NPORT-EX 2 acmaf.htm NPORT-EX

ABBEY CAPITAL MULTI ASSET FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2021
 (UNAUDITED)
 

   
COUPON*
  
MATURITY DATE
PAR (000's)
    
VALUE
SHORT-TERM INVESTMENTS - 82.8%
              
U.S. TREASURY OBLIGATIONS - 78.3%
              
U.S. Treasury Bills
  
0.020%
  
12/09/21
 $                             8,566
   $
           8,565,954
U.S. Treasury Bills
  
0.041%
  
12/16/21
12,284
    
12,283,666
U.S. Treasury Bills
  
0.032%
  
12/23/21
494
    
493,962
U.S. Treasury Bills
  
0.025%
  
12/30/21
655
    
654,956
U.S. Treasury Bills
  
0.032%
  
01/06/22
1,978
    
1,977,928
U.S. Treasury Bills
  
0.041%
  
01/13/22
1,767
    
1,766,947
U.S. Treasury Bills
  
0.041%
  
01/20/22
2,632
    
2,631,844
U.S. Treasury Bills
  
0.035%
  
01/27/22
8,289
    
8,288,474
U.S. Treasury Bills
  
0.030%
  
02/03/22
434
    
433,969
U.S. Treasury Bills
  
0.036%
  
02/10/22
4,348
    
4,347,623
U.S. Treasury Bills
  
0.035%
  
02/17/22
3,236
    
3,235,674
U.S. Treasury Bills
  
0.034%
  
02/24/22
5,815
    
5,814,431
U.S. Treasury Bills
  
0.033%
  
03/10/22
488
    
487,938
U.S. Treasury Bills
  
0.031%
  
03/17/22
1,621
    
1,620,766
U.S. Treasury Bills
  
0.037%
  
03/24/22
3,872
    
3,871,374
U.S. Treasury Bills
  
0.036%
  
03/31/22
2,415
    
2,414,557
U.S. Treasury Bills
  
0.050%
  
04/07/22
                                2,947
    
              2,946,402
U.S. Treasury Bills
  
0.041%
  
04/14/22
4,198
    
4,197,023
U.S. Treasury Bills
  
0.045%
  
04/21/22
4,201
    
4,199,889
U.S. Treasury Bills
  
0.046%
  
04/28/22
2,639
    
2,638,186
U.S. Treasury Bills
  
0.047%
  
05/05/22
4,767
    
4,765,307
U.S. Treasury Bills
  
0.050%
  
05/12/22
                                3,903
    
              3,901,551
U.S. Treasury Bills
  
0.042%
  
05/19/22
7,002
    
6,999,124
U.S. Treasury Bills
  
0.061%
  
05/26/22
2,223
    
2,222,022
TOTAL U.S. TREASURY OBLIGATIONS ($90,764,821)
          
90,759,567
         
NUMBER OF
      
         
SHARES
      
MONEY MARKET DEPOSIT ACCOUNT - 4.5%
      
(000's)
      
U.S. Bank Money Market Deposit Account, 0.01% (United States)(a)
  
5,244
    
5,244,356
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($5,244,356)
          
5,244,356
                 
TOTAL SHORT-TERM INVESTMENTS
              
  (Cost $96,009,177)
              
           96,003,923
TOTAL INVESTMENTS - 82.8%
                
(Cost $96,009,177)
              
96,003,923
                 
OTHER ASSETS IN EXCESS OF LIABILITIES - 17.2%
          
19,899,911
NET ASSETS - 100.0%
             $
    115,903,834
 
                
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
(a) The rate shown is as of November 30, 2021.
              
           
Futures contracts outstanding as of November 30, 2021 were as follows:
          

LONG CONTRACTS
  
EXPIRATION
DATE
NUMBER OF CONTRACTS
    
NOTIONAL
AMOUNT
    
VALUE AND
UNREALIZED
APPRECIATION/ (DEPRECIATION)
  
10-Year Mini Japanese Government Bond Futures
Dec-21
                         16
    $
                   2,151,688
    $
                     3,618
  
3-Month Euro Euribor
  
Sep-22
                         10
    
                        2,847,855
    
                                3,090
  
90-DAY Eurodollar Futures
  
Jun-22
                           1
    
                           248,875
    
                                   (25)
  
Amsterdam Index Futures
  
Dec-21
                           9
    
                        1,586,432
    
                            (71,298)
  
AUD/USD Currency Futures
  
Dec-21
                           6
    
                           427,230
    
                                 (310)
  
Brent Crude Futures
  
Feb-22
                           7
    
                           484,610
    
                            (80,440)
  
Brent Crude Futures
  
Mar-22
                           3
    
                           206,640
    
                            (28,350)
  
Brent Crude Futures
  
Apr-22
                           1
    
                             68,550
    
                              (4,210)
  
Brent Crude Futures
  
Dec-22
                           1
    
                             65,980
    
                              (3,710)
  
Brent Crude Oil Last Day
  
Feb-22
                           1
    
                             69,230
    
                              (4,400)
  
CAC40 10 Euro Futures
  
Dec-21
                         30
    
                        2,284,976
    
                          (126,210)
  
CAD Currency Futures
  
Dec-21
                         91
    
                        7,117,564
    
                            (23,505)
  
Canola Futures (Winnipeg Commodity Exchange)
Jan-22
                           1
    
                             15,454
    
                                 (246)
  
Cattle Feeder Futures
  
Jan-22
                           1
    
                             82,425
    
                                2,150
  
CHF Currency Futures
  
Dec-21
                         39
    
                        5,308,387
    
                                8,550
  
Coffee 'C' Futures
  
Mar-22
                         10
    
                           871,125
    
                              35,006
  
Coffee 'C' Futures
  
May-22
                           2
    
                           173,738
    
                              11,869
  
Coffee 'C' Futures
  
Jul-22
                           2
    
                           173,213
    
                                7,463
  
Coffee Robusta Futures
  
Jan-22
                           3
    
                             67,800
    
                                2,250
  
Copper Futures
  
Mar-22
                           4
    
                           428,000
    
                            (21,000)
  
Copper Futures
  
May-22
                           1
    
                           106,850
    
                              (4,675)
  
Corn Futures
  
Mar-22
                         67
    
                        1,901,125
    
                            (35,325)
  
Corn Futures
  
May-22
                           5
    
                           142,500
    
                              (4,175)
  
Corn Futures
  
Dec-22
                           6
    
                           163,950
    
                              (3,538)
  
Cotton No.2 Futures
  
Mar-22
                         11
    
                           585,255
    
                            (27,795)
  
DAX Index Futures
  
Dec-21
                         11
    
                        4,621,336
    
                          (200,225)
  
DJIA Mini E-CBOT
  
Dec-21
                         21
    
                        3,617,985
    
                          (101,635)
  
Dollar Index
  
Dec-21
                         38
    
                        3,648,266
    
                              63,256
  
E-Mini Health Care Select Futures
  
Dec-21
                           1
    
                           130,830
    
                              (3,130)
  
