N-Q 1 d784228dnq.htm N-Q - AIF N-Q - AIF
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

  Investment Company Act file number       811-05426                                                                                                                                            

AIM Investment Funds (Invesco Investment Funds)

 

(Exact name of registrant as specified in charter)

11 Greenway Plaza, Suite 1000     Houston, Texas 77046

 

(Address of principal executive offices)        (Zip code)

Philip A. Taylor      11 Greenway Plaza, Suite 1000 Houston, Texas 77046

 

(Name and address of agent for service)

  Registrant’s telephone number, including area code:      (713) 626-1919            

 

  Date of fiscal year end:   

    10/31                                 

  
  Date of reporting period:   

    07/31/14

  


Item 1. Schedule of Investments.


 

 

  Invesco All Cap Market Neutral Fund
 

Quarterly Schedule of Portfolio Holdings

July 31, 2014

 

 

 

 

  LOGO    
 

 

invesco.com/us

 

 

ACMN-QTR-1    7/14

 

 

Invesco Advisers, Inc.


Schedule of Investments(a)

July 31, 2014

(Unaudited)

 

       Shares         Value   

Common Stocks & Other Equity Interests–87.40%

  

Aerospace & Defense–1.50%

     

Ducommun Inc. (b)

     1,070       $ 29,585   

Raytheon Co. (c)

     1,740         157,940   
                187,525   

Agricultural Products–1.03%

     

Archer-Daniels-Midland Co. (c)

     2,780         128,992   

Alternative Carriers–0.57%

     

Inteliquent, Inc. (c)

     6,740         71,511   

Aluminum–0.78%

     

Alcoa Inc. (c)

     5,940         97,357   

Apparel Retail–0.64%

     

Guess?, Inc. (c)

     3,080         80,111   

Apparel, Accessories & Luxury Goods–0.51%

  

  

Columbia Sportswear Co. (c)

     160         11,962   

Iconix Brand Group, Inc. (b)(c)

     1,240         52,365   
                64,327   

Auto Parts & Equipment–1.57%

     

Motorcar Parts of America, Inc. (b)(c)

     2,830         62,996   

Tower International Inc. (b)(c)

     4,230         133,245   
                196,241   

Biotechnology–8.81%

     

Acorda Therapeutics Inc. (b)(c)

     3,910         114,446   

Bluebird Bio, Inc. (b)

     5,070         169,338   

Emergent Biosolutions, Inc. (b)(c)

     5,940         130,680   

Epizyme, Inc. (b)

     1,750         54,810   

Hyperion Therapeutics Inc. (b)(c)

     4,160         94,723   

Myriad Genetics, Inc. (b)(c)

     4,380         158,118   

Prothena Corp. PLC (Ireland)(b)(c)

     4,490         77,946   

Repligen Corp. (b)(c)

     6,560         137,563   

Sangamo BioSciences, Inc. (b)

     13,710         162,875   
                1,100,499   

Broadcasting–0.74%

     

CTC Media, Inc. (Russia)(c)

     9,600         92,832   

Building Products–0.12%

     

Allegion PLC

     280         14,400   

Casinos & Gaming–0.51%

     

Isle of Capri Casinos, Inc. (b)

     8,040         63,596   

Commercial Printing–1.45%

     

Deluxe Corp.

     730         40,157   

R. R. Donnelley & Sons Co.

     8,090         140,443   
                180,600   
       Shares         Value   

Communications Equipment–3.27%

     

Black Box Corp.

     3,130       $ 64,791   

Brocade Communications Systems, Inc. (c)

     18,940         174,438   

Palo Alto Networks, Inc. (b)

     2,090         168,997   
                408,226   

Computer & Electronics Retail–3.06%

  

  

Best Buy Co., Inc. (c)

     6,600         196,218   

GameStop Corp. -Class A (c)

     4,440         186,347   
                382,565   

Computer Storage & Peripherals–1.50%

     

Lexmark International, Inc. -Class A (c)

     3,890         186,837   

Construction Machinery & Heavy Trucks–2.70%

  

  

Caterpillar Inc. (c)

     1,650         166,238   

Trinity Industries, Inc. (c)

     3,930         171,505   
                337,743   

Consumer Electronics–2.12%

     

Harman International Industries, Inc. (c)

     1,890         205,159   

Skullcandy Inc. (b)

     5,470         36,977   

ZAGG Inc. (b)

     4,370         22,331   
                264,467   

Consumer Finance–0.70%

     

Imperial Holdings, Inc. (b)

     4,010         27,348   

Nelnet, Inc. -Class A

     1,470         60,608   
                87,956   

Data Processing & Outsourced Services–2.03%

  

  

Computer Sciences Corp.

     2,730         170,325   

Information Services Group, Inc. (b)

     7,660         33,474   

Xerox Corp.

     3,740         49,592   
                253,391   

Diversified Chemicals–0.04%

     

Olin Corp.

     190         5,048   

Diversified Commercial & Professional Services–0.91%

  

Global Cash Access Holdings, Inc. (b)(c)

     13,510         113,079   

Diversified Metals & Mining–0.09%

     

U.S. Silica Holdings, Inc.

     200         11,244   

Electronic Components–0.11%

     

Knowles Corp. (b)

     490         14,249   

Fertilizers & Agricultural Chemicals–0.06%

  

  

Scotts Miracle-Gro Co. (The) -Class A

     150         7,980   

Footwear–1.05%

     

Deckers Outdoor Corp. (b)(c)

     1,480         130,995   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


      Shares      Value  

Gas Utilities–0.15%

     

New Jersey Resources Corp.

     370       $ 18,900   

General Merchandise Stores–0.68%

     

Big Lots, Inc.

     1,940         84,875   

Health Care Equipment–0.10%

     

Exactech, Inc. (b)

     540         12,280   

Health Care Services–1.22%

     

Addus HomeCare Corp. (b)(c)

     2,140         47,380   

Alliance HealthCare Services, Inc. (b)(c)

     2,190         62,524   

Radnet, Inc. (b)

     8,430         43,077   
                152,981   

Health Care Supplies–0.91%

     

Anika Therapeutics, Inc. (b)(c)

     2,700         113,562   

Heavy Electrical Equipment–0.19%

     

Broadwind Energy, Inc. (b)

     2,760         23,943   

Home Entertainment Software–1.52%

     

Take-Two Interactive Software, Inc. (b)(c)

     8,470         189,558   

Hotels, Resorts & Cruise Lines–0.07%

     

Ambassadors Group, Inc. (b)

     1,890         8,127   

Human Resource & Employment Services–0.22%

  

Korn/Ferry International (b)

     930         27,361   

Internet Retail–2.24%

     

Lands’ End, Inc. (b)

     580         20,410   

Liberty Ventures -Series A (b)(c)

     2,420         167,367   

Nutrisystem, Inc. (c)

     5,720         91,806   
                279,583   

Internet Software & Services–2.22%

     

Constant Contact, Inc. (b)(c)

     4,360         135,727   

Conversant, Inc. (b)

     3,720         86,936   

LogMeIn, Inc. (b)

     1,350         54,959   
                277,622   

Investment Banking & Brokerage–0.40%

     

E*TRADE Financial Corp. (b)

     2,370         49,817   

IT Consulting & Other Services–0.10%

     

NCI, Inc. -Class A (b)

     1,410         12,662   

Life Sciences Tools & Services–0.17%

     

Enzo Biochem, Inc. (b)

     4,430         21,264   

Managed Health Care–2.00%

     

Centene Corp. (b)

     1,110         80,020   

Health Net Inc. (b)(c)

     4,120         169,703   
                249,723   

Movies & Entertainment–1.49%

     

Live Nation Entertainment, Inc. (b)(c)

     8,000         185,680   

Office Services & Supplies–1.46%

     

Pitney Bowes Inc. (c)

     6,760         182,926   
      Shares      Value  

Oil & Gas Drilling–2.85%

     

Nabors Industries Ltd.

     6,490       $ 176,268   

Patterson-UTI Energy, Inc. (c)

     5,240         179,994   
                356,262   

Oil & Gas Equipment & Services–1.24%

     

Basic Energy Services, Inc. (b)(c)

     6,440         154,496   

Oil & Gas Exploration & Production–10.63%

  

Abraxas Petroleum Corp. (b)(c)

     21,010         107,151   

Chesapeake Energy Corp. (c)

     6,370         167,977   

Clayton Williams Energy, Inc. (b)(c)

     1,520         161,743   

Encana Corp. (Canada)

     7,780         167,659   

Enerplus Corp. (Canada)(c)

     7,070         162,044   

Gran Tierra Energy, Inc. (Canada)(b)(c)

     14,680         97,475   

Kosmos Energy Ltd. (b)(c)

     15,010         144,546   

Penn West Petroleum Ltd. (Canada)

     6,250         48,313   

Seventy Seven Energy Inc. (b)

     409         9,174   

SM Energy Co. (c)

     2,210         173,574   

Warren Resources Inc. (b)(c)

     14,910         87,820   
                1,327,476   

Oil & Gas Refining & Marketing–4.36%

  

  

Adams Resources & Energy, Inc.

     590         38,550   

Green Plains Inc. (c)

     5,810         217,817   

REX American Resources Corp. (b)(c)

     1,660         140,021   

Valero Energy Corp. (c)

     2,930         148,844   
                545,232   

Oil & Gas Storage & Transportation–0.58%

  

Knightsbridge Tankers Ltd. (Bermuda)(c)

     6,300         71,820   

Packaged Foods & Meats–1.43%

     

Pilgrim’s Pride Corp. (b)

     6,410         179,224   

Paper Products–0.03%

     

Domtar Corp.

