|
ABBEY CAPITAL MULTI ASSET FUND
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|
MAY 31, 2020 (UNAUDITED)
|
|
COUPON*
|
MATURITY DATE
|
PAR (000's)
|
VALUE
|
||||||||||||
|
SHORT-TERM INVESTMENTS - 73.9%
|
|||||||||||||||
|
U.S. TREASURY OBLIGATIONS - 73.9%
|
|||||||||||||||
|
U.S. Treasury Bills
|
1.538
|
%
|
06/04/20
|
$
|
87
|
$
|
86,999
|
||||||||
|
U.S. Treasury Bills
|
1.559
|
%
|
06/11/20
|
542
|
541,985
|
||||||||||
|
U.S. Treasury Bills
|
1.538
|
%
|
06/18/20
|
3,991
|
3,990,783
|
||||||||||
|
U.S. Treasury Bills
|
1.554
|
%
|
07/02/20
|
663
|
662,926
|
||||||||||
|
U.S. Treasury Bills
|
1.531
|
%
|
07/09/20
|
917
|
916,882
|
||||||||||
|
U.S. Treasury Bills
|
1.549
|
%
|
07/16/20
|
97
|
96,985
|
||||||||||
|
U.S. Treasury Bills
|
1.538
|
%
|
07/23/20
|
524
|
523,907
|
||||||||||
|
U.S. Treasury Bills
|
1.538
|
%
|
07/30/20
|
547
|
546,886
|
||||||||||
|
U.S. Treasury Bills
|
1.542
|
%
|
08/06/20
|
674
|
673,833
|
||||||||||
|
U.S. Treasury Bills
|
1.533
|
%
|
08/13/20
|
1,827
|
1,826,542
|
||||||||||
|
U.S. Treasury Bills
|
1.528
|
%
|
08/20/20
|
686
|
685,790
|
||||||||||
|
U.S. Treasury Bills
|
1.199
|
%
|
08/27/20
|
1,281
|
1,280,582
|
||||||||||
|
U.S. Treasury Bills
|
0.429
|
%
|
09/03/20
|
1,015
|
1,014,619
|
||||||||||
|
U.S. Treasury Bills
|
0.240
|
%
|
09/10/20
|
1,632
|
1,631,302
|
||||||||||
|
U.S. Treasury Bills
|
(0.038
|
)%
|
09/17/20
|
1,638
|
1,637,250
|
||||||||||
|
U.S. Treasury Bills
|
(0.018
|
)%
|
09/24/20
|
2,422
|
2,420,781
|
||||||||||
|
U.S. Treasury Bills
|
0.119
|
%
|
10/01/20
|
1,100
|
1,099,422
|
||||||||||
|
U.S. Treasury Bills
|
0.200
|
%
|
10/08/20
|
1,241
|
1,240,322
|
||||||||||
|
U.S. Treasury Bills
|
0.132
|
%
|
10/15/20
|
499
|
498,717
|
||||||||||
|
U.S. Treasury Bills
|
0.112
|
%
|
10/22/20
|
800
|
799,500
|
||||||||||
|
U.S. Treasury Bills
|
0.086
|
%
|
10/29/20
|
700
|
699,526
|
||||||||||
|
U.S. Treasury Bills
|
0.112
|
%
|
11/12/20
|
590
|
589,580
|
||||||||||
|
U.S. Treasury Bills
|
0.132
|
%
|
11/19/20
|
299
|
298,759
|
||||||||||
|
U.S. Treasury Bills
|
0.147
|
%
|
11/27/20
|
213
|
212,831
|
||||||||||
|
23,976,709
|
|||||||||||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|||||||||||||||
|
(Cost $23,959,000)
|
23,976,709
|
||||||||||||||
|
TOTAL INVESTMENTS - 73.9%
|
|||||||||||||||
|
(Cost $23,959,000)
|
23,976,709
|
||||||||||||||
|
OTHER ASSETS IN EXCESS OF LIABILITIES - 26.1%
|
8,454,121
|
||||||||||||||
|
NET ASSETS - 100.0%
|
$
|
32,430,830
|
|||||||||||||
|
|
|||||||||||||||
|
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
|
|||||||||||||||
|
