | Morgan Stanley | 3,074 | 431,626 | 536,874 | 126,862 | |||||
Cisco Systems, Inc. | Morgan Stanley | 74,606 | 3,148,801 | 3,954,118 | 900,958 | |||||
Corning, Inc. | Morgan Stanley | 52,281 | 2,219,725 | 2,138,293 | (69,084) | |||||
F5 Networks, Inc. | Morgan Stanley | 4,005 | 730,753 | 747,573 | 17,337 |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Technology Hardware & Equipment — (continued) | ||||||||||
HP, Inc. | Morgan Stanley | 104,659 | $1,911,684 | $3,159,655 | $1,330,178 | |||||
Juniper Networks, Inc. | Morgan Stanley | 34,537 | 761,574 | 944,587 | 209,963 | |||||
NetApp, Inc. | Morgan Stanley | 23,904 | 1,196,999 | 1,955,825 | 786,845 | |||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 18,132 | 911,693 | 1,594,347 | 683,291 | |||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 13,798 | 1,145,033 | 1,865,628 | 746,511 | |||||
Zebra Technologies Corp., Class A | Morgan Stanley | 1,994 | 950,441 | 1,055,803 | 106,025 | |||||
491,351 | 23,389,723 | 39,915,746 | 17,055,231 | |||||||
Telecommunication Services | ||||||||||
AT&T, Inc. | Morgan Stanley | 4,485 | 126,812 | 129,078 | 7,183 | |||||
Lumen Technologies, Inc. | Morgan Stanley | 21,384 | 233,750 | 290,609 | 69,381 | |||||
T-Mobile US, Inc. | Morgan Stanley | 3,389 | 409,472 | 490,829 | 81,486 | |||||
Verizon Communications, Inc. | Morgan Stanley | 28,062 | 1,487,455 | 1,572,314 | 166,940 | |||||
57,320 | 2,257,489 | 2,482,830 | 324,990 | |||||||
Transportation | ||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 2,263 | 67,910 | 136,482 | 67,912 | |||||
CSX Corp. | Morgan Stanley | 48,825 | 1,334,860 | 1,566,306 | 243,035 | |||||
Expeditors International of Washington, Inc. | Morgan Stanley | 10,603 | 891,508 | 1,342,340 | 465,424 | |||||
FedEx Corp. | Morgan Stanley | 5,741 | 1,562,484 | 1,712,713 | 166,486 | |||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 819 | 117,163 | 133,456 | 16,400 | |||||
Norfolk Southern Corp. | Morgan Stanley | 3,674 | 635,473 | 975,116 | 355,971 | |||||
Union Pacific Corp. | Morgan Stanley | 4,647 | 949,733 | 1,022,015 | 81,462 | |||||
United Parcel Service, Inc., Class B | Morgan Stanley | 10,546 | 1,776,764 | 2,193,252 | 430,086 | |||||
87,118 | 7,335,895 | 9,081,680 | 1,826,776 | |||||||
Utilities | ||||||||||
AES Corp. (The) | Morgan Stanley | 16,377 | 414,224 | 426,948 | 15,829 | |||||
Dominion Energy, Inc. | Morgan Stanley | 64,436 | 4,553,252 | 4,740,557 | 277,173 | |||||
Duke Energy Corp. | Morgan Stanley | 8,686 | 719,559 | 857,482 | 164,967 | |||||
Exelon Corp. | Morgan Stanley | 29,816 | 1,273,133 | 1,321,147 | 59,891 | |||||
NextEra Energy, Inc. | Morgan Stanley | 5,396 | 393,948 | 395,419 | 2,744 | |||||
NRG Energy, Inc. | Morgan Stanley | 72,477 | 2,053,720 | 2,920,823 | 969,601 | |||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 7,107 | 427,435 | 424,572 | 5,510 | |||||
Southern Co. (The) | Morgan Stanley | 6,238 | 363,937 | 377,461 | 22,016 | |||||
210,533 | 10,199,208 | 11,464,409 | 1,517,731 | |||||||
