NPORT-EX 2 NPORT_261934736032196.htm HTML

Consolidated Portfolio of Investments – as of September 30, 2020 (Unaudited)

AlphaSimplex Global Alternatives Fund

 

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Description

    Value (†)  
 

Common Stocks – 35.0% of Net Assets

  
  

Aerospace & Defense – 0.3%

 

  15,760      Howmet Aerospace, Inc.    $ 263,507  
  2,205      Lockheed Martin Corp.      845,132  
  14,270      Raytheon Technologies Corp.      821,096  
     

 

 

  
        1,929,735  
     

 

 

  
  

Air Freight & Logistics – 0.4%

 

  8,809      C.H. Robinson Worldwide, Inc.      900,192  
  15,991      Expeditors International of Washington, Inc.      1,447,505  
     

 

 

  
        2,347,697  
     

 

 

  
  

Automobiles – 0.1%

 

  850      Tesla, Inc.(a)      364,659  
     

 

 

  
  

Banks – 0.3%

 

  14,717      Citigroup, Inc.      634,450  
  103,156      Dime Community Bancshares, Inc.      1,166,694  
     

 

 

  
        1,801,144  
     

 

 

  
  

Beverages – 0.5%

 

  19,539      Coca-Cola Co. (The)      964,640  
  32,388      Keurig Dr Pepper, Inc.      893,909  
  7,587      PepsiCo, Inc.      1,051,558  
     

 

 

  
        2,910,107  
     

 

 

  
  

Biotechnology – 0.4%

 

  2,405      Alnylam Pharmaceuticals, Inc.(a)      350,168  
  113,656      Immatics NV(a)      1,205,890  
  408      Regeneron Pharmaceuticals, Inc.(a)      228,390  
  1,707      Seattle Genetics, Inc.(a)      334,043  
     

 

 

  
        2,118,491  
     

 

 

  
  

Building Products – 0.4%

 

  7,010      Allegion PLC      693,359  
  8,147      Fortune Brands Home & Security, Inc.      704,879  
  6,278      Masonite International Corp.(a)      617,755  
  39,489      Resideo Technologies, Inc.(a)      434,379  
     

 

 

  
        2,450,372  
     

 

 

  
  

Capital Markets – 1.8%

 

  5,116      Blackstone Group, Inc. (The), Class A      267,055  
  32,094      Houlihan Lokey, Inc.      1,895,151  
  2,205      MarketAxess Holdings, Inc.      1,061,906  
  7,151      Morningstar, Inc.      1,148,522  
  2,722      Nasdaq, Inc.      334,017  
  41,384      Open Lending Corp., Class A(a)      1,055,292  
  16,196      PJT Partners, Inc., Class A      981,639  
  12,333      SEI Investments Co.      625,530  
  72,248      TD Ameritrade Holding Corp.      2,828,509  
     

 

 

  
        10,197,621  
     

 

 

  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Chemicals – 0.6%

 

  34,093      Axalta Coating Systems Ltd.(a)    $ 755,842  
  5,480      Ecolab, Inc.      1,095,123  
  2,687      NewMarket Corp.      919,814  
  59,455      Orion Engineered Carbons S.A.      743,782  
     

 

 

  
        3,514,561  
     

 

 

  
  

Commercial Services & Supplies – 0.8%

 

  29,530      ADT, Inc.      241,260  
  2,094      Cintas Corp.      696,946  
  2,909      Copart, Inc.(a)      305,910  
  14,459      IAA, Inc.(a)      752,880  
  4,193      Republic Services, Inc.      391,417  
  15,671      Ritchie Bros. Auctioneers, Inc.      928,507  
  11,736      Rollins, Inc.      635,974  
  3,067      Waste Management, Inc.      347,092  
     

 

 

  
        4,299,986  
     

 

 

  
  

Communications Equipment – 0.2%

 

  37,202      Radware Ltd.(a)      901,777  
  1,899      Ubiquiti, Inc.      316,487  
     

 

 

  
        1,218,264  
     

 

 

  
  

Construction & Engineering – 0.2%

 

  23,351      AECOM(a)      977,006  
     

 

 

  
  

Construction Materials – 0.1%

 

  10,000      Eagle Materials, Inc.      863,200  
     

 

 

  
  

Consumer Finance – 0.4%

 

  2,151      Credit Acceptance Corp.(a)      728,415  
  10,999      FirstCash, Inc.      629,253  
  9,881      Green Dot Corp., Class A(a)      500,077  
  13,055      Synchrony Financial      341,649  
     

 

 

  
        2,199,394  
     

 

 

  
  

Containers & Packaging – 0.3%

 

  4,846      Avery Dennison Corp.      619,513  
  25,841      Silgan Holdings, Inc.      950,173  
     

 

 

  
        1,569,686  
     

 

 

  
  

Distributors – 0.1%

 

  25,978      LKQ Corp.(a)      720,370  
     

 

 

  
  

Diversified Consumer Services – 0.1%

 

  4,481      Chegg, Inc.(a)      320,123  
     

 

 

  
  

Diversified Financial Services – 0.2%

 

  3      Berkshire Hathaway, Inc., Class A(a)      960,003  
     

 

 

  
  

Diversified Telecommunication Services – 0.6%

 

  83,877      AT&T, Inc.      2,391,333  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Diversified Telecommunication Services – continued

 

  16,133      Verizon Communications, Inc.    $ 959,752  
     

 

 

  
        3,351,085  
     

 

 

  
  

Electric Utilities – 1.1%

 

  7,693      Alliant Energy Corp.      397,343  
  4,463      American Electric Power Co., Inc.      364,761  
  8,112      Avangrid, Inc.      409,332  
  4,740      Duke Energy Corp.      419,774  
  2,511      Entergy Corp.      247,409  
  4,446      Eversource Energy      371,463  
  33,438      Exelon Corp.      1,195,743  
  10,424      Hawaiian Electric Industries, Inc.      346,494  
  4,269      IDACORP, Inc.      341,093  
  976      NextEra Energy, Inc.      270,899  
  12,063      OGE Energy Corp.      361,769  
  4,733      Pinnacle West Capital Corp.      352,845  
  9,004      Portland General Electric Co.      319,642  
  7,156      Southern Co. (The)      387,998  
  4,780      Xcel Energy, Inc.      329,868  
     

 

 

  
        6,116,433  
     

 

 

  
  

Electrical Equipment – 0.7%

 

  10,016      Emerson Electric Co.      656,749  
  5,257      Generac Holdings, Inc.(a)      1,017,966  
  51,687      Vivint Solar, Inc.(a)      2,188,944  
     

 

 

  
        3,863,659  
     

 

 

  
  

Electronic Equipment, Instruments & Components – 0.3%

 

  5,151      Amphenol Corp., Class A      557,699  
  4,878      CDW Corp.      583,067  
  60,281      Flex Ltd.(a)      671,530  
     

 

 

  
        1,812,296  
     

 

 

  
  

Entertainment – 0.4%

 

  71,100      Lions Gate Entertainment Corp., Class A(a)      674,028  
  2,834      Madison Square Garden Sports Corp., Class A(a)      426,460  
  7,638      Walt Disney Co. (The)      947,723  
     

 

 

  
        2,048,211  
     

 

 

  
  

Food & Staples Retailing – 0.4%

 

  3,325      Costco Wholesale Corp.      1,180,375  
  5,192      Sysco Corp.      323,046  
  7,612      U.S. Foods Holding Corp.(a)      169,139  
  6,299      Walmart, Inc.      881,293  
     

 

 

  
        2,553,853  
     

 

 

  
  

Food Products – 1.7%

 

  33,287      Conagra Brands, Inc.      1,188,679  
  14,492      Flowers Foods, Inc.      352,590  
  5,892      General Mills, Inc.      363,419  
  32,938      Hain Celestial Group, Inc. (The)(a)      1,129,773  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Food Products – continued

