ABBEY CAPITAL FUTURES STRATEGY FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
May 31, 2021
(UNAUDITED)
			COUPON*					MATURITY DATE			PAR (000's)			VALUE
SHORT-TERM INVESTMENTS - 84.7%
U.S. TREASURY OBLIGATIONS - 81.3%
U.S. Treasury Bills				0.072	%			06/03/21			$	14,750		$	14,750,000
U.S. Treasury Bills				0.067	%			06/10/21				4,911			4,911,006
U.S. Treasury Bills				0.076	%			06/17/21				15,153			15,153,017
U.S. Treasury Bills				0.000	%			06/24/21				37,807			37,807,063
U.S. Treasury Bills				0.062	%			07/01/21				27,725			27,724,885
U.S. Treasury Bills				0.069	%			07/08/21				53,340			53,339,726
U.S. Treasury Bills				0.070	%			07/15/21				25,491			25,490,844
U.S. Treasury Bills				0.067	%			07/22/21				2,572			2,572,009
U.S. Treasury Bills				0.052	%			07/29/21				14,518			14,517,882
U.S. Treasury Bills				0.037	%			08/05/21				36,351			36,350,507
U.S. Treasury Bills				0.045	%			08/12/21				69,669			69,667,781
U.S. Treasury Bills				0.031	%			08/19/21				32,550			32,549,645
U.S. Treasury Bills				0.042	%			08/26/21				101256			101,254,186
U.S. Treasury Bills				0.047	%			09/02/21				16,730			16,729,680
U.S. Treasury Bills				0.033	%			09/09/21				26,950			26,949,437
U.S. Treasury Bills				0.020	%			09/16/21				44,875			44,874,335
U.S. Treasury Bills				0.018	%			09/23/21				83,572			83,569,353
U.S. Treasury Bills				0.020	%			09/30/21				13,120			13,119,448
U.S. Treasury Bills				0.019	%			10/07/21				5,631			5,630,775
U.S. Treasury Bills				0.007	%			10/14/21				23,540			23,538,896
U.S. Treasury Bills				0.019	%			10/21/21				43,048			43,045,877
U.S. Treasury Bills				0.020	%			10/28/21				58,228			58,224,986
U.S. Treasury Bills				0.020	%			11/04/21				62,474			62,469,938
U.S. Treasury Bills				0.018	%			11/12/21				48,977			48,973,654
U.S. Treasury Bills				0.010	%			11/18/21				32,018			32,014,977
U.S. Treasury Bills				0.015	%			11/26/21				25,650			25,646,512
TOTAL U.S. TREASURY OBLIGATIONS ($920,840,703)															920,876,419
											NUMBER OF
											SHARES
MONEY MARKET DEPOSIT ACCOUNT - 3.4%											(000's)
U.S. Bank Money Market Deposit Account, 0.01% (United States)(a)												38,396			38,395,895
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($38,395,895)															38,395,895
TOTAL SHORT-TERM INVESTMENTS
(Cost $959,236,598)															959,272,314
TOTAL PURCHASED OPTIONS - 0.0%
(Cost $736,297)															245,216
TOTAL INVESTMENTS - 84.7%
(Cost $959,972,895)															959,517,530
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.3%															173,185,904
NET ASSETS - 100.0%														$	1,132,703,434
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
(a) The rate shown is as of May 31, 2021.
Futures contracts outstanding as of May 31, 2021 were as follows:
LONG CONTRACTS			EXPIRATION DATE			NUMBER OF CONTRACTS		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
3-Month Euro Euribor			Dec-21				135	$	41,374,659		$	(412	)
3-Month Euro Euribor			Mar-22				389		119,202,524			(21,157	)
3-Month Euro Euribor			Jun-22				389		119,190,665			(40,394	)
3-Month Euro Euribor			Mar-23				2		612,287			(259	)
3-Month Euro Euribor			Jun-23				5		1,530,185			(976	)
3-Month SOFR Futures			Mar-22				1		249,888			50
90-DAY Bank Bill			Sep-21				31		23,894,864			817
90-DAY Bank Bill			Dec-21				406		312,930,207			16,151
90-DAY Bank Bill			Mar-22				29		22,350,505			950
90-DAY Bank Bill			Jun-22				24		18,494,690			(209	)
90-DAY Bank Bill			Sep-22				12		9,245,522			(171	)
90-DAY Bank Bill			Dec-22				11		8,472,556			(1,025	)
90-DAY Eurodollar Futures			Dec-21				851		212,377,688			122,938
90-DAY Eurodollar Futures			Mar-22				1,436		358,425,600			106,988
90-DAY Eurodollar Futures			Jun-22				1,156		288,422,000			104,100
90-DAY Eurodollar Futures			Sep-22				183		45,626,475			11,050
90-DAY Eurodollar Futures			Dec-22				99		24,654,713			1,975
90-DAY Eurodollar Futures			Mar-23				276		68,689,500			(2,863	)
90-DAY Eurodollar Futures			Jun-23				65		16,155,750			9,900
90-DAY Eurodollar Futures			Sep-23				38		9,423,525			325
90-DAY Eurodollar Futures			Dec-23				22		5,447,200			25
90-DAY Eurodollar Futures			Mar-24				19		4,697,038			(38	)
90-DAY Eurodollar Futures			Jun-24				13		3,208,725			200
90-DAY Sterling Futures			Dec-21				248		43,945,079			(3,770	)
90-DAY Sterling Futures			Mar-22				623		110,278,250			(19,930	)
90-DAY Sterling Futures			Jun-22				22		2,742,793			87
90-DAY Sterling Futures			Sep-22				55		9,725,883			958
Amsterdam Index Futures			Jun-21				61		10,603,068			189,618
AUD/USD Currency Futures			Jun-21				733		56,543,620			(201,007	)
Australian 10-Year Bond Futures			Jun-21				75		8,104,468			11,394
Australian 3-Year Bond Futures			Jun-21				1,752		158,390,876			120,357
Bank Acceptance Futures			Sep-21				13		2,678,180			72
Bank Acceptance Futures			Dec-21				69		14,211,384			2,711
Bank Acceptance Futures			Mar-22				60		12,350,275			186
Bank Acceptance Futures			Jun-22				63		12,950,840			(1,356	)
Bank Acceptance Futures			Sep-22				31		6,361,730			(2,525	)
Bank Acceptance Futures			Dec-22				4		819,420			(176	)
Brent Crude Futures			Aug-21				167		11,476,240			260,770
Brent Crude Futures			Sep-21				28		1,913,520			53,140
Brent Crude Futures			Oct-21				4		271,400			10,360
Brent Crude Futures			Dec-21				9		602,100			47,880
Brent Crude Oil Last Day			Aug-21				8		549,760			2,760
CAC40 10 Euro Futures			Jun-21				512		40,405,443			313,642
CAD Currency Futures			Jun-21				859		71,073,660			2,225,023
Canadian 10-Year Bond Futures			Sep-21				1,227		146,512,769			(595,315	)
Canola Futures (Winnipeg Commodity Exchange)			Jul-21				8		117,876			9,283
Canola Futures (Winnipeg Commodity Exchange)			Nov-21				6		70,944			1,074
Canola Futures (Winnipeg Commodity Exchange)			Jan-22				2		23,595			(399	)
CHF Currency Futures			Jun-21				232		32,250,900			309,063
Cocoa Futures			Sep-21				2		49,120			(1,910	)
Cocoa Futures			Dec-21				3		74,640			(2,840	)
Cocoa Futures ICE			Dec-21				1		23,686			(922	)
Coffee 'C' Futures			Jul-21				178		10,836,863			1,724,269
Coffee 'C' Futures			Sep-21				22		1,355,475			170,794
Coffee 'C' Futures			Dec-21				9		563,625			61,519
Coffee Robusta Futures			Jul-21				42		664,860			30,440
Coffee Robusta Futures			Sep-21				23		369,150			20,440
Copper Futures			Jul-21				264		30,871,500			1,889,513
Copper Futures			Sep-21				4		468,300			20,750
Corn Futures			Jul-21				166		5,451,025			114,138
Corn Futures			Sep-21				44		1,261,150			10,213
Corn Futures			Dec-21				53		1,445,575			(11,650	)
Cotton No.2 Futures			Jul-21				28		1,149,680			(64,015	)
Cotton No.2 Futures			Dec-21				164		6,832,240			(164,420	)
DAX Index Futures			Jun-21				94		44,452,953			835,122
DAX-Mini Futures			Jun-21				1		94,581			(878	)
DJIA Mini E-CBOT			Jun-21				125		21,570,625			641,245
Dutch TTF Gas Futures			Jul-21				15		339,288			37,148
Dutch TTF Gas Futures			Aug-21				10		224,151			2,368
E-Mini Consumer Discretionary Select Futures			Jun-21				1		174,420			6,310
E-Mini Consumer Staples Select Futures			Jun-21				2		142,000			9,960
E-Mini Crude Oil			Jul-21				13		431,080			5,368
E-Mini Energy Select Futures			Jun-21				2		108,260			(2,250	)
E-Mini Financial Select Futures			Jun-21				2		233,325			6,463
E-Mini Health Care Select Futures			Jun-21				2		249,060			15,300