E-Mini Utilities Select Futures
  
Dec-21
                           1
    
                             66,230
    
                              (1,050)
  
Emissions ICE
  
Dec-21
                           4
    
                           341,907
    
                            139,040
  
Emissions ICE
  
Dec-22
                           3
    
                           257,655
    
                              40,635
  
Euro BUXL 30-Year Bond Futures
  
Dec-21
                           6
    
                        1,484,213
    
                              33,252
  
Euro STOXX 50
  
Dec-21
                         39
    
                        1,803,246
    
                            (56,931)
  
Euro-Bobl Futures
  
Dec-21
                         85
    
                      13,061,943
    
                              13,462
  
Euro-BTP Futures
  
Dec-21
                           5
    
                           859,644
    
                              (2,586)
  
Euro-Bund Futures
  
Dec-21
                         28
    
                        5,450,434
    
                              16,138
  
Euro-Schatz Futures
  
Dec-21
                       307
    
                      39,140,967
    
                              28,771
  
FTSE 100 Index Futures
  
Dec-21
                         51
    
                        4,801,831
    
                            (48,334)
  
FTSE Taiwan Index
  
Dec-21
                           5
    
                           302,200
    
                              (6,370)
  
FTSE/JSE TOP 40
  
Dec-21
                           4
    
                           161,117
    
                                1,323
  
FTSE/MIB Index Futures
  
Dec-21
                           7
    
                        1,024,168
    
                            (23,992)
  
Gasoline RBOB Futures
  
Jan-22
                           4
    
                           325,937
    
                            (42,862)
  
Gasoline RBOB Futures
  
Feb-22
                           5
    
                           404,922
    
                                   727
  
GBP Currency Futures
  
Dec-21
                         15
    
                        1,245,188
    
                            (11,619)
  
Gold 100 Oz Futures
  
Feb-22
                         16
    
                        2,842,400
    
                            (23,090)
  
IBEX 35 Index Futures
  
Dec-21
                           2
    
                           189,017
    
                              (3,722)
  
JPY Currency Futures
  
Dec-21
                         15
    
                        1,657,875
    
                              (3,313)
  
Kansas City Hard Red Winter Wheat Futures
Mar-22
                           7
    
                           287,788
    
                              (3,313)
  
Lean Hogs Futures
  
Feb-22
                         10
    
                           319,900
    
                            (12,910)
  
Lean Hogs Futures
  
Apr-22
                           5
    
                           170,500
    
                                1,610
  
Live Cattle Futures
  
Feb-22
                         10
    
                           551,600
    
                              (2,050)
  
Live Cattle Futures
  
Apr-22
                           3
    
                           169,290
    
                                1,910
  
Live Cattle Futures
  
Jun-22
                           3
    
                           163,500
    
                                1,320
  
LME Aluminum Forward
  
Dec-21
                       214
    
                      14,126,674
    
                          (860,685)
  
LME Aluminum Forward
  
Mar-22
                         31
    
                        2,035,538
    
                            (41,208)
  
LME Aluminum Forward - 90 Day Settlement
Jan-22
                           2
    
                           131,171
    
                            (22,164)
  
LME Aluminum Forward - 90 Day Settlement
Feb-22
                           1
    
                             65,625
    
                                   288
  
LME Copper Forward
  
Dec-21
                         70
    
                      16,664,374
    
                            119,467
  
LME Copper Forward
  
Mar-22
                         17
    
                        4,010,938
    
                            (29,112)
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                           236,963
    
                                5,239
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                           236,896
    
                                   323
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                           236,786
    
                                5,648
  
LME Copper Forward - 90 Day Settlement
Jan-22
                           1
    
                           236,389
    
                                 (552)
  
LME Copper Forward - 90 Day Settlement
Feb-22
                           1
    
                           236,088
    
                              (4,725)
  
LME Copper Forward - 90 Day Settlement
Feb-22
                           1
    
                           236,063
    
                            (11,013)
  
LME Lead Forward
  
Dec-21
                         24
    
                        1,378,950
    
                            (14,965)
  
LME Lead Forward
  
Mar-22
                         11
    
                           625,419
    
                            (21,949)
  
LME Nickel Forward
  
Dec-21
                         12
    
                        1,440,504
    
                              47,693
  
LME Nickel Forward
  
Mar-22
                           7
    
                           835,254
    
                              14,970
  
LME Nickel Forward - 90 Day Settlement
Dec-21
                           1
    
                           119,994
    
                                5,637
  
LME Nickel Forward - 90 Day Settlement
Dec-21
                           1
    
                           119,930
    
                                2,395
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                           119,889
    
                                3,519
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                           119,865
    
                                4,035
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                           119,731
    
                              (3,119)
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                           119,628
    
                                2,023
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                           119,624
    
                                1,686
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                           119,615
    
                                1,643
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                           119,370
    
                                1,536
  
LME Palladium Forward - 90 Day Settlement
Jan-22
                           1
    
                             57,218
    
                              (2,772)
  
LME Palladium Forward - 90 Day Settlement
Jan-22
                           1
    
                             57,169
    
                              (2,069)
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           1
    
                           198,521
    
                              23,521
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           1
    
                           197,975
    
                                5,625
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           2
    
                           393,400
    
                              15,915
  
LME Silver Forward - 90 Day Settlement
Feb-22
                           1
    
                           196,625
    
                              11,025
  
LME Zinc Forward
  
Dec-21
                         13
    
                        1,046,094
    
                              70,219
  
LME Zinc Forward
  
Mar-22
                           6
    
                           479,700
    
                              (5,953)
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                             80,655
    
                                5,148
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                             80,298
    
                                4,798
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                             80,303
    
                                2,003
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                             80,314
    
                                3,664
  
LME Zinc Forward - 90 Day Settlement
Jan-22
                           1
    
                             80,219
    
                            (12,056)
  
LME Zinc Forward - 90 Day Settlement
Feb-22
                           1
    
                             80,100
    
                              (1,716)
  
Long Gilt Futures
  
Mar-22
                         21
    
                        3,526,858
    
                                5,599
  
Low Sulphur Gasoil G Futures
  
Jan-22
                           9
    
                           537,975
    
                            (80,825)
  
Low Sulphur Gasoil G Futures
  
Feb-22
                           2
    
                           119,300
    
                            (22,800)
  
Micro E-mini Nasdaq 100 Index Futures
Dec-21
                           1
    
                             32,301
    
                                     31
  
Mill Wheat Euro
  
Mar-22
                           2
    
                             32,378
    
                                2,183
  
Mill Wheat Euro
  
May-22
                           1
    
                             16,104
    
                                 (298)
  
Mini TOPIX Index Futures
  
Dec-21
                           2
    
                             33,547
    
                              (2,769)
  
MSCI EAFE Index Futures
  
Dec-21
                           3
    
                           335,325
    
                              (5,750)
  
MSCI Emerging Markets Index Futures
Dec-21
                           3
    
                           181,845
    
                                   (80)
  
MSCI Singapore Exchange ETS
  
Dec-21
                           3
    
                             75,673
    
                              (2,422)
  
