AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
1
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
BONDS
–
77
.21
%
ASSET-BACKED
SECURITIES
—
16
.66
%
**
Access
Group,
Inc.,
Series
2015-1,
Class
A
(SOFR30A
plus
0.81%)
6.15%
07/25/56
1,2
$
7,969
$
7,845
Aimco
CLO
11
Ltd.,
Series
2020-11A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.39%)
6.79%
10/17/34
1,2,3
100,000
100,052
Apidos
CLO
XII,
Series
2013-12A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.34%)
6.74%
04/15/31
1,2,3
112,123
111,551
Apidos
CLO
XXII,
Series
2015-22A,
Class
A1R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.32%)
6.74%
04/20/31
1,2,3
195,090
195,315
Barings
CLO
Ltd.,
Series
2018-3A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.21%)
6.63%
07/20/29
1,2,3
25,218
25,244
Barings
CLO
Ltd.,
Series
2020-4A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.48%)
6.90%
01/20/32
1,2,3
90,000
90,117
Carmax
Auto
Owner
Trust,
Series
2020-1,
Class
C
2.34%
11/17/25
135,000
133,964
Carvana
Auto
Receivables
Trust,
Series
2022-P3,
Class
A3
4.61%
11/10/27
165,000
163,314
Cedar
Funding
XII
CLO
Ltd.,
Series
2020-12A,
Class
A1R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.39%)
6.77%
10/25/34
1,2,3
100,000
99,840
Dryden
58
CLO
Ltd.,
Series
2018-58A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.26%)
6.66%
07/17/31
1,2,3
147,711
147,822
Dryden
XXVI
Senior
Loan
Fund,
Series
2013-26A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.16%)
6.56%
04/15/29
1,2,3
36,891
36,827
Eaton
Vance
CLO
Ltd.,
Series
2020-1A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.43%)
6.83%
10/15/34
1,2,3
150,000
150,189
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Exeter
Automobile
Receivables
Trust,
Series
2021-1A,
Class
D
1.08%
11/16/26
$
145,000
$
140,303
Exeter
Automobile
Receivables
Trust,
Series
2022-6A,
Class
C
6.32%
05/15/28
130,000
130,699
Flagship
Credit
Auto
Trust,
Series
2021-1,
Class
C
0.91%
03/15/27
1
147,641
143,602
GLS
Auto
Receivables
Issuer
Trust,
Series
2020-4A,
Class
D
1.64%
10/15/26
1
160,000
156,029
GoldenTree
Loan
Management
U.S.
CLO
8
Ltd.,
Series
2020-8A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.41%)
6.83%
10/20/34
1,2,3
140,000
139,479
LCM
29
Ltd.,
Series
29A,
Class
XR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.06%)
6.46%
04/15/31
1,2,3
22,727
22,724
Madison
Park
Funding
XVII
Ltd.,
Series
2015-17A,
Class
AR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.26%)
6.67%
07/21/30
1,2,3
162,753
162,768
Navient
Student
Loan
Trust,
Series
2014-1,
Class
A3
(SOFR30A
plus
0.62%)
5.96%
06/25/31
2
56,512
54,701
Nelnet
Student
Loan
Trust,
Series
2014-3A,
Class
A
(SOFR30A
plus
0.69%)
6.03%
06/25/41
1,2
8,127
7,986
NYACK
Park
CLO
Ltd.,
Series
2021-1A,
Class
X
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
0.91%)
6.33%
10/20/34
1,2,3
38,571
38,536
OCP
CLO
Ltd.,
Series
2017-14A,
Class
A1A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.41%)
6.78%
11/20/30
1,2,3
70,060
70,094
Octagon
Investment
Partners
35
Ltd.,
Series
2018-1A,
Class
A1A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.32%)
6.74%
01/20/31
1,2,3
145,495
145,444
OHA
Credit
Funding
7
Ltd.,
Series
2020-7A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.30%)
6.70%
02/24/37
1,2,3
115,000
114,856
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
2
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Palmer
Square
CLO
Ltd.,
Series
2014-1A,
Class
A1R2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.39%)
6.79%
01/17/31
1,2,3
$
55,158
$
55,229
Palmer
Square
CLO
Ltd.,
Series
2018-1A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.29%)
6.69%
04/18/31
1,2,3
117,032
117,007
Progress
Residential
Trust,
Series
2019-SFR3,
Class
A
2.27%
09/17/36
1
118,226
115,074
Progress
Residential
Trust,
Series
2019-SFR4,
Class
A
2.69%
10/17/36
1
99,550
96,934
Rockford
Tower
CLO
Ltd.,
Series
2017-3A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.45%)
6.87%
10/20/30
1,2,3
113,072
113,218
Rockford
Tower
CLO
Ltd.,
Series
2018-2A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.42%)
6.84%
10/20/31
1,2,3
150,000
150,188
Santander
Drive
Auto
Receivables
Trust,
Series
2022-2,
Class
C
3.76%
07/16/29
160,000
154,112
Santander
Drive
Auto
Receivables
Trust,
Series
2022-4,
Class
C
5.00%
11/15/29
160,000
157,823
SLM
Student
Loan
Trust,
Series
2005-7,
Class
A4
(SOFR90A
plus
0.41%)
5.75%
10/25/29
2
18,458
18,451
SLM
Student
Loan
Trust,
Series
2008-5,
Class
A4
(SOFR90A
plus
1.96%)
7.30%
07/25/23
2
62,557
62,513
SLM
Student
Loan
Trust,
Series
2008-6,
Class
A4
(SOFR90A
plus
1.36%)
6.70%
07/25/23
2
99,303
97,997
SLM
Student
Loan
Trust,
Series
2012-1,
Class
A3
(SOFR30A
plus
1.06%)
6.40%
09/25/28
2
104,524
101,196
SLM
Student
Loan
Trust,
Series
2012-2,
Class
A
(SOFR30A
plus
0.81%)
6.15%
01/25/29
2
61,503
58,911
Sofi
Professional
Loan
Program
Trust,
Series
2021-B,
Class
AFX
1.14%
02/15/47
1
175,394
147,725
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Sofi
Professional
Loan
Program,
LLC,
Series
2019-A,
Class
A2FX
3.69%
06/15/48
1
$
106,803
$
103,647
Stack
Infrastructure
Issuer
LLC,
Series
2019-2A,
Class
A2
3.08%
10/25/44
1
60,000
58,347
Stratus
CLO
Ltd.,
Series
2021-2A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.16%)
6.58%
12/28/29
1,2,3
70,320
70,271
Westlake
Automobile
Receivables
Trust,
Series
2022-2A,
Class
C
4.85%
09/15/27
1
150,000
148,539
Westlake
Automobile
Receivables
Trust,
Series
2023-1A,
Class
B
5.41%
01/18/28
1
150,000
149,497
World
Omni
Select
Auto
Trust,
Series
2023-A,
Class
C
6.00%
01/16/29
150,000
150,798
Total
Asset-Backed
Securities
(Cost
$4,733,568)
4,716,778
CORPORATES
—
29
.40
%
*
Banking
—
9
.18
%
Bank
of
America
Corp.