     120         4,310   

Personal Products–0.25%

     

Synutra International, Inc. (China)(b)

     5,140         31,303   

Pharmaceuticals–4.35%

     

Cumberland Pharmaceuticals Inc. (b)(c)

     1,650         7,656   

DepoMed, Inc. (b)(c)

     12,050         119,898   

Lannett Co., Inc. (b)(c)

     4,740         159,311   

Pernix Therapeutics Holdings, Inc. (b)

     7,640         57,376   

Pfizer Inc. (c)

     5,450         156,415   

POZEN Inc. (b)

     5,940         43,006   
                543,662   

Precious Metals & Minerals–0.19%

     

Stillwater Mining Co. (b)

     1,360         24,344   

Property & Casualty Insurance–1.16%

     

United Insurance Holdings Corp. (c)

     3,970         57,645   

Universal Insurance Holdings, Inc. (c)

     7,270         87,676   
                145,321   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


      Shares      Value  

Publishing–0.14%

  

Time Inc. (b)

     700       $ 16,870   

Regional Banks–0.32%

  

Orrstown Financial Services, Inc. (b)

     910         14,296   

Popular, Inc. (Puerto Rico)(b)

     810         25,839   
                40,135   

Residential REIT’s–0.11%

  

Starwood Waypoint Residential Trust (b)

     500         13,145   

Retail REIT’s–0.14%

  

Washington Prime Group Inc. (b)

     900         17,001   

Semiconductors–3.63%

  

Marvell Technology Group Ltd.

     6,170         82,308   

Micron Technology, Inc. (b)(c)

     5,470         167,108   

Skyworks Solutions, Inc. (c)

     4,020         204,055   
                453,471   

Specialty Stores–0.94%

  

Staples, Inc. (c)

     10,100         117,059   

Steel–0.28%

  

United States Steel Corp.

     1,050         35,164   

Technology Hardware, Storage & Peripherals–3.08%

  

Hewlett-Packard Co. (c)

     5,580         198,704   

NetApp, Inc.

     4,800         186,432   
                385,136   

Thrifts & Mortgage Finance–0.15%

  

BBX Capital Corp. -Class A (b)

     1,010         18,261   

Trading Companies & Distributors–0.13%

  

NOW Inc. (b)

     520         16,739   

Trucking–0.31%

  

USA Truck Inc. (b)

     2,060         38,110   

Water Utilities–0.09%

  

Consolidated Water Co., Ltd. (Cayman Islands)(c)

     1,050         10,909   

Total Common Stocks & Other Equity Interests (Cost $10,749,828)

              10,918,085   

Money Market Funds–14.59%

     

Liquid Assets Portfolio –Institutional Class (d)

     910,995         910,995   

Premier Portfolio –Institutional Class (d)

     910,995         910,995   

Total Money Market Funds
(Cost $1,821,990)

   

     1,821,990   

TOTAL INVESTMENTS–101.99%
(Cost $12,571,818)

   

     12,740,075   

OTHER ASSETS LESS LIABILITIES–(1.99)%

  

     (248,100)   

NET ASSETS–100.00%

  

   $ 12,491,975   
Securities Sold Short              
      Shares      Value  

Common Stocks–88.00%

  

Aerospace & Defense–1.51%

  

DigitalGlobe Inc.(b)

     860       $ 22,489   

Erickson Inc.(b)

     650         9,509   

Triumph Group, Inc.

     2,470         156,475   
                188,473   

Agricultural Products–1.22%

  

Darling International Inc.(b)

     8,140         152,381   

Apparel Retail–1.10%

  

Aeropostale, Inc.(b)

     4,050         13,446   

American Eagle Outfitters, Inc.

     11,590         123,549   
                136,995   

Apparel, Accessories & Luxury Goods–1.14%

  

Lululemon Athletica Inc.(b)

     3,710         142,724   

Application Software–2.42%

  

Concur Technologies, Inc.(b)

     780         72,509   

Datawatch Corp.(b)

     1,930         26,093   

Qlik Technologies Inc.(b)

     1,430         37,838   

Splunk Inc.

     3,540         166,451   
                302,891   

Asset Management & Custody Banks–0.35%

  

Financial Engines Inc.

     1,130         44,013   

Automobile Manufacturers–1.34%

  

Tesla Motors, Inc.(b)

     750         167,475   

Automotive Retail–1.34%

  

CarMax, Inc.(b)

     3,420         166,930   

Biotechnology–9.88%

  

ACADIA Pharmaceuticals Inc.(b)

     6,010         121,823   

Alnylam Pharmaceuticals Inc.(b)

     3,050         164,853   

ARIAD Pharmaceuticals, Inc.(b)

     11,140         64,166   

Biogen Idec Inc.(b)

     480         160,507   

CytRx Corp.(b)

     10,650         34,719   

Galectin Therapeutics Inc.(b)

     4,310         26,463   

KYTHERA Biopharmaceuticals, Inc.(b)

     990         33,244   

La Jolla Pharmaceutical Co.(b)

     1,110         10,811   

Mirati Therapeutics, Inc. (Canada)(b)

     1,490         27,073   

Navidea Biopharmaceuticals Inc.(b)

     25,520         33,942   

Ohr Pharmaceutical, Inc.(b)

     4,490         40,410   

Orexigen Therapeutics Inc.(b)

     21,460         107,085   

Raptor Pharmaceuticals Corp.(b)

     12,350         106,334   

Senomyx, Inc.(b)

     8,360         58,980   

Sorrento Therapeutics, Inc.(b)

     4,720         25,677   

Synta Pharmaceuticals Corp.(b)

     18,380         72,601   

Theravance, Inc.(b)

     6,720         145,824   
                1,234,512   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


       Shares         Value   

Brewers–0.71%

     

Boston Beer Co., Inc. (The)-Class A(b)

     400       $ 88,160   

Broadcasting–0.58%

     

Sinclair Broadcast Group, Inc.-Class A

     2,250         72,697   

Coal & Consumable Fuels–1.17%

     

Solazyme Inc.(b)

     15,100         146,168   

Communications Equipment–3.01%

     

Finisar Corp.(b)

     5,910         116,604   

Ubiquiti Networks Inc.(b)

     2,520         96,340   

ViaSat, Inc.(b)

     2,790         163,131   
                376,075   

Consumer Finance–0.08%

     

First Marblehead Corp. (The)(b)

     1,990         10,109   

Department Stores–1.36%

     

J. C. Penney Co., Inc.(b)

     18,170         170,435   

Electrical Components & Equipment–1.31%

  

SolarCity Corp.(b)

     2,290         163,804   

Electronic Equipment Manufacturers–0.12%

  

CUI Global, Inc.(b)

     2,330         14,469   

Electronic Manufacturing Services–1.11%

     

IPG Photonics Corp.(b)

     2,060         138,741   

Fertilizers & Agricultural Chemicals–0.50%

  

Intrepid Potash, Inc.(b)

     3,330         49,317   

Marrone Bio Innovations, Inc.(b)

     1,480         13,720   
                63,037   

Food Retail–0.93%

     

Fresh Market, Inc. (The)(b)

     2,920         87,395   

Whole Foods Market, Inc.

     740         28,283   
                115,678   

Forest Products–0.84%

     

Louisiana-Pacific Corp.(b)

     7,760         105,088   

General Merchandise Stores–0.45%

     

Conn’s, Inc.(b)

     1,410         56,400   

Gold–0.13%

     

Allied Nevada Gold Corp.(b)

     5,370         16,808   

Health Care Equipment–1.07%

     

GenMark Diagnostics Inc.(b)

     8,450         90,415   

TransEnterix, Inc.(b)

     10,740         42,638   
                133,053   

Health Care Facilities–1.32%

     

Tenet Healthcare Corp.(b)

     3,130         165,170   
       Shares         Value   

Health Care Services–1.00%

     

BioScrip Inc.(b)

     13,780       $ 103,212   

Catamaran Corp.(b)

     470         21,381   
                124,593   

Health Care Supplies–1.02%

     

Cerus Corp.(b)

     14,270         50,230   

TearLab Corp.(b)

     6,320         27,555   

Unilife Corp.(b)

     19,620         49,443   
                127,228   

Health Care Technology–0.47%

     

Medidata Solutions, Inc.(b)

     1,310         58,740   

Home Improvement Retail–0.84%

     

Tile Shop Holdings, Inc.(b)

     10,390         105,043   

Homebuilding–2.36%

     

KB Home

     5,410         88,183   

M.D.C. Holdings, Inc.

     3,000         80,910   

Ryland Group, Inc. (The)

     2,880         92,448   

Taylor Morrison Home Corp.-Class A(b)

     1,870         33,249   
                294,790   

Industrial Machinery–1.84%

     

Chart Industries, Inc.(b)

     1,780         135,369   

ExOne Co. (The)(b)

     2,870         93,878   
                229,247   

Insurance Brokers–0.73%

     

Brown & Brown, Inc.

     1,850         56,943   

eHealth, Inc.(b)

     1,680         34,776   
                91,719   

Integrated Oil & Gas–1.31%

     

Chevron Corp.

     1,270         164,135   

Internet Retail–1.25%

     

Amazon.com, Inc.(b)

     500         156,510   

Internet Software & Services–3.30%

     

GTT Communications, Inc.(b)

     900         9,144   

LinkedIn Corp.-Class A(b)

     900         162,576   

MercadoLibre Inc. (Argentina)

     1,830         169,275   

Millennial Media Inc.(b)

     17,420         60,099   

Spark Networks, Inc.(b)

     1,910         11,384   
                412,478   

Investment Banking & Brokerage–0.91%

     

FXCM, Inc.-Class A

     8,360         113,863   

Leisure Facilities–0.75%

     

Life Time Fitness, Inc.(b)

     2,390         94,046   

Leisure Products–0.15%

     

Black Diamond, Inc.(b)

     2,100         18,438   

Life & Health Insurance–0.06%

     

Citizens, Inc.(b)

     1,030         6,942   
 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


       Shares         Value   

Mortgage REIT’s–1.50%

     

Altisource Asset Management Corp.(b)

     245       $ 150,190   

Altisource Residential Corp.

