Consolidated Portfolio of Investments – as of September 30, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund

Principal Amount	Description	Value (†)
Short-Term Investments – 92.0% of Net Assets
	Treasuries – 42.2%
$  54,000,000	U.S. Treasury Bills, 0.025%-0.045%, 10/07/2021(a)(b)(c)(d)	$	53,999,663
20,000,000	U.S. Treasury Bills, 0.025%, 10/28/2021(a)		19,999,006
52,000,000	U.S. Treasury Bills, 0.025%-0.045%, 11/04/2021(a)(b)(c)(d)		51,996,317
25,000,000	U.S. Treasury Bills, 0.040%, 11/09/2021(a)		24,998,477
20,000,000	U.S. Treasury Bills, 0.015%, 11/12/2021(a)		19,998,833
20,000,000	U.S. Treasury Bills, 0.015%, 11/18/2021(a)		19,999,233
15,000,000	U.S. Treasury Bills, 0.050%, 11/23/2021(a)		14,999,227
20,000,000	U.S. Treasury Bills, 0.045%, 11/30/2021(a)		19,998,637
29,000,000	U.S. Treasury Bills, 0.030%-0.037%, 12/02/2021(a)(b)(c)(d)		28,998,160
35,000,000	U.S. Treasury Bills, 0.035%, 12/07/2021(a)		34,998,111
10,000,000	U.S. Treasury Bills, 0.035%, 12/09/2021(a)		9,999,457
25,000,000	U.S. Treasury Bills, 0.045%, 12/16/2021(a)		24,998,100
25,000,000	U.S. Treasury Bills, 0.043%, 12/23/2021(a)		24,997,887
40,000,000	U.S. Treasury Bills, 0.045%, 12/30/2021(a)		39,996,000
63,000,000	U.S. Treasury Bills, 0.029%-0.045%, 1/06/2022(a)(b)(c)(d)		62,994,064
10,000,000	U.S. Treasury Bills, 0.040%, 1/13/2022(a)		9,998,909
40,000,000	U.S. Treasury Bills, 0.055%, 1/27/2022(a)		39,994,067
40,000,000	U.S. Treasury Bills, 0.045%, 2/03/2022(a)		39,993,403
10,000,000	U.S. Treasury Bills, 0.060%, 2/24/2022(a)		9,997,972
20,000,000	U.S. Treasury Bills, 0.045%, 3/03/2022(a)		19,996,281
35,000,000	U.S. Treasury Bills, 0.045%, 3/10/2022(a)		34,992,611
20,000,000	U.S. Treasury Bills, 0.045%, 3/31/2022(a)		19,995,475
			627,939,890
	Certificates of Deposit – 40.4%
15,000,000	Sumitomo Mitsui Trust (NY), 0.060%, 10/06/2021		14,999,950
13,000,000	Nordea Bank ABP (NY), 0.090%, 10/14/2021		13,000,086