1.73%
07/22/27
4
250,000
229,138
Bank
of
America
Corp.
(MTN)
2.55%
02/04/28
4
235,000
217,974
DNB
Bank
ASA
(Norway)
0.86%
09/30/25
1,3,4
200,000
193,210
HSBC
Holdings
PLC
(United
Kingdom)
0.98%
05/24/25
3,4
395,000
387,272
ING
Groep
NV
(Netherlands)
3.87%
03/28/26
3,4
200,000
196,105
Lloyds
Banking
Group
PLC
(United
Kingdom)
1.63%
05/11/27
3,4
125,000
114,666
3.57%
11/07/28
3,4
30,000
28,247
NatWest
Group
PLC
(United
Kingdom)
4.27%
03/22/25
3,4
90,000
89,685
PNC
Financial
Services
Group,
Inc.
(The)
5.58%
06/12/29
4
15,000
15,307
6.62%
10/20/27
4
95,000
98,656
Santander
UK
Group
Holdings
PLC
(United
Kingdom)
1.09%
03/15/25
3,4
275,000
271,939
U.S.
Bancorp
6.79%
10/26/27
4
135,000
141,566
UBS
Group
AG
(Switzerland)
1.31%
02/02/27
1,3,4
145,000
132,856
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
3
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Banking
(continued)
2.59%
09/11/25
1,3,4
$
50,000
$
48,926
Wells
Fargo
&
Co.
(MTN)
2.16%
02/11/26
4
355,000
341,828
2.39%
06/02/28
4
100,000
91,636
2,599,011
Communications
—
1
.98
%
AT&T,
Inc.
(CME
Term
SOFR
3-Month
plus
1.44%)
6.81%
06/12/24
2
175,000
175,582
Charter
Communications
Operating
LLC/Charter
Communications
Operating
Capital
(CME
Term
SOFR
3-Month
plus
1.91%)
7.29%
02/01/24
2
125,000
125,000
Frontier
Communications
Holdings
LLC
8.63%
03/15/31
1
32,000
32,655
Intelsat
Jackson
Holdings
SA
(Luxembourg)
6.50%
03/15/30
1,3
11,000
10,544
Qwest
Corp.
7.25%
09/15/25
100,000
97,875
Sprint
Spectrum
Co.
LLC/Sprint
Spectrum
Co.
II
LLC/Sprint
Spectrum
Co.
III
LLC
5.15%
03/20/28
1
42,500
42,331
T-Mobile
USA,
Inc.
2.63%
04/15/26
79,000
75,211
559,198
Consumer
Discretionary
—
1
.08
%
Bacardi
Ltd.
(Bermuda)
4.45%
05/15/25
1,3
100,000
98,686
BAT
Capital
Corp.
3.56%
08/15/27
105,000
100,343
Imperial
Brands
Finance
PLC
(United
Kingdom)
6.13%
07/27/27
1,3
100,000
102,729
Spectrum
Brands,
Inc.
3.88%
03/15/31
1
5,000
4,544
306,302
Diversified
REITs
—
1
.07
%
American
Tower
Corp.
3.60%
01/15/28
115,000
109,498
GLP
Capital
LP/GLP
Financing
II,
Inc.
3.25%
01/15/32
6,000
5,100
5.75%
06/01/28
95,000
95,929
VICI
Properties
LP/VICI
Note
Co.,
Inc.
4.63%
06/15/25
1
95,000
93,390
303,917
Electric
—
1
.23
%
Alliant
Energy
Finance
LLC
5.95%
03/30/29
1
70,000
72,906
American
Electric
Power
Co.,
Inc.
2.03%
03/15/24
120,000
119,041
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Electric
(continued)
FirstEnergy
Transmission
LLC
2.87%
09/15/28
1
$
63,000
$
57,183
Pennsylvania
Electric
Co.
4.15%
04/15/25
1
50,000
49,044
5.15%
03/30/26
1
50,000
49,951
348,125
Energy
—
1
.41
%
Energy
Transfer
LP
4.25%
04/01/24
150,000
149,455
5.50%
06/01/27
12,000
12,154
Plains
All
American
Pipeline
LP/PAA
Finance
Corp.