MXN Currency Futures
  
Dec-21
                         21
    
                           487,935
    
                            (26,955)
  
Nasdaq 100 E-Mini
  
Dec-21
                         14
    
                        4,522,140
    
                              61,402
  
Natural Gas Futures
  
Jan-22
                         10
    
                           456,700
    
                            (51,250)
  
Natural Gas Futures
  
Feb-22
                           5
    
                           225,300
    
                            (17,720)
  
Natural Gas Futures
  
Oct-22
                           1
    
                             40,120
    
                                2,920
  
Nikkei 225 (Osaka Securities Exchange)
Dec-21
                           4
    
                           972,088
    
                            (52,373)
  
Nikkei 225 (Singapore Exchange)
  
Dec-21
                           4
    
                           487,902
    
                            (20,127)
  
Nikkei 225 Mini
  
Dec-21
                         16
    
                           388,835
    
                            (18,286)
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Jan-22
                           6
    
                           519,196
    
                          (104,761)
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Feb-22
                           1
    
                             86,218
    
                            (15,149)
  
OMX Stockholm 30 Index Futures
  
Dec-21
                         69
    
                        1,716,677
    
                            (85,133)
  
Palm Oil Futures
  
Feb-22
                           3
    
                             83,201
    
                              (2,837)
  
Palm Oil Futures
  
Mar-22
                           1
    
                             26,469
    
                                 (689)
  
Rapeseed Euro
  
Feb-22
                           1
    
                             36,560
    
                                   142
  
Russell 2000 E-Mini
  
Dec-21
                           7
    
                           769,055
    
                            (50,430)
  
S&P 500 E-Mini Futures
  
Dec-21
                       243
    
                      55,479,937
    
                         1,133,419
  
S&P Mid 400 E-Mini
  
Dec-21
                           4
    
                        1,082,480
    
                            (32,885)
  
S&P/TSX 60 IX Futures
  
Dec-21
                           8
    
                        1,560,609
    
                            (23,049)
  
SGX Nifty 50
  
Dec-21
                         26
    
                           887,302
    
                            (19,858)
  
Short BTP Future
  
Dec-21
                         13
    
                        1,677,486
    
                                3,890
  
Soybean Futures
  
Mar-22
                           1
    
                             61,325
    
                              (1,838)
  
Soybean Meal Futures
  
Jan-22
                           1
    
                             34,180
    
                              (2,300)
  
Soybean Oil Futures
  
Jan-22
                           5
    
                           165,630
    
                            (15,678)
  
Soybean Oil Futures
  
Mar-22
                           1
    
                             33,192
    
                              (1,872)
  
SPI 200 Futures
  
Dec-21
                           9
    
                        1,159,789
    
                            (25,876)
  
STOXX Europe 600 Index
  
Dec-21
                           6
    
                           157,764
    
                              (1,678)
  
Sugar No. 11 (World)
  
Mar-22
                         68
    
                        1,416,576
    
                          (115,676)
  
Sugar No. 11 (World)
  
May-22
                           9
    
                           184,262
    
                            (14,325)
  
Sugar No. 11 (World)
  
Jul-22
                           1
    
                             20,205
    
                                 (874)
  
Topix Index Futures
  
Dec-21
                           6
    
                        1,006,414
    
                            (73,252)
  
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Mar-22
                         42
    
                        5,494,124
    
                              18,094
  
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
Mar-22
                           4
    
                           485,594
    
                                 (156)
  
U.S. Treasury Long Bond (Chicago Board of Trade)
Mar-22
                         24
    
                        3,891,000
    
                              75,781
  
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Mar-22
                           1
    
                           200,563
    
                                3,156
  
Wheat (Chicago Board of Trade)
  
Mar-22
                         84
    
                        3,306,450
    
                            (89,073)
  
Wheat (Chicago Board of Trade)
  
May-22
                           3
    
                           119,063
    
                              (5,300)
  
Wheat (Chicago Board of Trade)
  
Dec-22
                           3
    
                           118,575
    
                              (9,100)
  
WTI Crude Futures
  
Jan-22
                           5
    
                           330,900
    
                            (61,399)
  
WTI Crude Futures
  
Feb-22
                           4
    
                           263,400
    
                            (43,890)
  
Yellow Maize Futures
  
Mar-22
                           1
    
                             22,949
    
                                 (560)
  
                 $
                     (1,039,618)
  

SHORT CONTRACTS
  
EXPIRATION
DATE
NUMBER OF CONTRACTS
    
NOTIONAL
AMOUNT
    
VALUE AND
UNREALIZED
APPRECIATION/ (DEPRECIATION)
  
3-Month Euro Euribor
  
Mar-22
                         12
    $
                    (3,420,318)
  
 $
                            (1,021)
  
3-Month Euro Euribor
  
Dec-22
                           5
    
                      (1,423,006)
    
                                 (510)
  
3-Month Euro Euribor
  
Dec-23
                           4
    
                      (1,135,230)
    
                              (1,049)
  
3-Month Euro Euribor
  
Dec-24
                           1
    
                         (283,453)
    
                                   326
  
3-Month SOFR Futures
  
Sep-22
                           1
    
                         (248,875)
    
                                     75
  
90-DAY Bank Bill
  
Jun-22
                         13
    
                      (9,259,741)
    
                              (5,735)
  
90-DAY Eurodollar Futures
  
Sep-22
                         17
    
                      (4,221,950)
    
                                7,525
  
90-DAY Eurodollar Futures
  
Dec-22
                         19
    
                      (4,706,063)
    
                                2,100
  
90-DAY Eurodollar Futures
  
Jun-23
                           1
    
                         (246,700)
    
                                   400
  
90-DAY Eurodollar Futures
  
Sep-23
                         26
    
                      (6,404,125)
    
                              18,000
  
90-DAY Eurodollar Futures
  
Dec-23
                         13
    
                      (3,199,300)
    
                                1,163
  
90-DAY Eurodollar Futures
  
Mar-24
                         24
    
                      (5,903,700)
    
                                 (950)
  
90-DAY Eurodollar Futures
  
Sep-24
                         24
    
                      (5,900,700)
    
                                6,650
  
90-DAY Eurodollar Futures
  
Mar-25
                           7
    
                      (1,720,688)
    
                              (1,225)
  
90-DAY Eurodollar Futures
  
Dec-25
                           1
    
                         (245,763)
    
                                   125
  
90-DAY Sterling Futures
  
Mar-22
                       171
    
                    (28,255,616)
    
                              (6,583)
  
90-DAY Sterling Futures
  
Sep-22
                         17
    
                      (2,794,342)
    
                                2,452
  
90-DAY Sterling Futures
  
Dec-22
                           5
    
                         (821,034)
    
                                1,039
  
90-DAY Sterling Futures
  
Jun-23
                         21
    
                      (3,444,852)
    
                                6,783
  
90-DAY Sterling Futures
  
Sep-23
                         60
    
                      (9,838,942)
    
                              24,571
  
90-DAY Sterling Futures
  
Dec-23
                         22
    
                      (3,607,613)
    
