UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22027
FundVantage Trust
(Exact name of registrant as specified in charter)
301 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Joel L. Weiss
JW Fund Management LLC
100 Springdale Rd., Suite A3-416
Cherry Hill, NJ 08003
(Name and address of agent for service)
Registrant’s telephone number, including area code: 856-528-3500
Date of fiscal year end: September 30
Date of reporting period: September 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
(b) Not applicable.
GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Enhanced Return Fund
Gotham Neutral Fund
Gotham Index Plus Fund
Gotham Large Value Fund
Gotham Enhanced S&P 500 Index Fund
Gotham Hedged Core Fund
ANNUAL REPORT
September 30, 2021
Important Notice: As permitted by the Securities and Exchange Commission, paper copies of the Gotham Funds’ annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically request paper copies of the shareholder reports from the Gotham Funds or from your financial intermediary. Instead, annual and semi-annual shareholder reports are available on the Gotham Funds website (www.GothamFunds.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to receive paper copies of shareholder reports through the mail or otherwise change your delivery method, contact your financial intermediary or, if you hold your shares directly through the Gotham Funds, call the Gotham Funds toll-free at 1 (877) 974-6852 or write to the Gotham Funds at Gotham Funds, FundVantage Trust, c/o BNY Mellon Investment Servicing, P.O. Box 9829, Providence, RI 02940-8029. Your election to receive shareholder reports in paper will apply to all Gotham Funds that you hold through the financial intermediary, or directly with the Gotham Funds.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
GOTHAM FUNDS
ANNUAL REPORT
AS OF SEPTEMBER 30, 2021
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Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a "Fund") compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund and Gotham Index Plus Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investments. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
1
Annual Investment Adviser’s Report
September 30, 2021
(Unaudited)
Gotham Absolute Return Fund (GARIX)
Gotham Enhanced Return Fund (GENIX)
Gotham Neutral Fund (GONIX)
Gotham Index Plus Fund (GINDX)
Gotham Large Value Fund (GVALX)
Gotham Enhanced S&P 500 Index Fund (GSPFX)
Gotham Hedge Core Fund (GCHDX)
Dear Shareholder,
Equity markets continued to make gains for the year amidst economic reopening fueled by the COVID-19 vaccination momentum, specifically in developed markets. The S&P 500 and Russell 1000 returned 15.9% and 15.2% respectively for the YTD period ending 9/30/21. The Russell 2000, a small-cap benchmark returned 12.4% YTD. Continuing the value/growth reversal trend from Q4 2020, Russell 1000 Value benchmark beat the Russell 1000 Growth benchmark by approximately 2% YTD. This “value tailwind” helped us achieve positive long/short spreads in many of our strategies along with strong absolute performance.
The S&P 500 is currently trading at 27x Gotham’s proprietary cash flow metric. This is a similar level to Q3 2020, despite the market appreciating 30% over the previous year. Much of the effect that Covid had on corporate earnings has started to phase out of our trailing data. The Russell 2000 remains markedly more expensive, trading at 58x Gotham’s cash flow metric. From similar valuation levels in the past, we would expect modestly positive returns for the S&P 500 and flat to slightly negative returns for the Russell 2000.1
However, our expected forward index returns based on historical cash flow yields do not reflect two major factors that could lead to more optimistic, though still muted, future return expectations. Of course, interest rates are lower than average over the last 30 years. If investors believe rates will remain below the average for the last three decades (a thesis more in question given recent inflation concerns), some adjustment should logically be made to our valuation percentiles.
Second, based on one of our recent research projects, returns on capital are much higher today than they were 30 years ago. Specifically, returns on tangible capital on a position-weighted basis for the S&P 500 have grown from roughly 20% to close to 70% over the last 30 years. In short, that means that to grow 5%, companies would have to reinvest 25% of their cash flow in the early 90’s versus closer to 7% today. In other words, raw cash flows are worth about 24% more today (93%/75%). Adjusting today’s cash flow yields to reflect this fact, would move our valuation metric from the 4th percentile towards expensive over the last 30 years to closer to the 15th percentile. At the 15th percentile, expected two-year forward returns would be closer to 8-10% (without any adjustment for lower interest rates).
Also, worthwhile considering is that a significant portion of the companies in the Russell 2000 are cash flow negative and our research indicates that much of the speculative valuation in US equity markets exists further down the market capitalization spectrum. The mega-cap technology companies that dominate large cap benchmarks generally merit their premium valuations given strong business fundamentals. Importantly for us, our research indicates that a wide dispersion in valuations across the US equity universe should provide favorable conditions to construct long/short portfolios.
As a reminder, we are cash-flow-oriented investors and define value differently than Russell or Morningstar who emphasizes metrics such as low price/book and low price to sales. Similar to a private equity firm, we examine a company’s cash flow generation and then determine its all-in cost as if we were buying the entire business. On the long side, we are generally overweight stocks that are big cash generators with high returns on capital but remain out of favor for varying reasons. Conversely, we are generally short stocks that trade at multiples of 50, 100, or more times free cash flow or companies with negative cash flow. This continues to make overwhelming sense to us. We remain disciplined in our approach to managing portfolio risks and given valuation levels, we are very optimistic about the opportunity set for our long/short spreads over the coming period.
1As of October 27, 2021
2
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2021, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
The indices referenced herein are for comparison purposes only. The performance and volatility of the funds will be different than those of the indices. It is not possible to invest in the indices directly.
3
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Performance by Fund
Gotham Absolute Return Fund (GARIX)
· | The Fund returned +16.26% (net) for the trailing twelve month period, the HFRX Equity Hedge Index returned +17.74% and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | The spread for the period was -7.30%2. |
· | The long portfolio contributed +45.49% for the trailing twelve month period. The short portfolio detracted -27.11% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Information Technology | 10.28% | 28.67% | |||||||
Consumer Discretionary | 9.82% | 21.03% | ||||||||
Largest Detractors | ||||||||||
Short | Consumer Discretionary | -5.78% | -10.64% | |||||||
Information Technology | -4.96% | -12.44% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Novavax Inc. | 1.58% | 1.20% | |||||||
Alphabet Inc. | 1.04% | 1.71% | ||||||||
Short | FuelCell Energy Inc. | 0.24% | -0.30% | |||||||
Grocery Outlet Inc. | 0.19% | -0.38% | ||||||||
Largest Detractors | ||||||||||
Long | DuPont De Nemours Inc. | -0.14% | 0.43% | |||||||
Sage Therapeutics Inc. | -0.14% | 0.17% | ||||||||
Short | Southwestern Energy Co. | -0.58% | -0.53% | |||||||
TripAdvisor Inc. | -0.52% | -0.32% |
4
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Enhanced Return Fund (GENIX)
· | The Fund returned +26.73% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | The spread for the period was -9.79%2. |
· | The long portfolio contributed +63.52% for the trailing twelve month period. The short portfolio detracted -34.24% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Information Technology | 15.36% | 43.07% | |||||||
Consumer Discretionary | 12.95% | 29.26% | ||||||||
Largest Detractors | ||||||||||
Short | Consumer Discretionary | -7.34% | -13.10% | |||||||
Information Technology | -5.94% | -14.40% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Alphabet Inc. | 2.05% | 2.95% | |||||||
Novavax Inc. | 1.74% | 1.25% | ||||||||
Short | FuelCell Energy Inc. | 0.30% | -0.35% | |||||||
Grocery Outlet Inc. | 0.24% | -0.43% | ||||||||
Largest Detractors | ||||||||||
Long | DuPont De Nemours Inc. | -0.22% | 0.63% | |||||||
Nielsen Holdings PLC | -0.18% | 0.35% | ||||||||
Short | Southwestern Energy Co. | -0.73% | -0.66% | |||||||
TripAdvisor Inc. | -0.58% | -0.34% |
5
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Neutral Fund (GONIX)
· | The Fund returned +1.42% (net) for the trailing twelve month period and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index returned +0.07% over the same time period. |
· | The spread for the period was -6.91%2. |
· | The long portfolio contributed +48.19% for the trailing twelve month period. The short portfolio detracted -44.86% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Consumer Discretionary | 13.20% | 24.87% | |||||||
Information Technology | 9.07% | 23.34% | ||||||||
Largest Detractors | ||||||||||
Short | Consumer Discretionary | -9.19% | -17.59% | |||||||
Information Technology | -9.15% | -21.04% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Signet Jewelers Ltd. | 1.58% | 1.09% | |||||||
Novavax Inc. | 1.56% | 1.24% | ||||||||
Short | FuelCell Energy Inc. | 0.28% | -0.48% | |||||||
Proto Labs Inc. | 0.22% | -0.38% | ||||||||
Largest Detractors | ||||||||||
Long | Yamana Gold Inc. | -0.29% | 1.03% | |||||||
Nielsen Holdings PLC | -0.21% | 0.34% | ||||||||
Short | Southwestern Energy Co. | -0.87% | -0.81% | |||||||
TripAdvisor Inc. | -0.84% | -0.52% |
6
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Index Plus Fund (GINDX)
· | The Fund’s Institutional Class returned +26.82% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | The spread for the period was -5.84%2. |
· | The long portfolio contributed +66.17% for the trailing twelve month period. The short portfolio detracted -37.52% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Information Technology | 12.22% | 40.80% | |||||||
Financials | 11.18% | 20.66% | ||||||||
Short | Consumer Staples | 0.76% | -3.99% | |||||||
Largest Detractors | ||||||||||
Short | Energy | -6.44% | -5.49% | |||||||
Consumer Discretionary | -6.17% | -12.57% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Alphabet Inc. | 2.89% | 4.43% | |||||||
Microsoft Corp. | 2.17% | 6.23% | ||||||||
Short | Enphase Energy Inc. | 0.30% | -1.09% | |||||||
FMC Corp. | 0.29% | -0.85% | ||||||||
Largest Detractors | ||||||||||
Long | Nielsen Holdings PLC | -0.17% | 0.75% | |||||||
Penn National Gaming Inc. | -0.15% | 0.71% | ||||||||
Short | Fortinet Inc. | -1.29% | -1.15% | |||||||
Albemarle Corp. | -1.18% | -0.92% |
7
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Large Value Fund (GVALX)
· | The Fund returned +30.83% (net) for the trailing twelve month period and the S&P Total Return Index returned +30.00% over the same time period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Financials | 6.74% | 13.50% | |||||||
Industrials | 5.82% | 18.92% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Citigroup Inc. | 1.08% | 1.62% | |||||||
Blackrock Inc. | 0.70% | 1.53% | ||||||||
Largest Detractors | ||||||||||
Long | Intel Corp. | -0.12% | 1.11% | |||||||
Lockheed Martin Corp. | -0.12% | 0.92% |
8
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Enhanced S&P 500 Index (GSPFX)
· | The Fund returned +26.17% (net) for the trailing twelve month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Information Technology | 7.91% | 27.61% | |||||||
Communication Services | 4.39% | 13.27% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Alphabet Inc. | 2.96% | 4.44% | |||||||
Microsoft Corp. | 2.19% | 6.20% | ||||||||
Largest Detractors | ||||||||||
Long | Lockheed Martin Corp. | -0.17% | 0.80% | |||||||
Cigna Corp. | -0.12% | 0.18% |
9
Annual Investment Adviser’s Report (Concluded)
September 30, 2021
(Unaudited)
Gotham Hedged Core Fund (GCHDX)
· | The Fund returned +14.56% (net) for the trailing twelve month period and the HFRX Equity Hedge Index returned +17.74% over the same time period. |
· | The spread for the period was -12.49%2. |
· | The long portfolio contributed +29.01% for the trailing twelve month period. The short portfolio detracted -13.37% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Industrials | 5.34% | 17.93% | |||||||
Information Technology | 5.12% | 20.51% | ||||||||
Short | Consumer Staples | 0.09% | -0.20% | |||||||
Largest Detractors | ||||||||||
Short | Information Technology | -3.59% | -9.97% | |||||||
Health Care | -2.35% | -7.04% |
Stock Contributors/Detractors |
| |||||||||
Average Contribution | Average Exposure | |||||||||
Largest Contributors | ||||||||||
Long | Alphabet Inc. | 1.90% | 3.14% | |||||||
Microsoft Corp. | 1.28% | 3.89% | ||||||||
Short | Enphase Energy Inc. | 0.20% | -0.76% | |||||||
Vertex Pharmaceuticals Inc. | 0.14% | -0.60% | ||||||||
Largest Detractors | ||||||||||
Long | Clorox Co. (The) | -0.46% | 2.52% | |||||||
C.H. Robinson Worldwide Inc. | -0.31% | 1.30% | ||||||||
Short | Fortinet Inc. | -0.60% | -0.59% | |||||||
Western Digital Corp. | -0.53% | -0.70% |
2 The spread is defined as how much our long portfolio outperformed our short portfolio adjusted for leverage (i.e. 100% long the long portfolio less 100% long the short portfolio).
10
GOTHAM FUNDS
Gotham Absolute Return Fund
Annual Report
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Absolute Return Fund Institutional Class Shares
vs. Hedge Fund Research Inc. (“HFRX”) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 16.26% | 4.03% | 5.67% | 6.77%* | ||||||||||||||||
HFRX Equity Hedge Index | 17.74% | 4.96% | 4.90% | 3.92%* | * |
* | The Gotham Absolute Return Fund (the “Fund”) commenced operations on August 31, 2012. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.73% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.50%, of the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the HFRX. The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
11
GOTHAM FUNDS
Gotham Enhanced Return Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Enhanced Return Fund Institutional Class Shares
vs. the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 26.73% | 6.33% | 9.87% | 9.66%* | ||||||||||||||||
S&P 500® Total Return Index | 30.00% | 15.98% | 16.89% | 14.60%* | * |
* | The Gotham Enhanced Return Fund (the “Fund”) commenced operations on May 31, 2013. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.67% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.50%, of the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
12
GOTHAM FUNDS
Gotham Neutral Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Neutral Fund Institutional Class Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 1.42% | -3.12% | -1.22% | -0.48%* | ||||||||||||||||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.07% | 1.18% | 1.16% | 0.76%* | * |
* | The Gotham Neutral Fund (the “Fund”) commenced operation on August 30, 2013. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.74% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Index”). The Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue.
13
GOTHAM FUNDS
Gotham Index Plus Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Index Plus Fund Institutional Class Shares
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 26.82% | 10.54% | 15.12% | 12.73%* | ||||||||||||||||
Investor Class Shares | 26.39% | 10.25% | 14.83% | 10.45%* | ||||||||||||||||
S&P 500® Total Return Index | 30.00% | 15.98% | 16.89% | 14.14%* | * |
* | Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.25% and 1.15% for Institutional Class shares, respectively, and 1.50% and 1.40% for Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.15% with respect to Institutional Class shares (on an annual basis) and 0.15% with respect to Investor Class shares (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 1.00%, the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
14
GOTHAM FUNDS
Gotham Large Value Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Large Value Fund Institutional Class Shares
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 30.83% | 10.51% | 13.49% | 13.26%* | ||||||||||||||||
S&P 500® Total Return Index | 30.00% | 15.98% | 16.89% | 16.04%* | * |
* | The Gotham Large Value Fund (the “Fund”) commenced operations on December 31, 2015. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.03% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.75% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
15
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $10,000 Investment in Gotham Enhanced S&P 500 Index Fund Institutional Shares Class
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||
1 Year | 3 Years | Since Inception | ||||||||||||||
Institutional Class Shares | 26.17% | 13.34% | 16.48%* | |||||||||||||
S&P 500® Total Return Index | 30.00% | 15.98% | 16.92%* | * |
* | The Gotham Enhanced S&P 500 Index Fund (the “Fund”) commenced operations on December 30, 2016. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 0.65% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.50% for Institutional Class shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). Gotham’s aggregate direct and indirect compensation from the Fund and any other investment companies advised or sub-advised by Gotham, does not exceed 0.50%, the annual investment advisory fee, prior to February 1, 2021. The Expense Limitation will remain in place until January 31, 2023, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
16
GOTHAM FUNDS
Gotham Hedged Core Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $25,000 Investment in Gotham Hedged Core Fund Institutional Class Shares
vs. Hedge Fund Research Inc. (“HFRX”) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||||||
Institutional Class Shares | 14.56% | 7.52% | 9.74% | 9.74%* | ||||||||||||||||
HFRX Equity Hedge Index | 17.74% | 4.96% | 4.90% | 4.90%* | * |
* | The Gotham Hedged Core Fund (the “Fund”) commenced operations on September 30, 2016. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 0.85% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the HFRX. The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
17
GOTHAM FUNDS
September 30, 2021
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from April 1, 2021 through September 30, 2021.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Gotham Absolute Return Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,060.90 | 1.50% | $7.75 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.55 | 1.50% | 7.59 | ||||
Gotham Enhanced Return Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,091.20 | 1.50% | $7.86 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.55 | 1.50% | 7.59 | ||||
Gotham Neutral Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,035.60 | 1.50% | $7.65 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.55 | 1.50% | 7.59 |
18
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2021
(Unaudited)
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
Gotham Index Plus Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,082.10 | 1.12% | $5.82 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.47 | 1.12% | 5.65 | ||||
Investor Class | ||||||||
Actual | $1,000.00 | $1,080.60 | 1.37% | $7.12 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.22 | 1.37% | 6.91 | ||||
Gotham Large Value Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,054.30 | 0.75% | $3.86 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.31 | 0.75% | 3.80 | ||||
Gotham Enhanced S&P 500 Index Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,077.80 | 0.50% | $2.59 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.58 | 0.50% | 2.52 | ||||
Gotham Hedged Core Fund | ||||||||
Institutional Class | ||||||||
Actual | $1,000.00 | $1,057.50 | 1.67% | $8.61 | ||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.70 | 1.67% | 8.44 |
* | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, which do not short securities or use leverage. |
** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended September 30, 2021, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365 to reflect the period. |
19
GOTHAM ABSOLUTE RETURN FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Software & Services | 12.8 | % | $ | 63,800,302 | ||||||||
Capital Goods | 7.9 | 39,632,621 | ||||||||||
Health Care Equipment & Services | 7.6 | 37,795,747 | ||||||||||
Media & Entertainment | 7.2 | 36,117,578 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.2 | 35,769,085 | ||||||||||
Retailing | 6.8 | 34,020,783 | ||||||||||
Technology Hardware & Equipment | 6.2 | 31,219,073 | ||||||||||
Materials | 5.8 | 28,829,399 | ||||||||||
Semiconductors & Semiconductor Equipment | 5.2 | 26,087,564 | ||||||||||
Energy | 4.7 | 23,677,216 | ||||||||||
Food, Beverage & Tobacco | 3.9 | 19,353,387 | ||||||||||
Consumer Services | 3.0 | 14,850,219 | ||||||||||
Consumer Durables & Apparel | 2.6 | 12,993,544 | ||||||||||
Automobiles & Components | 2.2 | 10,907,529 | ||||||||||
Transportation | 2.1 | 10,326,344 | ||||||||||
Diversified Financials | 2.0 | 9,810,783 | ||||||||||
Utilities | 1.9 | 9,625,459 | ||||||||||
Commercial & Professional Services | 1.6 | 8,230,994 | ||||||||||
Food & Staples Retailing | 1.6 | 8,080,227 | ||||||||||
Household & Personal Products | 1.2 | 6,014,345 | ||||||||||
Telecommunication Services | 1.2 | 5,807,391 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks | 94.7 | 472,949,590 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 5.3 | 26,579,261 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 499,528,851 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
20
GOTHAM ENHANCED RETURN FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Software & Services | 13.0 | % | $ | 29,469,089 | ||||||||
Capital Goods | 8.3 | 18,965,229 | ||||||||||
Health Care Equipment & Services | 7.8 | 17,623,213 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.2 | 16,240,732 | ||||||||||
Retailing | 6.8 | 15,357,388 | ||||||||||
Media & Entertainment | 6.7 | 15,242,862 | ||||||||||
Technology Hardware & Equipment | 5.7 | 12,995,974 | ||||||||||
Semiconductors & Semiconductor Equipment | 5.6 | 12,817,360 | ||||||||||
Materials | 5.2 | 11,896,753 | ||||||||||
Energy | 4.5 | 10,283,433 | ||||||||||
Food, Beverage & Tobacco | �� | 3.9 | 8,747,744 | |||||||||
Diversified Financials | 3.0 | 6,893,369 | ||||||||||
Consumer Services | 2.9 | 6,571,555 | ||||||||||
Consumer Durables & Apparel | 2.6 | 5,882,074 | ||||||||||
Automobiles & Components | 2.3 | 5,209,578 | ||||||||||
Utilities | 2.1 | 4,863,052 | ||||||||||
Transportation | 2.1 | 4,849,084 | ||||||||||
Commercial & Professional Services | 1.6 | 3,697,270 | ||||||||||
Food & Staples Retailing | 1.6 | 3,584,001 | ||||||||||
Telecommunication Services | 1.3 | 2,941,917 | ||||||||||
Household & Personal Products | 1.2 | 2,814,494 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks | 95.4 | 216,946,171 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 4.6 | 10,372,420 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 227,318,591 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
21
GOTHAM NEUTRAL FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Software & Services | 10.0 | % | $ | 4,021,180 | ||||||||
Capital Goods | 9.2 | 3,689,985 | ||||||||||
Health Care Equipment & Services | 8.4 | 3,389,554 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.5 | 3,014,379 | ||||||||||
Materials | 7.3 | 2,937,692 | ||||||||||
Retailing | 6.9 | 2,762,555 | ||||||||||
Technology Hardware & Equipment | 5.6 | 2,269,259 | ||||||||||
Energy | 5.1 | 2,059,510 | ||||||||||
Media & Entertainment | 4.9 | 1,969,262 | ||||||||||
Food, Beverage & Tobacco | 4.2 | 1,672,526 | ||||||||||
Semiconductors & Semiconductor Equipment | 3.9 | 1,586,325 | ||||||||||
Consumer Services | 3.7 | 1,474,197 | ||||||||||
Consumer Durables & Apparel | 3.4 | 1,360,649 | ||||||||||
Commercial & Professional Services | 2.5 | 1,003,935 | ||||||||||
Utilities | 2.4 | 974,647 | ||||||||||
Transportation | 2.4 | 967,115 | ||||||||||
Automobiles & Components | 2.0 | 800,152 | ||||||||||
Diversified Financials | 1.6 | 652,381 | ||||||||||
Food & Staples Retailing | 1.2 | 477,358 | ||||||||||
Household & Personal Products | 1.1 | 427,508 | ||||||||||
Telecommunication Services | 0.8 | 306,020 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks | 94.1 | 37,816,189 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 5.9 | 2,352,001 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 40,168,190 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
22
GOTHAM INDEX PLUS FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Software & Services | 10.3 | % | $ | 47,203,749 | ||||||||
Capital Goods | 6.6 | 30,378,849 | ||||||||||
Retailing | 6.6 | 30,273,870 | ||||||||||
Media & Entertainment | 5.4 | 24,511,212 | ||||||||||
Health Care Equipment & Services | 5.2 | 24,031,082 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.0 | 22,845,117 | ||||||||||
Food, Beverage & Tobacco | 4.3 | 19,773,824 | ||||||||||
Energy | 3.9 | 17,673,521 | ||||||||||
Materials | 3.7 | 16,829,421 | ||||||||||
Diversified Financials | 3.6 | 16,516,700 | ||||||||||
Semiconductors & Semiconductor Equipment | 3.4 | 15,355,224 | ||||||||||
Utilities | 3.3 | 15,283,802 | ||||||||||
Technology Hardware & Equipment | 3.1 | 14,376,283 | ||||||||||
Real Estate | 2.6 | 12,072,084 | ||||||||||
Banks | 2.1 | 9,520,843 | ||||||||||
Insurance | 2.0 | 8,962,882 | ||||||||||
Consumer Durables & Apparel | 1.9 | 8,767,484 | ||||||||||
Consumer Services | 1.9 | 8,724,421 | ||||||||||
Household & Personal Products | 1.8 | 8,309,514 | ||||||||||
Transportation | 1.8 | 8,139,339 | ||||||||||
Commercial & Professional Services | 1.4 | 6,413,004 | ||||||||||
Telecommunication Services | 1.2 | 5,351,810 | ||||||||||
Food & Staples Retailing | 1.1 | 4,891,293 | ||||||||||
Automobiles & Components | 0.3 | 1,393,760 | ||||||||||
Affiliated Equity Registered Investment Company | 12.4 | 56,600,440 | ||||||||||
|
|
|
| |||||||||
Total Investments | 94.9 | 434,199,528 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 5.1 | 23,227,173 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 457,426,701 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
23
GOTHAM LARGE VALUE FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Capital Goods | 10.5 | % | $ | 6,842,551 | ||||||||
Diversified Financials | 7.9 | 5,132,853 | ||||||||||
Retailing | 7.4 | 4,838,297 | ||||||||||
Food, Beverage & Tobacco | 7.2 | 4,690,467 | ||||||||||
Semiconductors & Semiconductor Equipment | 6.9 | 4,535,418 | ||||||||||
Energy | 6.7 | 4,374,532 | ||||||||||
Health Care Equipment & Services | 6.5 | 4,258,964 | ||||||||||
Materials | 6.3 | 4,123,576 | ||||||||||
Technology Hardware & Equipment | 5.5 | 3,599,174 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 5.2 | 3,431,932 | ||||||||||
Software & Services | 5.1 | 3,356,859 | ||||||||||
Banks | 4.4 | 2,887,044 | ||||||||||
Transportation | 3.6 | 2,385,730 | ||||||||||
Insurance | 2.9 | 1,880,604 | ||||||||||
Media & Entertainment | 2.7 | 1,746,949 | ||||||||||
Automobiles & Components | 2.4 | 1,556,962 | ||||||||||
Consumer Durables & Apparel | 1.7 | 1,118,442 | ||||||||||
Real Estate | 1.7 | 1,114,493 | ||||||||||
Telecommunication Services | 1.3 | 838,564 | ||||||||||
Food & Staples Retailing | 1.0 | 628,257 | ||||||||||
Consumer Services | 0.8 | 539,149 | ||||||||||
Commercial & Professional Services | 0.6 | 405,773 | ||||||||||
Utilities | 0.6 | 377,468 | ||||||||||
Household & Personal Products | 0.5 | 303,786 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks | 99.4 | 64,967,844 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 0.6 | 383,418 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 65,351,262 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
24
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||||
Common Stocks: | ||||||||||||
Software & Services | 15.0 | % | $ | 2,335,068 | ||||||||
Retailing | 10.6 | 1,643,408 | ||||||||||
Media & Entertainment | 10.3 | 1,599,787 | ||||||||||
Technology Hardware & Equipment | 9.2 | 1,438,380 | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 7.5 | 1,166,015 | ||||||||||
Capital Goods | 6.6 | 1,023,579 | ||||||||||
Health Care Equipment & Services | 5.8 | 909,291 | ||||||||||
Food, Beverage & Tobacco | 5.4 | 847,851 | ||||||||||
Diversified Financials | 3.9 | 607,210 | ||||||||||
Semiconductors & Semiconductor Equipment | 3.4 | 533,561 | ||||||||||
Energy | 3.2 | 501,365 | ||||||||||
Materials | 3.1 | 480,599 | ||||||||||
Telecommunication Services | 2.6 | 407,104 | ||||||||||
Automobiles & Components | 2.4 | 372,008 | ||||||||||
Transportation | 2.2 | 338,445 | ||||||||||
Food & Staples Retailing | 2.0 | 314,472 | ||||||||||
Insurance | 1.5 | 227,014 | ||||||||||
Real Estate | 1.1 | 163,735 | ||||||||||
Consumer Durables & Apparel | 0.9 | 143,329 | ||||||||||
Household & Personal Products | 0.7 | 116,439 | ||||||||||
Consumer Services | 0.7 | 104,809 | ||||||||||
Utilities | 0.5 | 85,750 | ||||||||||
Banks | 0.5 | 78,359 | ||||||||||
Commercial & Professional Services | 0.3 | 39,351 | ||||||||||
|
|
|
| |||||||||
Total Common Stocks | 99.4 | 15,476,929 | ||||||||||
|
|
|
| |||||||||
Other Assets in Excess of Liabilities | 0.6 | 92,000 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 15,568,929 | ||||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
25
GOTHAM HEDGED CORE FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Food, Beverage & Tobacco | 20.6 | % | $ | 1,687,949 | ||||||
Health Care Equipment & Services | 14.2 | 1,164,705 | ||||||||
Software & Services | 12.7 | 1,037,742 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 12.3 | 1,003,099 | ||||||||
Technology Hardware & Equipment | 10.8 | 884,477 | ||||||||
Media & Entertainment | 9.4 | 772,609 | ||||||||
Retailing | 8.5 | 691,654 | ||||||||
Capital Goods | 7.3 | 599,474 | ||||||||
Real Estate | 5.5 | 448,580 | ||||||||
Diversified Financials | 5.0 | 405,938 | ||||||||
Household & Personal Products | 4.9 | 399,414 | ||||||||
Food & Staples Retailing | 4.2 | 341,148 | ||||||||
Telecommunication Services | 3.6 | 295,323 | ||||||||
Utilities | 3.4 | 276,079 | ||||||||
Insurance | 3.2 | 262,638 | ||||||||
Consumer Durables & Apparel | 3.0 | 248,712 | ||||||||
Transportation | 3.0 | 243,354 | ||||||||
Consumer Services | �� | 2.8 | 231,214 | |||||||
Materials | 1.8 | 146,505 | ||||||||
Semiconductors & Semiconductor Equipment | 1.6 | 126,903 | ||||||||
Energy | 1.1 | 87,872 | ||||||||
Commercial & Professional Services | 0.2 | 18,777 | ||||||||
Automobiles & Components | 0.0 | 3,268 | ||||||||
|
|
|
| |||||||
Total Long Positions | 139.1 | 11,377,434 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Household & Personal Products | (0.0 | )% | $ | (83 | ) | |||||
Energy | (0.0 | ) | (1,261 | ) | ||||||
Insurance | (0.3 | ) | (23,284 | ) | ||||||
Transportation | (0.4 | ) | (32,277 | ) | ||||||
Food, Beverage & Tobacco | (0.6 | ) | (49,309 | ) | ||||||
Media & Entertainment | (0.7 | ) | (54,519 | ) | ||||||
Consumer Durables & Apparel | (0.7 | ) | (59,077 | ) | ||||||
Automobiles & Components | (0.7 | ) | (59,574 | ) | ||||||
Technology Hardware & Equipment | (0.8 | ) | (67,799 | ) | ||||||
Consumer Services | (0.9 | ) | (72,909 | ) | ||||||
Commercial & Professional Services | (1.0 | ) | (82,383 | ) | ||||||
Diversified Financials | (1.0 | ) | (84,708 | ) | ||||||
Real Estate | (1.5 | ) | (121,547 | ) | ||||||
Retailing | (1.9 | ) | (152,655 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (1.9 | ) | (152,703 | ) | ||||||
Capital Goods | (1.9 | ) | (156,023 | ) | ||||||
Banks | (1.9 | ) | (156,874 | ) | ||||||
Health Care Equipment & Services | (2.9 | ) | (237,640 | ) | ||||||
Semiconductors & Semiconductor Equipment | (3.5 | ) | (286,466 | ) | ||||||
Materials | (3.8 | ) | (315,242 | ) | ||||||
Software & Services | (4.2 | ) | (339,947 | ) | ||||||
Utilities | (9.6 | ) | (783,424 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (40.2 | ) | (3,289,704 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 1.1 | 88,960 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 8,176,690 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
26
GOTHAM ABSOLUTE RETURN FUND
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 94.7% |
| |||||||
Automobiles & Components — 2.2% |
| |||||||
Adient PLC (Ireland)* | 14,330 | $ | 593,978 | |||||
American Axle & Manufacturing Holdings, Inc.* | 78,118 | 688,220 | ||||||
Aptiv PLC (Jersey)* | 5,212 | 776,432 | ||||||
Ford Motor Co.(a)* | 139,296 | 1,972,431 | ||||||
General Motors Co.(a)* | 55,380 | 2,919,080 | ||||||
Gentex Corp. | 18,808 | 620,288 | ||||||
Gentherm, Inc.* | 3,427 | 277,347 | ||||||
Goodyear Tire & Rubber Co. (The)* | 285 | 5,044 | ||||||
Lear Corp. | 1,247 | 195,131 | ||||||
Magna International, Inc. (Canada) | 16,669 | 1,254,175 | ||||||
Tenneco, Inc., Class A* | 49,484 | 706,137 | ||||||
Thor Industries, Inc. | 309 | 37,933 | ||||||
Visteon Corp.* | 5,639 | 532,265 | ||||||
Winnebago Industries, Inc. | 4,542 | 329,068 | ||||||
|
| |||||||
10,907,529 | ||||||||
|
| |||||||
Capital Goods — 7.9% |
| |||||||
3M Co.(a) | 9,037 | 1,585,271 | ||||||
A.O. Smith Corp. | 7,289 | 445,139 | ||||||
AAR Corp.* | 5,888 | 190,948 | ||||||
AECOM* | 12,081 | 762,915 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 2,596 | 113,056 | ||||||
Allegion PLC (Ireland) | 2,252 | 297,669 | ||||||
Apogee Enterprises, Inc. | 2,101 | 79,334 | ||||||
Applied Industrial Technologies, Inc. | 2 | 180 | ||||||
Armstrong World Industries, Inc. | 1,476 | 140,914 | ||||||
Atkore, Inc.* | 11,609 | 1,009,054 | ||||||
Beacon Roofing Supply, Inc.* | 10,223 | 488,250 | ||||||
Boise Cascade Co. | 22,453 | 1,212,013 | ||||||
Carrier Global Corp. | 16,564 | 857,353 | ||||||
Caterpillar, Inc. | 3,473 | 666,712 | ||||||
Comfort Systems USA, Inc. | 1,596 | 113,827 | ||||||
Crane Co. | 3,767 | 357,149 | ||||||
Cummins, Inc. | 2,174 | 488,193 | ||||||
Deere & Co.(a) | 3,625 | 1,214,629 | ||||||
Dover Corp. | 2,928 | 455,304 | ||||||
Dycom Industries, Inc.* | 4,718 | 336,110 | ||||||
Eaton Corp. PLC (Ireland) | 6,730 | 1,004,856 | ||||||
EMCOR Group, Inc. | 390 | 44,998 | ||||||
Emerson Electric Co. | 24,973 | 2,352,457 | ||||||
Enerpac Tool Group Corp. | 569 | 11,795 | ||||||
ESCO Technologies, Inc. | 1,322 | 101,794 | ||||||
Fortive Corp. | 2,500 | 176,425 | ||||||
Generac Holdings, Inc.* | 282 | 115,245 | ||||||
General Dynamics Corp. | 7,163 | 1,404,163 | ||||||
General Electric Co. | 14,695 | 1,514,026 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Graco, Inc. | 206 | $ | 14,414 | |||||
Granite Construction, Inc. | 8,582 | 339,418 | ||||||
HEICO Corp. | 2,921 | 385,192 | ||||||
Herc Holdings, Inc.* | 1,234 | 201,710 | ||||||
Hillenbrand, Inc. | 5,855 | 249,716 | ||||||
Honeywell International, Inc. | 1,155 | 245,183 | ||||||
Howmet Aerospace, Inc.(a) | 20,529 | 640,505 | ||||||
Huntington Ingalls Industries, Inc. | 1,708 | 329,746 | ||||||
Ingersoll Rand, Inc.* | 17,024 | 858,180 | ||||||
Johnson Controls International PLC (Ireland) | 15,502 | 1,055,376 | ||||||
Kaman Corp. | 654 | 23,328 | ||||||
L3Harris Technologies, Inc. | 920 | 202,621 | ||||||
Lennox International, Inc. | 3,887 | 1,143,439 | ||||||
Lockheed Martin Corp.(a) | 5,826 | 2,010,553 | ||||||
Middleby Corp. (The)* | 730 | 124,472 | ||||||
Mueller Industries, Inc. | 18 | 740 | ||||||
MYR Group, Inc.* | 231 | 22,984 | ||||||
Nordson Corp. | 2,174 | 517,738 | ||||||
Northrop Grumman Corp.(a) | 2,802 | 1,009,140 | ||||||
NOW, Inc.* | 25,864 | 197,860 | ||||||
Oshkosh Corp. | 8,121 | 831,347 | ||||||
Otis Worldwide Corp. | 3,778 | 310,854 | ||||||
Owens Corning | 19,480 | 1,665,540 | ||||||
Parker-Hannifin Corp. | 2,488 | 695,695 | ||||||
Pentair PLC (Ireland) | 14,521 | 1,054,660 | ||||||
Quanta Services, Inc. | 178 | 20,260 | ||||||
RBC Bearings, Inc.* | 571 | 121,166 | ||||||
Regal Rexnord Corp. | 1,525 | 229,268 | ||||||
Resideo Technologies, Inc.* | 11,829 | 293,241 | ||||||
Rockwell Automation, Inc. | 1,192 | 350,496 | ||||||
Sensata Technologies Holding PLC (United Kingdom)* | 7,817 | 427,746 | ||||||
Simpson Manufacturing Co., Inc. | 1,840 | 196,825 | ||||||
Snap-on, Inc. | 4,046 | 845,412 | ||||||
SPX FLOW, Inc. | 1,083 | 79,167 | ||||||
Stanley Black & Decker, Inc. | 6,808 | 1,193,510 | ||||||
Tecnoglass, Inc. (Cayman Islands) | 2,957 | 64,256 | ||||||
Terex Corp. | 12,502 | 526,334 | ||||||
Textron, Inc. | 8,671 | 605,323 | ||||||
Toro Co. (The) | 1,904 | 185,469 | ||||||
TPI Composites, Inc.* | 7,248 | 244,620 | ||||||
Trane Technologies PLC (Ireland) | 4,974 | 858,761 | ||||||
Triumph Group, Inc.* | 4,667 | 86,946 | ||||||
Vicor Corp.* | 926 | 124,232 | ||||||
Watsco, Inc. | 326 | 86,266 |
The accompanying notes are an integral part of the financial statements.
27
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
WESCO International, Inc.* | 5,556 | $ | 640,718 | |||||
WW Grainger, Inc. | 1,916 | 753,103 | ||||||
Xylem, Inc. | 237 | 29,312 | ||||||
|
| |||||||
39,632,621 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.6% |
| |||||||
ABM Industries, Inc. | 6,312 | 284,103 | ||||||
Brady Corp., Class A | 3,929 | 199,200 | ||||||
Brink’s Co. (The) | 5,783 | 366,064 | ||||||
CACI International, Inc., Class A* | 23 | 6,028 | ||||||
CBIZ, Inc.* | 754 | 24,384 | ||||||
Cintas Corp. | 454 | 172,820 | ||||||
Clean Harbors, Inc.* | 5,389 | 559,756 | ||||||
Copart, Inc.* | 3,873 | 537,263 | ||||||
CoreCivic, Inc.* | 14,368 | 127,875 | ||||||
Covanta Holding Corp. | 10,946 | 220,234 | ||||||
Equifax, Inc. | 540 | 136,847 | ||||||
Healthcare Services Group, Inc. | 11,858 | 296,331 | ||||||
HNI Corp. | 3,650 | 134,028 | ||||||
IHS Markit Ltd. (Bermuda) | 429 | 50,030 | ||||||
Jacobs Engineering Group, Inc. | 4,629 | 613,481 | ||||||
Korn Ferry | 2,409 | 174,315 | ||||||
MSA Safety, Inc. | 232 | 33,802 | ||||||
Nielsen Holdings PLC (United Kingdom) | 106,741 | 2,048,360 | ||||||
Republic Services, Inc. | 7,442 | 893,487 | ||||||
Robert Half International, Inc. | 6,108 | 612,816 | ||||||
Rollins, Inc. | 2,173 | 76,772 | ||||||
Science Applications International Corp. | 3,022 | 258,562 | ||||||
Steelcase, Inc., Class A | 703 | 8,914 | ||||||
Thomson Reuters Corp. (Canada) | 3,311 | 365,799 | ||||||
Waste Management, Inc. | 199 | 29,723 | ||||||
|
| |||||||
8,230,994 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.6% |
| |||||||
Acushnet Holdings Corp. | 2,587 | 120,813 | ||||||
BRP, Inc., sub-voting shares (Canada) | 1,227 | 113,718 | ||||||
Brunswick Corp. | 9,370 | 892,680 | ||||||
Capri Holdings Ltd. (British Virgin Islands)* | 2,308 | 111,730 | ||||||
Cavco Industries, Inc.* | 394 | 93,276 | ||||||
Columbia Sportswear Co. | 149 | 14,280 | ||||||
Deckers Outdoor Corp.* | 32 | 11,526 | ||||||
DR Horton, Inc. | 10,604 | 890,418 | ||||||
Garmin Ltd. (Switzerland) | 2,303 | 358,024 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
G-III Apparel Group Ltd.* | 13,884 | $ | 392,917 | |||||
GoPro, Inc., Class A* | 48,300 | 452,088 | ||||||
Hasbro, Inc. | 9,999 | 892,111 | ||||||
Johnson Outdoors, Inc., Class A | 156 | 16,505 | ||||||
Kontoor Brands, Inc. | 3,653 | 182,467 | ||||||
La-Z-Boy, Inc. | 1,850 | 59,626 | ||||||
Mattel, Inc.* | 26,498 | 491,803 | ||||||
Mohawk Industries, Inc.(a)* | 6,842 | 1,213,771 | ||||||
Newell Brands, Inc. | 10,495 | 232,359 | ||||||
NIKE, Inc., Class B | 10,353 | 1,503,566 | ||||||
Polaris, Inc. | 455 | 54,445 | ||||||
PulteGroup, Inc. | 7,711 | 354,089 | ||||||
Ralph Lauren Corp. | 1,326 | 147,239 | ||||||
Skechers USA, Inc., Class A* | 354 | 14,911 | ||||||
Skyline Champion Corp.* | 8,407 | 504,924 | ||||||
Smith & Wesson Brands, Inc. | 40,156 | 833,639 | ||||||
Sonos, Inc.* | 13,071 | 422,978 | ||||||
Steven Madden Ltd. | 2,336 | 93,814 | ||||||
Sturm Ruger & Co., Inc. | 6,122 | 451,681 | ||||||
Tapestry, Inc. | 9,425 | 348,914 | ||||||
Tempur Sealy International, Inc. | 8,175 | 379,402 | ||||||
Tupperware Brands Corp.* | 4,537 | 95,821 | ||||||
Under Armour, Inc., Class C* | 16,529 | 289,588 | ||||||
Whirlpool Corp. | 4,144 | 844,796 | ||||||
YETI Holdings, Inc.* | 1,326 | 113,625 | ||||||
|
| |||||||
12,993,544 | ||||||||
|
| |||||||
Consumer Services — 3.0% |
| |||||||
Adtalem Global Education, Inc.* | 10,106 | 382,108 | ||||||
Airbnb, Inc., Class A* | 1,180 | 197,945 | ||||||
Bloomin’ Brands, Inc.* | 38,157 | 953,925 | ||||||
Booking Holdings, Inc.* | 388 | 921,062 | ||||||
Boyd Gaming Corp.* | 3,076 | 194,588 | ||||||
Brinker International, Inc.* | 9,697 | 475,638 | ||||||
Choice Hotels International, Inc. | 3,392 | 428,647 | ||||||
Cracker Barrel Old Country Store, Inc. | 1,023 | 143,056 | ||||||
Dine Brands Global, Inc.* | 6,072 | 493,107 | ||||||
Domino’s Pizza, Inc. | 435 | 207,478 | ||||||
Expedia Group, Inc.* | 499 | 81,786 | ||||||
Golden Entertainment, Inc.* | 2,829 | 138,876 | ||||||
Graham Holdings Co., Class B | 494 | 291,045 | ||||||
Grand Canyon Education, Inc.* | 3,285 | 288,949 | ||||||
Hilton Worldwide Holdings, Inc.* | 1,218 | 160,910 | ||||||
Houghton Mifflin Harcourt Co.* | 9,721 | 130,553 | ||||||
Jack in the Box, Inc. | 1,018 | 99,082 |
The accompanying notes are an integral part of the financial statements.
28
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., Class A(a)* | 9,104 | $ | 1,348,211 | |||||
McDonald’s Corp. | 6,147 | 1,482,103 | ||||||
Penn National Gaming, Inc.* | 15,027 | 1,088,856 | ||||||
Perdoceo Education Corp.* | 30,329 | 320,274 | ||||||
Red Rock Resorts, Inc., Class A* | 16,732 | 857,013 | ||||||
Service Corp. International | 6,779 | 408,503 | ||||||
Starbucks Corp. | 5,384 | 593,909 | ||||||
Vail Resorts, Inc. | 565 | 188,738 | ||||||
Wendy’s Co. (The) | 21,589 | 468,049 | ||||||
Wyndham Hotels & Resorts, Inc. | 11,490 | 886,913 | ||||||
Yum! Brands, Inc. | 13,236 | 1,618,895 | ||||||
|
| |||||||
14,850,219 | ||||||||
|
| |||||||
Diversified Financials — 2.0% |
| |||||||
Affiliated Managers Group, Inc. | 1,464 | 221,196 | ||||||
Berkshire Hathaway, Inc., Class B* | 1,511 | 412,412 | ||||||
BlackRock, Inc. | 1,189 | 997,167 | ||||||
CME Group, Inc. | 3,982 | 770,039 | ||||||
Federated Hermes, Inc. | 5,566 | 180,895 | ||||||
Franklin Resources, Inc. | 21,800 | 647,896 | ||||||
Invesco Ltd. (Bermuda) | 30,084 | 725,325 | ||||||
Moody’s Corp. | 3,697 | 1,312,842 | ||||||
MSCI, Inc. | 425 | 258,544 | ||||||
Nasdaq, Inc. | 7,140 | 1,378,163 | ||||||
S&P Global, Inc. | 2,107 | 895,243 | ||||||
T Rowe Price Group, Inc.(a) | 10,224 | 2,011,061 | ||||||
|
| |||||||
9,810,783 | ||||||||
|
| |||||||
Energy — 4.7% |
| |||||||
Antero Resources Corp.* | 11,519 | 216,672 | ||||||
APA Corp. | 39,550 | 847,556 | ||||||
Archrock, Inc. | 8,222 | 67,831 | ||||||
Baker Hughes Co. | 45,261 | 1,119,305 | ||||||
Cactus, Inc., Class A | 988 | 37,267 | ||||||
Canadian Natural Resources Ltd. (Canada) | 18,427 | 673,323 | ||||||
Centennial Resource Development, Inc., Class A* | 20,669 | 138,482 | ||||||
ChampionX Corp.* | 31,327 | 700,472 | ||||||
Cimarex Energy Co.* | 7,746 | 675,451 | ||||||
Clean Energy Fuels Corp.* | 3,605 | 29,381 | ||||||
Continental Resources, Inc. | 11,065 | 510,650 | ||||||
Coterra Energy, Inc. | 10,867 | 236,466 | ||||||
Denbury, Inc.* | 8,662 | 608,505 | ||||||
DHT Holdings, Inc. (Marshall Islands) | 13,815 | 90,212 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
EOG Resources, Inc. | 19,580 | $ | 1,571,687 | |||||
Equitrans Midstream Corp. | 31,158 | 315,942 | ||||||
Exxon Mobil Corp.(a) | 45,697 | 2,687,898 | ||||||
Green Plains, Inc.* | 1,865 | 60,892 | ||||||
Halliburton Co. | 43,138 | 932,644 | ||||||
Hess Corp. | 16,435 | 1,283,738 | ||||||
Imperial Oil Ltd. (Canada) | 6,036 | 190,496 | ||||||
Kosmos Energy Ltd.* | 97,526 | 288,677 | ||||||
Magnolia Oil & Gas Corp., Class A | 6,460 | 114,923 | ||||||
Marathon Oil Corp. | 141,789 | 1,938,256 | ||||||
Marathon Petroleum Corp. | 34,438 | 2,128,613 | ||||||
Oasis Petroleum, Inc. | 1,678 | 166,827 | ||||||
Occidental Petroleum Corp. | 24,320 | 719,386 | ||||||
Oceaneering International, Inc.* | 43,098 | 574,065 | ||||||
ONEOK, Inc. | 23,198 | 1,345,252 | ||||||
Ovintiv, Inc. | 17,426 | 572,967 | ||||||
PDC Energy, Inc. | 10,630 | 503,756 | ||||||
SFL Corp. Ltd. (Bermuda) | 12,966 | 108,655 | ||||||
SM Energy Co. | 30,825 | 813,163 | ||||||
Suncor Energy, Inc. (Canada) | 16,054 | 332,960 | ||||||
Targa Resources Corp. | 4,578 | 225,283 | ||||||
Vermilion Energy, Inc. (Canada)* | 31,384 | 310,702 | ||||||
Whiting Petroleum Corp.* | 3,084 | 180,136 | ||||||
World Fuel Services Corp. | 10,670 | 358,725 | ||||||
|
| |||||||
23,677,216 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
Costco Wholesale Corp. | 925 | 415,649 | ||||||
Kroger Co. (The) | 11,524 | 465,915 | ||||||
Sprouts Farmers Market, Inc.* | 23,686 | 548,805 | ||||||
Sysco Corp. | 16,902 | 1,326,807 | ||||||
US Foods Holding Corp.* | 180 | 6,239 | ||||||
Walgreens Boots Alliance, Inc. | 15,115 | 711,161 | ||||||
Walmart, Inc.(a) | 32,956 | 4,593,407 | ||||||
Weis Markets, Inc. | 233 | 12,244 | ||||||
|
| |||||||
8,080,227 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.9% |
| |||||||
Altria Group, Inc. | 31,314 | 1,425,413 | ||||||
Archer-Daniels-Midland Co. | 14,759 | 885,688 | ||||||
Brown-Forman Corp., Class B | 1,856 | 124,371 | ||||||
Coca-Cola Co. (The)(a) | 44,791 | 2,350,184 | ||||||
Coca-Cola Consolidated, Inc. | 302 | 119,042 | ||||||
Constellation Brands, Inc., Class A | 5,581 | 1,175,861 | ||||||
Darling Ingredients, Inc.* | 18,580 | 1,335,902 | ||||||
General Mills, Inc. | 4,439 | 265,541 | ||||||
Hershey Co. (The) | 6,013 | 1,017,700 |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
JM Smucker Co. (The) | 47 | $ | 5,641 | |||||
Kellogg Co. | 2,311 | 147,719 | ||||||
Kraft Heinz Co. (The)(a) | 66,029 | 2,431,188 | ||||||
Molson Coors Beverage Co., Class B | 5,306 | 246,092 | ||||||
Mondelez International, Inc., Class A | 27,520 | 1,601,114 | ||||||
Monster Beverage Corp.(a)* | 17,647 | 1,567,583 | ||||||
PepsiCo, Inc. | 10,910 | 1,640,973 | ||||||
Philip Morris International, Inc. | 9,150 | 867,329 | ||||||
Sanderson Farms, Inc. | 5,960 | 1,121,672 | ||||||
SunOpta, Inc. (Canada)* | 25,439 | 227,170 | ||||||
Tyson Foods, Inc., Class A | 9,065 | 715,591 | ||||||
Vector Group Ltd. | 6,401 | 81,613 | ||||||
|
| |||||||
19,353,387 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.6% |
| |||||||
Abbott Laboratories(a) | 12,830 | 1,515,608 | ||||||
Acadia Healthcare Co., Inc.* | 16,040 | 1,023,031 | ||||||
Addus HomeCare Corp.* | 14 | 1,117 | ||||||
Alcon, Inc. (Switzerland) | 12,130 | 976,101 | ||||||
Align Technology, Inc.* | 1,973 | 1,312,893 | ||||||
Allscripts Healthcare Solutions, Inc.* . | 10,905 | 145,800 | ||||||
Amedisys, Inc.* | 2,342 | 349,192 | ||||||
AMN Healthcare Services, Inc.* | 4,277 | 490,786 | ||||||
Anthem, Inc.(a) | 5,851 | 2,181,253 | ||||||
Becton Dickinson and Co. | 173 | 42,527 | ||||||
Boston Scientific Corp.* | 28,307 | 1,228,241 | ||||||
Cerner Corp. | 22,928 | 1,616,883 | ||||||
Cigna Corp. | 4,310 | 862,690 | ||||||
Community Health Systems, Inc.* | 8,164 | 95,519 | ||||||
CONMED Corp. | 1,844 | 241,251 | ||||||
Cooper Cos., Inc. (The) | 1,627 | 672,455 | ||||||
CryoLife, Inc.* | 66 | 1,471 | ||||||
CVS Health Corp. | 4,275 | 362,777 | ||||||
Danaher Corp.(a) | 3,751 | 1,141,954 | ||||||
Dexcom, Inc.* | 287 | 156,949 | ||||||
Doximity, Inc., Class A* | 1,123 | 90,626 | ||||||
Edwards Lifesciences Corp.* | 2,639 | 298,761 | ||||||
Ensign Group, Inc. (The) | 1,844 | 138,097 | ||||||
Envista Holdings Corp.* | 26,400 | 1,103,784 | ||||||
Fulgent Genetics, Inc.* | 3,554 | 319,682 | ||||||
Globus Medical, Inc., Class A* | 1,986 | 152,167 | ||||||
HCA Healthcare, Inc. | 5,351 | 1,298,795 | ||||||
Henry Schein, Inc.* | 4,393 | 334,571 | ||||||
Heska Corp.* | 624 | 161,329 | ||||||
Hologic, Inc.(a)* | 17,561 | 1,296,177 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
IDEXX Laboratories, Inc.* | 2,918 | $ | 1,814,704 | |||||
Inspire Medical Systems, Inc.* | 1,249 | 290,867 | ||||||
Integra LifeSciences Holdings Corp.* | 6,495 | 444,778 | ||||||
Intersect ENT, Inc.* | 198 | 5,386 | ||||||
Intuitive Surgical, Inc.(a)* | 1,287 | 1,279,471 | ||||||
Laboratory Corp. of America Holdings* | 6,226 | 1,752,245 | ||||||
LeMaitre Vascular, Inc. | 183 | 9,715 | ||||||
LivaNova PLC (United Kingdom)* | 9,346 | 740,110 | ||||||
McKesson Corp. | 5,474 | 1,091,406 | ||||||
MEDNAX, Inc.* | 15,814 | 449,592 | ||||||
Medtronic PLC (Ireland) | 22,150 | 2,776,502 | ||||||
Merit Medical Systems, Inc.* | 5,835 | 418,953 | ||||||
ModivCare, Inc.* | 314 | 57,029 | ||||||
National Research Corp. | 23 | 970 | ||||||
Natus Medical, Inc.* | 2,484 | 62,299 | ||||||
NextGen Healthcare, Inc.* | 234 | 3,299 | ||||||
Omnicell, Inc.* | 2,457 | 364,693 | ||||||
Owens & Minor, Inc. | 2,043 | 63,925 | ||||||
Quest Diagnostics, Inc. | 6,035 | 876,946 | ||||||
Select Medical Holdings Corp. | 12,379 | 447,748 | ||||||
STAAR Surgical Co.* | 7,912 | 1,016,929 | ||||||
Stryker Corp. | 4,204 | 1,108,679 | ||||||
Tenet Healthcare Corp.* | 536 | 35,612 | ||||||
Tivity Health, Inc.* | 20,516 | 473,099 | ||||||
UnitedHealth Group, Inc.(a) | 6,042 | 2,360,851 | ||||||
Veeva Systems, Inc., Class A* | 824 | 237,452 | ||||||
|
| |||||||
37,795,747 | ||||||||
|
| |||||||
Household & Personal Products — 1.2% |
| |||||||
Colgate-Palmolive Co.(a) | 31,340 | 2,368,677 | ||||||
Coty, Inc., Class A* | 42,793 | 336,353 | ||||||
Edgewell Personal Care Co. | 5,626 | 204,224 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 4,182 | 1,254,307 | ||||||
Kimberly-Clark Corp. | 3,596 | 476,254 | ||||||
Procter & Gamble Co. (The) | 8,327 | 1,164,115 | ||||||
WD-40 Co. | 909 | 210,415 | ||||||
|
| |||||||
6,014,345 | ||||||||
|
| |||||||
Materials — 5.8% |
| |||||||
AdvanSix, Inc.* | 2,073 | 82,402 | ||||||
Agnico Eagle Mines Ltd. (Canada) | 17,556 | 910,279 | ||||||
Alamos Gold, Inc., Class A (Canada) | 10,917 | 78,602 | ||||||
Amcor PLC (Jersey) | 799 | 9,260 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Ashland Global Holdings, Inc. | 3,280 | $ | 292,314 | |||||
Avery Dennison Corp. | 4,018 | 832,570 | ||||||
Avient Corp. | 5,521 | 255,898 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 26,248 | 766,179 | ||||||
Ball Corp. | 642 | 57,761 | ||||||
Carpenter Technology Corp. | 3,929 | 128,635 | ||||||
Celanese Corp. | 2,553 | 384,584 | ||||||
CF Industries Holdings, Inc. | 6,404 | 357,471 | ||||||
Chemours Co. (The) | 24,707 | 717,985 | ||||||
Corteva, Inc. | 16,275 | 684,852 | ||||||
Domtar Corp.* | 7,583 | 413,577 | ||||||
Dow, Inc. | 22,072 | 1,270,464 | ||||||
DuPont de Nemours, Inc.(a) | 50,647 | 3,443,490 | ||||||
Eagle Materials, Inc. | 5,998 | 786,698 | ||||||
Eastman Chemical Co. | 4,055 | 408,501 | ||||||
Ecovyst, Inc. | 379 | 4,419 | ||||||
Ferro Corp.* | 19,036 | 387,192 | ||||||
Freeport-McMoRan, Inc.(a) | 31,597 | 1,027,850 | ||||||
GCP Applied Technologies, Inc.* | 393 | 8,615 | ||||||
Graphic Packaging Holding Co. | 14,335 | 272,938 | ||||||
Hecla Mining Co. | 54,962 | 302,291 | ||||||
IAMGOLD Corp. (Canada)* | 95,554 | 215,952 | ||||||
Ingevity Corp.* | 6,000 | 428,220 | ||||||
Innospec, Inc. | 2,064 | 173,830 | ||||||
International Paper Co. | 12,984 | 726,065 | ||||||
Kaiser Aluminum Corp. | 7 | 763 | ||||||
Kinross Gold Corp. (Canada) | 33,439 | 179,233 | ||||||
Linde PLC (Ireland) | 6,932 | 2,033,710 | ||||||
Livent Corp.* | 17,867 | 412,906 | ||||||
Louisiana-Pacific Corp. | 8,105 | 497,404 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 7,662 | 719,079 | ||||||
Martin Marietta Materials, Inc. | 387 | 132,230 | ||||||
Minerals Technologies, Inc. | 508 | 35,479 | ||||||
Mosaic Co. (The) | 37,558 | 1,341,572 | ||||||
Newmont Corp. | 12,465 | 676,850 | ||||||
Nucor Corp. | 15,003 | 1,477,645 | ||||||
Nutrien Ltd. (Canada) | 5,603 | 363,243 | ||||||
O-I Glass, Inc.* | 55,528 | 792,385 | ||||||
Olin Corp. | 15,844 | 764,473 | ||||||
PPG Industries, Inc. | 1,537 | 219,806 | ||||||
Pretium Resources, Inc. (Canada)* | 34,949 | 336,908 | ||||||
Reliance Steel & Aluminum Co. | 705 | 100,406 | ||||||
Royal Gold, Inc. | 928 | 88,615 | ||||||
Sealed Air Corp. | 5,634 | 308,687 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Sensient Technologies Corp. | 510 | $ | 46,451 | |||||
Sherwin-Williams Co. (The) | 3,749 | 1,048,708 | ||||||
Southern Copper Corp. | 4,410 | 247,577 | ||||||
Trinseo SA (Luxembourg) | 2,335 | 126,043 | ||||||
Westlake Chemical Corp. | 4,582 | 417,604 | ||||||
Westrock Co. | 5,833 | 290,658 | ||||||
Wheaton Precious Metals Corp. (Canada) | 8,731 | 328,111 | ||||||
Worthington Industries, Inc. | 7,855 | 413,959 | ||||||
|
| |||||||
28,829,399 | ||||||||
|
| |||||||
Media & Entertainment — 7.2% |
| |||||||
Activision Blizzard, Inc. | 19,862 | 1,537,120 | ||||||
Alphabet, Inc., Class A(a)* | 3,241 | 8,664,878 | ||||||
Altice USA, Inc., Class A* | 1,965 | 40,715 | ||||||
Cars.com, Inc.* | 7,977 | 100,909 | ||||||
Charter Communications, Inc., Class A(a)* | 2,909 | 2,116,472 | ||||||
Comcast Corp., Class A | 26,066 | 1,457,871 | ||||||
Discovery, Inc., Class A* | 3,745 | 95,048 | ||||||
DISH Network Corp., Class A* | 33,244 | 1,444,784 | ||||||
Eventbrite, Inc., Class A* | 3,322 | 62,819 | ||||||
Facebook, Inc., Class A(a)* | 23,960 | 8,131,784 | ||||||
Fox Corp., Class A | 26,270 | 1,053,690 | ||||||
Gannett Co., Inc.* | 133 | 888 | ||||||
Gray Television, Inc. | 2,864 | 65,357 | ||||||
Interpublic Group of Cos., Inc. (The) | 31,169 | 1,142,967 | ||||||
Live Nation Entertainment, Inc.* | 672 | 61,239 | ||||||
Madison Square Garden Sports Corp.* | 1,463 | 272,045 | ||||||
Meredith Corp.* | 3,614 | 201,300 | ||||||
Netflix, Inc.(a)* | 4,544 | 2,773,385 | ||||||
News Corp., Class A(a) | 39,682 | 933,718 | ||||||
Omnicom Group, Inc. | 3,470 | 251,436 | ||||||
Scholastic Corp. | 116 | 4,135 | ||||||
Snap, Inc., Class A* | 10,382 | 766,918 | ||||||
Twitter, Inc.(a)* | 45,603 | 2,753,965 | ||||||
ViacomCBS, Inc., Class B | 8,782 | 346,977 | ||||||
Walt Disney Co. (The)* | 4,398 | 744,010 | ||||||
World Wrestling Entertainment, Inc., Class A | 5,410 | 304,367 | ||||||
Yelp, Inc.* | 21,181 | 788,781 | ||||||
|
| |||||||
36,117,578 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.2% |
| |||||||
AbbVie, Inc.(a) | 11,929 | 1,286,781 | ||||||
AbCellera Biologics, Inc. (Canada)* | 14,364 | 287,854 |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Agilent Technologies, Inc. | 10,005 | $ | 1,576,088 | |||||
Atea Pharmaceuticals, Inc.* | 8,057 | 282,478 | ||||||
Biogen, Inc.* | 4,016 | 1,136,488 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 158 | 117,860 | ||||||
Bio-Techne Corp. | 498 | 241,316 | ||||||
Bristol-Myers Squibb Co. | 32,339 | 1,913,499 | ||||||
Bruker Corp. | 2,908 | 227,115 | ||||||
Celldex Therapeutics, Inc.* | 5,402 | 291,654 | ||||||
Charles River Laboratories International, Inc.* | 2,127 | 877,749 | ||||||
Cortexyme, Inc.* | 531 | 48,671 | ||||||
Dynavax Technologies Corp.* | 24,323 | 467,245 | ||||||
Eli Lilly and Co.(a) | 12,033 | 2,780,225 | ||||||
Fulcrum Therapeutics, Inc.* | 475 | 13,400 | ||||||
Gilead Sciences, Inc. | 11,215 | 783,368 | ||||||
Illumina, Inc.(a)* | 5,647 | 2,290,480 | ||||||
Innoviva, Inc.* | 6,291 | 105,122 | ||||||
IQVIA Holdings, Inc.* | 377 | 90,306 | ||||||
Ironwood Pharmaceuticals, Inc.* | 30,178 | 394,125 | ||||||
Johnson & Johnson(a) | 26,553 | 4,288,309 | ||||||
Merck & Co., Inc.(a) | 37,845 | 2,842,538 | ||||||
Mettler-Toledo International, Inc.* | 32 | 44,075 | ||||||
Moderna, Inc.* | 3,399 | 1,308,139 | ||||||
Organon & Co. | 13,706 | 449,420 | ||||||
Pacira BioSciences, Inc.* | 6,105 | 341,880 | ||||||
PerkinElmer, Inc.(a) | 9,248 | 1,602,586 | ||||||
Pfizer, Inc.(a) | 136,315 | 5,862,908 | ||||||
Prestige Consumer Healthcare, Inc.* | 2,508 | 140,724 | ||||||
Prothena Corp. PLC (Ireland)* | 7,769 | 553,386 | ||||||
Regeneron Pharmaceuticals, Inc.* | 750 | 453,885 | ||||||
United Therapeutics Corp.* | 1,528 | 282,038 | ||||||
Veracyte, Inc.* | 9,655 | 448,475 | ||||||
Vertex Pharmaceuticals, Inc.* | 3,861 | 700,347 | ||||||
Waters Corp.* | 1,976 | 706,025 | ||||||
Zoetis, Inc. | 2,743 | 532,526 | ||||||
|
| |||||||
35,769,085 | ||||||||
|
| |||||||
Retailing — 6.8% |
| |||||||
Abercrombie & Fitch Co., Class A* | 48 | 1,806 | ||||||
Academy Sports & Outdoors, Inc.* | 1,994 | 79,800 | ||||||
Advance Auto Parts, Inc. | 2,475 | 517,003 | ||||||
Amazon.com, Inc.(a)* | 2,260 | 7,424,190 | ||||||
American Eagle Outfitters, Inc. | 10,344 | 266,875 | ||||||
AutoNation, Inc.* | 5,561 | 677,107 | ||||||
AutoZone, Inc.* | 188 | 319,222 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Bath & Body Works, Inc.(a) | 23,138 | $ | 1,458,388 | |||||
Best Buy Co., Inc. | 1,898 | 200,638 | ||||||
Buckle, Inc. (The) | 1,108 | 43,866 | ||||||
Caleres, Inc. | 2,023 | 44,951 | ||||||
Camping World Holdings, Inc., Class A | 4,544 | 176,625 | ||||||
Dick’s Sporting Goods, Inc. | 1,028 | 123,124 | ||||||
eBay, Inc.(a) | 68,361 | 4,762,711 | ||||||
Etsy, Inc.(a)* | 3,638 | 756,559 | ||||||
Foot Locker, Inc. | 5,390 | 246,107 | ||||||
Genuine Parts Co. | 3,736 | 452,915 | ||||||
Guess?, Inc. | 20,433 | 429,297 | ||||||
Home Depot, Inc. (The)(a) | 6,217 | 2,040,792 | ||||||
LKQ Corp.* | 24,849 | 1,250,402 | ||||||
Lowe’s Cos., Inc.(a) | 11,097 | 2,251,138 | ||||||
Macy’s, Inc. | 24,692 | 558,039 | ||||||
MarineMax, Inc.* | 9,390 | 455,603 | ||||||
National Vision Holdings, Inc.* | 7 | 397 | ||||||
O’Reilly Automotive, Inc.* | 1,282 | 783,379 | ||||||
Penske Automotive Group, Inc. | 3,611 | 363,267 | ||||||
Qurate Retail, Inc., Series A | 31,754 | 323,573 | ||||||
RH* | 6 | 4,002 | ||||||
Ross Stores, Inc. | 9,548 | 1,039,300 | ||||||
Shutterstock, Inc. | 4,579 | 518,892 | ||||||
Signet Jewelers Ltd. (Bermuda) | 19,747 | 1,559,223 | ||||||
Sonic Automotive, Inc., Class A | 13,176 | 692,267 | ||||||
Target Corp.(a) | 10,445 | 2,389,503 | ||||||
Ulta Beauty, Inc.* | 3,597 | 1,298,229 | ||||||
Urban Outfitters, Inc.* | 7,019 | 208,394 | ||||||
Victoria’s Secret & Co.* | 2,421 | 133,785 | ||||||
Williams-Sonoma, Inc. | 152 | 26,954 | ||||||
Zumiez, Inc.* | 3,583 | 142,460 | ||||||
|
| |||||||
34,020,783 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.2% |
| |||||||
Advanced Micro Devices, Inc.* | 2,346 | 241,403 | ||||||
Amkor Technology, Inc. | 841 | 20,983 | ||||||
Analog Devices, Inc.(a) | 1,755 | 293,927 | ||||||
Applied Materials, Inc.(a) | 25,873 | 3,330,631 | ||||||
Axcelis Technologies, Inc.* | 1,381 | 64,949 | ||||||
Broadcom, Inc. | 1,752 | 849,597 | ||||||
Brooks Automation, Inc. | 997 | 102,043 | ||||||
Cohu, Inc.* | 2,784 | 88,921 | ||||||
Enphase Energy, Inc.* | 6,221 | 932,963 | ||||||
First Solar, Inc.* | 4,840 | 462,026 | ||||||
Ichor Holdings Ltd. (Cayman Islands)* | 10,730 | 440,896 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Intel Corp.(a) | 43,932 | $ | 2,340,697 | |||||
KLA Corp. | 943 | 315,443 | ||||||
Lam Research Corp. | 1,916 | 1,090,491 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 16,374 | 1,062,181 | ||||||
Microchip Technology, Inc. | 1 | 154 | ||||||
Micron Technology, Inc. | 28,508 | 2,023,498 | ||||||
MKS Instruments, Inc. | 3,962 | 597,905 | ||||||
Monolithic Power Systems, Inc. | 1,410 | 683,399 | ||||||
NVIDIA Corp. | 4,569 | 946,514 | ||||||
NXP Semiconductors NV (Netherlands) | 10,577 | 2,071,717 | ||||||
ON Semiconductor Corp.* | 13,390 | 612,860 | ||||||
Onto Innovation, Inc.* | 2,378 | 171,811 | ||||||
Power Integrations, Inc. | 2,516 | 249,059 | ||||||
Qorvo, Inc.* | 4,362 | 729,283 | ||||||
QUALCOMM, Inc.(a) | 20,216 | 2,607,460 | ||||||
Rambus, Inc.* | 10,528 | 233,722 | ||||||
Semtech Corp.* | 1,332 | 103,856 | ||||||
Skyworks Solutions, Inc.(a) | 9,045 | 1,490,435 | ||||||
Synaptics, Inc.* | 2,831 | 508,816 | ||||||
Texas Instruments, Inc.(a) | 4,916 | 944,904 | ||||||
Ultra Clean Holdings, Inc.* | 71 | 3,025 | ||||||
Xilinx, Inc. | 3,126 | 471,995 | ||||||
|
| |||||||
26,087,564 | ||||||||
|
| |||||||
Software & Services — 12.8% |
| |||||||
Accenture PLC, Class A (Ireland) | 4,393 | 1,405,409 | ||||||
ACI Worldwide, Inc.* | 33 | 1,014 | ||||||
Adobe, Inc.* | 4,701 | 2,706,460 | ||||||
Agilysys, Inc.* | 331 | 17,331 | ||||||
ANSYS, Inc.* | 3,069 | 1,044,841 | ||||||
Automatic Data Processing, Inc.(a) | 20,885 | 4,175,329 | ||||||
Box, Inc., Class A* | 36,472 | 863,292 | ||||||
Broadridge Financial Solutions, Inc. | 1,893 | 315,450 | ||||||
Cadence Design Systems, | 10,425 | 1,578,762 | ||||||
Cerence, Inc.* | 9,617 | 924,290 | ||||||
CGI, Inc. (Canada)* | 2,068 | 175,284 | ||||||
Cloudera, Inc.* | 44,140 | 704,916 | ||||||
Cornerstone OnDemand, Inc.* | 10,554 | 604,322 | ||||||
Descartes Systems Group, Inc. (The) (Canada)* | 38 | 3,088 | ||||||
DocuSign, Inc.(a)* | 1,118 | 287,807 | ||||||
Dolby Laboratories, Inc., Class A | 7,334 | 645,392 | ||||||
Dropbox, Inc., Class A* | 24,042 | 702,507 | ||||||
DXC Technology Co.* | 28,535 | 959,061 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Elastic NV (Netherlands)* | 760 | $ | 113,232 | |||||
Fair Isaac Corp.* | 1,835 | 730,202 | ||||||
Fiserv, Inc.(a)* | 17,891 | 1,941,173 | ||||||
Fortinet, Inc.(a)* | 7,873 | 2,299,231 | ||||||
Gartner, Inc.* | 5,365 | 1,630,316 | ||||||
HubSpot, Inc.* | 1,063 | 718,684 | ||||||
International Business Machines Corp.(a) | 7,250 | 1,007,242 | ||||||
Intuit, Inc.(a) | 4,417 | 2,383,016 | ||||||
Lightspeed Commerce, Inc. (Canada)* | 7,727 | 745,115 | ||||||
Manhattan Associates, Inc.* | 1,838 | 281,269 | ||||||
Maximus, Inc. | 1,560 | 129,792 | ||||||
McAfee Corp., Class A | 7,014 | 155,080 | ||||||
Microsoft Corp.(a) | 23,803 | 6,710,542 | ||||||
MongoDB, Inc.* | 3,341 | 1,575,315 | ||||||
NortonLifeLock, Inc. | 48,784 | 1,234,235 | ||||||
Nutanix, Inc., Class A* | 20,263 | 763,915 | ||||||
Open Text Corp. (Canada) | 7,290 | 355,315 | ||||||
Oracle Corp.(a) | 48,940 | 4,264,142 | ||||||
Palo Alto Networks, Inc.* | 761 | 364,519 | ||||||
Paychex, Inc.(a) | 21,221 | 2,386,301 | ||||||
PayPal Holdings, Inc.(a)* | 8,875 | 2,309,364 | ||||||
Progress Software Corp. | 710 | 34,925 | ||||||
PTC, Inc.* | 5,556 | 665,553 | ||||||
ServiceNow, Inc.(a)* | 6,936 | 4,316,065 | ||||||
Sprout Social, Inc., Class A* | 6,892 | 840,479 | ||||||
SPS Commerce, Inc.* | 1,620 | 261,322 | ||||||
Square, Inc., Class A(a)* | 4,153 | 996,055 | ||||||
SS&C Technologies Holdings, Inc. | 6,354 | 440,968 | ||||||
Synopsys, Inc.(a)* | 5,853 | 1,752,447 | ||||||
Teradata Corp.* | 11,230 | 644,040 | ||||||
TTEC Holdings, Inc. | 438 | 40,966 | ||||||
Verint Systems, Inc.* | 18,274 | 818,492 | ||||||
VeriSign, Inc.* | 3,971 | 814,095 | ||||||
Visa, Inc., Class A | 7,769 | 1,730,545 | ||||||
Western Union Co. (The) | 35,358 | 714,939 | ||||||
Workiva, Inc.* | 3,575 | 503,932 | ||||||
Xperi Holding Corp. | 686 | 12,924 | ||||||
|
| |||||||
63,800,302 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.2% |
| |||||||
3D Systems Corp.* | 54,706 | 1,508,244 | ||||||
Apple, Inc.(a) | 54,497 | 7,711,326 | ||||||
Arista Networks, Inc.* | 562 | 193,126 | ||||||
Benchmark Electronics, Inc. | 4,594 | 122,706 | ||||||
CDW Corp. | 1,634 | 297,421 |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Cisco Systems, Inc.(a) | 54,345 | $ | 2,957,998 | |||||
Cognex Corp. | 501 | 40,190 | ||||||
Coherent, Inc.* | 5,662 | 1,416,010 | ||||||
Corning, Inc. | 34,937 | 1,274,851 | ||||||
CTS Corp. | 460 | 14,219 | ||||||
Diebold Nixdorf, Inc.* | 24,502 | 247,715 | ||||||
EchoStar Corp., Class A* | 6,644 | 169,488 | ||||||
Extreme Networks, Inc.* | 44,678 | 440,078 | ||||||
Hewlett Packard Enterprise Co. | 72,709 | 1,036,103 | ||||||
HP, Inc.(a) | 72,054 | 1,971,398 | ||||||
Keysight Technologies, Inc.* | 3,786 | 622,002 | ||||||
Knowles Corp.* | 5,898 | 110,529 | ||||||
NetApp, Inc. | 17,193 | 1,543,244 | ||||||
NETGEAR, Inc.* | 1,127 | 35,963 | ||||||
Plantronics, Inc.* | 6,847 | 176,036 | ||||||
Sanmina Corp.* | 8,945 | 344,740 | ||||||
Seagate Technology Holdings PLC (Ireland) | 15,124 | 1,248,033 | ||||||
SYNNEX Corp. | 7,841 | 816,248 | ||||||
TE Connectivity Ltd. (Switzerland) | 11,219 | 1,539,471 | ||||||
Trimble, Inc.* | 7,257 | 596,888 | ||||||
TTM Technologies, Inc.* | 17,648 | 221,835 | ||||||
Ubiquiti, Inc. | 2,359 | 704,563 | ||||||
Vishay Intertechnology, Inc. | 17,536 | 352,298 | ||||||
Vontier Corp. | 20,039 | 673,310 | ||||||
Western Digital Corp.* | 14,004 | 790,386 | ||||||
Xerox Holdings Corp. | 27,447 | 553,606 | ||||||
Zebra Technologies Corp., Class A* | 2,889 | 1,489,048 | ||||||
|
| |||||||
31,219,073 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc. | 65,532 | 1,770,019 | ||||||
Gogo, Inc.* | 28,370 | 490,801 | ||||||
IDT Corp., Class B* | 72 | 3,021 | ||||||
Iridium Communications, Inc.* | 2,272 | 90,539 | ||||||
Lumen Technologies, Inc. | 22,848 | 283,087 | ||||||
Rogers Communications, Inc., Class B (Canada) | 24 | 1,119 | ||||||
T-Mobile US, Inc.* | 10,503 | 1,341,863 | ||||||
Verizon Communications, Inc. | 33,826 | 1,826,942 | ||||||
|
| |||||||
5,807,391 | ||||||||
|
| |||||||
Transportation — 2.1% |
| |||||||
Alaska Air Group, Inc.* | 970 | 56,842 | ||||||
ArcBest Corp. | 7,197 | 588,499 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 1,165 | 95,157 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Canadian Pacific Railway Ltd. (Canada) | 3,320 | $ | 216,032 | |||||
CSX Corp.(a) | 91,553 | 2,722,786 | ||||||
Echo Global Logistics, Inc.* | 10 | 477 | ||||||
Expeditors International of Washington, Inc. | 2,670 | 318,077 | ||||||
FedEx Corp.(a) | 828 | 181,572 | ||||||
Kansas City Southern | 13 | 3,518 | ||||||
Kirby Corp.* | 33 | 1,583 | ||||||
Norfolk Southern Corp.(a) | 2,441 | 584,009 | ||||||
Old Dominion Freight Line, Inc. | 2,859 | 817,617 | ||||||
Ryder System, Inc. | 3,645 | 301,478 | ||||||
Schneider National, Inc., Class B | 9,424 | 214,302 | ||||||
SkyWest, Inc.* | 2,876 | 141,902 | ||||||
Southwest Airlines Co.* | 299 | 15,378 | ||||||
Union Pacific Corp. | 6,311 | 1,237,019 | ||||||
United Airlines Holdings, Inc.* | 8,706 | 414,144 | ||||||
United Parcel Service, Inc., Class B | 9,886 | 1,800,241 | ||||||
XPO Logistics, Inc.* | 7,737 | 615,711 | ||||||
|
| |||||||
10,326,344 | ||||||||
|
| |||||||
Utilities — 1.9% |
| |||||||
AES Corp. (The) | 37,191 | 849,070 | ||||||
American Water Works Co., Inc. | 1,583 | 267,590 | ||||||
Dominion Energy, Inc.(a) | 13,480 | 984,310 | ||||||
Exelon Corp. | 38,757 | 1,873,513 | ||||||
Fortis, Inc. (Canada) | 424 | 18,796 | ||||||
MDU Resources Group, Inc. | 3,067 | 90,998 | ||||||
NRG Energy, Inc. | 34,802 | 1,420,966 | ||||||
PPL Corp. | 79,584 | 2,218,802 | ||||||
Public Service Enterprise Group, Inc. | 31,203 | 1,900,263 | ||||||
TransAlta Corp. (Canada) | 109 | 1,151 | ||||||
|
| |||||||
9,625,459 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 472,949,590 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.3% | 26,579,261 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 499,528,851 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
34
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between July 23, 2025 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (35.2)% of net assets as of September 30, 2021.