Futures contracts outstanding as of May 31, 2020 were as follows:
|
|||||||||||||
|
LONG CONTRACTS
|
EXPIRATION DATE
|
NUMBER OF CONTRACTS
|
NOTIONAL AMOUNT
|
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||
|
3-Month Euro Euribor
|
Dec-20
|
1
|
$
|
278,637
|
$
|
14
|
|||||||
|
3-Month Euro Euribor
|
Mar-21
|
13
|
3,622,816
|
(2,609
|
)
|
||||||||
|
90-DAY Bank Bill
|
Sep-20
|
6
|
3,997,631
|
1,805
|
|||||||||
|
90-DAY Bank Bill
|
Dec-20
|
31
|
20,652,391
|
9,434
|
|||||||||
|
90-DAY Bank Bill
|
Mar-21
|
4
|
2,664,825
|
591
|
|||||||||
|
90-DAY Bank Bill
|
Jun-21
|
2
|
1,332,347
|
804
|
|||||||||
|
90-DAY Bank Bill
|
Sep-21
|
2
|
1,332,281
|
771
|
|||||||||
|
90-DAY Bank Bill
|
Dec-21
|
1
|
666,075
|
(98
|
)
|
||||||||
|
90-DAY Eurodollar Futures
|
Dec-20
|
32
|
7,975,600
|
(588
|
)
|
||||||||
|
90-DAY Eurodollar Futures
|
Mar-21
|
20
|
4,989,000
|
5,750
|
|||||||||
|
90-DAY Eurodollar Futures
|
Jun-21
|
2
|
499,025
|
3,000
|
|||||||||
|
90-DAY Eurodollar Futures
|
Sep-21
|
2
|
499,025
|
2,875
|
|||||||||
|
90-DAY Eurodollar Futures
|
Dec-21
|
2
|
498,875
|
2,825
|
|||||||||
|
90-DAY Eurodollar Futures
|
Mar-22
|
16
|
3,991,200
|
7,025
|
|||||||||
|
90-DAY Eurodollar Futures
|
Jun-22
|
1
|
249,375
|
2,750
|
|||||||||
|
90-DAY Eurodollar Futures
|
Sep-22
|
1
|
249,312
|
1,100
|
|||||||||
|
90-DAY Eurodollar Futures
|
Dec-22
|
1
|
249,212
|
75
|
|||||||||
|
90-DAY Eurodollar Futures
|
Mar-23
|
14
|
3,488,100
|
2,387
|
|||||||||
|
90-DAY Sterling Futures
|
Dec-20
|
43
|
6,626,812
|
(147
|
)
|
||||||||
|
90-DAY Sterling Futures
|
Mar-21
|
77
|
11,871,967
|
25,387
|
|||||||||
|
90-DAY Sterling Futures
|
Jun-21
|
9
|
1,387,771
|
4,099
|
|||||||||
|
90-DAY Sterling Futures
|
Sep-21
|
36
|
5,551,086
|
17,207
|
|||||||||
|
90-DAY Sterling Futures
|
Dec-21
|
7
|
1,079,216
|
3,481
|
|||||||||
|
90-DAY Sterling Futures
|
Mar-22
|
31
|
4,779,144
|
12,412
|
|||||||||
|
90-DAY Sterling Futures
|
Jun-22
|
7
|
1,078,999
|
2,694
|
|||||||||
|
90-DAY Sterling Futures
|
Sep-22
|
6
|
924,671
|
2,069
|
|||||||||
|
90-DAY Sterling Futures
|
Dec-22
|
6
|
924,533
|
332
|
|||||||||
|
90-DAY Sterling Futures
|
Mar-23
|
21
|
3,235,378
|
9,062
|
|||||||||
|
Australian 10-Year Bond Futures
|
Jun-20
|
3
|
202,609
|
(928
|
)
|
||||||||
|
Australian 3-Year Bond Futures
|
Jun-20
|
66
|
5,152,629
|
2,676
|
|||||||||
|
Bank Acceptance Futures
|
Dec-20
|
4
|
722,446
|
2,542
|
|||||||||
|
Bank Acceptance Futures
|
Mar-21
|
4
|
722,446
|
2,315
|
|||||||||
|
Bank Acceptance Futures
|
Jun-21
|
4
|
722,337
|
472
|
|||||||||
|
Bank Acceptance Futures
|
Sep-21
|
3
|
541,644
|
2,360
|
|||||||||
|
