Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) July 31, 2021
Investments | Shares | Value ($) | ||||||
LONG POSITIONS - 89.7% | ||||||||
COMMON STOCKS - 53.2% | ||||||||
Aerospace & Defense - 0.9% | ||||||||
Kaman Corp.(a) | 11,014 | 488,471 | ||||||
PAE, Inc.*(a) | 21,846 | 194,866 | ||||||
683,337 | ||||||||
Airlines - 0.0%(b) | ||||||||
American Airlines Group, Inc.*(a) | 623 | 12,697 | ||||||
American Airlines Group, Inc. Escrow*(c) | 14,383 | 719 | ||||||
13,416 | ||||||||
Auto Components - 0.0%(b) | ||||||||
Garrett Motion, Inc. (Switzerland)* | 700 | 4,522 | ||||||
Automobiles - 0.5% | ||||||||
General Motors Co.*(a) | 6,098 | 346,610 | ||||||
Banks - 1.1% | ||||||||
Bank of America Corp. | 4,974 | 190,803 | ||||||
CIT Group, Inc. | 2,000 | 96,480 | ||||||
Hancock Whitney Corp.(a) | 11,317 | 494,666 | ||||||
Pacific Mercantile Bancorp* | 2,100 | 17,577 | ||||||
799,526 | ||||||||
Beverages - 0.3% | ||||||||
Becle SAB de CV (Mexico)*(a) | 79,000 | 197,676 | ||||||
Biotechnology - 0.5% | ||||||||
Grifols SA, ADR (Spain) | 4,900 | 74,529 | ||||||
Kindred Biosciences, Inc.* | 9,500 | 86,640 | ||||||
Regeneron Pharmaceuticals, Inc.*(a) | 403 | 231,568 | ||||||
392,737 | ||||||||
Building Products - 0.1% | ||||||||
Janus International Group, Inc.* | 5,620 | 78,680 | ||||||
Capital Markets - 1.5% | ||||||||
468 SPAC I SE, Class A (Germany)*(a) | 12,986 | 150,965 | ||||||
BGC Partners, Inc., Class A | 36,178 | 193,552 | ||||||
BlackRock, Inc. | 172 | 149,153 | ||||||
Goldman Sachs Group, Inc. (The)(a) | 478 | 179,193 | ||||||
Morgan Stanley(a) | 3,767 | 361,557 | ||||||
Pegasus Acquisition Co. Europe BV (Netherlands)*(a) | 8,130 | 95,478 | ||||||
1,129,898 | ||||||||
Chemicals - 0.6% | ||||||||
Atotech Ltd. (China)* | 3,500 | 84,525 | ||||||
Ferro Corp.* | 10,000 | 208,000 | ||||||
W R Grace & Co.(a) | 2,800 | 194,880 | ||||||
487,405 | ||||||||
Commercial Services & Supplies - 0.9% | ||||||||
Clean Harbors, Inc.*(a) | 7,068 | 671,460 | ||||||
Covanta Holding Corp. | 1,000 | 20,100 | ||||||
691,560 | ||||||||
Communications Equipment - 0.1% | ||||||||
4L Holdings Corp.*(c) | 3,790 | 190 | ||||||
EXFO, Inc. (Canada)* | 9,500 | 54,245 | ||||||
54,435 | ||||||||
Construction & Engineering - 1.1% | ||||||||
Quanta Services, Inc.(a) | 2,885 | 262,246 | ||||||
Valmont Industries, Inc.(a) | 2,507 | 594,034 | ||||||
856,280 | ||||||||
Construction Materials - 0.3% | ||||||||
Forterra, Inc.*(a) | 2,850 | 67,232 | ||||||
US Concrete, Inc.* | 1,700 | 123,777 | ||||||
191,009 | ||||||||
Distributors - 1.0% | ||||||||
Core-Mark Holding Co., Inc. | 800 | 34,432 | ||||||
LKQ Corp.*(a) | 13,962 | 708,572 | ||||||
743,004 | ||||||||
Diversified Consumer Services - 0.4% | ||||||||
Regis Corp.*(a) | 37,502 | 298,891 | ||||||
Diversified Financial Services - 0.3% | ||||||||
Equitable Holdings, Inc.(a) | 6,358 | 196,271 | ||||||
Marlin Business Services Corp. | 1,000 | 22,560 | ||||||
218,831 | ||||||||
Diversified Telecommunication Services - 0.5% | ||||||||
Cincinnati Bell, Inc.*(a) | 12,800 | 196,352 | ||||||
ORBCOMM, Inc.*(a) | 14,000 | 158,060 | ||||||
354,412 | ||||||||
Electric Utilities - 1.1% | ||||||||
PG&E Corp.*(a) | 14,017 | 123,209 | ||||||
PNM Resources, Inc.(a) | 14,500 | 700,785 | ||||||
823,994 | ||||||||
Electrical Equipment - 1.2% | ||||||||
EnerSys(a) | 2,490 | 245,663 | ||||||
Sunrun, Inc.*(a) | 12,217 | 647,135 | ||||||
892,798 | ||||||||
Electronic Equipment, Instruments & Components - 0.5% | ||||||||
Coherent, Inc.*(a) | 1,400 | 344,316 | ||||||
Entertainment - 0.2% | ||||||||
DouYu International Holdings Ltd., ADR (China)* | 1,500 | 6,045 | ||||||
Walt Disney Co. (The)*(a) | 785 | 138,176 | ||||||
144,221 | ||||||||
Equity Real Estate Investment Trusts (REITs) - 0.8% | ||||||||
Columbia Property Trust, Inc. | 400 | 6,668 | ||||||
QTS Realty Trust, Inc., Class A | 5,200 | 404,092 | ||||||
VEREIT, Inc. | 3,500 | 171,395 | ||||||
582,155 | ||||||||
Food & Staples Retailing - 0.2% | ||||||||
Cia Brasileira de Distribuicao, ADR (Brazil) | 1,183 | 7,157 | ||||||
Magnit PJSC, GDR (Russia)(d) | 1,164 | 17,012 | ||||||
Sendas Distribuidora SA, ADR (Brazil) | 1,183 | 19,472 | ||||||
Wal-Mart de Mexico SAB de CV (Mexico) | 13,629 | 44,928 | ||||||
X5 Retail Group NV, GDR (Russia)(d) | 2,985 | 96,654 | ||||||
185,223 | ||||||||
Food Products - 0.6% | ||||||||
Nestle SA (Registered) (Switzerland)(a) | 3,360 | 425,819 | ||||||
Health Care Equipment & Supplies - 1.2% | ||||||||
Envista Holdings Corp.*(a) | 14,616 | 629,657 | ||||||
Soliton, Inc.* | 1,900 | 41,667 | ||||||
Surgalign Holdings, Inc.*(a) | 7,400 | 8,066 |
See Notes to Consolidated Schedule of Investments
1
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Wright Medical Group Escrow*(c)(e) | 400 | — | ||||||
Zimmer Biomet Holdings, Inc.(a) | 1,357 | 221,761 | ||||||
901,151 | ||||||||
Health Care Providers & Services - 0.7% | ||||||||
Anthem, Inc. | 519 | 199,301 | ||||||
Cigna Corp. | 678 | 155,594 | ||||||
Magellan Health, Inc.*(a) | 1,700 | 160,344 | ||||||
Shanghai Pharmaceuticals Holding Co. Ltd., Class H (China) | 9,303 | 19,825 | ||||||
Sinopharm Group Co. Ltd., Class H (China) | 5,222 | 13,708 | ||||||
548,772 | ||||||||
Health Care Technology - 0.5% | ||||||||
Change Healthcare, Inc.* | 17,900 | 388,609 | ||||||
Hotels, Restaurants & Leisure - 2.7% | ||||||||
BJ's Restaurants, Inc.* | 7,945 | 322,408 | ||||||
Booking Holdings, Inc.* | 298 | 649,122 | ||||||
Diamond Resorts International, Inc. Escrow*(c)(e) | 13,800 | — | ||||||
Expedia Group, Inc.*(a) | 1,684 | 270,905 | ||||||
Great Canadian Gaming Corp. (Canada)*(a) | 10,400 | 369,285 | ||||||
Marriott Vacations Worldwide Corp.*(a) | 1,944 | 286,487 | ||||||
Penn National Gaming, Inc.*(a) | 1,621 | 110,844 | ||||||
2,009,051 | ||||||||
Household Durables - 0.8% | ||||||||
Skyline Champion Corp.*(a) | 10,212 | 575,957 | ||||||
Industrial Conglomerates - 0.1% | ||||||||
Raven Industries, Inc.* | 1,300 | 75,725 | ||||||
Smiths Group plc (United Kingdom) | 1,394 | 30,140 | ||||||
105,865 | ||||||||
Insurance - 2.6% | ||||||||
AIA Group Ltd. (Hong Kong)(a) | 21,655 | 259,431 | ||||||
Assurant, Inc. | 1,816 | 286,583 | ||||||
Athene Holding Ltd., Class A* | 2,700 | 174,474 | ||||||
Chubb Ltd.(a) | 911 | 153,722 | ||||||
Lincoln National Corp.(a) | 2,854 | 175,864 | ||||||
ProSight Global, Inc.* | 3,400 | 43,384 | ||||||
Ryan Specialty Group Holdings, Inc., Class A* | 5,035 | 148,533 | ||||||
State Auto Financial Corp. | 600 | 30,000 | ||||||
Syncora Holdings Ltd.* | 15,303 | 3,443 | ||||||
Willis Towers Watson plc(a) | 3,400 | 700,672 | ||||||
1,976,106 | ||||||||
Interactive Media & Services - 2.5% | ||||||||
Actua Corp.*(c)(e) | 6,700 | 335 | ||||||
Alphabet, Inc., Class A*(a) | 216 | 582,019 | ||||||
Baidu, Inc., ADR (China)* | 221 | 36,246 | ||||||
Baidu, Inc., Class A (China)* | 310 | 6,311 | ||||||
Facebook, Inc., Class A*(a) | 1,848 | 658,442 | ||||||
Mail.Ru Group Ltd., GDR (Russia)*(d) | 928 | 19,247 | ||||||
Sogou, Inc., ADR (China)* | 3,100 | 27,373 | ||||||
Sohu.com Ltd., ADR (China)* | 4,300 | 85,441 | ||||||
Tencent Holdings Ltd. (China)(a) | 4,622 | 284,892 | ||||||
Yandex NV, Class A (Russia)* | 971 | 65,960 | ||||||
Zillow Group, Inc., Class C*(a) | 1,128 | 119,861 | ||||||
1,886,127 | ||||||||
Internet & Direct Marketing Retail - 3.6% | ||||||||
Alibaba Group Holding Ltd., ADR (China)* | 2,392 | 466,894 | ||||||
Alibaba Group Holding Ltd. (China)* | 3,216 | 78,215 | ||||||
Altaba, Inc. Escrow*(c) | 64,106 | 935,948 | ||||||
Amazon.com, Inc.*(a) | 97 | 322,776 | ||||||
ASOS plc (United Kingdom)*(a) | 333 | 17,617 | ||||||
Deliveroo plc (United Kingdom)*(d) | 11,689 | 53,617 | ||||||
eBay, Inc.(a) | 1,517 | 103,475 | ||||||
MercadoLibre, Inc. (Argentina)*(a) | 167 | 261,973 | ||||||
Overstock.com, Inc.*(a) | 4,693 | 326,821 | ||||||
Stamps.com, Inc.* | 500 | 163,380 | ||||||
2,730,716 | ||||||||
IT Services - 2.1% | ||||||||
Fidelity National Information Services, Inc.(a) | 1,561 | 232,667 | ||||||
Paya Holdings, Inc.*(a) | 29,734 | 341,644 | ||||||
PayPal Holdings, Inc.*(a) | 1,517 | 417,979 | ||||||
Repay Holdings Corp.*(a) | 5,668 | 141,190 | ||||||
Sykes Enterprises, Inc.* | 1,800 | 96,588 | ||||||
Visa, Inc., Class A(a) | 1,304 | 321,292 | ||||||
1,551,360 | ||||||||
Leisure Products - 0.9% | ||||||||
Hayward Holdings, Inc.*(a) | 29,119 | 701,477 | ||||||
Life Sciences Tools & Services - 1.1% | ||||||||
Eurofins Scientific SE (Luxembourg)(a) | 1,400 | 167,470 | ||||||
Gerresheimer AG (Germany) | 350 | 36,557 | ||||||
PPD, Inc.*(a) | 10,600 | 488,872 | ||||||
Thermo Fisher Scientific, Inc.(a) | 271 | 146,343 | ||||||
839,242 | ||||||||
Machinery - 1.0% | ||||||||
Lydall, Inc.* | 1,500 | 91,800 | ||||||
Oshkosh Corp. | 1,494 | 178,608 | ||||||
Rexnord Corp. | 400 | 22,532 | ||||||
Welbilt, Inc.*(a) | 5,900 | 138,591 | ||||||
Woodward, Inc.(a) | 2,735 | 332,466 | ||||||
763,997 | ||||||||
Marine - 0.6% | ||||||||
Kirby Corp.*(a) | 8,507 | 492,640 | ||||||
Media - 0.8% | ||||||||
Deluxe Television GmbH (Germany)*(c) | 16,063 | 1,606 | ||||||
Discovery, Inc., Class C*(a) | 903 | 24,480 | ||||||
Loral Space & Communications, Inc. (Canada)(a) | 1,985 | 70,249 | ||||||
Meredith Corp.* | 1,100 | 48,004 | ||||||
Shaw Communications, Inc., Class B (Canada)(a) | 12,700 | 370,943 | ||||||
Stroeer SE & Co. KGaA (Germany) | 724 | 57,285 | ||||||
Tribune Co. Litigation, Class 1C*(c)(e) | 302,443 | — | ||||||
572,567 | ||||||||
Metals & Mining - 0.0%(b) | ||||||||
Artemis Gold, Inc. (Canada)* | 605 | 3,031 | ||||||
Corvus Gold, Inc. (Canada)* | 6,400 | 20,519 | ||||||
23,550 | ||||||||
Multiline Retail - 0.3% | ||||||||
Fix Price Group Ltd., GDR (Russia)*(d) | 144 | 1,101 |
See Notes to Consolidated Schedule of Investments
2
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Nordstrom, Inc.* | 7,974 | 263,939 | ||||||
265,040 | ||||||||
Oil, Gas & Consumable Fuels - 0.1% | ||||||||
Falcon Minerals Corp.(a) | 3,400 | 16,218 | ||||||
Inter Pipeline Ltd. (Canada) | 5,100 | 81,675 | ||||||
Southcross Energy Partners LP* | 49,093 | 2,602 | ||||||
100,495 | ||||||||
Paper & Forest Products - 0.2% | ||||||||
Domtar Corp.*(a) | 2,300 | 126,293 | ||||||
Personal Products - 0.5% | ||||||||
Estee Lauder Cos., Inc. (The), Class A(a) | 544 | 181,604 | ||||||
Unilever plc (United Kingdom)(a) | 4,085 | 235,459 | ||||||
417,063 | ||||||||
Pharmaceuticals - 1.3% | ||||||||
Aralez Pharmaceuticals, Inc. (Canada)*(c) | 345 | — | ||||||
Bristol-Myers Squibb Co. | 3,346 | 227,093 | ||||||
Dr Reddy's Laboratories Ltd., ADR (India) | 899 | 56,233 | ||||||
Green Thumb Industries, Inc.*(a) | 2,700 | 80,225 | ||||||
Hikma Pharmaceuticals plc (Jordan)(a) | 2,266 | 83,342 | ||||||
Johnson & Johnson(a) | 167 | 28,757 | ||||||
Roche Holding AG (Switzerland)(a) | 1,237 | 478,427 | ||||||
Teva Pharmaceutical Industries Ltd., ADR (Israel)*(a) | 513 | 4,951 | ||||||
959,028 | ||||||||
Professional Services - 2.1% | ||||||||
51job, Inc., ADR (China)* | 600 | 43,212 | ||||||
Clarivate plc (United Kingdom)* | 18,641 | 425,015 | ||||||
GP Strategies Corp.* | 1,800 | 36,630 | ||||||
IHS Markit Ltd.(a) | 5,250 | 613,410 | ||||||
Intertrust NV (Netherlands)*(a)(d) | 20,181 | 333,241 | ||||||
SGS SA (Registered) (Switzerland)(a) | 43 | 139,227 | ||||||
1,590,735 | ||||||||
Road & Rail - 0.8% | ||||||||
Kansas City Southern(a) | 1,800 | 482,040 | ||||||
Lyft, Inc., Class A*(a) | 2,338 | 129,338 | ||||||
611,378 | ||||||||
Semiconductors & Semiconductor Equipment - 2.3% | ||||||||
Enphase Energy, Inc.*(a) | 801 | 151,869 | ||||||
Magnachip Semiconductor Corp. (South Korea)*(a) | 4,000 | 83,120 | ||||||
Maxim Integrated Products, Inc.*(a) | 5,400 | 539,514 | ||||||
QUALCOMM, Inc.(a) | 1,531 | 229,344 | ||||||
SunEdison, Inc.*(c)(e) | 16,689 | — | ||||||
Xilinx, Inc.(a) | 4,800 | 719,232 | ||||||
1,723,079 | ||||||||
Software - 4.3% | ||||||||
Cloudera, Inc.* | 15,350 | 243,604 | ||||||
Dye & Durham Ltd. (Canada) | 800 | 30,247 | ||||||
Five9, Inc.* | 900 | 181,161 | ||||||
Jamf Holding Corp.*(a) | 4,205 | 137,966 | ||||||
Medallia, Inc.* | 1,600 | 54,192 | ||||||
Microsoft Corp.(a) | 760 | 216,532 | ||||||
Nuance Communications, Inc.*(a) | 14,050 | 771,345 | ||||||
Proofpoint, Inc.*(a) | 3,100 | 541,446 | ||||||
QAD, Inc., Class A | 1,300 | 112,775 | ||||||
SAP SE (Germany)(a) | 2,224 | 318,803 | ||||||
SharpSpring, Inc.* | 1,300 | 22,087 | ||||||
Tenable Holdings, Inc.*(a) | 15,274 | 653,727 | ||||||
3,283,885 | ||||||||
Specialty Retail - 0.7% | ||||||||
Frasers Group plc (United Kingdom)*(a) | 9,144 | 76,706 | ||||||
Sportsman's Warehouse Holdings, Inc.*(a) | 10,000 | 176,700 | ||||||
Toys R Us, Inc.*(c) | 1,040 | 24,960 | ||||||
Ulta Beauty, Inc.*(a) | 692 | 232,373 | ||||||
510,739 | ||||||||
Technology Hardware, Storage & Peripherals - 1.3% | ||||||||
Apple, Inc.(a) | 4,603 | 671,394 | ||||||
Dell Technologies, Inc., Class C*(a) | 1,600 | 154,592 | ||||||
Samsung Electronics Co. Ltd., GDR (South Korea)(a)(d) | 107 | 183,665 | ||||||
1,009,651 | ||||||||
Textiles, Apparel & Luxury Goods - 2.3% | ||||||||
adidas AG (Germany)(a) | 962 | 349,313 | ||||||
Capri Holdings Ltd.* | 1,321 | 74,386 | ||||||
G-III Apparel Group Ltd.*(a) | 21,385 | 638,556 | ||||||
Steven Madden Ltd.(a) | 13,062 | 572,507 | ||||||
Tapestry, Inc.*(a) | 2,172 | 91,876 | ||||||
1,726,638 | ||||||||
Thrifts & Mortgage Finance - 0.0%(b) | ||||||||
Flagstar Bancorp, Inc. | 100 | 4,576 | ||||||
Trading Companies & Distributors - 0.6% | ||||||||
Brenntag SE (Germany)(a) | 1,902 | 189,976 | ||||||
CAI International, Inc. | 3,000 | 167,430 | ||||||
Fly Leasing Ltd., ADR (India)* | 4,400 | 74,932 | ||||||
IMCD NV (Netherlands) | 234 | 40,527 | ||||||
472,865 | ||||||||
Transportation Infrastructure - 0.2% | ||||||||
Macquarie Infrastructure Corp.(a) | 3,100 | 122,450 | ||||||
Wireless Telecommunication Services - 0.3% | ||||||||
T-Mobile US, Inc.*(a) | 1,355 | 195,147 | ||||||
TOTAL COMMON STOCKS (Cost $34,696,245) | 40,127,004 |
Investments | No. of Rights | Value ($) | ||||||
RIGHTS - 0.3% | ||||||||
Biotechnology - 0.2% | ||||||||
Achillion Pharmaceuticals, Inc., CVR*(c) | 23,300 | 11,650 | ||||||
Alder Biopharmaceuticals, Inc., CVR*(c) | 35,400 | 35,400 | ||||||
Ambit Biosciences Corp., CVR*(c)(e) | 70,000 | 118,300 | ||||||
Clementia Pharmaceuticals, Inc., CVR (France)*(c)(e) | 3,200 | — | ||||||
Phenomix Corp., CVR*(a)(c)(e) | 13,900 | 10,425 | ||||||
Tobira Therapeutics, Inc., CVR*(c)(e) | 6,900 | — | ||||||
175,775 | ||||||||
Media - 0.0% | ||||||||
Media General, Inc., CVR*(c)(e) | 76,116 | — | ||||||
Metals & Mining - 0.1% | ||||||||
Pan American Silver Corp., CVR (Canada)* | 39,600 | 32,868 |
See Notes to Consolidated Schedule of Investments
3
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | No. of Rights | Value ($) | ||||||
Pharmaceuticals - 0.0%(b) | ||||||||
Dova Pharmaceuticals, Inc., CVR (Sweden)*(c) | 8,800 | 1,100 | ||||||
Elanco Animal Health, Inc., CVR*(c) | 15,100 | 151 | ||||||
Omthera Pharmaceuticals, Inc., CVR (United Kingdom)*(c)(e) | 100 | — | ||||||
1,251 | ||||||||
TOTAL RIGHTS (Cost $51,801) | 209,894 |
Investments | No. of Warrants | Value ($) | ||||||
WARRANTS - 0.2% | ||||||||
Capital Markets - 0.0%(b) | ||||||||
468 SPAC I SE, expiring 4/30/2026 (Germany)* | 4,329 | 4,622 | ||||||
FinTech Acquisition Corp. III, expiring 12/1/2023*(e) | 1,770 | 8,903 | ||||||
13,525 | ||||||||
Oil, Gas & Consumable Fuels - 0.2% | ||||||||
Southcross Energy Partners LP, expiring 12/31/2029*(c) | 303,095 | 160,640 | ||||||
TOTAL WARRANTS (Cost $151,500) | 174,165 |
Investments | Principal Amount ($) | Value ($) | ||||||
CONVERTIBLE PREFERRED STOCKS - 0.2% | ||||||||
Auto Components - 0.1% | ||||||||
Garrett Motion, Inc. (Switzerland), | ||||||||
Series A, 11.00%, 4/30/2027 (f) | 7,244 | 55,344 | ||||||
Diversified Telecommunication Services - 0.1% | ||||||||
Cincinnati Bell, Inc., | ||||||||
Series B, 6.75%, 9/3/2021(f) | 1,900 | 94,943 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $124,748) | 150,287 |
Investments | Shares | Value ($) | ||||||
PREFERRED STOCKS - 0.1% | ||||||||
Media - 0.1% | ||||||||
Liberty Broadband Corp., Series A, 7.00%, 3/10/2039(f) | ||||||||
(Cost $35,613) | 1,860 | 52,527 |
Investments | Principal Amount ($) | Value ($) | ||||||
LOAN ASSIGNMENTS - 0.0%(b) | ||||||||
Media - 0.0%(b) | ||||||||
Deluxe Entertainment Services Group, Inc., 1st Lien Term Loan, | ||||||||
(ICE LIBOR USD 3 Month + 5.00%), 6.00%, 3/25/2024(c)(e)(g) | 18,235 | 7,252 | ||||||
Deluxe Entertainment Services Group, Inc., 2nd Lien Term Loan, | ||||||||
(ICE LIBOR USD 3 Month + 6.00%), 7.00%, 9/25/2024(c)(g) | 145,037 | — | ||||||
7,252 | ||||||||
Oil, Gas & Consumable Fuels - 0.0%(b) | ||||||||
Lealand Finance Co. BV, Term Loan, | ||||||||
(ICE LIBOR USD 1 Month + 3.00%), 3.09%, 6/28/2024(c)(g) | 29,012 | 17,407 | ||||||
TOTAL LOAN ASSIGNMENTS (Cost $33,149) | 24,659 |
Investments | Principal Amount ($) | Value ($) | ||||||
CORPORATE BONDS - 0.0% | ||||||||
Independent Power and Renewable Electricity Producers - 0.0% | ||||||||
GenOn Energy, Inc. Escrow, | ||||||||
9.50%, 10/15/2018(c)(e)(h) | 354,000 | — | ||||||
9.88%, 10/15/2020(c)(e)(h) | 1,655,000 | — | ||||||
TOTAL CORPORATE BONDS (Cost $—) | — |
Investments | Shares | Value ($) | ||||||
SHORT-TERM INVESTMENTS - 35.7% | ||||||||
INVESTMENT COMPANIES - 35.7% | ||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Portfolio Institutional Class, 0.01%(a)(i) (Cost $26,920,142) | 26,920,142 | 26,920,142 | ||||||
— | ||||||||
TOTAL LONG POSITIONS (Cost $62,013,198) | 67,658,678 |
Investments | Shares | Value ($) | ||||||
SHORT POSITIONS - (10.0)%(j) | ||||||||
COMMON STOCKS - (10.0)% | ||||||||
Banks - (0.5)% | ||||||||
Banc of California, Inc. | (1,335 | ) | (22,855 | ) | ||||
Bank of Montreal (Canada) | (1,220 | ) | (120,797 | ) | ||||
Canadian Imperial Bank of Commerce (Canada) | (1,065 | ) | (123,838 | ) | ||||
First Citizens BancShares, Inc., Class A | (124 | ) | (97,041 | ) | ||||
(364,531 | ) | |||||||
Capital Markets - (1.1)% | ||||||||
Apollo Global Management, Inc. | (3,103 | ) | (182,642 | ) | ||||
S&P Global, Inc. | (1,487 | ) | (637,507 | ) | ||||
(820,149 | ) |
See Notes to Consolidated Schedule of Investments
4
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
Investments | Shares | Value ($) | ||||||
Chemicals - (0.3)% | ||||||||
International Flavors & Fragrances, Inc. | (1,450 | ) | (218,428 | ) | ||||
Consumer Finance - (0.6)% | ||||||||
Credit Acceptance Corp.* | (561 | ) | (271,956 | ) | ||||
World Acceptance Corp.* | (853 | ) | (161,703 | ) | ||||
(433,659 | ) | |||||||
Diversified Consumer Services - (1.1)% | ||||||||
Adtalem Global Education, Inc.* | (5,503 | ) | (199,979 | ) | ||||
Grand Canyon Education, Inc.* | (876 | ) | (80,916 | ) | ||||
Perdoceo Education Corp.* | (19,008 | ) | (225,435 | ) | ||||
Strategic Education, Inc. | (3,795 | ) | (300,906 | ) | ||||
(807,236 | ) | |||||||
Electrical Equipment - (0.2)% | ||||||||
Acuity Brands, Inc. | (729 | ) | (127,852 | ) | ||||
Regal Beloit Corp. | (85 | ) | (12,515 | ) | ||||
(140,367 | ) | |||||||
Electronic Equipment, Instruments & Components - (0.1)% | ||||||||
II-VI, Inc.* | (1,010 | ) | (70,508 | ) | ||||
Equity Real Estate Investment Trusts (REITs) - (1.2)% | ||||||||
AvalonBay Communities, Inc. | (538 | ) | (122,573 | ) | ||||
Digital Realty Trust, Inc. | (1,185 | ) | (182,680 | ) | ||||
Equinix, Inc. | (223 | ) | (182,951 | ) | ||||
Equity Residential | (1,581 | ) | (133,009 | ) | ||||
Realty Income Corp. | (2,469 | ) | (173,546 | ) | ||||
SL Green Realty Corp. | (1,548 | ) | (115,264 | ) | ||||
(910,023 | ) | |||||||
Food Products - (0.6)% | ||||||||
Campbell Soup Co. | (3,383 | ) | (147,905 | ) | ||||
J M Smucker Co. (The) | (1,459 | ) | (191,289 | ) | ||||
Kellogg Co. | (2,436 | ) | (154,345 | ) | ||||
(493,539 | ) | |||||||
Gas Utilities - (0.0)%(b) | ||||||||
Brookfield Infrastructure Corp., Class A (Canada) | (176 | ) | (11,413 | ) | ||||
Household Durables - (0.3)% | ||||||||
MDC Holdings, Inc. | (4,135 | ) | (220,478 | ) | ||||
Household Products - (0.4)% | ||||||||
Clorox Co. (The) | (913 | ) | (165,153 | ) | ||||
Colgate-Palmolive Co. | (1,865 | ) | (148,267 | ) | ||||
(313,420 | ) | |||||||
Industrial Conglomerates - (0.2)% | ||||||||
3M Co. | (869 | ) | (172,010 | ) | ||||
Insurance - (0.2)% | ||||||||
Trupanion, Inc.* | (1,518 | ) | (174,600 | ) | ||||
IT Services - (0.1)% | ||||||||
Western Union Co. (The) | (4,674 | ) | (108,483 | ) | ||||
Media - (0.3)% | ||||||||
Fox Corp., Class A | (3,163 | ) | (112,792 | ) | ||||
Omnicom Group, Inc. | (1,491 | ) | (108,575 | ) | ||||
(221,367 | ) | |||||||
Road & Rail - (0.2)% | ||||||||
Canadian National Railway Co. (Canada) | (452 | ) | (49,101 | ) | ||||
Canadian Pacific Railway Ltd. (Canada) | (1,015 | ) | (75,435 | ) | ||||
(124,536 | ) | |||||||
Semiconductors & Semiconductor Equipment - (2.0)% | ||||||||
Advanced Micro Devices, Inc.* | (8,752 | ) | (929,375 | ) | ||||
Analog Devices, Inc. | (3,402 | ) | (569,563 | ) | ||||
MKS Instruments, Inc. | (194 | ) | (30,349 | ) | ||||
(1,529,287 | ) | |||||||
Software - (0.6)% | ||||||||
Fair Isaac Corp.* | (282 | ) | (147,743 | ) | ||||
VMware, Inc., Class A* | (606 | ) | (93,166 | ) | ||||
Zoom Video Communications, Inc., Class A* | (498 | ) | (188,294 | ) | ||||
(429,203 | ) | |||||||
Thrifts & Mortgage Finance - (0.0)%(b) | ||||||||
New York Community Bancorp, Inc. | (402 | ) | (4,736 | ) | ||||
TOTAL COMMON STOCKS (Proceeds $(6,713,968)) | (7,567,973 | ) | ||||||
TOTAL SHORT POSITIONS (Proceeds $(6,713,968)) | (7,567,973 | ) | ||||||
Total Investments - 79.7% (Cost $55,299,230) | 60,090,705 | |||||||
Other Assets Less Liabilities - 20.3%(k) | 15,359,101 | |||||||
Net Assets - 100.0% | 75,449,806 | |||||||
All bonds are denominated in US dollars, unless noted otherwise.
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for futures, swaps, and/or forward foreign currency contracts with a total value of $53,869,295. |
(b) | Represents less than 0.05% of net assets of the Fund. |
(c) | Value determined using significant unobservable inputs. |
(d) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. At July 31, 2021, the total value of these securities amounted to $704,537, which represents 0.9% of net assets of the Fund. |
(e) | Security fair valued as of July 31, 2021, in accordance with procedures approved by the Board of Trustees. Total value of all such securities at July 31, 2021, amounted to $145,215, which represents 0.2% of net assets of the Fund. |
(f) | Perpetual security. The rate reflected was the rate in effect on July 31, 2021. The maturity date reflects the next call date. |
(g) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2021, and changes periodically. |
(h) | Defaulted security. |
(i) | Represents 7-day effective yield as of July 31, 2021. |
(j) | At July 31, 2021, the Fund had $8,989,055 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. |
(k) | Includes the impact of the Fund’s open positions in derivatives at July 31, 2021. |
Abbreviations | |
ADR | American Depositary Receipt |
CVR | Contingent Value Rights |
GDR | Global Depositary Receipt |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
PJSC | Public Joint Stock Company |
SA | Société Anonyme |
SPAC | Special Purpose Acquisition Company |
USD | United States Dollar |
See Notes to Consolidated Schedule of Investments
5
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont'd)
LONG POSITIONS BY COUNTRY
Country | Investments at Value | Percentage of Net Assets | ||||||
United States | $ | 33,312,568 | 44.2 | % | ||||
China | 1,152,687 | 1.5 | % | |||||
Germany | 1,109,127 | 1.5 | % | |||||
Switzerland | 1,103,339 | 1.5 | % | |||||
Canada | 1,033,062 | 1.4 | % | |||||
United Kingdom | 838,554 | 1.1 | % | |||||
Netherlands | 469,246 | 0.6 | % | |||||
South Korea | 266,785 | 0.4 | % | |||||
Argentina | 261,973 | 0.3 | % | |||||
Hong Kong | 259,431 | 0.3 | % | |||||
Mexico | 242,604 | 0.3 | % | |||||
Russia | 199,974 | 0.3 | % | |||||
Luxembourg | 167,470 | 0.2 | % | |||||
India | 131,165 | 0.2 | % | |||||
Jordan | 83,342 | 0.1 | % | |||||
Spain | 74,529 | 0.1 | % | |||||
Brazil | 26,629 | 0.0 | %(a) | |||||
Israel | 4,951 | 0.0 | %(a) | |||||
Sweden | 1,100 | 0.0 | %(a) | |||||
Short-Term Investments and Other Assets-Net | 42,279,243 | 56.0 | % | |||||
Short Positions (See summary below) | (7,567,973 | ) | (10.0 | )% | ||||
$ | 75,449,806 | 100.0 | % |
SHORT POSITIONS BY COUNTRY
Country | Investments at Value | Percentage of Net Assets | ||||||
United States | $ | (7,187,389 | ) | (9.5 | )% | |||
Canada | (380,584 | ) | (0.5 | )% | ||||
Total Short Positions | $ | (7,567,973 | ) | (10.0 | )% | |||
(a) | Represents less than 0.05% of net assets of the Fund. |
See Notes to Consolidated Schedule of Investments
6
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At July 31, 2021, open positions in futures for the Fund were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Amsterdam Exchange Index | 2 | 8/2021 | $ | 356,463 | $ | 5,063 | ||||||||
Brent Crude Oil | 5 | 8/2021 | 377,050 | 15,514 | ||||||||||
CAC 40 10 Euro Index | 2 | 8/2021 | 156,810 | 6,159 | ||||||||||
Lean Hogs | 2 | 8/2021 | 84,960 | 565 | ||||||||||
Low Sulphur Gasoil | 6 | 8/2021 | 367,950 | 2,967 | ||||||||||
MSCI Singapore Index | 3 | 8/2021 | 79,896 | 1,052 | ||||||||||
Natural Gas | 11 | 8/2021 | 430,540 | 25,868 | ||||||||||
NY Harbor ULSD | 4 | 8/2021 | 368,861 | 19,486 | ||||||||||
OMXS30 Index | 7 | 8/2021 | 192,739 | 2,168 | ||||||||||
RBOB Gasoline | 4 | 8/2021 | 392,230 | 24,659 | ||||||||||
SGX FTSE Taiwan Index | 1 | 8/2021 | 59,770 | (21 | ) | |||||||||
SGX NIFTY 50 Index | 2 | 8/2021 | 63,096 | (503 | ) | |||||||||
WTI Crude Oil | 5 | 8/2021 | 369,750 | (2,090 | ) | |||||||||
Australia 10 Year Bond | 4 | 9/2021 | 426,800 | 1,109 | ||||||||||
Australia 3 Year Bond | 60 | 9/2021 | 5,154,982 | 9,058 | ||||||||||
Brent Crude Oil | 2 | 9/2021 | 149,180 | 4,007 | ||||||||||
Canada 10 Year Bond | 3 | 9/2021 | 355,907 | 1,166 | ||||||||||
Coffee 'C' | 2 | 9/2021 | 134,663 | 3,857 | ||||||||||
Copper | 2 | 9/2021 | 224,125 | 9,021 | ||||||||||
Corn | 2 | 9/2021 | 54,700 | 820 | ||||||||||
EURO STOXX 50 Index | 3 | 9/2021 | 145,482 | 3,228 | ||||||||||
Euro-Bobl | 57 | 9/2021 | 9,152,536 | 45,293 | ||||||||||
Euro-BTP | 9 | 9/2021 | 1,647,132 | 14,092 | ||||||||||
Euro-Bund | 17 | 9/2021 | 3,560,755 | 31,522 | ||||||||||
Euro-Buxl | 1 | 9/2021 | 255,091 | 2,958 | ||||||||||
Euro-OAT | 6 | 9/2021 | 1,153,604 | 11,030 | ||||||||||
Euro-Schatz | 114 | 9/2021 | 15,194,048 | 7,475 | ||||||||||
FCOJ-A | 1 | 9/2021 | 19,942 | 815 | ||||||||||
Foreign Exchange USD/SEK | 1 | 9/2021 | 99,962 | 4,212 | ||||||||||
FTSE 100 Index | 1 | 9/2021 | 96,834 | 2,242 | ||||||||||
FTSE/JSE Top 40 Index | 2 | 9/2021 | 85,107 | 580 | ||||||||||
Japan 10 Year Bond | 4 | 9/2021 | 5,553,074 | 15,069 | ||||||||||
KC HRW Wheat | 1 | 9/2021 | 33,663 | 785 | ||||||||||
Long Gilt | 2 | 9/2021 | 360,816 | 20 | ||||||||||
Milling Wheat No. 2 | 3 | 9/2021 | 39,725 | 2,689 | ||||||||||
NASDAQ 100 E-Mini Index | 2 | 9/2021 | 598,230 | 19,931 | ||||||||||
Nikkei 225 Index | 1 | 9/2021 | 137,350 | (8,378 | ) | |||||||||
Palladium | 1 | 9/2021 | 265,620 | (19,233 | ) | |||||||||
Robusta Coffee | 2 | 9/2021 | 35,720 | (2,180 | ) | |||||||||
S&P 500 E-Mini Index | 2 | 9/2021 | 438,950 | 5,697 | ||||||||||
Sugar No. 11 | 16 | 9/2021 | 320,947 | 7,439 | ||||||||||
TOPIX Index | 1 | 9/2021 | 173,648 | (5,507 | ) | |||||||||
U.S. Treasury 2 Year Note | 20 | 9/2021 | 4,413,125 | 1,148 | ||||||||||
U.S. Treasury 5 Year Note | 9 | 9/2021 | 1,120,008 | (456 | ) | |||||||||
U.S. Treasury 10 Year Note | 6 | 9/2021 | 806,719 | 4,133 | ||||||||||
U.S. Treasury Long Bond | 1 | 9/2021 | 164,719 | 6,749 | ||||||||||
U.S. Treasury Ultra Bond | 1 | 9/2021 | 199,531 | (1,876 | ) | |||||||||
Wheat | 1 | 9/2021 | 35,187 | (27 | ) | |||||||||
Brent Crude Oil | 3 | 10/2021 | 221,400 | 9,996 | ||||||||||
Lean Hogs | 2 | 10/2021 | 70,420 | (3,305 | ) | |||||||||
Platinum | 1 | 10/2021 | 52,420 | (2,053 | ) | |||||||||
Rapeseed | 5 | 10/2021 | 154,954 | 727 | ||||||||||
Canola | 11 | 11/2021 | 148,512 | (7,113 | ) | |||||||||
Soybean | 1 | 11/2021 | 67,462 | (1,328 | ) | |||||||||
WTI Crude Oil | 1 | 11/2021 | 71,570 | 3,768 | ||||||||||
100 oz Gold | 1 | 12/2021 | 181,720 | 768 | ||||||||||
Cotton No. 2 | 5 | 12/2021 | 223,475 | 3,772 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Milling Wheat No. 2 | 1 | 12/2021 | $ | 13,375 | $ | 473 | ||||||||
Soybean Oil | 4 | 12/2021 | 151,296 | 6,560 | ||||||||||
3 Month Canadian Bankers Acceptance | 13 | 3/2022 | 2,590,414 | 34 | ||||||||||
3 Month Euro Euribor | 13 | 6/2022 | 3,875,746 | 373 | ||||||||||
3 Month Euro Euribor | 13 | 12/2022 | 3,874,396 | 403 | ||||||||||
3 Month Eurodollar | 6 | 12/2022 | 1,494,000 | 339 | ||||||||||
3 Month Eurodollar | 5 | 6/2023 | 1,242,562 | 129 | ||||||||||
3 Month Euro Euribor | 25 | 12/2023 | 7,444,460 | 2,881 | ||||||||||
3 Month Eurodollar | 5 | 12/2023 | 1,238,688 | 16 | ||||||||||
3 Month Sterling | 2 | 12/2023 | 345,293 | (19 | ) | |||||||||
3 Month Eurodollar | 8 | 12/2024 | 1,974,800 | 1,648 | ||||||||||
Total Long Contracts | $ | 81,344,960 | $ | 297,444 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Short Contracts | ||||||||||||||
SGX FTSE China A50 Index | (1 | ) | 8/2021 | $ | (14,974 | ) | $ | 484 | ||||||
Canada 10 Year Bond | (5 | ) | 9/2021 | (593,179 | ) | (11,775 | ) | |||||||
CBOE Volatility Index | (3 | ) | 9/2021 | (66,225 | ) | (191 | ) | |||||||
Cocoa | (2 | ) | 9/2021 | (47,320 | ) | (625 | ) | |||||||
Foreign Exchange AUD/USD | (78 | ) | 9/2021 | (5,722,080 | ) | 299,091 | ||||||||
Foreign Exchange CAD/USD | (10 | ) | 9/2021 | (801,300 | ) | 10,119 | ||||||||
Foreign Exchange CHF/USD | (1 | ) | 9/2021 | (138,075 | ) | 1,979 | ||||||||
Foreign Exchange EUR/USD | (53 | ) | 9/2021 | (7,861,225 | ) | 204,067 | ||||||||
Foreign Exchange GBP/USD | (2 | ) | 9/2021 | (173,662 | ) | 3,621 | ||||||||
Foreign Exchange JPY/USD | (2 | ) | 9/2021 | (227,838 | ) | (287 | ) | |||||||
Foreign Exchange MXN/USD | (6 | ) | 9/2021 | (149,910 | ) | 1,128 | ||||||||
Foreign Exchange NZD/USD | (1 | ) | 9/2021 | (69,620 | ) | 2,358 | ||||||||
Foreign Exchange ZAR/USD | (5 | ) | 9/2021 | (170,000 | ) | 9,813 | ||||||||
Nikkei 225 Mini Index | (2 | ) | 9/2021 | (49,861 | ) | 989 | ||||||||
S&P 500 E-Mini Index | (5 | ) | 9/2021 | (1,097,375 | ) | (36,000 | ) | |||||||
U.S. Treasury 10 Year Note | (4 | ) | 9/2021 | (537,812 | ) | (10,883 | ) | |||||||
3 Month Sterling | (87 | ) | 3/2022 | (15,077,704 | ) | (3,440 | ) | |||||||
3 Month Canadian Bankers Acceptance | (2 | ) | 6/2022 | (397,804 | ) | (23 | ) | |||||||
3 Month Sterling | (65 | ) | 6/2022 | (11,254,787 | ) | (619 | ) | |||||||
3 Month Sterling | (36 | ) | 12/2022 | (6,225,914 | ) | 143 | ||||||||
3 Month Sterling | (30 | ) | 6/2023 | (5,183,831 | ) | (89 | ) | |||||||
Total Short Contracts | $ | (55,860,496 | ) | $ | 469,860 | |||||||||
Total Futures | $ | 767,304 |
At July 31, 2021, the Fund had $1,274,020 deposited in segregated accounts to cover margin requirements on open futures.
