| Shares | Description | Value | ||
| MONEY MARKET FUNDS – 0.2% | ||||
| 100,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a) | $100,000 | ||
| (Cost $100,000) | ||||
Total Investments – 0.2% | 100,000 | |||
| (Cost $100,000) (b) | ||||
Net Other Assets and Liabilities – 99.8% | 61,050,975 | |
Net Assets – 100.0% | $61,150,975 |
| Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
| Amsterdam Index Futures | 17 | $3,033,860 | Oct–21 | $(69,702) | ||||
| Brent Crude Oil Futures | 11 | 861,410 | Oct–21 | 78,590 | ||||
| Brent Crude Oil Futures | 13 | 1,007,890 | Nov–21 | 50,960 | ||||
| Brent Crude Oil Futures | 12 | 921,120 | Dec–21 | 32,499 | ||||
| Canola Futures | 57 | 792,042 | Jan–22 | (12,931) | ||||
| Corn Futures | 51 | 1,368,713 | Dec–21 | 8,567 | ||||
| Cotton No. 2 Futures | 46 | 2,433,400 | Dec–21 | 246,050 | ||||
| DAX MINI Index Futures | 8 | 708,354 | Dec–21 | (19,351) | ||||
| E-mini Dow Futures | 5 | 843,050 | Dec–21 | (18,950) | ||||
| Euro-BOBL Futures | 8 | 1,250,369 | Dec–21 | (6,225) | ||||
| Euro-Bund Futures | 11 | 2,163,821 | Dec–21 | (17,943) | ||||
| FTSE 100 Index Futures | 14 | 1,334,317 | Dec–21 | 4,215 | ||||
| FTSE MIB Index Futures | 4 | 587,816 | Dec–21 | (9,120) | ||||
| Gasoline RBOB Futures | 6 | 543,337 | Nov–21 | 48,373 | ||||
| Gasoline RBOB Futures | 11 | 987,895 | Dec–21 | 37,316 | ||||
| Gasoline RBOB Futures | 4 | 358,680 | Jan–22 | 5,145 | ||||
| Gold 100 Oz. Futures | 12 | 2,108,400 | Dec–21 | (43,730) | ||||
| ICE ECX Futures | 13 | 929,715 | Dec–21 | 92,225 | ||||
| LME Aluminum Futures | 24 | 1,714,350 | Dec–21 | (12,738) | ||||
| LME Lead Futures | 41 | 2,148,400 | Dec–21 | (109,387) | ||||
| LME Nickel Futures | 5 | 538,095 | Dec–21 | (30) | ||||
| LME Zinc Futures | 8 | 597,400 | Dec–21 | (21,350) | ||||
| Low Sulphur Gasoil “G” Futures | 43 | 2,885,300 | Dec–21 | 202,114 | ||||
| Mexican Peso Currency Futures | 59 | 1,415,705 | Dec–21 | (43,821) | ||||
| MSCI EAFE Index Futures | 7 | 793,450 | Dec–21 | (31,775) | ||||
| Nasdaq 100 E-mini Futures | 6 | 1,761,900 | Dec–21 | (88,062) | ||||
| New Zealand Dollar Currency Futures | 25 | 1,726,125 | Dec–21 | (28,705) | ||||
| S&P 500 E-mini Futures | 5 | 1,074,438 | Dec–21 | (37,115) | ||||
| S&P MidCap 400 E-Mini Futures | 4 | 1,053,280 | Dec–21 | (19,940) | ||||
| S&P TSX 60 IX Futures | 8 | 1,510,943 | Dec–21 | (37,495) | ||||
| Soybean Futures | 23 | 1,444,400 | Nov–21 | (28,740) | ||||
| Soybean Oil Futures | 66 | 2,324,124 | Dec–21 | (26,673) | ||||
| SPI 200 Futures | 18 | 2,372,613 | Dec–21 | (27,321) | ||||
| Sugar #11 (World) Futures | 25 | 569,520 | Feb–22 | 13,749 | ||||
| Swiss Market Index Futures | 11 | 1,369,290 | Dec–21 | (42,545) | ||||
| TOPIX Futures | 4 | 729,772 | Dec–21 | (17,737) | ||||
| U.S. 10-Year Treasury Note Futures | 15 | 1,974,141 | Dec–21 | (15,657) | ||||
| U.S. 2-Year Treasury Note Futures | 7 | 1,540,383 | Dec–21 | (632) | ||||
| U.S. Treasury Bond Futures | 2 | 318,438 | Dec–21 | (8,050) |