Bank Acceptance Futures
|
Dec-21
|
2
|
360,969
|
(9
|
)
|
||||||||
|
Bank Acceptance Futures
|
Mar-22
|
1
|
180,457
|
9
|
|||||||||
|
Brent Crude Futures
|
Aug-20
|
1
|
37,840
|
440
|
|||||||||
|
CAC40 10 Euro Futures
|
Jun-20
|
12
|
624,203
|
(3,236
|
)
|
||||||||
|
Canadian 10-Year Bond Futures
|
Sep-20
|
3
|
334,764
|
261
|
|||||||||
|
CHF Currency Futures
|
Jun-20
|
15
|
1,950,000
|
5,756
|
|||||||||
|
DAX Index Futures
|
Jun-20
|
2
|
643,968
|
(93,785
|
)
|
||||||||
|
DJIA Mini E-CBOT
|
Jun-20
|
1
|
126,890
|
300
|
|||||||||
|
EUR Foreign Exchange Currency Futures
|
Jun-20
|
4
|
555,050
|
(15,550
|
)
|
||||||||
|
Euro STOXX 50
|
Jun-20
|
7
|
236,685
|
(13,099
|
)
|
||||||||
|
Euro-BTP Futures
|
Jun-20
|
3
|
473,414
|
966
|
|||||||||
|
Euro-Schatz Futures
|
Jun-20
|
16
|
1,990,187
|
(5,833
|
)
|
||||||||
|
JPY Currency Futures
|
Jun-20
|
21
|
2,435,081
|
(6,319
|
)
|
||||||||
|
LME Aluminum Forward
|
Jun-20
|
113
|
4,336,375
|
(177,021
|
)
|
||||||||
|
LME Copper Forward
|
Jun-20
|
22
|
2,947,313
|
19,788
|
|||||||||
|
LME Nickel Forward
|
Jun-20
|
6
|
441,747
|
(393
|
)
|
||||||||
|
LME Zinc Forward
|
Jun-20
|
2
|
99,538
|
(354
|
)
|
||||||||
|
Long Gilt Futures
|
Sep-20
|
6
|
1,018,426
|
642
|
|||||||||
|
Nasdaq 100 E-Mini
|
Jun-20
|
4
|
764,820
|
46,325
|
|||||||||
|
Nikkei 225 (Singapore Exchange)
|
Jun-20
|
8
|
808,197
|
4,451
|
|||||||||
|
S&P 500 E-Mini Futures
|
Jun-20
|
115
|
17,491,500
|
3,224,340
|
|||||||||
|
Silver Futures
|
Jul-20
|
3
|
277,485
|
9,160
|
|||||||||
|
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Sep-20
|
2
|
278,125
|
3,555
|
|||||||||
|
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
|
Sep-20
|
3
|
662,531
|
305
|
|||||||||
|
U.S. Treasury Long Bond (Chicago Board of Trade)
|
Sep-20
|
3
|
535,125
|
3,211
|
|||||||||
|
WTI Crude Futures
|
Jul-20
|
2
|
70,980
|
(10,350
|
)
|
||||||||
|
$
|
3,117,504
|
||||||||||||
|
SHORT CONTRACTS
|
EXPIRATION DATE
|
NUMBER OF CONTRACTS
|
NOTIONAL AMOUNT
|
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||
|
10-Year Mini Japanese Government Bond Futures
|
Jun-20
|
6
|
$
|
(846,715
|
)
|
$
|
1,678
|
||||||
|
AUD/USD Currency Futures
|
Jun-20
|
5
|
(333,000
|
)
|
(7,750
|
)
|
|||||||
|
Brent Crude Futures
|
Aug-20
|
1
|
(37,840
|
)
|
(7,590
|
)
|
|||||||
|
CAD Currency Futures
|
Jun-20
|
24
|
(1,741,440
|
)
|
(10,758
|
)
|
|||||||
|
Cocoa Futures
|
Jul-20
|
1
|
(24,540
|
)
|
(2,170
|
)
|
|||||||
|
Cocoa Futures
|
Sep-20
|
1
|
(24,080
|
)
|
(1,500
|
)
|
|||||||
|
Coffee 'C' Futures
|
Sep-20
|
5
|
(184,031
|
)
|
12,563
|
||||||||
|
Copper Futures
|
Jul-20
|
5
|
(303,187
|
)
|