     1,610         37,336   
                187,526   

Movies & Entertainment–1.34%

     

DreamWorks Animation SKG, Inc.-Class A(b)

     4,670         93,400   

Imax Corp. (Canada)(b)

     2,210         58,101   

Madison Square Garden Co. (The)-Class A(b)

     260         15,428   
                166,929   

Oil & Gas Drilling–1.45%

     

Atwood Oceanics, Inc.(b)

     380         18,297   

Diamond Offshore Drilling, Inc.

     3,470         162,361   
                180,658   

Oil & Gas Equipment & Services–2.24%

  

  

McDermott International, Inc.(b)

     22,230         162,279   

Nuverra Environmental Solutions, Inc.(b)

     790         14,710   

Schlumberger Ltd.

     950         102,970   
                279,959   

Oil & Gas Exploration & Production–8.51%

  

  

American Eagle Energy Corp.(b)

     5,770         37,101   

Cobalt International Energy, Inc.(b)

     10,500         168,210   

Emerald Oil, Inc.(b)

     13,210         96,961   

Gastar Exploration Inc.(b)

     12,460         82,485   

Gulfport Energy Corp.(b)

     3,050         162,901   

Halcon Resources Corp.(b)

     27,170         161,662   

Midstates Petroleum Co. Inc.(b)

     13,970         89,129   

Miller Energy Resources Inc.(b)

     9,160         44,792   

Ring Energy Inc. (Canada)(b)

     5,090         88,057   

Triangle Petroleum Corp.(b)

     12,180         131,544   
                1,062,842   

Oil & Gas Storage & Transportation–3.67%

  

  

Cheniere Energy, Inc.(b)

     1,850         130,906   

Enbridge Inc. (Canada)

     3,330         163,103   

Golar LNG Ltd. (Norway)

     2,670         164,499   
                458,508   

Packaged Foods & Meats–0.29%

     

B&G Foods Inc.

     1,280         35,930   

Personal Products–0.65%

  

  

Elizabeth Arden, Inc.(b)

     1,690         34,865   

Nu Skin Enterprises, Inc.-Class A

     780         45,778   
                80,643   

Pharmaceuticals–3.82%

     

Adamis Pharmaceuticals Corp.(b)

     1,710         6,447   

Alimera Sciences Inc.(b)

     4,220         24,392   

Ampio Pharmaceuticals, Inc.(b)

     10,280         61,989   

Cempra Holdings Inc.(b)

     6,830         62,836   

Omeros Corp.(b)

     6,740         91,731   

Supernus Pharmaceuticals Inc.(b)

     7,920         68,587   

TherapeuticsMD, Inc.(b)

     23,710         110,014   
       Shares         Value   

Pharmaceuticals–(continued)

     

Xenoport Inc.(b)

     11,890       $ 51,008   
                477,004   

Real Estate Management & Development–0.36%

  

  

Alexander & Baldwin Inc.

     1,170         44,659   

Research & Consulting Services–1.32%

  

  

Acacia Research

     9,630         164,288   

Restaurants–0.58%

     

Bob Evans Farms, Inc.

     1,390         66,039   

Diversified Restaurant Holdings, Inc.(b)

     1,470         6,894   
                72,933   

Semiconductor Equipment–1.30%

     

GT Advanced Technologies Inc.(b)

     9,420         130,373   

Rubicon Technology, Inc.(b)

     4,290         32,304   
                162,677   

Semiconductors–2.73%

     

Applied Micro Circuits Corp.(b)

     15,110         126,169   

InvenSense Inc.(b)

     7,120         163,831   

MoSys, Inc.(b)

     5,250         17,377   

QuickLogic Corp.(b)

     10,070         34,238   
                341,615   

Specialty Stores–1.32%

     

Ulta Salon, Cosmetics & Fragrance, Inc.(b)

     1,790         165,271   

Systems Software–2.03%

     

CommVault Systems, Inc.(b)

     2,700         129,654   

NetSuite Inc.(b)

     1,470         123,936   
                253,590   

Technology Distributors–0.60%

     

SYNNEX Corp.(b)

     1,170         75,465   

Technology Hardware, Storage & Peripherals–1.82%

  

Silicon Graphics International Corp.(b)

     6,530         62,100   

Stratasys Ltd.(b)

     1,640         164,886   
                226,986   

Thrifts & Mortgage Finance–1.16%

     

Ocwen Financial Corp.(b)

     4,800         144,816   

Wireless Telecommunication Services–0.33%

  

  

SBA Communications Corp.-Class A(b)

     380         40,633   

Total Securities Sold Short
(Total Proceeds $11,827,190)

            $ 10,992,990   
 

 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


Investment Abbreviations:

 

REIT

 

—Real Estate Investment Trust

Notes to Schedule of Investments:

 

(a)  Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.

 

(b)  Non-income producing security.

 

(c)  All or a portion of this security was pledged as collateral to cover margin requirements for securities sold short. The aggregate value of collateral that was segregated by the Fund was $17,410,972, which represents 158.38% of the value of securities sold short.

 

(d)  The money market fund and the Fund are affiliated by having the same investment adviser.

    

 

 

See accompanying notes which are an integral part of this schedule.

 

Invesco All Cap Market Neutral Fund


Notes to Quarterly Schedule of Portfolio Holdings

July 31, 2014

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

 

Invesco All Cap Market Neutral Fund


A. Security Valuations(continued)

 

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain of the Fund’s investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

B. Securities Transactions and Investment Income Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Securities Sold Short The Fund may enter into short sales of securities which it concurrently holds (“covered”) or for which it holds no corresponding position (“not covered”). Securities sold short represent a liability of the Fund to acquire specific securities at prevailing market prices at a future date in order to satisfy the obligation to deliver the securities sold. The liability is recorded on the books of the Fund at the market value of the common stock determined each day in accordance with the Fund’s security valuations policy. The Fund will incur a loss if the price of the security increases between the date of short sale and the date on which the Fund replaces the borrowed security. The Fund realizes a gain if the price of the security declines between those dates. For positions not covered, there is no ceiling on the ultimate price paid for the securities to cover the short position and therefore, the loss could exceed the amount of proceeds received.

The Fund is required to segregate cash or securities as collateral in margin accounts with the broker at a level that is equal to the obligation to the broker who delivered such securities to the buyer on behalf of the Fund. The short stock rebate presented in the Statement of Operations represents the net income earned on short sale proceeds held on deposit with the broker and margin interest earned or incurred on short sale transactions. The Fund may also earn or incur margin interest on short sale transactions. Margin interest is the income earned (or expenses incurred) as a result of the market value of securities sold short being less than (or greater than) the proceeds received on the short sales.

E. Collateral To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

 

Invesco All Cap Market Neutral Fund


NOTE 2 — Additional Valuation Information

Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

  Level 1 –   Prices are determined using quoted prices in an active market for identical assets.
  Level 2 –   Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
  Level 3 –   Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of July 31, 2014. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

 

         Level 1              Level 2              Level 3              Total      

 

 

Equity Securities

   $ 12,740,075       $       $       $ 12,740,075   

 

 

Securities Sold Short

     (10,992,990)                         (10,992,990)   

 

 

Total Investments

   $ 1,747,085       $       $       $ 1,747,085   

 

 

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the period December 17, 2013 (commencement date) to July 31, 2014 was $18,783,900 and $8,417,222, respectively. In a fund’s initial year of operations, the cost of investments for tax purposes will not reflect any tax adjustments until its fiscal year end reporting period.

 

Unrealized Appreciation (Depreciation) of Investments on a Tax Basis  

 

 

Aggregate unrealized appreciation of:

  

Investment securities

   $ 679,331   

 

 

Securities sold short

     1,199,585   

 

 

Aggregate unrealized (depreciation) of:

  

Investment securities

     (511,074)   

 

 

Securities sold short

     (365,385)   

 

 

Net unrealized appreciation of investments

   $ 1,002,457   

 

 
Cost of investments is the same for tax and financial reporting purposes.   
Proceeds from securities sold short are the same for tax and financial reporting purposes.   

 

Invesco All Cap Market Neutral Fund


 

 

Invesco Balanced-Risk Allocation Fund

Quarterly Schedule of Portfolio Holdings

July 31, 2014

 

 

 

 

LOGO

 

invesco.com/us    IBRA-QTR-1      7/14    Invesco Advisers, Inc.