Forward foreign currency contracts ("forward contracts")
At July 31, 2021, open forward contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||
USD | 725,473 | HKD | 5,635,401 | JPM | 8/20/2021 | $ | 277 | |||||||
USD | 108,901 | CAD | 135,000 | JPM | 9/1/2021 | 697 | ||||||||
CAD | 90,000 | USD | 72,001 | JPM | 9/15/2021 | 137 | ||||||||
CAD | 130,000 | USD | 103,562 | SG | 9/15/2021 | 637 | ||||||||
CHF | 740,000 | USD | 811,846 | SG | 9/15/2021 | 5,993 | ||||||||
EUR | 1,492,950 | PLN | 6,760,000 | SG | 9/15/2021 | 17,591 | ||||||||
EUR | 10,000 | USD | 11,872 | JPM | 9/15/2021 | 1 | ||||||||
EUR | 600,000 | USD | 709,552 | SG | 9/15/2021 | 2,819 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||
GBP | 10,000 | USD | 13,895 | JPM | 9/15/2021 | $ | 7 | |||||||
GBP | 230,000 | USD | 318,300 | SG | 9/15/2021 | 1,436 | ||||||||
HUF | 670,000 | USD | 2,200 | SG | 9/15/2021 | 14 | ||||||||
INR** | 33,780,000 | USD | 451,258 | SG | 9/15/2021 | 677 | ||||||||
JPY | 13,336,247 | AUD | 160,000 | JPM | 9/15/2021 | 4,164 | ||||||||
JPY | 234,281,847 | AUD | 2,810,000 | SG | 9/15/2021 | 73,714 | ||||||||
JPY | 4,050,000 | USD | 36,641 | JPM | 9/15/2021 | 289 | ||||||||
JPY | 67,340,000 | USD | 611,804 | SG | 9/15/2021 | 2,236 | ||||||||
NOK | 80,000 | USD | 8,829 | SG | 9/15/2021 | 227 | ||||||||
PHP** | 4,220,000 | USD | 83,670 | SG | 9/15/2021 | 584 | ||||||||
PLN | 220,000 | EUR | 48,071 | SG | 9/15/2021 | 41 | ||||||||
PLN | 260,000 | USD | 66,862 | SG | 9/15/2021 | 638 | ||||||||
SEK | 310,000 | USD | 35,913 | SG | 9/15/2021 | 110 | ||||||||
SGD | 330,000 | USD | 241,382 | SG | 9/15/2021 | 2,155 | ||||||||
THB | 1,000,000 | USD | 30,370 | SG | 9/15/2021 | 48 | ||||||||
TRY | 434,676 | EUR | 40,000 | JPM | 9/15/2021 | 2,944 | ||||||||
TRY | 6,649,641 | EUR | 630,000 | SG | 9/15/2021 | 23,572 | ||||||||
TRY | 230,000 | USD | 26,359 | JPM | 9/15/2021 | 329 | ||||||||
TRY | 5,060,000 | USD | 573,403 | SG | 9/15/2021 | 13,708 | ||||||||
USD | 30,002 | AUD | 40,000 | JPM | 9/15/2021 | 642 | ||||||||
USD | 1,278,429 | AUD | 1,690,000 | SG | 9/15/2021 | 37,942 | ||||||||
USD | 219,103 | BRL** | 1,130,000 | SG | 9/15/2021 | 3,418 | ||||||||
USD | 122,763 | CAD | 150,000 | JPM | 9/15/2021 | 2,533 | ||||||||
USD | 551,667 | CAD | 680,000 | SG | 9/15/2021 | 6,631 | ||||||||
USD | 267,587 | CHF | 240,000 | JPM | 9/15/2021 | 2,340 | ||||||||
USD | 412,599 | CHF | 370,000 | SG | 9/15/2021 | 3,680 | ||||||||
USD | 294,088 | CLP** | 217,020,000 | SG | 9/15/2021 | 8,483 | ||||||||
USD | 891,146 | EUR | 740,000 | JPM | 9/15/2021 | 12,555 | ||||||||
USD | 1,171,229 | EUR | 970,000 | SG | 9/15/2021 | 19,560 | ||||||||
USD | 572,258 | GBP | 410,000 | JPM | 9/15/2021 | 2,296 | ||||||||
USD | 407,259 | GBP | 290,000 | SG | 9/15/2021 | 4,115 | ||||||||
USD | 718,522 | HUF | 212,400,000 | SG | 9/15/2021 | 16,762 | ||||||||
USD | 653,696 | INR** | 48,550,000 | SG | 9/15/2021 | 4,152 | ||||||||
USD | 1,363,076 | JPY | 149,150,000 | SG | 9/15/2021 | 3,057 | ||||||||
USD | 1,177,451 | KRW** | 1,333,990,000 | SG | 9/15/2021 | 21,316 | ||||||||
USD | 39,286 | NOK | 340,000 | JPM | 9/15/2021 | 797 | ||||||||
USD | 1,145,395 | NOK | 9,790,000 | SG | 9/15/2021 | 37,142 | ||||||||
USD | 479,678 | NZD | 680,000 | SG | 9/15/2021 | 6,010 | ||||||||
USD | 1,151,128 | PHP** | 56,520,000 | SG | 9/15/2021 | 22,683 | ||||||||
USD | 23,584 | PLN | 90,000 | JPM | 9/15/2021 | 219 | ||||||||
USD | 878,577 | PLN | 3,300,000 | SG | 9/15/2021 | 21,865 | ||||||||
USD | 118,670 | SEK | 990,000 | JPM | 9/15/2021 | 3,626 | ||||||||
USD | 907,073 | SEK | 7,740,000 | SG | 9/15/2021 | 7,639 | ||||||||
USD | 425,746 | SGD | 570,000 | JPM | 9/15/2021 | 5,092 | ||||||||
USD | 2,120,476 | SGD | 2,850,000 | SG | 9/15/2021 | 17,205 | ||||||||
USD | 1,297,334 | THB | 40,980,000 | SG | 9/15/2021 | 50,803 | ||||||||
USD | 61,045 | ZAR | 860,000 | JPM | 9/15/2021 | 2,675 | ||||||||
USD | 359,565 | ZAR | 5,180,000 | SG | 9/15/2021 | 7,984 | ||||||||
ZAR | 470,000 | USD | 31,878 | SG | 9/15/2021 | 23 | ||||||||
ILS | 5,330,000 | USD | 1,642,228 | SG | 9/17/2021 | 7,213 | ||||||||
MXN | 11,890,000 | USD | 589,759 | SG | 9/17/2021 | 3,821 | ||||||||
CAD | 11,948 | USD | 9,576 | JPM | 10/1/2021 | 1 | ||||||||
USD | 861,864 | CAD | 1,063,973 | JPM | 10/1/2021 | 9,049 | ||||||||
Total unrealized appreciation | $ | 508,374 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||
USD | 1,024,224 | CHF | 934,673 | JPM | 8/20/2021 | $ | (8,050 | ) | ||||||
USD | 2,233,976 | EUR | 1,886,735 | JPM | 8/20/2021 | (4,917 | ) | |||||||
USD | 341,637 | GBP | 246,189 | JPM | 8/20/2021 | (579 | ) | |||||||
USD | 4,172 | SEK | 36,030 | JPM | 8/20/2021 | (14 | ) | |||||||
CAD | 441,754 | USD | 364,654 | JPM | 9/1/2021 | (10,582 | ) | |||||||
AUD | 310,000 | JPY | 26,227,965 | JPM | 9/15/2021 | (11,614 | ) | |||||||
AUD | 2,350,000 | JPY | 198,027,566 | SG | 9/15/2021 | (80,778 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||
AUD | 1,110,000 | USD | 850,157 | SG | 9/15/2021 | $ | (35,406 | ) | ||||||
BRL** | 3,810,000 | USD | 745,896 | SG | 9/15/2021 | (18,680 | ) | |||||||
CAD | 260,000 | USD | 211,821 | JPM | 9/15/2021 | (3,426 | ) | |||||||
CAD | 2,520,000 | USD | 2,078,984 | SG | 9/15/2021 | (59,143 | ) | |||||||
CHF | 40,000 | USD | 44,818 | JPM | 9/15/2021 | (611 | ) | |||||||
CHF | 1,380,000 | USD | 1,536,001 | SG | 9/15/2021 | (10,842 | ) | |||||||
CLP** | 135,420,000 | USD | 187,637 | SG | 9/15/2021 | (9,422 | ) | |||||||
EUR | 228,968 | PLN | 1,050,000 | SG | 9/15/2021 | (740 | ) | |||||||
EUR | 30,000 | TRY | 323,561 | JPM | 9/15/2021 | (1,925 | ) | |||||||
EUR | 580,000 | TRY | 6,351,279 | SG | 9/15/2021 | (48,314 | ) | |||||||
EUR | 120,000 | USD | 144,864 | JPM | 9/15/2021 | (2,390 | ) | |||||||
EUR | 1,650,000 | USD | 1,998,615 | SG | 9/15/2021 | (39,594 | ) | |||||||
GBP | 40,000 | USD | 56,429 | JPM | 9/15/2021 | (823 | ) | |||||||
GBP | 2,040,000 | USD | 2,872,826 | SG | 9/15/2021 | (36,915 | ) | |||||||
HUF | 227,180,000 | USD | 792,307 | SG | 9/15/2021 | (41,716 | ) | |||||||
INR** | 144,740,000 | USD | 1,958,461 | SG | 9/15/2021 | (22,014 | ) | |||||||
JPY | 1,607,774 | AUD | 20,000 | SG | 9/15/2021 | (20 | ) | |||||||
JPY | 11,480,000 | USD | 104,976 | JPM | 9/15/2021 | (297 | ) | |||||||
JPY | 41,920,000 | USD | 382,960 | SG | 9/15/2021 | (714 | ) | |||||||
KRW** | 1,056,320,000 | USD | 943,409 | SG | 9/15/2021 | (27,924 | ) | |||||||
NOK | 170,000 | USD | 20,386 | JPM | 9/15/2021 | (1,141 | ) | |||||||
NOK | 8,500,000 | USD | 1,022,101 | SG | 9/15/2021 | (59,881 | ) | |||||||
NZD | 850,000 | USD | 603,651 | SG | 9/15/2021 | (11,562 | ) | |||||||
PHP** | 50,210,000 | USD | 1,038,996 | SG | 9/15/2021 | (36,534 | ) | |||||||
PLN | 4,360,000 | EUR | 972,098 | SG | 9/15/2021 | (22,257 | ) | |||||||
PLN | 3,160,000 | USD | 857,301 | SG | 9/15/2021 | (36,932 | ) | |||||||
SEK | 60,000 | USD | 7,086 | JPM | 9/15/2021 | (114 | ) | |||||||
SEK | 8,690,000 | USD | 1,045,082 | SG | 9/15/2021 | (35,249 | ) | |||||||
SGD | 2,550,000 | USD | 1,918,527 | SG | 9/15/2021 | (36,649 | ) | |||||||
THB | 12,670,000 | USD | 396,418 | SG | 9/15/2021 | (11,021 | ) | |||||||
TRY | 102,248 | EUR | 10,000 | SG | 9/15/2021 | (9 | ) | |||||||
TRY | 300,000 | USD | 34,888 | SG | 9/15/2021 | (79 | ) | |||||||
USD | 29,323 | AUD | 40,000 | SG | 9/15/2021 | (38 | ) | |||||||
USD | 96,276 | BRL** | 510,000 | SG | 9/15/2021 | (1,069 | ) | |||||||
USD | 79,869 | CAD | 100,000 | JPM | 9/15/2021 | (284 | ) | |||||||
USD | 1,680,433 | CAD | 2,110,000 | SG | 9/15/2021 | (10,783 | ) | |||||||
USD | 65,446 | CHF | 60,000 | JPM | 9/15/2021 | (865 | ) | |||||||
USD | 1,797,656 | CHF | 1,650,000 | SG | 9/15/2021 | (25,908 | ) | |||||||
USD | 330,146 | CLP** | 251,870,000 | SG | 9/15/2021 | (1,322 | ) | |||||||
USD | 23,664 | EUR | 20,000 | JPM | 9/15/2021 | (82 | ) | |||||||
USD | 992,806 | EUR | 840,000 | SG | 9/15/2021 | (4,512 | ) | |||||||
USD | 401,085 | GBP | 290,000 | JPM | 9/15/2021 | (2,060 | ) | |||||||
USD | 993,106 | GBP | 720,000 | SG | 9/15/2021 | (7,799 | ) | |||||||
USD | 537,797 | HUF | 164,110,000 | SG | 9/15/2021 | (4,416 | ) | |||||||
USD | 1,158,385 | INR** | 86,960,000 | SG | 9/15/2021 | (5,034 | ) | |||||||
USD | 204,139 | JPY | 22,560,000 | JPM | 9/15/2021 | (1,575 | ) | |||||||
USD | 864,228 | JPY | 95,340,000 | SG | 9/15/2021 | (5,125 | ) | |||||||
USD | 23,694 | KRW** | 27,370,000 | SG | 9/15/2021 | (28 | ) | |||||||
USD | 83,174 | NOK | 740,000 | SG | 9/15/2021 | (595 | ) | |||||||
USD | 229,313 | NZD | 330,000 | SG | 9/15/2021 | (556 | ) | |||||||
USD | 672,122 | PHP** | 34,070,000 | SG | 9/15/2021 | (8,099 | ) | |||||||
USD | 7,737 | PLN | 30,000 | JPM | 9/15/2021 | (51 | ) | |||||||
USD | 582,529 | PLN | 2,270,000 | SG | 9/15/2021 | (6,785 | ) | |||||||
USD | 202,948 | SEK | 1,760,000 | SG | 9/15/2021 | (1,577 | ) | |||||||
USD | 249,832 | SGD | 340,000 | SG | 9/15/2021 | (1,085 | ) | |||||||
USD | 45,543 | THB | 1,500,000 | SG | 9/15/2021 | (84 | ) | |||||||
USD | 72,310 | TRY | 660,000 | JPM | 9/15/2021 | (4,271 | ) | |||||||
USD | 527,869 | TRY | 4,780,000 | SG | 9/15/2021 | (26,754 | ) | |||||||
USD | 5,356 | ZAR | 80,000 | JPM | 9/15/2021 | (73 | ) | |||||||
USD | 313,328 | ZAR | 4,650,000 | SG | 9/15/2021 | (2,277 | ) | |||||||
ZAR | 1,520,000 | USD | 105,912 | JPM | 9/15/2021 | (2,745 | ) | |||||||
ZAR | 8,870,000 | USD | 641,766 | SG | 9/15/2021 | (39,735 | ) | |||||||
ILS | 900,000 | USD | 278,725 | SG | 9/17/2021 | (208 | ) | |||||||
MXN | 34,260,000 | USD | 1,713,166 | SG | 9/17/2021 | (2,818 | ) | |||||||
USD | 1,166,838 | ILS | 3,810,000 | SG | 9/17/2021 | (12,218 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||
USD | 207,246 | MXN | 4,180,000 | JPM | 9/17/2021 | $ | (1,431 | ) | ||||||
USD | 1,278,495 | MXN | 26,210,000 | SG | 9/17/2021 | (29,975 | ) | |||||||
USD | 44,057 | CAD | 55,293 | JPM | 10/1/2021 | (262 | ) | |||||||
Total unrealized depreciation | $ | (941,377 | ) | |||||||||||
Net unrealized depreciation | $ | (433,003 | ) |
** Non-deliverable forward.
Equity swap contracts ("equity swaps")
At July 31, 2021, the Fund had outstanding equity swaps as follows:
Over the counter equity swaps — Long(a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
JPM | Adapteo OYJ | SEK | 215,586 | 5/19/2022 | 0.59% | 0.65% | 1M STIBOR | T/1M | $ | 216 | ||||||||||
JPM | Aggreko plc | GBP | 102,351 | 3/29/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | (698 | ) | ||||||||||
JPM | Akka Technologies | EUR | 14,695 | 8/2/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 28 | |||||||||||
JPM | American International Group, Inc. | USD | 427,428 | 8/3/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 28,201 | |||||||||||
JPM | Ampol Ltd. | AUD | 25,284 | 1/25/2022 | 0.66% | 0.65% | 1M AUD BBSW | T/1M | (1,726 | ) | ||||||||||
MS | Amundi SA | EUR | 363,014 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 90,952 | |||||||||||
MS | Anima Holding SpA | EUR | 354,091 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | (13,309 | ) | ||||||||||
JPM | Arrow Global Group plc | GBP | 13,952 | 4/6/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 12 | |||||||||||
JPM | Ashland Global Holdings, Inc. | USD | 240,918 | 2/22/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (4,088 | ) | ||||||||||
MS | Aspen Pharmacare Holdings Ltd. | USD | 23,712 | 12/9/2021 | 0.89% | 0.80% | 1M USD LIBOR | T/1M | 7,756 | |||||||||||
JPM | Atrium European Real Estate Ltd. | EUR | 59,798 | 7/27/2022 | (0.16)% - 0.09% | 0.40% - 0.65% | 1M EURIBOR | T/1M | 2 | |||||||||||
JPM | Avantor, Inc. | USD | 431,644 | 10/26/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 118,372 | |||||||||||
JPM | Avast plc | GBP | 13,009 | 7/22/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | (77 | ) | ||||||||||
JPM | Bank Norwegian ASA | NOK | 405,225 | 7/25/2022 | 0.79% | 0.65% | 1M NIBOR | T/1M | 1,777 | |||||||||||
MS | Brenntag SE | EUR | 251,000 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 90,875 | |||||||||||
MS | Bureau Veritas SA | EUR | 317,181 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 102,643 | |||||||||||
JPM | Canadian National Railway Co. | USD | 473,192 | 11/17/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (7,175 | ) | ||||||||||
JPM | CapitaLand Ltd. | SGD | 40,356 | 4/19/2022 | 1.02% | 0.75% | 1M SIBOR | T/1M | 2,392 | |||||||||||
JPM | Cerved Group SpA | EUR | 75,191 | 3/24/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 4,179 | |||||||||||
JPM | ChampionX Corp. | USD | 510,885 | 2/22/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 91,287 | |||||||||||
MS | Croda International plc | GBP | 21,976 | 12/2/2021 | 0.69% | 0.64% | 1D SONIA | T/1M | 14,012 | |||||||||||
JPM | Crown Resorts Ltd. | AUD | 20,716 | 7/4/2022 | 0.66% | 0.65% | 1M AUD BBSW | T/1M | (5,732 | ) | ||||||||||
JPM | Daily Mail & General Trust plc | GBP | 8,308 | 7/14/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 211 | |||||||||||
JPM | Danaher Corp. | USD | 324,264 | 6/22/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 44,167 | |||||||||||
MS | Danone SA | EUR | 594,411 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | (53,128 | ) | ||||||||||
JPM | Deutsche Wohnen SE | EUR | 420,594 | 5/27/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 6,000 | |||||||||||
JPM | Dialog Semiconductor plc | EUR | 426,907 | 2/10/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 3,600 | |||||||||||
JPM | Eagle Materials, Inc. | USD | 444,169 | 6/30/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (149 | ) | ||||||||||
JPM | Electricite de France SA | EUR | 29,481 | 6/22/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | (4,040 | ) | ||||||||||
MS | Elis SA | EUR | 55,339 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | (1,045 | ) | ||||||||||
MS | Eurofins Scientific SE | EUR | 54,151 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 34,955 | |||||||||||
JPM | Euskaltel SA | EUR | 71,547 | 3/31/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | (980 | ) | ||||||||||
JPM | Gamesys Group plc | GBP | 172,506 | 3/31/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 647 | |||||||||||
MS | Gerresheimer AG | EUR | 71,497 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 21,396 | |||||||||||
MS | HeidelbergCement AG | EUR | 179,023 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 16,467 | |||||||||||
MS | Hermes International | EUR | 48,982 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 27,728 | |||||||||||
MS | Holcim Ltd. | CHF | 156,911 | 12/9/2021 | (0.17)% | 0.56% | 1D SARON | T/1M | 8,989 | |||||||||||
MS | Hypera SA | USD | 29,372 | 12/7/2021 | 0.74% | 0.65% | 1M USD LIBOR | T/1M | (4,194 | ) | ||||||||||
MS | ITV plc | GBP | 86,911 | 12/2/2021 | 0.69% | 0.64% | 1D SONIA | T/1M | 1,226 | |||||||||||
JPM | John Laing Group plc | GBP | 131,512 | 6/14/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 440 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
MS | Kering SA | EUR | 330,459 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | $ | 139,335 | ||||||||||
MS | LVMH Moet Hennessy Louis Vuitton SE | EUR | 54,586 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 22,432 | |||||||||||
JPM | Microsoft Corp. | USD | 373,802 | 12/17/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 81,311 | |||||||||||
MS | Migros Ticaret A/S | USD | 22,032 | 9/15/2021 | 1.49% | 1.40% | 1M USD LIBOR | T/1M | (1,893 | ) | ||||||||||
JPM | Naturgy Energy Group SA | EUR | 22,487 | 2/4/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 765 | |||||||||||
MS | NAVER Corp. | USD | 120,600 | 10/15/2021 | 1.49% | 1.40% | 1M USD LIBOR | T/1M | 33,406 | |||||||||||
JPM | Neles OYJ | EUR | 127,140 | 7/8/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | (4,754 | ) | ||||||||||
MS | Nestle SA (Registered) | CHF | 142,122 | 12/9/2021 | (0.19)% | 0.54% | 1D SARON | T/1M | 20,271 | |||||||||||
JPM | NextEra Energy, Inc. | USD | 582,069 | 1/4/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 10,523 | |||||||||||
JPM | Norway Royal Salmon ASA | NOK | 113,610 | 7/21/2022 | 0.79% | 0.65% | 1M NIBOR | T/1M | 78 | |||||||||||
JPM | Orange Belgium SA | EUR | 20,240 | 12/9/2021 | (0.16)% - (0.06)% | 0.40% - 0.50% | 1M EURIBOR | T/1M | (1,972 | ) | ||||||||||
JPM | Primo Water Corp. | USD | 274,977 | 2/16/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (11,350 | ) | ||||||||||
MS | Publicis Groupe SA | EUR | 59,287 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 4,835 | |||||||||||
JPM | QUALCOMM, Inc. | USD | 300,199 | 12/17/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 7,970 | |||||||||||
JPM | RH | USD | 193,911 | 12/15/2021 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 55,770 | |||||||||||
JPM | Rhipe Ltd. | AUD | 74,018 | 7/15/2022 | 0.66% | 0.65% | 1M AUD BBSW | T/1M | 346 | |||||||||||
MS | Ryanair Holdings plc | EUR | 72,002 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 31,793 | |||||||||||
JPM | S IMMO AG | EUR | 9,447 | 4/7/2022 | (0.16)% | 0.40% | 1M EURIBOR | T/1M | (763 | ) | ||||||||||
MS | SAP SE | EUR | 305,000 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | 34,035 | |||||||||||
JPM | Sbanken ASA | NOK | 928,265 | 4/19/2022 | 0.79% | 0.65% | 1M NIBOR | T/1M | 3,548 | |||||||||||
JPM | Siltronic AG | EUR | 135,261 | 3/1/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 2,533 | |||||||||||
MS | Smith & Nephew plc | GBP | 379,842 | 12/2/2021 | 0.69% | 0.64% | 1D SONIA | T/1M | 3,206 | |||||||||||
JPM | Societe Fonciere Lyonnaise SA | EUR | 20,520 | 6/15/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | (232 | ) | ||||||||||
JPM | SOHO China Ltd. | HKD | 221,521 | 6/23/2022 | 0.48% | 0.40% | 1M HIBOR | T/1M | (14,902 | ) | ||||||||||
JPM | Solarpack Corp. Tecnologica SA | EUR | 41,709 | 6/20/2022 | 0.09% | 0.65% | 1M EURIBOR | T/1M | (50 | ) | ||||||||||
JPM | Spire Healthcare Group plc | GBP | 24,231 | 6/20/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | (3,317 | ) | ||||||||||
JPM | State Street Corp. | USD | 506,283 | 7/1/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | 28,527 | |||||||||||
MS | Stroeer SE & Co. KGaA | EUR | 48,291 | 12/9/2021 | 0.04% | 0.60% | 1M EURIBOR | T/1M | (9,703 | ) | ||||||||||
JPM | Suez SA | EUR | 416,571 | 9/2/2021 | 0.09% | 0.65% | 1M EURIBOR | T/1M | 41,820 | |||||||||||
JPM | Sumo Group plc | GBP | 27,530 | 7/21/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | (1,167 | ) | ||||||||||
JPM | Toshiba Corp. | JPY | 1,236,100 | 4/25/2022 | 0.32% | 0.40% | 1M JPY LIBOR | T/1M | 1,258 | |||||||||||
JPM | UDG Healthcare plc | GBP | 61,241 | 5/16/2022 | 0.80% | 0.75% | 1M GBP LIBOR | T/1M | 3,276 | |||||||||||
JPM | Vectura Group plc | GBP | 53,784 | 6/23/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 5,999 | |||||||||||
JPM | Walt Disney Co. (The) | USD | 435,473 | 4/18/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (27,941 | ) | ||||||||||
JPM | Webster Financial Corp. | USD | 337,229 | 6/14/2022 | 0.49% | 0.40% | 1M USD LIBOR | T/1M | (61,767 | ) | ||||||||||
JPM | Wm Morrison Supermarkets plc | GBP | 14,255 | 7/12/2022 | 0.45% | 0.40% | 1M GBP LIBOR | T/1M | 104 | |||||||||||
Total Long Positions of equity swaps | $ | 1,015,519 |
Over the counter equity swaps — Short(c)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
JPM | 3D Systems Corp. | USD | (195,286 | ) | 3/10/2022 | (0.31)% | (0.40)% | 1M USD LIBOR | 1M/T | $ | (27,193 | ) | ||||||||
JPM | Acuity Brands, Inc. | USD | (265,350 | ) | 6/15/2022 | (0.31)% | (0.40)% | 1M USD LIBOR | 1M/T | 9,726 | ||||||||||
JPM | Adtalem Global Education, Inc. | USD | (122,829 | ) | 5/10/2022 | (0.31)% | (0.40)% | 1M USD LIBOR | 1M/T | (4,104 | ) | |||||||||
MS | Air Liquide SA | EUR | (229,544 | ) | 12/9/2021 | (0.84)% | (0.35)% | 1D EONIA | 1M/T | (30,017 | ) | |||||||||
MS | Allianz SE (Registered) | EUR | (204,960 | ) | 12/9/2021 | (0.84)% | (0.35)% | 1D EONIA | 1M/T | (5,563 | ) | |||||||||
MS | Anheuser-Busch InBev SA/NV | EUR | (117,587 | ) | 12/9/2021 | (0.89)% | (0.40)% | 1D EONIA | 1M/T | 6,054 | ||||||||||
JPM | AppLovin Corp. | USD | (78,989 | ) | 7/29/2022 | (2.74)% | (2.83)% | 1M USD LIBOR | 1M/T | 2,445 | ||||||||||
JPM | AT&T, Inc. | USD | (255,003 | ) | 2/24/2022 | (0.31)% | (0.40)% | 1M USD LIBOR | 1M/T | 12,076 | ||||||||||
JPM | Avangrid, Inc. | USD | (92,548 | ) | 3/9/2022 | (0.31)% | (0.40)% | 1M USD LIBOR | 1M/T | (8,449 | ) | |||||||||
MS | AXA SA | EUR | (109,444 | ) | 12/9/2021 | (0.84)% | (0.35)% | 1D EONIA | 1M/T | 947 | ||||||||||
JPM | B&G Foods, Inc. | USD | (162,613 | ) | 9/23/2021 | (4.96)% - (4.34)% | (5.05)% - (4.43)% | 1M USD LIBOR | 1M/T | 4,223 | ||||||||||
MS | BASF SE | EUR | (139,790 | ) | 12/9/2021 | (0.84)% | (0.35)% | 1D EONIA | 1M/T | (11,446 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
MS | Bayerische Motoren Werke AG | EUR | (119,445 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | $ | (24,501 | ) | ||||||
JPM | Beachbody Co., Inc. (The) | USD | (96,400 | ) | 4/19/2022 | (1.97 | )% | (2.06 | )% | 1M USD LIBOR | 1M/T | 9,898 | ||||||||
JPM | Beyond Meat, Inc. | USD | (216,443 | ) | 1/11/2022 | (0.71) (0.31) | %- % | (0.80) (0.40) | %- % | 1M USD LIBOR | 1M/T | 25,875 | ||||||||
JPM | Blink Charging Co. | USD | (114,778 | ) | 3/4/2022 | (28.45 | )% | (28.54 | )% | 1M USD LIBOR | 1M/T | (5,651 | ) | |||||||
JPM | Bloom Energy Corp. | USD | (111,289 | ) | 11/18/2021 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 13,526 | ||||||||
MS | Bunzl plc | GBP | (97,842 | ) | 12/2/2021 | (0.25 | )% | (0.30 | )% | 1D SONIA | 1M/T | (23,658 | ) | |||||||
JPM | Canadian Tire Corp. Ltd. | CAD | (115,164 | ) | 9/20/2021 | 0.02 | % | (0.40 | )% | 1M CDOR | 1M/T | (11,852 | ) | |||||||
JPM | CarParts.com, Inc. | USD | (99,003 | ) | 3/11/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (6,603 | ) | |||||||
JPM | Coca-Cola Consolidated, Inc. | USD | (81,826 | ) | 7/29/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 1,211 | ||||||||
MS | Daimler AG (Registered) | EUR | (160,873 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (60,377 | ) | |||||||
MS | Deutsche Post AG (Registered) | EUR | (200,970 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (83,965 | ) | |||||||
MS | Deutsche Telekom AG (Registered) | EUR | (99,592 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (15,110 | ) | |||||||
JPM | Discovery, Inc. | USD | (52,508 | ) | 3/28/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 52,214 | ||||||||
MS | Elisa OYJ | EUR | (75,419 | ) | 12/9/2021 | (0.89 | )% | (0.40 | )% | 1D EONIA | 1M/T | (9,073 | ) | |||||||
MS | Enel SpA | EUR | (87,307 | ) | 12/9/2021 | (0.89 | )% | (0.40 | )% | 1D EONIA | 1M/T | (1,486 | ) | |||||||
MS | Engie SA | EUR | (101,921 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | 13,798 | ||||||||
MS | Etablissements Franz Colruyt NV | EUR | (236,824 | ) | 12/9/2021 | (0.89 | )% | (0.40 | )% | 1D EONIA | 1M/T | 79,316 | ||||||||
JPM | Fox Corp. | USD | (103,343 | ) | 1/21/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (10,161 | ) | |||||||
JPM | Frontdoor, Inc. | USD | (81,730 | ) | 7/21/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (4,435 | ) | |||||||
MS | Givaudan SA (Registered) | CHF | (226,100 | ) | 12/9/2021 | (1.08 | )% | (0.35 | )% | 1D SARON | 1M/T | (86,989 | ) | |||||||
MS | GlaxoSmithKline plc | GBP | (40,918 | ) | 12/2/2021 | (0.25 | )% | (0.30 | )% | 1D SONIA | 1M/T | 3,377 | ||||||||
JPM | Grand Canyon Education, Inc. | USD | (82,671 | ) | 5/17/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 1,143 | ||||||||
JPM | Grifols SA | USD | (80,038 | ) | 4/14/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 7,232 | ||||||||
JPM | Guidewire Software, Inc. | USD | (151,718 | ) | 3/23/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (16,676 | ) | |||||||
MS | H & M Hennes & Mauritz AB | SEK | (1,031,187 | ) | 10/19/2021 | (0.46 | )% | (0.40 | )% | 1W STIBOR | 1M/T | 12,980 | ||||||||
MS | Hannover Rueck SE | EUR | (59,882 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | 11,269 | ||||||||
JPM | HealthEquity, Inc. | USD | (220,386 | ) | 12/23/2021 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (7,486 | ) | |||||||
JPM | HelloFresh SE | EUR | (260,173 | ) | 1/26/2022 | (0.96 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (55,812 | ) | |||||||
JPM | Hyliion Holdings Corp. | USD | (137,216 | ) | 4/19/2022 | (6.84 | )% | (6.93 | )% | 1M USD LIBOR | 1M/T | (17,955 | ) | |||||||
JPM | Inmobiliaria Colonial Socimi SA | EUR | (10,114 | ) | 6/15/2022 | (0.96 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | 623 | ||||||||
JPM | J M Smucker Co. (The) | USD | (155,496 | ) | 10/7/2021 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (14,049 | ) | |||||||
JPM | Kellogg Co. | USD | (173,543 | ) | 10/7/2021 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (9,840 | ) | |||||||
MS | Koninklijke Ahold Delhaize NV | EUR | (180,091 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (44,469 | ) | |||||||
MS | Koninklijke Philips NV | EUR | (120,792 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | 19,456 | ||||||||
JPM | Kroger Co. (The) | USD | (278,958 | ) | 3/30/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (24,847 | ) | |||||||
JPM | Lordstown Motors Corp. | USD | (63,835 | ) | 4/20/2022 | (10.46 | )% | (10.55 | )% | 1M USD LIBOR | 1M/T | 30,642 | ||||||||
MS | L'Oreal SA | EUR | (319,525 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (104,681 | ) | |||||||
JPM | Lululemon Athletica, Inc. | USD | (264,512 | ) | 3/8/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (59,734 | ) | |||||||
MS | Marks & Spencer Group plc | GBP | (21,210 | ) | 12/2/2021 | (0.25 | )% | (0.30 | )% | 1D SONIA | 1M/T | 19,478 | ||||||||
JPM | Materialise NV | USD | (91,216 | ) | 5/13/2022 | (5.16) (4.63) | %- % | (5.25) (4.72) | %- % | 1M USD LIBOR | 1M/T | 11,209 | ||||||||
MS | Merck & Co., Inc. | USD | (44,585 | ) | 12/14/2021 | (0.25 | )% | (0.35 | )% | 1D FEDEF | 1M/T | 1,637 | ||||||||
JPM | National Bank of Canada | CAD | (57,294 | ) | 3/11/2022 | 0.02 | % | (0.40 | )% | 1M CDOR | 1M/T | (2,779 | ) | |||||||
MS | Next plc | GBP | (40,908 | ) | 12/2/2021 | (0.25 | )% | (0.30 | )% | 1D SONIA | 1M/T | (10,921 | ) | |||||||
MS | NIKE, Inc. | USD | (93,973 | ) | 12/14/2021 | (0.25 | )% | (0.35 | )% | 1D FEDEF | 1M/T | (40,051 | ) | |||||||
MS | Nokia OYJ | EUR | (78,728 | ) | 12/9/2021 | (0.89 | )% | (0.40 | )% | 1D EONIA | 1M/T | (29,877 | ) | |||||||
JPM | Omnicom Group, Inc. | USD | (46,896 | ) | 1/31/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 310 | ||||||||
JPM | Pearson plc | GBP | (94,834 | ) | 8/24/2021 | (0.35 | )% | (0.40 | )% | 1M GBP LIBOR | 1M/T | (26,507 | ) | |||||||
JPM | Perdoceo Education Corp. | USD | (173,583 | ) | 1/10/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 5,662 | ||||||||
MS | Pfizer, Inc. | USD | (41,483 | ) | 12/14/2021 | (0.25 | )% | (0.35 | )% | 1D FEDEF | 1M/T | (4,057 | ) | |||||||
JPM | Proto Labs, Inc. | USD | (104,071 | ) | 2/10/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 57,010 | ||||||||
JPM | Qualys, Inc. | USD | (347,538 | ) | 1/11/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 12,150 | ||||||||
JPM | Robert Half International, Inc. | USD | (69,729 | ) | 6/16/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (5,346 | ) | |||||||
MS | Schneider Electric SE | EUR | (176,201 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (53,346 | ) | |||||||
JPM | Shake Shack, Inc. | USD | (192,936 | ) | 4/19/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (17,092 | ) | |||||||
MS | Siemens AG (Registered) | EUR | (190,923 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | (34,886 | ) | |||||||
JPM | Signify NV | EUR | (146,147 | ) | 3/2/2022 | (0.96 | )% | (0.40 | )% | 1M EURIBOR | 1M/T | (21,775 | ) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable- Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
JPM | SolarEdge Technologies, Inc. | USD | (156,985 | ) | 3/21/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | $ | 4,839 | |||||||