(13,175
|
)
|
|||||||
|
Corn Futures
|
Jul-20
|
16
|
(260,600
|
)
|
6,088
|
||||||||
|
Corn Futures
|
Dec-20
|
22
|
(372,625
|
)
|
12,975
|
||||||||
|
Cotton No.2 Futures
|
Dec-20
|
7
|
(201,180
|
)
|
2,375
|
||||||||
|
Emissions ICE
|
Dec-20
|
1
|
(23,755
|
)
|
(2,131
|
)
|
|||||||
|
Euro/JPY Futures
|
Jun-20
|
4
|
(554,824
|
)
|
(10,918
|
)
|
|||||||
|
Euro-Bobl Futures
|
Jun-20
|
2
|
(300,047
|
)
|
(821
|
)
|
|||||||
|
Euro-Bund Futures
|
Jun-20
|
5
|
(957,196
|
)
|
(7,315
|
)
|
|||||||
|
Euro-Oat Futures
|
Jun-20
|
1
|
(186,977
|
)
|
(2,253
|
)
|
|||||||
|
FTSE 100 Index Futures
|
Jun-20
|
7
|
(523,928
|
)
|
(17,432
|
)
|
|||||||
|
FTSE/JSE TOP 40
|
Jun-20
|
1
|
(26,566
|
)
|
(6,415
|
)
|
|||||||
|
Gasoline RBOB Futures
|
Jul-20
|
1
|
(45,297
|
)
|
(19,656
|
)
|
|||||||
|
Gasoline RBOB Futures
|
Aug-20
|
1
|
(45,818
|
)
|
(2,184
|
)
|
|||||||
|
GBP Currency Futures
|
Jun-20
|
8
|
(616,300
|
)
|
(8,838
|
)
|
|||||||
|
Gold 100 Oz Futures
|
Aug-20
|
1
|
(175,170
|
)
|
5,990
|
||||||||
|
Hang Seng China Enterprises Index Futures
|
Jun-20
|
1
|
(61,253
|
)
|
(168
|
)
|
|||||||
|
Hang Seng Index Futures
|
Jun-20
|
7
|
(1,028,078
|
)
|
17,300
|
||||||||
|
Kansas City Hard Red Winter Wheat Futures
|
Jul-20
|
1
|
(23,525
|
)
|
(825
|
)
|
|||||||
|
Lean Hogs Futures
|
Jul-20
|
1
|
(22,810
|
)
|
9,170
|
||||||||
|
Lean Hogs Futures
|
Aug-20
|
6
|
(136,140
|
)
|
5,050
|
||||||||
|
Live Cattle Futures
|
Aug-20
|
1
|
(39,840
|
)
|
3,960
|
||||||||
|
Live Cattle Futures
|
Oct-20
|
4
|
(162,280
|
)
|
3,390
|
||||||||
|
Live Cattle Futures
|
Dec-20
|
1
|
(41,880
|
)
|
(440
|
)
|
|||||||
|
LME Aluminum Forward
|
Jun-20
|
113
|
(4,336,375
|
)
|
277,625
|
||||||||
|
LME Aluminum Forward
|
Sep-20
|
23
|
(893,406
|
)
|
(34,984
|
)
|
|||||||
|
LME Copper Forward
|
Jun-20
|
22
|
(2,947,313
|
)
|
86,498
|
||||||||
|
LME Copper Forward
|
Sep-20
|
4
|
(538,175
|
)
|
(21,206
|
)
|
|||||||
|
LME Nickel Forward
|
Jun-20
|
6
|
(441,747
|
)
|
31,248
|
||||||||
|
LME Nickel Forward
|
Sep-20
|
4
|
(296,136
|
)
|
(3,447
|
)
|
|||||||
|
LME Zinc Forward
|
Jun-20
|
2
|
(99,538
|
)
|
7,616
|
||||||||
|
LME Zinc Forward
|
Sep-20
|
1
|
(49,731
|
)
|
(229
|
)
|
|||||||
|
Low Sulphur Gasoil G Futures
|
Jul-20
|
1
|
(29,475
|
)
|
2,925
|
||||||||
|
Low Sulphur Gasoil G Futures
|
Aug-20
|
1
|
(30,350
|
)
|
(2,750
|
)
|
|||||||
|
MSCI EAFE Index Futures
|
Jun-20
|
1
|
(86,280
|
)
|
(4,930
|
)
|
|||||||
|
MSCI Emerging Markets Index Futures
|
Jun-20
|
2
|
(93,290
|
)
|
(8,245
|
)
|
|||||||
|
MXN Currency Futures
|
Jun-20
|
1
|
(22,480
|
)
|
(2,170
|
)
|
|||||||
|
Natural Gas Futures
|