4.65%
10/15/25
125,000
123,424
Southern
Co.
Gas
Capital
Corp.
3.88%
11/15/25
100,000
97,566
Venture
Global
LNG,
Inc.
9.50%
02/01/29
1
15,000
15,878
398,477
Finance
—
6
.23
%
American
Express
Co.
6.34%
10/30/26
4
155,000
158,173
Avolon
Holdings
Funding
Ltd.
(Cayman
Islands)
2.53%
11/18/27
1,3
5,000
4,434
Citigroup,
Inc.
3.52%
10/27/28
4
290,000
274,455
GGAM
Finance
Ltd.
(Cayman
Islands)
8.00%
02/15/27
1,3
20,000
20,526
Goldman
Sachs
Group,
Inc.
(The)
1.54%
09/10/27
4
40,000
36,315
1.95%
10/21/27
4
285,000
260,969
JPMorgan
Chase
&
Co.
0.56%
02/16/25
4
290,000
288,061
0.82%
06/01/25
4
110,000
107,712
1.04%
02/04/27
4
25,000
22,985
1.05%
11/19/26
4
30,000
27,790
Morgan
Stanley
(GMTN)
1.51%
07/20/27
4
320,000
292,509
Nationwide
Building
Society
(United
Kingdom)
2.97%
02/16/28
1,3,4
115,000
106,996
UBS
Group
AG
(Switzerland)
1.49%
08/10/27
1,3,4
180,000
162,795
1,763,720
Food
—
0
.30
%
JBS
USA
LUX
SA/JBS
USA
Food
Co./JBS
USA
Finance,
Inc.
(Canada)
5.13%
02/01/28
3
85,000
84,688
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
4
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Health
Care
—
3
.00
%
1375209
BC
Ltd.
(Canada)
9.00%
01/30/28
1,3
$
20,000
$
19,517
Amgen,
Inc.
5.15%
03/02/28
130,000
132,978
Bayer
U.S.
Finance
II
LLC
4.25%
12/15/25
1
165,000
160,859
Catalent
Pharma
Solutions,
Inc.
3.50%
04/01/30
1
57,000
49,649
Embecta
Corp.
5.00%
02/15/30
1
45,000
38,286
HCA,
Inc.
5.00%
03/15/24
75,000
74,871
5.25%
06/15/26
155,000
155,816
Humana,
Inc.
5.70%
03/13/26
70,000
70,067
IQVIA,
Inc.
6.25%
02/01/29
1
55,000
57,467
Kedrion
SpA
(Italy)
6.50%
09/01/29
1,3
25,000
22,875
ModivCare
Escrow
Issuer,
Inc.
5.00%
10/01/29
1
40,000
32,764
Prestige
Brands,
Inc.
3.75%
04/01/31
1
40,000
35,011
850,160
Health
Care
REITs
—
0
.33
%
Healthcare
Reality
Holdings
LP
3.50%
08/01/26
45,000
43,033
Healthcare
Realty
Holdings
LP
3.63%
01/15/28
55,000
50,771
93,804
Industrials
—
0
.37
%
Artera
Services
LLC
9.03%
12/04/25
1
9,000
8,545
General
Electric
Co.
(MTN)
(CME
Term
SOFR
3-Month
plus
0.64%)
6.03%
05/05/26
2
29,000
28,836
(CME
Term
SOFR
3-Month
plus
0.74%)
6.12%
08/15/36
2
75,000
68,499
105,880
Information
Technology
—
0
.38
%
VMware
LLC,
1.00%
08/15/24
110,000
106,860
Insurance
—
1
.61
%
Athene
Global
Funding
(SOFR
Index
plus
0.70%)
6.10%
05/24/24
1,2
85,000
84,948
Guardian
Life
Global
Funding
5.74%
10/02/28
1
125,000
131,525
Nationwide
Mutual
Insurance
Co.
7.94%
12/15/24
1,4
90,000
89,924
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Insurance
(continued)
Willis
North
America,
Inc.
4.65%
06/15/27
$
150,000
$
148,789
455,186
Materials
—
0
.77
%
Georgia-Pacific
LLC
3.60%
03/01/25
1
115,000
113,108
International
Flavors
&
Fragrances,
Inc.
1.83%
10/15/27
1
55,000
48,243
2.30%
11/01/30
1
70,000
57,939
219,290
Retail
—
0
.06
%
Michaels
Cos.,
Inc.
(The)
5.25%
05/01/28
1
20,000
15,827
Services
—
0
.06
%
Waste
Pro
USA,
Inc.