                                8,354
  
90-DAY Sterling Futures
  
Mar-24
                         22
    
                      (3,608,893)
    
                                6,517
  
90-DAY Sterling Futures
  
Sep-24
                         38
    
                      (6,237,648)
    
                              17,647
  
AUD/USD Currency Futures
  
Dec-21
                         90
    
                      (6,408,450)
    
                            115,245
  
Australian 10-Year Bond Futures
  
Dec-21
                         41
    
                      (4,073,937)
    
                            (24,360)
  
Australian 3-Year Bond Futures
  
Dec-21
                         47
    
                      (3,839,448)
    
                                1,860
  
Bank Acceptance Futures
  
Mar-23
                           3
    
                         (575,306)
    
                                   176
  
Bank Acceptance Futures
  
Sep-23
                           8
    
                      (1,531,019)
    
                                 (763)
  
Brent Crude Futures
  
Feb-22
                           8
    
                         (553,840)
    
                              41,320
  
CAC40 10 Euro Futures
  
Dec-21
                           7
    
                         (533,161)
    
                                5,818
  
CAD Currency Futures
  
Dec-21
                         29
    
                      (2,268,235)
    
                                8,370
  
Canadian 10-Year Bond Futures
  
Mar-22
                         43
    
                      (4,751,560)
    
                            (70,140)
  
Cocoa Futures
  
Mar-22
                           3
    
                           (70,380)
    
                                2,020
  
Cocoa Futures
  
May-22
                           1
    
                           (23,690)
    
                                   450
  
Cocoa Futures ICE
  
Mar-22
                           1
    
                           (21,758)
    
                                   572
  
Copper Futures
  
Mar-22
                           3
    
                         (321,000)
    
                                   875
  
DAX Index Futures
  
Dec-21
                           2
    
                         (858,680)
    
                                9,782
  
DJIA Mini E-CBOT
  
Dec-21
                           4
    
                         (689,140)
    
                                7,365
  
EUR Foreign Exchange Currency Futures
Dec-21
                       248
    
                    (35,112,149)
    
                            566,720
  
Euro STOXX 50
  
Dec-21
                           9
    
                         (416,134)
    
                                5,818
  
Euro/JPY Futures
  
Dec-21
                         13
    
                      (1,841,576)
    
                              19,563
  
Euro-Bobl Futures
  
Dec-21
                         59
    
                      (9,066,526)
    
                            (52,407)
  
Euro-BTP Futures
  
Dec-21
                           8
    
                      (1,375,431)
    
                            (21,378)
  
Euro-Bund Futures
  
Dec-21
                         19
    
                      (3,714,197)
    
                            (63,124)
  
Euro-Oat Futures
  
Dec-21
                         13
    
                      (2,480,845)
    
                            (34,363)
  
FTSE 100 Index Futures
  
Dec-21
                           8
    
                         (753,228)
    
                                 (632)
  
FTSE China A50 Index
  
Dec-21
                         21
    
                         (323,274)
    
                                5,938
  
Gasoline RBOB Futures
  
Jan-22
                           3
    
                         (244,453)
    
                              11,567
  
Gasoline RBOB Futures
  
Feb-22
                           1
    
                           (80,984)
    
                              11,386
  
GBP Currency Futures
  
Dec-21
                         24
    
                      (1,992,300)
    
                              55,788
  
Gold 100 Oz Futures
  
Feb-22
                           8
    
                      (1,421,200)
    
                              14,770
  
Hang Seng China Enterprises Index Futures
Dec-21
                         17
    
                         (914,420)
    
                              36,176
  
Hang Seng Index Futures
  
Dec-21
                         30
    
                      (4,515,581)
    
                            157,919
  
JPY Currency Futures
  
Dec-21
                       125
    
                    (13,815,624)
    
                            209,418
  
LME Aluminum Forward
  
Dec-21
                       214
    
                    (14,126,674)
    
                            918,489
  
LME Aluminum Forward
  
Mar-22
                         43
    
                      (2,823,488)
    
                              27,425
  
LME Aluminum Forward - 90 Day Settlement
Jan-22
                           2
    
                         (131,171)
    
                              15,129
  
LME Aluminum Forward - 90 Day Settlement
Feb-22
                           1
    
                           (65,588)
    
                                 (850)
  
LME Copper Forward
  
Dec-21
                         70
    
                    (16,664,374)
    
                          (130,651)
  
LME Copper Forward
  
Mar-22
                         16
    
                      (3,775,000)
    
                              68,813
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                         (236,963)
    
                              (9,838)
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                         (236,896)
    
                              (9,396)
  
LME Copper Forward - 90 Day Settlement
Dec-21
                           1
    
                         (236,786)
    
                                 (172)
  
LME Copper Forward - 90 Day Settlement
Jan-22
                           1
    
                         (236,389)
    
                                8,674
  
LME Copper Forward - 90 Day Settlement
Feb-22
                           1
    
                         (236,063)
    
                                1,488
  
LME Copper Forward - 90 Day Settlement
Feb-22
                           1
    
                         (236,063)
    
                                   786
  
LME Lead Forward
  
Dec-21
                         24
    
                      (1,378,950)
    
                            (21,440)
  
LME Nickel Forward
  
Dec-21
                         12
    
                      (1,440,504)
    
                            (57,908)
  
LME Nickel Forward - 90 Day Settlement
Dec-21
                           1
    
                         (119,994)
    
                              (2,235)
  
LME Nickel Forward - 90 Day Settlement
Dec-21
                           1
    
                         (119,930)
    
                              (6,500)
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                         (119,889)
    
                              (1,705)
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                         (119,865)
    
                              (2,362)
  
LME Nickel Forward - 90 Day Settlement
Jan-22
                           1
    
                         (119,731)
    
                                   (91)
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                         (119,628)
    
                              (1,891)
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                         (119,624)
    
                              (1,650)
  
LME Nickel Forward - 90 Day Settlement
Feb-22
                           1
    
                         (119,615)
    
                                 (845)
  
LME Palladium Forward - 90 Day Settlement
Jan-22
                           1
    
                           (57,218)
    
                              (1,231)
  
LME Palladium Forward - 90 Day Settlement
Jan-22
                           1
    
                           (57,169)
    
                                2,595
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           1
    
                         (198,521)
    
                              (7,971)
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           1
    
                         (197,975)
    
                              (7,560)
  
LME Silver Forward - 90 Day Settlement
Jan-22
                           2
    
                         (393,400)
    
                            (38,600)
  
LME Zinc Forward
  
Dec-21
                         13
    
                      (1,046,094)
    
                              54,675
  
LME Zinc Forward
  
Mar-22
                           3
    
                         (239,850)
    
                                2,782
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                           (80,655)
    
                              (4,567)
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                           (80,298)
    
                              (4,536)
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                           (80,303)
    
                              (4,834)
  
LME Zinc Forward - 90 Day Settlement
Dec-21
                           1
    
                           (80,314)
    
                              (4,777)
  
LME Zinc Forward - 90 Day Settlement
Jan-22
                           1
    
                           (80,219)
    