Jul-20
|
15
|
(277,350
|
)
|
15,130
|
||||||||
|
Natural Gas Futures
|
Aug-20
|
10
|
(194,000
|
)
|
4,210
|
||||||||
|
NY Harbor Ultra-Low Sulfur Diesel Futures
|
Jul-20
|
7
|
(304,760
|
)
|
(2,667
|
)
|
|||||||
|
NZD Currency Futures
|
Jun-20
|
7
|
(433,790
|
)
|
(8,310
|
)
|
|||||||
|
OMX Stockholm 30 Index Futures
|
Jun-20
|
3
|
(51,833
|
)
|
(2,109
|
)
|
|||||||
|
Short BTP Future
|
Jun-20
|
1
|
(124,281
|
)
|
(566
|
)
|
|||||||
|
Soybean Futures
|
Jul-20
|
12
|
(504,450
|
)
|
2,100
|
||||||||
|
Soybean Futures
|
Nov-20
|
7
|
(298,113
|
)
|
(2,363
|
)
|
|||||||
|
Soybean Meal Futures
|
Jul-20
|
3
|
(84,960
|
)
|
2,010
|
||||||||
|
SPI 200 Futures
|
Jun-20
|
1
|
(95,800
|
)
|
(8,632
|
)
|
|||||||
|
Sugar No. 11 (World)
|
Jul-20
|
19
|
(232,165
|
)
|
(6,518
|
)
|
|||||||
|
Sugar No. 11 (World)
|
Oct-20
|
17
|
(208,869
|
)
|
(8,120
|
)
|
|||||||
|
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
|
Sep-20
|
3
|
(376,875
|
)
|
352
|
||||||||
|
Wheat (Chicago Board of Trade)
|
Jul-20
|
20
|
(520,750
|
)
|
(5,863
|
)
|
|||||||
|
Wheat (Chicago Board of Trade)
|
Dec-20
|
4
|
(106,450
|
)
|
(3,988
|
)
|
|||||||
|
WTI Crude Futures
|
Sep-20
|
3
|
(108,600
|
)
|
(6,220
|
)
|
|||||||
|
$
|
254,597
|
||||||||||||
|
Total Futures Contracts
|
$
|
3,372,101
|
|||||||||||
|
Forward foreign currency contracts outstanding as of May 31, 2020 were as follows:
|
|||||||||||||||
|
CURRENCY PURCHASED
|
CURRENCY SOLD
|
EXPIRATION DATE
|
COUNTERPARTY
|
UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||||
|
AUD
|
25,476
|
USD
|
16,962
|
Jun 01 2020
|
SOCIETE GENERALE
|
$
|
19
|
||||||||
|
AUD
|
25,476
|
USD
|
16,949
|
Jun 02 2020
|
SOCIETE GENERALE
|
32
|
|||||||||
|
BRL
|
738,241
|
USD
|
150,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(11,802
|
)
|
||||||||
|
CHF
|
372,831
|
USD
|
384,957
|
Jun 02 2020
|
SOCIETE GENERALE
|
2,721
|
|||||||||
|
CHF
|
372,831
|
USD
|
386,684
|
Jun 03 2020
|
SOCIETE GENERALE
|
1,003
|
|||||||||
|
CNH
|
708,669
|
USD
|
100,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(846
|
)
|
||||||||
|
COP
|
201,998,575
|
USD
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
4,057
|
|||||||||
|
CZK
|
1,286,904
|
EUR
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(2,433
|
)
|
||||||||
|
EUR
|
100,000
|
CZK
|
2,762,684
|
Jun 17 2020
|
SOCIETE GENERALE
|
(2,926
|
)
|
||||||||
|
EUR
|
100,000
|
HUF
|
33,604,666
|
Jun 17 2020
|
SOCIETE GENERALE
|
3,593
|
|||||||||
|
EUR
|
821,782
|
JPY
|
98,003,780
|
Jun 02 2020
|
SOCIETE GENERALE
|
3,505
|
|||||||||
|
EUR
|
150,000
|
NOK
|
1,694,702
|
Jun 17 2020
|
SOCIETE GENERALE
|
(7,795