 

  2,326      Hershey Co. (The)    $ 333,409  
  7,728      Hormel Foods Corp.      377,822  
  68,422      Hostess Brands, Inc.(a)      843,643  
  5,189      Kellogg Co.      335,158  
  1,662      McCormick & Co., Inc.      322,594  
  27,089      Mondelez International, Inc., Class A      1,556,263  
  34,068      Nomad Foods Ltd.(a)      868,053  
  13,066      Post Holdings, Inc.(a)      1,123,676  
  27,726      Tootsie Roll Industries, Inc.      856,733  
     

 

 

  
        9,651,812  
     

 

 

  
  

Gas Utilities – 0.1%

 

  3,865      Atmos Energy Corp.      369,455  
  6,054      Spire, Inc.      322,073  
     

 

 

  
        691,528  
     

 

 

  
  

Health Care Equipment & Supplies – 1.1%

 

  23,223      Baxter International, Inc.      1,867,594  
  9,492      Danaher Corp.      2,043,912  
  822      DexCom, Inc.(a)      338,853  
  1,350      Insulet Corp.(a)      319,397  
  8,245      Medtronic PLC      856,820  
  13,391      Merit Medical Systems, Inc.(a)      582,509  
  1,529      Quidel Corp.(a)      335,432  
     

 

 

  
        6,344,517  
     

 

 

  
  

Health Care Providers & Services – 0.6%

 

  6,424      DaVita, Inc.(a)      550,216  
  8,427      Magellan Health, Inc.(a)      638,598  
  35,832      MEDNAX, Inc.(a)      583,345  
  7,647      Quest Diagnostics, Inc.      875,505  
  2,221      UnitedHealth Group, Inc.      692,441  
     

 

 

  
        3,340,105  
     

 

 

  
  

Health Care Technology – 0.8%

 

  35,765      Cerner Corp.      2,585,452  
  14,947      Livongo Health, Inc.(a)      2,093,327  
     

 

 

  
        4,678,779  
     

 

 

  
  

Hotels, Restaurants & Leisure – 0.9%

 

  191      Chipotle Mexican Grill, Inc.(a)      237,548  
  5,634      Cracker Barrel Old Country Store, Inc.      645,994  
  10,715      Hilton Worldwide Holdings, Inc.      914,204  
  4,245      McDonald’s Corp.      931,735  
  13,078      Starbucks Corp.      1,123,662  
  12,316      Yum! Brands, Inc.      1,124,451  
     

 

 

  
        4,977,594  
     

 

 

  
  

Household Products – 0.8%

 

  3,858      Church & Dwight Co., Inc.      361,533  
  1,667      Clorox Co. (The)      350,353  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Household Products – continued

 

  4,220      Colgate-Palmolive Co.    $ 325,573  
  2,198      Kimberly-Clark Corp.      324,557  
  15,976      Procter & Gamble Co. (The)      2,220,504  
  4,734      WD-40 Co.      896,194  
     

 

 

  
        4,478,714  
     

 

 

  
  

Independent Power & Renewable Electricity Producers – 0.1%

 

  13,322      Atlantica Sustainable Infrastructure PLC      381,142  
     

 

 

  
  

Industrial Conglomerates – 0.1%

 

  19,703      General Electric Co.      122,750  
  3,882      Honeywell International, Inc.      639,016  
     

 

 

  
        761,766  
     

 

 

  
  

Insurance – 1.1%

 

  4,750      Aon PLC, Class A      979,925  
  8,938      Brown & Brown, Inc.      404,623  
  2,905      Erie Indemnity Co., Class A      610,864  
  12,616      Hanover Insurance Group, Inc. (The)      1,175,559  
  12,700      Marsh & McLennan Cos., Inc.      1,456,690  
  6,003      Progressive Corp. (The)      568,304  
  1,496      White Mountains Insurance Group Ltd.      1,165,384  
     

 

 

  
        6,361,349  
     

 

 

  
  

Internet & Direct Marketing Retail – 0.5%

 

  443      Amazon.com, Inc.(a)      1,394,888  
  24,272      eBay, Inc.      1,264,571  
     

 

 

  
        2,659,459  
     

 

 

  
  

IT Services – 2.4%

 

  8,971      Accenture PLC, Class A      2,027,356  
  19,279      Amdocs Ltd.      1,106,807  
  12,519      Black Knight, Inc.(a)      1,089,779  
  16,254      Booz Allen Hamilton Holding Corp.      1,348,757  
  11,469      Broadridge Financial Solutions, Inc.      1,513,908  
  6,698      Fidelity National Information Services, Inc.      986,013  
  5,341      Jack Henry & Associates, Inc.      868,393  
  27,105      KBR, Inc.      606,068  
  16,524      MAXIMUS, Inc.      1,130,407  
  8,866      Paychex, Inc.      707,241  
  39,000      Perspecta, Inc.      758,550  
  3,422      Visa, Inc., Class A      684,297  
  2,667      Wix.com Ltd.(a)      679,685  
     

 

 

  
        13,507,261  
     

 

 

  
  

Leisure Products – 0.2%

 

  11,123      Brunswick Corp.      655,256  
  33,020      Callaway Golf Co.      632,003  
     

 

 

  
        1,287,259  
     

 

 

  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Life Sciences Tools & Services – 0.2%

 

  12,438      Agilent Technologies, Inc.    $ 1,255,492  
     

 

 

  
  

Machinery – 0.6%

 

  12,028      Donaldson Co., Inc.      558,340  
  14,465      Hillenbrand, Inc.      410,227  
  7,266      Lincoln Electric Holdings, Inc.      668,763  
  11,494      Toro Co. (The)      964,921  
  43,865      Trinity Industries, Inc.      855,368  
     

 

 

  
        3,457,619  
     

 

 

  
  

Media – 0.7%

 

  34,082      Altice USA, Inc., Class A(a)      886,132  
  3,664      Charter Communications, Inc., Class A(a)      2,287,582  
  2,078      Liberty Broadband Corp.(a)      294,681  
  33,270      Loral Space & Communications, Inc.      608,841  
     

 

 

  
        4,077,236  
     

 

 

  
  

Multi-Utilities – 0.6%

 

  3,371      Ameren Corp.      266,579  
  6,324      CMS Energy Corp.      388,357  
  5,273      Consolidated Edison, Inc.      410,239  
  3,304      Dominion Energy, Inc.      260,785  
  3,502      DTE Energy Co.      402,870  
  16,048      NiSource, Inc.      353,056  
  7,121      NorthWestern Corp.      346,365  
  7,091      Public Service Enterprise Group, Inc.      389,367  
  3,129      Sempra Energy      370,349  
  3,618      WEC Energy Group, Inc.      350,584  
     

 

 

  
        3,538,551  
     

 

 

  
  

Multiline Retail – 0.1%

 

  4,206      Dollar General Corp.      881,662  
     

 

 

  
  

Oil, Gas & Consumable Fuels – 1.3%

 

  16,566      Cheniere Energy, Inc.(a)      766,509  
  221,523      CNX Resources Corp.(a)      2,091,174  
  36,208      CVR Energy, Inc.      448,255  
  21,897      Enviva Partners LP      881,573  
  50,407      Holly Energy Partners LP      611,437  
  18,084      Magellan Midstream Partners LP      618,473  
  265,014      Noble Energy, Inc.      2,265,870  
     

 

 

  
        7,683,291  
     

 

 

  
  

Personal Products – 0.2%

 

  2,606      Estee Lauder Cos., Inc. (The), Class A      568,760  
  3,925      Medifast, Inc.      645,466  
     

 

 

  
        1,214,226  
     

 

 

  
  

Pharmaceuticals – 0.7%

 

  15,880      Bristol-Myers Squibb Co.      957,405  
  5,708      Eli Lilly & Co.      844,898  
  4,069      Horizon Therapeutics PLC(a)      316,080  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Pharmaceuticals – continued

 

  6,426     

Johnson & Johnson

    $ 956,703  
  22,905     

Pfizer, Inc.