JPM | Strategic Education, Inc. | USD | (289,091 | ) | 9/27/2021 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | 16,747 | ||||||||
MS | Swisscom AG (Registered) | CHF | (79,025 | ) | 12/9/2021 | (1.08 | )% | (0.35 | )% | 1D SARON | 1M/T | (6,038 | ) | |||||||
JPM | Tapestry, Inc. | USD | (333,874 | ) | 6/22/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (10,744 | ) | |||||||
MS | Telefonica SA | EUR | (49,021 | ) | 12/9/2021 | (0.89 | )% | (0.40 | )% | 1D EONIA | 1M/T | 11,677 | ||||||||
MS | Tesla, Inc. | USD | (87,962 | ) | 12/14/2021 | (0.25 | )% | (0.35 | )% | 1D FEDEF | 1M/T | (2,221 | ) | |||||||
JPM | Valmet OYJ | EUR | (110,238 | ) | 7/8/2022 | (1.06 | )% | (0.50 | )% | 1M EURIBOR | 1M/T | 3,328 | ||||||||
MS | Vinci SA | EUR | (155,225 | ) | 12/9/2021 | (0.84 | )% | (0.35 | )% | 1D EONIA | 1M/T | 2,588 | ||||||||
JPM | Volvo AB | SEK | (281,822 | ) | 6/20/2022 | (0.56 | )% | (0.50 | )% | 1M STIBOR | 1M/T | 3,549 | ||||||||
JPM | Westinghouse Air Brake Technologies Corp. | USD | (290,510 | ) | 4/21/2022 | (0.31 | )% | (0.40 | )% | 1M USD LIBOR | 1M/T | (18,787 | ) |
Total Short Positions of equity swaps | $ | (602,394 | ) | |
Total Long and Short Positions of equity swaps | $ | 413,125 | ||
Total Financing Costs and Other Receivables/(Payables) of equity swaps | $ | (14,805 | ) | |
Total Long and Short Positions including Financing Costs and Other Receivables/(Payables) of equity swaps | $ | 398,320 |
(a) | The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. | |
(b) | Effective rate at July 31, 2021. | |
(c) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. |
Total return basket swap contracts ("total return basket swaps") |
At July 31, 2021, the Fund had outstanding total return basket swaps(a) as follows: |
Over the counter total return basket swaps—Short(b) |
Counterparty | Reference Entity | Effective Variable Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||
JPM | JPCR336 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/21/2022 | $ | (5,282 | ) | |||||||||
JPM | JPCR337 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/22/2022 | (7,106 | ) | ||||||||||
JPM | JPCR338 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/25/2022 | (3,821 | ) | ||||||||||
JPM | JPCR339 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/26/2022 | (3,330 | ) | ||||||||||
JPM | JPCR340 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/27/2022 | (1,717 | ) | ||||||||||
JPM | JPCR341 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/28/2022 | (224 | ) | ||||||||||
JPM | JPCR342 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/29/2022 | (1,384 | ) | ||||||||||
JPM | JPCR343 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 7/29/2022 | (1,907 | ) | ||||||||||
JPM | JPCR344 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 8/2/2022 | (52 | ) | ||||||||||
JPM | JPCR345 | (0.21 | )% | (0.30 | )% | 1M USD LIBOR | 1M/T | 8/3/2022 | (588 | ) | ||||||||||
Total | $ | (25,411 | ) |
(a) The following tables represent required component disclosures associated with the total return basket swaps:
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR336 | ||||||||||||||||
Roku Inc | (50 | ) | $ | (23,979 | ) | $ | (167 | ) | 7.6 | % | ||||||
Sysco Corp | (277 | ) | (23,213 | ) | (161 | ) | 7.5 | % | ||||||||
Altria Group Inc | (420 | ) | (22,739 | ) | (158 | ) | 7.3 | % | ||||||||
Philip Morris International Inc | (201 | ) | (22,663 | ) | (158 | ) | 7.2 | % | ||||||||
Realty Income Corp | (286 | ) | (22,628 | ) | (157 | ) | 7.2 | % | ||||||||
PepsiCo Inc | (127 | ) | (22,556 | ) | (157 | ) | 7.2 | % | ||||||||
Duke Energy Corp | (190 | ) | (22,468 | ) | (156 | ) | 7.2 | % | ||||||||
Constellation Brands Inc | (89 | ) | (22,426 | ) | (156 | ) | 7.1 | % | ||||||||
Hershey Co/The | (110 | ) | (22,255 | ) | (155 | ) | 7.1 | % | ||||||||
Kellogg Co | (309 | ) | (22,080 | ) | (153 | ) | 7.0 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR336 (cont’d) | ||||||||||||||||
General Mills Inc | (331 | ) | $ | (21,950 | ) | $ | (153 | ) | 7.0 | % | ||||||
Clorox Co/The | (107 | ) | (21,741 | ) | (151 | ) | 6.9 | % | ||||||||
Hormel Foods Corp | (412 | ) | (21,516 | ) | (150 | ) | 6.9 | % | ||||||||
McCormick & Co Inc/MD | (226 | ) | (21,443 | ) | (149 | ) | 6.8 | % | ||||||||
$ | (313,657 | ) | $ | (2,181 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (3101 | ) | ||||||||||||||
$ | (5,282 | ) | ||||||||||||||
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR337 | ||||||||||||||||
Roku Inc | (209 | ) | $ | (80,760 | ) | $ | (1,748 | ) | 25.6 | % | ||||||
Realty Income Corp | (1,237 | ) | (78,653 | ) | (1,703 | ) | 25.0 | % | ||||||||
Zillow Group Inc | (811 | ) | (77,967 | ) | (1,688 | ) | 24.7 | % | ||||||||
Duke Energy Corp | (818 | ) | (77,777 | ) | (1,684 | ) | 24.7 | % | ||||||||
$ | (315,157 | ) | $ | (6,823 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (283 | ) | ||||||||||||||
$ | (7,106 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR338 | ||||||||||||||||
Align Technology Inc | (7 | ) | $ | (4,861 | ) | $ | (54 | ) | 1.5 | % | ||||||
West Pharmaceutical Services Inc | (12 | ) | (4,752 | ) | (53 | ) | 1.5 | % | ||||||||
Albemarle Corp | (23 | ) | (4,733 | ) | (53 | ) | 1.5 | % | ||||||||
Restaurant Brands International Inc | (69 | ) | (4,674 | ) | (52 | ) | 1.5 | % | ||||||||
Fiserv Inc | (40 | ) | (4,549 | ) | (51 | ) | 1.4 | % | ||||||||
Philip Morris International Inc | (46 | ) | (4,535 | ) | (51 | ) | 1.4 | % | ||||||||
ANSYS Inc | (12 | ) | (4,517 | ) | (50 | ) | 1.4 | % | ||||||||
Arista Networks Inc | (12 | ) | (4,499 | ) | (50 | ) | 1.4 | % | ||||||||
LyondellBasell Industries NV | (46 | ) | (4,497 | ) | (50 | ) | 1.4 | % | ||||||||
Lululemon Athletica Inc | (11 | ) | (4,490 | ) | (50 | ) | 1.4 | % | ||||||||
Pfizer Inc | (105 | ) | (4,486 | ) | (50 | ) | 1.4 | % | ||||||||
CDW Corp/DE | (25 | ) | (4,475 | ) | (50 | ) | 1.4 | % | ||||||||
Rockwell Automation Inc | (15 | ) | (4,468 | ) | (50 | ) | 1.4 | % | ||||||||
Emerson Electric Co | (45 | ) | (4,468 | ) | (50 | ) | 1.4 | % | ||||||||
McDonald's Corp | (18 | ) | (4,456 | ) | (50 | ) | 1.4 | % | ||||||||
Starbucks Corp | (37 | ) | (4,448 | ) | (50 | ) | 1.4 | % | ||||||||
Cisco Systems Inc/Delaware | (81 | ) | (4,445 | ) | (50 | ) | 1.4 | % | ||||||||
Costco Wholesale Corp | (10 | ) | (4,440 | ) | (50 | ) | 1.4 | % | ||||||||
Estee Lauder Cos Inc/The | (13 | ) | (4,439 | ) | (50 | ) | 1.4 | % | ||||||||
Automatic Data Processing Inc | (21 | ) | (4,439 | ) | (50 | ) | 1.4 | % | ||||||||
Ecolab Inc | (20 | ) | (4,434 | ) | (49 | ) | 1.4 | % | ||||||||
Zscaler Inc | (19 | ) | (4,429 | ) | (49 | ) | 1.4 | % | ||||||||
Fidelity National Information Services I | (30 | ) | (4,427 | ) | (49 | ) | 1.4 | % | ||||||||
Micron Technology Inc | (57 | ) | (4,426 | ) | (49 | ) | 1.4 | % | ||||||||
Dollar General Corp | (19 | ) | (4,420 | ) | (49 | ) | 1.4 | % | ||||||||
Roku Inc | (10 | ) | (4,416 | ) | (49 | ) | 1.4 | % | ||||||||
Agilent Technologies Inc | (29 | ) | (4,414 | ) | (49 | ) | 1.4 | % | ||||||||
VF Corp | (55 | ) | (4,413 | ) | (49 | ) | 1.4 | % | ||||||||
Eaton Corp PLC | (28 | ) | (4,412 | ) | (49 | ) | 1.4 | % | ||||||||
Target Corp | (17 | ) | (4,408 | ) | (49 | ) | 1.4 | % | ||||||||
Motorola Solutions Inc | (20 | ) | (4,406 | ) | (49 | ) | 1.4 | % | ||||||||
Walgreens Boots Alliance Inc | (94 | ) | (4,403 | ) | (49 | ) | 1.4 | % | ||||||||
Sysco Corp | (60 | ) | (4,392 | ) | (49 | ) | 1.4 | % | ||||||||
Mettler-Toledo International Inc | (3 | ) | (4,391 | ) | (49 | ) | 1.4 | % | ||||||||
Fox Corp | (124 | ) | (4,386 | ) | (49 | ) | 1.4 | % | ||||||||
Altria Group Inc | (92 | ) | (4,377 | ) | (49 | ) | 1.4 | % | ||||||||
Best Buy Co Inc | (39 | ) | (4,369 | ) | (49 | ) | 1.4 | % | ||||||||
Duke Energy Corp | (42 | ) | (4,358 | ) | (49 | ) | 1.4 | % | ||||||||
Cintas Corp | (11 | ) | (4,356 | ) | (49 | ) | 1.4 | % | ||||||||
General Motors Co | (77 | ) | (4,354 | ) | (49 | ) | 1.4 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR338 (cont’d) | ||||||||||||||||
Fastenal Co | (80 | ) | $ | (4,350 | ) | $ | (49 | ) | 1.4 | % | ||||||
Home Depot Inc/The | (13 | ) | (4,339 | ) | (48 | ) | 1.4 | % | ||||||||
PepsiCo Inc | (28 | ) | (4,332 | ) | (48 | ) | 1.4 | % | ||||||||
CVS Health Corp | (53 | ) | (4,331 | ) | (48 | ) | 1.4 | % | ||||||||
AT&T Inc | (155 | ) | (4,323 | ) | (48 | ) | 1.4 | % | ||||||||
Western Digital Corp | (67 | ) | (4,320 | ) | (48 | ) | 1.4 | % | ||||||||
Kroger Co/The | (107 | ) | (4,315 | ) | (48 | ) | 1.4 | % | ||||||||
Ford Motor Co | (311 | ) | (4,314 | ) | (48 | ) | 1.4 | % | ||||||||
Apple Inc | (30 | ) | (4,293 | ) | (48 | ) | 1.4 | % | ||||||||
HCA Healthcare Inc | (17 | ) | (4,289 | ) | (48 | ) | 1.3 | % | ||||||||
Moody's Corp | (12 | ) | (4,286 | ) | (48 | ) | 1.3 | % | ||||||||
Constellation Brands Inc | (19 | ) | (4,285 | ) | (48 | ) | 1.3 | % | ||||||||
Church & Dwight Co Inc | (50 | ) | (4,281 | ) | (48 | ) | 1.3 | % | ||||||||
O'Reilly Automotive Inc | (7 | ) | (4,276 | ) | (48 | ) | 1.3 | % | ||||||||
Caterpillar Inc | (21 | ) | (4,276 | ) | (48 | ) | 1.3 | % | ||||||||
Hershey Co/The | (24 | ) | (4,268 | ) | (48 | ) | 1.3 | % | ||||||||
Clorox Co/The | (24 | ) | (4,266 | ) | (48 | ) | 1.3 | % | ||||||||
International Paper Co | (74 | ) | (4,265 | ) | (48 | ) | 1.3 | % | ||||||||
DocuSign Inc | (14 | ) | (4,255 | ) | (48 | ) | 1.3 | % | ||||||||
3M Co | (22 | ) | (4,240 | ) | (47 | ) | 1.3 | % | ||||||||
Tractor Supply Co | (24 | ) | (4,238 | ) | (47 | ) | 1.3 | % | ||||||||
Kellogg Co | (67 | ) | (4,232 | ) | (47 | ) | 1.3 | % | ||||||||
Zillow Group Inc | (40 | ) | (4,232 | ) | (47 | ) | 1.3 | % | ||||||||
General Mills Inc | (72 | ) | (4,225 | ) | (47 | ) | 1.3 | % | ||||||||
Cummins Inc | (18 | ) | (4,196 | ) | (47 | ) | 1.3 | % | ||||||||
Magna International Inc | (50 | ) | (4,191 | ) | (47 | ) | 1.3 | % | ||||||||
Hormel Foods Corp | (90 | ) | (4,167 | ) | (47 | ) | 1.3 | % | ||||||||
WW Grainger Inc | (9 | ) | (4,161 | ) | (46 | ) | 1.3 | % | ||||||||
Stanley Black & Decker Inc | (21 | ) | (4,156 | ) | (46 | ) | 1.3 | % | ||||||||
McCormick & Co Inc/MD | (49 | ) | (4,128 | ) | (46 | ) | 1.3 | % | ||||||||
PACCAR Inc | (49 | ) | (4,052 | ) | (45 | ) | 1.3 | % | ||||||||
Humana Inc | (9 | ) | (3,978 | ) | (44 | ) | 1.2 | % | ||||||||
United Parcel Service Inc | (20 | ) | (3,874 | ) | (43 | ) | 1.2 | % | ||||||||
$ | (318,396 | ) | $ | (3,553 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (268 | ) | ||||||||||||||
$ | (3,821 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR339 | ||||||||||||||||
Align Technology Inc | (9 | ) | $ | (6,166 | ) | $ | (59 | ) | 1.9 | % | ||||||
West Pharmaceutical Services Inc | (16 | ) | (6,145 | ) | (59 | ) | 1.9 | % | ||||||||
Cognizant Technology Solutions Corp | (86 | ) | (5,960 | ) | (57 | ) | 1.9 | % | ||||||||
Albemarle Corp | (31 | ) | (5,948 | ) | (57 | ) | 1.8 | % | ||||||||
Restaurant Brands International Inc | (92 | ) | (5,886 | ) | (57 | ) | 1.8 | % | ||||||||
Fiserv Inc | (53 | ) | (5,745 | ) | (55 | ) | 1.8 | % | ||||||||
Pfizer Inc | (143 | ) | (5,731 | ) | (55 | ) | 1.8 | % | ||||||||
Lululemon Athletica Inc | (15 | ) | (5,728 | ) | (55 | ) | 1.8 | % | ||||||||
ANSYS Inc | (17 | ) | (5,710 | ) | (55 | ) | 1.8 | % | ||||||||
Dollar General Corp | (26 | ) | (5,698 | ) | (55 | ) | 1.8 | % | ||||||||
Arista Networks Inc | (16 | ) | (5,689 | ) | (55 | ) | 1.8 | % | ||||||||
Costco Wholesale Corp | (14 | ) | (5,686 | ) | (55 | ) | 1.8 | % | ||||||||
CDW Corp/DE | (33 | ) | (5,681 | ) | (55 | ) | 1.8 | % | ||||||||
Rockwell Automation Inc | (20 | ) | (5,660 | ) | (55 | ) | 1.8 | % | ||||||||
McDonald's Corp | (25 | ) | (5,649 | ) | (54 | ) | 1.8 | % | ||||||||
Mettler-Toledo International Inc | (4 | ) | (5,648 | ) | (54 | ) | 1.8 | % | ||||||||
Cisco Systems Inc/Delaware | (109 | ) | (5,643 | ) | (54 | ) | 1.8 | % | ||||||||
Emerson Electric Co | (60 | ) | (5,638 | ) | (54 | ) | 1.8 | % | ||||||||
Automatic Data Processing Inc | (29 | ) | (5,630 | ) | (54 | ) | 1.8 | % | ||||||||
Fidelity National Information Services I | (40 | ) | (5,627 | ) | (54 | ) | 1.7 | % | ||||||||
LyondellBasell Industries NV | (60 | ) | (5,619 | ) | (54 | ) | 1.7 | % | ||||||||
Zscaler Inc | (25 | ) | (5,607 | ) | (54 | ) | 1.7 | % | ||||||||
Motorola Solutions Inc | (27 | ) | (5,604 | ) | (54 | ) | 1.7 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR339 (cont’d) | ||||||||||||||||
Target Corp | (23 | ) | $ | (5,599 | ) | $ | (54 | ) | 1.7 | % | ||||||
Starbucks Corp | (49 | ) | (5,591 | ) | (54 | ) | 1.7 | % | ||||||||
Eaton Corp PLC | (38 | ) | (5,577 | ) | (54 | ) | 1.7 | % | ||||||||
Roku Inc | (14 | ) | (5,572 | ) | (54 | ) | 1.7 | % | ||||||||
Best Buy Co Inc | (53 | ) | (5,569 | ) | (54 | ) | 1.7 | % | ||||||||
Walgreens Boots Alliance Inc | (126 | ) | (5,548 | ) | (53 | ) | 1.7 | % | ||||||||
Fastenal Co | (108 | ) | (5,545 | ) | (53 | ) | 1.7 | % | ||||||||
Home Depot Inc/The | (18 | ) | (5,522 | ) | (53 | ) | 1.7 | % | ||||||||
AT&T Inc | (210 | ) | (5,521 | ) | (53 | ) | 1.7 | % | ||||||||
Cintas Corp | (15 | ) | (5,520 | ) | (53 | ) | 1.7 | % | ||||||||
Micron Technology Inc | (76 | ) | (5,519 | ) | (53 | ) | 1.7 | % | ||||||||
VF Corp | (73 | ) | (5,510 | ) | (53 | ) | 1.7 | % | ||||||||
Apple Inc | (40 | ) | (5,509 | ) | (53 | ) | 1.7 | % | ||||||||
Realty Income Corp | (83 | ) | (5,500 | ) | (53 | ) | 1.7 | % | ||||||||
O'Reilly Automotive Inc | (10 | ) | (5,487 | ) | (53 | ) | 1.7 | % | ||||||||
Tractor Supply Co | (32 | ) | (5,485 | ) | (53 | ) | 1.7 | % | ||||||||
General Motors Co | (103 | ) | (5,471 | ) | (53 | ) | 1.7 | % | ||||||||
HCA Healthcare Inc | (23 | ) | (5,468 | ) | (53 | ) | 1.7 | % | ||||||||
Moody's Corp | (15 | ) | (5,448 | ) | (53 | ) | 1.7 | % | ||||||||
CVS Health Corp | (70 | ) | (5,445 | ) | (53 | ) | 1.7 | % | ||||||||
International Paper Co | (100 | ) | (5,425 | ) | (52 | ) | 1.7 | % | ||||||||
3M Co | (29 | ) | (5,414 | ) | (52 | ) | 1.7 | % | ||||||||
Fox Corp | (162 | ) | (5,411 | ) | (52 | ) | 1.7 | % | ||||||||
DocuSign Inc | (19 | ) | (5,405 | ) | (52 | ) | 1.7 | % | ||||||||
Ford Motor Co | (413 | ) | (5,399 | ) | (52 | ) | 1.7 | % | ||||||||
Caterpillar Inc | (28 | ) | (5,388 | ) | (52 | ) | 1.7 | % | ||||||||
WW Grainger Inc | (13 | ) | (5,334 | ) | (51 | ) | 1.7 | % | ||||||||
Cummins Inc | (24 | ) | (5,325 | ) | (51 | ) | 1.7 | % | ||||||||
Stanley Black & Decker Inc | (29 | ) | (5,298 | ) | (51 | ) | 1.6 | % | ||||||||
Magna International Inc | (67 | ) | (5,278 | ) | (51 | ) | 1.6 | % | ||||||||
Zillow Group Inc | (52 | ) | (5,226 | ) | (50 | ) | 1.6 | % | ||||||||
PACCAR Inc | (66 | ) | (5,170 | ) | (50 | ) | 1.6 | % | ||||||||
Generac Holdings Inc | (13 | ) | (5,148 | ) | (50 | ) | 1.6 | % | ||||||||
Humana Inc | (13 | ) | (5,046 | ) | (49 | ) | 1.6 | % | ||||||||
United Parcel Service Inc | (28 | ) | (4,946 | ) | (48 | ) | 1.5 | % | ||||||||
$ | (321,717 | ) | $ | (3,098 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (232 | ) | ||||||||||||||
$ | (3,330 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR340 | ||||||||||||||||
Align Technology Inc | (9 | ) | $ | (5,963 | ) | $ | (28 | ) | 1.9 | % | ||||||
West Pharmaceutical Services Inc | (15 | ) | (5,924 | ) | (28 | ) | 1.9 | % | ||||||||
Cognizant Technology Solutions Corp | (85 | ) | (5,809 | ) | (27 | ) | 1.8 | % | ||||||||
Albemarle Corp | (30 | ) | (5,752 | ) | (27 | ) | 1.8 | % | ||||||||
Restaurant Brands International Inc | (89 | ) | (5,653 | ) | (26 | ) | 1.8 | % | ||||||||
Fiserv Inc | (53 | ) | (5,629 | ) | (26 | ) | 1.8 | % | ||||||||
Emerson Electric Co | (59 | ) | (5,572 | ) | (26 | ) | 1.8 | % | ||||||||
LyondellBasell Industries NV | (60 | ) | (5,568 | ) | (26 | ) | 1.7 | % | ||||||||
Rockwell Automation Inc | (19 | ) | (5,560 | ) | (26 | ) | 1.7 | % | ||||||||
CDW Corp/DE | (33 | ) | (5,560 | ) | (26 | ) | 1.7 | % | ||||||||
Pfizer Inc | (140 | ) | (5,555 | ) | (26 | ) | 1.7 | % | ||||||||
Dollar General Corp | (26 | ) | (5,549 | ) | (26 | ) | 1.7 | % | ||||||||
Automatic Data Processing Inc | (28 | ) | (5,549 | ) | (26 | ) | 1.7 | % | ||||||||
Costco Wholesale Corp | (14 | ) | (5,538 | ) | (26 | ) | 1.7 | % | ||||||||
ANSYS Inc | (16 | ) | (5,535 | ) | (26 | ) | 1.7 | % | ||||||||
Micron Technology Inc | (77 | ) | (5,527 | ) | (26 | ) | 1.7 | % | ||||||||
General Motors Co | (104 | ) | (5,497 | ) | (26 | ) | 1.7 | % | ||||||||
Best Buy Co Inc | (53 | ) | (5,497 | ) | (26 | ) | 1.7 | % | ||||||||
Fidelity National Information Services I | (40 | ) | (5,490 | ) | (26 | ) | 1.7 | % | ||||||||
Arista Networks Inc | (16 | ) | (5,482 | ) | (26 | ) | 1.7 | % | ||||||||
Roku Inc | (14 | ) | (5,479 | ) | (26 | ) | 1.7 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR340 (cont’d) | ||||||||||||||||
Motorola Solutions Inc | (26 | ) | $ | (5,474 | ) | $ | (25 | ) | 1.7 | % | ||||||
McDonald's Corp | (24 | ) | (5,472 | ) | (25 | ) | 1.7 | % | ||||||||
Fastenal Co | (108 | ) | (5,467 | ) | (25 | ) | 1.7 | % | ||||||||
Target Corp | (23 | ) | (5,466 | ) | (25 | ) | 1.7 | % | ||||||||
Cisco Systems Inc/Delaware | (106 | ) | (5,463 | ) | (25 | ) | 1.7 | % | ||||||||
Walgreens Boots Alliance Inc | (125 | ) | (5,458 | ) | (25 | ) | 1.7 | % | ||||||||
Eaton Corp PLC | (37 | ) | (5,450 | ) | (25 | ) | 1.7 | % | ||||||||
Lululemon Athletica Inc | (15 | ) | (5,440 | ) | (25 | ) | 1.7 | % | ||||||||
Mettler-Toledo International Inc | (4 | ) | (5,433 | ) | (25 | ) | 1.7 | % | ||||||||
Cintas Corp | (15 | ) | (5,424 | ) | (25 | ) | 1.7 | % | ||||||||
HCA Healthcare Inc | (23 | ) | (5,412 | ) | (25 | ) | 1.7 | % | ||||||||
Realty Income Corp | (83 | ) | (5,411 | ) | (25 | ) | 1.7 | % | ||||||||
Home Depot Inc/The | (18 | ) | (5,406 | ) | (25 | ) | 1.7 | % | ||||||||
Ford Motor Co | (417 | ) | (5,397 | ) | (25 | ) | 1.7 | % | ||||||||
AT&T Inc | (207 | ) | (5,389 | ) | (25 | ) | 1.7 | % | ||||||||
Zscaler Inc | (25 | ) | (5,389 | ) | (25 | ) | 1.7 | % | ||||||||
International Paper Co | (100 | ) | (5,372 | ) | (25 | ) | 1.7 | % | ||||||||
VF Corp | (72 | ) | (5,369 | ) | (25 | ) | 1.7 | % | ||||||||
CVS Health Corp | (70 | ) | (5,364 | ) | (25 | ) | 1.7 | % | ||||||||
3M Co | (29 | ) | (5,351 | ) | (25 | ) | 1.7 | % | ||||||||
Apple Inc | (39 | ) | (5,347 | ) | (25 | ) | 1.7 | % | ||||||||
Tractor Supply Co | (32 | ) | (5,337 | ) | (25 | ) | 1.7 | % | ||||||||
O'Reilly Automotive Inc | (10 | ) | (5,335 | ) | (25 | ) | 1.7 | % | ||||||||
Fox Corp | (161 | ) | (5,330 | ) | (25 | ) | 1.7 | % | ||||||||
Starbucks Corp | (47 | ) | (5,329 | ) | (25 | ) | 1.7 | % | ||||||||
Caterpillar Inc | (28 | ) | (5,319 | ) | (25 | ) | 1.7 | % | ||||||||
Magna International Inc | (68 | ) | (5,309 | ) | (25 | ) | 1.7 | % | ||||||||
Moody's Corp | (15 | ) | (5,308 | ) | (25 | ) | 1.7 | % | ||||||||
WW Grainger Inc | (13 | ) | (5,265 | ) | (25 | ) | 1.6 | % | ||||||||
Cummins Inc | (24 | ) | (5,260 | ) | (25 | ) | 1.6 | % | ||||||||
Domino's Pizza Inc | (11 | ) | (5,248 | ) | (24 | ) | 1.6 | % | ||||||||
Stanley Black & Decker Inc | (29 | ) | (5,242 | ) | (24 | ) | 1.6 | % | ||||||||
DocuSign Inc | (19 | ) | (5,207 | ) | (24 | ) | 1.6 | % | ||||||||
Zillow Group Inc | (52 | ) | (5,169 | ) | (24 | ) | 1.6 | % | ||||||||
PACCAR Inc | (67 | ) | (5,125 | ) | (24 | ) | 1.6 | % | ||||||||
Generac Holdings Inc | (13 | ) | (5,076 | ) | (24 | ) | 1.6 | % | ||||||||
Humana Inc | (13 | ) | (4,942 | ) | (23 | ) | 1.5 | % | ||||||||
United Parcel Service Inc | (27 | ) | (4,829 | ) | (23 | ) | 1.5 | % | ||||||||
$ | (320,072 | ) | $ | (1,492 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (225 | ) | ||||||||||||||
$ | (1,717 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR341 | ||||||||||||||||
Align Technology Inc | (7 | ) | $ | (4,644 | ) | $ | (1 | ) | 1.5 | % | ||||||
Albemarle Corp | (23 | ) | (4,611 | ) | (1 | ) | 1.5 | % | ||||||||
West Pharmaceutical Services Inc | (12 | ) | (4,603 | ) | (1 | ) | 1.4 | % | ||||||||
Cognizant Technology Solutions Corp | (63 | ) | (4,521 | ) | (1 | ) | 1.4 | % | ||||||||
Magna International Inc | (54 | ) | (4,413 | ) | (1 | ) | 1.4 | % | ||||||||
General Motors Co | (80 | ) | (4,407 | ) | (1 | ) | 1.4 | % | ||||||||
Restaurant Brands International Inc | (66 | ) | (4,406 | ) | (1 | ) | 1.4 | % | ||||||||
Fiserv Inc | (39 | ) | (4,386 | ) | (1 | ) | 1.4 | % | ||||||||
LyondellBasell Industries NV | (45 | ) | (4,381 | ) | (1 | ) | 1.4 | % | ||||||||
Rockwell Automation Inc | (15 | ) | (4,376 | ) | (1 | ) | 1.4 | % | ||||||||
Pfizer Inc | (105 | ) | (4,375 | ) | (1 | ) | 1.4 | % | ||||||||
Emerson Electric Co | (44 | ) | (4,364 | ) | (1 | ) | 1.4 | % | ||||||||
Micron Technology Inc | (58 | ) | (4,352 | ) | (1 | ) | 1.4 | % | ||||||||
Kroger Co/The | (110 | ) | (4,346 | ) | (1 | ) | 1.4 | % | ||||||||
Sysco Corp | (60 | ) | (4,338 | ) | (1 | ) | 1.4 | % | ||||||||
Automatic Data Processing Inc | (21 | ) | (4,333 | ) | (1 | ) | 1.4 | % | ||||||||
Philip Morris International Inc | (45 | ) | (4,333 | ) | (1 | ) | 1.4 | % | ||||||||
Dollar General Corp | (19 | ) | (4,330 | ) | (1 | ) | 1.4 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR341 (cont’d) | ||||||||||||||||
Costco Wholesale Corp | (10 | ) | $ | (4,323 | ) | $ | (1 | ) | 1.4 | % | ||||||
Ecolab Inc | (20 | ) | (4,317 | ) | (1 | ) | 1.4 | % | ||||||||
Walgreens Boots Alliance Inc | (94 | ) | (4,317 | ) | (1 | ) | 1.4 | % | ||||||||
CDW Corp/DE | (24 | ) | (4,316 | ) | (1 | ) | 1.4 | % | ||||||||
Altria Group Inc | (92 | ) | (4,309 | ) | (1 | ) | 1.4 | % | ||||||||
Motorola Solutions Inc | (20 | ) | (4,303 | ) | (1 | ) | 1.4 | % | ||||||||
Ford Motor Co | (317 | ) | (4,300 | ) | (1 | ) | 1.4 | % | ||||||||
Eaton Corp PLC | (28 | ) | (4,296 | ) | (1 | ) | 1.4 | % | ||||||||
ANSYS Inc | (12 | ) | (4,296 | ) | (1 | ) | 1.4 | % | ||||||||
Duke Energy Corp | (42 | ) | (4,286 | ) | (1 | ) | 1.3 | % | ||||||||
Cisco Systems Inc/Delaware | (79 | ) | (4,271 | ) | (1 | ) | 1.3 | % | ||||||||
Fastenal Co | (80 | ) | (4,270 | ) | (1 | ) | 1.3 | % | ||||||||
Fidelity National Information Services I | (29 | ) | (4,266 | ) | (1 | ) | 1.3 | % | ||||||||
Church & Dwight Co Inc | (51 | ) | (4,265 | ) | (1 | ) | 1.3 | % | ||||||||
Estee Lauder Cos Inc/The | (13 | ) | (4,264 | ) | (1 | ) | 1.3 | % | ||||||||
Target Corp | (17 | ) | (4,260 | ) | (1 | ) | 1.3 | % | ||||||||
Domino's Pizza Inc | (8 | ) | (4,260 | ) | (1 | ) | 1.3 | % | ||||||||
McDonald's Corp | (18 | ) | (4,256 | ) | (1 | ) | 1.3 | % | ||||||||
Kellogg Co | (69 | ) | (4,255 | ) | – | 1.3 | % | |||||||||
Constellation Brands Inc | (20 | ) | (4,255 | ) | – | 1.3 | % | |||||||||
HCA Healthcare Inc | (18 | ) | (4,255 | ) | (1 | ) | 1.3 | % | ||||||||
PepsiCo Inc | (28 | ) | (4,254 | ) | – | 1.3 | % | |||||||||
Arista Networks Inc | (12 | ) | (4,253 | ) | – | 1.3 | % | |||||||||
Hershey Co/The | (24 | ) | (4,251 | ) | – | 1.3 | % | |||||||||
Mettler-Toledo International Inc | (3 | ) | (4,250 | ) | – | 1.3 | % | |||||||||
Realty Income Corp | (62 | ) | (4,248 | ) | – | 1.3 | % | |||||||||
Cintas Corp | (11 | ) | (4,247 | ) | – | 1.3 | % | |||||||||
AT&T Inc | (155 | ) | (4,245 | ) | – | 1.3 | % | |||||||||
International Paper Co | (75 | ) | (4,236 | ) | – | 1.3 | % | |||||||||
Lululemon Athletica Inc | (11 | ) | (4,232 | ) | – | 1.3 | % | |||||||||
Best Buy Co Inc | (39 | ) | (4,225 | ) | – | 1.3 | % | |||||||||
General Mills Inc | (74 | ) | (4,221 | ) | – | 1.3 | % | |||||||||
CVS Health Corp | (53 | ) | (4,213 | ) | – | 1.3 | % | |||||||||
Zscaler Inc | (18 | ) | (4,210 | ) | – | 1.3 | % | |||||||||
3M Co | (22 | ) | (4,206 | ) | – | 1.3 | % | |||||||||
Caterpillar Inc | (21 | ) | (4,203 | ) | – | 1.3 | % | |||||||||
Home Depot Inc/The | (13 | ) | (4,200 | ) | – | 1.3 | % | |||||||||
Fox Corp | (121 | ) | (4,198 | ) | – | 1.3 | % | |||||||||
Moody's Corp | (11 | ) | (4,195 | ) | – | 1.3 | % | |||||||||
McCormick & Co Inc/MD | (51 | ) | (4,183 | ) | – | 1.3 | % | |||||||||
Apple Inc | (29 | ) | (4,183 | ) | – | 1.3 | % | |||||||||
Hormel Foods Corp | (92 | ) | (4,174 | ) | – | 1.3 | % | |||||||||
Clorox Co/The | (24 | ) | (4,170 | ) | – | 1.3 | % | |||||||||
Cummins Inc | (18 | ) | (4,164 | ) | – | 1.3 | % | |||||||||
O'Reilly Automotive Inc | (7 | ) | (4,143 | ) | – | 1.3 | % | |||||||||
WW Grainger Inc | (10 | ) | (4,129 | ) | – | 1.3 | % | |||||||||
DocuSign Inc | (14 | ) | (4,115 | ) | – | 1.3 | % | |||||||||
VF Corp | (53 | ) | (4,112 | ) | – | 1.3 | % | |||||||||
Stanley Black & Decker Inc | (21 | ) | (4,111 | ) | – | 1.3 | % | |||||||||
Starbucks Corp | (35 | ) | (4,106 | ) | – | 1.3 | % | |||||||||
Tractor Supply Co | (23 | ) | (4,106 | ) | – | 1.3 | % | |||||||||
Zillow Group Inc | (39 | ) | (4,055 | ) | – | 1.3 | % | |||||||||
PACCAR Inc | (50 | ) | (4,037 | ) | – | 1.3 | % | |||||||||
Generac Holdings Inc | (10 | ) | (3,973 | ) | – | 1.2 | % | |||||||||
Roku Inc | (9 | ) | (3,852 | ) | – | 1.2 | % | |||||||||
United Parcel Service Inc | (21 | ) | (3,852 | ) | – | 1.2 | % | |||||||||
Humana Inc | (9 | ) | (3,850 | ) | – | 1.2 | % | |||||||||
$ | (318,861 | ) | $ | (37 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (187 | ) | ||||||||||||||
$ | (224 | ) | ||||||||||||||
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR342 | ||||||||||||||||
Align Technology Inc | (7 | ) | $ | (4,617 | ) | $ | (19 | ) | 1.4 | % | ||||||
West Pharmaceutical Services Inc | (12 | ) | (4,599 | ) | (18 | ) | 1.4 | % | ||||||||
Cognizant Technology Solutions Corp | (64 | ) | (4,466 | ) | (18 | ) | 1.4 | % | ||||||||
Albemarle Corp | (23 | ) | (4,459 | ) | (18 | ) | 1.4 | % | ||||||||
Restaurant Brands International Inc | (68 | ) | (4,397 | ) | (18 | ) | 1.4 | % | ||||||||
Fiserv Inc | (40 | ) | (4,359 | ) | (17 | ) | 1.4 | % | ||||||||
Rockwell Automation Inc | (15 | ) | (4,353 | ) | (17 | ) | 1.4 | % | ||||||||
Emerson Electric Co | (45 | ) | (4,326 | ) | (17 | ) | 1.4 | % | ||||||||
Magna International Inc | (55 | ) | (4,325 | ) | (17 | ) | 1.4 | % | ||||||||
Pfizer Inc | (107 | ) | (4,318 | ) | (17 | ) | 1.4 | % | ||||||||
Kroger Co/The | (112 | ) | (4,313 | ) | (17 | ) | 1.4 | % | ||||||||
Agilent Technologies Inc | (30 | ) | (4,301 | ) | (17 | ) | 1.4 | % | ||||||||
Waters Corp | (12 | ) | (4,300 | ) | (17 | ) | 1.4 | % | ||||||||
General Motors Co | (80 | ) | (4,298 | ) | (17 | ) | 1.4 | % | ||||||||
Micron Technology Inc | (59 | ) | (4,288 | ) | (17 | ) | 1.4 | % | ||||||||
Automatic Data Processing Inc | (22 | ) | (4,286 | ) | (17 | ) | 1.3 | % | ||||||||
Costco Wholesale Corp | (11 | ) | (4,282 | ) | (17 | ) | 1.3 | % | ||||||||
ANSYS Inc | (12 | ) | (4,278 | ) | (17 | ) | 1.3 | % | ||||||||
Cintas Corp | (12 | ) | (4,275 | ) | (17 | ) | 1.3 | % | ||||||||
Eaton Corp PLC | (29 | ) | (4,272 | ) | (17 | ) | 1.3 | % | ||||||||
Lululemon Athletica Inc | (11 | ) | (4,267 | ) | (17 | ) | 1.3 | % | ||||||||
Dollar General Corp | (19 | ) | (4,266 | ) | (17 | ) | 1.3 | % | ||||||||
Philip Morris International Inc | (45 | ) | (4,262 | ) | (17 | ) | 1.3 | % | ||||||||
Western Digital Corp | (70 | ) | (4,260 | ) | (17 | ) | 1.3 | % | ||||||||
HCA Healthcare Inc | (18 | ) | (4,259 | ) | (17 | ) | 1.3 | % | ||||||||
CDW Corp/DE | (25 | ) | (4,258 | ) | (17 | ) | 1.3 | % | ||||||||
Altria Group Inc | (94 | ) | (4,255 | ) | (17 | ) | 1.3 | % | ||||||||
Arista Networks Inc | (12 | ) | (4,251 | ) | (17 | ) | 1.3 | % | ||||||||
LyondellBasell Industries NV | (45 | ) | (4,250 | ) | (17 | ) | 1.3 | % | ||||||||
Fastenal Co | (82 | ) | (4,250 | ) | (17 | ) | 1.3 | % | ||||||||
Ecolab Inc | (20 | ) | (4,250 | ) | (17 | ) | 1.3 | % | ||||||||
Zscaler Inc | (19 | ) | (4,242 | ) | (17 | ) | 1.3 | % | ||||||||
Motorola Solutions Inc | (20 | ) | (4,241 | ) | (17 | ) | 1.3 | % | ||||||||
Duke Energy Corp | (43 | ) | (4,238 | ) | (17 | ) | 1.3 | % | ||||||||
Hershey Co/The | (25 | ) | (4,238 | ) | (17 | ) | 1.3 | % | ||||||||
Fidelity National Information Services I | (30 | ) | (4,235 | ) | (17 | ) | 1.3 | % | ||||||||
Church & Dwight Co Inc | (52 | ) | (4,224 | ) | (17 | ) | 1.3 | % | ||||||||
Kellogg Co | (71 | ) | (4,224 | ) | (17 | ) | 1.3 | % | ||||||||