Total Reference Entity — Long | 341,301,411 | 440,152,386 | 104,128,121 | |||||||
Short | ||||||||||
Banks | ||||||||||
Citizens Financial Group, Inc. | Morgan Stanley | (8,685) | (423,586) | (398,381) | 22,490 | |||||
Comerica, Inc. | Morgan Stanley | (16,374) | (1,139,186) | (1,168,121) | (48,990) | |||||
Huntington Bancshares, Inc. | Morgan Stanley | (102,393) | (1,555,820) | (1,461,148) | 63,807 | |||||
KeyCorp. | Morgan Stanley | (18,830) | (419,561) | (388,840) | 20,030 | |||||
M&T Bank Corp. | Morgan Stanley | (16,914) | (2,805,643) | (2,457,773) | 252,933 | |||||
People's United Financial, Inc. | Morgan Stanley | (181,779) | (2,672,977) | (3,115,692) | (516,087) | |||||
US Bancorp | Morgan Stanley | (10,489) | (621,036) | (597,558) | 16,991 | |||||
Zions Bancorp NA | Morgan Stanley | (33,293) | (1,777,121) | (1,759,868) | (11,331) | |||||
(388,757) | (11,414,930) | (11,347,381) | (200,157) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Capital Goods | ||||||||||
Allegion PLC (Ireland) | Morgan Stanley | (14,089) | $(1,650,034) | $(1,962,598) | $(334,983) | |||||
Boeing Co. (The) | Morgan Stanley | (13,458) | (4,150,555) | (3,223,998) | 872,626 | |||||
Carrier Global Corp. | Morgan Stanley | (25,887) | (1,206,101) | (1,258,108) | (58,422) | |||||
Fastenal Co. | Morgan Stanley | (66,553) | (3,319,352) | (3,460,756) | (183,569) | |||||
Generac Holdings, Inc. | Morgan Stanley | (5,563) | (1,815,192) | (2,309,479) | (512,653) | |||||
General Electric Co. | Morgan Stanley | (103,023) | (1,369,412) | (1,386,690) | (22,807) | |||||
IDEX Corp. | Morgan Stanley | (15,029) | (3,119,195) | (3,307,131) | (207,355) | |||||
Otis Worldwide Corp. | Morgan Stanley | (33,580) | (2,644,240) | (2,745,837) | (120,106) | |||||
PACCAR, Inc. | Morgan Stanley | (34,241) | (3,120,765) | (3,056,009) | 44,675 | |||||
Raytheon Technologies Corp. | Morgan Stanley | (41,949) | (3,248,905) | (3,578,669) | (340,803) | |||||
Rockwell Automation, Inc. | Morgan Stanley | (9,700) | (2,588,064) | (2,774,394) | (203,342) | |||||
Teledyne Technologies, Inc. | Morgan Stanley | (5,577) | (2,190,250) | (2,335,815) | (153,036) | |||||
TransDigm Group, Inc. | Morgan Stanley | (5,973) | (3,621,941) | (3,866,263) | (256,633) | |||||
Westinghouse Air Brake Technologies Corp. | Morgan Stanley | (9,576) | (776,152) | (788,105) | (15,885) | |||||
Xylem, Inc. | Morgan Stanley | (18,089) | (2,041,888) | (2,169,956) | (146,554) | |||||
(402,287) | (36,862,046) | (38,223,808) | (1,638,847) | |||||||
Commercial & Professional Services | ||||||||||
Copart, Inc. | Morgan Stanley | (10,468) | (1,242,486) | (1,379,996) | (145,399) | |||||
Equifax, Inc. | Morgan Stanley | (9,480) | (1,802,781) | (2,270,555) | (505,178) | |||||
Leidos Holdings, Inc. | Morgan Stanley | (1,235) | (138,839) | (124,859) | 12,872 | |||||
Rollins, Inc. | Morgan Stanley | (73,916) | (2,550,414) | (2,527,927) | 955 | |||||
Verisk Analytics, Inc. | Morgan Stanley | (14,635) | (2,637,871) | (2,557,027) | 67,261 | |||||