The following table represents the individual long and short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Long | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
Adient PLC (Ireland) | Morgan Stanley | 362 | $ | 15,483 | $ | 15,005 | $ | (473 | ) | |||||||||||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 3,815 | 32,639 | 33,610 | 976 | |||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | 977 | 136,444 | 145,544 | 9,105 | |||||||||||||||||
Ford Motor Co. | Morgan Stanley | 93,688 | 817,635 | 1,326,622 | 508,993 | |||||||||||||||||
General Motors Co. | Morgan Stanley | 28,757 | 1,332,010 | 1,515,781 | 183,777 | |||||||||||||||||
Gentex Corp. | Morgan Stanley | 4,261 | 144,210 | 140,528 | (3,048 | ) | ||||||||||||||||
Gentherm, Inc. | Morgan Stanley | 415 | 33,311 | 33,586 | 281 | |||||||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 79 | 1,265 | 1,398 | 344 | |||||||||||||||||
Lear Corp. | Morgan Stanley | 307 | 47,805 | 48,039 | 285 | |||||||||||||||||
Magna International, Inc. (Canada) | Morgan Stanley | 4,232 | 345,776 | 318,416 | (26,413 | ) | ||||||||||||||||
Tenneco, Inc., Class A | Morgan Stanley | 5,587 | 61,727 | 79,726 | 18,004 | |||||||||||||||||
Thor Industries, Inc. | Morgan Stanley | 81 | 10,068 | 9,944 | (119 | ) | ||||||||||||||||
Visteon Corp. | Morgan Stanley | 1,444 | 155,723 | 136,299 | (19,419 | ) | ||||||||||||||||
Winnebago Industries, Inc. | Morgan Stanley | 1,180 | 80,805 | 85,491 | 4,972 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
145,185 | 3,214,901 | 3,889,989 | 677,265 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
3M Co. | Morgan Stanley | 5,237 | 865,670 | 918,675 | 83,066 | |||||||||||||||||
A O Smith Corp. | Morgan Stanley | 7,296 | 412,427 | 445,567 | 38,298 | |||||||||||||||||
AAR Corp. | Morgan Stanley | 1,156 | 38,948 | 37,489 | (1,454 | ) | ||||||||||||||||
AECOM | Morgan Stanley | 1,475 | 93,496 | 93,146 | (344 | ) | ||||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | Morgan Stanley | 650 | 27,218 | 28,307 | 1,146 | |||||||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | 61 | 8,401 | 8,063 | (302 | ) | ||||||||||||||||
Apogee Enterprises, Inc. | Morgan Stanley | 2,770 | 61,359 | 104,595 | 45,417 | |||||||||||||||||
Applied Industrial Technologies, Inc. | Morgan Stanley | 1 | 59 | 90 | 43 | |||||||||||||||||
Armstrong World Industries, Inc. | Morgan Stanley | 389 | 39,356 | 37,138 | (2,213 | ) | ||||||||||||||||
Atkore, Inc. | Morgan Stanley | 6,678 | 192,849 | 580,452 | 412,688 | |||||||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 2,657 | 130,691 | 126,898 | (3,787 | ) | ||||||||||||||||
Boise Cascade Co. | Morgan Stanley | 3,096 | 159,896 | 167,122 | 10,290 | |||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 4,347 | 238,329 | 225,001 | (13,323 | ) | ||||||||||||||||
Caterpillar, Inc. | Morgan Stanley | 547 | 115,630 | 105,008 | (10,096 | ) | ||||||||||||||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 260 | 19,985 | 18,543 | (1,595 | ) | ||||||||||||||||
Crane Co. | Morgan Stanley | 814 | 77,711 | 77,175 | (362 | ) | ||||||||||||||||
Cummins, Inc. | Morgan Stanley | 6,384 | 1,234,093 | 1,433,591 | 241,764 | |||||||||||||||||
Deere & Co. | Morgan Stanley | 122 | 38,783 | 40,879 | 2,460 | |||||||||||||||||
Dover Corp. | Morgan Stanley | 201 | 24,449 | 31,255 | 7,130 |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
Dycom Industries, Inc. | Morgan Stanley | 42 | $ | 2,261 | $ | 2,992 | $ | 736 | ||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 1,772 | 286,534 | 264,577 | (21,627 | ) | ||||||||||||||||
EMCOR Group, Inc. | Morgan Stanley | 106 | 9,561 | 12,230 | 2,801 | |||||||||||||||||
Emerson Electric Co. | Morgan Stanley | 5,275 | 519,300 | 496,905 | (21,784 | ) | ||||||||||||||||
Enerpac Tool Group Corp. | Morgan Stanley | 146 | 3,381 | 3,027 | (343 | ) | ||||||||||||||||
ESCO Technologies, Inc. | Morgan Stanley | 345 | 29,586 | 26,565 | (2,988 | ) | ||||||||||||||||
Fortive Corp. | Morgan Stanley | 1,755 | 105,881 | 123,850 | 18,467 | |||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | 26 | 7,657 | 10,625 | 2,974 | |||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 1,816 | 312,018 | 355,990 | 46,210 | |||||||||||||||||
General Electric Co. | Morgan Stanley | 3,463 | 359,454 | 356,793 | (2,379 | ) | ||||||||||||||||
Graco, Inc. | Morgan Stanley | 54 | 3,912 | 3,778 | (129 | ) | ||||||||||||||||
Granite Construction, Inc. | Morgan Stanley | 1,867 | 71,335 | 73,840 | 3,191 | |||||||||||||||||
HEICO Corp. | Morgan Stanley | 747 | 93,958 | 98,507 | 4,906 | |||||||||||||||||
Herc Holdings, Inc. | Morgan Stanley | 1,099 | 45,237 | 179,643 | 163,894 | |||||||||||||||||
Hillenbrand, Inc. | Morgan Stanley | 1,542 | 67,217 | 65,766 | (1,199 | ) | ||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | 266 | 55,221 | 56,466 | 2,185 | |||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 3,184 | 55,530 | 99,341 | 61,318 | |||||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 401 | 76,292 | 77,417 | 1,643 | |||||||||||||||||
Ingersoll Rand, Inc. | Morgan Stanley | 3,288 | 159,168 | 165,748 | 6,585 | |||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 8,220 | 416,314 | 559,618 | 150,575 | |||||||||||||||||
Kaman Corp. | Morgan Stanley | 159 | 5,727 | 5,672 | (33 | ) | ||||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 228 | 52,438 | 50,215 | (1,716 | ) | ||||||||||||||||
Lennox International, Inc. | Morgan Stanley | 889 | 288,054 | 261,517 | (25,614 | ) | ||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 1,498 | 527,588 | 516,960 | (2,589 | ) | ||||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 215 | 33,294 | 36,660 | 3,295 | |||||||||||||||||
Mueller Industries, Inc. | Morgan Stanley | 7 | 191 | 288 | 114 | |||||||||||||||||
MYR Group, Inc. | Morgan Stanley | 57 | 5,749 | 5,672 | (73 | ) | ||||||||||||||||
Nordson Corp. | Morgan Stanley | 543 | 123,823 | 129,315 | 5,650 | |||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 1,047 | 321,204 | 377,077 | 62,270 | |||||||||||||||||
NOW, Inc. | Morgan Stanley | 23,147 | 192,595 | 177,075 | (15,869 | ) | ||||||||||||||||
Oshkosh Corp. | Morgan Stanley | 1,821 | 215,524 | 186,416 | (28,743 | ) | ||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 1,000 | 87,671 | 82,280 | (5,280 | ) | ||||||||||||||||
Owens Corning | Morgan Stanley | 4,049 | 390,003 | 346,189 | (43,099 | ) | ||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 1,961 | 505,759 | 548,335 | 48,210 | |||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 3,624 | 179,157 | 263,211 | 86,985 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | 47 | 5,383 | 5,350 | 8 | |||||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | 169 | 20,852 | 35,862 | 15,015 | |||||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 399 | 57,668 | 59,986 | 2,544 | |||||||||||||||||
Resideo Technologies, Inc. | Morgan Stanley | 2,940 | 82,674 | 72,883 | (9,786 | ) | ||||||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | 312 | 95,980 | 91,740 | (4,205 | ) | ||||||||||||||||
Sensata Technologies Holding PLC (United Kingdom) | Morgan Stanley | 1,905 | 107,324 | 104,242 | (3,078 | ) | ||||||||||||||||
Simpson Manufacturing Co., Inc. | Morgan Stanley | 28 | 3,031 | 2,995 | (56 | ) | ||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 2,471 | 378,724 | 516,315 | 151,353 | |||||||||||||||||
SPX FLOW, Inc. | Morgan Stanley | 7,594 | 303,741 | 555,121 | 257,017 | |||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 2,429 | 432,106 | 425,828 | (1,207 | ) | ||||||||||||||||
Tecnoglass, Inc. (Cayman Islands) | Morgan Stanley | 768 | 17,076 | 16,689 | (362 | ) | ||||||||||||||||
Terex Corp. | Morgan Stanley | 3,107 | 149,147 | 130,805 | (17,647 | ) | ||||||||||||||||
Textron, Inc. | Morgan Stanley | 2,170 | 146,964 | 151,488 | 4,600 | |||||||||||||||||
Toro Co. (The) | Morgan Stanley | 527 | 47,436 | 51,335 | 4,392 |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
TPI Composites, Inc. | Morgan Stanley | 2,146 | $ | 87,138 | $ | 72,427 | $ | (14,705 | ) | |||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 586 | 89,323 | 101,173 | 12,609 | |||||||||||||||||
Triumph Group, Inc. | Morgan Stanley | 1,179 | 21,905 | 21,965 | 64 | |||||||||||||||||
Vicor Corp. | Morgan Stanley | 234 | 19,179 | 31,393 | 12,220 | |||||||||||||||||
Watsco, Inc. | Morgan Stanley | 103 | 23,021 | 27,256 | 4,875 | |||||||||||||||||
WESCO International, Inc. | Morgan Stanley | 1,461 | 168,240 | 168,483 | 248 | |||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 500 | 212,408 | 196,530 | (15,765 | ) | ||||||||||||||||
Xylem, Inc. | Morgan Stanley | 63 | 7,949 | 7,792 | (90 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
150,938 | 11,865,213 | 13,347,212 | 1,705,414 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
ABM Industries, Inc. | Morgan Stanley | 10,137 | 364,937 | 456,266 | 99,361 | |||||||||||||||||
Brady Corp., Class A | Morgan Stanley | 706 | 37,222 | 35,794 | (1,409 | ) | ||||||||||||||||
Brink’s Co. (The) | Morgan Stanley | 833 | 63,584 | 52,729 | (10,560 | ) | ||||||||||||||||
CACI International, Inc., Class A | Morgan Stanley | 6 | 1,212 | 1,573 | 366 | |||||||||||||||||
CBIZ, Inc. | Morgan Stanley | 200 | 6,608 | 6,468 | (135 | ) | ||||||||||||||||
Cintas Corp. | Morgan Stanley | 257 | 83,305 | 97,830 | 16,664 | |||||||||||||||||
Clean Harbors, Inc. | Morgan Stanley | 925 | 93,067 | 96,080 | 3,018 | |||||||||||||||||
Copart, Inc. | Morgan Stanley | 436 | 58,830 | 60,482 | 1,657 | |||||||||||||||||
CoreCivic, Inc. | Morgan Stanley | 3,779 | 36,719 | 33,633 | (3,081 | ) | ||||||||||||||||
Covanta Holding Corp. | Morgan Stanley | 225 | 1,811 | 4,527 | 2,776 | |||||||||||||||||
Equifax, Inc. | Morgan Stanley | 112 | 28,680 | 28,383 | (271 | ) | ||||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 743 | 15,628 | 18,568 | 3,880 | |||||||||||||||||
HNI Corp. | Morgan Stanley | 654 | 28,096 | 24,015 | (3,941 | ) | ||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 112 | 13,163 | 13,061 | (96 | ) | ||||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 1,598 | 194,326 | 211,783 | 18,002 | |||||||||||||||||
Korn Ferry | Morgan Stanley | 635 | 46,667 | 45,949 | (669 | ) | ||||||||||||||||
MSA Safety, Inc. | Morgan Stanley | 59 | 8,615 | 8,596 | (14 | ) | ||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 20,352 | 505,057 | 390,555 | (112,845 | ) | ||||||||||||||||
Republic Services, Inc. | Morgan Stanley | 4,070 | 351,722 | 488,644 | 145,639 | |||||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 1,565 | 134,827 | 157,016 | 23,165 | |||||||||||||||||
Rollins, Inc. | Morgan Stanley | 571 | 20,670 | 20,173 | (206 | ) | ||||||||||||||||
Science Applications International Corp. | Morgan Stanley | 791 | 67,630 | 67,678 | 52 | |||||||||||||||||
Steelcase, Inc., Class A | Morgan Stanley | 179 | 1,936 | 2,270 | 811 | |||||||||||||||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 1,709 | 141,384 | 188,810 | 49,309 | |||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 52 | 7,913 | 7,767 | (141 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
50,706 | 2,313,609 | 2,518,650 | 231,332 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 680 | 35,241 | 31,756 | (3,402 | ) | ||||||||||||||||
BRP, Inc., sub-voting shares (Canada) | Morgan Stanley | 155 | 12,191 | 14,365 | 2,206 | |||||||||||||||||
Brunswick Corp. | Morgan Stanley | 1,158 | 113,222 | 110,323 | (2,775 | ) | ||||||||||||||||
Capri Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 4,953 | 95,332 | 239,775 | 144,448 | |||||||||||||||||
Cavco Industries, Inc. | Morgan Stanley | 380 | 67,848 | 89,961 | 22,417 | |||||||||||||||||
Columbia Sportswear Co. | Morgan Stanley | 39 | 3,872 | 3,738 | (129 | ) | ||||||||||||||||
Deckers Outdoor Corp. | Morgan Stanley | 8 | 2,948 | 2,882 | (61 | ) | ||||||||||||||||
DR Horton, Inc. | Morgan Stanley | 400 | 30,808 | 33,588 | 2,978 | |||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 773 | 78,674 | 120,171 | 43,306 | |||||||||||||||||
G-III Apparel Group Ltd. | Morgan Stanley | 15,777 | 177,599 | 446,489 | 268,895 | |||||||||||||||||
GoPro, Inc., Class A | Morgan Stanley | 8,251 | 86,554 | 77,229 | (9,319 | ) |
The accompanying notes are an integral part of the financial statements.
37
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Consumer Durables & Apparel — (continued) | ||||||||||||||||||||||
Hasbro, Inc. | Morgan Stanley | 2,609 | $ | 256,493 | $ | 232,775 | $ | (23,258 | ) | |||||||||||||
Johnson Outdoors, Inc., Class A | Morgan Stanley | 45 | 5,126 | 4,761 | (360 | ) | ||||||||||||||||
Kontoor Brands, Inc. | Morgan Stanley | 260 | 5,416 | 12,987 | 12,755 | |||||||||||||||||
La-Z-Boy, Inc. | Morgan Stanley | 643 | 20,242 | 20,724 | 1,133 | |||||||||||||||||
Mattel, Inc. | Morgan Stanley | 5,721 | 111,680 | 106,182 | (5,493 | ) | ||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 1,577 | 199,010 | 279,760 | 80,755 | |||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 3,545 | 78,410 | 78,486 | 2,556 | |||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 668 | 92,054 | 97,014 | 5,330 | |||||||||||||||||
Polaris, Inc. | Morgan Stanley | 122 | 11,234 | 14,599 | 4,520 | |||||||||||||||||
PulteGroup, Inc. | Morgan Stanley | 1,382 | 75,258 | 63,461 | (11,559 | ) | ||||||||||||||||
Ralph Lauren Corp. | Morgan Stanley | 350 | 39,877 | 38,864 | (801 | ) | ||||||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | 96 | 4,336 | 4,044 | (287 | ) | ||||||||||||||||
Skyline Champion Corp. | Morgan Stanley | 1,911 | 90,621 | 114,775 | 24,159 | |||||||||||||||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 11,077 | 213,800 | 229,959 | 18,173 | |||||||||||||||||
Sonos, Inc. | Morgan Stanley | 3,391 | 118,897 | 109,733 | (9,159 | ) | ||||||||||||||||
Steven Madden Ltd. | Morgan Stanley | 614 | 12,078 | 24,658 | 15,048 | |||||||||||||||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 1,801 | 117,752 | 132,878 | 20,195 | |||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 2,471 | 101,870 | 91,476 | (9,970 | ) | ||||||||||||||||
Tempur Sealy International, Inc. | Morgan Stanley | 2,148 | 92,013 | 99,689 | 8,118 | |||||||||||||||||
Tupperware Brands Corp. | Morgan Stanley | 1,075 | 15,316 | 22,704 | 7,397 | |||||||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | 4,309 | 86,527 | 75,494 | (11,028 | ) | ||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 1,541 | 287,285 | 314,148 | 32,882 | |||||||||||||||||
YETI Holdings, Inc. | Morgan Stanley | 578 | 38,202 | 49,529 | 11,332 | |||||||||||||||||
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| |||||||||||||||
80,508 | 2,777,786 | 3,388,977 | 641,002 | |||||||||||||||||||
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| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 7,112 | 187,641 | 268,905 | 81,425 | |||||||||||||||||
Airbnb, Inc., Class A | Morgan Stanley | 90 | 12,893 | 15,098 | 10,032 | |||||||||||||||||
Bloomin’ Brands, Inc. | Morgan Stanley | 82 | 2,029 | 2,050 | 26 | |||||||||||||||||
Booking Holdings, Inc. | Morgan Stanley | 68 | 145,316 | 161,423 | 16,113 | |||||||||||||||||
Boyd Gaming Corp. | Morgan Stanley | 426 | 23,963 | 26,949 | 2,991 | |||||||||||||||||
Brinker International, Inc. | Morgan Stanley | 1,156 | 67,099 | 56,702 | (10,392 | ) | ||||||||||||||||
Choice Hotels International, Inc. | Morgan Stanley | 715 | 84,101 | 90,355 | 6,420 | |||||||||||||||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | 266 | 38,221 | 37,197 | (1,018 | ) | ||||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | 115 | 56,198 | 54,850 | (1,343 | ) | ||||||||||||||||
Expedia Group, Inc. | Morgan Stanley | 1,121 | 138,160 | 183,732 | 45,578 | |||||||||||||||||
Golden Entertainment, Inc. | Morgan Stanley | 439 | 19,123 | 21,551 | 2,452 | |||||||||||||||||
Graham Holdings Co., Class B | Morgan Stanley | 379 | 183,500 | 223,292 | 41,328 | |||||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | 877 | 74,777 | 77,141 | 2,138 | |||||||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | 423 | 50,965 | 55,883 | 4,923 | |||||||||||||||||
Houghton Mifflin Harcourt Co. | Morgan Stanley | 2,546 | 34,361 | 34,193 | (163 | ) | ||||||||||||||||
Jack in the Box, Inc. | Morgan Stanley | 1,371 | 123,271 | 133,439 | 12,476 | |||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 2,370 | 305,950 | 350,973 | 48,775 | |||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 1,480 | 333,953 | 356,843 | 25,940 | |||||||||||||||||
Penn National Gaming, Inc. | Morgan Stanley | 3,902 | 286,065 | 282,739 | (3,321 | ) | ||||||||||||||||
Perdoceo Education Corp. | Morgan Stanley | 4,252 | 49,631 | 44,901 | (4,730 | ) | ||||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 219 | 7,280 | 11,217 | 3,942 | |||||||||||||||||
Service Corp. International | Morgan Stanley | 1,829 | 86,055 | 110,216 | 25,633 | |||||||||||||||||
Starbucks Corp. | Morgan Stanley | 1,235 | 146,856 | 136,233 | (9,770 | ) | ||||||||||||||||
Vail Resorts, Inc. | Morgan Stanley | 105 | 32,396 | 35,075 | 2,684 |
The accompanying notes are an integral part of the financial statements.
38
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||||
Wendy’s Co. (The) | Morgan Stanley | 5,517 | $ | 127,076 | $ | 119,609 | $ | (7,066 | ) | |||||||||||||
Wyndham Hotels & Resorts, Inc. | Morgan Stanley | 3,020 | 213,459 | 233,114 | 20,683 | |||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 7,575 | 752,994 | 926,498 | 188,715 | |||||||||||||||||
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48,690 | 3,583,333 | 4,050,178 | 504,471 | |||||||||||||||||||
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| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 72 | 10,928 | 10,878 | (44 | ) | ||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 15,866 | 3,497,446 | 4,330,466 | 833,025 | |||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 1,000 | 558,562 | 838,660 | 319,811 | |||||||||||||||||
CME Group, Inc. | Morgan Stanley | 952 | 180,972 | 184,098 | 3,980 | |||||||||||||||||
Federated Hermes, Inc. | Morgan Stanley | 2,834 | 65,441 | 92,105 | 32,400 | |||||||||||||||||
Franklin Resources, Inc. | Morgan Stanley | 2,529 | 77,013 | 75,162 | (776 | ) | ||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 7,024 | 181,312 | 169,349 | (10,039 | ) | ||||||||||||||||
Moody’s Corp. | Morgan Stanley | 862 | 316,535 | 306,105 | (9,916 | ) | ||||||||||||||||
MSCI, Inc. | Morgan Stanley | 112 | 71,776 | 68,134 | (3,636 | ) | ||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 2,394 | 312,989 | 462,090 | 153,536 | |||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 510 | 219,172 | 216,694 | (2,085 | ) | ||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 2,779 | 462,839 | 546,629 | 98,554 | |||||||||||||||||
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36,934 | 5,954,985 | 7,300,370 | 1,414,810 | |||||||||||||||||||
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Energy | ||||||||||||||||||||||
Antero Resources Corp. | Morgan Stanley | 17,542 | 160,834 | 329,965 | 169,136 | |||||||||||||||||
APA Corp. | Morgan Stanley | 3,908 | 68,618 | 83,748 | 15,191 | |||||||||||||||||
Archrock, Inc. | Morgan Stanley | 16,867 | 147,979 | 139,153 | (1,004 | ) | ||||||||||||||||
Baker Hughes Co. | Morgan Stanley | 8,646 | 183,320 | 213,816 | 31,809 | |||||||||||||||||
Cabot Oil & Gas Corp. | Morgan Stanley | 2,548 | 37,335 | 55,444 | 25,448 | |||||||||||||||||
Cactus, Inc., Class A | Morgan Stanley | 300 | 5,481 | 11,316 | 5,969 | |||||||||||||||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 12,494 | 230,336 | 456,531 | 238,525 | |||||||||||||||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 2,985 | 17,151 | 20,000 | 2,902 | |||||||||||||||||
ChampionX Corp. | Morgan Stanley | 7,505 | 169,301 | 167,812 | (1,484 | ) | ||||||||||||||||
Cimarex Energy Co. | Morgan Stanley | 1,813 | 119,847 | 158,094 | 38,942 | |||||||||||||||||
Clean Energy Fuels Corp. | Morgan Stanley | 7,520 | 19,242 | 61,288 | 44,945 | |||||||||||||||||
Continental Resources, Inc. | Morgan Stanley | 1,597 | 52,692 | 73,702 | 21,165 | |||||||||||||||||
Denbury, Inc. | Morgan Stanley | 2,273 | 162,190 | 159,678 | (2,507 | ) | ||||||||||||||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 21,652 | 112,946 | 141,388 | 33,676 | |||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 6,621 | 304,901 | 531,468 | 244,907 | |||||||||||||||||
Equitrans Midstream Corp. | Morgan Stanley | 8,156 | 68,337 | 82,702 | 14,370 | |||||||||||||||||
Exxon Mobil Corp. | Morgan Stanley | 11,479 | 644,787 | 675,195 | 47,869 | |||||||||||||||||
Green Plains, Inc. | Morgan Stanley | 434 | 10,562 | 14,170 | 3,613 | |||||||||||||||||
Halliburton Co. | Morgan Stanley | 9,294 | 159,868 | 200,936 | 50,362 | |||||||||||||||||
Hess Corp. | Morgan Stanley | 3,841 | 299,082 | 300,021 | 2,444 | |||||||||||||||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 1,063 | 34,278 | 33,548 | (532 | ) | ||||||||||||||||
Marathon Oil Corp. | Morgan Stanley | 36,622 | 413,388 | 500,623 | 88,963 | |||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 11,522 | 564,457 | 712,175 | 157,701 | |||||||||||||||||
Oasis Petroleum, Inc. | Morgan Stanley | 440 | 37,972 | 43,745 | 5,824 | |||||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 36,349 | 551,879 | 1,075,203 | 524,680 | |||||||||||||||||
Oceaneering International, Inc. | Morgan Stanley | 10,646 | 137,120 | 141,805 | 4,690 | |||||||||||||||||
ONEOK, Inc. | Morgan Stanley | 6,092 | 318,926 | 353,275 | 36,370 | |||||||||||||||||
Ovintiv, Inc. | Morgan Stanley | 4,601 | 115,841 | 151,281 | 37,159 | |||||||||||||||||
PDC Energy, Inc. | Morgan Stanley | 2,268 | 93,170 | 107,481 | 14,820 |
The accompanying notes are an integral part of the financial statements.
39
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Energy — (continued) | ||||||||||||||||||||||
SFL Corp. Ltd. (Bermuda) | Morgan Stanley | 3,393 | $ | 27,271 | $ | 28,433 | $ | 1,489 | ||||||||||||||
SM Energy Co. | Morgan Stanley | 17,698 | 104,129 | 466,873 | 362,926 | |||||||||||||||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 4,174 | 93,700 | 86,569 | (6,695 | ) | ||||||||||||||||
Targa Resources Corp. | Morgan Stanley | 1,242 | 53,249 | 61,119 | 8,010 | |||||||||||||||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 8,679 | 57,115 | 85,922 | 28,895 | |||||||||||||||||
Whiting Petroleum Corp. | Morgan Stanley | 812 | 27,342 | 47,429 | 20,093 | |||||||||||||||||
World Fuel Services Corp. | Morgan Stanley | 9,602 | 256,831 | 322,819 | 72,500 | |||||||||||||||||
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| |||||||||||||||
302,678 | 5,861,477 | 8,094,727 | 2,343,171 | |||||||||||||||||||
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| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | 242 | 109,784 | 108,743 | (1,035 | ) | ||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 2,927 | 121,111 | 118,339 | (2,550 | ) | ||||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 8,214 | 178,909 | 190,318 | 11,407 | |||||||||||||||||
Sysco Corp. | Morgan Stanley | 4,139 | 289,087 | 324,911 | 40,737 | |||||||||||||||||
U.S. Foods Holding Corp. | Morgan Stanley | 44 | 957 | 1,525 | 574 | |||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 4,016 | 162,516 | 188,953 | 32,722 | |||||||||||||||||
Walmart, Inc. | Morgan Stanley | 4,074 | 569,045 | 567,834 | 3,169 | |||||||||||||||||
Weis Markets, Inc. | Morgan Stanley | 64 | 3,485 | 3,363 | (117 | ) | ||||||||||||||||
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| |||||||||||||||
23,720 | 1,434,894 | 1,503,986 | 84,907 | |||||||||||||||||||
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| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 6,270 | 274,289 | 285,410 | 29,496 | |||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 1,996 | 116,454 | 119,780 | 4,507 | |||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | 488 | 33,557 | 32,701 | (851 | ) | ||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 6,302 | 339,096 | 330,666 | (5,650 | ) | ||||||||||||||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 71 | 28,280 | 27,987 | (288 | ) | ||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 205 | 42,748 | 43,191 | 726 | |||||||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | 4,317 | 315,917 | 310,392 | (5,520 | ) | ||||||||||||||||
General Mills, Inc. | Morgan Stanley | 1,913 | 109,603 | 114,436 | 8,624 | |||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 1,219 | 203,674 | 206,316 | 4,602 | |||||||||||||||||
J M Smucker Co. (The) | Morgan Stanley | 14 | 1,572 | 1,680 | 2,117 | |||||||||||||||||
Kellogg Co. | Morgan Stanley | 518 | 32,739 | 33,111 | 890 | |||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 17,211 | 567,402 | 633,709 | 87,089 | |||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 10,028 | 381,511 | 465,099 | 87,030 | |||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 6,817 | 395,551 | 396,613 | 5,036 | |||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | 6,315 | 538,050 | 560,961 | 22,917 | |||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 2,554 | 394,309 | 384,147 | (7,235 | ) | ||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 2,335 | 191,972 | 221,335 | 40,448 | |||||||||||||||||
Sanderson Farms, Inc. | Morgan Stanley | 1,574 | 294,787 | 296,227 | 1,591 | |||||||||||||||||
SunOpta, Inc. (Canada) | Morgan Stanley | 6,024 | 74,901 | 53,794 | (21,102 | ) | ||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 2,373 | 144,699 | 187,325 | 48,817 | |||||||||||||||||
Vector Group Ltd. | Morgan Stanley | 1,735 | 24,287 | 22,121 | (1,902 | ) | ||||||||||||||||
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| |||||||||||||||
80,279 | 4,505,398 | 4,727,001 | 301,342 | |||||||||||||||||||
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| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 1,718 | 206,236 | 202,947 | (1,534 | ) | ||||||||||||||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 2,642 | 154,164 | 168,507 | 14,348 | |||||||||||||||||
Addus HomeCare Corp. | Morgan Stanley | 2 | 165 | 160 | — | |||||||||||||||||
Alcon, Inc. (Switzerland) | Morgan Stanley | 3,038 | 250,108 | 244,468 | (5,635 | ) | ||||||||||||||||
Align Technology, Inc. | Morgan Stanley | 1,060 | 541,753 | 705,356 | 163,608 | |||||||||||||||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 7,141 | 77,652 | 95,475 | 17,767 |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||||||||
Amedisys, Inc. | Morgan Stanley | 441 | $ | 76,106 | $ | 65,753 | $ | (10,347 | ) | |||||||||||||
AMN Healthcare Services, Inc. | Morgan Stanley | 885 | 95,075 | 101,554 | 6,484 | |||||||||||||||||
Anthem, Inc. | Morgan Stanley | 1,590 | 536,866 | 592,752 | 59,464 | |||||||||||||||||
Becton Dickinson and Co. | Morgan Stanley | 46 | 11,509 | 11,308 | 5,856 | |||||||||||||||||
Boston Scientific Corp. | Morgan Stanley | 3,415 | 147,833 | 148,177 | 46 | |||||||||||||||||
Cerner Corp. | Morgan Stanley | 5,472 | 409,176 | 385,885 | (21,660 | ) | ||||||||||||||||
Cigna Corp. | Morgan Stanley | 265 | �� | 61,654 | 53,042 | (8,263 | ) | |||||||||||||||
Community Health Systems, Inc. | Morgan Stanley | 21,304 | 173,835 | 249,257 | 75,427 | |||||||||||||||||
CONMED Corp. | Morgan Stanley | 406 | 52,001 | 53,117 | 1,196 | |||||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | 429 | 187,212 | 177,310 | (9,894 | ) | ||||||||||||||||
CryoLife, Inc. | Morgan Stanley | 20 | 463 | 446 | (12 | ) | ||||||||||||||||
CVS Health Corp. | Morgan Stanley | 1,880 | 122,657 | 159,537 | 74,270 | |||||||||||||||||
Danaher Corp. | Morgan Stanley | 1,925 | 425,349 | 586,047 | 162,128 | |||||||||||||||||
Dexcom, Inc. | Morgan Stanley | 76 | 39,052 | 41,561 | 4,784 | |||||||||||||||||
Doximity, Inc., Class A | Morgan Stanley | 295 | 25,514 | 23,806 | (1,702 | ) | ||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | 610 | 70,138 | 69,058 | (1,075 | ) | ||||||||||||||||
Ensign Group, Inc. (The) | Morgan Stanley | 999 | 57,277 | 74,815 | 17,824 | |||||||||||||||||
Envista Holdings Corp. | Morgan Stanley | 10,476 | 373,543 | 438,002 | 64,313 | |||||||||||||||||
Fulgent Genetics, Inc. | Morgan Stanley | 516 | 35,319 | 46,414 | 11,101 | |||||||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | 527 | 40,954 | 40,379 | (570 | ) | ||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 435 | 77,888 | 105,583 | 28,230 | |||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | 1,130 | 85,449 | 86,061 | 617 | |||||||||||||||||
Heska Corp. | Morgan Stanley | 165 | 43,319 | 42,659 | (655 | ) | ||||||||||||||||
Hologic, Inc. | Morgan Stanley | 3,801 | 240,035 | 280,552 | 40,523 | |||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 1,261 | 524,608 | 784,216 | 259,437 | |||||||||||||||||
Inspire Medical Systems, Inc. | Morgan Stanley | 317 | 76,550 | 73,823 | (2,955 | ) | ||||||||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 1,399 | 97,520 | 95,804 | (1,712 | ) | ||||||||||||||||
Intersect ENT, Inc. | Morgan Stanley | 52 | 1,415 | 1,414 | 5 | |||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | 176 | 151,697 | 174,970 | 23,279 | |||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 3,669 | 812,064 | 1,032,603 | 220,545 | |||||||||||||||||
LeMaitre Vascular, Inc. | Morgan Stanley | 49 | 2,694 | 2,601 | (69 | ) | ||||||||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | 2,039 | 166,248 | 161,468 | (4,774 | ) | ||||||||||||||||
McKesson Corp. | Morgan Stanley | 1,388 | 247,417 | 276,739 | 30,832 | |||||||||||||||||
MEDNAX, Inc. | Morgan Stanley | 3,323 | 101,828 | 94,473 | (7,349 | ) | ||||||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 3,226 | 408,637 | 404,379 | (1,071 | ) | ||||||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | 2,238 | 124,473 | 160,688 | 36,446 | |||||||||||||||||
ModivCare, Inc. | Morgan Stanley | 137 | 13,795 | 24,882 | 12,740 | |||||||||||||||||
National Research Corp. | Morgan Stanley | 7 | 326 | 295 | (24 | ) | ||||||||||||||||
Natus Medical, Inc. | Morgan Stanley | 2,370 | 52,052 | 59,440 | 7,383 | |||||||||||||||||
NextGen Healthcare, Inc. | Morgan Stanley | 65 | 940 | 917 | (18 | ) | ||||||||||||||||
Omnicell, Inc. | Morgan Stanley | 643 | 81,954 | 95,440 | 13,492 | |||||||||||||||||
Owens & Minor, Inc. | Morgan Stanley | 579 | 14,932 | 18,117 | 3,342 | |||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 2,691 | 337,161 | 391,029 | 57,701 | |||||||||||||||||
Select Medical Holdings Corp. | Morgan Stanley | 838 | 28,222 | 30,310 | 2,111 | |||||||||||||||||
STAAR Surgical Co. | Morgan Stanley | 1,925 | 262,692 | 247,420 | (15,267 | ) | ||||||||||||||||
Stryker Corp. | Morgan Stanley | 923 | 241,543 | 243,414 | 2,477 | |||||||||||||||||
Tenet Healthcare Corp. | Morgan Stanley | 146 | 10,026 | 9,700 | (320 | ) | ||||||||||||||||
Tivity Health, Inc. | Morgan Stanley | 33 | 735 | 761 | 31 |
The accompanying notes are an integral part of the financial statements.
41
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 1,596 | $ | 560,915 | $ | 623,621 | $ | 67,528 | ||||||||||||||
Veeva Systems, Inc., Class A | Morgan Stanley | 210 | 65,061 | 60,516 | (4,575 | ) | ||||||||||||||||
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104,009 | 9,003,807 | 10,319,028 | 1,385,854 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 9,454 | 725,109 | 714,533 | (1,984 | ) | ||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | 11,265 | 96,210 | 88,543 | (7,661 | ) | ||||||||||||||||
Edgewell Personal Care Co. | Morgan Stanley | 1,471 | 61,297 | 53,397 | (7,744 | ) | ||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,394 | 349,041 | 418,102 | 71,208 | |||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 944 | 129,152 | 125,023 | (3,657 | ) | ||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 1,999 | 261,904 | 279,460 | 20,734 | |||||||||||||||||
WD-40 Co. | Morgan Stanley | 245 | 56,613 | 56,713 | 83 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
26,772 | 1,679,326 | 1,735,771 | 70,979 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Materials | ||||||||||||||||||||||
AdvanSix, Inc. | Morgan Stanley | 485 | 17,435 | 19,279 | 1,849 | |||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | 4,614 | 259,480 | 239,236 | (19,656 | ) | ||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | 2,878 | 20,895 | 20,722 | (168 | ) | ||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | 13,827 | 145,124 | 160,255 | 21,970 | |||||||||||||||||
Ashland Global Holdings, Inc. | Morgan Stanley | 1,553 | 132,058 | 138,403 | 7,848 | |||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 285 | 60,974 | 59,055 | (1,740 | ) | ||||||||||||||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 2,955 | 86,497 | 86,256 | (235 | ) | ||||||||||||||||
Ball Corp. | Morgan Stanley | 165 | 14,992 | 14,845 | (142 | ) | ||||||||||||||||
Carpenter Technology Corp. | Morgan Stanley | 5,285 | 101,729 | 173,031 | 80,411 | |||||||||||||||||
Celanese Corp. | Morgan Stanley | 469 | 71,931 | 70,650 | (1,346 | ) | ||||||||||||||||
CF Industries Holdings, Inc. | Morgan Stanley | 1,195 | 33,902 | 66,705 | 34,149 | |||||||||||||||||
Chemours Co. (The) | Morgan Stanley | 4,005 | 127,129 | 116,385 | (10,578 | ) | ||||||||||||||||
Corteva, Inc. | Morgan Stanley | 4,424 | 191,697 | 186,162 | (5,037 | ) | ||||||||||||||||
Domtar Corp. | Morgan Stanley | 1,952 | 106,238 | 106,462 | 230 | |||||||||||||||||
Dow, Inc. | Morgan Stanley | 3,339 | 186,315 | 192,193 | 7,714 | |||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 6,343 | 507,924 | 431,261 | (73,044 | ) | ||||||||||||||||
Eagle Materials, Inc. | Morgan Stanley | 1,188 | 168,700 | 155,818 | (12,549 | ) | ||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 431 | 42,667 | 43,419 | 1,744 | |||||||||||||||||
Ecovyst, Inc. | Morgan Stanley | 103 | 1,210 | 1,201 | (4 | ) | ||||||||||||||||
Ferro Corp. | Morgan Stanley | 3,752 | 78,236 | 76,316 | (1,914 | ) | ||||||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 2,076 | 66,381 | 67,532 | 1,518 | |||||||||||||||||
GCP Applied Technologies, Inc. | Morgan Stanley | 100 | 2,244 | 2,192 | (47 | ) | ||||||||||||||||
Graphic Packaging Holding Co. | Morgan Stanley | 3,668 | 70,937 | 69,839 | (835 | ) | ||||||||||||||||
Hecla Mining Co. | Morgan Stanley | 12,424 | 73,906 | 68,332 | (5,516 | ) | ||||||||||||||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 19,866 | 59,213 | 44,897 | (15,497 | ) | ||||||||||||||||
Ingevity Corp. | Morgan Stanley | 499 | 38,540 | 35,614 | (2,921 | ) | ||||||||||||||||
Innospec, Inc. | Morgan Stanley | 192 | 16,925 | 16,170 | (803 | ) | ||||||||||||||||
International Paper Co. | Morgan Stanley | 4,416 | 230,253 | 246,943 | 22,027 | |||||||||||||||||
Kaiser Aluminum Corp. | Morgan Stanley | 84 | 5,669 | 9,153 | 9,117 | |||||||||||||||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 6,937 | 38,889 | 37,182 | (1,638 | ) | ||||||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 413 | 106,865 | 121,166 | 15,471 | |||||||||||||||||
Livent Corp. | Morgan Stanley | 4,429 | 108,130 | 102,354 | (6,103 | ) | ||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley | 2,143 | 99,468 | 131,516 | 32,968 | |||||||||||||||||
LyondellBasell Industries N.V., Class A (Netherlands) | Morgan Stanley | 2,011 | 199,792 | 188,732 | (9,662 | ) | ||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 232 | 61,260 | 79,270 | 18,550 |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Materials — (continued) | ||||||||||||||||||||||
Minerals Technologies, Inc. | Morgan Stanley | 141 | $ | 9,997 | $ | 9,847 | $ | (144 | ) | |||||||||||||
Mosaic Co. (The) | Morgan Stanley | 9,620 | 319,088 | 343,626 | 26,380 | |||||||||||||||||
Newmont Corp. | Morgan Stanley | 2,813 | 167,112 | 152,746 | (10,484 | ) | ||||||||||||||||
Nucor Corp. | Morgan Stanley | 3,173 | 297,629 | 312,509 | 16,947 | |||||||||||||||||
Nutrien Ltd. (Canada) | Morgan Stanley | 1,506 | 90,680 | 97,634 | 7,639 | |||||||||||||||||
O-I Glass, Inc. | Morgan Stanley | 6,205 | 75,488 | 88,545 | 12,912 | |||||||||||||||||
Olin Corp. | Morgan Stanley | 4,134 | 193,580 | 199,465 | 6,160 | |||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | 388 | 51,099 | 55,488 | 5,579 | |||||||||||||||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 11,391 | 128,650 | 109,809 | (19,203 | ) | ||||||||||||||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 193 | 28,677 | 27,487 | (985 | ) | ||||||||||||||||
Royal Gold, Inc. | Morgan Stanley | 242 | 24,635 | 23,109 | (1,456 | ) | ||||||||||||||||
Sealed Air Corp. | Morgan Stanley | 1,557 | 64,539 | 85,308 | 21,894 | |||||||||||||||||
Sensient Technologies Corp. | Morgan Stanley | 87 | 7,201 | 7,924 | 762 | |||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 931 | 222,099 | 260,429 | 39,887 | |||||||||||||||||
Southern Copper Corp. | Morgan Stanley | 669 | 43,824 | 37,558 | (5,672 | ) | ||||||||||||||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 651 | 36,424 | 35,141 | (1,143 | ) | ||||||||||||||||
Westlake Chemical Corp. | Morgan Stanley | 1,176 | 116,053 | 107,181 | (8,543 | ) | ||||||||||||||||
Westrock Co. | Morgan Stanley | 1,426 | 72,603 | 71,058 | (1,203 | ) | ||||||||||||||||
Wheaton Precious Metals Corp. (Canada) | Morgan Stanley | 2,292 | 92,106 | 86,133 | (5,967 | ) | ||||||||||||||||
Worthington Industries, Inc. | Morgan Stanley | 2,433 | 119,694 | 128,219 | 10,306 | |||||||||||||||||
|
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| |||||||||||||||
169,766 | 5,694,783 | 5,817,762 | 179,797 | |||||||||||||||||||
|
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|
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|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 14,526 | 1,112,891 | 1,124,167 | 10,043 | |||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 357 | 848,161 | 954,447 | 106,291 | |||||||||||||||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 514 | 10,207 | 10,650 | 448 | |||||||||||||||||
Cars.com, Inc. | Morgan Stanley | 560 | 7,454 | 7,084 | (364 | ) | ||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 331 | 235,454 | 240,822 | 5,374 | |||||||||||||||||
Comcast Corp., Class A | Morgan Stanley | 5,411 | 302,913 | 302,637 | 420 | |||||||||||||||||
Discovery, Inc., Class A | Morgan Stanley | 984 | 25,384 | 24,974 | (405 | ) | ||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 8,073 | 254,984 | 350,853 | 96,068 | |||||||||||||||||
Eventbrite, Inc., Class A | Morgan Stanley | 881 | 16,152 | 16,660 | 513 | |||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 1,678 | 555,937 | 569,496 | 10,701 | |||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 2,979 | 77,008 | 119,488 | 46,504 | |||||||||||||||||
Gannett Co., Inc. | Morgan Stanley | 33 | 215 | 220 | 11 | |||||||||||||||||
Gray Television, Inc. | Morgan Stanley | 3,253 | 54,373 | 74,233 | 20,804 | |||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 5,055 | 159,366 | 185,367 | 33,433 | |||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | 175 | 16,149 | 15,948 | (196 | ) | ||||||||||||||||
Madison Square Garden Sports Corp. | Morgan Stanley | 603 | 89,266 | 112,128 | 22,867 | |||||||||||||||||
Meredith Corp. | Morgan Stanley | 2,826 | 54,690 | 157,408 | 103,224 | |||||||||||||||||
Netflix, Inc. | Morgan Stanley | 1,277 | 635,861 | 779,404 | 144,258 | |||||||||||||||||
News Corp., Class A | Morgan Stanley | 249 | 5,757 | 5,859 | 172 | |||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 694 | 54,257 | 50,287 | (3,457 | ) | ||||||||||||||||
Scholastic Corp. | Morgan Stanley | 35 | 1,222 | 1,248 | 31 | |||||||||||||||||
Snap, Inc., Class A | Morgan Stanley | 2,782 | 204,168 | 205,506 | (1,559 | ) | ||||||||||||||||
Twitter, Inc. | Morgan Stanley | 927 | 49,486 | 55,982 | 6,500 | |||||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 2,249 | 92,013 | 88,858 | (2,824 | ) | ||||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | 847 | 152,062 | 143,287 | (9,401 | ) |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Media & Entertainment — (continued) | ||||||||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 1,223 | $ | 60,362 | $ | 68,806 | $ | 8,909 | ||||||||||||||
Yelp, Inc. | Morgan Stanley | 5,150 | 195,361 | 191,786 | (3,569 | ) | ||||||||||||||||
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|
| |||||||||||||||
63,672 | 5,271,153 | 5,857,605 | 594,796 | |||||||||||||||||||
|
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|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
AbbVie, Inc. | Morgan Stanley | 2,835 | 304,766 | 305,811 | 2,868 | |||||||||||||||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 544 | 8,759 | 10,902 | 2,148 | |||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 1,196 | 147,135 | 188,406 | 41,793 | |||||||||||||||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 335 | 7,385 | 11,745 | 6,615 | |||||||||||||||||
Biogen, Inc. | Morgan Stanley | 838 | 278,700 | 237,146 | (42,613 | ) | ||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 210 | 120,362 | 156,649 | 36,293 | |||||||||||||||||
Bio-Techne Corp. | Morgan Stanley | 130 | 66,914 | 62,994 | (3,914 | ) | ||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 7,328 | 478,616 | 433,598 | (46,735 | ) | ||||||||||||||||
Bruker Corp. | Morgan Stanley | 765 | 62,496 | 59,746 | (2,741 | ) | ||||||||||||||||
Celldex Therapeutics, Inc. | Morgan Stanley | 1,363 | 73,137 | 73,588 | 457 | |||||||||||||||||
Charles River Laboratories International, Inc. | Morgan Stanley | 243 | 92,856 | 100,279 | 7,428 | |||||||||||||||||
Cortexyme, Inc. | Morgan Stanley | 137 | 12,955 | 12,557 | (392 | ) | ||||||||||||||||
Dynavax Technologies Corp. | Morgan Stanley | 5,996 | 95,657 | 115,183 | 19,798 | |||||||||||||||||
Eli Lilly & Co. | Morgan Stanley | 3,119 | 738,051 | 720,645 | (19,208 | ) | ||||||||||||||||
Fulcrum Therapeutics, Inc. | Morgan Stanley | 126 | 3,548 | 3,554 | 12 | |||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 1,353 | 86,825 | 94,507 | 10,798 | |||||||||||||||||
Illumina, Inc. | Morgan Stanley | 1,470 | 683,339 | 596,247 | (87,086 | ) | ||||||||||||||||
Innoviva, Inc. | Morgan Stanley | 4,533 | 49,525 | 75,746 | 26,640 | |||||||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | 96 | 24,632 | 22,996 | (1,631 | ) | ||||||||||||||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 7,276 | 87,929 | 95,025 | 7,098 | |||||||||||||||||
Johnson & Johnson | Morgan Stanley | 4,898 | 784,076 | 791,027 | 10,092 | |||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 9,710 | 710,084 | 729,318 | 32,318 | |||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 8 | 11,154 | 11,019 | (129 | ) | ||||||||||||||||
Moderna, Inc. | Morgan Stanley | 893 | 344,159 | 343,680 | (473 | ) | ||||||||||||||||
Organon & Co. | Morgan Stanley | 3,603 | 119,146 | 118,142 | (674 | ) | ||||||||||||||||
Pacira BioSciences, Inc. | Morgan Stanley | 1,595 | 91,660 | 89,320 | (2,334 | ) | ||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 1,769 | 256,770 | 306,550 | 49,926 | |||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 37,140 | 1,504,575 | 1,597,391 | 107,156 | |||||||||||||||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 872 | 30,928 | 48,928 | 18,066 | |||||||||||||||||
Prothena Corp. PLC (Ireland) | Morgan Stanley | 1,998 | 106,581 | 142,318 | 35,742 | |||||||||||||||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 197 | 120,834 | 119,220 | (1,609 | ) | ||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 2 | 973 | 1,143 | 240 | |||||||||||||||||
United Therapeutics Corp. | Morgan Stanley | 399 | 78,980 | 73,647 | (5,327 | ) | ||||||||||||||||
Veracyte, Inc. | Morgan Stanley | 2,464 | 118,223 | 114,453 | (3,815 | ) | ||||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 1,047 | 195,855 | 189,915 | (6,004 | ) | ||||||||||||||||
Waters Corp. | Morgan Stanley | 521 | 149,221 | 186,153 | 36,937 | |||||||||||||||||
Zoetis, Inc. | Morgan Stanley | 803 | 128,895 | 155,894 | 27,623 | |||||||||||||||||
|
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|
| |||||||||||||||
107,812 | 8,175,701 | 8,395,442 | 255,363 | |||||||||||||||||||
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| |||||||||||||||
Retailing | ||||||||||||||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 12,275 | 159,633 | 461,908 | 319,237 | |||||||||||||||||
Academy Sports & Outdoors, Inc. | Morgan Stanley | 525 | 22,163 | 21,010 | (1,147 | ) | ||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 5,327 | 802,655 | 1,112,757 | 323,199 | |||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 185 | 588,100 | 607,732 | 19,638 | |||||||||||||||||
American Eagle Outfitters, Inc. | Morgan Stanley | 2,374 | 69,937 | 61,249 | (11,222 | ) |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Retailing — (continued) | ||||||||||||||||||||||
AutoNation, Inc. | Morgan Stanley | 3,973 | $ | 267,908 | $ | 483,752 | $ | 282,558 | ||||||||||||||
AutoZone, Inc. | Morgan Stanley | 145 | 187,208 | 246,209 | 59,006 | |||||||||||||||||
Bath & Body Works, Inc. | Morgan Stanley | 5,697 | 349,704 | 359,082 | 9,773 | |||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 14 | 1,525 | 1,480 | (34 | ) | ||||||||||||||||
Buckle,Inc.(The) | Morgan Stanley | 3,450 | 67,432 | 136,585 | 82,665 | |||||||||||||||||
Caleres, Inc. | Morgan Stanley | 532 | 12,441 | 11,821 | (614 | ) | ||||||||||||||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 1,196 | 44,911 | 46,489 | 2,071 | |||||||||||||||||
Dick’s Sporting Goods, Inc. | Morgan Stanley | 270 | 34,371 | 32,338 | (2,028 | ) | ||||||||||||||||
eBay, Inc. | Morgan Stanley | 14,918 | 1,054,862 | 1,039,337 | (12,974 | ) | ||||||||||||||||
Etsy, Inc. | Morgan Stanley | 2,425 | 321,407 | 504,303 | 182,902 | |||||||||||||||||
Foot Locker, Inc. | Morgan Stanley | 1,412 | 69,878 | 64,472 | (5,335 | ) | ||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 1,240 | 128,358 | 150,325 | 27,117 | |||||||||||||||||
Guess?, Inc. | Morgan Stanley | 1,275 | 28,516 | 26,788 | (1,628 | ) | ||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 555 | 181,535 | 182,184 | 1,577 | |||||||||||||||||
LKQ Corp. | Morgan Stanley | 9,320 | 330,816 | 468,982 | 148,389 | |||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 159 | 32,343 | 32,255 | (33 | ) | ||||||||||||||||
Macy’s, Inc. | Morgan Stanley | 5,905 | 34,463 | 133,453 | 127,895 | |||||||||||||||||
MarineMax, Inc. | Morgan Stanley | 1,697 | 89,098 | 82,338 | (7,380 | ) | ||||||||||||||||
National Vision Holdings, Inc. | Morgan Stanley | 2 | 114 | 114 | 5 | |||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 445 | 202,979 | 271,922 | 68,948 | |||||||||||||||||
Penske Automotive Group, Inc. | Morgan Stanley | 947 | 82,807 | 95,268 | 12,802 | |||||||||||||||||
Qurate Retail, Inc., Series A | Morgan Stanley | 8,437 | 61,955 | 85,973 | 53,135 | |||||||||||||||||
RH | Morgan Stanley | 2 | 1,335 | 1,334 | 4 | |||||||||||||||||
Ross Stores, Inc. | Morgan Stanley | 2,508 | 293,151 | 272,996 | (20,616 | ) | ||||||||||||||||
Shutterstock, Inc. | Morgan Stanley | 3,224 | 221,180 | 365,344 | 146,518 | |||||||||||||||||
Signet Jewelers Ltd. (Bermuda) | Morgan Stanley | 411 | 29,747 | 32,453 | 2,712 | |||||||||||||||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 701 | 32,811 | 36,831 | 4,183 | |||||||||||||||||
Target Corp. | Morgan Stanley | 3,234 | 683,582 | 739,842 | 59,753 | |||||||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | 929 | 332,280 | 335,295 | 3,020 | |||||||||||||||||
Urban Outfitters, Inc. | Morgan Stanley | 2,047 | 45,517 | 60,775 | 15,163 | |||||||||||||||||
Victoria’s Secret & Co. | Morgan Stanley | 634 | 37,686 | 35,035 | (2,646 | ) | ||||||||||||||||
Williams-Sonoma, Inc. | Morgan Stanley | 40 | 7,196 | 7,093 | (93 | ) | ||||||||||||||||
Zumiez, Inc. | Morgan Stanley | 3,142 | 86,180 | 124,926 | 39,049 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
101,572 | 6,997,784 | 8,732,050 | 1,925,569 | |||||||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | 556 | 56,156 | 57,212 | 3,303 | |||||||||||||||||
Amkor Technology, Inc. | Morgan Stanley | 4,040 | 45,445 | 100,798 | 56,054 | |||||||||||||||||
Analog Devices, Inc. | Morgan Stanley | 458 | 77,932 | 76,706 | (1,221 | ) | ||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 3,415 | 437,778 | 439,613 | 2,355 | |||||||||||||||||
Axcelis Technologies, Inc. | Morgan Stanley | 3,555 | 89,855 | 167,192 | 77,342 | |||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 801 | 355,588 | 388,429 | 47,178 | |||||||||||||||||
Brooks Automation, Inc. | Morgan Stanley | 209 | 16,966 | 21,391 | 7,584 | |||||||||||||||||
Cohu, Inc. | Morgan Stanley | 731 | 23,838 | 23,348 | (484 | ) | ||||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | 1,361 | 210,688 | 204,109 | (11,518 | ) | ||||||||||||||||
First Solar, Inc. | Morgan Stanley | 1,311 | 118,257 | 125,148 | 6,899 | |||||||||||||||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 1,758 | 90,057 | 72,236 | (17,815 | ) | ||||||||||||||||
Intel Corp. | Morgan Stanley | 27,519 | 1,507,101 | 1,466,212 | (19,882 | ) | ||||||||||||||||
KLA Corp. | Morgan Stanley | 231 | 62,843 | 77,272 | 15,151 | |||||||||||||||||
Lam Research Corp. | Morgan Stanley | 463 | 282,635 | 263,516 | (18,231 | ) |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Semiconductors & Semiconductor Equipment — (continued) | ||||||||||||||||||||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 3,714 | $ | 130,144 | $ | 240,927 | $ | 111,373 | ||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | 1 | 126 | 153 | 814 | |||||||||||||||||
Micron Technology, Inc. | Morgan Stanley | 7,672 | 551,207 | 544,559 | (6,135 | ) | ||||||||||||||||
MKS Instruments, Inc. | Morgan Stanley | 855 | 142,850 | 129,028 | (13,489 | ) | ||||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 372 | 183,481 | 180,301 | (3,015 | ) | ||||||||||||||||
NVIDIA Corp. | Morgan Stanley | 1,099 | 218,772 | 227,669 | 8,946 | |||||||||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 2,717 | 521,478 | 532,179 | 13,028 | |||||||||||||||||
ON Semiconductor Corp. | Morgan Stanley | 3,489 | 143,390 | 159,692 | 16,307 | |||||||||||||||||
Onto Innovation, Inc. | Morgan Stanley | 613 | 37,009 | 44,289 | 7,286 | |||||||||||||||||
Power Integrations, Inc. | Morgan Stanley | 663 | 65,673 | 65,630 | 33 | |||||||||||||||||
Qorvo, Inc. | Morgan Stanley | 6,433 | 819,044 | 1,075,533 | 256,495 | |||||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 5,379 | 709,001 | 693,783 | (10,449 | ) | ||||||||||||||||
Rambus, Inc. | Morgan Stanley | 2,715 | 59,540 | 60,273 | 738 | |||||||||||||||||
Semtech Corp. | Morgan Stanley | 345 | 26,384 | 26,900 | 521 | |||||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | 1,127 | 195,522 | 185,707 | (8,782 | ) | ||||||||||||||||
Synaptics, Inc. | Morgan Stanley | 764 | 137,665 | 137,314 | (346 | ) | ||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 1,418 | 208,021 | 272,554 | 71,594 | |||||||||||||||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 15 | 324 | 639 | 320 | |||||||||||||||||
Xilinx, Inc. | Morgan Stanley | 821 | 119,255 | 123,963 | 4,713 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
86,620 | 7,644,025 | 8,184,275 | 596,667 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 1,036 | 247,920 | 331,437 | 86,150 | |||||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | 3,790 | 94,641 | 116,467 | 22,204 | |||||||||||||||||
Adobe, Inc. | Morgan Stanley | 936 | 547,019 | 538,874 | (8,139 | ) | ||||||||||||||||
Agilysys, Inc. | Morgan Stanley | 84 | 4,386 | 4,398 | 18 | |||||||||||||||||
ANSYS, Inc. | Morgan Stanley | 228 | 78,055 | 77,623 | (894 | ) | ||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 3,551 | 610,225 | 709,916 | 107,532 | |||||||||||||||||
Box, Inc., Class A | Morgan Stanley | 6,205 | 147,865 | 146,872 | (1,441 | ) | ||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 1,835 | 255,247 | 305,784 | 59,845 | |||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 610 | 68,673 | 92,378 | 23,711 | |||||||||||||||||
Cerence, Inc. | Morgan Stanley | 2,437 | 265,413 | 234,220 | (31,188 | ) | ||||||||||||||||
CGI, Inc. (Canada) | Morgan Stanley | 1,216 | 84,112 | 103,068 | 18,961 | |||||||||||||||||
Cloudera, Inc. | Morgan Stanley | 4,144 | 65,206 | 66,180 | 979 | |||||||||||||||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 2,561 | 145,921 | 146,643 | 727 | |||||||||||||||||
Descartes Systems Group, Inc. (The) (Canada) | Morgan Stanley | 5 | 409 | 406 | 2 | |||||||||||||||||
DocuSign, Inc. | Morgan Stanley | 18 | 4,862 | 4,634 | (3,668 | ) | ||||||||||||||||
Dolby Laboratories, Inc., Class A | Morgan Stanley | 1,779 | 169,578 | 156,552 | (12,951 | ) | ||||||||||||||||
Dropbox, Inc., Class A | Morgan Stanley | 6,190 | 192,698 | 180,872 | (11,821 | ) | ||||||||||||||||
DXC Technology Co. | Morgan Stanley | 3,491 | 136,025 | 117,333 | (18,687 | ) | ||||||||||||||||
Elastic N.V. (Netherlands) | Morgan Stanley | 136 | 18,527 | 20,263 | 1,741 | |||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 477 | 209,694 | 189,813 | (19,876 | ) | ||||||||||||||||
Fiserv, Inc. | Morgan Stanley | 7,738 | 756,656 | 839,573 | 82,940 | |||||||||||||||||
Fortinet, Inc. | Morgan Stanley | 1,130 | 228,758 | 330,005 | 101,253 | |||||||||||||||||
Gartner, Inc. | Morgan Stanley | 570 | 160,671 | 173,212 | 12,546 | |||||||||||||||||
HubSpot, Inc. | Morgan Stanley | 263 | 179,167 | 177,812 | (1,863 | ) | ||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 1,728 | 222,267 | 240,071 | 23,196 | |||||||||||||||||
Intuit, Inc. | Morgan Stanley | 503 | 260,051 | 271,374 | 11,435 | |||||||||||||||||
Lightspeed Commerce, Inc. (Canada) | Morgan Stanley | 1,679 | 190,895 | 161,906 | (33,690 | ) | ||||||||||||||||
Manhattan Associates, Inc. | Morgan Stanley | 476 | 74,656 | 72,842 | (1,809 | ) |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Maximus, Inc. | Morgan Stanley | 298 | $ | 26,004 | $ | 24,794 | $ | (1,087 | ) | |||||||||||||
McAfee Corp., Class A | Morgan Stanley | 1,845 | 40,323 | 40,793 | 574 | |||||||||||||||||
Microsoft Corp. | Morgan Stanley | 2,670 | 678,633 | 752,726 | 76,380 | |||||||||||||||||
MongoDB, Inc. | Morgan Stanley | 877 | 428,809 | 413,514 | (15,290 | ) | ||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 4,899 | 119,816 | 123,945 | 5,074 | |||||||||||||||||
Nutanix, Inc., Class A | Morgan Stanley | 4,246 | 167,322 | 160,074 | (7,243 | ) | ||||||||||||||||
Open Text Corp. (Canada) | Morgan Stanley | 5,041 | 211,592 | 245,698 | 37,544 | |||||||||||||||||
Oracle Corp. | Morgan Stanley | 11,826 | 911,498 | 1,030,399 | 122,773 | |||||||||||||||||
Palo Alto Networks, Inc. | Morgan Stanley | 177 | 65,741 | 84,783 | 19,047 | |||||||||||||||||
Paychex, Inc. | Morgan Stanley | 658 | 70,126 | 73,992 | 4,180 | |||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 768 | 183,124 | 199,841 | 16,723 | |||||||||||||||||
Progress Software Corp. | Morgan Stanley | 185 | 9,350 | 9,100 | (245 | ) | ||||||||||||||||
PTC, Inc. | Morgan Stanley | 695 | 90,512 | 83,254 | (7,253 | ) | ||||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 529 | 267,335 | 329,181 | 61,851 | |||||||||||||||||
Sprout Social, Inc., Class A | Morgan Stanley | 1,804 | 217,270 | 219,998 | 2,733 | |||||||||||||||||
SPS Commerce, Inc. | Morgan Stanley | 1,751 | 136,034 | 282,454 | 163,695 | |||||||||||||||||
Square, Inc., Class A | Morgan Stanley | 1,071 | 260,487 | 256,869 | (3,613 | ) | ||||||||||||||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 1,591 | 115,093 | 110,415 | (4,423 | ) | ||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 221 | 54,947 | 66,170 | 11,228 | |||||||||||||||||
Teradata Corp. | Morgan Stanley | 4,878 | 101,172 | 279,753 | 178,940 | |||||||||||||||||
TTEC Holdings, Inc. | Morgan Stanley | 118 | 11,280 | 11,037 | (238 | ) | ||||||||||||||||
Verint Systems, Inc. | Morgan Stanley | 4,474 | 198,936 | 200,390 | 1,376 | |||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 564 | 110,790 | 115,626 | 4,841 | |||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 1,471 | 324,010 | 327,665 | 4,185 | |||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 8,812 | 195,871 | 178,179 | (9,747 | ) | ||||||||||||||||
Workiva, Inc. | Morgan Stanley | 1,228 | 142,567 | 173,099 | 30,537 | |||||||||||||||||
Xperi Holding Corp. | Morgan Stanley | 175 | 3,369 | 3,297 | (49 | ) | ||||||||||||||||
|
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|
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|
| |||||||||||||||
117,688 | 10,561,608 | 11,607,574 | 1,099,706 | |||||||||||||||||||
|
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|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
3D Systems Corp. | Morgan Stanley | 7,074 | 203,900 | 195,030 | (8,864 | ) | ||||||||||||||||
Apple, Inc. | Morgan Stanley | 2,289 | 335,484 | 323,893 | (11,297 | ) | ||||||||||||||||
Arista Networks, Inc. | Morgan Stanley | 147 | 52,923 | 50,515 | (2,403 | ) | ||||||||||||||||
Benchmark Electronics, Inc. | Morgan Stanley | 315 | 8,986 | 8,414 | (481 | ) | ||||||||||||||||
CDW Corp. | Morgan Stanley | 1,427 | 173,060 | 259,743 | 88,859 | |||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 4,733 | 228,334 | 257,617 | 32,074 | |||||||||||||||||
Cognex Corp. | Morgan Stanley | 133 | 10,727 | 10,669 | (39 | ) | ||||||||||||||||
Coherent, Inc. | Morgan Stanley | 552 | 141,755 | 138,050 | (3,700 | ) | ||||||||||||||||
Corning, Inc. | Morgan Stanley | 8,253 | 315,069 | 301,152 | (9,091 | ) | ||||||||||||||||
CTS Corp. | Morgan Stanley | 129 | 4,124 | 3,987 | (126 | ) | ||||||||||||||||
Diebold Nixdorf, Inc. | Morgan Stanley | 48,618 | 308,717 | 491,528 | 184,382 | |||||||||||||||||
EchoStar Corp., Class A | Morgan Stanley | 12,553 | 330,570 | 320,227 | (10,521 | ) | ||||||||||||||||
Extreme Networks, Inc. | Morgan Stanley | 7,853 | 84,923 | 77,352 | (7,565 | ) | ||||||||||||||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 20,076 | 231,123 | 286,083 | 64,098 | |||||||||||||||||
HP, Inc. | Morgan Stanley | 12,154 | 263,307 | 332,533 | 79,071 | |||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 889 | 144,093 | 146,054 | 1,967 | |||||||||||||||||
Knowles Corp. | Morgan Stanley | 1,048 | 20,331 | 19,640 | (708 | ) | ||||||||||||||||
NetApp, Inc. | Morgan Stanley | 2,821 | 172,645 | 253,213 | 87,404 | |||||||||||||||||
NETGEAR, Inc. | Morgan Stanley | 1,257 | 39,624 | 40,111 | 399 | |||||||||||||||||
Plantronics, Inc. | Morgan Stanley | 1,612 | 58,747 | 41,445 | (17,321 | ) |
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Technology Hardware & Equipment — (continued) | ||||||||||||||||||||||
Sanmina Corp. | Morgan Stanley | 2,593 | $ | 70,521 | $ | 99,934 | $ | 31,702 | ||||||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 2,588 | 218,583 | 213,562 | (3,273 | ) | ||||||||||||||||
SYNNEX Corp. | Morgan Stanley | 1,113 | 113,798 | 115,863 | 1,819 | |||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 1,952 | 277,052 | 267,853 | (8,228 | ) | ||||||||||||||||
Trimble, Inc. | Morgan Stanley | 1,906 | 168,509 | 156,768 | (11,735 | ) | ||||||||||||||||
TTM Technologies, Inc. | Morgan Stanley | 9,278 | 121,953 | 116,624 | (5,323 | ) | ||||||||||||||||
Ubiquiti, Inc. | Morgan Stanley | 408 | 116,755 | 121,857 | 5,405 | |||||||||||||||||
Vishay Intertechnology, Inc. | Morgan Stanley | 4,415 | 96,407 | 88,697 | (7,316 | ) | ||||||||||||||||
Vontier Corp. | Morgan Stanley | 8,895 | 262,468 | 298,872 | 36,853 | |||||||||||||||||
Western Digital Corp. | Morgan Stanley | 3,677 | 226,371 | 207,530 | (18,836 | ) | ||||||||||||||||
Xerox Holdings Corp. | Morgan Stanley | 5,696 | 135,069 | 114,888 | (18,148 | ) | ||||||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | 635 | 301,561 | 327,292 | 25,736 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
177,089 | 5,237,489 | 5,686,996 | 494,794 | |||||||||||||||||||
|
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|
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|
|
|
| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 9,910 | 277,275 | 267,669 | (2,652 | ) | ||||||||||||||||
Gogo, Inc. | Morgan Stanley | 4,736 | 53,217 | 81,933 | 29,066 | |||||||||||||||||
IDT Corp., Class B | Morgan Stanley | 20 | 855 | 839 | (11 | ) | ||||||||||||||||
Iridium Communications, Inc. | Morgan Stanley | 672 | 21,304 | 26,779 | 5,481 | |||||||||||||||||
Lumen Technologies, Inc. | Morgan Stanley | 7,478 | 82,666 | 92,652 | 14,899 | |||||||||||||||||
Rogers Communications, Inc., Class B (Canada) | Morgan Stanley | 7 | 328 | 326 | 4 | |||||||||||||||||
T-Mobile U.S., Inc. | Morgan Stanley | 2,440 | 301,975 | 311,734 | 9,764 | |||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 7,575 | 417,851 | 409,126 | (2,799 | ) | ||||||||||||||||
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|
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|
| |||||||||||||||
32,838 | 1,155,471 | 1,191,058 | 53,752 | |||||||||||||||||||
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|
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|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 6,709 | 248,575 | 393,147 | 156,035 | |||||||||||||||||
ArcBest Corp. | Morgan Stanley | 9,722 | 329,018 | 794,968 | 488,903 | |||||||||||||||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 2,941 | 165,429 | 240,221 | 74,797 | |||||||||||||||||
Canadian Pacific Railway Ltd. (Canada) | Morgan Stanley | 598 | 43,003 | 38,912 | (4,011 | ) | ||||||||||||||||
CSX Corp. | Morgan Stanley | 16,110 | 468,233 | 479,111 | 13,720 | |||||||||||||||||
Echo Global Logistics, Inc. | Morgan Stanley | 3,045 | 79,504 | 145,277 | 66,168 | |||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | 5,070 | 420,716 | 603,989 | 189,223 | |||||||||||||||||
FedEx Corp. | Morgan Stanley | 38 | 9,135 | 8,333 | 72 | |||||||||||||||||
Kansas City Southern | Morgan Stanley | 1 | 174 | 271 | 104 | |||||||||||||||||
Kirby Corp. | Morgan Stanley | 9 | 448 | 432 | (11 | ) | ||||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 269 | 68,570 | 64,358 | (3,771 | ) | ||||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 423 | 98,678 | 120,970 | 22,480 | |||||||||||||||||
Ryder System, Inc. | Morgan Stanley | 1,937 | 109,297 | 160,209 | 55,151 | |||||||||||||||||
Schneider National, Inc., Class B | Morgan Stanley | 8,380 | 207,083 | 190,561 | 1,943 | |||||||||||||||||
SkyWest, Inc. | Morgan Stanley | 1,131 | 32,632 | 55,804 | 25,696 | |||||||||||||||||
Southwest Airlines Co. | Morgan Stanley | 81 | 4,188 | 4,166 | (17 | ) | ||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 1,560 | 324,408 | 305,776 | (16,127 | ) | ||||||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | 2,285 | 105,379 | 108,697 | 3,324 | |||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 2,556 | 447,763 | 465,448 | 23,797 | |||||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | 2,066 | 174,291 | 164,412 | (9,874 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
64,931 | 3,336,524 | 4,345,062 | 1,087,602 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 5,924 | 141,435 | 135,245 | (4,657 | ) | ||||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | 252 | 42,992 | 42,598 | (310 | ) |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Utilities — (continued) | ||||||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 7,477 | $ | 519,998 | $ | 545,971 | $ | 41,697 | ||||||||||||||
Exelon Corp. | Morgan Stanley | 15,328 | 602,503 | 740,956 | 159,426 | |||||||||||||||||
Fortis,Inc.(Canada) | Morgan Stanley | 112 | 4,979 | 4,965 | (1,391 | ) | ||||||||||||||||
MDU Resources Group, Inc. | Morgan Stanley | 467 | 14,437 | 13,856 | (231 | ) | ||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 21,726 | 803,932 | 887,073 | 104,182 | |||||||||||||||||
PPL Corp. | Morgan Stanley | 20,899 | 611,631 | 582,664 | (24,093 | ) | ||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 8,184 | 522,253 | 498,406 | (21,064 | ) | ||||||||||||||||
TransAlta Corp. (Canada) | Morgan Stanley | 17 | 176 | 180 | 12 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
80,386 | 3,264,336 | 3,451,914 | 253,571 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Long | 109,533,603 | 124,145,627 | 15,902,164 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Short
| ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (19,787 | ) | (868,175 | ) | (854,996 | ) | 10,253 | ||||||||||||||
Dorman Products, Inc. | Morgan Stanley | (20 | ) | (1,923 | ) | (1,893 | ) | 32 | ||||||||||||||
Fox Factory Holding Corp. | Morgan Stanley | (2,152 | ) | (336,712 | ) | (311,050 | ) | 25,232 | ||||||||||||||
LCI Industries | Morgan Stanley | (13,094 | ) | (1,818,923 | ) | (1,762,845 | ) | 35,157 | ||||||||||||||
Patrick Industries, Inc. | Morgan Stanley | (9,785 | ) | (810,739 | ) | (815,091 | ) | (10,501 | ) | |||||||||||||
Standard Motor Products, Inc. | Morgan Stanley | (269 | ) | (11,848 | ) | (11,758 | ) | 79 | ||||||||||||||
Tesla, Inc. | Morgan Stanley | (217 | ) | (147,859 | ) | (168,279 | ) | (20,612 | ) | |||||||||||||
Workhorse Group, Inc. | Morgan Stanley | (43,644 | ) | (706,021 | ) | (333,877 | ) | 371,206 | ||||||||||||||
XPEL, Inc. | Morgan Stanley | (2,215 | ) | (183,496 | ) | (168,030 | ) | 15,646 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(91,183 | ) | (4,885,696 | ) | (4,427,819 | ) | 426,492 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | (1,035 | ) | (112,767 | ) | (111,956 | ) | 666 | ||||||||||||||
AeroVironment, Inc. | Morgan Stanley | (1,380 | ) | (118,506 | ) | (119,122 | ) | (768 | ) | |||||||||||||
Altra Industrial Motion Corp. | Morgan Stanley | (2,857 | ) | (188,874 | ) | (158,135 | ) | 30,013 | ||||||||||||||
Ameresco, Inc., Class A | Morgan Stanley | (213 | ) | (12,669 | ) | (12,446 | ) | 212 | ||||||||||||||
American Woodmark Corp. | Morgan Stanley | (1,875 | ) | (131,574 | ) | (122,569 | ) | 8,835 | ||||||||||||||
Arcosa, Inc. | Morgan Stanley | (9,340 | ) | (536,400 | ) | (468,588 | ) | 66,687 | ||||||||||||||
Axon Enterprise, Inc. | Morgan Stanley | (2,317 | ) | (316,871 | ) | (405,521 | ) | (89,068 | ) | |||||||||||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (102,436 | ) | (1,608,533 | ) | (1,439,226 | ) | 167,163 | ||||||||||||||
Bloom Energy Corp., Class A | Morgan Stanley | (25,064 | ) | (563,445 | ) | (469,198 | ) | 93,499 | ||||||||||||||
Boeing Co. (The) | Morgan Stanley | (2,019 | ) | (505,598 | ) | (444,059 | ) | 60,869 | ||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | (21,905 | ) | (1,341,855 | ) | (1,179,803 | ) | 154,534 | ||||||||||||||
Carlisle Cos., Inc. | Morgan Stanley | (742 | ) | (150,717 | ) | (147,502 | ) | 2,666 | ||||||||||||||
Chart Industries, Inc. | Morgan Stanley | (2,660 | ) | (483,606 | ) | (508,353 | ) | (25,388 | ) | |||||||||||||
Columbus McKinnon Corp. | Morgan Stanley | (237 | ) | (11,297 | ) | (11,459 | ) | (172 | ) | |||||||||||||
Construction Partners, Inc., Class A | Morgan Stanley | (22,778 | ) | (637,919 | ) | (760,102 | ) | (123,030 | ) | |||||||||||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (37,172 | ) | (633,314 | ) | (543,083 | ) | 89,390 | ||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | (104 | ) | (13,362 | ) | (13,123 | ) | 227 | ||||||||||||||
Energy Recovery, Inc. | Morgan Stanley | (11,166 | ) | (228,632 | ) | (212,489 | ) | 15,843 | ||||||||||||||
EnerSys | Morgan Stanley | (408 | ) | (31,005 | ) | (30,372 | ) | 606 | ||||||||||||||
EnPro Industries, Inc. | Morgan Stanley | (74 | ) | (6,461 | ) | (6,447 | ) | 11 | ||||||||||||||
Evoqua Water Technologies Corp. | Morgan Stanley | (35,883 | ) | (1,094,991 | ) | (1,347,765 | ) | (259,540 | ) | |||||||||||||
Federal Signal Corp. | Morgan Stanley | (95 | ) | (3,755 | ) | (3,669 | ) | 86 | ||||||||||||||
Fluor Corp. | Morgan Stanley | (16,095 | ) | (379,351 | ) | (257,037 | ) | 121,812 | ||||||||||||||
Franklin Electric Co., Inc. | Morgan Stanley | (2,906 | ) | (241,275 | ) | (232,044 | ) | 8,914 |
The accompanying notes are an integral part of the financial statements.
49
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
FuelCell Energy, Inc. | Morgan Stanley | (80,138 | ) | $ | (1,232,011 | ) | $ | (536,123 | ) | $ | 694,247 | |||||||||||
GATX Corp. | Morgan Stanley | (7,974 | ) | (722,966 | ) | (714,151 | ) | (4,179 | ) | |||||||||||||
Gibraltar Industries, Inc. | Morgan Stanley | (2,513 | ) | (179,202 | ) | (175,030 | ) | 3,938 | ||||||||||||||
GMS, Inc. | Morgan Stanley | (3,862 | ) | (182,065 | ) | (169,156 | ) | 12,671 | ||||||||||||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (13,022 | ) | (191,582 | ) | (196,502 | ) | (5,170 | ) | |||||||||||||
Griffon Corp. | Morgan Stanley | (3,990 | ) | (93,342 | ) | (98,154 | ) | (5,051 | ) | |||||||||||||
Hexcel Corp. | Morgan Stanley | (2,488 | ) | (151,536 | ) | (147,762 | ) | 3,577 | ||||||||||||||
Hubbell, Inc. | Morgan Stanley | (557 | ) | (111,237 | ) | (100,633 | ) | 10,093 | ||||||||||||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (2,716 | ) | (121,710 | ) | (136,506 | ) | (18,431 | ) | |||||||||||||
IDEX Corp. | Morgan Stanley | (3,902 | ) | (885,788 | ) | (807,519 | ) | 78,511 | ||||||||||||||
IES Holdings, Inc. | Morgan Stanley | (58 | ) | (2,608 | ) | (2,650 | ) | (41 | ) | |||||||||||||
John Bean Technologies Corp. | Morgan Stanley | (801 | ) | (124,291 | ) | (112,581 | ) | 11,577 | ||||||||||||||
Kennametal, Inc. | Morgan Stanley | (4,717 | ) | (194,462 | ) | (161,463 | ) | 31,309 | ||||||||||||||
Kratos Defense & Security Solutions, Inc. | Morgan Stanley | (18,379 | ) | (434,510 | ) | (410,035 | ) | 23,899 | ||||||||||||||
Lindsay Corp. | Morgan Stanley | (998 | ) | (166,001 | ) | (151,486 | ) | 13,726 | ||||||||||||||
MasTec, Inc. | Morgan Stanley | (179 | ) | (15,565 | ) | (15,444 | ) | 106 | ||||||||||||||
Maxar Technologies, Inc. | Morgan Stanley | (6,950 | ) | (287,291 | ) | (196,824 | ) | 89,946 | ||||||||||||||
Mercury Systems, Inc. | Morgan Stanley | (29,169 | ) | (1,850,532 | ) | (1,383,194 | ) | 464,870 | ||||||||||||||
Meritor, Inc. | Morgan Stanley | (21,737 | ) | (565,233 | ) | (463,215 | ) | 102,118 | ||||||||||||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (3,938 | ) | (358,079 | ) | (315,788 | ) | 40,109 | ||||||||||||||
Nikola Corp. | Morgan Stanley | (54,147 | ) | (548,608 | ) | (577,748 | ) | (29,869 | ) | |||||||||||||
NV5 Global, Inc. | Morgan Stanley | (2,526 | ) | (139,839 | ) | (248,988 | ) | (110,645 | ) | |||||||||||||
Parsons Corp. | Morgan Stanley | (5,461 | ) | (205,868 | ) | (184,363 | ) | 21,235 | ||||||||||||||
PGT Innovations, Inc. | Morgan Stanley | (28,759 | ) | (538,613 | ) | (549,297 | ) | (11,399 | ) | |||||||||||||
Plug Power, Inc. | Morgan Stanley | (59,620 | ) | (1,591,580 | ) | (1,522,695 | ) | 62,456 | ||||||||||||||
Primoris Services Corp. | Morgan Stanley | (9,339 | ) | (241,230 | ) | (228,712 | ) | 11,662 | ||||||||||||||
Proto Labs, Inc. | Morgan Stanley | (13,650 | ) | (1,850,789 | ) | (909,090 | ) | 939,230 | ||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (16,949 | ) | (792,017 | ) | (748,976 | ) | 41,270 | ||||||||||||||
Sunrun, Inc. | Morgan Stanley | (13,786 | ) | (958,009 | ) | (606,584 | ) | 350,150 | ||||||||||||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (20,832 | ) | (673,049 | ) | (727,245 | ) | (55,090 | ) | |||||||||||||
Timken Co. (The) | Morgan Stanley | (3,744 | ) | (287,165 | ) | (244,932 | ) | 40,985 | ||||||||||||||
Trex Co., Inc. | Morgan Stanley | (2,805 | ) | (287,302 | ) | (285,914 | ) | (313 | ) | |||||||||||||
TriMas Corp. | Morgan Stanley | (118 | ) | (3,672 | ) | (3,818 | ) | (146 | ) | |||||||||||||
UFP Industries, Inc. | Morgan Stanley | (552 | ) | (38,562 | ) | (37,525 | ) | 1,034 | ||||||||||||||
United Rentals, Inc. | Morgan Stanley | (6,997 | ) | (2,458,490 | ) | (2,455,457 | ) | (247 | ) | |||||||||||||
Univar Solutions, Inc. | Morgan Stanley | (31,028 | ) | (730,837 | ) | (739,087 | ) | (9,221 | ) | |||||||||||||
Valmont Industries, Inc. | Morgan Stanley | (996 | ) | (232,155 | ) | (234,180 | ) | (2,827 | ) | |||||||||||||
Woodward, Inc. | Morgan Stanley | (3,496 | ) | (425,946 | ) | (395,747 | ) | 29,977 | ||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||
(783,654 | ) | (29,226,519 | ) | (25,998,642 | ) | 3,150,134 | ||||||||||||||||
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| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
ADT, Inc. | Morgan Stanley | (168,995 | ) | (1,525,052 | ) | (1,367,170 | ) | 145,869 | ||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (12,413 | ) | (1,039,238 | ) | (984,972 | ) | 48,937 | ||||||||||||||
Cimpress PLC (Ireland) | Morgan Stanley | (65 | ) | (5,621 | ) | (5,644 | ) | (25 | ) | |||||||||||||
Clarivate PLC (Jersey) | Morgan Stanley | (7,642 | ) | (211,643 | ) | (167,360 | ) | 46,742 | ||||||||||||||
CoStar Group, Inc. | Morgan Stanley | (5,903 | ) | (539,022 | ) | (508,012 | ) | 30,675 | ||||||||||||||
Deluxe Corp. | Morgan Stanley | (4,037 | ) | (157,877 | ) | (144,888 | ) | 12,289 | ||||||||||||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (49,102 | ) | (898,401 | ) | (825,405 | ) | 71,801 | ||||||||||||||
Forrester Research, Inc. | Morgan Stanley | (165 | ) | (8,219 | ) | (8,128 | ) | 86 | ||||||||||||||
FTI Consulting, Inc. | Morgan Stanley | (4,332 | ) | (619,595 | ) | (583,520 | ) | 35,252 |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Commercial & Professional Services — (continued) | ||||||||||||||||||||||
Harsco Corp. | Morgan Stanley | (20,592 | ) | $ | (340,818 | ) | $ | (349,034 | ) | $ | (8,667 | ) | ||||||||||
Huron Consulting Group, Inc. | Morgan Stanley | (979 | ) | (49,542 | ) | (50,908 | ) | (1,427 | ) | |||||||||||||
IAA, Inc. | Morgan Stanley | (1,303 | ) | (72,702 | ) | (71,105 | ) | 1,506 | ||||||||||||||
Insperity, Inc. | Morgan Stanley | (10,811 | ) | (1,024,308 | ) | (1,197,210 | ) | (181,795 | ) | |||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (6,502 | ) | (637,637 | ) | (625,037 | ) | 10,340 | ||||||||||||||
ManTech International Corp., Class A | Morgan Stanley | (2,796 | ) | (245,368 | ) | (212,272 | ) | 31,119 | ||||||||||||||
Montrose Environmental Group, Inc. | Morgan Stanley | (2,803 | ) | (150,500 | ) | (173,057 | ) | (22,753 | ) | |||||||||||||
Pitney Bowes, Inc. | Morgan Stanley | (91,362 | ) | (771,494 | ) | (658,720 | ) | 105,552 | ||||||||||||||
Tetra Tech, Inc. | Morgan Stanley | (1,340 | ) | (187,737 | ) | (200,116 | ) | (12,811 | ) | |||||||||||||
TransUnion | Morgan Stanley | (4,866 | ) | (538,013 | ) | (546,500 | ) | (12,954 | ) | |||||||||||||
U.S. Ecology, Inc. | Morgan Stanley | (16,725 | ) | (587,860 | ) | (541,054 | ) | 46,026 | ||||||||||||||
Upwork, Inc. | Morgan Stanley | (14,259 | ) | (642,482 | ) | (642,083 | ) | (454 | ) | |||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (11,083 | ) | (2,136,469 | ) | (2,219,592 | ) | (89,237 | ) | |||||||||||||
Viad Corp. | Morgan Stanley | (9,325 | ) | (382,666 | ) | (423,448 | ) | (41,288 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(447,400 | ) | (12,772,264 | ) | (12,505,235 | ) | 214,783 | ||||||||||||||||
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| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
Callaway Golf Co. | Morgan Stanley | (41,438 | ) | (1,208,215 | ) | (1,144,932 | ) | 61,376 | ||||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (37,902 | ) | (1,438,905 | ) | (1,351,964 | ) | 85,023 | ||||||||||||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (5,287 | ) | (1,176,173 | ) | (1,187,883 | ) | (13,277 | ) | |||||||||||||
Installed Building Products, Inc. | Morgan Stanley | (3,939 | ) | (503,119 | ) | (422,064 | ) | 79,220 | ||||||||||||||
iRobot Corp. | Morgan Stanley | (1,396 | ) | (120,876 | ) | (109,586 | ) | 11,134 | ||||||||||||||
Latham Group, Inc. | Morgan Stanley | (6,944 | ) | (139,827 | ) | (113,882 | ) | 25,764 | ||||||||||||||
Lovesac Co. (The) | Morgan Stanley | (988 | ) | (70,683 | ) | (65,297 | ) | 5,297 | ||||||||||||||
Malibu Boats, Inc., Class A | Morgan Stanley | (3,732 | ) | (312,977 | ) | (261,165 | ) | 51,408 | ||||||||||||||
Oxford Industries, Inc. | Morgan Stanley | (6,292 | ) | (412,586 | ) | (567,350 | ) | (166,610 | ) | |||||||||||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (48,412 | ) | (5,043,192 | ) | (4,214,265 | ) | 822,193 | ||||||||||||||
Purple Innovation, Inc. | Morgan Stanley | (47,250 | ) | (1,448,308 | ) | (993,195 | ) | 453,182 | ||||||||||||||
Vizio Holding Corp., Class A | Morgan Stanley | (1,545 | ) | (32,097 | ) | (32,816 | ) | (757 | ) | |||||||||||||
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| |||||||||||||||
(205,125 | ) | (11,906,958 | ) | (10,464,399 | ) | 1,413,953 | ||||||||||||||||
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| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
2U, Inc. | Morgan Stanley | (260 | ) | (8,727 | ) | (8,728 | ) | 160 | ||||||||||||||
Aramark | Morgan Stanley | (25,053 | ) | (955,984 | ) | (823,242 | ) | 126,101 | ||||||||||||||
Bally’s Corp. | Morgan Stanley | (18,206 | ) | (1,115,653 | ) | (912,849 | ) | 201,202 | ||||||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (7,868 | ) | (1,331,966 | ) | (1,096,957 | ) | 233,235 | ||||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (1,085 | ) | (115,359 | ) | (121,824 | ) | (8,144 | ) | |||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (68,294 | ) | (1,621,294 | ) | (1,708,033 | ) | (113,937 | ) | |||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (5,141 | ) | (811,642 | ) | (778,707 | ) | 32,651 | ||||||||||||||
Denny’s Corp. | Morgan Stanley | (45,825 | ) | (711,984 | ) | (748,781 | ) | (39,903 | ) | |||||||||||||
Frontdoor, Inc. | Morgan Stanley | (3,380 | ) | (187,367 | ) | (141,622 | ) | 45,533 | ||||||||||||||
MGM Resorts International | Morgan Stanley | (10,619 | ) | (456,363 | ) | (458,210 | ) | (2,494 | ) | |||||||||||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (3,511 | ) | (123,672 | ) | (235,202 | ) | (111,690 | ) | |||||||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (5,750 | ) | (167,767 | ) | (153,583 | ) | 13,966 | ||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | (2,525 | ) | (313,123 | ) | (320,650 | ) | (8,437 | ) | |||||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (2,867 | ) | (221,606 | ) | (225,203 | ) | (3,888 | ) | |||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (13,805 | ) | (1,184,526 | ) | (1,227,955 | ) | (45,006 | ) | |||||||||||||
Shake Shack, Inc., Class A | Morgan Stanley | (10,645 | ) | (1,026,613 | ) | (835,207 | ) | 190,372 | ||||||||||||||
Stride, Inc. | Morgan Stanley | (26,344 | ) | (1,220,518 | ) | (946,803 | ) | 276,561 |
The accompanying notes are an integral part of the financial statements.