Principal Amount	Description	Value (†)
Certificates of Deposit – continued
$  22,000,000	DNB Nor Bank ASA (NY), 0.135%, 10/27/2021(e)	$	22,001,088
25,000,000	Nordea Bank ABP (NY), 0.150%, 11/08/2021(e)		25,001,894
60,000,000	Mizuho Bank Ltd. (NY), 0.160%, 11/16/2021(e)		60,006,262
40,000,000	Skandinaviska Enskilda Banken (NY), 0.110%, 11/17/2021		40,001,812
18,500,000	Skandinaviska Enskilda Banken (NY), 0.130%, 12/02/2021(e)		18,501,553
60,000,000	DZ Bank (NY), 0.100%, 12/03/2021		60,001,599
20,000,000	Sumitomo Mitsui Trust (NY), 0.110%, 12/03/2021		20,000,604
15,000,000	Sumitomo Mitsui Banking Corp. (NY), 0.120%, 1/18/2022		14,999,541
20,000,000	Toronto-Dominion Bank (NY), 0.130%, 1/20/2022		20,001,242
40,000,000	Sumitomo Mitsui Banking Corp. (NY), 0.130%, 1/24/2022		39,999,226
20,000,000	Canadian Imperial Bank of Commerce (NY), 0.210%, 1/26/2022(e)		20,006,546
30,000,000	Royal Bank of Canada (NY), 0.100%, 2/08/2022		30,001,416
15,000,000	Cooperatieve Rabobank U.A., 0.120%, 2/15/2022		15,000,228
25,000,000	Cooperatieve Rabobank U.A., 0.120%, 2/15/2022		25,000,382
15,000,000	Toronto-Dominion Bank (NY), 0.140%, 2/17/2022		15,001,748
12,000,000	Canadian Imperial Bank of Commerce (NY), 0.140%, 2/24/2022		12,000,587
30,000,000	Svenska Handelsbanken (NY), 0.120%, 3/07/2022		29,998,288
30,000,000	Bank of Nova Scotia (NY), 0.220%, 4/14/2022(e)		30,013,524
25,000,000	Royal Bank of Canada (NY), 0.180%, 6/08/2022		25,003,475
50,000,000	Bank of Montreal (IL), 0.200%, 6/23/2022		50,011,404
			600,552,455
	Repurchase Agreements – 9.4%
140,713,312	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $140,713,312 on 10/01/2021 collateralized by $79,822,100 U.S. Treasury Note, 1.625% due 12/15/2022 valued at $81,635,633; 55,284,800 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2031 valued at 61,892,029 including accrued interest(d)(f)		140,713,312
	Total Short-Term Investments (Identified Cost $1,369,154,589)		1,369,205,657
	Total Investments – 92.0% (Identified Cost $1,369,154,589)		1,369,205,657
	Other assets less liabilities – 8.0%		118,330,072
	Net Assets – 100.0%	$	1,487,535,729

Consolidation

The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex Managed Futures Strategy 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, 2021, the value of the Fund’s investment in the Subsidiary was $124,899,016, representing 8.40% 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: Debt 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 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.

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, 2021, 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
$626,122,072	$9,196,229	0.62%

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

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

(c) The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

(d) A portion of the security is held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

(e) Security (or a portion thereof) has been designated to cover the Fund’s obligations under 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, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.
CHF	Swiss Franc
CNH	Chinese Yuan Renminbi Offshore
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
PLN	Polish Zloty
SEK	Swedish Krona
SGD	Singapore Dollar
TRY	Turkish Lira
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, 2021, 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	12/15/2021	CHF	B	69,750,000	$	75,462,873	$	74,980,014	$	(482,859	)
UBS AG	12/15/2021	CHF	S	139,500,000		151,516,077		149,960,027		1,556,050
UBS AG	12/15/2021	CHF	S	98,000,000		105,253,993		105,348,263		(94,270	)
UBS AG	12/15/2021	CNH	B	657,000,000		100,904,996		101,336,424		431,428
UBS AG	12/15/2021	MXN	B	1,453,000,000		71,998,631		69,666,755		(2,331,876	)
UBS AG	12/15/2021	MXN	S	294,500,000		14,259,312		14,120,344		138,968
UBS AG	12/15/2021	NOK	B	242,000,000		28,074,820		27,666,888		(407,932	)
UBS AG	12/15/2021	NOK	S	434,000,000		49,931,500		49,617,476		314,024
UBS AG	12/15/2021	NOK	S	100,000,000		11,381,861		11,432,598		(50,737	)
UBS AG	12/15/2021	NZD	B	51,300,000		36,469,149		35,395,543		(1,073,606	)
UBS AG	12/15/2021	NZD	S	51,300,000		35,793,886		35,395,543		398,343
UBS AG	12/15/2021	NZD	S	29,600,000		20,333,453		20,423,159		(89,706	)
UBS AG	12/15/2021	PLN	B	41,500,000		10,894,656		10,431,863		(462,793	)
UBS AG	12/15/2021	PLN	S	470,000,000		121,909,733		118,143,987		3,765,746
UBS AG	12/15/2021	SEK	B	50,000,000		5,816,197		5,715,139		(101,058	)
UBS AG	12/15/2021	SEK	S	902,000,000		104,816,543		103,101,122		1,715,421
UBS AG	12/15/2021	SEK	S	90,000,000		10,238,086		10,287,252		(49,166	)
UBS AG	12/15/2021	SGD	B	99,875,000		74,394,502		73,545,142		(849,360	)
UBS AG	12/15/2021	SGD	S	320,625,000		237,592,023		236,099,235		1,492,788
UBS AG	12/15/2021	SGD	S	80,375,000		59,052,267		59,185,890		(133,623	)
UBS AG	12/15/2021	TRY	B	18,000,000		2,058,710		1,947,036		(111,674	)