Waste Management, Inc. | Morgan Stanley | (9,499) | (1,106,220) | (1,330,905) | (238,017) | |||||
(119,233) | (9,478,611) | (10,191,269) | (807,506) | |||||||
Consumer Durables & Apparel | ||||||||||
Leggett & Platt, Inc. | Morgan Stanley | (48,015) | (2,495,022) | (2,487,657) | (19,536) | |||||
NVR, Inc. | Morgan Stanley | (401) | (1,714,833) | (1,994,293) | (285,271) | |||||
Ralph Lauren Corp. | Morgan Stanley | (37,848) | (3,380,715) | (4,458,873) | (1,115,199) | |||||
VF Corp. | Morgan Stanley | (43,094) | (3,505,466) | (3,535,432) | (74,973) | |||||
(129,358) | (11,096,036) | (12,476,255) | (1,494,979) | |||||||
Consumer Services | ||||||||||
Booking Holdings, Inc. | Morgan Stanley | (224) | (545,917) | (490,132) | 53,959 | |||||
Caesars Entertainment, Inc. | Morgan Stanley | (451) | (47,459) | (46,791) | 541 | |||||
Carnival Corp. (Panama) | Morgan Stanley | (51,520) | (1,462,286) | (1,358,067) | 99,269 | |||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (2,411) | (3,576,784) | (3,737,870) | (183,248) | |||||
Darden Restaurants, Inc. | Morgan Stanley | (12,833) | (1,785,275) | (1,873,490) | (108,470) | |||||
Domino's Pizza, Inc. | Morgan Stanley | (5,600) | (2,352,063) | (2,612,344) | (279,733) | |||||
Expedia Group, Inc. | Morgan Stanley | (4,225) | (693,896) | (691,675) | (1,148) | |||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | (8,746) | (1,069,381) | (1,054,943) | 10,829 | |||||
Las Vegas Sands Corp. | Morgan Stanley | (23,953) | (1,416,497) | (1,262,084) | 131,986 | |||||
MGM Resorts International | Morgan Stanley | (41,625) | (1,704,442) | (1,775,306) | (76,706) | |||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (15,953) | (595,783) | (469,178) | 124,609 | |||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (16,744) | (1,641,888) | (1,427,928) | 203,568 | |||||
Wynn Resorts Ltd. | Morgan Stanley | (12,511) | (1,511,290) | (1,530,095) | (56,255) | |||||
(196,796) | (18,402,961) | (18,329,903) | (80,799) | |||||||
Diversified Financials | ||||||||||
American Express Co. | Morgan Stanley | (143) | (22,845) | (23,628) | (826) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Diversified Financials — (continued) | ||||||||||
Bank of New York Mellon Corp. (The) | Morgan Stanley | (62,876) | $(3,002,947) | $(3,221,137) | $(273,147) | |||||
Cboe Global Markets, Inc. | Morgan Stanley | (7,151) | (896,334) | (851,327) | 24,583 | |||||
MarketAxess Holdings, Inc. | Morgan Stanley | (7,289) | (3,763,991) | (3,379,108) | 363,915 | |||||
Moody's Corp. | Morgan Stanley | (958) | (344,681) | (347,150) | (3,609) | |||||
MSCI, Inc. | Morgan Stanley | (5,976) | (2,311,625) | (3,185,686) | (901,383) | |||||
Northern Trust Corp. | Morgan Stanley | (33,599) | (3,518,348) | (3,884,716) | (500,393) | |||||
State Street Corp. | Morgan Stanley | (47,193) | (3,790,620) | (3,883,040) | (231,117) | |||||
(165,185) | (17,651,391) | (18,775,792) | (1,521,977) | |||||||
Energy | ||||||||||