5.50%
02/15/26
1
18,000
17,345
Specialized
REITs
—
0
.34
%
Extra
Space
Storage
LP
2.20%
10/15/30
110,000
91,658
2.40%
10/15/31
5,000
4,126
95,784
Total
Corporates
(Cost
$8,278,398)
8,323,574
MORTGAGE-BACKED
—
30
.25
%
**
Non-Agency
Commercial
Mortgage-Backed
—
7
.11
%
1345
Avenue
of
the
Americas
&
Park
Avenue
Plaza
Trust,
Series
2005-1,
Class
A3
5.28%
08/10/35
1
32,780
31,676
ACAM
Ltd.,
Series
2019-FL1,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
1-Month
plus
1.51%)
6.87%
11/17/34
1,2,3
4,158
4,170
BANK,
Series
2018-BN14,
Class
A2
4.13%
09/15/60
49,278
48,126
Beast
Mortgage
Trust,
Series
2021-SSCP,
Class
A
(CME
Term
SOFR
1-Month
plus
0.86%)
6.23%
04/15/36
1,2
250,000
245,315
BFLD
Trust,
Series
2020-EYP,
Class
A
(CME
Term
SOFR
1-Month
plus
1.26%)
6.63%
10/15/35
1,2
125,000
94,323
BX
Commercial
Mortgage
Trust,
Series
2021-CIP,
Class
A
(CME
Term
SOFR
1-Month
plus
1.04%)
6.40%
12/15/38
1,2
130,000
127,423
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
5
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
BX
Trust,
Series
2021-SDMF,
Class
A
(CME
Term
SOFR
1-Month
plus
0.70%)
6.07%
09/15/34
1,2
$
116,063
$
113,557
Citigroup
Commercial
Mortgage
Trust,
Series
2015-GC29,
Class
AAB
2.98%
04/10/48
14,241
14,098
Citigroup
Commercial
Mortgage
Trust,
Series
2015-P1,
Class
AAB
3.47%
09/15/48
16,590
16,325
Cold
Storage
Trust,
Series
2020-ICE5,
Class
A
(CME
Term
SOFR
1-Month
plus
1.01%)
6.37%
11/15/37
1,2
108,129
107,489
Commercial
Mortgage
Trust,
Series
2012-CR4,
Class
XA
(IO)
1.14%
10/15/45
4
65,302
4
Commercial
Mortgage
Trust,
Series
2015-PC1,
Class
A4
3.62%
07/10/50
46,333
45,369
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2019-ICE4,
Class
A
(CME
Term
SOFR
1-Month
plus
1.03%)
6.39%
05/15/36
1,2
244,392
244,053
GS
Mortgage
Securities
Trust,
Series
2010-C1,
Class
X
(IO)
0.45%
08/10/43
1,4
1,508,457
2,502
JPMBB
Commercial
Mortgage
Securities
Trust,
Series
2013-C17,
Class
XA
(IO)
0.33%
01/15/47
4
200,987
8
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2013-LC11,
Class
XA
(IO)
0.94%
04/15/46
4
161,020
741
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust,
Series
2015-JP1,
Class
XA
(IO)
0.88%
01/15/49
4,5,6
602,266
8,102
LB-UBS
Commercial
Mortgage
Trust,
Series
2006-C6,
Class
XCL
(IO)
0.43%
09/15/39
1,4
303,520
1,128
MF1
Ltd.,
Series
2020-FL4,
Class
A
(CME
Term
SOFR
1-Month
plus
1.81%)
7.18%
11/15/35
1,2
112,490
112,739
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2014-C14,
Class
XA
(IO)
0.81%
02/15/47
4
30,566
1
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2015-C26,
Class
ASB
3.32%
10/15/48
27,024
26,517
One
New
York
Plaza
Trust,
Series
2020-1NYP,
Class
A
(CME
Term
SOFR
1-Month
plus
1.06%)
6.43%
01/15/36
1,2
94,000
89,874
Queens
Center
Mortgage
Trust,
Series
2013-QCA,
Class
B
3.38%
01/11/37
1
150,000
135,155
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
SREIT
Trust,
Series
2021-MFP,
Class
A
(CME
Term
SOFR
1-Month
plus
0.85%)
6.21%
11/15/38
1,2
$
239,216
$
235,337
TMSQ
Mortgage
Trust,
Series
2014-1500,
Class
XA
(IO)
0.15%
10/10/36
1,4
14,000,000
6,689
UBS-Barclays
Commercial
Mortgage
Trust,
Series
2012-C3,
Class
XB
(IO)
0.18%
08/10/49
1,4,5,6
199,136
41
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2014-LC16,
Class
A4
3.55%
08/15/50
56,074
55,810
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2017-SMP,
Class
A
(CME
Term
SOFR
1-Month
plus
0.92%)
6.28%
12/15/34
1,2
200,000
182,002
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-C20,
Class
A4
3.72%
05/15/47
47,231
47,231
WF-RBS
Commercial
Mortgage
Trust,
Series
2014-C25,
Class
XA
(IO)
0.78%
11/15/47
4
4,840,748
17,395
2,013,200
Non-Agency
Mortgage-Backed
—
6
.47
%
Alternative
Loan
Trust,
Series
2007-22,
Class
2A16
6.50%
09/25/37
192,554
74,799
Asset-Backed
Funding
Certificates,
Series
2004-OPT4,
Class
M1
(CME
Term
SOFR
1-Month
plus
1.01%)
6.37%
02/25/34
2
71,474
71,269
Banc
of
America
Funding
Trust,
Series
2015-R7,
Class
1A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.92%)
3.30%
09/26/46
1,2
15,930
15,959
Centex
Home
Equity
Loan
Trust,
Series
2005-B,
Class
M2
(CME
Term
SOFR
1-Month
plus
0.76%)
6.12%
03/25/35
2
57,935
57,440
Centex
Home
Equity
Loan
Trust,
Series
2005-D,
Class
M4
(CME
Term
SOFR
1-Month
plus
1.03%)
6.39%
10/25/35
2
12,476
12,482
CIM
Trust,
Series
2019-R1,
Class
A
3.25%
10/25/58
1,4
79,920
70,870
CIM
Trust,
Series
2021-R3,
Class
A1A
1.95%
06/25/57
1,4
98,019
86,327
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2005-HE4,
Class
M2
(CME
Term
SOFR
1-Month
plus
0.79%)
6.15%
10/25/35
2
112,929
108,531
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
6
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2007-WFH3,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.50%)
5.86%
06/25/37
2
$
77,163
$
75,698
Countrywide
Asset-Backed
Certificates
Trust,
Series
2007-13,
Class
2A1
(CME
Term
SOFR
1-Month
plus
1.01%)
6.37%
10/25/47
2
55,847
50,408
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2005-9,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.71%)
6.07%
05/25/35
2
37,373
31,301
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2003-CB1,
Class
AF
(STEP-reset
date
02/25/24)
3.95%
01/25/33
4,244
3,943
DSLA
Mortgage
Loan
Trust,
Series
2004-AR3,
Class
2A2A
(CME
Term
SOFR
1-Month
plus
0.85%)
6.21%
07/19/44
2
1,809
1,656
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF4,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.67%)
4.76%
03/25/36
2
12,001
11,898
GMACM
Mortgage
Corp.