Counterparty	Delivery Date	Currency Bought/ Sold (B/S)	Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG	12/15/2021	TRY	S	41,700,000	$	4,506,354	$	4,510,633	$	(4,279	)
UBS AG	12/15/2021	ZAR	B	582,500,000		40,374,435		38,303,427		(2,071,008	)
UBS AG	12/15/2021	ZAR	S	627,500,000		41,630,989		41,262,490		368,499
UBS AG	12/15/2021	ZAR	S	107,000,000		7,003,734		7,035,994		(32,260	)
Total									$	1,835,060

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, 2021, open long futures contracts were as follows:

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
3 Year Australia Government Bond		12/15/2021		6,583$		555,337,195	$	554,149,525	$	(1,187,670	)
3-month SOFR Index		6/14/2022		124		30,984,500		30,982,950		(1,550	)
10 Year Australia Government Bond		12/15/2021		1,142		119,259,947		116,800,973		(2,458,974	)
10 Year Canada Government Bond		12/20/2021		438		50,635,765		49,502,368		(1,133,397	)
30 Year U.S. Treasury Bond		12/21/2021		376		61,556,625		59,866,250		(1,690,375	)
AEX-Index®		10/15/2021		361		66,110,840		64,424,904		(1,685,936	)
ASX SPI 200™		12/16/2021		602		80,324,073		79,350,712		(973,361	)
Brazilian Real		10/29/2021		7		128,285		127,960		(325	)
CAC 40®		10/15/2021		537		41,107,333		40,544,170		(563,163	)
DAX		12/17/2021		62		28,072,378		27,448,723		(623,655	)
E-mini Dow		12/17/2021		406		70,164,935		68,455,660		(1,709,275	)
E-mini NASDAQ 100		12/17/2021		377		117,074,355		110,706,050		(6,368,305	)
E-mini Russell 2000		12/17/2021		327		36,686,758		35,983,080		(703,678	)
E-mini S&P 500®		12/17/2021		742		166,847,598		159,446,525		(7,401,073	)
E-mini S&P MidCap 400®		12/17/2021		171		46,179,080		45,027,720		(1,151,360	)
Euribor		3/14/2022		837		243,632,999		243,632,999		—
EURO STOXX 50®		12/17/2021		879		42,210,468		41,216,314		(994,154	)
Euro-BTP		12/08/2021		710		126,779,208		124,968,000		(1,811,208	)
Euro-Buxl® 30 Year Bond		12/08/2021		160		38,883,235		37,686,219		(1,197,016	)
Euro-OAT		12/08/2021		479		93,492,877		92,077,292		(1,415,585	)
Eurodollar		3/14/2022		2,849		711,181,588		711,217,238		35,650
FTSE 100 Index		12/17/2021		504		47,822,136		48,035,410		213,274