Estee Lauder Cos Inc/The | (13 | ) | (4,223 | ) | (17 | ) | 1.3 | % | ||||||||
Mettler-Toledo International Inc | (3 | ) | (4,223 | ) | (17 | ) | 1.3 | % | ||||||||
Target Corp | (17 | ) | (4,220 | ) | (17 | ) | 1.3 | % | ||||||||
PepsiCo Inc | (28 | ) | (4,214 | ) | (17 | ) | 1.3 | % | ||||||||
Cisco Systems Inc/Delaware | (81 | ) | (4,209 | ) | (17 | ) | 1.3 | % | ||||||||
Walgreens Boots Alliance Inc | (95 | ) | (4,208 | ) | (17 | ) | 1.3 | % | ||||||||
Constellation Brands Inc | (20 | ) | (4,208 | ) | (17 | ) | 1.3 | % | ||||||||
AT&T Inc | (159 | ) | (4,198 | ) | (17 | ) | 1.3 | % | ||||||||
McDonald's Corp | (18 | ) | (4,195 | ) | (17 | ) | 1.3 | % | ||||||||
Ford Motor Co | (318 | ) | (4,193 | ) | (17 | ) | 1.3 | % | ||||||||
CVS Health Corp | (54 | ) | (4,191 | ) | (17 | ) | 1.3 | % | ||||||||
General Mills Inc | (75 | ) | (4,184 | ) | (17 | ) | 1.3 | % | ||||||||
Home Depot Inc/The | (13 | ) | (4,179 | ) | (17 | ) | 1.3 | % | ||||||||
Moody's Corp | (12 | ) | (4,175 | ) | (17 | ) | 1.3 | % | ||||||||
International Paper Co | (76 | ) | (4,168 | ) | (17 | ) | 1.3 | % | ||||||||
Amgen Inc | (18 | ) | (4,156 | ) | (17 | ) | 1.3 | % | ||||||||
Domino's Pizza Inc | (8 | ) | (4,147 | ) | (17 | ) | 1.3 | % | ||||||||
Hormel Foods Corp | (95 | ) | (4,139 | ) | (17 | ) | 1.3 | % | ||||||||
Cummins Inc | (19 | ) | (4,139 | ) | (17 | ) | 1.3 | % | ||||||||
3M Co | (22 | ) | (4,139 | ) | (17 | ) | 1.3 | % | ||||||||
Caterpillar Inc | (21 | ) | (4,132 | ) | (17 | ) | 1.3 | % | ||||||||
Apple Inc | (30 | ) | (4,128 | ) | (17 | ) | 1.3 | % | ||||||||
Best Buy Co Inc | (39 | ) | (4,126 | ) | (17 | ) | 1.3 | % | ||||||||
Zillow Group Inc | (41 | ) | (4,120 | ) | (17 | ) | 1.3 | % | ||||||||
Fox Corp | (122 | ) | (4,113 | ) | (17 | ) | 1.3 | % | ||||||||
DocuSign Inc | (15 | ) | (4,110 | ) | (16 | ) | 1.3 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR342 (cont’d) | ||||||||||||||||
O'Reilly Automotive Inc | (7 | ) | $ | (4,110 | ) | $ | (16 | ) | 1.3 | % | ||||||
Clorox Co/The | (24 | ) | (4,110 | ) | (16 | ) | 1.3 | % | ||||||||
WW Grainger Inc | (10 | ) | (4,105 | ) | (16 | ) | 1.3 | % | ||||||||
VF Corp | (54 | ) | (4,063 | ) | (16 | ) | 1.3 | % | ||||||||
Starbucks Corp | (35 | ) | (4,062 | ) | (16 | ) | 1.3 | % | ||||||||
Tractor Supply Co | (24 | ) | (4,057 | ) | (16 | ) | 1.3 | % | ||||||||
Stanley Black & Decker Inc | (22 | ) | (4,034 | ) | (16 | ) | 1.3 | % | ||||||||
PACCAR Inc | (51 | ) | (4,027 | ) | (16 | ) | 1.3 | % | ||||||||
Generac Holdings Inc | (10 | ) | (3,977 | ) | (16 | ) | 1.3 | % | ||||||||
United Parcel Service Inc | (21 | ) | (3,845 | ) | (15 | ) | 1.2 | % | ||||||||
Humana Inc | (10 | ) | (3,843 | ) | (15 | ) | 1.2 | % | ||||||||
Roku Inc | (9 | ) | (3,767 | ) | (15 | ) | 1.2 | % | ||||||||
$ | (320,019 | ) | $ | (1,282 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (102 | ) | ||||||||||||||
$ | (1,384 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR343 | �� | |||||||||||||||
Align Technology Inc | (7 | ) | $ | (4,944 | ) | $ | (28 | ) | 1.5 | % | ||||||
Albemarle Corp | (24 | ) | (4,845 | ) | (27 | ) | 1.5 | % | ||||||||
West Pharmaceutical Services Inc | (12 | ) | (4,836 | ) | (27 | ) | 1.5 | % | ||||||||
Cognizant Technology Solutions Corp | (67 | ) | (4,727 | ) | (27 | ) | 1.5 | % | ||||||||
Restaurant Brands International Inc | (71 | ) | (4,668 | ) | (26 | ) | 1.5 | % | ||||||||
Rockwell Automation Inc | (16 | ) | (4,655 | ) | (26 | ) | 1.4 | % | ||||||||
Micron Technology Inc | (62 | ) | (4,645 | ) | (26 | ) | 1.4 | % | ||||||||
Magna International Inc | (57 | ) | (4,598 | ) | (26 | ) | 1.4 | % | ||||||||
General Motors Co | (84 | ) | (4,593 | ) | (26 | ) | 1.4 | % | ||||||||
Emerson Electric Co | (47 | ) | (4,559 | ) | (26 | ) | 1.4 | % | ||||||||
ANSYS Inc | (13 | ) | (4,551 | ) | (26 | ) | 1.4 | % | ||||||||
Lululemon Athletica Inc | (12 | ) | (4,543 | ) | (26 | ) | 1.4 | % | ||||||||
Pfizer Inc | (110 | ) | (4,519 | ) | (25 | ) | 1.4 | % | ||||||||
Kroger Co/The | (116 | ) | (4,519 | ) | (25 | ) | 1.4 | % | ||||||||
Arista Networks Inc | (12 | ) | (4,513 | ) | (25 | ) | 1.4 | % | ||||||||
Cintas Corp | (12 | ) | (4,505 | ) | (25 | ) | 1.4 | % | ||||||||
Costco Wholesale Corp | (11 | ) | (4,501 | ) | (25 | ) | 1.4 | % | ||||||||
Eaton Corp PLC | (30 | ) | (4,499 | ) | (25 | ) | 1.4 | % | ||||||||
Zscaler Inc | (20 | ) | (4,499 | ) | (25 | ) | 1.4 | % | ||||||||
Estee Lauder Cos Inc/The | (14 | ) | (4,499 | ) | (25 | ) | 1.4 | % | ||||||||
Ford Motor Co | (336 | ) | (4,496 | ) | (25 | ) | 1.4 | % | ||||||||
CDW Corp/DE | (26 | ) | (4,495 | ) | (25 | ) | 1.4 | % | ||||||||
Dollar General Corp | (20 | ) | (4,492 | ) | (25 | ) | 1.4 | % | ||||||||
Target Corp | (18 | ) | (4,491 | ) | (25 | ) | 1.4 | % | ||||||||
Motorola Solutions Inc | (21 | ) | (4,490 | ) | (25 | ) | 1.4 | % | ||||||||
Automatic Data Processing Inc | (22 | ) | (4,481 | ) | (25 | ) | 1.4 | % | ||||||||
Walgreens Boots Alliance Inc | (99 | ) | (4,476 | ) | (25 | ) | 1.4 | % | ||||||||
Fastenal Co | (85 | ) | (4,475 | ) | (25 | ) | 1.4 | % | ||||||||
Altria Group Inc | (97 | ) | (4,467 | ) | (25 | ) | 1.4 | % | ||||||||
Fiserv Inc | (40 | ) | (4,461 | ) | (25 | ) | 1.4 | % | ||||||||
LyondellBasell Industries NV | (47 | ) | (4,457 | ) | (25 | ) | 1.4 | % | ||||||||
Home Depot Inc/The | (14 | ) | (4,457 | ) | (25 | ) | 1.4 | % | ||||||||
Philip Morris International Inc | (46 | ) | (4,455 | ) | (25 | ) | 1.4 | % | ||||||||
HCA Healthcare Inc | (19 | ) | (4,453 | ) | (25 | ) | 1.4 | % | ||||||||
Cisco Systems Inc/Delaware | (84 | ) | (4,451 | ) | (25 | ) | 1.4 | % | ||||||||
Ecolab Inc | (21 | ) | (4,445 | ) | (25 | ) | 1.4 | % | ||||||||
Hershey Co/The | (26 | ) | (4,435 | ) | (25 | ) | 1.4 | % | ||||||||
Zillow Group Inc | (43 | ) | (4,428 | ) | (25 | ) | 1.4 | % | ||||||||
Mettler-Toledo International Inc | (3 | ) | (4,426 | ) | (25 | ) | 1.4 | % | ||||||||
AT&T Inc | (164 | ) | (4,421 | ) | (25 | ) | 1.4 | % | ||||||||
Church & Dwight Co Inc | (53 | ) | (4,420 | ) | (25 | ) | 1.4 | % | ||||||||
Kellogg Co | (73 | ) | (4,420 | ) | (25 | ) | 1.4 | % | ||||||||
Apple Inc | (32 | ) | (4,417 | ) | (25 | ) | 1.4 | % | ||||||||
PepsiCo Inc | (29 | ) | (4,416 | ) | (25 | ) | 1.4 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR343 (cont’d) | ||||||||||||||||
Cummins Inc | (20 | ) | $ | (4,412 | ) | $ | (25 | ) | 1.4 | % | ||||||
Constellation Brands Inc | (20 | ) | (4,405 | ) | (25 | ) | 1.4 | % | ||||||||
Clorox Co/The | (25 | ) | (4,397 | ) | (25 | ) | 1.4 | % | ||||||||
General Mills Inc | (78 | ) | (4,393 | ) | (25 | ) | 1.4 | % | ||||||||
Duke Energy Corp | (44 | ) | (4,392 | ) | (25 | ) | 1.4 | % | ||||||||
Fidelity National Information Services I | (31 | ) | (4,391 | ) | (25 | ) | 1.4 | % | ||||||||
3M Co | (23 | ) | (4,388 | ) | (25 | ) | 1.4 | % | ||||||||
Moody's Corp | (12 | ) | (4,386 | ) | (25 | ) | 1.4 | % | ||||||||
DocuSign Inc | (15 | ) | (4,385 | ) | (25 | ) | 1.4 | % | ||||||||
McDonald's Corp | (19 | ) | (4,379 | ) | (25 | ) | 1.4 | % | ||||||||
Fox Corp | (128 | ) | (4,378 | ) | (25 | ) | 1.4 | % | ||||||||
Caterpillar Inc | (22 | ) | (4,378 | ) | (25 | ) | 1.4 | % | ||||||||
CVS Health Corp | (55 | ) | (4,376 | ) | (25 | ) | 1.4 | % | ||||||||
International Paper Co | (79 | ) | (4,370 | ) | (25 | ) | 1.4 | % | ||||||||
Best Buy Co Inc | (40 | ) | (4,366 | ) | (25 | ) | 1.4 | % | ||||||||
Tractor Supply Co | (25 | ) | (4,362 | ) | (25 | ) | 1.3 | % | ||||||||
PACCAR Inc | (55 | ) | (4,359 | ) | (24 | ) | 1.3 | % | ||||||||
United Parcel Service Inc | (24 | ) | (4,357 | ) | (24 | ) | 1.3 | % | ||||||||
O'Reilly Automotive Inc | (7 | ) | (4,353 | ) | (24 | ) | 1.3 | % | ||||||||
Stanley Black & Decker Inc | (23 | ) | (4,344 | ) | (24 | ) | 1.3 | % | ||||||||
Domino's Pizza Inc | (9 | ) | (4,341 | ) | (24 | ) | 1.3 | % | ||||||||
WW Grainger Inc | (10 | ) | (4,331 | ) | (24 | ) | 1.3 | % | ||||||||
Hormel Foods Corp | (97 | ) | (4,322 | ) | (24 | ) | 1.3 | % | ||||||||
Starbucks Corp | (37 | ) | (4,282 | ) | (24 | ) | 1.3 | % | ||||||||
VF Corp | (56 | ) | (4,276 | ) | (24 | ) | 1.3 | % | ||||||||
Generac Holdings Inc | (11 | ) | (4,246 | ) | (24 | ) | 1.3 | % | ||||||||
Roku Inc | (10 | ) | (4,144 | ) | (23 | ) | 1.3 | % | ||||||||
Humana Inc | (10 | ) | (4,048 | ) | (23 | ) | 1.3 | % | ||||||||
$ | (320,704 | ) | $ | (1,803 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (104 | ) | ||||||||||||||
$ | (1,907 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR344 | ||||||||||||||||
Align Technology Inc | (9 | ) | $ | (5,757 | ) | $ | (1 | ) | 1.8 | % | ||||||
West Pharmaceutical Services Inc | (15 | ) | (5,516 | ) | (1 | ) | 1.7 | % | ||||||||
Restaurant Brands International Inc | (88 | ) | (5,453 | ) | (1 | ) | 1.7 | % | ||||||||
Albemarle Corp | (29 | ) | (5,449 | ) | (1 | ) | 1.7 | % | ||||||||
Cognizant Technology Solutions Corp | (82 | ) | (5,421 | ) | (1 | ) | 1.7 | % | ||||||||
Rockwell Automation Inc | (19 | ) | (5,287 | ) | (1 | ) | 1.7 | % | ||||||||
Micron Technology Inc | (75 | ) | (5,283 | ) | (1 | ) | 1.7 | % | ||||||||
Emerson Electric Co | (58 | ) | (5,277 | ) | (1 | ) | 1.7 | % | ||||||||
General Motors Co | (103 | ) | (5,270 | ) | (1 | ) | 1.6 | % | ||||||||
Magna International Inc | (69 | ) | (5,263 | ) | (1 | ) | 1.6 | % | ||||||||
Lululemon Athletica Inc | (14 | ) | (5,238 | ) | (1 | ) | 1.6 | % | ||||||||
Costco Wholesale Corp | (13 | ) | (5,236 | ) | (1 | ) | 1.6 | % | ||||||||
CDW Corp/DE | (32 | ) | (5,231 | ) | (1 | ) | 1.6 | % | ||||||||
Eaton Corp PLC | (37 | ) | (5,231 | ) | (1 | ) | 1.6 | % | ||||||||
ANSYS Inc | (16 | ) | (5,228 | ) | (1 | ) | 1.6 | % | ||||||||
Target Corp | (22 | ) | (5,218 | ) | (1 | ) | 1.6 | % | ||||||||
Fastenal Co | (105 | ) | (5,216 | ) | (1 | ) | 1.6 | % | ||||||||
Automatic Data Processing Inc | (27 | ) | (5,213 | ) | (1 | ) | 1.6 | % | ||||||||
Sherwin-Williams Co/The | (20 | ) | (5,207 | ) | (1 | ) | 1.6 | % | ||||||||
Agilent Technologies Inc | (38 | ) | (5,205 | ) | (1 | ) | 1.6 | % | ||||||||
Dollar General Corp | (25 | ) | (5,203 | ) | (1 | ) | 1.6 | % | ||||||||
Motorola Solutions Inc | (26 | ) | (5,202 | ) | (1 | ) | 1.6 | % | ||||||||
Cisco Systems Inc/Delaware | (104 | ) | (5,201 | ) | (1 | ) | 1.6 | % | ||||||||
Fiserv Inc | (50 | ) | (5,199 | ) | (1 | ) | 1.6 | % | ||||||||
Cintas Corp | (15 | ) | (5,195 | ) | (1 | ) | 1.6 | % | ||||||||
Waters Corp | (15 | ) | (5,193 | ) | (1 | ) | 1.6 | % | ||||||||
HCA Healthcare Inc | (23 | ) | (5,192 | ) | (1 | ) | 1.6 | % | ||||||||
Arista Networks Inc | (15 | ) | (5,191 | ) | (1 | ) | 1.6 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR344 (cont’d) | ||||||||||||||||
Stanley Black & Decker Inc | (29 | ) | $ | (5,187 | ) | $ | (1 | ) | 1.6 | % | ||||||
Home Depot Inc/The | (17 | ) | (5,187 | ) | (1 | ) | 1.6 | % | ||||||||
Ford Motor Co | (411 | ) | (5,178 | ) | (1 | ) | 1.6 | % | ||||||||
Apple Inc | (39 | ) | (5,176 | ) | (1 | ) | 1.6 | % | ||||||||
McDonald's Corp | (24 | ) | (5,165 | ) | (1 | ) | 1.6 | % | ||||||||
LyondellBasell Industries NV | (57 | ) | (5,164 | ) | (1 | ) | 1.6 | % | ||||||||
PACCAR Inc | (69 | ) | (5,160 | ) | (1 | ) | 1.6 | % | ||||||||
Fidelity National Information Services I | (38 | ) | (5,157 | ) | – | 1.6 | % | |||||||||
AT&T Inc | (203 | ) | (5,152 | ) | – | 1.6 | % | |||||||||
Walgreens Boots Alliance Inc | (121 | ) | (5,149 | ) | – | 1.6 | % | |||||||||
Cummins Inc | (25 | ) | (5,147 | ) | – | 1.6 | % | |||||||||
Realty Income Corp | (81 | ) | (5,142 | ) | – | 1.6 | % | |||||||||
3M Co | (29 | ) | (5,136 | ) | – | 1.6 | % | |||||||||
United Parcel Service Inc | (30 | ) | (5,127 | ) | – | 1.6 | % | |||||||||
Zscaler Inc | (24 | ) | (5,125 | ) | – | 1.6 | % | |||||||||
Best Buy Co Inc | (50 | ) | (5,113 | ) | – | 1.6 | % | |||||||||
Moody's Corp | (15 | ) | (5,110 | ) | – | 1.6 | % | |||||||||
Starbucks Corp | (46 | ) | (5,104 | ) | – | 1.6 | % | |||||||||
Mettler-Toledo International Inc | (4 | ) | (5,097 | ) | – | 1.6 | % | |||||||||
O'Reilly Automotive Inc | (9 | ) | (5,096 | ) | – | 1.6 | % | |||||||||
Amgen Inc | (23 | ) | (5,088 | ) | – | 1.6 | % | |||||||||
CVS Health Corp | (68 | ) | (5,087 | ) | – | 1.6 | % | |||||||||
International Paper Co | (97 | ) | (5,080 | ) | – | 1.6 | % | |||||||||
Tractor Supply Co | (31 | ) | (5,073 | ) | – | 1.6 | % | |||||||||
Pfizer Inc | (131 | ) | (5,069 | ) | – | 1.6 | % | |||||||||
Fox Corp | (157 | ) | (5,051 | ) | – | 1.6 | % | |||||||||
WW Grainger Inc | (13 | ) | (5,037 | ) | – | 1.6 | % | |||||||||
Caterpillar Inc | (27 | ) | (5,031 | ) | – | 1.6 | % | |||||||||
DocuSign Inc | (19 | ) | (5,031 | ) | – | 1.6 | % | |||||||||
Generac Holdings Inc | (13 | ) | (5,006 | ) | – | 1.6 | % | |||||||||
VF Corp | (69 | ) | (4,983 | ) | – | 1.6 | % | |||||||||
Humana Inc | (13 | ) | (4,971 | ) | – | 1.6 | % | |||||||||
Zillow Group Inc | (52 | ) | (4,959 | ) | – | 1.6 | % | |||||||||
Roku Inc | (12 | ) | (4,705 | ) | – | 1.5 | % | |||||||||
$ | (320,818 | ) | $ | (35 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (17 | ) | ||||||||||||||
$ | (52 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR345 | ||||||||||||||||
Restaurant Brands International Inc | (85 | ) | $ | (5,345 | ) | $ | (10 | ) | 1.7 | % | ||||||
Align Technology Inc | (8 | ) | (5,229 | ) | (10 | ) | 1.6 | % | ||||||||
West Pharmaceutical Services Inc | (14 | ) | (5,173 | ) | (10 | ) | 1.6 | % | ||||||||
Albemarle Corp | (27 | ) | (5,168 | ) | (10 | ) | 1.6 | % | ||||||||
O'Reilly Automotive Inc | (9 | ) | (5,151 | ) | (10 | ) | 1.6 | % | ||||||||
Costco Wholesale Corp | (13 | ) | (5,140 | ) | (10 | ) | 1.6 | % | ||||||||
Emerson Electric Co | (55 | ) | (5,133 | ) | (10 | ) | 1.6 | % | ||||||||
Rockwell Automation Inc | (18 | ) | (5,131 | ) | (10 | ) | 1.6 | % | ||||||||
ANSYS Inc | (15 | ) | (5,130 | ) | (10 | ) | 1.6 | % | ||||||||
Western Digital Corp | (86 | ) | (5,124 | ) | (10 | ) | 1.6 | % | ||||||||
Micron Technology Inc | (72 | ) | (5,120 | ) | (10 | ) | 1.6 | % | ||||||||
Fiserv Inc | (48 | ) | (5,116 | ) | (10 | ) | 1.6 | % | ||||||||
Sherwin-Williams Co/The | (19 | ) | (5,116 | ) | (10 | ) | 1.6 | % | ||||||||
Cisco Systems Inc/Delaware | (100 | ) | (5,115 | ) | (10 | ) | 1.6 | % | ||||||||
Automatic Data Processing Inc | (26 | ) | (5,107 | ) | (10 | ) | 1.6 | % | ||||||||
Agilent Technologies Inc | (36 | ) | (5,106 | ) | (10 | ) | 1.6 | % | ||||||||
Cintas Corp | (14 | ) | (5,101 | ) | (10 | ) | 1.6 | % | ||||||||
Walgreens Boots Alliance Inc | (117 | ) | (5,099 | ) | (10 | ) | 1.6 | % | ||||||||
Home Depot Inc/The | (17 | ) | (5,099 | ) | (10 | ) | 1.6 | % | ||||||||
Eaton Corp PLC | (35 | ) | (5,098 | ) | (10 | ) | 1.6 | % | ||||||||
Magna International Inc | (66 | ) | (5,096 | ) | (10 | ) | 1.6 | % | ||||||||
Apple Inc | (38 | ) | (5,095 | ) | (9 | ) | 1.6 | % |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
JPCR345 (cont’d) | ||||||||||||||||
CDW Corp/DE | (30 | ) | $ | (5,094 | ) | $ | (9 | ) | 1.6 | % | ||||||
HCA Healthcare Inc | (22 | ) | (5,093 | ) | (9 | ) | 1.6 | % | ||||||||
Motorola Solutions Inc | (25 | ) | (5,091 | ) | (9 | ) | 1.6 | % | ||||||||
Pfizer Inc | (129 | ) | (5,090 | ) | (9 | ) | 1.6 | % | ||||||||
Generac Holdings Inc | (13 | ) | (5,088 | ) | (9 | ) | 1.6 | % | ||||||||
Tractor Supply Co | (30 | ) | (5,086 | ) | (9 | ) | 1.6 | % | ||||||||
3M Co | (28 | ) | (5,081 | ) | (9 | ) | 1.6 | % | ||||||||
Domino's Pizza Inc | (11 | ) | (5,081 | ) | (9 | ) | 1.6 | % | ||||||||
Fastenal Co | (101 | ) | (5,080 | ) | (9 | ) | 1.6 | % | ||||||||
Arista Networks Inc | (14 | ) | (5,079 | ) | (9 | ) | 1.6 | % | ||||||||
Dollar General Corp | (24 | ) | (5,079 | ) | (9 | ) | 1.6 | % | ||||||||
Target Corp | (21 | ) | (5,075 | ) | (9 | ) | 1.6 | % | ||||||||
United Parcel Service Inc | (29 | ) | (5,075 | ) | (9 | ) | 1.6 | % | ||||||||
Waters Corp | (14 | ) | (5,072 | ) | (9 | ) | 1.6 | % | ||||||||
Moody's Corp | (15 | ) | (5,070 | ) | (9 | ) | 1.6 | % | ||||||||
PACCAR Inc | (66 | ) | (5,069 | ) | (9 | ) | 1.6 | % | ||||||||
Stanley Black & Decker Inc | (28 | ) | (5,068 | ) | (9 | ) | 1.6 | % | ||||||||
Amgen Inc | (23 | ) | (5,068 | ) | (9 | ) | 1.6 | % | ||||||||
Fidelity National Information Services I | (37 | ) | (5,068 | ) | (9 | ) | 1.6 | % | ||||||||
Cummins Inc | (24 | ) | (5,064 | ) | (9 | ) | 1.6 | % | ||||||||
Zscaler Inc | (23 | ) | (5,063 | ) | (9 | ) | 1.6 | % | ||||||||
International Paper Co | (95 | ) | (5,063 | ) | (9 | ) | 1.6 | % | ||||||||
Cognizant Technology Solutions Corp | (75 | ) | (5,060 | ) | (9 | ) | 1.6 | % | ||||||||
McDonald's Corp | (23 | ) | (5,060 | ) | (9 | ) | 1.6 | % | ||||||||
Lululemon Athletica Inc | (14 | ) | (5,053 | ) | (9 | ) | 1.6 | % | ||||||||
Starbucks Corp | (45 | ) | (5,048 | ) | (9 | ) | 1.6 | % | ||||||||
General Motors Co | (96 | ) | (5,048 | ) | (9 | ) | 1.6 | % | ||||||||
CVS Health Corp | (66 | ) | (5,044 | ) | (9 | ) | 1.6 | % | ||||||||
AT&T Inc | (195 | ) | (5,044 | ) | (9 | ) | 1.6 | % | ||||||||
DocuSign Inc | (18 | ) | (5,034 | ) | (9 | ) | 1.6 | % | ||||||||
Humana Inc | (13 | ) | (5,030 | ) | (9 | ) | 1.6 | % | ||||||||
LyondellBasell Industries NV | (55 | ) | (5,027 | ) | (9 | ) | 1.6 | % | ||||||||
Best Buy Co Inc | (48 | ) | (5,002 | ) | (9 | ) | 1.5 | % | ||||||||
Fox Corp | (152 | ) | (4,998 | ) | (9 | ) | 1.5 | % | ||||||||
Mettler-Toledo International Inc | (4 | ) | (4,959 | ) | (9 | ) | 1.5 | % | ||||||||
Caterpillar Inc | (26 | ) | (4,948 | ) | (9 | ) | 1.5 | % | ||||||||
Ford Motor Co | (383 | ) | (4,932 | ) | (9 | ) | 1.5 | % | ||||||||
WW Grainger Inc | (12 | ) | (4,904 | ) | (9 | ) | 1.5 | % | ||||||||
Discovery Inc | (183 | ) | (4,890 | ) | (9 | ) | 1.5 | % | ||||||||
Roku Inc | (12 | ) | (4,846 | ) | (9 | ) | 1.5 | % | ||||||||
VF Corp | (65 | ) | (4,826 | ) | (9 | ) | 1.5 | % | ||||||||
$ | (319,442 | ) | $ | (588 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | – | |||||||||||||||
$ | (588 | ) | ||||||||||||||
Total Return Basket Swaps, at value | $ | (25,411 | ) |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | Effective rate at July 31, 2021. |
At July 31, 2021, the Fund had cash collateral of $4,370,000, $1,920,000 and $1,246,189 deposited in a segregated account for JPMorgan Chase Bank, NA, Morgan Stanley Capital Services LLC and Societe Generale, respectively, to cover collateral requirements on over the counter derivatives.
Option contracts (“options”) |
At July 31, 2021, the Fund did not have any open positions in options. |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Abbreviations | |
BBSW | Australian Bank-Bill Swap Reference Rate |
CDOR | Canadian Dollar Offered Rate |
EONIA | Euro Overnight Index Average Rate |
EURIBOR | Euro Interbank Offered Rate |
FEDEF | Federal Funds Floating Rate |
HIBOR | Hong Kong Interbank Offered Rate |
JPM | JPMorgan Chase Bank, NA |
LIBOR | London Interbank Offered Rate |
MS | Morgan Stanley Capital Services LLC |
NIBOR | Norway Interbank Offered Rate |
SARON | Swiss Average Overnight Rate |
SG | Societe Generale |
SIBOR | Singapore Interbank Offered Rate |
SONIA | Sterling Overnight Index Average Rate |
STIBOR | Stockholm Interbank Offered Rate |
T | Termination Date |
1D | One Day |
1M | One Month |
1W | One Week |
Currency Abbreviations | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CLP | Chilean Peso | |
EUR | Euro | |
GBP | Pound Sterling | |
HKD | Hong Kong Dollar | |
HUF | Hungarian Forint | |
ILS | Israeli New Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | Korean Won | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippine Peso | |
PLN | Poland Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thailand Baht | |
TRY | Turkish Lira | |
USD | United States Dollar | |
ZAR | South African Rand |
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2021:
Asset Valuation Inputs
Level 1 | Level 2 | Level 3* | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | $ | 12,697 | $ | — | $ | 719 | $ | 13,416 | ||||||||
Communications Equipment | 54,245 | — | 190 | 54,435 | ||||||||||||
Health Care Equipment & Supplies | 901,151 | — | — | 901,151 | ||||||||||||
Hotels, Restaurants & Leisure | 2,009,051 | — | — | 2,009,051 | ||||||||||||
Interactive Media & Services | 1,885,792 | — | 335 | 1,886,127 | ||||||||||||
Internet & Direct Marketing Retail | 1,794,768 | — | 935,948 | 2,730,716 | ||||||||||||
Media | 570,961 | — | 1,606 | 572,567 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
Oil, Gas & Consumable Fuels | 97,893 | 2,602 | — | 100,495 | ||||||||||||
Pharmaceuticals | 959,028 | — | — | 959,028 | ||||||||||||
Semiconductors & Semiconductor Equipment | 1,723,079 | — | — | 1,723,079 | ||||||||||||
Specialty Retail | 485,779 | — | 24,960 | 510,739 | ||||||||||||
Other Common Stocks(a) | 28,666,200 | — | — | 28,666,200 | ||||||||||||
Total Common Stocks | 39,160,644 | 2,602 | 963,758 | 40,127,004 | ||||||||||||
Rights | ||||||||||||||||
Biotechnology | — | — | 175,775 | 175,775 | ||||||||||||
Media | — | — | — | — | ||||||||||||
Metals & Mining | 32,868 | — | — | 32,868 | ||||||||||||
Pharmaceuticals | — | — | 1,251 | 1,251 | ||||||||||||
Total Rights | 32,868 | — | 177,026 | 209,894 | ||||||||||||
Warrants | ||||||||||||||||
Capital Markets | 4,622 | 8,903 | — | 13,525 | ||||||||||||
Oil, Gas & Consumable Fuels | — | — | 160,640 | 160,640 | ||||||||||||
Total Warrants | 4,622 | 8,903 | 160,640 | 174,165 | ||||||||||||
Convertible Preferred Stocks(a) | 150,287 | — | — | 150,287 | ||||||||||||
Preferred Stocks(a) | 52,527 | — | �� | — | 52,527 | |||||||||||
Loan Assignments(a) | — | — | 24,659 | 24,659 | ||||||||||||
Corporate Bonds(a) | — | — | — | — | ||||||||||||
Short-Term Investments | — | 26,920,142 | — | 26,920,142 | ||||||||||||
Total Long Positions | $ | 39,400,948 | $ | 26,931,647 | $ | 1,326,083 | $ | 67,658,678 | ||||||||
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio as well as a Positions by Country summary.
* | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
Common Stocks(a)(b) | Corporate Bonds(a) | Loan Assignments(a)(b) | Rights(a)(b)(c) | Warrants(a)(b) | Total | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||
Beginning Balance as of November 1, 2020 | $ | 1,363,663 | $ | – | $ | 172,558 | $ | 213,040 | $ | 181,809 | $ | 1,931,070 | ||||||||||||
Transfers into Level 3 | 7,758 | – | 23,210 | – | – | 30,968 | ||||||||||||||||||
Transfers out of Level 3 | (4,909 | ) | – | – | – | (9,045 | ) | (13,954 | ) | |||||||||||||||
Accrued discounts/(premiums) | – | – | 4,302 | – | – | 4,302 | ||||||||||||||||||
Realized gain/(loss) | (66,337 | ) | – | (93,987 | ) | 7,906 | (157,640 | ) | (310,058 | ) | ||||||||||||||
Change in unrealized appreciation/(depreciation) | 81,973 | – | (20,227 | ) | (32,120 | ) | 145,516 | 175,142 | ||||||||||||||||
Purchases | 102,660 | – | 34,586 | – | – | 137,246 | ||||||||||||||||||
Sales | (521,050 | ) | – | (95,783 | ) | (11,800 | ) | – | (628,633 | ) | ||||||||||||||
Balance as of July 31, 2021 | $ | 963,758 | $ | – | $ | 24,659 | $ | 177,026 | $ | 160,640 | $ | 1,326,083 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments still held as of July 31, 2021 | $ | 81,973 | $ | – | $ | (19,687 | ) | $ | (36,014 | ) | $ | 145,516 | $ | 171,788 |
(a) | As of the period ended July 31, 2021, these securities were fair valued in accordance with procedures approved by the Board of Trustees. Certain of these investments did not have a material impact on the Fund’s net assets; therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
(b) | These securities were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
(c) | Quantitative Information about Level 3 Fair Value Measurements: |
Investment Type | Fair Value | Valuation approach | Unovservable input(s) | Input value/ range | Weighted average(d) | Impact to valuation from Increase in Input(e) | ||||||||||||||||||
Rights | $ | 118,300 | Recovery Value | Discount for uncertain milestone achievablility | 25.0 | % | 25.0 | % | Decrease |
(d) The weighted averages disclosed in the table above were weighted by relative fair value.
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Absolute Return Multi-Manager Fund^ (Unaudited) (cont’d)
(e) | Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
The following is a summary, categorized by Level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's short investments as of July 31, 2021:
Liability Valuation Inputs
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short(a) | $ | (7,567,973 | ) | $ | — | $ | — | $ | (7,567,973 | ) | ||||||
Total Short Positions | $ | (7,567,973 | ) | $ | — | $ | — | $ | (7,567,973 | ) |
(a) The Consolidated Schedule of Investments provides information on the industry or sector categorization for the portfolio.
The following is a summary, categorized by level (See Notes to Consolidated Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2021:
Other Financial Instruments
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 885,325 | $ | — | $ | — | $ | 885,325 | ||||||||
Liabilities | (118,021 | ) | — | — | (118,021 | ) | ||||||||||
Forward contracts(a) | ||||||||||||||||
Assets | — | 508,374 | — | 508,374 | ||||||||||||
Liabilities | — | (941,377 | ) | — | (941,377 | ) | ||||||||||
Swaps | ||||||||||||||||
Assets | — | 1,719,886 | — | 1,719,886 | ||||||||||||
Liabilities | — | (1,346,977 | ) | — | (1,346,977 | ) | ||||||||||
Total | $ | 767,304 | $ | (60,094 | ) | $ | — | $ | 707,210 | |||||||
(a) | Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ A balance indicated with a "-", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
July 31, 2021
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by Neuberger Berman Absolute Return Multi-Manager Fund (the “Fund”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
● | Level 1 – unadjusted quoted prices in active markets for identical investments |
● | Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.) |
● | Level 3 – unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund’s investments (long and short positions) in equity securities, preferred stocks, convertible preferred stocks, rights and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Fund’s investments for long positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available (“Other Market Information”).
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of equity swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
Notes to Consolidated Schedule of Investments Absolute Return Multi-Manager Fund (Unaudited) (cont’d)
Investments in non-exchange traded investment companies with readily determinable fair value are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security’s disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer and/or analysts; an analysis of the company’s or issuer’s financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Fund’s investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m. Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Services (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which the Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which the Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which the Fund’s share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
In December 2020, the Securities and Exchange Commission ("SEC") adopted Rule 2a-5 under the Investment Company Act of 1940, as amended (the "1940 Act"), which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act, which is the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating this guidance.
The Fund invests in commodity-related instruments through Neuberger Berman Cayman ARMM Fund I Ltd. (the “Subsidiary”), which is organized under the laws of the Cayman Islands. The Fund is and expects to remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors. As of July 31, 2021, the Fund's investment in the Subsidiary was $11,776,118, which represents 15.6% of the Fund’s net assets.
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments are effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Fund.
For information on the Fund’s significant accounting policies, please refer to the Fund’s most recent shareholder reports.