51
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||||
Wingstop, Inc. | Morgan Stanley | (9,621 | ) | $ | (1,654,551 | ) | $ | (1,577,171 | ) | $ | 72,060 | |||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (1,287 | ) | (110,425 | ) | (109,073 | ) | 1,209 | ||||||||||||||
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| |||||||||||||||
(262,086 | ) | (13,339,140 | ) | (12,429,800 | ) | 859,551 | ||||||||||||||||
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| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
FactSet Research Systems, Inc. | Morgan Stanley | (100 | ) | (39,544 | ) | (39,478 | ) | 18 | ||||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | (8,653 | ) | (1,029,249 | ) | (993,537 | ) | 33,811 | ||||||||||||||
Morningstar, Inc. | Morgan Stanley | (412 | ) | (114,980 | ) | (106,720 | ) | 8,247 | ||||||||||||||
Open Lending Corp., Class A | Morgan Stanley | (5,332 | ) | (219,864 | ) | (192,325 | ) | 28,348 | ||||||||||||||
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| |||||||||||||||
(14,497 | ) | (1,403,637 | ) | (1,332,060 | ) | 70,424 | ||||||||||||||||
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| |||||||||||||||
Energy | ||||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | (22,972 | ) | (235,934 | ) | (239,368 | ) | (3,744 | ) | |||||||||||||
Bonanza Creek Energy, Inc. | Morgan Stanley | (6,494 | ) | (282,179 | ) | (311,063 | ) | (30,572 | ) | |||||||||||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (86,920 | ) | (840,442 | ) | (874,415 | ) | (45,478 | ) | |||||||||||||
Cheniere Energy, Inc. | Morgan Stanley | (18,462 | ) | (1,597,139 | ) | (1,803,184 | ) | (208,173 | ) | |||||||||||||
Comstock Resources, Inc. | Morgan Stanley | (18,460 | ) | (174,151 | ) | (191,061 | ) | (17,138 | ) | |||||||||||||
ConocoPhillips | Morgan Stanley | (8,766 | ) | (474,750 | ) | (594,072 | ) | (128,308 | ) | |||||||||||||
Core Laboratories N.V. (Netherlands) | Morgan Stanley | (6,731 | ) | (209,742 | ) | (186,785 | ) | 22,651 | ||||||||||||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | (279,008 | ) | (1,187,371 | ) | (1,286,227 | ) | (103,219 | ) | |||||||||||||
CVR Energy, Inc. | Morgan Stanley | (10,525 | ) | (173,896 | ) | (175,347 | ) | (1,678 | ) | |||||||||||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (76,738 | ) | (1,313,454 | ) | (1,378,982 | ) | (75,605 | ) | |||||||||||||
Devon Energy Corp. | Morgan Stanley | (41,102 | ) | (1,156,881 | ) | (1,459,532 | ) | (360,278 | ) | |||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (14,042 | ) | (1,215,925 | ) | (1,329,356 | ) | (137,369 | ) | |||||||||||||
Dril-Quip, Inc. | Morgan Stanley | (8,083 | ) | (280,499 | ) | (203,530 | ) | 77,540 | ||||||||||||||
Enerplus Corp. (Canada) | Morgan Stanley | (44,450 | ) | (263,620 | ) | (355,600 | ) | (93,016 | ) | |||||||||||||
EQT Corp. | Morgan Stanley | (131,579 | ) | (2,430,855 | ) | (2,692,106 | ) | (264,494 | ) | |||||||||||||
FLEX LNG Ltd. (Bermuda) | Morgan Stanley | (69 | ) | (1,219 | ) | (1,242 | ) | (20 | ) | |||||||||||||
Gevo, Inc. | Morgan Stanley | (99,858 | ) | (619,058 | ) | (663,057 | ) | (44,821 | ) | |||||||||||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (47,086 | ) | (514,962 | ) | (571,153 | ) | (58,340 | ) | |||||||||||||
New Fortress Energy, Inc. | Morgan Stanley | (10,169 | ) | (293,788 | ) | (282,190 | ) | 10,325 | ||||||||||||||
Northern Oil and Gas, Inc. | Morgan Stanley | (19,699 | ) | (384,140 | ) | (421,559 | ) | (39,454 | ) | |||||||||||||
Par Pacific Holdings, Inc. | Morgan Stanley | (20,165 | ) | (310,865 | ) | (316,994 | ) | (6,539 | ) | |||||||||||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (91 | ) | (831 | ) | (819 | ) | (447 | ) | |||||||||||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (14,114 | ) | (383,922 | ) | (447,273 | ) | (83,983 | ) | |||||||||||||
Phillips 66 | Morgan Stanley | (1,841 | ) | (156,158 | ) | (128,925 | ) | 23,716 | ||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (12,184 | ) | (2,016,863 | ) | (2,028,758 | ) | (55,686 | ) | |||||||||||||
Range Resources Corp. | Morgan Stanley | (28,023 | ) | (439,454 | ) | (634,160 | ) | (195,288 | ) | |||||||||||||
RPC, Inc. | Morgan Stanley | (71,544 | ) | (241,776 | ) | (347,704 | ) | (107,231 | ) | |||||||||||||
Southwestern Energy Co. | Morgan Stanley | (168,974 | ) | (756,212 | ) | (936,116 | ) | (189,075 | ) | |||||||||||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (326,918 | ) | (2,374,719 | ) | (2,461,693 | ) | (90,142 | ) | |||||||||||||
Tellurian, Inc. | Morgan Stanley | (238,743 | ) | (697,855 | ) | (933,485 | ) | (239,802 | ) | |||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | (28,082 | ) | (713,653 | ) | (728,447 | ) | (15,742 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(1,861,892 | ) | (21,742,313 | ) | (23,984,203 | ) | (2,461,410 | ) | |||||||||||||||
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| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | (14,871 | ) | (744,349 | ) | (816,715 | ) | (78,807 | ) | |||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | (7,198 | ) | (1,410,893 | ) | (1,356,463 | ) | 51,669 | ||||||||||||||
Chefs’ Warehouse, Inc. (The) | Morgan Stanley | (11,760 | ) | (357,809 | ) | (383,023 | ) | (28,460 | ) | |||||||||||||
Grocery Outlet Holding Corp. | Morgan Stanley | (42,759 | ) | (1,759,871 | ) | (922,312 | ) | 835,904 | ||||||||||||||
Performance Food Group Co. | Morgan Stanley | (8,126 | ) | (377,140 | ) | (377,534 | ) | (893 | ) |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Food & Staples Retailing — (continued) | ||||||||||||||||||||||
Rite Aid Corp. | Morgan Stanley | (11,511 | ) | $ | (222,949 | ) | $ | (163,456 | ) | $ | 59,200 | |||||||||||
United Natural Foods, Inc. | Morgan Stanley | (12,610 | ) | (456,333 | ) | (610,576 | ) | (175,953 | ) | |||||||||||||
|
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|
|
| |||||||||||||||
(108,835 | ) | (5,329,344 | ) | (4,630,079 | ) | 662,660 | ||||||||||||||||
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|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
B&G Foods, Inc. | Morgan Stanley | (22,190 | ) | (721,167 | ) | (663,259 | ) | 26,289 | ||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (6,106 | ) | (962,101 | ) | (642,718 | ) | 318,103 | ||||||||||||||
Celsius Holdings, Inc. | Morgan Stanley | (25,491 | ) | (1,834,743 | ) | (2,296,484 | ) | (464,188 | ) | |||||||||||||
Conagra Brands, Inc. | Morgan Stanley | (17,421 | ) | (595,975 | ) | (590,049 | ) | 1,451 | ||||||||||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | Morgan Stanley | (116 | ) | (3,770 | ) | (3,738 | ) | 32 | ||||||||||||||
Freshpet, Inc. | Morgan Stanley | (6,856 | ) | (1,036,417 | ) | (978,283 | ) | 56,754 | ||||||||||||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | (10,767 | ) | (421,621 | ) | (460,612 | ) | (39,550 | ) | |||||||||||||
Hormel Foods Corp. | Morgan Stanley | (26,307 | ) | (1,100,062 | ) | (1,078,587 | ) | 20,010 | ||||||||||||||
Hostess Brands, Inc. | Morgan Stanley | (3,384 | ) | (58,173 | ) | (58,780 | ) | (680 | ) | |||||||||||||
Ingredion, Inc. | Morgan Stanley | (15,909 | ) | (1,444,195 | ) | (1,416,060 | ) | 22,262 | ||||||||||||||
J & J Snack Foods Corp. | Morgan Stanley | (1,162 | ) | (184,905 | ) | (177,577 | ) | 4,237 | ||||||||||||||
Keurig Dr Pepper, Inc. | Morgan Stanley | (8,743 | ) | (307,233 | ) | (298,661 | ) | 6,877 | ||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (2,070 | ) | (173,740 | ) | (127,036 | ) | 45,991 | ||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (1,280 | ) | (221,810 | ) | (216,077 | ) | 5,016 | ||||||||||||||
McCormick & Co, Inc., Non Voting Shares | Morgan Stanley | (8,167 | ) | (720,060 | ) | (661,772 | ) | 55,024 | ||||||||||||||
MGP Ingredients, Inc. | Morgan Stanley | (5,000 | ) | (219,713 | ) | (325,500 | ) | (108,505 | ) | |||||||||||||
Pilgrim’s Pride Corp. | Morgan Stanley | (11,762 | ) | (232,904 | ) | (342,039 | ) | (110,695 | ) | |||||||||||||
Post Holdings, Inc. | Morgan Stanley | (7,411 | ) | (852,671 | ) | (816,396 | ) | 35,141 | ||||||||||||||
TreeHouse Foods, Inc. | Morgan Stanley | (21,070 | ) | (812,257 | ) | (840,272 | ) | (29,095 | ) | |||||||||||||
Universal Corp. | Morgan Stanley | (2,282 | ) | (112,760 | ) | (110,289 | ) | 2,325 | ||||||||||||||
Utz Brands, Inc. | Morgan Stanley | (34,290 | ) | (724,819 | ) | (587,388 | ) | 134,647 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(237,784 | ) | (12,741,096 | ) | (12,691,577 | ) | (18,554 | ) | |||||||||||||||
|
|
|
|
|
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|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (27,160 | ) | (874,718 | ) | (549,990 | ) | 323,564 | ||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (2,138 | ) | (693,487 | ) | (695,962 | ) | (6,766 | ) | |||||||||||||
Accolade, Inc. | Morgan Stanley | (4,836 | ) | (233,652 | ) | (203,934 | ) | 29,411 | ||||||||||||||
AdaptHealth Corp. | Morgan Stanley | (12,615 | ) | (336,879 | ) | (293,803 | ) | 42,635 | ||||||||||||||
Alphatec Holdings, Inc. | Morgan Stanley | (17,724 | ) | (250,107 | ) | (216,056 | ) | 33,723 | ||||||||||||||
American Well Corp., Class A | Morgan Stanley | (23,658 | ) | (331,420 | ) | (215,524 | ) | 115,458 | ||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | (10,263 | ) | (1,244,064 | ) | (1,225,915 | ) | 13,723 | ||||||||||||||
Apollo Medical Holdings, Inc. | Morgan Stanley | (1,724 | ) | (165,701 | ) | (156,970 | ) | 8,515 | ||||||||||||||
Avanos Medical, Inc. | Morgan Stanley | (2,283 | ) | (75,493 | ) | (71,230 | ) | 4,213 | ||||||||||||||
Axogen, Inc. | Morgan Stanley | (9,509 | ) | (114,441 | ) | (150,242 | ) | (50,943 | ) | |||||||||||||
BioLife Solutions, Inc. | Morgan Stanley | (6,224 | ) | (250,953 | ) | (263,400 | ) | (12,777 | ) | |||||||||||||
Cardiovascular Systems, Inc. | Morgan Stanley | (11,282 | ) | (408,313 | ) | (370,388 | ) | 37,208 | ||||||||||||||
Castle Biosciences, Inc. | Morgan Stanley | (11,615 | ) | (776,426 | ) | (772,398 | ) | 2,996 | ||||||||||||||
Change Healthcare, Inc. | Morgan Stanley | (1,196 | ) | (25,354 | ) | (25,044 | ) | 281 | ||||||||||||||
Covetrus, Inc. | Morgan Stanley | (32,938 | ) | (963,652 | ) | (597,495 | ) | 364,875 | ||||||||||||||
CryoPort, Inc. | Morgan Stanley | (2,965 | ) | (170,661 | ) | (197,202 | ) | (26,972 | ) | |||||||||||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (14,922 | ) | (671,322 | ) | (612,100 | ) | 58,709 | ||||||||||||||
Guardant Health, Inc. | Morgan Stanley | (6,758 | ) | (1,004,541 | ) | (844,818 | ) | 159,816 | ||||||||||||||
Haemonetics Corp. | Morgan Stanley | (9,158 | ) | (783,664 | ) | (646,463 | ) | 136,158 | ||||||||||||||
HealthEquity, Inc. | Morgan Stanley | (250 | ) | (16,613 | ) | (16,190 | ) | 406 | ||||||||||||||
Hill-Rom Holdings, Inc. | Morgan Stanley | (1,159 | ) | (156,191 | ) | (173,850 | ) | (18,154 | ) |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||||||||
Humana, Inc. | Morgan Stanley | (1,605 | ) | $ | (739,763 | ) | $ | (624,586 | ) | $ | 113,986 | |||||||||||
ICU Medical, Inc. | Morgan Stanley | (651 | ) | (155,815 | ) | (151,930 | ) | 3,681 | ||||||||||||||
Inari Medical, Inc. | Morgan Stanley | (2,402 | ) | (221,531 | ) | (194,802 | ) | 26,438 | ||||||||||||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (10,142 | ) | (347,732 | ) | (408,621 | ) | (61,348 | ) | |||||||||||||
Insulet Corp. | Morgan Stanley | (3,839 | ) | (1,070,814 | ) | (1,091,159 | ) | (22,339 | ) | |||||||||||||
Integer Holdings Corp. | Morgan Stanley | (2,259 | ) | (212,085 | ) | (201,819 | ) | 9,996 | ||||||||||||||
iRhythm Technologies, Inc. | Morgan Stanley | (6,509 | ) | (304,766 | ) | (381,167 | ) | (76,803 | ) | |||||||||||||
Joint Corp. (The) | Morgan Stanley | (2,038 | ) | (162,037 | ) | (199,765 | ) | (39,233 | ) | |||||||||||||
Lantheus Holdings, Inc. | Morgan Stanley | (25,348 | ) | (593,018 | ) | (650,937 | ) | (61,099 | ) | |||||||||||||
Magellan Health, Inc. | Morgan Stanley | (2,361 | ) | (221,121 | ) | (223,233 | ) | (2,401 | ) | |||||||||||||
Masimo Corp. | Morgan Stanley | (5,437 | ) | (1,424,743 | ) | (1,471,850 | ) | (50,154 | ) | |||||||||||||
Mesa Laboratories, Inc. | Morgan Stanley | (845 | ) | (208,034 | ) | (255,494 | ) | (48,322 | ) | |||||||||||||
National HealthCare Corp. | Morgan Stanley | (8 | ) | (560 | ) | (560 | ) | 5 | ||||||||||||||
Neogen Corp. | Morgan Stanley | (3,147 | ) | (145,518 | ) | (136,674 | ) | 8,655 | ||||||||||||||
Oak Street Health, Inc. | Morgan Stanley | (39,015 | ) | (1,965,579 | ) | (1,659,308 | ) | 303,650 | ||||||||||||||
Option Care Health, Inc. | Morgan Stanley | (19,983 | ) | (438,442 | ) | (484,788 | ) | (48,675 | ) | |||||||||||||
OrthoPediatrics Corp. | Morgan Stanley | (4,388 | ) | (229,924 | ) | (287,458 | ) | (58,543 | ) | |||||||||||||
Outset Medical, Inc. | Morgan Stanley | (5,341 | ) | (224,132 | ) | (264,059 | ) | (40,221 | ) | |||||||||||||
Penumbra, Inc. | Morgan Stanley | (3,711 | ) | (992,013 | ) | (988,982 | ) | 1,197 | ||||||||||||||
PetIQ, Inc. | Morgan Stanley | (17,079 | ) | (618,785 | ) | (426,463 | ) | 192,325 | ||||||||||||||
Phreesia, Inc. | Morgan Stanley | (659 | ) | (40,650 | ) | (40,660 | ) | (59 | ) | |||||||||||||
Progyny, Inc. | Morgan Stanley | (19,713 | ) | (1,141,925 | ) | (1,103,928 | ) | 36,476 | ||||||||||||||
Quidel Corp. | Morgan Stanley | (3,622 | ) | (517,636 | ) | (511,245 | ) | 5,704 | ||||||||||||||
RadNet, Inc. | Morgan Stanley | (14,745 | ) | (239,060 | ) | (432,176 | ) | (193,430 | ) | |||||||||||||
ResMed, Inc. | Morgan Stanley | (2,612 | ) | (666,337 | ) | (688,393 | ) | (51,977 | ) | |||||||||||||
Schrodinger, Inc. | Morgan Stanley | (17,031 | ) | (1,002,947 | ) | (931,255 | ) | 70,357 | ||||||||||||||
Silk Road Medical, Inc. | Morgan Stanley | (8,941 | ) | (527,384 | ) | (492,023 | ) | 34,045 | ||||||||||||||
Simulations Plus, Inc. | Morgan Stanley | (3,513 | ) | (258,499 | ) | (138,764 | ) | 119,008 | ||||||||||||||
SmileDirectClub, Inc. | Morgan Stanley | (140,112 | ) | (824,749 | ) | (745,396 | ) | 78,256 | ||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (18,030 | ) | (3,897,474 | ) | (3,683,168 | ) | 202,180 | ||||||||||||||
Surgery Partners, Inc. | Morgan Stanley | (14,492 | ) | (696,939 | ) | (613,591 | ) | 82,422 | ||||||||||||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (17,173 | ) | (978,346 | ) | (450,104 | ) | 528,546 | ||||||||||||||
Tactile Systems Technology, Inc. | Morgan Stanley | (7,598 | ) | (290,707 | ) | (337,731 | ) | (47,471 | ) | |||||||||||||
Teladoc Health, Inc. | Morgan Stanley | (3,997 | ) | (603,865 | ) | (506,860 | ) | 96,203 | ||||||||||||||
U.S. Physical Therapy, Inc. | Morgan Stanley | (118 | ) | (13,635 | ) | (13,051 | ) | 571 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(638,841 | ) | (31,524,217 | ) | (29,090,974 | ) | 2,327,705 | ||||||||||||||||
|
|
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|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (7,153 | ) | (1,225,514 | ) | (1,184,608 | ) | 37,637 | ||||||||||||||
Energizer Holdings, Inc. | Morgan Stanley | (15,935 | ) | (627,299 | ) | (622,262 | ) | 2,713 | ||||||||||||||
Honest Co., Inc. (The) | Morgan Stanley | (17,952 | ) | (186,443 | ) | (186,342 | ) | (143 | ) | |||||||||||||
Inter Parfums, Inc. | Morgan Stanley | (1,460 | ) | (105,229 | ) | (109,164 | ) | (4,280 | ) | |||||||||||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (8,501 | ) | (241,033 | ) | (232,417 | ) | 7,691 | ||||||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | (4,590 | ) | (410,036 | ) | (439,125 | ) | (29,535 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(55,591 | ) | (2,795,554 | ) | (2,773,918 | ) | 14,083 | ||||||||||||||||
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| |||||||||||||||
Materials | ||||||||||||||||||||||
Albemarle Corp. | Morgan Stanley | (798 | ) | (165,465 | ) | (174,738 | ) | (13,617 | ) | |||||||||||||
Allegheny Technologies, Inc. | Morgan Stanley | (17,120 | ) | (312,438 | ) | (284,706 | ) | 27,320 | ||||||||||||||
Amyris, Inc. | Morgan Stanley | (24,786 | ) | (337,266 | ) | (340,312 | ) | (3,491 | ) |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Materials — (continued) | ||||||||||||||||||||||
Balchem Corp. | Morgan Stanley | (744 | ) | $ | (107,431 | ) | $ | (107,932 | ) | $ | (639 | ) | ||||||||||
Cabot Corp. | Morgan Stanley | (2,336 | ) | (126,817 | ) | (117,080 | ) | 8,750 | ||||||||||||||
Century Aluminum Co. | Morgan Stanley | (29,071 | ) | (350,285 | ) | (391,005 | ) | (41,183 | ) | |||||||||||||
Coeur Mining, Inc. | Morgan Stanley | (82,676 | ) | (566,095 | ) | (510,111 | ) | 55,232 | ||||||||||||||
Commercial Metals Co. | Morgan Stanley | (20,236 | ) | (654,221 | ) | (616,389 | ) | 36,963 | ||||||||||||||
Ecolab, Inc. | Morgan Stanley | (3,184 | ) | (704,039 | ) | (664,246 | ) | 38,513 | ||||||||||||||
Element Solutions, Inc. | Morgan Stanley | (10,001 | ) | (233,238 | ) | (216,822 | ) | 15,692 | ||||||||||||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (114,698 | ) | (1,214,386 | ) | (757,007 | ) | 455,761 | ||||||||||||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (49,971 | ) | (665,815 | ) | (564,672 | ) | 100,192 | ||||||||||||||
FMC Corp. | Morgan Stanley | (6,299 | ) | (608,967 | ) | (576,736 | ) | 28,444 | ||||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | (12,213 | ) | (1,761,834 | ) | (1,586,591 | ) | 170,100 | ||||||||||||||
HB Fuller Co. | Morgan Stanley | (9,843 | ) | (634,713 | ) | (635,464 | ) | (3,533 | ) | |||||||||||||
Huntsman Corp. | Morgan Stanley | (63,740 | ) | (1,667,342 | ) | (1,886,067 | ) | (229,888 | ) | |||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (16,952 | ) | (2,395,164 | ) | (2,266,821 | ) | 108,781 | ||||||||||||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (1,432 | ) | (71,075 | ) | (59,557 | ) | 10,354 | ||||||||||||||
MAG Silver Corp. (Canada) | Morgan Stanley | (833 | ) | (13,540 | ) | (13,495 | ) | 33 | ||||||||||||||
Materion Corp. | Morgan Stanley | (2,305 | ) | (168,420 | ) | (158,215 | ) | 9,546 | ||||||||||||||
Methanex Corp. (Canada) | Morgan Stanley | (10,583 | ) | (212,980 | ) | (487,241 | ) | (277,463 | ) | |||||||||||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (54,950 | ) | (546,845 | ) | (378,056 | ) | 168,064 | ||||||||||||||
Quaker Chemical Corp. | Morgan Stanley | (2,835 | ) | (674,966 | ) | (673,936 | ) | (1,148 | ) | |||||||||||||
RPM International, Inc. | Morgan Stanley | (6,096 | ) | (522,808 | ) | (473,354 | ) | 48,760 | ||||||||||||||
Sandstorm Gold Ltd. (Canada) | Morgan Stanley | (8,017 | ) | (48,042 | ) | (46,178 | ) | 1,805 | ||||||||||||||
Schweitzer-Mauduit International, Inc. | Morgan Stanley | (1,691 | ) | (62,128 | ) | (58,610 | ) | 3,215 | ||||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | (10,944 | ) | (1,740,600 | ) | (1,601,764 | ) | 131,454 | ||||||||||||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (20,717 | ) | (380,774 | ) | (320,078 | ) | 60,197 | ||||||||||||||
Silgan Holdings, Inc. | Morgan Stanley | (2,912 | ) | (125,701 | ) | (111,704 | ) | 13,088 | ||||||||||||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (9,813 | ) | (79,459 | ) | (68,495 | ) | 10,863 | ||||||||||||||
Sonoco Products Co. | Morgan Stanley | (2,837 | ) | (182,684 | ) | (169,028 | ) | 13,417 | ||||||||||||||
Stepan Co. | Morgan Stanley | (2,819 | ) | (359,394 | ) | (318,378 | ) | 39,049 | ||||||||||||||
Summit Materials, Inc., Class A | Morgan Stanley | (938 | ) | (30,174 | ) | (29,988 | ) | 152 | ||||||||||||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (23,293 | ) | (535,313 | ) | (580,229 | ) | (46,705 | ) | |||||||||||||
Valvoline, Inc. | Morgan Stanley | (28,463 | ) | (840,419 | ) | (887,476 | ) | (57,107 | ) | |||||||||||||
Warrior Met Coal, Inc. | Morgan Stanley | (19,044 | ) | (347,564 | ) | (443,154 | ) | (106,166 | ) | |||||||||||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (196,993 | ) | (916,889 | ) | (780,092 | ) | 119,077 | ||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||
(872,183 | ) | (20,365,291 | ) | (19,355,727 | ) | 893,882 | ||||||||||||||||
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| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Angi, Inc. | Morgan Stanley | (90,772 | ) | (1,240,130 | ) | (1,120,126 | ) | 118,352 | ||||||||||||||
Cable One, Inc. | Morgan Stanley | (806 | ) | (1,584,912 | ) | (1,461,383 | ) | 119,819 | ||||||||||||||
Cardlytics, Inc. | Morgan Stanley | (2,593 | ) | (217,339 | ) | (217,656 | ) | (603 | ) | |||||||||||||
Cargurus, Inc. | Morgan Stanley | (9,577 | ) | (303,906 | ) | (300,814 | ) | 2,692 | ||||||||||||||
Cinemark Holdings, Inc. | Morgan Stanley | (14,039 | ) | (305,338 | ) | (269,689 | ) | 35,029 | ||||||||||||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (77,034 | ) | (185,461 | ) | (208,762 | ) | (24,117 | ) | |||||||||||||
iHeartMedia, Inc., Class A | Morgan Stanley | (15,220 | ) | (296,812 | ) | (380,804 | ) | (84,384 | ) | |||||||||||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | (9,589 | ) | (117,815 | ) | (124,657 | ) | (6,994 | ) | |||||||||||||
Madison Square Garden Entertainment Corp. | Morgan Stanley | (4,278 | ) | (425,149 | ) | (310,882 | ) | 113,703 | ||||||||||||||
Magnite, Inc. | Morgan Stanley | (1,952 | ) | (79,239 | ) | (54,656 | ) | 24,482 | ||||||||||||||
Match Group, Inc. | Morgan Stanley | (6,883 | ) | (1,121,914 | ) | (1,080,562 | ) | 47,400 | ||||||||||||||
MediaAlpha, Inc., Class A | Morgan Stanley | (3,214 | ) | (73,421 | ) | (60,038 | ) | 13,291 | ||||||||||||||
Nexstar Media Group, Inc., Class A | Morgan Stanley | (510 | ) | (79,327 | ) | (77,500 | ) | 1,727 |
The accompanying notes are an integral part of the financial statements.
55
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Media & Entertainment — (continued) | ||||||||||||||||||||||
Sciplay Corp., Class A | Morgan Stanley | (2,512 | ) | $ | (51,463 | ) | $ | (51,973 | ) | $ | (573 | ) | ||||||||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (3,937 | ) | (107,346 | ) | (114,330 | ) | (8,978 | ) | |||||||||||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (4,129 | ) | (229,879 | ) | (252,654 | ) | (31,735 | ) | |||||||||||||
Zynga, Inc., Class A | Morgan Stanley | (15,583 | ) | (183,603 | ) | (117,340 | ) | 66,023 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(262,628 | ) | (6,603,054 | ) | (6,203,826 | ) | 385,134 | ||||||||||||||||
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| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (3,805 | ) | (596,450 | ) | (553,932 | ) | 41,726 | ||||||||||||||
ACADIA Pharmaceuticals, Inc. | Morgan Stanley | (17,186 | ) | (284,595 | ) | (285,459 | ) | (1,239 | ) | |||||||||||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (18,496 | ) | (860,578 | ) | (628,679 | ) | 230,754 | ||||||||||||||
Agenus, Inc. | Morgan Stanley | (321 | ) | (1,814 | ) | (1,685 | ) | 131 | ||||||||||||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | (13,421 | ) | (69,291 | ) | (71,668 | ) | (2,464 | ) | |||||||||||||
Apellis Pharmaceuticals, Inc. | Morgan Stanley | (18,794 | ) | (894,521 | ) | (619,450 | ) | 273,880 | ||||||||||||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (10,222 | ) | (860,528 | ) | (488,407 | ) | 370,976 | ||||||||||||||
Arcus Biosciences, Inc. | Morgan Stanley | (2,903 | ) | (84,773 | ) | (101,228 | ) | (18,188 | ) | |||||||||||||
Arvinas, Inc. | Morgan Stanley | (13,683 | ) | (757,232 | ) | (1,124,469 | ) | (368,244 | ) | |||||||||||||
Avantor, Inc. | Morgan Stanley | (24,405 | ) | (978,192 | ) | (998,165 | ) | (29,931 | ) | |||||||||||||
Avid Bioservices, Inc. | Morgan Stanley | (2,107 | ) | (43,562 | ) | (45,448 | ) | (1,939 | ) | |||||||||||||
Axsome Therapeutics, Inc. | Morgan Stanley | (11,520 | ) | (498,854 | ) | (379,699 | ) | 118,494 | ||||||||||||||
Berkeley Lights, Inc. | Morgan Stanley | (29,699 | ) | (1,213,128 | ) | (580,912 | ) | 630,599 | ||||||||||||||
Bluebird Bio, Inc. | Morgan Stanley | (21,621 | ) | (395,483 | ) | (413,177 | ) | (18,217 | ) | |||||||||||||
Catalent, Inc. | Morgan Stanley | (7,574 | ) | (920,428 | ) | (1,007,872 | ) | (88,669 | ) | |||||||||||||
ChemoCentryx, Inc. | Morgan Stanley | (32,809 | ) | (492,573 | ) | (561,034 | ) | (69,114 | ) | |||||||||||||
Codexis, Inc. | Morgan Stanley | (14,640 | ) | (201,488 | ) | (340,526 | ) | (141,301 | ) | |||||||||||||
Cronos Group, Inc. (Canada) | Morgan Stanley | (23,154 | ) | (161,810 | ) | (131,052 | ) | 30,548 | ||||||||||||||
Dicerna Pharmaceuticals, Inc. | Morgan Stanley | (19,242 | ) | (409,742 | ) | (387,919 | ) | 21,281 | ||||||||||||||
Elanco Animal Health, Inc. | Morgan Stanley | (10,406 | ) | (316,973 | ) | (331,847 | ) | (15,292 | ) | |||||||||||||
Emergent BioSolutions, Inc. | Morgan Stanley | (4,067 | ) | (257,654 | ) | (203,635 | ) | 58,734 | ||||||||||||||
Heron Therapeutics, Inc. | Morgan Stanley | (2,416 | ) | (28,032 | ) | (25,827 | ) | 2,055 | ||||||||||||||
Inovio Pharmaceuticals, Inc. | Morgan Stanley | (5,523 | ) | (48,131 | ) | (39,545 | ) | 9,031 | ||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (4,198 | ) | (227,184 | ) | (140,801 | ) | 86,085 | ||||||||||||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (1,640 | ) | (61,649 | ) | (40,442 | ) | 21,130 | ||||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (23,309 | ) | (3,230,376 | ) | (3,035,065 | ) | 190,999 | ||||||||||||||
Ligand Pharmaceuticals, Inc. | Morgan Stanley | (285 | ) | (32,045 | ) | (39,706 | ) | (8,372 | ) | |||||||||||||
MacroGenics, Inc. | Morgan Stanley | (65 | ) | (1,367 | ) | (1,361 | ) | 9 | ||||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | (3,906 | ) | (714,826 | ) | (739,328 | ) | (25,451 | ) | |||||||||||||
Mirati Therapeutics, Inc. | Morgan Stanley | (2,962 | ) | (437,466 | ) | (524,007 | ) | (102,331 | ) | |||||||||||||
NanoString Technologies, Inc. | Morgan Stanley | (5,915 | ) | (307,589 | ) | (283,979 | ) | 23,204 | ||||||||||||||
Novavax, Inc. | Morgan Stanley | (523 | ) | (108,817 | ) | (108,423 | ) | 254 | ||||||||||||||
Nurix Therapeutics, Inc. | Morgan Stanley | (27 | ) | (816 | ) | (809 | ) | 11 | ||||||||||||||
Ocular Therapeutix, Inc. | Morgan Stanley | (12,449 | ) | (166,704 | ) | (124,490 | ) | 41,996 | ||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (51,951 | ) | (2,237,216 | ) | (2,458,841 | ) | (233,733 | ) | |||||||||||||
Personalis, Inc. | Morgan Stanley | (18,569 | ) | (488,890 | ) | (357,268 | ) | 130,975 | ||||||||||||||
Phathom Pharmaceuticals, Inc. | Morgan Stanley | (166 | ) | (5,312 | ) | (5,329 | ) | (19 | ) | |||||||||||||
Phibro Animal Health Corp., Class A | Morgan Stanley | (40 | ) | (870 | ) | (862 | ) | 13 | ||||||||||||||
Protagonist Therapeutics, Inc. | Morgan Stanley | (994 | ) | (45,490 | ) | (17,614 | ) | 27,821 | ||||||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (6,405 | ) | (1,002,677 | ) | (644,407 | ) | 356,936 | ||||||||||||||
Revance Therapeutics, Inc. | Morgan Stanley | (5,703 | ) | (154,257 | ) | (158,886 | ) | (4,830 | ) | |||||||||||||
REVOLUTION Medicines, Inc. | Morgan Stanley | (338 | ) | (9,305 | ) | (9,298 | ) | (127 | ) | |||||||||||||
Rocket Pharmaceuticals, Inc. | Morgan Stanley | (622 | ) | (20,825 | ) | (18,592 | ) | 2,220 |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | ||||||||||||||||||||||
Seagen, Inc. | Morgan Stanley | (399 | ) | $ | (67,103 | ) | $ | (67,750 | ) | $ | (732 | ) | ||||||||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | (570,292 | ) | (412,076 | ) | (386,715 | ) | 24,815 | ||||||||||||||
Syneos Health, Inc. | Morgan Stanley | (14,801 | ) | (1,346,985 | ) | (1,294,791 | ) | 48,925 | ||||||||||||||
TG Therapeutics, Inc. | Morgan Stanley | (6,221 | ) | (169,319 | ) | (207,035 | ) | (42,416 | ) | |||||||||||||
Viatris, Inc. | Morgan Stanley | (60,372 | ) | (887,682 | ) | (818,041 | ) | 55,134 | ||||||||||||||
|
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| |||||||||||||||
(1,100,166 | ) | (22,512,678 | ) | (20,805,475 | ) | 1,626,127 | ||||||||||||||||
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| |||||||||||||||
Retailing | ||||||||||||||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | (7,837 | ) | (254,846 | ) | (239,107 | ) | 15,404 | ||||||||||||||
Asbury Automotive Group, Inc. | Morgan Stanley | (3,751 | ) | (727,700 | ) | (737,972 | ) | (11,239 | ) | |||||||||||||
Big Lots, Inc. | Morgan Stanley | (1,637 | ) | (78,092 | ) | (70,980 | ) | 7,047 | ||||||||||||||
CarMax, Inc. | Morgan Stanley | (2,731 | ) | (368,914 | ) | (349,459 | ) | 18,968 | ||||||||||||||
Carvana Co. | Morgan Stanley | (920 | ) | (250,633 | ) | (277,417 | ) | (27,114 | ) | |||||||||||||
Chewy, Inc., Class A | Morgan Stanley | (594 | ) | (40,511 | ) | (40,457 | ) | 5 | ||||||||||||||
Children’s Place, Inc. (The) | Morgan Stanley | (3,661 | ) | (280,118 | ) | (275,527 | ) | 3,670 | ||||||||||||||
Designer Brands, Inc., Class A | Morgan Stanley | (37,432 | ) | (510,941 | ) | (521,428 | ) | (12,660 | ) | |||||||||||||
Dollar General Corp. | Morgan Stanley | (4,851 | ) | (1,044,578 | ) | (1,029,091 | ) | 12,989 | ||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | (5,142 | ) | (502,061 | ) | (492,192 | ) | 9,204 | ||||||||||||||
Five Below, Inc. | Morgan Stanley | (5,046 | ) | (960,551 | ) | (892,183 | ) | 67,323 | ||||||||||||||
Franchise Group, Inc. | Morgan Stanley | (3,687 | ) | (127,459 | ) | (130,557 | ) | (4,623 | ) | |||||||||||||
Gap, Inc. (The) | Morgan Stanley | (91,261 | ) | (2,327,742 | ) | (2,071,625 | ) | 257,900 | ||||||||||||||
GrowGeneration Corp. | Morgan Stanley | (31,457 | ) | (1,215,960 | ) | (776,044 | ) | 438,296 | ||||||||||||||
Leslie’s, Inc. | Morgan Stanley | (30,609 | ) | (877,733 | ) | (628,709 | ) | 247,856 | ||||||||||||||
Monro, Inc. | Morgan Stanley | (13,438 | ) | (829,336 | ) | (772,819 | ) | 39,740 | ||||||||||||||
Murphy U.S.A., Inc. | Morgan Stanley | (12,215 | ) | (1,842,146 | ) | (2,043,081 | ) | (208,238 | ) | |||||||||||||
Nordstrom, Inc. | Morgan Stanley | (22,066 | ) | (515,772 | ) | (583,646 | ) | (68,558 | ) | |||||||||||||
Pool Corp. | Morgan Stanley | (1,025 | ) | (472,771 | ) | (445,270 | ) | 23,895 | ||||||||||||||
Poshmark, Inc., Class A | Morgan Stanley | (3,722 | ) | (170,082 | ) | (88,435 | ) | 81,426 | ||||||||||||||
RealReal, Inc. (The) | Morgan Stanley | (42,629 | ) | (1,017,125 | ) | (561,850 | ) | 453,920 | ||||||||||||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (37,584 | ) | (714,707 | ) | (633,290 | ) | 80,467 | ||||||||||||||
Sleep Number Corp. | Morgan Stanley | (341 | ) | (35,028 | ) | (31,877 | ) | 3,109 | ||||||||||||||
Stamps.com, Inc. | Morgan Stanley | (3,949 | ) | (1,286,739 | ) | (1,302,341 | ) | (17,316 | ) | |||||||||||||
Tractor Supply Co. | Morgan Stanley | (16,467 | ) | (3,137,180 | ) | (3,336,379 | ) | (209,358 | ) | |||||||||||||
Vroom, Inc. | Morgan Stanley | (38,354 | ) | (1,441,088 | ) | (846,473 | ) | 592,694 | ||||||||||||||
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| |||||||||||||||
(422,406 | ) | (21,029,813 | ) | (19,178,209 | ) | 1,794,807 | ||||||||||||||||
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| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (9,029 | ) | (838,782 | ) | (993,190 | ) | (155,616 | ) | |||||||||||||
CEVA, Inc. | Morgan Stanley | (2,393 | ) | (108,250 | ) | (102,109 | ) | 6,001 | ||||||||||||||
Cirrus Logic, Inc. | Morgan Stanley | (7,414 | ) | (611,718 | ) | (610,543 | ) | (388 | ) | |||||||||||||
Cree, Inc. | Morgan Stanley | (8,200 | ) | (846,047 | ) | (661,986 | ) | 182,935 | ||||||||||||||
Entegris, Inc. | Morgan Stanley | (7,420 | ) | (921,390 | ) | (934,178 | ) | (14,014 | ) | |||||||||||||
FormFactor, Inc. | Morgan Stanley | (16,488 | ) | (614,222 | ) | (615,497 | ) | (2,091 | ) | |||||||||||||
Marvell Technology, Inc. | Morgan Stanley | (28,028 | ) | (1,701,496 | ) | (1,690,369 | ) | 8,784 | ||||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (6,120 | ) | (922,293 | ) | (857,779 | ) | 63,153 | ||||||||||||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | (4,041 | ) | (202,177 | ) | (179,825 | ) | 22,087 | ||||||||||||||
Veeco Instruments, Inc. | Morgan Stanley | (327 | ) | (7,378 | ) | (7,263 | ) | 110 | ||||||||||||||
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| |||||||||||||||
(89,460 | ) | (6,773,753 | ) | (6,652,739 | ) | 110,961 | ||||||||||||||||
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| |||||||||||||||
Software & Services | ||||||||||||||||||||||
8x8, Inc. | Morgan Stanley | (27,422 | ) | (544,400 | ) | (641,401 | ) | (97,743 | ) |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (1,586 | ) | $ | (178,171 | ) | $ | (165,880 | ) | $ | 13,074 | |||||||||||
Alarm.com Holdings, Inc. | Morgan Stanley | (2,746 | ) | (237,470 | ) | (214,710 | ) | 22,448 | ||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | (221 | ) | (22,445 | ) | (22,297 | ) | (54 | ) | |||||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (35,231 | ) | (3,623,172 | ) | (2,575,386 | ) | 1,042,949 | ||||||||||||||
Anaplan, Inc. | Morgan Stanley | (1,747 | ) | (115,215 | ) | (106,375 | ) | 9,261 | ||||||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (5,951 | ) | (801,136 | ) | (716,500 | ) | 83,570 | ||||||||||||||
Avaya Holdings Corp. | Morgan Stanley | (13,417 | ) | (271,013 | ) | (265,522 | ) | 5,133 | ||||||||||||||
Bentley Systems, Inc., Class B | Morgan Stanley | (4,159 | ) | (292,400 | ) | (252,202 | ) | 46,055 | ||||||||||||||
Blackbaud, Inc. | Morgan Stanley | (8,078 | ) | (563,655 | ) | (568,287 | ) | (5,381 | ) | |||||||||||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (40,148 | ) | (370,756 | ) | (390,640 | ) | (20,374 | ) | |||||||||||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (24,038 | ) | (950,061 | ) | (944,213 | ) | 4,584 | ||||||||||||||
CDK Global, Inc. | Morgan Stanley | (4,461 | ) | (192,507 | ) | (189,816 | ) | 2,440 | ||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (9,049 | ) | (868,077 | ) | (1,019,098 | ) | (153,387 | ) | |||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (30,671 | ) | (3,382,089 | ) | (3,293,145 | ) | 73,408 | ||||||||||||||
Concentrix Corp. | Morgan Stanley | (2,349 | ) | (405,813 | ) | (415,773 | ) | (11,402 | ) | |||||||||||||
Conduent, Inc. | Morgan Stanley | (28,417 | ) | (194,281 | ) | (187,268 | ) | 6,841 | ||||||||||||||
Coupa Software, Inc. | Morgan Stanley | (4,238 | ) | (1,067,617 | ) | (928,885 | ) | 137,311 | ||||||||||||||
Digital Turbine, Inc. | Morgan Stanley | (27,195 | ) | (1,799,987 | ) | (1,869,656 | ) | (72,069 | ) | |||||||||||||
Dynatrace, Inc. | Morgan Stanley | (7,189 | ) | (443,709 | ) | (510,203 | ) | (67,092 | ) | |||||||||||||
Evo Payments, Inc., Class A | Morgan Stanley | (4,366 | ) | (125,208 | ) | (103,387 | ) | 21,696 | ||||||||||||||
Fastly, Inc., Class A | Morgan Stanley | (15,130 | ) | (1,069,632 | ) | (611,857 | ) | 456,350 | ||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | (3,457 | ) | (923,500 | ) | (903,210 | ) | 19,061 | ||||||||||||||
Globant S.A. (Luxembourg) | Morgan Stanley | (2,962 | ) | (776,385 | ) | (832,352 | ) | (68,769 | ) | |||||||||||||
GoDaddy, Inc., Class A | Morgan Stanley | (2,968 | ) | (261,431 | ) | (206,870 | ) | 55,966 | ||||||||||||||
Guidewire Software, Inc. | Morgan Stanley | (4,545 | ) | (523,485 | ) | (540,264 | ) | (17,474 | ) | |||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (3,924 | ) | (685,420 | ) | (643,771 | ) | 39,893 | ||||||||||||||
Jamf Holding Corp. | Morgan Stanley | (4,145 | ) | (131,225 | ) | (159,665 | ) | (28,610 | ) | |||||||||||||
JFrog Ltd. (Israel) | Morgan Stanley | (3,930 | ) | (136,247 | ) | (131,655 | ) | 4,415 | ||||||||||||||
LiveRamp Holdings, Inc. | Morgan Stanley | (12,206 | ) | (627,466 | ) | (576,489 | ) | 50,727 | ||||||||||||||
Mandiant, Inc. | Morgan Stanley | (59,159 | ) | (1,063,714 | ) | (1,053,030 | ) | 9,268 | ||||||||||||||
Medallia, Inc. | Morgan Stanley | (15,399 | ) | (488,876 | ) | (521,564 | ) | (33,336 | ) | |||||||||||||
Model N, Inc. | Morgan Stanley | (6,906 | ) | (236,220 | ) | (231,351 | ) | 4,559 | ||||||||||||||
NCR Corp. | Morgan Stanley | (6,832 | ) | (270,843 | ) | (264,808 | ) | 5,678 | ||||||||||||||
New Relic, Inc. | Morgan Stanley | (4,566 | ) | (295,759 | ) | (327,702 | ) | (33,109 | ) | |||||||||||||
Okta, Inc. | Morgan Stanley | (1,399 | ) | (328,137 | ) | (332,039 | ) | (4,335 | ) | |||||||||||||
PagerDuty, Inc. | Morgan Stanley | (5,622 | ) | (231,406 | ) | (232,863 | ) | (1,761 | ) | |||||||||||||
Paylocity Holding Corp. | Morgan Stanley | (2,542 | ) | (505,479 | ) | (712,777 | ) | (213,710 | ) | |||||||||||||
Paysafe Ltd. (Bermuda) | Morgan Stanley | (1,677 | ) | (12,858 | ) | (12,997 | ) | (150 | ) | |||||||||||||
Ping Identity Holding Corp. | Morgan Stanley | (53,767 | ) | (1,743,061 | ) | (1,321,055 | ) | 424,388 | ||||||||||||||
PROS Holdings, Inc. | Morgan Stanley | (17,371 | ) | (714,623 | ) | (616,323 | ) | 97,350 | ||||||||||||||
Q2 Holdings, Inc. | Morgan Stanley | (9,105 | ) | (939,109 | ) | (729,675 | ) | 208,184 | ||||||||||||||
Qualys, Inc. | Morgan Stanley | (2,694 | ) | (352,974 | ) | (299,815 | ) | 52,937 | ||||||||||||||
Rackspace Technology, Inc. | Morgan Stanley | (55,834 | ) | (1,124,338 | ) | (793,959 | ) | 328,882 | ||||||||||||||
RingCentral, Inc., Class A | Morgan Stanley | (9,484 | ) | (2,399,792 | ) | (2,062,770 | ) | 333,820 | ||||||||||||||
Sabre Corp. | Morgan Stanley | (33,545 | ) | (463,023 | ) | (397,173 | ) | 66,868 | ||||||||||||||
Sailpoint Technologies Holdings, Inc. | Morgan Stanley | (18,686 | ) | (850,311 | ) | (801,256 | ) | 47,924 | ||||||||||||||
SecureWorks Corp., Class A | Morgan Stanley | (175 | ) | (3,519 | ) | (3,479 | ) | 41 | ||||||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (7,014 | ) | (617,173 | ) | (543,725 | ) | 72,628 | ||||||||||||||
Smartsheet, Inc., Class A | Morgan Stanley | (10,667 | ) | (773,172 | ) | (734,103 | ) | 38,041 |
The accompanying notes are an integral part of the financial statements.
58
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
SolarWinds Corp. | Morgan Stanley | (24,343 | ) | $ | (486,055 | ) | $ | (407,258 | ) | $ | 42,578 | |||||||||||
Splunk, Inc. | Morgan Stanley | (153 | ) | (27,970 | ) | (22,141 | ) | 5,798 | ||||||||||||||
Sumo Logic, Inc. | Morgan Stanley | (9,981 | ) | (174,607 | ) | (160,894 | ) | 13,485 | ||||||||||||||
Switch, Inc., Class A | Morgan Stanley | (28,060 | ) | (500,590 | ) | (712,443 | ) | (219,655 | ) | |||||||||||||
Telos Corp. | Morgan Stanley | (39,696 | ) | (1,216,205 | ) | (1,128,160 | ) | 86,424 | ||||||||||||||
Tucows, Inc., Class A | Morgan Stanley | (3,526 | ) | (221,418 | ) | (278,378 | ) | (58,686 | ) | |||||||||||||
Twilio, Inc., Class A | Morgan Stanley | (1,970 | ) | (636,604 | ) | (628,529 | ) | 7,230 | ||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (2,264 | ) | (1,068,640 | ) | (1,038,384 | ) | 28,345 | ||||||||||||||
Upland Software, Inc. | Morgan Stanley | (9,724 | ) | (397,743 | ) | (325,171 | ) | 72,046 | ||||||||||||||
Verra Mobility Corp. | Morgan Stanley | (47,489 | ) | (633,596 | ) | (715,659 | ) | (83,983 | ) | |||||||||||||
VMware, Inc., Class A | Morgan Stanley | (322 | ) | (48,228 | ) | (47,881 | ) | 288 | ||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | (3,370 | ) | (54,025 | ) | (54,324 | ) | (366 | ) | |||||||||||||
WEX, Inc. | Morgan Stanley | (9,729 | ) | (1,935,067 | ) | (1,713,666 | ) | 218,820 | ||||||||||||||
Yext, Inc. | Morgan Stanley | (87,319 | ) | (1,434,150 | ) | (1,050,448 | ) | 382,409 | ||||||||||||||
Zendesk, Inc. | Morgan Stanley | (2,191 | ) | (270,869 | ) | (255,010 | ) | 15,501 | ||||||||||||||
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| |||||||||||||||
(928,527 | ) | (44,104,127 | ) | (40,517,587 | ) | 3,467,228 | ||||||||||||||||
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| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (560 | ) | (50,563 | ) | (49,140 | ) | 1,361 | ||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | (8,989 | ) | (670,696 | ) | (658,264 | ) | 8,938 | ||||||||||||||
Avnet, Inc. | Morgan Stanley | (15,522 | ) | (640,514 | ) | (573,848 | ) | 61,609 | ||||||||||||||
Badger Meter, Inc. | Morgan Stanley | (50 | ) | (5,145 | ) | (5,057 | ) | 89 | ||||||||||||||
Calix, Inc. | Morgan Stanley | (4,763 | ) | (236,228 | ) | (235,435 | ) | 483 | ||||||||||||||
Ciena Corp. | Morgan Stanley | (10,671 | ) | (585,251 | ) | (547,956 | ) | 36,708 | ||||||||||||||
CommScope Holding Co., Inc. | Morgan Stanley | (37,052 | ) | (619,712 | ) | (503,537 | ) | 115,353 | ||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | (5,299 | ) | (554,053 | ) | (551,308 | ) | 2,009 | ||||||||||||||
Fabrinet (Cayman Islands) | Morgan Stanley | (8,209 | ) | (688,260 | ) | (841,505 | ) | (158,925 | ) | |||||||||||||
FARO Technologies, Inc. | Morgan Stanley | (1,679 | ) | (126,781 | ) | (110,495 | ) | 16,122 | ||||||||||||||
Inseego Corp. | Morgan Stanley | (52,581 | ) | (501,609 | ) | (350,189 | ) | 150,754 | ||||||||||||||
Insight Enterprises, Inc. | Morgan Stanley | (9,885 | ) | (697,340 | ) | (890,441 | ) | (194,027 | ) | |||||||||||||
IPG Photonics Corp. | Morgan Stanley | (806 | ) | (185,419 | ) | (127,670 | ) | 57,506 | ||||||||||||||
Jabil, Inc. | Morgan Stanley | (13,636 | ) | (813,835 | ) | (795,933 | ) | 16,263 | ||||||||||||||
MicroVision, Inc. | Morgan Stanley | (43,820 | ) | (609,413 | ) | (484,211 | ) | 124,392 | ||||||||||||||
National Instruments Corp. | Morgan Stanley | (23,814 | ) | (1,001,996 | ) | (934,223 | ) | 55,543 | ||||||||||||||
nLight, Inc. | Morgan Stanley | (16,646 | ) | (391,336 | ) | (469,251 | ) | (78,432 | ) | |||||||||||||
Rogers Corp. | Morgan Stanley | (1,053 | ) | (212,230 | ) | (196,363 | ) | 15,622 | ||||||||||||||
Super Micro Computer, Inc. | Morgan Stanley | (8,286 | ) | (274,609 | ) | (303,019 | ) | (28,772 | ) | |||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (5,986 | ) | (2,687,861 | ) | (2,571,466 | ) | 112,808 | ||||||||||||||
Viasat, Inc. | Morgan Stanley | (8,570 | ) | (400,072 | ) | (471,950 | ) | (72,407 | ) | |||||||||||||
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| |||||||||||||||
(277,877 | ) | (11,952,923 | ) | (11,671,261 | ) | 242,997 | ||||||||||||||||
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| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
Bandwidth, Inc., Class A | Morgan Stanley | (3,277 | ) | (348,650 | ) | (295,848 | ) | 52,342 | ||||||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (2,698 | ) | (195,613 | ) | (191,126 | ) | (6,628 | ) | |||||||||||||
Globalstar, Inc. | Morgan Stanley | (326,824 | ) | (490,887 | ) | (545,796 | ) | (56,699 | ) | |||||||||||||
Shenandoah Telecommunications Co. | Morgan Stanley | (6,770 | ) | (279,595 | ) | (213,797 | ) | (7,202 | ) | |||||||||||||
United States Cellular Corp. | Morgan Stanley | (5,577 | ) | (184,251 | ) | (177,851 | ) | 6,160 | ||||||||||||||
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| |||||||||||||||
(345,146 | ) | (1,498,996 | ) | (1,424,418 | ) | (12,027 | ) | |||||||||||||||
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| |||||||||||||||
Transportation | ||||||||||||||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (31,400 | ) | (757,016 | ) | (810,434 | ) | (54,424 | ) |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Transportation — (continued) | ||||||||||||||||||||||
Canadian National Railway Co. (Canada) | Morgan Stanley | (21,143 | ) | $ | (2,444,748 | ) | $ | (2,445,188 | ) | $ | (16,348 | ) | ||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (22,281 | ) | (2,152,124 | ) | (1,938,447 | ) | 193,447 | ||||||||||||||
Hawaiian Holdings, Inc. | Morgan Stanley | (13,211 | ) | (256,593 | ) | (286,150 | ) | (33,255 | ) | |||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | (2,162 | ) | (365,101 | ) | (361,530 | ) | 2,425 | ||||||||||||||
JetBlue Airways Corp. | Morgan Stanley | (12,713 | ) | (235,301 | ) | (194,382 | ) | 40,610 | ||||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | (6,096 | ) | (298,165 | ) | (311,810 | ) | (14,554 | ) | |||||||||||||
Landstar System, Inc. | Morgan Stanley | (7,676 | ) | (1,281,680 | ) | (1,211,426 | ) | 67,654 | ||||||||||||||
Marten Transport Ltd. | Morgan Stanley | (345 | ) | (5,480 | ) | (5,413 | ) | 65 | ||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | (3,741 | ) | (415,472 | ) | (382,255 | ) | 31,806 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(120,768 | ) | (8,211,680 | ) | (7,947,035 | ) | 217,426 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (68,781 | ) | (1,072,720 | ) | (1,008,329 | ) | 35,231 | ||||||||||||||
ALLETE, Inc. | Morgan Stanley | (10,242 | ) | (610,688 | ) | (609,604 | ) | (32,563 | ) | |||||||||||||
Alliant Energy Corp. | Morgan Stanley | (3,652 | ) | (224,839 | ) | (204,439 | ) | 20,105 | ||||||||||||||
Ameren Corp. | Morgan Stanley | (9,694 | ) | (792,904 | ) | (785,214 | ) | (10,987 | ) | |||||||||||||
American States Water Co. | Morgan Stanley | (103 | ) | (8,923 | ) | (8,809 | ) | 108 | ||||||||||||||
Atmos Energy Corp. | Morgan Stanley | (2,455 | ) | (223,231 | ) | (216,531 | ) | 1,831 | ||||||||||||||
Avangrid, Inc. | Morgan Stanley | (11,378 | ) | (559,411 | ) | (552,971 | ) | (9,756 | ) | |||||||||||||
Black Hills Corp. | Morgan Stanley | (12,938 | ) | (843,622 | ) | (811,989 | ) | 10,535 | ||||||||||||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (7,470 | ) | (310,108 | ) | (289,911 | ) | 16,758 | ||||||||||||||
California Water Service Group | Morgan Stanley | (1,956 | ) | (94,221 | ) | (115,267 | ) | (22,979 | ) | |||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (29,915 | ) | (742,057 | ) | (735,909 | ) | (621 | ) | |||||||||||||
Clearway Energy, Inc., Class A | Morgan Stanley | (13,252 | ) | (332,608 | ) | (373,706 | ) | (53,685 | ) | |||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (5,381 | ) | (394,528 | ) | (390,607 | ) | (7,850 | ) | |||||||||||||
Edison International | Morgan Stanley | (44,404 | ) | (2,549,116 | ) | (2,463,090 | ) | 35,896 | ||||||||||||||
Entergy Corp. | Morgan Stanley | (11,336 | ) | (1,226,941 | ) | (1,125,778 | ) | 83,611 | ||||||||||||||
Evergy, Inc. | Morgan Stanley | (26,280 | ) | (1,726,178 | ) | (1,634,616 | ) | 71,659 | ||||||||||||||
Eversource Energy | Morgan Stanley | (14,076 | ) | (1,229,620 | ) | (1,150,854 | ) | 63,367 | ||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (8,481 | ) | (693,296 | ) | (665,928 | ) | 23,182 | ||||||||||||||
NiSource, Inc. | Morgan Stanley | (68,096 | ) | (1,732,625 | ) | (1,649,966 | ) | 69,944 | ||||||||||||||
Northwest Natural Holding Co. | Morgan Stanley | (10,745 | ) | (536,331 | ) | (494,163 | ) | 31,371 | ||||||||||||||
NorthWestern Corp. | Morgan Stanley | (6,701 | ) | (421,933 | ) | (383,967 | ) | 27,192 | ||||||||||||||
OGE Energy Corp. | Morgan Stanley | (22,502 | ) | (780,684 | ) | (741,666 | ) | 31,296 | ||||||||||||||
Ormat Technologies, Inc. | Morgan Stanley | (5,214 | ) | (413,854 | ) | (347,305 | ) | 65,210 | ||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (19,494 | ) | (1,551,982 | ) | (1,410,586 | ) | 131,783 | ||||||||||||||
PNM Resources, Inc. | Morgan Stanley | (8,567 | ) | (420,382 | ) | (423,895 | ) | (7,851 | ) | |||||||||||||
Portland General Electric Co. | Morgan Stanley | (13,892 | ) | (663,550 | ) | (652,785 | ) | (4,613 | ) | |||||||||||||
Sempra Energy | Morgan Stanley | (8,115 | ) | (1,098,577 | ) | (1,026,548 | ) | 46,557 | ||||||||||||||
SJW Group | Morgan Stanley | (4,059 | ) | (268,215 | ) | (268,138 | ) | (6,564 | ) | |||||||||||||
South Jersey Industries, Inc. | Morgan Stanley | (26,932 | ) | (704,827 | ) | (572,574 | ) | 119,139 | ||||||||||||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (14,325 | ) | (977,302 | ) | (958,056 | ) | 3,336 | ||||||||||||||
Spire, Inc. | Morgan Stanley | (7,194 | ) | (510,767 | ) | (440,129 | ) | 63,927 | ||||||||||||||
Vistra Corp. | Morgan Stanley | (108,786 | ) | (1,871,713 | ) | (1,860,241 | ) | (18,073 | ) |
The accompanying notes are an integral part of the financial statements.
60
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Utilities — (continued) | ||||||||||||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (4,279 | ) | $ | (367,467 | ) | $ | (377,408 | ) | $ | (18,797 | ) | ||||||||||
Xcel Energy, Inc. | Morgan Stanley | (18,982 | ) | (1,291,558 | ) | (1,186,375 | ) | 96,614 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(629,677 | ) | (27,246,778 | ) | (25,937,354 | ) | 854,313 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Short | (317,965,831 | ) | (300,022,337 | ) | 16,240,669 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Net Value of Reference Entity | $ | (208,432,228 | ) | $ | (175,876,710 | ) | $ | 32,142,833 | ||||||||||||||
|
|
|
|
|
|
* | Includes $(412,685) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
61
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 95.4% |
| |||||||
Automobiles & Components — 2.3% |
| |||||||
Adient PLC (Ireland)* | 3,517 | $ | 145,780 | |||||
American Axle & Manufacturing Holdings, Inc.* | 32,765 | 288,660 | ||||||
Aptiv PLC (Jersey)* | 2,078 | 309,560 | ||||||
Ford Motor Co.(a)* | 92,417 | 1,308,625 | ||||||
General Motors Co.(a)* | 33,957 | 1,789,873 | ||||||
Gentex Corp. | 7,283 | 240,193 | ||||||
Gentherm, Inc.* | 1,001 | 81,011 | ||||||
Lear Corp. | 348 | 54,455 | ||||||
Magna International, Inc. | 6,495 | 488,684 | ||||||
Tenneco, Inc., Class A* | 4,235 | 60,433 | ||||||
Thor Industries, Inc. | 121 | 14,854 | ||||||
Visteon Corp.* | 2,592 | 244,659 | ||||||
Winnebago Industries, Inc. | 2,523 | 182,791 | ||||||
|
| |||||||
5,209,578 | ||||||||
|
| |||||||
Capital Goods — 8.3% |
| |||||||
3M Co.(a) | 5,972 | 1,047,608 | ||||||
A.O. Smith Corp. | 4,495 | 274,510 | ||||||
AAR Corp.* | 2,818 | 91,388 | ||||||
Acuity Brands, Inc. | 1 | 173 | ||||||
AECOM* | 4,505 | 284,491 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 1,187 | 51,694 | ||||||
AeroVironment, Inc.* | 484 | 41,779 | ||||||
Allegion PLC (Ireland) | 704 | 93,055 | ||||||
Altra Industrial Motion Corp. | 185 | 10,240 | ||||||
AMETEK, Inc. | 499 | 61,881 | ||||||
Apogee Enterprises, Inc. | 2,238 | 84,507 | ||||||
Applied Industrial Technologies, Inc. | 133 | 11,987 | ||||||
Armstrong World Industries, Inc. | 347 | 33,128 | ||||||
Atkore, Inc.* | 4,967 | 431,732 | ||||||
Beacon Roofing Supply, Inc.* | 3,114 | 148,725 | ||||||
Boise Cascade Co. | 7,536 | 406,793 | ||||||
Carrier Global Corp. | 7,465 | 386,388 | ||||||
Caterpillar, Inc. | 1,535 | 294,674 | ||||||
Colfax Corp.* | 777 | 35,664 | ||||||
Comfort Systems USA, Inc. | 689 | 49,139 | ||||||
Crane Co. | 1,491 | 141,362 | ||||||
Cummins, Inc.(a) | 3,304 | 741,946 | ||||||
Curtiss-Wright Corp. | 577 | 72,806 | ||||||
Deere & Co. | 1,381 | 462,732 | ||||||
Donaldson Co., Inc. | 449 | 25,777 | ||||||
Dover Corp. | 831 | 129,220 | ||||||
Dycom Industries, Inc.* | 661 | 47,090 | ||||||
Eaton Corp. PLC (Ireland) | 2,773 | 414,037 | ||||||
EMCOR Group, Inc. | 205 | 23,653 | ||||||
Emerson Electric Co.(a) | 11,373 | 1,071,337 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Enerpac Tool Group Corp. | 184 | $ | 3,814 | |||||
ESCO Technologies, Inc. | 432 | 33,264 | ||||||
Fortive Corp. | 1,193 | 84,190 | ||||||
Generac Holdings, Inc.* | 131 | 53,536 | ||||||
General Dynamics Corp. | 3,210 | 629,256 | ||||||
General Electric Co. | 7,099 | 731,410 | ||||||
Gibraltar Industries, Inc.* | 1 | 70 | ||||||
Global Industrial Co. | 13 | 493 | ||||||
Graco, Inc. | 91 | 6,367 | ||||||
Granite Construction, Inc. | 3,008 | 118,966 | ||||||
HEICO Corp. | 1,186 | 156,398 | ||||||
Herc Holdings, Inc.* | 1,173 | 191,739 | ||||||
Hillenbrand, Inc. | 4,357 | 185,826 | ||||||
Honeywell International, Inc.(a) | 379 | 80,454 | ||||||
Howmet Aerospace, Inc.(a) | 12,751 | 397,831 | ||||||
Huntington Ingalls Industries, Inc. | 828 | 159,854 | ||||||
Ingersoll Rand, Inc.* | 6,543 | 329,833 | ||||||
John Bean Technologies Corp. | 537 | 75,475 | ||||||
Johnson Controls International PLC (Ireland) | 9,223 | 627,902 | ||||||
Kaman Corp. | 205 | 7,312 | ||||||
L3Harris Technologies, Inc. | 531 | 116,947 | ||||||
Lennox International, Inc. | 1,500 | 441,255 | ||||||
Lockheed Martin Corp.(a) | 3,070 | 1,059,457 | ||||||
Middleby Corp. (The)* | 368 | 62,748 | ||||||
Mueller Industries, Inc. | 4 | 164 | ||||||
MYR Group, Inc.* | 342 | 34,029 | ||||||
Nordson Corp. | 944 | 224,814 | ||||||
Northrop Grumman Corp.(a) | 1,476 | 531,581 | ||||||
NOW, Inc.* | 8,928 | 68,299 | ||||||
nVent Electric PLC (Ireland) | 1 | 32 | ||||||
Oshkosh Corp. | 3,134 | 320,828 | ||||||
Otis Worldwide Corp. | 1,750 | 143,990 | ||||||
Owens Corning | 7,315 | 625,432 | ||||||
Parker-Hannifin Corp. | 1,600 | 447,392 | ||||||
Pentair PLC (Ireland) | 7,295 | 529,836 | ||||||
Quanta Services, Inc. | 85 | 9,675 | ||||||
Regal Rexnord Corp. | 648 | 97,420 | ||||||
Resideo Technologies, Inc.* | 1,736 | 43,035 | ||||||
Rockwell Automation, Inc. | 398 | 117,028 | ||||||
Sensata Technologies Holding PLC (United Kingdom)* | 3,508 | 191,958 | ||||||
Simpson Manufacturing Co., Inc. | 605 | 64,717 | ||||||
Snap-on, Inc. | 2,214 | 462,615 | ||||||
SPX FLOW, Inc. | 525 | 38,377 | ||||||
Stanley Black & Decker, Inc. | 3,486 | 611,131 |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Tecnoglass, Inc. (Cayman Islands) | 967 | $ | 21,013 | |||||
Terex Corp. | 5,643 | 237,570 | ||||||
Textron, Inc. | 4,170 | 291,108 | ||||||
Toro Co. (The) | 775 | 75,493 | ||||||
TPI Composites, Inc.* | 3,136 | 105,840 | ||||||
Trane Technologies PLC (Ireland) | 1,808 | 312,151 | ||||||
Triumph Group, Inc.* | 1,927 | 35,900 | ||||||
United Rentals, Inc.* | 18 | 6,317 | ||||||
Watsco, Inc. | 147 | 38,899 | ||||||
Watts Water Technologies, Inc., Class A | 239 | 40,173 | ||||||
WESCO International, Inc.* | 2,312 | 266,620 | ||||||
WW Grainger, Inc. | 962 | 378,124 | ||||||
Xylem, Inc. | 564 | 69,755 | ||||||
|
| |||||||
18,965,229 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.6% |
| |||||||
ABM Industries, Inc. | 6,094 | 274,291 | ||||||
Brady Corp., Class A | 1,249 | 63,324 | ||||||
Brink’s Co. (The) | 1,094 | 69,250 | ||||||
CACI International, Inc., Class A* | 92 | 24,113 | ||||||
CBIZ, Inc.* | 254 | 8,214 | ||||||
Cimpress PLC (Ireland)* | 175 | 15,195 | ||||||
Cintas Corp. | 339 | 129,044 | ||||||
Clean Harbors, Inc.* | 2,017 | 209,506 | ||||||
Copart, Inc.* | 1,702 | 236,101 | ||||||
CoreCivic, Inc.* | 4,708 | 41,901 | ||||||
Equifax, Inc. | 299 | 75,773 | ||||||
Healthcare Services Group, Inc. | 4,842 | 121,002 | ||||||
HNI Corp. | 1,158 | 42,522 | ||||||
IHS Markit Ltd. (Bermuda) | 181 | 21,108 | ||||||
Jacobs Engineering Group, Inc. | 2,554 | 338,482 | ||||||
Korn Ferry | 907 | 65,631 | ||||||
MSA Safety, Inc. | 75 | 10,928 | ||||||
Nielsen Holdings PLC (United Kingdom) | 42,679 | 819,010 | ||||||
Republic Services, Inc. | 4,352 | 522,501 | ||||||
Robert Half International, Inc. | 2,410 | 241,795 | ||||||
Rollins, Inc. | 932 | 32,928 | ||||||
Science Applications International Corp. | 1,240 | 106,094 | ||||||
Steelcase, Inc., Class A | 409 | 5,186 | ||||||
Thomson Reuters Corp. (Canada) | 1,865 | 206,045 | ||||||
Waste Management, Inc. | 116 | 17,326 | ||||||
|
| |||||||
3,697,270 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — 2.6% |
| |||||||
Acushnet Holdings Corp. | 855 | $ | 39,928 | |||||
BRP, Inc., sub-voting shares (Canada) | 386 | 35,774 | ||||||
Brunswick Corp. | 3,033 | 288,954 | ||||||
Capri Holdings Ltd. (British Virgin Islands)* | 5,152 | 249,408 | ||||||
Cavco Industries, Inc.* | 285 | 67,471 | ||||||
Columbia Sportswear Co. | 19 | 1,821 | ||||||
Deckers Outdoor Corp.* | 111 | 39,982 | ||||||
DR Horton, Inc. | 2,229 | 187,169 | ||||||
Garmin Ltd. (Switzerland) | 875 | 136,027 | ||||||
GoPro, Inc., Class A* | 17,821 | 166,805 | ||||||
Hasbro, Inc. | 4,418 | 394,174 | ||||||
Johnson Outdoors, Inc., Class A | 49 | 5,184 | ||||||
Kontoor Brands, Inc. | 2,179 | 108,841 | ||||||
La-Z-Boy, Inc. | 962 | 31,005 | ||||||
Mattel, Inc.* | 10,910 | 202,490 | ||||||
Mohawk Industries, Inc.* | 2,937 | 521,024 | ||||||
Newell Brands, Inc. | 4,878 | 107,999 | ||||||
NIKE, Inc., Class B(a) | 4,925 | 715,258 | ||||||
Polaris, Inc. | 166 | 19,864 | ||||||
PulteGroup, Inc. | 3,495 | 160,490 | ||||||
PVH Corp.* | 1,935 | 198,899 | ||||||
Ralph Lauren Corp. | 495 | 54,965 | ||||||
Skechers USA, Inc., Class A* | 219 | 9,224 | ||||||
Skyline Champion Corp.* | 4,262 | 255,976 | ||||||
Smith & Wesson Brands, Inc. | 16,034 | 332,866 | ||||||
Sonos, Inc.* | 5,211 | 168,628 | ||||||
Steven Madden Ltd. | 1,466 | 58,875 | ||||||
Sturm Ruger & Co., Inc. | 2,247 | 165,784 | ||||||
Tapestry, Inc. | 5,315 | 196,761 | ||||||
Tempur Sealy International, Inc. | 3,865 | 179,375 | ||||||
Tupperware Brands Corp.* | 3,435 | 72,547 | ||||||
Under Armour, Inc., Class C* | 7,641 | 133,870 | ||||||
Whirlpool Corp. | 2,224 | 453,385 | ||||||
YETI Holdings, Inc.* | 1,415 | 121,251 | ||||||
|
| |||||||
5,882,074 | ||||||||
|
| |||||||
Consumer Services — 2.9% |
| |||||||
Adtalem Global Education, Inc.* | 4,937 | 186,668 | ||||||
Airbnb, Inc., Class A* | 485 | 81,359 | ||||||
Bloomin’ Brands, Inc.* | 11,684 | 292,100 | ||||||
Booking Holdings, Inc.* | 171 | 405,932 | ||||||
Boyd Gaming Corp.* | 2,254 | 142,588 | ||||||
Brinker International, Inc.* | 2,836 | 139,106 | ||||||
Choice Hotels International, Inc. | 1,344 | 169,841 |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Cracker Barrel Old Country Store, Inc. | 394 | $ | 55,097 | |||||
Dine Brands Global, Inc.* | 3,543 | 287,727 | ||||||
Domino’s Pizza, Inc. | 173 | 82,514 | ||||||
Expedia Group, Inc.* | 1 | 164 | ||||||
Golden Entertainment, Inc.* | 926 | 45,457 | ||||||
Graham Holdings Co., Class B | 130 | 76,591 | ||||||
Grand Canyon Education, Inc.* | 719 | 63,243 | ||||||
Hilton Worldwide Holdings, Inc.* | 627 | 82,833 | ||||||
Houghton Mifflin Harcourt Co.* | 3,026 | 40,639 | ||||||
Jack in the Box, Inc. | 787 | 76,599 | ||||||
Marriott International, Inc., Class A* | 4,239 | 627,753 | ||||||
McDonald’s Corp.(a) | 2,935 | 707,658 | ||||||
Penn National Gaming, Inc.* | 7,277 | 527,291 | ||||||
Perdoceo Education Corp.* | 6,109 | 64,511 | ||||||
Red Rock Resorts, Inc., Class A* | 562 | 28,786 | ||||||
Service Corp. International | 3,062 | 184,516 | ||||||
Starbucks Corp. | 2,147 | 236,835 | ||||||
Vail Resorts, Inc. | 283 | 94,536 | ||||||
Wendy’s Co. (The) | 8,850 | 191,868 | ||||||
WW International, Inc.* | 1,711 | 31,226 | ||||||
Wyndham Hotels & Resorts, Inc. | 4,698 | 362,639 | ||||||
Yum! Brands, Inc.(a) | 10,510 | 1,285,478 | ||||||
|
| |||||||
6,571,555 | ||||||||
|
| |||||||
Diversified Financials — 3.0% |
| |||||||
Affiliated Managers Group, Inc. | 539 | 81,438 | ||||||
Berkshire Hathaway, Inc., Class B(a)* | 8,248 | 2,251,209 | ||||||
BlackRock, Inc. | 766 | 642,414 | ||||||
CME Group, Inc. | 1,668 | 322,558 | ||||||
Federated Hermes, Inc. | 2,859 | 92,918 | ||||||
Franklin Resources, Inc. | 7,945 | 236,125 | ||||||
Invesco Ltd. (Bermuda) | 14,194 | 342,217 | ||||||
Moody’s Corp. | 1,789 | 635,292 | ||||||
MSCI, Inc. | 203 | 123,493 | ||||||
Nasdaq, Inc. | 3,924 | 757,410 | ||||||
S&P Global, Inc. | 972 | 412,993 | ||||||
T Rowe Price Group, Inc.(a) | 5,060 | 995,302 | ||||||
|
| |||||||
6,893,369 | ||||||||
|
| |||||||
Energy — 4.5% |
| |||||||
Antero Resources Corp.* | 4,112 | 77,347 | ||||||
APA Corp. | 10,660 | 228,444 | ||||||
Baker Hughes Co. | 18,684 | 462,055 | ||||||
Cactus, Inc., Class A | 147 | 5,545 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Canadian Natural Resources Ltd. (Canada) | 11,483 | $ | 419,589 | |||||
Centennial Resource Development, Inc., Class A* | 4,785 | 32,060 | ||||||
ChampionX Corp.* | 12,671 | 283,324 | ||||||
Chevron Corp. | 163 | 16,536 | ||||||
Cimarex Energy Co.* | 2,589 | 225,761 | ||||||
CNX Resources Corp.* | 2,205 | 27,827 | ||||||
ConocoPhillips | 1 | 68 | ||||||
Continental Resources, Inc. | 2,381 | 109,883 | ||||||
Crescent Point Energy Corp. (Canada) | 1,801 | 8,303 | ||||||
Denbury, Inc.* | 914 | 64,209 | ||||||
DHT Holdings, Inc. (Marshall Islands) | 7,535 | 49,204 | ||||||
EOG Resources, Inc.(a) | 8,716 | 699,633 | ||||||
Equitrans Midstream Corp. | 12,609 | 127,855 | ||||||
Exxon Mobil Corp.(a) | 22,543 | 1,325,979 | ||||||
Green Plains, Inc.* | 738 | 24,096 | ||||||
Halliburton Co. | 19,492 | 421,417 | ||||||
Hess Corp. | 6,485 | 506,543 | ||||||
HollyFrontier Corp. | 271 | 8,978 | ||||||
Imperial Oil Ltd. (Canada) | 2,320 | 73,219 | ||||||
Kosmos Energy Ltd.* | 50,737 | 150,182 | ||||||
Magnolia Oil & Gas Corp., Class A | 1,679 | 29,869 | ||||||
Marathon Oil Corp. | 57,599 | 787,378 | ||||||
Marathon Petroleum Corp. | 15,724 | 971,900 | ||||||
Murphy Oil Corp. | 2,697 | 67,344 | ||||||
Oasis Petroleum, Inc. | 657 | 65,319 | ||||||
Occidental Petroleum Corp.(a) | 23,190 | 685,960 | ||||||
Oceaneering International, Inc.* | 15,964 | 212,640 | ||||||
ONEOK, Inc. | 10,966 | 635,918 | ||||||
Ovintiv, Inc. | 5,578 | 183,405 | ||||||
PDC Energy, Inc. | 3,601 | 170,651 | ||||||
SM Energy Co. | 19,594 | 516,890 | ||||||
Suncor Energy, Inc. (Canada) | 5,875 | 121,847 | ||||||
Targa Resources Corp. | 1,966 | 96,747 | ||||||
Transocean Ltd. (Switzerland)* | 9,763 | 37,002 | ||||||
Vermilion Energy, Inc. (Canada)* | 10,774 | 106,663 | ||||||
Whiting Petroleum Corp.* | 695 | 40,595 | ||||||
Williams Cos., Inc. (The) | 1,782 | 46,225 | ||||||
World Fuel Services Corp. | 4,730 | 159,023 | ||||||
|
| |||||||
10,283,433 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
Costco Wholesale Corp. | 390 | 175,246 | ||||||
Kroger Co. (The) | 5,740 | 232,068 |
The accompanying notes are an integral part of the financial statements.
64
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Sprouts Farmers Market, Inc.* | 11,194 | $ | 259,365 | |||||
Sysco Corp. | 6,994 | 549,029 | ||||||
Walgreens Boots Alliance, Inc. | 5,704 | 268,373 | ||||||
Walmart, Inc.(a) | 15,039 | 2,096,136 | ||||||
Weis Markets, Inc. | 72 | 3,784 | ||||||
|
| |||||||
3,584,001 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.9% |
| |||||||
Altria Group, Inc.(a) | 14,550 | 662,316 | ||||||
Archer-Daniels-Midland Co. | 5,487 | 329,275 | ||||||
Brown-Forman Corp., Class B | 355 | 23,789 | ||||||
Coca-Cola Co. (The)(a) | 19,933 | 1,045,885 | ||||||
Coca-Cola Consolidated, Inc. | 106 | 41,783 | ||||||
Constellation Brands, Inc., Class A(a) | 2,072 | 436,550 | ||||||
Darling Ingredients, Inc.* | 7,489 | 538,459 | ||||||
General Mills, Inc. | 2,028 | 121,315 | ||||||
Hershey Co. (The) | 2,630 | 445,128 | ||||||
JM Smucker Co. (The) | 173 | 20,765 | ||||||
Kellogg Co. | 947 | 60,532 | ||||||
Kraft Heinz Co. (The)(a) | 32,395 | 1,192,784 | ||||||
Molson Coors Beverage Co., Class B | 4,038 | 187,282 | ||||||
Mondelez International, Inc., Class A | 12,848 | 747,497 | ||||||
Monster Beverage Corp.(a)* | 8,821 | 783,569 | ||||||
PepsiCo, Inc. | 5,483 | 824,698 | ||||||
Philip Morris International, Inc. | 4,349 | 412,242 | ||||||
Primo Water Corp. (Canada) | 92 | 1,446 | ||||||
Sanderson Farms, Inc. | 2,422 | 455,820 | ||||||
SunOpta, Inc. (Canada)* | 9,181 | 81,986 | ||||||
Tyson Foods, Inc., Class A | 3,898 | 307,708 | ||||||
Vector Group Ltd. | 2,111 | 26,915 | ||||||
|
| |||||||
8,747,744 | ||||||||
|
| |||||||
Health Care Equipment & Services — 7.8% |
| |||||||
Abbott Laboratories(a) | 6,244 | 737,604 | ||||||
Acadia Healthcare Co., Inc.* | 5,661 | 361,059 | ||||||
Addus HomeCare Corp.* | 3 | 239 | ||||||
Alcon, Inc. (Switzerland) | 4,974 | 400,258 | ||||||
Align Technology, Inc.* | 1,084 | 721,326 | ||||||
Allscripts Healthcare Solutions, | 6,362 | 85,060 | ||||||
Amedisys, Inc.* | 949 | 141,496 | ||||||
AMN Healthcare Services, Inc.* | 1,667 | 191,288 | ||||||
Anthem, Inc.(a) | 3,175 | 1,183,640 | ||||||
Boston Scientific Corp.* | 10,271 | 445,659 | ||||||
Cerner Corp. | 9,449 | 666,344 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Change Healthcare, Inc.* | 2,389 | $ | 50,026 | |||||
Cigna Corp. | 1,589 | 318,054 | ||||||
Community Health Systems, Inc.* | 9,980 | 116,766 | ||||||
CONMED Corp. | 1,259 | 164,715 | ||||||
Cooper Cos., Inc. (The) | 648 | 267,825 | ||||||
CryoLife, Inc.* | 25 | 557 | ||||||
CVS Health Corp. | 2,509 | 212,914 | ||||||
Danaher Corp.(a) | 2,144 | 652,719 | ||||||
Dexcom, Inc.* | 199 | 108,825 | ||||||
Doximity, Inc., Class A* | 521 | 42,045 | ||||||
Edwards Lifesciences Corp.* | 1,096 | 124,078 | ||||||
Ensign Group, Inc. (The) | 1,334 | 99,903 | ||||||
Envista Holdings Corp.* | 11,814 | 493,943 | ||||||
Fulgent Genetics, Inc.* | 1,419 | 127,639 | ||||||
Globus Medical, Inc., Class A* | 848 | 64,974 | ||||||
HCA Healthcare, Inc. | 2,190 | 531,557 | ||||||
Henry Schein, Inc.* | 1,833 | 139,601 | ||||||
Heska Corp.* | 242 | 62,567 | ||||||
Hologic, Inc.(a)* | 8,088 | 596,975 | ||||||
IDEXX Laboratories, Inc.(a)* | 1,664 | 1,034,842 | ||||||
Inspire Medical Systems, Inc.* | 440 | 102,467 | ||||||
Integra LifeSciences Holdings Corp.* | 2,563 | 175,514 | ||||||
Intersect ENT, Inc.* | 82 | 2,230 | ||||||
Intuitive Surgical, Inc.(a)* | 534 | 530,876 | ||||||
Laboratory Corp. of America Holdings* | 3,666 | 1,031,759 | ||||||
LeMaitre Vascular, Inc. | 71 | 3,769 | ||||||
LivaNova PLC (United Kingdom)* | 3,613 | 286,114 | ||||||
McKesson Corp. | 2,527 | 503,833 | ||||||
MEDNAX, Inc.* | 8,008 | 227,667 | ||||||
Medtronic PLC (Ireland) | 9,368 | 1,174,279 | ||||||
Meridian Bioscience, Inc.* | 1,064 | 20,471 | ||||||
Merit Medical Systems, Inc.* | 1,951 | 140,082 | ||||||
National Research Corp. | 7 | 295 | ||||||
NextGen Healthcare, Inc.* | 1,132 | 15,961 | ||||||
Omnicell, Inc.* | 1,086 | 161,195 | ||||||
Owens & Minor, Inc. | 1,119 | 35,014 | ||||||
Quest Diagnostics, Inc. | 2,707 | 393,354 | ||||||
Select Medical Holdings Corp. | 4,650 | 168,191 | ||||||
STAAR Surgical Co.* | 3,106 | 399,214 | ||||||
Stryker Corp. | 2,047 | 539,835 | ||||||
Tenet Healthcare Corp.* | 1,051 | 69,828 | ||||||
Tivity Health, Inc.* | 7,296 | 168,246 |
The accompanying notes are an integral part of the financial statements.