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FTSE MIB		12/17/2021		346	$	51,317,762	$	50,846,105	$	(471,657	)
FTSE Taiwan Index		10/28/2021		659		39,960,540		38,986,440		(974,100	)
German Euro Bund		12/08/2021		275		54,913,639		54,095,520		(818,119	)
IBEX 35		10/15/2021		209		21,306,729		21,344,075		37,346
Indian Rupee		10/27/2021		747		20,249,676		20,055,456		(194,220	)
MSCI EAFE Index		12/17/2021		747		88,414,835		84,672,450		(3,742,385	)
MSCI Emerging Markets Index		12/17/2021		191		12,531,323		11,895,480		(635,843	)
MSCI Singapore		10/28/2021		926		24,338,360		24,108,190		(230,170	)
Nikkei 225™		12/09/2021		221		59,895,503		58,499,124		(1,396,379	)
OMXS30®		10/15/2021		1,392		36,925,292		35,827,972		(1,097,320	)
S&P/TSX 60 Index		12/16/2021		664		128,542,684		125,408,242		(3,134,442	)
Short-Term Euro-BTP		12/08/2021		2,343		308,992,676		308,610,513		(382,163	)
STOXX Europe 600		12/17/2021		962		25,884,226		25,284,207		(600,019	)
TOPIX		12/09/2021		424		77,914,605		77,355,856		(558,749	)
Ultra 10 Year U.S. Treasury Note		12/21/2021		350		51,804,578		50,837,500		(967,078	)
Ultra Long U.S. Treasury Bond		12/21/2021		199		39,758,766		38,021,438		(1,737,328	)
Total									$	(49,723,762)
Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/15/2021		583	$	36,668,018	$	41,644,419	$	4,976,401
Brent Crude Oil		10/29/2021		852		60,496,940		66,720,120		6,223,180
Cocoa		12/15/2021		479		12,721,290		12,703,080		(18,210	)
Coffee		12/20/2021		313		21,317,887		22,770,750		1,452,863
Copper		12/29/2021		374		41,054,450		38,232,150		(2,822,300	)
Copper LME		12/15/2021		114		27,630,750		25,468,312		(2,162,438	)
Corn		12/14/2021		240		6,770,425		6,441,000		(329,425	)
Cotton		12/08/2021		871		40,273,455		46,075,900		5,802,445
EUA Emissions		12/20/2021		348		22,642,196		24,887,750		2,245,554
Gasoline		11/30/2021		411		36,591,055		37,218,598		627,543
Low Sulfur Gasoil		11/11/2021		824		50,630,975		55,661,200		5,030,225
Natural Gas		10/27/2021		849		39,883,240		49,810,830		9,927,590
New York Harbor ULSD		10/29/2021		461		41,088,936		45,278,037		4,189,101
Nickel LME		12/13/2021		237		27,642,086		25,505,703		(2,136,383	)
Soybean		11/12/2021		223		15,805,200		14,004,400		(1,800,800	)
Soybean Oil		12/14/2021		424		15,527,484		14,930,736		(596,748	)
Sugar		2/28/2022		1,355		31,149,306		30,867,984		(281,322	)
Wheat		12/14/2021		232		8,768,900		8,415,800		(353,100	)
WTI Crude Oil		11/19/2021		704		52,765,280		52,588,800		(176,480	)
Zinc LME		12/13/2021		314		23,556,931		23,447,950		(108,981	)
Total									$	29,688,715
At September 30, 2021, open short futures contracts were as follows:
Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/31/2021		1,162	$	255,625,483	$	255,703,547	$	(78,064	)
3-month SONIA Index		6/14/2022		543		182,333,411		182,232,811		100,600
5 Year U.S. Treasury Note		12/31/2021		5,269		646,521,788		646,728,589		(206,801	)