Baker Hughes Co. | Morgan Stanley | (114,546) | (2,574,785) | (2,619,667) | (76,571) | |||||
Cabot Oil & Gas Corp. | Morgan Stanley | (129,896) | (2,536,231) | (2,267,984) | 224,292 | |||||
Devon Energy Corp. | Morgan Stanley | (115,830) | (3,027,417) | (3,381,078) | (402,416) | |||||
Diamondback Energy, Inc. | Morgan Stanley | (36,614) | (3,080,986) | (3,437,688) | (393,004) | |||||
ONEOK, Inc. | Morgan Stanley | (24,184) | (1,638,521) | (1,345,598) | 129,363 | |||||
Pioneer Natural Resources Co. | Morgan Stanley | (28,286) | (4,349,722) | (4,597,041) | (308,627) | |||||
Schlumberger NV (Curaçao) | Morgan Stanley | (16,681) | (584,474) | (533,959) | 48,149 | |||||
Valero Energy Corp. | Morgan Stanley | (18,760) | (1,339,584) | (1,464,781) | (146,937) | |||||
(484,797) | (19,131,720) | (19,647,796) | (925,751) | |||||||
Food & Staples Retailing | ||||||||||
Costco Wholesale Corp. | Morgan Stanley | (3,306) | (1,216,784) | (1,308,085) | (96,598) | |||||
Food, Beverage & Tobacco | ||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | (38,207) | (2,860,397) | (2,863,233) | (24,725) | |||||
Hormel Foods Corp. | Morgan Stanley | (107,849) | (5,213,295) | (5,149,790) | (6,278) | |||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (56,558) | (4,770,717) | (4,561,968) | 162,291 | |||||
McCormick & Co., Inc., non-voting shares | Morgan Stanley | (55,272) | (5,014,346) | (4,881,623) | 99,808 | |||||
Monster Beverage Corp. | Morgan Stanley | (10,886) | (1,010,531) | (994,436) | 12,807 | |||||
(268,772) | (18,869,286) | (18,451,050) | 243,903 | |||||||
Health Care Equipment & Services | ||||||||||
ABIOMED, Inc. | Morgan Stanley | (12,374) | (3,450,495) | (3,862,049) | (423,281) | |||||
Boston Scientific Corp. | Morgan Stanley | (40,837) | (1,689,150) | (1,746,190) | (62,763) | |||||
Cardinal Health, Inc. | Morgan Stanley | (46,236) | (2,623,563) | (2,639,613) | (72,338) | |||||
Centene Corp. | Morgan Stanley | (12,531) | (889,130) | (913,886) | (27,751) | |||||
Cooper Cos., Inc. (The) | Morgan Stanley | (5,396) | (1,942,161) | (2,138,273) | (202,940) | |||||
Dexcom, Inc. | Morgan Stanley | (5,781) | (2,411,780) | (2,468,487) | (64,893) | |||||
Edwards Lifesciences Corp. | Morgan Stanley | (17,992) | (1,484,222) | (1,863,431) | (384,234) | |||||
Henry Schein, Inc. | Morgan Stanley | (50,111) | (4,005,083) | (3,717,735) | 273,779 | |||||
Humana, Inc. | Morgan Stanley | (8,464) | (3,556,532) | (3,747,182) | (210,060) | |||||
IDEXX Laboratories, Inc. | Morgan Stanley | (2,386) | (1,269,154) | (1,506,878) | (249,718) | |||||
Intuitive Surgical, Inc. | Morgan Stanley | (803) | (665,183) | (738,471) | (75,521) | |||||
ResMed, Inc. | Morgan Stanley | (8,862) | (1,811,666) | (2,184,660) | (380,993) | |||||
Teleflex, Inc. | Morgan Stanley | (6,800) | (2,574,327) | (2,732,172) | (178,821) | |||||
West Pharmaceutical Services, Inc. | Morgan Stanley | (6,648) | (2,241,606) | (2,387,297) | (153,297) | |||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (12,951) | (2,150,069) | (2,082,780) | 57,138 | |||||