|
)
|
||||||||
|
EUR
|
150,000
|
PLN
|
675,663
|
Jun 17 2020
|
SOCIETE GENERALE
|
(1,868
|
)
|
||||||||
|
EUR
|
200,000
|
SEK
|
2,209,131
|
Jun 17 2020
|
SOCIETE GENERALE
|
(12,399
|
)
|
||||||||
|
EUR
|
168,694
|
USD
|
187,014
|
Jun 01 2020
|
SOCIETE GENERALE
|
255
|
|||||||||
|
EUR
|
653,088
|
USD
|
724,616
|
Jun 03 2020
|
SOCIETE GENERALE
|
411
|
|||||||||
|
GBP
|
105,277
|
USD
|
129,838
|
Jun 01 2020
|
SOCIETE GENERALE
|
179
|
|||||||||
|
GBP
|
105,277
|
USD
|
129,743
|
Jun 02 2020
|
SOCIETE GENERALE
|
275
|
|||||||||
|
HUF
|
34,945,314
|
EUR
|
100,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
694
|
|||||||||
|
INR
|
3,810,082
|
USD
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
295
|
|||||||||
|
JPY
|
34,545,490
|
USD
|
320,827
|
Jun 01 2020
|
SOCIETE GENERALE
|
(492
|
)
|
||||||||
|
JPY
|
98,003,780
|
USD
|
909,616
|
Jun 02 2020
|
SOCIETE GENERALE
|
(835
|
)
|
||||||||
|
KRW
|
62,493,630
|
USD
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
458
|
|||||||||
|
NOK
|
610,717
|
EUR
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
7,312
|
|||||||||
|
PHP
|
10,221,048
|
USD
|
200,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
1,815
|
|||||||||
|
PLN
|
442,314
|
EUR
|
100,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(781
|
)
|
||||||||
|
SEK
|
2,133,593
|
EUR
|
200,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
4,381
|
|||||||||
|
THB
|
3,225,561
|
USD
|
100,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
1,393
|
|||||||||
|
TRY
|
1,404,148
|
USD
|
200,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
4,683
|
|||||||||
|
TWD
|
1,483,500
|
USD
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(581
|
)
|
||||||||
|
USD
|
16,827
|
AUD
|
25,476
|
Jun 01 2020
|
SOCIETE GENERALE
|
(154
|
)
|
||||||||
|
USD
|
16,962
|
AUD
|
25,476
|
Jun 02 2020
|
SOCIETE GENERALE
|
(19
|
)
|
||||||||
|
USD
|
16,949
|
AUD
|
25,476
|
Jun 03 2020
|
SOCIETE GENERALE
|
(32
|
)
|
||||||||
|
USD
|
200,000
|
BRL
|
959,256
|
Jun 17 2020
|
SOCIETE GENERALE
|
20,428
|
|||||||||
|
USD
|
386,674
|
CHF
|
372,831
|
Jun 02 2020
|
SOCIETE GENERALE
|
(1,004
|
)
|
||||||||
|
USD
|
50,000
|
CLP
|
41,812,825
|
Jun 17 2020
|
SOCIETE GENERALE
|
(2,238
|
)
|
||||||||
|
USD
|
150,000
|
CNH
|
1,066,369
|
Jun 17 2020
|
SOCIETE GENERALE
|
798
|
|||||||||
|
USD
|
100,000
|
COP
|
395,521,850
|
Jun 17 2020
|
SOCIETE GENERALE
|
(5,846
|
)
|
||||||||
|
USD
|
185,371
|
EUR
|
168,694
|
Jun 01 2020
|
SOCIETE GENERALE
|
(1,899
|
)
|
||||||||
|
USD
|
911,618
|
EUR
|
821,782
|
Jun 02 2020
|
SOCIETE GENERALE
|
(668
|
)
|
||||||||
|
USD
|
128,933
|
GBP