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) July 31, 2021
PRINCIPAL AMOUNT | VALUE | |||||||
U.S. Treasury Obligations 16.4% | ||||||||
U.S. Treasury Bills | ||||||||
$ | 5,000,000 | 0.03%, due 9/30/2021 | $ | 4,999,611 | (a) | |||
22,000,000 | 0.02%, due 10/28/2021 – 11/18/2021 | 21,996,862 | (a) | |||||
Total U.S. Treasury Obligations (Cost $26,998,459) | 26,996,473 | |||||||
Asset-Backed Securities 18.9% | ||||||||
1,000,000 | American Express Credit Account Master Trust, Ser. 2017-5, Class A, (1M USD LIBOR + 0.38%), 0.47%, due 2/18/2025 | 1,003,557 | (b) | |||||
1,820,000 | BMW Vehicle Lease Trust, Ser. 2021-1, Class A2, 0.20%, due 3/27/2023 | 1,820,715 | ||||||
2,000,000 | Citibank Credit Card Issuance Trust, Ser. 2017-A7, Class A7, (1M USD LIBOR + 0.37%), 0.47%, due 8/8/2024 | 2,007,430 | (b) | |||||
Ford Credit Auto Lease Trust | ||||||||
322,723 | Ser. 2020-B, Class A2A, 0.50%, due 12/15/2022 | 322,916 | ||||||
1,183,528 | Ser. 2021-A, Class A2, 0.19%, due 7/15/2023 | 1,183,542 | ||||||
Ford Credit Auto Owner Trust | ||||||||
44,515 | Ser. 2020-A, Class A2, 1.03%, due 10/15/2022 | 44,540 | ||||||
198,949 | Ser. 2020-B, Class A2, 0.50%, due 2/15/2023 | 199,092 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
645,073 | Ser. 2020-3, Class A2, 0.35%, due 7/17/2023 | 645,462 | ||||||
779,006 | Ser. 2021-1, Class A2, 0.23%, due 11/16/2023 | 779,276 | ||||||
Golden Credit Card Trust | ||||||||
910,000 | Ser. 2019-2A, Class A, (1M USD LIBOR + 0.35%), 0.44%, due 10/15/2023 | 910,637 | (b)(c) | |||||
1,000,000 | Ser. 2017-4A, Class A, (1M USD LIBOR + 0.52%), 0.61%, due 7/15/2024 | 1,004,808 | (b)(c) | |||||
Hyundai Auto Lease Securitization Trust | ||||||||
848,934 | Ser. 2020-B, Class A2, 0.36%, due 1/17/2023 | 849,556 | (c) | |||||
1,690,000 | Ser. 2021-B, Class A2, 0.19%, due 10/16/2023 | 1,689,633 | (c) | |||||
Mercedes-Benz Auto Lease Trust | ||||||||
698,489 | Ser. 2020-B, Class A2, 0.31%, due 2/15/2023 | 698,867 | ||||||
1,851,119 | Ser. 2021-A, Class A2, 0.18%, due 3/15/2023 | 1,851,444 | ||||||
920,000 | MMAF Equipment Finance LLC, Ser. 2021-A, Class A2, 0.30%, due 4/15/2024 | 920,644 | (c) | |||||
Navient Student Loan Trust | ||||||||
359,390 | Ser. 2017-4A, Class A2, (1M USD LIBOR + 0.50%), 0.59%, due 9/27/2066 | 360,220 | (b)(c) | |||||
379,759 | Ser. 2019-7A, Class A1, (1M USD LIBOR + 0.50%), 0.59%, due 1/25/2068 | 380,695 | (b)(c) | |||||
130,178 | Ser. 2019-2A, Class A1, (1M USD LIBOR + 0.27%), 0.36%, due 2/27/2068 | 130,178 | (b)(c) | |||||
570,968 | Ser. 2019-4A, Class A1, (1M USD LIBOR + 0.28%), 0.37%, due 7/25/2068 | 570,780 | (b)(c) | |||||
1,024,781 | Santander Consumer Auto Receivables Trust, Ser. 2021-AA, Class A2, 0.23%, due 11/15/2023 | 1,025,036 | (c) | |||||
1,941,338 | Santander Retail Auto Lease Trust, Ser. 2021-A, Class A2, 0.32%, due 2/20/2024 | 1,942,676 | (c) | |||||
Tesla Auto Lease Trust | ||||||||
496,099 | Ser. 2020-A, Class A2, 0.55%, due 5/22/2023 | 496,787 | (c) | |||||
1,600,000 | Ser. 2021-A, Class A2, 0.36%, due 3/20/2025 | 1,601,287 | (c) | |||||
3,760,000 | Toyota Auto Receivables Owner Trust, Ser. 2021-B, Class A2, 0.14%, due 1/16/2024 | 3,757,812 | ||||||
1,200,000 | Verizon Owner Trust, Ser. 2019-C, Class A1B, (1M USD LIBOR + 0.42%), 0.50%, due 4/22/2024 | 1,203,313 | (b) | |||||
346,775 | Volkswagen Auto Loan Enhanced Trust, Ser. 2020-1, Class A2A, 0.93%, due 12/20/2022 | 347,093 |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | |||||||
�� | ||||||||
World Omni Auto Receivables Trust | ||||||||
$ | 1,252,419 | Ser. 2020-C, Class A2, 0.35%, due 12/15/2023 | $ | 1,253,191 | ||||
1,420,000 | Ser. 2021-B, Class A2, 0.20%, due 7/15/2024 | 1,420,048 | ||||||
660,000 | World Omni Automobile Lease Securitization Trust, Ser. 2021-A, Class A2, 0.21%, due 4/15/2024 | 660,123 | ||||||
Total Asset-Backed Securities (Cost $31,064,633) | 31,081,358 | |||||||
Corporate Bonds 42.1% | ||||||||
Agriculture 0.7% | ||||||||
1,170,000 | BAT Capital Corp., (3M USD LIBOR + 0.88%), 1.04%, due 8/15/2022 | 1,176,947 | (b) | |||||
Auto Manufacturers 1.6% | ||||||||
1,610,000 | Daimler Finance N.A. LLC, (3M USD LIBOR + 0.90%), 1.06%, due 2/15/2022 | 1,617,287 | (b)(c) | |||||
1,000,000 | Volkswagen Group of America Finance LLC, (3M USD LIBOR + 0.94%), 1.11%, due 11/12/2021 | 1,002,495 | (b)(c) | |||||
2,619,782 | ||||||||
Banks 17.9% | ||||||||
Bank of America Corp. | ||||||||
690,000 | (3M USD LIBOR + 1.16%), 1.29%, due 1/20/2023 | 693,465 | (b) | |||||
2,145,000 | (3M USD LIBOR + 1.00%), 1.13%, due 4/24/2023 | 2,158,760 | (b) | |||||
775,000 | (3M USD LIBOR + 0.79%), 0.92%, due 3/5/2024 | 781,795 | (b) | |||||
1,475,000 | BB&T Corp., (3M USD LIBOR + 0.65%), 0.79%, due 4/1/2022 | 1,480,197 | (b) | |||||
2,888,000 | Citigroup, Inc., (3M USD LIBOR + 1.10%), 1.26%, due 5/17/2024 | 2,928,772 | (b) | |||||
3,527,000 | Goldman Sachs Group, Inc., (3M USD LIBOR + 1.60%), 1.74%, due 11/29/2023 | 3,633,579 | (b) | |||||
2,500,000 | JPMorgan Chase & Co., (3M USD LIBOR + 0.90%), 1.03%, due 4/25/2023 | 2,518,479 | (b) | |||||
3,655,000 | Morgan Stanley, (SOFR + 0.70%), 0.75%, due 1/20/2023 | 3,664,799 | (b) | |||||
Royal Bank of Canada | ||||||||
2,035,000 | (3M USD LIBOR + 0.47%), 0.60%, due 4/29/2022 | 2,041,370 | (b) | |||||
270,000 | (3M USD LIBOR + 0.36%), 0.49%, due 1/17/2023 | 271,162 | (b) | |||||
2,005,000 | Toronto-Dominion Bank, (SOFR + 0.48%), 0.53%, due 1/27/2023 | 2,014,626 | (b) | |||||
2,185,000 | U.S. Bank N.A., (3M USD LIBOR + 0.40%), 0.52%, due 12/9/2022 | 2,196,044 | (b) | |||||
2,439,000 | Wells Fargo & Co., (3M USD LIBOR + 1.23%), 1.36%, due 10/31/2023 | 2,470,960 | (b) | |||||
Westpac Banking Corp. | ||||||||
1,835,000 | (3M USD LIBOR + 0.85%), 1.00%, due 8/19/2021 | 1,835,745 | (b) | |||||
640,000 | (3M USD LIBOR + 0.39%), 0.52%, due 1/13/2023 | 643,266 | (b) | |||||
29,333,019 | ||||||||
Biotechnology 0.5% | ||||||||
765,000 | Gilead Sciences, Inc., (3M USD LIBOR + 0.52%), 0.67%, due 9/29/2023 | 765,439 | (b) | |||||
Diversified Financial Services 3.4% | ||||||||
705,000 | American Express Co., (3M USD LIBOR + 0.61%), 0.74%, due 8/1/2022 | 708,230 | (b) | |||||
2,820,000 | Capital One Financial Corp., (3M USD LIBOR + 0.95%), 1.07%, due 3/9/2022 | 2,832,836 | (b) | |||||
2,055,000 | Intercontinental Exchange, Inc., (3M USD LIBOR + 0.65%), 0.77%, due 6/15/2023 | 2,055,514 | (b) | |||||
5,596,580 |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | |||||||
Electric 3.1% | ||||||||
$ | 1,185,000 | Duke Energy Corp., (SOFR + 0.25%), 0.25%, due 6/10/2023 | $ | 1,185,187 | (b) | |||
980,000 | Duke Energy Florida LLC, Ser. A, (3M USD LIBOR + 0.25%), 0.39%, due 11/26/2021 | 980,561 | (b) | |||||
1,435,000 | Florida Power & Light Co., (3M USD LIBOR + 0.38%), 0.51%, due 7/28/2023 | 1,435,065 | (b) | |||||
1,515,000 | Southern California Edison Co., Ser. D, (3M USD LIBOR + 0.27%), 0.40%, due 12/3/2021 | 1,515,415 | (b) | |||||
5,116,228 | ||||||||
Electronics 0.5% | ||||||||
Honeywell Int’l, Inc. | ||||||||
380,000 | (3M USD LIBOR + 0.37%), 0.53%, due 8/8/2022 | 381,606 | (b) | |||||
500,000 | (3M USD LIBOR + 0.23%), 0.38%, due 8/19/2022 | 500,075 | (b) | |||||
881,681 | ||||||||
Gas 1.3% | ||||||||
565,000 | Atmos Energy Corp., (3M USD LIBOR + 0.38%), 0.50%, due 3/9/2023 | 565,146 | (b) | |||||
1,045,000 | CenterPoint Energy Resources Corp., (3M USD LIBOR + 0.50%), 0.63%, due 3/2/2023 | 1,045,243 | (b) | |||||
585,000 | Southern California Gas Co., (3M USD LIBOR + 0.35%), 0.47%, due 9/14/2023 | 585,058 | (b) | |||||
2,195,447 | ||||||||
Insurance 1.2% | ||||||||
2,025,000 | New York Life Global Funding, (3M USD LIBOR + 0.44%), 0.56%, due 7/12/2022 | 2,033,090 | (b)(c) | |||||
Machinery - Diversified 0.8% | ||||||||
1,350,000 | Otis Worldwide Corp., (3M USD LIBOR + 0.45%), 0.59%, due 4/5/2023 | 1,350,094 | (b) | |||||
Media 1.5% | ||||||||
1,125,000 | Comcast Corp., (3M USD LIBOR + 0.63%), 0.76%, due 4/15/2024 | 1,137,997 | (b) | |||||
1,255,000 | Walt Disney Co., (3M USD LIBOR + 0.39%), 0.52%, due 3/4/2022 | 1,257,941 | (b) | |||||
2,395,938 | ||||||||
Miscellaneous Manufacturer 1.4% | ||||||||
2,255,000 | General Electric Capital Corp., (3M USD LIBOR + 1.00%), 1.12%, due 3/15/2023 | 2,282,702 | (b) | |||||
Oil & Gas 1.4% | ||||||||
120,000 | BP Capital Markets America, Inc., (3M USD LIBOR + 0.65%), 0.78%, due 9/19/2022 | 120,708 | (b) | |||||
2,135,000 | BP Capital PLC, (3M USD LIBOR + 0.87%), 0.99%, due 9/16/2021 | 2,137,204 | (b) | |||||
2,257,912 | ||||||||
Pharmaceuticals 3.6% | ||||||||
2,275,000 | AbbVie, Inc., (3M USD LIBOR + 0.65%), 0.80%, due 11/21/2022 | 2,289,495 | (b) | |||||
1,855,000 | AstraZeneca PLC, (3M USD LIBOR + 0.62%), 0.75%, due 6/10/2022 | 1,864,387 | (b) | |||||
1,810,000 | Bristol-Myers Squibb Co., (3M USD LIBOR + 0.38%), 0.54%, due 5/16/2022 | 1,815,171 | (b) | |||||
5,969,053 | ||||||||
Telecommunications 3.2% | ||||||||
AT&T, Inc. | ||||||||
115,000 | (3M USD LIBOR + 0.89%), 1.04%, due 2/15/2023 | 116,242 | (b) | |||||
2,280,000 | (SOFR + 0.64%), 0.64%, due 3/25/2024 | 2,285,221 | (b) | |||||
2,780,000 | Verizon Communications, Inc., (SOFR + 0.50%), 0.55%, due 3/22/2024 | 2,798,510 | (b) | |||||
5,199,973 | ||||||||
Total Corporate Bonds (Cost $69,015,591) | 69,173,885 |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
NUMBER OF SHARES | VALUE | |||||||
Short-Term Investments 17.1% | ||||||||
Investment Companies 17.1% | ||||||||
28,042,586 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(d) (Cost $28,042,586) | $ | 28,042,586 | (e) | ||||
Total Investments 94.5% (Cost $155,121,269) | 155,294,302 | |||||||
Other Assets Less Liabilities 5.5% | 9,116,640 | (f) | ||||||
Net Assets 100.0% | $ | 164,410,942 |
(a) | Rate shown was the discount rate at the date of purchase. |
(b) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2021 and changes periodically. |
(c) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2021, these securities amounted to $16,535,809, which represents 10.1% of net assets of the Fund. |
(d) | Represents 7-day effective yield as of July 31, 2021. |
(e) | All or a portion of this security is segregated in connection with obligations for futures with a total value of $28,042,586. |
(f) | Includes the impact of the Fund's open positions in derivatives at July 31, 2021. |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
POSITIONS BY COUNTRY
Country | Investments at Value | Percentage of Net Assets | ||||||
United States | $ | 110,731,782 | 67.4 | % | ||||
Canada | 6,242,603 | 3.8 | % | |||||
United Kingdom | 5,178,538 | 3.1 | % | |||||
Germany | 2,619,782 | 1.6 | % | |||||
Australia | 2,479,011 | 1.5 | % | |||||
Short-Term Investments and Other Assets—Net | 37,159,226 | 22.6 | % | |||||
$ | 164,410,942 | 100.0 | % |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At July 31, 2021, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||
9/2021 | 155 | Lead | $ | 9,275,781 | $ | 725,321 | ||||||
9/2021 | 55 | Nickel | 6,451,830 | 810,463 | ||||||||
9/2021 | 6 | Palladium | 1,593,720 | (181,513 | ) | |||||||
9/2021 | 90 | Primary Aluminum | 5,838,750 | 385,456 | ||||||||
9/2021 | 115 | Zinc | 8,725,625 | 88,691 | ||||||||
10/2021 | 30 | Cattle Feeder | 2,460,750 | 2,015 | ||||||||
10/2021 | 130 | Platinum | 6,814,600 | (617,953 | ) | |||||||
10/2021 | 145 | Sugar 11 | 2,908,584 | 103,671 | ||||||||
11/2021 | 103 | Low Sulphur Gasoil | 6,306,175 | 567,781 | ||||||||
11/2021 | 133 | Natural Gas | 5,296,060 | 1,163,620 | ||||||||
11/2021 | 130 | New York Harbor ULSD | 11,983,608 | 1,028,509 | ||||||||
11/2021 | 116 | RBOB Gasoline | 10,433,875 | 1,200,562 | ||||||||
11/2021 | 80 | Soybean | 5,397,000 | (164,813 | ) | |||||||
11/2021 | 118 | WTI crude Oil | 8,546,740 | 1,104,724 | ||||||||
12/2021 | 87 | Cocoa | 2,107,140 | (117,857 | ) | |||||||
12/2021 | 23 | Coffee ‘C’ | 1,573,631 | 266,773 | ||||||||
12/2021 | 76 | Copper | 8,465,450 | (395,505 | ) | |||||||
12/2021 | 399 | Corn | 10,877,738 | (227,432 | ) | |||||||
12/2021 | 97 | Cotton No.2 | 4,335,415 | 281,266 | ||||||||
12/2021 | 80 | Gold 100 Oz. | 14,537,600 | 36,920 | ||||||||
12/2021 | 174 | Hard Red Winter Wheat | 5,952,975 | 171,108 | ||||||||
12/2021 | 156 | Lead | 9,243,000 | 228,075 | ||||||||
12/2021 | 54 | Nickel | 6,334,038 | 249,353 | ||||||||
12/2021 | 86 | Primary Aluminum | 5,556,675 | 90,331 | ||||||||
12/2021 | 42 | Silver | 5,376,000 | (377,579 | ) | |||||||
12/2021 | 188 | Soybean Meal | 6,653,320 | (822,299 | ) | |||||||
12/2021 | 71 | Soybean Oil | 2,685,504 | 199,321 | ||||||||
12/2021 | 155 | Wheat | 5,525,750 | 93,854 | ||||||||
12/2021 | 119 | Zinc | 9,014,250 | 251,151 | ||||||||
1/2022 | 151 | Brent Crude Oil | 11,035,080 | (23,264 | ) | |||||||
2/2022 | 122 | Lean Hogs | 4,097,980 | (101,661 | ) | |||||||
2/2022 | 75 | Live Cattle | 4,116,000 | (6,189 | ) | |||||||
Total Long Positions | $ | 209,520,644 | $ | 6,012,900 |
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||
9/2021 | 155 | Lead | $ | (9,275,781 | ) | $ | (317,311 | ) | ||||
9/2021 | 55 | Nickel | (6,451,830 | ) | (263,557 | ) | ||||||
9/2021 | 90 | Primary Aluminum | (5,838,750 | ) | (130,939 | ) | ||||||
9/2021 | 115 | Zinc | (8,725,625 | ) | (282,456 | ) | ||||||
12/2021 | 7 | Nickel | (821,079 | ) | (4,592 | ) | ||||||
12/2021 | 6 | Primary Aluminum | (387,675 | ) | (9,023 | ) | ||||||
Total Short Positions | $ | (31,500,740 | ) | $ | (1,007,878 | ) | ||||||
Total Futures | $ | 5,005,022 |
At July 31, 2021, the Fund had $7,754,127 deposited in a segregated account to cover margin requirements on open futures.
The Fund invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the “CS Subsidiary”), which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the CS Subsidiary with the intent that the Fund will remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
As of July 31, 2021, the value of the Fund’s investment in the CS Subsidiary was as follows:
Investment in CS Subsidiary | Percentage of Net Assets | |||||
$ | 33,737,498 | 20.5 | % |
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2021:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments: | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 26,996,473 | $ | — | $ | 26,996,473 | ||||||||
Asset-Backed Securities | — | 31,081,358 | — | 31,081,358 | ||||||||||||
Corporate Bonds(a) | — | 69,173,885 | — | 69,173,885 | ||||||||||||
Short-Term Investments | — | 28,042,586 | — | 28,042,586 | ||||||||||||
Total Investments | $ | — | $ | 155,294,302 | $ | — | $ | 155,294,302 |
(a) | The Consolidated Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2021:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 9,048,965 | $ | — | $ | — | $ | 9,048,965 | ||||||||
Liabilities | (4,043,943 | ) | — | — | (4,043,943 | ) | ||||||||||
Total | $ | 5,005,022 | $ | — | $ | — | $ | 5,005,022 |
(a) | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ | A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) July 31, 2021
NUMBER OF SHARES | VALUE | ||||||
Common Stocks 60.1% | |||||||
Australia 1.9% | |||||||
1,424 | APA Group | $ | 9,959 | (a) | |||
110 | Aristocrat Leisure Ltd. | 3,361 | |||||
1,633 | Brambles Ltd. | 13,925 | |||||
1,226 | Coles Group Ltd. | 15,736 | |||||
23 | CSL Ltd. | 4,876 | |||||
2,066 | Fortescue Metals Group Ltd. | 37,767 | |||||
782 | Goodman Group | 12,992 | |||||
58 | REA Group Ltd. | 6,881 | |||||
883 | Rio Tinto PLC | 74,882 | |||||
534 | Sonic Healthcare Ltd. | 15,683 | |||||
2,611 | Stockland | 8,431 | |||||
204,493 | |||||||
Austria 0.1% | |||||||
159 | OMV AG | 8,586 | |||||
477 | Telekom Austria AG | 4,068 | |||||
12,654 | |||||||
Belgium 0.1% | |||||||
83 | Solvay SA | 11,076 | |||||
Canada 2.1% | |||||||
771 | Bank of Nova Scotia | 48,123 | |||||
1,100 | Enbridge, Inc. | 43,362 | (b) | ||||
346 | Great-West Lifeco, Inc. | 10,411 | |||||
321 | Hydro One Ltd. | 7,925 | (c) | ||||
81 | Magna Int'l, Inc. | 6,791 | |||||
277 | Metro, Inc. | 14,365 | |||||
173 | National Bank of Canada | 13,241 | |||||
518 | Power Corp. of Canada | 16,533 | |||||
896 | Sun Life Financial, Inc. | 46,667 | |||||
103 | TELUS Corp. | 2,288 | |||||
279 | Toronto-Dominion Bank | 18,550 | |||||
228,256 | |||||||
China 0.1% | |||||||
1,844 | BOC Hong Kong Holdings Ltd. | 5,932 | |||||
Denmark 0.6% | |||||||
10 | AP Moeller - Maersk A/S Class B | 27,771 | |||||
399 | Novo Nordisk A/S Class B | 36,903 | |||||
64,674 | |||||||
Finland 0.3% | |||||||
252 | Neste OYJ | 15,491 | |||||
1,147 | Nordea Bank Abp | 13,444 | |||||
128 | Orion OYJ Class B | 5,449 | |||||
34,384 | |||||||
France 1.6% | |||||||
94 | BNP Paribas SA | 5,737 | |||||
99 | Capgemini SE | 21,403 | |||||
184 | Cie Generale des Etablissements Michelin SCA | 30,056 | |||||
810 | Credit Agricole SA | 11,300 | |||||
27 | Hermes International | 41,285 | |||||
27 | Kering SA | 24,220 | |||||
152 | Publicis Groupe SA | 9,596 | |||||
899 | Societe Generale SA | 26,368 | |||||
169,965 | |||||||
Germany 2.1% | |||||||
105 | Allianz SE | 26,157 | |||||
174 | Brenntag SE | 17,379 | |||||
275 | Daimler AG | 24,558 | |||||
791 | Deutsche Post AG | 53,588 | |||||
179 | Fresenius Medical Care AG & Co. KGaA | 14,129 | |||||
166 | HeidelbergCement AG | 14,725 | |||||
97 | Merck KGaA | 19,866 | |||||
400 | SAP SE | 57,339 | |||||
227,741 | |||||||
Hong Kong 0.4% | |||||||
3,258 | CK Asset Holdings Ltd. | 22,199 | |||||
1,578 | Sun Hung Kai Properties Ltd. | 22,600 | |||||
44,799 | |||||||
Italy 0.1% | |||||||
748 | Assicurazioni Generali SpA | 14,951 | |||||
Japan 3.9% | |||||||
500 | Ajinomoto Co., Inc. | 12,698 | |||||
1,000 | Astellas Pharma, Inc. | 15,852 | |||||
143 | FUJIFILM Holdings Corp. | 10,208 | |||||
329 | Fujitsu Ltd. | 55,676 | |||||
351 | Hoya Corp. | 49,288 | |||||
206 | Kajima Corp. | 2,634 | |||||
1,353 | KDDI Corp. | 41,094 | |||||
300 | MEIJI Holdings Co. Ltd. | 18,541 | |||||
1,000 | Mitsubishi Electric Corp. | 13,454 | |||||
1,288 | Mitsui & Co. Ltd. | 29,346 | |||||
200 | Mitsui Chemicals, Inc. | 6,335 | |||||
649 | Mizuho Financial Group, Inc. | 9,261 | |||||
7 | Nintendo Co. Ltd. | 3,599 | |||||
600 | Nippon Telegraph & Telephone Corp. | 15,327 | |||||
200 | Nippon Yusen KK | 10,720 | |||||
200 | Nitto Denko Corp. | 14,767 | |||||
2,600 | Nomura Holdings, Inc. | 12,990 | |||||
1,146 | ORIX Corp. | 19,973 | |||||
845 | Sekisui House Ltd. | 16,641 | |||||
200 | Sony Group Corp. | 20,737 | |||||
183 | Taisei Corp. | 6,130 | |||||
279 | Toyota Motor Corp. | 24,936 | |||||
300 | Yamaha Motor Co. Ltd. | 7,449 | |||||
300 | Yamato Holdings Co. Ltd. | 8,614 | |||||
426,270 | |||||||
Netherlands 1.3% | |||||||
36 | Akzo Nobel NV | 4,446 | |||||
32 | ASML Holding NV | 24,256 | |||||
1,834 | Koninklijke Ahold Delhaize NV | 56,989 | |||||
1,485 | Koninklijke KPN NV | 4,876 | |||||
208 | NN Group NV | 10,346 | |||||
134 | Randstad NV | 9,722 | |||||
254 | Wolters Kluwer NV | 28,950 | |||||
139,585 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
NUMBER OF SHARES | VALUE | ||||||
Norway 0.2% | |||||||
507 | DNB ASA | $ | 10,390 | ||||
822 | Equinor ASA | 16,044 | |||||
26,434 | |||||||
Russia 0.1% | |||||||
214 | Coca-Cola HBC AG | 8,088 | * | ||||
Singapore 0.1% | |||||||
1,180 | Singapore Exchange Ltd. | 10,346 | |||||
Spain 0.3% | |||||||
470 | Endesa SA | 11,435 | |||||
530 | Iberdrola SA | 6,388 | |||||
253 | Naturgy Energy Group SA | 6,540 | |||||
636 | Red Electrica Corp. SA | 12,618 | |||||
36,981 | |||||||
Sweden 0.6% | |||||||
469 | Husqvarna AB, B Shares | 6,565 | |||||
1,887 | Skandinaviska Enskilda Banken AB Class A | 25,548 | |||||
397 | Skanska AB, B Shares | 11,207 | |||||
1,710 | Svenska Handelsbanken AB, A Shares | 19,288 | |||||
62,608 | |||||||
Switzerland 1.8% | |||||||
62 | Adecco Group AG | 3,715 | |||||
2 | Chocoladefabriken Lindt & Spruengli AG | 22,410 | |||||
42 | Geberit AG | 34,486 | |||||
60 | Kuehne & Nagel International AG | 20,242 | |||||
219 | Logitech International SA | 23,949 | |||||
119 | Nestle SA | 15,081 | |||||
162 | Roche Holding AG | 62,656 | |||||
24 | Swisscom AG | 14,439 | |||||
196,978 | |||||||
United Kingdom 1.4% | |||||||
9,611 | Barclays PLC | 23,312 | |||||
768 | Diageo PLC | 38,116 | |||||
1,671 | Direct Line Insurance Group PLC | 6,915 | |||||
1,958 | J Sainsbury PLC | 7,710 | |||||
2,595 | Kingfisher PLC | 13,288 | |||||
25,095 | Lloyds Banking Group PLC | 15,918 | |||||
530 | Mondi PLC | 14,705 | |||||
350 | Persimmon PLC | 14,128 | |||||
629 | Sage Group PLC | 6,134 | |||||
156 | Schroders PLC | 7,930 | |||||
350 | SSE PLC | 7,032 | |||||
44 | Unilever PLC | 2,539 | |||||
157,727 | |||||||
United States 41.0% | |||||||
95 | 3M Co. | 18,804 | |||||
408 | AbbVie, Inc. | 47,450 | |||||
295 | Accenture PLC Class A | 93,716 | |||||
423 | Activision Blizzard, Inc. | 35,371 | |||||
27 | Adobe, Inc. | 16,784 | * | ||||
385 | Aflac, Inc. | 21,175 | |||||
249 | Agilent Technologies, Inc. | 38,154 | |||||
292 | AGNC Investment Corp. | 4,634 | |||||
265 | Allstate Corp. | 34,463 | |||||
82 | Alphabet, Inc. Class A | 220,951 | * | ||||
28 | Amazon.com, Inc. | 93,173 | * | ||||
256 | Amphenol Corp. Class A | 18,557 | |||||
1,549 | Annaly Capital Management, Inc. | 13,151 | |||||
60 | Anthem, Inc. | 23,041 | |||||
2,106 | Apple, Inc. | 307,181 | |||||
298 | Applied Materials, Inc. | 41,699 | |||||
68 | Berkshire Hathaway, Inc. Class B | 18,924 | * | ||||
19 | BlackRock, Inc. | 16,476 | |||||
231 | Blackstone Group, Inc. Class A | 26,627 | |||||
4 | Booking Holdings, Inc. | 8,713 | * | ||||
155 | Booz Allen Hamilton Holding Corp. | 13,301 | |||||
586 | Bristol-Myers Squibb Co. | 39,772 | |||||
75 | Broadcom, Inc. | 36,405 | |||||
64 | Burlington Stores, Inc. | 21,427 | * | ||||
381 | CBRE Group, Inc. Class A | 36,751 | * | ||||
1,010 | Cisco Systems, Inc. | 55,924 | |||||
468 | Citigroup, Inc. | 31,646 | |||||
431 | Cognizant Technology Solutions Corp. Class A | 31,691 | |||||
456 | Colgate-Palmolive Co. | 36,252 | |||||
1,633 | Comcast Corp. Class A | 96,069 | |||||
939 | CSX Corp. | 30,348 | |||||
89 | Cummins, Inc. | 20,657 | |||||
426 | CVS Health Corp. | 35,085 | |||||
109 | D.R. Horton, Inc. | 10,402 | |||||
27 | Danaher Corp. | 8,032 | |||||
144 | Darden Restaurants, Inc. | 21,007 | |||||
75 | Deere & Co. | 27,119 | |||||
80 | Dominion Energy, Inc. | 5,990 | |||||
58 | Dover Corp. | 9,693 | |||||
174 | Duke Energy Corp. | 18,289 | |||||
154 | Eastman Chemical Co. | 17,359 | |||||
761 | eBay, Inc. | 51,908 | |||||
320 | Electronic Arts, Inc. | 46,067 | |||||
163 | Eli Lilly & Co. | 39,690 | |||||
506 | Emerson Electric Co. | 51,050 | |||||
343 | EOG Resources, Inc. | 24,991 | |||||
39 | Everest Re Group Ltd. | 9,860 | |||||
166 | Exelon Corp. | 7,769 | |||||
92 | Extra Space Storage, Inc. | 16,021 | |||||
49 | Facebook, Inc. Class A | 17,459 | * | ||||
218 | Ferguson PLC | 30,575 | |||||
351 | Fox Corp. Class A | 12,517 | |||||
332 | Franklin Resources, Inc. | 9,811 | |||||
170 | Garmin Ltd. | 26,724 | |||||
455 | General Mills, Inc. | 26,781 | |||||
145 | Goldman Sachs Group, Inc. | 54,358 | |||||
214 | Hartford Financial Services Group, Inc. | 13,615 | |||||
160 | Hershey Co. | 28,621 | |||||
269 | Hilton Worldwide Holdings, Inc. | 35,360 | * | ||||
20 | IDEXX Laboratories, Inc. | 13,571 | * | ||||
109 | Illinois Tool Works, Inc. | 24,707 | |||||
65 | Int'l Business Machines Corp. | 9,162 | |||||
425 | Intel Corp. | 22,831 | |||||
284 | International Paper Co. | 16,404 | |||||
428 | Interpublic Group of Cos., Inc. | 15,134 | |||||
78 | Intuit, Inc. | 41,338 | |||||
326 | Iron Mountain, Inc. | 14,266 | |||||
122 | J.M. Smucker Co. | 15,995 | |||||
94 | Johnson & Johnson | 16,187 | |||||
283 | JPMorgan Chase & Co. | 42,954 | |||||
2,190 | Kinder Morgan, Inc. | 38,062 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
NUMBER OF SHARES | VALUE | ||||||
65 | KLA Corp. | $ | 22,630 | ||||
295 | Kroger Co. | 12,007 | |||||
25 | Lam Research Corp. | 15,935 | |||||
311 | LKQ Corp. | 15,783 | * | ||||
101 | Lockheed Martin Corp. | 37,539 | |||||
7 | MasterCard, Inc. Class A | 2,702 | |||||
448 | Medtronic PLC | 58,827 | |||||
151 | MetLife, Inc. | 8,713 | |||||
400 | MGM Resorts Int'l | 15,012 | |||||
1,006 | Microsoft Corp. | 286,619 | |||||
618 | Morgan Stanley | 59,316 | |||||
207 | Motorola Solutions, Inc. | 46,351 | |||||
312 | Newmont Corp. | 19,600 | |||||
97 | NIKE, Inc. Class B | 16,248 | |||||
424 | ONEOK, Inc. | 22,035 | |||||
445 | Oracle Corp. | 38,777 | |||||
96 | Packaging Corp. of America | 13,584 | |||||
17 | Pool Corp. | 8,123 | |||||
97 | PPG Industries, Inc. | 15,861 | |||||
666 | Procter & Gamble Co. | 94,725 | |||||
105 | Progressive Corp. | 9,992 | |||||
268 | Prologis, Inc. | 34,315 | |||||
551 | Public Service Enterprise Group, Inc. | 34,289 | |||||
42 | Public Storage | 13,124 | |||||
107 | QUALCOMM, Inc. | 16,029 | |||||
156 | Quest Diagnostics, Inc. | 22,121 | |||||
48 | Reliance Steel & Aluminum Co. | 7,543 | |||||
130 | ResMed Inc. | 35,334 | |||||
128 | Robert Half International, Inc. | 12,571 | |||||
102 | RPM International, Inc. | 8,832 | |||||
19 | S&P Global, Inc. | 8,146 | |||||
174 | Sempra Energy | 22,733 | |||||
44 | Sherwin-Williams Co. | 12,805 | |||||
117 | Skyworks Solutions, Inc. | 21,588 | |||||
60 | Snap-on, Inc. | 13,079 | |||||
81 | Southern Co. | 5,173 | |||||
664 | Starbucks Corp. | 80,630 | |||||
78 | STERIS PLC | 17,000 | |||||
346 | Synchrony Financial | 16,269 | |||||
251 | T. Rowe Price Group, Inc. | 51,244 | |||||
95 | Target Corp. | 24,800 | |||||
156 | TE Connectivity Ltd. | 23,005 | |||||
38 | Tesla, Inc. | 26,114 | * | ||||
435 | Texas Instruments, Inc. | 82,920 | |||||
167 | Thermo Fisher Scientific, Inc. | 90,182 | |||||
738 | TJX Cos., Inc. | 50,782 | |||||
87 | Trane Technologies PLC | 17,714 | |||||
101 | Travelers Cos., Inc. | 15,041 | |||||
196 | Tyson Foods, Inc. Class A | 14,006 | |||||
231 | UGI Corp. | 10,624 | |||||
47 | Ulta Beauty, Inc. | 15,783 | * | ||||
270 | Union Pacific Corp. | 59,065 | |||||
114 | United Parcel Service, Inc. Class B | 21,815 | |||||
166 | UnitedHealth Group, Inc. | 68,429 | |||||
40 | Vail Resorts, Inc. | 12,208 | * | ||||
1,025 | Verizon Communications, Inc. | 57,174 | |||||
92 | Visa, Inc. Class A | 22,668 | |||||
44 | W.W. Grainger, Inc. | 19,562 | |||||
81 | West Pharmaceutical Services, Inc. | 33,350 | |||||
117 | Weyerhaeuser Co. | 3,946 | |||||
1,455 | Williams Cos., Inc. | 36,448 | |||||
82 | Zoetis, Inc. | 16,621 | |||||
4,451,512 | |||||||
Total Common Stocks (Cost $5,537,810) | 6,535,454 |
PRINCIPAL AMOUNT | |||||||
U.S. Treasury Obligations 8.9% | |||||||
$ | 35,000 | U.S. Treasury Bill, 0.01%, due 12/2/2021 | 34,994 | (d) | |||
U.S. Treasury Bonds | |||||||
40,000 | 1.13%, due 5/15/2040 | 35,739 | |||||
210,000 | 1.88%, due 2/15/2041–2/15/2051 | 211,997 | |||||
20,000 | 2.25%, due 5/15/2041 | 21,484 | |||||
180,000 | 3.00%, due 5/15/2042–2/15/2047 | 218,851 | |||||
10,000 | 2.75%, due 8/15/2042 | 11,620 | |||||
135,000 | 2.88%, due 8/15/2045–5/15/2049 | 161,736 | |||||
80,000 | 2.38%, due 11/15/2049–5/15/2051 | 88,563 | |||||
20,000 | 2.00%, due 2/15/2050 | 20,405 | |||||
30,000 | 1.38%, due 8/15/2050 | 26,350 | |||||
25,000 | 1.63%, due 11/15/2050 | 23,371 | |||||
U.S. Treasury Inflation-Indexed Bonds | |||||||
16,370 | 1.00%, due 2/15/2048 | 22,641 | (e) | ||||
54,553 | 0.50%, due 1/15/2028 | 62,615 | (e) | ||||
25,000 | U.S. Treasury Notes, 1.63%, due 5/15/2031 | 25,918 | |||||
Total U.S. Treasury Obligations (Cost $940,961) | 966,284 | ||||||
U.S. Government Agency Securities 0.1% | |||||||
10,000 | Federal Home Loan Bank, 5.50%, due 7/15/2036 (Cost $12,635) | 15,044 | |||||
Corporate Bonds 10.9% | |||||||
Belgium 0.2% | |||||||
5,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 4/15/2048 | 6,229 | |||||
15,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 2/1/2046 | 19,228 | |||||
25,457 | |||||||
Canada 0.3% | |||||||
Canadian Natural Resources Ltd. | |||||||
5,000 | 4.95%, due 6/1/2047 | 6,291 | |||||
10,000 | 2.95%, due 7/15/2030 | 10,466 | |||||
10,000 | Rogers Communications, Inc., 4.35%, due 5/1/2049 | 11,869 | |||||
5,000 | Suncor Energy, Inc., 3.75%, due 3/4/2051 | 5,539 | |||||
34,165 | |||||||
France 0.1% | |||||||
10,000 | Total Capital International SA, 3.13%, due 5/29/2050 | 10,441 | |||||
Mexico 0.1% | |||||||
5,000 | Grupo Bimbo SAB de CV, 4.70%, due 11/10/2047 | 6,063 | (f) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | ||||||
Netherlands 0.1% | |||||||
$ | 5,000 | Shell Int'l Finance BV, 4.00%, due 5/10/2046 | $ | 5,980 | |||
United Kingdom 0.6% | |||||||
10,000 | AstraZeneca PLC, 2.13%, due 8/6/2050 | 9,085 | |||||
BAT Capital Corp. | |||||||
5,000 | 4.54%, due 8/15/2047 | 5,399 | |||||
10,000 | 2.73%, due 3/25/2031 | 10,074 | |||||
10,000 | BP Capital PLC, 4.88%, due 3/22/2030 | 11,040 | (g)(h) | ||||
15,000 | Natwest Group PLC, 3.03%, due 11/28/2035 | 15,133 | (g) | ||||
10,000 | Vodafone Group PLC, 4.25%, due 9/17/2050 | 11,820 | |||||
62,551 | |||||||
United States 9.5% | |||||||
10,000 | 7-Eleven, Inc., 2.50%, due 2/10/2041 | 9,477 | (f) | ||||
5,000 | Abbott Laboratories, 4.75%, due 4/15/2043 | 6,776 | |||||
AbbVie, Inc. | |||||||
10,000 | 4.05%, due 11/21/2039 | 11,790 | |||||
10,000 | 4.45%, due 5/14/2046 | 12,356 | |||||
5,000 | Allstate Corp., 4.20%, due 12/15/2046 | 6,279 | |||||
10,000 | Altria Group, Inc., 3.88%, due 9/16/2046 | 10,128 | |||||
10,000 | American Int'l Group, Inc., 4.75%, due 4/1/2048 | 13,078 | |||||
5,000 | American Water Capital Corp., 4.15%, due 6/1/2049 | 6,234 | |||||
10,000 | Amgen, Inc., 4.40%, due 5/1/2045 | 12,474 | |||||
10,000 | Appalachian Power Co., Ser. Z, 3.70%, due 5/1/2050 | 11,401 | |||||
10,000 | Apple, Inc., 3.75%, due 11/13/2047 | 11,800 | |||||
5,000 | Aqua America, Inc., 4.28%, due 5/1/2049 | 6,138 | |||||
AT&T, Inc. | |||||||
10,000 | 3.50%, due 6/1/2041 | 10,624 | |||||
10,000 | 4.50%, due 3/9/2048 | 11,970 | |||||
10,000 | 3.65%, due 6/1/2051 | 10,598 | |||||
10,000 | Baltimore Gas and Electric Co., 2.90%, due 6/15/2050 | 10,257 | |||||
Bank of America Corp. | |||||||
10,000 | 4.24%, due 4/24/2038 | 11,948 | (g) | ||||
10,000 | 4.08%, due 3/20/2051 | 12,098 | (g) | ||||
5,000 | 2.97%, due 7/21/2052 | 5,049 | (g) | ||||
10,000 | Berkshire Hathaway Finance Corp., 4.25%, due 1/15/2049 | 12,712 | |||||
Boeing Co. | |||||||
10,000 | 3.25%, due 2/1/2035 | 10,338 | |||||
5,000 | 5.81%, due 5/1/2050 | 6,820 | |||||
5,000 | BP Capital Markets America, Inc., 2.77%, due 11/10/2050 | 4,753 | |||||
5,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/2049 | 6,454 | |||||
Broadcom, Inc. | |||||||
5,000 | 5.00%, due 4/15/2030 | 5,969 | |||||
5,000 | 4.30%, due 11/15/2032 | 5,774 | |||||
10,000 | 3.75%, due 2/15/2051 | 10,563 | (f) | ||||
5,000 | Burlington Northern Santa Fe LLC, 4.38%, due 9/1/2042 | 6,357 | |||||
10,000 | Capital One Financial Corp., 2.36%, due 7/29/2032 | 10,092 | (g) | ||||
10,000 | Carrier Global Corp., 2.70%, due 2/15/2031 | 10,516 | |||||
15,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 3/1/2050 | 17,594 | |||||
10,000 | Cigna Corp., 4.80%, due 8/15/2038 | 12,672 | |||||
5,000 | Citigroup, Inc., 2.98%, due 11/5/2030 | 5,348 | (g) | ||||