 

 


Consolidated Schedule of Investments

July 31, 2014

(Unaudited)

 

     

Interest
Rate

 

Maturity
Date

    

Principal
Amount

     Value  

U.S. Treasury Securities–35.07%

          

U.S. Treasury Bills–29.45%(a)

          

U.S. Treasury Bills (b)

   0.06%     08/07/14       $ 358,750,000       $ 358,749,697   

U.S. Treasury Bills

   0.07%     08/28/14         116,886,000         116,885,117   

U.S. Treasury Bills

   0.02%     10/02/14         338,410,000         338,404,132   

U.S. Treasury Bills

   0.02%     10/09/14         348,670,000         348,666,613   

U.S. Treasury Bills

   0.05%     12/04/14         173,050,000         173,028,928   

U.S. Treasury Bills (b)

   0.05%     12/11/14         180,550,000         180,523,473   

U.S. Treasury Bills

   0.02%     12/18/14         172,069,000         172,042,378   

U.S. Treasury Bills

   0.04%     12/18/14         166,341,000         166,315,265   

U.S. Treasury Bills (b)

   0.10%     01/08/15         193,400,000         193,361,260   

U.S. Treasury Bills

   0.05%     01/15/15         290,100,000         290,039,347   

U.S. Treasury Bills

   0.05%     01/22/15         270,760,000         270,701,016   

U.S. Treasury Bills

   0.06%     01/29/15         233,180,000         233,124,270   
                             2,841,841,496   

U.S. Treasury Notes–5.62%

          

U.S. Treasury Notes (c)

   0.07%     01/31/16         204,210,000         204,183,115   

U.S. Treasury Notes (c)

   0.09%     04/30/16         338,290,000         338,315,148   
                             542,498,263   

Total U.S. Treasury Securities (Cost $3,384,224,254)

                           3,384,339,759   
         Expiration
Date
               

Commodity-Linked Securities–2.86%

          

Cargill, Inc. Commodity Linked Notes, one month LIBOR rate minus 0.10% (linked to the Monthly Rebalance Commodity Excess Return Index, multiplied by two) (d)

         12/19/14         83,000,000         88,424,254   

Cargill, Inc. Commodity Linked Notes, one month LIBOR rate minus 0.10% (linked to the Monthly Rebalance Commodity Excess Return Index, multiplied by two) (d)

         06/11/15         79,000,000         66,151,472   

Canadian Imperial Bank of Commerce Linked EMTN, U.S. Federal Funds Effective Rate minus 0.04% (linked to the CIBC Custom 1 Agriculture Commodity Index, multiplied by 2) (d)

         12/04/14         82,158,940         87,759,672   

RBC Capital Markets Commodity Linked Notes, U.S. Federal Funds Effective Rate minus 0.04% (linked to the RBC Enhanced Agricultural Basked 01 Excess Return Index, multiplied by 2) (d)

         08/24/15         35,500,000         34,018,379   

Total Commodity-Linked Securities (Cost $279,658,940)

                           276,353,777   
                Shares         

Money Market Funds–56.36%

          

Liquid Assets Portfolio - Institutional Class (e)

                  608,654,477         608,654,477   

Premier Portfolio – Institutional Class (e)

                  608,654,477         608,654,477   

STIC (Global Series) PLC – U.S. Dollar Liquidity Portfolio (Ireland) – Institutional Class (e)

                  1,049,178,574         1,049,178,574   

Treasury Portfolio - Institutional Class (e)

                  3,173,273,873         3,173,273,873   

Total Money Market Funds (Cost $5,439,761,401)

                           5,439,761,401   

TOTAL INVESTMENTS–94.29% (Cost $9,103,644,595)

                           9,100,454,937   

OTHER ASSETS LESS LIABILITIES–5.71%

                           551,135,425   

NET ASSETS–100.00%

                         $ 9,651,590,362   

 

See accompanying notes which are an integral part of this consolidated schedule.

Invesco Balanced-Risk Allocation Fund


Open Futures Contracts at Period-End(f)

 
Futures Contracts    Type of
Contract
   Number of
Contracts
     Expiration
Month
     Notional
Value
    

Unrealized

Appreciation

(Depreciation)

 

Brent Crude

   Long      2,220         December-2014         $237,362,400         $(8,314,560)   

Gas Oil

   Long      1,060         September-2014         94,287,000         (46,008)   

Gasoline Reformulated Blendstock Oxygenate Blending

   Long      1,752         September-2014         205,851,240         (4,872,911)   

Heating Oil

   Long      103         January-2015         12,654,848         (364,498)   

Silver

   Long      2,780         September-2014         283,726,800         (9,443,776)   

WTI Crude

   Long      2,095         October-2014         203,885,400         2,148,936   

Subtotal - Commodity Risk

                                     $(20,892,817)   

Australian 10 Year Bonds

   Long      13,920         September-2014         1,563,868,928         34,884,515   

Canada 10 Year Bonds

   Long      14,060         September-2014         1,765,398,514         25,893,377   

Euro Bonds

   Long      8,750         September-2014         1,733,758,346         36,270,665   

Japan 10 Year Bonds

   Long      768         September-2014         1,089,505,736         5,383,057   

Long Gilt

   Long      8,580         September-2014         1,603,172,794         11,657,208   

U.S. Treasury 20 Year Bonds

   Long      6,280         September-2014         862,911,250         3,487,038   

Subtotal – Interest Rate Risk

                                     $117,575,860   

Dow Jones EURO STOXX 50 Index

   Long      18,150         September-2014         757,949,282         (35,124,125)   

E-Mini S&P 500 Index

   Long      4,950         September-2014         476,388,000         (933,927)   

FTSE 100 Index

   Long      5,800         September-2014         654,320,997         (3,168,732)   

Hang Seng Index

   Long      3,440         August-2014         549,638,327         12,498,877   

Russell 2000 Index Mini

   Long      3,580         September-2014         399,778,600         (17,152,553)   

Tokyo Stock Price Index

   Long      4,700         September-2014         590,584,289         25,714,654   

Subtotal - Market Risk

                                     $(18,165,806)   

Total Future Contracts

                                     $78,517,237   

 

Open Over-The-Counter Total Return Swap Agreements at Period-End

 
Long Swap Agreements    Type of
Contract
   Counterparty    Number of
Contracts
   Termination
Date
   Notional
Value
  

 

Unrealized
Appreciation
(Depreciation)

 

Receive a return equal to Dow Jones-UBS Gold Index and pay the product of (i) 0.15% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Merrill Lynch
International
   1,042,000    December-2014    $172,944,179      $0   

Receive a return equal to MLCX Dynamic Enhanced Copper Excess Return Index and pay the product of (i) 0.25% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Merrill Lynch
International
   430,000    May-2015    299,274,668      0   

 

See accompanying notes which are an integral part of this consolidated schedule.

Invesco Balanced-Risk Allocation Fund


Open Over-The-Counter Total Return Swap Agreements at Period-End

 
Long Swap Agreements    Type of
Contract
   Counterparty    Number of
Contracts
   Termination
Date
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 

Receive a return equal to Barclays Commodity Strategy 1452 Excess Return Index and pay the product of (i) 0.33% of the Notional value multiplied by (ii) days in the period divided by 365

   Long    Barclays Bank
PLC
   353,000    May-2015    $200,800,873      $(429,248)   

Receive a return equal to Single Commodity Index Excess Return and pay the product of (i) 0.12% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Cargill, Inc.    166,500    May-2015    158,015,793      0   

Receive a return equal to CIBC Dynamic Roll LME Copper Excess Return Index and pay the product of (i) 0.30% of the Notional value multiplied by (ii) days in the period divided by 365

   Long    Canadian
Imperial Bank
Commerce
   2,240,000    April-2015    201,964,672      (1,156,960)   

Receive a return equal to Goldman Sachs Alpha Basket B765 Excess Return Strategy and pay the product of (i) 0.45% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Goldman

Sachs
International

   137,000    June-2015    77,025,332      0   

Receive a return equal to J.P. Morgan Bespoke Commodity Index and pay the product of (i) 0.49% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    J.P. Morgan
Chase Bank,
N.A.
   2,000    June-2015    1,353,632      2,511   

Receive a return equal to S&P GSCI Gold Index Excess Return and pay the product of (i) 0.09% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    J.P. Morgan
Chase Bank,
N.A.
   1,250,000    April-2015    137,387,125      (2,646,875)   

Receive a return equal to Macquarie Commodity Customized Product 118E Index and pay the product of (i) 0.33% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Macquarie
Bank Limited
   67,667    July-2015    23,536,146      (279,126)   

 

See accompanying notes which are an integral part of this consolidated schedule.

Invesco Balanced-Risk Allocation Fund


Open Over-The-Counter Total Return Swap Agreements at Period-End

 
Long Swap Agreements    Type of
Contract
   Counterparty    Number of
Contracts
   Termination
Date
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Receive a return equal to Macquarie Commodity Customized Product 118E Index and pay the product of (i) 0.33% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Macquarie
Bank Limited
   67,667      July-2015         $23,536,146         $(279,126)   

Receive a return equal to Macquarie Commodity Customized Product 118E Index and pay the product of (i) 0.33% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Macquarie
Bank Limited
   67,667      July-2015         23,535,798         (279,122)   

Receive a return equal to S&P GSCI Aluminum Dynamic Roll Index Excess Return and pay the product of (i) 0.38% of the Notional Value multiplied by (ii) days in the period divided by 365

   Long    Morgan Stanley
Capital
Services LLC
   1,105,000      October-2014         131,865,728         (832,618)   

Subtotal – Commodity Risk

                                      $(5,900,564)   

Open Centrally Cleared Total Return Swap Agreements at Period-End(f)

 

 

    

                                         

Receive a return equal to the LIFFE Long Gilt Futures multiplied by 0.01% of the Notional Value

   Long    Goldman Sachs
International
   390      September-2014         72,871,491         500,507   

Subtotal – Interest Rate Risk

                                      $500,507   

Receive a return equal to Hang Seng Index Futures multiplied by the Notional Value

   Long    Goldman Sachs
International
   1,720      August-2014         274,819,164         5,777,544   

Subtotal – Market Risk

                                      $5,777,544   

Total Swap Agreements

                                      $377,487   

Investment Abbreviations:

 

EMTN             

—   Euro Medium Term Notes

 

LIBOR     

—  London Interbank Offered Rate

 

LIFFE      —  London International Financial Futures and Options Exchange

 

See accompanying notes which are an integral part of this consolidated schedule.