      840,614  
     

 

 

  
        3,915,700  
     

 

 

  
  

Professional Services – 0.6%

 

  8,925     

Exponent, Inc.

      642,868  
  11,979     

IHS Markit Ltd.

      940,471  
  58,173     

Nielsen Holdings PLC

      824,893  
  9,303     

Robert Half International, Inc.

      492,501  
  2,135     

Verisk Analytics, Inc.

      395,637  
     

 

 

  
        3,296,370  
     

 

 

  
  

Real Estate Management & Development – 0.2%

 

  18,392     

CBRE Group, Inc., Class A(a)

      863,872  
  5,667     

Howard Hughes Corp. (The)(a)

      326,419  
     

 

 

  
        1,190,291  
     

 

 

  
  

REITs - Apartments – 0.3%

 

  14,081     

American Homes 4 Rent, Class A

      401,027  
  4,306     

Camden Property Trust

      383,148  
  6,855     

Equity Residential

      351,867  
  2,964     

Mid-America Apartment Communities, Inc.

      343,676  
     

 

 

  
        1,479,718  
     

 

 

  
  

REITs - Health Care – 0.1%

 

  5,803     

Welltower, Inc.

      319,687  
     

 

 

  
  

REITs - Hotels – 0.1%

 

  23,468     

MGM Growth Properties LLC, Class A

      656,635  
     

 

 

  
  

REITs - Manufactured Homes – 0.1%

 

  6,093     

Equity LifeStyle Properties, Inc.

      373,501  
     

 

 

  
  

REITs - Mortgage – 0.6%

 

  82,555     

AGNC Investment Corp.

      1,148,340  
  116,883     

Broadmark Realty Capital, Inc.

      1,152,467  
  69,361     

KKR Real Estate Finance Trust, Inc.

      1,146,537  
     

 

 

  
        3,447,344  
     

 

 

  
  

REITs - Office Property – 0.2%

 

  2,342     

Alexandria Real Estate Equities, Inc.

      374,720  
  30,394     

Equity Commonwealth

      809,392  
     

 

 

  
        1,184,112  
     

 

 

  
  

REITs - Shopping Centers – 0.2%

 

  3,979     

Alexander’s, Inc.

      975,730  
     

 

 

  
  

REITs - Storage – 0.2%

 

  8,605     

CubeSmart

      278,027  
  3,402     

Extra Space Storage, Inc.

      363,980  
  2,501     

Life Storage, Inc.

      263,280  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

REITs - Storage – continued

 

  1,723     

Public Storage

    $ 383,747  
     

 

 

  
        1,289,034  
     

 

 

  
  

REITs - Warehouse/Industrials – 0.1%

 

  7,237     

Terreno Realty Corp.

      396,298  
     

 

 

  
  

Road & Rail – 0.6%

 

  8,075     

CSX Corp.

      627,185  
  4,175     

Landstar System, Inc.

      523,921  
  4,312     

Old Dominion Freight Line, Inc.

      780,127  
  19,744     

Uber Technologies, Inc.(a)

      720,261  
  3,301     

Union Pacific Corp.

      649,868  
     

 

 

  
        3,301,362  
     

 

 

  
  

Semiconductors & Semiconductor Equipment – 0.8%

 

  3,493     

Advanced Micro Devices, Inc.(a)

      286,391  
  44,165     

Maxim Integrated Products, Inc.

      2,985,996  
  1,110     

Monolithic Power Systems, Inc.

      310,367  
  2,220     

Qorvo, Inc.(a)

      286,402  
  1,612     

SolarEdge Technologies, Inc.(a)

      384,220  
  4,172     

Teradyne, Inc.

      331,507  
     

 

 

  
        4,584,883  
     

 

 

  
  

Software – 2.7%

 

  15,087     

2U, Inc.(a)

      510,846  
  29,227     

Box, Inc., Class A(a)

      507,381  
  7,848     

Check Point Software Technologies Ltd.(a)

      944,428  
  8,344     

Citrix Systems, Inc.

      1,149,052  
  22,802     

CommVault Systems, Inc.(a)

      930,322  
  1,101     

Coupa Software, Inc.(a)

      301,938  
  3,810     

Datadog, Inc., Class A(a)

      389,230  
  1,476     

DocuSign, Inc.(a)

      317,694  
  66,886     

NortonLifeLock, Inc.

      1,393,904  
  53,419     

Open Text Corp.

      2,256,418  
  18,008     

Oracle Corp.

      1,075,078  
  7,164     

Pegasystems, Inc.

      867,130  
  11,394     

PTC, Inc.(a)

      942,512  
  995     

RingCentral, Inc., Class A(a)

      273,237  
  3,756     

salesforce.com, Inc.(a)

      943,958  
  1,725     

ServiceNow, Inc.(a)

      836,625  
  3,539     

Tyler Technologies, Inc.(a)

      1,233,554  
  770     

Zoom Video Communications, Inc., Class A(a)

      361,985  
     

 

 

  
        15,235,292  
     

 

 

  
  

Specialty Retail – 0.7%

 

  5,787     

Advance Auto Parts, Inc.

      888,305  
  5,807     

Best Buy Co., Inc.

      646,261  
  5,350     

Lowe’s Cos., Inc.

      887,351  
  22,366     

Rent-A-Center, Inc.

      668,520  
  7,414     

Ross Stores, Inc.

      691,874  

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Description

    Value (†)  
 

Common Stocks – continued

  
  

Specialty Retail – continued

 

  1,678     

Ulta Beauty, Inc.(a)

    $ 375,838  
     

 

 

  
        4,158,149  
     

 

 

  
  

Technology Hardware, Storage & Peripherals – 0.2%

 

  22,196     

Seagate Technology PLC

      1,093,597  
     

 

 

  
  

Textiles, Apparel & Luxury Goods – 0.1%

 

  5,912     

NIKE, Inc., Class B

      742,193  
     

 

 

  
  

Thrifts & Mortgage Finance – 0.5%

 

  85,787     

Columbia Financial, Inc.(a)

      952,236  
  18,134     

Essent Group Ltd.

      671,139  
  76,689     

TFS Financial Corp.

      1,126,561  
     

 

 

  
        2,749,936  
     

 

 

  
  

Trading Companies & Distributors – 1.0%

 

  65,104     

BMC Stock Holdings, Inc.(a)

      2,788,404  
  19,292     

HD Supply Holdings, Inc.(a)

      795,602  
  3,967     

United Rentals, Inc.(a)

      692,242  
  1,805     

W.W. Grainger, Inc.

      643,970  
  4,051     

Watsco, Inc.

      943,437  
     

 

 

  
        5,863,655  
     

 

 

  
  

Water Utilities – 0.0%

 

  1,859     

American Water Works Co., Inc.