65
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
UnitedHealth Group, Inc.(a) | 3,150 | $ | 1,230,831 | |||||
Veeva Systems, Inc., Class A* | 339 | 97,690 | ||||||
|
| |||||||
17,623,213 | ||||||||
|
| |||||||
Household & Personal Products — 1.2% |
| |||||||
Colgate-Palmolive Co.(a) | 14,859 | 1,123,043 | ||||||
Coty, Inc., Class A* | 15,972 | 125,540 | ||||||
Edgewell Personal Care Co. | 2,243 | 81,421 | ||||||
Estee Lauder Cos., Inc. (The), | 1,922 | 576,465 | ||||||
Kimberly-Clark Corp. | 1,855 | 245,676 | ||||||
Procter & Gamble Co. (The)(a) | 4,001 | 559,340 | ||||||
WD-40 Co. | 445 | 103,009 | ||||||
|
| |||||||
2,814,494 | ||||||||
|
| |||||||
Materials — 5.2% |
| |||||||
AdvanSix, Inc.* | 706 | 28,064 | ||||||
Agnico Eagle Mines Ltd. (Canada) | 6,385 | 331,062 | ||||||
Alamos Gold, Inc., Class A | 5,354 | 38,549 | ||||||
Amcor PLC (Jersey) | 6,648 | 77,050 | ||||||
Ashland Global Holdings, Inc. | 1,720 | 153,286 | ||||||
Avery Dennison Corp. | 1,609 | 333,401 | ||||||
Avient Corp. | 3,494 | 161,947 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 9,587 | 279,845 | ||||||
Ball Corp. | 251 | 22,583 | ||||||
Carpenter Technology Corp. | 3,525 | 115,409 | ||||||
Celanese Corp. | 952 | 143,409 | ||||||
Centerra Gold, Inc. (Canada) | 7 | 48 | ||||||
CF Industries Holdings, Inc. | 3,337 | 186,271 | ||||||
Chemours Co. (The) | 8,538 | 248,114 | ||||||
Commercial Metals Co. | 68 | 2,071 | ||||||
Compass Minerals International, Inc. | 418 | 26,919 | ||||||
Corteva, Inc. | 6,664 | 280,421 | ||||||
Domtar Corp.* | 2,740 | 149,440 | ||||||
Dow, Inc. | 7,853 | 452,019 | ||||||
DuPont de Nemours, Inc.(a) | 20,972 | 1,425,886 | ||||||
Eagle Materials, Inc. | 2,333 | 305,996 | ||||||
Eastman Chemical Co. | 494 | 49,766 | ||||||
Ecovyst, Inc. | 129 | 1,504 | ||||||
Ferro Corp.* | 7,457 | 151,675 | ||||||
Freeport-McMoRan, Inc.(a) | 11,758 | 382,488 | ||||||
GCP Applied Technologies, Inc.* | 127 | 2,784 | ||||||
Graphic Packaging Holding Co. | 6,022 | 114,659 | ||||||
Hecla Mining Co. | 26,770 | 147,235 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
IAMGOLD Corp. (Canada)* | 36,217 | $ | 81,850 | |||||
Ingevity Corp.* | 2,365 | 168,790 | ||||||
Innospec, Inc. | 831 | 69,987 | ||||||
International Paper Co. | 6,933 | 387,693 | ||||||
Kaiser Aluminum Corp. | 2 | 218 | ||||||
Kinross Gold Corp. (Canada) | 14,805 | 79,355 | ||||||
Kraton Corp.* | 1,495 | 68,232 | ||||||
Linde PLC (Ireland) | 2,855 | 837,600 | ||||||
Livent Corp.* | 7,135 | 164,890 | ||||||
Louisiana-Pacific Corp. | 2,901 | 178,034 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 3,579 | 335,889 | ||||||
Martin Marietta Materials, Inc. | 374 | 127,788 | ||||||
Minerals Technologies, Inc. | 592 | 41,345 | ||||||
Mosaic Co. (The) | 16,592 | 592,666 | ||||||
Newmont Corp. | 5,628 | 305,600 | ||||||
Nucor Corp. | 5,755 | 566,810 | ||||||
Nutrien Ltd. (Canada) | 2,407 | 156,046 | ||||||
O-I Glass, Inc.* | 12,307 | 175,621 | ||||||
Olin Corp. | 6,541 | 315,603 | ||||||
Pan American Silver Corp. | 44 | 1,024 | ||||||
PPG Industries, Inc. | 285 | 40,758 | ||||||
Pretium Resources, Inc. (Canada)* | 14,011 | 135,066 | ||||||
Reliance Steel & Aluminum Co. | 475 | 67,650 | ||||||
Royal Gold, Inc. | 363 | 34,663 | ||||||
Sealed Air Corp. | 2,379 | 130,345 | ||||||
Sensient Technologies Corp. | 378 | 34,428 | ||||||
Sherwin-Williams Co. (The)(a) | 1,518 | 424,630 | ||||||
Southern Copper Corp. | 1,539 | 86,400 | ||||||
Trinseo SA (Luxembourg) | 1,376 | 74,277 | ||||||
Vulcan Materials Co. | 38 | 6,428 | ||||||
Westlake Chemical Corp. | 1,810 | 164,963 | ||||||
Westrock Co. | 2,751 | 137,082 | ||||||
Wheaton Precious Metals Corp. (Canada) | 3,419 | 128,486 | ||||||
Worthington Industries, Inc. | 3,124 | 164,635 | ||||||
|
| |||||||
11,896,753 | ||||||||
|
| |||||||
Media & Entertainment — 6.7% |
| |||||||
Activision Blizzard, Inc. | 12,728 | 985,020 | ||||||
Alphabet, Inc., Class A(a)* | 1,238 | 3,309,818 | ||||||
Altice USA, Inc., Class A* | 895 | 18,544 | ||||||
Cars.com, Inc.* | 2,419 | 30,600 | ||||||
Charter Communications, Inc., | 1,217 | 885,441 | ||||||
Comcast Corp., Class A | 11,646 | 651,361 |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media & Entertainment — (Continued) |
| |||||||
Discovery, Inc., Class A* | 1,901 | $ | 48,247 | |||||
DISH Network Corp., Class A* | 15,566 | 676,498 | ||||||
Eventbrite, Inc., Class A* | 1,323 | 25,018 | ||||||
Facebook, Inc., Class A(a)* | 9,695 | 3,290,386 | ||||||
Fox Corp., Class A | 10,420 | 417,946 | ||||||
Gannett Co., Inc.* | 54 | 361 | ||||||
Gray Television, Inc. | 3,008 | 68,643 | ||||||
Interpublic Group of Cos., Inc. (The) | 12,087 | 443,230 | ||||||
Lions Gate Entertainment Corp., Class B (Canada)* | 2,114 | 27,482 | ||||||
Live Nation Entertainment, Inc.* | 435 | 39,642 | ||||||
Netflix, Inc.(a)* | 2,486 | 1,517,305 | ||||||
News Corp., Class A | 12,304 | 289,513 | ||||||
Omnicom Group, Inc. | 1,228 | 88,981 | ||||||
Scholastic Corp. | 40 | 1,426 | ||||||
Snap, Inc., Class A* | 4,053 | 299,395 | ||||||
TechTarget, Inc.* | 382 | 31,484 | ||||||
Twitter, Inc.(a)* | 18,890 | 1,140,767 | ||||||
ViacomCBS, Inc., Class B | 4,161 | 164,401 | ||||||
Walt Disney Co. (The)* | 2,331 | 394,335 | ||||||
World Wrestling Entertainment, Inc., Class A | 1,680 | 94,517 | ||||||
Yelp, Inc.* | 8,123 | 302,501 | ||||||
|
| |||||||
15,242,862 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.2% |
| |||||||
AbbVie, Inc.(a) | 5,984 | 645,494 | ||||||
AbCellera Biologics, Inc. (Canada)* | 5,000 | 100,200 | ||||||
Agilent Technologies, Inc. | 5,469 | 861,532 | ||||||
Atea Pharmaceuticals, Inc.* | 3,434 | 120,396 | ||||||
Biogen, Inc.* | 2,245 | 635,313 | ||||||
Bio-Rad Laboratories, Inc., | 135 | 100,703 | ||||||
Bio-Techne Corp. | 198 | 95,945 | ||||||
Bristol-Myers Squibb Co. | 13,758 | 814,061 | ||||||
Bruker Corp. | 1,204 | 94,032 | ||||||
Celldex Therapeutics, Inc.* | 2,101 | 113,433 | ||||||
Charles River Laboratories | 1,005 | 414,733 | ||||||
Cortexyme, Inc.* | 212 | 19,432 | ||||||
Dynavax Technologies Corp.* | 8,981 | 172,525 | ||||||
Eli Lilly and Co. | 5,004 | 1,156,174 | ||||||
Fulcrum Therapeutics, Inc.* | 150 | 4,232 | ||||||
Gilead Sciences, Inc. | 5,954 | 415,887 | ||||||
Illumina, Inc.* | 2,273 | 921,952 | ||||||
Innoviva, Inc.* | 3,062 | 51,166 | ||||||
IQVIA Holdings, Inc.* | 138 | 33,057 | ||||||
Ironwood Pharmaceuticals, Inc.* | 9,335 | 121,915 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Johnson & Johnson(a) | 12,143 | $ | 1,961,094 | |||||
Merck & Co., Inc.(a) | 19,415 | 1,458,261 | ||||||
Mettler-Toledo International, Inc.* | 14 | 19,283 | ||||||
Moderna, Inc.* | 1,345 | 517,637 | ||||||
Organon & Co. | 7,243 | 237,498 | ||||||
Pacira BioSciences, Inc.* | 2,239 | 125,384 | ||||||
PerkinElmer, Inc.(a) | 4,011 | 695,066 | ||||||
Pfizer, Inc.(a) | 63,360 | 2,725,114 | ||||||
Prestige Consumer Healthcare, | 1,029 | 57,737 | ||||||
Prothena Corp. PLC (Ireland)* | 2,336 | 166,393 | ||||||
Regeneron Pharmaceuticals, Inc.* | 301 | 182,159 | ||||||
Thermo Fisher Scientific, Inc.(a) | 149 | 85,128 | ||||||
United Therapeutics Corp.* | 609 | 112,409 | ||||||
Veracyte, Inc.* | 3,692 | 171,493 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,728 | 313,442 | ||||||
Waters Corp.* | 866 | 309,422 | ||||||
Zoetis, Inc. | 1,087 | 211,030 | ||||||
|
| |||||||
16,240,732 | ||||||||
|
| |||||||
Retailing — 6.8% |
| |||||||
Academy Sports & Outdoors, Inc.* | 1,005 | 40,220 | ||||||
Advance Auto Parts, Inc. | 2,334 | 487,549 | ||||||
Amazon.com, Inc.(a)* | 1,057 | 3,472,287 | ||||||
American Eagle Outfitters, Inc. | 2,093 | 53,999 | ||||||
Asbury Automotive Group, Inc.* | 1 | 197 | ||||||
AutoNation, Inc.* | 2,474 | 301,234 | ||||||
AutoZone, Inc.* | 108 | 183,383 | ||||||
Bath & Body Works, Inc.(a) | 12,137 | 764,995 | ||||||
Best Buy Co., Inc. | 289 | 30,550 | ||||||
Buckle, Inc. (The) | 3,495 | 138,367 | ||||||
Caleres, Inc. | 490 | 10,888 | ||||||
Camping World Holdings, Inc., | 3,008 | 116,921 | ||||||
Dick’s Sporting Goods, Inc. | 568 | 68,029 | ||||||
eBay, Inc.(a) | 29,953 | 2,086,826 | ||||||
Etsy, Inc.(a)* | 2,478 | 515,325 | ||||||
Foot Locker, Inc. | 3,275 | 149,537 | ||||||
Genuine Parts Co. | 1,671 | 202,575 | ||||||
Guess?, Inc. | 4,691 | 98,558 | ||||||
Home Depot, Inc. (The)(a) | 2,718 | 892,211 | ||||||
LKQ Corp.* | 14,018 | 705,386 | ||||||
Lowe’s Cos., Inc.(a) | 4,499 | 912,667 | ||||||
Macy’s, Inc. | 8,970 | 202,722 | ||||||
MarineMax, Inc.* | 3,020 | 146,530 | ||||||
National Vision Holdings, Inc.* | 442 | 25,092 |
The accompanying notes are an integral part of the financial statements.
67
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
O’Reilly Automotive, Inc.* | 514 | $ | 314,085 | |||||
Penske Automotive Group, Inc. | 1,001 | 100,701 | ||||||
Qurate Retail, Inc., Series A | 16,016 | 163,203 | ||||||
RH* | 2 | 1,334 | ||||||
Ross Stores, Inc. | 3,401 | 370,199 | ||||||
Shoe Carnival, Inc. | 1,379 | 44,707 | ||||||
Shutterstock, Inc. | 2,887 | 327,155 | ||||||
Signet Jewelers Ltd. (Bermuda) | 5,510 | 435,070 | ||||||
Sonic Automotive, Inc., Class A | 3,695 | 194,135 | ||||||
Target Corp.(a) | 5,114 | 1,169,930 | ||||||
Ulta Beauty, Inc.* | 1,398 | 504,566 | ||||||
Victoria’s Secret & Co.* | 556 | 30,725 | ||||||
Williams-Sonoma, Inc. | 58 | 10,285 | ||||||
Zumiez, Inc.* | 2,144 | 85,245 | ||||||
|
| |||||||
15,357,388 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.6% |
| |||||||
Advanced Micro Devices, Inc.* | 1,105 | 113,704 | ||||||
Amkor Technology, Inc. | 1,028 | 25,649 | ||||||
Analog Devices, Inc.(a) | 1,186 | 198,631 | ||||||
Applied Materials, Inc.(a) | 11,183 | 1,439,588 | ||||||
Axcelis Technologies, Inc.* | 2,005 | 94,295 | ||||||
Broadcom, Inc.(a) | 903 | 437,892 | ||||||
Brooks Automation, Inc. | 784 | 80,242 | ||||||
Cohu, Inc.* | 934 | 29,832 | ||||||
Enphase Energy, Inc.* | 2,454 | 368,026 | ||||||
First Solar, Inc.* | 1,472 | 140,517 | ||||||
Ichor Holdings Ltd. (Cayman Islands)* | 3,640 | 149,568 | ||||||
Intel Corp.(a) | 30,057 | 1,601,437 | ||||||
KLA Corp. | 470 | 157,220 | ||||||
Lam Research Corp. | 854 | 486,054 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 6,409 | 415,752 | ||||||
Microchip Technology, Inc. | 1 | 153 | ||||||
Micron Technology, Inc. | 13,916 | 987,758 | ||||||
MKS Instruments, Inc. | 1,580 | 238,438 | ||||||
Monolithic Power Systems, Inc. | 615 | 298,078 | ||||||
NVIDIA Corp. | 1,790 | 370,816 | ||||||
NXP Semiconductors NV | 5,208 | 1,020,091 | ||||||
ON Semiconductor Corp.* | 4,757 | 217,728 | ||||||
Onto Innovation, Inc.* | 1,076 | 77,741 | ||||||
Power Integrations, Inc. | 1,039 | 102,851 | ||||||
Qorvo, Inc.(a)* | 3,893 | 650,871 | ||||||
QUALCOMM, Inc.(a) | 9,736 | 1,255,749 | ||||||
Rambus, Inc.* | 4,667 | 103,607 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Semtech Corp.* | 519 | $ | 40,466 | |||||
Skyworks Solutions, Inc. | 4,033 | 664,558 | ||||||
SMART Global Holdings, Inc. | 62 | 2,759 | ||||||
Synaptics, Inc.(a)* | 1,384 | 248,746 | ||||||
Texas Instruments, Inc.(a) | 3,108 | 597,389 | ||||||
Ultra Clean Holdings, Inc.* | 15 | 639 | ||||||
Xilinx, Inc. | 1,328 | 200,515 | ||||||
|
| |||||||
12,817,360 | ||||||||
|
| |||||||
Software & Services — 13.0% |
| |||||||
Accenture PLC, Class A (Ireland) | 1,400 | 447,888 | ||||||
ACI Worldwide, Inc.* | 1,419 | 43,606 | ||||||
Adobe, Inc.* | 2,090 | 1,203,255 | ||||||
Agilysys, Inc.* | 111 | 5,812 | ||||||
ANSYS, Inc.* | 1,257 | 427,946 | ||||||
Automatic Data Processing, | 10,076 | 2,014,394 | ||||||
Box, Inc., Class A* | 14,212 | 336,398 | ||||||
Broadridge Financial Solutions, Inc. | 1,762 | 293,620 | ||||||
Cadence Design Systems, | 4,252 | 643,923 | ||||||
Cerence, Inc.* | 3,854 | 370,408 | ||||||
CGI, Inc. (Canada)* | 1,070 | 90,693 | ||||||
Cloudera, Inc.* | 15,469 | 247,040 | ||||||
CommVault Systems, Inc.* | 479 | 36,073 | ||||||
Cornerstone OnDemand, Inc.* | 4,384 | 251,028 | ||||||
CSG Systems International, Inc. | 578 | 27,860 | ||||||
Descartes Systems Group, Inc. | 11 | 894 | ||||||
DocuSign, Inc.* | 373 | 96,021 | ||||||
Dolby Laboratories, Inc., Class A | 2,986 | 262,768 | ||||||
Domo, Inc., Class B* | 431 | 36,394 | ||||||
Dropbox, Inc., Class A* | 9,870 | 288,401 | ||||||
DXC Technology Co.* | 11,143 | 374,516 | ||||||
Elastic NV (Netherlands)* | 325 | 48,422 | ||||||
Fair Isaac Corp.* | 743 | 295,662 | ||||||
Fiserv, Inc.(a)* | 9,892 | 1,073,282 | ||||||
Fortinet, Inc.(a)* | 3,715 | 1,084,929 | ||||||
Gartner, Inc.* | 2,218 | 674,006 | ||||||
HubSpot, Inc.* | 425 | 287,338 | ||||||
International Business Machines Corp.(a) | 3,294 | 457,635 | ||||||
Intuit, Inc.(a) | 2,070 | 1,116,786 | ||||||
Lightspeed Commerce, Inc. (Canada)* | 3,033 | 292,472 | ||||||
Manhattan Associates, Inc.* | 735 | 112,477 | ||||||
Maximus, Inc. | 984 | 81,869 |
The accompanying notes are an integral part of the financial statements.
68
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Microsoft Corp.(a) | 13,293 | $ | 3,747,563 | |||||
MongoDB, Inc.* | 1,269 | 598,346 | ||||||
NCR Corp.* | 2,344 | 90,853 | ||||||
NortonLifeLock, Inc.(a) | 19,343 | 489,378 | ||||||
Nutanix, Inc., Class A* | 7,994 | 301,374 | ||||||
Open Text Corp. (Canada) | 4,625 | 225,423 | ||||||
Oracle Corp.(a) | 27,179 | 2,368,106 | ||||||
Palantir Technologies, Inc., | 1,402 | 33,704 | ||||||
Palo Alto Networks, Inc.* | 269 | 128,851 | ||||||
Paychex, Inc.(a) | 8,395 | 944,018 | ||||||
PayPal Holdings, Inc.(a)* | 3,666 | 953,930 | ||||||
Progress Software Corp. | 407 | 20,020 | ||||||
PTC, Inc.* | 2,587 | 309,897 | ||||||
ServiceNow, Inc.(a)* | 3,282 | 2,042,290 | ||||||
Sprout Social, Inc., Class A* | 2,810 | 342,679 | ||||||
SPS Commerce, Inc.* | 881 | 142,114 | ||||||
Square, Inc., Class A(a)* | 1,702 | 408,208 | ||||||
SS&C Technologies Holdings, Inc. | 2,741 | 190,225 | ||||||
Synopsys, Inc.(a)* | 2,291 | 685,948 | ||||||
Teradata Corp.* | 5,788 | 331,942 | ||||||
TTEC Holdings, Inc. | 156 | 14,591 | ||||||
Verint Systems, Inc.* | 8,295 | 371,533 | ||||||
VeriSign, Inc.* | 1,528 | 313,255 | ||||||
Visa, Inc., Class A(a) | 3,539 | 788,312 | ||||||
Western Union Co. (The) | 18,026 | 364,486 | ||||||
Workiva, Inc.* | 1,647 | 232,161 | ||||||
Xperi Holding Corp. | 322 | 6,066 | ||||||
|
| |||||||
29,469,089 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 5.7% |
| |||||||
3D Systems Corp.* | 19,046 | 525,098 | ||||||
Apple, Inc.(a) | 17,838 | 2,524,077 | ||||||
Arista Networks, Inc.* | 234 | 80,412 | ||||||
Arrow Electronics, Inc.* | 771 | 86,576 | ||||||
Belden, Inc. | 920 | 53,599 | ||||||
Benchmark Electronics, Inc. | 1,336 | 35,684 | ||||||
CDW Corp. | 1,278 | 232,621 | ||||||
Cisco Systems, Inc.(a) | 21,591 | 1,175,198 | ||||||
Cognex Corp. | 198 | 15,884 | ||||||
Coherent, Inc.* | 1,936 | 484,174 | ||||||
Corning, Inc. | 16,995 | 620,147 | ||||||
CTS Corp. | 147 | 4,544 | ||||||
Diebold Nixdorf, Inc.* | 22,661 | 229,103 | ||||||
EchoStar Corp., Class A* | 7,833 | 199,820 | ||||||
Extreme Networks, Inc.* | 12,761 | 125,696 | ||||||
F5 Networks, Inc.* | 254 | 50,490 | ||||||
Hewlett Packard Enterprise Co. | 35,631 | 507,742 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
HP, Inc.(a) | 30,868 | $ | 844,548 | |||||
Keysight Technologies, Inc.* | 1,530 | 251,364 | ||||||
Knowles Corp.* | 2,525 | 47,318 | ||||||
NetApp, Inc. | 7,179 | 644,387 | ||||||
NETGEAR, Inc.* | 1,144 | 36,505 | ||||||
OSI Systems, Inc.* | 531 | 50,339 | ||||||
Plantronics, Inc.* | 4,125 | 106,054 | ||||||
Sanmina Corp.* | 3,992 | 153,852 | ||||||
Seagate Technology Holdings PLC (Ireland) | 6,682 | 551,399 | ||||||
SYNNEX Corp. | 2,998 | 312,092 | ||||||
TE Connectivity Ltd. (Switzerland) | 4,693 | 643,973 | ||||||
Trimble, Inc.* | 2,762 | 227,174 | ||||||
TTM Technologies, Inc.* | 11,852 | 148,980 | ||||||
Ubiquiti, Inc. | 895 | 267,310 | ||||||
Vishay Intertechnology, Inc. | 6,963 | 139,887 | ||||||
Vontier Corp. | 10,459 | 351,422 | ||||||
Western Digital Corp.* | 7,167 | 404,505 | ||||||
Xerox Holdings Corp. | 10,127 | 204,262 | ||||||
Zebra Technologies Corp., | 1,280 | 659,738 | ||||||
|
| |||||||
12,995,974 | ||||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
AT&T, Inc.(a) | 32,935 | 889,574 | ||||||
Gogo, Inc.* | 10,550 | 182,515 | ||||||
IDT Corp., Class B* | 28 | 1,174 | ||||||
Iridium Communications, Inc.* | 2,067 | 82,370 | ||||||
Lumen Technologies, Inc. | 9,458 | 117,185 | ||||||
Rogers Communications, Inc., Class B (Canada) | 9 | 420 | ||||||
T-Mobile US, Inc.* | 6,046 | 772,437 | ||||||
Verizon Communications, | 16,594 | 896,242 | ||||||
|
| |||||||
2,941,917 | ||||||||
|
| |||||||
Transportation — 2.1% |
| |||||||
Alaska Air Group, Inc.* | 1,335 | 78,231 | ||||||
ArcBest Corp. | 4,533 | 370,663 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 1,109 | 90,583 | ||||||
Canadian Pacific Railway Ltd. (Canada) | 1,327 | 86,348 | ||||||
CSX Corp.(a) | 35,137 | 1,044,974 | ||||||
Echo Global Logistics, Inc.* | 1 | 48 | ||||||
Expeditors International of Washington, Inc. | 2,565 | 305,568 | ||||||
FedEx Corp.(a) | 242 | 53,068 | ||||||
Hub Group, Inc., Class A* | 954 | 65,588 | ||||||
Kirby Corp.* | 553 | 26,522 |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Matson, Inc. | 408 | $ | 32,930 | |||||
Norfolk Southern Corp.(a) | 818 | 195,707 | ||||||
Old Dominion Freight Line, Inc. | 1,164 | 332,881 | ||||||
Schneider National, Inc., Class B | 8,004 | 182,011 | ||||||
Southwest Airlines Co.* | 345 | 17,743 | ||||||
Union Pacific Corp. | 2,826 | 553,924 | ||||||
United Airlines Holdings, Inc.* | 4,887 | 232,475 | ||||||
United Parcel Service, Inc., Class B(a) | 5,105 | 929,620 | ||||||
XPO Logistics, Inc.* | 3,144 | 250,200 | ||||||
|
| |||||||
4,849,084 | ||||||||
|
| |||||||
Utilities — 2.1% |
| |||||||
AES Corp. (The) | 14,318 | 326,880 | ||||||
American Water Works Co., Inc. | 678 | 114,609 | ||||||
Dominion Energy, Inc.(a) | 8,002 | 584,306 | ||||||
Exelon Corp.(a) | 23,482 | 1,135,120 | ||||||
Fortis, Inc. (Canada) | 190 | 8,423 | ||||||
MDU Resources Group, Inc. | 1,945 | 57,708 | ||||||
NRG Energy, Inc. | 18,980 | 774,953 | ||||||
PPL Corp. | 34,075 | 950,011 | ||||||
Public Service Enterprise Group, Inc. | 14,450 | 880,005 | ||||||
Southern Co. (The) | 493 | 30,551 | ||||||
TransAlta Corp. (Canada) | 46 | 486 | ||||||
|
| |||||||
4,863,052 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 216,946,171 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% | 10,372,420 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 227,318,591 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
70
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 27, 2024 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 3.6% of net assets as of September 30, 2021.
The following table represents the individual long and short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Long | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
Adient PLC (Ireland) | Morgan Stanley | 5,747 | $ | 101,199 | $ | 238,213 | $ | 135,759 | |||||||||||||||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 19,184 | 149,368 | 169,011 | 19,663 | ||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | 1,799 | 253,948 | 267,997 | 14,340 | ||||||||||||||||||||
Ford Motor Co. | Morgan Stanley | 79,100 | 729,735 | 1,120,056 | 390,639 | ||||||||||||||||||||
General Motors Co. | Morgan Stanley | 27,659 | 1,318,215 | 1,457,906 | 140,102 | ||||||||||||||||||||
Gentex Corp. | Morgan Stanley | 5,960 | 201,884 | 196,561 | (4,724 | ) | |||||||||||||||||||
Gentherm, Inc. | Morgan Stanley | 1,012 | 55,517 | 81,901 | 26,424 | ||||||||||||||||||||
Lear Corp. | Morgan Stanley | 286 | 43,929 | 44,753 | 859 | ||||||||||||||||||||
Magna International, Inc. (Canada) | Morgan Stanley | 5,297 | 434,338 | 398,546 | (34,363 | ) | |||||||||||||||||||
Tenneco, Inc., Class A | Morgan Stanley | 3,371 | 43,948 | 48,104 | 4,191 | ||||||||||||||||||||
Thor Industries, Inc. | Morgan Stanley | 98 | 12,171 | 12,030 | (238 | ) | |||||||||||||||||||
Visteon Corp. | Morgan Stanley | 2,138 | 208,332 | 201,806 | (6,423 | ) | |||||||||||||||||||
Winnebago Industries, Inc. | Morgan Stanley | 2,057 | 126,656 | 149,030 | 23,023 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
153,708 | 3,679,240 | 4,385,914 | 709,252 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
3M Co. | Morgan Stanley | 4,564 | 767,772 | 800,617 | 57,887 | ||||||||||||||||||||
A O Smith Corp. | Morgan Stanley | 3,903 | 231,710 | 238,356 | 9,082 | ||||||||||||||||||||
AAR Corp. | Morgan Stanley | 2,238 | 69,289 | 72,578 | 3,150 | ||||||||||||||||||||
Acuity Brands, Inc. | Morgan Stanley | 1 | 167 | 173 | 52 | ||||||||||||||||||||
AECOM | Morgan Stanley | 3,530 | 174,132 | 222,920 | 48,877 | ||||||||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | Morgan Stanley | 932 | 39,060 | 40,589 | 1,613 | ||||||||||||||||||||
AeroVironment, Inc. | Morgan Stanley | 377 | 36,043 | 32,543 | (3,777 | ) | |||||||||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | 554 | 75,910 | 73,228 | (2,406 | ) | |||||||||||||||||||
Altra Industrial Motion Corp. | Morgan Stanley | 128 | 6,667 | 7,085 | 643 | ||||||||||||||||||||
AMETEK, Inc. | Morgan Stanley | 400 | 45,601 | 49,604 | 5,442 | ||||||||||||||||||||
Apogee Enterprises, Inc. | Morgan Stanley | 1,118 | 25,394 | 42,216 | 17,706 | ||||||||||||||||||||
Applied Industrial Technologies, Inc. | Morgan Stanley | 96 | 4,674 | 8,652 | 5,026 | ||||||||||||||||||||
Armstrong World Industries, Inc. | Morgan Stanley | 285 | 28,470 | 27,209 | (1,232 | ) | |||||||||||||||||||
Atkore, Inc. | Morgan Stanley | 4,619 | 225,250 | 401,483 | 181,665 | ||||||||||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 2,478 | 135,546 | 118,349 | (17,401 | ) | |||||||||||||||||||
Boise Cascade Co. | Morgan Stanley | 6,233 | 351,725 | 336,457 | (7,163 | ) | |||||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 6,087 | 336,305 | 315,063 | (21,086 | ) | |||||||||||||||||||
Caterpillar, Inc. | Morgan Stanley | 1,254 | 258,657 | 240,730 | (16,547 | ) | |||||||||||||||||||
Colfax Corp. | Morgan Stanley | 619 | 28,663 | 28,412 | (234 | ) | |||||||||||||||||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 559 | 43,505 | 39,868 | (3,655 | ) |
The accompanying notes are an integral part of the financial statements.
71
GOTHAM ENHANCED RETURN FUNDS
Portfolio Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Crane Co. | Morgan Stanley | 1,187 | $ | 113,716 | $ | 112,539 | $ | (818 | ) | ||||||||||||||||
Cummins, Inc. | Morgan Stanley | 2,538 | 566,864 | 569,933 | 14,024 | ||||||||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | 467 | 51,328 | 58,926 | 9,794 | ||||||||||||||||||||
Deere & Co. | Morgan Stanley | 1,142 | 174,135 | 382,650 | 214,300 | ||||||||||||||||||||
Donaldson Co., Inc. | Morgan Stanley | 365 | 19,896 | 20,955 | 1,536 | ||||||||||||||||||||
Dover Corp. | Morgan Stanley | 742 | 77,914 | 115,381 | 39,475 | ||||||||||||||||||||
Dycom Industries, Inc. | Morgan Stanley | 719 | 39,248 | 51,222 | 12,950 | ||||||||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 2,260 | 365,055 | 337,441 | (27,016 | ) | |||||||||||||||||||
EMCOR Group, Inc. | Morgan Stanley | 166 | 15,013 | 19,153 | 4,300 | ||||||||||||||||||||
Emerson Electric Co. | Morgan Stanley | 9,758 | 910,192 | 919,204 | 16,152 | ||||||||||||||||||||
Enerpac Tool Group Corp. | Morgan Stanley | 153 | 3,554 | 3,172 | (358 | ) | |||||||||||||||||||
ESCO Technologies, Inc. | Morgan Stanley | 355 | 30,536 | 27,335 | (3,143 | ) | |||||||||||||||||||
Fortive Corp. | Morgan Stanley | 918 | 56,760 | 64,783 | 8,375 | ||||||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | 117 | 34,410 | 47,814 | 13,436 | ||||||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 2,643 | 455,070 | 518,107 | 66,441 | ||||||||||||||||||||
General Electric Co. | Morgan Stanley | 5,809 | 603,844 | 598,501 | (4,602 | ) | |||||||||||||||||||
Gibraltar Industries, Inc. | Morgan Stanley | 1 | 58 | 70 | 29 | ||||||||||||||||||||
Global Industrial Co. | Morgan Stanley | 1,373 | 30,408 | 52,023 | 21,960 | ||||||||||||||||||||
Graco, Inc. | Morgan Stanley | 74 | 5,370 | 5,178 | (173 | ) | |||||||||||||||||||
Granite Construction, Inc. | Morgan Stanley | 2,467 | 94,972 | 97,570 | 3,547 | ||||||||||||||||||||
HEICO Corp. | Morgan Stanley | 968 | 121,818 | 127,650 | 6,265 | ||||||||||||||||||||
Herc Holdings, Inc. | Morgan Stanley | 567 | 36,876 | 92,682 | 55,838 | ||||||||||||||||||||
Hillenbrand, Inc. | Morgan Stanley | 3,555 | 163,374 | 151,621 | (10,558 | ) | |||||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | 312 | 65,775 | 66,231 | 3,266 | ||||||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 11,714 | 168,481 | 365,477 | 206,473 | ||||||||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 685 | 121,250 | 132,246 | 12,531 | ||||||||||||||||||||
Ingersoll Rand, Inc. | Morgan Stanley | 5,334 | 258,477 | 268,887 | 10,851 | ||||||||||||||||||||
John Bean Technologies Corp. | Morgan Stanley | 435 | 38,957 | 61,139 | 22,446 | ||||||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 7,759 | 441,292 | 528,233 | 92,744 | ||||||||||||||||||||
Kaman Corp. | Morgan Stanley | 170 | 6,154 | 6,064 | (51 | ) | |||||||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 431 | 98,143 | 94,923 | (3,280 | ) | |||||||||||||||||||
Lennox International, Inc. | Morgan Stanley | 1,229 | 398,631 | 361,535 | (35,569 | ) | |||||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 2,503 | 887,135 | 863,785 | (6,780 | ) | |||||||||||||||||||
Middleby Corp. (The) | Morgan Stanley | 305 | 46,783 | 52,006 | 5,259 | ||||||||||||||||||||
Mueller Industries, Inc. | Morgan Stanley | 4 | 117 | 164 | 213 | ||||||||||||||||||||
MYR Group, Inc. | Morgan Stanley | 277 | 23,514 | 27,562 | 4,075 | ||||||||||||||||||||
Nordson Corp. | Morgan Stanley | 774 | 172,367 | 184,328 | 12,395 | ||||||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 1,212 | 393,297 | 436,502 | 50,547 | ||||||||||||||||||||
NOW, Inc. | Morgan Stanley | 8,036 | 47,175 | 61,475 | 14,299 | ||||||||||||||||||||
nVent Electric PLC (Ireland) | Morgan Stanley | 1 | 18 | 32 | 32 | ||||||||||||||||||||
Oshkosh Corp. | Morgan Stanley | 2,549 | 304,265 | 260,941 | (42,946 | ) | |||||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 1,429 | 125,459 | 117,578 | (7,664 | ) | |||||||||||||||||||
Owens Corning | Morgan Stanley | 6,023 | 540,015 | 514,967 | (23,264 | ) | |||||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 1,245 | 298,495 | 348,127 | 53,904 | ||||||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 5,951 | 286,502 | 432,221 | 151,909 | ||||||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | 70 | 8,116 | 7,967 | (70 | ) | |||||||||||||||||||
Regal Rexnord Corp. | Morgan Stanley | 532 | 76,996 | 79,981 | 3,204 | ||||||||||||||||||||
Resideo Technologies, Inc. | Morgan Stanley | 1,344 | 36,507 | 33,318 | (3,157 | ) | |||||||||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | 325 | 98,040 | 95,563 | (2,419 | ) |
The accompanying notes are an integral part of the financial statements.
72
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Sensata Technologies Holding PLC (United Kingdom) | Morgan Stanley | 2,858 | $ | 161,789 | $ | 156,390 | $ | (5,315 | ) | ||||||||||||||||
Simpson Manufacturing Co., Inc. | Morgan Stanley | 497 | 30,863 | 53,164 | 22,916 | ||||||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 1,797 | 311,430 | 375,483 | 74,460 | ||||||||||||||||||||
SPX FLOW, Inc. | Morgan Stanley | 2,916 | 106,781 | 213,160 | 108,608 | ||||||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 2,839 | 509,049 | 497,705 | (5,859 | ) | |||||||||||||||||||
Tecnoglass, Inc. (Cayman Islands) | Morgan Stanley | 800 | 17,813 | 17,384 | (383 | ) | |||||||||||||||||||
Terex Corp. | Morgan Stanley | 4,623 | 165,220 | 194,628 | 30,972 | ||||||||||||||||||||
Textron, Inc. | Morgan Stanley | 3,388 | 229,377 | 236,516 | 7,362 | ||||||||||||||||||||
Toro Co. (The) | Morgan Stanley | 634 | 58,007 | 61,758 | 4,332 | ||||||||||||||||||||
TPI Composites, Inc. | Morgan Stanley | 2,544 | 103,982 | 85,860 | (18,062 | ) | |||||||||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 1,467 | 181,425 | 253,278 | 75,895 | ||||||||||||||||||||
Triumph Group, Inc. | Morgan Stanley | 1,534 | 28,565 | 28,578 | 39 | ||||||||||||||||||||
United Rentals, Inc. | Morgan Stanley | 3 | 678 | 1,053 | 392 | ||||||||||||||||||||
Watsco, Inc. | Morgan Stanley | 120 | 26,754 | 31,754 | 5,873 | ||||||||||||||||||||
Watts Water Technologies, Inc., Class A | Morgan Stanley | 194 | 23,519 | 32,609 | 9,711 | ||||||||||||||||||||
WESCO International, Inc. | Morgan Stanley | 1,883 | 216,987 | 217,148 | 267 | ||||||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 776 | 330,954 | 305,015 | (25,583 | ) | |||||||||||||||||||
Xylem, Inc. | Morgan Stanley | 461 | 51,676 | 57,016 | 5,609 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
168,302 | 14,351,781 | 15,689,793 | 1,509,578 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ABM Industries, Inc. | Morgan Stanley | 2,974 | 109,552 | 133,860 | 27,148 | ||||||||||||||||||||
Brady Corp., Class A | Morgan Stanley | 996 | 53,123 | 50,497 | (2,548 | ) | |||||||||||||||||||
Brink’s Co. (The) | Morgan Stanley | 890 | 66,005 | 56,337 | (9,448 | ) | |||||||||||||||||||
CACI International, Inc., Class A | Morgan Stanley | 92 | 19,659 | 24,113 | 5,169 | ||||||||||||||||||||
CBIZ, Inc. | Morgan Stanley | 203 | 6,709 | 6,565 | (124 | ) | |||||||||||||||||||
Cimpress PLC (Ireland) | Morgan Stanley | 597 | 27,614 | 51,838 | 26,172 | ||||||||||||||||||||
Cintas Corp. | Morgan Stanley | 241 | 80,488 | 91,739 | 12,584 | ||||||||||||||||||||
Clean Harbors, Inc. | Morgan Stanley | 1,647 | 144,340 | 171,074 | 28,411 | ||||||||||||||||||||
Copart, Inc. | Morgan Stanley | 1,381 | 180,228 | 191,572 | 11,346 | ||||||||||||||||||||
CoreCivic, Inc. | Morgan Stanley | 3,842 | 37,325 | 34,194 | (3,098 | ) | |||||||||||||||||||
Equifax, Inc. | Morgan Stanley | 244 | 61,983 | 61,834 | (27 | ) | |||||||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 4,104 | 93,199 | 102,559 | 14,268 | ||||||||||||||||||||
HNI Corp. | Morgan Stanley | 934 | 40,318 | 34,296 | (5,728 | ) | |||||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 149 | 17,529 | 17,376 | (129 | ) | |||||||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 2,092 | 260,508 | 277,253 | 17,408 | ||||||||||||||||||||
Korn Ferry | Morgan Stanley | 734 | 53,942 | 53,112 | (737 | ) | |||||||||||||||||||
MSA Safety, Inc. | Morgan Stanley | 66 | 9,638 | 9,616 | (1 | ) | |||||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 34,977 | 796,711 | 671,209 | (120,717 | ) | |||||||||||||||||||
Republic Services, Inc. | Morgan Stanley | 3,537 | 283,309 | 424,652 | 150,283 | ||||||||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 1,961 | 172,855 | 196,747 | 25,587 | ||||||||||||||||||||
Rollins, Inc. | Morgan Stanley | 750 | 27,164 | 26,498 | (275 | ) | |||||||||||||||||||
Science Applications International Corp. | Morgan Stanley | 1,006 | 86,027 | 86,073 | 143 | ||||||||||||||||||||
Steelcase, Inc., Class A | Morgan Stanley | 335 | 3,668 | 4,248 | 927 | ||||||||||||||||||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 1,524 | 127,253 | 168,372 | 42,783 | ||||||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 93 | 14,214 | 13,890 | (300 | ) | |||||||||||||||||||
|
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| ||||||||||||||||||
65,369 | 2,773,361 | 2,959,524 | 219,097 | ||||||||||||||||||||||
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| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 700 | 36,286 | 32,690 | (3,485 | ) |
The accompanying notes are an integral part of the financial statements.
73
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Consumer Durables & Apparel — (continued) | |||||||||||||||||||||||||
BRP,Inc.(Canada) | Morgan Stanley | 319 | $ | 25,166 | $ | 29,565 | $ | 4,480 | |||||||||||||||||
Brunswick Corp. | Morgan Stanley | 3,287 | 254,266 | 313,153 | 61,064 | ||||||||||||||||||||
Capri Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 869 | 14,537 | 42,068 | 27,555 | ||||||||||||||||||||
Cavco Industries, Inc. | Morgan Stanley | 248 | 45,085 | 58,712 | 13,723 | ||||||||||||||||||||
Columbia Sportswear Co. | Morgan Stanley | 17 | 1,679 | 1,629 | (32 | ) | |||||||||||||||||||
Deckers Outdoor Corp. | Morgan Stanley | 95 | 24,153 | 34,219 | 10,093 | ||||||||||||||||||||
DR Horton, Inc. | Morgan Stanley | 4,948 | 188,441 | 415,484 | 232,596 | ||||||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 713 | 81,324 | 110,843 | 31,096 | ||||||||||||||||||||
GoPro, Inc., Class A | Morgan Stanley | 14,508 | 154,365 | 135,795 | (18,505 | ) | |||||||||||||||||||
Hasbro, Inc. | Morgan Stanley | 3,616 | 354,255 | 322,620 | (30,591 | ) | |||||||||||||||||||
Johnson Outdoors, Inc., Class A | Morgan Stanley | 39 | 4,459 | 4,126 | (314 | ) | |||||||||||||||||||
Kontoor Brands, Inc. | Morgan Stanley | 1,796 | 35,248 | 89,710 | 61,108 | ||||||||||||||||||||
La-Z-Boy, Inc. | Morgan Stanley | 793 | 23,293 | 25,558 | 2,981 | ||||||||||||||||||||
Mattel, Inc. | Morgan Stanley | 8,910 | 159,279 | 165,370 | 6,173 | ||||||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 2,391 | 268,288 | 424,163 | 156,003 | ||||||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 3,987 | 87,670 | 88,272 | 3,489 | ||||||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 4,262 | 511,720 | 618,970 | 112,253 | ||||||||||||||||||||
Polaris, Inc. | Morgan Stanley | 134 | 12,343 | 16,034 | 6,968 | ||||||||||||||||||||
PulteGroup, Inc. | Morgan Stanley | 2,885 | 118,249 | 132,479 | 15,639 | ||||||||||||||||||||
PVH Corp. | Morgan Stanley | 1,577 | 94,868 | 162,100 | 67,333 | ||||||||||||||||||||
Ralph Lauren Corp. | Morgan Stanley | 408 | 46,245 | 45,304 | (643 | ) | |||||||||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | 172 | 7,685 | 7,245 | (419 | ) | |||||||||||||||||||
Skyline Champion Corp. | Morgan Stanley | 3,465 | 164,462 | 208,108 | 46,298 | ||||||||||||||||||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 13,062 | 266,904 | 271,167 | 6,078 | ||||||||||||||||||||
Sonos, Inc. | Morgan Stanley | 4,256 | 149,327 | 137,724 | (11,524 | ) | |||||||||||||||||||
Steven Madden Ltd. | Morgan Stanley | 1,204 | 24,315 | 48,353 | 27,511 | ||||||||||||||||||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 1,819 | 119,595 | 134,206 | 19,528 | ||||||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 4,316 | 176,330 | 159,778 | (15,503 | ) | |||||||||||||||||||
Tempur Sealy International, Inc. | Morgan Stanley | 3,135 | 134,678 | 145,495 | 12,320 | ||||||||||||||||||||
Tupperware Brands Corp. | Morgan Stanley | 2,802 | 39,813 | 59,178 | 19,822 | ||||||||||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | 6,274 | 121,454 | 109,920 | (11,466 | ) | |||||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 1,218 | 242,801 | 248,301 | 8,063 | ||||||||||||||||||||
YETI Holdings, Inc. | Morgan Stanley | 1,163 | 64,171 | 99,657 | 35,530 | ||||||||||||||||||||
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| ||||||||||||||||||
99,388 | 4,052,754 | 4,897,996 | 895,222 | ||||||||||||||||||||||
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| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 3,794 | 110,517 | 143,451 | 32,986 | ||||||||||||||||||||
Airbnb, Inc., Class A | Morgan Stanley | 234 | 33,517 | 39,254 | 15,201 | ||||||||||||||||||||
Bloomin’ Brands, Inc. | Morgan Stanley | 10,689 | 95,770 | 267,225 | 177,633 | ||||||||||||||||||||
Booking Holdings, Inc. | Morgan Stanley | 123 | 265,863 | 291,986 | 27,836 | ||||||||||||||||||||
Boyd Gaming Corp. | Morgan Stanley | 710 | 21,041 | 44,915 | 39,428 | ||||||||||||||||||||
Brinker International, Inc. | Morgan Stanley | 2,321 | 133,679 | 113,845 | (20,120 | ) | |||||||||||||||||||
Choice Hotels International, Inc. | Morgan Stanley | 1,065 | 125,443 | 134,584 | 9,850 | ||||||||||||||||||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | 319 | 45,849 | 44,609 | (1,203 | ) | |||||||||||||||||||
Dine Brands Global, Inc. | Morgan Stanley | 3,196 | 109,732 | 259,547 | 151,289 | ||||||||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | 142 | 69,440 | 67,728 | (1,666 | ) | |||||||||||||||||||
Expedia Group, Inc. | Morgan Stanley | 76 | 9,352 | 12,456 | 3,126 | ||||||||||||||||||||
Golden Entertainment, Inc. | Morgan Stanley | 749 | 32,906 | 36,768 | 3,924 | ||||||||||||||||||||
Graham Holdings Co., Class B | Morgan Stanley | 114 | 67,471 | 67,164 | 49 | ||||||||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | 581 | 52,907 | 51,105 | (1,787 | ) |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Consumer Services — (continued) | |||||||||||||||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | 511 | $ | 61,620 | $ | 67,508 | $ | 6,051 | |||||||||||||||||
Houghton Mifflin Harcourt Co. | Morgan Stanley | 2,477 | 33,504 | 33,266 | (207 | ) | |||||||||||||||||||
Jack in the Box, Inc. | Morgan Stanley | 657 | 58,125 | 63,946 | 7,314 | ||||||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 3,496 | 471,388 | 517,723 | 47,993 | ||||||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 2,406 | 549,858 | 580,111 | 37,619 | ||||||||||||||||||||
Penn National Gaming, Inc. | Morgan Stanley | 5,934 | 444,079 | 429,978 | (13,901 | ) | |||||||||||||||||||
Perdoceo Education Corp. | Morgan Stanley | 9,117 | 124,962 | 96,276 | (28,648 | ) | |||||||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 459 | 14,874 | 23,510 | 8,659 | ||||||||||||||||||||
Service Corp. International | Morgan Stanley | 2,484 | 118,855 | 149,686 | 33,170 | ||||||||||||||||||||
Starbucks Corp. | Morgan Stanley | 1,753 | 210,285 | 193,373 | (17,004 | ) | |||||||||||||||||||
Vail Resorts, Inc. | Morgan Stanley | 230 | 71,358 | 76,832 | 5,577 | ||||||||||||||||||||
Wendy’s Co. (The) | Morgan Stanley | 7,276 | 167,253 | 157,744 | (8,872 | ) | |||||||||||||||||||
WW International, Inc. | Morgan Stanley | 1,404 | 42,942 | 25,623 | (17,284 | ) | |||||||||||||||||||
Wyndham Hotels & Resorts, Inc. | Morgan Stanley | 3,833 | 271,057 | 295,869 | 26,563 | ||||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 4,063 | 448,659 | 496,946 | 54,838 | ||||||||||||||||||||
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| ||||||||||||||||||
70,213 | 4,262,306 | 4,783,028 | 578,414 | ||||||||||||||||||||||
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| ||||||||||||||||||
Diversified Financials | |||||||||||||||||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 436 | 67,022 | 65,875 | (1,094 | ) | |||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 4,903 | 1,086,866 | 1,338,225 | 251,825 | ||||||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 799 | 451,966 | 670,089 | 259,668 | ||||||||||||||||||||
CME Group, Inc. | Morgan Stanley | 1,246 | 237,225 | 240,951 | 4,919 | ||||||||||||||||||||
Federated Hermes, Inc. | Morgan Stanley | 2,348 | 56,264 | 76,310 | 23,892 | ||||||||||||||||||||
Franklin Resources, Inc. | Morgan Stanley | 6,416 | 196,127 | 190,684 | (3,405 | ) | |||||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 11,646 | 296,561 | 280,785 | (12,333 | ) | |||||||||||||||||||
Moody’s Corp. | Morgan Stanley | 1,463 | 536,434 | 519,526 | (15,777 | ) | |||||||||||||||||||
MSCI, Inc. | Morgan Stanley | 167 | 106,928 | 101,593 | (5,274 | ) | |||||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 3,207 | 414,513 | 619,015 | 210,782 | ||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 791 | 337,065 | 336,088 | (250 | ) | |||||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 4,124 | 693,717 | 811,191 | 140,113 | ||||||||||||||||||||
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| ||||||||||||||||||
37,546 | 4,480,688 | 5,250,332 | 853,066 | ||||||||||||||||||||||
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| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
Antero Resources Corp. | Morgan Stanley | 3,671 | 32,743 | 69,052 | 36,339 | ||||||||||||||||||||
APA Corp. | Morgan Stanley | 14,031 | 136,741 | 300,684 | 164,245 | ||||||||||||||||||||
Baker Hughes Co. | Morgan Stanley | 14,831 | 314,162 | 366,771 | 55,243 | ||||||||||||||||||||
Cactus, Inc., Class A | Morgan Stanley | 155 | 2,796 | 5,847 | 3,127 | ||||||||||||||||||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 9,402 | 166,719 | 343,549 | 194,600 | ||||||||||||||||||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 3,706 | 19,767 | 24,830 | 5,892 | ||||||||||||||||||||
ChampionX Corp. | Morgan Stanley | 10,311 | 233,516 | 230,554 | (2,849 | ) | |||||||||||||||||||
Chevron Corp. | Morgan Stanley | 135 | 9,118 | 13,696 | 4,960 | ||||||||||||||||||||
Cimarex Energy Co. | Morgan Stanley | 2,111 | 138,046 | 184,079 | 48,571 | ||||||||||||||||||||
CNX Resources Corp. | Morgan Stanley | 1,783 | 19,439 | 22,501 | 3,214 | ||||||||||||||||||||
ConocoPhillips | Morgan Stanley | 1 | 26 | 68 | 60 | ||||||||||||||||||||
Continental Resources, Inc. | Morgan Stanley | 1,896 | 65,416 | 87,500 | 23,060 | ||||||||||||||||||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | 1,825 | 2,366 | 8,413 | 6,231 | ||||||||||||||||||||
Denbury, Inc. | Morgan Stanley | 741 | 53,952 | 52,055 | (1,857 | ) | |||||||||||||||||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 6,050 | 31,067 | 39,507 | 9,897 | ||||||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 7,107 | 374,722 | 570,479 | 223,628 | ||||||||||||||||||||
Equitrans Midstream Corp. | Morgan Stanley | 10,280 | 86,147 | 104,239 | 18,582 |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Energy — (continued) | |||||||||||||||||||||||||
Exxon Mobil Corp. | Morgan Stanley | 18,448 | $ | 1,037,925 | $ | 1,085,111 | $ | 76,753 | |||||||||||||||||
Green Plains, Inc. | Morgan Stanley | 617 | 15,105 | 20,145 | 6,333 | ||||||||||||||||||||
Halliburton Co. | Morgan Stanley | 15,905 | 239,188 | 343,866 | 119,999 | ||||||||||||||||||||
Hess Corp. | Morgan Stanley | 5,287 | 409,757 | 412,968 | 5,740 | ||||||||||||||||||||
HollyFrontier Corp. | Morgan Stanley | 213 | 4,043 | 7,057 | 3,181 | ||||||||||||||||||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 1,900 | 61,701 | 59,964 | (1,345 | ) | |||||||||||||||||||
Kosmos Energy Ltd. | Morgan Stanley | 41,415 | 63,283 | 122,588 | 60,141 | ||||||||||||||||||||
Magnolia Oil & Gas Corp., Class A | Morgan Stanley | 1,340 | 7,528 | 23,839 | 16,923 | ||||||||||||||||||||
Marathon Oil Corp. | Morgan Stanley | 47,060 | 528,871 | 643,310 | 118,151 | ||||||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 12,587 | 640,930 | 778,002 | 147,891 | ||||||||||||||||||||
Murphy Oil Corp. | Morgan Stanley | 2,513 | 20,643 | 62,750 | 43,279 | ||||||||||||||||||||
Oasis Petroleum, Inc. | Morgan Stanley | 539 | 46,424 | 53,587 | 7,250 | ||||||||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 18,962 | 511,872 | 560,896 | 49,566 | ||||||||||||||||||||
Oceaneering International, Inc. | Morgan Stanley | 13,028 | 168,433 | 173,533 | 5,186 | ||||||||||||||||||||
ONEOK, Inc. | Morgan Stanley | 8,942 | 468,167 | 518,547 | 53,908 | ||||||||||||||||||||
Ovintiv, Inc. | Morgan Stanley | 4,555 | 114,284 | 149,768 | 38,941 | ||||||||||||||||||||
PDC Energy, Inc. | Morgan Stanley | 2,929 | 119,604 | 138,805 | 20,307 | ||||||||||||||||||||
SM Energy Co. | Morgan Stanley | 15,904 | 93,618 | 419,548 | 326,144 | ||||||||||||||||||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 4,788 | 106,859 | 99,303 | (7,120 | ) | |||||||||||||||||||
Targa Resources Corp. | Morgan Stanley | 1,599 | 68,623 | 78,687 | 11,338 | ||||||||||||||||||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 8,096 | 27,375 | 30,684 | 3,475 | ||||||||||||||||||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 8,808 | 58,255 | 87,199 | 29,300 | ||||||||||||||||||||
Whiting Petroleum Corp. | Morgan Stanley | 564 | 18,782 | 32,943 | 14,186 | ||||||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | 1,453 | 27,510 | 37,691 | 12,455 | ||||||||||||||||||||
World Fuel Services Corp. | Morgan Stanley | 3,831 | 102,363 | 128,798 | 29,720 | ||||||||||||||||||||
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| ||||||||||||||||||
329,319 | 6,647,886 | 8,493,413 | 1,984,645 | ||||||||||||||||||||||
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| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | 316 | 142,615 | 141,995 | (545 | ) | |||||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 4,686 | 191,999 | 189,455 | (2,081 | ) | |||||||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 8,930 | 197,040 | 206,908 | 9,811 | ||||||||||||||||||||
Sysco Corp. | Morgan Stanley | 5,419 | 369,660 | 425,392 | 64,828 | ||||||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 4,645 | 186,169 | 218,547 | 40,027 | ||||||||||||||||||||
Walmart, Inc. | Morgan Stanley | 12,349 | 1,577,636 | 1,721,204 | 171,860 | ||||||||||||||||||||
Weis Markets, Inc. | Morgan Stanley | 67 | 3,638 | 3,521 | (98 | ) | |||||||||||||||||||
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| ||||||||||||||||||
36,412 | 2,668,757 | 2,907,022 | 283,802 | ||||||||||||||||||||||
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| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 12,570 | 513,699 | 572,186 | 113,712 | ||||||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 4,858 | 284,809 | 291,529 | 10,407 | ||||||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | 290 | 19,790 | 19,433 | (598 | ) | |||||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 16,249 | 856,473 | 852,585 | 16,221 | ||||||||||||||||||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 87 | 34,732 | 34,294 | (407 | ) | |||||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 1,804 | 252,446 | 380,085 | 134,922 | ||||||||||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | 6,108 | 445,081 | 439,165 | (5,715 | ) | |||||||||||||||||||
General Mills, Inc. | Morgan Stanley | 1,649 | 94,675 | 98,643 | 8,782 | ||||||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 2,137 | 357,625 | 361,687 | 7,784 | ||||||||||||||||||||
J M Smucker Co. (The) | Morgan Stanley | 143 | 16,147 | 17,164 | 6,059 | ||||||||||||||||||||
Kellogg Co. | Morgan Stanley | 772 | 48,798 | 49,346 | 1,279 | ||||||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 26,425 | 892,997 | 972,969 | 105,970 |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Food, Beverage & Tobacco — (continued) | |||||||||||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 3,302 | $ | 161,202 | $ | 153,147 | $ | (6,021 | ) | ||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 10,487 | 611,524 | 610,134 | 4,827 | ||||||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | 7,248 | 608,923 | 643,840 | 35,185 | ||||||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 4,491 | 689,450 | 675,491 | (7,484 | ) | |||||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 3,541 | 289,546 | 335,651 | 63,036 | ||||||||||||||||||||
Primo Water Corp. (Canada) | Morgan Stanley | 74 | 1,200 | 1,163 | (19 | ) | |||||||||||||||||||
Sanderson Farms, Inc. | Morgan Stanley | 1,982 | 369,972 | 373,012 | 3,446 | ||||||||||||||||||||
SunOpta, Inc. (Canada) | Morgan Stanley | 7,480 | 94,727 | 66,796 | (28,225 | ) | |||||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 3,162 | 192,432 | 249,608 | 65,689 | ||||||||||||||||||||
Vector Group Ltd. | Morgan Stanley | 1,773 | 24,888 | 22,606 | (1,987 | ) | |||||||||||||||||||
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| ||||||||||||||||||
116,632 | 6,861,136 | 7,220,534 | 526,863 | ||||||||||||||||||||||
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| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 4,202 | 493,417 | 496,382 | 6,459 | ||||||||||||||||||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 4,987 | 301,227 | 318,071 | 16,986 | ||||||||||||||||||||
Addus HomeCare Corp. | Morgan Stanley | 4 | 328 | 319 | 9 | ||||||||||||||||||||
Alcon, Inc. (Switzerland) | Morgan Stanley | 3,700 | 304,589 | 297,739 | (6,707 | ) | |||||||||||||||||||
Align Technology, Inc. | Morgan Stanley | 859 | 468,860 | 571,604 | 102,942 | ||||||||||||||||||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 5,147 | 66,054 | 68,815 | 2,783 | ||||||||||||||||||||
Amedisys, Inc. | Morgan Stanley | 757 | 141,198 | 112,869 | (28,253 | ) | |||||||||||||||||||
AMN Healthcare Services, Inc. | Morgan Stanley | 1,339 | 143,639 | 153,650 | 10,088 | ||||||||||||||||||||
Anthem, Inc. | Morgan Stanley | 2,363 | 840,357 | 880,926 | 67,462 | ||||||||||||||||||||
Boston Scientific Corp. | Morgan Stanley | 8,634 | 370,932 | 374,629 | 3,112 | ||||||||||||||||||||
Cerner Corp. | Morgan Stanley | 7,986 | 584,740 | 563,173 | (17,405 | ) | |||||||||||||||||||
Change Healthcare, Inc. | Morgan Stanley | 1,803 | 39,900 | 37,755 | (2,692 | ) | |||||||||||||||||||
Cigna Corp. | Morgan Stanley | 1,298 | 305,450 | 259,808 | (43,805 | ) | |||||||||||||||||||
Community Health Systems, Inc. | Morgan Stanley | 8,544 | 69,403 | 99,965 | 30,608 | ||||||||||||||||||||
CONMED Corp. | Morgan Stanley | 1,031 | 108,915 | 134,886 | 26,534 | ||||||||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | 528 | 230,505 | 218,228 | (12,157 | ) | |||||||||||||||||||
CryoLife, Inc. | Morgan Stanley | 20 | 461 | 446 | 2 | ||||||||||||||||||||
CVS Health Corp. | Morgan Stanley | 2,041 | 130,260 | 173,199 | 56,494 | ||||||||||||||||||||
Danaher Corp. | Morgan Stanley | 1,803 | 399,839 | 548,905 | 150,841 | ||||||||||||||||||||
Dexcom, Inc. | Morgan Stanley | 163 | 83,767 | 89,138 | 7,931 | ||||||||||||||||||||
Doximity, Inc., Class A | Morgan Stanley | 424 | 36,670 | 34,217 | (2,421 | ) | |||||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | 893 | 102,953 | 101,097 | (1,797 | ) | |||||||||||||||||||
Ensign Group, Inc. (The) | Morgan Stanley | 1,025 | 62,768 | 76,762 | 14,244 | ||||||||||||||||||||
Envista Holdings Corp. | Morgan Stanley | 9,723 | 381,560 | 406,519 | 24,914 | ||||||||||||||||||||
Fulgent Genetics, Inc. | Morgan Stanley | 1,156 | 79,954 | 103,982 | 26,628 | ||||||||||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | 687 | 53,399 | 52,638 | (721 | ) | |||||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 1,827 | 274,380 | 443,449 | 172,378 | ||||||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | 1,492 | 112,792 | 113,631 | 1,104 | ||||||||||||||||||||
Heska Corp. | Morgan Stanley | 190 | 49,894 | 49,123 | (734 | ) | |||||||||||||||||||
Hologic, Inc. | Morgan Stanley | 6,592 | 364,708 | 486,556 | 122,015 | ||||||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 1,357 | 586,753 | 843,918 | 257,112 | ||||||||||||||||||||
Inspire Medical Systems, Inc. | Morgan Stanley | 363 | 88,628 | 84,535 | (4,039 | ) | |||||||||||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 2,101 | 146,181 | 143,876 | (2,227 | ) | |||||||||||||||||||
Intersect ENT, Inc. | Morgan Stanley | 61 | 1,660 | 1,659 | 17 | ||||||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | 436 | 375,706 | 433,449 | 57,916 | ||||||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 2,990 | 704,489 | 841,506 | 137,325 | ||||||||||||||||||||
LeMaitre Vascular, Inc. | Morgan Stanley | 52 | 2,861 | 2,761 | (62 | ) |
The accompanying notes are an integral part of the financial statements.
77
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Health Care Equipment & Services — (continued) | |||||||||||||||||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | 2,918 | $ | 238,160 | $ | 231,076 | $ | (6,968 | ) | ||||||||||||||||
McKesson Corp. | Morgan Stanley | 2,077 | 359,632 | 414,112 | 57,539 | ||||||||||||||||||||
MEDNAX, Inc. | Morgan Stanley | 6,533 | 165,599 | 185,733 | 20,130 | ||||||||||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 7,696 | 830,663 | 964,694 | 154,071 | ||||||||||||||||||||
Meridian Bioscience, Inc. | Morgan Stanley | 873 | 15,935 | 16,797 | 903 | ||||||||||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | 1,581 | 91,022 | 113,516 | 22,635 | ||||||||||||||||||||
National Research Corp. | Morgan Stanley | 3 | 141 | 127 | 3 | ||||||||||||||||||||
NextGen Healthcare, Inc. | Morgan Stanley | 5,691 | 84,878 | 80,243 | (4,583 | ) | |||||||||||||||||||
Omnicell, Inc. | Morgan Stanley | 886 | 113,063 | 131,509 | 18,510 | ||||||||||||||||||||
Owens & Minor, Inc. | Morgan Stanley | 912 | 23,712 | 28,536 | 5,413 | ||||||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 2,213 | 293,925 | 321,571 | 29,574 | ||||||||||||||||||||
Select Medical Holdings Corp. | Morgan Stanley | 3,793 | 70,300 | 137,193 | 71,310 | ||||||||||||||||||||
STAAR Surgical Co. | Morgan Stanley | 2,526 | 345,509 | 324,667 | (20,683 | ) | |||||||||||||||||||
Stryker Corp. | Morgan Stanley | 1,673 | 413,307 | 441,204 | 30,082 | ||||||||||||||||||||
Tenet Healthcare Corp. | Morgan Stanley | 870 | 27,965 | 57,803 | 29,866 | ||||||||||||||||||||
Tivity Health, Inc. | Morgan Stanley | 5,962 | 59,924 | 137,484 | 78,517 | ||||||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 2,618 | 921,560 | 1,022,957 | 109,494 | ||||||||||||||||||||
Veeva Systems, Inc., Class A | Morgan Stanley | 274 | 85,050 | 78,959 | (6,218 | ) | |||||||||||||||||||
|
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|
|
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| ||||||||||||||||||
137,677 | 12,649,542 | 14,308,366 | 1,762,479 | ||||||||||||||||||||||
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| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 15,181 | 1,110,009 | 1,147,380 | 58,495 | ||||||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | 13,186 | 112,787 | 103,642 | (9,081 | ) | |||||||||||||||||||
Edgewell Personal Care Co. | Morgan Stanley | 1,824 | 76,088 | 66,211 | (9,641 | ) | |||||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,771 | 451,049 | 531,176 | 83,337 | ||||||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 1,506 | 205,420 | 199,455 | (5,141 | ) | |||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 3,313 | 419,985 | 463,157 | 58,663 | ||||||||||||||||||||
WD-40 Co. | Morgan Stanley | 357 | 83,593 | 82,638 | (1,060 | ) | |||||||||||||||||||
|
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| ||||||||||||||||||
37,138 | 2,458,931 | 2,593,659 | 175,572 | ||||||||||||||||||||||
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| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
AdvanSix, Inc. | Morgan Stanley | 573 | 20,588 | 22,777 | 2,214 | ||||||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | 4,724 | 264,397 | 244,939 | (18,970 | ) | |||||||||||||||||||
Alamos Gold, Inc., Class A | Morgan Stanley | 4,372 | 31,904 | 31,478 | (395 | ) | |||||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | 4,877 | 51,417 | 56,524 | 9,389 | ||||||||||||||||||||
Ashland Global Holdings, Inc. | Morgan Stanley | 1,365 | 115,720 | 121,649 | 6,930 | ||||||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 1,312 | 279,258 | 271,860 | (6,182 | ) | |||||||||||||||||||
Avient Corp. | Morgan Stanley | 1,373 | 21,610 | 63,639 | 48,379 | ||||||||||||||||||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 7,703 | 227,363 | 224,851 | (2,972 | ) | |||||||||||||||||||
Ball Corp. | Morgan Stanley | 205 | 18,547 | 18,444 | (396 | ) | |||||||||||||||||||
Carpenter Technology Corp. | Morgan Stanley | 2,962 | 57,808 | 96,976 | 42,742 | ||||||||||||||||||||
Celanese Corp. | Morgan Stanley | 710 | 108,698 | 106,954 | (1,742 | ) | |||||||||||||||||||
Centerra Gold, Inc. (Canada) | Morgan Stanley | 4 | 28 | 27 | 17 | ||||||||||||||||||||
CF Industries Holdings, Inc. | Morgan Stanley | 2,704 | 70,130 | 150,937 | 95,294 | ||||||||||||||||||||
Chemours Co. (The) | Morgan Stanley | 9,855 | 200,740 | 286,386 | 93,297 | ||||||||||||||||||||
Commercial Metals Co. | Morgan Stanley | 56 | 1,104 | 1,706 | 746 | ||||||||||||||||||||
Compass Minerals International, Inc. | Morgan Stanley | 318 | 18,780 | 20,479 | 3,931 | ||||||||||||||||||||
Corteva, Inc. | Morgan Stanley | 5,429 | 234,724 | 228,452 | (6,175 | ) | |||||||||||||||||||
Domtar Corp. | Morgan Stanley | 2,235 | 121,476 | 121,897 | 488 | ||||||||||||||||||||
Dow, Inc. | Morgan Stanley | 6,427 | 329,435 | 369,938 | 54,708 |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Materials — (continued) | |||||||||||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 17,231 | $ | 1,349,249 | $ | 1,171,536 | $ | (166,981 | ) | ||||||||||||||||
Eagle Materials, Inc. | Morgan Stanley | 1,909 | 272,412 | 250,384 | (21,316 | ) | |||||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 2,358 | 159,218 | 237,545 | 90,860 | ||||||||||||||||||||
Ecovyst, Inc. | Morgan Stanley | 107 | 1,260 | 1,248 | 6 | ||||||||||||||||||||
Ferro Corp. | Morgan Stanley | 5,910 | 110,037 | 120,209 | 10,235 | ||||||||||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 9,628 | 149,583 | 313,199 | 166,800 | ||||||||||||||||||||
GCP Applied Technologies, Inc. | Morgan Stanley | 107 | 2,410 | 2,345 | (46 | ) | |||||||||||||||||||
Graphic Packaging Holding Co. | Morgan Stanley | 5,000 | 96,617 | 95,200 | (1,006 | ) | |||||||||||||||||||
Hecla Mining Co. | Morgan Stanley | 22,492 | 132,184 | 123,706 | (8,126 | ) | |||||||||||||||||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 29,465 | 88,623 | 66,591 | (23,148 | ) | |||||||||||||||||||
Ingevity Corp. | Morgan Stanley | 1,948 | 109,179 | 139,029 | 29,912 | ||||||||||||||||||||
Innospec, Inc. | Morgan Stanley | 316 | 27,441 | 26,614 | (782 | ) | |||||||||||||||||||
International Paper Co. | Morgan Stanley | 5,648 | 295,582 | 315,836 | 27,221 | ||||||||||||||||||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 12,101 | 70,332 | 64,861 | (5,248 | ) | |||||||||||||||||||
Kraton Corp. | Morgan Stanley | 1,227 | 26,325 | 56,000 | 30,817 | ||||||||||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 2,485 | 490,617 | 729,049 | 252,852 | ||||||||||||||||||||
Livent Corp. | Morgan Stanley | 5,875 | 143,534 | 135,771 | (7,880 | ) | |||||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley | 2,359 | 140,688 | 144,772 | 4,563 | ||||||||||||||||||||
LyondellBasell Industries N.V., Class A (Netherlands) | Morgan Stanley | 2,910 | 290,484 | 273,104 | (14,962 | ) | |||||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 301 | 78,794 | 102,846 | 25,004 | ||||||||||||||||||||
Minerals Technologies, Inc. | Morgan Stanley | 660 | 38,651 | 46,094 | 7,601 | ||||||||||||||||||||
Mosaic Co. (The) | Morgan Stanley | 13,560 | 376,437 | 484,363 | 116,954 | ||||||||||||||||||||
Newmont Corp. | Morgan Stanley | 4,721 | 284,138 | 256,350 | (21,060 | ) | |||||||||||||||||||
Nucor Corp. | Morgan Stanley | 4,828 | 451,608 | 475,510 | 28,603 | ||||||||||||||||||||
Nutrien Ltd. (Canada) | Morgan Stanley | 1,964 | 118,303 | 127,326 | 10,828 | ||||||||||||||||||||
O-I Glass, Inc. | Morgan Stanley | 10,009 | 147,499 | 142,828 | (5,030 | ) | |||||||||||||||||||
Olin Corp. | Morgan Stanley | 5,326 | 246,065 | 256,980 | 11,565 | ||||||||||||||||||||
PAN AMERICAN SILVER CORP (Canada) | Morgan Stanley | 33 | 767 | 768 | 19 | ||||||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | 240 | 32,077 | 34,322 | 3,059 | ||||||||||||||||||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 11,397 | 128,517 | 109,867 | (18,774 | ) | |||||||||||||||||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 385 | 57,497 | 54,832 | (1,121 | ) | |||||||||||||||||||
Royal Gold, Inc. | Morgan Stanley | 296 | 30,137 | 28,265 | (1,763 | ) | |||||||||||||||||||
Sealed Air Corp. | Morgan Stanley | 1,935 | 77,853 | 106,019 | 30,618 | ||||||||||||||||||||
Sensient Technologies Corp. | Morgan Stanley | 305 | 19,018 | 27,779 | 11,390 | ||||||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 1,283 | 302,083 | 358,894 | 59,103 | ||||||||||||||||||||
Southern Copper Corp. | Morgan Stanley | 1,265 | 64,736 | 71,017 | 8,773 | ||||||||||||||||||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 1,117 | 63,557 | 60,296 | (3,324 | ) | |||||||||||||||||||
Vulcan Materials Co. | Morgan Stanley | 30 | 5,103 | 5,075 | 1,660 | ||||||||||||||||||||
Westlake Chemical Corp. | Morgan Stanley | 1,486 | 146,979 | 135,434 | (11,489 | ) | |||||||||||||||||||
Westrock Co. | Morgan Stanley | 2,233 | 113,344 | 111,270 | (1,595 | ) | |||||||||||||||||||
Wheaton Precious Metals Corp. (Canada) | Morgan Stanley | 2,781 | 111,788 | 104,510 | (7,214 | ) | |||||||||||||||||||
Worthington Industries, Inc. | Morgan Stanley | 2,549 | 124,494 | 134,332 | 11,745 | ||||||||||||||||||||
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| ||||||||||||||||||
254,984 | 9,148,947 | 9,941,889 | 940,626 | ||||||||||||||||||||||
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| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 10,031 | 793,557 | 776,299 | (28,174 | ) | |||||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 989 | 1,305,529 | 2,644,111 | 1,339,139 | ||||||||||||||||||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 735 | 14,649 | 15,229 | 604 | ||||||||||||||||||||
Cars.com, Inc. | Morgan Stanley | 1,945 | 26,638 | 24,604 | (2,108 | ) | |||||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 967 | 660,197 | 703,551 | 43,643 |
The accompanying notes are an integral part of the financial statements.
79
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Media & Entertainment — (continued) | |||||||||||||||||||||||||
Comcast Corp., Class A | Morgan Stanley | 9,463 | $ | 530,623 | $ | 529,266 | $ | (631 | ) | ||||||||||||||||
Discovery, Inc., Class A | Morgan Stanley | 1,548 | 39,938 | 39,288 | (616 | ) | |||||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 12,719 | 381,996 | 552,768 | 171,463 | ||||||||||||||||||||
Eventbrite, Inc., Class A | Morgan Stanley | 1,079 | 19,795 | 20,404 | 635 | ||||||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 7,901 | 1,546,185 | 2,681,520 | 1,135,991 | ||||||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 8,466 | 220,937 | 339,571 | 128,894 | ||||||||||||||||||||
Gannett Co., Inc. | Morgan Stanley | 40 | 261 | 267 | 24 | ||||||||||||||||||||
Gray Television, Inc. | Morgan Stanley | 2,487 | 42,945 | 56,753 | 14,516 | ||||||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 9,844 | 286,137 | 360,979 | 94,772 | ||||||||||||||||||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | 1,719 | 15,366 | 22,347 | 7,005 | ||||||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | 359 | 32,960 | 32,716 | (213 | ) | |||||||||||||||||||
Netflix, Inc. | Morgan Stanley | 2,033 | 1,016,971 | 1,240,821 | 225,005 | ||||||||||||||||||||
News Corp., Class A | Morgan Stanley | 10,088 | 105,000 | 237,371 | 135,289 | ||||||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 1,010 | 79,230 | 73,185 | (5,277 | ) | |||||||||||||||||||
Scholastic Corp. | Morgan Stanley | 34 | 1,185 | 1,212 | 45 | ||||||||||||||||||||
Snap, Inc., Class A | Morgan Stanley | 3,299 | 242,224 | 243,697 | (3,249 | ) | |||||||||||||||||||
TechTarget, Inc. | Morgan Stanley | 320 | 21,836 | 26,374 | 4,659 | ||||||||||||||||||||
Twitter, Inc. | Morgan Stanley | 15,481 | 504,226 | 934,898 | 430,897 | ||||||||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 3,425 | 140,624 | 135,322 | (4,814 | ) | |||||||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | 1,945 | 347,967 | 329,036 | (19,842 | ) | |||||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 1,399 | 68,658 | 78,708 | 11,587 | ||||||||||||||||||||
Yelp, Inc. | Morgan Stanley | 6,632 | 252,743 | 246,976 | (5,751 | ) | |||||||||||||||||||
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| ||||||||||||||||||
115,958 | 8,698,377 | 12,347,273 | 3,673,493 | ||||||||||||||||||||||
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| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | |||||||||||||||||||||||||
AbbVie, Inc. | Morgan Stanley | 6,089 | 655,585 | 656,820 | 2,448 | ||||||||||||||||||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 4,043 | 72,468 | 81,022 | 8,601 | ||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 2,626 | 348,543 | 413,674 | 66,055 | ||||||||||||||||||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 2,661 | 59,090 | 93,295 | 38,310 | ||||||||||||||||||||
Biogen, Inc. | Morgan Stanley | 1,801 | 603,259 | 509,665 | (96,951 | ) | |||||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 112 | 70,604 | 83,546 | 12,989 | ||||||||||||||||||||
Bio-Techne Corp. | Morgan Stanley | 163 | 85,291 | 78,985 | (6,253 | ) | |||||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 11,039 | 725,315 | 653,178 | (76,235 | ) | |||||||||||||||||||
Bruker Corp. | Morgan Stanley | 970 | 79,335 | 75,757 | (3,511 | ) | |||||||||||||||||||
Celldex Therapeutics, Inc. | Morgan Stanley | 1,707 | 91,597 | 92,161 | 545 | ||||||||||||||||||||
Charles River Laboratories International, Inc. | Morgan Stanley | 820 | 308,895 | 338,389 | 29,639 | ||||||||||||||||||||
Cortexyme, Inc. | Morgan Stanley | 175 | 16,589 | 16,041 | (688 | ) | |||||||||||||||||||
Dynavax Technologies Corp. | Morgan Stanley | 7,329 | 117,587 | 140,790 | 23,280 | ||||||||||||||||||||
Eli Lilly & Co. | Morgan Stanley | 4,083 | 967,357 | 943,377 | (24,467 | ) | |||||||||||||||||||
Fulcrum Therapeutics, Inc. | Morgan Stanley | 125 | 3,522 | 3,526 | 23 | ||||||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 5,279 | 345,568 | 368,738 | 31,878 | ||||||||||||||||||||
Illumina, Inc. | Morgan Stanley | 1,846 | 860,379 | 748,756 | (112,639 | ) | |||||||||||||||||||
Innoviva, Inc. | Morgan Stanley | 3,020 | 34,034 | 50,464 | 17,350 | ||||||||||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | 114 | 29,393 | 27,308 | (2,057 | ) | |||||||||||||||||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 7,698 | 92,732 | 100,536 | 7,850 | ||||||||||||||||||||
Johnson & Johnson | Morgan Stanley | 9,897 | 1,639,704 | 1,598,366 | (16,525 | ) | |||||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 15,801 | 1,156,147 | 1,186,813 | 60,039 | ||||||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 10 | 13,929 | 13,774 | (133 | ) | |||||||||||||||||||
Moderna, Inc. | Morgan Stanley | 1,095 | 422,030 | 421,422 | (417 | ) | |||||||||||||||||||
Organon & Co. | Morgan Stanley | 5,906 | 189,460 | 193,658 | 5,210 |
The accompanying notes are an integral part of the financial statements.
80
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
| ||||||||||||||||||||||||
Pacira BioSciences, Inc. | Morgan Stanley | 1,811 | $ | 104,301 | $ | 101,416 | $ | (2,878 | ) | ||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 3,235 | 413,868 | 560,593 | 148,096 | ||||||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 53,137 | 2,132,096 | 2,285,422 | 191,290 | ||||||||||||||||||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 839 | 29,995 | 47,076 | 17,499 | ||||||||||||||||||||
Prothena Corp. PLC (Ireland) | Morgan Stanley | 1,906 | 130,933 | 135,764 | 4,903 | ||||||||||||||||||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 246 | 150,908 | 148,874 | (1,954 | ) | |||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 123 | 54,203 | 70,274 | 16,362 | ||||||||||||||||||||
United Therapeutics Corp. | Morgan Stanley | 495 | 97,994 | 91,367 | (6,569 | ) | |||||||||||||||||||
Veracyte, Inc. | Morgan Stanley | 2,997 | 143,893 | 139,211 | (4,722 | ) | |||||||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 1,408 | 262,977 | 255,397 | (7,454 | ) | |||||||||||||||||||
Waters Corp. | Morgan Stanley | 706 | 200,150 | 252,254 | 52,204 | ||||||||||||||||||||
Zoetis, Inc. | Morgan Stanley | 879 | 141,653 | 170,649 | 29,712 | ||||||||||||||||||||
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| ||||||||||||||||||
162,191 | 12,851,384 | 13,148,358 | 400,830 | ||||||||||||||||||||||
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| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
Academy Sports & Outdoors, Inc. | Morgan Stanley | 819 | 34,598 | 32,776 | (1,790 | ) | |||||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 1,949 | 308,738 | 407,127 | 104,725 | ||||||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 761 | 2,084,297 | 2,499,915 | 416,496 | ||||||||||||||||||||
American Eagle Outfitters, Inc. | Morgan Stanley | 1,454 | 46,553 | 37,513 | (9,004 | ) | |||||||||||||||||||
Asbury Automotive Group, Inc. | Morgan Stanley | 1 | 141 | 197 | 73 | ||||||||||||||||||||
AutoNation, Inc. | Morgan Stanley | 2,473 | 207,239 | 301,112 | 100,594 | ||||||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 87 | 136,489 | 147,725 | 11,310 | ||||||||||||||||||||
Bath & Body Works, Inc. | Morgan Stanley | 9,707 | 248,046 | 611,832 | 366,031 | ||||||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 1,158 | 62,871 | 122,412 | 63,881 | ||||||||||||||||||||
Buckle,Inc.(The) | Morgan Stanley | 2,234 | 45,874 | 88,444 | 55,145 | ||||||||||||||||||||
Caleres, Inc. | Morgan Stanley | 409 | 9,703 | 9,088 | (593 | ) | |||||||||||||||||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 2,460 | 77,180 | 95,620 | 21,871 | ||||||||||||||||||||
Dick’s Sporting Goods, Inc. | Morgan Stanley | 463 | 59,417 | 55,454 | (3,921 | ) | |||||||||||||||||||
eBay, Inc. | Morgan Stanley | 24,291 | 1,512,841 | 1,692,354 | 190,080 | ||||||||||||||||||||
Etsy, Inc. | Morgan Stanley | 1,939 | 275,097 | 403,234 | 128,268 | ||||||||||||||||||||
Foot Locker, Inc. | Morgan Stanley | 2,352 | 81,550 | 107,392 | 27,154 | ||||||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 1,343 | 138,269 | 162,812 | 31,175 | ||||||||||||||||||||
Guess?, Inc. | Morgan Stanley | 3,815 | 57,331 | 80,153 | 24,504 | ||||||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 2,243 | 537,957 | 736,287 | 213,522 | ||||||||||||||||||||
LKQ Corp. | Morgan Stanley | 7,304 | 315,646 | 367,537 | 55,052 | ||||||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 3,674 | 416,910 | 745,308 | 340,317 | ||||||||||||||||||||
Macy’s, Inc. | Morgan Stanley | 7,313 | 42,626 | 165,274 | 186,785 | ||||||||||||||||||||
MarineMax, Inc. | Morgan Stanley | 2,475 | 127,321 | 120,087 | (7,244 | ) | |||||||||||||||||||
National Vision Holdings, Inc. | Morgan Stanley | 358 | 19,475 | 20,324 | 874 | ||||||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 421 | 193,866 | 257,256 | 63,488 | ||||||||||||||||||||
Penske Automotive Group, Inc. | Morgan Stanley | 814 | 70,996 | 81,888 | 11,254 | ||||||||||||||||||||
Qurate Retail, Inc. | Morgan Stanley | 13,264 | 97,726 | 135,160 | 62,174 | ||||||||||||||||||||
RH. | Morgan Stanley | 1 | 668 | 667 | 17 | ||||||||||||||||||||
Ross Stores, Inc. | Morgan Stanley | 2,769 | 330,509 | 301,406 | (28,645 | ) | |||||||||||||||||||
Shoe Carnival, Inc. | Morgan Stanley | 1,120 | 19,382 | 36,310 | 17,804 | ||||||||||||||||||||
Shutterstock, Inc. | Morgan Stanley | 2,364 | 162,436 | 267,888 | 107,230 | ||||||||||||||||||||
Signet Jewelers Ltd. (Bermuda) | Morgan Stanley | 4,757 | 69,372 | 375,613 | 311,232 | ||||||||||||||||||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 2,987 | 86,454 | 156,937 | 72,983 | ||||||||||||||||||||
Target Corp. | Morgan Stanley | 4,199 | 886,940 | 960,605 | 78,351 | ||||||||||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | 1,146 | 419,499 | 413,614 | (5,694 | ) |
The accompanying notes are an integral part of the financial statements.
81
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Retailing — (continued) |
| ||||||||||||||||||||||||
Victoria’s Secret & Co. | Morgan Stanley | 458 | $ | 27,138 | $ | 25,309 | $ | (1,801 | ) | ||||||||||||||||
Williams-Sonoma, Inc. | Morgan Stanley | 48 | 8,635 | 8,512 | (22 | ) | |||||||||||||||||||
Zumiez, Inc. | Morgan Stanley | 1,725 | 49,896 | 68,586 | 19,578 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
117,155 | 9,269,686 | 12,099,728 | 3,023,254 | ||||||||||||||||||||||
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|
|
|
| ||||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | 504 | 50,904 | 51,862 | 3,307 | ||||||||||||||||||||
Amkor Technology, Inc. | Morgan Stanley | 991 | 11,101 | 24,725 | 13,847 | ||||||||||||||||||||
Analog Devices, Inc. | Morgan Stanley | 982 | 158,026 | 164,465 | 7,519 | ||||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 8,731 | 1,115,333 | 1,123,942 | 17,132 | ||||||||||||||||||||
Axcelis Technologies, Inc. | Morgan Stanley | 921 | 26,177 | 43,315 | 17,166 | ||||||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 552 | 257,494 | 267,681 | 20,196 | ||||||||||||||||||||
Brooks Automation, Inc. | Morgan Stanley | 627 | 53,053 | 64,173 | 13,969 | ||||||||||||||||||||
Cohu, Inc. | Morgan Stanley | 765 | 24,947 | 24,434 | (485 | ) | |||||||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | 2,034 | 316,141 | 305,039 | (16,324 | ) | |||||||||||||||||||
First Solar, Inc. | Morgan Stanley | 1,198 | 111,884 | 114,361 | 2,543 | ||||||||||||||||||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 2,950 | 151,587 | 121,216 | (30,384 | ) | |||||||||||||||||||
Intel Corp. | Morgan Stanley | 24,528 | 1,298,003 | 1,306,852 | 23,111 | ||||||||||||||||||||
KLA Corp. | Morgan Stanley | 386 | 95,877 | 129,121 | 35,367 | ||||||||||||||||||||
Lam Research Corp. | Morgan Stanley | 694 | 424,349 | 394,990 | (34,326 | ) | |||||||||||||||||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 5,197 | 174,980 | 337,129 | 164,778 | ||||||||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | 1 | 125 | 154 | 1,193 | ||||||||||||||||||||
Micron Technology, Inc. | Morgan Stanley | 11,340 | 817,582 | 804,913 | (11,587 | ) | |||||||||||||||||||
MKS Instruments, Inc. | Morgan Stanley | 1,289 | 214,590 | 194,523 | (21,850 | ) | |||||||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 504 | 249,664 | 244,279 | (5,432 | ) | |||||||||||||||||||
NVIDIA Corp. | Morgan Stanley | 1,458 | 287,749 | 302,039 | 15,176 | ||||||||||||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 4,246 | 815,813 | 831,664 | 19,899 | ||||||||||||||||||||
ON Semiconductor Corp. | Morgan Stanley | 3,982 | 157,501 | 182,256 | 25,063 | ||||||||||||||||||||
Onto Innovation, Inc. | Morgan Stanley | 872 | 53,115 | 63,002 | 9,981 | ||||||||||||||||||||
Power Integrations, Inc. | Morgan Stanley | 845 | 83,684 | 83,647 | 105 | ||||||||||||||||||||
Qorvo, Inc. | Morgan Stanley | 3,196 | 532,233 | 534,339 | 2,319 | ||||||||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 7,977 | 1,052,885 | 1,028,873 | (13,350 | ) | |||||||||||||||||||
Rambus, Inc. | Morgan Stanley | 3,813 | 82,340 | 84,649 | 2,360 | ||||||||||||||||||||
Semtech Corp. | Morgan Stanley | 425 | 32,547 | 33,137 | 621 | ||||||||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | 3,276 | 412,836 | 539,819 | 134,841 | ||||||||||||||||||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | 53 | 1,347 | 2,359 | 1,029 | ||||||||||||||||||||
Synaptics, Inc. | Morgan Stanley | 1,132 | 187,698 | 203,454 | 15,851 | ||||||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 2,532 | 373,847 | 486,676 | 125,212 | ||||||||||||||||||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 9 | 186 | 383 | 215 | ||||||||||||||||||||
Xilinx, Inc. | Morgan Stanley | 1,083 | 158,064 | 163,522 | 5,280 | ||||||||||||||||||||
|
|
|
|
|
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| ||||||||||||||||||
99,093 | 9,783,662 | 10,256,993 | 544,342 | ||||||||||||||||||||||
|
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|
|
| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 2,457 | 524,281 | 786,043 | 272,997 | ||||||||||||||||||||
ACI Worldwide, Inc. | Morgan Stanley | 1,512 | 39,261 | 46,464 | 7,236 | ||||||||||||||||||||
Adobe, Inc. | Morgan Stanley | 1,856 | 1,049,624 | 1,068,536 | 19,363 | ||||||||||||||||||||
Agilysys, Inc. | Morgan Stanley | 78 | 4,090 | 4,084 | 13 | ||||||||||||||||||||
ANSYS, Inc. | Morgan Stanley | 1,026 | 348,811 | 349,302 | 329 | ||||||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 7,868 | 1,396,303 | 1,572,971 | 200,444 | ||||||||||||||||||||
Box, Inc., Class A | Morgan Stanley | 11,264 | 268,103 | 266,619 | (2,024 | ) |
The accompanying notes are an integral part of the financial statements.