E-Mini Industrial Select Futures			Jun-21				1		105,660			2,140
E-Mini Materials Select Futures			Jun-21				1		91,940			5,940
E-Mini Real Estate Futures			Jun-21				2		105,375			2,325
Emissions ICE			Dec-21				52		3,235,891			686,393
Emissions ICE			Dec-22				1		62,899			(3,622	)
EUR Foreign Exchange Currency Futures			Jun-21				598		91,228,638			540,544
Euro E-Mini Futures			Jun-21				2		152,556			1,763
Euro STOXX 50			Jun-21				554		27,468,953			731,867
Euro/JPY Futures			Jun-21				69		10,521,032			308,952
Euro-Bobl Futures			Jun-21				481		79,032,657			43,510
Euro-BTP Futures			Jun-21				66		11,858,495			(114,872	)
Euro-Bund Futures			Jun-21				206		42,690,161			175,930
FTSE 100 Index Futures			Jun-21				332		33,091,634			343,397
FTSE China A50 Index			Jun-21				207		3,774,438			5,430
FTSE Taiwan Index			Jun-21				19		1,128,600			16,390
FTSE/JSE TOP 40			Jun-21				23		1,026,795			(3,975	)
FTSE/MIB Index Futures			Jun-21				35		5,370,958			219,562
Gasoline RBOB Futures			Jul-21				103		9,244,229			395,913
Gasoline RBOB Futures			Aug-21				39		3,487,138			8,308
Gasoline RBOB Futures			Sep-21				2		176,912			823
GBP Currency Futures			Jun-21				841		74,617,725			1,333,444
Gold 100 Oz Futures			Aug-21				159		30,294,270			195,120
Gold 100 Oz Futures			Dec-21				2		381,820			3,740
Hang Seng China Enterprises Index Futures			Jun-21				35		2,415,216			21,467
Hang Seng Index Futures			Jun-21				224		41,830,613			68,607
IBEX 35 Index Futures			Jun-21				9		1,009,400			4,123
JPN 10-Year Bond (Osaka Securities Exchange)			Jun-21				5		6,893,522			1,821
Kansas City Hard Red Winter Wheat Futures			Jul-21				84		2,575,650			(289,413	)
Kansas City Hard Red Winter Wheat Futures			Sep-21				8		248,200			(30,975	)
Lean Hogs Futures			Jul-21				69		3,294,060			333,120
Lean Hogs Futures			Aug-21				170		7,903,300			975,070
Lean Hogs Futures			Oct-21				2		75,260			3,560
Live Cattle Futures			Aug-21				5		237,200			(6,820	)
Live Cattle Futures			Oct-21				37		1,830,760			(12,070	)
Live Cattle Futures			Dec-21				16		819,520			8,920
LME Aluminum Forward			Jun-21				1,530		94,353,570			10,661,954
LME Aluminum Forward			Jul-21				11		680,147			48,633
LME Aluminum Forward			Aug-21				44		2,728,286			155,130
LME Aluminum Forward			Sep-21				703		43,713,419			241,075
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		61,281			7,081
LME Aluminum Forward - 90 Day Settlement			Jun-21				3		184,388			21,456
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		61,480			7,082
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		61,496			7,208
LME Aluminum Forward - 90 Day Settlement			Jun-21				10		615,570			71,726
LME Aluminum Forward - 90 Day Settlement			Jun-21				2		123,203			14,528
LME Aluminum Forward - 90 Day Settlement			Jun-21				12		740,028			79,248
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		61,695			5,833
LME Aluminum Forward - 90 Day Settlement			Jun-21				11		678,763			54,090
LME Aluminum Forward - 90 Day Settlement			Jun-21				2		123,454			9,691
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		61,732			5,795
LME Aluminum Forward - 90 Day Settlement			Jul-21				2		123,475			10,543
LME Aluminum Forward - 90 Day Settlement			Jul-21				21		1,297,028			128,011
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,779			3,523
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,800			3,563
LME Aluminum Forward - 90 Day Settlement			Jul-21				18		1,112,495			80,195
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,832			3,557
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,875			748
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,884			809
LME Aluminum Forward - 90 Day Settlement			Jul-21				15		928,391			28,429
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		61,902			814
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		61,945			1,320
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		61,963			(1,040	)
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		61,981			(1,041	)
LME Aluminum Forward - 90 Day Settlement			Aug-21				13		806,085			6,842
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		62,054			2,904
LME Aluminum Forward - 90 Day Settlement			Aug-21				14		868,879			37,876
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		62,075			1,463
LME Copper Forward			Jun-21				319		81,749,731			11,300,630
LME Copper Forward			Jul-21				10		2,564,438			79,150
LME Copper Forward			Sep-21				173		44,390,719			188,110
LME Copper Forward - 90 Day Settlement			Jun-21				2		510,258			53,955
LME Copper Forward - 90 Day Settlement			Jun-21				4		1,024,825			135,275
LME Copper Forward - 90 Day Settlement			Jun-21				1		256,219			27,831
LME Copper Forward - 90 Day Settlement			Jun-21				2		512,463			64,950
LME Copper Forward - 90 Day Settlement			Jun-21				3		768,806			101,722
LME Copper Forward - 90 Day Settlement			Jun-21				1		256,269			28,494
LME Copper Forward - 90 Day Settlement			Jun-21				4		1,024,996			120,981
LME Copper Forward - 90 Day Settlement			Jun-21				1		256,229			30,079
LME Copper Forward - 90 Day Settlement			Jun-21				3		768,394			97,971
LME Copper Forward - 90 Day Settlement			Jun-21				1		256,225			31,478
LME Copper Forward - 90 Day Settlement			Jul-21				4		1,025,183			126,676
LME Copper Forward - 90 Day Settlement			Jul-21				4		1,025,550			125,386
LME Copper Forward - 90 Day Settlement			Jul-21				3		769,163			75,145
LME Copper Forward - 90 Day Settlement			Jul-21				2		512,888			44,238
LME Copper Forward - 90 Day Settlement			Jul-21				1		256,300			(3,131	)
LME Copper Forward - 90 Day Settlement			Jul-21				1		256,338			10,650
LME Copper Forward - 90 Day Settlement			Jul-21				8		2,050,750			75,400
LME Copper Forward - 90 Day Settlement			Jul-21				1		256,350			7,600
LME Copper Forward - 90 Day Settlement			Aug-21				1		256,401			(3,105	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		256,411			6,574
LME Copper Forward - 90 Day Settlement			Aug-21				1		256,471			(6,267	)
LME Copper Forward - 90 Day Settlement			Aug-21				3		769,425			9,575
LME Copper Forward - 90 Day Settlement			Aug-21				10		2,564,938			4,138
LME Copper Forward - 90 Day Settlement			Aug-21				3		769,219			12,794
LME Copper Forward - 90 Day Settlement			Aug-21				7		1,795,106			59,101
LME Lead Forward			Jun-21				135		7,348,219			329,891
LME Lead Forward			Jul-21				37		2,021,356			34,841
LME Lead Forward			Sep-21				49		2,692,856			(17,813	)
LME Nickel Forward			Jun-21				71		7,703,358			6,829
LME Nickel Forward			Jul-21				5		542,880			5,972
LME Nickel Forward			Sep-21				26		2,826,798			67,032
LME Nickel Forward - 90 Day Settlement			Jun-21				2		214,320			(8,626	)
LME Nickel Forward - 90 Day Settlement			Jun-21				2		216,936			22,103
LME Nickel Forward - 90 Day Settlement			Jun-21				4		433,872			44,124
LME Nickel Forward - 90 Day Settlement			Jun-21				1		108,468			11,478
LME Nickel Forward - 90 Day Settlement			Jun-21				1		108,480			12,630
LME Nickel Forward - 90 Day Settlement			Jun-21				1		108,521			11,360
LME Nickel Forward - 90 Day Settlement			Jul-21				1		108,552			8,052
LME Nickel Forward - 90 Day Settlement			Jul-21				1		108,564			10,374
LME Nickel Forward - 90 Day Settlement			Jul-21				3		325,787			21,257
LME Nickel Forward - 90 Day Settlement			Jul-21				4		434,407			13,207