      269,332  
     

 

 

  
  

Wireless Telecommunication Services – 0.2%

 

  9,558     

T-Mobile US, Inc.(a)

      1,093,053  
     

 

 

  
   Total Common Stocks
(Identified Cost $188,060,004)		      199,353,190  
     

 

 

  
 

Exchange-Traded Funds – 1.3%

  
  86,120      iShares® iBoxx $ High Yield Corporate Bond ETF
(Identified Cost $7,337,437)		      7,225,468  
     

 

 

  

 

Principal
Amount

  
 

Short-Term Investments – 55.7%

  
  

Certificates of Deposit – 30.2%

 

  $10,000,000      National Bank of Kuwait (NY),
0.210%, 10/01/2020		      10,000,036  
  20,000,000      Sumitomo Mitsui Trust Bank (NY),
0.090%, 10/06/2020		      19,999,937  
  15,000,000      Landesbank Baden-Wuerttemberg (NY),
0.190%, 10/06/2020(b)		      15,000,142  
  21,000,000      DNB Nor Bank ASA (NY),
0.080%, 10/08/2020		      20,999,907  
  20,000,000      Sumitomo Mitsui Banking Corp. (NY),
1-month LIBOR + 0.150%, 0.301%, 10/13/2020(c)		      20,001,149  
  14,000,000      Toronto-Dominion Bank (NY),
1-month LIBOR + 0.310%, 0.466%, 10/20/2020(c)		      14,002,498  

Principal
Amount

     

Description

    Value (†)  
  

Certificates of Deposit – continued

 

  $5,000,000      Landesbank Hessen-Thueringen Girozentrale (NY),
0.200%, 10/27/2020(b)		    $ 5,000,333  
  17,000,000      Credit Industriel et Commercial (NY),
0.140%, 12/01/2020		      17,001,346  
  20,000,000      BNP Paribas (NY),
0.220%, 12/01/2020(b)		      20,002,994  
  20,000,000      Mizuho Bank Ltd. (NY),
0.240%, 12/02/2020(b)		      20,002,797  
  5,000,000      DZ Bank (NY),
0.160%, 12/03/2020		      5,000,142  
  5,000,000      Royal Bank of Canada (NY),
3-month LIBOR + 0.110%, 0.360%, 6/11/2021(b)(c)		      5,003,815  
     

 

 

  
        172,015,096  
     

 

 

  
  

Time Deposits – 9.5%

 

  21,300,000      Skandinaviska Enskilda Banken (NY),
0.040%, 10/01/2020		      21,300,000  
  11,300,000      National Bank of Kuwait (NY),
0.060%, 10/01/2020		      11,300,000  
  21,300,000      Canadian Imperial Bank of Commerce,
0.080%, 10/01/2020		      21,300,000  
     

 

 

  
        53,900,000  
     

 

 

  
  

Treasuries – 5.8%

 

  10,000,000      U.S. Treasury Bills,
0.080%, 10/08/2020(d)(e)		      9,999,876  
  8,000,000      U.S. Treasury Bills,
0.090%, 11/05/2020(d)(e)		      7,999,319  
  15,000,000      U.S. Treasury Bills,
0.080%, 11/19/2020(d)		      14,998,163  
     

 

 

  
        32,997,358  
     

 

 

  
  

Commercial Paper – 3.7%

 

  21,000,000      Cooperatieve Rabobank UA,
0.080%, 10/06/2020(d)		      20,999,661  
     

 

 

  
  

Repurchase Agreements – 6.5%

 

  36,687,304     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $36,687,304 on 10/01/2020 collateralized by $548,100 U.S. Treasury Inflation Indexed Note, 0.125% due 4/15/2021 valued at $601,856; $36,860,300 U.S. Treasury Bills, Zero Coupon due 9/09/2021 valued at $36,819,348 including accrued interest(f)

(Identified Cost $36,687,304)

      36,687,304  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $316,584,814)		      316,599,419  
     

 

 

  
   Total Investments – 92.0%
(Identified Cost $511,982,255)		      523,178,077  
   Other assets less liabilities – 8.0%      45,675,409  
     

 

 

  
  

Net Assets – 100.0%

    $ 568,853,486  
     

 

 

  

Consolidation

The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2020, the value of the Fund’s investment in the Subsidiary was $12,957,085, representing 2.28% of the Fund’s net assets.

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of September 30, 2020, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:

 

Notional Value

    Unrealized Appreciation/
Depreciation*		    Unrealized as a Percentage
of Net Assets

$53,281,150

    $1,395,732    0.25%

 

*

Amount represents gross unrealized appreciation/(depreciation) at absolute value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)

Non-income producing security.

(b)

Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(c)

Variable rate security. Rate as of September 30, 2020 is disclosed.

(d)

Interest rate represents discount rate at time of purchase; not a coupon rate.

(e)

Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(f)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

ETF    Exchange-Traded Fund
LIBOR    London Interbank Offered Rate
REITs    Real Estate Investment Trusts
CHF    Swiss Franc
NOK    Norwegian Krone
NZD    New Zealand Dollar
PLN    Polish Zloty
SEK    Swedish Krona
SGD    Singapore Dollar
ZAR    South African Rand

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

At September 30, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty

   

Delivery
Date

   

Currency
Bought/
Sold (B/S)

   

Units
of
Currency

   

In Exchange
for

   

Notional
Value

   

Unrealized
Appreciation
(Depreciation)

UBS AG

    12/16/2020    CHF    B    8,500,000    $        9,182,326    $        9,249,419    $        67,093 

UBS AG

    12/16/2020    CHF    B    39,000,000    42,622,508    42,438,509    (183,999)

UBS AG

    12/16/2020    CHF    S    23,750,000    26,054,476    25,843,964    210,512 

UBS AG

    12/16/2020    NOK    B    64,000,000    7,093,088    6,862,748    (230,340)

UBS AG

    12/16/2020    NOK    S    6,000,000    660,435    643,383    17,052 

UBS AG

    12/16/2020    NOK    S    22,000,000    2,319,518    2,359,070    (39,552)

UBS AG

    12/16/2020    NZD    B    81,000,000    53,750,226    53,582,103    (168,123)

UBS AG

    12/16/2020    NZD    S    19,100,000    12,775,069    12,634,792    140,277

UBS AG

    12/16/2020    NZD    S    15,000,000    9,819,719    9,922,612    (102,893)

UBS AG

    12/16/2020    PLN    B    8,000,000    2,128,520    2,070,077    (58,443)

UBS AG

    12/16/2020    SEK    B    268,000,000    30,551,627    29,952,470    (599,157)

UBS AG

    12/16/2020    SEK    S    44,000,000    4,866,351    4,917,570    (51,219)

UBS AG

    12/16/2020    SGD    B    1,875,000    1,369,182    1,373,711    4,529 

UBS AG

    12/16/2020    SGD    B    3,375,000    2,473,242    2,472,680    (562)

UBS AG

    12/17/2020    ZAR    S    19,500,000    1,136,577    1,153,802    (17,225)
                    

 

Total

    $(1,012,050)
  

 

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

2 Year U.S. Treasury Note

      12/31/2020        2,573      $ 568,374,038      $ 568,532,493      $ 158,455  

3 Year Australia Government Bond

      12/15/2020        374        31,360,747        31,423,727        62,980  

5 Year U.S. Treasury Note

      12/31/2020        617        77,737,992        77,761,281        23,289  

10 Year Australia Government Bond

      12/15/2020        469        49,816,847        50,184,207        367,360  

10 Year Canada Government Bond

      12/18/2020        479        54,717,502        54,610,784        (106,718 ) 

10 Year U.S. Treasury Note

      12/21/2020        879        122,591,485        122,647,969        56,484  

AEX-Index®

      10/16/2020        8        1,042,073        1,027,216        (14,857 ) 

British Pound

      12/14/2020        192        15,441,550        15,484,800        43,250  

Canadian Dollar

      12/15/2020        33        2,465,980        2,479,290        13,310  

DAX

      12/18/2020        60        23,097,407        22,474,103        (623,304 ) 

E-mini NASDAQ 100

      12/18/2020        8        1,767,730        1,825,160        57,430  

E-mini Russell 2000

      12/18/2020        686        51,321,537        51,600,920        279,383  

E-mini S&P MidCap 400®

      12/18/2020        7        1,265,590        1,299,130        33,540  

EURO STOXX 50®

      12/18/2020        115        4,456,997        4,306,525        (150,472 ) 

Euro-BTP

      12/08/2020        415        71,071,044        71,807,507        736,463  

Euro-Buxl® 30 Year Bond

      12/08/2020        8        2,030,308        2,088,649        58,341  

Euribor

      12/14/2020        48        14,141,855        14,140,448        (1,407 ) 