Loan
Trust,
Series
2006-AR1,
Class
1A1
3.36%
04/19/36
4
59,648
46,262
HarborView
Mortgage
Loan
Trust,
Series
2005-9,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.79%)
6.15%
06/20/35
2
96,120
89,219
HSI
Asset
Securitization
Corp.
Trust,
Series
2007-WF1,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
05/25/37
2
20,456
20,384
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR5,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.97%)
6.33%
08/25/34
2
5,916
5,016
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR4,
Class
A1A
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
05/25/46
2
65,972
59,226
IndyMac
Index
Mortgage
Loan
Trust,
Series
2007-AR1,
Class
2A1
3.94%
06/25/37
4
56,111
35,029
JPMorgan
Mortgage
Acquisition
Trust,
Series
2005-WMC1,
Class
M3
(CME
Term
SOFR
1-Month
plus
0.82%)
6.18%
09/25/35
2
119,605
115,340
Morgan
Stanley
ABS
Capital
I,
Inc.
Trust,
Series
2007-HE7,
Class
A2B
(CME
Term
SOFR
1-Month
plus
1.11%)
6.47%
07/25/37
2
47,615
46,512
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Option
One
Mortgage
Loan
Trust
2005-4
Asset-Backed
Certificates,
Series
2005-4,
Class
M2
(CME
Term
SOFR
1-Month
plus
0.80%)
6.16%
11/25/35
2
$
67,480
$
61,987
PRPM
LLC,
Series
2021-3,
Class
A1
(STEP-reset
date
01/25/24)
1.87%
04/25/26
1
119,757
115,010
PRPM
LLC,
Series
2021-6,
Class
A1
(STEP-reset
date
01/25/24)
1.79%
07/25/26
1
56,215
54,734
Residential
Asset
Mortgage
Products
Trust,
Series
2004-SL1,
Class
A2
8.50%
11/25/31
4,078
1,354
Residential
Asset
Mortgage
Products
Trust,
Series
2006-NC3,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.45%)
5.98%
03/25/36
2
71,694
68,878
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2006-AR1,
Class
3A1
(CME
Term
SOFR
1-Month
plus
0.57%)
5.93%
02/25/36
2
35,698
29,533
Terwin
NIMs
Trust,
Series
2004-13AL,
Class
2PX
(IO)
0.34%
08/25/34
1,5,6
1,292,468
14,805
VOLT
CIII
LLC,
Series
2021-CF1,
Class
A1
(STEP-reset
date
01/25/24)
1.99%
08/25/51
1
80,101
75,608
VOLT
XCIX,
LLC,
Series
2021-NPL8,
Class
A1
(STEP-reset
date
01/25/24)
2.12%
04/25/51
1
140,717
136,325
WaMu
Mortgage
Pass-Through
Certificates,
Series
2002-AR6,
Class
A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.40%)
6.41%
06/25/42
2
1,002
918
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR8,
Class
2AB2
(CME
Term
SOFR
1-Month
plus
0.95%)
6.31%
07/25/45
2
85,215
80,158
Wells
Fargo
Home
Equity
Asset-Backed
Securities
Trust,
Series
2005-4,
Class
M3
(CME
Term
SOFR
1-Month
plus
0.86%)
6.22%
12/25/35
2
100,000
98,494
Wells
Fargo
Mortgage-Backed
Securities
Trust,
Series
2003-I,
Class
A1
6.07%
09/25/33
4
5,302
5,149
1,832,522
U.S.
Agency
Commercial
Mortgage-Backed
—
1
.21
%
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K044,
Class
X1
(IO)
0.74%
01/25/25
4
1,085,703
6,557
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
7
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Commercial
Mortgage-Backed
(continued)
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K054,
Class
X1
(IO)
1.15%
01/25/26
4
$
3,400,045
$
64,301
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K732,
Class
X3
(IO)
2.17%
05/25/46
4
250,000
7,582
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KC05,
Class
X1
(IO)
1.22%
06/25/27
4
914,070
20,870
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KF88,
Class
AL
(SOFR30A
plus
0.44%)
5.78%
09/25/30
2
116,071
114,999
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ31,
Class
A1
0.57%
05/25/26
7,545
7,488
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KS07,
Class
X
(IO)
0.61%
09/25/25
4
2,833,355
27,916
Ginnie
Mae,
Series
2014-157,
Class
C
3.15%
10/16/54
4
98,500
94,218
343,931
U.S.