LME Nickel Forward - 90 Day Settlement			Aug-21				1		108,613			1,183
LME Nickel Forward - 90 Day Settlement			Aug-21				1		108,617			2,054
LME Nickel Forward - 90 Day Settlement			Aug-21				2		217,248			108
LME Nickel Forward - 90 Day Settlement			Aug-21				6		651,924			288
LME Nickel Forward - 90 Day Settlement			Aug-21				1		108,667			4,937
LME Nickel Forward - 90 Day Settlement			Aug-21				3		326,034			14,806
LME Palladium Forward - 90 Day Settlement			Jun-21				1		55,219			3,119
LME Palladium Forward - 90 Day Settlement			Jun-21				1		54,846			5,352
LME Palladium Forward - 90 Day Settlement			Jul-21				2		109,200			6,481
LME Palladium Forward - 90 Day Settlement			Jul-21				1		54,635			3,610
LME Palladium Forward - 90 Day Settlement			Jul-21				2		109,328			4,094
LME Palladium Forward - 90 Day Settlement			Jul-21				1		54,669			1,131
LME Palladium Forward - 90 Day Settlement			Aug-21				1		54,708			(317	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		164,144			(1,148	)
LME Palladium Forward - 90 Day Settlement			Aug-21				2		109,482			(2,543	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		164,243			(3,482	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		164,263			(1,762	)
LME Palladium Forward - 90 Day Settlement			Aug-21				14		767,022			(571	)
LME Palladium Forward - 90 Day Settlement			Aug-21				1		54,797			(153	)
LME Palladium Forward - 90 Day Settlement			Aug-21				13		712,780			5,190
LME Silver Forward - 90 Day Settlement			Jun-21				4		659,850			178,075
LME Silver Forward - 90 Day Settlement			Jun-21				2		329,850			91,575
LME Silver Forward - 90 Day Settlement			Jun-21				1		164,675			43,175
LME Silver Forward - 90 Day Settlement			Jun-21				1		164,550			43,050
LME Silver Forward - 90 Day Settlement			Jun-21				8		1,315,400			337,160
LME Silver Forward - 90 Day Settlement			Jun-21				2		327,450			73,850
LME Silver Forward - 90 Day Settlement			Jun-21				3		490,875			105,135
LME Silver Forward - 90 Day Settlement			Jun-21				1		162,700			35,045
LME Silver Forward - 90 Day Settlement			Jun-21				2		323,550			67,270
LME Silver Forward - 90 Day Settlement			Jun-21				9		1,448,100			303,424
LME Silver Forward - 90 Day Settlement			Jun-21				1		160,738			32,763
LME Silver Forward - 90 Day Settlement			Jul-21				7		1,123,267			220,967
LME Silver Forward - 90 Day Settlement			Jul-21				2		320,717			64,617
LME Silver Forward - 90 Day Settlement			Jul-21				1		160,304			25,564
LME Silver Forward - 90 Day Settlement			Jul-21				4		639,900			107,210
LME Silver Forward - 90 Day Settlement			Jul-21				4		639,500			100,660
LME Silver Forward - 90 Day Settlement			Aug-21				1		156,339			12,089
LME Silver Forward - 90 Day Settlement			Aug-21				1		156,232			11,122
LME Silver Forward - 90 Day Settlement			Aug-21				1		156,125			6,825
LME Silver Forward - 90 Day Settlement			Aug-21				1		155,938			7,288
LME Silver Forward - 90 Day Settlement			Aug-21				1		155,750			7,525
LME Silver Forward - 90 Day Settlement			Aug-21				4		621,500			24,360
LME Silver Forward - 90 Day Settlement			Aug-21				1		154,325			6,375
LME Silver Forward - 90 Day Settlement			Aug-21				3		461,100			18,569
LME Zinc Forward			Jun-21				134		10,199,243			786,243
LME Zinc Forward			Jul-21				23		1,755,331			61,200
LME Zinc Forward			Sep-21				132		10,112,025			165,780
LME Zinc Forward - 90 Day Settlement			Jun-21				2		152,178			12,067
LME Zinc Forward - 90 Day Settlement			Jun-21				1		76,092			5,978
LME Zinc Forward - 90 Day Settlement			Jun-21				2		152,199			13,924
LME Zinc Forward - 90 Day Settlement			Jun-21				6		456,618			39,957
LME Zinc Forward - 90 Day Settlement			Jun-21				1		76,105			5,957
LME Zinc Forward - 90 Day Settlement			Jun-21				5		380,786			29,411
LME Zinc Forward - 90 Day Settlement			Jul-21				3		228,714			16,223
LME Zinc Forward - 90 Day Settlement			Jul-21				3		228,919			14,663
LME Zinc Forward - 90 Day Settlement			Jul-21				3		228,938			12,094
LME Zinc Forward - 90 Day Settlement			Jul-21				4		305,400			12,903
LME Zinc Forward - 90 Day Settlement			Aug-21				1		76,390			1,853
LME Zinc Forward - 90 Day Settlement			Aug-21				2		152,813			3,925
LME Zinc Forward - 90 Day Settlement			Aug-21				7		535,281			7,796
LME Zinc Forward - 90 Day Settlement			Aug-21				1		76,469			2,281
LME Zinc Forward - 90 Day Settlement			Aug-21				6		459,000			13,575
Long Gilt Futures			Sep-21				4		722,344			(1,504	)
Low Sulphur Gasoil G Futures			Jun-21				11		622,050			31,375
Low Sulphur Gasoil G Futures			Jul-21				176		9,983,600			299,675
Low Sulphur Gasoil G Futures			Aug-21				21		1,193,850			24,075
Low Sulphur Gasoil G Futures			Sep-21				3		170,850			8,150
Low Sulphur Gasoil G Futures			Oct-21				2		114,050			3,300
Lumber Futures			Jul-21				3		432,135			(52,855	)
MAIZE Futures			Aug-21				4		63,655			3,963
MDAX Index Futures			Jun-21				2		406,236			7,945
Micro EUR/USD Futures			Jun-21				6		91,534			1,409
Mill Wheat Euro			Sep-21				18		231,848			(3,552	)
Mill Wheat Euro			Dec-21				13		166,257			(6,875	)
Mill Wheat Euro			Mar-22				1		12,835			(594	)
Mini FTSE/MIB Pound Futures			Jun-21				4		122,765			5,119
Mini H-Shares Index Futures			Jun-21				8		110,410			48
Mini HSI Index Futures			Jun-21				1		291,610			(300	)
Mini TOPIX Index Futures			Jun-21				18		319,242			2,590
MSCI EAFE Index Futures			Jun-21				40		4,674,000			168,150
MSCI Emerging Markets Index Futures			Jun-21				81		5,511,645			86,065
MSCI Singapore Exchange ETS			Jun-21				30		820,038			7,887
MXN Currency Futures			Jun-21				632		15,841,080			503,970
Nasdaq 100 E-Mini			Jun-21				146		39,964,580			522,388
Natural Gas Futures			Jul-21				129		3,851,940			(63,470	)
Natural Gas Futures			Aug-21				112		3,367,840			(13,220	)
Natural Gas Futures			Sep-21				1		30,020			(450	)
Natural Gas Futures			Oct-21				4		120,680			1,790
Natural Gas Futures ICE			Jul-21				15		400,429			(418	)
Natural Gas Futures ICE			Aug-21				5		133,058			748
Nikkei 225 (Chicago Mercantile Exchange)			Jun-21				5		725,500			1,050
Nikkei 225 (Osaka Securities Exchange)			Jun-21				27		7,158,374			46,421
Nikkei 225 (Singapore Exchange)			Jun-21				278		94,146,706			(119,133	)
Nikkei 225 Mini			Jun-21				22		583,275			1,534
Nikkei/Yen Futures			Jun-21				8		1,056,858			39,787
NY Harbor Ultra-Low Sulfur Diesel Futures			Jul-21				157		13,440,550			568,810
NY Harbor Ultra-Low Sulfur Diesel Futures			Aug-21				23		1,970,060			54,936
NY Harbor Ultra-Low Sulfur Diesel Futures			Sep-21				2		171,436			(449	)
NY Harbor Ultra-Low Sulfur Diesel Futures			Dec-21				1		85,701			5,502
NZD Currency Futures			Jun-21				332		24,096,560			247,320
OAT Futures			Jul-21				1		18,875			325
OMX Stockholm 30 Index Futures			Jun-21				1,033		28,113,413			434,577
Palladium Futures			Sep-21				4		1,132,040			6,170
Palm Oil Futures			Jul-21				4		100,641			(3,798	)
Palm Oil Futures			Aug-21				30		727,592			(41,678	)
Palm Oil Futures			Sep-21				8		188,412			(8,806	)
Palm Oil Futures			Oct-21				2		46,099			(3,085	)
Platinum Futures			Jul-21				26		1,537,120			(29,590	)
Rapeseed Euro			Aug-21				9		285,215			22,743
Rapeseed Euro			Nov-21				4		125,055			(2,058	)
Red Wheat Futures (Minneapolis Grain Exchange)			Jul-21				13		472,875			(1,175	)
Red Wheat Futures (Minneapolis Grain Exchange)			Sep-21				4		146,700			(2,788	)
Rough Rice Futures			Jul-21				1		26,600			(2,070	)