Invesco Balanced-Risk Allocation Fund


Index Information:

 

Dow Jones-UBS Gold Index      a commodity index composed of future contracts on gold.
MLCX Dynamic Enhanced Copper Excess Return Index      a commodity index composed of future contracts on copper.
Barclays Commodity Strategy 1452 Excess Return Index      a commodity index that provide exposure to future contracts on copper.
RBC Enhanced Agricultural Basket 01 Excess Return Index      a basket of four indices that provide exposure to various components of the agriculture markets. The underlying commodities comprising the indices are: Cotton, Soybeans, Soybean Meal and Sugar.
Single Commodity Excess Return Index      a commodity index composed of future contracts on gold.
CIBC Dynamic Roll LME Copper Excess Return Index      a commodity index composed of future contracts on copper.
Goldman Sachs Alpha Basket B765 Excess Return Strategy      a basket of four indices that provide exposure to various components of the agriculture markets. The underlying commodities comprising the indices are: Sugar, Soybeans, Soybean Meal and Live Cattle.
JP Morgan Bespoke Commodity Index      an index comprised of four commodity indices that provide exposure to various components of the agriculture markets. The underlying commodities comprising the indices are: Sugar, Soybeans, Soybean Meal and Live Cattle.
S&P GSCI Gold Index Excess Return      a commodity index composed of future contracts on gold.
Macquarie Commodity Customized Product 118E Index      a basket of four indices that provide exposure to various components of the agriculture markets. The underlying commodities comprising the indices are: Sugar, Cotton, Soybeans and Soybean Meal.
S&P GSCI Aluminum Dynamic Roll Index Excess Return      a commodity index composed of future contracts on aluminum.

Notes to Schedule of Investments:

 

(a)  Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.
(b)  All or a portion of the value was designated as collateral to cover margin requirements for swap agreements. See Note 1H.
(c)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2014.
(d)  Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at July 31, 2014 was $276,353,777, which represented 2.86% of the Fund’s Net Assets.
(e)  The money market fund and the Fund are affiliated by having the same investment adviser.
(f)  Futures and centrally cleared swap agreements collateralized by $609,220,000 cash held with Bank of America Securities LLC, the futures commission merchant.

 

See accompanying notes which are an integral part of this consolidated schedule.

Invesco Balanced-Risk Allocation Fund


Notes to Quarterly Schedule of Portfolio Holdings

July 31, 2014

(Unaudited)

NOTE 1 — Significant Accounting Policies

Invesco Balanced-Risk Allocation Fund (the “Fund”) will seek to gain exposure to the commodity markets primarily through investments in the Invesco Cayman Commodity Fund I Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives. The Fund may invest up to 25% of its total assets in the Subsidiary.

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

 

Invesco Balanced-Risk Allocation Fund

 


A. Security Valuations(continued)

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain of the Fund’s investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Consolidated Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Consolidated Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

 

Invesco Balanced-Risk Allocation Fund

 


D. Structured Securities(continued)

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

E. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable.

F. Forward Foreign Currency Contracts – The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis at the rate prevailing in the currency exchange market at the time or through forward foreign currency contracts to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Consolidated Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Consolidated Statement of Assets and Liabilities.

G. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to

 

Invesco Balanced-Risk Allocation Fund

 


G. Futures Contracts(continued)

be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.

H. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between two parties (“Counterparties”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

I. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leverage and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.

The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

J. Leverage Risk – Leverage exists when a Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
K. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — Additional Valuation Information

Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

 

Invesco Balanced-Risk Allocation Fund

 


Level 1 –

   Prices are determined using quoted prices in an active market for identical assets.

Level 2 –

   Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.

Level 3 –

   Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of July 31, 2014. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

 

      Level 1      Level 2      Level 3      Total  

Money Market Funds

   $ 5,439,761,401       $       $       $ 5,439,761,401   

U.S. Treasury Securities

             3,384,339,759                 3,384,339,759   

Commodity-Linked Securities

             276,353,777                 276,353,777   
       5,439,761,401         3,660,693,536                 9,100,454,937   

Futures*

     78,517,237                         78,517,237   

Swap Agreements*

             377,487                 377,487   

Total Investments

   $ 5,518,278,638       $ 3,661,071,023       $       $ 9,179,349,661   
* Unrealized appreciation.

NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of July 31, 2014:

 

     Value  
Risk Exposure/ Derivative Type    Assets      Liabilities  

Commodity risk:

                 

Futures contracts (a)

   $ 2,148,936       $ (23,041,753

Swap agreements

     2,511         (5,903,075

Interest rate risk:

     

Futures contracts (a)

     117,575,860           

Swap agreements

     500,507           

Market risk:

     

Futures contracts (a)

     38,213,531         (56,379,337

Swap agreements

     5,777,544           

Total

   $ 164,218,889       $ (85,324,165

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

 

Invesco Balanced-Risk Allocation Fund

 


Effect of Derivative Investments for the nine months ended July 31, 2014

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

 

      Location of Gain (Loss)  
   Futures     Swap Agreements  

Realized Gain (Loss)

    

Commodity risk

   $ (18,242,948   $ (49,159,471

Interest rate risk

     446,431,046        8,246,730   

Market risk

     383,454,822        6,554,445   

Change in Unrealized Appreciation (Depreciation)

    

Commodity risk

     (5,308,569     14,172,327   

Interest rate risk

     (130,004,065     500,507   

Market risk

     (195,945,115     5,777,544   

Total

   $ 480,385,171      $ (13,907,918

The table below summarizes the average notional value of futures contracts and swap agreements outstanding during the period.

 

      Futures      Swap
Agreements
 

Average notional value

   $ 13,902,525,475       $ 1,784,054,596   

NOTE 4 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the nine months ended July 31, 2014 was $279,659,124 and $246,720,950, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis  

Aggregate unrealized appreciation of investment securities

   $ 11,157,081   

Aggregate unrealized (depreciation) of investment securities

     (14,346,739

Net unrealized appreciation (depreciation) of investment securities

   $ (3,189,658
Cost of investments is the same for tax and financial reporting purposes.   

 

Invesco Balanced-Risk Allocation Fund

 


 

 

 

Invesco Balanced-Risk Commodity

Strategy Fund

 

Quarterly Schedule of Portfolio Holdings

July 31, 2014

 

 

 

 

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invesco.com/us

 

 

BRCS-QTR-1    7/14

 

 

Invesco Advisers, Inc.


Consolidated Schedule of Investments

July 31, 2014

(Unaudited)

 

 

     

Interest

Rate

   

Maturity

Date

   Principal
Amount
     Value

U.S. Treasury Securities–60.35%

          

U.S. Treasury Bills–51.77%(a)

 

          

U.S. Treasury Bills (b)

     0.06   08/07/14    $ 82,490,000       $    82,489,930

U.S. Treasury Bills

     0.07   08/28/14      77,560,000       77,559,415

U.S. Treasury Bills (b)

     0.02   10/02/14      18,770,000       18,769,675

U.S. Treasury Bills (c)

     0.02   10/09/14      19,340,000       19,339,812

U.S. Treasury Bills (c)

     0.05   12/04/14      38,390,000       38,385,325

U.S. Treasury Bills (b)

     0.05   12/11/14      8,190,000       8,188,797

U.S. Treasury Bills (b)

     0.06   12/11/14      2,210,000       2,209,675

U.S. Treasury Bills (b)

     0.02   12/18/14      9,544,000       9,542,523

U.S. Treasury Bills (b)

     0.04   12/18/14      9,226,000       9,224,573

U.S. Treasury Bills (b)

     0.10   01/08/15      16,800,000       16,796,635

U.S. Treasury Bills (b)

     0.05   01/15/15      40,200,000       40,191,595

U.S. Treasury Bills (b)

     0.05   01/22/15      23,520,000       23,514,876

U.S. Treasury Bills

     0.06   01/29/15      53,610,000       53,597,187
                           399,810,018

U.S. Treasury Notes–8.58%

          

U.S. Treasury Notes (c)(d)

     0.07   01/31/16      18,890,000       18,887,513

U.S. Treasury Notes (b)(d)

     0.09   04/30/16      47,340,000       47,343,519
                          

66,231,032

Total U.S. Treasury Securities (Cost $466,024,197)

                         466,041,050
                Shares       

Exchange Traded Fund–3.00%

          

 

PowerShares DB Gold Fund (Cost $28,788,689) (e)(f)

                  542,000       23,213,860
          

Expiration

Date

   Principal
Amount
      

Commodity-Linked Security–2.71%

          

 

Barclays Bank PLC, Series 4, U.S. Federal Funds (Effective) Rate minus 0.06% (linked to the Barclays Diversified Energy-Metals Total Return Index, multiplied by 3) (Cost $20,365,000) (g)

           09/02/14    $ 20,365,000       20,905,889
                Shares       

Money Market Funds–35.70%

          

 

Liquid Assets Portfolio—Institutional Class (h)

                  101,326,777       101,326,777

Premier Portfolio—Institutional Class (h)

                  101,326,777       101,326,777

STIC (Global Series) PLC – U.S. Dollar Liquidity Portfolio (Ireland)—Institutional Class (h)

                  73,021,441       73,021,441

Total Money Market Funds (Cost $275,674,995)

                         275,674,995

TOTAL INVESTMENTS–101.76% (Cost $790,852,881)

                         785,835,794

OTHER ASSETS LESS LIABILITIES–(1.76)%

                         (13,606,413)

NET ASSETS–100.00%

                         $   772,229,381

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund


Open Futures Contracts and Swap Agreements at Period-End  
Futures Contracts    Type of
Contract
         Number of
Contracts
    

Expiration

Month

   Notional
Value
    Unrealized
Appreciation
(Depreciation)
 