                                1,678
  
LME Zinc Forward - 90 Day Settlement
Feb-22
                           1
    
                           (80,088)
    
                                     88
  
Long Gilt Futures
  
Mar-22
                         44
    
                      (7,389,608)
    
                            (94,213)
  
Low Sulphur Gasoil G Futures
  
Feb-22
                           1
    
                           (59,650)
    
                                7,700
  
Mini H-Shares Index Futures
  
Dec-21
                           3
    
                           (32,274)
    
                                1,077
  
Mini HSI Index Futures
  
Dec-21
                           7
    
                         (210,727)
    
                                6,690
  
MSCI Emerging Markets Index Futures
Dec-21
                           4
    
                         (242,460)
    
                                8,075
  
MXN Currency Futures
  
Dec-21
                         27
    
                         (627,345)
    
                              (7,065)
  
Natural Gas Futures
  
Jan-22
                         18
    
                         (822,060)
    
                              14,950
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Jan-22
                         11
    
                         (951,859)
    
                              29,602
  
NZD Currency Futures
  
Dec-21
                         21
    
                      (1,432,200)
    
                                   470
  
Palladium Futures
  
Mar-22
                           1
    
                         (170,550)
    
                              16,330
  
Platinum Futures
  
Jan-22
                           4
    
                         (185,460)
    
                                8,590
  
Russell 2000 E-Mini
  
Dec-21
                           2
    
                         (219,730)
    
                                1,625
  
SGX Iron Ore 62% Futures
  
Jan-22
                           3
    
                           (30,621)
    
                                   (21)
  
Silver Futures
  
Mar-22
                         22
    
                      (2,509,650)
    
                              51,305
  
Soybean Futures
  
Jan-22
                         15
    
                         (912,938)
    
                              17,625
  
Soybean Futures
  
Mar-22
                           1
    
                           (61,325)
    
                                2,288
  
Soybean Futures
  
Nov-22
                           1
    
                           (60,450)
    
                              (1,250)
  
Soybean Meal Futures
  
Jan-22
                           2
    
                           (68,360)
    
                                 (950)
  
STOXX Europe 600 Banks Index
  
Dec-21
                           1
    
                             (7,774)
    
                                   465
  
Sugar No. 11 (World)
  
Mar-22
                           3
    
                           (62,496)
    
                                2,005
  
Swiss Federal Bond Futures
  
Dec-21
                           1
    
                         (180,698)
    
                              (2,353)
  
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Mar-22
                       108
    
                    (14,127,749)
    
                          (188,750)
  
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
Mar-22
                         84
    
                    (18,373,687)
    
                            (30,164)
  
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
Mar-22
                       149
    
                    (18,088,366)
    
                          (120,352)
  
U.S. Treasury Ultra 10-Year Notes
  
Mar-22
                           4
    
                         (587,563)
    
                              (4,109)
  
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Mar-22
                           3
    
                         (601,688)
    
                            (22,578)
  
White Sugar ICE
  
Mar-22
                           1
    
                           (24,280)
    
                                   840
  
WTI Crude Futures
  
Jan-22
                         14
    
                         (926,520)
    
                              35,430
  
WTI Crude Futures
  
Feb-22
                           1
    
                           (65,850)
    
                              10,910
  
WTI Crude Futures
  
Mar-22
                           1
    
                           (65,490)
    
                              10,140
  
                 $
                       1,643,727
  
Total Futures Contracts
                $
                          604,109
  
                     
Forward foreign currency contracts outstanding as of November 30, 2021 were as follows:
          