(238,172) | (32,764,121) | (34,729,104) | (2,155,693) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Household & Personal Products | ||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | (50,564) | $(4,406,771) | $(4,309,064) | $67,919 | |||||
Clorox Co. (The) | Morgan Stanley | (8,817) | (1,600,173) | (1,586,266) | 8,488 | |||||
(59,381) | (6,006,944) | (5,895,330) | 76,407 | |||||||
Insurance | ||||||||||
American International Group, Inc. | Morgan Stanley | (20,480) | (1,021,983) | (974,848) | 18,473 | |||||
Chubb Ltd. (Switzerland) | Morgan Stanley | (4,569) | (779,000) | (726,197) | 46,397 | |||||
Everest Re Group Ltd. (Bermuda) | Morgan Stanley | (2,408) | (600,759) | (606,840) | (15,140) | |||||
Globe Life, Inc. | Morgan Stanley | (13,341) | (1,302,991) | (1,270,730) | 25,316 | |||||
Lincoln National Corp. | Morgan Stanley | (15,392) | (976,401) | (967,233) | (23,337) | |||||
Unum Group | Morgan Stanley | (53,704) | (1,602,259) | (1,525,194) | 1,692 | |||||
Willis Towers Watson PLC (Ireland) | Morgan Stanley | (2,040) | (491,095) | (469,241) | 18,873 | |||||
WR Berkley Corp. | Morgan Stanley | (17,912) | (1,297,647) | (1,333,190) | (60,442) | |||||
(129,846) | (8,072,135) | (7,873,473) | 11,832 | |||||||
Materials | ||||||||||
Air Products & Chemicals, Inc. | Morgan Stanley | (9,173) | (2,626,391) | (2,638,889) | (57,532) | |||||
Albemarle Corp. | Morgan Stanley | (14,872) | (2,153,432) | (2,505,337) | (372,946) | |||||
Amcor PLC (Jersey) | Morgan Stanley | (249,119) | (2,921,696) | (2,854,904) | 36,076 | |||||
Ball Corp. | Morgan Stanley | (11,002) | (982,805) | (891,382) | 85,168 | |||||
Celanese Corp. | Morgan Stanley | (1,645) | (246,471) | (249,382) | (3,714) | |||||
Ecolab, Inc. | Morgan Stanley | (10,892) | (2,420,019) | (2,243,425) | 163,624 | |||||
FMC Corp. | Morgan Stanley | (41,207) | (4,779,824) | (4,458,597) | 285,620 | |||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (35,330) | (4,910,682) | (5,278,302) | (434,401) | |||||
LyondellBasell Industries NV, Class A (Netherlands) | Morgan Stanley | (33,282) | (3,498,595) | (3,423,719) | 30,171 | |||||
Packaging Corp. of America | Morgan Stanley | (10,353) | (1,561,397) | (1,402,003) | 145,047 | |||||
Vulcan Materials Co. | Morgan Stanley | (6,897) | (1,203,631) | (1,200,561) | (2,979) | |||||
(423,772) | (27,304,943) | (27,146,501) | (125,866) | |||||||
Media & Entertainment | ||||||||||
Discovery, Inc., Class A | Morgan Stanley | (56,131) | (2,096,510) | (1,722,099) | 367,300 | |||||
Live Nation Entertainment, Inc. | Morgan Stanley | (20,601) | (1,588,860) | (1,804,442) | (220,962) | |||||
(76,732) | (3,685,370) | (3,526,541) | 146,338 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||
Amgen, Inc. | Morgan Stanley | (4,902) | (1,171,724) | (1,194,863) | (28,666) | |||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | (5,270) | (3,144,270) | (3,395,408) | (261,821) | |||||