82
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) |
| ||||||||||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 1,575 | $ | 206,797 | $ | 262,458 | $ | 59,942 | |||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 3,212 | 311,417 | 486,425 | 175,154 | ||||||||||||||||||||
Cerence, Inc. | Morgan Stanley | 3,143 | 343,625 | 302,074 | (41,392 | ) | |||||||||||||||||||
CGI, Inc. (Canada) | Morgan Stanley | 876 | 61,645 | 74,250 | 12,647 | ||||||||||||||||||||
Cloudera, Inc. | Morgan Stanley | 12,710 | 200,125 | 202,979 | 2,953 | ||||||||||||||||||||
CommVault Systems, Inc. | Morgan Stanley | 394 | 26,534 | 29,672 | 3,191 | ||||||||||||||||||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 3,576 | 193,694 | 204,762 | 11,166 | ||||||||||||||||||||
CSG Systems International, Inc. | Morgan Stanley | 450 | 20,450 | 21,690 | 1,685 | ||||||||||||||||||||
Descartes Systems Group, Inc. (The) (Canada) | Morgan Stanley | 9 | 732 | 731 | 17 | ||||||||||||||||||||
DocuSign, Inc. | Morgan Stanley | 303 | 79,073 | 78,001 | (2,423 | ) | |||||||||||||||||||
Dolby Laboratories, Inc., Class A | Morgan Stanley | 2,438 | 232,939 | 214,544 | (18,156 | ) | |||||||||||||||||||
Domo, Inc., Class B | Morgan Stanley | 354 | 23,906 | 29,892 | 7,029 | ||||||||||||||||||||
Dropbox, Inc., Class A | Morgan Stanley | 8,033 | 249,926 | 234,724 | (15,082 | ) | |||||||||||||||||||
DXC Technology Co. | Morgan Stanley | 9,090 | 355,556 | 305,515 | (50,207 | ) | |||||||||||||||||||
Elastic N.V. (Netherlands) | Morgan Stanley | 268 | 36,880 | 39,929 | 3,536 | ||||||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 608 | 267,575 | 241,941 | (25,506 | ) | |||||||||||||||||||
Fiserv, Inc. | Morgan Stanley | 8,071 | 805,462 | 875,704 | 70,601 | ||||||||||||||||||||
Fortinet, Inc. | Morgan Stanley | 3,030 | 379,819 | 884,881 | 505,237 | ||||||||||||||||||||
Gartner, Inc. | Morgan Stanley | 1,821 | 360,989 | 553,366 | 192,531 | ||||||||||||||||||||
HubSpot, Inc. | Morgan Stanley | 346 | 236,075 | 233,927 | (2,803 | ) | |||||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 2,682 | 342,625 | 372,610 | 38,062 | ||||||||||||||||||||
Intuit, Inc. | Morgan Stanley | 1,684 | 788,785 | 908,535 | 122,002 | ||||||||||||||||||||
Lightspeed Commerce, Inc. (Canada) | Morgan Stanley | 2,464 | 270,236 | 237,604 | (36,368 | ) | |||||||||||||||||||
Manhattan Associates, Inc. | Morgan Stanley | 599 | 94,035 | 91,665 | (2,314 | ) | |||||||||||||||||||
Maximus, Inc. | Morgan Stanley | 802 | 70,316 | 66,726 | (3,283 | ) | |||||||||||||||||||
Microsoft Corp. | Morgan Stanley | 6,888 | 1,515,381 | 1,941,865 | 444,865 | ||||||||||||||||||||
MongoDB, Inc. | Morgan Stanley | 1,033 | 504,648 | 487,070 | (17,353 | ) | |||||||||||||||||||
NCR Corp. | Morgan Stanley | 1,902 | 36,715 | 73,722 | 42,763 | ||||||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 15,752 | 329,314 | 398,526 | 80,255 | ||||||||||||||||||||
Nutanix, Inc., Class A. | Morgan Stanley | 6,519 | 250,714 | 245,766 | (4,827 | ) | |||||||||||||||||||
Open Text Corp. (Canada) | Morgan Stanley | 3,772 | 157,869 | 183,847 | 28,612 | ||||||||||||||||||||
Oracle Corp. | Morgan Stanley | 22,188 | 1,637,737 | 1,933,240 | 365,017 | ||||||||||||||||||||
Palantir Technologies, Inc., Class A | Morgan Stanley | 1,138 | 30,511 | 27,358 | (7,255 | ) | |||||||||||||||||||
Palo Alto Networks, Inc. | Morgan Stanley | 220 | 81,660 | 105,380 | 25,451 | ||||||||||||||||||||
Paychex, Inc. | Morgan Stanley | 7,319 | 476,211 | 823,022 | 371,455 | ||||||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 3,041 | 583,737 | 791,299 | 207,819 | ||||||||||||||||||||
Progress Software Corp. | Morgan Stanley | 338 | 15,001 | 16,626 | 1,704 | ||||||||||||||||||||
PTC, Inc. | Morgan Stanley | 2,103 | 205,323 | 251,918 | 46,698 | ||||||||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 2,227 | 841,318 | 1,385,795 | 544,842 | ||||||||||||||||||||
Sprout Social, Inc., Class A. | Morgan Stanley | 2,294 | 275,507 | 279,753 | 4,377 | ||||||||||||||||||||
SPS Commerce, Inc. | Morgan Stanley | 553 | 54,581 | 89,204 | 34,664 | ||||||||||||||||||||
Square, Inc., Class A | Morgan Stanley | 1,417 | 345,225 | 339,853 | (5,212 | ) | |||||||||||||||||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 2,210 | 160,183 | 153,374 | (6,178 | ) | |||||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 1,884 | 361,578 | 564,088 | 202,677 | ||||||||||||||||||||
Teradata Corp. | Morgan Stanley | 4,721 | 97,584 | 270,749 | 174,010 | ||||||||||||||||||||
TTEC Holdings, Inc. | Morgan Stanley | 128 | 12,266 | 11,972 | (272 | ) | |||||||||||||||||||
Verint Systems, Inc. | Morgan Stanley | 6,762 | 279,440 | 302,870 | 23,299 | ||||||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 1,247 | 245,717 | 255,647 | 10,049 | ||||||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 2,912 | 617,011 | 648,648 | 34,893 |
The accompanying notes are an integral part of the financial statements.
83
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) |
| ||||||||||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 11,716 | $ | 235,717 | $ | 236,898 | $ | 12,935 | |||||||||||||||||
Workiva, Inc. | Morgan Stanley | 1,350 | 162,659 | 190,296 | 27,722 | ||||||||||||||||||||
Xperi Holding Corp. | Morgan Stanley | 262 | 5,048 | 4,936 | (6 | ) | |||||||||||||||||||
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| ||||||||||||||||||
206,495 | 19,108,344 | 23,062,346 | 4,149,581 | ||||||||||||||||||||||
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| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
3D Systems Corp. | Morgan Stanley | 15,367 | 453,419 | 423,668 | (29,546 | ) | |||||||||||||||||||
Apple, Inc. | Morgan Stanley | 24,282 | 1,997,509 | 3,435,903 | 1,466,945 | ||||||||||||||||||||
Arista Networks, Inc. | Morgan Stanley | 191 | 68,611 | 65,635 | (2,930 | ) | |||||||||||||||||||
Arrow Electronics, Inc. | Morgan Stanley | 419 | 39,639 | 47,050 | 7,402 | ||||||||||||||||||||
Belden, Inc. | Morgan Stanley | 557 | 18,214 | 32,451 | 15,127 | ||||||||||||||||||||
Benchmark Electronics, Inc. | Morgan Stanley | 1,089 | 31,602 | 29,087 | (2,178 | ) | |||||||||||||||||||
CDW Corp. | Morgan Stanley | 1,007 | 125,184 | 183,294 | 59,710 | ||||||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 23,654 | 1,028,269 | 1,287,487 | 298,887 | ||||||||||||||||||||
Cognex Corp. | Morgan Stanley | 159 | 12,829 | 12,755 | (15 | ) | |||||||||||||||||||
Coherent, Inc. | Morgan Stanley | 1,578 | 407,975 | 394,642 | (13,637 | ) | |||||||||||||||||||
Corning, Inc. | Morgan Stanley | 11,817 | 375,773 | 431,202 | 65,355 | ||||||||||||||||||||
CTS Corp. | Morgan Stanley | 128 | 4,091 | 3,956 | (111 | ) | |||||||||||||||||||
Diebold Nixdorf, Inc. | Morgan Stanley | 7,306 | 40,348 | 73,864 | 33,549 | ||||||||||||||||||||
EchoStar Corp., Class A. | Morgan Stanley | 2,311 | 55,332 | 58,954 | 3,662 | ||||||||||||||||||||
Extreme Networks, Inc. | Morgan Stanley | 10,291 | 112,243 | 101,366 | (10,813 | ) | |||||||||||||||||||
F5 Networks, Inc. | Morgan Stanley | 208 | 38,790 | 41,346 | 2,545 | ||||||||||||||||||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 29,012 | 434,432 | 413,421 | (13,920 | ) | |||||||||||||||||||
HP,Inc. | Morgan Stanley | 28,434 | 487,470 | 777,954 | 318,979 | ||||||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 1,247 | 200,097 | 204,870 | 4,872 | ||||||||||||||||||||
Knowles Corp. | Morgan Stanley | 2,052 | 40,047 | 38,454 | (1,595 | ) | |||||||||||||||||||
NetApp, Inc. | Morgan Stanley | 5,846 | 381,117 | 524,737 | 154,836 | ||||||||||||||||||||
NETGEAR, Inc. | Morgan Stanley | 956 | 31,643 | 30,506 | (1,358 | ) | |||||||||||||||||||
OSI Systems, Inc. | Morgan Stanley | 200 | 16,812 | 18,960 | 2,160 | ||||||||||||||||||||
Plantronics, Inc. | Morgan Stanley | 3,355 | 126,556 | 86,257 | (40,383 | ) | |||||||||||||||||||
Sanmina Corp. | Morgan Stanley | 3,357 | 86,634 | 129,379 | 43,318 | ||||||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 5,450 | 377,121 | 449,734 | 76,343 | ||||||||||||||||||||
SYNNEX Corp. | Morgan Stanley | 2,504 | 190,672 | 260,666 | 70,588 | ||||||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 3,847 | 442,302 | 527,885 | 91,813 | ||||||||||||||||||||
Trimble, Inc. | Morgan Stanley | 2,248 | 198,361 | 184,898 | (13,363 | ) | |||||||||||||||||||
TTM Technologies, Inc. | Morgan Stanley | 7,292 | 95,807 | 91,660 | (4,090 | ) | |||||||||||||||||||
Ubiquiti, Inc. | Morgan Stanley | 722 | 184,824 | 215,640 | 32,196 | ||||||||||||||||||||
Vishay Intertechnology, Inc. | Morgan Stanley | 5,647 | 123,515 | 113,448 | (9,500 | ) | |||||||||||||||||||
Vontier Corp. | Morgan Stanley | 8,528 | 251,387 | 286,541 | 35,688 | ||||||||||||||||||||
Western Digital Corp. | Morgan Stanley | 5,842 | 360,056 | 329,722 | (30,168 | ) | |||||||||||||||||||
Xerox Holdings Corp. | Morgan Stanley | 8,250 | 196,706 | 166,403 | (27,377 | ) | |||||||||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | 1,043 | 429,743 | 537,583 | 108,034 | ||||||||||||||||||||
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| ||||||||||||||||||
226,196 | 9,465,130 | 12,011,378 | 2,691,025 | ||||||||||||||||||||||
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| ||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 20,938 | 589,111 | 565,535 | 11,062 | ||||||||||||||||||||
Gogo, Inc. | Morgan Stanley | 8,633 | 97,450 | 149,351 | 52,639 | ||||||||||||||||||||
IDT Corp., Class B | Morgan Stanley | 21 | 903 | 881 | (4 | ) | |||||||||||||||||||
Iridium Communications, Inc. | Morgan Stanley | 1,704 | 51,595 | 67,904 | 16,348 | ||||||||||||||||||||
Lumen Technologies, Inc. | Morgan Stanley | 7,647 | 84,231 | 94,746 | 15,609 |
The accompanying notes are an integral part of the financial statements.
84
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Telecommunication Services — (continued) | |||||||||||||||||||||||||
ROGERS COMMUNICATIONS INC (Canada) | Morgan Stanley | 6 | $ | 281 | $ | 280 | $ | (219 | ) | ||||||||||||||||
T-Mobile U.S., Inc. | Morgan Stanley | 3,237 | 381,626 | 413,559 | 32,108 | ||||||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 13,542 | 727,586 | 731,403 | 32,884 | ||||||||||||||||||||
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| ||||||||||||||||||
55,728 | 1,932,783 | 2,023,659 | 160,427 | ||||||||||||||||||||||
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| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 3,462 | 141,548 | 202,873 | 61,401 | ||||||||||||||||||||
ArcBest Corp. | Morgan Stanley | 3,385 | 181,768 | 276,791 | 105,133 | ||||||||||||||||||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 882 | 48,849 | 72,042 | 26,133 | ||||||||||||||||||||
Canadian Pacific Railway Ltd. (Canada) | Morgan Stanley | 1,084 | 78,248 | 70,536 | (7,632 | ) | |||||||||||||||||||
CSX Corp. | Morgan Stanley | 37,434 | 943,026 | 1,113,287 | 178,628 | ||||||||||||||||||||
Echo Global Logistics, Inc. | Morgan Stanley | 6,805 | 130,860 | 324,667 | 195,078 | ||||||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | 2,094 | 243,681 | 249,458 | 7,122 | ||||||||||||||||||||
FedEx Corp. | Morgan Stanley | 199 | 47,841 | 43,639 | (2,616 | ) | |||||||||||||||||||
Hub Group, Inc., Class A | Morgan Stanley | 767 | 50,179 | 52,731 | 2,638 | ||||||||||||||||||||
Kirby Corp. | Morgan Stanley | 453 | 24,293 | 21,726 | (2,539 | ) | |||||||||||||||||||
Matson, Inc. | Morgan Stanley | 334 | 23,231 | 26,957 | 3,803 | ||||||||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 674 | 149,203 | 161,255 | 17,142 | ||||||||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 954 | 229,012 | 272,825 | 44,403 | ||||||||||||||||||||
Schneider National, Inc., Class B | Morgan Stanley | 1,677 | 34,585 | 38,135 | 4,774 | ||||||||||||||||||||
Southwest Airlines Co. | Morgan Stanley | 280 | 14,610 | 14,400 | (186 | ) | |||||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 2,299 | 481,501 | 450,627 | (27,500 | ) | |||||||||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | 3,984 | 183,725 | 189,519 | 6,011 | ||||||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 4,175 | 741,928 | 760,268 | 26,524 | ||||||||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | 2,559 | 215,435 | 203,645 | (11,684 | ) | |||||||||||||||||||
|
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|
|
|
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| ||||||||||||||||||
73,501 | 3,963,523 | 4,545,381 | 626,633 | ||||||||||||||||||||||
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| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 10,999 | 272,005 | 251,107 | (19,601 | ) | |||||||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | 558 | 91,559 | 94,324 | 3,106 | ||||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 6,393 | 444,353 | 466,817 | 35,448 | ||||||||||||||||||||
Exelon Corp. | Morgan Stanley | 17,128 | 676,642 | 827,968 | 174,575 | ||||||||||||||||||||
Fortis,Inc.(Canada) | Morgan Stanley | 155 | 6,895 | 6,871 | (396 | ) | |||||||||||||||||||
MDU Resources Group, Inc. | Morgan Stanley | 1,620 | 45,888 | 48,065 | 3,366 | ||||||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 15,449 | 636,738 | 630,783 | (2,178 | ) | |||||||||||||||||||
PPL Corp. | Morgan Stanley | 27,777 | 814,066 | 774,423 | (33,576 | ) | |||||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 11,781 | 750,939 | 717,463 | (29,276 | ) | |||||||||||||||||||
Southern Co. (The) | Morgan Stanley | 398 | 26,284 | 24,664 | (1,467 | ) | |||||||||||||||||||
TransAlta Corp. (Canada) | Morgan Stanley | 25 | 258 | 264 | 27 | ||||||||||||||||||||
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| ||||||||||||||||||
92,283 | 3,765,627 | 3,842,749 | 130,028 | ||||||||||||||||||||||
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|
| ||||||||||||||||||
Total Reference Entity — Long | 152,873,845 | 176,769,335 | 25,838,229 | ||||||||||||||||||||||
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| ||||||||||||||||||||
Short | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (11,422 | ) | (491,155 | ) | (493,545 | ) | (4,571 | ) | ||||||||||||||||
Dana, Inc. | Morgan Stanley | (2,251 | ) | (61,312 | ) | (50,062 | ) | 11,390 | |||||||||||||||||
Dorman Products, Inc. | Morgan Stanley | (2,116 | ) | (185,124 | ) | (200,322 | ) | (15,619 | ) | ||||||||||||||||
Fox Factory Holding Corp. | Morgan Stanley | (1,572 | ) | (242,548 | ) | (227,217 | ) | 14,759 | |||||||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | (7,896 | ) | (126,733 | ) | (139,759 | ) | (13,309 | ) |
The accompanying notes are an integral part of the financial statements.
85
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Automobiles & Components — (continued) | |||||||||||||||||||||||||
LCI Industries | Morgan Stanley | (6,018 | ) | $ | (844,006 | ) | $ | (810,203 | ) | $ | 24,290 | ||||||||||||||
Patrick Industries, Inc. | Morgan Stanley | (4,864 | ) | (395,250 | ) | (405,171 | ) | (13,574 | ) | ||||||||||||||||
Standard Motor Products, Inc. | Morgan Stanley | (181 | ) | (7,900 | ) | (7,911 | ) | (5 | ) | ||||||||||||||||
Tesla, Inc. | Morgan Stanley | (84 | ) | (57,236 | ) | (65,140 | ) | (8,023 | ) | ||||||||||||||||
Workhorse Group, Inc. | Morgan Stanley | (19,735 | ) | (322,406 | ) | (150,973 | ) | 170,687 | |||||||||||||||||
XPEL, Inc. | Morgan Stanley | (1,302 | ) | (107,861 | ) | (98,770 | ) | 9,094 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(57,441 | ) | (2,841,531 | ) | (2,649,073 | ) | 175,119 | |||||||||||||||||||
|
|
|
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|
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| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
AAON, Inc. | Morgan Stanley | (838 | ) | (62,186 | ) | (54,755 | ) | 7,150 | |||||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | (659 | ) | (71,801 | ) | (71,284 | ) | 364 | |||||||||||||||||
Ameresco, Inc., Class A | Morgan Stanley | (120 | ) | (7,137 | ) | (7,012 | ) | 125 | |||||||||||||||||
American Woodmark Corp. | Morgan Stanley | (2,803 | ) | (225,364 | ) | (183,232 | ) | 41,616 | |||||||||||||||||
API Group Corp., 144A | Morgan Stanley | (2,551 | ) | (57,603 | ) | (51,913 | ) | 5,571 | |||||||||||||||||
Arcosa, Inc. | Morgan Stanley | (4,526 | ) | (258,680 | ) | (227,069 | ) | 30,825 | |||||||||||||||||
Argan, Inc. | Morgan Stanley | (2,184 | ) | (92,467 | ) | (95,375 | ) | (11,862 | ) | ||||||||||||||||
Axon Enterprise, Inc. | Morgan Stanley | (1,299 | ) | (178,292 | ) | (227,351 | ) | (49,464 | ) | ||||||||||||||||
AZEK Co., Inc. (The) | Morgan Stanley | (2,071 | ) | (86,809 | ) | (75,654 | ) | 11,031 | |||||||||||||||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (62,176 | ) | (984,721 | ) | (873,573 | ) | 108,833 | |||||||||||||||||
Bloom Energy Corp., Class A | Morgan Stanley | (11,284 | ) | (250,280 | ) | (211,236 | ) | 38,468 | |||||||||||||||||
Boeing Co. (The) | Morgan Stanley | (907 | ) | (226,835 | ) | (199,486 | ) | 26,829 | |||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | (11,306 | ) | (697,365 | ) | (608,941 | ) | 83,807 | |||||||||||||||||
Carlisle Cos., Inc. | Morgan Stanley | (514 | ) | (104,389 | ) | (102,178 | ) | 1,736 | |||||||||||||||||
Chart Industries, Inc. | Morgan Stanley | (1,322 | ) | (220,066 | ) | (252,647 | ) | (33,086 | ) | ||||||||||||||||
Columbus McKinnon Corp. | Morgan Stanley | (110 | ) | (5,241 | ) | (5,318 | ) | (73 | ) | ||||||||||||||||
Construction Partners, Inc., Class A | Morgan Stanley | (9,297 | ) | (284,203 | ) | (310,241 | ) | (26,693 | ) | ||||||||||||||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (17,846 | ) | (303,326 | ) | (260,730 | ) | 41,894 | |||||||||||||||||
Energy Recovery, Inc. | Morgan Stanley | (5,342 | ) | (109,198 | ) | (101,658 | ) | 7,298 | |||||||||||||||||
EnPro Industries, Inc. | Morgan Stanley | (33 | ) | (2,883 | ) | (2,875 | ) | 21 | |||||||||||||||||
Evoqua Water Technologies Corp. | Morgan Stanley | (20,247 | ) | (617,726 | ) | (760,477 | ) | (147,556 | ) | ||||||||||||||||
Federal Signal Corp. | Morgan Stanley | (3,128 | ) | (117,646 | ) | (120,803 | ) | (4,405 | ) | ||||||||||||||||
Fluor Corp. | Morgan Stanley | (12,214 | ) | (286,199 | ) | (195,058 | ) | 90,481 | |||||||||||||||||
Franklin Electric Co., Inc. | Morgan Stanley | (1,295 | ) | (107,576 | ) | (103,406 | ) | 3,999 | |||||||||||||||||
FuelCell Energy, Inc. | Morgan Stanley | (37,725 | ) | (572,035 | ) | (252,380 | ) | 317,979 | |||||||||||||||||
GATX Corp. | Morgan Stanley | (4,215 | ) | (385,110 | ) | (377,495 | ) | 454 | |||||||||||||||||
GMS, Inc. | Morgan Stanley | (2,687 | ) | (126,596 | ) | (117,691 | ) | 8,623 | |||||||||||||||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (5,972 | ) | (87,880 | ) | (90,117 | ) | (2,429 | ) | ||||||||||||||||
Griffon Corp. | Morgan Stanley | (1,922 | ) | (44,960 | ) | (47,281 | ) | (2,470 | ) | ||||||||||||||||
Helios Technologies, Inc. | Morgan Stanley | (2,022 | ) | (111,853 | ) | (166,026 | ) | (55,981 | ) | ||||||||||||||||
Hexcel Corp. | Morgan Stanley | (1,660 | ) | (100,346 | ) | (98,587 | ) | 1,538 | |||||||||||||||||
Hubbell, Inc. | Morgan Stanley | (444 | ) | (88,561 | ) | (80,217 | ) | 7,888 | |||||||||||||||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (2,671 | ) | (156,550 | ) | (134,244 | ) | 15,342 | |||||||||||||||||
IDEX Corp. | Morgan Stanley | (2,460 | ) | (558,553 | ) | (509,097 | ) | 49,169 | |||||||||||||||||
IES Holdings, Inc. | Morgan Stanley | (31 | ) | (1,384 | ) | (1,416 | ) | (19 | ) | ||||||||||||||||
Kennametal, Inc. | Morgan Stanley | (2,712 | ) | (113,228 | ) | (92,832 | ) | 19,970 | |||||||||||||||||
Kratos Defense & Security Solutions, Inc. | Morgan Stanley | (11,262 | ) | (266,489 | ) | (251,255 | ) | 14,620 | |||||||||||||||||
Lindsay Corp. | Morgan Stanley | (533 | ) | (88,615 | ) | (80,904 | ) | 7,224 | |||||||||||||||||
MasTec, Inc. | Morgan Stanley | (203 | ) | (17,748 | ) | (17,515 | ) | 209 | |||||||||||||||||
Maxar Technologies, Inc. | Morgan Stanley | (3,841 | ) | (153,040 | ) | (108,777 | ) | 43,852 | |||||||||||||||||
Mercury Systems, Inc. | Morgan Stanley | (14,525 | ) | (927,455 | ) | (688,775 | ) | 236,500 |
The accompanying notes are an integral part of the financial statements.
86
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Meritor, Inc. | Morgan Stanley | (9,469 | ) | $ | (249,325 | ) | $ | (201,784 | ) | $ | 47,752 | ||||||||||||||
Moog, Inc., Class A | Morgan Stanley | (1,402 | ) | (129,573 | ) | (106,874 | ) | 20,395 | |||||||||||||||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (2,356 | ) | (214,060 | ) | (188,928 | ) | 23,881 | |||||||||||||||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (5,438 | ) | (62,681 | ) | (82,766 | ) | (22,624 | ) | ||||||||||||||||
Nikola Corp. | Morgan Stanley | (25,769 | ) | (262,161 | ) | (274,955 | ) | (13,398 | ) | ||||||||||||||||
NV5 Global, Inc. | Morgan Stanley | (1,316 | ) | (95,056 | ) | (129,718 | ) | (35,322 | ) | ||||||||||||||||
Parsons Corp. | Morgan Stanley | (2,921 | ) | (109,207 | ) | (98,613 | ) | 10,353 | |||||||||||||||||
PGT Innovations, Inc. | Morgan Stanley | (17,756 | ) | (294,845 | ) | (339,140 | ) | (44,976 | ) | ||||||||||||||||
Plug Power, Inc. | Morgan Stanley | (36,277 | ) | (971,172 | ) | (926,515 | ) | 38,538 | |||||||||||||||||
Primoris Services Corp. | Morgan Stanley | (4,863 | ) | (125,584 | ) | (119,095 | ) | 5,929 | |||||||||||||||||
Proto Labs, Inc. | Morgan Stanley | (6,272 | ) | (893,343 | ) | (417,715 | ) | 473,529 | |||||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | (337 | ) | (78,286 | ) | (71,511 | ) | 6,687 | |||||||||||||||||
REV Group, Inc. | Morgan Stanley | (3,237 | ) | (37,646 | ) | (55,547 | ) | (18,885 | ) | ||||||||||||||||
Shyft Group,Inc.(The) | Morgan Stanley | (1,267 | ) | (53,559 | ) | (48,159 | ) | 5,302 | |||||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (10,553 | ) | (498,927 | ) | (466,337 | ) | 31,170 | |||||||||||||||||
Sunrun, Inc. | Morgan Stanley | (6,310 | ) | (449,219 | ) | (277,640 | ) | 170,532 | |||||||||||||||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (10,280 | ) | (332,762 | ) | (358,875 | ) | (26,884 | ) | ||||||||||||||||
Timken Co. (The) | Morgan Stanley | (2,544 | ) | (194,801 | ) | (166,428 | ) | 27,311 | |||||||||||||||||
Trex Co., Inc | Morgan Stanley | (2,103 | ) | (214,811 | ) | (214,359 | ) | (906 | ) | ||||||||||||||||
TriMas Corp. | Morgan Stanley | (52 | ) | (1,619 | ) | (1,683 | ) | (51 | ) | ||||||||||||||||
UFP Industries, Inc. | Morgan Stanley | (323 | ) | (22,561 | ) | (21,958 | ) | 567 | |||||||||||||||||
Univar Solutions, Inc. | Morgan Stanley | (10,942 | ) | (255,566 | ) | (260,638 | ) | (5,661 | ) | ||||||||||||||||
Valmont Industries, Inc. | Morgan Stanley | (424 | ) | (99,541 | ) | (99,691 | ) | (578 | ) | ||||||||||||||||
Vicor Corp. | Morgan Stanley | (46 | ) | (6,232 | ) | (6,171 | ) | 63 | |||||||||||||||||
Woodward, Inc. | Morgan Stanley | (2,178 | ) | (265,231 | ) | (246,550 | ) | 18,291 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(433,392 | ) | (15,076,164 | ) | (13,398,531 | ) | 1,600,393 | |||||||||||||||||||
|
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|
|
|
|
| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ADT, Inc. | Morgan Stanley | (90,555 | ) | (826,209 | ) | (732,590 | ) | 86,160 | |||||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (7,469 | ) | (625,871 | ) | (592,665 | ) | 29,259 | |||||||||||||||||
Clarivate PLC (Jersey) | Morgan Stanley | (4,493 | ) | (126,007 | ) | (98,397 | ) | 28,986 | |||||||||||||||||
CoStar Group, Inc. | Morgan Stanley | (3,349 | ) | (305,477 | ) | (288,215 | ) | 17,008 | |||||||||||||||||
Covanta Holding Corp. | Morgan Stanley | (16,174 | ) | (285,664 | ) | (325,421 | ) | (52,608 | ) | ||||||||||||||||
Deluxe Corp. | Morgan Stanley | (1,950 | ) | (76,266 | ) | (69,985 | ) | 5,880 | |||||||||||||||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (29,869 | ) | (546,758 | ) | (502,098 | ) | 43,383 | |||||||||||||||||
Forrester Research, Inc. | Morgan Stanley | (2,250 | ) | (79,674 | ) | (110,835 | ) | (31,332 | ) | ||||||||||||||||
FTI Consulting, Inc. | Morgan Stanley | (2,546 | ) | (364,394 | ) | (342,946 | ) | 20,669 | |||||||||||||||||
Harsco Corp. | Morgan Stanley | (8,436 | ) | (140,777 | ) | (142,990 | ) | (2,529 | ) | ||||||||||||||||
Huron Consulting Group, Inc. | Morgan Stanley | (455 | ) | (23,044 | ) | (23,660 | ) | (653 | ) | ||||||||||||||||
IAA, Inc. | Morgan Stanley | (829 | ) | (46,440 | ) | (45,239 | ) | 1,109 | |||||||||||||||||
Insperity, Inc. | Morgan Stanley | (8,969 | ) | (881,788 | ) | (993,227 | ) | (137,017 | ) | ||||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (2,783 | ) | (272,621 | ) | (267,530 | ) | 4,452 | |||||||||||||||||
ManTech International Corp., Class A | Morgan Stanley | (1,401 | ) | (122,791 | ) | (106,364 | ) | 15,332 | |||||||||||||||||
Montrose Environmental Group, Inc. | Morgan Stanley | (1,409 | ) | (76,143 | ) | (86,992 | ) | (11,012 | ) | ||||||||||||||||
Pitney Bowes, Inc. | Morgan Stanley | (47,518 | ) | (399,527 | ) | (342,605 | ) | 52,828 | |||||||||||||||||
Tetra Tech, Inc. | Morgan Stanley | (38 | ) | (5,790 | ) | (5,675 | ) | 458 | |||||||||||||||||
TransUnion | Morgan Stanley | (2,751 | ) | (306,971 | ) | (308,965 | ) | (4,613 | ) | ||||||||||||||||
U.S. Ecology, Inc. | Morgan Stanley | (7,865 | ) | (477,074 | ) | (254,433 | ) | 220,918 | |||||||||||||||||
Upwork, Inc. | Morgan Stanley | (9,594 | ) | (435,697 | ) | (432,018 | ) | 2,664 |
The accompanying notes are an integral part of the financial statements.
87
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Commercial & Professional Services — (continued) | |||||||||||||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (6,636 | ) | $ | (1,285,387 | ) | $ | (1,328,992 | ) | $ | (49,300 | ) | |||||||||||||
Viad Corp. | Morgan Stanley | (4,126 | ) | (170,416 | ) | (187,362 | ) | (17,332 | ) | ||||||||||||||||
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| ||||||||||||||||||
(261,465 | ) | (7,880,786 | ) | (7,589,204 | ) | 222,710 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Callaway Golf Co. | Morgan Stanley | (25,041 | ) | (727,625 | ) | (691,883 | ) | 33,618 | |||||||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (17,383 | ) | (662,591 | ) | (620,052 | ) | 40,987 | |||||||||||||||||
G-III Apparel Group Ltd. | Morgan Stanley | (9,306 | ) | (277,696 | ) | (263,360 | ) | 13,482 | |||||||||||||||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (2,761 | ) | (621,044 | ) | (620,341 | ) | (751 | ) | ||||||||||||||||
Installed Building Products, Inc. | Morgan Stanley | (2,426 | ) | (309,124 | ) | (259,946 | ) | 47,797 | |||||||||||||||||
iRobot Corp. | Morgan Stanley | (838 | ) | (72,618 | ) | (65,783 | ) | 6,680 | |||||||||||||||||
Latham Group, Inc. | Morgan Stanley | (3,377 | ) | (68,222 | ) | (55,383 | ) | 12,695 | |||||||||||||||||
Levi Strauss & Co., Class A | Morgan Stanley | (2,652 | ) | (75,865 | ) | (65,001 | ) | 10,630 | |||||||||||||||||
Lovesac Co. (The) | Morgan Stanley | (499 | ) | (35,745 | ) | (32,979 | ) | 2,699 | |||||||||||||||||
Malibu Boats, Inc., Class A | Morgan Stanley | (1,920 | ) | (161,954 | ) | (134,362 | ) | 27,226 | |||||||||||||||||
Oxford Industries, Inc. | Morgan Stanley | (2,646 | ) | (172,283 | ) | (238,590 | ) | (70,991 | ) | ||||||||||||||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (29,039 | ) | (3,034,449 | ) | (2,527,845 | ) | 499,434 | |||||||||||||||||
Purple Innovation, Inc. | Morgan Stanley | (28,391 | ) | (874,232 | ) | (596,779 | ) | 275,399 | |||||||||||||||||
Vizio Holding Corp., Class A | Morgan Stanley | (903 | ) | (18,766 | ) | (19,180 | ) | (441 | ) | ||||||||||||||||
Wolverine World Wide, Inc. | Morgan Stanley | (6,694 | ) | (195,188 | ) | (199,749 | ) | (11,630 | ) | ||||||||||||||||
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|
|
|
|
| ||||||||||||||||||
(133,876 | ) | (7,307,402 | ) | (6,391,233 | ) | 886,834 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
2U INC | Morgan Stanley | (159 | ) | (5,337 | ) | (5,338 | ) | 401 | |||||||||||||||||
Aramark | Morgan Stanley | (14,424 | ) | (590,188 | ) | (473,973 | ) | 110,252 | |||||||||||||||||
Bally’s Corp. | Morgan Stanley | (9,768 | ) | (594,052 | ) | (489,767 | ) | 102,760 | |||||||||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (4,866 | ) | (828,923 | ) | (678,418 | ) | 148,681 | |||||||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (36,522 | ) | (869,586 | ) | (913,415 | ) | (66,725 | ) | ||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (3,403 | ) | (537,728 | ) | (515,452 | ) | 22,951 | |||||||||||||||||
Denny’s Corp. | Morgan Stanley | (25,388 | ) | (388,883 | ) | (414,840 | ) | (28,067 | ) | ||||||||||||||||
Frontdoor, Inc. | Morgan Stanley | (2,439 | ) | (133,072 | ) | (102,194 | ) | 30,766 | |||||||||||||||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (3,133 | ) | (137,859 | ) | (209,880 | ) | (72,354 | ) | ||||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | (1,658 | ) | (205,365 | ) | (210,549 | ) | (6,073 | ) | ||||||||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (2,209 | ) | (170,496 | ) | (173,517 | ) | (3,407 | ) | ||||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (7,190 | ) | (625,034 | ) | (639,550 | ) | (15,980 | ) | ||||||||||||||||
Shake Shack, Inc., Class A | Morgan Stanley | (6,289 | ) | (612,071 | ) | (493,435 | ) | 117,565 | |||||||||||||||||
Stride, Inc. | Morgan Stanley | (3,395 | ) | (95,957 | ) | (122,016 | ) | (27,078 | ) | ||||||||||||||||
Terminix Global Holdings, Inc. | Morgan Stanley | (1,346 | ) | (71,126 | ) | (56,088 | ) | 15,220 | |||||||||||||||||
Wingstop, Inc. | Morgan Stanley | (6,111 | ) | (1,050,568 | ) | (1,001,776 | ) | 44,314 | |||||||||||||||||
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| ||||||||||||||||||
(128,300 | ) | (6,916,245 | ) | (6,500,208 | ) | 373,226 | |||||||||||||||||||
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| ||||||||||||||||||
Diversified Financials | |||||||||||||||||||||||||
FactSet Research Systems, Inc. | Morgan Stanley | (51 | ) | (20,181 | ) | (20,134 | ) | 16 | |||||||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | (4,841 | ) | (574,730 | ) | (555,844 | ) | 18,564 | |||||||||||||||||
Morningstar, Inc. | Morgan Stanley | (238 | ) | (66,444 | ) | (61,649 | ) | 4,696 | |||||||||||||||||
Open Lending Corp., Class A | Morgan Stanley | (3,121 | ) | (128,661 | ) | (112,574 | ) | 16,405 | |||||||||||||||||
|
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|
|
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| ||||||||||||||||||
(8,251 | ) | (790,016 | ) | (750,201 | ) | 39,681 | |||||||||||||||||||
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| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | (12,352 | ) | (126,779 | ) | (128,708 | ) | (2,212 | ) | ||||||||||||||||
Bonanza Creek Energy, Inc. | Morgan Stanley | (2,837 | ) | (125,472 | ) | (135,892 | ) | (10,905 | ) |
The accompanying notes are an integral part of the financial statements.
88
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Energy — (continued) | |||||||||||||||||||||||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (53,673 | ) | $ | (517,804 | ) | $ | (539,950 | ) | $ | (29,840 | ) | |||||||||||||
Cheniere Energy, Inc. | Morgan Stanley | (11,179 | ) | (966,661 | ) | (1,091,853 | ) | (127,494 | ) | ||||||||||||||||
Comstock Resources, Inc. | Morgan Stanley | (11,977 | ) | (113,313 | ) | (123,962 | ) | (10,900 | ) | ||||||||||||||||
Core Laboratories N.V. (Netherlands) | Morgan Stanley | (3,747 | ) | (116,652 | ) | (103,979 | ) | 12,396 | |||||||||||||||||
CVR Energy, Inc. | Morgan Stanley | (6,252 | ) | (101,940 | ) | (104,158 | ) | (2,442 | ) | ||||||||||||||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (36,152 | ) | (644,190 | ) | (649,651 | ) | (15,180 | ) | ||||||||||||||||
Devon Energy Corp. | Morgan Stanley | (24,435 | ) | (689,226 | ) | (867,687 | ) | (217,019 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (7,946 | ) | (678,677 | ) | (752,248 | ) | (88,040 | ) | ||||||||||||||||
Dril-Quip, Inc. | Morgan Stanley | (4,779 | ) | (159,626 | ) | (120,335 | ) | 39,171 | |||||||||||||||||
Enbridge, Inc. (Canada) | Morgan Stanley | (1,265 | ) | (49,738 | ) | (50,347 | ) | (1,550 | ) | ||||||||||||||||
Enerplus Corp. (Canada) | Morgan Stanley | (39,938 | ) | (232,509 | ) | (319,504 | ) | (89,024 | ) | ||||||||||||||||
EQT Corp. | Morgan Stanley | (81,931 | ) | (1,514,989 | ) | (1,676,308 | ) | (164,890 | ) | ||||||||||||||||
FLEX LNG Ltd. (Bermuda) | Morgan Stanley | (31 | ) | (548 | ) | (558 | ) | 6 | |||||||||||||||||
Gevo, Inc. | Morgan Stanley | (46,434 | ) | (280,270 | ) | (308,322 | ) | (28,698 | ) | ||||||||||||||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (23,112 | ) | (251,334 | ) | (280,349 | ) | (30,515 | ) | ||||||||||||||||
New Fortress Energy, Inc. | Morgan Stanley | (7,944 | ) | (228,863 | ) | (220,446 | ) | 7,323 | |||||||||||||||||
Northern Oil and Gas, Inc. | Morgan Stanley | (10,562 | ) | (203,641 | ) | (226,027 | ) | (23,552 | ) | ||||||||||||||||
Par Pacific Holdings, Inc. | Morgan Stanley | (10,177 | ) | (156,759 | ) | (159,982 | ) | (3,578 | ) | ||||||||||||||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (8,231 | ) | (66,107 | ) | (74,079 | ) | (9,022 | ) | ||||||||||||||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (7,466 | ) | (269,733 | ) | (236,598 | ) | 9,620 | |||||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (7,569 | ) | (1,241,413 | ) | (1,260,314 | ) | (49,238 | ) | ||||||||||||||||
Range Resources Corp. | Morgan Stanley | (13,834 | ) | (210,042 | ) | (313,063 | ) | (104,409 | ) | ||||||||||||||||
RPC, Inc. | Morgan Stanley | (33,444 | ) | (160,302 | ) | (162,538 | ) | (2,745 | ) | ||||||||||||||||
SFL Corp. Ltd. (Bermuda) | Morgan Stanley | (6,629 | ) | (90,884 | ) | (55,551 | ) | 21,789 | |||||||||||||||||
Southwestern Energy Co. | Morgan Stanley | (105,824 | ) | (476,139 | ) | (586,265 | ) | (115,857 | ) | ||||||||||||||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (189,022 | ) | (1,368,201 | ) | (1,423,336 | ) | (58,358 | ) | ||||||||||||||||
Tellurian, Inc. | Morgan Stanley | (111,523 | ) | (332,214 | ) | (436,055 | ) | (105,230 | ) | ||||||||||||||||
Valero Energy Corp. | Morgan Stanley | (1,239 | ) | (81,415 | ) | (87,436 | ) | (7,632 | ) | ||||||||||||||||
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| ||||||||||||||||||
(881,504 | ) | (11,455,441 | ) | (12,495,501 | ) | (1,208,025 | ) | ||||||||||||||||||
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| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | (8,239 | ) | (413,430 | ) | (452,486 | ) | (43,159 | ) | ||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | (4,205 | ) | (824,382 | ) | (792,432 | ) | 29,501 | |||||||||||||||||
Chefs’ Warehouse, Inc. (The) | Morgan Stanley | (3,409 | ) | (103,011 | ) | (111,031 | ) | (9,556 | ) | ||||||||||||||||
Grocery Outlet Holding Corp. | Morgan Stanley | (23,121 | ) | (947,268 | ) | (498,720 | ) | 446,859 | |||||||||||||||||
Performance Food Group Co. | Morgan Stanley | (5,445 | ) | (252,653 | ) | (252,975 | ) | (903 | ) | ||||||||||||||||
Rite Aid Corp. | Morgan Stanley | (6,315 | ) | (116,929 | ) | (89,673 | ) | 26,996 | |||||||||||||||||
U.S. Foods Holding Corp. | Morgan Stanley | (737 | ) | (25,634 | ) | (25,544 | ) | (823 | ) | ||||||||||||||||
United Natural Foods, Inc. | Morgan Stanley | (7,419 | ) | (267,607 | ) | (359,228 | ) | (103,662 | ) | ||||||||||||||||
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| ||||||||||||||||||
(58,890 | ) | (2,950,914 | ) | (2,582,089 | ) | 345,253 | |||||||||||||||||||
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| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
B&G Foods, Inc. | Morgan Stanley | (10,514 | ) | (342,945 | ) | (314,263 | ) | 12,980 | |||||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (2,767 | ) | (449,434 | ) | (291,254 | ) | 157,132 | |||||||||||||||||
Boston Beer Co., Inc. (The), Class A | Morgan Stanley | (109 | ) | (78,308 | ) | (55,563 | ) | 24,886 | |||||||||||||||||
Celsius Holdings, Inc. | Morgan Stanley | (15,665 | ) | (1,139,688 | ) | (1,411,260 | ) | (274,254 | ) | ||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | (9,787 | ) | (335,020 | ) | (331,486 | ) | 1,522 | |||||||||||||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | Morgan Stanley | (6,689 | ) | (181,448 | ) | (215,520 | ) | (39,018 | ) | ||||||||||||||||
Freshpet, Inc. | Morgan Stanley | (3,935 | ) | (598,979 | ) | (561,485 | ) | 36,035 | |||||||||||||||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | (6,286 | ) | (246,193 | ) | (268,915 | ) | (23,287 | ) |
The accompanying notes are an integral part of the financial statements.
89
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Food, Beverage & Tobacco — (continued) | |||||||||||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (16,187 | ) | $ | (678,228 | ) | $ | (663,667 | ) | $ | 12,972 | ||||||||||||||
Hostess Brands, Inc. | Morgan Stanley | (1,599 | ) | (27,539 | ) | (27,775 | ) | (284 | ) | ||||||||||||||||
Ingredion, Inc. | Morgan Stanley | (9,782 | ) | (888,637 | ) | (870,696 | ) | 13,366 | |||||||||||||||||
J & J Snack Foods Corp. | Morgan Stanley | (871 | ) | (161,668 | ) | (133,106 | ) | 24,100 | |||||||||||||||||
Keurig Dr Pepper, Inc. | Morgan Stanley | (5,079 | ) | (178,353 | ) | (173,499 | ) | 3,708 | |||||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (1,817 | ) | (152,273 | ) | (111,509 | ) | 39,994 | |||||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (648 | ) | (112,125 | ) | (109,389 | ) | 2,289 | |||||||||||||||||
McCormick & Co, Inc. | Morgan Stanley | (4,944 | ) | (436,088 | ) | (400,612 | ) | 33,244 | |||||||||||||||||
MGP Ingredients, Inc. | Morgan Stanley | (3,080 | ) | (171,205 | ) | (200,508 | ) | (32,187 | ) | ||||||||||||||||
Pilgrim’s Pride Corp. | Morgan Stanley | (5,384 | ) | (123,196 | ) | (156,567 | ) | (34,049 | ) | ||||||||||||||||
Post Holdings, Inc. | Morgan Stanley | (4,338 | ) | (499,696 | ) | (477,874 | ) | 20,656 | |||||||||||||||||
TreeHouse Foods, Inc. | Morgan Stanley | (12,020 | ) | (462,979 | ) | (479,358 | ) | (17,458 | ) | ||||||||||||||||
Universal Corp. | Morgan Stanley | (1,084 | ) | (53,579 | ) | (52,390 | ) | 1,080 | |||||||||||||||||
Utz Brands, Inc. | Morgan Stanley | (17,339 | ) | (367,046 | ) | (297,017 | ) | 68,245 | |||||||||||||||||
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| ||||||||||||||||||
(139,924 | ) | (7,684,627 | ) | (7,603,713 | ) | 31,672 | |||||||||||||||||||
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| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (15,589 | ) | (503,485 | ) | (315,677 | ) | 186,632 | |||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (1,334 | ) | (433,136 | ) | (434,244 | ) | (3,783 | ) | ||||||||||||||||
Accolade, Inc. | Morgan Stanley | (3,292 | ) | (157,508 | ) | (138,824 | ) | 18,329 | |||||||||||||||||
AdaptHealth Corp. | Morgan Stanley | (7,398 | ) | (196,611 | ) | (172,299 | ) | 23,875 | |||||||||||||||||
Alphatec Holdings, Inc. | Morgan Stanley | (8,521 | ) | (120,232 | ) | (103,871 | ) | 16,093 | |||||||||||||||||
American Well Corp., Class A | Morgan Stanley | (13,572 | ) | (190,012 | ) | (123,641 | ) | 65,938 | |||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | (6,001 | ) | (727,608 | ) | (716,819 | ) | 7,672 | |||||||||||||||||
Apollo Medical Holdings, Inc. | Morgan Stanley | (1,088 | ) | (104,476 | ) | (99,062 | ) | 5,184 | |||||||||||||||||
Avanos Medical, Inc. | Morgan Stanley | (2,525 | ) | (94,596 | ) | (78,780 | ) | 15,890 | |||||||||||||||||
Axogen, Inc. | Morgan Stanley | (5,376 | ) | (83,392 | ) | (84,941 | ) | (3,714 | ) | ||||||||||||||||
BioLife Solutions, Inc. | Morgan Stanley | (3,092 | ) | (125,985 | ) | (130,853 | ) | (5,149 | ) | ||||||||||||||||
Cardiovascular Systems, Inc. | Morgan Stanley | (7,023 | ) | (332,338 | ) | (230,565 | ) | 101,199 | |||||||||||||||||
Castle Biosciences, Inc. | Morgan Stanley | (6,187 | ) | (413,850 | ) | (411,435 | ) | 1,451 | |||||||||||||||||
Covetrus, Inc. | Morgan Stanley | (14,579 | ) | (441,567 | ) | (264,463 | ) | 176,075 | |||||||||||||||||
CryoPort, Inc. | Morgan Stanley | (1,950 | ) | (111,934 | ) | (129,694 | ) | (18,207 | ) | ||||||||||||||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (9,078 | ) | (408,772 | ) | (372,380 | ) | 35,744 | |||||||||||||||||
Guardant Health, Inc. | Morgan Stanley | (3,920 | ) | (581,845 | ) | (490,039 | ) | 91,473 | |||||||||||||||||
Haemonetics Corp. | Morgan Stanley | (5,932 | ) | (501,980 | ) | (418,740 | ) | 82,068 | |||||||||||||||||
Health Catalyst, Inc. | Morgan Stanley | (2,946 | ) | (153,850 | ) | (147,329 | ) | 6,173 | |||||||||||||||||
HealthEquity, Inc. | Morgan Stanley | (61 | ) | (4,013 | ) | (3,950 | ) | 1,354 | |||||||||||||||||
Hill-Rom Holdings, Inc. | Morgan Stanley | (824 | ) | (109,620 | ) | (123,600 | ) | (14,429 | ) | ||||||||||||||||
Humana, Inc. | Morgan Stanley | (851 | ) | (393,290 | ) | (331,167 | ) | 61,774 | |||||||||||||||||
ICU Medical, Inc. | Morgan Stanley | (77 | ) | (18,044 | ) | (17,970 | ) | 4,878 | |||||||||||||||||
Inari Medical, Inc. | Morgan Stanley | (1,709 | ) | (157,925 | ) | (138,600 | ) | 18,968 | |||||||||||||||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (5,180 | ) | (178,260 | ) | (208,702 | ) | (30,847 | ) | ||||||||||||||||
Insulet Corp. | Morgan Stanley | (2,215 | ) | (618,798 | ) | (629,569 | ) | (12,584 | ) | ||||||||||||||||
iRhythm Technologies, Inc. | Morgan Stanley | (4,031 | ) | (188,809 | ) | (236,055 | ) | (47,676 | ) | ||||||||||||||||
Joint Corp. (The) | Morgan Stanley | (974 | ) | (77,171 | ) | (95,471 | ) | (19,124 | ) | ||||||||||||||||
Lantheus Holdings, Inc. | Morgan Stanley | (11,995 | ) | (282,162 | ) | (308,032 | ) | (27,677 | ) | ||||||||||||||||
Magellan Health, Inc. | Morgan Stanley | (1,287 | ) | (120,561 | ) | (121,686 | ) | (1,393 | ) | ||||||||||||||||
Masimo Corp. | Morgan Stanley | (3,225 | ) | (850,785 | ) | (873,040 | ) | (25,303 | ) | ||||||||||||||||
Mesa Laboratories, Inc. | Morgan Stanley | (408 | ) | (108,768 | ) | (123,363 | ) | (15,204 | ) | ||||||||||||||||
ModivCare, Inc. | Morgan Stanley | (329 | ) | (60,467 | ) | (59,753 | ) | 588 |
The accompanying notes are an integral part of the financial statements.
90
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Health Care Equipment & Services — (continued) | |||||||||||||||||||||||||
National HealthCare Corp. | Morgan Stanley | (4 | ) | $ | (280 | ) | $ | (280 | ) | $ | 15 | ||||||||||||||
Neogen Corp. | Morgan Stanley | (1,904 | ) | (87,730 | ) | (82,691 | ) | 4,850 | |||||||||||||||||
Oak Street Health, Inc. | Morgan Stanley | (24,166 | ) | (1,217,910 | ) | (1,027,780 | ) | 187,263 | |||||||||||||||||
Option Care Health, Inc. | Morgan Stanley | (10,036 | ) | (221,943 | ) | (243,473 | ) | (22,969 | ) | ||||||||||||||||
OrthoPediatrics Corp. | Morgan Stanley | (1,994 | ) | (104,342 | ) | (130,627 | ) | (26,867 | ) | ||||||||||||||||
Outset Medical, Inc. | Morgan Stanley | (3,325 | ) | (139,653 | ) | (164,388 | ) | (25,048 | ) | ||||||||||||||||
Penumbra, Inc. | Morgan Stanley | (2,191 | ) | (586,632 | ) | (583,901 | ) | 943 | |||||||||||||||||
PetIQ, Inc. | Morgan Stanley | (7,779 | ) | (246,302 | ) | (194,242 | ) | 51,712 | |||||||||||||||||
Phreesia, Inc. | Morgan Stanley | (382 | ) | (23,578 | ) | (23,569 | ) | (30 | ) | ||||||||||||||||
Progyny, Inc. | Morgan Stanley | (11,800 | ) | (682,219 | ) | (660,800 | ) | 19,795 | |||||||||||||||||
Quidel Corp. | Morgan Stanley | (1,661 | ) | (242,760 | ) | (234,450 | ) | 7,752 | |||||||||||||||||
RadNet, Inc. | Morgan Stanley | (6,830 | ) | (100,602 | ) | (200,187 | ) | (99,822 | ) | ||||||||||||||||
ResMed, Inc. | Morgan Stanley | (863 | ) | (232,838 | ) | (227,444 | ) | (310 | ) | ||||||||||||||||
Schrodinger, Inc. | Morgan Stanley | (10,664 | ) | (628,365 | ) | (583,107 | ) | 43,786 | |||||||||||||||||
Silk Road Medical, Inc. | Morgan Stanley | (4,937 | ) | (289,184 | ) | (271,683 | ) | 16,229 | |||||||||||||||||
Simulations Plus, Inc. | Morgan Stanley | (1,697 | ) | (124,568 | ) | (67,031 | ) | 57,071 | |||||||||||||||||
SmileDirectClub, Inc. | Morgan Stanley | (66,173 | ) | (398,343 | ) | (352,040 | ) | 45,377 | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (10,661 | ) | (2,306,886 | ) | (2,177,829 | ) | 119,683 | |||||||||||||||||
Surgery Partners, Inc. | Morgan Stanley | (7,371 | ) | (365,275 | ) | (312,088 | ) | 52,339 | |||||||||||||||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (7,596 | ) | (442,611 | ) | (199,091 | ) | 243,098 | |||||||||||||||||
Tactile Systems Technology, Inc. | Morgan Stanley | (3,532 | ) | (138,018 | ) | (156,997 | ) | (19,330 | ) | ||||||||||||||||
Teladoc Health, Inc. | Morgan Stanley | (1,833 | ) | (286,722 | ) | (232,443 | ) | 53,618 | |||||||||||||||||
U.S. Physical Therapy, Inc. | Morgan Stanley | (2,306 | ) | (302,221 | ) | (255,044 | ) | 42,684 | |||||||||||||||||
Vocera Communications, Inc. | Morgan Stanley | (1,515 | ) | (38,856 | ) | (69,326 | ) | (31,575 | ) | ||||||||||||||||
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| ||||||||||||||||||
(343,789 | ) | (18,059,688 | ) | (16,585,125 | ) | 1,416,532 | |||||||||||||||||||
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| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Central Garden & Pet Co., Class A | Morgan Stanley | (3,544 | ) | (135,191 | ) | (152,392 | ) | (17,503 | ) | ||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (3,775 | ) | (651,550 | ) | (625,178 | ) | 23,558 | |||||||||||||||||
Energizer Holdings, Inc. | Morgan Stanley | (9,342 | ) | (367,888 | ) | (364,805 | ) | 1,361 | |||||||||||||||||
Honest Co., Inc. (The) | Morgan Stanley | (10,541 | ) | (109,015 | ) | (109,416 | ) | (641 | ) | ||||||||||||||||
Inter Parfums, Inc. | Morgan Stanley | (685 | ) | (49,400 | ) | (51,217 | ) | (1,996 | ) | ||||||||||||||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (4,593 | ) | (130,309 | ) | (125,573 | ) | 4,110 | |||||||||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | (1,986 | ) | (185,436 | ) | (190,001 | ) | (4,426 | ) | ||||||||||||||||
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|
|
|
|
|
| ||||||||||||||||||
(34,466 | ) | (1,628,789 | ) | (1,618,582 | ) | 4,463 | |||||||||||||||||||
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| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
Albemarle Corp. | Morgan Stanley | (546 | ) | (113,186 | ) | (119,558 | ) | (8,977 | ) | ||||||||||||||||
Allegheny Technologies, Inc. | Morgan Stanley | (5,128 | ) | (89,496 | ) | (85,279 | ) | 4,023 | |||||||||||||||||
Amyris, Inc. | Morgan Stanley | (14,698 | ) | (199,365 | ) | (201,804 | ) | (2,894 | ) | ||||||||||||||||
AptarGroup, Inc. | Morgan Stanley | (443 | ) | (59,272 | ) | (52,872 | ) | 6,277 | |||||||||||||||||
Arconic Corp. | Morgan Stanley | (1,852 | ) | (66,708 | ) | (58,412 | ) | 8,155 | |||||||||||||||||
Balchem Corp. | Morgan Stanley | (347 | ) | (50,111 | ) | (50,339 | ) | (330 | ) | ||||||||||||||||
Cabot Corp. | Morgan Stanley | (1,562 | ) | (84,689 | ) | (78,287 | ) | 5,692 | |||||||||||||||||
Century Aluminum Co. | Morgan Stanley | (16,830 | ) | (203,308 | ) | (226,363 | ) | (23,519 | ) | ||||||||||||||||
Cleveland-Cliffs, Inc. | Morgan Stanley | (2,631 | ) | (50,961 | ) | (52,120 | ) | (1,263 | ) | ||||||||||||||||
Coeur Mining, Inc. | Morgan Stanley | (49,375 | ) | (338,056 | ) | (304,644 | ) | 32,640 | |||||||||||||||||
Ecolab, Inc. | Morgan Stanley | (1,735 | ) | (384,035 | ) | (361,956 | ) | 21,134 | |||||||||||||||||
Element Solutions, Inc. | Morgan Stanley | (6,332 | ) | (147,614 | ) | (137,278 | ) | 9,735 | |||||||||||||||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (51,051 | ) | (529,808 | ) | (336,937 | ) | 191,634 |
The accompanying notes are an integral part of the financial statements.
91
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Materials — (continued) | |||||||||||||||||||||||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (30,454 | ) | $ | (408,533 | ) | $ | (344,130 | ) | $ | 63,407 | ||||||||||||||
FMC Corp. | Morgan Stanley | (3,795 | ) | (366,910 | ) | (347,470 | ) | 16,797 | |||||||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | (7,654 | ) | (1,103,707 | ) | (994,331 | ) | 105,034 | |||||||||||||||||
HB Fuller Co. | Morgan Stanley | (5,240 | ) | (338,733 | ) | (338,294 | ) | (1,297 | ) | ||||||||||||||||
Huntsman Corp. | Morgan Stanley | (39,260 | ) | (1,026,529 | ) | (1,161,703 | ) | (143,004 | ) | ||||||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (9,935 | ) | (1,398,200 | ) | (1,328,508 | ) | 57,285 | |||||||||||||||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (1,194 | ) | (58,973 | ) | (49,658 | ) | 8,297 | |||||||||||||||||
MAG Silver Corp. (Canada) | Morgan Stanley | (500 | ) | (8,144 | ) | (8,100 | ) | 42 | |||||||||||||||||
Materion Corp. | Morgan Stanley | (1,156 | ) | (84,059 | ) | (79,348 | ) | 4,310 | |||||||||||||||||
Methanex Corp. (Canada) | Morgan Stanley | (2,182 | ) | (73,224 | ) | (100,459 | ) | (28,852 | ) | ||||||||||||||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (30,522 | ) | (308,084 | ) | (209,991 | ) | 97,380 | |||||||||||||||||
Quaker Chemical Corp. | Morgan Stanley | (1,283 | ) | (311,690 | ) | (304,995 | ) | 5,671 | |||||||||||||||||
RPM International, Inc. | Morgan Stanley | (3,608 | ) | (309,585 | ) | (280,161 | ) | 28,390 | |||||||||||||||||
Sandstorm Gold Ltd. (Canada) | Morgan Stanley | (4,336 | ) | (26,061 | ) | (24,975 | ) | 1,041 | |||||||||||||||||
Schweitzer-Mauduit International, Inc. | Morgan Stanley | (803 | ) | (29,538 | ) | (27,832 | ) | 1,544 | |||||||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | (6,575 | ) | (1,047,073 | ) | (962,317 | ) | 79,277 | |||||||||||||||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (9,827 | ) | (180,637 | ) | (151,827 | ) | 28,403 | |||||||||||||||||
Silgan Holdings, Inc. | Morgan Stanley | (1,780 | ) | (76,841 | ) | (68,281 | ) | 7,954 | |||||||||||||||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (5,049 | ) | (40,850 | ) | (35,242 | ) | 5,529 | |||||||||||||||||
Sonoco Products Co. | Morgan Stanley | (1,708 | ) | (109,985 | ) | (101,763 | ) | 7,979 | |||||||||||||||||
Stepan Co. | Morgan Stanley | (1,368 | ) | (173,812 | ) | (154,502 | ) | 18,208 | |||||||||||||||||
Summit Materials, Inc., Class A | Morgan Stanley | (2,877 | ) | (100,331 | ) | (91,978 | ) | 8,133 | |||||||||||||||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (12,903 | ) | (297,751 | ) | (321,414 | ) | (25,248 | ) | ||||||||||||||||
Valvoline, Inc. | Morgan Stanley | (17,204 | ) | (508,910 | ) | (536,421 | ) | (34,382 | ) | ||||||||||||||||
Warrior Met Coal, Inc. | Morgan Stanley | (10,636 | ) | (196,611 | ) | (247,500 | ) | (56,688 | ) | ||||||||||||||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (120,804 | ) | (564,399 | ) | (478,384 | ) | 74,766 | |||||||||||||||||
|
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| ||||||||||||||||||
(485,183 | ) | (11,465,779 | ) | (10,815,433 | ) | 572,283 | |||||||||||||||||||
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| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Angi, Inc. | Morgan Stanley | (47,702 | ) | (655,443 | ) | (588,643 | ) | 65,208 | |||||||||||||||||
Cable One, Inc. | Morgan Stanley | (483 | ) | (949,054 | ) | (875,742 | ) | 70,128 | |||||||||||||||||
Cardlytics, Inc. | Morgan Stanley | (1,443 | ) | (121,977 | ) | (121,125 | ) | 580 | |||||||||||||||||
Cargurus, Inc. | Morgan Stanley | (5,773 | ) | (183,270 | ) | (181,330 | ) | 1,523 | |||||||||||||||||
Cinemark Holdings, Inc. | Morgan Stanley | (7,765 | ) | (176,859 | ) | (149,166 | ) | 27,493 | |||||||||||||||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (36,081 | ) | (86,427 | ) | (97,779 | ) | (11,833 | ) | ||||||||||||||||
EW Scripps Co. (The), Class A | Morgan Stanley | (4,559 | ) | (66,656 | ) | (82,336 | ) | (16,864 | ) | ||||||||||||||||
iHeartMedia, Inc., Class A | Morgan Stanley | (8,228 | ) | (161,768 | ) | (205,865 | ) | (44,462 | ) | ||||||||||||||||
Madison Square Garden Entertainment Corp. | Morgan Stanley | (2,386 | ) | (234,754 | ) | (173,391 | ) | 60,825 | |||||||||||||||||
Magnite, Inc. | Morgan Stanley | (1,121 | ) | (45,448 | ) | (31,388 | ) | 13,970 | |||||||||||||||||
Match Group, Inc. | Morgan Stanley | (521 | ) | (86,456 | ) | (81,792 | ) | 13,998 | |||||||||||||||||
MediaAlpha, Inc., Class A | Morgan Stanley | (1,600 | ) | (37,081 | ) | (29,888 | ) | 7,123 | |||||||||||||||||
Meredith Corp. | Morgan Stanley | (6,466 | ) | (254,128 | ) | (360,156 | ) | (110,661 | ) | ||||||||||||||||
Nexstar Media Group, Inc., Class A | Morgan Stanley | (296 | ) | (46,003 | ) | (44,980 | ) | 931 | |||||||||||||||||
Sciplay Corp., Class A | Morgan Stanley | (1,303 | ) | (26,669 | ) | (26,959 | ) | (336 | ) | ||||||||||||||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (2,488 | ) | (67,695 | ) | (72,252 | ) | (5,815 | ) | ||||||||||||||||
Sinclair Broadcast Group, Inc., Class A | Morgan Stanley | (8,425 | ) | (321,628 | ) | (266,904 | ) | 41,893 | |||||||||||||||||
Skillz, Inc. | Morgan Stanley | (15,540 | ) | (171,341 | ) | (152,603 | ) | 18,350 | |||||||||||||||||
TEGNA, Inc. | Morgan Stanley | (4,451 | ) | (86,210 | ) | (87,774 | ) | (2,541 | ) | ||||||||||||||||
TripAdvisor, Inc. | Morgan Stanley | (1,598 | ) | (72,631 | ) | (54,092 | ) | 18,384 | |||||||||||||||||
WideOpenWest, Inc. | Morgan Stanley | (5,438 | ) | (34,126 | ) | (106,857 | ) | (73,881 | ) |
The accompanying notes are an integral part of the financial statements.
92
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Media & Entertainment — (continued) | |||||||||||||||||||||||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (2,630 | ) | $ | (147,417 | ) | $ | (160,930 | ) | $ | (18,776 | ) | |||||||||||||
Zynga, Inc., Class A | Morgan Stanley | (12,126 | ) | (142,913 | ) | (91,309 | ) | 51,283 | |||||||||||||||||
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| ||||||||||||||||||
(178,423 | ) | (4,175,954 | ) | (4,043,261 | ) | 106,520 | |||||||||||||||||||
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| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | |||||||||||||||||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (2,157 | ) | (340,800 | ) | (314,016 | ) | 25,994 | |||||||||||||||||
ACADIA Pharmaceuticals, Inc. | Morgan Stanley | (8,155 | ) | (135,661 | ) | (135,455 | ) | (97 | ) | ||||||||||||||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (9,717 | ) | (456,574 | ) | (330,281 | ) | 125,229 | |||||||||||||||||
Agenus, Inc. | Morgan Stanley | (16 | ) | (93 | ) | (84 | ) | 156 | |||||||||||||||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | (6,449 | ) | (33,278 | ) | (34,438 | ) | (1,221 | ) | ||||||||||||||||
Apellis Pharmaceuticals, Inc. | Morgan Stanley | (12,327 | ) | (583,095 | ) | (406,298 | ) | 175,433 | |||||||||||||||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (5,988 | ) | (508,673 | ) | (286,107 | ) | 221,379 | |||||||||||||||||
Arvinas, Inc. | Morgan Stanley | (7,719 | ) | (484,307 | ) | (634,347 | ) | (151,171 | ) | ||||||||||||||||
Avantor, Inc. | Morgan Stanley | (14,537 | ) | (584,715 | ) | (594,563 | ) | (17,757 | ) | ||||||||||||||||
Avid Bioservices, Inc. | Morgan Stanley | (704 | ) | (14,605 | ) | (15,185 | ) | (608 | ) | ||||||||||||||||
Axsome Therapeutics, Inc. | Morgan Stanley | (6,295 | ) | (281,134 | ) | (207,483 | ) | 73,003 | |||||||||||||||||
Berkeley Lights, Inc. | Morgan Stanley | (17,042 | ) | (697,786 | ) | (333,342 | ) | 362,809 | |||||||||||||||||
Bluebird Bio, Inc. | Morgan Stanley | (9,676 | ) | (177,058 | ) | (184,908 | ) | (8,253 | ) | ||||||||||||||||
Catalent, Inc. | Morgan Stanley | (4,458 | ) | (548,388 | ) | (593,226 | ) | (46,120 | ) | ||||||||||||||||
ChemoCentryx, Inc. | Morgan Stanley | (21,634 | ) | (327,147 | ) | (369,941 | ) | (43,639 | ) | ||||||||||||||||
Codexis, Inc. | Morgan Stanley | (10,050 | ) | (147,545 | ) | (233,763 | ) | (87,550 | ) | ||||||||||||||||
Cronos Group, Inc. (Canada) | Morgan Stanley | (13,991 | ) | (97,643 | ) | (79,189 | ) | 18,240 | |||||||||||||||||
Dicerna Pharmaceuticals, Inc. | Morgan Stanley | (7,824 | ) | (167,095 | ) | (157,732 | ) | 8,985 | |||||||||||||||||
Elanco Animal Health, Inc. | Morgan Stanley | (6,243 | ) | (190,043 | ) | (199,089 | ) | (9,479 | ) | ||||||||||||||||
Emergent BioSolutions, Inc. | Morgan Stanley | (2,671 | ) | (169,188 | ) | (133,737 | ) | 38,292 | |||||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (2,242 | ) | (121,727 | ) | (75,197 | ) | 46,260 | |||||||||||||||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (674 | ) | (25,520 | ) | (16,621 | ) | 8,856 | |||||||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (14,284 | ) | (1,980,889 | ) | (1,859,920 | ) | 116,295 | |||||||||||||||||
MacroGenics, Inc. | Morgan Stanley | (112 | ) | (2,401 | ) | (2,345 | ) | 68 | |||||||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | (2,365 | ) | (432,455 | ) | (447,647 | ) | (16,200 | ) | ||||||||||||||||
Mirati Therapeutics, Inc. | Morgan Stanley | (1,834 | ) | (271,088 | ) | (324,453 | ) | (64,620 | ) | ||||||||||||||||
NanoString Technologies, Inc. | Morgan Stanley | (3,443 | ) | (179,189 | ) | (165,298 | ) | 13,483 | |||||||||||||||||
Novavax, Inc. | Morgan Stanley | (237 | ) | (49,311 | ) | (49,132 | ) | 233 | |||||||||||||||||
NURIX THERAPEUTICS INC | Morgan Stanley | (3 | ) | (91 | ) | (90 | ) | 18 | |||||||||||||||||
Ocular Therapeutix, Inc. | Morgan Stanley | (5,387 | ) | (70,182 | ) | (53,870 | ) | 16,163 | |||||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (32,114 | ) | (1,405,149 | ) | (1,519,956 | ) | (125,570 | ) | ||||||||||||||||
Personalis, Inc. | Morgan Stanley | (9,936 | ) | (263,539 | ) | (191,169 | ) | 71,763 | |||||||||||||||||
Phathom Pharmaceuticals, Inc. | Morgan Stanley | (82 | ) | (2,627 | ) | (2,632 | ) | 6 | |||||||||||||||||
Phibro Animal Health Corp., Class A | Morgan Stanley | (20 | ) | (435 | ) | (431 | ) | 21 | |||||||||||||||||
Protagonist Therapeutics, Inc. | Morgan Stanley | (533 | ) | (24,429 | ) | (9,445 | ) | 14,944 | |||||||||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (2,746 | ) | (448,209 | ) | (276,275 | ) | 170,890 | |||||||||||||||||
Repligen Corp. | Morgan Stanley | (311 | ) | (64,974 | ) | (89,876 | ) | (31,224 | ) | ||||||||||||||||
Revance Therapeutics, Inc. | Morgan Stanley | (2,710 | ) | (74,089 | ) | (75,501 | ) | (1,569 | ) | ||||||||||||||||
Seagen, Inc. | Morgan Stanley | (218 | ) | (36,662 | ) | (37,016 | ) | (424 | ) | ||||||||||||||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | (245,131 | ) | (175,725 | ) | (166,223 | ) | 9,103 | |||||||||||||||||
Syneos Health, Inc. | Morgan Stanley | (9,035 | ) | (822,072 | ) | (790,382 | ) | 28,609 | |||||||||||||||||
TG Therapeutics, Inc. | Morgan Stanley | (3,660 | ) | (102,355 | ) | (121,805 | ) | (23,000 | ) | ||||||||||||||||
Viatris, Inc. | Morgan Stanley | (29,572 | ) | (436,753 | ) | (400,701 | ) | 28,498 | |||||||||||||||||
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| ||||||||||||||||||
(534,302 | ) | (12,934,699 | ) | (11,919,169 | ) | 946,228 | |||||||||||||||||||
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|
The accompanying notes are an integral part of the financial statements.
93
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Retailing | |||||||||||||||||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | (2,553 | ) | $ | (83,484 | ) | $ | (77,892 | ) | $ | 5,411 | ||||||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | (1,342 | ) | (54,365 | ) | (50,499 | ) | 3,754 | |||||||||||||||||
Big Lots, Inc. | Morgan Stanley | (526 | ) | (24,880 | ) | (22,807 | ) | 2,237 | |||||||||||||||||
Boot Barn Holdings, Inc. | Morgan Stanley | (551 | ) | (32,131 | ) | (48,967 | ) | (18,355 | ) | ||||||||||||||||
CarMax, Inc. | Morgan Stanley | (2,361 | ) | (317,716 | ) | (302,114 | ) | 14,867 | |||||||||||||||||
Carvana Co. | Morgan Stanley | (627 | ) | (170,040 | ) | (189,066 | ) | (19,411 | ) | ||||||||||||||||
CHEWY INC, Class A | Morgan Stanley | (426 | ) | (29,053 | ) | (29,015 | ) | (13 | ) | ||||||||||||||||
Children’s Place, Inc. (The) | Morgan Stanley | (2,601 | ) | (198,907 | ) | (195,751 | ) | 2,330 | |||||||||||||||||
Designer Brands, Inc., Class A | Morgan Stanley | (23,193 | ) | (318,971 | ) | (323,078 | ) | (5,722 | ) | ||||||||||||||||
Dollar General Corp. | Morgan Stanley | (2,945 | ) | (635,751 | ) | (624,752 | ) | 8,873 | |||||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | (3,669 | ) | (353,949 | ) | (351,197 | ) | 1,931 | |||||||||||||||||
Five Below, Inc. | Morgan Stanley | (3,035 | ) | (578,004 | ) | (536,618 | ) | 40,286 | |||||||||||||||||
Franchise Group, Inc. | Morgan Stanley | (1,932 | ) | (66,821 | ) | (68,412 | ) | (2,442 | ) | ||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | (4,280 | ) | (108,640 | ) | (97,156 | ) | 12,527 | |||||||||||||||||
GrowGeneration Corp. | Morgan Stanley | (18,650 | ) | (719,264 | ) | (460,095 | ) | 257,483 | |||||||||||||||||
Leslie’s, Inc. | Morgan Stanley | (14,407 | ) | (417,751 | ) | (295,920 | ) | 120,859 | |||||||||||||||||
Monro, Inc. | Morgan Stanley | (8,068 | ) | (600,620 | ) | (463,991 | ) | 121,411 | |||||||||||||||||
Murphy U.S.A., Inc. | Morgan Stanley | (7,021 | ) | (1,058,652 | ) | (1,174,332 | ) | (121,058 | ) | ||||||||||||||||
Nordstrom, Inc. | Morgan Stanley | (11,988 | ) | (309,049 | ) | (317,083 | ) | (8,748 | ) | ||||||||||||||||
Pool Corp. | Morgan Stanley | (642 | ) | (294,146 | ) | (278,891 | ) | 12,398 | |||||||||||||||||
PORCH GROUP INC | Morgan Stanley | (132 | ) | (2,213 | ) | (2,334 | ) | (109 | ) | ||||||||||||||||
Poshmark, Inc., Class A | Morgan Stanley | (2,140 | ) | (97,865 | ) | (50,846 | ) | 46,804 | |||||||||||||||||
RealReal, Inc. (The) | Morgan Stanley | (19,774 | ) | (473,846 | ) | (260,621 | ) | 212,119 | |||||||||||||||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (23,681 | ) | (466,576 | ) | (399,025 | ) | 66,463 | |||||||||||||||||
Sleep Number Corp. | Morgan Stanley | (175 | ) | (17,936 | ) | (16,359 | ) | 1,552 | |||||||||||||||||
Stamps.com, Inc. | Morgan Stanley | (2,321 | ) | (756,555 | ) | (765,443 | ) | (10,669 | ) | ||||||||||||||||
Tractor Supply Co. | Morgan Stanley | (10,367 | ) | (1,961,922 | ) | (2,100,458 | ) | (147,618 | ) | ||||||||||||||||
Urban Outfitters, Inc. | Morgan Stanley | (8,894 | ) | (357,857 | ) | (264,063 | ) | 98,216 | |||||||||||||||||
Vroom, Inc. | Morgan Stanley | (17,846 | ) | (679,170 | ) | (393,861 | ) | 283,717 | |||||||||||||||||
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| ||||||||||||||||||
(196,147 | ) | (11,186,134 | ) | (10,160,646 | ) | 979,093 | |||||||||||||||||||
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| ||||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (4,219 | ) | (394,736 | ) | (464,090 | ) | (70,271 | ) | ||||||||||||||||
CEVA, Inc. | Morgan Stanley | (1,134 | ) | (51,318 | ) | (48,388 | ) | 2,826 | |||||||||||||||||
Cirrus Logic, Inc. | Morgan Stanley | (3,466 | ) | (288,292 | ) | (285,425 | ) | 1,819 | |||||||||||||||||
Entegris, Inc. | Morgan Stanley | (4,433 | ) | (551,314 | ) | (558,115 | ) | (8,236 | ) | ||||||||||||||||
FormFactor, Inc. | Morgan Stanley | (8,751 | ) | (326,485 | ) | (326,675 | ) | (946 | ) | ||||||||||||||||
Marvell Technology, Inc. | Morgan Stanley | (17,187 | ) | (1,048,618 | ) | (1,036,548 | ) | 9,604 | |||||||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (3,471 | ) | (522,477 | ) | (486,495 | ) | 34,674 | |||||||||||||||||
Veeco Instruments, Inc. | Morgan Stanley | (159 | ) | (3,586 | ) | (3,531 | ) | 63 | |||||||||||||||||
Wolfspeed, Inc. | Morgan Stanley | (3,579 | ) | (375,883 | ) | (288,933 | ) | 86,077 | |||||||||||||||||
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| ||||||||||||||||||
(46,399 | ) | (3,562,709 | ) | (3,498,200 | ) | 55,610 | |||||||||||||||||||
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| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
8x8, Inc. | Morgan Stanley | (14,087 | ) | (342,540 | ) | (329,495 | ) | 12,253 | |||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (1,061 | ) | (119,490 | ) | (110,970 | ) | 8,887 | |||||||||||||||||
Alarm.com Holdings, Inc. | Morgan Stanley | (1,677 | ) | (144,794 | ) | (131,125 | ) | 13,344 | |||||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | (644 | ) | (65,401 | ) | (64,973 | ) | (670 | ) | ||||||||||||||||
Altair Engineering, Inc., Class A | Morgan Stanley | (793 | ) | (59,325 | ) | (54,669 | ) | 4,580 | |||||||||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (20,953 | ) | (2,094,415 | ) | (1,531,664 | ) | 557,807 |
The accompanying notes are an integral part of the financial statements.
94
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
Anaplan, Inc. | Morgan Stanley | (1,488 | ) | $ | (97,933 | ) | $ | (90,604 | ) | $ | 7,624 | ||||||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (2,958 | ) | (397,792 | ) | (356,143 | ) | 40,723 | |||||||||||||||||
Avaya Holdings Corp. | Morgan Stanley | (6,438 | ) | (130,203 | ) | (127,408 | ) | 2,503 | |||||||||||||||||
Bentley Systems, Inc., Class B | Morgan Stanley | (2,729 | ) | (191,457 | ) | (165,487 | ) | 28,894 | |||||||||||||||||
Blackbaud, Inc. | Morgan Stanley | (4,271 | ) | (298,390 | ) | (300,465 | ) | (2,764 | ) | ||||||||||||||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (21,581 | ) | (199,342 | ) | (209,983 | ) | (11,106 | ) | ||||||||||||||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (11,232 | ) | (444,388 | ) | (441,193 | ) | 2,160 | |||||||||||||||||
CDK Global, Inc. | Morgan Stanley | (2,707 | ) | (116,924 | ) | (115,183 | ) | 1,482 | |||||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (4,905 | ) | (471,606 | ) | (552,401 | ) | (83,700 | ) | ||||||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (18,659 | ) | (2,053,023 | ) | (2,003,417 | ) | 38,088 | |||||||||||||||||
Concentrix Corp. | Morgan Stanley | (1,642 | ) | (281,584 | ) | (290,634 | ) | (10,410 | ) | ||||||||||||||||
Conduent, Inc. | Morgan Stanley | (45,027 | ) | (316,850 | ) | (296,728 | ) | 19,625 | |||||||||||||||||
Coupa Software, Inc. | Morgan Stanley | (2,063 | ) | (521,053 | ) | (452,168 | ) | 67,668 | |||||||||||||||||
Digital Turbine, Inc. | Morgan Stanley | (16,723 | ) | (1,115,086 | ) | (1,149,706 | ) | (37,244 | ) | ||||||||||||||||
Dynatrace, Inc. | Morgan Stanley | (4,273 | ) | (264,322 | ) | (303,255 | ) | (40,178 | ) | ||||||||||||||||
Evo Payments, Inc., Class A | Morgan Stanley | (2,014 | ) | (57,835 | ) | (47,692 | ) | 10,057 | |||||||||||||||||
Fastly, Inc., Class A | Morgan Stanley | (6,842 | ) | (494,737 | ) | (276,690 | ) | 216,892 | |||||||||||||||||
FireEye, Inc. | Morgan Stanley | (35,854 | ) | (644,678 | ) | (638,201 | ) | 4,967 | |||||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | (2,053 | ) | (548,520 | ) | (536,387 | ) | 10,851 | |||||||||||||||||
Globant S.A. (Luxembourg) | Morgan Stanley | (1,834 | ) | (484,123 | ) | (515,372 | ) | (39,677 | ) | ||||||||||||||||
GoDaddy, Inc., Class A | Morgan Stanley | (2,076 | ) | (182,683 | ) | (144,697 | ) | 38,573 | |||||||||||||||||
Guidewire Software, Inc. | Morgan Stanley | (2,727 | ) | (307,948 | ) | (324,158 | ) | (16,922 | ) | ||||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (2,588 | ) | (451,826 | ) | (424,587 | ) | 25,446 | |||||||||||||||||
Jamf Holding Corp. | Morgan Stanley | (2,505 | ) | (79,341 | ) | (96,493 | ) | (17,322 | ) | ||||||||||||||||
JFrog Ltd. (Israel) | Morgan Stanley | (2,310 | ) | (80,138 | ) | (77,385 | ) | 2,580 | |||||||||||||||||
LiveRamp Holdings, Inc. | Morgan Stanley | (7,173 | ) | (362,920 | ) | (338,781 | ) | 23,414 | |||||||||||||||||
Medallia, Inc. | Morgan Stanley | (9,303 | ) | (295,535 | ) | (315,093 | ) | (20,241 | ) | ||||||||||||||||
Model N, Inc. | Morgan Stanley | (3,169 | ) | (108,225 | ) | (106,161 | ) | 1,825 | |||||||||||||||||
New Relic, Inc. | Morgan Stanley | (2,283 | ) | (148,333 | ) | (163,851 | ) | (16,146 | ) | ||||||||||||||||
Okta, Inc. | Morgan Stanley | (751 | ) | (176,678 | ) | (178,242 | ) | (1,965 | ) | ||||||||||||||||
PagerDuty, Inc. | Morgan Stanley | (2,783 | ) | (115,127 | ) | (115,272 | ) | (400 | ) | ||||||||||||||||
Paylocity Holding Corp. | Morgan Stanley | (1,612 | ) | (320,940 | ) | (452,005 | ) | (136,214 | ) | ||||||||||||||||
Paysafe Ltd. (Bermuda) | Morgan Stanley | (7,046 | ) | (56,995 | ) | (54,606 | ) | 2,271 | |||||||||||||||||
Ping Identity Holding Corp. | Morgan Stanley | (28,033 | ) | (896,977 | ) | (688,771 | ) | 207,706 | |||||||||||||||||
PROS Holdings, Inc. | Morgan Stanley | (7,775 | ) | (343,944 | ) | (275,857 | ) | 67,290 | |||||||||||||||||
Q2 Holdings, Inc. | Morgan Stanley | (5,443 | ) | (555,985 | ) | (436,202 | ) | 118,484 | |||||||||||||||||
Qualys, Inc. | Morgan Stanley | (1,367 | ) | (177,744 | ) | (152,133 | ) | 25,341 | |||||||||||||||||
Rackspace Technology, Inc. | Morgan Stanley | (29,685 | ) | (610,740 | ) | (422,121 | ) | 187,190 | |||||||||||||||||
RingCentral, Inc., Class A. | Morgan Stanley | (5,722 | ) | (1,437,554 | ) | (1,244,535 | ) | 189,631 | |||||||||||||||||
Sabre Corp. | Morgan Stanley | (16,901 | ) | (235,098 | ) | (200,108 | ) | 35,468 | |||||||||||||||||
Sailpoint Technologies Holdings, Inc. | Morgan Stanley | (11,230 | ) | (511,119 | ) | (481,542 | ) | 28,384 | |||||||||||||||||
SecureWorks Corp., Class A | Morgan Stanley | (81 | ) | (1,633 | ) | (1,610 | ) | 36 | |||||||||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (3,353 | ) | (298,297 | ) | (259,925 | ) | 37,683 | |||||||||||||||||
Smartsheet, Inc., Class A | Morgan Stanley | (6,470 | ) | (469,531 | ) | (445,265 | ) | 23,171 | |||||||||||||||||
SolarWinds Corp. | Morgan Stanley | (12,994 | ) | (259,186 | ) | (217,390 | ) | 22,408 | |||||||||||||||||
Splunk, Inc. | Morgan Stanley | (23 | ) | (4,199 | ) | (3,328 | ) | 878 | |||||||||||||||||
Sumo Logic, Inc. | Morgan Stanley | (5,051 | ) | (88,473 | ) | (81,422 | ) | 6,859 | |||||||||||||||||
Switch, Inc., Class A | Morgan Stanley | (14,100 | ) | (230,796 | ) | (357,999 | ) | (132,530 | ) | ||||||||||||||||
Telos Corp. | Morgan Stanley | (21,222 | ) | (655,971 | ) | (603,129 | ) | 51,305 |
The accompanying notes are an integral part of the financial statements.