Eurodollar

      3/15/2021        146        36,421,812        36,428,825        7,013  

FTSE 100 Index

      12/18/2020        213        16,594,239        16,055,034        (539,205 ) 

German Euro BOBL

      12/08/2020        69        10,917,231        10,935,123        17,892  

Hang Seng Index®

      10/29/2020        7        1,051,619        1,058,122        6,503  

Indian Rupee

      10/27/2020        158        4,276,468        4,275,480        (988 ) 

MSCI EAFE Index

      12/18/2020        15        1,415,435        1,389,900        (25,535 ) 

MSCI Emerging Markets Index

      12/18/2020        134        7,312,875        7,292,950        (19,925 ) 

Nikkei 225™

      12/10/2020        7        1,529,726        1,539,184        9,458  

OMXS30®

      10/16/2020        99        2,010,506        2,024,305        13,799  

S&P/TSX 60 Index

      12/17/2020        13        1,865,082        1,877,436        12,354  

Sterling

      12/16/2020        340        54,798,712        54,795,970        (2,742 ) 

Short-Term Euro-BTP

      12/08/2020        105        13,916,756        13,944,355        27,599  

TOPIX

      12/10/2020        9        1,378,623        1,387,142        8,519  

UK Long Gilt

      12/29/2020        81        14,269,495        14,225,984        (43,511 ) 

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

U.S. Dollar Index

      12/14/2020        288      $ 26,695,872      $ 27,050,976      $ 355,104  
              

 

 

  

Total

 

    $ 819,862  
  

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/16/2020        162      $ 7,218,049      $ 7,145,213      $ (72,836 ) 

Cocoa

      12/15/2020        9        235,060        229,140        (5,920 ) 

Coffee

      12/18/2020        77        3,637,987        3,203,681        (434,306 ) 

Copper LME

      12/16/2020        178        28,930,259        29,702,638        772,379  

Cotton

      12/08/2020        255        8,424,835        8,388,225        (36,610 ) 

Gold

      12/29/2020        185        35,000,350        35,066,750        66,400  

New York Harbor ULSD

      10/30/2020        104        4,927,646        5,032,810        105,164  

Nickel LME

      12/16/2020        72        6,255,123        6,270,480        15,357  

Soybean Meal

      12/14/2020        129        4,390,060        4,422,120        32,060  

Soybean Oil

      12/14/2020        306        6,287,700        6,082,668        (205,032 ) 

Sugar

      2/26/2021        532        7,635,723        8,049,798        414,075  

Wheat

      12/14/2020        19        513,563        549,100        35,537  

WTI Crude Oil

      10/20/2020        6        237,990        241,320        3,330  

Zinc LME

      12/16/2020        141        8,374,489        8,467,932        93,443  
              

 

 

  

Total

 

    $ 783,041  
  

 

 

  

 

At September 30, 2020, open short futures contracts were as follows:

 

 

Financial and Currency Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

30 Year U.S. Treasury Bond

      12/21/2020        181      $ 32,124,719      $ 31,906,906      $ 217,813  

Australian Dollar

      12/14/2020        37        2,699,820        2,650,310        49,510  

Brazilian Real

      10/30/2020        91        1,632,310        1,617,980        14,330  

E-mini S&P 500®

      12/18/2020        426        72,293,000        71,397,600        895,400  

Euro

      12/14/2020        219        32,058,900        32,125,931        (67,031 ) 

Euro-OAT

      12/08/2020        446        87,702,796        88,136,919        (434,123 ) 

FTSE/JSE Top 40 Index

      12/17/2020        1        30,242        30,079        163  

German Euro Bund

      12/08/2020        732        149,219,793        149,778,864        (559,071 ) 

IBEX 35

      10/16/2020        8        659,726        631,285        28,441  

Japanese Yen

      12/14/2020        173        20,517,106        20,516,719        387  

Mexican Peso

      12/14/2020        49        1,115,130        1,098,825        16,305  

MSCI Singapore

      10/29/2020        69        1,429,992        1,428,981        1,011  
              

 

 

  

Total

 

    $ 163,135  
  

 

 

  

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Aluminum LME

      12/16/2020        255      $ 11,260,293      $ 11,247,094      $ 13,199  

Copper

      12/29/2020        131        9,942,838        9,931,438        11,400  

Copper LME

      12/16/2020        27        4,385,971        4,505,456        (119,485 ) 

Corn

      12/14/2020        652        11,514,962        12,355,400        (840,438 ) 

Live Cattle

      12/31/2020        17        752,210        763,980        (11,770 ) 

Commodity Futures1

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Low Sulfur Gasoil

      11/12/2020        186      $ 6,414,950      $ 6,207,750      $ 207,200  

Natural Gas

      10/28/2020        89        2,658,430        2,249,030        409,400  

Nickel LME

      12/16/2020        30        2,639,880        2,612,700        27,180  

Silver

      12/29/2020        13        1,773,425        1,527,110        246,315  

Soybean

      11/13/2020        56        2,805,625        2,865,800        (60,175 ) 

Zinc LME

      12/16/2020        98        5,959,166        5,885,512        73,654  
              

 

 

  

Total

 

    $ (43,520 ) 
  

 

 

  

 

1 

Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Swap Agreements

The Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss.

Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.

At September 30, 2020, the Fund had the following open swap agreements:

Bilateral Equity Basket Total Return Swaps (a)

 

Reference Entity

   

Counterparty

    Expiration Date    Notional Amount      Unrealized
Appreciation
(Depreciation)		      Value of Reference
Entities		      Notional
Amount
Net Asset
Percentage		  

Equity Securities Short

    Morgan Stanley Capital Services LLC    5/19/2021    $ (94,536,500 )     $ —        $ (94,536,500 )       (16.6 %) 
        

 

 

     

 

 

     

 

 

     

 

(a)

The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.84% as calculated on the notional amount.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2020:

 

Common Stocks - Short

    Shares      Value      % of Basket Value  

Aerospace & Defense

 

Axon Enterprise, Inc.

      (3,491 )     $ (316,634 )       (0.3 %) 

Boeing Co. (The)

      (1,615 )       (266,895 )       (0.3 %) 

Hexcel Corp.

      (6,843 )       (229,582 )       (0.2 %) 

Spirit AeroSystems Holdings, Inc.

      (12,953 )       (244,941 )       (0.3 %) 
     

 

 

     
                           (1,058,052)         

Common Stocks - Short

    Shares     Value     % of Basket Value  

Air Freight & Logistics

       

FedEx Corp.

      (2,273 )      (571,704 )      (0.6 %) 

XPO Logistics, Inc.

      (3,615 )      (306,046 )      (0.3 %) 
    

 

 

    
       (877,750 )   

Airlines

       

Alaska Air Group, Inc.

      (7,325 )      (268,315 )      (0.3 %) 

Delta Air Lines, Inc.

      (27,145 )      (830,094 )      (0.9 %) 

JetBlue Airways Corp.

      (26,403 )      (299,146 )      (0.3 %) 

Southwest Airlines Co.

      (15,329 )      (574,837 )      (0.6 %) 

United Airlines Holdings, Inc.

      (16,629 )      (577,858 )      (0.6 %) 

Wayfair, Inc.

      (2,382 )      (693,186 )      (0.7 %) 
    

 

 

    
       (3,243,436 )   

Auto Components

       

Aptiv PLC

      (3,523 )      (322,989 )      (0.3 %) 

Goodyear Tire & Rubber Co. (The)

      (29,442 )      (225,820 )      (0.2 %) 
    

 

 

    
       (548,809 )   

Banks

       

Banc of California, Inc.

      (52,428 )      (530,572 )      (0.6 %) 

Bridge Bancorp, Inc.

      (63,507 )      (1,106,927 )      (1.2 %) 

Live Oak Bancshares, Inc.