Russell 2000 E-Mini			Jun-21				70		7,940,100			58,399
S&P 500 E-Mini Futures			Jun-21				305		64,086,600			1,481,945
S&P Mid 400 E-Mini			Jun-21				11		2,999,370			55,245
S&P/TSX 60 IX Futures			Jun-21				60		11,798,849			540,322
SGX Iron Ore 62% Futures			Jun-21				4		73,844			3,445
SGX Iron Ore 62% Futures			Jul-21				28		511,087			42,579
SGX Iron Ore 62% Futures			Aug-21				10		173,260			7,300
SGX Iron Ore 62% Futures			Sep-21				5		83,995			4,502
SGX Nifty 50			Jun-21				178		5,515,330			95,799
Short BTP Future			Jun-21				69		9,519,011			3,061
Silver Futures			Jul-21				103		14,427,210			663,944
Silver Futures			Sep-21				1		140,225			8,805
Soybean Futures			Jul-21				106		8,111,650			167,213
Soybean Futures			Aug-21				13		963,300			17,200
Soybean Futures			Nov-21				157		10,776,088			615,275
Soybean Futures			Jan-22				8		549,200			(12,538	)
Soybean Meal Futures			Jul-21				41		1,621,550			(106,170	)
Soybean Meal Futures			Aug-21				5		198,250			(15,900	)
Soybean Oil Futures			Jul-21				81		3,197,394			420,606
Soybean Oil Futures			Aug-21				10		373,980			35,784
Soybean Oil Futures			Dec-21				27		952,398			104,196
Soybean Oil Futures			Jan-22				6		207,648			29,052
SPI 200 Futures			Jun-21				122		16,870,119			651,466
STOXX Dividend Futures			Dec-22				1		13,048			354
STOXX Europe 600 Banks Index			Jun-21				14		119,848			7,628
STOXX Europe 600 Index			Jun-21				36		985,123			30,749
STOXX Europe 600 Institutional Index			Jun-21				1		18,609			(262	)
Sugar No. 11 (World)			Jul-21				259		5,035,789			283,450
Sugar No. 11 (World)			Oct-21				374		7,284,323			215,667
Sugar No. 11 (World)			Mar-22				53		1,038,206			16,598
Sugar No. 11 (World)			May-22				2		37,094			2,240
Topix Index Futures			Jun-21				87		15,430,054			(112,519	)
U.S. Treasury 10-Year Notes (Chicago Board of Trade)			Sep-21				1,424		187,879,000			(179,438	)
U.S. Treasury 2-Year Notes (Chicago Board of Trade)			Sep-21				645		142,373,673			32,696
U.S. Treasury 5-Year Notes (Chicago Board of Trade)			Sep-21				286		35,421,547			13,938
USD/NOK Futures			Jun-21				2		199,606			(3,538	)
USD/SEK Futures			Jun-21				8		799,016			(19,821	)
Wheat (Chicago Board of Trade)			Jul-21				95		3,151,624			(234,925	)
Wheat (Chicago Board of Trade)			Sep-21				23		767,337			(41,564	)
Wheat (Chicago Board of Trade)			Dec-21				89		3,002,637			(140,451	)
White Sugar ICE			Aug-21				24		551,519			19,054
White Sugar ICE			Oct-21				11		253,824			16,394
WTI Crude Futures			Jul-21				422		27,987,039			790,919
WTI Crude Futures			Aug-21				30		1,982,999			35,729
WTI Crude Futures			Sep-21				115		7,543,999			346,479
WTI Crude Futures			Oct-21				2		130,039			609
WTI Crude Futures			Dec-21				10		639,099			31,989
WTI Crude Futures IPE			Jul-21				9		596,879			4,459
WTI Crude Futures IPE			Aug-21				1		66,679			69
											$	51,357,816
SHORT CONTRACTS			EXPIRATION DATE			NUMBER OF CONTRACTS		NOTIONAL AMOUNT			VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
10-Year Mini Japanese Government Bond Futures			Jun-21				16	$	(2,206,510	)	$	(628	)
3-Month Euro Euribor			Mar-22				32		(9,805,863	)		(366	)
3-Month Euro Euribor			Jun-22				37		(11,336,901	)		(290	)
3-Month Euro Euribor			Sep-22				531		(162,667,477	)		(13,231	)
3-Month Euro Euribor			Dec-22				40		(12,250,012	)		(366	)
3-Month Euro Euribor			Mar-23				40		(12,245,744	)		(1,189	)
3-Month Euro Euribor			Jun-23				39		(11,935,439	)		(1,860	)
3-Month Euro Euribor			Sep-23				42		(12,849,068	)		(2,302	)
3-Month Euro Euribor			Dec-23				29		(8,868,439	)		(2,271	)
3-Month Euro Euribor			Mar-24				26		(7,947,448	)		(2,424	)
3-Month Euro Euribor			Jun-24				22		(6,721,745	)		(1,555	)
3-Month Euro Euribor			Sep-24				6		(1,832,289	)		(1,189	)
90-DAY Eurodollar Futures			Mar-22				1,027		(256,339,200	)		(121,738	)
90-DAY Eurodollar Futures			Jun-23				288		(71,582,400	)		147,600
90-DAY Eurodollar Futures			Mar-24				114		(28,182,225	)		(34,450	)
90-DAY Eurodollar Futures			Jun-25				10		(2,455,875	)		(813	)
90-DAY Sterling Futures			Mar-22				460		(81,425,353	)		3,194
90-DAY Sterling Futures			Jun-22				639		(113,053,759	)		23,531
90-DAY Sterling Futures			Sep-22				233		(41,202,378	)		4,701
90-DAY Sterling Futures			Dec-22				209		(36,936,112	)		(27	)
90-DAY Sterling Futures			Mar-23				395		(69,761,938	)		(577	)
90-DAY Sterling Futures			Jun-23				204		(36,003,619	)		(6,040	)
90-DAY Sterling Futures			Sep-23				192		(33,860,214	)		(6,209	)
90-DAY Sterling Futures			Dec-23				46		(8,106,223	)		319
90-DAY Sterling Futures			Mar-24				202		(35,577,184	)		(1,721	)
90-DAY Sterling Futures			Jun-24				26		(4,576,244	)		(1,384	)
AUD/USD Currency Futures			Jun-21				561		(43,281,345	)		(39,227	)
Australian 10-Year Bond Futures			Jun-21				453		(48,950,987	)		(356,276	)
CAD Currency Futures			Jun-21				339		(28,048,860	)		(247,326	)
Canadian 10-Year Bond Futures			Sep-21				358		(42,747,817	)		(34,121	)
Cattle Feeder Futures			Aug-21				4		(302,700	)		(12,488	)
CHF Currency Futures			Jun-21				35		(4,865,438	)		(140,008	)
Cocoa Futures			Jul-21				10		(241,200	)		(1,930	)
Cocoa Futures			Sep-21				1		(24,560	)		10
Cocoa Futures ICE			Jul-21				17		(390,109	)		2,753
Cocoa Futures ICE			Sep-21				4		(85,818	)		71
Cocoa Futures ICE			Dec-21				1		(23,686	)		184
Dollar Index			Jun-21				448		(40,316,864	)		283,464
EUR Foreign Exchange Currency Futures			Jun-21				394		(60,107,163	)		(1,364,924	)
Euro BUXL 30-Year Bond Futures			Jun-21				54		(13,234,623	)		226,087
Euro/CHF 3-Month Futures ICE			Sep-21				1		(280,017	)		(56	)
Euro/CHF 3-Month Futures ICE			Dec-21				1		(280,017	)		(56	)
Euro/GBP Futures			Jun-21				3		(457,514	)		2,253
Euro-Bobl Futures			Jun-21				726		(119,288,377	)		(53,912	)
Euro-BTP Futures			Jun-21				1		(179,674	)		(2,524	)
Euro-Bund Futures			Jun-21				1,354		(280,594,556	)		1,618,860
Euro-Oat Futures			Jun-21				295		(57,709,258	)		(64,643	)
Euro-Schatz Futures			Jun-21				993		(135,677,144	)		52,827
FTSE/JSE TOP 40			Jun-21				1		(44,643	)		(1,080	)
Gasoline RBOB Futures			Jun-21				41		(3,679,742	)		(44,810	)
GBP Currency Futures			Jun-21				17		(1,508,325	)		(28,651	)
Gold 100 Oz Futures			Aug-21				25		(4,763,250	)		(14,680	)
Hang Seng China Enterprises Index Futures			Jun-21				4		(276,025	)		(1,134	)
JPN 10-Year Bond (Osaka Securities Exchange)			Jun-21				87		(119,947,285	)		(350,344	)
JPY Currency Futures			Jun-21				1,700		(193,576,875	)		1,063,109
Live Cattle Futures			Aug-21				35		(1,660,400	)		12,490
LME Aluminum Forward			Jun-21				1,530		(94,353,570	)		(7,361,293	)
LME Aluminum Forward			Jul-21				5		(309,158	)		(6,348	)
LME Aluminum Forward			Sep-21				318		(19,773,638	)		(286,790	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		(61,281	)		(6,918	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				3		(184,388	)		(25,038	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		(61,480	)		(5,818	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		(61,496	)		(7,113	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				10		(615,570	)		(65,195	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				2		(123,203	)		(13,065	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				12		(740,028	)		(61,684	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		(61,695	)		(6,125	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				11		(678,763	)		(67,408	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				2		(123,454	)		(12,229	)