CURRENCY PURCHASED
    
CURRENCY SOLD
EXPIRATION DATE
COUNTERPARTY
    
UNREALIZED APPRECIATION/ (DEPRECIATION)
AUD
1,200,000
  
JPY
97,299,430
Dec 01 2021
 SOCIETE GENERALE
    $
            (5,371.00)
AUD
4,038,018
  
USD
2,878,703
Dec 01 2021
 SOCIETE GENERALE
    
(194)
AUD
800,000
  
NZD
836,756
Dec 02 2021
 SOCIETE GENERALE
    
(792)
AUD
4,038,018
  
USD
2,875,069
Dec 02 2021
 SOCIETE GENERALE
    
3,449
AUD
1,166,468
  
EUR
750,000
Dec 20 2021
 SOCIETE GENERALE
    
(19,557)
AUD
227,700
  
GBP
125,000
Dec 20 2021
 SOCIETE GENERALE
    
(3,960)
AUD
3,000,000
  
JPY
246,783,400
Dec 20 2021
 SOCIETE GENERALE
    
(45,015)
AUD
1,100,000
  
USD
810,461
Dec 20 2021
 SOCIETE GENERALE
    
(26,093)
BRL
2,124,877
  
USD
400,000
Dec 15 2021
 SOCIETE GENERALE
    
(23,273)
CAD
1,796,168
  
EUR
1,250,000
Dec 01 2021
 SOCIETE GENERALE
    
(11,591)
CAD
800,000
  
JPY
71,336,107
Dec 01 2021
 SOCIETE GENERALE
    
(4,853)
CAD
8,021,214
  
USD
6,272,944
Dec 01 2021
 SOCIETE GENERALE
    
6,128
CAD
2,583,380
  
AUD
2,800,000
Dec 20 2021
 SOCIETE GENERALE
    
26,267
CAD
3,788,840
  
EUR
2,625,000
Dec 20 2021
 SOCIETE GENERALE
    
(12,884)
CAD
1,800,000
  
JPY
161,522,138
Dec 20 2021
 SOCIETE GENERALE
    
(20,144)
CAD
1,100,000
  
USD
877,834
Dec 20 2021
 SOCIETE GENERALE
    
(16,511)
CHF
3,752,935
  
USD
4,062,364
Dec 01 2021
 SOCIETE GENERALE
    
25,679
CHF
3,377,935
  
USD
3,673,665
Dec 02 2021
 SOCIETE GENERALE
    
5,985
CHF
1,842,656
  
EUR
1,750,000
Dec 20 2021
 SOCIETE GENERALE
    
22,572
CHF
1,250,000
  
JPY
154,854,125
Dec 20 2021
 SOCIETE GENERALE
    
(7,729)
CHF
750,000
  
USD
815,686
Dec 20 2021
 SOCIETE GENERALE
    
2,015
CLP
81,342,856
  
USD
100,000
Dec 03 2021
 SOCIETE GENERALE
    
(1,716)
CLP
159,216,000
  
USD
200,000
Dec 06 2021
 SOCIETE GENERALE
    
(7,684)
CLP
165,762,000
  
USD
200,000
Dec 13 2021
 SOCIETE GENERALE
    
55
CLP
242,653,501
  
USD
300,000
Dec 15 2021
 SOCIETE GENERALE
    
(7,218)
CLP
80,063,856
  
USD
100,000
Dec 16 2021
 SOCIETE GENERALE
    
(3,408)
CLP
83,060,000
  
USD
100,000
Dec 20 2021
 SOCIETE GENERALE
    
158
CLP
81,053,956
  
USD
100,000
Dec 27 2021
 SOCIETE GENERALE
    
(2,345)
CNH
14,233,365
  
USD
2,200,000
Dec 15 2021
 SOCIETE GENERALE
    
33,110
CNH
14,065,725
  
USD
2,200,000
Dec 20 2021
 SOCIETE GENERALE
    
5,838
COP
944,294,588
  
USD
250,000
Dec 15 2021
 SOCIETE GENERALE
    
(14,062)
CZK
24,154,651
  
EUR
950,000
Dec 15 2021
 SOCIETE GENERALE
    
(4,518)
EUR
1,250,000
  
CAD
1,815,668
Dec 01 2021
 SOCIETE GENERALE
    
(3,674)
EUR
100,000
  
GBP
85,074
Dec 01 2021
 SOCIETE GENERALE
    
268
EUR
100,000
  
HUF
36,778,072
Dec 01 2021
 SOCIETE GENERALE
    
(1,061)
EUR
1,000,000
  
NOK
10,286,053
Dec 01 2021
 SOCIETE GENERALE
    
(3,141)
EUR
7,837,495
  
USD
8,832,073
Dec 01 2021
 SOCIETE GENERALE
    
56,560
EUR
19,057
  
GBP
16,155
Dec 02 2021
 SOCIETE GENERALE
    
128
EUR
7,818,438
  
USD
8,848,126
Dec 02 2021
 SOCIETE GENERALE
    
19,059
EUR
550,000
  
CZK
14,106,300
Dec 15 2021
 SOCIETE GENERALE
    
(2,807)
EUR
1,100,000
  
HUF
397,225,094
Dec 15 2021
 SOCIETE GENERALE
    
12,388
EUR
850,000
  
NOK
8,574,542
Dec 15 2021
 SOCIETE GENERALE
    
16,592
EUR
1,900,000
  
PLN
8,827,574
Dec 15 2021
 SOCIETE GENERALE
    
8,697
EUR
1,800,000
  
SEK
18,358,150
Dec 15 2021
 SOCIETE GENERALE
    
5,097
EUR
1,375,000
  
CAD
1,978,474
Dec 20 2021
 SOCIETE GENERALE
    
11,570
EUR
300,000
  
GBP
252,477
Dec 20 2021
 SOCIETE GENERALE
    
4,584
EUR
300,000
  
HUF
110,270,390
Dec 20 2021
 SOCIETE GENERALE
    
(2,533)
EUR
600,000
  
JPY
78,265,380
Dec 20 2021
 SOCIETE GENERALE
    
(11,645)
EUR
2,375,000
  
NOK
24,192,877
Dec 20 2021
 SOCIETE GENERALE
    
21,255
EUR
375,000
  
SEK
3,850,367
Dec 20 2021
 SOCIETE GENERALE
    
(1,817)
GBP
84,690
  
EUR
100,000
Dec 01 2021
 SOCIETE GENERALE
    
(778)
GBP
625,000
  
JPY
94,534,526
Dec 01 2021
 SOCIETE GENERALE
    
(5,116)
GBP
964,387
  
USD
1,283,029
Dec 01 2021
 SOCIETE GENERALE
    
(444)
GBP
679,152
  
USD
901,778
Dec 02 2021
 SOCIETE GENERALE
    
1,459
GBP
250,000
  
CHF
308,277
Dec 20 2021
 SOCIETE GENERALE
    
(3,455)
GBP
1,108,808
  
EUR
1,300,000
Dec 20 2021
 SOCIETE GENERALE
    
(248)
GBP
1,000,000
  
JPY
151,507,090
Dec 20 2021
 SOCIETE GENERALE
    
(10,345)
GBP
750,000
  
USD
1,006,342
Dec 20 2021
 SOCIETE GENERALE
    
(8,395)
HUF
36,834,928
  
EUR
100,000
Dec 01 2021
 SOCIETE GENERALE
    
1,238
HUF
350,667,220
  
EUR
1,000,000
Dec 15 2021
 SOCIETE GENERALE
    
(43,763)
HUF
36,754,750
  
EUR
100,000
Dec 20 2021
 SOCIETE GENERALE
    
838
ILS
1,905,094
  
USD
600,000
Dec 15 2021
 SOCIETE GENERALE
    
4,806
ILS
2,793,366
  
USD
900,000
Dec 20 2021
 SOCIETE GENERALE
    
(12,889)
INR
7,503,100
  
USD
100,000
Dec 03 2021
 SOCIETE GENERALE
    
(193)
INR
178,122,000
  
USD
2,400,000
Dec 08 2021
 SOCIETE GENERALE
    
(31,832)
INR
186,215,000
  
USD
2,500,000
Dec 13 2021
 SOCIETE GENERALE
    
(25,486)
INR
148,323,451
  
USD
2,000,000
Dec 15 2021
 SOCIETE GENERALE
    
(29,405)
INR
186,472,500
  
USD
2,500,000
Dec 20 2021
 SOCIETE GENERALE
    
(23,816)
INR
195,873,600
  
USD
2,600,000
Dec 27 2021
 SOCIETE GENERALE
    
(817)
JPY
96,574,414
  
AUD
1,200,000
Dec 01 2021
 SOCIETE GENERALE
    
(1,043)
JPY
70,633,017
  
CAD
800,000
Dec 01 2021
 SOCIETE GENERALE
    
(1,367)
JPY
486,762,070
  
EUR
3,795,031
Dec 01 2021