Financial and Currency Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/21/2021		1,019	$	134,064,781	$	134,109,953	$	(45,172	)
Australian Dollar		12/13/2021		2,156		158,052,740		155,965,040		2,087,700
British Pound		12/13/2021		1,596		135,566,319		134,413,125		1,153,194
Canadian Dollar		12/14/2021		1,426		111,656,405		112,639,740		(983,335	)
Euro		12/13/2021		2,625		388,122,713		380,625,000		7,497,713
Euro Schatz		12/08/2021		6,218		808,145,198		808,169,946		(24,748	)
FTSE/JSE Top 40 Index		12/15/2021		108		4,063,056		4,172,689		(109,633	)
FTSE China A50 Index		10/28/2021		521		7,959,071		8,071,853		(112,782	)
German Euro BOBL		12/08/2021		833		130,127,059		130,194,695		(67,636	)
Hang Seng Index®		10/28/2021		88		13,784,589		13,861,330		(76,741	)
Hang Seng China Enterprises Index		10/28/2021		411		22,969,877		23,021,786		(51,909	)
Japanese Yen		12/13/2021		2,933		333,628,289		329,265,913		4,362,376
UK Long Gilt		12/29/2021		1,502		255,347,831		253,277,955		2,069,876
Total									$	15,514,638
Commodity Futures1	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Aluminum LME		12/15/2021		20$		1,475,175	$	1,428,625	$	46,550
Copper LME		12/15/2021		24		5,585,310		5,361,750		223,560
Gold		12/29/2021		489		85,933,630		85,917,300		16,330
Iron Ore		11/30/2021		684		7,610,740		7,991,856		(381,116	)
Live Cattle		12/31/2021		822		42,216,770		41,338,380		878,390
Nickel LME		12/13/2021		70		7,924,805		7,533,330		391,475
Palladium		12/29/2021		101		19,921,250		19,187,980		733,270
Platinum		1/27/2022		539		25,359,305		25,936,680		(577,375	)
Silver		12/29/2021		523		59,871,275		57,652,905		2,218,370
Soybean Meal		12/14/2021		633		21,568,100		20,806,710		761,390
Total									$	4,310,844

¹    Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.

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, 2021, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Short-Term Investments*	$	—	$	1,369,205,657	$	—	$	1,369,205,657
Forward Foreign Currency Contracts (unrealized appreciation)		—		10,181,267		—		10,181,267
Futures Contracts (unrealized appreciation)		63,051,346		250,620		—		63,301,966
Total	$	63,051,346	$	1,379,637,544	$	—	$	1,442,688,890

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(8,346,207	)	$	—	$	(8,346,207	)
Futures Contracts (unrealized depreciation)		(54,565,922	)		(8,945,609	)		—		(63,511,531	)
Total	$	(54,565,922	)	$	(17,291,816	)	$	—	$	(71,857,738	)

* Details of the major categories of the Fund’s investments are 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 an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2021, the Fund used long and short contracts on U.S. and foreign government bonds, short-term interest rates, foreign currencies, and commodities (through investments in the Subsidiary), and long contracts on U.S. and foreign equity market indices to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of September 30, 2021:

Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	10,181,267	$	—
Exchange-traded asset derivatives
Interest rate contracts	$	—	$	2,206,126
Foreign exchange contracts		—		15,100,983
Commodity contracts		—		45,744,237
Equity contracts		—		250,620
Total exchange-traded asset derivatives	$	—	$	63,301,966
Total asset derivatives	$	10,181,267	$	63,301,966

Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(8,346,207	)	$	—
Exchange-traded liability derivatives
Interest rate contracts	$	—		$	(15,222,884	)
Foreign exchange contracts		—			(1,177,880	)
Commodity contracts		—			(11,744,678	)
Equity contracts		—			(35,366,089	)
Total exchange-traded liability derivatives	$	—		$	(63,511,531	)
Total liability derivatives	$	(8,346,207	)	$	(63,511531	)

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, 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, 2021, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

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 typically are required to segregate customer margin for exchange-traded derivatives 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 customers, 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, 2021:

	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Over-the-counter counterparty credit risk
Forward foreign currency contracts	$	10,181,267	$	1,835,060
Collateral pledged to UBS AG		26,019,428		26,019,428
Total over-the-counter counterparty credit risk		36,200,695		27,854,488
Exchange-traded counterparty credit risk
Futures contracts		63,301,966		63,301,966
Margin with brokers		213,846,515		213,846,515
Total exchange-traded counterparty credit risk		277,148,481		277,148,481
Total counterparty credit risk	$	313,349,176	$	305,002,969

Investment Summary at September 30, 2021 (Unaudited)

Treasuries	42.2	%
Certificates of Deposit	40.4
Repurchase Agreements	9.4
Total Investments	92.0
Other assets less liabilities (including forward foreign currency and futures contracts)	8.0
Net Assets	100.0	%