LME Aluminum Forward - 90 Day Settlement			Jun-21				1		(61,732	)		(6,113	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				2		(123,475	)		(12,298	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				21		(1,297,028	)		(92,454	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,779	)		(4,954	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,800	)		(4,575	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				18		(1,112,495	)		(32,893	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,832	)		(3,307	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,875	)		(1,800	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,884	)		(1,797	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				15		(928,391	)		(4,287	)
LME Aluminum Forward - 90 Day Settlement			Jul-21				1		(61,902	)		(1,677	)
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		(61,945	)		(1,661	)
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		(61,963	)		1,587
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		(61,981	)		2,632
LME Aluminum Forward - 90 Day Settlement			Aug-21				13		(806,085	)		(33,120	)
LME Aluminum Forward - 90 Day Settlement			Aug-21				1		(62,054	)		(2,754	)
LME Copper Forward			Jun-21				318		(81,493,463	)		(6,097,961	)
LME Copper Forward			Sep-21				89		(22,836,844	)		(429,424	)
LME Copper Forward - 90 Day Settlement			Jun-21				2		(510,258	)		(53,458	)
LME Copper Forward - 90 Day Settlement			Jun-21				4		(1,024,825	)		(122,375	)
LME Copper Forward - 90 Day Settlement			Jun-21				1		(256,219	)		(30,644	)
LME Copper Forward - 90 Day Settlement			Jun-21				2		(512,463	)		(71,231	)
LME Copper Forward - 90 Day Settlement			Jun-21				3		(768,806	)		(90,764	)
LME Copper Forward - 90 Day Settlement			Jun-21				1		(256,269	)		(30,231	)
LME Copper Forward - 90 Day Settlement			Jun-21				4		(1,024,996	)		(127,456	)
LME Copper Forward - 90 Day Settlement			Jun-21				1		(256,229	)		(31,511	)
LME Copper Forward - 90 Day Settlement			Jun-21				3		(768,394	)		(105,623	)
LME Copper Forward - 90 Day Settlement			Jun-21				1		(256,225	)		(35,288	)
LME Copper Forward - 90 Day Settlement			Jul-21				4		(1,025,183	)		(125,481	)
LME Copper Forward - 90 Day Settlement			Jul-21				4		(1,025,550	)		(50,324	)
LME Copper Forward - 90 Day Settlement			Jul-21				3		(769,163	)		(28,313	)
LME Copper Forward - 90 Day Settlement			Jul-21				2		(512,888	)		(6,369	)
LME Copper Forward - 90 Day Settlement			Jul-21				1		(256,300	)		(18,413	)
LME Copper Forward - 90 Day Settlement			Jul-21				1		(256,338	)		(9,456	)
LME Copper Forward - 90 Day Settlement			Jul-21				8		(2,050,750	)		(8,855	)
LME Copper Forward - 90 Day Settlement			Jul-21				1		(256,350	)		(447	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		(256,401	)		(7,939	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		(256,411	)		(461	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		(256,471	)		(466	)
LME Copper Forward - 90 Day Settlement			Aug-21				3		(769,425	)		2,650
LME Copper Forward - 90 Day Settlement			Aug-21				8		(2,051,950	)		(60,909	)
LME Copper Forward - 90 Day Settlement			Aug-21				3		(769,219	)		(21,772	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		(256,400	)		(5,875	)
LME Copper Forward - 90 Day Settlement			Aug-21				1		(256,430	)		(6,980	)
LME Lead Forward			Jun-21				135		(7,348,219	)		(357,095	)
LME Lead Forward			Jul-21				2		(109,263	)		(5,465	)
LME Lead Forward			Sep-21				8		(439,650	)		(1,899	)
LME Nickel Forward			Jun-21				66		(7,160,868	)		(419,109	)
LME Nickel Forward			Sep-21				3		(326,169	)		(15,308	)
LME Nickel Forward - 90 Day Settlement			Jun-21				2		(214,320	)		(19,509	)
LME Nickel Forward - 90 Day Settlement			Jun-21				2		(216,936	)		5,994
LME Nickel Forward - 90 Day Settlement			Jun-21				4		(433,872	)		(6,522	)
LME Nickel Forward - 90 Day Settlement			Jun-21				1		(108,468	)		(12,648	)
LME Nickel Forward - 90 Day Settlement			Jun-21				1		(108,480	)		(11,384	)
LME Nickel Forward - 90 Day Settlement			Jun-21				1		(108,521	)		(8,082	)
LME Nickel Forward - 90 Day Settlement			Jul-21				1		(108,552	)		(10,396	)
LME Nickel Forward - 90 Day Settlement			Jul-21				1		(108,564	)		(3,276	)
LME Nickel Forward - 90 Day Settlement			Jul-21				3		(325,787	)		(9,941	)
LME Nickel Forward - 90 Day Settlement			Jul-21				2		(217,204	)		(208	)
LME Nickel Forward - 90 Day Settlement			Aug-21				1		(108,613	)		(2,059	)
LME Nickel Forward - 90 Day Settlement			Aug-21				1		(108,617	)		(887	)
LME Nickel Forward - 90 Day Settlement			Aug-21				2		(217,248	)		(144	)
LME Nickel Forward - 90 Day Settlement			Aug-21				2		(217,250	)		(134	)
LME Nickel Forward - 90 Day Settlement			Aug-21				4		(434,616	)		(19,872	)
LME Nickel Forward - 90 Day Settlement			Aug-21				1		(108,654	)		(4,674	)
LME Nickel Forward - 90 Day Settlement			Aug-21				1		(108,657	)		(6,147	)
LME Nickel Forward - 90 Day Settlement			Aug-21				1		(108,667	)		(7,867	)
LME Palladium Forward - 90 Day Settlement			Jun-21				1		(55,219	)		(5,843	)
LME Palladium Forward - 90 Day Settlement			Jun-21				1		(54,846	)		(4,284	)
LME Palladium Forward - 90 Day Settlement			Jul-21				2		(109,200	)		(4,199	)
LME Palladium Forward - 90 Day Settlement			Jul-21				1		(54,635	)		(3,416	)
LME Palladium Forward - 90 Day Settlement			Jul-21				2		(109,328	)		1,138
LME Palladium Forward - 90 Day Settlement			Jul-21				1		(54,669	)		(61	)
LME Palladium Forward - 90 Day Settlement			Aug-21				1		(54,708	)		(60	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		(164,144	)		(179	)
LME Palladium Forward - 90 Day Settlement			Aug-21				2		(109,482	)		(118	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		(164,243	)		(178	)
LME Palladium Forward - 90 Day Settlement			Aug-21				3		(164,263	)		(177	)
LME Palladium Forward - 90 Day Settlement			Aug-21				12		(657,447	)		(4,947	)
LME Palladium Forward - 90 Day Settlement			Aug-21				1		(54,797	)		(397	)
LME Palladium Forward - 90 Day Settlement			Aug-21				1		(54,800	)		475
LME Palladium Forward - 90 Day Settlement			Aug-21				1		(54,821	)		(1,296	)
LME Palladium Forward - 90 Day Settlement			Aug-21				1		(54,829	)		(342	)
LME Palladium Forward - 90 Day Settlement			Aug-21				2		(109,675	)		(413	)
LME Silver Forward - 90 Day Settlement			Jun-21				4		(659,850	)		(170,370	)
LME Silver Forward - 90 Day Settlement			Jun-21				2		(329,850	)		(85,210	)
LME Silver Forward - 90 Day Settlement			Jun-21				1		(164,675	)		(42,455	)
LME Silver Forward - 90 Day Settlement			Jun-21				1		(164,550	)		(42,380	)
LME Silver Forward - 90 Day Settlement			Jun-21				8		(1,315,400	)		(284,285	)
LME Silver Forward - 90 Day Settlement			Jun-21				2		(327,450	)		(67,725	)
LME Silver Forward - 90 Day Settlement			Jun-21				3		(490,875	)		(112,750	)
LME Silver Forward - 90 Day Settlement			Jun-21				1		(162,700	)		(34,050	)
LME Silver Forward - 90 Day Settlement			Jun-21				2		(323,550	)		(69,188	)
LME Silver Forward - 90 Day Settlement			Jun-21				9		(1,448,100	)		(292,710	)
LME Silver Forward - 90 Day Settlement			Jun-21				1		(160,738	)		(34,813	)
LME Silver Forward - 90 Day Settlement			Jul-21				7		(1,123,267	)		(200,588	)
LME Silver Forward - 90 Day Settlement			Jul-21				2		(320,717	)		(63,517	)