|
105,277
|
Jun 01 2020
|
SOCIETE GENERALE
|
(1,084
|
)
|
||||||||
|
USD
|
129,838
|
GBP
|
105,277
|
Jun 02 2020
|
SOCIETE GENERALE
|
(180
|
)
|
||||||||
|
USD
|
129,743
|
GBP
|
105,277
|
Jun 03 2020
|
SOCIETE GENERALE
|
(275
|
)
|
||||||||
|
USD
|
100,000
|
ILS
|
357,323
|
Jun 17 2020
|
SOCIETE GENERALE
|
(1,785
|
)
|
||||||||
|
USD
|
100,000
|
INR
|
7,664,260
|
Jun 17 2020
|
SOCIETE GENERALE
|
(1,172
|
)
|
||||||||
|
USD
|
320,727
|
JPY
|
34,545,490
|
Jun 01 2020
|
SOCIETE GENERALE
|
392
|
|||||||||
|
USD
|
588,891
|
JPY
|
63,458,290
|
Jun 03 2020
|
SOCIETE GENERALE
|
442
|
|||||||||
|
USD
|
150,000
|
KRW
|
180,670,151
|
Jun 17 2020
|
SOCIETE GENERALE
|
4,125
|
|||||||||
|
USD
|
150,000
|
PHP
|
7,797,439
|
Jun 17 2020
|
SOCIETE GENERALE
|
(3,961
|
)
|
||||||||
|
USD
|
50,000
|
RUB
|
3,940,805
|
Jun 17 2020
|
SOCIETE GENERALE
|
(5,869
|
)
|
||||||||
|
USD
|
100,000
|
SGD
|
138,571
|
Jun 17 2020
|
SOCIETE GENERALE
|
1,913
|
|||||||||
|
USD
|
150,000
|
THB
|
4,760,808
|
Jun 17 2020
|
SOCIETE GENERALE
|
348
|
|||||||||
|
USD
|
200,000
|
TRY
|
1,384,871
|
Jun 17 2020
|
SOCIETE GENERALE
|
(1,873
|
)
|
||||||||
|
USD
|
50,000
|
TWD
|
1,489,808
|
Jun 17 2020
|
SOCIETE GENERALE
|
371
|
|||||||||
|
USD
|
100,000
|
ZAR
|
1,660,448
|
Jun 17 2020
|
SOCIETE GENERALE
|
5,587
|
|||||||||
|
ZAR
|
836,090
|
USD
|
50,000
|
Jun 17 2020
|
SOCIETE GENERALE
|
(2,460
|
)
|
||||||||
|
Total Forward Foreign Currency Contracts
|
$
|
(1,792
|
)
|
||||||||||||
|
AUD
|
Australian Dollar
|
LME
|
London Mercantile Exchange
|
|||
|
BRL
|
Brazilian Real
|
MIB
|
Milano Indice di Borsa
|
|||
|
CAD
|
Canadian Dollar
|
MXN
|
Mexican Peso
|
|||
|
CHF
|
Swiss Franc
|
NOK
|
Norwegian Krone
|
|||
|
CLP
|
Chilean Peso
|
NZD
|
New Zealand Dollar
|
|||
|
CNH
|
Chinese Yuan Renminbi
|
OMX
|
Stockholm Stock Exchange
|
|||
|
COP
|
Colombian Peso
|
PHP
|
Philippine Peso
|
|||
|
CZK
|
Czech Koruna
|
PLN
|
Polish Zloty
|
|||
|
DAX
|
Deutscher Aktienindex
|
RBOB
|
Reformulated Blendstock for Oxygenate Blending
|
|||
|
DJIA
|
Dow Jones Industrial Average
|
RUB
|
Russian Ruble
|
|||
|
EUR
|
Euro
|
SEK
|
Swedish Krona
|
|||
|
FTSE
|
Financial Times Stock Exchange
|
SGD
|
Singapore Dollar
|
|||
|
GBP
|
British Pound
|
THB
|
Thai Baht
|
|||
|
HUF
|
Hungarian Forint
|
TRY
|
Turkish Lira
|
|||
|
ILS
|
Israeli New Shekel
|
TWD
|
Taiwan Dollar
|
|||
|
INR
|
Indian Rupee
|
USD
|
United States Dollar
|
|||
|
JPY
|
Japanese Yen
|
WTI
|
West Texas Intermediate
|
|||
|
KRW
|
Korean Won
|
ZAR
|
South African Rand
|
|||
|
The accompanying notes are an integral part of the consolidated portfolio of investments.