Catalent, Inc. | Morgan Stanley | (37,986) | (3,806,035) | (4,107,046) | (313,950) | |||||
Charles River Laboratories International, Inc. | Morgan Stanley | (5,062) | (1,683,237) | (1,872,535) | (195,000) | |||||
IQVIA Holdings, Inc. | Morgan Stanley | (6,877) | (1,375,109) | (1,666,435) | (295,978) | |||||
Mettler-Toledo International, Inc. | Morgan Stanley | (1,088) | (1,411,493) | (1,507,250) | (100,533) | |||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (93,403) | (5,369,347) | (4,282,528) | 957,531 | |||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | (4,551) | (1,287,650) | (917,618) | 365,678 | |||||
Viatris, Inc. | Morgan Stanley | (384,058) | (5,422,811) | (5,488,189) | (121,065) | |||||
Zoetis, Inc. | Morgan Stanley | (4,537) | (821,045) | (845,515) | (27,233) | |||||
(547,734) | (25,492,721) | (25,277,387) | (21,037) | |||||||
Real Estate | ||||||||||
Boston Properties, Inc., REIT | Morgan Stanley | (6,562) | (701,254) | (751,940) | (63,864) | |||||
Digital Realty Trust, Inc., REIT | Morgan Stanley | (26,366) | (3,914,398) | (3,967,028) | (158,799) | |||||
Equinix, Inc., REIT | Morgan Stanley | (6,550) | (4,696,925) | (5,257,030) | (631,952) | |||||
Equity Residential, REIT | Morgan Stanley | (5,240) | (403,648) | (403,480) | (7,126) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Real Estate — (continued) | ||||||||||
Essex Property Trust, Inc., REIT | Morgan Stanley | (2,667) | $(793,565) | $(800,127) | $(21,289) | |||||
Federal Realty Investment Trust, REIT | Morgan Stanley | (10,816) | (1,009,367) | (1,267,311) | (291,146) | |||||
Healthpeak Properties, Inc., REIT | Morgan Stanley | (39,012) | (1,222,936) | (1,298,709) | (119,490) | |||||
Host Hotels & Resorts, Inc., REIT | Morgan Stanley | (32,207) | (552,364) | (550,418) | (5,074) | |||||
Realty Income Corp., REIT | Morgan Stanley | (22,306) | (1,531,929) | (1,488,702) | 28,955 | |||||
Regency Centers Corp., REIT | Morgan Stanley | (18,699) | (1,242,843) | (1,198,045) | (12,313) | |||||
UDR, Inc., REIT | Morgan Stanley | (17,745) | (791,383) | (869,150) | (85,376) | |||||
Ventas, Inc., REIT | Morgan Stanley | (13,831) | (771,168) | (789,750) | (27,666) | |||||
Vornado Realty Trust, REIT | Morgan Stanley | (60,459) | (3,250,868) | (2,821,622) | 324,446 | |||||
(262,460) | (20,882,648) | (21,463,312) | (1,070,694) | |||||||
Retailing | ||||||||||
CarMax, Inc. | Morgan Stanley | (40,321) | (4,488,933) | (5,207,457) | (761,081) | |||||
Dollar General Corp. | Morgan Stanley | (13,744) | (2,844,041) | (2,974,064) | (141,089) | |||||
Etsy, Inc. | Morgan Stanley | (17,990) | (3,721,206) | (3,703,062) | (6,966) | |||||
Gap, Inc. (The) | Morgan Stanley | (50,304) | (1,630,330) | (1,692,730) | (78,908) | |||||
Pool Corp. | Morgan Stanley | (14,155) | (5,097,705) | (6,492,332) | (1,438,984) | |||||
Ross Stores, Inc. | Morgan Stanley | (11,466) | (1,380,647) | (1,421,784) | (50,611) | |||||
TJX Cos., Inc. (The) | Morgan Stanley | (22,267) | (1,546,386) | (1,501,241) | 38,137 | |||||