Agency
Mortgage-Backed
—
15
.46
%
Fannie
Mae
Pool
AL0851
6.00%
10/01/40
1,544
1,625
Fannie
Mae
REMICS,
Series
2002-21,
Class
FB
(SOFR30A
plus
1.01%)
6.35%
04/25/32
2
12,211
12,290
Fannie
Mae
REMICS,
Series
2002-53,
Class
FY
(SOFR30A
plus
0.61%)
5.95%
08/25/32
2
57,241
57,147
Fannie
Mae
REMICS,
Series
2003-11,
Class
FA
(SOFR30A
plus
1.11%)
6.45%
09/25/32
2
2,825
2,870
Fannie
Mae
REMICS,
Series
2003-81,
Class
FE
(SOFR30A
plus
0.61%)
5.95%
09/25/33
2
21,089
21,031
Fannie
Mae
REMICS,
Series
2006-48,
Class
FL
(SOFR30A
plus
0.51%)
5.85%
06/25/36
2
27,624
27,412
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
REMICS,
Series
2006-8,
Class
NF
(SOFR30A
plus
0.48%)
5.82%
03/25/36
2
$
22,377
$
22,128
Fannie
Mae
REMICS,
Series
2008-12,
Class
FA
(SOFR30A
plus
0.78%)
6.12%
03/25/38
2
75,789
75,713
Fannie
Mae
REMICS,
Series
2010-109,
Class
PF
(SOFR30A
plus
0.51%)
5.85%
10/25/40
2
2,457
2,429
Fannie
Mae
REMICS,
Series
2010-74,
Class
AF
(SOFR30A
plus
0.65%)
5.99%
07/25/37
2
24,430
24,304
Freddie
Mac
REMICS,
Series
2684,
Class
F
(SOFR30A
plus
1.01%)
6.35%
01/15/33
2
2,534
2,566
Freddie
Mac
REMICS,
Series
3231,
Class
FB
(SOFR30A
plus
0.46%)
5.80%
10/15/36
2
45,304
44,712
Freddie
Mac
Strips,
Series
263,
Class
F5
(SOFR30A
plus
0.61%)
5.95%
06/15/42
2
7,279
7,194
Ginnie
Mae
(TBA)
4.50%
01/20/54
150,000
146,414
5.00%
01/20/54
350,000
347,984
5.50%
01/20/54
150,000
150,984
Ginnie
Mae,
Series
2023-113,
Class
FD
(SOFR30A
plus
1.35%)
6.50%
08/20/53
2
147,708
146,728
Ginnie
Mae,
Series
2023-116,
Class
FL
(SOFR30A
plus
1.15%)
6.49%
08/20/53
2
148,472
149,102
UMBS
(TBA)
3.50%
01/01/39
175,000
168,588
4.00%
01/01/39
275,000
269,844
4.00%
01/01/54
550,000
520,267
4.50%
01/01/39
275,000
273,603
4.50%
01/01/54
825,000
800,636
5.00%
01/01/39
575,000
578,504
5.00%
01/01/54
350,000
346,308
5.50%
01/01/54
175,000
175,766
4,376,149
Total
Mortgage-Backed
(Cost
$9,230,590)
8,565,802
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
8
Issues
Maturity
Date
Principal
Amount
Value
MUNICIPAL
BONDS
—
0
.90
%
*
Maryland
—
0
.19
%
City
of
Baltimore
General
Obligation,
School
Improvements,
Series
C
5.00%
10/15/25
$
55,000
$
55,208
Massachusetts
—
0
.20
%
Commonwealth
of
Massachusetts
Revenue
Bonds,
Series
B
4.11%
07/15/31
56,504
55,751
New
York
—
0
.51
%
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
A2
2.15%
05/01/25
150,000
144,607
Total
Municipal
Bonds
(Cost
$265,169)
255,566
Total
Bonds
—
77
.21
%
(Cost
$22,507,725)
21,861,720
Issues
Shares
Value
COMMON
STOCK
—
0
.08
%
Communications
—
0
.08
%
Intelsat
Emergence
SA
3,5,6,7
(Luxembourg)
773
22,417
Total
Common
Stock
(Cost
$25,883)
Issues
Shares
Value
MUTUAL
FUNDS
—
16
.44
%
Mutual
Funds
—
16
.44
%
iShares
Core
S&P
500
ETF
9,744
4,654,027
Total
Mutual
Funds
(Cost
$4,285,158)
Issues
Maturity
Date
Principal
Amount
/
Shares
Value
SHORT-TERM
INVESTMENTS
—
15
.19
%
Money
Market
Funds
—
2
.02
%
Fidelity
Investments
Money
Market
Funds
-
Government
Portfolio
5.25%
8
22,236
22,236
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
5.27%
8
550,000
550,000
572,236
Issues
Maturity
Date
Principal
Amount/Shares
Value
SHORT-TERM
INVESTMENTS
(continued)
U.S.
Treasury
Bills
—
13
.17
%
U.S.
Treasury
Bills
(WI)
5.31%
9
04/16/24
$
300,000
$
295,454
5.34%
9
05/16/24
3,500,000
3,433,161
3,728,615
Total
Short-Term
Investments
(Cost
$4,299,386)
4,300,851
Total
Investments
-
108.92%
(Cost
$31,118,152)
30,839,015
Liabilities
in
Excess
of
Other
Assets
-
(8.92)%
(
2,526,248
)
Net
Assets
-
100.00%
$
28,312,767
1
Securities
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
The
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
2
Floating
rate
security.
The
rate
disclosed
was
in
effect
at
December
31,
2023.
3
Foreign
denominated
security
issued
by
foreign
domiciled
entity.
4
Variable
rate
security.
Interest
rate
disclosed
is
as
of
the
most
recent
information
available.
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.
5
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
6
Illiquid
security
as
determined
under
procedures
approved
by
the
Board
of
Trustees.
The
aggregate
value
of
illiquid
securities
is
$45,365,
which
is
0.16%
of
total
net
assets.
7
Non-income producing
security.
8
Represents
the
current
yield
as
of
December
31,
2023.
9
Represents
annualized
yield
at
date
of
purchase.
*
Securities
with
a
call
or
reset
feature
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity.
**
Securities
backed
by
mortgage
or
consumer
loans
where
payment
is
periodically
made
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity
date.
Note:
For
Fund
compliance
purposes,
the
Fund's
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
for
more
meaningful
presentation
for
investors.