LME Silver Forward - 90 Day Settlement			Jul-21				1		(160,304	)		(32,204	)
LME Silver Forward - 90 Day Settlement			Jul-21				4		(639,900	)		(101,260	)
LME Silver Forward - 90 Day Settlement			Jul-21				4		(639,500	)		(101,875	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(156,339	)		(11,389	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(156,232	)		(6,787	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(156,125	)		(6,730	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(155,938	)		(6,543	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(155,750	)		(6,430	)
LME Silver Forward - 90 Day Settlement			Aug-21				2		(310,750	)		(14,850	)
LME Silver Forward - 90 Day Settlement			Aug-21				2		(309,700	)		(13,800	)
LME Silver Forward - 90 Day Settlement			Aug-21				1		(154,325	)		(6,705	)
LME Zinc Forward			Jun-21				134		(10,199,243	)		(425,535	)
LME Zinc Forward			Jul-21				1		(76,319	)		(1,975	)
LME Zinc Forward			Sep-21				16		(1,225,700	)		(30,766	)
LME Zinc Forward - 90 Day Settlement			Jun-21				2		(152,178	)		(12,006	)
LME Zinc Forward - 90 Day Settlement			Jun-21				1		(76,092	)		(7,230	)
LME Zinc Forward - 90 Day Settlement			Jun-21				2		(152,199	)		(12,117	)
LME Zinc Forward - 90 Day Settlement			Jun-21				6		(456,618	)		(35,550	)
LME Zinc Forward - 90 Day Settlement			Jun-21				1		(76,105	)		(6,017	)
LME Zinc Forward - 90 Day Settlement			Jun-21				5		(380,786	)		(27,994	)
LME Zinc Forward - 90 Day Settlement			Jul-21				3		(228,714	)		(14,702	)
LME Zinc Forward - 90 Day Settlement			Jul-21				3		(228,919	)		(12,169	)
LME Zinc Forward - 90 Day Settlement			Jul-21				3		(228,938	)		(11,755	)
LME Zinc Forward - 90 Day Settlement			Jul-21				4		(305,400	)		(4,420	)
LME Zinc Forward - 90 Day Settlement			Aug-21				1		(76,390	)		(1,108	)
LME Zinc Forward - 90 Day Settlement			Aug-21				2		(152,813	)		(2,223	)
LME Zinc Forward - 90 Day Settlement			Aug-21				5		(382,344	)		(11,531	)
LME Zinc Forward - 90 Day Settlement			Aug-21				2		(152,925	)		(4,575	)
LME Zinc Forward - 90 Day Settlement			Aug-21				1		(76,469	)		(2,256	)
Long Gilt Futures			Sep-21				561		(101,308,806	)		(70,233	)
Mill Wheat Euro			Dec-21				1		(12,789	)		(183	)
Natural Gas Futures			Jul-21				80		(2,388,800	)		38,381
Natural Gas Futures			Aug-21				2		(60,140	)		(469	)
New Zealand 3-Month Bank Bill Futures			Sep-21				3		(216,603	)		(71	)
New Zealand 3-Month Bank Bill Futures			Dec-21				5		(360,824	)		(93	)
NY Harbor Ultra-Low Sulfur Diesel Futures			Jul-21				187		(16,008,807	)		(366,747	)
NZD Currency Futures			Jun-21				4		(290,319	)		(5,771	)
Orange Juice Futures			Jul-21				5		(88,987	)		(4,162	)
Platinum Futures			Jul-21				145		(8,572,399	)		35,556
S&P 500 E-Mini Futures			Jun-21				121		(25,424,519	)		(633,522	)
Soybean Meal Futures			Jul-21				6		(237,299	)		(9,419	)
Swiss Federal Bond Futures			Jun-21				4		(726,358	)		(1,066	)
U.S. Treasury 10-Year Notes (Chicago Board of Trade)			Sep-21				791		(104,362,562	)		(37,679	)
U.S. Treasury 2-Year Notes (Chicago Board of Trade)			Sep-21				108		(23,839,312	)		(2,968	)
U.S. Treasury 5-Year Notes (Chicago Board of Trade)			Sep-21				585		(72,453,163	)		(58,202	)
U.S. Treasury Long Bond (Chicago Board of Trade)			Sep-21				323		(50,559,593	)		9,196
U.S. Treasury Ultra 10-Year Notes			Sep-21				71		(10,291,671	)		7,056
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)			Sep-21				55		(10,188,749	)		(3,335	)
Wheat (Chicago Board of Trade)			Jul-21				38		(1,260,649	)		21,776
Wheat (Chicago Board of Trade)			Dec-21				3		(101,212	)		551
WTI Crude Futures			Jul-21				58		(3,846,559	)		(9,779	)
											$	(19,681,893	)
Total Futures Contracts											$	31,675,923
Forward foreign currency contracts outstanding as of May 31, 2021 were as follows:
CURRENCY PURCHASED			CURRENCY SOLD					EXPIRATION DATE			COUNTERPARTY			UNREALIZED APPRECIATION/ (DEPRECIATION)
AUD		2,363,752	EUR				1,500,000	Jun 01 2021			BOA			$	(7,080	)
AUD		200,000	JPY				16,964,124	Jun 01 2021			BOA				(274	)
AUD		2,165	USD				1,674	Jun 01 2021			BOA				(5	)
AUD		8,501,052	USD				6,516,490	Jun 16 2021			BOA				37,506
AUD		12,322,000	USD				9,532,245	Jun 18 2021			BOA				(32,340	)
AUD		11,600,000	CAD				10,859,288	Jun 23 2021			BOA				(45,282	)
AUD		10,624,415	EUR				6,750,000	Jun 23 2021			BOA				(44,101	)
AUD		7,291,844	GBP				4,000,000	Jun 23 2021			BOA				(54,838	)
AUD		9,400,000	JPY				794,297,520	Jun 23 2021			BOA				14,115
AUD		19,800,000	NZD				21,207,931	Jun 23 2021			BOA				(96,423	)
AUD		6,600,000	USD				5,115,077	Jun 23 2021			BOA				(26,537	)
AUD		68,536,000	USD				53,047,774	Aug 13 2021			BOA				(196,513	)
BRL		12,973,006	USD				2,457,517	Jun 02 2021			BOA				30,753
BRL		15,838,941	USD				2,848,863	Jun 16 2021			BOA				184,898
BRL		531,038	USD				100,000	Jul 02 2021			BOA				1,550
CAD		18,724,901	USD				15,515,156	Jun 01 2021			BOA				(15,162	)
CAD		18,724,901	USD				15,502,350	Jun 02 2021			BOA				(2,383	)
CAD		13,662,232	USD				10,841,706	Jun 16 2021			BOA				467,309
CAD		23,794,000	USD				19,250,171	Jun 18 2021			BOA				445,442
CAD		15,137,938	EUR				10,250,000	Jun 23 2021			BOA				24,779
CAD		9,000,000	JPY				810,435,370	Jun 23 2021			BOA				69,593
CAD		12,000,000	USD				9,928,613	Jun 23 2021			BOA				4,389
CAD		53,297,000	USD				43,998,439	Aug 13 2021			BOA				115,368
CHF		794,274	GBP				625,000	Jun 01 2021			BOA				(3,864	)
CHF		250,000	JPY				30,497,224	Jun 01 2021			BOA				288
CHF		8,403,278	USD				9,361,776	Jun 01 2021			BOA				(18,689	)
CHF		653,974	USD				726,719	Jun 02 2021			BOA				413
CHF		7,401,411	USD				8,230,804	Jun 03 2021			BOA				(1,228	)
CHF		30,903,000	USD				34,037,183	Jun 18 2021			BOA				337,171
CHF		6,000,000	JPY				724,698,780	Jun 23 2021			BOA				75,458
CHF		5,375,000	USD				5,959,309	Jun 23 2021			BOA				20,256
CLP		282,612,000	USD				400,000	Jun 07 2021			BOA				(9,963	)
CLP		138,629,712	USD				200,000	Jun 14 2021			BOA				(8,689	)
CLP		3,274,471,663	USD				4,510,797	Jun 16 2021			BOA				7,936
CLP		427,601,712	USD				600,000	Jun 21 2021			BOA				(9,945	)
CLP		285,704,920	USD				400,000	Jun 25 2021			BOA				(5,767	)
CNH		500,000	USD				78,516	Jun 01 2021			BOA				82
CNH		109,948,395	USD				16,811,715	Jun 16 2021			BOA				454,899
CNH		60,011,486	USD				9,300,000	Jun 23 2021			BOA				119,988
COP		6,559,141,213	USD				1,800,000	Jun 16 2021			BOA				(33,230	)
CZK		58,486,506	EUR				2,250,000	Jun 16 2021			BOA				56,354
EUR		1,500,000	AUD				2,365,917	Jun 01 2021			BOA				5,410
EUR		195,796	NOK				2,000,000	Jun 01 2021			BOA				(370	)
EUR		222,848	PLN				1,000,000	Jun 01 2021			BOA				(231	)
EUR		8,171,071	USD				9,963,698	Jun 01 2021			BOA				1,266
EUR		113,550	GBP				97,415	Jun 02 2021			BOA				235
EUR		875,000	USD				1,067,450	Jun 02 2021			BOA				(331	)
EUR		6,274,754	USD				7,651,598	Jun 03 2021			BOA				1,007
EUR		8,403,000	CHF				9,221,536	Jun 10 2021			BOA				(5,655	)
EUR		250,000	CZK				6,467,146	Jun 16 2021			BOA				(4,760	)
EUR		2,900,000	HUF				1,059,957,107	Jun 16 2021			BOA				(173,153	)
EUR		3,386,585	NOK				34,388,895	Jun 16 2021			BOA				19,086
EUR		5,562,154	PLN				25,598,595	Jun 16 2021			BOA				(178,278	)
EUR		6,652,920	SEK				67,905,095	Jun 16 2021			BOA				(62,614	)
EUR		13,405,948	USD				15,899,557	Jun 16 2021			BOA				454,306