10,000 | Coca-Cola Co., 2.50%, due 3/15/2051 | 9,774 | |||||
Comcast Corp. | |||||||
10,000 | 4.65%, due 7/15/2042 | 12,745 | |||||
10,000 | 4.00%, due 8/15/2047 | 11,957 | |||||
5,000 | Commonwealth Edison Co., 3.70%, due 3/1/2045 | 5,850 | |||||
10,000 | Constellation Brands, Inc., 3.75%, due 5/1/2050 | 11,368 | |||||
Crown Castle Int'l Corp. | |||||||
5,000 | 2.90%, due 4/1/2041 | 4,935 | |||||
5,000 | 5.20%, due 2/15/2049 | 6,632 | |||||
CVS Health Corp. | |||||||
10,000 | 2.70%, due 8/21/2040 | 9,964 | |||||
10,000 | 5.05%, due 3/25/2048 | 13,323 | |||||
5,000 | Dell Int'l LLC/EMC Corp., 6.20%, due 7/15/2030 | 6,479 | |||||
Diamondback Energy, Inc. | |||||||
10,000 | 3.50%, due 12/1/2029 | 10,841 | |||||
5,000 | 4.40%, due 3/24/2051 | 5,713 | |||||
Discovery Communications LLC | |||||||
5,000 | 4.65%, due 5/15/2050 | 5,935 | |||||
5,000 | 4.00%, due 9/15/2055 | 5,370 | |||||
Duke Energy Corp. | |||||||
5,000 | 3.75%, due 9/1/2046 | 5,491 | |||||
5,000 | 3.50%, due 6/15/2051 | 5,362 | |||||
10,000 | Duke Energy Progress LLC, 2.50%, due 8/15/2050 | 9,622 | |||||
10,000 | Energy Transfer L.P., 5.00%, due 5/15/2050 | 11,752 | |||||
10,000 | Entergy Arkansas LLC, 2.65%, due 6/15/2051 | 9,817 | |||||
10,000 | Entergy Texas, Inc., 3.55%, due 9/30/2049 | 11,175 | |||||
10,000 | Enterprise Products Operating LLC, 3.20%, due 2/15/2052 | 10,107 | |||||
5,000 | Exelon Corp., 4.70%, due 4/15/2050 | 6,493 | |||||
10,000 | Exxon Mobil Corp., 4.23%, due 3/19/2040 | 12,208 | |||||
Fox Corp. | |||||||
5,000 | 5.48%, due 1/25/2039 | 6,543 | |||||
5,000 | 5.58%, due 1/25/2049 | 6,903 | |||||
5,000 | General Motors Co., 5.00%, due 4/1/2035 | 6,137 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
PRINCIPAL AMOUNT | VALUE | ||||||
$ | 10,000 | Gilead Sciences, Inc., 4.75%, due 3/1/2046 | $ | 13,009 | |||
15,000 | Goldman Sachs Group, Inc., 4.02%, due 10/31/2038 | 17,803 | (g) | ||||
5,000 | HCA, Inc., 5.25%, due 6/15/2049 | 6,554 | |||||
5,000 | Healthpeak Properties, Inc., 2.88%, due 1/15/2031 | 5,336 | |||||
5,000 | Home Depot, Inc., 3.35%, due 4/15/2050 | 5,648 | |||||
5,000 | Humana, Inc., 2.15%, due 2/3/2032 | 5,022 | (i) | ||||
5,000 | Intel Corp., 3.25%, due 11/15/2049 | 5,362 | |||||
5,000 | Intercontinental Exchange, Inc., 3.00%, due 9/15/2060 | 4,971 | |||||
JPMorgan Chase & Co. | |||||||
10,000 | 5.40%, due 1/6/2042 | 13,996 | |||||
10,000 | 4.03%, due 7/24/2048 | 11,941 | (g) | ||||
5,000 | 3.33%, due 4/22/2052 | 5,434 | (g) | ||||
10,000 | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | 13,150 | |||||
5,000 | Lockheed Martin Corp., 2.80%, due 6/15/2050 | 5,159 | |||||
5,000 | Lowe's Cos., Inc., 3.00%, due 10/15/2050 | 5,051 | |||||
5,000 | LYB Int'l Finance BV, 4.88%, due 3/15/2044 | 6,370 | |||||
5,000 | LYB Int'l Finance III LLC, 4.20%, due 5/1/2050 | 5,924 | |||||
5,000 | Magellan Midstream Partners L.P., 3.95%, due 3/1/2050 | 5,499 | |||||
5,000 | Masco Corp., 4.50%, due 5/15/2047 | 6,134 | |||||
10,000 | McDonald's Corp., 3.63%, due 9/1/2049 | 11,361 | |||||
5,000 | MetLife, Inc., 4.88%, due 11/13/2043 | 6,743 | |||||
10,000 | Microsoft Corp., 2.68%, due 6/1/2060 | 10,083 | |||||
5,000 | MidAmerican Energy Co., 4.25%, due 5/1/2046 | 6,334 | |||||
Morgan Stanley | |||||||
5,000 | 4.30%, due 1/27/2045 | 6,246 | |||||
10,000 | 4.38%, due 1/22/2047 | 12,734 | |||||
5,000 | MPLX L.P., 5.50%, due 2/15/2049 | 6,504 | |||||
5,000 | Nasdaq, Inc., 2.50%, due 12/21/2040 | 4,739 | |||||
10,000 | Nevada Power Co., Ser. EE, 3.13%, due 8/1/2050 | 10,658 | |||||
5,000 | Norfolk Southern Corp., 3.94%, due 11/1/2047 | 5,850 | |||||
Oracle Corp. | |||||||
10,000 | 4.00%, due 7/15/2046 | 11,082 | |||||
5,000 | 3.60%, due 4/1/2050 | 5,221 | |||||
5,000 | 3.95%, due 3/25/2051 | 5,559 | |||||
Pacific Gas and Electric Co. | |||||||
5,000 | 4.30%, due 3/15/2045 | 4,734 | |||||
10,000 | 3.50%, due 8/1/2050 | 8,940 | |||||
10,000 | Pacific LifeCorp., 3.35%, due 9/15/2050 | 10,886 | (f) | ||||
10,000 | Pfizer, Inc., 2.70%, due 5/28/2050 | 10,195 | |||||
5,000 | Public Service Co. of Colorado, 4.05%, due 9/15/2049 | 6,319 | |||||
5,000 | Raytheon Technologies Corp., 4.35%, due 4/15/2047 | 6,284 | |||||
10,000 | Royalty Pharma PLC, 2.20%, due 9/2/2030 | 9,953 | (f) | ||||
10,000 | salesforce.com, Inc., 2.70%, due 7/15/2041 | 10,217 | |||||
Southern California Edison Co. | |||||||
5,000 | Ser. B, 4.88%, due 3/1/2049 | 6,004 | |||||
10,000 | Ser. 20A, 2.95%, due 2/1/2051 | 9,315 | |||||
10,000 | Southwestern Public Service Co., 3.15%, due 5/1/2050 | 10,822 | |||||
10,000 | Starbucks Corp., 3.50%, due 11/15/2050 | 11,083 | |||||
5,000 | Sysco Corp., 6.60%, due 4/1/2050 | 7,979 | |||||
T-Mobile USA, Inc. | |||||||
10,000 | 4.38%, due 4/15/2040 | 11,846 | |||||
10,000 | 4.50%, due 4/15/2050 | 12,233 | |||||
5,000 | Union Pacific Corp., 3.80%, due 10/1/2051 | 5,854 | |||||
5,000 | United Technologies Corp., 4.50%, due 6/1/2042 | 6,374 | |||||
5,000 | UnitedHealth Group, Inc., 4.20%, due 1/15/2047 | 6,218 | |||||
10,000 | Upjohn, Inc., 3.85%, due 6/22/2040 | 10,902 | (f) | ||||
Verizon Communications, Inc. | |||||||
5,000 | 3.40%, due 3/22/2041 | 5,403 | |||||
10,000 | 4.13%, due 8/15/2046 | 11,888 | |||||
10,000 | 3.70%, due 3/22/2061 | 11,047 | |||||
10,000 | ViacomCBS, Inc., 4.20%, due 5/19/2032 | 11,699 | |||||
5,000 | Virginia Electric and Power Co., 2.45%, due 12/15/2050 | 4,714 | |||||
5,000 | Visa, Inc., 4.30%, due 12/14/2045 | 6,478 | |||||
10,000 | Walt Disney Co., 4.70%, due 3/23/2050 | 13,644 | |||||
Wells Fargo & Co. | |||||||
10,000 | 3.07%, due 4/30/2041 | 10,476 | (g) | ||||
10,000 | 5.01%, due 4/4/2051 | 13,926 | (g) | ||||
1,039,843 | |||||||
Total Corporate Bonds (Cost $1,150,591) | 1,184,500 | ||||||
NUMBER OF SHARES | VALUE | ||||||
Exchange-Traded Funds 16.6% | |||||||
32,263 | iShares Core International Aggregate Bond ETF (Cost $1,781,286) | 1,801,243 | |||||
Short-Term Investments 2.7% | |||||||
Investment Companies 2.7% | |||||||
290,088 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(j) (Cost $290,088) | 290,088 | (k) | ||||
Total Investments 99.3% (Cost $9,713,371) | 10,792,613 | ||||||
Other Assets Less Liabilities 0.7% | 75,994 | (l) | |||||
Net Assets 100.0% | $ | 10,868,607 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
* | Non-income producing security. |
(a) | Stapled security. A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately. |
(b) | All or a portion of this security was purchased on a delayed delivery basis. |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at July 31, 2021 amounted to $7,925, which represents 0.1% of net assets of the Fund. |
(d) | Rate shown was the discount rate at the date of purchase. |
(e) | Index-linked bond whose principal amount adjusts according to a government retail price index. |
(f) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2021, these securities amounted to $57,844, which represents 0.5% of net assets of the Fund. |
(g) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(h) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
(i) | When-issued security. Total value of all such securities at July 31, 2021, amounted to approximately $5,022, which represents 0.0% of net assets of the Fund. |
(j) | Represents 7-day effective yield as of July 31, 2021. |
(k) | All or a portion of this security is segregated in connection with obligations for when-issued securities, delayed delivery securities, swaps, futures and/or forward foreign currency contracts with a total value of $290,088. |
(l) | Includes the impact of the Fund's open positions in derivatives at July 31, 2021. |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
POSITIONS BY INDUSTRY
Industry | Investments at Value | Percentage of Net Assets | ||||||
Exchange-Traded Funds* | $ | 1,801,243 | 16.6 | % | ||||
U.S. Treasury Obligations | 966,284 | 8.9 | % | |||||
Software | 489,153 | 4.5 | % | |||||
Banks | 463,144 | 4.3 | % | |||||
Pharmaceuticals | 349,737 | 3.2 | % | |||||
Technology Hardware, Storage & Peripherals | 341,338 | 3.1 | % | |||||
Insurance | 294,537 | 2.7 | % | |||||
Semiconductors & Semiconductor Equipment | 284,293 | 2.6 | % | |||||
Capital Markets | 257,244 | 2.4 | % | |||||
Interactive Media & Services | 245,291 | 2.3 | % | |||||
IT Services | 237,018 | 2.2 | % | |||||
Media | 225,706 | 2.1 | % | |||||
Health Care Equipment & Supplies | 215,402 | 2.0 | % | |||||
Oil, Gas & Consumable Fuels | 205,019 | 1.9 | % | |||||
Health Care Providers & Services | 178,488 | 1.6 | % | |||||
Hotels, Restaurants & Leisure | 176,291 | 1.6 | % | |||||
Food Products | 160,196 | 1.5 | % | |||||
Internet & Direct Marketing Retail | 145,081 | 1.3 | % | |||||
Electric | 143,308 | 1.3 | % | |||||
Metals & Mining | 139,792 | 1.3 | % | |||||
Household Products | 130,977 | 1.2 | % | |||||
Life Sciences Tools & Services | 128,336 | 1.2 | % | |||||
Equity Real Estate Investment Trusts | 120,880 | 1.1 | % | |||||
Telecommunications | 109,298 | 1.0 | % | |||||
Food & Staples Retailing | 106,807 | 1.0 | % | |||||
Chemicals | 103,775 | 0.9 | % | |||||
Communications Equipment | 102,275 | 0.9 | % | |||||
Specialty Retail | 101,280 | 0.9 | % | |||||
Diversified Telecommunication Services | 98,172 | 0.9 | % | |||||
Trading Companies & Distributors | 96,862 | 0.9 | % | |||||
Machinery | 95,255 | 0.9 | % | |||||
Household Durables | 95,197 | 0.9 | % | |||||
Beverages | 92,803 | 0.9 | % | |||||
Road & Rail | 89,413 | 0.8 | % | |||||
Biotechnology | 87,762 | 0.8 | % | |||||
Entertainment | 85,037 | 0.8 | % | |||||
Air Freight & Logistics | 84,017 | 0.8 | % | |||||
Oil & Gas | 83,272 | 0.8 | % | |||||
Automobiles | 83,057 | 0.8 | % | |||||
Textiles, Apparel & Luxury Goods | 81,753 | 0.7 | % | |||||
Real Estate Management & Development | 81,550 | 0.7 | % | |||||
Electric Utilities | 76,629 | 0.7 | % | |||||
Aerospace & Defense | 72,514 | 0.7 | % | |||||
Professional Services | 68,259 | 0.6 | % | |||||
Diversified Financial Services | 65,177 | 0.6 | % | |||||
Electrical Equipment | 64,504 | 0.6 | % | |||||
Multi-Utilities | 63,012 | 0.6 | % | |||||
Marine | 58,733 | 0.5 | % | |||||
Building Products | 52,200 | 0.5 | % | |||||
Pipelines | 47,012 | 0.4 | % | |||||
Retail | 42,620 | 0.4 | % | |||||
Electronic Equipment, Instruments & Components | 41,562 | 0.4 | % | |||||
Wireless Telecommunication Services | 41,094 | 0.4 | % | |||||
Auto Components | 36,847 | 0.3 | % | |||||
Containers & Packaging | 29,988 | 0.3 | % | |||||
Semiconductors | 27,668 | 0.3 | % | |||||
Gas Utilities | 27,123 | 0.3 | % | |||||
Agriculture | 25,601 | 0.2 | % | |||||
Multiline Retail | 24,800 | 0.2 | % | |||||
Distributors | 23,906 | 0.2 | % |
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Industry | Investments at Value | Percentage of Net Assets | ||||||
Construction & Engineering | 19,971 | 0.2 | % | |||||
Industrial Conglomerates | 18,804 | 0.2 | % | |||||
Computers | 18,279 | 0.2 | % | |||||
Transportation | 18,061 | 0.2 | % | |||||
Real Estate Investment Trusts | 16,903 | 0.2 | % | |||||
Building Materials | 16,650 | 0.1 | % | |||||
Consumer Finance | 16,269 | 0.1 | % | |||||
U.S. Government Agency Securities | 15,044 | 0.1 | % | |||||
Construction Materials | 14,725 | 0.1 | % | |||||
Paper & Forest Products | 14,705 | 0.1 | % | |||||
Commercial Services & Supplies | 13,925 | 0.1 | % | |||||
Healthcare – Services | 12,772 | 0.1 | % | |||||
Water | 12,372 | 0.1 | % | |||||
Food | 7,979 | 0.1 | % | |||||
Healthcare – Products | 6,776 | 0.1 | % | |||||
Auto Manufacturers | 6,137 | 0.1 | % | |||||
Healthcare Providers & Services | 5,022 | 0.0 | %(a) | |||||
Personal Products | 2,539 | 0.0 | %(a) | |||||
Short-Term Investments and Other Assets─Net | 366,082 | 3.4 | % | |||||
$ | 10,868,607 | 100.0 | % |
(a) | Represents less than 0.05% of net assets of the Fund. |
* | Each position is an investment company registered under the Investment Company Act of 1940, as amended, and is not treated as an industry for purposes of the Fund’s policy on industry concentration. This represents the aggregate of all investment companies. |
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures") | ||||||||||||||
At July 31, 2021, open positions in futures for the Fund were as follows: | ||||||||||||||
Long Futures: | ||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
12/2024 | 11 | Euro, 90 day | $ | 2,715,350 | $ | 4,400 | ||||||||
Total Long Positions | $ | 2,715,350 | $ | 4,400 |
Short Futures: | ||||||||||||||
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
9/2021 | 1 | Euro-Bund | $ | (209,456 | ) | $ | (5,492 | ) | ||||||
9/2021 | 1 | Euro-Buxl Bond, 30 Year | (255,091 | ) | (16,892 | ) | ||||||||
9/2021 | 5 | U.S. Treasury Ultra Bond | (997,656 | ) | (72,029 | ) | ||||||||
Total Short Positions | $ | (1,462,203 | ) | $ | (94,413 | ) | ||||||||
Total Futures | $ | (90,013 | ) |
At July 31, 2021, the Fund has $146,136 deposited in a segregated account to cover margin requirements on open futures.
Forward foreign currency contracts ("forward FX contracts")
At July 31, 2021, open forward FX contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
107,761 | USD | 144,000 | AUD | GSI | 9/22/2021 | $ | 2,062 | |||||||||||
37,232 | USD | 49,000 | AUD | GSI | 9/22/2021 | 1,265 | ||||||||||||
911,965 | BRL | 170,000 | USD | GSI | 8/26/2021 | 4,560 | ||||||||||||
280,317 | BRL | 53,000 | USD | GSI | 8/26/2021 | 656 | ||||||||||||
53,000 | USD | 271,175 | BRL | GSI | 8/26/2021 | 1,094 | ||||||||||||
53,910 | USD | 276,682 | BRL | GSI | 8/26/2021 | 950 | ||||||||||||
116,669 | USD | 95,000 | EUR | GSI | 8/26/2021 | 3,925 | ||||||||||||
58,100 | USD | 47,500 | EUR | GSI | 8/26/2021 | 1,728 | ||||||||||||
56,875 | USD | 47,500 | EUR | GSI | 8/26/2021 | 503 | ||||||||||||
Total unrealized appreciation | $ | 16,743 | ||||||||||||||||
192,000 | AUD | 144,070 | USD | GSI | 9/22/2021 | (3,137 | ) | |||||||||||
30,000 | USD | 156,750 | BRL | GSI | 8/26/2021 | (4 | ) | |||||||||||
190,000 | EUR | 232,443 | USD | GSI | 8/26/2021 | (6,956 | ) | |||||||||||
134,880,000 | KRW | 120,000 | USD | GSI | 8/26/2021 | (3,065 | ) | |||||||||||
36,000 | USD | 41,529,600 | KRW | GSI | 8/26/2021 | (4 | ) | |||||||||||
Total unrealized depreciation | $ | (13,166 | ) | |||||||||||||||
Total net unrealized appreciation | $ | 3,577 |
Total return basket swap contracts ("total return basket swaps") | |
At July 31, 2021, the Fund had outstanding total return basket swaps(a) as follows: | |
Over-the-counter total return basket swaps - Long (b) |
Counterparty | Reference Entity | Effective Variable Rate(d) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||
GSI | GSCBNBRO | 0.54 | % | 0.45 | % | 1M USD LIBOR | T/1M | 8/20/2021 | $ | 2,066 | ||||||||||
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
(a) The following table represents required component disclosures associated with the total return basket swaps: |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBRO | ||||||||||||||||
Nordstrom Inc. | 19 | $ | 2,340 | 93 | 4.5 | % | ||||||||||
Kohl's Corp. | 12 | 2,298 | 92 | 4.4 | % | |||||||||||
Wells Fargo & Co. | 11 | 1,837 | 73 | 3.5 | % | |||||||||||
CBRE Group Inc. | 5 | 1,814 | 72 | 3.5 | % | |||||||||||
Simon Property Group Inc. | 4 | 1,785 | 71 | 3.4 | % | |||||||||||
Kimco Realty Corp. | 22 | 1,769 | 71 | 3.4 | % | |||||||||||
Textron Inc. | 7 | 1,740 | 69 | 3.3 | % | |||||||||||
General Electric Co. | 33 | 1,624 | 65 | 3.1 | % | |||||||||||
Regency Centers Corp. | 6 | 1,593 | 64 | 3.1 | % | |||||||||||
PVH Corp. | 4 | 1,539 | 61 | 3.0 | % | |||||||||||
Zions Bancorp NA | 8 | 1,531 | 61 | 2.9 | % | |||||||||||
UDR Inc. | 7 | 1,523 | 61 | 2.9 | % | |||||||||||
American Airlines Group Inc. | 19 | 1,495 | 60 | 2.9 | % | |||||||||||
Essex Property Trust Inc. | 1 | 1,486 | 59 | 2.9 | % | |||||||||||
Equity Residential | 5 | 1,484 | 59 | 2.8 | % | |||||||||||
Federal Realty Investment Trust | 3 | 1,445 | 58 | 2.8 | % | |||||||||||
Carnival Corp. | 17 | 1,406 | 56 | 2.7 | % | |||||||||||
SL Green Realty Corp. | 5 | 1,398 | 56 | 2.7 | % | |||||||||||
Ralph Lauren Corp. | 4 | 1,388 | 55 | 2.7 | % | |||||||||||
Prudential Financial Inc. | 4 | 1,384 | 55 | 2.7 | % | |||||||||||
Boston Properties Inc. | 3 | 1,382 | 55 | 2.7 | % | |||||||||||
Loews Corp. | 7 | 1,372 | 55 | 2.6 | % | |||||||||||
Marriott International Inc./MD | 2 | 1,365 | 54 | 2.6 | % | |||||||||||
Norwegian Cruise Line Holdings Ltd. | 15 | 1,356 | 54 | 2.6 | % | |||||||||||
Alaska Air Group Inc. | 6 | 1,348 | 54 | 2.6 | % | |||||||||||
Huntington Bancshares Inc./OH | 25 | 1,331 | 53 | 2.6 | % | |||||||||||
Host Hotels & Resorts Inc. | 22 | 1,330 | 53 | 2.6 | % | |||||||||||
US Bancorp | 6 | 1,297 | 52 | 2.4 | % | |||||||||||
Raytheon Technologies Corp. | 4 | 1,287 | 51 | 2.4 | % | |||||||||||
United Airlines Holdings Inc. | 7 | 1,250 | 50 | 2.4 | % | |||||||||||
Boeing Co./The | 2 | 1,238 | 49 | 2.4 | % | |||||||||||
Royal Caribbean Cruises Ltd. | 4 | 1,195 | 48 | 2.3 | % | |||||||||||
Vornado Realty Trust | 7 | 1,169 | 48 | 2.2 | % | |||||||||||
Southwest Airlines Co. | 6 | 1,164 | 47 | 2.2 | % | |||||||||||
Delta Air Lines Inc. | 8 | 1,159 | 46 | 2.2 | % | |||||||||||
$ | 52,122 | $ | 2,080 | |||||||||||||
Accrued Net Interest Receivable/(Payable) | (14 | ) | ||||||||||||||
$ | 2,066 | |||||||||||||||
Total Return Basket Swaps Long, at value | $ | 2,066 |
Over-the-counter total return basket swaps - Short (c) |
Counterparty | Reference Entity | Effective Variable Rate(d) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | |||||||||||||
GSI | GSCBNBST | 0.09 | % | — | % | 1M USD LIBOR | 1M/T | 8/20/2021 | $ | (2,303 | ) |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
GSCBNBST | ||||||||||||||||
Cloudflare Inc. | (12 | ) | $ | (3,119 | ) | (131 | ) | 5.8 | % | |||||||
Roku Inc. | (3 | ) | (2,698 | ) | (113 | ) | 5.0 | % | ||||||||
Target Corp. | (3 | ) | (2,090 | ) | (88 | ) | 3.9 | % | ||||||||
Twitter Inc. | (12 | ) | (1,859 | ) | (78 | ) | 3.5 | % | ||||||||
Peloton Interactive Inc. | (7 | ) | (1,821 | ) | (77 | ) | 3.4 | % | ||||||||
Advanced Micro Devices Inc. | (6 | ) | (1,512 | ) | (64 | ) | 2.8 | % | ||||||||
Shopify Inc. | — | (1,508 | ) | (63 | ) | 2.8 | % | |||||||||
DocuSign Inc. | (2 | ) | (1,491 | ) | (63 | ) | 2.8 | % | ||||||||
Zoom Video Communications Inc. | (2 | ) | (1,472 | ) | (62 | ) | 2.7 | % | ||||||||
STERIS PLC | (3 | ) | (1,358 | ) | (57 | ) | 2.5 | % |
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | ||||||||||||
Domino's Pizza Inc. | (1 | ) | $ | (1,325 | ) | (56 | ) | 2.5 | % | |||||||
Charter Communications Inc. | (1 | ) | (1,306 | ) | (55 | ) | 2.4 | % | ||||||||
CVS Health Corp. | (7 | ) | (1,293 | ) | (54 | ) | 2.4 | % | ||||||||
Costco Wholesale Corp. | (1 | ) | (1,288 | ) | (54 | ) | 2.4 | % | ||||||||
Constellation Brands Inc. | (2 | ) | (1,232 | ) | (52 | ) | 2.3 | % | ||||||||
Altice USA Inc. | (18 | ) | (1,232 | ) | (52 | ) | 2.3 | % | ||||||||
Dollar General Corp. | (2 | ) | (1,203 | ) | (51 | ) | 2.2 | % | ||||||||
Kroger Co./The | (12 | ) | (1,150 | ) | (48 | ) | 2.1 | % | ||||||||
BJ's Wholesale Club Holdings Inc. | (10 | ) | (1,138 | ) | (48 | ) | 2.1 | % | ||||||||
NetEase Inc. | (5 | ) | (1,111 | ) | (47 | ) | 2.1 | % | ||||||||
Amazon.com Inc. | — | (1,074 | ) | (45 | ) | 2.0 | % | |||||||||
Take-Two Interactive Software Inc. | (3 | ) | (1,070 | ) | (45 | ) | 2.0 | % | ||||||||
Walmart Inc. | (3 | ) | (1,067 | ) | (45 | ) | 2.0 | % | ||||||||
Intel Corp. | (9 | ) | (1,065 | ) | (45 | ) | 2.0 | % | ||||||||
Electronic Arts Inc. | (3 | ) | (1,039 | ) | (44 | ) | 1.9 | % | ||||||||
Akamai Technologies Inc. | (4 | ) | (1,027 | ) | (43 | ) | 1.9 | % | ||||||||
Netflix Inc. | (1 | ) | (1,026 | ) | (43 | ) | 1.9 | % | ||||||||
Zynga Inc. | (45 | ) | (1,021 | ) | (43 | ) | 1.9 | % | ||||||||
Activision Blizzard Inc. | (5 | ) | (1,006 | ) | (42 | ) | 1.9 | % | ||||||||
Keurig Dr Pepper Inc. | (13 | ) | (1,005 | ) | (42 | ) | 1.9 | % | ||||||||
Verizon Communications Inc. | (8 | ) | (963 | ) | (40 | ) | 1.8 | % | ||||||||
RingCentral Inc. | (1 | ) | (945 | ) | (40 | ) | 1.8 | % | ||||||||
AT&T Inc. | (15 | ) | (941 | ) | (40 | ) | 1.8 | % | ||||||||
General Mills Inc. | (7 | ) | (902 | ) | (38 | ) | 1.7 | % | ||||||||
Conagra Brands Inc. | (12 | ) | (890 | ) | (37 | ) | 1.7 | % | ||||||||
Kellogg Co. | (6 | ) | (890 | ) | (37 | ) | 1.7 | % | ||||||||
Campbell Soup Co. | (9 | ) | (868 | ) | (36 | ) | 1.6 | % | ||||||||
Spotify Technology SA | (2 | ) | (824 | ) | (35 | ) | 1.5 | % | ||||||||
Just Eat Takeaway.com NV | (20 | ) | (817 | ) | (34 | ) | 1.5 | % | ||||||||
Clorox Co./The | (2 | ) | (775 | ) | (32 | ) | 1.4 | % | ||||||||
Citrix Systems Inc. | (3 | ) | (697 | ) | (29 | ) | 1.3 | % | ||||||||
Teladoc Health Inc. | (2 | ) | (686 | ) | (29 | ) | 1.3 | % | ||||||||
salesforce.com Inc. | (1 | ) | (628 | ) | (26 | ) | 1.2 | % | ||||||||
Interactive Brokers Group Inc. | (4 | ) | (623 | ) | (26 | ) | 1.2 | % | ||||||||
Fastly Inc. | (5 | ) | (590 | ) | (25 | ) | 1.1 | % | ||||||||
$ | (53,645 | ) | $ | (2,254 | ) | |||||||||||
Accrued Net Interest Receivable/(Payable) | (49 | ) | ||||||||||||||
$ | (2,303 | ) | ||||||||||||||
Total Return Basket Swaps Short, at value | $ | (2,303 | ) |
(b) | The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The receipts may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(d) | Effective rate at July 31, 2021. |
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
Total return swap contracts ("total return swaps") | |
At July 31, 2021, the Fund had outstanding total return swaps as follows: | |
Over-the-counter total return swaps - Long (a) |
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||
GSI | iShares China Large-Cap ETF | USD | 34,418 | 1/27/2022 | 0.29 | % | 0.20 | % | 1M USD LIBOR | T/1M | $ | 1,223 | $ | (1 | ) | $ | 1,222 | ||||||||||||||||||
GSI | Vaneck Vectors Semiconductor ETF | USD | 57,365 | 1/12/2022 | 0.10 | % | —% | 1M USD LIBOR | T/1M | 603 | (3 | ) | 600 | ||||||||||||||||||||||
Total | $ | 1,826 | $ | (4 | ) | $ | 1,822 |
Over-the-counter total return swaps - Short (b) |
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||||||||||
GSI | iShares MSCI Emerging Markets ETF | USD | (33,850 | ) | 1/27/2022 | (0.41 | )% | (0.50 | )% | 1M USD LIBOR | 1M/T | $ | (827 | ) | $ | (1 | ) | $ | (828 | ) |
(a) | The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. |
(c) | Effective rate at July 31, 2021. |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2021:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(b)(c) | Total | ||||||||||||
Investments: | ||||||||||||||||
Common Stocks(a) | $ | 6,535,454 | $ | — | $ | — | $ | 6,535,454 | ||||||||
U.S. Treasury Obligations | — | 966,284 | — | 966,284 | ||||||||||||
U.S. Government Agency Securities | — | 15,044 | — | 15,044 | ||||||||||||
Corporate Bonds(a) | — | 1,184,500 | — | 1,184,500 | ||||||||||||
Exchange-Traded Funds | 1,801,243 | — | — | 1,801,243 | ||||||||||||
Short-Term Investments | — | 290,088 | — | 290,088 | ||||||||||||
Total Investments | $ | 8,336,697 | $ | 2,455,916 | $ | — | $ | 10,792,613 |
(a) | The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary. |
(b) | The reconciliation between beginning and ending balances of investments in which unobservable inputs (Level 3) were used is not presented as all values rounded to less than $1,000. |
(c) | At the beginning of the year, these investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 investments in options purchased at July 31, 2021. |
See Notes to Schedule of Investments |
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2021: |
Other Financial Instruments | Level 1 | Level 2 | Level 3(b) | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 4,400 | $ | — | $ | — | $ | 4,400 | ||||||||
Liabilities | (94,413 | ) | — | — | (94,413 | ) | ||||||||||
Forward FX Contracts(a) | ||||||||||||||||
Assets | — | 16,743 | — | 16,743 | ||||||||||||
Liabilities | — | (13,166 | ) | — | (13,166 | ) | ||||||||||
Swaps | ||||||||||||||||
Assets | — | 3,888 | — | 3,888 | ||||||||||||
Liabilities | — | (3,079 | ) | — | (3,079 | ) | ||||||||||
Total | $ | (90,013 | ) | $ | 4,386 | $ | — | $ | (85,627 | ) |
(a) | Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
(b) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
(000’s omitted) | Beginning balance, as of 11/1/2020 | Accrued discounts/ (premiums) | Realized gain/ (loss) | Change in unrealized appreciation/ (depreciation) | Purchases/ Closing of options | Sales/ Writing of options | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 7/31/2021 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 7/31/2021 | ||||||||||||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||||||||||
Options Written(c) | $ | (14 | ) | $ | — | $ | 10 | $ | 4 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Total | $ | (14 | ) | $ | — | $ | 10 | $ | 4 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
(c) | At the beginning of the year, these investments were valued in accordance with procedures approved by the Board of Trustees. The Fund held no Level 3 derivative instruments at July 31, 2021. |
Investments in Affiliates(a)
Value at October 31, 2020 | Purchase Cost | Sales Proceeds /Return of Capital | Change in Net Unrealized Appreciation/ (Depreciation) from Investments in Affiliated Persons | Net Realized Gain/(Loss) from Investments in Affiliated Persons | Distributions from Investments in Affiliated Persons(b) | Shares held at July 31, 2021 | Value at July 31, 2021 | |||||||||||||||||||||||||
Neuberger Berman Commodity Strategy Institutional Class | $ | 420,889 | $ | — | $ | 466,458 | $ | 77,029 | $ | (31,460 | ) | $ | — | $ | — | $ | — | |||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Class R6 | 563,538 | 3,119 | 705,748 | (93,454 | ) | 232,545 | 3,119 | — | — | |||||||||||||||||||||||
Neuberger Berman Genesis Fund Class R6 | 351,639 | 15,735 | 438,106 | (48,995 | ) | 119,727 | 15,735 | — | — | |||||||||||||||||||||||
Neuberger Berman International Select Fund Class R6 | 840,317 | 14,709 | 998,385 | (119,034 | ) | 262,393 | 14,709 | — | — | |||||||||||||||||||||||
Sub-total for affiliates no longer held as of 7/31/21 | $ | 2,176,383 | $ | 33,563 | $ | 2,608,697 | $ | (184,454 | ) | $ | 583,205 | $ | 33,563 | $ | — | $ | — |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund^
(Unaudited) (cont’d)
(a) | Affiliated persons, as defined in the Investment Company Act of 1940, as amended. Neuberger Berman Alternative Funds and Neuberger Berman Investment Advisers LLC ("NBIA") have obtained an exemptive order from the Securities and Exchange Commission that permits the Fund to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(1)(A) of the 1940 Act, subject to the terms and conditions of such order. |
(b) | Distributions received include distributions from net investment income and net realized capital gains, if any, from the other investment companies managed by NBIA. |
^ | A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1. |
See Notes to Schedule of Investments |
Schedule of Investments Long Short Fund^
(Unaudited) July 31, 2021
Number of Shares | Value | ||||||
Long Positions 97.8% | |||||||
Common Stocks 85.4% | |||||||
Aerospace & Defense 1.0% | |||||||
216,906 | L3Harris Technologies, Inc. | $ | 49,181,266 | ||||
Air Freight & Logistics 0.7% | |||||||
130,600 | FedEx Corp. | 36,561,470 | |||||
Automobiles 0.7% | |||||||
1,733,333 | Lucid Group, Inc. | 37,162,659 | *(a)(o)(p) | ||||
Banks 1.8% | |||||||
520,774 | Citigroup, Inc. | 35,214,738 | |||||
381,146 | JPMorgan Chase & Co. | 57,850,340 | |||||
93,065,078 | |||||||
Beverages 2.0% | |||||||
2,811,385 | Keurig Dr Pepper, Inc. | 98,988,866 | |||||
Capital Markets 5.6% | |||||||
1,363,237 | Apollo Global Management, Inc. | 80,240,130 | |||||
29,000 | BlackRock, Inc. | 25,147,930 | (b) | ||||
322,919 | Blackstone Group, Inc. Class A | 37,222,873 | |||||
987,837 | Brookfield Asset Management, Inc. Class A | 53,333,320 | |||||
298,500 | CME Group, Inc. | 63,320,805 | (b) | ||||
306,818 | Tradeweb Markets, Inc. Class A | 26,610,325 | |||||
285,875,383 | |||||||
Chemicals 2.6% | |||||||
187,400 | Air Products & Chemicals, Inc. | 54,539,022 | |||||
931,000 | Ashland Global Holdings, Inc. | 79,200,170 | |||||
133,739,192 | |||||||
Commercial Services & Supplies 2.9% | |||||||
2,158,660 | LegalZoom.com, Inc. | 74,171,558 | *(a)(p) | ||||
15,872 | LegalZoom.com, Inc. | 583,772 | * | ||||
502,185 | Waste Management, Inc. | 74,453,948 | |||||
149,209,278 | |||||||
Containers & Packaging 0.4% | |||||||
106,845 | Avery Dennison Corp. | 22,510,105 | |||||
Distributors 0.2% | |||||||
160,400 | LKQ Corp. | 8,140,300 | * | ||||
Diversified Consumer Services 0.1% | |||||||
365,595 | OneSpaWorld Holdings Ltd. | 3,612,079 | * | ||||
Diversified Financial Services 0.7% | |||||||
732,451 | Equitable Holdings, Inc. | 22,610,762 | |||||
1,800,000 | Sunlight Financial Holdings, Inc. | 14,580,000 | *(a)(o)(p) | ||||
37,190,762 | |||||||
Diversified Telecommunication Services 0.3% | |||||||
472,631 | Frontier Communications Parent, Inc. | 14,136,393 | * | ||||
Electric Utilities 2.2% | |||||||
1,410,371 | NextEra Energy, Inc. | 109,867,901 | |||||
Electrical Equipment 0.7% | |||||||
1,059,800 | nVent Electric PLC | 33,500,278 | |||||
Electronic Equipment, Instruments & Components 2.5% | |||||||
357,800 | Amphenol Corp. Class A | 25,936,922 | |||||
241,389 | CDW Corp. | 44,258,673 | |||||
394,129 | TE Connectivity Ltd. | 58,122,204 | |||||
128,317,799 | |||||||
Entertainment 1.9% | |||||||
661,397 | Activision Blizzard, Inc. | 55,306,017 | (b) | ||||
122,100 | Spotify Technology SA | 27,920,607 | * | ||||
80,194 | Walt Disney Co. | 14,115,748 | * | ||||
97,342,372 | |||||||
Equity Real Estate Investment Trusts 0.7% | |||||||
99,815 | SBA Communications Corp. | 34,035,917 | |||||
Food & Staples Retailing 1.1% | |||||||
40,100 | Costco Wholesale Corp. | 17,231,772 | |||||
261,593 | Walmart, Inc. | 37,290,082 | |||||
54,521,854 | |||||||
Food Products 2.5% | |||||||
777,540 | Lamb Weston Holdings, Inc. | 51,916,346 | |||||
611,324 | Mondelez International, Inc. Class A | 38,672,356 | |||||
668,204 | Utz Brands, Inc. | 15,128,139 | (c) | ||||
1,000,000 | Whole Earth Brands, Inc. | 12,860,000 | * | ||||
576,200 | Whole Earth Brands, Inc. | 7,409,932 | * | ||||
125,986,773 | |||||||
Health Care Equipment & Supplies 1.9% | |||||||
110,475 | Becton, Dickinson & Co. | 28,253,981 | |||||
512,282 | Medtronic PLC | 67,267,750 | |||||
95,521,731 | |||||||
Health Care Providers & Services 2.5% | |||||||
130,100 | Humana, Inc. | 55,404,386 | |||||
173,200 | UnitedHealth Group, Inc. | 71,396,504 | (d) | ||||
126,800,890 | |||||||
Hotels, Restaurants & Leisure 3.5% | |||||||
312,247 | Expedia Group, Inc. | 50,231,175 | * | ||||
179,277 | Marriott International, Inc. Class A | 26,170,856 | * | ||||
418,224 | McDonald's Corp. | 101,507,147 | |||||
177,909,178 | |||||||
Household Products 0.5% | |||||||
175,900 | Procter & Gamble Co. | 25,018,257 | |||||
Industrial Conglomerates 0.6% | |||||||
124,462 | Honeywell International, Inc. | 29,097,971 | |||||
Interactive Media & Services 4.0% | |||||||
