SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Futures contracts outstanding at March 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
47 | 2 Year U.S. Treasury Notes | Jun. 2022 | $9,960,328 | $(122,072) | ||||
33 | 5 Year U.S. Treasury Notes | Jun. 2022 | 3,784,688 | (152) | ||||
5 | 10 Year U.S. Treasury Notes | Jun. 2022 | 614,375 | (16,748) | ||||
47 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2022 | 8,324,875 | (315,539) | ||||
421 | Mini MSCI EAFE Index | Jun. 2022 | 45,139,620 | 2,868,888 | ||||
294 | S&P 500 E-Mini Index | Jun. 2022 | 66,602,025 | 4,154,775 | ||||
6,569,152 | ||||||||
Short Positions: | ||||||||
10 | 10 Year Euro-Bund | Jun. 2022 | 1,755,176 | 76,973 | ||||
59 | 10 Year U.S. Ultra Treasury Notes | Jun. 2022 | 7,992,656 | 154,659 | ||||
231,632 | ||||||||
$6,800,784 |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 05/03/22 | Citibank, N.A. | BRL | 284 | $55,635 | $59,103 | $3,468 | $— | ||||||
Expiring 05/03/22 | Goldman Sachs International | BRL | 686 | 134,966 | 142,865 | 7,899 | — | ||||||
Chilean Peso, | |||||||||||||
Expiring 04/26/22 | Barclays Bank PLC | CLP | 22,473 | 27,958 | 28,429 | 471 | — | ||||||
Expiring 04/26/22 | Citibank, N.A. | CLP | 177,673 | 221,096 | 224,758 | 3,662 | — | ||||||
Expiring 04/26/22 | Goldman Sachs International | CLP | 43,811 | 54,396 | 55,421 | 1,025 | — | ||||||
Expiring 04/26/22 | Goldman Sachs International | CLP | 28,974 | 36,017 | 36,652 | 635 | — | ||||||
Czech Koruna, | |||||||||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | CZK | 3,463 | 153,663 | 156,797 | 3,134 | — | ||||||
Expiring 04/08/22 | Morgan Stanley & Co. International PLC | CZK | 3,807 | 175,066 | 172,372 | — | (2,694) | ||||||
Expiring 07/15/22 | BNP Paribas S.A. | CZK | 3,464 | 155,335 | 155,059 | — | (276) | ||||||
Expiring 07/15/22 | Goldman Sachs International | CZK | 1,157 | 51,522 | 51,791 | 269 | — | ||||||
Expiring 07/15/22 | JPMorgan Chase Bank, N.A. | CZK | 1,135 | 51,145 | 50,806 | — | (339) | ||||||
Euro, | |||||||||||||
Expiring 04/08/22 | Barclays Bank PLC | EUR | 107 | 118,011 | 118,395 | 384 | — | ||||||
Expiring 04/08/22 | Goldman Sachs International | EUR | 318 | 365,654 | 351,865 | — | (13,789) | ||||||
Expiring 04/08/22 | Goldman Sachs International | EUR | 126 | 144,273 | 139,418 | — | (4,855) | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 121 | 134,530 | 133,672 | — | (858) | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 93 | 102,919 | 103,168 | 249 | — | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 40 | 46,083 | 44,551 | — | (1,532) | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 23 | 26,233 | 25,687 | — | (546) |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Euro (cont’d.), | |||||||||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | EUR | 96 | $107,856 | $105,882 | $— | $(1,974) | ||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | EUR | 92 | 104,697 | 101,850 | — | (2,847) | ||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | EUR | 78 | 85,342 | 86,595 | 1,253 | — | ||||||
Expiring 04/08/22 | Morgan Stanley & Co. International PLC | EUR | 5,548 | 6,150,296 | 6,139,054 | — | (11,242) | ||||||
Expiring 04/08/22 | Morgan Stanley & Co. International PLC | EUR | 165 | 188,366 | 182,144 | — | (6,222) | ||||||
Expiring 04/08/22 | Morgan Stanley & Co. International PLC | EUR | 11 | 11,533 | 11,694 | 161 | — | ||||||
Expiring 04/08/22 | State Street Bank & Trust Company | EUR | 134 | 153,808 | 148,270 | — | (5,538) | ||||||
Hungarian Forint, | |||||||||||||
Expiring 04/08/22 | State Street Bank & Trust Company | HUF | 36,466 | 115,149 | 109,690 | — | (5,459) | ||||||
Indian Rupee, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | INR | 15,379 | 198,856 | 200,548 | 1,692 | — | ||||||
Kazakhstani Tenge, | |||||||||||||
Expiring 05/03/22 | JPMorgan Chase Bank, N.A. | KZT | 97,794 | 219,762 | 204,104 | — | (15,658) | ||||||
Mexican Peso, | |||||||||||||
Expiring 04/08/22 | BNP Paribas S.A. | MXN | 2,103 | 102,056 | 105,586 | 3,530 | — | ||||||
Expiring 04/08/22 | Brown Brothers Harriman & Co. | MXN | 392 | 19,677 | 19,686 | 9 | — | ||||||