95
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
Tucows, Inc., Class A | Morgan Stanley | (1,617 | ) | $ | (90,691 | ) | $ | (127,662 | ) | $ | (38,417 | ) | |||||||||||||
Twilio, Inc., Class A | Morgan Stanley | (1,319 | ) | (432,209 | ) | (420,827 | ) | 10,376 | |||||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (1,308 | ) | (620,637 | ) | (599,914 | ) | 18,982 | |||||||||||||||||
Upland Software, Inc. | Morgan Stanley | (4,614 | ) | (190,347 | ) | (154,292 | ) | 35,622 | |||||||||||||||||
Verra Mobility Corp. | Morgan Stanley | (22,004 | ) | (293,887 | ) | (331,600 | ) | (38,918 | ) | ||||||||||||||||
VMware, Inc., Class A | Morgan Stanley | (171 | ) | (25,612 | ) | (25,428 | ) | 141 | |||||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | (1,975 | ) | (31,663 | ) | (31,837 | ) | (232 | ) | ||||||||||||||||
WEX, Inc. | Morgan Stanley | (5,837 | ) | (1,161,222 | ) | (1,028,129 | ) | 130,360 | |||||||||||||||||
Yext, Inc. | Morgan Stanley | (33,866 | ) | (550,882 | ) | (407,408 | ) | 142,199 | |||||||||||||||||
Zendesk, Inc. | Morgan Stanley | (1,258 | ) | (156,133 | ) | (146,419 | ) | 9,362 | |||||||||||||||||
Zuora, Inc., Class A | Morgan Stanley | (3,096 | ) | (49,195 | ) | (51,332 | ) | (2,322 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(527,349 | ) | (25,022,225 | ) | (23,079,529 | ) | 1,844,012 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
ADTRAN, Inc. | Morgan Stanley | (6,236 | ) | (70,563 | ) | (116,987 | ) | (51,521 | ) | ||||||||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (346 | ) | (31,243 | ) | (30,361 | ) | 824 | |||||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | (5,835 | ) | (433,851 | ) | (427,297 | ) | 3,872 | |||||||||||||||||
Avnet, Inc. | Morgan Stanley | (9,630 | ) | (398,335 | ) | (356,021 | ) | 38,703 | |||||||||||||||||
Badger Meter, Inc. | Morgan Stanley | (31 | ) | (3,190 | ) | (3,135 | ) | 65 | |||||||||||||||||
Calix, Inc. | Morgan Stanley | (2,359 | ) | (116,966 | ) | (116,605 | ) | 101 | |||||||||||||||||
Celestica, Inc. (Canada) | Morgan Stanley | (10,528 | ) | (78,671 | ) | (93,489 | ) | (15,025 | ) | ||||||||||||||||
Ciena Corp. | Morgan Stanley | (6,760 | ) | (373,162 | ) | (347,126 | ) | 25,351 | |||||||||||||||||
CommScope Holding Co., Inc. | Morgan Stanley | (21,302 | ) | (361,421 | ) | (289,494 | ) | 71,088 | |||||||||||||||||
Corsair Gaming, Inc. | Morgan Stanley | (2,596 | ) | (73,099 | ) | (67,314 | ) | 5,742 | |||||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | (3,276 | ) | (342,277 | ) | (340,835 | ) | 649 | |||||||||||||||||
Fabrinet (Cayman Islands) | Morgan Stanley | (3,967 | ) | (331,760 | ) | (406,657 | ) | (78,096 | ) | ||||||||||||||||
Inseego Corp. | Morgan Stanley | (28,534 | ) | (273,207 | ) | (190,036 | ) | 82,541 | |||||||||||||||||
Insight Enterprises, Inc. | Morgan Stanley | (5,379 | ) | (444,488 | ) | (484,540 | ) | (41,087 | ) | ||||||||||||||||
Jabil, Inc. | Morgan Stanley | (7,239 | ) | (436,068 | ) | (422,540 | ) | 12,290 | |||||||||||||||||
Littelfuse, Inc. | Morgan Stanley | (224 | ) | (60,784 | ) | (61,212 | ) | (797 | ) | ||||||||||||||||
MicroVision, Inc. | Morgan Stanley | (20,112 | ) | (282,191 | ) | (222,238 | ) | 59,302 | |||||||||||||||||
National Instruments Corp. | Morgan Stanley | (12,526 | ) | (527,463 | ) | (491,395 | ) | 29,044 | |||||||||||||||||
nLight, Inc. | Morgan Stanley | (7,377 | ) | (132,982 | ) | (207,958 | ) | (75,273 | ) | ||||||||||||||||
Rogers Corp. | Morgan Stanley | (439 | ) | (89,203 | ) | (81,865 | ) | 7,165 | |||||||||||||||||
Super Micro Computer, Inc. | Morgan Stanley | (2,592 | ) | (93,019 | ) | (94,789 | ) | (1,974 | ) | ||||||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (3,613 | ) | (1,619,821 | ) | (1,552,073 | ) | 63,929 | |||||||||||||||||
Viasat, Inc. | Morgan Stanley | (4,128 | ) | (219,485 | ) | (227,329 | ) | (8,346 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(165,029 | ) | (6,793,249 | ) | (6,631,296 | ) | 128,547 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
Bandwidth, Inc., Class A | Morgan Stanley | (1,641 | ) | (174,837 | ) | (148,149 | ) | 26,290 | |||||||||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (1,745 | ) | (125,138 | ) | (123,616 | ) | (5,119 | ) | ||||||||||||||||
Globalstar, Inc. | Morgan Stanley | (194,779 | ) | (294,510 | ) | (325,281 | ) | (32,484 | ) | ||||||||||||||||
Shenandoah Telecommunications Co. | Morgan Stanley | (3,753 | ) | (156,971 | ) | (118,520 | ) | (5,580 | ) | ||||||||||||||||
United States Cellular Corp. | Morgan Stanley | (2,608 | ) | (88,640 | ) | (83,169 | ) | 5,278 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(204,526 | ) | (840,096 | ) | (798,735 | ) | (11,615 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (15,685 | ) | (336,580 | ) | (404,830 | ) | (69,030 | ) | ||||||||||||||||
Canadian National Railway Co. (Canada) | Morgan Stanley | (12,653 | ) | (1,467,652 | ) | (1,463,319 | ) | (8,544 | ) | ||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (13,293 | ) | (1,283,551 | ) | (1,156,491 | ) | 113,707 |
The accompanying notes are an integral part of the financial statements.
96
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Transportation — (continued) | |||||||||||||||||||||||||
Hawaiian Holdings, Inc. | Morgan Stanley | (2,686 | ) | $ | (73,194 | ) | $ | (58,179 | ) | $ | 15,751 | ||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | (1,480 | ) | (248,922 | ) | (247,486 | ) | 392 | |||||||||||||||||
JetBlue Airways Corp. | Morgan Stanley | (4,047 | ) | (76,071 | ) | (61,879 | ) | 14,030 | |||||||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | (3,405 | ) | (166,024 | ) | (174,166 | ) | (8,816 | ) | ||||||||||||||||
Landstar System, Inc. | Morgan Stanley | (4,618 | ) | (772,631 | ) | (728,813 | ) | 41,448 | |||||||||||||||||
Marten Transport Ltd. | Morgan Stanley | (168 | ) | (2,671 | ) | (2,636 | ) | 46 | |||||||||||||||||
SkyWest, Inc. | Morgan Stanley | (1,515 | ) | (72,496 | ) | (74,750 | ) | (2,739 | ) | ||||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | (2,216 | ) | (246,254 | ) | (226,431 | ) | 18,747 | |||||||||||||||||
Uber Technologies, Inc. | Morgan Stanley | (1,400 | ) | (71,814 | ) | (62,720 | ) | 14,717 | |||||||||||||||||
Werner Enterprises, Inc. | Morgan Stanley | (1,083 | ) | (51,846 | ) | (47,944 | ) | 4,047 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(64,249 | ) | (4,869,706 | ) | (4,709,644 | ) | 133,756 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (40,497 | ) | (631,661 | ) | (593,686 | ) | 20,262 | |||||||||||||||||
ALLETE, Inc. | Morgan Stanley | (4,994 | ) | (385,499 | ) | (297,243 | ) | 66,365 | |||||||||||||||||
Alliant Energy Corp. | Morgan Stanley | (2,129 | ) | (130,975 | ) | (119,181 | ) | 11,501 | |||||||||||||||||
Ameren Corp. | Morgan Stanley | (5,000 | ) | (413,613 | ) | (405,000 | ) | (841 | ) | ||||||||||||||||
American Electric Power Co., Inc. | Morgan Stanley | (625 | ) | (53,536 | ) | (50,737 | ) | 2,227 | |||||||||||||||||
American States Water Co. | Morgan Stanley | (49 | ) | (4,244 | ) | (4,190 | ) | 60 | |||||||||||||||||
Atmos Energy Corp. | Morgan Stanley | (1,378 | ) | (125,405 | ) | (121,540 | ) | 1,025 | |||||||||||||||||
Avangrid, Inc. | Morgan Stanley | (6,857 | ) | (347,585 | ) | (333,250 | ) | (1,769 | ) | ||||||||||||||||
Black Hills Corp. | Morgan Stanley | (8,636 | ) | (649,536 | ) | (541,995 | ) | 79,806 | |||||||||||||||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (4,368 | ) | (181,641 | ) | (169,522 | ) | 9,996 | |||||||||||||||||
California Water Service Group | Morgan Stanley | (1,021 | ) | (49,037 | ) | (60,168 | ) | (12,177 | ) | ||||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (16,058 | ) | (407,300 | ) | (395,027 | ) | 8,464 | |||||||||||||||||
Clearway Energy, Inc., Class A | Morgan Stanley | (4,935 | ) | (127,745 | ) | (139,167 | ) | (14,560 | ) | ||||||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (3,243 | ) | (239,402 | ) | (235,409 | ) | (2,656 | ) | ||||||||||||||||
Edison International | Morgan Stanley | (26,714 | ) | (1,598,037 | ) | (1,481,826 | ) | 73,622 | |||||||||||||||||
Entergy Corp. | Morgan Stanley | (6,120 | ) | (666,202 | ) | (607,777 | ) | 48,885 | |||||||||||||||||
Evergy, Inc. | Morgan Stanley | (14,802 | ) | (983,331 | ) | (920,684 | ) | 50,657 | |||||||||||||||||
Eversource Energy | Morgan Stanley | (7,476 | ) | (662,460 | ) | (611,238 | ) | 42,933 | |||||||||||||||||
FirstEnergy Corp. | Morgan Stanley | (2,612 | ) | (101,381 | ) | (93,039 | ) | 9,555 | |||||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (4,296 | ) | (350,603 | ) | (337,322 | ) | 11,291 | |||||||||||||||||
NiSource, Inc. | Morgan Stanley | (39,371 | ) | (1,002,557 | ) | (953,959 | ) | 40,535 | |||||||||||||||||
Northwest Natural Holding Co. | Morgan Stanley | (5,396 | ) | (272,105 | ) | (248,162 | ) | 18,379 | |||||||||||||||||
NorthWestern Corp. | Morgan Stanley | (4,109 | ) | (276,559 | ) | (235,446 | ) | 31,399 | |||||||||||||||||
OGE Energy Corp. | Morgan Stanley | (12,626 | ) | (438,414 | ) | (416,153 | ) | 17,573 | |||||||||||||||||
Ormat Technologies, Inc. | Morgan Stanley | (2,790 | ) | (214,610 | ) | (185,842 | ) | 27,878 | |||||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (11,513 | ) | (914,341 | ) | (833,081 | ) | 74,828 | |||||||||||||||||
PNM Resources, Inc. | Morgan Stanley | (4,850 | ) | (238,024 | ) | (239,978 | ) | (4,688 | ) | ||||||||||||||||
Portland General Electric Co. | Morgan Stanley | (7,724 | ) | (376,001 | ) | (362,951 | ) | 3,938 | |||||||||||||||||
Sempra Energy | Morgan Stanley | (4,222 | ) | (574,479 | ) | (534,083 | ) | 25,743 | |||||||||||||||||
SJW Group | Morgan Stanley | (1,578 | ) | (97,953 | ) | (104,243 | ) | (9,201 | ) | ||||||||||||||||
South Jersey Industries, Inc. | Morgan Stanley | (16,433 | ) | (428,095 | ) | (349,366 | ) | 69,972 | |||||||||||||||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (8,788 | ) | (671,128 | ) | (587,741 | ) | 64,142 | |||||||||||||||||
Spire, Inc. | Morgan Stanley | (3,953 | ) | (280,718 | ) | (241,845 | ) | 34,871 | |||||||||||||||||
Vistra Corp. | Morgan Stanley | (63,381 | ) | (1,095,598 | ) | (1,083,815 | ) | (6,556 | ) |
The accompanying notes are an integral part of the financial statements.
97
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Utilities — (continued) | |||||||||||||||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (2,321 | ) | $ | (199,525 | ) | $ | (204,712 | ) | $ | (10,148 | ) | |||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (11,081 | ) | (753,509 | ) | (692,562 | ) | 55,213 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(361,946 | ) | (15,942,809 | ) | (14,791,940 | ) | 838,524 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Total Reference Entity — Short | (179,384,963 | ) | (168,611,313 | ) | 9,480,816 | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
Net Value of Reference Entity | $ | (26,511,118 | ) | $ | 8,158,022 | $ | 35,319,045 | ||||||||||||||||||
|
|
|
|
|
|
* | Includes $649,905 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
98
GOTHAM NEUTRAL FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 94.1% |
| |||||||
Automobiles & Components — 2.0% |
| |||||||
Adient PLC (Ireland)* | 1,521 | $ | 63,045 | |||||
American Axle & Manufacturing Holdings, Inc.* | 4,801 | 42,297 | ||||||
Aptiv PLC (Jersey)* | 282 | 42,010 | ||||||
Ford Motor Co.(a)* | 6,109 | 86,503 | ||||||
General Motors Co.(a)* | 2,305 | 121,497 | ||||||
Gentex Corp.(a) | 2,056 | 67,807 | ||||||
Gentherm, Inc.(a)* | 622 | 50,339 | ||||||
Goodyear Tire & Rubber Co. (The)* | 34 | 602 | ||||||
Lear Corp. | 65 | 10,171 | ||||||
Magna International, Inc. (Canada) | 2,026 | 152,436 | ||||||
Tenneco, Inc., Class A(a)* | 3,686 | 52,599 | ||||||
Thor Industries, Inc. | 41 | 5,033 | ||||||
Visteon Corp.(a)* | 672 | 63,430 | ||||||
Winnebago Industries, Inc. | 585 | 42,383 | ||||||
|
| |||||||
800,152 | ||||||||
|
| |||||||
Capital Goods — 9.2% | ||||||||
3M Co.(a) | 568 | 99,639 | ||||||
A.O. Smith Corp. | 685 | 41,833 | ||||||
AAR Corp.* | 487 | 15,793 | ||||||
AECOM(a)* | 1,748 | 110,386 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 729 | 31,748 | ||||||
AeroVironment, Inc.(a)* | 127 | 10,963 | ||||||
Albany International Corp., Class A | 83 | 6,380 | ||||||
Allegion PLC (Ireland) | 225 | 29,741 | ||||||
Apogee Enterprises, Inc. | 41 | 1,548 | ||||||
Armstrong World Industries, Inc. | 3 | 286 | ||||||
Atkore, Inc.(a)* | 1,977 | 171,841 | ||||||
Beacon Roofing Supply, Inc.(a)* | 870 | 41,551 | ||||||
Boise Cascade Co.(a) | 2,179 | 117,622 | ||||||
Carrier Global Corp. | 1,420 | 73,499 | ||||||
Caterpillar, Inc.(a) | 201 | 38,586 | ||||||
Colfax Corp.(a)* | 702 | 32,222 | ||||||
Columbus McKinnon Corp. | 549 | 26,544 | ||||||
Comfort Systems USA, Inc. | 163 | 11,625 | ||||||
Crane Co.(a) | 914 | 86,656 | ||||||
Cummins, Inc.(a) | 412 | 92,519 | ||||||
Curtiss-Wright Corp. | 96 | 12,113 | ||||||
Deere & Co.(a) | 128 | 42,889 | ||||||
Dover Corp.(a) | 150 | 23,325 | ||||||
Eaton Corp. PLC (Ireland) | 954 | 142,442 | ||||||
EMCOR Group, Inc. | 39 | 4,500 | ||||||
Emerson Electric Co.(a) | 1,883 | 177,379 | ||||||
Enerpac Tool Group Corp. | 32 | 663 | ||||||
ESCO Technologies, Inc. | 98 | 7,546 | ||||||
Fortive Corp.(a) | 228 | 16,090 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
General Dynamics Corp.(a) | 596 | $ | 116,834 | |||||
General Electric Co. | 668 | 68,824 | ||||||
Gibraltar Industries, Inc.(a)* | 472 | 32,875 | ||||||
GMS, Inc.(a)* | 356 | 15,593 | ||||||
Graco, Inc. | 31 | 2,169 | ||||||
Granite Construction, Inc. | 624 | 24,679 | ||||||
HEICO Corp. | 380 | 50,111 | ||||||
Hillenbrand, Inc. | 643 | 27,424 | ||||||
Honeywell International, Inc.(a) | 32 | 6,793 | ||||||
Howmet Aerospace, Inc.(a) | 1,388 | 43,306 | ||||||
Huntington Ingalls Industries, Inc. | 246 | 47,493 | ||||||
Ingersoll Rand, Inc.(a)* | 1,425 | 71,834 | ||||||
Johnson Controls International PLC (Ireland) | 950 | 64,676 | ||||||
Kaman Corp. | 38 | 1,355 | ||||||
L3Harris Technologies, Inc.(a) | 84 | 18,500 | ||||||
Lennox International, Inc.(a) | 499 | 146,791 | ||||||
Lockheed Martin Corp.(a) | 269 | 92,832 | ||||||
MYR Group, Inc.* | 17 | 1,692 | ||||||
Nordson Corp.(a) | 316 | 75,255 | ||||||
Northrop Grumman Corp.(a) | 167 | 60,145 | ||||||
NOW, Inc.* | 22 | 168 | ||||||
Oshkosh Corp.(a) | 963 | 98,582 | ||||||
Otis Worldwide Corp. | 334 | 27,482 | ||||||
Owens Corning(a) | 2,561 | 218,966 | ||||||
Parker-Hannifin Corp.(a) | 91 | 25,445 | ||||||
Pentair PLC (Ireland) | 911 | 66,166 | ||||||
Regal Rexnord Corp.(a) | 274 | 41,193 | ||||||
Resideo Technologies, Inc.* | 138 | 3,421 | ||||||
Rockwell Automation, Inc. | 147 | 43,224 | ||||||
Sensata Technologies Holding PLC (United Kingdom)* | 1,028 | 56,252 | ||||||
Simpson Manufacturing Co., Inc.(a) | 779 | 83,330 | ||||||
Snap-on, Inc.(a) | 410 | 85,670 | ||||||
SPX FLOW, Inc.(a) | 541 | 39,547 | ||||||
Stanley Black & Decker, Inc.(a) | 370 | 64,865 | ||||||
Tecnoglass, Inc. (Cayman Islands) | 239 | 5,193 | ||||||
Terex Corp.(a) | 1,322 | 55,656 | ||||||
Textron, Inc. | 390 | 27,226 | ||||||
Toro Co. (The) | 280 | 27,275 | ||||||
TPI Composites, Inc.* | 719 | 24,266 | ||||||
Trane Technologies PLC (Ireland) | 413 | 71,304 | ||||||
Triumph Group, Inc.* | 432 | 8,048 | ||||||
Valmont Industries, Inc.(a) | 42 | 9,875 | ||||||
Wabash National Corp.(a) | 2,644 | 40,004 | ||||||
Watsco, Inc. | 50 | 13,231 |
The accompanying notes are an integral part of the financial statements.
99
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Watts Water Technologies, Inc., Class A(a) | 303 | $ | 50,931 | |||||
WW Grainger, Inc. | 135 | 53,063 | ||||||
Xylem, Inc. | 101 | 12,492 | ||||||
|
| |||||||
3,689,985 | ||||||||
|
| |||||||
Commercial & Professional Services — 2.5% |
| |||||||
ABM Industries, Inc.(a) | 1,480 | 66,615 | ||||||
Brady Corp., Class A | 335 | 16,985 | ||||||
Brink’s Co. (The) | 712 | 45,070 | ||||||
CBIZ, Inc.* | 56 | 1,811 | ||||||
Cimpress PLC (Ireland)* | 496 | 43,068 | ||||||
Cintas Corp. | 40 | 15,226 | ||||||
Clean Harbors, Inc.(a)* | 725 | 75,306 | ||||||
Copart, Inc.* | 135 | 18,727 | ||||||
CoreCivic, Inc.* | 2,198 | 19,562 | ||||||
Covanta Holding Corp.(a) | 4,060 | 81,687 | ||||||
Deluxe Corp. | 10 | 359 | ||||||
Equifax, Inc. | 16 | 4,055 | ||||||
Healthcare Services Group, Inc. | 50 | 1,250 | ||||||
HNI Corp. | 305 | 11,200 | ||||||
IHS Markit Ltd. (Bermuda) | 81 | 9,446 | ||||||
Jacobs Engineering Group, Inc. | 289 | 38,301 | ||||||
Korn Ferry | 227 | 16,426 | ||||||
ManpowerGroup, Inc.(a) | 102 | 11,045 | ||||||
MSA Safety, Inc. | 17 | 2,477 | ||||||
Nielsen Holdings PLC (United Kingdom) | 13,148 | 252,310 | ||||||
Republic Services, Inc. | 423 | 50,785 | ||||||
Robert Half International, Inc. | 559 | 56,084 | ||||||
Rollins, Inc. | 329 | 11,624 | ||||||
Science Applications International Corp. | 358 | 30,630 | ||||||
Steelcase, Inc., Class A | 33 | 418 | ||||||
Thomson Reuters Corp. (Canada) | 504 | 55,682 | ||||||
TriNet Group, Inc.(a)* | 378 | 35,751 | ||||||
UniFirst Corp.(a) | 131 | 27,853 | ||||||
Waste Management, Inc. | 28 | 4,182 | ||||||
|
| |||||||
1,003,935 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.4% |
| |||||||
Acushnet Holdings Corp. | 361 | 16,859 | ||||||
BRP, Inc., sub-voting shares (Canada) | 89 | 8,248 | ||||||
Brunswick Corp.(a) | 1,423 | 135,569 | ||||||
Capri Holdings Ltd. (British Virgin Islands)* | 1,017 | 49,233 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
DR Horton, Inc.(a) | 506 | $ | 42,489 | |||||
Garmin Ltd. (Switzerland) | 149 | 23,163 | ||||||
G-III Apparel Group Ltd.* | 243 | 6,877 | ||||||
GoPro, Inc., Class A* | 4,430 | 41,465 | ||||||
Hasbro, Inc.(a) | 1,487 | 132,670 | ||||||
Kontoor Brands, Inc.(a) | 1,239 | 61,888 | ||||||
La-Z-Boy, Inc. | 341 | 10,990 | ||||||
Mattel, Inc.(a)* | 5,184 | 96,215 | ||||||
Mohawk Industries, Inc.(a)* | 697 | 123,648 | ||||||
Newell Brands, Inc. | 798 | 17,668 | ||||||
PulteGroup, Inc. | 443 | 20,342 | ||||||
Skyline Champion Corp.* | 912 | 54,775 | ||||||
Smith & Wesson Brands, Inc.(a) | 6,539 | 135,750 | ||||||
Sonos, Inc.(a)* | 1,438 | 46,534 | ||||||
Steven Madden Ltd. | 326 | 13,092 | ||||||
Sturm Ruger & Co., Inc.(a) | 1,362 | 100,488 | ||||||
Tapestry, Inc. | 335 | 12,402 | ||||||
Tempur Sealy International, Inc.(a) | 1,099 | 51,005 | ||||||
Tupperware Brands Corp.* | 613 | 12,947 | ||||||
Under Armour, Inc., Class C* | 2,052 | 35,951 | ||||||
Whirlpool Corp.(a) | 499 | 101,726 | ||||||
YETI Holdings, Inc.* | 101 | 8,655 | ||||||
|
| |||||||
1,360,649 | ||||||||
|
| |||||||
Consumer Services — 3.7% |
| |||||||
Adtalem Global Education, Inc.(a)* | 1,286 | 48,624 | ||||||
Airbnb, Inc., Class A(a)* | 143 | 23,988 | ||||||
Bloomin’ Brands, Inc.(a)* | 5,135 | 128,375 | ||||||
Booking Holdings, Inc.(a)* | 20 | 47,477 | ||||||
Boyd Gaming Corp.(a)* | 269 | 17,017 | ||||||
Brinker International, Inc.* | 717 | 35,169 | ||||||
Choice Hotels International, Inc. | 472 | 59,647 | ||||||
Cracker Barrel Old Country Store, Inc. | 149 | 20,836 | ||||||
Dine Brands Global, Inc.(a)* | 1,148 | 93,229 | ||||||
Domino’s Pizza, Inc. | 62 | 29,572 | ||||||
Graham Holdings Co., Class B | 40 | 23,566 | ||||||
Grand Canyon Education, Inc.* | 374 | 32,897 | ||||||
Hilton Worldwide Holdings, Inc.(a)* | 170 | 22,459 | ||||||
Houghton Mifflin Harcourt Co.* | 975 | 13,094 | ||||||
Marriott International, Inc., Class A(a)* | 458 | 67,825 | ||||||
McDonald’s Corp.(a) | 245 | 59,072 | ||||||
Papa John’s International, Inc. | 235 | 29,843 | ||||||
Penn National Gaming, Inc.(a)* | 1,244 | 90,140 | ||||||
Perdoceo Education Corp.* | 103 | 1,088 | ||||||
Red Rock Resorts, Inc., Class A(a)* | 3,370 | 172,611 |
The accompanying notes are an integral part of the financial statements.
100
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Service Corp. International(a) | 745 | $ | 44,894 | |||||
Starbucks Corp. | 218 | 24,048 | ||||||
Vail Resorts, Inc.(a) | 142 | 47,435 | ||||||
Wendy’s Co. (The)(a) | 3,610 | 78,265 | ||||||
WW International, Inc.* | 574 | 10,475 | ||||||
Wyndham Hotels & Resorts, Inc.(a) | 1,532 | 118,255 | ||||||
Yum! Brands, Inc.(a) | 1,098 | 134,296 | ||||||
|
| |||||||
1,474,197 | ||||||||
|
| |||||||
Diversified Financials — 1.6% |
| |||||||
Affiliated Managers Group, | 207 | 31,276 | ||||||
Berkshire Hathaway, Inc., Class B* | 114 | 31,115 | ||||||
BlackRock, Inc.(a) | 83 | 69,609 | ||||||
CME Group, Inc.(a) | 588 | 113,707 | ||||||
Franklin Resources, Inc.(a) | 2,241 | 66,603 | ||||||
Invesco Ltd. (Bermuda) | 1,722 | 41,517 | ||||||
Moody’s Corp. | 206 | 73,153 | ||||||
MSCI, Inc. | 18 | 10,950 | ||||||
Nasdaq, Inc. | 323 | 62,345 | ||||||
S&P Global, Inc. | 108 | 45,888 | ||||||
T Rowe Price Group, Inc.(a) | 540 | 106,218 | ||||||
|
| |||||||
652,381 | ||||||||
|
| |||||||
Energy — 5.1% |
| |||||||
Antero Midstream Corp.(a) | 1 | 10 | ||||||
Antero Resources Corp.* | 1,265 | 23,795 | ||||||
APA Corp.(a) | 2,194 | 47,017 | ||||||
Baker Hughes Co.(a) | 4,812 | 119,001 | ||||||
Cactus, Inc., Class A | 344 | 12,976 | ||||||
Canadian Natural Resources Ltd. (Canada) | 1,952 | 71,326 | ||||||
Centennial Resource Development, Inc., Class A* | 1,511 | 10,124 | ||||||
ChampionX Corp.(a)* | 4,196 | 93,823 | ||||||
Cimarex Energy Co.(a)* | 986 | 85,979 | ||||||
CNX Resources Corp.* | 2,269 | 28,635 | ||||||
Comstock Resources, Inc.* | 2,574 | 26,641 | ||||||
Continental Resources, Inc. | 1,151 | 53,119 | ||||||
Core Laboratories NV (Netherlands). | 1 | 28 | ||||||
Coterra Energy, Inc.(a) | 1,981 | 43,107 | ||||||
Denbury, Inc.* | 928 | 65,192 | ||||||
DHT Holdings, Inc. (Marshall Islands) | 1,047 | 6,837 | ||||||
EOG Resources, Inc.(a) | 927 | 74,410 | ||||||
Equitrans Midstream Corp. | 4,369 | 44,302 | ||||||
Extraction Oil & Gas, Inc.* | 201 | 11,346 | ||||||
Exxon Mobil Corp.(a) | 1,888 | 111,052 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
Green Plains, Inc.* | 363 | $ | 11,852 | |||||
Halliburton Co. | 2,536 | 54,828 | ||||||
Hess Corp.(a) | 1,208 | 94,357 | ||||||
Imperial Oil Ltd. (Canada) | 861 | 27,173 | ||||||
Marathon Oil Corp.(a) | 14,443 | 197,436 | ||||||
Marathon Petroleum Corp.(a) | 3,204 | 198,039 | ||||||
NOV, Inc.* | 1,612 | 21,133 | ||||||
Oasis Petroleum, Inc. | 394 | 39,171 | ||||||
Occidental Petroleum Corp.(a) | 1,738 | 51,410 | ||||||
Oceaneering International, Inc.* | 3,045 | 40,559 | ||||||
ONEOK, Inc.(a) | 1,465 | 84,955 | ||||||
Ovintiv, Inc.(a) | 1,490 | 48,991 | ||||||
PDC Energy, Inc. | 944 | 44,736 | ||||||
Range Resources Corp.(a)* | 620 | 14,031 | ||||||
SFL Corp. Ltd. (Bermuda) | 1,023 | 8,573 | ||||||
SM Energy Co. | 293 | 7,729 | ||||||
Suncor Energy, Inc. (Canada) | 1,482 | 30,737 | ||||||
Targa Resources Corp. | 607 | 29,870 | ||||||
Transocean Ltd. (Switzerland)* | 4,165 | 15,785 | ||||||
Vermilion Energy, Inc. (Canada)* | 2,804 | 27,760 | ||||||
Whiting Petroleum Corp.* | 689 | 40,245 | ||||||
World Fuel Services Corp.(a) | 1,232 | 41,420 | ||||||
|
| |||||||
2,059,510 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
Costco Wholesale Corp. | 81 | 36,397 | ||||||
Kroger Co. (The)(a) | 1,212 | 49,001 | ||||||
Sprouts Farmers Market, Inc.(a)* | 3,380 | 78,315 | ||||||
Sysco Corp.(a) | 1,531 | 120,184 | ||||||
United Natural Foods, Inc.* | 108 | 5,229 | ||||||
Walgreens Boots Alliance, Inc. | 367 | 17,267 | ||||||
Walmart, Inc.(a) | 1,207 | 168,232 | ||||||
Weis Markets, Inc. | 52 | 2,733 | ||||||
|
| |||||||
477,358 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.2% |
| |||||||
Altria Group, Inc.(a) | 1,190 | 54,169 | ||||||
Archer-Daniels-Midland Co.(a) | 1,176 | 70,572 | ||||||
Brown-Forman Corp., Class B | 167 | 11,191 | ||||||
Bunge Ltd. (Bermuda) | 39 | 3,171 | ||||||
Coca-Cola Co. (The)(a) | 2,675 | 140,357 | ||||||
Coca-Cola Consolidated, Inc. | 47 | 18,526 | ||||||
Constellation Brands, Inc., Class A(a) | 281 | 59,204 | ||||||
Darling Ingredients, Inc.(a)* | 2,669 | 191,901 | ||||||
Flowers Foods, Inc. | 633 | 14,958 | ||||||
General Mills, Inc.(a) | 724 | 43,310 |
The accompanying notes are an integral part of the financial statements.
101
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Hershey Co. (The)(a) | 490 | $ | 82,932 | |||||
John B Sanfilippo & Son, Inc. | 14 | 1,144 | ||||||
Kellogg Co. | 411 | 26,271 | ||||||
Kraft Heinz Co. (The)(a) | 3,833 | 141,131 | ||||||
Molson Coors Beverage Co., Class B | 1,075 | 49,858 | ||||||
Mondelez International, Inc., | 2,114 | 122,993 | ||||||
Monster Beverage Corp.(a)* | 2,021 | 179,525 | ||||||
PepsiCo, Inc.(a) | 544 | 81,823 | ||||||
Philip Morris International, Inc. | 506 | 47,964 | ||||||
Primo Water Corp. (Canada) | 33 | 519 | ||||||
Sanderson Farms, Inc.(a) | 817 | 153,759 | ||||||
SunOpta, Inc. (Canada)* | 2,303 | 20,566 | ||||||
Tyson Foods, Inc., Class A(a) | 887 | 70,020 | ||||||
Vector Group Ltd.(a) | 6,797 | 86,662 | ||||||
|
| |||||||
1,672,526 | ||||||||
|
| |||||||
Health Care Equipment & Services — 8.4% |
| |||||||
Abbott Laboratories(a) | 954 | 112,696 | ||||||
Acadia Healthcare Co., Inc.(a)* | 1,994 | 127,177 | ||||||
Addus HomeCare Corp.* | 1 | 80 | ||||||
Alcon, Inc. (Switzerland) | 1,891 | 152,169 | ||||||
Align Technology, Inc.(a)* | 153 | 101,811 | ||||||
Allscripts Healthcare Solutions, Inc.* | 827 | 11,057 | ||||||
Amedisys, Inc.* | 395 | 58,895 | ||||||
AMN Healthcare Services, Inc.* | 574 | 65,867 | ||||||
Anthem, Inc.(a) | 163 | 60,766 | ||||||
Boston Scientific Corp.(a)* | 2,933 | 127,263 | ||||||
Cerner Corp.(a) | 3,458 | 243,858 | ||||||
Change Healthcare, Inc.(a)* | 1,493 | 31,263 | ||||||
Cigna Corp.(a) | 241 | 48,239 | ||||||
Community Health Systems, Inc.* | 101 | 1,182 | ||||||
CONMED Corp.(a) | 639 | 83,600 | ||||||
Cooper Cos., Inc. (The) | 234 | 96,715 | ||||||
CryoLife, Inc.* | 3 | 67 | ||||||
CVS Health Corp. | 1 | 85 | ||||||
Danaher Corp.(a) | 205 | 62,410 | ||||||
Doximity, Inc., Class A* | 279 | 22,515 | ||||||
Edwards Lifesciences Corp.* | 244 | 27,623 | ||||||
Encompass Health Corp. | 170 | 12,757 | ||||||
Ensign Group, Inc. (The) | 180 | 13,480 | ||||||
Envista Holdings Corp.(a)* | 3,533 | 147,715 | ||||||
Fulgent Genetics, Inc.(a)* | 561 | 50,462 | ||||||
Globus Medical, Inc., Class A* | 306 | 23,446 | ||||||
HCA Healthcare, Inc.(a) | 224 | 54,369 | ||||||
Henry Schein, Inc.(a)* | 760 | 57,882 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Heska Corp.* | 64 | $ | 16,547 | |||||
Hologic, Inc.(a)* | 1,165 | 85,989 | ||||||
ICU Medical, Inc.* | 66 | 15,403 | ||||||
IDEXX Laboratories, Inc.(a)* | 135 | 83,956 | ||||||
Integra LifeSciences Holdings | 842 | 57,660 | ||||||
Intersect ENT, Inc.* | 25 | 680 | ||||||
Intuitive Surgical, Inc.(a)* | 56 | 55,672 | ||||||
Laboratory Corp. of America | 594 | 167,175 | ||||||
LeMaitre Vascular, Inc. | 16 | 849 | ||||||
LivaNova PLC (United Kingdom)* | 878 | 69,529 | ||||||
McKesson Corp.(a) | 194 | 38,680 | ||||||
MEDNAX, Inc.(a)* | 3,370 | 95,809 | ||||||
Medtronic PLC (Ireland) | 1,792 | 224,627 | ||||||
Meridian Bioscience, Inc.* | 193 | 3,713 | ||||||
Merit Medical Systems, Inc.* | 336 | 24,125 | ||||||
ModivCare, Inc.* | 52 | 9,444 | ||||||
NextGen Healthcare, Inc.(a)* | 1,998 | 28,172 | ||||||
Omnicell, Inc.(a)* | 245 | 36,365 | ||||||
Owens & Minor, Inc. | 290 | 9,074 | ||||||
Patterson Cos., Inc.(a) | 1,850 | 55,759 | ||||||
Quest Diagnostics, Inc.(a) | 645 | 93,725 | ||||||
Select Medical Holdings Corp.(a) | 1,760 | 63,659 | ||||||
STAAR Surgical Co.(a)* | 978 | 125,702 | ||||||
Stryker Corp.(a) | 210 | 55,381 | ||||||
Tenet Healthcare Corp.* | 58 | 3,854 | ||||||
Tivity Health, Inc.(a)* | 2,304 | 53,130 | ||||||
UnitedHealth Group, Inc.(a) | 196 | 76,585 | ||||||
Veeva Systems, Inc., Class A* | 115 | 33,140 | ||||||
Vocera Communications, Inc.* | 212 | 9,701 | ||||||
|
| |||||||
3,389,554 | ||||||||
|
| |||||||
Household & Personal Products — 1.1% |
| |||||||
Colgate-Palmolive Co.(a) | 1,864 | 140,881 | ||||||
Coty, Inc., Class A* | 4,478 | 35,197 | ||||||
Edgewell Personal Care Co. | 685 | 24,865 | ||||||
elf Beauty, Inc.(a)* | 1,248 | 36,254 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 263 | 78,882 | ||||||
Kimberly-Clark Corp. | 208 | 27,548 | ||||||
Procter & Gamble Co. (The)(a) | 398 | 55,640 | ||||||
WD-40 Co. | 122 | 28,241 | ||||||
|
| |||||||
427,508 | ||||||||
|
| |||||||
Materials — 7.3% |
| |||||||
Agnico Eagle Mines Ltd. (Canada) | 2,568 | 133,151 |
The accompanying notes are an integral part of the financial statements.
102
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Alamos Gold, Inc., Class A | ||||||||
(Canada) | 10,537 | $ | 75,866 | |||||
Ashland Global Holdings, | 593 | 52,848 | ||||||
Avery Dennison Corp.(a) | 328 | 67,965 | ||||||
Avient Corp.(a) | 1,911 | 88,575 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 3,611 | 105,405 | ||||||
Carpenter Technology Corp. | 251 | 8,218 | ||||||
Celanese Corp.(a) | 331 | 49,862 | ||||||
CF Industries Holdings, Inc.(a) | 793 | 44,265 | ||||||
Chemours Co. (The)(a) | 3,844 | 111,707 | ||||||
Compass Minerals International, Inc. | 121 | 7,792 | ||||||
Corteva, Inc.(a) | 2,221 | 93,460 | ||||||
Domtar Corp.* | 803 | 43,796 | ||||||
Dow, Inc.(a) | 1,927 | 110,918 | ||||||
DuPont de Nemours, Inc.(a) | 4,152 | 282,294 | ||||||
Eagle Materials, Inc.(a) | 775 | 101,649 | ||||||
Eastman Chemical Co. | 222 | 22,364 | ||||||
Ecovyst, Inc. | 133 | 1,551 | ||||||
Ferro Corp.* | 2,102 | 42,755 | ||||||
Fortuna Silver Mines, Inc. (Canada)* | 1,796 | 7,058 | ||||||
Freeport-McMoRan, Inc. | 1,236 | 40,207 | ||||||
GCP Applied Technologies, Inc.* | 26 | 570 | ||||||
Graphic Packaging Holding Co. | 2,211 | 42,097 | ||||||
Hecla Mining Co. | 7,036 | 38,698 | ||||||
IAMGOLD Corp. (Canada)* | 9,330 | 21,086 | ||||||
Ingevity Corp.(a)* | 1,106 | 78,935 | ||||||
Innospec, Inc. | 83 | 6,990 | ||||||
International Paper Co. | 956 | 53,460 | ||||||
Kinross Gold Corp. (Canada) | 4,670 | 25,031 | ||||||
Kraton Corp.* | 84 | 3,834 | ||||||
Linde PLC (Ireland) | 186 | 54,569 | ||||||
Livent Corp.* | 2,085 | 48,184 | ||||||
Louisiana-Pacific Corp.(a) | 705 | 43,266 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 401 | 37,634 | ||||||
Minerals Technologies, Inc. | 39 | 2,724 | ||||||
Mosaic Co. (The)(a) | 3,074 | 109,803 | ||||||
NewMarket Corp. | 6 | 2,033 | ||||||
Newmont Corp.(a) | 798 | 43,331 | ||||||
Nucor Corp.(a) | 1,438 | 141,629 | ||||||
Nutrien Ltd. (Canada) | 862 | 55,883 | ||||||
O-I Glass, Inc.(a)* | 6,848 | 97,721 | ||||||
Olin Corp. | 1,587 | 76,573 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Pan American Silver Corp. | ||||||||
(Canada) | 13 | $ | 302 | |||||
PPG Industries, Inc. | 61 | 8,724 | ||||||
Pretium Resources, Inc. (Canada)* | 6,896 | 66,477 | ||||||
Reliance Steel & Aluminum | 165 | 23,499 | ||||||
Royal Gold, Inc. | 118 | 11,268 | ||||||
Sealed Air Corp. | 486 | 26,628 | ||||||
Sensient Technologies Corp.(a) | 532 | 48,455 | ||||||
Sherwin-Williams Co. (The)(a) | 307 | 85,877 | ||||||
Southern Copper Corp. | 591 | 33,179 | ||||||
Trinseo SA (Luxembourg) | 237 | 12,793 | ||||||
Westlake Chemical Corp.(a) | 575 | 52,405 | ||||||
Westrock Co. | 389 | 19,384 | ||||||
Wheaton Precious Metals Corp. (Canada) | 1,094 | 41,113 | ||||||
Worthington Industries, Inc. | 604 | 31,831 | ||||||
|
| |||||||
2,937,692 | ||||||||
|
| |||||||
Media & Entertainment — 4.9% |
| |||||||
Activision Blizzard, Inc.(a) | 2,152 | 166,543 | ||||||
Alphabet, Inc., Class A(a)* | 157 | 419,743 | ||||||
Altice USA, Inc., Class A* | 384 | 7,956 | ||||||
AMC Networks, Inc., Class A* | 420 | 19,568 | ||||||
Charter Communications, Inc., Class A(a)* | 237 | 172,432 | ||||||
Comcast Corp., Class A(a) | 1,328 | 74,275 | ||||||
Discovery, Inc., Class A* | 855 | 21,700 | ||||||
DISH Network Corp., Class A(a)* | 1,878 | 81,618 | ||||||
Eventbrite, Inc., Class A* | 456 | 8,623 | ||||||
Facebook, Inc., Class A(a)* | 824 | 279,657 | ||||||
Fox Corp., Class A(a) | 1,716 | 68,829 | ||||||
Gannett Co., Inc.* | 21 | 140 | ||||||
Interpublic Group of Cos., Inc. (The)(a) | 2,064 | 75,687 | ||||||
Lions Gate Entertainment Corp., Class B (Canada)* | 684 | 8,892 | ||||||
Madison Square Garden Sports Corp.* | 98 | 18,223 | ||||||
Meredith Corp.* | 191 | 10,639 | ||||||
Netflix, Inc.(a)* | 38 | 23,193 | ||||||
New York Times Co. (The), Class A. | 231 | 11,381 | ||||||
News Corp., Class A(a) | 4,405 | 103,650 | ||||||
Omnicom Group, Inc. | 320 | 23,187 | ||||||
Scholastic Corp. | 8 | 285 | ||||||
Snap, Inc., Class A(a)* | 1,312 | 96,917 | ||||||
Take-Two Interactive Software, | 61 | 9,398 |
The accompanying notes are an integral part of the financial statements.
103
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media & Entertainment — (Continued) |
| |||||||
TEGNA, Inc. | 691 | $ | 13,627 | |||||
Twitter, Inc.(a)* | 1,352 | 81,647 | ||||||
ViacomCBS, Inc., Class B | 890 | 35,164 | ||||||
Warner Music Group Corp., | 147 | 6,283 | ||||||
World Wrestling Entertainment, Inc., Class A(a) | 885 | 49,790 | ||||||
Yelp, Inc.(a)* | 2,154 | 80,215 | ||||||
|
| |||||||
1,969,262 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.5% |
| |||||||
AbCellera Biologics, Inc. | 1,828 | 36,633 | ||||||
Agilent Technologies, Inc.(a) | 502 | 79,080 | ||||||
Atea Pharmaceuticals, Inc.(a)* | 1,612 | 56,517 | ||||||
Bio-Rad Laboratories, Inc., | 28 | 20,887 | ||||||
Bio-Techne Corp. | 15 | 7,269 | ||||||
Bristol-Myers Squibb Co.(a) | 4,088 | 241,887 | ||||||
Bruker Corp. | 486 | 37,957 | ||||||
Celldex Therapeutics, Inc.* | 894 | 48,267 | ||||||
Charles River Laboratories International, Inc.* | 25 | 10,317 | ||||||
Cortexyme, Inc.* | 129 | 11,824 | ||||||
Denali Therapeutics, Inc.(a)* | 92 | 4,641 | ||||||
Dynavax Technologies Corp.* | 3,106 | 59,666 | ||||||
Eli Lilly and Co.(a) | 1,521 | 351,427 | ||||||
Fulcrum Therapeutics, Inc.* | 37 | 1,044 | ||||||
Halozyme Therapeutics, Inc.* | 333 | 13,546 | ||||||
Illumina, Inc.(a)* | 779 | 315,970 | ||||||
Innoviva, Inc.* | 299 | 4,996 | ||||||
Ironwood Pharmaceuticals, Inc.* | 3,070 | 40,094 | ||||||
Johnson & Johnson(a) | 1,669 | 269,543 | ||||||
Medpace Holdings, Inc.* | 1 | 189 | ||||||
Merck & Co., Inc.(a) | 1,726 | 129,640 | ||||||
Mettler-Toledo International, Inc.* | 2 | 2,755 | ||||||
Moderna, Inc.* | 424 | 163,181 | ||||||
Organon & Co. | 910 | 29,839 | ||||||
Pacira BioSciences, Inc.(a)* | 1,179 | 66,024 | ||||||
PerkinElmer, Inc.(a) | 648 | 112,292 | ||||||
Pfizer, Inc.(a) | 11,583 | 498,185 | ||||||
Prestige Consumer Healthcare, | 173 | 9,707 | ||||||
Prothena Corp. PLC (Ireland)* | 788 | 56,129 | ||||||
Regeneron Pharmaceuticals, Inc.* | 105 | 63,544 | ||||||
Sage Therapeutics, Inc.(a)* | 221 | 9,793 | ||||||
Thermo Fisher Scientific, Inc. | 1 | 571 | ||||||
United Therapeutics Corp.* | 233 | 43,007 | ||||||
Veracyte, Inc.* | 1,211 | 56,251 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Vertex Pharmaceuticals, Inc.(a)* | 379 | $ | 68,747 | |||||
Waters Corp.(a)* | 164 | 58,597 | ||||||
Zoetis, Inc.(a) | 177 | 34,363 | ||||||
|
| |||||||
3,014,379 | ||||||||
|
| |||||||
Retailing — 6.9% |
| |||||||
Abercrombie & Fitch Co., | ||||||||
Class A(a)* | 817 | 30,744 | ||||||
Academy Sports & Outdoors, Inc.* | 439 | 17,569 | ||||||
Advance Auto Parts, Inc.(a) | 214 | 44,702 | ||||||
Amazon.com, Inc.(a)* | 75 | 246,378 | ||||||
American Eagle Outfitters, Inc. | 1,537 | 39,655 | ||||||
Asbury Automotive Group, Inc.* | 1 | 197 | ||||||
AutoNation, Inc.(a)* | 1,199 | 145,990 | ||||||
AutoZone, Inc.* | 12 | 20,376 | ||||||
Bath & Body Works, Inc.(a) | 2,229 | 140,494 | ||||||
Best Buy Co., Inc. | 63 | 6,660 | ||||||
Big Lots, Inc.(a) | 474 | 20,553 | ||||||
Boot Barn Holdings, Inc.* | 106 | 9,420 | ||||||
Buckle, Inc. (The)(a) | 433 | 17,142 | ||||||
Caleres, Inc. | 194 | 4,311 | ||||||
Camping World Holdings, Inc., Class A | 607 | 23,594 | ||||||
Dick’s Sporting Goods, Inc. | 235 | 28,146 | ||||||
eBay, Inc.(a) | 6,519 | 454,179 | ||||||
Foot Locker, Inc. | 766 | 34,976 | ||||||
Genuine Parts Co.(a) | 196 | 23,761 | ||||||
Guess?, Inc. | 773 | 16,241 | ||||||
Home Depot, Inc. (The)(a) | 272 | 89,287 | ||||||
LKQ Corp.(a)* | 1,947 | 97,973 | ||||||
Lowe’s Cos., Inc.(a) | 482 | 97,778 | ||||||
Macy’s, Inc.(a) | 4,487 | 101,406 | ||||||
MarineMax, Inc.* | 676 | 32,799 | ||||||
National Vision Holdings, Inc.* | 225 | 12,773 | ||||||
O’Reilly Automotive, Inc.(a)* | 61 | 37,275 | ||||||
Penske Automotive Group, Inc. | 292 | 29,375 | ||||||
Qurate Retail, Inc., Series A(a) | 4,738 | 48,280 | ||||||
Ross Stores, Inc. | 552 | 60,085 | ||||||
Shutterstock, Inc.(a) | 537 | 60,853 | ||||||
Signet Jewelers Ltd. (Bermuda) | 3,039 | 239,959 | ||||||
Sonic Automotive, Inc., Class A(a) | 1,566 | 82,278 | ||||||
Target Corp.(a) | 840 | 192,167 | ||||||
Ulta Beauty, Inc.(a)* | 486 | 175,407 | ||||||
Urban Outfitters, Inc.* | 761 | 22,594 | ||||||
Victoria’s Secret & Co.* | 478 | 26,414 |
The accompanying notes are an integral part of the financial statements.
104
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) |
| |||||||
Williams-Sonoma, Inc. | 19 | $ | 3,369 | |||||
Zumiez, Inc.(a)* | 689 | 27,395 | ||||||
|
| |||||||
2,762,555 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
Advanced Micro Devices, | 226 | 23,255 | ||||||
Amkor Technology, Inc.(a) | 3 | 75 | ||||||
Applied Materials, Inc.(a) | 1,674 | 215,494 | ||||||
Axcelis Technologies, Inc.* | 112 | 5,267 | ||||||
Broadcom, Inc.(a) | 150 | 72,740 | ||||||
Enphase Energy, Inc.(a)* | 706 | 105,879 | ||||||
First Solar, Inc.* | 653 | 62,335 | ||||||
Ichor Holdings Ltd. (Cayman | 481 | 19,764 | ||||||
Intel Corp. | 1,723 | 91,801 | ||||||
KLA Corp. | 26 | 8,697 | ||||||
Lam Research Corp.(a) | 85 | 48,378 | ||||||
MACOM Technology Solutions Holdings, Inc.(a)* | 704 | 45,669 | ||||||
Micron Technology, Inc. | 1,786 | 126,770 | ||||||
MKS Instruments, Inc.(a) | 461 | 69,570 | ||||||
Monolithic Power Systems, Inc. | 33 | 15,994 | ||||||
NVIDIA Corp. | 215 | 44,539 | ||||||
NXP Semiconductors NV (Netherlands) | 472 | 92,451 | ||||||
ON Semiconductor Corp.(a)* | 1,217 | 55,702 | ||||||
Power Integrations, Inc. | 416 | 41,180 | ||||||
Qorvo, Inc.(a)* | 547 | 91,453 | ||||||
QUALCOMM, Inc.(a) | 1,315 | 169,609 | ||||||
Rambus, Inc.* | 1,036 | 22,999 | ||||||
Semtech Corp.* | 147 | 11,462 | ||||||
Skyworks Solutions, Inc. | 255 | 42,019 | ||||||
Synaptics, Inc.(a)* | 489 | 87,888 | ||||||
Ultra Clean Holdings, Inc.(a)* | 2 | 85 | ||||||
Xilinx, Inc. | 101 | 15,250 | ||||||
|
| |||||||
1,586,325 | ||||||||
|
| |||||||
Software & Services — 10.0% |
| |||||||
Accenture PLC, Class A (Ireland) | 137 | 43,829 | ||||||
Adobe, Inc.(a)* | 378 | 217,622 | ||||||
Agilysys, Inc.* | 21 | 1,100 | ||||||
ANSYS, Inc.* | 122 | 41,535 | ||||||
Automatic Data Processing, Inc.(a) | 1,042 | 208,317 | ||||||
Box, Inc., Class A(a)* | 5,391 | 127,605 | ||||||
Broadridge Financial Solutions, | 138 | 22,996 | ||||||
Cadence Design Systems, | 375 | 56,790 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cerence, Inc.(a)* | 1,309 | $ | 125,808 | |||||
CGI, Inc. (Canada)* | 200 | 16,952 | ||||||
Cloudera, Inc.(a)* | 5,682 | 90,742 | ||||||
CommVault Systems, Inc.* | 182 | 13,706 | ||||||
Cornerstone OnDemand, Inc.* | 1,060 | 60,696 | ||||||
CSG Systems International, Inc. | 97 | 4,675 | ||||||
Descartes Systems Group, Inc. (The) (Canada)* | 2 | 163 | ||||||
DocuSign, Inc.* | 109 | 28,060 | ||||||
Dolby Laboratories, Inc., Class A(a) | 997 | 87,736 | ||||||
Dropbox, Inc., Class A(a)* | 3,799 | 111,007 | ||||||
DXC Technology Co.(a)* | 1,832 | 61,573 | ||||||
Elastic NV (Netherlands)* | 76 | 11,323 | ||||||
Fair Isaac Corp.* | 243 | 96,697 | ||||||
Fiserv, Inc.(a)* | 1,197 | 129,874 | ||||||
Fortinet, Inc.* | 240 | 70,090 | ||||||
Gartner, Inc.(a)* | 274 | 83,263 | ||||||
HubSpot, Inc.(a)* | 140 | 94,653 | ||||||
International Business Machines Corp.(a) | 364 | 50,570 | ||||||
Intuit, Inc. | 26 | 14,027 | ||||||
Lightspeed Commerce, Inc. (Canada)* | 886 | 85,437 | ||||||
Manhattan Associates, Inc.* | 245 | 37,492 | ||||||
Maximus, Inc.(a) | 433 | 36,026 | ||||||
Microsoft Corp.(a) | 785 | 221,307 | ||||||
Momentive Global, Inc.* | 1,974 | 38,690 | ||||||
MongoDB, Inc.(a)* | 395 | 186,246 | ||||||
NCR Corp.* | 69 | 2,674 | ||||||
NortonLifeLock, Inc.(a) | 2,610 | 66,033 | ||||||
Nutanix, Inc., Class A(a)* | 2,431 | 91,649 | ||||||
Open Text Corp. (Canada) | 1,136 | 55,369 | ||||||
Palantir Technologies, Inc., | 603 | 14,496 | ||||||
Palo Alto Networks, Inc.(a)* | 86 | 41,194 | ||||||
Paychex, Inc. | 771 | 86,699 | ||||||
PayPal Holdings, Inc.(a)* | 288 | 74,940 | ||||||
Progress Software Corp.(a) | 264 | 12,986 | ||||||
PTC, Inc.(a)* | 254 | 30,427 | ||||||
ServiceNow, Inc.(a)* | 249 | 154,945 | ||||||
Sprout Social, Inc., Class A(a)* | 888 | 108,292 | ||||||
SPS Commerce, Inc.(a)* | 491 | 79,203 | ||||||
Square, Inc., Class A(a)* | 598 | 143,424 | ||||||
SS&C Technologies Holdings, | 934 | 64,820 | ||||||
Synopsys, Inc.(a)* | 260 | 77,847 | ||||||
Teradata Corp.(a)* | 1,268 | 72,720 |
The accompanying notes are an integral part of the financial statements.
105
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
TTEC Holdings, Inc. | 37 | $ | 3,461 | |||||
Verint Systems, Inc.(a)* | 2,748 | 123,083 | ||||||
VeriSign, Inc.* | 141 | 28,906 | ||||||
Visa, Inc., Class A(a) | 331 | 73,730 | ||||||
Western Union Co. (The)(a) | 3,395 | 68,647 | ||||||
Workiva, Inc.* | 477 | 67,238 | ||||||
Xperi Holding Corp. | 95 | 1,790 | ||||||
|
| |||||||
4,021,180 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 5.6% |
| |||||||
3D Systems Corp.(a)* | 5,444 | 150,091 | ||||||
Apple, Inc.(a) | 2,089 | 295,594 | ||||||
Arista Networks, Inc.* | 55 | 18,900 | ||||||
Arrow Electronics, Inc.(a)* | 384 | 43,119 | ||||||
Badger Meter, Inc.(a) | 248 | 25,083 | ||||||
Belden, Inc. | 4 | 233 | ||||||
Benchmark Electronics, Inc. | 358 | 9,562 | ||||||
CDW Corp. | 75 | 13,652 | ||||||
Cisco Systems, Inc.(a) | 2,224 | 121,052 | ||||||
Cognex Corp. | 77 | 6,177 | ||||||
Coherent, Inc.(a)* | 700 | 175,063 | ||||||
Corning, Inc.(a) | 2,101 | 76,666 | ||||||
CTS Corp. | 30 | 927 | ||||||
Diebold Nixdorf, Inc.(a)* | 2,963 | 29,956 | ||||||
EchoStar Corp., Class A* | 832 | 21,224 | ||||||
Extreme Networks, Inc.* | 3,148 | 31,008 | ||||||
Hewlett Packard Enterprise Co.(a) | 4,074 | 58,055 | ||||||
HP, Inc.(a) | 3,828 | 104,734 | ||||||
Keysight Technologies, | 428 | 70,316 | ||||||
Knowles Corp.* | 751 | 14,074 | ||||||
NetApp, Inc.(a) | 932 | 83,656 | ||||||
NETGEAR, Inc.* | 419 | 13,370 | ||||||
Plantronics, Inc.* | 519 | 13,344 | ||||||
Sanmina Corp.(a)* | 1,656 | 63,822 | ||||||
Seagate Technology Holdings PLC (Ireland) | 777 | 64,118 | ||||||
SYNNEX Corp.(a) | 1,014 | 105,557 | ||||||
TE Connectivity Ltd. (Switzerland) | 1,009 | 138,455 | ||||||
Trimble, Inc.* | 469 | 38,575 | ||||||
TTM Technologies, Inc.* | 2,878 | 36,176 | ||||||
Ubiquiti, Inc.(a) | 364 | 108,716 | ||||||
Viavi Solutions, Inc.* | 972 | 15,299 | ||||||
Vishay Intertechnology, Inc. | 1,973 | 39,638 | ||||||
Vontier Corp.(a) | 2,786 | 93,610 | ||||||
Western Digital Corp.* | 442 | 24,946 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Xerox Holdings Corp. | 3,070 | $ | 61,922 | |||||
Zebra Technologies Corp., | 199 | 102,569 | ||||||
|
| |||||||
2,269,259 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% |
| |||||||
AT&T, Inc.(a) | 2,750 | 74,277 | ||||||
Gogo, Inc.* | 2,652 | 45,880 | ||||||
IDT Corp., Class B* | 4 | 168 | ||||||
Iridium Communications, | 352 | 14,027 | ||||||
Lumen Technologies, Inc. | 2,643 | 32,747 | ||||||
Rogers Communications, Inc., Class B (Canada) | 2 | 93 | ||||||
T-Mobile US, Inc.(a)* | 469 | 59,919 | ||||||
Verizon Communications, | 1,461 | 78,909 | ||||||
|
| |||||||
306,020 | ||||||||
|
| |||||||
Transportation — 2.4% |
| |||||||
Alaska Air Group, Inc.* | 131 | 7,677 | ||||||
ArcBest Corp. | 517 | 42,275 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 229 | 18,705 | ||||||
Canadian Pacific Railway Ltd. (Canada) | 499 | 32,470 | ||||||
CSX Corp.(a) | 6,775 | 201,488 | ||||||
Echo Global Logistics, Inc.(a)* | 1,227 | 58,540 | ||||||
Expeditors International of Washington, Inc. | 142 | 16,916 | ||||||
FedEx Corp.(a) | 58 | 12,719 | ||||||
Hub Group, Inc., Class A* | 615 | 42,281 | ||||||
Norfolk Southern Corp.(a) | 188 | 44,979 | ||||||
Old Dominion Freight Line, Inc. | 159 | 45,471 | ||||||
Ryder System, Inc.(a) | 468 | 38,708 | ||||||
Saia, Inc.* | 35 | 8,331 | ||||||
Schneider National, Inc., | 3,318 | 75,451 | ||||||
SkyWest, Inc.(a)* | 446 | 22,006 | ||||||
Southwest Airlines Co.* | 18 | 926 | ||||||
Union Pacific Corp.(a) | 505 | 98,985 | ||||||
United Airlines Holdings, Inc.* | 422 | 20,075 | ||||||
United Parcel Service, Inc., | 497 | 90,504 | ||||||
Werner Enterprises, Inc. | 159 | 7,039 | ||||||
XPO Logistics, Inc.(a)* | 1,025 | 81,569 | ||||||
|
| |||||||
967,115 | ||||||||
|
| |||||||
Utilities — 2.4% |
| |||||||
AES Corp. (The)(a) | 4,002 | 91,366 | ||||||
American Water Works Co., Inc. | 175 | 29,582 | ||||||
Avista Corp. | 277 | 10,836 |
The accompanying notes are an integral part of the financial statements.
106
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
Dominion Energy, Inc.(a) | 770 | $ | 56,225 | |||||
Exelon Corp.(a) | 1,913 | 92,475 | ||||||
Fortis, Inc. (Canada) | 69 | 3,059 | ||||||
MDU Resources Group, Inc.(a) | 990 | 29,373 | ||||||
National Fuel Gas Co. | 154 | 8,088 | ||||||
NRG Energy, Inc.(a) | 5,056 | 206,437 | ||||||
PPL Corp.(a) | 8,974 | 250,195 | ||||||
Public Service Enterprise Group, | 3,121 | 190,069 | ||||||
Southern Co. (The) | 111 | 6,879 | ||||||
TransAlta Corp. (Canada) | 6 | 63 | ||||||
|
| |||||||
974,647 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 37,816,189 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9% | 2,352,001 | |||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 40,168,190 | |||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
107
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 29, 2025 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (69.9)% of net assets as of September 30, 2021.
The following table represents the individual long and short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Long | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
Adient PLC (Ireland) | Morgan Stanley | 34 | $ | 1,360 | $ | 1,409 | $ | 49 | |||||||||||||||||
American Axle & Manufacturing Holdings, Inc. | Morgan Stanley | 227 | 2,267 | 2,000 | (267 | ) | |||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | 20 | 2,749 | 2,979 | 230 | ||||||||||||||||||||
Ford Motor Co. | Morgan Stanley | 3,349 | 34,341 | 47,422 | 13,081 | ||||||||||||||||||||
General Motors Co. | Morgan Stanley | 1,042 | 49,164 | 54,924 | 5,750 | ||||||||||||||||||||
Gentex Corp. | Morgan Stanley | 794 | 27,110 | 26,186 | (810 | ) | |||||||||||||||||||
Gentherm, Inc. | Morgan Stanley | 24 | 1,889 | 1,942 | 53 | ||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | 26 | 412 | 460 | 64 | ||||||||||||||||||||
Lear Corp. | Morgan Stanley | 16 | 2,397 | 2,504 | 107 | ||||||||||||||||||||
Magna International, Inc. (Canada) | Morgan Stanley | 527 | 43,040 | 39,651 | (3,267 | ) | |||||||||||||||||||
Tenneco, Inc., Class A | Morgan Stanley | 288 | 3,294 | 4,110 | 815 | ||||||||||||||||||||
Thor Industries, Inc. | Morgan Stanley | 12 | 1,491 | 1,473 | (18 | ) | |||||||||||||||||||
Visteon Corp. | Morgan Stanley | 134 | 14,470 | 12,648 | (1,821 | ) | |||||||||||||||||||
Winnebago Industries, Inc. | Morgan Stanley | 139 | 9,277 | 10,071 | 826 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
6,632 | 193,261 | 207,779 | 14,792 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
3M Co. | Morgan Stanley | 179 | 30,818 | 31,400 | 1,177 | ||||||||||||||||||||
A O Smith Corp. | Morgan Stanley | 923 | 51,746 | 56,368 | 5,297 | ||||||||||||||||||||
AAR Corp. | Morgan Stanley | 26 | 875 | 843 | (44 | ) | |||||||||||||||||||
AECOM | Morgan Stanley | 59 | 3,774 | 3,726 | (48 | ) | |||||||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | Morgan Stanley | 12 | 506 | 523 | 16 | ||||||||||||||||||||
AeroVironment, Inc. | Morgan Stanley | 13 | 1,353 | 1,122 | (308 | ) | |||||||||||||||||||
Albany International Corp., Class A | Morgan Stanley | 146 | 7,726 | 11,223 | 3,638 | ||||||||||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | 30 | 4,086 | 3,965 | (109 | ) | |||||||||||||||||||
Apogee Enterprises, Inc. | Morgan Stanley | 281 | 6,044 | 10,611 | 4,787 | ||||||||||||||||||||
Atkore, Inc. | Morgan Stanley | 137 | 7,305 | 11,908 | 4,743 | ||||||||||||||||||||
Beacon Roofing Supply, Inc. | Morgan Stanley | 70 | 3,791 | 3,343 | (504 | ) | |||||||||||||||||||
Boise Cascade Co. | Morgan Stanley | 195 | 11,246 | 10,526 | (490 | ) | |||||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 154 | 8,333 | 7,971 | (362 | ) | |||||||||||||||||||
Caterpillar, Inc. | Morgan Stanley | 42 | 8,702 | 8,063 | (604 | ) | |||||||||||||||||||
Colfax Corp. | Morgan Stanley | 21 | 971 | 964 | (7 | ) | |||||||||||||||||||
Comfort Systems U.S.A., Inc. | Morgan Stanley | 30 | 2,310 | 2,140 | (165 | ) | |||||||||||||||||||
Crane Co. | Morgan Stanley | 154 | 14,555 | 14,601 | 126 | ||||||||||||||||||||
Cummins, Inc. | Morgan Stanley | 84 | 18,917 | 18,863 | 245 | ||||||||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | 12 | 1,386 | 1,514 | 130 |
The accompanying notes are an integral part of the financial statements.
108
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Deere & Co. | Morgan Stanley | 47 | $ | 15,085 | $ | 15,748 | $ | 781 | |||||||||||||||||
Dover Corp. | Morgan Stanley | 38 | 5,575 | 5,909 | 371 | ||||||||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 222 | 35,709 | 33,147 | (2,521 | ) | |||||||||||||||||||
EMCOR Group, Inc. | Morgan Stanley | 34 | 3,086 | 3,923 | 864 | ||||||||||||||||||||
Emerson Electric Co. | Morgan Stanley | 429 | 41,697 | 40,412 | (1,234 | ) | |||||||||||||||||||
Enerpac Tool Group Corp. | Morgan Stanley | 25 | 572 | 518 | (53 | ) | |||||||||||||||||||
ESCO Technologies, Inc. | Morgan Stanley | 24 | 2,041 | 1,848 | (191 | ) | |||||||||||||||||||
Fortive Corp. | Morgan Stanley | 52 | 3,218 | 3,670 | 466 | ||||||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 103 | 18,010 | 20,191 | 2,286 | ||||||||||||||||||||
General Electric Co. | Morgan Stanley | 146 | 15,171 | 15,042 | (116 | ) | |||||||||||||||||||
Gibraltar Industries, Inc. | Morgan Stanley | 2 | 123 | 139 | 16 | ||||||||||||||||||||
Graco, Inc. | Morgan Stanley | 7 | 509 | 490 | (19 | ) | |||||||||||||||||||
Granite Construction, Inc. | Morgan Stanley | 228 | 8,727 | 9,017 | 390 | ||||||||||||||||||||
HEICO Corp. | Morgan Stanley | 82 | 10,303 | 10,813 | 555 | ||||||||||||||||||||
Hillenbrand, Inc. | Morgan Stanley | 144 | 6,256 | 6,142 | (98 | ) | |||||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | 6 | 1,292 | 1,274 | 11 | ||||||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 222 | 3,968 | 6,926 | 3,371 | ||||||||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 68 | 13,001 | 13,128 | 215 | ||||||||||||||||||||
Ingersoll Rand, Inc. | Morgan Stanley | 373 | 17,934 | 18,803 | 869 | ||||||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 194 | 9,939 | 13,208 | 3,422 | ||||||||||||||||||||
Kaman Corp. | Morgan Stanley | 11 | 396 | 392 | (2 | ) | |||||||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 12 | 2,693 | 2,643 | (13 | ) | |||||||||||||||||||
Lennox International, Inc. | Morgan Stanley | 131 | 42,441 | 38,536 | (3,760 | ) | |||||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 39 | 13,835 | 13,459 | (244 | ) | |||||||||||||||||||
MYR Group, Inc. | Morgan Stanley | 6 | 606 | 597 | (9 | ) | |||||||||||||||||||
Nordson Corp. | Morgan Stanley | 80 | 18,285 | 19,052 | 790 | ||||||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 84 | 25,688 | 30,253 | 5,187 | ||||||||||||||||||||
NOW, Inc. | Morgan Stanley | 7,247 | 52,686 | 55,440 | 2,776 | ||||||||||||||||||||
Oshkosh Corp. | Morgan Stanley | 261 | 31,001 | 26,719 | (4,252 | ) | |||||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 94 | 8,154 | 7,734 | (411 | ) | |||||||||||||||||||
Owens Corning | Morgan Stanley | 472 | 45,284 | 40,356 | (4,906 | ) | |||||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 21 | 5,594 | 5,872 | 426 | ||||||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 131 | 8,110 | 9,515 | 1,440 | ||||||||||||||||||||
Regal Beloit Corp. | Morgan Stanley | 60 | 8,639 | 9,020 | 405 | ||||||||||||||||||||
Resideo Technologies, Inc. | Morgan Stanley | 59 | 1,518 | 1,463 | (55 | ) | |||||||||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | 39 | 11,756 | 11,468 | (288 | ) | |||||||||||||||||||
Sensata Technologies Holding PLC (United Kingdom) | Morgan Stanley | 265 | 14,883 | 14,501 | (382 | ) | |||||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 164 | 30,093 | 34,268 | 4,659 | ||||||||||||||||||||
SPX FLOW, Inc. | Morgan Stanley | 28 | 1,882 | 2,047 | 169 | ||||||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 143 | 26,190 | 25,069 | (860 | ) | |||||||||||||||||||
Tecnoglass, Inc. (Cayman Islands) | Morgan Stanley | 73 | 1,619 | 1,586 | (31 | ) | |||||||||||||||||||
Terex Corp. | Morgan Stanley | 316 | 15,352 | 13,304 | (1,973 | ) | |||||||||||||||||||
Textron, Inc. | Morgan Stanley | 106 | 7,109 | 7,400 | 295 | ||||||||||||||||||||
Toro Co. (The) | Morgan Stanley | 83 | 7,733 | 8,085 | 419 | ||||||||||||||||||||
TPI Composites, Inc. | Morgan Stanley | 159 | 6,526 | 5,366 | (1,160 | ) | |||||||||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 58 | 10,005 | 10,014 | 35 | ||||||||||||||||||||
Triumph Group, Inc. | Morgan Stanley | 111 | 2,058 | 2,068 | 9 | ||||||||||||||||||||
Watsco, Inc. | Morgan Stanley | 21 | 4,747 | 5,557 | 944 | ||||||||||||||||||||
Watts Water Technologies, Inc., Class A | Morgan Stanley | 18 | 2,270 | 3,026 | 765 |
The accompanying notes are an integral part of the financial statements.
109
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 35 | $ | 14,734 | $ | 13,757 | $ | (972 | ) | ||||||||||||||||
Xylem, Inc. | Morgan Stanley | 20 | 2,526 | 2,474 | (46 | ) | |||||||||||||||||||
|
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| ||||||||||||||||||
15,361 | 821,073 | 841,063 | 25,858 | ||||||||||||||||||||||
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| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ABM Industries, Inc. | Morgan Stanley | 155 | 5,556 | 6,977 | 1,518 | ||||||||||||||||||||
Brady Corp., Class A | Morgan Stanley | 51 | 2,715 | 2,586 | (126 | ) | |||||||||||||||||||
Brink’s Co. (The) | Morgan Stanley | 77 | 5,936 | 4,874 | (1,030 | ) | |||||||||||||||||||
CBIZ, Inc. | Morgan Stanley | 9 | 299 | 291 | (8 | ) | |||||||||||||||||||
Cintas Corp. | Morgan Stanley | 5 | 1,964 | 1,903 | (60 | ) | |||||||||||||||||||
Clean Harbors, Inc. | Morgan Stanley | 58 | 5,810 | 6,024 | 215 | ||||||||||||||||||||
Copart, Inc. | Morgan Stanley | 15 | 1,942 | 2,081 | 138 | ||||||||||||||||||||
CoreCivic, Inc. | Morgan Stanley | 369 | 3,277 | 3,284 | 7 | ||||||||||||||||||||
Deluxe Corp. | Morgan Stanley | 1,002 | 28,454 | 35,962 | 8,936 | ||||||||||||||||||||
Equifax, Inc. | Morgan Stanley | 4 | 1,038 | 1,014 | (25 | ) | |||||||||||||||||||
Healthcare Services Group, Inc. | Morgan Stanley | 3,151 | 65,538 | 78,743 | 15,958 | ||||||||||||||||||||
HNI Corp. | Morgan Stanley | 77 | 3,328 | 2,827 | (488 | ) | |||||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 22 | 2,586 | 2,566 | (20 | ) | |||||||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 121 | 14,534 | 16,036 | 1,561 | ||||||||||||||||||||
Korn Ferry | Morgan Stanley | 58 | 4,260 | 4,197 | (59 | ) | |||||||||||||||||||
ManpowerGroup, Inc. | Morgan Stanley | 4 | 441 | 433 | (8 | ) | |||||||||||||||||||
MSA Safety, Inc. | Morgan Stanley | 9 | 1,316 | 1,311 | (4 | ) | |||||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 3,024 | 76,466 | 58,031 | (18,205 | ) | |||||||||||||||||||
Republic Services, Inc. | Morgan Stanley | 113 | 12,031 | 13,567 | 1,633 | ||||||||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 162 | 13,937 | 16,253 | 2,405 | ||||||||||||||||||||
Rollins, Inc. | Morgan Stanley | 94 | 3,399 | 3,321 | (31 | ) | |||||||||||||||||||
Science Applications International Corp. | Morgan Stanley | 100 | 8,530 | 8,556 | 24 | ||||||||||||||||||||
SP Plus Corp. | Morgan Stanley | 1,162 | 23,926 | 35,639 | 11,745 | ||||||||||||||||||||
Steelcase, Inc., Class A | Morgan Stanley | 3,413 | 35,659 | 43,277 | 9,360 | ||||||||||||||||||||
Thomson Reuters Corp. (Canada) | Morgan Stanley | 372 | 30,861 | 41,099 | 10,620 | ||||||||||||||||||||
TriNet Group, Inc. | Morgan Stanley | 1 | 72 | 95 | 23 | ||||||||||||||||||||
UniFirst Corp. | Morgan Stanley | 2 | 441 | 425 | (13 | ) | |||||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 6 | 914 | 896 | (18 | ) | |||||||||||||||||||
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| ||||||||||||||||||
13,636 | 355,230 | 392,268 | 44,048 | ||||||||||||||||||||||
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| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Acushnet Holdings Corp. | Morgan Stanley | 80 | 4,042 | 3,736 | (296 | ) | |||||||||||||||||||
BRP, Inc., sub-voting shares (Canada) | Morgan Stanley | 21 | 1,667 | 1,946 | 283 | ||||||||||||||||||||
Brunswick Corp. | Morgan Stanley | 109 | 10,604 | 10,384 | (203 | ) | |||||||||||||||||||
Capri Holdings Ltd. (British Virgin Islands) | Morgan Stanley | 14 | 722 | 678 | (44 | ) | |||||||||||||||||||
DR Horton, Inc. | Morgan Stanley | 32 | 2,803 | 2,687 | (110 | ) | |||||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 43 | 4,245 | 6,685 | 2,543 | ||||||||||||||||||||
G-III Apparel Group Ltd | Morgan Stanley | 1,182 | 13,893 | 33,451 | 19,588 | ||||||||||||||||||||
GoPro, Inc., Class A | Morgan Stanley | 1,271 | 13,532 | 11,897 | (1,635 | ) | |||||||||||||||||||
Hasbro, Inc. | Morgan Stanley | 332 | 32,595 | 29,621 | (2,925 | ) | |||||||||||||||||||
Johnson Outdoors, Inc., Class A | Morgan Stanley | 1 | 106 | 106 | — | ||||||||||||||||||||
Kontoor Brands, Inc. | Morgan Stanley | 1 | 36 | 50 | 26 | ||||||||||||||||||||
La-Z-Boy, Inc. | Morgan Stanley | 20 | 622 | 645 | 48 | ||||||||||||||||||||
Mattel, Inc. | Morgan Stanley | 417 | 8,171 | 7,740 | (432 | ) | |||||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 102 | 19,105 | 18,095 | (1,010 | ) |
The accompanying notes are an integral part of the financial statements.
110
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Consumer Durables & Apparel — (continued) | |||||||||||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 225 | $ | 5,913 | $ | 4,982 | $ | (849 | ) | ||||||||||||||||
PulteGroup, Inc. | Morgan Stanley | 120 | 6,307 | 5,510 | (781 | ) | |||||||||||||||||||
Skyline Champion Corp. | Morgan Stanley | 264 | 12,496 | 15,856 | 3,422 | ||||||||||||||||||||
Smith & Wesson Brands, Inc. | Morgan Stanley | 1,466 | 28,165 | 30,434 | 2,432 | ||||||||||||||||||||
Sonos, Inc. | Morgan Stanley | 290 | 9,882 | 9,384 | (498 | ) | |||||||||||||||||||
Steven Madden Ltd. | Morgan Stanley | 3,256 | 68,806 | 130,761 | 66,350 | ||||||||||||||||||||
Sturm Ruger & Co., Inc. | Morgan Stanley | 157 | 10,125 | 11,583 | 1,973 | ||||||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 88 | 3,521 | 3,258 | (257 | ) | |||||||||||||||||||
Tempur Sealy International, Inc. | Morgan Stanley | 261 | 11,152 | 12,113 | 973 | ||||||||||||||||||||
Tupperware Brands Corp. | Morgan Stanley | 35 | 721 | 739 | 19 | ||||||||||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | 529 | 10,784 | 9,268 | (1,515 | ) | |||||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 126 | 27,927 | 25,686 | (2,286 | ) | |||||||||||||||||||
YETI Holdings, Inc. | Morgan Stanley | 27 | 2,368 | 2,314 | (54 | ) | |||||||||||||||||||
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| ||||||||||||||||||
10,469 | 310,310 | 389,609 | 84,762 | ||||||||||||||||||||||
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Consumer Services | |||||||||||||||||||||||||
Adtalem Global Education, Inc. | Morgan Stanley | 777 | 22,156 | 29,378 | 7,223 | ||||||||||||||||||||
Boyd Gaming Corp. | Morgan Stanley | 44 | 2,353 | 2,783 | 596 | ||||||||||||||||||||
Brinker International, Inc. | Morgan Stanley | 125 | 6,947 | 6,131 | (872 | ) | |||||||||||||||||||
Choice Hotels International, Inc. | Morgan Stanley | 33 | 3,887 | 4,170 | 290 | ||||||||||||||||||||
Cracker Barrel Old Country Store, Inc. | Morgan Stanley | 18 | 2,553 | 2,517 | (36 | ) | |||||||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | 12 | 5,869 | 5,724 | (146 | ) | |||||||||||||||||||
Graham Holdings Co., Class B | Morgan Stanley | 10 | 5,870 | 5,892 | 52 | ||||||||||||||||||||
Grand Canyon Education, Inc. | Morgan Stanley | 120 | 10,998 | 10,555 | (455 | ) | |||||||||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | 41 | 4,899 | 5,417 | 517 | ||||||||||||||||||||
Houghton Mifflin Harcourt Co. | Morgan Stanley | 228 | 3,084 | 3,062 | (22 | ) | |||||||||||||||||||
Jack in the Box, Inc. | Morgan Stanley | 346 | 31,180 | 33,676 | 2,993 | ||||||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 115 | 15,713 | 17,030 | 1,575 | ||||||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 66 | 15,454 | 15,913 | 535 | ||||||||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | 82 | 6,439 | 10,413 | 4,312 | ||||||||||||||||||||
Penn National Gaming, Inc. | Morgan Stanley | 326 | 23,778 | 23,622 | (156 | ) | |||||||||||||||||||
Perdoceo Education Corp. | Morgan Stanley | 4,555 | 66,881 | 48,101 | (18,800 | ) | |||||||||||||||||||
Red Rock Resorts, Inc., Class A | Morgan Stanley | 3 | 112 | 154 | 42 | ||||||||||||||||||||
Service Corp. International | Morgan Stanley | 187 | 9,870 | 11,269 | 1,494 | ||||||||||||||||||||
Starbucks Corp. | Morgan Stanley | 57 | 6,529 | 6,288 | (239 | ) | |||||||||||||||||||
Vail Resorts, Inc. | Morgan Stanley | 39 | 12,134 | 13,028 | 894 | ||||||||||||||||||||
Wendy’s Co. (The) | Morgan Stanley | 901 | 20,650 | 19,534 | (1,036 | ) | |||||||||||||||||||
WW International, Inc. | Morgan Stanley | 147 | 4,483 | 2,683 | (1,801 | ) | |||||||||||||||||||
Wyndham Hotels & Resorts, Inc. | Morgan Stanley | 404 | 28,565 | 31,185 | 2,793 | ||||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 266 | 30,675 | 32,534 | 2,031 | ||||||||||||||||||||
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8,902 | 341,079 | 341,059 | 1,784 | ||||||||||||||||||||||
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Diversified Financials | |||||||||||||||||||||||||
Affiliated Managers Group, Inc. | Morgan Stanley | 10 | 1,533 | 1,511 | (22 | ) | |||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 467 | 102,804 | 127,463 | 24,659 | ||||||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 7 | 5,748 | 5,871 | 164 | ||||||||||||||||||||
CME Group, Inc. | Morgan Stanley | 120 | 22,868 | 23,206 | 423 | ||||||||||||||||||||
Franklin Resources, Inc. | Morgan Stanley | 247 | 7,364 | 7,341 | 95 | ||||||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 478 | 12,405 | 11,525 | (784 | ) | |||||||||||||||||||
Moody’s Corp. | Morgan Stanley | 52 | 18,779 | 18,466 | (287 | ) |
The accompanying notes are an integral part of the financial statements.
111
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Diversified Financials — (continued) | |||||||||||||||||||||||||
MSCI, Inc. | Morgan Stanley | 6 | $ | 3,775 | $ | 3,650 | $ | (124 | ) | ||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 83 | 12,114 | 16,021 | 4,025 | ||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 24 | 10,159 | 10,197 | 56 | ||||||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 139 | 28,842 | 27,341 | (1,031 | ) | |||||||||||||||||||
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1,633 | 226,391 | 252,592 | 27,174 | ||||||||||||||||||||||
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Energy | |||||||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | 1 | 5 | 10 | 6 | ||||||||||||||||||||
Antero Resources Corp. | Morgan Stanley | 3,458 | 31,479 | 65,045 | 33,566 | ||||||||||||||||||||
APA Corp. | Morgan Stanley | 146 | 2,528 | 3,129 | 601 | ||||||||||||||||||||
Baker Hughes Co. | Morgan Stanley | 226 | 4,560 | 5,589 | 1,114 | ||||||||||||||||||||
Cactus, Inc., Class A | Morgan Stanley | 42 | 925 | 1,584 | 672 | ||||||||||||||||||||
Canadian Natural Resources Ltd. (Canada) | Morgan Stanley | 239 | 7,630 | 8,733 | 1,282 | ||||||||||||||||||||
Centennial Resource Development, Inc., Class A | Morgan Stanley | 141 | 752 | 945 | 227 | ||||||||||||||||||||
ChampionX Corp. | Morgan Stanley | 475 | 10,740 | 10,621 | (119 | ) | |||||||||||||||||||
Cimarex Energy Co. | Morgan Stanley | 257 | 16,361 | 22,410 | 6,145 | ||||||||||||||||||||
CNX Resources Corp. | Morgan Stanley | 503 | 6,202 | 6,348 | 146 | ||||||||||||||||||||
Comstock Resources, Inc. | Morgan Stanley | 481 | 2,664 | 4,978 | 2,314 | ||||||||||||||||||||
Continental Resources, Inc. | Morgan Stanley | 157 | 4,915 | 7,246 | 2,561 | ||||||||||||||||||||
Core Laboratories N.V. (Netherlands) | Morgan Stanley | 21 | 290 | 583 | 293 | ||||||||||||||||||||
Coterra Energy, Inc. | Morgan Stanley | 233 | 3,383 | 5,070 | 1,722 | ||||||||||||||||||||
Denbury, Inc. | Morgan Stanley | 220 | 15,705 | 15,455 | (250 | ) | |||||||||||||||||||
DHT Holdings, Inc. (Marshall Islands) | Morgan Stanley | 8,311 | 43,160 | 54,271 | 14,045 | ||||||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 189 | 12,820 | 15,171 | 2,547 | ||||||||||||||||||||
Equitrans Midstream Corp. | Morgan Stanley | 1,009 | 8,431 | 10,231 | 1,801 | ||||||||||||||||||||
Extraction Oil & Gas, Inc. | Morgan Stanley | 56 | 2,766 | 3,161 | 396 | ||||||||||||||||||||
Exxon Mobil Corp. | Morgan Stanley | 497 | 27,795 | 29,234 | 2,151 | ||||||||||||||||||||
Green Plains, Inc. | Morgan Stanley | 214 | 5,289 | 6,987 | 1,698 | ||||||||||||||||||||
Halliburton Co. | Morgan Stanley | 600 | 11,432 | 12,972 | 1,659 | ||||||||||||||||||||
Hess Corp. | Morgan Stanley | 290 | 21,777 | 22,652 | 1,003 | ||||||||||||||||||||
Imperial Oil Ltd. (Canada) | Morgan Stanley | 184 | 5,922 | 5,807 | (89 | ) | |||||||||||||||||||
Kosmos Energy Ltd. | Morgan Stanley | 21,555 | 31,255 | 63,803 | 33,187 | ||||||||||||||||||||
Marathon Oil Corp. | Morgan Stanley | 3,601 | 40,995 | 49,226 | 8,522 | ||||||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 809 | 47,343 | 50,004 | 2,915 | ||||||||||||||||||||
NOV, Inc. | Morgan Stanley | 351 | 4,447 | 4,602 | 155 | ||||||||||||||||||||
Oasis Petroleum, Inc. | Morgan Stanley | 103 | 8,426 | 10,240 | 2,030 | ||||||||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 585 | 14,235 | 17,304 | 3,067 | ||||||||||||||||||||
Oceaneering International, Inc. | Morgan Stanley | 963 | 12,449 | 12,827 | 378 | ||||||||||||||||||||
ONEOK, Inc. | Morgan Stanley | 398 | 20,671 | 23,080 | 2,484 | ||||||||||||||||||||
Ovintiv, Inc. | Morgan Stanley | 385 | 9,596 | 12,659 | 3,425 | ||||||||||||||||||||
PDC Energy, Inc. | Morgan Stanley | 243 | 10,219 | 11,516 | 1,372 | ||||||||||||||||||||
Range Resources Corp. | Morgan Stanley | 150 | 1,463 | 3,395 | 1,932 | ||||||||||||||||||||
SFL Corp. Ltd. (Bermuda) | Morgan Stanley | 272 | 2,188 | 2,279 | 116 | ||||||||||||||||||||
SM Energy Co. | Morgan Stanley | 2,919 | 17,186 | 77,003 | 59,847 | ||||||||||||||||||||
Suncor Energy, Inc. (Canada) | Morgan Stanley | 393 | 8,613 | 8,151 | (341 | ) | |||||||||||||||||||
Targa Resources Corp. | Morgan Stanley | 148 | 6,330 | 7,283 | 1,019 | ||||||||||||||||||||
Transocean Ltd. (Switzerland) | Morgan Stanley | 1,086 | 3,732 | 4,116 | 384 | ||||||||||||||||||||
Vermilion Energy, Inc. (Canada) | Morgan Stanley | 846 | 6,383 | 8,375 | 2,024 |
The accompanying notes are an integral part of the financial statements.