Coffee C

   Short           103       September–2014    $ (7,533,806   $ (830,382

Corn

   Short           716       December–2014      (13,138,600     2,324,193   

Cotton No. 2

   Short           25       December–2014      (785,875     118,930   

Natural Gas

   Short           1,360       September–2014      (13,059,400     440,164   

NYH RBOB Gasoline (Globex)

   Long           370       September–2014      43,473,150        (972,160

Soybean

   Long           1,160       November–2014      62,756,000        (8,011,198

Soybean Oil

   Short           643       December–2014      (14,043,120     808,193   

Wheat

   Short           349       September–2014      (9,252,863     1,022,360   

Total Futures Contracts—Commodity Risk

  

  $ (5,099,900
Swap Agreements    Type of
Contract
   Counterparty    Number of
Contracts
     Termination
Date
   Notional
Value
    Unrealized
Appreciation
(Depreciation)
 
Receive a return equal to the Barclays Brent Crude Roll Yield Excess Return Index and pay the product of (i) 0.35% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Barclays
Bank PLC
     83,500       March–2015    $ 55,466,036      $ (129,600
Receive a return equal to the Barclays Heating Oil Roll Yield Excess Return Index and pay the product of (i) 0.37% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Barclays
Bank PLC
     6,500       June–2015      3,012,307        728   
Receive a return equal to the Barclays Silver Nearby Excess Return Index and pay the product of (i) 0.19% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Barclays
Bank PLC
     235,900       June–2015      65,147,229        (1,487,633
Receive a return equal to the Barclays WTI Crude Roll Yield Excess Return Index and pay the product of (i) 0.35% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Barclays
Bank PLC
     80,100       March–2015      48,753,970        (842,019
Receive a return equal to the CIBC Dynamic Roll LME Copper Excess Return Index 2 and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Canadian
Imperial
Bank of
Commerce
     1,548,700       April–2015      139,635,128        (799,903
Receive a return equal to the CIBC Silver Index and pay the product of (i) 0.11% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Canadian
Imperial
Bank of
Commerce
     165,200       February–2015      21,439,805        (1,047,963
Receive a return equal to the Goldman Sachs Soybean Meal Excess Return Strategy and pay the product of (i) 0.30% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Goldman
Sachs
International
     61,620       November–2014      69,651,366        (1,922,421
Pay/Receive a floating rate equal to the S&P GSCI Brent Crude 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Short    Goldman
Sachs
International
     8,250       February–2015      (12,077,365     0   
Receive a return equal to the S&P GSCI Crude Oil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Goldman
Sachs
International
     69,550       February–2015      48,215,364        0   
Receive a return equal to the S&P GSCI Gasoil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Goldman
Sachs
International
     14,000       July–2015      13,958,290        0   
Pay/Receive a floating rate equal to the S&P GSCI Heating Oil 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Short    Goldman
Sachs
International
     124,200       February–2015      (60,246,390     0   
Receive a return equal to the S&P GSCI Natural Gas 1 Month Forward Index Excess Return and pay the product of (i) 0.12% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Goldman
Sachs
International
     2,430,000       January–2015      24,100,619        0   

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund


Swap Agreements (continued)    Type of
Contract
   Counterparty    Number of
Contracts
   Termination
Date
   Notional
Value
     Unrealized
Appreciation
(Depreciation)
 
Receive a return equal to the Enhanced Strategy Sugar A141 on the S&P GSCI Sugar Excess Return Index and pay the product of (i) 0.37% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Goldman Sachs
International
   119,650    March–2015    $     37,036,999       $ (1,405,708
Pay/Receive a floating rate equal to the S&P GSCI Gold Index Excess Return and pay the product of (i) 0.09% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    JPMorgan Chase
Bank, N.A.
   506,100    April–2015      55,625,299         (1,071,667
Receive a return equal to the Modified Macquarie Single Commodity Sugar type A Excess Return Index and pay the product of (i) 0.34% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Macquarie Bank
Ltd.
   97,850    March–2015      26,490,285         (733,875
Receive a return equal to the Merrill Lynch Gold Excess Return Index and pay the product of (i) 0.14% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Merrill Lynch
International
   354,000    June–2015      61,694,872         0   
Receive a return equal to the MLCX Aluminum Annual Excess Return Index and pay the product of (i) 0.28% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Merrill Lynch
International
   310,500    July–2015      35,814,281         0   
Receive a return equal to the MLCX Dynamic Enhanced Copper Excess Return Index and pay the product of (i) 0.25% of the Notional Amount multiplied by (ii) days in the period divided by 365.    Long    Merrill Lynch
International
   107,820    May–2015      75,041,383         0   

Total Swap Agreements–Commodity Risk

                                $ (9,440,061

 

Index Information:     
Barclays Diversified Energy-Metals Total Return Index      a basket of indices that provide exposure to various components of the energy and metals markets. The underlying commodities comprising the indices are: gold, silver, copper, Brent Crude oil, WTI Crude oil, gasoil and unleaded gasoline.
Barclays Brent Crude Roll Yield Excess Return Index      a commodity index composed of futures contracts on Brent Crude oil.
Barclays Heating Oil Roll Yield Excess Return Index      a commodity index composed of futures contracts on heating oil.
Barclays Silver Nearby Excess Return Index      a commodity index composed of futures contracts on silver.
Barclays WTI Crude Roll Yield Excess Return Index      a commodity index composed of futures contracts on WTI Crude oil.
CIBC Dynamic Roll LME Copper Excess Return Index 2      a commodity index composed of futures contracts on copper.
CIBC Silver Index      a commodity index composed of futures contracts on silver.
Goldman Sachs Soybean Meal Excess Return Strategy      a commodity index composed of futures contracts on soybean meal.
S&P GSCI Brent Crude 1 Month Forward Index Excess Return      a commodity index composed of futures contracts on Brent Crude oil.
S&P GSCI Crude Oil 1 Month Forward Index Excess Return      a commodity index composed of futures contracts on crude oil.
S&P GSCI Gasoil 1 Month Forward Index Excess Return      a commodity index composed of futures contracts on gasoil.
S&P GSCI Heating Oil 1 Month Forward Index Excess Return      a commodity index composed of futures contracts on heating oil.
S&P GSCI Natural Gas 1 Month Forward Index Excess Return      a commodity index composed of futures contracts on natural gas.
Enhanced Strategy Sugar A141 on the S&P GSCI Sugar Excess Return Index      a commodity index composed of futures contracts on sugar.
S&P GSCI Gold Index Excess Return      a commodity index composed of futures contracts on gold.
Modified Macquarie Single Commodity Sugar type A Excess Return Index      a commodity index composed of futures contracts on sugar.
Merrill Lynch Gold Excess Return Index      a commodity index composed of futures contracts on gold.
MLCX Aluminum Annual Excess Return Index      a commodity index composed of futures contracts on aluminum.
MLCX Dynamic Enhanced Copper Excess Return Index      a commodity index composed of futures contracts on copper.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund


Notes to Consolidated Schedule of Investments:

 

(a)  Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

 

(b)  All or a portion of the value was designated as collateral for swap agreements. See Note 1F and Note 3.

 

(c)  All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1E and Note 3.

 

(d)  Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2014.

 

(e)  Affiliated company during the period. The Investment Company Act of 1940 defines affiliates as those issuances in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the Investment Company Act of 1940) of that issuer. The value of this security as of July 31, 2014 represented 3.00% of the Fund’s Net Assets. See Note 4.

 

(f)  Non-income producing security.

 

(g)  Security purchased or received in transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The value of this security at July 31, 2014 represented 2.71% of the Fund’s Net Assets.

 

(h)  The money market fund and the Fund are affiliated by having the same investment adviser.

 

See accompanying notes which are an integral part of this consolidated schedule.

 

Invesco Balanced-Risk Commodity Strategy Fund


Notes to Quarterly Consolidated Schedule of Portfolio Holdings

July 31, 2014

(Unaudited)

 

NOTE 1 — Significant Accounting Policies

Invesco Balanced-Risk Commodity Strategy Fund (the “Fund”) will seek to gain exposure to the commodity markets primarily through investments in Invesco Cayman Commodity Fund III Ltd. (the “Subsidiary”), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands. The Subsidiary was organized by the Fund to invest in commodity-linked derivatives. The Fund may invest up to 25% of its total assets in the Subsidiary.

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

 

Invesco Balanced-Risk Commodity Strategy Fund


A. Security Valuations(continued)

 

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain of the Fund’s investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Consolidated Statement of Operations and the Consolidated Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Consolidated Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Consolidated Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Consolidated Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Structured Securities – The Fund may invest in structured securities. Structured securities are a type of derivative security whose value is determined by reference to changes in the value of underlying securities, currencies, interest rates, commodities, indices or other financial indicators (“reference instruments”). Most structured securities are fixed-income securities that have maturities of three years or less. Structured securities may be positively or negatively indexed (i.e., their principal value or interest rates may increase or decrease if the underlying reference instrument appreciates) and may have return characteristics similar to direct investments in the underlying reference instrument.

Structured securities may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference instruments. In addition to the credit risk of structured securities and the normal risks of price changes in response to changes in interest rates, the principal amount of structured notes or indexed securities may decrease as a result of changes in the value of the underlying reference instruments. Changes in the daily value of structured securities are recorded as unrealized gains (losses) in the Consolidated Statement of Operations. When the structured securities mature or are sold, the Fund recognizes a realized gain (loss) on the Consolidated Statement of Operations.