|
||||||
|
ABBEY CAPITAL MULTI ASSET FUND
|
|||||
|
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
|||||
|
MAY 31, 2020 (UNAUDITED)
|
|||||
|
CONSOLIDATION OF SUBSIDIARIES – The Abbey Capital Mulit-Asset Fund (the "ACMAF" or "Fund") seeks to achieve its investment objective by allocating its assets between
a “Managed Futures” strategy, a "Long U.S. Equity" strategy and a “Fixed Income” strategy. The Managed Futures strategy will be achieved by the ACMAF investing up to 25% of its total assets in Abbey Capital Multi Asset Offshore Fund
Limited (the "Subsidiary"), a wholly-owned and controlled subsidiary of the ACMAF organized under the laws of the Cayman Islands. The consolidated financial statements of the ACMAF include the financial statements of the Subsidiary. The
ACMAF consolidates the results of subsidiaries in which the ACMAF holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2020, the net assets of the Subsidiary were
$6,791,964, which represented 20.94% of the ACMAF's net assets.
|
||||||||
|
PORTFOLIO VALUATION — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”)
(generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers
Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings,
and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are
generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the
absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the
closing ask price for short will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and
the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied
by pricing services ordealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
|
||||||||
|
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund's investments are summarized into three levels as described in
the hierarchy below:
|
||||||||
|
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
|
||||||||
|
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
||||||||
|
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||
|
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||
|
The following is a summary of the inputs used, as of May 31, 2020, in valuing the Fund's investments carried at fair value:
|
||||||||
|
ASSETS
|
TOTAL
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
||||||||||||
|
Short-Term Investments
|
$
|
23,976,709
|
$
|
23,976,709
|
$
|
-
|
$
|
-
|
||||||||
|
Commodity Contracts
|
||||||||||||||||
|
Futures Contracts
|
520,311
|
520,311
|
-
|
-
|
||||||||||||
|
Equity Contracts
|
||||||||||||||||
|
Futures Contracts
|
3,292,716
|
3,292,716
|
-
|
-
|
||||||||||||
|
Foreign Currency Contracts
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
71,485
|
-
|
71,485
|
-
|
||||||||||||
|
Futures Contracts
|
5,756
|
5,756
|
-
|
-
|
||||||||||||
|
Interest Rate Contracts
|
||||||||||||||||
|
Futures Contracts
|
139,293
|
139,293
|
-
|
-
|
||||||||||||
|
Total Assets
|
$
|
28,006,270
|
$
|
27,934,785
|
$
|
71,485
|
$
|
-
|
||||||||
|
LIABILITIES
|
TOTAL
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
||||||||||||
|
Commodity Contracts
|
||||||||||||||||
|
Futures Contracts
|
$
|
(336,144
|
)
|
$
|
(336,144
|
)
|
$
|
-
|
$
|
-
|
||||||
|
Equity Contracts
|
||||||||||||||||
|
Futures Contracts
|
(158,051
|
)
|
(158,051
|
)
|
-
|
-
|
||||||||||
|
Foreign Currency Contracts
|
||||||||||||||||
|
Forward Foreign Currency Contracts
|
(73,277
|
)
|
-
|
(73,277
|
)
|
-
|
||||||||||
|
Futures Contracts
|
(70,613
|
)
|
(70,613
|
)
|
-
|
-
|
||||||||||
|
Interest Rate Contracts
|
||||||||||||||||
|
Futures Contracts
|
(21,167
|
)
|
(21,167
|
)
|
-
|
-
|
||||||||||
|
Total Liabilities
|
$
|
(659,252
|
)
|
$
|
(585,975
|
)
|
$
|
(73,277
|
)
|
$
|
-
|
|||||
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period;
whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management
evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
|
||||||||
|
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period.
Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize.
Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
|
||||||||
|
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for
reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values
at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and
reasons for all Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
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For the period ended May 31, 2020, the Fund had no Level 3 Transfers.
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For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
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