112
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Energy — (continued) | |||||||||||||||||||||||||
Whiting Petroleum Corp. | Morgan Stanley | 196 | $ | 6,634 | $ | 11,448 | $ | 4,814 | |||||||||||||||||
World Fuel Services Corp. | Morgan Stanley | 592 | 14,846 | 19,903 | 5,752 | ||||||||||||||||||||
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53,545 | 514,542 | 715,446 | 208,573 | ||||||||||||||||||||||
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Food & Staples Retailing | |||||||||||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | 7 | 3,172 | 3,145 | (26 | ) | |||||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 1,110 | 37,096 | 44,877 | 8,271 | ||||||||||||||||||||
Sprouts Farmers Market, Inc. | Morgan Stanley | 926 | 21,788 | 21,455 | (342 | ) | |||||||||||||||||||
Sysco Corp. | Morgan Stanley | 360 | 25,077 | 28,260 | 3,566 | ||||||||||||||||||||
United Natural Foods, Inc. | Morgan Stanley | 30 | 1,482 | 1,453 | (30 | ) | |||||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 311 | 12,506 | 14,633 | 2,526 | ||||||||||||||||||||
Walmart, Inc. | Morgan Stanley | 220 | 30,043 | 30,664 | 857 | ||||||||||||||||||||
Weis Markets, Inc. | Morgan Stanley | 295 | 14,706 | 15,502 | 1,140 | ||||||||||||||||||||
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| ||||||||||||||||||
3,259 | 145,870 | 159,989 | 15,962 | ||||||||||||||||||||||
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| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 568 | 24,476 | 25,855 | 2,679 | ||||||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 62 | 3,633 | 3,721 | 132 | ||||||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | 19 | 1,304 | 1,273 | (31 | ) | |||||||||||||||||||
Bunge Ltd. (Bermuda) | Morgan Stanley | 58 | 4,343 | 4,717 | 465 | ||||||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 789 | 40,831 | 41,399 | 1,020 | ||||||||||||||||||||
Coca-Cola Consolidated, Inc. | Morgan Stanley | 141 | 38,963 | 55,579 | 16,757 | ||||||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 21 | 4,522 | 4,424 | (78 | ) | |||||||||||||||||||
Darling Ingredients, Inc. | Morgan Stanley | 340 | 24,748 | 24,446 | (302 | ) | |||||||||||||||||||
Flowers Foods, Inc. | Morgan Stanley | 437 | 9,781 | 10,326 | 875 | ||||||||||||||||||||
General Mills, Inc. | Morgan Stanley | 132 | 7,475 | 7,896 | 587 | ||||||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 127 | 21,192 | 21,495 | 573 | ||||||||||||||||||||
John B Sanfilippo & Son, Inc. | Morgan Stanley | 244 | 19,669 | 19,940 | 1,600 | ||||||||||||||||||||
Kellogg Co. | Morgan Stanley | 179 | 10,764 | 11,442 | 910 | ||||||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 1,057 | 36,046 | 38,919 | 3,852 | ||||||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 271 | 12,371 | 12,569 | 295 | ||||||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 697 | 40,075 | 40,551 | 880 | ||||||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | 508 | 47,586 | 45,126 | (2,460 | ) | |||||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 143 | 22,180 | 21,509 | (556 | ) | |||||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 132 | 12,809 | 12,512 | (133 | ) | |||||||||||||||||||
Primo Water Corp. (Canada) | Morgan Stanley | 10 | 161 | 157 | (4 | ) | |||||||||||||||||||
Sanderson Farms, Inc. | Morgan Stanley | 220 | 40,924 | 41,404 | 506 | ||||||||||||||||||||
SunOpta, Inc. (Canada) | Morgan Stanley | 632 | 8,074 | 5,644 | (2,503 | ) | |||||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 234 | 14,637 | 18,472 | 4,194 | ||||||||||||||||||||
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| ||||||||||||||||||
7,021 | 446,564 | 469,376 | 29,258 | ||||||||||||||||||||||
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| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 66 | 7,637 | 7,797 | 321 | ||||||||||||||||||||
Acadia Healthcare Co., Inc. | Morgan Stanley | 365 | 21,224 | 23,280 | 2,056 | ||||||||||||||||||||
Alcon, Inc. (Switzerland) | Morgan Stanley | 55 | 4,598 | 4,426 | (172 | ) | |||||||||||||||||||
Align Technology, Inc. | Morgan Stanley | 4 | 2,726 | 2,662 | (65 | ) | |||||||||||||||||||
Allscripts Healthcare Solutions, Inc. | Morgan Stanley | 3,853 | 34,685 | 51,515 | 16,826 | ||||||||||||||||||||
Amedisys, Inc. | Morgan Stanley | 27 | 4,922 | 4,026 | (896 | ) | |||||||||||||||||||
AMN Healthcare Services, Inc. | Morgan Stanley | 25 | 2,668 | 2,869 | 201 | ||||||||||||||||||||
Anthem, Inc. | Morgan Stanley | 24 | 8,945 | 8,947 | 38 | ||||||||||||||||||||
Boston Scientific Corp. | Morgan Stanley | 544 | 23,062 | 23,604 | 543 |
The accompanying notes are an integral part of the financial statements.
113
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Health Care Equipment & Services — (continued) | |||||||||||||||||||||||||
Cerner Corp. | Morgan Stanley | 392 | $ | 29,385 | $ | 27,644 | $ | (1,630 | ) | ||||||||||||||||
Change Healthcare, Inc. | Morgan Stanley | 257 | 5,766 | 5,382 | (385 | ) | |||||||||||||||||||
Cigna Corp. | Morgan Stanley | 22 | 5,144 | 4,404 | (714 | ) | |||||||||||||||||||
Community Health Systems, Inc. | Morgan Stanley | 569 | 4,455 | 6,657 | 2,202 | ||||||||||||||||||||
CONMED Corp. | Morgan Stanley | 29 | 3,689 | 3,794 | 112 | ||||||||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | 44 | 19,251 | 18,186 | (1,064 | ) | |||||||||||||||||||
CryoLife, Inc. | Morgan Stanley | 1 | 23 | 22 | (1 | ) | |||||||||||||||||||
CVS Health Corp. | Morgan Stanley | 305 | 20,607 | 25,882 | 6,093 | ||||||||||||||||||||
Danaher Corp. | Morgan Stanley | 126 | 27,745 | 38,359 | 10,704 | ||||||||||||||||||||
Doximity, Inc., Class A | Morgan Stanley | 61 | 5,151 | 4,923 | (228 | ) | |||||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | 34 | 3,885 | 3,849 | (36 | ) | |||||||||||||||||||
Encompass Health Corp. | Morgan Stanley | 26 | 2,054 | 1,951 | (154 | ) | |||||||||||||||||||
Ensign Group, Inc. (The) | Morgan Stanley | 36 | 2,972 | 2,696 | (270 | ) | |||||||||||||||||||
Envista Holdings Corp. | Morgan Stanley | 964 | 40,397 | 40,305 | (120 | ) | |||||||||||||||||||
Fulgent Genetics, Inc. | Morgan Stanley | 129 | 8,892 | 11,604 | 3,294 | ||||||||||||||||||||
Globus Medical, Inc., Class A | Morgan Stanley | 63 | 4,886 | 4,827 | (59 | ) | |||||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 50 | 9,140 | 12,136 | 3,060 | ||||||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | 162 | 12,245 | 12,338 | 127 | ||||||||||||||||||||
Heska Corp. | Morgan Stanley | 14 | 3,701 | 3,620 | (81 | ) | |||||||||||||||||||
Hologic, Inc. | Morgan Stanley | 219 | 16,326 | 16,164 | (161 | ) | |||||||||||||||||||
ICU Medical, Inc. | Morgan Stanley | 15 | 2,887 | 3,501 | 766 | ||||||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | 26 | 14,321 | 16,169 | 1,849 | ||||||||||||||||||||
Integra LifeSciences Holdings Corp. | Morgan Stanley | 216 | 14,981 | 14,792 | (190 | ) | |||||||||||||||||||
Intersect ENT, Inc. | Morgan Stanley | 7 | 190 | 190 | — | ||||||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | 14 | 12,076 | 13,918 | 1,842 | ||||||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 308 | 74,432 | 86,684 | 12,252 | ||||||||||||||||||||
LeMaitre Vascular, Inc. | Morgan Stanley | 5 | 276 | 265 | (9 | ) | |||||||||||||||||||
LivaNova PLC (United Kingdom) | Morgan Stanley | 223 | 18,176 | 17,659 | (517 | ) | |||||||||||||||||||
McKesson Corp. | Morgan Stanley | 148 | 25,727 | 29,508 | 3,939 | ||||||||||||||||||||
MEDNAX, Inc. | Morgan Stanley | 451 | 11,779 | 12,822 | 1,027 | ||||||||||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 336 | 42,910 | 42,118 | (430 | ) | |||||||||||||||||||
Meridian Bioscience, Inc. | Morgan Stanley | 206 | 3,768 | 3,963 | 195 | ||||||||||||||||||||
Merit Medical Systems, Inc. | Morgan Stanley | 87 | 5,293 | 6,247 | 963 | ||||||||||||||||||||
ModivCare, Inc. | Morgan Stanley | 49 | 4,685 | 8,899 | 4,587 | ||||||||||||||||||||
Natus Medical, Inc. | Morgan Stanley | 1,649 | 29,946 | 41,357 | 11,446 | ||||||||||||||||||||
NextGen Healthcare, Inc. | Morgan Stanley | 21 | 310 | 296 | (14 | ) | |||||||||||||||||||
Omnicell, Inc. | Morgan Stanley | 254 | 32,622 | 37,701 | 5,080 | ||||||||||||||||||||
Owens & Minor, Inc. | Morgan Stanley | 204 | 5,332 | 6,383 | 1,128 | ||||||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 441 | 54,072 | 64,082 | 10,718 | ||||||||||||||||||||
Select Medical Holdings Corp. | Morgan Stanley | 60 | 2,012 | 2,170 | 159 | ||||||||||||||||||||
STAAR Surgical Co. | Morgan Stanley | 254 | 34,713 | 32,647 | (2,067 | ) | |||||||||||||||||||
Stryker Corp. | Morgan Stanley | 58 | 15,142 | 15,296 | 194 | ||||||||||||||||||||
Tenet Healthcare Corp. | Morgan Stanley | 13 | 893 | 864 | (30 | ) | |||||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 85 | 30,205 | 33,213 | 3,253 | ||||||||||||||||||||
Veeva Systems, Inc., Class A | Morgan Stanley | 29 | 8,861 | 8,357 | (505 | ) | |||||||||||||||||||
Vocera Communications, Inc. | Morgan Stanley | 58 | 2,237 | 2,654 | 416 | ||||||||||||||||||||
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| ||||||||||||||||||
13,683 | 784,027 | 875,624 | 95,593 | ||||||||||||||||||||||
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| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 211 | 16,329 | 15,947 | (287 | ) |
The accompanying notes are an integral part of the financial statements.
114
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Household & Personal Products — (continued) | |||||||||||||||||||||||||
Coty, Inc., Class A | Morgan Stanley | 764 | $ | 6,539 | $ | 6,005 | $ | (534 | ) | ||||||||||||||||
Edgewell Personal Care Co. | Morgan Stanley | 153 | 6,355 | 5,554 | (786 | ) | |||||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 92 | 26,270 | 27,594 | 1,486 | ||||||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 53 | 7,244 | 7,019 | (207 | ) | |||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 110 | 14,247 | 15,378 | 1,331 | ||||||||||||||||||||
WD-40 Co. | Morgan Stanley | 36 | 8,451 | 8,333 | (115 | ) | |||||||||||||||||||
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| ||||||||||||||||||
1,419 | 85,435 | 85,830 | 888 | ||||||||||||||||||||||
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Materials | |||||||||||||||||||||||||
Agnico Eagle Mines Ltd. (Canada) | Morgan Stanley | 155 | 8,606 | 8,037 | (569 | ) | |||||||||||||||||||
Alamos Gold, Inc., Class A (Canada) | Morgan Stanley | 2,525 | 19,627 | 18,180 | (1,302 | ) | |||||||||||||||||||
Ashland Global Holdings, Inc. | Morgan Stanley | 187 | 16,048 | 16,665 | 803 | ||||||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 38 | 7,914 | 7,874 | — | ||||||||||||||||||||
Axalta Coating Systems Ltd. (Bermuda) | Morgan Stanley | 436 | 12,823 | 12,727 | (96 | ) | |||||||||||||||||||
Carpenter Technology Corp. | Morgan Stanley | 486 | 10,051 | 15,912 | 6,681 | ||||||||||||||||||||
Chemours Co. (The) | Morgan Stanley | 244 | 7,712 | 7,091 | (609 | ) | |||||||||||||||||||
Compass Minerals International, Inc. | Morgan Stanley | 14 | 825 | 902 | 117 | ||||||||||||||||||||
Corteva, Inc. | Morgan Stanley | 444 | 18,775 | 18,684 | (95 | ) | |||||||||||||||||||
Domtar Corp. | Morgan Stanley | 211 | 11,480 | 11,508 | 28 | ||||||||||||||||||||
Dow, Inc. | Morgan Stanley | 442 | 26,038 | 25,442 | (373 | ) | |||||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 917 | 73,183 | 62,347 | (10,188 | ) | |||||||||||||||||||
Eagle Materials, Inc. | Morgan Stanley | 181 | 25,765 | 23,740 | (1,969 | ) | |||||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 60 | 6,248 | 6,044 | (165 | ) | |||||||||||||||||||
Ecovyst, Inc. | Morgan Stanley | 32 | 395 | 373 | (22 | ) | |||||||||||||||||||
Ferro Corp. | Morgan Stanley | 325 | 6,805 | 6,610 | (195 | ) | |||||||||||||||||||
Fortuna Silver Mines, Inc. (Canada) | Morgan Stanley | 451 | 2,363 | 1,772 | (666 | ) | |||||||||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 308 | 10,306 | 10,019 | (308 | ) | |||||||||||||||||||
GCP Applied Technologies, Inc. | Morgan Stanley | 9 | 204 | 197 | (7 | ) | |||||||||||||||||||
Graphic Packaging Holding Co. | Morgan Stanley | 532 | 10,277 | 10,129 | (109 | ) | |||||||||||||||||||
Hecla Mining Co. | Morgan Stanley | 1,739 | 10,112 | 9,564 | (535 | ) | |||||||||||||||||||
IAMGOLD Corp. (Canada) | Morgan Stanley | 6,192 | 19,784 | 13,994 | (6,079 | ) | |||||||||||||||||||
Ingevity Corp. | Morgan Stanley | 33 | 2,508 | 2,355 | (153 | ) | |||||||||||||||||||
Innospec, Inc. | Morgan Stanley | 22 | 1,979 | 1,853 | (133 | ) | |||||||||||||||||||
International Paper Co. | Morgan Stanley | 238 | 14,377 | 13,309 | (939 | ) | |||||||||||||||||||
Kaiser Aluminum Corp. | Morgan Stanley | 565 | 36,318 | 61,562 | 27,441 | ||||||||||||||||||||
Kinross Gold Corp. (Canada) | Morgan Stanley | 1,113 | 6,443 | 5,966 | (462 | ) | |||||||||||||||||||
Kraton Corp. | Morgan Stanley | 605 | 9,449 | 27,612 | 18,717 | ||||||||||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 123 | 31,580 | 36,086 | 4,855 | ||||||||||||||||||||
Livent Corp. | Morgan Stanley | 460 | 11,064 | 10,631 | (433 | ) | |||||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley | 160 | 9,422 | 9,819 | 440 | ||||||||||||||||||||
LyondellBasell Industries N.V., Class A (Netherlands) | Morgan Stanley | 110 | 10,777 | 10,323 | (395 | ) | |||||||||||||||||||
Minerals Technologies, Inc. | Morgan Stanley | 11 | 786 | 768 | (17 | ) | |||||||||||||||||||
Mosaic Co. (The) | Morgan Stanley | 801 | 25,513 | 28,612 | 3,237 | ||||||||||||||||||||
NewMarket Corp. | Morgan Stanley | 176 | 65,507 | 59,624 | (4,175 | ) | |||||||||||||||||||
Newmont Corp. | Morgan Stanley | 243 | 14,066 | 13,195 | (593 | ) | |||||||||||||||||||
Nucor Corp. | Morgan Stanley | 345 | 33,259 | 33,979 | 870 | ||||||||||||||||||||
Nutrien Ltd. (Canada) | Morgan Stanley | 205 | 12,344 | 13,290 | 1,152 | ||||||||||||||||||||
O-I Glass, Inc. | Morgan Stanley | 43 | 419 | 614 | 274 | ||||||||||||||||||||
Olin Corp. | Morgan Stanley | 415 | 19,516 | 20,024 | 521 | ||||||||||||||||||||
Pan American Silver Corp. (Canada) | Morgan Stanley | 3 | 70 | 70 | — |
The accompanying notes are an integral part of the financial statements.
115
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Materials — (continued) | |||||||||||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | 16 | $ | 2,037 | $ | 2,288 | $ | 314 | |||||||||||||||||
Pretium Resources, Inc. (Canada) | Morgan Stanley | 637 | 7,053 | 6,141 | (917 | ) | |||||||||||||||||||
Reliance Steel & Aluminum Co. | Morgan Stanley | 42 | 6,261 | 5,982 | (226 | ) | |||||||||||||||||||
Royal Gold, Inc. | Morgan Stanley | 32 | 3,263 | 3,056 | (199 | ) | |||||||||||||||||||
Sealed Air Corp. | Morgan Stanley | 140 | 5,682 | 7,671 | 2,095 | ||||||||||||||||||||
Sensient Technologies Corp. | Morgan Stanley | 11 | 905 | 1,002 | 102 | ||||||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 42 | 10,861 | 11,749 | 924 | ||||||||||||||||||||
Southern Copper Corp. | Morgan Stanley | 31 | 1,871 | 1,740 | (117 | ) | |||||||||||||||||||
Trinseo S.A. (Luxembourg) | Morgan Stanley | 196 | 11,173 | 10,580 | (583 | ) | |||||||||||||||||||
Westlake Chemical Corp. | Morgan Stanley | 147 | 14,424 | 13,398 | (1,097 | ) | |||||||||||||||||||
Westrock Co. | Morgan Stanley | 108 | 5,484 | 5,382 | (81 | ) | |||||||||||||||||||
Wheaton Precious Metals Corp. (Canada) | Morgan Stanley | 301 | 12,105 | 11,312 | (793 | ) | |||||||||||||||||||
Worthington Industries, Inc. | Morgan Stanley | 160 | 8,051 | 8,432 | 452 | ||||||||||||||||||||
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23,462 | 699,908 | 726,236 | 34,423 | ||||||||||||||||||||||
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Media & Entertainment | |||||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 702 | 53,231 | 54,328 | 516 | ||||||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 32 | 78,337 | 85,553 | 7,216 | ||||||||||||||||||||
Altice U.S.A., Inc., Class A | Morgan Stanley | 29 | 560 | 601 | 40 | ||||||||||||||||||||
AMC Networks, Inc., Class A | Morgan Stanley | 23 | 1,099 | 1,072 | (28 | ) | |||||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 19 | 11,244 | 13,824 | 2,580 | ||||||||||||||||||||
Comcast Corp., Class A | Morgan Stanley | 290 | 16,213 | 16,220 | 42 | ||||||||||||||||||||
Discovery, Inc., Class A | Morgan Stanley | 142 | 3,641 | 3,604 | (37 | ) | |||||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 283 | 11,413 | 12,299 | 886 | ||||||||||||||||||||
Eventbrite, Inc., Class A | Morgan Stanley | 84 | 1,520 | 1,588 | 69 | ||||||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 223 | 62,526 | 75,684 | 12,772 | ||||||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 240 | 8,450 | 9,626 | 1,248 | ||||||||||||||||||||
Gannett Co., Inc. | Morgan Stanley | 9 | 59 | 60 | 2 | ||||||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 480 | 15,349 | 17,602 | 2,688 | ||||||||||||||||||||
Lions Gate Entertainment Corp., Class B (Canada) | Morgan Stanley | 1,885 | 15,945 | 24,505 | 8,918 | ||||||||||||||||||||
Madison Square Garden Sports Corp. | Morgan Stanley | 38 | 6,082 | 7,066 | 984 | ||||||||||||||||||||
Meredith Corp. | Morgan Stanley | 169 | 3,396 | 9,413 | 6,173 | ||||||||||||||||||||
Netflix, Inc. | Morgan Stanley | 102 | 49,506 | 62,255 | 12,749 | ||||||||||||||||||||
New York Times Co. (The), Class A | Morgan Stanley | 53 | 2,146 | 2,611 | 532 | ||||||||||||||||||||
News Corp., Class A | Morgan Stanley | 10 | 193 | 235 | 45 | ||||||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 70 | 5,442 | 5,072 | (321 | ) | |||||||||||||||||||
Scholastic Corp. | Morgan Stanley | 4 | 138 | 143 | 4 | ||||||||||||||||||||
Snap, Inc., Class A | Morgan Stanley | 244 | 17,658 | 18,024 | 104 | ||||||||||||||||||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 14 | 2,217 | 2,157 | (106 | ) | |||||||||||||||||||
TEGNA, Inc. | Morgan Stanley | 234 | 3,714 | 4,614 | 948 | ||||||||||||||||||||
Twitter, Inc. | Morgan Stanley | 442 | 23,289 | 26,692 | 3,403 | ||||||||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 180 | 6,987 | 7,112 | 176 | ||||||||||||||||||||
Warner Music Group Corp., Class A | Morgan Stanley | 307 | 9,058 | 13,121 | 4,191 | ||||||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | 242 | 12,159 | 13,615 | 1,524 | ||||||||||||||||||||
Yelp, Inc. | Morgan Stanley | 562 | 21,471 | 20,929 | (561 | ) | |||||||||||||||||||
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| ||||||||||||||||||
7,112 | 443,043 | 509,625 | 66,757 | ||||||||||||||||||||||
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| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| ||||||||||||||||||||||||
AbCellera Biologics, Inc. (Canada) | Morgan Stanley | 127 | 2,163 | 2,545 | 382 | ||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 62 | 6,601 | 9,767 | 3,205 |
The accompanying notes are an integral part of the financial statements.
116
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | |||||||||||||||||||||||||
Atea Pharmaceuticals, Inc. | Morgan Stanley | 174 | $ | 3,917 | $ | 6,100 | $ | 2,293 | |||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | 37 | 19,963 | 27,600 | 7,637 | ||||||||||||||||||||
Bio-Techne Corp. | Morgan Stanley | 3 | 1,547 | 1,454 | (93 | ) | |||||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 533 | 34,349 | 31,538 | (2,673 | ) | |||||||||||||||||||
Bruker Corp. | Morgan Stanley | 44 | 3,638 | 3,436 | (202 | ) | |||||||||||||||||||
Celldex Therapeutics, Inc. | Morgan Stanley | 145 | 7,828 | 7,829 | 1 | ||||||||||||||||||||
Charles River Laboratories International, Inc. | Morgan Stanley | 4 | 1,726 | 1,651 | (76 | ) | |||||||||||||||||||
Cortexyme, Inc. | Morgan Stanley | 22 | 2,070 | 2,017 | (53 | ) | |||||||||||||||||||
Denali Therapeutics, Inc. | Morgan Stanley | 76 | 2,731 | 3,834 | 1,433 | ||||||||||||||||||||
Dynavax Technologies Corp. | Morgan Stanley | 672 | 10,547 | 12,909 | 2,358 | ||||||||||||||||||||
Eli Lilly & Co. | Morgan Stanley | 397 | 93,805 | 91,727 | (2,588 | ) | |||||||||||||||||||
Fulcrum Therapeutics, Inc. | Morgan Stanley | 11 | 309 | 310 | 1 | ||||||||||||||||||||
Halozyme Therapeutics, Inc. | Morgan Stanley | 133 | 5,313 | 5,410 | 98 | ||||||||||||||||||||
Illumina, Inc. | Morgan Stanley | 170 | 79,117 | 68,954 | (10,163 | ) | |||||||||||||||||||
Innoviva, Inc. | Morgan Stanley | 3,437 | 40,998 | 57,432 | 16,824 | ||||||||||||||||||||
Ironwood Pharmaceuticals, Inc. | Morgan Stanley | 708 | 8,427 | 9,246 | 817 | ||||||||||||||||||||
Johnson & Johnson | Morgan Stanley | 499 | 79,342 | 80,588 | 1,678 | ||||||||||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | 1 | 110 | 189 | 80 | ||||||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 381 | 28,432 | 28,617 | 429 | ||||||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | 1 | 1,388 | 1,377 | (11 | ) | |||||||||||||||||||
Moderna, Inc. | Morgan Stanley | 115 | 44,325 | 44,259 | (66 | ) | |||||||||||||||||||
Organon & Co. | Morgan Stanley | 247 | 8,264 | 8,099 | (165 | ) | |||||||||||||||||||
Pacira BioSciences, Inc. | Morgan Stanley | 122 | 6,982 | 6,832 | (167 | ) | |||||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 164 | 23,764 | 28,420 | 4,678 | ||||||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 3,027 | 126,678 | 130,191 | 4,433 | ||||||||||||||||||||
Prestige Consumer Healthcare, Inc. | Morgan Stanley | 1,015 | 37,019 | 56,952 | 20,175 | ||||||||||||||||||||
Prothena Corp. PLC (Ireland) | Morgan Stanley | 210 | 14,506 | 14,958 | 452 | ||||||||||||||||||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 28 | 17,191 | 16,945 | (246 | ) | |||||||||||||||||||
Sage Therapeutics, Inc. | Morgan Stanley | 53 | 2,358 | 2,348 | (54 | ) | |||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 1 | 438 | 571 | 139 | ||||||||||||||||||||
United Therapeutics Corp. | Morgan Stanley | 62 | 12,315 | 11,444 | (871 | ) | |||||||||||||||||||
Veracyte, Inc. | Morgan Stanley | 317 | 15,161 | 14,725 | (443 | ) | |||||||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | 88 | 16,332 | 15,962 | (590 | ) | |||||||||||||||||||
Waters Corp. | Morgan Stanley | 49 | 14,440 | 17,508 | 3,067 | ||||||||||||||||||||
Zoetis, Inc. | Morgan Stanley | 44 | 8,102 | 8,542 | 445 | ||||||||||||||||||||
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| ||||||||||||||||||
13,179 | 782,196 | 832,286 | 52,164 | ||||||||||||||||||||||
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|
| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
Abercrombie & Fitch Co., Class A | Morgan Stanley | 2,808 | 37,443 | 105,665 | 70,426 | ||||||||||||||||||||
Academy Sports & Outdoors, Inc. | Morgan Stanley | 34 | 1,432 | 1,361 | (71 | ) | |||||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 359 | 53,802 | 74,992 | 22,047 | ||||||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 16 | 49,093 | 52,561 | 3,467 | ||||||||||||||||||||
American Eagle Outfitters, Inc. | Morgan Stanley | 32 | 852 | 826 | (26 | ) | |||||||||||||||||||
Asbury Automotive Group, Inc. | Morgan Stanley | 1 | 93 | 197 | 104 | ||||||||||||||||||||
AutoNation, Inc. | Morgan Stanley | 72 | 7,562 | 8,767 | 1,205 | ||||||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 14 | 15,896 | 23,772 | 7,876 | ||||||||||||||||||||
Bath & Body Works, Inc. | Morgan Stanley | 271 | 17,490 | 17,081 | (399 | ) | |||||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 3 | 325 | 317 | (5 | ) | |||||||||||||||||||
Big Lots, Inc. | Morgan Stanley | 65 | 3,794 | 2,818 | (971 | ) | |||||||||||||||||||
Boot Barn Holdings, Inc. | Morgan Stanley | 15 | 1,268 | 1,333 | 105 |
The accompanying notes are an integral part of the financial statements.
117
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Retailing — (continued) | |||||||||||||||||||||||||
Buckle,Inc.(The) | Morgan Stanley | 312 | $ | 6,353 | $ | 12,352 | $ | 7,668 | |||||||||||||||||
Caleres, Inc. | Morgan Stanley | 21 | 491 | 467 | (39 | ) | |||||||||||||||||||
Camping World Holdings, Inc., Class A | Morgan Stanley | 110 | 4,076 | 4,276 | 233 | ||||||||||||||||||||
Dick’s Sporting Goods, Inc. | Morgan Stanley | 35 | 4,509 | 4,192 | (317 | ) | |||||||||||||||||||
eBay, Inc. | Morgan Stanley | 1,264 | 88,368 | 88,063 | (45 | ) | |||||||||||||||||||
Foot Locker, Inc. | Morgan Stanley | 165 | 8,188 | 7,534 | (654 | ) | |||||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 108 | 11,876 | 13,093 | 1,442 | ||||||||||||||||||||
Guess?, Inc. | Morgan Stanley | 197 | 4,407 | 4,139 | (264 | ) | |||||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 60 | 18,852 | 19,696 | 997 | ||||||||||||||||||||
LKQ Corp. | Morgan Stanley | 504 | 23,245 | 25,361 | 2,117 | ||||||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 72 | 13,311 | 14,606 | 1,372 | ||||||||||||||||||||
Macy’s, Inc. | Morgan Stanley | 2,593 | 15,578 | 58,602 | 55,358 | ||||||||||||||||||||
MarineMax, Inc. | Morgan Stanley | 134 | 6,389 | 6,502 | 113 | ||||||||||||||||||||
National Vision Holdings, Inc. | Morgan Stanley | 54 | 2,943 | 3,066 | 122 | ||||||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 18 | 9,209 | 10,999 | 1,790 | ||||||||||||||||||||
Penske Automotive Group, Inc. | Morgan Stanley | 67 | 5,833 | 6,740 | 907 | ||||||||||||||||||||
Qurate Retail, Inc. | Morgan Stanley | 1,064 | 7,726 | 10,842 | 5,625 | ||||||||||||||||||||
Ross Stores, Inc. | Morgan Stanley | 154 | 17,504 | 16,763 | (750 | ) | |||||||||||||||||||
Shutterstock, Inc. | Morgan Stanley | 509 | 34,380 | 57,680 | 24,666 | ||||||||||||||||||||
Signet Jewelers Ltd. (Bermuda) | Morgan Stanley | 30 | 2,234 | 2,369 | 130 | ||||||||||||||||||||
Sonic Automotive, Inc., Class A | Morgan Stanley | 11 | 545 | 578 | 34 | ||||||||||||||||||||
Target Corp. | Morgan Stanley | 202 | 47,729 | 46,212 | (1,488 | ) | |||||||||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | 136 | 49,024 | 49,085 | 61 | ||||||||||||||||||||
Urban Outfitters, Inc. | Morgan Stanley | 211 | 4,523 | 6,265 | 1,708 | ||||||||||||||||||||
Victoria’s Secret & Co. | Morgan Stanley | 133 | 8,091 | 7,350 | (741 | ) | |||||||||||||||||||
Williams-Sonoma, Inc. | Morgan Stanley | 5 | 899 | 887 | (5 | ) | |||||||||||||||||||
Zumiez, Inc. | Morgan Stanley | 88 | 2,521 | 3,499 | 1,127 | ||||||||||||||||||||
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| ||||||||||||||||||
11,947 | 587,854 | 770,908 | 204,925 | ||||||||||||||||||||||
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| ||||||||||||||||||
Semiconductors & Semiconductor Equipment |
| ||||||||||||||||||||||||
Amkor Technology, Inc. | Morgan Stanley | 39 | 434 | 973 | 546 | ||||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 169 | 21,432 | 21,755 | 371 | ||||||||||||||||||||
Axcelis Technologies, Inc. | Morgan Stanley | 220 | 5,285 | 10,347 | 5,061 | ||||||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 82 | 36,971 | 39,764 | 3,754 | ||||||||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | 186 | 28,677 | 27,894 | (1,241 | ) | |||||||||||||||||||
First Solar, Inc. | Morgan Stanley | 144 | 12,887 | 13,746 | 861 | ||||||||||||||||||||
Ichor Holdings Ltd. (Cayman Islands) | Morgan Stanley | 113 | 5,742 | 4,643 | (1,099 | ) | |||||||||||||||||||
Intel Corp. | Morgan Stanley | 473 | 25,619 | 25,201 | (357 | ) | |||||||||||||||||||
KLA Corp. | Morgan Stanley | 7 | 2,510 | 2,342 | (121 | ) | |||||||||||||||||||
Lam Research Corp. | Morgan Stanley | 18 | 11,131 | 10,245 | (1,114 | ) | |||||||||||||||||||
MACOM Technology Solutions Holdings, Inc. | Morgan Stanley | 1,495 | 54,731 | 96,981 | 43,517 | ||||||||||||||||||||
Micron Technology, Inc. | Morgan Stanley | 479 | 34,454 | 33,999 | (423 | ) | |||||||||||||||||||
MKS Instruments, Inc. | Morgan Stanley | 118 | 19,526 | 17,807 | (1,878 | ) | |||||||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | 8 | 3,937 | 3,877 | (42 | ) | |||||||||||||||||||
NVIDIA Corp. | Morgan Stanley | 42 | 8,690 | 8,701 | (17 | ) | |||||||||||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 121 | 23,031 | 23,700 | 752 | ||||||||||||||||||||
ON Semiconductor Corp. | Morgan Stanley | 273 | 11,653 | 12,495 | 850 | ||||||||||||||||||||
Power Integrations, Inc. | Morgan Stanley | 107 | 9,548 | 10,592 | 1,065 | ||||||||||||||||||||
Qorvo, Inc. | Morgan Stanley | 139 | 23,770 | 23,239 | (531 | ) | |||||||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 353 | 46,477 | 45,530 | (978 | ) |
The accompanying notes are an integral part of the financial statements.
118
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment — (continued) | |||||||||||||||||||||||||
Rambus, Inc. | Morgan Stanley | 352 | $ | 7,619 | $ | 7,814 | $ | 196 | |||||||||||||||||
Semtech Corp. | Morgan Stanley | 37 | 2,823 | 2,885 | 61 | ||||||||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | 68 | 12,329 | 11,205 | (1,064 | ) | |||||||||||||||||||
Synaptics, Inc. | Morgan Stanley | 117 | 19,572 | 21,028 | 1,456 | ||||||||||||||||||||
Ultra Clean Holdings, Inc. | Morgan Stanley | 1 | 22 | 43 | 21 | ||||||||||||||||||||
Xilinx, Inc. | Morgan Stanley | 27 | 4,132 | 4,077 | (56 | ) | |||||||||||||||||||
|
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| ||||||||||||||||||
5,188 | 433,002 | 480,883 | 49,590 | ||||||||||||||||||||||
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| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 139 | 35,153 | 44,469 | 9,559 | ||||||||||||||||||||
Adobe, Inc. | Morgan Stanley | 43 | 25,908 | 24,756 | (1,152 | ) | |||||||||||||||||||
Agilysys, Inc. | Morgan Stanley | 2 | 104 | 105 | 1 | ||||||||||||||||||||
ANSYS, Inc. | Morgan Stanley | 9 | 3,098 | 3,064 | (34 | ) | |||||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 278 | 46,715 | 55,578 | 9,555 | ||||||||||||||||||||
Box, Inc., Class A | Morgan Stanley | 682 | 16,266 | 16,143 | (191 | ) | |||||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 210 | 28,069 | 34,994 | 7,420 | ||||||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 84 | 10,736 | 12,721 | 1,985 | ||||||||||||||||||||
Cerence, Inc. | Morgan Stanley | 213 | 23,164 | 20,471 | (2,692 | ) | |||||||||||||||||||
CGI, Inc. (Canada) | Morgan Stanley | 304 | 21,825 | 25,767 | 3,942 | ||||||||||||||||||||
Cloudera, Inc. | Morgan Stanley | 742 | 11,669 | 11,850 | 181 | ||||||||||||||||||||
CommVault Systems, Inc. | Morgan Stanley | 39 | 2,614 | 2,937 | 328 | ||||||||||||||||||||
Cornerstone OnDemand, Inc. | Morgan Stanley | 827 | 32,828 | 47,354 | 14,526 | ||||||||||||||||||||
CSG Systems International, Inc. | Morgan Stanley | 824 | 34,959 | 39,717 | 5,825 | ||||||||||||||||||||
Descartes Systems Group, Inc. (The) (Canada) | Morgan Stanley | 1 | 80 | 81 | 1 | ||||||||||||||||||||
DocuSign, Inc. | Morgan Stanley | 24 | 6,877 | 6,178 | (1,055 | ) | |||||||||||||||||||
Dolby Laboratories, Inc., Class A | Morgan Stanley | 210 | 20,098 | 18,480 | (1,606 | ) | |||||||||||||||||||
Dropbox, Inc., Class A | Morgan Stanley | 590 | 18,314 | 17,240 | (1,074 | ) | |||||||||||||||||||
DXC Technology Co. | Morgan Stanley | 319 | 12,381 | 10,722 | (1,659 | ) | |||||||||||||||||||
Elastic N.V. (Netherlands) | Morgan Stanley | 16 | 2,260 | 2,384 | 124 | ||||||||||||||||||||
Fair Isaac Corp. | Morgan Stanley | 62 | 27,186 | 24,672 | (2,514 | ) | |||||||||||||||||||
Fiserv, Inc. | Morgan Stanley | 421 | 43,031 | 45,678 | 2,753 | ||||||||||||||||||||
Fortinet, Inc. | Morgan Stanley | 63 | 18,840 | 18,399 | (441 | ) | |||||||||||||||||||
Gartner, Inc. | Morgan Stanley | 69 | 19,717 | 20,968 | 1,251 | ||||||||||||||||||||
HubSpot, Inc. | Morgan Stanley | 33 | 22,453 | 22,311 | (218 | ) | |||||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 190 | 24,492 | 26,397 | 2,505 | ||||||||||||||||||||
Intuit, Inc. | Morgan Stanley | 7 | 3,838 | 3,777 | 363 | ||||||||||||||||||||
Lightspeed Commerce, Inc. (Canada) | Morgan Stanley | 219 | 25,194 | 21,118 | (4,855 | ) | |||||||||||||||||||
Manhattan Associates, Inc. | Morgan Stanley | 67 | 10,505 | 10,253 | (252 | ) | |||||||||||||||||||
Maximus, Inc. | Morgan Stanley | 114 | 10,023 | 9,485 | (491 | ) | |||||||||||||||||||
Microsoft Corp. | Morgan Stanley | 245 | 56,665 | 69,070 | 12,744 | ||||||||||||||||||||
Momentive Global, Inc. | Morgan Stanley | 29 | 533 | 568 | 35 | ||||||||||||||||||||
MongoDB, Inc. | Morgan Stanley | 105 | 51,282 | 49,509 | (1,774 | ) | |||||||||||||||||||
NCR Corp. | Morgan Stanley | 722 | 14,469 | 27,985 | 15,825 | ||||||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 723 | 18,212 | 18,292 | 193 | ||||||||||||||||||||
Nutanix, Inc., Class A. | Morgan Stanley | 657 | 25,510 | 24,769 | (741 | ) | |||||||||||||||||||
Open Text Corp. (Canada) | Morgan Stanley | 602 | 25,337 | 29,341 | 4,406 | ||||||||||||||||||||
Palo Alto Networks, Inc. | Morgan Stanley | 19 | 7,111 | 9,101 | 1,991 | ||||||||||||||||||||
Paychex, Inc. | Morgan Stanley | 212 | 23,406 | 23,839 | 526 | ||||||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 92 | 20,963 | 23,939 | 2,976 | ||||||||||||||||||||
Progress Software Corp. | Morgan Stanley | 29 | 1,268 | 1,427 | 169 |
The accompanying notes are an integral part of the financial statements.
119
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
PTC, Inc. | Morgan Stanley | 9 | $ | 1,071 | $ | 1,078 | $ | 7 | |||||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 31 | 15,462 | 19,290 | 3,828 | ||||||||||||||||||||
Sprout Social, Inc., Class A. | Morgan Stanley | 242 | 29,065 | 29,512 | 447 | ||||||||||||||||||||
SPS Commerce, Inc. | Morgan Stanley | 11 | 1,030 | 1,774 | 745 | ||||||||||||||||||||
Square, Inc., Class A | Morgan Stanley | 160 | 38,701 | 38,374 | (326 | ) | |||||||||||||||||||
SS&C Technologies Holdings, Inc. | Morgan Stanley | 242 | 17,499 | 16,795 | (645 | ) | |||||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 34 | 8,799 | 10,180 | 1,381 | ||||||||||||||||||||
Teradata Corp. | Morgan Stanley | 382 | 10,385 | 21,908 | 11,523 | ||||||||||||||||||||
TTEC Holdings, Inc. | Morgan Stanley | 7 | 674 | 655 | (19 | ) | |||||||||||||||||||
Verint Systems, Inc. | Morgan Stanley | 702 | 31,040 | 31,443 | 369 | ||||||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 56 | 10,654 | 11,481 | 826 | ||||||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 90 | 19,302 | 20,047 | 788 | ||||||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 452 | 9,887 | 9,139 | (646 | ) | |||||||||||||||||||
Workiva, Inc. | Morgan Stanley | 166 | 19,184 | 23,399 | 4,216 | ||||||||||||||||||||
Xperi Holding Corp. | Morgan Stanley | 28 | 539 | 528 | (9 | ) | |||||||||||||||||||
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| ||||||||||||||||||
12,848 | 1,016,445 | 1,111,512 | 100,920 | ||||||||||||||||||||||
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| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
3D Systems Corp. | Morgan Stanley | 900 | 26,335 | 24,813 | (1,522 | ) | |||||||||||||||||||
Apple, Inc. | Morgan Stanley | 52 | 7,464 | 7,358 | (35 | ) | |||||||||||||||||||
Arista Networks, Inc. | Morgan Stanley | 9 | 3,224 | 3,093 | (131 | ) | |||||||||||||||||||
Arrow Electronics, Inc. | Morgan Stanley | 18 | 2,040 | 2,021 | (19 | ) | |||||||||||||||||||
Belden, Inc. | Morgan Stanley | 319 | 11,085 | 18,585 | 7,881 | ||||||||||||||||||||
Benchmark Electronics, Inc. | Morgan Stanley | 39 | 1,128 | 1,042 | (76 | ) | |||||||||||||||||||
CDW Corp. | Morgan Stanley | 10 | 1,921 | 1,820 | (99 | ) | |||||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 534 | 24,484 | 29,066 | 4,938 | ||||||||||||||||||||
Cognex Corp. | Morgan Stanley | 6 | 479 | 481 | 3 | ||||||||||||||||||||
Coherent, Inc. | Morgan Stanley | 106 | 27,359 | 26,510 | (890 | ) | |||||||||||||||||||
Corning, Inc. | Morgan Stanley | 526 | 21,651 | 19,194 | (2,280 | ) | |||||||||||||||||||
CTS Corp. | Morgan Stanley | 11 | 348 | 340 | (8 | ) | |||||||||||||||||||
EchoStar Corp., Class A. | Morgan Stanley | 1,310 | 37,306 | 33,418 | (3,924 | ) | |||||||||||||||||||
Extreme Networks, Inc. | Morgan Stanley | 781 | 8,470 | 7,693 | (777 | ) | |||||||||||||||||||
Hewlett Packard Enterprise Co. | Morgan Stanley | 1,039 | 15,781 | 14,806 | (766 | ) | |||||||||||||||||||
HP, Inc. | Morgan Stanley | 932 | 21,170 | 25,500 | 4,835 | ||||||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 92 | 14,663 | 15,115 | 452 | ||||||||||||||||||||
Knowles Corp. | Morgan Stanley | 196 | 3,827 | 3,673 | (162 | ) | |||||||||||||||||||
NetApp, Inc. | Morgan Stanley | 249 | 19,614 | 22,350 | 3,011 | ||||||||||||||||||||
NETGEAR, Inc. | Morgan Stanley | 182 | 5,757 | 5,808 | 36 | ||||||||||||||||||||
OSI Systems, Inc. | Morgan Stanley | 635 | 50,006 | 60,198 | 10,324 | ||||||||||||||||||||
Plantronics, Inc. | Morgan Stanley | 131 | 4,483 | 3,368 | (1,115 | ) | |||||||||||||||||||
Sanmina Corp. | Morgan Stanley | 28 | 697 | 1,079 | 383 | ||||||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 208 | 17,586 | 17,164 | (279 | ) | |||||||||||||||||||
SYNNEX Corp. | Morgan Stanley | 55 | 6,232 | 5,726 | (595 | ) | |||||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 269 | 37,926 | 36,912 | (913 | ) | |||||||||||||||||||
Trimble, Inc. | Morgan Stanley | 131 | 11,226 | 10,775 | (451 | ) | |||||||||||||||||||
TTM Technologies, Inc. | Morgan Stanley | 814 | 10,730 | 10,232 | (498 | ) | |||||||||||||||||||
Ubiquiti, Inc. | Morgan Stanley | 32 | 8,925 | 9,557 | 665 | ||||||||||||||||||||
Viavi Solutions, Inc. | Morgan Stanley | 260 | 4,184 | 4,092 | (91 | ) | |||||||||||||||||||
Vishay Intertechnology, Inc. | Morgan Stanley | 510 | 11,103 | 10,246 | (814 | ) | |||||||||||||||||||
Vontier Corp. | Morgan Stanley | 894 | 26,414 | 30,038 | 3,666 |
The accompanying notes are an integral part of the financial statements.
120
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Technology Hardware & Equipment — (continued) | |||||||||||||||||||||||||
Western Digital Corp. | Morgan Stanley | 118 | $ | 6,820 | $ | 6,660 | $ | (160 | ) | ||||||||||||||||
Xerox Holdings Corp. | Morgan Stanley | 780 | 18,553 | 15,733 | (2,564 | ) | |||||||||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | 53 | 26,824 | 27,317 | 493 | ||||||||||||||||||||
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| ||||||||||||||||||
12,229 | 495,815 | 511,783 | 18,518 | ||||||||||||||||||||||
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| ||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 762 | 21,060 | 20,582 | 299 | ||||||||||||||||||||
Gogo, Inc. | Morgan Stanley | 723 | 8,113 | 12,508 | 4,424 | ||||||||||||||||||||
IDT Corp., Class B | Morgan Stanley | 4 | 169 | 168 | (1 | ) | |||||||||||||||||||
Iridium Communications, Inc. | Morgan Stanley | 83 | 2,671 | 3,308 | 636 | ||||||||||||||||||||
Lumen Technologies, Inc. | Morgan Stanley | 638 | 8,076 | 7,905 | 130 | ||||||||||||||||||||
T-Mobile U.S., Inc. | Morgan Stanley | 117 | 15,749 | 14,948 | (801 | ) | |||||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 404 | 22,355 | 21,820 | 310 | ||||||||||||||||||||
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| ||||||||||||||||||
2,731 | 78,193 | 81,239 | 4,997 | ||||||||||||||||||||||
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Transportation | |||||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 300 | 10,855 | 17,580 | 7,688 | ||||||||||||||||||||
ArcBest Corp. | Morgan Stanley | 1,802 | 62,077 | 147,350 | 88,154 | ||||||||||||||||||||
Atlas Air Worldwide Holdings, Inc. | Morgan Stanley | 396 | 21,986 | 32,345 | 11,405 | ||||||||||||||||||||
Canadian Pacific Railway Ltd. (Canada) | Morgan Stanley | 105 | 7,518 | 6,832 | (672 | ) | |||||||||||||||||||
CSX Corp. | Morgan Stanley | 1,429 | 44,704 | 42,498 | (2,124 | ) | |||||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | 40 | 4,785 | 4,765 | (2 | ) | |||||||||||||||||||
FedEx Corp. | Morgan Stanley | 21 | 5,222 | 4,605 | (567 | ) | |||||||||||||||||||
Hub Group, Inc., Class A | Morgan Stanley | 75 | 4,998 | 5,156 | 158 | ||||||||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 23 | 5,855 | 5,503 | (319 | ) | |||||||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | 42 | 10,050 | 12,011 | 1,977 | ||||||||||||||||||||
Ryder System, Inc. | Morgan Stanley | 198 | 10,788 | 16,377 | 6,026 | ||||||||||||||||||||
Saia, Inc. | Morgan Stanley | 6 | 1,169 | 1,428 | 259 | ||||||||||||||||||||
Schneider National, Inc., Class B | Morgan Stanley | 35 | 744 | 796 | 56 | ||||||||||||||||||||
Southwest Airlines Co. | Morgan Stanley | 7 | 365 | 360 | (5 | ) | |||||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 128 | 26,358 | 25,089 | (1,257 | ) | |||||||||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | 115 | 5,318 | 5,471 | 152 | ||||||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 129 | 22,698 | 23,491 | 1,090 | ||||||||||||||||||||
Werner Enterprises, Inc. | Morgan Stanley | 44 | 1,759 | 1,948 | 202 | ||||||||||||||||||||
XPO Logistics, Inc. | Morgan Stanley | 264 | 22,165 | 21,009 | (1,156 | ) | |||||||||||||||||||
|
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|
|
|
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|
| ||||||||||||||||||
5,159 | 269,414 | 374,614 | 111,065 | ||||||||||||||||||||||
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| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 362 | 8,907 | 8,264 | (581 | ) | |||||||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | 20 | 3,295 | 3,381 | 96 | ||||||||||||||||||||
Avista Corp. | Morgan Stanley | 28 | 1,184 | 1,095 | (70 | ) | |||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 354 | 24,501 | 25,849 | 2,285 | ||||||||||||||||||||
Exelon Corp. | Morgan Stanley | 499 | 20,902 | 24,122 | 3,679 | ||||||||||||||||||||
Fortis,Inc.(Canada) | Morgan Stanley | 16 | 713 | 709 | (157 | ) | |||||||||||||||||||
MDU Resources Group, Inc. | Morgan Stanley | 238 | 7,414 | 7,061 | (267 | ) | |||||||||||||||||||
National Fuel Gas Co. | Morgan Stanley | 40 | 1,611 | 2,101 | 590 | ||||||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 1,315 | 56,884 | 53,691 | (3,193 | ) | |||||||||||||||||||
PPL Corp. | Morgan Stanley | 2,455 | 71,796 | 68,445 | (2,779 | ) | |||||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 683 | 43,396 | 41,595 | (1,596 | ) |
The accompanying notes are an integral part of the financial statements.
121
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Utilities — (continued) | |||||||||||||||||||||||||
Southern Co. (The) | Morgan Stanley | 28 | $ | 1,821 | $ | 1,735 | $ | (88 | ) | ||||||||||||||||
TransAlta Corp. (Canada) | Morgan Stanley | 2 | 21 | 21 | 1 | ||||||||||||||||||||
|
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|
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|
| ||||||||||||||||||
6,040 | 242,445 | 238,069 | (2,080 | ) | |||||||||||||||||||||
|
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|
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|
| ||||||||||||||||||
Total Reference Entity — Long | 9,272,097 | 10,367,790 | 1,189,971 | ||||||||||||||||||||||
|
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| ||||||||||||||||||
Short | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (3,909 | ) | (182,212 | ) | (168,908 | ) | 12,021 | |||||||||||||||||
Dana, Inc. | Morgan Stanley | (1,352 | ) | (36,182 | ) | (30,068 | ) | 5,966 | |||||||||||||||||
Dorman Products, Inc. | Morgan Stanley | (3 | ) | (288 | ) | (284 | ) | 4 | |||||||||||||||||
Fox Factory Holding Corp. | Morgan Stanley | (547 | ) | (80,634 | ) | (79,063 | ) | 1,475 | |||||||||||||||||
LCI Industries | Morgan Stanley | (1,291 | ) | (169,349 | ) | (173,807 | ) | (7,570 | ) | ||||||||||||||||
Patrick Industries, Inc. | Morgan Stanley | (1,235 | ) | (88,488 | ) | (102,876 | ) | (15,491 | ) | ||||||||||||||||
Standard Motor Products, Inc. | Morgan Stanley | (28 | ) | (1,224 | ) | (1,224 | ) | (1 | ) | ||||||||||||||||
Workhorse Group, Inc. | Morgan Stanley | (3,170 | ) | (52,208 | ) | (24,251 | ) | 27,905 | |||||||||||||||||
XPEL, Inc. | Morgan Stanley | (249 | ) | (20,616 | ) | (18,889 | ) | 1,727 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(11,784 | ) | (631,201 | ) | (599,370 | ) | 26,036 | |||||||||||||||||||
|
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| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | (1,848 | ) | (215,006 | ) | (199,898 | ) | 14,718 | |||||||||||||||||
Air Lease Corp. | Morgan Stanley | (337 | ) | (15,307 | ) | (13,258 | ) | 1,978 | |||||||||||||||||
Ameresco, Inc., Class A | Morgan Stanley | (37 | ) | (2,201 | ) | (2,162 | ) | 37 | |||||||||||||||||
American Woodmark Corp. | Morgan Stanley | (342 | ) | (28,061 | ) | (22,357 | ) | 5,676 | |||||||||||||||||
AMETEK, Inc. | Morgan Stanley | (94 | ) | (12,890 | ) | (11,657 | ) | 1,350 | |||||||||||||||||
API Group Corp. | Morgan Stanley | (623 | ) | (14,039 | ) | (12,678 | ) | 1,347 | |||||||||||||||||
Applied Industrial Technologies, Inc. | Morgan Stanley | (24 | ) | (2,185 | ) | (2,163 | ) | 19 | |||||||||||||||||
Arcosa, Inc. | Morgan Stanley | (864 | ) | (49,918 | ) | (43,347 | ) | 6,478 | |||||||||||||||||
Astec Industries, Inc. | Morgan Stanley | (284 | ) | (15,926 | ) | (15,282 | ) | 538 | |||||||||||||||||
Axon Enterprise, Inc. | Morgan Stanley | (269 | ) | (37,232 | ) | (47,080 | ) | (9,886 | ) | ||||||||||||||||
AZEK Co., Inc. (The) | Morgan Stanley | (591 | ) | (24,714 | ) | (21,589 | ) | 3,100 | |||||||||||||||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (16,220 | ) | (258,199 | ) | (227,891 | ) | 30,048 | |||||||||||||||||
Barnes Group, Inc. | Morgan Stanley | (186 | ) | (10,325 | ) | (7,762 | ) | 2,502 | |||||||||||||||||
Bloom Energy Corp., Class A | Morgan Stanley | (2,769 | ) | (64,970 | ) | (51,836 | ) | 13,069 | |||||||||||||||||
Boeing Co. (The) | Morgan Stanley | (95 | ) | (23,852 | ) | (20,894 | ) | 2,933 | |||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | (1,775 | ) | (109,098 | ) | (95,602 | ) | 12,960 | |||||||||||||||||
Carlisle Cos., Inc. | Morgan Stanley | (111 | ) | (22,576 | ) | (22,066 | ) | 435 | |||||||||||||||||
Chart Industries, Inc. | Morgan Stanley | (245 | ) | (40,248 | ) | (46,822 | ) | (6,615 | ) | ||||||||||||||||
Construction Partners, Inc., Class A | Morgan Stanley | (2,232 | ) | (57,933 | ) | (74,482 | ) | (17,284 | ) | ||||||||||||||||
Cornerstone Building Brands, Inc. | Morgan Stanley | (3,527 | ) | (59,963 | ) | (51,529 | ) | 8,373 | |||||||||||||||||
Dycom Industries, Inc. | Morgan Stanley | (747 | ) | (56,354 | ) | (53,216 | ) | 3,081 | |||||||||||||||||
Energy Recovery, Inc. | Morgan Stanley | (935 | ) | (19,094 | ) | (17,793 | ) | 1,282 | |||||||||||||||||
EnerSys | Morgan Stanley | (209 | ) | (16,836 | ) | (15,558 | ) | 1,244 | |||||||||||||||||
EnPro Industries, Inc. | Morgan Stanley | (7 | ) | (611 | ) | (610 | ) | — | |||||||||||||||||
Evoqua Water Technologies Corp. | Morgan Stanley | (4,531 | ) | (136,281 | ) | (170,184 | ) | (34,689 | ) | ||||||||||||||||
Federal Signal Corp. | Morgan Stanley | (7 | ) | (277 | ) | (270 | ) | 6 | |||||||||||||||||
Fluor Corp. | Morgan Stanley | (4,228 | ) | (98,298 | ) | (67,521 | ) | 30,678 | |||||||||||||||||
Franklin Electric Co., Inc. | Morgan Stanley | (158 | ) | (13,164 | ) | (12,616 | ) | 534 | |||||||||||||||||
FuelCell Energy, Inc. | Morgan Stanley | (6,683 | ) | (103,786 | ) | (44,709 | ) | 58,972 | |||||||||||||||||
GATX Corp. | Morgan Stanley | (822 | ) | (75,784 | ) | (73,618 | ) | 909 |
The accompanying notes are an integral part of the financial statements.
122
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | (471 | ) | $ | (212,444 | ) | $ | (192,484 | ) | $ | 21,622 | ||||||||||||||
Great Lakes Dredge & Dock Corp. | Morgan Stanley | (1,029 | ) | (15,084 | ) | (15,528 | ) | (458 | ) | ||||||||||||||||
Griffon Corp. | Morgan Stanley | (329 | ) | (7,679 | ) | (8,093 | ) | (433 | ) | ||||||||||||||||
Helios Technologies, Inc. | Morgan Stanley | (654 | ) | (30,469 | ) | (53,700 | ) | (23,567 | ) | ||||||||||||||||
Hexcel Corp. | Morgan Stanley | (434 | ) | (26,032 | ) | (25,775 | ) | 231 | |||||||||||||||||
Hubbell, Inc. | Morgan Stanley | (141 | ) | (28,086 | ) | (25,474 | ) | 2,422 | |||||||||||||||||
Hyster-Yale Materials Handling, Inc. | Morgan Stanley | (512 | ) | (21,343 | ) | (25,733 | ) | (5,057 | ) | ||||||||||||||||
IDEX Corp. | Morgan Stanley | (527 | ) | (119,673 | ) | (109,063 | ) | 10,691 | |||||||||||||||||
IES Holdings, Inc. | Morgan Stanley | (2 | ) | (88 | ) | (91 | ) | (3 | ) | ||||||||||||||||
John Bean Technologies Corp. | Morgan Stanley | (3 | ) | (429 | ) | (422 | ) | 13 | |||||||||||||||||
Kennametal, Inc. | Morgan Stanley | (1,477 | ) | (52,657 | ) | (50,558 | ) | 779 | |||||||||||||||||
Kratos Defense & Security Solutions, Inc. | Morgan Stanley | (2,932 | ) | (67,510 | ) | (65,413 | ) | 2,029 | |||||||||||||||||
Lindsay Corp. | Morgan Stanley | (95 | ) | (15,779 | ) | (14,420 | ) | 1,287 | |||||||||||||||||
MasTec, Inc. | Morgan Stanley | (61 | ) | (5,341 | ) | (5,263 | ) | 72 | |||||||||||||||||
Maxar Technologies, Inc. | Morgan Stanley | (1,721 | ) | (68,120 | ) | (48,739 | ) | 19,276 | |||||||||||||||||
Mercury Systems, Inc. | Morgan Stanley | (2,642 | ) | (171,392 | ) | (125,284 | ) | 45,935 | |||||||||||||||||
Meritor, Inc. | Morgan Stanley | (3,213 | ) | (78,102 | ) | (68,469 | ) | 9,631 | |||||||||||||||||
MSC Industrial Direct Co., Inc., Class A | Morgan Stanley | (452 | ) | (41,121 | ) | (36,246 | ) | 4,636 | |||||||||||||||||
Mueller Water Products, Inc., Class A | Morgan Stanley | (1,704 | ) | (18,863 | ) | (25,935 | ) | (7,490 | ) | ||||||||||||||||
Nikola Corp. | Morgan Stanley | (4,431 | ) | (45,063 | ) | (47,279 | ) | (2,261 | ) | ||||||||||||||||
NV5 Global, Inc. | Morgan Stanley | (278 | ) | (14,467 | ) | (27,402 | ) | (12,999 | ) | ||||||||||||||||
PGT Innovations, Inc. | Morgan Stanley | (2,638 | ) | (52,990 | ) | (50,386 | ) | 2,551 | |||||||||||||||||
Plug Power, Inc. | Morgan Stanley | (8,640 | ) | (234,360 | ) | (220,666 | ) | 13,210 | |||||||||||||||||
Primoris Services Corp. | Morgan Stanley | (854 | ) | (22,036 | ) | (20,914 | ) | 1,051 | |||||||||||||||||
Proto Labs, Inc. | Morgan Stanley | (1,095 | ) | (180,719 | ) | (72,927 | ) | 107,610 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | (98 | ) | (11,517 | ) | (11,154 | ) | 434 | |||||||||||||||||
RBC Bearings, Inc. | Morgan Stanley | (59 | ) | (13,684 | ) | (12,520 | ) | 1,150 | |||||||||||||||||
REV Group, Inc. | Morgan Stanley | (1,252 | ) | (10,049 | ) | (21,484 | ) | (11,572 | ) | ||||||||||||||||
Shyft Group,Inc.(The) | Morgan Stanley | (246 | ) | (10,393 | ) | (9,350 | ) | 1,030 | |||||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (2,794 | ) | (131,364 | ) | (123,467 | ) | 7,704 | |||||||||||||||||
SPX Corp. | Morgan Stanley | (305 | ) | (18,756 | ) | (16,302 | ) | 2,435 | |||||||||||||||||
Sunrun, Inc. | Morgan Stanley | (1,338 | ) | (99,300 | ) | (58,872 | ) | 40,328 | |||||||||||||||||
Textainer Group Holdings Ltd. (Bermuda) | Morgan Stanley | (1,934 | ) | (62,606 | ) | (67,516 | ) | (4,973 | ) | ||||||||||||||||
Timken Co. (The) | Morgan Stanley | (478 | ) | (36,726 | ) | (31,271 | ) | 5,298 | |||||||||||||||||
Trex Co., Inc. | Morgan Stanley | (614 | ) | (62,194 | ) | (62,585 | ) | (665 | ) | ||||||||||||||||
TriMas Corp. | Morgan Stanley | (11 | ) | (342 | ) | (356 | ) | (14 | ) | ||||||||||||||||
UFP Industries, Inc. | Morgan Stanley | (1,084 | ) | (78,994 | ) | (73,690 | ) | 5,101 | |||||||||||||||||
United Rentals, Inc. | Morgan Stanley | (1,005 | ) | (348,813 | ) | (352,685 | ) | (4,223 | ) | ||||||||||||||||
Univar Solutions, Inc. | Morgan Stanley | (6,061 | ) | (145,017 | ) | (144,373 | ) | 498 | |||||||||||||||||
Vicor Corp. | Morgan Stanley | (566 | ) | (50,174 | ) | (75,935 | ) | (25,811 | ) | ||||||||||||||||
Welbilt, Inc. | Morgan Stanley | (1,459 | ) | (26,572 | ) | (33,907 | ) | (7,472 | ) | ||||||||||||||||
WESCO International, Inc. | Morgan Stanley | (179 | ) | (9,578 | ) | (20,642 | ) | (11,620 | ) | ||||||||||||||||
Woodward, Inc. | Morgan Stanley | (446 | ) | (54,228 | ) | (50,487 | ) | 3,708 | |||||||||||||||||
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|
|
| ||||||||||||||||||
(107,064 | ) | (4,285,282 | ) | (3,949,310 | ) | 325,907 | |||||||||||||||||||
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| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ADT, Inc. | Morgan Stanley | (18,958 | ) | (174,041 | ) | (153,370 | ) | 19,277 | |||||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (1,523 | ) | (127,353 | ) | (120,850 | ) | 5,940 | |||||||||||||||||
CACI International, Inc., Class A | Morgan Stanley | (46 | ) | (11,946 | ) | (12,057 | ) | (123 | ) | ||||||||||||||||
Clarivate PLC (Jersey) | Morgan Stanley | (825 | ) | (23,336 | ) | (18,068 | ) | 5,364 |
The accompanying notes are an integral part of the financial statements.
123
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Commercial & Professional Services — (continued) | |||||||||||||||||||||||||
CoStar Group, Inc. | Morgan Stanley | (637 | ) | $ | (58,192 | ) | $ | (54,820 | ) | $ | 3,362 | ||||||||||||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (6,394 | ) | (116,887 | ) | (107,483 | ) | 9,286 | |||||||||||||||||
Forrester Research, Inc. | Morgan Stanley | (450 | ) | (16,408 | ) | (22,167 | ) | (5,776 | ) | ||||||||||||||||
FTI Consulting, Inc. | Morgan Stanley | (397 | ) | (57,001 | ) | (53,476 | ) | 3,467 | |||||||||||||||||
Harsco Corp. | Morgan Stanley | (3,955 | ) | (57,983 | ) | (67,037 | ) | (9,112 | ) | ||||||||||||||||
Huron Consulting Group, Inc. | Morgan Stanley | (72 | ) | (3,641 | ) | (3,744 | ) | (107 | ) | ||||||||||||||||
IAA, Inc. | Morgan Stanley | (181 | ) | (10,093 | ) | (9,877 | ) | 206 | |||||||||||||||||
Insperity, Inc. | Morgan Stanley | (1,379 | ) | (120,067 | ) | (152,710 | ) | (34,314 | ) | ||||||||||||||||
KAR Auction Services, Inc. | Morgan Stanley | (1,318 | ) | (23,924 | ) | (21,602 | ) | 2,297 | |||||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (756 | ) | (74,081 | ) | (72,674 | ) | 1,202 | |||||||||||||||||
ManTech International Corp., Class A | Morgan Stanley | (234 | ) | (20,547 | ) | (17,765 | ) | 2,614 | |||||||||||||||||
Montrose Environmental Group, Inc. | Morgan Stanley | (226 | ) | (12,267 | ) | (13,953 | ) | (1,698 | ) | ||||||||||||||||
Pitney Bowes, Inc. | Morgan Stanley | (11,123 | ) | (94,066 | ) | (80,197 | ) | 12,950 | |||||||||||||||||
Tetra Tech, Inc. | Morgan Stanley | (8 | ) | (1,219 | ) | (1,195 | ) | 89 | |||||||||||||||||
TransUnion | Morgan Stanley | (555 | ) | (62,090 | ) | (62,332 | ) | (575 | ) | ||||||||||||||||
U.S. Ecology, Inc. | Morgan Stanley | (1,520 | ) | (57,289 | ) | (49,172 | ) | 8,059 | |||||||||||||||||
Upwork, Inc. | Morgan Stanley | (2,386 | ) | (106,558 | ) | (107,442 | ) | (991 | ) | ||||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (1,414 | ) | (274,410 | ) | (283,182 | ) | (9,559 | ) | ||||||||||||||||
Viad Corp. | Morgan Stanley | (894 | ) | (36,690 | ) | (40,597 | ) | (3,943 | ) | ||||||||||||||||
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| ||||||||||||||||||
(55,251 | ) | (1,540,089 | ) | (1,525,770 | ) | 7,915 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Callaway Golf Co. | Morgan Stanley | (6,176 | ) | (184,484 | ) | (170,643 | ) | 13,617 | |||||||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (3,774 | ) | (141,829 | ) | (134,619 | ) | 7,067 | |||||||||||||||||
Columbia Sportswear Co. | Morgan Stanley | (118 | ) | (11,226 | ) | (11,309 | ) | (205 | ) | ||||||||||||||||
Deckers Outdoor Corp. | Morgan Stanley | (50 | ) | (19,406 | ) | (18,010 | ) | 1,392 | |||||||||||||||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (512 | ) | (115,688 | ) | (115,036 | ) | 535 | |||||||||||||||||
Installed Building Products, Inc. | Morgan Stanley | (647 | ) | (82,609 | ) | (69,326 | ) | 12,895 | |||||||||||||||||
Latham Group, Inc. | Morgan Stanley | (565 | ) | (11,394 | ) | (9,266 | ) | 2,116 | |||||||||||||||||
Levi Strauss & Co., Class A | Morgan Stanley | (360 | ) | (10,459 | ) | (8,824 | ) | 1,586 | |||||||||||||||||
Lovesac Co. (The) | Morgan Stanley | (99 | ) | (6,984 | ) | (6,543 | ) | 434 | |||||||||||||||||
Malibu Boats, Inc., Class A | Morgan Stanley | (427 | ) | (35,826 | ) | (29,881 | ) | 5,908 | |||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | (74 | ) | (10,175 | ) | (10,747 | ) | (844 | ) | ||||||||||||||||
Oxford Industries, Inc. | Morgan Stanley | (264 | ) | (21,603 | ) | (23,805 | ) | (2,465 | ) | ||||||||||||||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (6,396 | ) | (667,232 | ) | (556,772 | ) | 109,788 | |||||||||||||||||
Polaris, Inc. | Morgan Stanley | (1,042 | ) | (137,060 | ) | (124,686 | ) | 11,747 | |||||||||||||||||
Purple Innovation, Inc. | Morgan Stanley | (6,059 | ) | (192,441 | ) | (127,360 | ) | 64,887 | |||||||||||||||||
Ralph Lauren Corp. | Morgan Stanley | (81 | ) | (9,767 | ) | (8,994 | ) | 610 | |||||||||||||||||
Skechers U.S.A., Inc., Class A | Morgan Stanley | (1,395 | ) | (51,638 | ) | (58,757 | ) | (7,440 | ) | ||||||||||||||||
VF Corp. | Morgan Stanley | (181 | ) | (16,240 | ) | (12,125 | ) | 3,892 | |||||||||||||||||
Vizio Holding Corp., Class A | Morgan Stanley | (208 | ) | (4,327 | ) | (4,418 | ) | (95 | ) | ||||||||||||||||
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| ||||||||||||||||||
(28,428 | ) | (1,730,388 | ) | (1,501,121 | ) | 225,425 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
2U Inc. | Morgan Stanley | (26 | ) | (873 | ) | (873 | ) | 59 | |||||||||||||||||
Aramark | Morgan Stanley | (4,162 | ) | (158,459 | ) | (136,763 | ) | 20,722 | |||||||||||||||||
Bally’s Corp. | Morgan Stanley | (1,899 | ) | (114,937 | ) | (95,216 | ) | 19,606 | |||||||||||||||||
Bright Horizons Family Solutions, Inc. | Morgan Stanley | (1,014 | ) | (170,699 | ) | (141,372 | ) | 29,155 | |||||||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (646 | ) | (67,592 | ) | (72,533 | ) | (5,009 | ) | ||||||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (8,108 | ) | (191,929 | ) | (202,781 | ) | (14,523 | ) |
The accompanying notes are an integral part of the financial statements.
124
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Consumer Services — (continued) | |||||||||||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (768 | ) | $ | (121,208 | ) | $ | (116,329 | ) | $ | 4,943 | ||||||||||||||
Denny’s Corp. | Morgan Stanley | (5,227 | ) | (81,630 | ) | (85,409 | ) | (4,063 | ) | ||||||||||||||||
Frontdoor, Inc. | Morgan Stanley | (324 | ) | (18,076 | ) | (13,576 | ) | 4,510 | |||||||||||||||||
MGM Resorts International | Morgan Stanley | (1,350 | ) | (57,544 | ) | (58,253 | ) | (771 | ) | ||||||||||||||||
Monarch Casino & Resort, Inc. | Morgan Stanley | (732 | ) | (34,423 | ) | (49,037 | ) | (14,648 | ) | ||||||||||||||||
Planet Fitness, Inc., Class A | Morgan Stanley | (578 | ) | (44,560 | ) | (45,402 | ) | (887 | ) | ||||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (1,426 | ) | (124,200 | ) | (126,843 | ) | (2,768 | ) | ||||||||||||||||
Shake Shack, Inc., Class A | Morgan Stanley | (1,208 | ) | (118,247 | ) | (94,780 | ) | 23,388 | |||||||||||||||||
Six Flags Entertainment Corp. | Morgan Stanley | (378 | ) | (16,513 | ) | (16,065 | ) | 432 | |||||||||||||||||
Stride, Inc. | Morgan Stanley | (1,985 | ) | (77,117 | ) | (71,341 | ) | 5,786 | |||||||||||||||||
Terminix Global Holdings, Inc. | Morgan Stanley | (479 | ) | (25,177 | ) | (19,960 | ) | 5,236 | |||||||||||||||||
Wingstop, Inc. | Morgan Stanley | (1,398 | ) | (238,592 | ) | (229,174 | ) | 8,385 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(31,708 | ) | (1,661,776 | ) | (1,575,707 | ) | 79,553 | |||||||||||||||||||
|
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| ||||||||||||||||||
Diversified Financials | |||||||||||||||||||||||||
FactSet Research Systems, Inc. | Morgan Stanley | (12 | ) | (4,742 | ) | (4,737 | ) | (1 | ) | ||||||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | (1,384 | ) | (165,455 | ) | (158,911 | ) | 6,004 | |||||||||||||||||
Morningstar, Inc. | Morgan Stanley | (48 | ) | (13,383 | ) | (12,433 | ) | 944 | |||||||||||||||||
Open Lending Corp., Class A | Morgan Stanley | (729 | ) | (29,943 | ) | (26,295 | ) | 3,666 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(2,173 | ) | (213,523 | ) | (202,376 | ) | 10,613 | |||||||||||||||||||
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| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (13,128 | ) | (126,369 | ) | (132,068 | ) | (7,147 | ) | ||||||||||||||||
Cheniere Energy, Inc. | Morgan Stanley | (2,254 | ) | (195,363 | ) | (220,148 | ) | (25,066 | ) | ||||||||||||||||
ConocoPhillips | Morgan Stanley | (648 | ) | (37,070 | ) | (43,915 | ) | (7,440 | ) | ||||||||||||||||
Crescent Point Energy Corp. (Canada) | Morgan Stanley | (25,545 | ) | (107,214 | ) | (117,762 | ) | (10,797 | ) | ||||||||||||||||
CVR Energy, Inc. | Morgan Stanley | (1,194 | ) | (19,772 | ) | (19,892 | ) | (140 | ) | ||||||||||||||||
Delek U.S. Holdings, Inc. | Morgan Stanley | (7,661 | ) | (123,180 | ) | (137,668 | ) | (14,612 | ) | ||||||||||||||||
Devon Energy Corp. | Morgan Stanley | (5,140 | ) | (145,588 | ) | (182,521 | ) | (44,584 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (1,604 | ) | (138,073 | ) | (151,851 | ) | (16,014 | ) | ||||||||||||||||
Dril-Quip, Inc. | Morgan Stanley | (354 | ) | (12,153 | ) | (8,914 | ) | 3,289 | |||||||||||||||||
Enbridge, Inc. (Canada) | Morgan Stanley | (461 | ) | (18,170 | ) | (18,348 | ) | (503 | ) | ||||||||||||||||
Enerplus Corp. (Canada) | Morgan Stanley | (7,588 | ) | (44,746 | ) | (60,704 | ) | (16,279 | ) | ||||||||||||||||
EQT Corp. | Morgan Stanley | (18,037 | ) | (334,624 | ) | (369,037 | ) | (34,750 | ) | ||||||||||||||||
FLEX LNG Ltd. (Bermuda) | Morgan Stanley | (5 | ) | (88 | ) | (90 | ) | (2 | ) | ||||||||||||||||
Gevo, Inc. | Morgan Stanley | (8,207 | ) | (54,398 | ) | (54,494 | ) | (151 | ) | ||||||||||||||||
Liberty Oilfield Services, Inc., Class A | Morgan Stanley | (4,635 | ) | (50,366 | ) | (56,223 | ) | (6,001 | ) | ||||||||||||||||
New Fortress Energy, Inc. | Morgan Stanley | (2,446 | ) | (71,069 | ) | (67,877 | ) | 2,952 | |||||||||||||||||
NexTier Oilfield Solutions, Inc. | Morgan Stanley | (2,712 | ) | (8,628 | ) | (12,475 | ) | (3,856 | ) | ||||||||||||||||
Northern Oil and Gas, Inc. | Morgan Stanley | (1,923 | ) | (36,747 | ) | (41,152 | ) | (4,556 | ) | ||||||||||||||||
Par Pacific Holdings, Inc. | Morgan Stanley | (1,743 | ) | (26,780 | ) | (27,400 | ) | (647 | ) | ||||||||||||||||
Patterson-UTI Energy, Inc. | Morgan Stanley | (2,355 | ) | (19,419 | ) | (21,195 | ) | (1,966 | ) | ||||||||||||||||
Pembina Pipeline Corp. (Canada) | Morgan Stanley | (2,283 | ) | (58,069 | ) | (72,348 | ) | (18,678 | ) | ||||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (1,661 | ) | (265,886 | ) | (276,573 | ) | (16,760 | ) | ||||||||||||||||
RPC, Inc. | Morgan Stanley | (3,529 | ) | (12,139 | ) | (17,151 | ) | (5,096 | ) | ||||||||||||||||
Southwestern Energy Co. | Morgan Stanley | (17,318 | ) | (78,128 | ) | (95,942 | ) | (18,437 | ) | ||||||||||||||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (38,039 | ) | (279,765 | ) | (286,434 | ) | (6,951 | ) | ||||||||||||||||
Tellurian, Inc. | Morgan Stanley | (19,489 | ) | (58,808 | ) | (76,202 | ) | (17,454 | ) | ||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | (2,839 | ) | (72,111 | ) | (73,644 | ) | (1,605 | ) | ||||||||||||||||
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| ||||||||||||||||||
(192,798 | ) | (2,394,723 | ) | (2,642,028 | ) | (273,251 | ) | ||||||||||||||||||
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|
|
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|
|
The accompanying notes are an integral part of the financial statements.
125
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | (1,420 | ) | $ | (71,394 | ) | $ | (77,986 | ) | $ | (7,091 | ) | |||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | (776 | ) | (152,219 | ) | (146,237 | ) | 5,721 | |||||||||||||||||
Chefs’ Warehouse, Inc. (The) | Morgan Stanley | (1,524 | ) | (44,036 | ) | (49,637 | ) | (5,860 | ) | ||||||||||||||||
Grocery Outlet Holding Corp. | Morgan Stanley | (4,224 | ) | (175,207 | ) | (91,112 | ) | 84,060 | |||||||||||||||||
Performance Food Group Co. | Morgan Stanley | (1,514 | ) | (70,260 | ) | (70,340 | ) | (151 | ) | ||||||||||||||||
Rite Aid Corp. | Morgan Stanley | (766 | ) | (16,444 | ) | (10,877 | ) | 5,550 | |||||||||||||||||
U.S. Foods Holding Corp. | Morgan Stanley | (788 | ) | (31,692 | ) | (27,312 | ) | 4,341 | |||||||||||||||||
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| ||||||||||||||||||
(11,012 | ) | (561,252 | ) | (473,501 | ) | 86,570 | |||||||||||||||||||
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| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
B&G Foods, Inc. | Morgan Stanley | (1,412 | ) | (42,760 | ) | (42,205 | ) | (695 | ) | ||||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (418 | ) | (61,696 | ) | (43,999 | ) | 17,636 | |||||||||||||||||
Celsius Holdings, Inc. | Morgan Stanley | (3,676 | ) | (260,784 | ) | (331,171 | ) | (70,650 | ) | ||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | (1,379 | ) | (46,786 | ) | (46,707 | ) | (179 | ) | ||||||||||||||||
Fresh Del Monte Produce, Inc. (Cayman Islands) | Morgan Stanley | (11 | ) | (357 | ) | (354 | ) | 3 | |||||||||||||||||
Freshpet, Inc. | Morgan Stanley | (885 | ) | (136,867 | ) | (126,281 | ) | 10,407 | |||||||||||||||||
Hain Celestial Group, Inc. (The) | Morgan Stanley | (354 | ) | (14,752 | ) | (15,144 | ) | (407 | ) | ||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (2,609 | ) | (108,492 | ) | (106,969 | ) | 1,414 | |||||||||||||||||
Hostess Brands, Inc. | Morgan Stanley | (254 | ) | (4,359 | ) | (4,412 | ) | (57 | ) | ||||||||||||||||
Ingredion, Inc. | Morgan Stanley | (1,898 | ) | (172,811 | ) | (168,941 | ) | 3,183 | |||||||||||||||||
J & J Snack Foods Corp. | Morgan Stanley | (86 | ) | (13,793 | ) | (13,143 | ) | 414 | |||||||||||||||||
J M Smucker Co. (The) | Morgan Stanley | (120 | ) | (14,613 | ) | (14,404 | ) | 273 | |||||||||||||||||
Keurig Dr Pepper, Inc. | Morgan Stanley | (987 | ) | (34,635 | ) | (33,716 | ) | 745 | |||||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (384 | ) | (32,192 | ) | (23,566 | ) | 8,499 | |||||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (103 | ) | (17,798 | ) | (17,387 | ) | 364 | |||||||||||||||||
McCormick & Co, Inc. | Morgan Stanley | (836 | ) | (73,407 | ) | (67,741 | ) | 5,350 | |||||||||||||||||
MGP Ingredients, Inc. | Morgan Stanley | (475 | ) | (19,940 | ) | (30,923 | ) | (11,205 | ) | ||||||||||||||||
Pilgrim’s Pride Corp. | Morgan Stanley | (767 | ) | (15,864 | ) | (22,304 | ) | (6,481 | ) | ||||||||||||||||
Post Holdings, Inc. | Morgan Stanley | (860 | ) | (99,263 | ) | (94,738 | ) | 4,426 | |||||||||||||||||
TreeHouse Foods, Inc. | Morgan Stanley | (927 | ) | (36,315 | ) | (36,969 | ) | (690 | ) | ||||||||||||||||
Universal Corp. | Morgan Stanley | (154 | ) | (7,611 | ) | (7,443 | ) | 160 | |||||||||||||||||
Utz Brands, Inc. | Morgan Stanley | (2,826 | ) | (59,933 | ) | (48,409 | ) | 11,310 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(21,421 | ) | (1,275,028 | ) | (1,296,926 | ) | (26,180 | ) | ||||||||||||||||||
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| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
1Life Healthcare, Inc. | Morgan Stanley | (3,465 | ) | (113,118 | ) | (70,166 | ) | 42,838 | |||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (286 | ) | (92,741 | ) | (93,099 | ) | (757 | ) | ||||||||||||||||
Accolade, Inc. | Morgan Stanley | (967 | ) | (46,029 | ) | (40,778 | ) | 5,204 | |||||||||||||||||
AdaptHealth Corp. | Morgan Stanley | (1,423 | ) | (38,091 | ) | (33,142 | ) | 4,914 | |||||||||||||||||
Alphatec Holdings, Inc. | Morgan Stanley | (1,609 | ) | (22,680 | ) | (19,614 | ) | 3,043 | |||||||||||||||||
American Well Corp., Class A | Morgan Stanley | (2,067 | ) | (29,037 | ) | (18,830 | ) | 10,178 | |||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | (1,171 | ) | (141,954 | ) | (139,876 | ) | 1,597 | |||||||||||||||||
Apollo Medical Holdings, Inc. | Morgan Stanley | (364 | ) | (34,728 | ) | (33,142 | ) | 1,551 | |||||||||||||||||
Axogen, Inc. | Morgan Stanley | (982 | ) | (11,705 | ) | (15,516 | ) | (5,411 | ) | ||||||||||||||||
Becton Dickinson and Co | Morgan Stanley | (55 | ) | (14,423 | ) | (13,520 | ) | 1,776 | |||||||||||||||||
BioLife Solutions, Inc. | Morgan Stanley | (641 | ) | (26,701 | ) | (27,127 | ) | (453 | ) | ||||||||||||||||
Brookdale Senior Living, Inc. | Morgan Stanley | (1,841 | ) | (12,121 | ) | (11,598 | ) | 510 | |||||||||||||||||
Cardiovascular Systems, Inc. | Morgan Stanley | (1,266 | ) | (45,282 | ) | (41,563 | ) | 3,672 | |||||||||||||||||
Castle Biosciences, Inc. | Morgan Stanley | (1,110 | ) | (74,246 | ) | (73,815 | ) | 356 | |||||||||||||||||
Covetrus, Inc. | Morgan Stanley | (4,131 | ) | (122,487 | ) | (74,936 | ) | 47,427 |
The accompanying notes are an integral part of the financial statements.