(CLO):
Collateralized
Loan
Obligation
(ETF):
Exchange-Traded
Fund
(GMTN):
Global
Medium-Term
Note
(IO):
Interest
Only
(MTN):
Medium-Term
Note
(REIT):
Real
Estate
Investment
Trust
(S&P):
Standard
&
Poor’s
(SOFR):
Secured
Overnight
Financing
Rate
(STEP):
Step
Coupon
Bond
(TBA):
To-Be-Announced
(WI):
When
Issued
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
FUTURES
CONTRACTS:
LONG
POSITIONS
S&P
500
E-mini
Index
98
03/15/24
$
23,613,100
$
870,787
$
870,787
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
9
/
December
2023
SIGNIFICANT
ACCOUNTING
POLICIES
The
following
is
a
summary
of
significant
accounting
policies
consistently
followed
by
the
Fund:
Net
Asset
Value
The
Net
Asset
Value
(“NAV”)
of
each
class
of
the
Fund
is
determined
by
dividing
the
net
assets
attributable
to
each
class
of
shares
of
the
Fund
by
the
number
of
issued
and
outstanding
shares
of
the
class
of
the
Fund
on
each
business
day
as
of
4
p.m.
ET.
Security
Valuation
Pursuant
to
Rule
2a-5
under
the
1940
Act,
the
Board
of
Trustees
(the
"Board"
or
the
"Board
of
Trustees")
has
designated
the
Adviser
as
the
"valuation
designee"
with
respect
to
the
fair
valuation
of
the
Fund's
portfolio
securities,
subject
to
oversight
by
and
periodic
reporting
to
the
Board. Fixed
income
securities
for
which
market
quotations
are
readily
available were
valued
during
the
period at
prices
as
provided
by
independent
pricing
vendors
or
broker
quotes.
The
Fund
received
pricing
information
from
independent
pricing
vendors
selected
and
overseen
by
the
valuation
designee.
Securities
with
a
demand
feature
exercisable
within
one
to
seven
days
are
valued
at
par.
The
Fund
also
uses
a
benchmark
pricing
system
to
the
extent
vendors’
prices
for
their
securities
are
either
inaccurate
(such
as
when
the
reported
prices
are
different
from
recent
known
market
transactions)
or
are
not
available
from
another
pricing
source.
For
a
security
priced
using
this
system,
the
Adviser
initially
selects
a
proxy
composed
of
a
relevant
security
(e.g.,
U.S.
Treasury
Note)
or
benchmark
(e.g.,
LIBOR)
and
a
multiplier,
divisor
or
margin
that
the
Adviser
believes
would
together
best
reflect
changes
in
the
market
value
of
the
security.
The
value
of
the
security
changes
daily
based
on
changes
to
the
market
price
of
the
assigned
benchmark.
The
benchmark
pricing
system
is
continuously
reviewed
by
the
Adviser
and
implemented
according
to
the
pricing
policy
reviewed
by
the
Board.
S&P
500
Index
futures
contracts
are
valued
at
the
first
sale
price
after
4
p.m.
ET
on
the
Chicago
Mercantile
Exchange.
All
other
futures
contracts
are
valued
at
the
official
settlement
price
of
the
exchange
on
which
those
securities
are
traded.
Equity
securities,
including
depository
receipts,
are
valued
at
the
last
reported
sale
price
or
the
market’s
closing
price
on
the
exchange
or
market
on
which
such
securities
are
traded,
as
of
the
close
of
business
on
the
day
the
securities
are
being
valued
or,
lacking
any
sales,
at
the
average
of
the
bid
and
ask
prices.
In
cases
where
equity
securities
are
traded
on
more
than
one
exchange,
the
securities
are
valued
on
the
exchange
or
market
determined
by
the
Adviser
to
be
the
broadest
and
most
representative
market,
which
may
be
either
a
securities
exchange
or
the
over-the-counter
market.
Equity
options
are
valued
at
the
average
of
the
bid
and
ask
prices.
Securities
and
other
assets
that
could
not be
valued
as
described
above were
valued at
their
fair
value
as
determined
by
the
Adviser
in
accordance
with
procedures
approved by
and
under
the
general
oversight
of
the
Board.
Investments
in
registered
open-ended
investment
companies,
including
those
classified
as
money
market
funds,
are
valued
based
upon
the
reported
NAV
of
such
investments.
Fair
value
methods
used
by
the
Adviser included,
but were
not
limited
to,
obtaining
market
quotations
from
secondary
pricing
services,
broker-dealers,
or
widely
used
quotation
systems.
General
factors
considered
in
determining
the
fair
value
of
securities
include
fundamental
analytical
data,
the
nature
and
duration
of
any
restrictions
on
disposition
of
the
securities,
and
an
evaluation
of
the
forces
that
influence
the
market
in
which
the
investments
are
purchased
and
sold.
These
securities
are
either
categorized
as
Level
2
or
3
depending
on
the
relevant
inputs
used.
In
the
event
that
the
security
or
asset
could
not be
valued
pursuant
to
one
of
the
valuation
methods
used
by
the
Adviser,
the
value
of
the
security
or
asset was
determined
in
good
faith
by
the Adviser,
as
the
valuation
designee.
When
the
Fund
uses
these
fair
valuation
methods that
use
significant
unobservable
inputs
to
determine
NAV,
securities
will
be
priced
by
a
method
that
the
Adviser
believes
accurately
reflects
fair
value
and
are
categorized
as
Level
3
of
the
fair
value
hierarchy.
These
methods
may
require
subjective
determinations
about
the
value
of
a
security.