 SOCIETE GENERALE
    
2,305
JPY
94,222,505
  
GBP
625,000
Dec 01 2021
 SOCIETE GENERALE
    
2,355
JPY
140,210,567
  
USD
1,241,154
Dec 01 2021
 SOCIETE GENERALE
    
(732)
JPY
13,211,280
  
USD
116,759
Dec 02 2021
 SOCIETE GENERALE
    
120
JPY
146,100,600
  
AUD
1,800,000
Dec 20 2021
 SOCIETE GENERALE
    
9,578
JPY
89,055,300
  
CAD
1,000,000
Dec 20 2021
 SOCIETE GENERALE
    
5,179
JPY
75,707,650
  
GBP
500,000
Dec 20 2021
 SOCIETE GENERALE
    
4,766
JPY
137,500,000
  
USD
1,211,993
Dec 20 2021
 SOCIETE GENERALE
    
4,976
KRW
1,414,164,000
  
USD
1,200,000
Dec 06 2021
 SOCIETE GENERALE
    
(9,706)
KRW
1,414,200,000
  
USD
1,200,000
Dec 13 2021
 SOCIETE GENERALE
    
(9,769)
KRW
706,494,161
  
USD
600,000
Dec 15 2021
 SOCIETE GENERALE
    
(5,405)
KRW
1,427,484,000
  
USD
1,200,000
Dec 20 2021
 SOCIETE GENERALE
    
1,337
KRW
1,902,592,000
  
USD
1,600,000
Dec 27 2021
 SOCIETE GENERALE
    
1,079
MXN
3,000,000
  
USD
139,507
Dec 01 2021
 SOCIETE GENERALE
    
369
MXN
20,000,000
  
USD
967,757
Dec 20 2021
 SOCIETE GENERALE
    
(39,130)
NOK
10,231,239
  
EUR
1,000,000
Dec 01 2021
 SOCIETE GENERALE
    
(2,919)
NOK
2,774,914
  
USD
306,663
Dec 01 2021
 SOCIETE GENERALE
    
140
NOK
23,187,117
  
EUR
2,300,000
Dec 15 2021
 SOCIETE GENERALE
    
(46,510)
NOK
34,035,243
  
EUR
3,375,000
Dec 20 2021
 SOCIETE GENERALE
    
(68,247)
NOK
11,500,000
  
SEK
11,633,621
Dec 20 2021
 SOCIETE GENERALE
    
(20,236)
NOK
4,322,132
  
USD
500,000
Dec 20 2021
 SOCIETE GENERALE
    
(22,175)
NZD
3,337,642
  
AUD
3,200,000
Dec 20 2021
 SOCIETE GENERALE
    
(4,292)
NZD
800,000
  
JPY
64,339,440
Dec 20 2021
 SOCIETE GENERALE
    
(23,552)
NZD
1,000,000
  
USD
706,269
Dec 20 2021
 SOCIETE GENERALE
    
(23,899)
PHP
7,607,286
  
USD
150,000
Dec 15 2021
 SOCIETE GENERALE
    
919
PLN
3,666,228
  
EUR
800,000
Dec 15 2021
 SOCIETE GENERALE
    
(15,982)
RUB
125,218,940
  
USD
1,700,000
Dec 15 2021
 SOCIETE GENERALE
    
(15,150)
SEK
20,109,699
  
EUR
2,000,000
Dec 15 2021
 SOCIETE GENERALE
    
(37,655)
SEK
13,778,357
  
EUR
1,375,000
Dec 20 2021
 SOCIETE GENERALE
    
(31,046)
SEK
1,506,096
  
NOK
1,500,000
Dec 20 2021
 SOCIETE GENERALE
    
1,381
SEK
7,871,755
  
USD
900,000
Dec 20 2021
 SOCIETE GENERALE
    
(26,057)
SGD
470,762
  
USD
350,000
Dec 15 2021
 SOCIETE GENERALE
    
(5,026)
SGD
1,351,665
  
USD
1,000,000
Dec 20 2021
 SOCIETE GENERALE
    
(9,526)
THB
16,663,685
  
USD
500,000
Dec 15 2021
 SOCIETE GENERALE
    
(5,478)
TRY
9,286,835
  
USD
800,000
Feb 09 2022
 SOCIETE GENERALE
    
(144,129)
TRY
10,055,657
  
USD
800,000
Feb 10 2022
 SOCIETE GENERALE
    
(90,182)
TWD
11,124,760
  
USD
400,000
Dec 06 2021
 SOCIETE GENERALE
    
91
TWD
11,077,000
  
USD
400,000
Dec 13 2021
 SOCIETE GENERALE
    
(1,636)
TWD
9,679,447
  
USD
350,000
Dec 15 2021
 SOCIETE GENERALE
    
(1,898)
TWD
11,087,480
  
USD
400,000
Dec 20 2021
 SOCIETE GENERALE
    
(1,266)
TWD
11,104,280
  
USD
400,000
Dec 27 2021
 SOCIETE GENERALE
    
(670)
TWD
11,071,880
  
USD
400,000
Jan 03 2022
 SOCIETE GENERALE
    
(1,836)
USD
4,038,018
  
AUD
2,876,684
Dec 01 2021
 SOCIETE GENERALE
    
(1,825)
USD
8,021,214
  
CAD
6,282,752
Dec 01 2021
 SOCIETE GENERALE
    
3,679
USD
3,752,935
  
CHF
4,067,424
Dec 01 2021
 SOCIETE GENERALE
    
(20,619)
USD
4,042,464
  
EUR
4,574,529
Dec 01 2021
 SOCIETE GENERALE
    
(10,096)
USD
964,004
  
GBP
1,286,382
Dec 01 2021
 SOCIETE GENERALE
    
4,307
USD
56,855
  
HUF
177
Dec 01 2021
 SOCIETE GENERALE
    
0
USD
625,232,510
  
JPY
5,517,257
Dec 01 2021
 SOCIETE GENERALE
    
(14,084)
USD
3,000,000
  
MXN
138,263
Dec 01 2021
 SOCIETE GENERALE
    
(1,612)
USD
2,720,100
  
NOK
300,000
Dec 01 2021
 SOCIETE GENERALE
    
(743)
USD
4,038,018
  
AUD
2,878,703
Dec 02 2021
 SOCIETE GENERALE
    
185
USD
8,021,214
  
CAD
6,272,925
Dec 02 2021
 SOCIETE GENERALE
    
(6,138)
USD
3,377,935
  
CHF
3,653,880
Dec 02 2021
 SOCIETE GENERALE
    
(25,770)
USD
7,837,495
  
EUR
8,832,230
Dec 02 2021
 SOCIETE GENERALE
    
(56,570)
USD
662,997
  
GBP
881,124
Dec 02 2021
 SOCIETE GENERALE
    
(628)
USD
13,211,280
  
JPY
116,092
Dec 02 2021
 SOCIETE GENERALE
    
(786)
USD
8,133,568
  
SEK
900,000
Dec 02 2021
 SOCIETE GENERALE
    
(2,188)
USD
3,701,796
  
SGD
2,700,000
Dec 02 2021
 SOCIETE GENERALE
    
(12,816)
USD
4,038,018
  
AUD
2,875,077
Dec 03 2021
 SOCIETE GENERALE
    
(3,450)
USD
3,377,935
  
CHF
3,673,749
Dec 03 2021
 SOCIETE GENERALE
    
(5,992)
USD
81,733,000
  
CLP
100,000
Dec 03 2021
 SOCIETE GENERALE
    
1,245
USD
7,818,438
  
EUR
8,848,283
Dec 03 2021
 SOCIETE GENERALE
    
(19,068)
USD
679,152
  
GBP
901,778
Dec 03 2021
 SOCIETE GENERALE
    
(1,460)
USD
7,525,313
  
INR
100,000
Dec 03 2021
 SOCIETE GENERALE
    
(103)
USD
13,211,280
  
JPY
116,759
Dec 03 2021
 SOCIETE GENERALE
    
(120)
USD
163,492,000
  
CLP
200,000
Dec 06 2021
 SOCIETE GENERALE
    
2,519
USD
1,412,700,000
  
KRW
1,200,000
Dec 06 2021
 SOCIETE GENERALE
    
10,939
USD
11,081,080
  
TWD
400,000
Dec 06 2021
 SOCIETE GENERALE
    
1,480
USD
180,212,700
  
INR
2,400,000
Dec 08 2021
 SOCIETE GENERALE
    
4,036
USD
159,436,000
  
CLP
200,000
Dec 13 2021
 SOCIETE GENERALE
    
7,580
USD
185,691,013
  
INR
2,500,000
Dec 13 2021
 SOCIETE GENERALE
    
32,449
USD
1,414,584,000
  
KRW
1,200,000
Dec 13 2021
 SOCIETE GENERALE
    
9,446
USD
11,097,880
  
TWD
400,000
Dec 13 2021
 SOCIETE GENERALE
    