 

Invesco Balanced-Risk Commodity Strategy Fund


E. Futures Contracts – The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Consolidated Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.
F. Swap Agreements – The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. Such transactions are agreements between two parties (“Counterparties”). These agreements may contain among other conditions, events of default and termination events, and various covenants and representations such as provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s NAV over specific periods of time. If the Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and Counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

G. Other Risks – The Fund will seek to gain exposure to commodity markets primarily through an investment in the Subsidiary and through investments in exchange traded funds and commodity-linked derivatives. The Subsidiary, unlike the Fund, may invest without limitation in commodities, commodity-linked derivatives and other securities, such as exchange traded notes, that may provide leverage and non-leveraged exposure to commodity markets. The Fund is indirectly exposed to the risks associated with the Subsidiary’s investments.

The Fund is non-diversified and may invest in securities of fewer issuers than if it were diversified. Thus, the value of the Fund’s shares may vary more widely and the Fund may be subject to greater market and credit risk than if the Fund invested more broadly.

 

Invesco Balanced-Risk Commodity Strategy Fund


H. Leverage Risk – Leverage exists when a Fund can lose more than it originally invests because it purchases or sells an instrument or enters into a transaction without investing an amount equal to the full economic exposure of the instrument or transaction.
I. Collateral – To the extent the Fund has designated or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day.

NOTE 2 — Additional Valuation Information

Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

  Level 1 –   Prices are determined using quoted prices in an active market for identical assets.
  Level 2 –   Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
  Level 3 –   Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of July 31, 2014. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

 

      Level 1   Level 2   Level 3    Total

Commodity-Linked Securities

     $ —               $ 20,905,889       $ —                $ 20,905,889  

Exchange Traded Funds

       23,213,860         —                 —                  23,213,860  

U.S. Treasury Securities

       —                 466,041,050         —                  466,041,050  

Money Market Funds

       275,674,995         —                 —                  275,674,995  
         298,888,855         486,946,939         —                  785,835,794  

Futures Contracts*

       (5,099,900 )       —                 —                  (5,099,900 )

Swap Agreements*

       —                 (9,440,061 )       —                  (9,440,061 )

Total Investments

     $     293,788,955       $     477,506,878       $         —                $     771,295,833  

 

* Unrealized appreciation (depreciation).

 

Invesco Balanced-Risk Commodity Strategy Fund


NOTE 3 — Derivative Investments

Value of Derivative Investments at Period-End

The table below summarizes the value of the Fund’s derivative investments, detailed by primary risk exposure, held as of July 31, 2014:

 

     Value  
Risk Exposure/ Derivative Type    Assets      Liabilities  

Commodity Risk

     

Futures Contracts(a)

   $ 4,713,840       $ (9,813,740

Swap Agreements

     728         (9,440,789

Total

   $ 4,714,568       $ (19,254,529

 

(a)  Includes cumulative appreciation (depreciation) of futures contracts.

Effect of Derivative Investments for the nine months ended July 31, 2014

The table below summarizes the gains (losses) on derivative investments, detailed by primary risk exposure, recognized in earnings during the period:

     Location of Gain (Loss)  
      Futures
Contracts
    Swap
Agreements
 

Realized Gain (Loss)

    

Commodity Risk

   $ 744,222      $ (10,581,335

Change in Unrealized Appreciation (Depreciation)

    

Commodity Risk

     (4,134,882     (4,690,825

Total

   $ (3,390,660   $ (15,272,160

The table below summarizes the average notional value of futures contracts and swap agreements outstanding during the period.

 

      Futures
Contracts
     Swap
Agreements
 

Average notional value

   $ 156,233,247       $ 715,773,807   

NOTE 4 — Investments in Other Affiliates

The Investment Company Act of 1940, as amended (the “1940 Act”), defines affiliates as those issuances in which a fund holds 5% or more of the outstanding voting securities. The Fund has not owned enough of the outstanding voting securities of the issuer to have control (as defined in the 1940 Act) of that issuer. The following is a summary of the investments in other affiliates for the nine months ended July 31, 2014.

 

     

Value

10/31/13

    

Purchases

at Cost

     Proceeds
from Sales
    Change in
Unrealized
Appreciation
     Realized
Gain
(Loss)
   

Value

07/31/14

     Dividend
Income
 

PowerShares DB Gold Fund

   $ 25,321,440       $ 2,392,512       $ (3,514,795   $ 259,315       $ (1,244,612   $ 23,213,860       $   

 

Invesco Balanced-Risk Commodity Strategy Fund


NOTE 5 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the nine months ended July 31, 2014 was $2,392,512 and $3,514,795, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis         
Aggregate unrealized appreciation of investment securities    $ 558,662   
Aggregate unrealized (depreciation) of investment securities      (5,793,118
Net unrealized appreciation (depreciation) of investment securities    $   (5,234,456
Cost of investments for tax purposes is $791,070,250.   

 

Invesco Balanced-Risk Commodity Strategy Fund


 
Invesco China Fund
Quarterly Schedule of Portfolio Holdings
July 31, 2014

 

 

 

LOGO         
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Schedule of Investments(a)

July 31, 2014

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–97.44%(b)

  

Asset Management & Custody Banks–1.54%

  

China Cinda Asset Management Co. Ltd. - Class H(c)

     2,552,000       $ 1,462,080   

Automobile Manufacturers–1.55%

  

Chongqing Changan Automobile Co., Ltd. -Class B

     678,930         1,474,594   

Casinos & Gaming–7.12%

  

Melco International Development Ltd. (Hong Kong)

     1,429,000         4,239,824   

MGM China Holdings Ltd. (Macau)

     343,200         1,257,320   

Sands China Ltd. (Hong Kong)

     173,200         1,270,214   
                6,767,358   

Coal & Consumable Fuels–2.27%

  

China Coal Energy Co. Ltd. -Class H

     2,131,000         1,286,229   

China Shenhua Energy Co. Ltd. -Class H

     296,000         875,042   
                2,161,271   

Diversified Banks–15.69%

  

Agricultural Bank of China Ltd. -Class H

     4,093,000         1,994,039   

China Construction Bank Corp. -Class H

     8,060,290         6,199,746   

China Merchants Bank Co., Ltd. -Class H

     1,457,000         2,962,077   

Industrial & Commercial Bank of China Ltd. -Class H

     5,495,000         3,765,965   
                14,921,827   

Electrical Components & Equipment–0.16%

  

Zhuzhou CSR Times Electric Co., Ltd. -Class H

     43,000         147,651   

Food Retail–1.17%

  

China Resources Enterprise Ltd.

     366,000         1,112,559   

Health Care Distributors–1.99%

  

Shanghai Pharmaceuticals Holding Co., Ltd. -Class H

     1,019,300         1,896,531   

Industrial Conglomerates–2.21%

  

Beijing Enterprises Holdings Ltd.

     242,000         2,104,713   

Integrated Oil & Gas–5.02%

  

China Petroleum & Chemical Corp. (Sinopec) -Class H

     2,984,000         2,952,590   

PetroChina Co. Ltd. -Class H

     1,392,000         1,822,450   
                4,775,040   

Integrated Telecommunication Services–2.54%

  

China Unicom (Hong Kong) Ltd.

     1,384,000         2,417,255   

Internet Software & Services–16.70%

  

21Vianet Group, Inc. -ADR (c)

     73,256         2,038,714   

Baidu, Inc. -ADR (c)

     4,912         1,061,238   

HC International, Inc.(c)

     904,000         1,926,225   
      Shares      Value  

Internet Software & Services–(continued)

  

Tencent Holdings Ltd.

     535,200       $ 8,653,133   

YY Inc. -ADR(c)

     28,416         2,197,125   
                15,876,435   

Investment Banking & Brokerage–0.87%

  

CITIC Securities Co., Ltd. -Class H

     329,500         823,864   

IT Consulting & Other Services–0.76%

  

China Public Procurement Ltd. (c)

     16,236,000         721,032   

Life & Health Insurance–5.42%

  

China Life Insurance Co., Ltd. -Class H

     1,245,000         3,712,133   

Ping An Insurance (Group) Co. of China Ltd. -Class H

     169,000         1,443,549   
                5,155,682   

Multi-Line Insurance–2.35%

  

China Pacific Insurance (Group) Co., Ltd. -Class H

     568,200         2,235,142   

Oil & Gas Refining & Marketing–0.94%

  

Sinopec Kantons Holdings Ltd.

     1,212,000         898,335   

Packaged Foods & Meats–2.00%

  

China Mengniu Dairy Co. Ltd.

     390,000         1,897,137   

Pharmaceuticals–10.92%

  

CSPC Pharmaceutical Group Ltd.

     3,476,000         2,699,173   

Dawnrays Pharmaceutical (Holdings) Ltd.

     1,504,000         1,215,374   

Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. -Class H

     818,000         2,609,169   

Livzon Pharmaceutical Group Inc. -Class H

     131,900         811,498   

Luye Pharma Group Ltd. (c)

     1,784,000         1,551,485   

Tong Ren Tang Technologies Co. Ltd. -Class H

     1,052,000         1,491,424   
                10,378,123   

Real Estate Development–3.35%

  

Shimao Property Holdings Ltd.

     694,500         1,604,811   

Sunac China Holdings Ltd.

     1,920,000         1,575,684   
                3,180,495   

Renewable Electricity–3.84%

  

Huaneng Renewables Corp. Ltd. -Class H

     11,108,000         3,653,743   

Semiconductors–1.94%

  

United Photovoltaics Group Ltd. (Hong Kong)(c)

     13,834,000         1,843,920   

Trading Companies & Distributors–1.44%

  

Summit Ascent Holdings Ltd. (Hong Kong)(c)

     2,012,000         1,370,932   

Water Utilities–5.65%

  

Beijing Enterprises Water Group Ltd.