      (26,013 )      (658,909 )      (0.7 %) 
    

 

 

    
       (2,296,408 )   

Biotechnology

       

Agios Pharmaceuticals, Inc.

      (8,563 )      (299,705 )      (0.3 %) 

Alexion Pharmaceuticals, Inc.

      (4,970 )      (568,717 )      (0.6 %) 

Alkermes PLC

      (12,848 )      (212,891 )      (0.2 %) 

Bluebird Bio, Inc.

      (5,121 )      (276,278 )      (0.3 %) 

Caredx, Inc.

      (5,889 )      (223,429 )      (0.2 %) 

Enanta Pharmaceuticals, Inc.

      (5,627 )      (257,604 )      (0.3 %) 

Insmed, Inc.

      (12,265 )      (394,197 )      (0.4 %) 

Madrigal Pharmaceuticals, Inc.

      (2,201 )      (261,325 )      (0.3 %) 

TG Therapeutics, Inc.

      (20,531 )      (549,410 )      (0.6 %) 
    

 

 

    
       (3,043,556 )   

Building Products

       

Advanced Drainage Systems, Inc.

      (10,995 )      (686,528 )      (0.7 %) 

Builders FirstSource, Inc.

      (85,083 )      (2,775,407 )      (2.9 %) 
    

 

 

    
       (3,461,935 )   

Capital Markets

       

Ares Management Corp., Class A

      (13,406 )      (541,870 )      (0.6 %) 

Blucora, Inc.

      (20,079 )      (189,144 )      (0.2 %) 

Charles Schwab Corp. (The)

      (77,329 )      (2,801,630 )      (3.0 %) 
    

 

 

    
       (3,532,644 )   

Chemicals

       

Chemours Co. (The)

      (29,016 )      (606,725 )      (0.6 %) 

DuPont de Nemours, Inc.

      (4,903 )      (272,018 )      (0.3 %) 

Ingevity Corp.

      (4,764 )      (235,532 )      (0.2 %) 

Mosaic Co. (The)

      (53,050 )      (969,223 )      (1.0 %) 

Olin Corp.

      (32,599 )      (403,576 )      (0.4 %) 

Scotts Miracle-Gro Co. (The)

      (4,693 )      (717,607 )      (0.8 %) 

Trinseo S.A.

      (21,363 )      (547,747 )      (0.6 %) 
    

 

 

    
       (3,752,428 )   

Common Stocks - Short

    Shares     Value     % of Basket Value  

Commercial Services & Supplies

       

Clean Harbors, Inc.

      (5,531 )      (309,902 )      (0.3 %) 
    

 

 

    

Communications Equipment

       

CommScope Holding Co., Inc.

      (31,890 )      (287,010 )      (0.3 %) 
    

 

 

    

Construction & Engineering

       

Fluor Corp.

      (52,922 )      (466,243 )      (0.5 %) 

Granite Construction, Inc.

      (31,697 )      (558,184 )      (0.6 %) 
    

 

 

    
    (1,024,427 )   
      

Consumer Finance

       

Capital One Financial Corp.

      (8,199 )      (589,180 )      (0.6 %) 
    

 

 

    

Diversified Consumer Services

       

ServiceMaster Global Holdings, Inc.

      (7,912 )      (315,531 )      (0.3 %) 
    

 

 

    

Diversified Financial Services

       

Cannae Holdings, Inc.

      (13,435 )      (500,588 )      (0.5 %) 
    

 

 

    

Diversified Telecommunication Services

       

Anterix, Inc.

      (19,723 )      (645,139 )      (0.7 %) 
    

 

 

    

Electric Utilities

       

FirstEnergy Corp.

      (9,983 )      (286,612 )      (0.3 %) 
    

 

 

    

Electrical Equipment

       

Sunrun, Inc.

      (33,485 )      (2,580,689 )      (2.7 %) 
    

 

 

    

Energy Equipment & Services

       

Halliburton Co.

      (45,976 )      (554,011 )      (0.6 %) 

Schlumberger Ltd.

      (18,219 )      (283,487 )      (0.3 %) 

TechnipFMC PLC

      (133,396 )      (841,729 )      (0.9 %) 
    

 

 

    
    (1,679,227 )   

Entertainment

       

Live Nation Entertainment, Inc.

      (10,682 )      (575,546 )      (0.6 %) 

Take-Two Interactive Software, Inc.

      (3,430 )      (566,705 )      (0.6 %) 
    

 

 

    
    (1,142,251 )   

Equity Real Estate Investment Trusts

       

American Finance Trust, Inc.

      (96,964 )      (607,964 )      (0.6 %) 

City Office REIT, Inc.

      (70,052 )      (526,791 )      (0.6 %) 

Easterly Government Properties, Inc.

      (9,575 )      (214,576 )      (0.2 %) 

Franklin Street Properties

      (131,726 )      (482,117 )      (0.5 %) 

NexPoint Residential Trust, Inc.

      (16,268 )      (721,486 )      (0.8 %) 

Paramount Group, Inc.

      (70,594 )      (499,806 )      (0.5 %) 

SL Green Realty Corp.

      (6,366 )      (295,191 )      (0.3 %) 

UDR, Inc.

      (16,780 )      (547,196 )      (0.6 %) 

UMH Properties, Inc.

      (39,215 )      (530,971 )      (0.6 %) 

Vornado Realty Trust

      (14,045 )      (473,457 )      (0.5 %) 
    

 

 

    
    (4,899,555 )   

Food & Staples Retailing

       

Andersons, Inc. (The)

      (34,736 )      (665,889 )      (0.7 %) 
    

 

 

    

Food Products

       

Beyond Meat, Inc.

      (2,416 )      (401,201 )      (0.4 %) 

Common Stocks - Short

    Shares     Value     % of Basket Value  

Food Products – continued

 

Bunge Ltd.

      (10,763 )      (491,869 )      (0.5 %) 

Cal-Maine Foods, Inc.

      (11,694 )      (448,699 )      (0.5 %) 

Pilgrim’s Pride Corp.

      (54,731 )      (819,050 )      (0.9 %) 

Sanderson Farms, Inc.

      (4,289 )      (505,973 )      (0.5 %) 
    

 

 

    
    (2,666,792 )   

Health Care Equipment & Supplies

       

ABIOMED, Inc.

      (936 )      (259,328 )      (0.3 %) 

Align Technology, Inc.

      (2,201 )      (720,520 )      (0.8 %) 

Tandem Diabetes Care, Inc.

      (4,198 )      (476,473 )      (0.5 %) 
    

 

 

    
    (1,456,321 )   

Health Care Providers & Services

       

BioTelemetry, Inc.

      (6,206 )      (282,869 )      (0.3 %) 

Tenet Healthcare Corp.

      (13,299 )      (325,959 )      (0.3 %) 
    

 

 

    
    (608,828 )   

Health Care Technology

       

Teladoc Health, Inc.

      (7,416 )      (1,625,884 )      (1.7 %) 
    

 

 

    

Hotels, Restaurants & Leisure

       

Aramark

      (11,427 )      (302,244 )      (0.3 %) 

Bloomin’ Brands, Inc.

      (14,410 )      (220,041 )      (0.2 %) 

MGM Resorts International

      (8,192 )      (178,176 )      (0.2 %) 

Papa John’s International, Inc.

      (6,966 )      (573,162 )      (0.6 %) 

Royal Caribbean Cruises Ltd.

      (8,805 )      (569,948 )      (0.6 %) 

Wendy’s Co. (The)

      (4,458 )      (99,391 )      (0.1 %) 

Wyndham Hotels & Resorts, Inc.

      (11,540 )      (582,770 )      (0.6 %) 

Wynn Resorts Ltd.

      (7,859 )      (564,355 )      (0.6 %) 
    

 

 

    
    (3,090,087 )   

Household Durables

       

Mohawk Industries, Inc.