885
USD
3,070,701
  
BRL
550,000
Dec 15 2021
 SOCIETE GENERALE
    
5,584
USD
809,813,713
  
CLP
1,000,000
Dec 15 2021
 SOCIETE GENERALE
    
22,891
USD
3,870,347
  
CNH
600,000
Dec 15 2021
 SOCIETE GENERALE
    
(7,229)
USD
3,123,238,163
  
COP
800,000
Dec 15 2021
 SOCIETE GENERALE
    
19,639
USD
952,163
  
ILS
300,000
Dec 15 2021
 SOCIETE GENERALE
    
(2,281)
USD
75,262,236
  
INR
1,000,000
Dec 15 2021
 SOCIETE GENERALE
    
81
USD
2,355,188,995
  
KRW
2,000,000
Dec 15 2021
 SOCIETE GENERALE
    
17,840
USD
7,619,176
  
PHP
150,000
Dec 15 2021
 SOCIETE GENERALE
    
(1,155)
USD
32,977,642
  
RUB
450,000
Dec 15 2021
 SOCIETE GENERALE
    
6,278
USD
1,494,989
  
SGD
1,100,000
Dec 15 2021
 SOCIETE GENERALE
    
4,474
USD
33,210,219
  
THB
1,000,000
Dec 15 2021
 SOCIETE GENERALE
    
14,433
USD
22,285,642
  
TWD
800,000
Dec 15 2021
 SOCIETE GENERALE
    
(1,458)
USD
9,250,062
  
ZAR
600,000
Dec 15 2021
 SOCIETE GENERALE
    
19,685
USD
83,098,000
  
CLP
100,000
Dec 16 2021
 SOCIETE GENERALE
    
(253)
USD
900,000
  
AUD
655,534
Dec 20 2021
 SOCIETE GENERALE
    
13,778
USD
1,250,000
  
CHF
1,353,399
Dec 20 2021
 SOCIETE GENERALE
    
(9,436)
USD
82,834,000
  
CLP
100,000
Dec 20 2021
 SOCIETE GENERALE
    
115
USD
1,375,000
  
EUR
1,563,180
Dec 20 2021
 SOCIETE GENERALE
    
2,425
USD
625,000
  
GBP
843,066
Dec 20 2021
 SOCIETE GENERALE
    
11,444
USD
320,615,800
  
HUF
1,000,000
Dec 20 2021
 SOCIETE GENERALE
    
2,536
USD
631,223
  
ILS
200,000
Dec 20 2021
 SOCIETE GENERALE
    
(463)
USD
186,405,000
  
INR
2,500,000
Dec 20 2021
 SOCIETE GENERALE
    
24,713
USD
250,000,000
  
JPY
2,204,913
Dec 20 2021
 SOCIETE GENERALE
    
(7,757)
USD
1,414,512,000
  
KRW
1,200,000
Dec 20 2021
 SOCIETE GENERALE
    
9,579
USD
34,000,000
  
MXN
1,553,678
Dec 20 2021
 SOCIETE GENERALE
    
(24,987)
USD
9,057,610
  
NOK
1,000,000
Dec 20 2021
 SOCIETE GENERALE
    
(1,346)
USD
4,051,654
  
PLN
1,000,000
Dec 20 2021
 SOCIETE GENERALE
    
14,804
USD
10,732,442
  
SEK
1,200,000
Dec 20 2021
 SOCIETE GENERALE
    
8,456
USD
1,779,565
  
SGD
1,300,000
Dec 20 2021
 SOCIETE GENERALE
    
(4,031)
USD
11,108,680
  
TWD
400,000
Dec 20 2021
 SOCIETE GENERALE
    
504
USD
17,719,154
  
ZAR
1,100,000
Dec 20 2021
 SOCIETE GENERALE
    
(10,764)
USD
83,175,000
  
CLP
100,000
Dec 27 2021
 SOCIETE GENERALE
    
(211)
USD
194,157,413
  
INR
2,600,000
Dec 27 2021
 SOCIETE GENERALE
    
23,590
USD
1,903,862,846
  
KRW
1,600,000
Dec 27 2021
 SOCIETE GENERALE
    
(2,148)
USD
11,084,680
  
TWD
400,000
Dec 27 2021
 SOCIETE GENERALE
    
1,375
USD
196,081,600
  
INR
2,600,000
Jan 03 2022
 SOCIETE GENERALE
    
(52)
USD
1,902,992,000
  
KRW
1,600,000
Jan 03 2022
 SOCIETE GENERALE
    
(1,284)
USD
7,596,854
  
TRY
800,000
Feb 09 2022
 SOCIETE GENERALE
    
263,480
USD
9,291,147
  
TRY
800,000
Feb 10 2022
 SOCIETE GENERALE
    
144,147
ZAR
5,811,757
  
USD
400,000
Dec 15 2021
 SOCIETE GENERALE
    
(35,392)
ZAR
6,096,336
  
USD
400,000
Dec 20 2021
 SOCIETE GENERALE
    
(17,838)
Total Forward Foreign Currency Contracts
             $
              (400,259)

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
  
NOVEMBER 30, 2021 (UNAUDITED)
  
                   
   CONSOLIDATION OF SUBSIDIARIES –  The Abbey Capital Mulit-Asset Fund (the "Fund") strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets. Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another whollyowned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company. The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund 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 the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $24,745,808, which represented 21.35% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $16,202,110, which represented 13.98% of the Fund’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 November 30, 2021, in valuing the Fund's investments carried at fair value:
      

ASSETS
TOTAL
  
LEVEL 1
  
LEVEL 2
  
LEVEL 3
  
Short-Term Investments
  
$
96,003,923
    
$
96,003,923
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
2,000,542
    
$
2,000,542
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
1,442,923
      
1,442,923
      
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
1,040,991
      
-
      
1,040,991
      
-
  
Futures Contracts
    
1,047,380
      
1,047,380
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
310,614
      
310,614
      
-
      
-
  
Total Assets
  
$
101,846,373
    
$
100,805,382
    
$
1,040,991
    
$
-
  
                                 
                                 
LIABILITIES
TOTAL
  
LEVEL 1
  
LEVEL 2
  
LEVEL 3
  
Commodity Contracts
                                
Futures Contracts
  
$
(2,318,192
)
    
(2,318,192
)
  
$
-
    
$
-
  
Equity Contracts
                                
Futures Contracts
    
(1,057,497
)
    
(1,057,497
)
    
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
(1,441,250
)
    
-
      
(1,441,250
)
    
-
  
Futures Contracts
    
(72,767
)
    
(72,767
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(748,894
)
    
(748,894
)
    
-
      
-
  
Total Liabilities
  
$
(5,638,600
)
  
$
(4,197,350
)
  
$
(1,441,250
)
  
$
-
  

   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 November 30, 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.