Tractor Supply Co. | Morgan Stanley | (8,335) | (1,490,196) | (1,550,810) | (65,658) | |||||
(178,582) | (22,199,444) | (24,543,480) | (2,505,160) | |||||||
Semiconductors & Semiconductor Equipment | ||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | (32,932) | (2,909,347) | (3,093,303) | (205,534) | |||||
Analog Devices, Inc. | Morgan Stanley | (2,795) | (456,787) | (481,187) | (31,739) | |||||
Enphase Energy, Inc. | Morgan Stanley | (26,166) | (5,521,864) | (4,804,863) | 699,290 | |||||
Microchip Technology, Inc. | Morgan Stanley | (12,885) | (2,007,831) | (1,929,400) | 64,260 | |||||
Monolithic Power Systems, Inc. | Morgan Stanley | (10,045) | (3,855,512) | (3,751,305) | 76,101 | |||||
Teradyne, Inc. | Morgan Stanley | (17,096) | (2,188,576) | (2,290,180) | (109,953) | |||||
Xilinx, Inc. | Morgan Stanley | (19,169) | (2,586,861) | (2,772,604) | (195,694) | |||||
(121,088) | (19,526,778) | (19,122,842) | 296,731 | |||||||
Software & Services | ||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (20,959) | (2,240,451) | (2,443,819) | (219,229) | |||||
Citrix Systems, Inc. | Morgan Stanley | (18,170) | (2,365,794) | (2,130,796) | 218,865 | |||||
Fidelity National Information Services, Inc. | Morgan Stanley | (22,667) | (3,311,628) | (3,211,234) | 69,308 | |||||
Fortinet, Inc. | Morgan Stanley | (13,957) | (2,164,474) | (3,324,418) | (1,217,052) | |||||
Global Payments, Inc. | Morgan Stanley | (17,406) | (3,415,248) | (3,264,321) | 131,810 | |||||
Jack Henry & Associates, Inc. | Morgan Stanley | (27,199) | (4,371,686) | (4,447,308) | (116,660) | |||||
NortonLifeLock, Inc. | Morgan Stanley | (36,739) | (872,794) | (1,000,036) | (134,248) | |||||
Paycom Software, Inc. | Morgan Stanley | (5,279) | (2,032,512) | (1,918,758) | 106,816 | |||||
Tyler Technologies, Inc. | Morgan Stanley | (6,240) | (2,532,453) | (2,822,789) | (309,899) | |||||
(168,616) | (23,307,040) | (24,563,479) | (1,470,289) | |||||||
Technology Hardware & Equipment | ||||||||||
Amphenol Corp., Class A | Morgan Stanley | (31,944) | (2,123,693) | (2,185,289) | (73,522) | |||||
Arista Networks, Inc. | Morgan Stanley | (9,045) | (2,650,229) | (3,277,094) | (638,388) | |||||
Hewlett Packard Enterprise Co. | Morgan Stanley | (115,479) | (1,616,153) | (1,683,684) | (94,625) | |||||
IPG Photonics Corp. | Morgan Stanley | (15,840) | (3,149,842) | (3,338,597) | (199,457) | |||||
Keysight Technologies, Inc. | Morgan Stanley | (3,346) | (493,290) | (516,656) | (25,012) | |||||
Motorola Solutions, Inc. | Morgan Stanley | (4,755) | (926,452) | (1,031,122) | (110,787) |
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||
Technology Hardware & Equipment — (continued) | ||||||||||
Trimble, Inc. | Morgan Stanley | (13,511) | $(1,041,412) | $(1,105,605) | $(67,708) | |||||
Western Digital Corp. | Morgan Stanley | (80,781) | (5,688,602) | (5,749,184) | (115,136) | |||||
(274,701) | (17,689,673) | (18,887,231) | (1,324,635) | |||||||
Transportation | ||||||||||