      (3,230 )      (315,216 )      (0.3 %) 

Toll Brothers, Inc.

      (6,356 )      (309,283 )      (0.3 %) 
    

 

 

    
    (624,499 )   

Independent Power & Renewable Electricity Producers

       

AES Corp. (The)

      (31,613 )      (572,511 )      (0.6 %) 

Sunnova Energy International, Inc.

      (25,494 )      (775,273 )      (0.8 %) 
    

 

 

    
    (1,347,784 )   

Insurance

       

American International Group, Inc.

      (8,836 )      (243,255 )      (0.3 %) 

Brighthouse Financial, Inc.

      (17,606 )      (473,777 )      (0.5 %) 

Cincinnati Financial Corp.

      (4,425 )      (345,017 )      (0.4 %) 

First American Financial Corp.

      (11,336 )      (577,116 )      (0.6 %) 

Lincoln National Corp.

      (7,662 )      (240,051 )      (0.3 %) 

Reinsurance Group of America, Inc.

      (3,365 )      (320,314 )      (0.3 %) 

Third Point Reinsurance Ltd.

      (81,703 )      (567,836 )      (0.6 %) 
    

 

 

    
    (2,767,366 )   

Interactive Media & Entertainment

       

Snap-on, Inc., Class A

      (1,807 )      (47,181 )      (—   ) 

TripAdvisor, Inc.

      (9,714 )      (190,297 )      (0.2 %) 

Common Stocks - Short

    Shares     Value     % of Basket Value  

Interactive Media & Entertainment – continued

       

Twitter, Inc.

      (12,972 )      (577,254 )      (0.6 %) 
    

 

 

    
    (814,732 )   

Internet & Direct Marketing Retail

       

Etsy, Inc.

      (674 )      (81,978 )      (0.1 %) 

Expedia Group, Inc.

      (6,078 )      (557,292 )      (0.6 %) 

Realreal, Inc. (The)

      (41,876 )      (605,946 )      (0.6 %) 
    

 

 

    
    (1,245,216 )   

IT Services

       

DXC Technology Co.

      (22,958 )      (409,800 )      (0.4 %) 

Euronet Worldwide, Inc.

      (3,074 )      (280,042 )      (0.3 %) 

LiveRamp Holdings, Inc.

      (5,483 )      (283,855 )      (0.3 %) 
    

 

 

    
    (973,697 )   

Leisure Products

       

Mattel, Inc.

      (50,196 )      (587,293 )      (0.6 %) 
    

 

 

    

Machinery

       

Middleby Corp. (The)

      (3,008 )      (269,848 )      (0.3 %) 
    

 

 

    

Media

       

AMC Networks, Inc., Class A

      (12,844 )      (317,375 )      (0.3 %) 

ViacomCBS, Inc., Class B

      (27,374 )      (766,746 )      (0.8 %) 
    

 

 

    
    (1,084,121 )   

Metals & Mining

       

Agnico Eagle Mines Ltd.

      (3,895 )      (310,081 )      (0.3 %) 

Alcoa Corp.

      (15,914 )      (185,080 )      (0.2 %) 

Allegheny Technologies, Inc.

      (29,021 )      (253,063 )      (0.3 %) 

Barrick Gold Corp.

      (20,531 )      (577,126 )      (0.6 %) 

Century Aluminum Co.

      (82,094 )      (584,509 )      (0.6 %) 

Coeur Mining, Inc.

      (72,329 )      (533,788 )      (0.6 %) 

Freeport-McMoRan, Inc.

      (37,844 )      (591,880 )      (0.6 %) 

Hecla Mining Co.

      (173,906 )      (883,443 )      (0.9 %) 

Kinross Gold Corp.

      (5,098 )      (44,964 )      (—   ) 

Newmont Corp.

      (9,259 )      (587,484 )      (0.6 %) 

Pan American Silver Corp.

      (9,744 )      (313,270 )      (0.3 %) 
    

 

 

    
    (4,864,688 )   

Mortgage Real Estate Investment Trusts (REITs)

       

Annaly Capital Management, Inc.

      (81,606 )      (581,035 )      (0.6 %) 

Capstead Mortgage Corp.

      (109,970 )      (618,031 )      (0.7 %) 

PennyMac Mortgage Investment Trust

      (33,664 )      (540,981 )      (0.6 %) 
    

 

 

    
    (1,740,047 )   

Multi-Utilities

       

CenterPoint Energy, Inc.

      (14,291 )      (276,531 )      (0.3 %) 
    

 

 

    

Multiline Retail

       

Dollar Tree, Inc.

      (6,360 )      (580,922 )      (0.6 %) 

Kohl’s Corp.

      (27,973 )      (518,340 )      (0.5 %) 
    

 

 

    
    (1,099,262 )   

Common Stocks - Short

    Shares     Value     % of Basket Value  

Oil, Gas & Consumable Fuels

       

Cabot Oil & Gas Corp.

      (12,725 )      (220,906 )      (0.2 %) 

Chevron Corp.

      (31,173 )      (2,244,456 )      (2.4 %) 

Cimarex Energy Co.

      (11,117 )      (270,477 )      (0.3 %) 

CNX Resources Corp.

      (221,522 )      (2,091,168 )      (2.2 %) 

Concho Resources, Inc.

      (5,627 )      (248,263 )      (0.3 %) 

ConocoPhillips

      (16,876 )      (554,208 )      (0.6 %) 

Devon Energy Corp.

      (61,687 )      (583,559 )      (0.6 %) 

Energy Transfer LP

      (147,246 )      (798,073 )      (0.8 %) 

EOG Resources, Inc.

      (14,528 )      (522,136 )      (0.6 %) 

EQT Corp.

      (61,688 )      (797,626 )      (0.8 %) 

Exxon Mobil Corp

      (5,221 )      (179,237 )      (0.2 %) 

Hess Corp.

      (14,049 )      (575,026 )      (0.6 %) 

HollyFrontier Corp.

      (27,001 )      (532,190 )      (0.6 %) 

Kinder Morgan, Inc.

      (45,976 )      (566,884 )      (0.6 %) 

Marathon Oil Corp.

      (131,420 )      (537,508 )      (0.6 %) 

Marathon Petroleum Corp.

      (3,229 )      (94,739 )      (0.1 %) 

Occidental Petroleum Corp.

      (46,318 )      (463,643 )      (0.5 %) 

Parsley Energy, Inc.

      (52,071 )      (487,384 )      (0.5 %) 

Pioneer Natural Resources Co.

      (2,940 )      (252,811 )      (0.3 %) 

Plains All American Pipeline LP

      (53,881 )      (322,208 )      (0.3 %) 

WPX Energy, Inc.

      (192,707 )      (944,264 )      (1.0 %) 
    

 

 

    
    (13,286,766 )   

Personal Products

       

Coty, Inc.

      (78,897 )      (213,022 )      (0.2 %) 

Edgewell Personal Care Co.

      (10,383 )      (289,478 )      (0.3 %) 

Herbalife Nutrition Ltd.

      (3,108 )      (144,988 )      (0.2 %) 
    

 

 

    
    (647,488 )   

Pharmaceuticals

       

Mylan NV

      (39,440 )      (584,895 )      (0.6 %) 
    

 

 

    

Professional Services

       

Clarivate PLC

      (23,703 )      (734,556 )      (0.8 %) 

CoreLogic, Inc.

      (4,540 )      (307,222 )      (0.3 %) 
    

 

 

    
    (1,041,778 )   

Road & Rail

       

ArcBest Corp.

      (22,432 )      (696,738 )      (0.7 %) 

Lyft, Inc., Class A

      (20,658 )      (569,128 )      (0.6 %) 
    

 

 

    
    (1,265,866 )   

Semiconductors & Semiconductor Equipment

       

Analog Devices, Inc.

      (27,405 )      (3,199,260 )      (3.4 %) 

Applied Materials, Inc.

