NPORT-EX 2 NPORT_IAHC_70438951_0921.htm HTML

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 %