45,870 | Alphabet, Inc. Class A | 123,598,091 | * | ||||
218,331 | Facebook, Inc. Class A | 77,791,335 | *(b) | ||||
201,389,426 | |||||||
Internet & Direct Marketing Retail 3.4% | |||||||
37,505 | Amazon.com, Inc. | 124,801,263 | *(b) | ||||
535,105 | Chewy, Inc. Class A | 44,788,288 | *(c) | ||||
169,589,551 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Number of shares | Value | ||||||
IT Services 4.6% | |||||||
399,600 | Fidelity National Information Services, Inc. | $ | 59,560,380 | ||||
1,759,300 | Paya Holdings, Inc. Class A | 20,214,357 | * | ||||
720,900 | Payoneer Global, Inc. | 6,675,534 | *(a)(o)(p) | ||||
700,441 | Payoneer Global, Inc. | 6,612,163 | *(c) | ||||
670,997 | Repay Holdings Corp. | 16,714,535 | * | ||||
198,700 | Visa, Inc. Class A | 48,957,693 | (b) | ||||
380,094 | WEX, Inc. | 72,115,235 | * | ||||
230,849,897 | |||||||
Life Sciences Tools & Services 0.8% | |||||||
74,800 | Thermo Fisher Scientific, Inc. | 40,392,748 | |||||
Machinery 0.4% | |||||||
72,000 | Parker-Hannifin Corp. | 22,466,160 | |||||
Multi-Utilities 1.4% | |||||||
1,214,813 | CenterPoint Energy, Inc. | 30,929,139 | (b) | ||||
417,548 | WEC Energy Group, Inc. | 39,307,969 | |||||
70,237,108 | |||||||
Multiline Retail 0.6% | |||||||
290,277 | Dollar Tree, Inc. | 28,966,742 | * | ||||
Oil, Gas & Consumable Fuels 1.6% | |||||||
306,313 | Chevron Corp. | 31,185,727 | |||||
1,158,700 | Enbridge, Inc. | 45,594,845 | |||||
329 | Venture Global LNG, Inc. Ser. C | 2,277,338 | *(a)(e)(p) | ||||
79,057,910 | |||||||
Pharmaceuticals 0.6% | |||||||
180,300 | Johnson & Johnson | 31,047,660 | |||||
Professional Services 4.6% | |||||||
2,584,217 | Dun & Bradstreet Holdings, Inc. | 54,165,188 | * | ||||
320,868 | Equifax, Inc. | 83,618,201 | |||||
793,800 | IHS Markit Ltd. | 92,747,592 | (b) | ||||
230,530,981 | |||||||
Road & Rail 1.8% | |||||||
436,005 | Uber Technologies, Inc. | 18,948,777 | * | ||||
320,700 | Union Pacific Corp. | 70,156,332 | |||||
89,105,109 | |||||||
Semiconductors & Semiconductor Equipment 0.7% | |||||||
78,400 | Analog Devices, Inc. | 13,125,728 | |||||
29,397 | ASML Holding NV | 22,539,856 | |||||
35,665,584 | |||||||
Software 14.1% | |||||||
170,109 | Adobe, Inc. | 105,744,858 | * | ||||
1,250,600 | Anaplan, Inc. | 71,534,320 | * | ||||
68,149 | AvidXchange, Inc. | 5,051,954 | *(a)(e)(p) | ||||
85,152 | DoubleVerify Holdings, Inc. | 2,946,259 | * | ||||
429,950 | DoubleVerify Holdings, Inc. | 14,080,862 | *(a)(p) | ||||
1,308,129 | Duck Creek Technologies, Inc. | 57,466,107 | * | ||||
393,303 | Microsoft Corp. | 112,055,958 | |||||
466,458 | Paycor HCM, Inc. | 12,827,595 | * | ||||
1,517,671 | Paycor HCM, Inc. | 38,214,956 | *(a)(p) | ||||
66,817 | Riskified Ltd. Class A | 1,832,122 | * | ||||
455,371 | salesforce.com, Inc. | 110,167,906 | * | ||||
137,682 | ServiceNow, Inc. | 80,941,871 | * | ||||
391,924 | Splunk, Inc. | 55,645,369 | * | ||||
203,585 | Workday, Inc. Class A | 47,720,324 | *(b) | ||||
716,230,461 | |||||||
Specialty Retail 4.3% | |||||||
188,590 | Asbury Automotive Group, Inc. | 38,747,701 | * | ||||
83,074 | Floor & Decor Holdings, Inc. Class A | 10,135,859 | * | ||||
241,847 | Home Depot, Inc. | 79,371,767 | (b) | ||||
13,789 | O'Reilly Automotive, Inc. | 8,326,350 | *(b) | ||||
799,170 | TJX Cos., Inc. | 54,990,888 | |||||
82,673 | Ulta Beauty, Inc. | 27,761,593 | * | ||||
219,334,158 | |||||||
Technology Hardware, Storage & Peripherals 1.9% | |||||||
675,432 | Apple, Inc. | 98,518,511 | |||||
Textiles, Apparel & Luxury Goods 1.0% | |||||||
236,985 | NIKE, Inc. Class B | 39,697,357 | |||||
261,100 | Tapestry, Inc. | 11,044,530 | * | ||||
50,741,887 |
NUMBER OF UNITS | |||||||
Holding Companies - Diversified 0.2% | |||||||
1,082,400 | Independence Holdings Corp. (Cost $10,824,000) | 10,845,648 | * | ||||
Total Common Stocks (Cost $3,046,573,180) | 4,332,263,293 | ||||||
Preferred Stocks 2.5% | |||||||
Hotels, Restaurants & Leisure 0.2% | |||||||
626,667 | Sweetgreen, Inc. Ser. D | 8,585,338 | *(a)(e)(p) | ||||
59,031 | Sweetgreen, Inc. Ser. I | 1,009,430 | *(a)(e)(p) | ||||
51,075 | Sweetgreen, Inc. Ser. J | 873,383 | *(a)(e)(p) | ||||
10,468,151 | |||||||
IT Services 0.3% | |||||||
959,038 | Cybereason, Inc. Ser. F | 4,750,000 | *(a)(e)(p) | ||||
658,071 | Druva, Inc. Ser. 4 Preferred Shares | 6,167,968 | *(a)(e)(p) | ||||
480,112 | Druva, Inc. Ser. 5 Preferred Shares | 4,499,994 | *(a)(e)(p) | ||||
15,417,962 | |||||||
Software 0.5% | |||||||
272,596 | AvidXchange, Inc. Ser. F | 20,207,814 | *(a)(e)(p) | ||||
78,686 | Signifyd, Inc. Ser. A | 2,427,463 | *(a)(e)(p) | ||||
180,619 | Signifyd, Inc. Ser. Seed | 5,572,096 | *(a)(e)(p) | ||||
28,207,373 | |||||||
Specialty Retail 1.5% | |||||||
2,076,345 | Fanatics, Inc. Ser. E | 72,402,150 | *(a)(e)(p) | ||||
52,193 | Fanatics, Inc. Ser. F | 1,819,970 | *(a)(e)(p) | ||||
74,222,120 | |||||||
Total Preferred Stocks (Cost $81,162,834) | 128,315,606 |
Principal Amount | |||||||
Loan Assignments(f) 0.7% | |||||||
Business Equipment & Services 0.2% | |||||||
7,663,221 | Cyxtera DC Holdings, Inc., Term Loan B, (6M USD LIBOR + 3.00%), 4.00%, due 5/1/2024 | 7,478,000 | |||||
Leisure Goods - Activities - Movies 0.5% | |||||||
25,000,000 | OneSpaWorld, LLC, Second Lien Term Loan, (3M USD LIBOR + 7.50%), 7.63%, due 3/18/2027 | 25,500,000 | (a)(e)(p) | ||||
Total Loan Assignments (Cost $31,592,820) | 32,978,000 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Principal Amount | Value | |||||||
Corporate Bonds 2.9% | ||||||||
Commercial Services 0.5% | ||||||||
$ | 23,530,000 | APX Group, Inc., 7.63%, due 9/1/2023 | $ | 24,068,836 | ||||
Electric 0.1% | ||||||||
3,716,000 | Wisconsin Energy Corp., (3M USD LIBOR + 2.11%), 2.27%, due 5/15/2067 | 3,488,358 | (f) | |||||
Entertainment 0.0%(g) | ||||||||
910,000 | Cinemark USA, Inc., 5.88%, due 3/15/2026 | 894,075 | (h) | |||||
Gas 0.2% | ||||||||
12,105,000 | Rockpoint Gas Storage Canada Ltd., 7.00%, due 3/31/2023 | 12,316,837 | (h) | |||||
Internet 0.2% | ||||||||
Uber Technologies, Inc. | ||||||||
1,850,000 | 7.50%, due 9/15/2027 | 2,021,495 | (h) | |||||
5,555,000 | 6.25%, due 1/15/2028 | 5,993,845 | (c)(h) | |||||
8,015,340 | ||||||||
Miscellaneous Manufacturer 0.8% | ||||||||
Anagram International, Inc./Anagram Holdings LLC | ||||||||
23,064,878 | 10.00% Cash & 5.00% PIK, due 8/15/2025 | 26,063,312 | (h)(i) | |||||
15,365,358 | 5.00% Cash & 5.00% PIK, due 8/15/2026 | 15,058,051 | (h)(i) | |||||
41,121,363 | ||||||||
Pipelines 0.0%(g) | ||||||||
1,730,000 | Enterprise Products Operating LLC, (3M USD LIBOR + 2.78%), 2.91%, due 6/1/2067 | 1,608,900 | (f) | |||||
Retail 0.5% | ||||||||
27,199,035 | Party City Holdings, Inc., (6M USD LIBOR + 5.00%, Floor 5.75%), 5.75%, due 7/15/2025 | 25,703,088 | (f)(h) | |||||
Specialty Retail 0.6% | ||||||||
27,200,000 | Petsmart, Inc./Petsmart Finance Corp., 7.75%, due 2/15/2029 | 29,818,544 | (h) | |||||
Total Corporate Bonds (Cost $105,692,817) | 147,035,341 | |||||||
Convertible Bonds 0.2% | ||||||||
Health Care Providers & Services 0.1% | ||||||||
$ | 5,915,000 | Oak Street Health, Inc., 0.00%, due 3/15/2026 | 6,264,805 | (h) | ||||
Internet 0.1% | ||||||||
1,835,000 | Uber Technologies, Inc., 0.00%, due 12/15/2025 | 1,790,042 | (h) | |||||
Total Convertible Bonds (Cost $7,750,000) | 8,054,847 |
Number of Units | |||||||
Master Limited Partnerships and Limited Partnerships 2.0% | |||||||
Multi-Utilities 0.8% | |||||||
755,300 | Brookfield Infrastructure Partners L.P. | 40,846,624 | |||||
Oil, Gas & Consumable Fuels 1.2% | |||||||
2,602,100 | Enterprise Products Partners L.P. | 58,729,397 | |||||
Professional Services 0.0%(g) | |||||||
2,584,217 | CC DNB Holdings, L.P. | — | *(a)(o) | ||||
Total Master Limited Partnerships and Limited Partnerships (Cost $79,567,482) | 99,576,021 |
Number of Shares | |||||||
Warrants 0.1% | |||||||
Diversified Consumer Services 0.1% | |||||||
52,600 | OneSpaWorld Holdings Ltd. Expires 3/19/2024 | 132,026 | * | ||||
653,334 | OneSpaWorld Holdings Ltd. Expires 6/12/2025 | 3,338,537 | *(a)(o) | ||||
3,470,563 | |||||||
Food Products 0.0%(g) | |||||||
701,800 | Whole Earth Brands, Inc. Expires 6/25/2025 | 1,228,150 | * | ||||
301,400 | Whole Earth Brands, Inc. Expires 6/25/2025 | 527,450 | * | ||||
1,755,600 | |||||||
Hotels, Restaurants & Leisure 0.0%(g) | |||||||
1 | Sweetgreen, Inc. Ser. J Expires 1/21/2026 | —*(a)(e)(p) | |||||
Total Warrants (Cost $433,413) | 5,226,163 | ||||||
Purchased Options(j) 0.0%(g) (Cost $6,687,714) | 1,251,938 | ||||||
Short-Term Investments 3.8% | |||||||
Investment Companies 3.8% | |||||||
155,809,575 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(k) | 155,809,575 | (d) | ||||
38,303,955 | State Street Navigator Securities Lending Government Money Market Portfolio, 0.04%(k) | 38,303,955 | (l) | ||||
Total Short-Term Investments (Cost $194,113,530) | 194,113,530 | ||||||
Total Long Positions (97.8%) (Cost $3,553,573,790) | 4,948,814,739 | ||||||
Short Positions ((9.8)%)(m) | |||||||
Common Stocks Sold Short (7.5)% | |||||||
Aerospace & Defense (0.1)% | |||||||
(16,200 | ) | Northrop Grumman Corp. | (5,880,924 | ) | |||
Automobiles (0.3)% | |||||||
(97,100 | ) | NIO, Inc. ADR | (4,338,427 | )* | |||
(11,650 | ) | Tesla, Inc. | (8,005,880 | )* | |||
(100,000 | ) | XPeng, Inc. ADR | (4,053,000 | )* | |||
(16,397,307 | ) | ||||||
Capital Markets (0.3)% | |||||||
(498,300 | ) | Franklin Resources, Inc. | (14,724,765 | ) | |||
Electric Utilities (0.2)% | |||||||
(143,900 | ) | Southern Co. | (9,190,893 | ) | |||
Equity Real Estate Investment Trusts (0.3)% | |||||||
(349,900 | ) | Iron Mountain, Inc. | (15,311,624 | ) | |||
Food & Staples Retailing (0.8)% | |||||||
(665,600 | ) | Kroger Co. | (27,089,920 | ) | |||
(533,718 | ) | Sprouts Farmers Market, Inc. | (13,118,788 | )* | |||
(40,208,708 | ) |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Number of Shares | Value | ||||||
Food Products (0.3)% | |||||||
(294,167 | ) | Campbell Soup Co. | $ | (12,860,981 | ) | ||
Holding Companies - Diversified (0.1)% | |||||||
(409,511 | ) | Mudrick Capital Acquisition Corp. II, Class A | (4,406,338 | )* | |||
Hotels, Restaurants & Leisure (0.6)% | |||||||
(47,671 | ) | Domino's Pizza, Inc. | (25,050,634 | ) | |||
(55,800 | ) | Shake Shack, Inc. Class A | (5,610,132 | )* | |||
(30,660,766 | ) | ||||||
Household Products (0.2)% | |||||||
(113,100 | ) | Church & Dwight Co., Inc. | (9,792,198 | ) | |||
Industrial Conglomerates (0.4)% | |||||||
(114,099 | ) | 3M Co. | (22,584,756 | ) | |||
Insurance (0.2)% | |||||||
(101,278 | ) | Lemonade, Inc. | (8,817,263 | )* | |||
Internet & Direct Marketing Retail (0.1)% | |||||||
(34,071 | ) | DoorDash, Inc. Class A | (5,938,235 | )* | |||
IT Services (0.7)% | |||||||
(92,000 | ) | Automatic Data Processing, Inc. | (19,285,960 | ) | |||
(668,000 | ) | Western Union Co. | (15,504,280 | ) | |||
(34,790,240 | ) | ||||||
Leisure Products (0.2)% | |||||||
(78,798 | ) | Polaris, Inc. | (10,328,054 | ) | |||
Multi-Utilities (0.5)% | |||||||
(335,260 | ) | Consolidated Edison, Inc. | (24,732,130 | ) | |||
Software (1.9)% | |||||||
(271,289 | ) | fuboTV, Inc. | (7,064,366 | )* | |||
(122,000 | ) | Guidewire Software, Inc. | (14,054,400 | )* | |||
(88,000 | ) | Oracle Corp. | (7,668,320 | ) | |||
(32,086 | ) | Paycom Software, Inc. | (12,834,400 | )* | |||
(136,200 | ) | Sailpoint Technologies Holdings, Inc. | (6,808,638 | )* | |||
(180,000 | ) | SAP SE ADR | (25,869,600 | ) | |||
(61,099 | ) | Zoom Video Communications, Inc. Class A | (23,101,532 | )* | |||
(97,401,256 | ) | ||||||
Specialty Retail (0.3)% | |||||||
(31,405 | ) | Carvana Co. | (10,601,072 | )* | |||
(23,211 | ) | GameStop Corp. Class A | (3,739,756 | )* | |||
(14,340,828 | ) | ||||||
Total Common Stocks Sold Short (Proceeds $(341,847,842)) | (378,367,266 | ) |
Principal Amount | ||||||||
Corporate Bonds Sold Short (1.0)% | ||||||||
Computers (0.1)% | ||||||||
$ | (5,000,000) | Banff Merger Sub, Inc., 9.75%, due 9/1/2026 | (5,269,300 | )(h) | ||||
Lodging (0.2)% | ||||||||
(7,000,000) | Boyd Gaming Corp., 4.75%, due 12/1/2027 | (7,271,250 | ) | |||||
Media (0.5)% | ||||||||
(5,000,000) | Clear Channel Worldwide Holdings, Inc., 5.13%, due 8/15/2027 | (5,150,000 | )(h) | |||||
(5,000,000) | Entercom Media Corp., 6.50%, due 5/1/2027 | (5,187,700 | )(h) | |||||
(10,000,000) | iHeartCommunications, Inc., 8.38%, due 5/1/2027 | (10,662,500 | ) | |||||
$ | (6,000,000) | Univision Communications, Inc., 5.13%, due 2/15/2025 | (6,116,340) | (h) | ||||
(27,116,540 | ) | |||||||
Retail (0.2)% | ||||||||
(10,000,000) | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/1/2025 | (10,327,700 | ) | |||||
Total Corporate Bonds Sold Short (Proceeds $(46,929,131)) | (49,984,790 | ) |
Number of Shares | ||||||||
Exchange-Traded Funds Sold Short (1.3)% | ||||||||
(178,300) | iShares iBoxx $ Investment Grade Corporate Bond ETF | (24,250,583 | ) | |||||
(436,147) | SPDR S&P Retail ETF | (41,551,725 | ) | |||||
Total Exchange-Traded Funds Sold Short (Proceeds $(60,062,694)) | (65,802,308 | ) | ||||||
Total Short Positions (Proceeds $(448,839,667)) | (494,154,364 | ) | ||||||
Total Investments 88.0% (Cost $3,104,734,123) | 4,454,660,375 | |||||||
Other Assets Less Liabilities 12.0% | 607,675,460 | (n) | ||||||
Net Assets 100.0% | $ | 5,062,335,835 |
* | Non-income producing security. |
(a) | Security fair valued as of July 31, 2021 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at July 31, 2021 amounted to $349,369,004, which represents 6.9% of net assets of the Fund. |
(b) | All or a portion of the security is pledged as collateral for options written. |
(c) | The security or a portion of this security is on loan at July 31, 2021. Total value of all such securities at July 31, 2021 amounted to approximately $36,573,661 for the Fund. |
(d) | All or a portion of this security is segregated in connection with obligations for securities sold short, options written, swaps and/or futures with a total value of $227,206,079. |
(e) | Value determined using significant unobservable inputs. |
(f) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2021 and changes periodically. |
(g) | Represents less than 0.05% of net assets of the Fund. |
(h) | Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At July 31, 2021, these securities amounted to $125,924,094 of long positions and $(21,723,340) of short positions, which represents 2.5% and (0.4)%, respectively, of net assets of the Fund. |
(i) | Payment-in-kind (PIK) security. |
(j) | See “Purchased option contracts” under Derivative Instruments. |
(k) | Represents 7-day effective yield as of July 31, 2021. |
(l) | Represents investment of cash collateral received from securities lending. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
(m) | At July 31, 2021, the Fund had $454,761,139 deposited in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. |
(n) | Includes the impact of the Fund's open positions in derivatives at July 31, 2021. |
(o) | Security acquired via a PIPE transaction. |
(p) | These securities have been deemed by the investment manager to be illiquid, and are subject to restrictions on resale. At July 31, 2021, this security amounted to $346,030,467, which represents 6.8% of net assets of the Fund. |
Restricted Security |
Acquisition Date |
Acquisition Cost | Acquisition Cost Percentage of Net Assets as of Acquisition Date |
Value as of 7/31/2021 | Fair Value Percentage of Net Assets as of 7/31/2021 | |||||||||||||
AvidXchange, Inc. | 4/7/2020 | $ | 3,340,119 | 0.1 | % | $ | 5,051,954 | 0.1 | % | |||||||||
AvidXchange, Inc. (Ser. F Preferred Shares) | 4/7/2020 | 13,360,475 | 0.5 | % | 20,207,814 | 0.4 | % | |||||||||||
Cybereason, Inc. (Ser. F Preferred Shares) | 7/13/2021 | 4,750,000 | 0.1 | % | 4,750,000 | 0.1 | % | |||||||||||
DoubleVerify Holdings, Inc. | 11/18/2020 | 7,399,998 | 0.2 | % | 14,080,862 | 0.3 | % | |||||||||||
Druva, Inc. (Ser. 4 Preferred Shares) | 6/14/2019 | 3,429,998 | 0.1 | % | 6,167,968 | 0.1 | % | |||||||||||
Druva, Inc. (Ser. 5 Preferred Shares) | 4/1/2021 | 4,500,000 | 0.1 | % | 4,499,994 | 0.1 | % | |||||||||||
Fanatics, Inc. (Ser. E Preferred Shares) | 8/13/2020 | 35,900,005 | 1.0 | % | 72,402,150 | 1.4 | % | |||||||||||
Fanatics, Inc. (Ser. F Preferred Shares) | 4/29/2021 | 1,819,970 | 0.0 | % | 1,819,970 | 0.0 | % | |||||||||||
LegalZoom.com, Inc. | 8/22/2018 | 21,259,563 | 0.6 | % | 74,171,558 | 1.5 | % | |||||||||||
Lucid Group, Inc. | 7/26/2021 | 25,999,995 | 0.5 | % | 37,162,659 | 0.7 | % | |||||||||||
OneSpaWorld, LLC, Second Lien Term Loan | 3/19/2019 | 24,657,394 | 1.0 | % | 25,500,000 | 0.5 | % | |||||||||||
Paycor HCM, Inc. | 7/27/2021 | 35,000,000 | 0.7 | % | 38,214,956 | 0.8 | % | |||||||||||
Payoneer Global, Inc. | 6/29/2021 | 7,209,000 | 0.1 | % | 6,675,534 | 0.1 | % | |||||||||||
Signifyd, Inc. (Ser. A Preferred Shares) | 5/24/2021 | 2,427,463 | 0.1 | % | 2,427,463 | 0.1 | % | |||||||||||
Signifyd, Inc. (Ser. Seed Preferred Shares) | 5/24/2021 | 5,572,106 | 0.1 | % | 5,572,096 | 0.1 | % | |||||||||||
Sunlight Financial Holdings, Inc. | 7/12/2021 | 18,000,000 | 0.4 | % | 14,580,000 | 0.3 | % | |||||||||||
Sweetgreen, Inc. (Ser. D Preferred Shares) | 11/30/2018 | 7,520,004 | 0.3 | % | 8,585,338 | 0.2 | % | |||||||||||
Sweetgreen, Inc. (Ser. I Preferred Shares) | 9/13/2019 | 1,009,430 | 0.0 | % | 1,009,430 | 0.0 | % | |||||||||||
Sweetgreen, Inc. (Ser. J Preferred Shares) | 1/21/2021 | 873,383 | 0.0 | % | 873,383 | 0.0 | % | |||||||||||
Sweetgreen, Inc. (Ser. J Warrants) | 1/21/2021 | — | 0.0 | % | — | 0.0 | % | |||||||||||
Venture Global LNG, Inc. Ser. C | 11/21/2018 | 2,303,000 | 0.1 | % | 22,77,338 | 0.0 | % | |||||||||||
Total | $ | 226,331,903 | 6.0 | % | $ | 346,030,467 | 6.8 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At July 31, 2021, open positions in futures for the Fund were as follows:
Short Futures:
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||
9/2021 | 418 | NASDAQ 100 E-Mini Index | $ | (125,030,070 | ) | $ | (9,619,240 | ) | ||||
9/2021 | 741 | Russell 2000 E-Mini Index | (82,310,280 | ) | 2,665,951 | |||||||
9/2021 | 3,107 | S&P 500 E-Mini Index | (681,908,825 | ) | (25,587,302 | ) | ||||||
9/2021 | 158 | U.S. Treasury Long Bond | (26,025,563 | ) | (1,220,797 | ) | ||||||
Total Futures | $ | (915,274,738 | ) | $ | (33,761,388 | ) |
At July 31, 2021, the Fund had $84,077,091 deposited in a segregated account to cover margin requirements on open futures.
Total return basket swap contracts ("total return basket swaps")
At July 31, 2021, the Fund had outstanding total return basket swaps(a) as follows:
Over-the-counter total return basket swaps - Short (b)
Counterparty | Reference Entity | Effective Variable Rate(c) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Maturity Date(s) | Value | ||||||||||||
GSI | GSCBNBVL | 0.02 | % | (0.09 | )% | 3M USD LIBOR | 3M/T | 8/12/2022 | $ | (9,037,980 | ) | ||||||||
JPM | JPNBGCND | (1.17 | )% | (0.65 | )% | 3M USD LIBOR | 3M/T | 10/29/2021 | (23,719,182 | ) | |||||||||
JPM | JPNBLQGS | 0.15 | % | 0.03 | % | 1M USD LIBOR | 1M/T | 1/19/2023 | (12,047,578 | ) | |||||||||
JPM | JPNBRMV3 | 0.11 | % | (0.01 | )% | 3M USD LIBOR | 3M/T | 5/6/2022 | (35,246,916 | ) | |||||||||
Total | $ | (80,051,656 | ) |
(a) The following table represents required component disclosures associated with the total return basket swaps: |
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||
GSCBNBVL | |||||||||||
Freeport-McMoRan Inc. | (17,475 | ) | $ | (2,081,836 | ) | $ | (263,327 | ) | 2.9 | % | |
Bath & Body Works Inc. | (7,467 | ) | (1,869,382 | ) | (236,454 | ) | 2.6 | % | |||
Albemarle Corp. | (2,426 | ) | (1,563,003 | ) | (197,701 | ) | 2.2 | % | |||
United Rentals Inc. | (1,474 | ) | (1,519,037 | ) | (192,140 | ) | 2.1 | % | |||
SVB Financial Group | (854 | ) | (1,469,277 | ) | (185,846 | ) | 2.1 | % | |||
Skyworks Solutions Inc. | (2,198 | ) | (1,268,100 | ) | (160,400 | ) | 1.8 | % | |||
Lennar Corp. | (3,406 | ) | (1,119,874 | ) | (141,651 | ) | 1.6 | % | |||
First Republic Bank/CA | (1,805 | ) | (1,100,484 | ) | (139,198 | ) | 1.5 | % | |||
Nucor Corp. | (3,337 | ) | (1,085,264 | ) | (137,273 | ) | 1.5 | % | |||
DaVita Inc. | (2,854 | ) | (1,073,148 | ) | (135,740 | ) | 1.5 | % | |||
Aptiv PLC | (2,039 | ) | (1,063,955 | ) | (134,578 | ) | 1.5 | % | |||
LKQ Corp. | (6,697 | ) | (1,062,643 | ) | (134,412 | ) | 1.5 | % | |||
Affiliated Managers Group Inc. | (2,129 | ) | (1,054,539 | ) | (133,387 | ) | 1.5 | % | |||
Seagate Technology Holdings PLC | (3,796 | ) | (1,043,355 | ) | (131,972 | ) | 1.5 | % | |||
Ameriprise Financial Inc. | (1,292 | ) | (1,040,800 | ) | (131,649 | ) | 1.5 | % | |||
Parker-Hannifin Corp. | (1,036 | ) | (1,010,988 | ) | (127,878 | ) | 1.4 | % | |||
Fortune Brands Home & Security Inc. | (3,285 | ) | (1,001,312 | ) | (126,654 | ) | 1.4 | % | |||
Capri Holdings Ltd. | (5,497 | ) | (967,810 | ) | (122,416 | ) | 1.4 | % | |||
Laboratory Corp of America Holdings | (1,033 | ) | (956,476 | ) | (120,983 | ) | 1.3 | % | |||
Kroger Co./The | (7,306 | ) | (929,816 | ) | (117,611 | ) | 1.3 | % | |||
eBay Inc. | (4,226 | ) | (901,282 | ) | (114,001 | ) | 1.3 | % | |||
Eastman Chemical Co. | (2,529 | ) | (891,198 | ) | (112,726 | ) | 1.2 | % | |||
Mohawk Industries Inc. | (1,459 | ) | (889,313 | ) | (112,487 | ) | 1.2 | % | |||
Interpublic Group of Cos Inc./The | (8,037 | ) | (888,584 | ) | (112,395 | ) | 1.2 | % | |||
WW Grainger Inc. | (635 | ) | (882,192 | ) | (111,587 | ) | 1.2 | % | |||
State Street Corp. | (3,218 | ) | (876,729 | ) | (110,896 | ) | 1.2 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||
GSCBNBVL (cont’d) | |||||||||||
Gap Inc./The | (9,566 | ) | (872,463 | ) | (110,356 | ) | 1.2 | % | |||
Whirlpool Corp. | (1,248 | ) | (864,333 | ) | (109,328 | ) | 1.2 | % | |||
Newell Brands Inc. | (10,755 | ) | (832,348 | ) | (105,282 | ) | 1.2 | % | |||
Tapestry Inc. | (6,221 | ) | (822,758 | ) | (104,069 | ) | 1.2 | % | |||
AES Corp./The | (10,942 | ) | (810,875 | ) | (102,566 | ) | 1.1 | % | |||
Cimarex Energy Co. | (3,960 | ) | (807,266 | ) | (102,109 | ) | 1.1 | % | |||
Invesco Ltd. | (10,408 | ) | (793,448 | ) | (100,362 | ) | 1.1 | % | |||
Textron Inc. | (3,642 | ) | (785,969 | ) | (99,416 | ) | 1.1 | % | |||
McKesson Corp. | (1,215 | ) | (774,172 | ) | (97,924 | ) | 1.1 | % | |||
International Paper Co. | (4,275 | ) | (772,157 | ) | (97,669 | ) | 1.1 | % | |||
Westrock Co. | (4,965 | ) | (763,898 | ) | (96,624 | ) | 1.1 | % | |||
Iron Mountain Inc. | (5,571 | ) | (762,286 | ) | (96,420 | ) | 1.1 | % | |||
Quest Diagnostics Inc. | (1,691 | ) | (749,608 | ) | (94,816 | ) | 1.0 | % | |||
Packaging Corp of America | (1,684 | ) | (745,097 | ) | (94,246 | ) | 1.0 | % | |||
Foot Locker Inc. | (4,163 | ) | (742,749 | ) | (93,949 | ) | 1.0 | % | |||
Biogen Inc. | (722 | ) | (737,824 | ) | (93,326 | ) | 1.0 | % | |||
Mosaic Co./The | (7,539 | ) | (736,223 | ) | (93,123 | ) | 1.0 | % | |||
Fifth Third Bancorp | (6,371 | ) | (722,926 | ) | (91,441 | ) | 1.0 | % | |||
Cardinal Health Inc. | (3,842 | ) | (713,420 | ) | (90,239 | ) | 1.0 | % | |||
Synchrony Financial | (4,832 | ) | (710,464 | ) | (89,865 | ) | 1.0 | % | |||
Dow Inc. | (3,652 | ) | (709,881 | ) | (89,791 | ) | 1.0 | % | |||
LyondellBasell Industries NV | (2,259 | ) | (701,667 | ) | (88,752 | ) | 1.0 | % | |||
Regions Financial Corp. | (11,613 | ) | (699,009 | ) | (88,416 | ) | 1.0 | % | |||
Citizens Financial Group Inc. | (5,115 | ) | (674,284 | ) | (85,289 | ) | 0.9 | % | |||
Other Securities | (259,899 | ) | (23,555,545 | ) | (2,979,494 | ) | 33.1 | % | |||
$ | (71,471,067 | ) | $ | (9,040,234 | ) | ||||||
Accrued Net Interest Receivable/(Payable) | 2,254 | ||||||||||
$ | (9,037,980 | ) | |||||||||
JPNBGCND | |||||||||||
Amazon.com Inc. | (4,225 | ) | $ | (14,010,566 | ) | (5,270,587 | ) | 22.2 | % | ||
Home Depot Inc./The | (9,245 | ) | (3,023,864 | ) | (1,137,537 | ) | 4.8 | % | |||
LVMH Moet Hennessy Louis Vuitton SE | (3,031 | ) | (2,414,412 | ) | (908,269 | ) | 3.8 | % | |||
Toyota Motor Corp. | (26,608 | ) | (2,368,315 | ) | (890,928 | ) | 3.8 | % | |||
NIKE Inc. | (13,862 | ) | (2,314,347 | ) | (870,626 | ) | 3.7 | % | |||
McDonald's Corp. | (8,066 | ) | (1,951,223 | ) | (734,024 | ) | 3.1 | % | |||
Lowe's Cos Inc. | (8,821 | ) | (1,694,041 | ) | (637,275 | ) | 2.7 | % | |||
Starbucks Corp. | (13,970 | ) | (1,690,674 | ) | (636,009 | ) | 2.7 | % | |||
Target Corp. | (5,773 | ) | (1,502,104 | ) | (565,071 | ) | 2.4 | % | |||
Sony Group Corp. | (14,303 | ) | (1,476,983 | ) | (555,621 | ) | 2.3 | % | |||
Booking Holdings Inc. | (518 | ) | (1,125,061 | ) | (423,233 | ) | 1.8 | % | |||
Daimler AG | (12,289 | ) | (1,093,476 | ) | (411,351 | ) | 1.7 | % | |||
TJX Cos Inc./The | (14,497 | ) | (994,236 | ) | (374,018 | ) | 1.6 | % | |||
General Motors Co. | (15,886 | ) | (899,958 | ) | (338,552 | ) | 1.4 | % | |||
Cie Financiere Richemont SA | (6,714 | ) | (856,515 | ) | (322,209 | ) | 1.4 | % | |||
Kering SA | (947 | ) | (846,493 | ) | (318,439 | ) | 1.3 | % | |||
eBay Inc. | (11,885 | ) | (807,958 | ) | (303,943 | ) | 1.3 | % | |||
Chipotle Mexican Grill Inc. | (412 | ) | (765,072 | ) | (287,810 | ) | 1.2 | % | |||
adidas AG | (2,076 | ) | (751,260 | ) | (282,614 | ) | 1.2 | % | |||
Aptiv PLC | (4,474 | ) | (743,954 | ) | (279,866 | ) | 1.2 | % | |||
Hermes International | (484 | ) | (736,716 | ) | (277,143 | ) | 1.2 | % | |||
Dollar General Corp. | (2,934 | ) | (680,186 | ) | (255,877 | ) | 1.1 | % | |||
Ford Motor Co. | (48,327 | ) | (671,912 | ) | (252,764 | ) | 1.1 | % | |||
Honda Motor Co Ltd. | (19,978 | ) | (633,489 | ) | (238,310 | ) | 1.0 | % | |||
Volkswagen AG | (2,559 | ) | (621,589 | ) | (233,833 | ) | 1.0 | % | |||
O'Reilly Automotive Inc. | (1,025 | ) | (616,639 | ) | (231,971 | ) | 1.0 | % | |||
Ross Stores Inc. | (4,940 | ) | (604,110 | ) | (227,258 | ) | 1.0 | % | |||
AutoZone Inc. | (357 | ) | (578,036 | ) | (217,449 | ) | 0.9 | % | |||
Yum! Brands Inc. | (4,250 | ) | (556,514 | ) | (209,353 | ) | 0.9 | % | |||
Compass Group PLC | (26,209 | ) | (552,228 | ) | (207,741 | ) | 0.9 | % | |||
DR Horton Inc. | (5,712 | ) | (543,270 | ) | (204,371 | ) | 0.9 | % | |||
Hilton Worldwide Holdings Inc. | (3,890 | ) | (509,648 | ) | (191,723 | ) | 0.8 | % | |||
Michelin | (3,126 | ) | (508,822 | ) | (191,412 | ) | 0.8 | % | |||
Lennar Corp. | (4,790 | ) | (501,992 | ) | (188,843 | ) | 0.8 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||
JPNBGCND (cont’d) | |||||||||||
Bayerische Motoren Werke AG | (5,026 | ) | (498,301 | ) | (187,454 | ) | 0.8 | % | |||
Marriott International Inc./MD | (3,352 | ) | (487,711 | ) | (183,470 | ) | 0.8 | % | |||
Industria de Diseno Textil SA | (14,211 | ) | (480,220 | ) | (180,653 | ) | 0.8 | % | |||
Fast Retailing Co Ltd. | (707 | ) | (474,475 | ) | (178,491 | ) | 0.8 | % | |||
Denso Corp. | (6,797 | ) | (461,691 | ) | (173,682 | ) | 0.7 | % | |||
Magna International Inc. | (5,461 | ) | (456,405 | ) | (171,693 | ) | 0.7 | % | |||
Oriental Land Co Ltd./Japan | (3,195 | ) | (433,625 | ) | (163,124 | ) | 0.7 | % | |||
Panasonic Corp. | (34,281 | ) | (406,269 | ) | (152,833 | ) | 0.6 | % | |||
Toyota Industries Corp. | (4,683 | ) | (388,573 | ) | (146,176 | ) | 0.6 | % | |||
Best Buy Co Inc. | (3,435 | ) | (384,621 | ) | (144,690 | ) | 0.6 | % | |||
CarMax Inc. | (2,833 | ) | (378,150 | ) | (142,255 | ) | 0.6 | % | |||
Bath & Body Works Inc. | (4,495 | ) | (358,752 | ) | (134,958 | ) | 0.6 | % | |||
VF Corp. | (4,297 | ) | (343,471 | ) | (129,209 | ) | 0.5 | % | |||
Bridgestone Corp. | (7,777 | ) | (338,892 | ) | (127,487 | ) | 0.5 | % | |||
Persimmon PLC | (8,191 | ) | (329,521 | ) | (123,961 | ) | 0.5 | % | |||
Bandai Namco Holdings Inc. | (4,925 | ) | (315,693 | ) | (118,760 | ) | 0.5 | % | |||
Other Securities | (286,550 | ) | (6,846,790 | ) | (2,575,673 | ) | 10.7 | % | |||
$ | (63,028,823 | ) | $ | (23,710,599 | ) | ||||||
Accrued Net Interest Receivable/(Payable) | (8,583 | ) | |||||||||
$ | (23,719,182 | ) | |||||||||
JPNBLQGS | |||||||||||
NVIDIA Corp. | (25,024 | ) | $ | (5,596,670 | ) | $ | (317,744 | ) | 2.6 | % | |
Freeport-McMoRan Inc. | (121,191 | ) | (5,296,105 | ) | (300,680 | ) | 2.5 | % | |||
Align Technology Inc. | (5,464 | ) | (4,360,422 | ) | (247,557 | ) | 2.1 | % | |||
IDEXX Laboratories Inc. | (5,371 | ) | (4,180,475 | ) | (237,341 | ) | 2.0 | % | |||
Fortinet Inc. | (13,077 | ) | (4,083,300 | ) | (231,824 | ) | 1.9 | % | |||
Quanta Services Inc. | (38,048 | ) | (3,966,951 | ) | (225,219 | ) | 1.9 | % | |||
Applied Materials Inc. | (24,637 | ) | (3,954,211 | ) | (224,495 | ) | 1.9 | % | |||
MSCI Inc. | (5,616 | ) | (3,838,996 | ) | (217,954 | ) | 1.8 | % | |||
Chipotle Mexican Grill Inc. | (1,790 | ) | (3,824,821 | ) | (217,149 | ) | 1.8 | % | |||
Advanced Micro Devices Inc. | (31,290 | ) | (3,811,102 | ) | (216,370 | ) | 1.8 | % | |||
Lam Research Corp. | (5,090 | ) | (3,721,373 | ) | (211,276 | ) | 1.8 | % | |||
Twitter Inc. | (45,548 | ) | (3,644,012 | ) | (206,884 | ) | 1.7 | % | |||
Nucor Corp. | (29,190 | ) | (3,482,709 | ) | (197,726 | ) | 1.6 | % | |||
Old Dominion Freight Line Inc. | (11,177 | ) | (3,450,601 | ) | (195,903 | ) | 1.6 | % | |||
KLA Corp. | (8,608 | ) | (3,437,566 | ) | (195,163 | ) | 1.6 | % | |||
Synopsys Inc. | (10,403 | ) | (3,436,523 | ) | (195,104 | ) | 1.6 | % | |||
ABIOMED Inc. | (8,583 | ) | (3,220,588 | ) | (182,845 | ) | 1.5 | % | |||
FedEx Corp. | (9,761 | ) | (3,134,336 | ) | (177,948 | ) | 1.5 | % | |||
Centene Corp. | (39,445 | ) | (3,104,181 | ) | (176,236 | ) | 1.5 | % | |||
Arista Networks Inc. | (7,103 | ) | (3,099,018 | ) | (175,943 | ) | 1.5 | % | |||
DR Horton Inc. | (28,120 | ) | (3,077,986 | ) | (174,749 | ) | 1.4 | % | |||
Autodesk Inc. | (8,090 | ) | (2,979,784 | ) | (169,173 | ) | 1.4 | % | |||
Lennar Corp. | (24,645 | ) | (2,972,320 | ) | (168,750 | ) | 1.4 | % | |||
First Republic Bank/CA | (13,079 | ) | (2,925,576 | ) | (166,096 | ) | 1.4 | % | |||
Keysight Technologies Inc. | (15,065 | ) | (2,843,400 | ) | (161,430 | ) | 1.3 | % | |||
CBRE Group Inc. | (25,613 | ) | (2,833,860 | ) | (160,889 | ) | 1.3 | % | |||
Broadcom Inc. | (5,072 | ) | (2,823,744 | ) | (160,314 | ) | 1.3 | % | |||
Expeditors International of Washington I | (19,146 | ) | (2,816,358 | ) | (159,895 | ) | 1.3 | % | |||
Robert Half International Inc. | (24,532 | ) | (2,763,462 | ) | (156,892 | ) | 1.3 | % | |||
T Rowe Price Group Inc. | (11,796 | ) | (2,762,267 | ) | (156,824 | ) | 1.3 | % | |||
IQVIA Holdings Inc. | (9,674 | ) | (2,748,627 | ) | (156,050 | ) | 1.3 | % | |||
Estee Lauder Cos Inc./The | (7,146 | ) | (2,736,044 | ) | (155,335 | ) | 1.3 | % | |||
Netflix Inc. | (4,599 | ) | (2,730,180 | ) | (155,002 | ) | 1.3 | % | |||
Illumina Inc. | (4,778 | ) | (2,716,647 | ) | (154,234 | ) | 1.3 | % | |||
Copart Inc. | (16,020 | ) | (2,701,102 | ) | (153,352 | ) | 1.3 | % | |||
IPG Photonics Corp. | (10,739 | ) | (2,687,088 | ) | (152,556 | ) | 1.3 | % | |||
Regeneron Pharmaceuticals Inc. | (4,039 | ) | (2,661,980 | ) | (151,130 | ) | 1.3 | % | |||
Dollar General Corp. | (9,840 | ) | (2,625,552 | ) | (149,062 | ) | 1.2 | % | |||