EUR		32,276,000	USD				38,937,003	Jun 18 2021			BOA				437,909
EUR		5,625,000	CHF				6,191,987	Jun 23 2021			BOA				(25,586	)
EUR		200,000	GBP				172,334	Jun 23 2021			BOA				(562	)
EUR		900,000	HUF				315,263,520	Jun 23 2021			BOA				(5,540	)
EUR		6,800,000	JPY				903,994,720	Jun 23 2021			BOA				64,285
EUR		1,200,000	PLN				5,424,937	Jun 23 2021			BOA				(11,721	)
EUR		5,000,000	USD				6,098,241	Jun 23 2021			BOA				2,077
GBP		625,000	CHF				796,142	Jun 01 2021			BOA				1,788
GBP		39,277,879	USD				55,473,288	Jun 01 2021			BOA				267,915
GBP		39,277,879	USD				55,803,222	Jun 02 2021			BOA				(61,963	)
GBP		39,180,464	USD				55,602,368	Jun 03 2021			BOA				701
GBP		5,219,428	USD				7,247,055	Jun 16 2021			BOA				160,256
GBP		22,730,000	USD				31,733,915	Jun 18 2021			BOA				524,160
GBP		1,750,000	CHF				2,232,139	Jun 23 2021			BOA				389
GBP		8,630,610	EUR				10,000,000	Jun 23 2021			BOA				47,890
GBP		5,000,000	JPY				770,274,950	Jun 23 2021			BOA				81,539
GBP		5,375,000	USD				7,595,567	Jun 23 2021			BOA				32,611
HUF		1,645,177,429	EUR				4,600,000	Jun 16 2021			BOA				148,153
HUF		1,366,144,344	USD				4,428,586	Jun 16 2021			BOA				354,210
HUF		279,515,840	EUR				800,000	Jun 23 2021			BOA				2,410
HUF		1,867,612,500	USD				6,500,000	Jun 23 2021			BOA				37,681
HUF		1,152,500,000	USD				4,024,688	Aug 13 2021			BOA				5,000
IDR		2,881,800,000	USD				200,000	Jun 30 2021			BOA				1,175
ILS		8,848,829	USD				2,700,000	Jun 16 2021			BOA				23,874
ILS		13,015,624	USD				4,000,000	Jun 23 2021			BOA				6,685
INR		472,144,000	USD				6,400,000	Jun 07 2021			BOA				107,745
INR		469,488,000	USD				6,400,000	Jun 14 2021			BOA				64,154
INR		1,343,255,875	USD				18,198,905	Jun 16 2021			BOA				290,038
INR		467,712,000	USD				6,400,000	Jun 21 2021			BOA				32,760
INR		490,371,159	USD				6,700,000	Jun 25 2021			BOA				40,255
INR		257,625,460	USD				3,500,000	Jun 30 2021			BOA				38,192
JPY		16,921,196	AUD				200,000	Jun 01 2021			BOA				(117	)
JPY		30,490,451	CHF				250,000	Jun 01 2021			BOA				(349	)
JPY		254,064,260	EUR				1,896,279	Jun 01 2021			BOA				616
JPY		3,510,406,323	USD				31,970,763	Jun 01 2021			BOA				(9,164	)
JPY		858,751,237	USD				7,905,651	Jun 16 2021			BOA				(85,955	)
JPY		3,622,421,000	USD				33,193,285	Jun 18 2021			BOA				(207,372	)
JPY		67,566,120	AUD				800,000	Jun 23 2021			BOA				(1,508	)
JPY		30,509,300	CHF				250,000	Jun 23 2021			BOA				(289	)
KRW		9,529,323,714	USD				8,500,000	Jun 07 2021			BOA				44,413
KRW		9,509,375,000	USD				8,500,000	Jun 14 2021			BOA				26,712
KRW		6,602,473,147	USD				5,868,132	Jun 16 2021			BOA				52,103
KRW		9,629,480,000	USD				8,500,000	Jun 21 2021			BOA				134,595
KRW		10,511,263,780	USD				9,400,000	Jun 30 2021			BOA				25,536
MXN		95,332,510	USD				4,567,759	Jun 16 2021			BOA				207,808
MXN		162,125,000	USD				7,700,843	Jun 18 2021			BOA				418,780
MXN		68,000,000	USD				3,401,418	Jun 23 2021			BOA				2,270
MXN		376,560,000	USD				18,780,194	Aug 13 2021			BOA				(39,028	)
NOK		2,000,000	EUR				195,808	Jun 01 2021			BOA				355
NOK		135,930,536	EUR				13,391,101	Jun 16 2021			BOA				(81,293	)
NOK		28,368,500	USD				3,317,937	Jun 16 2021			BOA				74,344
NOK		63,197,206	EUR				6,250,000	Jun 23 2021			BOA				(68,224	)
NOK		18,000,000	SEK				18,103,032	Jun 23 2021			BOA				(27,998	)
NOK		23,205,594	USD				2,800,000	Jun 23 2021			BOA				(25,056	)
NZD		5,076,636	USD				3,594,006	Jun 16 2021			BOA				83,364
NZD		20,630,000	USD				14,778,452	Jun 18 2021			BOA				165,225
NZD		9,600,000	JPY				752,165,180	Jun 23 2021			BOA				104,270
NZD		7,600,000	USD				5,463,503	Jun 23 2021			BOA				41,586
NZD		756,000	USD				550,981	Aug 13 2021			BOA				(3,460	)
PHP		94,975,336	USD				1,950,000	Jun 16 2021			BOA				36,052
PHP		33,591,800	USD				700,000	Jun 30 2021			BOA				2,171
PLN		1,000,000	EUR				222,819	Jun 01 2021			BOA				266
PLN		25,005,050	EUR				5,508,294	Jun 16 2021			BOA				82,520
PLN		6,097,058	USD				1,569,191	Jun 16 2021			BOA				89,378
PLN		17,816,779	USD				4,800,000	Jun 23 2021			BOA				46,868
PLN		121,670,000	USD				33,066,752	Aug 13 2021			BOA				38,116
RUB		230,877,419	USD				3,100,000	Jun 16 2021			BOA				45,169
RUB		59,493,603	USD				800,000	Jun 30 2021			BOA				8,887
SEK		152,683,535	EUR				15,033,898	Jun 16 2021			BOA				49,402
SEK		34,303,887	USD				3,998,470	Jun 16 2021			BOA				133,088
SEK		58,462,690	EUR				5,750,000	Jun 23 2021			BOA				26,278
SEK		6,982,416	NOK				7,000,000	Jun 23 2021			BOA				3,944
SEK		30,017,681	USD				3,600,000	Jun 23 2021			BOA				15,534
SEK		139,620,000	USD				16,842,556	Aug 13 2021			BOA				(18,856	)
SGD		12,145,763	USD				9,089,060	Jun 16 2021			BOA				94,453
SGD		12,262,296	USD				9,200,000	Jun 23 2021			BOA				71,454
THB		70,309,590	USD				2,300,000	Jun 16 2021			BOA				(50,261	)
TRY		11,056,911	USD				1,303,882	Jun 01 2021			BOA				(15,936	)
TRY		1,000,000	USD				126,618	Jun 16 2021			BOA				(11,090	)
TWD		83,433,000	USD				3,000,000	Jun 07 2021			BOA				7,695
TWD		82,980,000	USD				3,000,000	Jun 15 2021			BOA				(8,534	)
TWD		161,742,918	USD				5,817,790	Jun 16 2021			BOA				13,138
TWD		22,329,600	USD				800,000	Jun 17 2021			BOA				4,999
TWD		61,309,600	USD				2,200,000	Jun 21 2021			BOA				10,295
TWD		63,635,100	USD				2,300,000	Jun 30 2021			BOA				(5,785	)
USD		6,516,490	AUD				8,501,052	Jun 16 2021			BOA				(37,506	)
USD		10,288,852	AUD				13,325,000	Jun 18 2021			BOA				15,664
USD		2,421,938	BRL				12,973,006	Jun 02 2021			BOA				(66,332	)
USD		2,548,863	BRL				14,572,775	Jun 16 2021			BOA				(242,379	)
USD		100,000	BRL				533,371	Jul 02 2021			BOA				(1,996	)
USD		15,502,029	CAD				18,724,901	Jun 01 2021			BOA				2,035
USD		10,841,706	CAD				13,662,232	Jun 16 2021			BOA				(467,309	)
USD		3,010,201	CAD				3,668,000	Jun 18 2021			BOA				(26,006	)
USD		9,341,422	CHF				8,401,411	Jun 01 2021			BOA				412
USD		1	CHF				1	Jun 02 2021			BOA				0
USD		30,640,254	CHF				28,452,000	Jun 18 2021			BOA				(1,007,777	)
USD		84,576,819	CHF				75,738,000	Aug 13 2021			BOA				208,378
USD		400,000	CLP				286,004,000	Jun 07 2021			BOA				5,282
USD		200,000	CLP				138,683,288	Jun 14 2021			BOA				8,615
USD		2,910,797	CLP				2,106,713,859	Jun 16 2021			BOA				3,556
USD		200,000	CLP				143,157,288	Jun 21 2021			BOA				2,455
USD		200,000	CLP				145,401,000	Jun 25 2021			BOA				(633	)
USD		78,521	CNH				500,000	Jun 01 2021			BOA				(78	)
USD		2,685,709	CNH				17,578,584	Jun 16 2021			BOA				(74,882	)
USD		2,000,000	COP				7,487,811,775	Jun 16 2021			BOA				(16,916	)
USD		7,651,435	EUR				6,274,754	Jun 01 2021			BOA				(891	)
USD		49	EUR				40	Jun 02 2021			BOA				0
USD		15,899,557	EUR				13,405,948	Jun 16 2021			BOA				(454,306	)
USD		29,936,710	EUR				25,125,000	Jun 18 2021			BOA				(714,382	)
USD		935,107	EUR				764,000	Aug 13 2021			BOA				2,042
USD		55,802,083	GBP				39,277,879	Jun 01 2021			BOA				60,880
USD		55,600,996	GBP				39,180,464	Jun 02 2021			BOA				(2,016	)
USD		7,247,055	GBP				5,219,428	Jun 16 2021			BOA				(160,256	)
USD		16,929,316	GBP				12,228,000	Jun 18 2021			BOA				(424,478	)
USD		9,096,704	GBP				6,439,000	Aug 13 2021			BOA				(41,713	)
USD		4,428,586	HUF				1,366,144,344	Jun 16 2021			BOA				(354,210	)
USD		100,000	IDR				1,432,352,000	Jun 30 2021			BOA				9
USD		1,100,000	ILS				3,636,016	Jun 16 2021			BOA				(19,249	)
USD		6,400,000	INR				476,820,226	Jun 07 2021			BOA				(172,200	)