     8,260,000         5,367,839   

Total Common Stocks & Other Equity Interests
(Cost $87,996,804)

   

     92,643,558   
 

 

 

See accompanying notes which are an integral part of this schedule.

Invesco China Fund


      Shares      Value  

Money Market Funds–1.74%

     

Liquid Assets Portfolio –Institutional Class (d)

     828,121       $ 828,121   

Premier Portfolio –Institutional Class (d)

     828,121         828,121   

Total Money Market Funds
(Cost $1,656,242)

              1,656,242   

TOTAL INVESTMENTS–99.18%
(Cost $89,653,046)

   

     94,299,800   

OTHER ASSETS LESS LIABILITIES–0.82%

  

     783,445   

NET ASSETS–100.00%

  

   $ 95,083,245   

 

Investment Abbreviations:

ADR           — American Depositary Receipt
Notes to Schedule of Investments:
(a)   Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s.
(b)   Country of issuer and/or credit risk exposure listed in Common Stocks & Other Equity Interests has been determined to be China unless otherwise noted.
(c)   Non-income producing security.
(d)   The money market fund and the Fund are affiliated by having the same investment adviser.

    

 

 

See accompanying notes which are an integral part of this schedule.

Invesco China Fund


Notes to Quarterly Schedule of Portfolio Holdings

July 31, 2014

(Unaudited)

NOTE 1 — Significant Accounting Policies

 

A. Security Valuations – Securities, including restricted securities, are valued according to the following policy.

A security listed or traded on an exchange (except convertible securities) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”).

Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded.

Debt obligations (including convertible securities) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that the Adviser determines are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including corporate loans.

Securities for which market quotations are not readily available or became unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

The Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to

 

Invesco China Fund


A. Security Valuations – (continued)

changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain of the Fund’s investments.

Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

B. Securities Transactions and Investment Income – Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income (net of withholding tax, if any) is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date.

The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser.

The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class.

C. Country Determination – For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.
D. Foreign Currency Translations – Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable.

E. Forward Foreign Currency Contracts –The Fund may engage in foreign currency transactions either on a spot (i.e. for prompt delivery and settlement) basis at the rate prevailing in the currency exchange market at the time or through forward foreign currency contracts to manage or minimize currency or exchange rate risk.

The Fund may also enter into forward foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security, or the Fund may also enter into forward foreign currency contracts that do not provide for physical settlement of the two currencies, but instead are settled by a single cash

 

Invesco China Fund


E. Forward Foreign Currency Contracts (continued)

payment calculated as the difference between the agreed upon exchange rate and the spot rate at settlement based upon an agreed upon notional amount (non-deliverable forwards). The Fund will set aside liquid assets in an amount equal to daily mark-to-market obligation for forward foreign currency contracts.

A forward foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with forward foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities.

F. Other Risks - Investing in a single-country mutual fund involves greater risk than investing in a more diversified fund due to lack of exposure to other countries. The political and economic conditions and changes in regulatory, tax or economic policy in a single country could significantly affect the market in that country and in surrounding or related countries.

Investing in developing countries can add additional risk, such as high rates of inflation or sharply devalued currencies against the U.S. dollar.

Transaction costs are often higher and there may be delays in settlement procedures.

Certain securities issued by companies in China may be less liquid, harder to sell or more volatile than may U.S. securities.

NOTE 2 — Additional Valuation Information

Generally Accepted Accounting Principles (“GAAP”) defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available or are unreliable. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

Level 1 –

  Prices are determined using quoted prices in an active market for identical assets.

Level 2 –

  Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.

Level 3 –

  Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of July 31, 2014. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

During the nine months ended July 31, 2014, there were transfers from Level 1 to Level 2 of $36,406,688, due to foreign fair value adjustments.

 

Invesco China Fund


      Level 1      Level 2      Level 3      Total  

Consumer Discretionary

   $       $ 10,168,177       $       $ 10,168,177   

Consumer Staples

     1,897,137         1,112,559                 3,009,696   

Energy

             7,834,645                 7,834,645   

Financials

             27,779,090                 27,779,090   

Health Care

     3,448,016         8,826,638                 12,274,654   

Industrials

             3,623,296                 3,623,296   

Information Technology

     5,297,077         11,218,085                 16,515,162   

Telecommunication Services

             2,417,256                 2,417,256   

Utilities

             9,021,582                 9,021,582   

Money Market Funds

     1,656,242                         1,656,242   

Total Investments

   $     12,298,472       $     82,001,328       $         —       $     94,299,800   

NOTE 3 — Investment Securities

The aggregate amount of investment securities (other than short-term securities, U.S. Treasury obligations and money market funds, if any) purchased and sold by the Fund during the nine months ended July 31, 2014 was $105,726,228 and $123,015,703, respectively. Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed federal income tax reporting period-end.

 

Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis        

Aggregate unrealized appreciation of investment securities

   $     8,779,919   

Aggregate unrealized (depreciation) of investment securities

     (5,064,280)   

Net unrealized appreciation of investment securities

   $     3,715,639   

Cost of investments for tax purposes is $90,584,161.

  

 

Invesco China Fund


 
Invesco Developing Markets Fund
Quarterly Schedule of Portfolio Holdings
July 31, 2014

 

 

 

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invesco.com/us    DVM-QTR-1    7/14    Invesco Advisers, Inc.


Schedule of Investments

July 31, 2014

(Unaudited)

 

      Shares      Value  

Common Stocks & Other Equity Interests–87.75%

  

Brazil–21.57%

  

Arcos Dorados Holdings, Inc. -Class A

     5,088,427       $ 52,207,261   

Banco Bradesco S.A. -ADR

     9,345,483         142,798,980   

BM&FBovespa S.A.

     20,411,800         108,831,753   

BR Malls Participacoes S.A.

     8,480,300         73,652,381   

BRF S.A.

     1,293,240         31,684,209   

CETIP S.A. - Mercados Organizados

     7,004,986         98,774,809   

Cielo S.A.

     5,431,214         99,462,966   

Diagnosticos da America S.A.

     3,880,000         25,337,799   

Duratex S.A.

     14,891,296         55,053,306   

Fleury S.A.

     7,768,000         51,104,362   

Petroleo Brasileiro S.A. -ADR

     1,939,231         32,617,865   

Totvs S.A.

     2,845,000         48,791,487   

Wilson Sons Ltd. -BDR

     962,600         14,816,083   
                835,133,261   

China–13.03%

  

Baidu, Inc. -ADR(a)

     323,223         69,832,329   

Belle International Holdings Ltd.

     50,669,000         63,145,377   

China Mobile Ltd.

     4,774,500         52,811,674   

CNOOC Ltd.

     21,600,000         38,325,452   

Golden Eagle Retail Group Ltd.

     30,301,000         39,152,636   

Industrial & Commercial Bank of China Ltd. -Class H

     164,848,000         112,977,567   

Lee & Man Paper Manufacturing Ltd.

     80,495,000         48,915,911   

NetEase, Inc. -ADR

     387,185         32,539,027   

Stella International Holdings Ltd.

     11,189,000         31,184,424   

Want Want China Holdings Ltd.

     11,449,000         15,660,418   
                504,544,815   

Czech Republic–0.57%

  

CEZ A.S.

     776,574         22,054,717   

Egypt–0.31%

  

Egyptian Financial Group-Hermes Holding (a)

     5,456,990         11,983,822   

Hong Kong–1.43%

  

Galaxy Entertainment Group Ltd.

     6,601,000         55,322,677   

Hungary–1.34%

  

Richter Gedeon Nyrt

     3,147,000         51,680,387   

Indonesia–8.34%

  

PT Bank Central Asia Tbk

     24,954,000         24,997,098   

PT Bank Mandiri Persero Tbk

     121,601,000         103,195,234   

PT Indocement Tunggal Prakarsa Tbk

     12,754,300         27,480,120   

PT Perusahaan Gas Negara Persero Tbk

     159,818,500         81,427,388   

PT Telekomunikasi Indonesia Persero Tbk

     377,626,200         86,029,815   
                323,129,655   
      Shares      Value  

Israel–2.31%

  

Israel Chemicals Ltd.

     5,276,457       $ 43,049,667   

Teva Pharmaceutical Industries Ltd. -ADR

     868,015         46,438,802   
                89,488,469   

Malaysia–1.81%

  

Public Bank Berhad

     11,351,900         70,263,348   

Mexico–6.56%

  

America Movil S.A.B. de C.V. – Series L-ADR

     1,743,391         41,091,726   

Fomento Economico Mexicano, S.A.B. de C.V. -ADR

     682,829         64,110,815   

Grupo Televisa S.A.B. -ADR

     2,948,316         104,930,567   

Kimberly-Clark de Mexico, S.A.B. de C.V. -Class A

     17,356,970         44,033,430   
                254,166,538   

Nigeria–1.76%

  

Zenith Bank PLC

     440,151,377         68,196,680   

Peru–2.31%

  

Credicorp Ltd.

     605,820         89,612,894   

Philippines–5.12%

  

Ayala Corp.

     2,132,132         32,281,244   

Energy Development Corp.

     246,329,900         34,749,123   

Philippine Long Distance Telephone Co.

     1,532,260         107,704,933   

SM Investments Corp.

     1,278,910         23,453,550   
                198,188,850   

Russia–5.68%

  

Gazprom OAO -ADR

     4,879,035         35,860,907   

Mobile TeleSystems OJSC -ADR

     1,859,782         33,345,891   

Sberbank of Russia (a)

     37,218,144         76,758,440   

Sberbank of Russia -Preference Shares(a)

     21,470,146         34,383,086   

Yandex NV -Class A (a)

     1,301,500         39,409,420   
                219,757,744   

South Africa–0.62%