      (7,637 )      (454,020 )      (0.5 %) 

Enphase Energy, Inc.

      (5,089 )      (420,300 )      (0.4 %) 

Lam Research Corp.

      (26 )      (8,625 )      (—   ) 

Microchip Technology, Inc.

      (831 )      (85,394 )      (0.1 %) 

MKS Instruments, Inc.

      (2,305 )      (251,775 )      (0.3 %) 

NVIDIA Corp.

      (235 )      (127,187 )      (0.1 %) 

Ultra Clean Holdings, Inc.

      (8,966 )      (192,410 )      (0.2 %) 

Common Stocks - Short

    Shares     Value     % of Basket Value  

Semiconductors & Semiconductor Equipment – continued

       

Veeco Instruments, Inc.

      (14,899 )      (173,871 )      (0.2 %) 
    

 

 

    
    (4,912,842 )   

Software

       

Blackberry Ltd.

      (59,130 )      (271,407 )      (0.3 %) 

Cloudflare, Inc., Class A

      (9,357 )      (384,198 )      (0.4 %) 

Nutanix, Inc., Class A

      (12,418 )      (275,431 )      (0.3 %) 

Teradata Corp.

      (13,463 )      (305,610 )      (0.3 %) 
    

 

 

    
    (1,236,646 )   

Specialty Retail

       

Aaron’s, Inc.

      (6,729 )      (381,198 )      (0.4 %) 

Carvana Co.

      (2,922 )      (651,781 )      (0.7 %) 

Foot Locker, Inc.

      (8,403 )      (277,551 )      (0.3 %) 

Gap, Inc. (The)

      (34,912 )      (594,551 )      (0.6 %) 

L Brands, Inc.

      (17,938 )      (570,608 )      (0.6 %) 

RH

      (1,056 )      (404,047 )      (0.4 %) 
    

 

 

    
    (2,879,736 )   

Technology Hardware, Storage & Peripherals

       

HP, Inc.

      (31,078 )      (590,171 )      (0.6 %) 

Western Digital Corp.

      (9,252 )      (338,161 )      (0.4 %) 

Xerox Holdings Corp.

      (15,863 )      (297,748 )      (0.3 %) 
    

 

 

    
    (1,226,080 )   

Textiles, Apparel & Luxury Goods

       

PVH Corp.

      (8,846 )      (527,575 )      (0.6 %) 

Ralph Lauren Corp.

      (9,849 )      (669,437 )      (0.7 %) 

Tapestry, Inc.

      (33,256 )      (519,791 )      (0.5 %) 
    

 

 

    
    (1,716,803 )   

Thrifts & Mortgage Finance

       

Flagstar Bancorp, Inc.

      (18,230 )      (540,155 )      (0.6 %) 
    

 

 

    

Trading Companies & Distributors

       

Beacon Roofing Supply, Inc.

      (19,724 )      (612,825 )      (0.6 %) 

NOW, Inc.

      (103,799 )      (471,247 )      (0.5 %) 
    

 

 

    
    (1,084,072 )   

Wireless Telecommunication Services

       

U.S. Cellular Corp.

      (7,767 )      (229,359 )      (0.2 %) 
    

 

 

    

Total Common Stocks—Short

 

   $ (94,536,500 )   

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 — quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2020, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Common Stocks*

    $ 199,353,190      $ —        $ —        $ 199,353,190  

Exchange-Traded Funds

      7,225,468        —          —          7,225,468  

Short-Term Investments*

      —          316,599,419        —          316,599,419  

Forward Foreign Currency Contracts (unrealized appreciation)

      —          439,463        —          439,463  

Futures Contracts (unrealized appreciation)

      6,030,085        67,894        —          6,097,979  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 212,608,743      $ 317,106,776      $ —        $ 529,715,519  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1     Level 2      Level 3      Total  

Equity Basket Total Return Swap

    $ —   (a)    $ —        $ —        $ —    

Forward Foreign Currency Contracts (unrealized depreciation)

      —         (1,451,513 )       —          (1,451,513 ) 

Futures Contracts (unrealized depreciation)

      (3,047,623 )      (1,327,838 )       —          (4,375,461 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ (3,047,623 )    $ (2,779,351 )     $ —        $ (5,826,974 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

*

Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

(a)

Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the period ended September 30, 2020, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, and commodities (through investments in the Subsidiary), long contracts on short term interest rates, and short contracts on equity basket total return swaps in accordance with these objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2020:

 

Assets

    Unrealized
appreciation on
forward foreign
currency contracts		      Unrealized
appreciation on
futures contracts		  

Over-the-counter asset derivatives

      

Foreign exchange contracts

    $  439,463      $ —    
  

 

 

     

 

 

  

Exchange-traded asset derivatives

      

Interest rate contracts

    $ —        $  1,733,689  

Foreign exchange contracts

      —          492,196  

Commodity contracts

      —          2,526,093  

Equity contracts

      —          1,346,001  
  

 

 

     

 

 

  

Total exchange-traded asset derivatives

    $ —        $ 6,097,979  
  

 

 

     

 

 

  

Total asset derivatives

    $ 439,463      $ 6,097,979  
  

 

 

     

 

 

  

 

Liabilities

    Unrealized
depreciation on
forward foreign
currency contracts		      Unrealized
depreciation on
futures contracts		      Swap agreements
at value1		  

Over-the-counter liability derivatives

         

Foreign exchange contracts

    $ (1,451,513 )     $ —        $ —    

Equity Contracts

      —          —          (94,536,500 ) 
  

 

 

     

 

 

     

 

 

  

Total over-the-counter liability derivatives

    $ (1,451,513 )     $ —        $ (94,536,500 ) 
  

 

 

     

 

 

     

 

 

  

Exchange-traded liability derivatives

         

Interest rate contracts

    $ —        $ (1,147,572 )     $ —    

Foreign exchange contracts

      —          (68,019 )       —    

Commodity contracts

      —          (1,786,572 )       —    

Equity contracts

      —          (1,373,298 )       —    
  

 

 

     

 

 

     

 

 

  

Total exchange-traded liability derivatives

    $ —        $ (4,375,461 )     $ —    
  

 

 

     

 

 

     

 

 

  

Total liability derivatives

    $ (1,451,513 )     $ (4,375,461 )     $ (94,536,500 ) 
  

 

 

     

 

 

     

 

 

  

 

1 

Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2020, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty

    Derivatives      Collateral
Pledged		  

UBS AG

    $ (1,012,050 )     $ 6,616,423  

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2020:

 

     Maximum
Amount of
Loss — Gross		      Maximum
Amount of
Loss — Net		  

Over-the-counter counterparty credit risk

      

Forward foreign currency contracts

    $ 439,463      $ —    

Collateral pledged to UBS AG

      6,616,423        6,616,423  

Collateral pledged to Morgan Stanley

      20,935,601        20,935,601  
  

 

 

     

 

 

  

Total over-the-counter counterparty credit risk

      27,991,487        27,552,024  
  

 

 

     

 

 

  

Exchange-traded counterparty credit risk

      

Futures contracts

      6,097,979        6,097,979  

Margin with brokers

      31,734,953        31,734,953  
  

 

 

     

 

 

  

Total exchange-traded counterparty credit risk

      37,832,932        37,832,932  
  

 

 

     

 

 

  

Total counterparty credit risk

    $  65,824,419      $  65,384,956  
  

 

 

     

 

 

  

Investment Summary at September 30, 2020 (Unaudited)
 

Common Stocks

      35.0 % 

Certificates of Deposit

      30.2  

Time Deposits

      9.5  

Repurchase Agreements

      6.5  

Treasuries

      5.8  

Commercial Paper

      3.7  

Exchange-Traded Funds

      1.3  
  

 

 

  

Total Investments

      92.0  

Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)

      8.0  
  

 

 

  

Net Assets

      100.0 %