Fastenal Co. | (41,739 | ) | (2,622,117 | ) | (148,867 | ) | 1.2 | % | |||
Tapestry Inc. | (53,979 | ) | (2,618,962 | ) | (148,688 | ) | 1.2 | % | |||
Texas Instruments Inc. | (11,964 | ) | (2,615,927 | ) | (148,516 | ) | 1.2 | % | |||
LKQ Corp. | (44,821 | ) | (2,609,027 | ) | (148,124 | ) | 1.2 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||
JPNBLQGS(cont’d) | |||||||||||
JB Hunt Transport Services Inc. | (13,003 | ) | (2,512,430 | ) | (142,640 | ) | 1.2 | % | |||
Analog Devices Inc. | (13,072 | ) | (2,510,273 | ) | (142,518 | ) | 1.2 | % | |||
O'Reilly Automotive Inc. | (3,531 | ) | (2,445,395 | ) | (138,834 | ) | 1.2 | % | |||
Take-Two Interactive Software Inc. | (12,201 | ) | (2,426,874 | ) | (137,783 | ) | 1.1 | % | |||
NVR Inc. | (402 | ) | (2,410,194 | ) | (136,836 | ) | 1.1 | % | |||
Micron Technology Inc. | (26,999 | ) | (2,402,477 | ) | (136,398 | ) | 1.1 | % | |||
Broadridge Financial Solutions Inc. | (12,039 | ) | (2,395,756 | ) | (136,016 | ) | 1.1 | % | |||
AmerisourceBergen Corp. | (17,027 | ) | (2,385,988 | ) | (135,461 | ) | 1.1 | % | |||
PulteGroup Inc. | (37,381 | ) | (2,352,613 | ) | (133,567 | ) | 1.1 | % | |||
Microchip Technology Inc. | (14,311 | ) | (2,349,235 | ) | (133,375 | ) | 1.1 | % | |||
Starbucks Corp. | (16,821 | ) | (2,342,845 | ) | (133,012 | ) | 1.1 | % | |||
Electronic Arts Inc. | (13,997 | ) | (2,311,200 | ) | (131,216 | ) | 1.1 | % | |||
Darden Restaurants Inc. | (13,780 | ) | (2,305,757 | ) | (130,906 | ) | 1.1 | % | |||
MarketAxess Holdings Inc. | (4,209 | ) | (2,293,877 | ) | (130,232 | ) | 1.1 | % | |||
Ulta Beauty Inc. | (5,622 | ) | (2,165,388 | ) | (122,937 | ) | 1.0 | % | |||
Mastercard Inc. | (4,862 | ) | (2,152,275 | ) | (122,193 | ) | 1.0 | % | |||
International Flavors & Fragrances Inc. | (11,698 | ) | (2,021,152 | ) | (114,748 | ) | 1.0 | % | |||
Other Securities | (342,733 | ) | (34,997,023 | ) | (1,986,912 | ) | 16.6 | % | |||
$ | (212,296,722 | ) | $ | (12,052,873 | ) | ||||||
Accrued Net Interest Receivable/(Payable) | 5,295 | ||||||||||
$ | (12,047,578 | ) | |||||||||
JPNBRMV3 | |||||||||||
Freeport-McMoRan Inc. | (19,792 | ) | $ | (1,829,493 | ) | $ | (498,384 | ) | 1.4 | % | |
Analog Devices Inc. | (4,194 | ) | (1,703,565 | ) | (464,079 | ) | 1.3 | % | |||
Agilent Technologies Inc. | (4,403 | ) | (1,636,965 | ) | (445,936 | ) | 1.3 | % | |||
Newmont Corp. | (10,646 | ) | (1,622,592 | ) | (442,021 | ) | 1.3 | % | |||
Fidelity National Information Services I | (4,034 | ) | (1,458,600 | ) | (397,347 | ) | 1.1 | % | |||
IQVIA Holdings Inc. | (2,389 | ) | (1,435,482 | ) | (391,049 | ) | 1.1 | % | |||
Roper Technologies Inc. | (1,116 | ) | (1,330,642 | ) | (362,489 | ) | 1.0 | % | |||
Synopsys Inc. | (1,819 | ) | (1,270,918 | ) | (346,219 | ) | 1.0 | % | |||
Zimmer Biomet Holdings Inc. | (2,766 | ) | (1,096,525 | ) | (298,712 | ) | 0.8 | % | |||
Parker-Hannifin Corp. | (1,442 | ) | (1,091,378 | ) | (297,310 | ) | 0.8 | % | |||
Archer-Daniels-Midland Co. | (7,515 | ) | (1,088,840 | ) | (296,618 | ) | 0.8 | % | |||
Corning Inc. | (10,626 | ) | (1,079,169 | ) | (293,983 | ) | 0.8 | % | |||
First Republic Bank/CA | (2,213 | ) | (1,047,045 | ) | (285,232 | ) | 0.8 | % | |||
Motorola Solutions Inc. | (1,927 | ) | (1,046,603 | ) | (285,112 | ) | 0.8 | % | |||
Kroger Co./The | (10,565 | ) | (1,043,278 | ) | (284,206 | ) | 0.8 | % | |||
Nucor Corp. | (4,117 | ) | (1,038,980 | ) | (283,035 | ) | 0.8 | % | |||
Keysight Technologies Inc. | (2,545 | ) | (1,015,969 | ) | (276,767 | ) | 0.8 | % | |||
Stanley Black & Decker Inc. | (2,057 | ) | (983,242 | ) | (267,851 | ) | 0.8 | % | |||
Ameriprise Financial Inc. | (1,555 | ) | (971,908 | ) | (264,764 | ) | 0.8 | % | |||
Williams Cos Inc./The | (15,836 | ) | (962,413 | ) | (262,177 | ) | 0.7 | % | |||
Liberty Broadband Corp. | (2,168 | ) | (933,686 | ) | (254,352 | ) | 0.7 | % | |||
Laboratory Corp of America Holdings | (1,288 | ) | (925,576 | ) | (252,142 | ) | 0.7 | % | |||
Fifth Third Bancorp | (10,491 | ) | (923,685 | ) | (251,627 | ) | 0.7 | % | |||
PACCAR Inc. | (4,550 | ) | (916,086 | ) | (249,557 | ) | 0.7 | % | |||
Willis Towers Watson PLC | (1,773 | ) | (886,374 | ) | (241,463 | ) | 0.7 | % | |||
Kansas City Southern | (1,364 | ) | (886,034 | ) | (241,370 | ) | 0.7 | % | |||
Ball Corp. | (4,453 | ) | (873,707 | ) | (238,012 | ) | 0.7 | % | |||
AMETEK Inc. | (2,493 | ) | (840,940 | ) | (229,086 | ) | 0.6 | % | |||
Arthur J Gallagher & Co. | (2,447 | ) | (826,937 | ) | (225,271 | ) | 0.6 | % | |||
Marvell Technology Inc. | (5,512 | ) | (809,247 | ) | (220,452 | ) | 0.6 | % | |||
Dover Corp. | (1,945 | ) | (788,438 | ) | (214,783 | ) | 0.6 | % | |||
Republic Services Inc. | (2,734 | ) | (785,168 | ) | (213,893 | ) | 0.6 | % | |||
Qorvo Inc. | (1,652 | ) | (759,949 | ) | (207,023 | ) | 0.6 | % | |||
West Pharmaceutical Services Inc. | (759 | ) | (757,909 | ) | (206,467 | ) | 0.6 | % | |||
Trane Technologies PLC | (1,517 | ) | (749,207 | ) | (204,096 | ) | 0.6 | % | |||
Hartford Financial Services Group Inc./Th | (4,795 | ) | (740,079 | ) | (201,610 | ) | 0.6 | % | |||
Discover Financial Services | (2,436 | ) | (734,601 | ) | (200,117 | ) | 0.6 | % | |||
Cummins Inc. | (1,284 | ) | (722,965 | ) | (196,948 | ) | 0.6 | % | |||
Synchrony Financial | (6,313 | ) | (720,206 | ) | (196,196 | ) | 0.6 | % | |||
Albemarle Corp. | (1,434 | ) | (716,685 | ) | (195,237 | ) | 0.6 | % | |||
Nasdaq Inc. | (1,571 | ) | (711,853 | ) | (193,921 | ) | 0.6 | % |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Reference Entity | Shares | Notional Amount | Unrealized Appreciation/ (Depreciation) | Component Weighting | |||||||
JPNBRMV3 (cont’d) | |||||||||||
Trimble Inc. | (3,349 | ) | (694,684 | ) | (189,243 | ) | 0.5 | % | |||
International Paper Co. | (4,894 | ) | (685,758 | ) | (186,812 | ) | 0.5 | % | |||
Ally Financial Inc. | (5,469 | ) | (681,463 | ) | (185,642 | ) | 0.5 | % | |||
Tyson Foods Inc. | (3,891 | ) | (674,658 | ) | (183,788 | ) | 0.5 | % | |||
Yum China Holdings Inc. | (4,470 | ) | (674,372 | ) | (183,710 | ) | 0.5 | % | |||
PerkinElmer Inc. | (1,518 | ) | (671,184 | ) | (182,842 | ) | 0.5 | % | |||
Hologic Inc. | (3,635 | ) | (661,870 | ) | (180,304 | ) | 0.5 | % | |||
KeyCorp | (13,799 | ) | (658,164 | ) | (179,295 | ) | 0.5 | % | |||
Regions Financial Corp. | (14,045 | ) | (655,942 | ) | (178,689 | ) | 0.5 | % | |||
Other Securities | (697,017 | ) | (81,560,175 | ) | (22,218,349 | ) | 63.2 | % | |||
$ | (129,381,209 | ) | $ | (35,245,588 | ) | ||||||
Accrued Net Interest Receivable/(Payable) | (1,328 | ) | |||||||||
$ | (35,246,916 | ) | |||||||||
Total Return Basket Swaps, at value | $ | (80,051,656 | ) |
(b) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. The cash flows may be denominated in various foreign currencies based on the local currencies of the positions within the swaps. |
(c) | Effective rate at July 31, 2021. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Total return swap contracts ("total return swaps")
At July 31, 2021, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps - Short (a)
Counterparty | Reference Entity | Notional Amount | Maturity Date | Variable-Rate(b) | Spread | Reference Rate | Frequency of Fund Receipt/ Payment | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |||||||||||||||||
JPM | MSCI Daily Total Return World Gross Industrial Index | USD | (11,062,927 | ) | 5/16/2022 | 0.20 | % | (0.04 | )% | 3M USD LIBOR | 3M/T | $ | (1,884,968 | ) | $ | 2,186 | $ | (1,882,782 | ) | ||||||||
JPM | S&P 500 Equal Weighted USD Total Return Index | USD | (229,981,968 | ) | 5/4/2022 | 0.39 | % | 0.15 | % | 1M USD LIBOR | 1M/T | (61,620,686 | ) | 17,056 | (61,603,630 | ) | |||||||||||
Total | $ | (63,505,654 | ) | $ | 19,242 | $ | (63,486,412 | ) |
(a) | The Fund receives a specified rate based on a reference rate plus or minus a spread, and pays the total return on the reference entity. |
(b) | Effective rate at July 31, 2021. |
At July 31, 2021, the Fund had cash collateral of $9,490,000 and $182,600,000 deposited in segregated accounts for Goldman Sachs International and JPMorgan Chase Bank N.A., respectively, to cover collateral requirements on over-the-counter derivatives.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Purchased option contracts ("options purchased")
At July 31, 2021, the Fund had outstanding options purchased as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Calls | ||||||||||||||||||
Capital Markets | ||||||||||||||||||
Apollo Global Management, Inc. | 2,085 | $ | 12,272,310 | $ | 65 | 1/21/2022 | $ | 443,062 | ||||||||||
Exchange-Traded Fund | ||||||||||||||||||
SPDR S&P Insurance ETF | 3,950 | 15,045,550 | 41 | 9/17/2021 | 69,125 | |||||||||||||
IT Services | ||||||||||||||||||
WEX, Inc. | 515 | 9,771,095 | 220 | 11/19/2021 | 158,363 | |||||||||||||
Multiline Retail | ||||||||||||||||||
Dollar Tree, Inc. | 1,750 | 17,463,250 | 115 | 8/20/2021 | 14,875 | |||||||||||||
Software | ||||||||||||||||||
Sumo Logic, Inc. | 4,400 | 9,086,000 | 25 | 8/20/2021 | 77,000 | |||||||||||||
Specialty Retail | ||||||||||||||||||
Ulta Beauty, Inc. | 310 | 10,409,800 | 375 | 9/17/2021 | 151,900 | |||||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||||
Tapestry, Inc. | 4,150 | 17,554,500 | 52.5 | 8/20/2021 | — | (a)(b) | ||||||||||||
Total calls | $ | 914,325 | ||||||||||||||||
Puts | ||||||||||||||||||
Software | ||||||||||||||||||
Triterras, Inc. | 9,003 | 882,294 | 5 | 8/20/2021 | 337,613 | |||||||||||||
Total puts | 337,613 | |||||||||||||||||
Total options purchased (cost $6,687,714) | $ | 1,251,938 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
Written option contracts ("options written")
At July 31, 2021, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Calls | ||||||||||||||||||
Consumer Finance | ||||||||||||||||||
SoFi Technologies, Inc. | 4,000 | $ | (6,176,000 | ) | $ | 22.5 | 1/21/2022 | $ | (678,000 | ) | ||||||||
Diversified Financial Services | ||||||||||||||||||
Fintech Acquisition Corp. V | 4,000 | (4,020,000 | ) | 12.5 | 8/20/2021 | (20,000 | ) | |||||||||||
Fintech Acquisition Corp. V | 2,420 | (2,432,100 | ) | 15 | 11/19/2021 | (54,450 | ) | |||||||||||
(74,450 | ) | |||||||||||||||||
Internet & Direct Marketing Retail | ||||||||||||||||||
Chewy, Inc. | 2,000 | (16,740,000 | ) | 105 | 8/20/2021 | (33,000 | ) | |||||||||||
IT Services | ||||||||||||||||||
Paya | ||||||||||||||||||
Holdings, Inc. | 9,000 | (10,341,000 | ) | 15 | 8/20/2021 | (45,000 | ) | |||||||||||
Software | ||||||||||||||||||
Triterras, Inc. | 3,014 | (295,372 | ) | 7.5 | 1/20/2023 | (452,100 | ) | |||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||||
NIKE, Inc. | 300 | (5,025,300 | ) | 165 | 8/20/2021 | (129,000 | ) | |||||||||||
Total calls | $ | (1,411,550 | ) | |||||||||||||||
Puts | ||||||||||||||||||
Capital Markets | ||||||||||||||||||
Apollo Global Management, Inc. | 2,085 | $ | (12,272,310 | ) | $ | 50 | 1/21/2022 | $ | (385,725 | ) | ||||||||
Exchange-Traded Fund | ||||||||||||||||||
SPDR S&P Insurance ETF | 3,950 | (15,045,550 | ) | 33 | 9/17/2021 | (108,625 | ) | |||||||||||
Food Products | ||||||||||||||||||
Lamb Weston Holdings, Inc. | 1,500 | (10,015,500 | ) | 65 | 8/20/2021 | (161,250 | ) | |||||||||||
Internet & Direct Marketing Retail | ||||||||||||||||||
Chewy, Inc. | 1,532 | (12,822,840 | ) | 65 | 10/15/2021 | (232,864 | ) | |||||||||||
Chewy, Inc. | 1,700 | (14,229,000 | ) | 75 | 8/20/2021 | (140,250 | ) | |||||||||||
(373,114 | ) | |||||||||||||||||
IT Services | ||||||||||||||||||
Paya Holdings, Inc. | 9,000 | (10,341,000 | ) | 10 | 8/20/2021 | (90,000 | ) | |||||||||||
WEX, Inc. | 515 | (9,771,095 | ) | 180 | 11/19/2021 | (471,225 | ) | |||||||||||
(561,225 | ) | |||||||||||||||||
Multiline Retail | ||||||||||||||||||
Dollar Tree, Inc. | 1,750 | (17,463,250 | ) | 100 | 8/20/2021 | (356,125 | ) | |||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||
Analog Devices, Inc. | 830 | (13,895,860 | ) | 150 | 9/17/2021 | (136,950 | ) | |||||||||||
Software | ||||||||||||||||||
Sumo Logic, Inc. | 4,400 | (9,086,000 | ) | 17.5 | 8/20/2021 | (88,000 | ) | |||||||||||
Specialty Retail | ||||||||||||||||||
Floor & Decor Holdings, Inc. | 1,200 | (14,641,200 | ) | 100 | 10/15/2021 | (210,000 | ) | |||||||||||
O'Reilly Automotive, Inc. | 250 | (15,096,000 | ) | 420 | 8/20/2021 | — | (a)(b) | |||||||||||
Ulta Beauty, Inc. | 310 | (10,409,800 | ) | 325 | 9/17/2021 | (403,000 | ) | |||||||||||
(613,000 | ) | |||||||||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||||
Tapestry, Inc. | 4,150 | (17,554,500 | ) | 40 | 8/20/2021 | (477,250 | ) | |||||||||||
Total puts | $ | (3,261,264 | ) | |||||||||||||||
Total options written (premium received $11,877,950) | $ | (4,672,814 | ) |
(a) | Security fair valued as of July 31, 2021 in accordance with procedures approved by the Board of Trustees. |
(b) | Value determined using significant unobservable inputs. |
At July 31, 2021, the Fund had securities pledged in the amount of $231,282,308 to cover collateral requirements for options written.
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2021:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3(c) | Total | ||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Automobiles | $ | — | $ | 37,162,659 | $ | — | $ | 37,162,659 | ||||||||
Commercial Services & Supplies | 75,037,720 | 74,171,558 | — | 149,209,278 | ||||||||||||
Diversified Financial Services | 22,610,762 | 14,580,000 | — | 37,190,762 | ||||||||||||
Food Products | 113,126,773 | 12,860,000 | — | 125,986,773 | ||||||||||||
IT Services | 224,174,363 | 6,675,534 | — | 230,849,897 | ||||||||||||
Oil, Gas & Consumable Fuels | 76,780,572 | — | 2,277,338 | 79,057,910 | ||||||||||||
Software | 658,882,689 | 52,295,818 | 5,051,954 | 716,230,461 | ||||||||||||
Other Common Stocks(a) | 2,956,575,553 | — | — | 2,956,575,553 | ||||||||||||
Total Common Stocks | 4,127,188,432 | 197,745,569 | 7,329,292 | 4,332,263,293 | ||||||||||||
Preferred Stocks(a) | — | — | 128,315,606 | 128,315,606 | ||||||||||||
Loan Assignments | ||||||||||||||||
Leisure Goods - Activities - Movies | — | — | 25,500,000 | 25,500,000 | ||||||||||||
Other Loan Assignments(a) | — | 7,478,000 | — | 7,478,000 | ||||||||||||
Total Loan Assignments | — | 7,478,000 | 25,500,000 | 32,978,000 | ||||||||||||
Corporate Bonds(a) | — | 147,035,341 | — | 147,035,341 | ||||||||||||
Convertible Bonds(a) | — | 8,054,847 | — | 8,054,847 | ||||||||||||
Master Limited Partnerships and Limited Partnerships(a) | 99,576,021 | — | — | 99,576,021 | ||||||||||||
Warrants(a) | 659,476 | 4,566,687 | — | 5,226,163 | ||||||||||||
Options Purchased(b) | 1,251,938 | — | — | 1,251,938 | ||||||||||||
Short-Term Investments | — | 194,113,530 | — | 194,113,530 | ||||||||||||
Total Investments | $ | 4,228,675,867 | $ | 558,993,974 | $ | 161,144,898 | $ | 4,948,814,739 |
(a) | The Schedule of Investments provides information on the industry or sector categorization. |
(b) | The “Purchased option contracts” table under Derivative Instruments provides information on the industry or sector categorization. |
(c) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
(000’s omitted) | Beginning balance, as of 11/1/2020 | Accrued discounts/ (premiums) | Realized gain/(loss) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 7/31/2021 | Net change in unrealized appreciation/ (depreciation ) from investments still held as of 7/31/2021 | ||||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||||||
Common Stocks(d)(h) | $ | 27,047 | $ | — | $ | — | $ | 1,542 | $ | — | $ | — | $ | — | $ | (21,260 | ) | $ | 7,329 | $ | 1,542 | |||||||||||||||||||
Preferred Stocks(d) | 62,680 | — | — | 45,693 | 19,943 | — | — | — | 128,316 | 45,693 | ||||||||||||||||||||||||||||||
Loan Assignments(d) | 23,250 | 32 | — | 2,218 | — | — | — | — | 25,500 | 2,218 | ||||||||||||||||||||||||||||||
Options Purchased(h) | — | — | — | (1,334 | ) | 1,334 | — | — | — | — | (1,334 | ) | ||||||||||||||||||||||||||||
Warrants(d) | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Total | $ | 112,977 | $ | 32 | $ | — | $ | 48,119 | $ | 21,277 | $ | — | $ | — | $ | (21,260 | ) | $ | 161,145 | $ | 48,119 |
(d) Quantitative Information about Level 3 Fair Value Measurements:
Investment type | Fair value at 7/31/2021 | Valuation approach | Unobservable input(s) | Input value/range |
Weighted average(f) | Impact to valuation from increase in Input(g) | ||||||||||||
Common Stocks | $ | 2,277,338 | Market Comparables | Enterprise value/EBITDA multiple(e) (EV/EBITDA) | 11.0x | 11.0 | x | Increase | ||||||||||
Common Stocks | 5,051,954 | Market Comparables | Enterprise value/Revenue multiple(e) (EV/Revenue) | 15.0x | 15.0 | x | Increase | |||||||||||
Preferred Stocks | 28,793,152 | Market Comparables | Enterprise value/Revenue multiple(e) (EV/Revenue) | 5.0x - 15.0x | 12.0 | x | Increase | |||||||||||
Preferred Stocks | 99,522,454 | Market Approach | Transaction Price | $4.9528 – $34.87 | $ | 30.05 | Increase | |||||||||||
Warrant | 0 | Market Approach | Transaction Price | $0.00 | $ | 0.00 | Increase | |||||||||||
Loan Assignments | 25,500,000 | Market Comparables | Yield | 8.0% | 8.0 | % | Decrease |
(e) | Represents amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments. |
(f) | The weighted averages disclosed in the table above were weighted by relative fair value. |
(g) | Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
(h) | For the period ended July 31, 2021, these investments were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund’s net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's short investments as of July 31, 2021:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short(a) | $ | (378,367,266 | ) | $ | — | $ | — | $ | (378,367,266 | ) | ||||||
Corporate Bonds Sold Short(a) | — | (49,984,790 | ) | — | (49,984,790 | ) | ||||||||||
Exchange-Traded Funds Sold Short | (65,802,308 | ) | — | — | (65,802,308 | ) | ||||||||||
Total Short Positions | $ | (444,169,574 | ) | $ | (49,984,790 | ) | $ | — | $ | (494,154,364 | ) |
(a) The Schedule of Investments provides information on the industry or sector categorization.
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2021:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures(a) | ||||||||||||||||
Assets | $ | 2,665,951 | $ | — | $ | — | $ | 2,665,951 | ||||||||
Liabilities | (36,427,339 | ) | — | — | (36,427,339 | ) | ||||||||||
Swaps | ||||||||||||||||
Liabilities | — | (143,538,068 | ) | — | (143,538,068 | ) | ||||||||||
Options Written(b) | ||||||||||||||||
Liabilities | (4,672,814 | ) | — | — | (4,672,814 | ) | ||||||||||
Total | $ | (38,434,202 | ) | $ | (143,538,068 | ) | $ | — | $ | (181,972,270 | ) |
(a) | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
(b) | The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value: |
(000’s omitted) | Beginning balance, as of 11/1/2020 | Accrued | Realized gain/(loss) | Change in unrealized (depreciation) | Purchases /Closing of options | Sales/ Writing of options | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 7/31/2021 | Net change in unrealized appreciation/ (depreciation) investments still held as of 7/31/2021 | ||||||||||||||||||||||||||||||
Other Financial Instruments: | ||||||||||||||||||||||||||||||||||||||||
Options Written(c) | $ | — | $ | — | $ | — | $ | 704 | $ | — | $ | (704 | ) | $ | — | $ | — | $ | — | $ | 704 | |||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 704 | $ | — | $ | (704 | ) | $ | — | $ | — | $ | — | $ | 704 |
(c) | For the period ended July 31, 2021, these investments were valued in accordance with procedures approved by the Board of Trustees. These investments did not have a material impact on the Fund’s net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) July 31, 2021
PRINCIPAL AMOUNT | VALUE | |||||||
U.S. Treasury Obligations 93.7% | ||||||||
U.S. Treasury Notes | ||||||||
$ | 50,500,000 | 2.75%, due 9/15/2021 | $ | 50,662,864 | ||||
47,900,000 | 2.63%, due 12/15/2021 | 48,354,676 | (a) | |||||
52,700,000 | 2.38%, due 3/15/2022 | 53,455,504 | ||||||
53,800,000 | 1.75%, due 6/15/2022 | 54,583,883 | ||||||
54,600,000 | 1.50%, due 9/15/2022 | 55,463,789 | (a) | |||||
54,600,000 | 1.63%, due 12/15/2022 | 55,726,125 | (a) | |||||
54,600,000 | 0.50%, due 3/15/2023 | 54,915,656 | ||||||
38,700,000 | 0.25%, due 6/15/2023 | 38,755,933 | ||||||
Total U.S. Treasury Obligations (Cost $410,806,211) | 411,918,430 |
NUMBER OF SHARES | ||||||||
Short-Term Investments 6.7% | ||||||||
Investment Companies 6.7% | ||||||||
29,542,910 | State Street Institutional U.S. Government Money Market Fund Premier Class, 0.03%(b) (Cost $29,542,910) | 29,542,910 | (c) | |||||
Total Investments 100.4% (Cost $440,349,121) | 441,461,340 | |||||||
Liabilities Less Other Assets (0.4)% | (1,792,485 | )(d) | ||||||
Net Assets 100.0% | $ | 439,668,855 |
(a) | All or a portion of the security is pledged as collateral for options written. |
(b) | Represents 7-day effective yield as of July 31, 2021. |
(c) | All or a portion of this security is segregated in connection with obligations for options written with a total value of $29,542,910. |
(d) | Includes the impact of the Fund's open positions in derivatives at July 31, 2021. |
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) (cont’d)
Derivative Instruments
Written option contracts ("options written") |
At July 31, 2021, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||
Puts | ||||||||||||||||||
Index | ||||||||||||||||||
Russell 2000 Index | 19 | $ | (4,229,867 | ) | $ | 2,245 | 8/6/2021 | $ | (68,875 | ) | ||||||||
Russell 2000 Index | 34 | (7,569,236 | ) | 2,260 | 8/6/2021 | (152,830 | ) | |||||||||||
Russell 2000 Index | 20 | (4,452,492 | ) | 2,270 | 8/6/2021 | (103,100 | ) | |||||||||||
Russell 2000 Index | 27 | (6,010,864 | ) | 2,170 | 8/13/2021 | (50,490 | ) | |||||||||||
Russell 2000 Index | 21 | (4,675,117 | ) | 2,180 | 8/13/2021 | (44,520 | ) | |||||||||||
Russell 2000 Index | 17 | (3,784,618 | ) | 2,210 | 8/13/2021 | (52,530 | ) | |||||||||||
Russell 2000 Index | 9 | (2,003,621 | ) | 2,245 | 8/13/2021 | (41,805 | ) | |||||||||||
Russell 2000 Index | 2 | (445,249 | ) | 2,270 | 8/13/2021 | (12,150 | ) | |||||||||||
Russell 2000 Index | 9 | (2,003,621 | ) | 2,130 | 8/20/2021 | (15,345 | ) | |||||||||||
Russell 2000 Index | 5 | (1,113,123 | ) | 2,180 | 8/20/2021 | (14,500 | ) | |||||||||||
Russell 2000 Index | 5 | (1,113,123 | ) | 2,190 | 8/20/2021 | (16,050 | ) | |||||||||||
Russell 2000 Index | 58 | (12,912,227 | ) | 2,200 | 8/20/2021 | (205,610 | ) | |||||||||||
Russell 2000 Index | 1 | (222,625 | ) | 2,170 | 8/27/2021 | (3,580 | ) | |||||||||||
Russell 2000 Index | 9 | (2,003,621 | ) | 2,200 | 8/27/2021 | (40,950 | ) | |||||||||||
Russell 2000 Index | 10 | (2,226,246 | ) | 2,215 | 8/27/2021 | (51,100 | ) | |||||||||||
Russell 2000 Index | 28 | (6,233,489 | ) | 2,230 | 8/27/2021 | (160,580 | ) | |||||||||||
Russell 2000 Index | 25 | (5,565,615 | ) | 2,250 | 8/27/2021 | (166,875 | ) | |||||||||||
S&P 500 Index | 13 | (5,713,838 | ) | 4,325 | 8/6/2021 | (12,220 | ) | |||||||||||
S&P 500 Index | 23 | (10,109,098 | ) | 4,330 | 8/6/2021 | (23,000 | ) | |||||||||||
S&P 500 Index | 49 | (21,536,774 | ) | 4,355 | 8/6/2021 | (66,885 | ) | |||||||||||
S&P 500 Index | 131 | (57,577,906 | ) | 4,360 | 8/6/2021 | (191,915 | ) | |||||||||||
S&P 500 Index | 3 | (1,318,578 | ) | 4,345 | 8/13/2021 | (7,650 | ) | |||||||||||
S&P 500 Index | 157 | (69,005,582 | ) | 4,350 | 8/13/2021 | (416,050 | ) | |||||||||||
S&P 500 Index | 9 | (3,955,734 | ) | 4,370 | 8/13/2021 | (27,900 | ) | |||||||||||
S&P 500 Index | 15 | (6,592,890 | ) | 4,375 | 8/13/2021 | (48,450 | ) | |||||||||||
S&P 500 Index | 33 | (14,504,358 | ) | 4,380 | 8/13/2021 | (111,045 | ) | |||||||||||
S&P 500 Index | 7 | (3,076,682 | ) | 4,230 | 8/20/2021 | (13,930 | ) | |||||||||||
S&P 500 Index | 106 | (46,589,756 | ) | 4,345 | 8/20/2021 | (388,490 | ) | |||||||||||
S&P 500 Index | 56 | (24,613,456 | ) | 4,360 | 8/20/2021 | (224,840 | ) | |||||||||||
S&P 500 Index | 50 | (21,976,300 | ) | 4,400 | 8/20/2021 | (259,500 | ) | |||||||||||
S&P 500 Index | 2 | (879,052 | ) | 4,370 | 8/27/2021 | (11,060 | ) | |||||||||||
S&P 500 Index | 92 | (40,436,392 | ) | 4,400 | 8/27/2021 | (593,860 | ) | |||||||||||
S&P 500 Index | 74 | (32,524,924 | ) | 4,415 | 8/27/2021 | (518,740 | ) | |||||||||||
S&P 500 Index | 43 | (18,899,618 | ) | 4,425 | 8/27/2021 | (318,845 | ) | |||||||||||
Total options written (premium received $7,162,726) | $ | (4,435,270 | ) |
At July 31, 2021, the Fund had securities pledged in the amount of $118,934,285 to cover collateral requirements for options written.
See Notes to Schedule of Investments
Schedule of Investments U.S. Equity Index PutWrite Strategy Fund^
(Unaudited) (cont’d)
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of July 31, 2021:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments: | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 411,918,430 | $ | — | $ | 411,918,430 | ||||||||
Short-Term Investments | — | 29,542,910 | — | 29,542,910 | ||||||||||||
Total Investments | $ | — | $ | 441,461,340 | $ | — | $ | 441,461,340 |
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of July 31, 2021:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Options Written | ||||||||||||||||
Liabilities | $ | (4,435,270 | ) | $ | — | $ | — | $ | (4,435,270 | ) | ||||||
Total | $ | (4,435,270 | ) | $ | — | $ | — | $ | (4,435,270 | ) |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
July 31, 2021
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited)
In accordance with Accounting Standards Codification 820 “Fair Value Measurement” (“ASC 820”), all investments held by each of Neuberger Berman Commodity Strategy Fund ("Commodity Strategy"), Neuberger Berman Global Allocation Fund ("Global Allocation"), Neuberger Berman Long Short Fund ("Long Short"), and Neuberger Berman U.S. Equity Index PutWrite Strategy Fund ("U.S. Equity Index PutWrite Strategy") (each individually a “Fund,” and collectively, the “Funds”) are carried at the value that Neuberger Berman Investment Advisers LLC ("Management") believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – unadjusted quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds’ investments (long and short positions) in equity securities, convertible preferred stocks, exchange-traded funds, preferred stocks, master limited partnerships and limited partnerships, warrants and exchange-traded options purchased and written, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price (“NOCP”) provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the “inside” bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds’ investments for long and short positions in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid or offer quotations, respectively, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion rates, credit specific details, relative listed bond and preferred stock prices and Other Market Information.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (cont’d)
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of total return swaps and total return basket swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Publicly traded securities acquired via a private investment in public equity (PIPE) transaction are typically valued at a discount to the market price of an issuer's common stock. Discounts are applied due to certain trading restrictions imposed or a lack of marketability preceding the conversion to publicly traded securities. The primary inputs used in determining the discount are the length of the lock-up time period and volatility of the underlying security (Level 2 Inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies with a readily determinable fair value are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Funds' Board of Directors (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Inputs and assumptions considered in determining the fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of the security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, and/or analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange is open for business. The Board has approved the use of ICE Data Services (“ICE”) to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time as of which a Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time as of which a Fund’s share price is calculated, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (cont’d)
In December 2020, the Securities and Exchange Commission ("SEC") adopted Rule 2a-5 under the Investment Company Act of 1940, as amended (the "1940 Act"), which establishes requirements for determining fair value in good faith for purposes of the 1940 Act, including related oversight and reporting requirements. The rule also defines when market quotations are "readily available" for purposes of the 1940 Act, which is the threshold for determining whether a fund must fair value a security. The rule became effective on March 8, 2021, however, the SEC adopted an eighteen-month transition period beginning from the effective date. Management is currently evaluating this guidance.
Other matters—Coronavirus: The outbreak of the novel coronavirus in many countries has, among other things, disrupted global travel and supply chains, and adversely impacted global commercial activity, the transportation industry and commodity prices in the energy sector. The impact of this virus has negatively affected and may continue to affect the economies of many nations, individual companies and the global securities and commodities markets, including liquidity and volatility. The development and fluidity of this situation precludes any prediction as to its ultimate impact, which may have a continued adverse effect on global economic and market conditions. Such conditions (which may be across industries, sectors or geographies) have impacted and may continue to impact the issuers of the securities held by the Funds.
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.
Notes to Schedule of Investmentsß Alternative and Multi-Asset Class Funds (Unaudited) (cont’d)
Legend
Benchmarks: | ||||||
LIBOR | = | London Interbank Offered Rate | ||||
SOFR | = | Secured Overnight Financing Rate | ||||
Currency Abbreviations: | ||||||
AUD | = | Australian Dollar | ||||
BRL | = | Brazilian Real | ||||
EUR | = | Euro | ||||
KRW | = | South Korean Won | ||||
USD | = | United States Dollar | ||||
Non-Deliverable Forward Contracts: | ||||||
BRL | = | Brazilian Real | ||||
KRW | = | South Korean Won | ||||
Counterparties: | ||||||
GSI | = | Goldman Sachs International | ||||
JPM | = | JPMorgan Chase Bank N.A. | ||||
Index Periods/Payment Frequencies: | ||||||
1M | = | 1 Month | ||||
3M | = | 3 Months | ||||
6M | = | 6 Months | ||||
T | = | Termination | ||||
Other abbreviations: | ||||||
PIPE | = | Private investment in public entity | ||||
For information on the Funds’ significant accounting policies, please refer to the Funds’ most recent shareholder reports.
ß Consolidated Notes to Schedule of Investments for Neuberger Berman Commodity Strategy Fund.