USD		6,400,000	INR				472,816,000	Jun 14 2021			BOA				(109,976	)
USD		12,498,905	INR				924,840,972	Jun 16 2021			BOA				(230,860	)
USD		6,400,000	INR				470,256,000	Jun 21 2021			BOA				(67,749	)
USD		6,700,000	INR				490,135,110	Jun 25 2021			BOA				(37,011	)
USD		34,494,673	JPY				3,764,420,880	Jun 01 2021			BOA				220,318
USD		31,554,373	JPY				3,464,708,030	Jun 03 2021			BOA				8,418
USD		6,723,000	JPY				733,227,188	Jun 10 2021			BOA				46,639
USD		7,905,651	JPY				858,751,237	Jun 16 2021			BOA				85,955
USD		66,147,254	JPY				7,198,519,000	Jun 18 2021			BOA				597,246
USD		7,911,980	JPY				862,500,000	Jun 23 2021			BOA				57,700
USD		50,247,492	JPY				5,477,000,000	Aug 13 2021			BOA				352,066
USD		8,500,000	KRW				9,513,030,000	Jun 07 2021			BOA				(29,803	)
USD		8,500,000	KRW				9,633,135,000	Jun 14 2021			BOA				(137,683	)
USD		3,568,132	KRW				4,029,274,356	Jun 16 2021			BOA				(44,795	)
USD		8,500,000	KRW				9,499,770,000	Jun 21 2021			BOA				(18,286	)
USD		200,000	KRW				225,853,000	Jun 30 2021			BOA				(2,524	)
USD		4,567,759	MXN				95,332,510	Jun 16 2021			BOA				(207,808	)
USD		827,323	MXN				16,991,000	Jun 18 2021			BOA				(23,628	)
USD		3,317,937	NOK				28,368,500	Jun 16 2021			BOA				(74,344	)
USD		3,594,006	NZD				5,076,636	Jun 16 2021			BOA				(83,364	)
USD		13,429,803	NZD				18,953,000	Jun 18 2021			BOA				(299,112	)
USD		72,150,264	NZD				99,102,000	Aug 13 2021			BOA				377,155
USD		400,000	PHP				19,471,573	Jun 16 2021			BOA				(7,175	)
USD		1,569,191	PLN				6,097,058	Jun 16 2021			BOA				(89,378	)
USD		1,600,000	RUB				123,530,886	Jun 16 2021			BOA				(82,822	)
USD		4,200,000	RUB				309,993,600	Jun 23 2021			BOA				(18,920	)
USD		100,000	RUB				7,555,956	Jun 30 2021			BOA				(2,732	)
USD		3,998,470	SEK				34,303,887	Jun 16 2021			BOA				(133,088	)
USD		4,439,060	SGD				5,961,318	Jun 16 2021			BOA				(68,343	)
USD		3,850,000	THB				120,366,973	Jun 16 2021			BOA				(1,456	)
USD		1,300,000	TRY				11,056,911	Jun 01 2021			BOA				12,054
USD		348,473	TRY				3,000,000	Jun 16 2021			BOA				1,887
USD		3,600,000	TRY				31,622,295	Aug 18 2021			BOA				71,221
USD		3,000,000	TWD				83,121,000	Jun 07 2021			BOA				3,551
USD		3,000,000	TWD				83,764,800	Jun 15 2021			BOA				(19,758	)
USD		4,867,790	TWD				136,618,022	Jun 16 2021			BOA				(57,371	)
USD		800,000	TWD				22,274,282	Jun 17 2021			BOA				(3,005	)
USD		2,200,000	TWD				60,968,600	Jun 21 2021			BOA				1,999
USD		100,000	TWD				2,785,900	Jun 30 2021			BOA				(439	)
USD		6,058,688	ZAR				91,624,009	Jun 17 2021			BOA				(572,173	)
ZAR		145,580,689	USD				9,643,014	Jun 17 2021			BOA				892,711
ZAR		83,358,472	USD				5,900,000	Jun 23 2021			BOA				127,856
Total Forward Foreign Currency Contracts														$	2,539,027
			PUT/CALL			COUNTERPARTY		NUMBER OF CONTRACTS			NOTIONAL AMOUNT			VALUE
PURCHASED OPTIONS - 0.0%
Euro Currency Futures, Expires 6/11/21, Strike Price $99.5			Put				N/A		420		EUR 16,779,504			$	97,125
IMM Eurodollar Futures, Expires 12/13/21, Strike Price $99.5			Put				N/A		1,876		EUR 74,908,680				23,450
IMM Eurodollar Futures, Expires 3/14/22, Strike Price $99.375			Put				N/A		1,626		EUR 64,935,936				50,813
10-Year U.S. Treasury Futures, Expires 6/25/21, Strike Price $131			Put				N/A		315		USD 41,561,100				73,828
TOTAL PURCHASED OPTIONS (COST $736,297)														$	245,216
WRITTEN OPTIONS - (0.0%)
IMM Eurodollar Futures, Expires 12/13/21, Strike Price $99.25			Put				N/A		(1,876	)	EUR 74,908,680			$	(11,725	)
IMM Eurodollar Futures, Expires 3/14/22, Strike Price $99			Put				N/A		(1,626	)	EUR 64,935,936				(30,488	)
TOTAL WRITTEN OPTIONS (PREMIUMS RECEIVED $312,675)														$	(42,213	)
AUD	Australian Dollar					JSE		Johannesburg Stock Exchange
BOA	Bank of America					KRW		Korean Won
BRL	Brazilian Real					LME		London Mercantile Exchange
BUXL	German Bond					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	German Stock Exchange					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
IBEX	Index of the Bolsa de Madrid					TSX		Toronto Stock Exchange
ICE	Intercontinental Exchange					TWD		Taiwan Dollar
ILS	Israeli New Shekel					USD		United States Dollar
INR	Indian Rupee					WTI		West Texas Intermediate
JPY	Japanese Yen					ZAR		South African Rand
The accompanying notes are an integral part of the consolidated portfolio of investments.

ABBEY CAPITAL FUTURES STRATEGY FUND

NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS

MAY 31, 2021 (UNAUDITED)

   CONSOLIDATION OF SUBSIDIARIES –  The Abbey Capital Futures Strategy Fund (the "ACFSF" or "Fund") seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy. The Managed Futures strategy is achieved by the ACFSF investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. Effective on or about October 1, 2018, the ACFSF's previous wholly-owned subsidiary, the Abbey Capital Offshore Fund Limited became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the ACFSF and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name Abbey Capital Offshore Fund SPC (the “SPC”). The Cayman Subsidiary serves solely as an intermediate entity through which the ACFSF invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets. The ACFSF may also a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), which was formed on August 16, 2018. The consolidated financial statements of the ACFSF include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The ACFSF consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2021, the net assets of the Cayman Subsidiary and SPC were $250,790,808, which represented 22.14% of the ACFSF's net assets. As of May 31, 2021, the net assets of the Onshore Subsidiary were $247,778,026, which represented 21.87% of the ACFSF'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 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 or dealers 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, 2021, in valuing the Fund's investments carried at fair value:

ASSETS	TOTAL			LEVEL 1			LEVEL 2			LEVEL 3
Short-Term Investments	$	959,272,314		$	959,272,314		$	-		$	-
Commodity Contracts
Futures Contracts		40,424,617			40,424,617			-			-
Equity Contracts
Futures Contracts		7,684,376			7,684,376			-			-
Foreign Currency Contracts
Forward Foreign Currency Contracts		11,051,497			-			11,051,497			-
Futures Contracts		6,820,314			6,820,314			-			-
Purchased Options		97,125			97,125			-			-
Interest Rate Contracts
Futures Contracts		2,875,561			2,875,561			-			-
Purchased Options		148,091			148,091			-			-
Total Assets	$	1,028,373,895		$	1,017,322,398		$	11,051,497		$	-
LIABILITIES	TOTAL			LEVEL 1			LEVEL 2			LEVEL 3
Commodity Contracts
Futures Contracts	$	(20,981,020	)	$	(20,981,020	)	$	-		$	-
Equity Contracts
Futures Contracts		(875,053	)		(875,053	)		-			-
Foreign Currency Contracts
Forward Foreign Currency Contracts		(8,512,470	)		-			(8,512,470	)		-
Futures Contracts		(2,050,273	)		(2,050,273	)		-			-
Interest Rate Contracts
Futures Contracts		(2,222,599	)		(2,222,599	)		-			-
Written Options		(42,213	)		(42,213	)		-			-
Total Liabilities	$	(34,683,628	)	$	(26,171,158	)	$	(8,512,470	)	$	-

   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.

   For the period ended May 31, 2021, the Fund had no Level 3 transfers.

   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.