American Airlines Group, Inc. | Morgan Stanley | (37,419) | (811,284) | (793,657) | 14,897 | |||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (51,633) | (4,971,170) | (4,836,463) | 91,521 | |||||
Delta Air Lines, Inc. | Morgan Stanley | (29,992) | (1,325,361) | (1,297,454) | 23,425 | |||||
Kansas City Southern | Morgan Stanley | (4,799) | (1,309,120) | (1,359,893) | (60,020) | |||||
Old Dominion Freight Line, Inc. | Morgan Stanley | (1,727) | (448,141) | (438,313) | 7,784 | |||||
Southwest Airlines Co. | Morgan Stanley | (26,351) | (1,457,710) | (1,398,975) | 53,802 | |||||
United Airlines Holdings, Inc. | Morgan Stanley | (22,154) | (1,412,167) | (1,158,433) | 248,956 | |||||
(174,075) | (11,734,953) | (11,283,188) | 380,365 | |||||||
Utilities | ||||||||||
Alliant Energy Corp. | Morgan Stanley | (27,750) | (1,592,906) | (1,547,340) | 24,191 | |||||
Ameren Corp. | Morgan Stanley | (29,489) | (2,321,640) | (2,360,300) | (129,609) | |||||
American Electric Power Co., Inc. | Morgan Stanley | (31,238) | (2,766,576) | (2,642,422) | 16,589 | |||||
American Water Works Co., Inc. | Morgan Stanley | (6,203) | (961,363) | (956,068) | (2,978) | |||||
Atmos Energy Corp. | Morgan Stanley | (15,701) | (1,626,995) | (1,509,023) | 69,885 | |||||
CenterPoint Energy, Inc. | Morgan Stanley | (94,979) | (1,960,217) | (2,328,885) | (390,694) | |||||
CMS Energy Corp. | Morgan Stanley | (27,059) | (1,727,785) | (1,598,646) | 85,631 | |||||
Consolidated Edison, Inc. | Morgan Stanley | (35,541) | (2,741,291) | (2,549,001) | 118,164 | |||||
DTE Energy Co. | Morgan Stanley | (10,205) | (1,348,270) | (1,322,568) | (38,528) | |||||
Edison International | Morgan Stanley | (42,569) | (3,061,858) | (2,461,340) | 416,035 | |||||
Entergy Corp. | Morgan Stanley | (23,338) | (2,429,683) | (2,326,799) | 2,575 | |||||
Evergy, Inc. | Morgan Stanley | (40,937) | (2,479,370) | (2,473,823) | (23,439) | |||||
Eversource Energy | Morgan Stanley | (35,549) | (3,057,695) | (2,852,452) | 131,564 | |||||
FirstEnergy Corp. | Morgan Stanley | (56,717) | (1,968,360) | (2,110,440) | (189,892) | |||||
NiSource, Inc. | Morgan Stanley | (135,165) | (3,448,312) | (3,311,543) | 125,051 | |||||
Pinnacle West Capital Corp. | Morgan Stanley | (31,674) | (2,770,865) | (2,596,318) | 76,410 | |||||
PPL Corp. | Morgan Stanley | (76,970) | (2,355,938) | (2,152,851) | 97,935 | |||||
Sempra Energy | Morgan Stanley | (12,527) | (1,565,377) | (1,659,577) | (120,381) | |||||
WEC Energy Group, Inc. | Morgan Stanley | (29,599) | (2,763,025) | (2,632,831) | 53,705 | |||||
Xcel Energy, Inc. | Morgan Stanley | (31,364) | (2,148,665) | (2,066,260) | 27,098 | |||||
(794,574) | (45,096,191) | (43,458,487) | 349,312 | |||||||
Total Reference Entity — Short | (407,886,726) | (416,521,694) | (13,935,100) | |||||||
Net Value of Reference Entity | $(66,585,315) | $23,630,692 | $90,193,021 |
* | Includes $(22,986) related to open trades, dividends receivables/payables and swap receivables/payables activities. |