While
the
Fund’s
policy
is
intended
to
result
in
a
calculation
of
its
NAV
that
fairly
reflects
security
values
as
of
the
time
of
pricing,
the
Fund
cannot
guarantee
that
values
determined
by
the
Adviser
would
accurately
reflect
the
price
that
the
Fund
could
obtain
for
a
security
if
it
were
to
dispose
of
that
security
as
of
the
time
of
pricing
(for
instance,
in
a
forced
or
distressed
sale).
The
prices
used
by
the
Fund
may
differ
from
the
value
that
would
be
realized
if
the
securities
were
sold.
Fair
Value
Measurements
Various
inputs
are
used
in
determining
the
fair
value
of
investments,
which
are
as
follows:
*
Level
1
-
unadjusted
quoted
prices
in
active
markets
for
identical
securities
*
Level
2
-
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
*
Level
3
-
significant
unobservable
inputs
that
are
not
corroborated
by
observable
market
data
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
10
The
inputs
or
methodology
used
for
valuing
investments
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
investments
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
measurement
in
its
entirety
requires
judgment
and
consideration
of
factors
specific
to
each
security.
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
marketplace,
the
liquidity
of
markets,
and
other
characteristics
particular
to
the
security.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized as
Level
3.
In
periods
of
market
dislocation,
the
observability
of
prices
and
inputs
may
be
reduced
for
many
instruments.
This
condition,
as
well
as
changes
related
to
liquidity
of
investments,
could
cause
a
security
to
be
reclassified
between
Level
1,
Level
2,
or
Level
3.
In
certain
cases,
the
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
falls
in
its
entirety
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
summary
of
inputs
used
to
value
the
Fund’s
investments
and
other
financial
instruments
carried
at
fair
value
as
of
December
31,
2023
is
as
follows:
ALPHATRAK
500
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTAL
Investments
in
Securities
Assets:
Short-Term
Investments:
Money
Market
Funds
$
572,236
$
—
$
—
$
572,236
U.S.
Treasury
Bills
3,728,615
—
—
3,728,615
Long-Term
Investments:
Asset-Backed
Securities
—
4,716,778
—
4,716,778
Common
Stock
—
—
22,417
22,417
Corporates
—
8,323,574
—
8,323,574
Mortgage-Backed
Securities
—
8,542,854
22,948
8,565,802
Municipal
Bonds
—
255,566
—
255,566
Mutual
Funds
4,654,027
—
—
4,654,027
Other
Financial
Instruments
*
Assets:
Equity
contracts
870,787
—
—
870,787
Total
$
9,825,665
$
21,838,772
$
45,365
$
31,709,802
*Other
financial
instruments
include
futures.
Equity
contracts
include
futures.
AlphaTrak
500
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
11
/
December
2023
Certain
securities
held
by
the
Funds
are
categorized
as
Level
3
investments.
Their
prices
may
be
derived
by
utilizing
unobservable
prior
transaction
values
or
information
from
third
party
valuation
services.
The
value
of
Level
3
investments
could
be
significantly
affected
by
changes
in
these
unobservable
inputs.
For
the
period
ended
December
31,
2023
a
reconciliation
of
Level
3
investments
is
presented
when
the
Fund
had
a
significant
amount
of
Level
3
investments
at
the
beginning
and/or
end
of
the
period
in
relation
to
net
assets.
The
following
table
is
a
reconciliation
of
Level
3
investments
for
which
significant
unobservable
inputs
were
used
in
determining
fair
value:
ALPHATRAK
500
FUND
COMMON
STOCK
MORTGAGE-
BACKED
SECURITIES
TOTAL
Balance
as
of
April
1,
2023
$
20,072
$
29,904
$
49,976
Accrued
discounts/premiums
—
(8,778)
(8,778)
Realized
gain
(loss)
—
—
—
Change
in
unrealized
appreciation*
2,324
1,822
4,146
Purchases
21
—
21
Sales
—
—
—
Transfers
into
Level
3**
—
—
—
Transfers
out
of
Level
3**
—
—
—
Balance
as
of
December
31,
2023
$
22,417
$
22,948
$
45,365
*The
change
in
unrealized
appreciation
(depreciation)
on
securities
still
held
at
December
31,
2023
was
$4,146
and
is
included
in
the
related
net
realized
gains
(losses)
and
net
change
in
appreciation
(depreciation)
in
the
Statements
of
Operations.
**There
were
no
transfers
between
level
2
and
3
for
the
period
ended
December
31,
2023.
Significant
unobservable
valuations
inputs
for
Level
3
investments
as
of
December
31,
2023,
are
as
follows:
ALPHATRAK
500
FUND
FAIR
VALUE
AT
12/31/23
VALUATION
TECHNIQUE*
UNOBSERVABLE
INPUT
RANGE
WEIGHTED
AVERAGE
INPUT
TO
VALUATION
IF
INPUT
INCREASES
Common
Stock
$22,417
Third-Party
Vendor
Vendor
Prices
$0.00
-
$101.91
$29.00
Increase
Mortgage-Backed
Securities-Non-Agency
$14,805
Third-Party
Vendor
Vendor
Prices
$1.15
$1.15
Increase
Mortgage-Backed
Securities-
Non-Agency
Commercial
$8,143
Third-Party
Vendor
Vendor
Prices
$0.02
-
$1.35
$1.34
Increase
Mortgage-Backed
Securities-
U.S.
Agency
Commercial
$—
Broker
Quote
Offered
Quote
$—
$—
Increase
*
The
valuation
technique
employed
on
the
Level
3
securities
involves
the
use
of
vendor
prices,
broker
quotes
and
benchmark
pricing.
The
Adviser
monitors
the
third-party
brokers
and
vendors
using
the
valuation
process.