| Futures Contracts Long: (Continued) | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
| U.S. Treasury Ultra Bond Futures | 8 | $1,528,500 | Dec–21 | $(65,103) | ||||
| WTI Crude Futures | 11 | 821,700 | Nov–21 | 58,537 | ||||
| $54,446,456 | $17,512 | |||||||
| Futures Contracts Short: | ||||||||
| Australian Dollar Currency Futures | 33 | $(2,387,220) | Dec–21 | $34,440 | ||||
| Brazilian Real Currency Futures | 18 | (329,040) | Oct–21 | 9,463 | ||||
| British Pound Currency Futures | 41 | (3,452,969) | Dec–21 | 55,157 | ||||
| Canadian Dollar Currency Futures | 30 | (2,369,700) | Dec–21 | 720 | ||||
| Cattle Feeder Futures | 16 | (1,220,400) | Oct–21 | 101,500 | ||||
| Cattle Feeder Futures | 11 | (840,950) | Nov–21 | 3,612 | ||||
| Cocoa Futures | 43 | (1,140,360) | Dec–21 | (2,069) | ||||
| Coffee “C” Futures | 15 | (1,091,250) | Dec–21 | (39,301) | ||||
| Copper Futures | 12 | (1,226,700) | Dec–21 | 37,750 | ||||
| Euro FX Currency Futures | 22 | (3,190,000) | Dec–21 | 44,600 | ||||
| Japan 10-Year Bond Futures | 1 | (1,360,079) | Dec–21 | 1,438 | ||||
| Japanese Yen Currency Futures | 38 | (4,265,975) | Dec–21 | 18,173 | ||||
| Kansas City Hard Red Winter Wheat Futures | 22 | (804,925) | Dec–21 | (19,755) | ||||
| Live Cattle Futures | 51 | (2,564,790) | Dec–21 | 53,282 | ||||
| MSCI EMGMKT Index Futures | 40 | (2,491,200) | Dec–21 | 36,755 | ||||
| Natural Gas Futures | 5 | (303,650) | Dec–21 | (11,660) | ||||
| NIKKEI 225 (OSE) Futures | 1 | (264,702) | Dec–21 | (2,785) | ||||
| Palladium Futures | 5 | (949,900) | Dec–21 | 34,913 | ||||
| Platinum Futures | 37 | (1,780,440) | Jan–22 | (45,603) | ||||
| Russell 2000 E-mini Futures | 3 | (330,120) | Dec–21 | 1,410 | ||||
| Silver Futures | 9 | (992,115) | Dec–21 | 48,693 | ||||
| Soybean Meal Futures | 58 | (1,906,460) | Dec–21 | 44,537 | ||||
| Swiss Franc Currency Futures | 10 | (1,342,750) | Dec–21 | 11,726 | ||||
| U.S. 5-Year Treasury Note Futures | 5 | (613,711) | Dec–21 | 1,638 | ||||
| Wheat Futures | 18 | (652,950) | Dec–21 | (16,671) | ||||
| $(37,872,356) | $401,963 | |||||||
| Total | $16,574,100 | $419,475 |
| (a) | Rate shown reflects yield as of September 30, 2021. |
| (b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of September 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,418,147 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $998,672. The net unrealized appreciation was $419,475. The amounts presented are inclusive of derivative contracts. |
| • | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
| • | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
| • | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
| ASSETS TABLE | ||||
| Total Value at 9/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $ 100,000 | $ 100,000 | $ — | $ — |
Futures Contracts | 1,418,147 | 1,418,147 | — | — |
Total | $ 1,518,147 | $ 1,518,147 | $— | $— |
| LIABILITIES TABLE | ||||
| Total Value at 9/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (998,672) | $ (998,672) | $ — | $ — |