Expiring 04/08/22 | Goldman Sachs International | MXN | 2,281 | 109,743 | 114,523 | 4,780 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/08/22 | Goldman Sachs International | PLN | 656 | 153,085 | 156,020 | 2,935 | — | ||||||
Expiring 07/15/22 | BNP Paribas S.A. | PLN | 221 | 51,512 | 52,040 | 528 | — | ||||||
Expiring 07/15/22 | Goldman Sachs International | PLN | 651 | 153,541 | 153,292 | — | (249) | ||||||
Expiring 07/15/22 | JPMorgan Chase Bank, N.A. | PLN | 221 | 52,046 | 52,039 | — | (7) | ||||||
Russian Ruble, | |||||||||||||
Expiring 04/25/22 | Citibank, N.A. | RUB | 4,275 | 58,646 | 50,423 | — | (8,223) | ||||||
Expiring 04/25/22 | Goldman Sachs International | RUB | 25,014 | 342,913 | 295,038 | — | (47,875) | ||||||
South African Rand, | |||||||||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | ZAR | 7,149 | 489,397 | 488,756 | — | (641) | ||||||
$10,922,783 | $10,828,043 | 36,084 | (130,824) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 05/03/22 | JPMorgan Chase Bank, N.A. | BRL | 558 | $106,428 | $116,125 | $— | $(9,697) | ||||||
Chilean Peso, | |||||||||||||
Expiring 04/26/22 | Barclays Bank PLC | CLP | 107,338 | 131,140 | 135,784 | — | (4,644) | ||||||
Czech Koruna, | |||||||||||||
Expiring 04/08/22 | BNP Paribas S.A. | CZK | 3,464 | 157,078 | 156,842 | 236 | — | ||||||
Expiring 04/08/22 | Goldman Sachs International | CZK | 1,007 | 46,347 | 45,595 | 752 | — | ||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | CZK | 1,793 | 82,544 | 81,183 | 1,361 | — | ||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | CZK | 1,006 | 46,296 | 45,549 | 747 | — | ||||||
Euro, | |||||||||||||
Expiring 04/08/22 | Goldman Sachs International | EUR | 6,415 | 7,297,286 | 7,098,123 | 199,163 | — | ||||||
Expiring 04/08/22 | Goldman Sachs International | EUR | 100 | 110,741 | 110,322 | 419 | — | ||||||
Expiring 04/08/22 | Goldman Sachs International | EUR | 23 | 25,616 | 25,519 | 97 | — | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 146 | 163,815 | 161,102 | 2,713 | — | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 145 | 165,445 | 160,073 | 5,372 | — | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 99 | 112,989 | 109,835 | 3,154 | — | ||||||
Expiring 04/08/22 | HSBC Bank PLC | EUR | 25 | 27,294 | 27,270 | 24 | — | ||||||
Expiring 07/15/22 | Morgan Stanley & Co. International PLC | EUR | 5,548 | 6,175,594 | 6,165,804 | 9,790 | — | ||||||
Hungarian Forint, | |||||||||||||
Expiring 04/08/22 | HSBC Bank PLC | HUF | 1 | 3 | 3 | — | — | ||||||
Expiring 04/08/22 | JPMorgan Chase Bank, N.A. | HUF | 36,465 | 113,004 | 109,687 | 3,317 | — |
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Indian Rupee, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | INR | 15,411 | $199,271 | $200,966 | $— | $(1,695) | ||||||
Kazakhstani Tenge, | |||||||||||||
Expiring 05/03/22 | Citibank, N.A. | KZT | 49,530 | 108,666 | 103,373 | 5,293 | — | ||||||
Expiring 05/03/22 | Merrill Lynch International | KZT | 48,264 | 105,726 | 100,731 | 4,995 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 04/08/22 | Goldman Sachs International | MXN | 4,776 | 230,603 | 239,795 | — | (9,192) | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/08/22 | Goldman Sachs International | PLN | 651 | 155,052 | 154,831 | 221 | — | ||||||
Expiring 04/08/22 | UBS AG | PLN | 5 | 1,171 | 1,189 | — | (18) | ||||||
Russian Ruble, | |||||||||||||
Expiring 04/25/22 | Goldman Sachs International | RUB | 6,686 | 87,037 | 78,861 | 8,176 | — | ||||||
Expiring 04/25/22 | Goldman Sachs International | RUB | 4,018 | 51,401 | 47,392 | 4,009 | — | ||||||
Expiring 04/25/22 | JPMorgan Chase Bank, N.A. | RUB | 18,584 | 227,105 | 219,197 | 7,908 | — | ||||||
South African Rand, | |||||||||||||
Expiring 04/08/22 | BNP Paribas S.A. | ZAR | 2,480 | 164,066 | 169,532 | — | (5,466) | ||||||
Expiring 04/08/22 | HSBC Bank PLC | ZAR | 1,706 | 111,932 | 116,626 | — | (4,694) | ||||||
Expiring 04/08/22 | State Street Bank & Trust Company | ZAR | 2,963 | 188,733 | 202,597 | — | (13,864) | ||||||
Expiring 07/15/22 | JPMorgan Chase Bank, N.A. | ZAR | 7,149 | 483,359 | 482,750 | 609 | — | ||||||
$16,875,742 | $16,666,656 | 258,356 | (49,270) | ||||||||||
$294,440 | $(180,094) |