126
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Health Care Equipment & Services — (continued) | |||||||||||||||||||||||||
CryoPort, Inc. | Morgan Stanley | (533 | ) | $ | (30,327 | ) | $ | (35,450 | ) | $ | (5,167 | ) | |||||||||||||
Evolent Health, Inc., Class A | Morgan Stanley | (2,513 | ) | (36,011 | ) | (77,903 | ) | (42,479 | ) | ||||||||||||||||
Glaukos Corp. | Morgan Stanley | (114 | ) | (6,442 | ) | (5,491 | ) | 949 | |||||||||||||||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (2,283 | ) | (101,569 | ) | (93,649 | ) | 7,832 | |||||||||||||||||
Guardant Health, Inc. | Morgan Stanley | (841 | ) | (124,900 | ) | (105,133 | ) | 19,752 | |||||||||||||||||
Haemonetics Corp. | Morgan Stanley | (1,392 | ) | (120,039 | ) | (98,261 | ) | 21,657 | |||||||||||||||||
HealthEquity, Inc. | Morgan Stanley | (28 | ) | (1,863 | ) | (1,813 | ) | 48 | |||||||||||||||||
Hill-Rom Holdings, Inc. | Morgan Stanley | (159 | ) | (21,839 | ) | (23,850 | ) | (2,051 | ) | ||||||||||||||||
Humana, Inc. | Morgan Stanley | (125 | ) | (57,994 | ) | (48,644 | ) | 9,337 | |||||||||||||||||
Inari Medical, Inc. | Morgan Stanley | (583 | ) | (55,502 | ) | (47,281 | ) | 8,165 | |||||||||||||||||
Innovage Holding Corp. | Morgan Stanley | (3 | ) | (19 | ) | (20 | ) | 1 | |||||||||||||||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (906 | ) | (31,264 | ) | (36,503 | ) | (5,270 | ) | ||||||||||||||||
Insulet Corp. | Morgan Stanley | (497 | ) | (138,899 | ) | (141,262 | ) | (2,532 | ) | ||||||||||||||||
Integer Holdings Corp. | Morgan Stanley | (247 | ) | (23,174 | ) | (22,067 | ) | 1,083 | |||||||||||||||||
iRhythm Technologies, Inc. | Morgan Stanley | (853 | ) | (39,907 | ) | (49,952 | ) | (10,085 | ) | ||||||||||||||||
Joint Corp. (The) | Morgan Stanley | (167 | ) | (13,237 | ) | (16,369 | ) | (3,229 | ) | ||||||||||||||||
Lantheus Holdings, Inc. | Morgan Stanley | (2,195 | ) | (51,581 | ) | (56,368 | ) | (5,007 | ) | ||||||||||||||||
Masimo Corp. | Morgan Stanley | (686 | ) | (181,134 | ) | (185,707 | ) | (4,885 | ) | ||||||||||||||||
Mesa Laboratories, Inc. | Morgan Stanley | (118 | ) | (29,991 | ) | (35,678 | ) | (5,791 | ) | ||||||||||||||||
Neogen Corp. | Morgan Stanley | (395 | ) | (18,254 | ) | (17,155 | ) | 1,081 | |||||||||||||||||
Oak Street Health, Inc. | Morgan Stanley | (5,477 | ) | (276,805 | ) | (232,937 | ) | 43,590 | |||||||||||||||||
Option Care Health, Inc. | Morgan Stanley | (1,893 | ) | (42,337 | ) | (45,924 | ) | (3,721 | ) | ||||||||||||||||
OrthoPediatrics Corp. | Morgan Stanley | (289 | ) | (15,243 | ) | (18,932 | ) | (3,738 | ) | ||||||||||||||||
Outset Medical, Inc. | Morgan Stanley | (734 | ) | (30,934 | ) | (36,289 | ) | (5,386 | ) | ||||||||||||||||
Penumbra, Inc. | Morgan Stanley | (437 | ) | (117,282 | ) | (116,461 | ) | 645 | |||||||||||||||||
PetIQ, Inc. | Morgan Stanley | (1,431 | ) | (50,586 | ) | (35,732 | ) | 14,851 | |||||||||||||||||
Phreesia, Inc. | Morgan Stanley | (95 | ) | (5,861 | ) | (5,862 | ) | (7 | ) | ||||||||||||||||
Progyny, Inc. | Morgan Stanley | (2,657 | ) | (154,040 | ) | (148,792 | ) | 5,068 | |||||||||||||||||
Quidel Corp. | Morgan Stanley | (108 | ) | (15,977 | ) | (15,244 | ) | 716 | |||||||||||||||||
RadNet, Inc. | Morgan Stanley | (1,584 | ) | (24,061 | ) | (46,427 | ) | (22,390 | ) | ||||||||||||||||
ResMed, Inc. | Morgan Stanley | (578 | ) | (137,319 | ) | (152,332 | ) | (20,342 | ) | ||||||||||||||||
Schrodinger, Inc. | Morgan Stanley | (2,609 | ) | (157,631 | ) | (142,660 | ) | 14,812 | |||||||||||||||||
Silk Road Medical, Inc. | Morgan Stanley | (976 | ) | (56,927 | ) | (53,709 | ) | 3,075 | |||||||||||||||||
SmileDirectClub, Inc. | Morgan Stanley | (5,780 | ) | (34,240 | ) | (30,750 | ) | 3,456 | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (2,410 | ) | (519,505 | ) | (492,315 | ) | 25,591 | |||||||||||||||||
Surgery Partners, Inc. | Morgan Stanley | (2,096 | ) | (88,299 | ) | (88,745 | ) | (534 | ) | ||||||||||||||||
Tabula Rasa HealthCare, Inc. | Morgan Stanley | (1,393 | ) | (70,755 | ) | (36,511 | ) | 34,244 | |||||||||||||||||
Tactile Systems Technology, Inc. | Morgan Stanley | (593 | ) | (22,138 | ) | (26,359 | ) | (4,243 | ) | ||||||||||||||||
Teladoc Health, Inc. | Morgan Stanley | (320 | ) | (51,731 | ) | (40,579 | ) | 11,100 | |||||||||||||||||
U.S. Physical Therapy, Inc. | Morgan Stanley | (9 | ) | (1,040 | ) | (995 | ) | 44 | |||||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | (49 | ) | (18,323 | ) | (20,802 | ) | (3,123 | ) | ||||||||||||||||
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|
| ||||||||||||||||||
(67,534 | ) | (3,800,323 | ) | (3,593,635 | ) | 193,562 | |||||||||||||||||||
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| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (593 | ) | (101,426 | ) | (98,207 | ) | 2,999 | |||||||||||||||||
Energizer Holdings, Inc. | Morgan Stanley | (1,857 | ) | (73,183 | ) | (72,516 | ) | 410 | |||||||||||||||||
Honest Co., Inc. (The) | Morgan Stanley | (2,401 | ) | (25,991 | ) | (24,922 | ) | 1,042 | |||||||||||||||||
Inter Parfums, Inc. | Morgan Stanley | (108 | ) | (7,818 | ) | (8,075 | ) | (279 | ) |
The accompanying notes are an integral part of the financial statements.
127
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Household & Personal Products — (continued) | |||||||||||||||||||||||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (747 | ) | $ | (21,226 | ) | $ | (20,423 | ) | $ | 725 | ||||||||||||||
Spectrum Brands Holdings, Inc. | Morgan Stanley | (397 | ) | (37,033 | ) | (37,981 | ) | (933 | ) | ||||||||||||||||
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|
| ||||||||||||||||||
(6,103 | ) | (266,677 | ) | (262,124 | ) | 3,964 | |||||||||||||||||||
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| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
Albemarle Corp. | Morgan Stanley | (141 | ) | (29,159 | ) | (30,875 | ) | (1,970 | ) | ||||||||||||||||
Allegheny Technologies, Inc. | Morgan Stanley | (173 | ) | (2,916 | ) | (2,877 | ) | 37 | |||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | (4,792 | ) | (60,361 | ) | (55,539 | ) | 4,439 | |||||||||||||||||
Amyris, Inc. | Morgan Stanley | (3,423 | ) | (46,221 | ) | (46,998 | ) | (823 | ) | ||||||||||||||||
AptarGroup, Inc. | Morgan Stanley | (126 | ) | (16,612 | ) | (15,038 | ) | 1,542 | |||||||||||||||||
Arconic Corp. | Morgan Stanley | (838 | ) | (30,155 | ) | (26,431 | ) | 3,694 | |||||||||||||||||
Balchem Corp. | Morgan Stanley | (44 | ) | (6,423 | ) | (6,383 | ) | 34 | |||||||||||||||||
Ball Corp. | Morgan Stanley | (247 | ) | (22,933 | ) | (22,223 | ) | 552 | |||||||||||||||||
Cabot Corp. | Morgan Stanley | (358 | ) | (19,430 | ) | (17,943 | ) | 1,348 | |||||||||||||||||
Century Aluminum Co. | Morgan Stanley | (3,937 | ) | (47,625 | ) | (52,953 | ) | (5,376 | ) | ||||||||||||||||
Cleveland-Cliffs, Inc. | Morgan Stanley | (1,085 | ) | (21,513 | ) | (21,494 | ) | (3 | ) | ||||||||||||||||
Coeur Mining, Inc. | Morgan Stanley | (10,129 | ) | (69,171 | ) | (62,496 | ) | 6,606 | |||||||||||||||||
Commercial Metals Co. | Morgan Stanley | (587 | ) | (20,028 | ) | (17,880 | ) | 2,128 | |||||||||||||||||
Ecolab, Inc. | Morgan Stanley | (319 | ) | (70,990 | ) | (66,550 | ) | 4,304 | |||||||||||||||||
Element Solutions, Inc. | Morgan Stanley | (1,375 | ) | (32,032 | ) | (29,810 | ) | 2,131 | |||||||||||||||||
Equinox Gold Corp. (Canada) | Morgan Stanley | (12,613 | ) | (152,412 | ) | (83,246 | ) | 69,012 | |||||||||||||||||
First Majestic Silver Corp. (Canada) | Morgan Stanley | (6,729 | ) | (87,052 | ) | (76,038 | ) | 10,917 | |||||||||||||||||
FMC Corp. | Morgan Stanley | (1,062 | ) | (111,393 | ) | (97,237 | ) | 13,369 | |||||||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | (1,713 | ) | (246,408 | ) | (222,536 | ) | 23,246 | |||||||||||||||||
HB Fuller Co. | Morgan Stanley | (1,028 | ) | (66,577 | ) | (66,368 | ) | (11 | ) | ||||||||||||||||
Huntsman Corp. | Morgan Stanley | (8,754 | ) | (228,905 | ) | (259,031 | ) | (31,546 | ) | ||||||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (2,138 | ) | (300,912 | ) | (285,893 | ) | 12,881 | |||||||||||||||||
Kirkland Lake Gold Ltd. (Canada) | Morgan Stanley | (916 | ) | (48,740 | ) | (38,096 | ) | 10,473 | |||||||||||||||||
MAG Silver Corp. (Canada) | Morgan Stanley | (98 | ) | (1,588 | ) | (1,588 | ) | (1 | ) | ||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | (142 | ) | (52,107 | ) | (48,519 | ) | 3,454 | |||||||||||||||||
Materion Corp. | Morgan Stanley | (233 | ) | (16,836 | ) | (15,993 | ) | 779 | |||||||||||||||||
Methanex Corp. (Canada) | Morgan Stanley | (2,297 | ) | (53,290 | ) | (105,754 | ) | (53,297 | ) | ||||||||||||||||
Novagold Resources, Inc. (Canada) | Morgan Stanley | (5,336 | ) | (53,874 | ) | (36,712 | ) | 17,108 | |||||||||||||||||
PureCycle Technologies, Inc. | Morgan Stanley | (75 | ) | (1,024 | ) | (996 | ) | 27 | |||||||||||||||||
Quaker Chemical Corp. | Morgan Stanley | (311 | ) | (70,060 | ) | (73,931 | ) | (4,183 | ) | ||||||||||||||||
RPM International, Inc. | Morgan Stanley | (701 | ) | (60,226 | ) | (54,433 | ) | 5,733 | |||||||||||||||||
Sandstorm Gold Ltd. (Canada) | Morgan Stanley | (770 | ) | (4,625 | ) | (4,435 | ) | 185 | |||||||||||||||||
Schweitzer-Mauduit International, Inc. | Morgan Stanley | (118 | ) | (4,346 | ) | (4,090 | ) | 233 | |||||||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | (1,436 | ) | (228,681 | ) | (210,173 | ) | 17,605 | |||||||||||||||||
Seabridge Gold, Inc. (Canada) | Morgan Stanley | (865 | ) | (15,246 | ) | (13,364 | ) | 1,868 | |||||||||||||||||
SilverCrest Metals, Inc. (Canada) | Morgan Stanley | (1,236 | ) | (10,110 | ) | (8,627 | ) | 1,473 | |||||||||||||||||
Sonoco Products Co. | Morgan Stanley | (317 | ) | (20,414 | ) | (18,887 | ) | 1,506 | |||||||||||||||||
Stepan Co. | Morgan Stanley | (214 | ) | (27,214 | ) | (24,169 | ) | 2,908 | |||||||||||||||||
Summit Materials, Inc., Class A | Morgan Stanley | (992 | ) | (34,576 | ) | (31,714 | ) | 2,827 | |||||||||||||||||
Teck Resources Ltd., Class B (Canada) | Morgan Stanley | (2,376 | ) | (55,298 | ) | (59,186 | ) | (4,072 | ) | ||||||||||||||||
Tronox Holdings PLC, Class A (United Kingdom) | Morgan Stanley | (626 | ) | (5,934 | ) | (15,431 | ) | (9,878 | ) | ||||||||||||||||
Valvoline, Inc. | Morgan Stanley | (3,955 | ) | (115,968 | ) | (123,317 | ) | (8,756 | ) | ||||||||||||||||
Vulcan Materials Co. | Morgan Stanley | (91 | ) | (16,057 | ) | (15,394 | ) | 799 |
The accompanying notes are an integral part of the financial statements.
128
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Materials — (continued) | |||||||||||||||||||||||||
Warrior Met Coal, Inc. | Morgan Stanley | (2,255 | ) | $ | (39,241 | ) | $ | (52,474 | ) | $ | (14,129 | ) | |||||||||||||
Yamana Gold, Inc. (Canada) | Morgan Stanley | (19,760 | ) | (101,710 | ) | (78,250 | ) | 22,286 | |||||||||||||||||
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| ||||||||||||||||||
(106,731 | ) | (2,726,393 | ) | (2,601,372 | ) | 111,459 | |||||||||||||||||||
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| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Angi, Inc. | Morgan Stanley | (9,723 | ) | (138,396 | ) | (119,982 | ) | 18,274 | |||||||||||||||||
Bumble, Inc., Class A | Morgan Stanley | (351 | ) | (19,219 | ) | (17,543 | ) | 1,657 | |||||||||||||||||
Cable One, Inc. | Morgan Stanley | (94 | ) | (184,240 | ) | (170,434 | ) | 13,438 | |||||||||||||||||
Cardlytics, Inc. | Morgan Stanley | (451 | ) | (46,946 | ) | (37,857 | ) | 9,042 | |||||||||||||||||
Cargurus, Inc. | Morgan Stanley | (1,315 | ) | (41,691 | ) | (41,304 | ) | 344 | |||||||||||||||||
Cinemark Holdings, Inc. | Morgan Stanley | (2,690 | ) | (62,334 | ) | (51,675 | ) | 10,612 | |||||||||||||||||
Clear Channel Outdoor Holdings, Inc. | Morgan Stanley | (9,252 | ) | (21,581 | ) | (25,073 | ) | (3,540 | ) | ||||||||||||||||
EW Scripps Co. (The), Class A | Morgan Stanley | (2,445 | ) | (28,014 | ) | (44,157 | ) | (16,412 | ) | ||||||||||||||||
Gray Television, Inc. | Morgan Stanley | (1,079 | ) | (23,968 | ) | (24,623 | ) | (755 | ) | ||||||||||||||||
iHeartMedia, Inc., Class A | Morgan Stanley | (1,675 | ) | (33,385 | ) | (41,909 | ) | (8,558 | ) | ||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | (231 | ) | (20,442 | ) | (21,051 | ) | (690 | ) | ||||||||||||||||
Magnite, Inc. | Morgan Stanley | (565 | ) | (22,366 | ) | (15,820 | ) | 6,523 | |||||||||||||||||
Match Group, Inc. | Morgan Stanley | (2,472 | ) | (394,113 | ) | (388,079 | ) | 5,637 | |||||||||||||||||
MediaAlpha, Inc., Class A. | Morgan Stanley | (282 | ) | (6,590 | ) | (5,268 | ) | 1,316 | |||||||||||||||||
Nexstar Media Group, Inc., Class A | Morgan Stanley | (61 | ) | (9,472 | ) | (9,270 | ) | 193 | |||||||||||||||||
Sciplay Corp., Class A | Morgan Stanley | (255 | ) | (5,215 | ) | (5,276 | ) | (66 | ) | ||||||||||||||||
Shaw Communications, Inc., Class B (Canada) | Morgan Stanley | (407 | ) | (11,152 | ) | (11,819 | ) | (864 | ) | ||||||||||||||||
Skillz, Inc. | Morgan Stanley | (3,829 | ) | (43,178 | ) | (37,601 | ) | 5,533 | |||||||||||||||||
TripAdvisor, Inc. | Morgan Stanley | (647 | ) | (29,314 | ) | (21,901 | ) | 7,383 | |||||||||||||||||
ZoomInfo Technologies, Inc., Class A | Morgan Stanley | (623 | ) | (35,483 | ) | (38,121 | ) | (3,141 | ) | ||||||||||||||||
Zynga, Inc., Class A. | Morgan Stanley | (1,711 | ) | (20,504 | ) | (12,884 | ) | 7,599 | |||||||||||||||||
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| ||||||||||||||||||
(40,158 | ) | (1,197,603 | ) | (1,141,647 | ) | 53,525 | |||||||||||||||||||
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| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| ||||||||||||||||||||||||
10X Genomics, Inc., Class A. | Morgan Stanley | (459 | ) | (72,741 | ) | (66,821 | ) | 5,847 | |||||||||||||||||
ACADIA Pharmaceuticals, Inc. | Morgan Stanley | (1,375 | ) | (22,832 | ) | (22,839 | ) | (29 | ) | ||||||||||||||||
Adaptive Biotechnologies Corp. | Morgan Stanley | (2,368 | ) | (113,590 | ) | (80,488 | ) | 32,987 | |||||||||||||||||
Allogene Therapeutics, Inc. | Morgan Stanley | (374 | ) | (9,356 | ) | (9,612 | ) | (470 | ) | ||||||||||||||||
Amneal Pharmaceuticals, Inc. | Morgan Stanley | (1,145 | ) | (5,893 | ) | (6,114 | ) | (228 | ) | ||||||||||||||||
Apellis Pharmaceuticals, Inc. | Morgan Stanley | (2,874 | ) | (140,079 | ) | (94,727 | ) | 45,210 | |||||||||||||||||
Arcturus Therapeutics Holdings, Inc. | Morgan Stanley | (611 | ) | (48,352 | ) | (29,194 | ) | 19,110 | |||||||||||||||||
Arvinas, Inc. | Morgan Stanley | (1,752 | ) | (107,180 | ) | (143,979 | ) | (36,907 | ) | ||||||||||||||||
Aurora Cannabis, Inc. (Canada) | Morgan Stanley | (3,385 | ) | (23,120 | ) | (23,424 | ) | (328 | ) | ||||||||||||||||
Avantor, Inc. | Morgan Stanley | (3,124 | ) | (126,494 | ) | (127,772 | ) | (2,471 | ) | ||||||||||||||||
Avid Bioservices, Inc. | Morgan Stanley | (141 | ) | (2,905 | ) | (3,041 | ) | (140 | ) | ||||||||||||||||
Axsome Therapeutics, Inc. | Morgan Stanley | (1,306 | ) | (62,681 | ) | (43,046 | ) | 19,572 | |||||||||||||||||
Berkeley Lights, Inc. | Morgan Stanley | (3,585 | ) | (149,600 | ) | (70,123 | ) | 79,327 | |||||||||||||||||
Bluebird Bio, Inc. | Morgan Stanley | (1,565 | ) | (28,624 | ) | (29,907 | ) | (1,312 | ) | ||||||||||||||||
Catalent, Inc. | Morgan Stanley | (983 | ) | (122,839 | ) | (130,808 | ) | (8,092 | ) | ||||||||||||||||
ChemoCentryx, Inc. | Morgan Stanley | (5,628 | ) | (85,041 | ) | (96,239 | ) | (11,284 | ) | ||||||||||||||||
Codexis, Inc. | Morgan Stanley | (2,514 | ) | (36,371 | ) | (58,476 | ) | (22,267 | ) | ||||||||||||||||
Cronos Group, Inc. (Canada) | Morgan Stanley | (2,998 | ) | (20,800 | ) | (16,969 | ) | 3,810 | |||||||||||||||||
Dicerna Pharmaceuticals, Inc. | Morgan Stanley | (1,347 | ) | (28,856 | ) | (27,156 | ) | 1,671 | |||||||||||||||||
Elanco Animal Health, Inc. | Morgan Stanley | (1,042 | ) | (31,907 | ) | (33,229 | ) | (1,354 | ) | ||||||||||||||||
Emergent BioSolutions, Inc. | Morgan Stanley | (792 | ) | (49,922 | ) | (39,655 | ) | 10,831 |
The accompanying notes are an integral part of the financial statements.
129
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | |||||||||||||||||||||||||
FibroGen, Inc. | Morgan Stanley | (243 | ) | $ | (2,833 | ) | $ | (2,483 | ) | $ | 350 | ||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (653 | ) | (35,507 | ) | (21,902 | ) | 13,570 | |||||||||||||||||
Iovance Biotherapeutics, Inc. | Morgan Stanley | (314 | ) | (11,742 | ) | (7,743 | ) | 3,987 | |||||||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (3,002 | ) | (409,733 | ) | (390,890 | ) | 18,430 | |||||||||||||||||
Krystal Biotech, Inc. | Morgan Stanley | (5 | ) | (291 | ) | (261 | ) | 32 | |||||||||||||||||
MacroGenics, Inc. | Morgan Stanley | (30 | ) | (645 | ) | (628 | ) | 16 | |||||||||||||||||
Mirati Therapeutics, Inc. | Morgan Stanley | (553 | ) | (84,462 | ) | (97,831 | ) | (15,957 | ) | ||||||||||||||||
NanoString Technologies, Inc. | Morgan Stanley | (874 | ) | (45,706 | ) | (41,961 | ) | 3,700 | |||||||||||||||||
Neurocrine Biosciences, Inc. | Morgan Stanley | (336 | ) | (31,935 | ) | (32,226 | ) | (459 | ) | ||||||||||||||||
Novavax, Inc. | Morgan Stanley | (118 | ) | (24,528 | ) | (24,463 | ) | 41 | |||||||||||||||||
Ocular Therapeutix, Inc. | Morgan Stanley | (1,586 | ) | (21,277 | ) | (15,860 | ) | 5,396 | |||||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (7,051 | ) | (312,023 | ) | (333,724 | ) | (23,895 | ) | ||||||||||||||||
Personalis, Inc. | Morgan Stanley | (2,376 | ) | (62,879 | ) | (45,714 | ) | 17,101 | |||||||||||||||||
Phathom Pharmaceuticals, Inc. | Morgan Stanley | (12 | ) | (383 | ) | (385 | ) | (2 | ) | ||||||||||||||||
Phibro Animal Health Corp., Class A | Morgan Stanley | (3 | ) | (65 | ) | (65 | ) | 1 | |||||||||||||||||
Protagonist Therapeutics, Inc. | Morgan Stanley | (137 | ) | (6,326 | ) | (2,428 | ) | 3,892 | |||||||||||||||||
Quanterix Corp. | Morgan Stanley | (7 | ) | (340 | ) | (349 | ) | (9 | ) | ||||||||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (496 | ) | (53,498 | ) | (49,903 | ) | 3,542 | |||||||||||||||||
Repligen Corp. | Morgan Stanley | (99 | ) | (20,564 | ) | (28,610 | ) | (8,926 | ) | ||||||||||||||||
Revance Therapeutics, Inc. | Morgan Stanley | (585 | ) | (16,081 | ) | (16,298 | ) | (233 | ) | ||||||||||||||||
Sangamo Therapeutics, Inc. | Morgan Stanley | (45 | ) | (431 | ) | (405 | ) | 24 | |||||||||||||||||
Seagen, Inc. | Morgan Stanley | (72 | ) | (12,050 | ) | (12,226 | ) | (187 | ) | ||||||||||||||||
Sundial Growers, Inc. (Canada) | Morgan Stanley | (52,945 | ) | (38,085 | ) | (35,902 | ) | 2,145 | |||||||||||||||||
Syneos Health, Inc. | Morgan Stanley | (1,985 | ) | (180,278 | ) | (173,648 | ) | 6,230 | |||||||||||||||||
TG Therapeutics, Inc. | Morgan Stanley | (1,090 | ) | (29,120 | ) | (36,275 | ) | (7,609 | ) | ||||||||||||||||
Viatris, Inc. | Morgan Stanley | (4,996 | ) | (74,013 | ) | (67,696 | ) | 5,122 | |||||||||||||||||
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| ||||||||||||||||||
(118,981 | ) | (2,763,978 | ) | (2,593,495 | ) | 159,785 | |||||||||||||||||||
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| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
1-800-Flowers.com, Inc., Class A | Morgan Stanley | (381 | ) | (12,546 | ) | (11,624 | ) | 909 | |||||||||||||||||
CarMax, Inc. | Morgan Stanley | (287 | ) | (38,870 | ) | (36,725 | ) | 2,107 | |||||||||||||||||
CarParts.com, Inc. | Morgan Stanley | (700 | ) | (12,256 | ) | (10,927 | ) | 1,317 | |||||||||||||||||
Carvana Co. | Morgan Stanley | (45 | ) | (12,469 | ) | (13,569 | ) | (1,113 | ) | ||||||||||||||||
Chewy, Inc. | Morgan Stanley | (98 | ) | (6,684 | ) | (6,675 | ) | 2 | |||||||||||||||||
Children’s Place, Inc. (The) | Morgan Stanley | (371 | ) | (28,729 | ) | (27,921 | ) | 743 | |||||||||||||||||
Designer Brands, Inc., Class A | Morgan Stanley | (4,103 | ) | (58,890 | ) | (57,155 | ) | 1,562 | |||||||||||||||||
Dollar General Corp. | Morgan Stanley | (562 | ) | (123,015 | ) | (119,223 | ) | 3,604 | |||||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | (953 | ) | (95,547 | ) | (91,221 | ) | 4,229 | |||||||||||||||||
Etsy, Inc. | Morgan Stanley | (481 | ) | (105,368 | ) | (100,029 | ) | 5,912 | |||||||||||||||||
Five Below, Inc. | Morgan Stanley | (683 | ) | (129,897 | ) | (120,761 | ) | 9,084 | |||||||||||||||||
Franchise Group, Inc. | Morgan Stanley | (305 | ) | (10,582 | ) | (10,800 | ) | (340 | ) | ||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | (14,556 | ) | (368,671 | ) | (330,421 | ) | 38,405 | |||||||||||||||||
GrowGeneration Corp. | Morgan Stanley | (4,019 | ) | (157,764 | ) | (99,149 | ) | 58,457 | |||||||||||||||||
Leslie’s, Inc. | Morgan Stanley | (2,516 | ) | (73,474 | ) | (51,679 | ) | 21,721 | |||||||||||||||||
Monro, Inc. | Morgan Stanley | (1,530 | ) | (71,252 | ) | (87,990 | ) | (18,388 | ) | ||||||||||||||||
Murphy U.S.A., Inc. | Morgan Stanley | (1,740 | ) | (247,261 | ) | (291,032 | ) | (45,346 | ) | ||||||||||||||||
Nordstrom, Inc. | Morgan Stanley | (2,173 | ) | (79,463 | ) | (57,476 | ) | 21,907 | |||||||||||||||||
Pool Corp. | Morgan Stanley | (121 | ) | (55,633 | ) | (52,564 | ) | 2,785 | |||||||||||||||||
Porch Group, Inc. | Morgan Stanley | (39 | ) | (654 | ) | (690 | ) | (36 | ) | ||||||||||||||||
Poshmark, Inc., Class A | Morgan Stanley | (472 | ) | (21,598 | ) | (11,215 | ) | 10,362 |
The accompanying notes are an integral part of the financial statements.
130
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Retailing — (continued) | |||||||||||||||||||||||||
RealReal, Inc. (The) | Morgan Stanley | (3,532 | ) | $ | (86,777 | ) | $ | (46,552 | ) | $ | 40,138 | ||||||||||||||
Sally Beauty Holdings, Inc. | Morgan Stanley | (6,905 | ) | (117,706 | ) | (116,349 | ) | 1,238 | |||||||||||||||||
Sleep Number Corp. | Morgan Stanley | (36 | ) | (3,706 | ) | (3,365 | ) | 337 | |||||||||||||||||
Stamps.com, Inc. | Morgan Stanley | (531 | ) | (173,037 | ) | (175,118 | ) | (2,256 | ) | ||||||||||||||||
Tractor Supply Co. | Morgan Stanley | (2,193 | ) | (417,308 | ) | (444,324 | ) | (28,239 | ) | ||||||||||||||||
Vroom, Inc. | Morgan Stanley | (3,045 | ) | (117,059 | ) | (67,203 | ) | 49,738 | |||||||||||||||||
Wayfair, Inc., Class A | Morgan Stanley | (44 | ) | (12,290 | ) | (11,242 | ) | 1,087 | |||||||||||||||||
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| ||||||||||||||||||
(52,421 | ) | (2,638,506 | ) | (2,452,999 | ) | 179,926 | |||||||||||||||||||
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| ||||||||||||||||||
Semiconductors & Semiconductor Equipment |
| ||||||||||||||||||||||||
ACM Research, Inc., Class A | Morgan Stanley | (727 | ) | (68,615 | ) | (79,970 | ) | (11,425 | ) | ||||||||||||||||
Ambarella, Inc. (Cayman Islands) | Morgan Stanley | (68 | ) | (6,532 | ) | (10,590 | ) | (4,308 | ) | ||||||||||||||||
Analog Devices, Inc. | Morgan Stanley | (1,018 | ) | (178,901 | ) | (170,495 | ) | 8,693 | |||||||||||||||||
CEVA, Inc. | Morgan Stanley | (489 | ) | (21,334 | ) | (20,866 | ) | 447 | |||||||||||||||||
Cirrus Logic, Inc. | Morgan Stanley | (819 | ) | (68,024 | ) | (67,445 | ) | 456 | |||||||||||||||||
CMC Materials, Inc. | Morgan Stanley | (70 | ) | (9,268 | ) | (8,626 | ) | 632 | |||||||||||||||||
Cohu, Inc. | Morgan Stanley | (685 | ) | (25,236 | ) | (21,879 | ) | 3,391 | |||||||||||||||||
Cree, Inc. | Morgan Stanley | (720 | ) | (78,060 | ) | (58,126 | ) | 19,856 | |||||||||||||||||
Diodes, Inc. | Morgan Stanley | (243 | ) | (20,823 | ) | (22,013 | ) | (1,255 | ) | ||||||||||||||||
Entegris, Inc. | Morgan Stanley | (1,009 | ) | (125,552 | ) | (127,033 | ) | (1,608 | ) | ||||||||||||||||
FormFactor, Inc. | Morgan Stanley | (1,770 | ) | (65,629 | ) | (66,074 | ) | (511 | ) | ||||||||||||||||
Lattice Semiconductor Corp. | Morgan Stanley | (221 | ) | (12,797 | ) | (14,288 | ) | (1,518 | ) | ||||||||||||||||
Marvell Technology, Inc. | Morgan Stanley | (4,050 | ) | (247,370 | ) | (244,256 | ) | 2,865 | |||||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | (490 | ) | (80,465 | ) | (75,210 | ) | 5,264 | |||||||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (858 | ) | (129,003 | ) | (120,257 | ) | 8,595 | |||||||||||||||||
SMART Global Holdings, Inc. (Cayman Islands) | Morgan Stanley | (515 | ) | (25,197 | ) | (22,918 | ) | 2,254 | |||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | (1,138 | ) | (224,781 | ) | (218,735 | ) | 5,895 | |||||||||||||||||
Universal Display Corp. | Morgan Stanley | (87 | ) | (20,271 | ) | (14,874 | ) | 5,820 | |||||||||||||||||
Veeco Instruments, Inc. | Morgan Stanley | (37 | ) | (833 | ) | (822 | ) | 11 | |||||||||||||||||
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| ||||||||||||||||||
(15,014 | ) | (1,408,691 | ) | (1,364,477 | ) | 43,554 | |||||||||||||||||||
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|
| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
8x8, Inc. | Morgan Stanley | (2,489 | ) | (54,392 | ) | (58,218 | ) | (3,880 | ) | ||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (115 | ) | (13,597 | ) | (12,028 | ) | 1,592 | |||||||||||||||||
Alarm.com Holdings, Inc. | Morgan Stanley | (314 | ) | (27,190 | ) | (24,552 | ) | 2,610 | |||||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | (120 | ) | (12,146 | ) | (12,107 | ) | 27 | |||||||||||||||||
Altair Engineering, Inc., Class A | Morgan Stanley | (303 | ) | (17,291 | ) | (20,889 | ) | (3,615 | ) | ||||||||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (4,828 | ) | (505,564 | ) | (352,927 | ) | 152,128 | |||||||||||||||||
Anaplan, Inc. | Morgan Stanley | (487 | ) | (31,913 | ) | (29,653 | ) | 2,248 | |||||||||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (525 | ) | (70,588 | ) | (63,210 | ) | 7,307 | |||||||||||||||||
Avaya Holdings Corp. | Morgan Stanley | (1,501 | ) | (32,007 | ) | (29,705 | ) | 2,270 | |||||||||||||||||
Bentley Systems, Inc., Class B | Morgan Stanley | (640 | ) | (44,872 | ) | (38,810 | ) | 6,528 | |||||||||||||||||
BigCommerce Holdings, Inc. | Morgan Stanley | (359 | ) | (19,525 | ) | (18,180 | ) | 1,325 | |||||||||||||||||
Blackbaud, Inc. | Morgan Stanley | (730 | ) | (51,009 | ) | (51,356 | ) | (398 | ) | ||||||||||||||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (2,904 | ) | (26,844 | ) | (28,256 | ) | (1,439 | ) | ||||||||||||||||
Bottomline Technologies DE, Inc. | Morgan Stanley | (1,966 | ) | (77,512 | ) | (77,224 | ) | 209 | |||||||||||||||||
CDK Global, Inc. | Morgan Stanley | (621 | ) | (26,767 | ) | (26,424 | ) | 317 | |||||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (1,062 | ) | (101,960 | ) | (119,602 | ) | (17,980 | ) | ||||||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (4,118 | ) | (452,596 | ) | (442,150 | ) | 8,565 | |||||||||||||||||
Concentrix Corp. | Morgan Stanley | (327 | ) | (55,928 | ) | (57,879 | ) | (2,107 | ) |
The accompanying notes are an integral part of the financial statements.
131
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
Conduent, Inc. | Morgan Stanley | (10,829 | ) | $ | (47,546 | ) | $ | (71,363 | ) | $ | (24,117 | ) | |||||||||||||
Coupa Software, Inc. | Morgan Stanley | (393 | ) | (98,840 | ) | (86,138 | ) | 12,602 | |||||||||||||||||
Digital Turbine, Inc. | Morgan Stanley | (4,243 | ) | (279,336 | ) | (291,706 | ) | (12,652 | ) | ||||||||||||||||
Dynatrace, Inc. | Morgan Stanley | (1,144 | ) | (70,490 | ) | (81,190 | ) | (10,771 | ) | ||||||||||||||||
Evo Payments, Inc., Class A | Morgan Stanley | (422 | ) | (12,052 | ) | (9,993 | ) | 2,047 | |||||||||||||||||
Fastly, Inc., Class A | Morgan Stanley | (1,287 | ) | (96,732 | ) | (52,046 | ) | 44,588 | |||||||||||||||||
FireEye, Inc. | Morgan Stanley | (7,891 | ) | (141,567 | ) | (140,460 | ) | 957 | |||||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | (445 | ) | (118,907 | ) | (116,265 | ) | 2,522 | |||||||||||||||||
Globant S.A. (Luxembourg) | Morgan Stanley | (440 | ) | (115,112 | ) | (123,644 | ) | (9,903 | ) | ||||||||||||||||
GoDaddy, Inc., Class A | Morgan Stanley | (404 | ) | (35,627 | ) | (28,159 | ) | 7,623 | |||||||||||||||||
Guidewire Software, Inc. | Morgan Stanley | (606 | ) | (67,832 | ) | (72,035 | ) | (4,272 | ) | ||||||||||||||||
InterDigital, Inc. | Morgan Stanley | (134 | ) | (9,537 | ) | (9,088 | ) | 440 | |||||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (547 | ) | (95,408 | ) | (89,741 | ) | 5,397 | |||||||||||||||||
Jamf Holding Corp. | Morgan Stanley | (939 | ) | (29,938 | ) | (36,170 | ) | (6,263 | ) | ||||||||||||||||
JFrog Ltd. (Israel) | Morgan Stanley | (414 | ) | (14,345 | ) | (13,869 | ) | 462 | |||||||||||||||||
LiveRamp Holdings, Inc. | Morgan Stanley | (1,987 | ) | (101,384 | ) | (93,846 | ) | 7,442 | |||||||||||||||||
McAfee Corp., Class A | Morgan Stanley | (458 | ) | (13,392 | ) | (10,126 | ) | 496 | |||||||||||||||||
Medallia, Inc. | Morgan Stanley | (2,640 | ) | (92,822 | ) | (89,417 | ) | 3,198 | |||||||||||||||||
New Relic, Inc. | Morgan Stanley | (411 | ) | (26,428 | ) | (29,497 | ) | (3,149 | ) | ||||||||||||||||
Okta, Inc. | Morgan Stanley | (105 | ) | (25,223 | ) | (24,921 | ) | 277 | |||||||||||||||||
Oracle Corp. | Morgan Stanley | (814 | ) | (74,218 | ) | (70,924 | ) | 3,219 | |||||||||||||||||
PagerDuty, Inc. | Morgan Stanley | (821 | ) | (33,843 | ) | (34,006 | ) | (197 | ) | ||||||||||||||||
Paylocity Holding Corp. | Morgan Stanley | (399 | ) | (79,103 | ) | (111,880 | ) | (33,657 | ) | ||||||||||||||||
Paysafe Ltd. (Bermuda) | Morgan Stanley | (1,930 | ) | (15,710 | ) | (14,958 | ) | 737 | |||||||||||||||||
Ping Identity Holding Corp. | Morgan Stanley | (7,566 | ) | (253,558 | ) | (185,897 | ) | 67,897 | |||||||||||||||||
PROS Holdings, Inc. | Morgan Stanley | (1,549 | ) | (62,980 | ) | (54,959 | ) | 7,958 | |||||||||||||||||
Q2 Holdings, Inc. | Morgan Stanley | (1,282 | ) | (131,970 | ) | (102,739 | ) | 29,097 | |||||||||||||||||
Qualys, Inc. | Morgan Stanley | (83 | ) | (9,854 | ) | (9,237 | ) | 616 | |||||||||||||||||
Rackspace Technology, Inc. | Morgan Stanley | (5,430 | ) | (115,327 | ) | (77,215 | ) | 37,997 | |||||||||||||||||
RingCentral, Inc., Class A. | Morgan Stanley | (1,266 | ) | (314,327 | ) | (275,355 | ) | 38,655 | |||||||||||||||||
Sabre Corp. | Morgan Stanley | (3,224 | ) | (44,742 | ) | (38,172 | ) | 6,551 | |||||||||||||||||
Sailpoint Technologies Holdings, Inc. | Morgan Stanley | (1,024 | ) | (46,713 | ) | (43,909 | ) | 2,757 | |||||||||||||||||
SecureWorks Corp., Class A | Morgan Stanley | (14 | ) | (280 | ) | (278 | ) | 2 | |||||||||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (692 | ) | (61,372 | ) | (53,644 | ) | 7,666 | |||||||||||||||||
Smartsheet, Inc., Class A | Morgan Stanley | (1,496 | ) | (108,352 | ) | (102,955 | ) | 5,288 | |||||||||||||||||
SolarWinds Corp. | Morgan Stanley | (2,477 | ) | (49,419 | ) | (41,440 | ) | 4,374 | |||||||||||||||||
Splunk, Inc. | Morgan Stanley | (18 | ) | (3,291 | ) | (2,605 | ) | 683 | |||||||||||||||||
Sumo Logic, Inc. | Morgan Stanley | (1,459 | ) | (27,089 | ) | (23,519 | ) | 3,542 | |||||||||||||||||
Switch, Inc., Class A | Morgan Stanley | (2,702 | ) | (46,684 | ) | (68,604 | ) | (22,526 | ) | ||||||||||||||||
Telos Corp. | Morgan Stanley | (4,141 | ) | (127,757 | ) | (117,687 | ) | 9,941 | |||||||||||||||||
Twilio, Inc., Class A | Morgan Stanley | (367 | ) | (122,193 | ) | (117,091 | ) | 4,978 | |||||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (281 | ) | (133,725 | ) | (128,881 | ) | 4,704 | |||||||||||||||||
Upland Software, Inc. | Morgan Stanley | (936 | ) | (38,590 | ) | (31,300 | ) | 7,252 | |||||||||||||||||
Verra Mobility Corp. | Morgan Stanley | (4,664 | ) | (61,289 | ) | (70,286 | ) | (9,130 | ) | ||||||||||||||||
VMware, Inc., Class A | Morgan Stanley | (36 | ) | (5,394 | ) | (5,353 | ) | 35 | |||||||||||||||||
Vonage Holdings Corp. | Morgan Stanley | (1,433 | ) | (21,815 | ) | (23,100 | ) | (1,307 | ) | ||||||||||||||||
WEX, Inc. | Morgan Stanley | (1,612 | ) | (330,434 | ) | (283,938 | ) | 46,163 | |||||||||||||||||
Yext, Inc. | Morgan Stanley | (11,159 | ) | (224,232 | ) | (134,243 | ) | 89,952 |
The accompanying notes are an integral part of the financial statements.
132
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
Zendesk, Inc. | Morgan Stanley | (330 | ) | $ | (41,453 | ) | $ | (38,409 | ) | $ | 3,002 | ||||||||||||||
Zuora, Inc., Class A | Morgan Stanley | (2,276 | ) | (34,686 | ) | (37,736 | ) | (3,117 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(120,629 | ) | (5,734,619 | ) | (5,233,164 | ) | 485,763 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
Advanced Energy Industries, Inc. | Morgan Stanley | (212 | ) | (20,135 | ) | (18,603 | ) | 1,488 | |||||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | (1,399 | ) | (103,672 | ) | (102,449 | ) | 704 | |||||||||||||||||
Avnet, Inc. | Morgan Stanley | (2,510 | ) | (104,467 | ) | (92,795 | ) | 10,737 | |||||||||||||||||
Calix, Inc. | Morgan Stanley | (748 | ) | (36,420 | ) | (36,974 | ) | (591 | ) | ||||||||||||||||
Ciena Corp. | Morgan Stanley | (1,389 | ) | (76,794 | ) | (71,325 | ) | 5,422 | |||||||||||||||||
CommScope Holding Co., Inc. | Morgan Stanley | (5,157 | ) | (88,304 | ) | (70,084 | ) | 18,132 | |||||||||||||||||
Corsair Gaming, Inc. | Morgan Stanley | (702 | ) | (19,721 | ) | (18,203 | ) | 1,517 | |||||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | (830 | ) | (86,348 | ) | (86,353 | ) | (92 | ) | ||||||||||||||||
Fabrinet (Cayman Islands) | Morgan Stanley | (1,082 | ) | (80,883 | ) | (110,916 | ) | (30,527 | ) | ||||||||||||||||
FARO Technologies, Inc. | Morgan Stanley | (467 | ) | (30,013 | ) | (30,733 | ) | (750 | ) | ||||||||||||||||
Infinera Corp. | Morgan Stanley | (2,442 | ) | (17,846 | ) | (20,317 | ) | (2,512 | ) | ||||||||||||||||
Inseego Corp. | Morgan Stanley | (6,603 | ) | (63,512 | ) | (43,976 | ) | 19,472 | |||||||||||||||||
Insight Enterprises, Inc. | Morgan Stanley | (1,170 | ) | (87,407 | ) | (105,394 | ) | (18,074 | ) | ||||||||||||||||
IPG Photonics Corp. | Morgan Stanley | (132 | ) | (29,415 | ) | (20,909 | ) | 8,749 | |||||||||||||||||
Jabil, Inc. | Morgan Stanley | (1,939 | ) | (115,466 | ) | (113,179 | ) | 2,086 | |||||||||||||||||
Littelfuse, Inc. | Morgan Stanley | (74 | ) | (19,738 | ) | (20,222 | ) | (580 | ) | ||||||||||||||||
MicroVision, Inc. | Morgan Stanley | (3,626 | ) | (51,399 | ) | (40,067 | ) | 11,280 | |||||||||||||||||
National Instruments Corp. | Morgan Stanley | (2,504 | ) | (106,341 | ) | (98,232 | ) | 6,872 | |||||||||||||||||
nLight, Inc. | Morgan Stanley | (1,836 | ) | (44,517 | ) | (51,757 | ) | (7,284 | ) | ||||||||||||||||
Novanta, Inc. (Canada) | Morgan Stanley | (136 | ) | (18,214 | ) | (21,012 | ) | (2,816 | ) | ||||||||||||||||
Rogers Corp. | Morgan Stanley | (80 | ) | (16,062 | ) | (14,918 | ) | 1,128 | |||||||||||||||||
Super Micro Computer, Inc. | Morgan Stanley | (508 | ) | (18,194 | ) | (18,578 | ) | (402 | ) | ||||||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (783 | ) | (349,245 | ) | (336,361 | ) | 12,532 | |||||||||||||||||
Viasat, Inc. | Morgan Stanley | (834 | ) | (35,606 | ) | (45,928 | ) | (10,359 | ) | ||||||||||||||||
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|
|
|
|
|
|
| ||||||||||||||||||
(37,163 | ) | (1,619,719 | ) | (1,589,285 | ) | 26,132 | |||||||||||||||||||
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| ||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
Bandwidth, Inc., Class A. | Morgan Stanley | (229 | ) | (24,225 | ) | (20,674 | ) | 3,526 | |||||||||||||||||
Cogent Communications Holdings, Inc. | Morgan Stanley | (252 | ) | (17,448 | ) | (17,852 | ) | (1,134 | ) | ||||||||||||||||
Globalstar, Inc. | Morgan Stanley | (52,848 | ) | (78,881 | ) | (88,256 | ) | (9,531 | ) | ||||||||||||||||
Shenandoah Telecommunications Co. | Morgan Stanley | (648 | ) | (29,009 | ) | (20,464 | ) | 932 | |||||||||||||||||
United States Cellular Corp. | Morgan Stanley | (488 | ) | (17,939 | ) | (15,562 | ) | 2,359 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(54,465 | ) | (167,502 | ) | (162,808 | ) | (3,848 | ) | ||||||||||||||||||
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|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Air Transport Services Group, Inc. | Morgan Stanley | (3,493 | ) | (89,591 | ) | (90,154 | ) | (656 | ) | ||||||||||||||||
Canadian National Railway Co. (Canada) | Morgan Stanley | (2,817 | ) | (328,791 | ) | (325,786 | ) | 844 | |||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (2,841 | ) | (274,797 | ) | (247,167 | ) | 25,158 | |||||||||||||||||
Hawaiian Holdings, Inc. | Morgan Stanley | (1,560 | ) | (32,992 | ) | (33,790 | ) | (992 | ) | ||||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | (250 | ) | (42,243 | ) | (41,805 | ) | 328 | |||||||||||||||||
JetBlue Airways Corp. | Morgan Stanley | (1,120 | ) | (20,793 | ) | (17,125 | ) | 3,647 | |||||||||||||||||
Kirby Corp. | Morgan Stanley | (123 | ) | (7,837 | ) | (5,899 | ) | 1,930 | |||||||||||||||||
Knight-Swift Transportation Holdings, Inc. | Morgan Stanley | (524 | ) | (25,789 | ) | (26,803 | ) | (1,083 | ) | ||||||||||||||||
Landstar System, Inc. | Morgan Stanley | (949 | ) | (158,596 | ) | (149,771 | ) | 8,556 | |||||||||||||||||
Marten Transport Ltd. | Morgan Stanley | (34 | ) | (540 | ) | (533 | ) | 6 |
The accompanying notes are an integral part of the financial statements.
133
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Transportation — (continued) | |||||||||||||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | (444 | ) | $ | (49,342 | ) | $ | (45,368 | ) | $ | 3,823 | ||||||||||||||
Uber Technologies, Inc. | Morgan Stanley | (293 | ) | (15,030 | ) | (13,126 | ) | 1,928 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(14,448 | ) | (1,046,341 | ) | (997,327 | ) | 43,489 | |||||||||||||||||||
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| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (8,285 | ) | (129,101 | ) | (121,458 | ) | 4,092 | |||||||||||||||||
ALLETE, Inc. | Morgan Stanley | (1,375 | ) | (74,196 | ) | (81,840 | ) | (11,298 | ) | ||||||||||||||||
Alliant Energy Corp. | Morgan Stanley | (349 | ) | (21,495 | ) | (19,537 | ) | 1,937 | |||||||||||||||||
Ameren Corp. | Morgan Stanley | (746 | ) | (62,595 | ) | (60,426 | ) | 875 | |||||||||||||||||
American States Water Co. | Morgan Stanley | (11 | ) | (953 | ) | (941 | ) | 12 | |||||||||||||||||
Avangrid, Inc. | Morgan Stanley | (1,197 | ) | (59,153 | ) | (58,174 | ) | (499 | ) | ||||||||||||||||
Black Hills Corp. | Morgan Stanley | (1,488 | ) | (94,468 | ) | (93,387 | ) | (903 | ) | ||||||||||||||||
Brookfield Renewable Corp., Class A (Canada) | Morgan Stanley | (882 | ) | (36,603 | ) | (34,230 | ) | 1,979 | |||||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (2,581 | ) | (68,727 | ) | (63,493 | ) | 4,765 | |||||||||||||||||
Clearway Energy, Inc., Class A | Morgan Stanley | (870 | ) | (22,499 | ) | (24,534 | ) | (2,560 | ) | ||||||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (378 | ) | (28,601 | ) | (27,439 | ) | 532 | |||||||||||||||||
Duke Energy Corp. | Morgan Stanley | (135 | ) | (13,667 | ) | (13,175 | ) | 710 | |||||||||||||||||
Edison International | Morgan Stanley | (5,572 | ) | (319,638 | ) | (309,079 | ) | 6,197 | |||||||||||||||||
Entergy Corp. | Morgan Stanley | (1,106 | ) | (120,434 | ) | (109,837 | ) | 9,674 | |||||||||||||||||
Evergy, Inc. | Morgan Stanley | (2,806 | ) | (187,641 | ) | (174,533 | ) | 11,418 | |||||||||||||||||
Eversource Energy | Morgan Stanley | (1,274 | ) | (113,652 | ) | (104,162 | ) | 8,254 | |||||||||||||||||
New Jersey Resources Corp. | Morgan Stanley | (400 | ) | (12,834 | ) | (13,924 | ) | (1,736 | ) | ||||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (572 | ) | (46,531 | ) | (44,913 | ) | 1,344 | |||||||||||||||||
NiSource, Inc. | Morgan Stanley | (7,725 | ) | (196,813 | ) | (187,177 | ) | 8,394 | |||||||||||||||||
Northwest Natural Holding Co. | Morgan Stanley | (982 | ) | (49,302 | ) | (45,162 | ) | 3,181 | |||||||||||||||||
NorthWestern Corp. | Morgan Stanley | (648 | ) | (41,518 | ) | (37,130 | ) | 3,442 | |||||||||||||||||
OGE Energy Corp. | Morgan Stanley | (2,295 | ) | (79,913 | ) | (75,643 | ) | 3,533 | |||||||||||||||||
Ormat Technologies, Inc. | Morgan Stanley | (565 | ) | (46,442 | ) | (37,635 | ) | 8,668 | |||||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (2,362 | ) | (185,793 | ) | (170,914 | ) | 13,942 | |||||||||||||||||
PNM Resources, Inc. | Morgan Stanley | (748 | ) | (36,742 | ) | (37,011 | ) | (648 | ) | ||||||||||||||||
Portland General Electric Co. | Morgan Stanley | (1,406 | ) | (68,063 | ) | (66,068 | ) | 656 | |||||||||||||||||
Sempra Energy | Morgan Stanley | (693 | ) | (94,966 | ) | (87,665 | ) | 5,100 | |||||||||||||||||
SJW Group. | Morgan Stanley | (406 | ) | (25,808 | ) | (26,820 | ) | (1,549 | ) | ||||||||||||||||
South Jersey Industries, Inc. | Morgan Stanley | (2,534 | ) | (66,151 | ) | (53,873 | ) | 11,116 | |||||||||||||||||
Southwest Gas Holdings, Inc. | Morgan Stanley | (1,465 | ) | (98,416 | ) | (97,979 | ) | (507 | ) | ||||||||||||||||
Spire, Inc. | Morgan Stanley | (678 | ) | (47,870 | ) | (41,480 | ) | 5,815 | |||||||||||||||||
Vistra Corp. | Morgan Stanley | (13,224 | ) | (230,051 | ) | (226,130 | ) | 359 | |||||||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (177 | ) | (15,444 | ) | (15,611 | ) | (539 | ) | ||||||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (2,215 | ) | (149,713 | ) | (138,438 | ) | 10,396 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(68,150 | ) | (2,845,793 | ) | (2,699,818 | ) | 106,152 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Total Reference Entity — Short | (40,509,407 | ) | (38,458,260 | ) | 1,866,051 | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
Net Value of Reference Entity | $ | (31,237,310 | ) | $ | (28,090,470 | ) | $ | 3,056,022 | |||||||||||||||||
|
|
|
|
|
|
* | Includes $(90,818) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
134
GOTHAM INDEX PLUS FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 82.5% |
| |||||||
Automobiles & Components — 0.3% |
| |||||||
Aptiv PLC (Jersey)* | 2,455 | $ | 365,721 | |||||
Ford Motor Co.(a)* | 21,455 | 303,803 | ||||||
General Motors Co.(a)* | 13,740 | 724,236 | ||||||
|
| |||||||
1,393,760 | ||||||||
|
| |||||||
Banks — 2.1% | ||||||||
Bank of America Corp.(a) | 24,890 | 1,056,580 | ||||||
Citigroup, Inc. | 6,280 | 440,730 | ||||||
Fifth Third BanCorp. | 3,595 | 152,572 | ||||||
First Republic Bank | 7,356 | 1,418,825 | ||||||
JPMorgan Chase & Co.(a) | 20,709 | 3,389,856 | ||||||
PNC Financial Services Group, Inc. (The) | 6,179 | 1,208,860 | ||||||
Regions Financial Corp.(a) | 36,573 | 779,371 | ||||||
SVB Financial Group* | 412 | 266,515 | ||||||
Wells Fargo & Co. | 17,400 | 807,534 | ||||||
|
| |||||||
9,520,843 | ||||||||
|
| |||||||
Capital Goods — 6.6% | ||||||||
3M Co.(a) | 9,413 | 1,651,228 | ||||||
AMETEK, Inc. | 756 | 93,752 | ||||||
Carrier Global Corp. | 15,849 | 820,344 | ||||||
Caterpillar, Inc. | 11,712 | 2,248,353 | ||||||
Cummins, Inc.(a) | 6,333 | 1,422,138 | ||||||
Deere & Co. | 1,115 | 373,603 | ||||||
Dover Corp. | 5,063 | 787,297 | ||||||
Eaton Corp. PLC (Ireland) | 5,032 | 751,328 | ||||||
Emerson Electric Co.(a) | 23,821 | 2,243,938 | ||||||
Fortive Corp. | 1,847 | 130,343 | ||||||
General Dynamics Corp.(a) | 8,431 | 1,652,729 | ||||||
General Electric Co.(a) | 14,376 | 1,481,159 | ||||||
Howmet Aerospace, Inc. | 2,158 | 67,330 | ||||||
Huntington Ingalls Industries, Inc. | 3,653 | 705,248 | ||||||
Illinois Tool Works, Inc. | 1,776 | 366,975 | ||||||
Ingersoll Rand, Inc.(a)* | 15,981 | 805,602 | ||||||
Johnson Controls International PLC (Ireland) | 27,317 | 1,859,741 | ||||||
L3Harris Technologies, Inc.(a) | 2,968 | 653,672 | ||||||
Lockheed Martin Corp.(a) | 7,283 | 2,513,363 | ||||||
Northrop Grumman Corp.(a) | 3,840 | 1,382,976 | ||||||
Parker-Hannifin Corp.(a) | 4,758 | 1,330,432 | ||||||
Pentair PLC (Ireland) | 912 | 66,239 | ||||||
Roper Technologies, Inc. | 515 | 229,757 | ||||||
Snap-on, Inc. | 9,169 | 1,915,863 | ||||||
Stanley Black & Decker, Inc.(a) | 5,988 | 1,049,756 | ||||||
Textron, Inc.(a) | 17,346 | 1,210,924 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
Trane Technologies PLC (Ireland) | 6,434 | $ | 1,110,830 | |||||
WW Grainger, Inc.(a) | 3,699 | 1,453,929 | ||||||
|
| |||||||
30,378,849 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.4% |
| |||||||
Cintas Corp.(a) | 414 | 157,593 | ||||||
Jacobs Engineering Group, Inc.(a) | 12,333 | 1,634,493 | ||||||
Nielsen Holdings PLC (United Kingdom) | 120,320 | 2,308,941 | ||||||
Republic Services, Inc. | 11,213 | 1,346,233 | ||||||
Robert Half International, Inc. | 701 | 70,331 | ||||||
Waste Management, Inc.(a) | 5,995 | 895,413 | ||||||
|
| |||||||
6,413,004 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.9% |
| |||||||
DR Horton, Inc. | 3,546 | 297,758 | ||||||
Garmin Ltd. (Switzerland) | 2,176 | 338,281 | ||||||
Hanesbrands, Inc. | 71,902 | 1,233,838 | ||||||
Hasbro, Inc. | 3,086 | 275,333 | ||||||
Lennar Corp., Class A | 802 | 75,131 | ||||||
Mohawk Industries, Inc.* | 14,333 | 2,542,674 | ||||||
Newell Brands, Inc. | 11,464 | 253,813 | ||||||
NIKE, Inc., Class B | 6,138 | 891,422 | ||||||
Ralph Lauren Corp.(a) | 12,135 | 1,347,470 | ||||||
Tapestry, Inc.(a) | 37,246 | 1,378,847 | ||||||
Whirlpool Corp. | 652 | 132,917 | ||||||
|
| |||||||
8,767,484 | ||||||||
|
| |||||||
Consumer Services — 1.9% | ||||||||
Marriott International, Inc., Class A(a)* | 5,659 | 838,041 | ||||||
McDonald’s Corp.(a) | 9,740 | 2,348,412 | ||||||
Penn National Gaming, Inc.(a)* | 35,607 | 2,580,083 | ||||||
Starbucks Corp.(a) | 6,834 | 753,859 | ||||||
Yum! Brands, Inc. | 18,020 | 2,204,026 | ||||||
|
| |||||||
8,724,421 | ||||||||
|
| |||||||
Diversified Financials — 3.6% | ||||||||
American Express Co. | 5,283 | 885,061 | ||||||
Ameriprise Financial, Inc.(a) | 1,452 | 383,502 | ||||||
Berkshire Hathaway, Inc., Class B* | 1,686 | 460,177 | ||||||
BlackRock, Inc. | 2,542 | 2,131,874 | ||||||
Capital One Financial Corp.(a) | 5,581 | 903,955 | ||||||
Charles Schwab Corp. (The)(a) | 9,435 | 687,245 | ||||||
Discover Financial Services | 449 | 55,160 | ||||||
Franklin Resources, Inc. | 67,891 | 2,017,720 | ||||||
Goldman Sachs Group, Inc. (The) | 3,118 | 1,178,698 | ||||||
Intercontinental Exchange, Inc. | 2,970 | 341,015 |
The accompanying notes are an integral part of the financial statements.
135
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Invesco Ltd. (Bermuda) | 11,680 | $ | 281,605 | |||||
Moody’s Corp.(a) | 3,573 | 1,268,808 | ||||||
Nasdaq, Inc. | 8,117 | 1,566,743 | ||||||
Raymond James Financial, | 10,295 | 950,023 | ||||||
S&P Global, Inc.(a) | 2,706 | 1,149,752 | ||||||
T Rowe Price Group, Inc. | 11,466 | 2,255,362 | ||||||
|
| |||||||
16,516,700 | ||||||||
|
| |||||||
Energy — 3.9% | ||||||||
APA Corp.(a) | 109,139 | 2,338,849 | ||||||
Chevron Corp. | 3,038 | 308,205 | ||||||
EOG Resources, Inc.(a) | 31,813 | 2,553,629 | ||||||
Exxon Mobil Corp.(a) | 41,333 | 2,431,207 | ||||||
Halliburton Co. | 6,405 | 138,476 | ||||||
Hess Corp.(a) | 25,832 | 2,017,738 | ||||||
Kinder Morgan, Inc. | 14,775 | 247,186 | ||||||
Marathon Oil Corp.(a) | 151,599 | 2,072,358 | ||||||
Marathon Petroleum Corp.(a) | 43,165 | 2,668,029 | ||||||
Occidental Petroleum Corp.(a) | 40,719 | 1,204,468 | ||||||
ONEOK, Inc.(a) | 18,262 | 1,059,013 | ||||||
Williams Cos., Inc. (The)(a) | 24,455 | 634,363 | ||||||
|
| |||||||
17,673,521 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Kroger Co. (The) | 9,059 | 366,255 | ||||||
Sysco Corp. | 182 | 14,287 | ||||||
Walgreens Boots Alliance, Inc.(a) | 8,419 | 396,114 | ||||||
Walmart, Inc. | 29,521 | 4,114,637 | ||||||
|
| |||||||
4,891,293 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.3% |
| |||||||
Altria Group, Inc.(a) | 23,027 | 1,048,189 | ||||||
Archer-Daniels-Midland Co. | 13,990 | 839,540 | ||||||
Campbell Soup Co.(a) | 5,602 | 234,220 | ||||||
Coca-Cola Co. (The)(a) | 42,923 | 2,252,170 | ||||||
Conagra Brands, Inc.(a) | 21,470 | 727,189 | ||||||
Constellation Brands, Inc., Class A(a) | 9,749 | 2,054,017 | ||||||
General Mills, Inc.(a) | 17,893 | 1,070,359 | ||||||
Hershey Co. (The)(a) | 8,428 | 1,426,439 | ||||||
JM Smucker Co. (The)(a) | 1,441 | 172,963 | ||||||
Kellogg Co.(a) | 15,790 | 1,009,297 | ||||||
Kraft Heinz Co. (The)(a) | 59,459 | 2,189,280 | ||||||
Molson Coors Beverage Co., Class B(a) | 10,575 | 490,468 | ||||||
Mondelez International, Inc., Class A(a) | 30,953 | 1,800,846 | ||||||
PepsiCo, Inc.(a) | 10,334 | 1,554,337 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Philip Morris International, Inc. | 12,600 | $ | 1,194,354 | |||||
Tyson Foods, Inc., Class A(a) | 21,664 | 1,710,156 | ||||||
|
| |||||||
19,773,824 | ||||||||
|
| |||||||
Health Care Equipment & Services — 5.2% |
| |||||||
Abbott Laboratories(a) | 11,797 | 1,393,580 | ||||||
Align Technology, Inc.(a)* | 293 | 194,971 | ||||||
AmerisourceBergen Corp.(a) | 6,861 | 819,547 | ||||||
Anthem, Inc.(a) | 3,832 | 1,428,570 | ||||||
Baxter International, Inc.(a) | 3,005 | 241,692 | ||||||
Becton Dickinson and Co.(a) | 5,130 | 1,261,057 | ||||||
Boston Scientific Corp.(a)* | 13,239 | 574,440 | ||||||
Centene Corp.* | 2,567 | 159,950 | ||||||
Cerner Corp. | 3,389 | 238,992 | ||||||
Cigna Corp.(a) | 3,424 | 685,348 | ||||||
CVS Health Corp. | 13,983 | 1,186,597 | ||||||
Danaher Corp. | 3,758 | 1,144,086 | ||||||
DaVita, Inc.* | 384 | 44,644 | ||||||
DENTSPLY SIRONA, Inc. | 2,665 | 154,703 | ||||||
HCA Healthcare, Inc. | 8,842 | 2,146,130 | ||||||
Hologic, Inc.* | 34,001 | 2,509,614 | ||||||
Laboratory Corp. of America Holdings* | 3,214 | 904,548 | ||||||
McKesson Corp.(a) | 8,893 | 1,773,086 | ||||||
Medtronic PLC (Ireland) | 18,920 | 2,371,622 | ||||||
Quest Diagnostics, Inc. | 3,242 | 471,095 | ||||||
Stryker Corp.(a) | 4,970 | 1,310,688 | ||||||
UnitedHealth Group, Inc.(a) | 7,719 | 3,016,122 | ||||||
|
| |||||||
24,031,082 | ||||||||
|
| |||||||
Household & Personal Products — 1.8% |
| |||||||
Colgate-Palmolive Co.(a) | 29,882 | 2,258,482 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 1,042 | 312,527 | ||||||
Kimberly-Clark Corp.(a) | 9,612 | 1,273,013 | ||||||
Procter & Gamble Co. (The) | 31,942 | 4,465,492 | ||||||
|
| |||||||
8,309,514 | ||||||||
|
| |||||||
Insurance — 2.0% | ||||||||
Aflac, Inc.(a) | 24,285 | 1,265,977 | ||||||
Allstate Corp. (The)(a) | 7,092 | 902,882 | ||||||
American International Group, Inc. | 7,762 | 426,056 | ||||||
Aon PLC, Class A (Ireland) | 2,841 | 811,872 | ||||||
Arthur J Gallagher & Co.(a) | 5,586 | 830,359 | ||||||
Assurant, Inc. | 260 | 41,015 | ||||||
Brown & Brown, Inc. | 10,446 | 579,231 | ||||||
Chubb Ltd. (Switzerland) | 3,856 | 668,939 | ||||||
Loews Corp.(a) | 16,374 | 883,050 |
The accompanying notes are an integral part of the financial statements.
136
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) | ||||||||
Marsh & McLennan Cos., Inc. | 10,174 | $ | 1,540,649 | |||||
MetLife, Inc. | 6,045 | 373,158 | ||||||
Principal Financial Group, Inc. | 154 | 9,918 | ||||||
Prudential Financial, Inc. | 1,273 | 133,919 | ||||||
Travelers Cos., Inc. (The)(a) | 3,262 | 495,857 | ||||||
|
| |||||||
8,962,882 | ||||||||
|
| |||||||
Materials — 3.7% | ||||||||
Avery Dennison Corp.(a) | 6,459 | 1,338,369 | ||||||
CF Industries Holdings, Inc.(a) | 25,602 | 1,429,104 | ||||||
Dow, Inc.(a) | 9,542 | 549,237 | ||||||
DuPont de Nemours, Inc.(a) | 37,586 | 2,555,472 | ||||||
Eastman Chemical Co. | 4,258 | 428,951 | ||||||
Freeport-McMoRan, Inc. | 25,035 | 814,389 | ||||||
International Paper Co. | 29,019 | 1,622,742 | ||||||
Linde PLC (Ireland) | 6,636 | 1,946,870 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 6,875 | 645,219 | ||||||
Mosaic Co. (The) | 65,363 | 2,334,766 | ||||||
Newmont Corp.(a) | 5,632 | 305,818 | ||||||
Nucor Corp. | 8,012 | 789,102 | ||||||
Sherwin-Williams Co. (The) | 5,307 | 1,484,527 | ||||||
Westrock Co.(a) | 11,737 | 584,855 | ||||||
|
| |||||||
16,829,421 | ||||||||
|
| |||||||
Media & Entertainment — 5.4% | ||||||||
Activision Blizzard, Inc.(a) | 6,976 | 539,873 | ||||||
Alphabet, Inc., Class A* | 2,639 | 7,055,419 | ||||||
Charter Communications, Inc., Class A* | 598 | 435,081 | ||||||
Comcast Corp., Class A(a) | 12,802 | 716,016 | ||||||
DISH Network Corp., Class A(a)* | 32,059 | 1,393,284 | ||||||
Electronic Arts, Inc. | 1,476 | 209,961 | ||||||
Facebook, Inc., Class A* | 26,333 | 8,937,157 | ||||||
Fox Corp., Class A(a) | 19,882 | 797,467 | ||||||
Interpublic Group of Cos., Inc. (The). | 25,923 | 950,596 | ||||||
Netflix, Inc.* | 2,168 | 1,323,217 | ||||||
News Corp., Class A | 996 | 23,436 | ||||||
Omnicom Group, Inc. | 5,813 | 421,210 | ||||||
Take-Two Interactive Software, Inc.* | 630 | 97,064 | ||||||
Twitter, Inc.* | 2,083 | 125,792 | ||||||
ViacomCBS, Inc., Class B(a) | 12,164 | 480,600 | ||||||
Walt Disney Co. (The)* | 5,941 | 1,005,039 | ||||||
|
| |||||||
24,511,212 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.0% |
| |||||||
AbbVie, Inc.(a) | 27,673 | 2,985,087 | ||||||
Agilent Technologies, Inc.(a) | 5,250 | 827,032 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Biogen, Inc.(a)* | 2,033 | $ | 575,319 | |||||
Bristol-Myers Squibb Co.(a) | 6,997 | 414,012 | ||||||
Eli Lilly and Co.(a) | 1,934 | 446,851 | ||||||
Gilead Sciences, Inc.(a) | 33,421 | 2,334,457 | ||||||
Illumina, Inc.* | 607 | 246,205 | ||||||
Incyte Corp.* | 909 | 62,521 | ||||||
Johnson & Johnson(a) | 15,332 | 2,476,118 | ||||||
Merck & Co., Inc.(a) | 34,065 | 2,558,622 | ||||||
Organon & Co.(a) | 76,808 | 2,518,534 | ||||||
PerkinElmer, Inc. | 11,550 | 2,001,499 | ||||||
Pfizer, Inc. | 76,475 | 3,289,190 | ||||||
Regeneron Pharmaceuticals, Inc.* | 723 | 437,545 | ||||||
Thermo Fisher Scientific, Inc. | 317 | 181,112 | ||||||
Waters Corp.* | 4,173 | 1,491,013 | ||||||
|
| |||||||
22,845,117 | ||||||||
|
| |||||||
Real Estate — 2.6% | ||||||||
Alexandria Real Estate Equities, Inc., REIT(a) | 9,920 | 1,895,414 | ||||||
American Tower Corp., REIT | 1,498 | 397,584 | ||||||
AvalonBay Communities, Inc., REIT | 2,797 | 619,927 | ||||||
CBRE Group, Inc., Class A* | 357 | 34,758 | ||||||
Crown Castle International Corp., REIT | 1,721 | 298,284 | ||||||
Duke Realty Corp., REIT(a) | 14,251 | 682,195 | ||||||
Extra Space Storage, Inc., REIT | 5,187 | 871,364 | ||||||
Iron Mountain, Inc., REIT(a) | 10,825 | 470,346 | ||||||
Kimco Realty Corp., REIT(a) | 35,810 | 743,057 | ||||||
Mid-America Apartment Communities, Inc., REIT | 4,002 | 747,373 | ||||||
Public Storage, REIT(a) | 3,399 | 1,009,843 | ||||||
SBA Communications Corp., REIT | 443 | 146,443 | ||||||
Simon Property Group, Inc., REIT | 4,882 | 634,514 | ||||||
UDR, Inc., REIT(a) | 9,867 | 522,754 | ||||||
Welltower, Inc., REIT | 3,920 | 323,008 | ||||||
Weyerhaeuser Co., REIT | 75,210 | 2,675,220 | ||||||
|
| |||||||
12,072,084 | ||||||||
|
| |||||||
Retailing — 6.6% | ||||||||
Advance Auto Parts, Inc. | 6,646 | 1,388,283 | ||||||
Amazon.com, Inc.(a)* | 4,085 | 13,419,388 | ||||||
AutoZone, Inc.(a)* | 735 | 1,248,023 | ||||||
Bath & Body Works, Inc. | 7,895 | 497,622 | ||||||
Best Buy Co., Inc. | 4,395 | 464,596 | ||||||
Dollar Tree, Inc.(a)* | 1,534 | 146,835 | ||||||
eBay, Inc.(a) | 17,920 | 1,248,486 |
The accompanying notes are an integral part of the financial statements.
137
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Genuine Parts Co.(a) | 12,184 | $ | 1,477,066 | |||||
Home Depot, Inc. (The) | 8,617 | 2,828,616 | ||||||
LKQ Corp.* | 43,196 | 2,173,623 | ||||||
Lowe’s Cos., Inc. | 3,279 | 665,178 | ||||||
O’Reilly Automotive, Inc.(a)* | 2,134 | 1,304,002 | ||||||
Ross Stores, Inc.(a) | 9,725 | 1,058,566 | ||||||
Target Corp. | 10,288 | 2,353,586 | ||||||
|
| |||||||
30,273,870 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
Analog Devices, Inc.(a) | 4,305 | 721,001 | ||||||
Applied Materials, Inc. | 13,476 | 1,734,765 | ||||||
Broadcom, Inc. | 188 | 91,167 | ||||||
Intel Corp.(a) | 59,940 | 3,193,603 | ||||||
KLA Corp. | 1,466 | 490,392 | ||||||
Lam Research Corp.(a) | 2,290 | 1,303,354 | ||||||
Micron Technology, Inc.(a) | 21,105 | 1,498,033 | ||||||
NVIDIA Corp. | 6,057 | 1,254,768 | ||||||
NXP Semiconductors NV (Netherlands) | 3,825 | 749,203 | ||||||
Qorvo, Inc.(a)* | 5,561 | 929,744 | ||||||
QUALCOMM, Inc.(a) | 12,637 | 1,629,920 | ||||||
Skyworks Solutions, Inc. | 2,033 | 334,998 | ||||||
Texas Instruments, Inc.(a) | 7,410 | 1,424,276 | ||||||
|
| |||||||
15,355,224 | ||||||||
|
| |||||||
Software & Services — 10.3% | ||||||||
Accenture PLC, Class A (Ireland) | 1,353 | 432,852 | ||||||
Adobe, Inc.* | 3,101 | 1,785,308 | ||||||
ANSYS, Inc.* | 276 | 93,964 | ||||||
Autodesk, Inc.* | 2,270 | 647,336 | ||||||
Automatic Data Processing, | 10,043 | 2,007,797 | ||||||
Broadridge Financial Solutions, Inc.(a) | 6,685 | 1,113,988 | ||||||
Cadence Design Systems, Inc.* | 1,041 | 157,649 | ||||||
Cognizant Technology Solutions Corp., Class A | 866 | 64,266 | ||||||
DXC Technology Co.(a)* | 42,076 | 1,414,174 | ||||||
Fiserv, Inc.(a)* | 5,805 | 629,842 | ||||||
Gartner, Inc.(a)* | 1,627 | 494,413 | ||||||
International Business Machines Corp.(a) | 9,483 | 1,317,473 | ||||||
Intuit, Inc.(a) | 3,114 | 1,680,034 | ||||||
Mastercard, Inc., Class A | 6,706 | 2,331,542 | ||||||
Microsoft Corp.(a) | 70,381 | 19,841,811 | ||||||
Oracle Corp. | 23,951 | 2,086,851 | ||||||
Paychex, Inc.(a) | 14,708 | 1,653,915 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
PayPal Holdings, Inc.* | 6,625 | $ | 1,723,891 | |||||
PTC, Inc.* | 1,504 | 180,164 | ||||||
salesforce.com, Inc.* | 5,494 | 1,490,083 | ||||||
ServiceNow, Inc.* | 511 | 317,980 | ||||||
Synopsys, Inc.* | 892 | 267,074 | ||||||
VeriSign, Inc.* | 2,040 | 418,220 | ||||||
Visa, Inc., Class A(a) | 12,017 | 2,676,787 | ||||||
Western Union Co. (The)(a) | 117,524 | 2,376,335 | ||||||
|
| |||||||
47,203,749 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 3.1% |
| |||||||
Apple, Inc.(a) | 18,492 | 2,616,618 | ||||||
CDW Corp. | 700 | 127,414 | ||||||
Cisco Systems, Inc. | 47,970 | 2,611,007 | ||||||
Corning, Inc.(a) | 54,985 | 2,006,402 | ||||||
HP, Inc. | 12,833 | 351,111 | ||||||
Juniper Networks, Inc. | 28,115 | 773,725 | ||||||
Keysight Technologies, Inc.* | 8,093 | 1,329,599 | ||||||
NetApp, Inc. | 15,920 | 1,428,979 | ||||||
Seagate Technology Holdings PLC (Ireland) | 2,842 | 234,522 | ||||||
TE Connectivity Ltd. (Switzerland) | 11,567 | 1,587,224 | ||||||
Zebra Technologies Corp., Class A(a)* | 2,541 | 1,309,682 | ||||||
|
| |||||||
14,376,283 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc.(a) | 105,408 | 2,847,070 | ||||||
Lumen Technologies, Inc.(a) | 21,928 | 271,688 | ||||||
T-Mobile US, Inc.(a)* | 4,991 | 637,650 | ||||||
Verizon Communications, Inc.(a) | 29,539 | 1,595,402 | ||||||
|
| |||||||
5,351,810 | ||||||||
|
| |||||||
Transportation — 1.8% |
| |||||||
Alaska Air Group, Inc.* | 956 | 56,022 | ||||||
CSX Corp.(a) | 51,577 | 1,533,900 | ||||||
Expeditors International of Washington, Inc. | 11,828 | 1,409,070 | ||||||
JB Hunt Transport Services, Inc. | 1,016 | 169,895 | ||||||
Norfolk Southern Corp.(a) | 2,795 | 668,704 | ||||||
Union Pacific Corp.(a) | 7,737 | 1,516,529 | ||||||
United Parcel Service, Inc., Class B(a) | 15,295 | 2,785,219 | ||||||
|
| |||||||
8,139,339 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AES Corp. (The) | 181 | 4,132 | ||||||
Dominion Energy, Inc.(a) | 38,375 | 2,802,143 |
The accompanying notes are an integral part of the financial statements.
138
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
Exelon Corp.(a) | 48,055 | $ | 2,322,979 | |||||
NRG Energy, Inc. | 81,241 | 3,317,070 | ||||||
PPL Corp.(a) | 130,571 | 3,640,319 | ||||||
Public Service Enterprise Group, Inc.(a) | 49,515 | 3,015,463 | ||||||
Southern Co. (The) | 2,932 | 181,696 | ||||||
|
| |||||||
15,283,802 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 377,599,088 | |||||||
|
| |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY — 12.4% |
| |||||||
Gotham Enhanced 500 ETF* | 2,446,000 | 56,600,440 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY | 56,600,440 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 94.9% | 434,199,528 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% | 23,227,173 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 457,426,701 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
ETF – Exchange-Traded Fund
PLC – Public Limited Company
REIT – Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
139
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between July 29, 2024 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 4.4% of net assets as of September 30, 2021.
The following table represents the individual long and short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Long | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | 2,950 | $ | 441,146 | $ | 439,462 | $ | (3,074 | ) | ||||||||||||||||
Ford Motor Co. | Morgan Stanley | 98,567 | 1,123,276 | 1,395,709 | 272,814 | ||||||||||||||||||||
General Motors Co. | Morgan Stanley | 27,578 | 1,170,345 | 1,453,636 | 282,373 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
129,095 | 2,734,767 | 3,288,807 | 552,113 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Banks | |||||||||||||||||||||||||
Bank of America Corp. | Morgan Stanley | 36,992 | 1,266,450 | 1,570,310 | 334,699 | ||||||||||||||||||||
Citigroup, Inc. | Morgan Stanley | 6,414 | 437,774 | 450,135 | 13,251 | ||||||||||||||||||||
Fifth Third Bancorp | Morgan Stanley | 24,539 | 598,044 | 1,041,435 | 475,889 | ||||||||||||||||||||
First Republic Bank | Morgan Stanley | 8,983 | 1,415,892 | 1,732,641 | 321,251 | ||||||||||||||||||||
JPMorgan Chase & Co. | Morgan Stanley | 23,257 | 3,223,377 | 3,806,938 | 651,290 | ||||||||||||||||||||
PNC Financial Services Group, Inc. (The) | Morgan Stanley | 6,341 | 967,510 | 1,240,553 | 310,030 | ||||||||||||||||||||
Regions Financial Corp. | Morgan Stanley | 37,211 | 755,518 | 792,966 | 47,472 | ||||||||||||||||||||
SVB Financial Group | Morgan Stanley | 3,425 | 1,328,046 | 2,215,564 | 887,992 | ||||||||||||||||||||
Wells Fargo & Co. | Morgan Stanley | 62,311 | 1,871,126 | 2,891,854 | 1,042,781 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
209,473 | 11,863,737 | 15,742,396 | 4,084,655 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
3M Co. | Morgan Stanley | 9,498 | 1,548,230 | 1,666,139 | 184,171 | ||||||||||||||||||||
AMETEK, Inc. | Morgan Stanley | 843 | 107,770 | 104,540 | (2,920 | ) | |||||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 16,173 | 914,253 | 837,114 | (76,850 | ) | |||||||||||||||||||
Caterpillar, Inc. | Morgan Stanley | 9,576 | 1,881,878 | 1,838,305 | (26,101 | ) | |||||||||||||||||||
Cummins, Inc. | Morgan Stanley | 5,418 | 1,008,260 | 1,216,666 | 257,488 | ||||||||||||||||||||
Deere & Co. | Morgan Stanley | 2,076 | 433,970 | 695,605 | 269,570 | ||||||||||||||||||||
Dover Corp. | Morgan Stanley | 5,321 | 652,603 | 827,416 | 184,972 | ||||||||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 6,586 | 1,023,937 | 983,356 | (31,490 | ) | |||||||||||||||||||
Emerson Electric Co. | Morgan Stanley | 26,589 | 2,330,709 | 2,504,684 | 219,228 | ||||||||||||||||||||
Fortive Corp. | Morgan Stanley | 1,903 | 116,663 | 134,295 | 19,854 | ||||||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 8,890 | 1,476,298 | 1,742,707 | 295,058 | ||||||||||||||||||||
General Electric Co. | Morgan Stanley | 16,533 | 1,732,202 | 1,703,395 | (26,830 | ) | |||||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 35,075 | 469,454 | 1,094,340 | 626,521 | ||||||||||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | 3,972 | 808,635 | 766,834 | (39,250 | ) | |||||||||||||||||||
Illinois Tool Works, Inc. | Morgan Stanley | 1,850 | 402,138 | 382,266 | (19,175 | ) | |||||||||||||||||||
Ingersoll Rand, Inc. | Morgan Stanley | 19,667 | 994,981 | 991,413 | (3,243 | ) | |||||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 33,577 | 1,665,504 | 2,285,922 | 654,655 | ||||||||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 3,315 | 644,495 | 730,096 | 92,851 |
The accompanying notes are an integral part of the financial statements.
140
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 5,990 | $ | 2,123,754 | $ | 2,067,149 | $ | (22,928) | |||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 5,824 | 1,933,916 | 2,097,514 | 183,901 | ||||||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 4,974 | 1,313,890 | 1,390,830 | 87,526 | ||||||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 13,431 | 605,931 | 975,494 | 385,787 | ||||||||||||||||||||
Roper Technologies, Inc. | Morgan Stanley | 588 | 227,794 | 262,324 | 35,736 | ||||||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 9,708 | 1,414,661 | 2,028,487 | 665,001 | ||||||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 6,041 | 1,129,216 | 1,059,048 | (64,543 | ) | |||||||||||||||||||
Textron, Inc. | Morgan Stanley | 17,698 | 1,196,426 | 1,235,497 | 40,164 | ||||||||||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 7,798 | 1,163,047 | 1,346,325 | 206,533 | ||||||||||||||||||||
United Rentals, Inc. | Morgan Stanley | 1,428 | 284,830 | 501,128 | 216,304 | ||||||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 4,001 | 1,603,809 | 1,572,633 | (18,290 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
284,343 | 31,209,254 | 35,041,522 | 4,293,700 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
Cintas Corp. | Morgan Stanley | 446 | 164,268 | 169,774 | 6,659 | ||||||||||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | 12,307 | 1,637,723 | 1,631,047 | (5,776 | ) | |||||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 139,427 | 3,076,511 | 2,675,604 | (383,656 | ) | |||||||||||||||||||
Republic Services, Inc. | Morgan Stanley | 12,424 | 1,093,780 | 1,491,625 | 424,566 | ||||||||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 4,737 | 296,860 | 475,263 | 185,010 | ||||||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 6,116 | 912,728 | 913,486 | 4,277 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
175,457 | 7,181,870 | 7,356,799 | 231,080 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
DR Horton, Inc. | Morgan Stanley | 1,832 | 165,041 | 153,833 | (10,037 | ) | |||||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 2,837 | 376,386 | 441,040 | 74,460 | ||||||||||||||||||||
Hanesbrands, Inc. | Morgan Stanley | 73,648 | 967,423 | 1,263,800 | 336,383 | ||||||||||||||||||||
Hasbro, Inc. | Morgan Stanley | 2,967 | 277,446 | 264,716 | (16,532 | ) | |||||||||||||||||||
Lennar Corp., Class A | Morgan Stanley | 2,465 | 166,790 | 230,921 | 66,391 | ||||||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 14,116 | 2,068,012 | 2,504,178 | 436,971 | ||||||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 11,665 | 221,453 | 258,263 | 55,713 | ||||||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 6,398 | 602,339 | 929,182 | 339,159 | ||||||||||||||||||||
Ralph Lauren Corp. | Morgan Stanley | 12,375 | 1,444,790 | 1,374,120 | (61,355 | ) | |||||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 61,482 | 2,425,252 | 2,276,064 | (133,761 | ) | |||||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 3,155 | 430,674 | 643,178 | 229,474 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
192,940 | 9,145,606 | 10,339,295 | 1,316,866 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 6,098 | 814,101 | 903,053 | 89,195 | ||||||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 11,596 | 2,407,969 | 2,795,912 | 475,195 | ||||||||||||||||||||
Penn National Gaming, Inc. | Morgan Stanley | 36,315 | 2,661,493 | 2,631,385 | (29,039 | ) | |||||||||||||||||||
Starbucks Corp. | Morgan Stanley | 6,428 | 718,047 | 709,073 | (5,673 | ) | |||||||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 18,600 | 1,676,022 | 2,274,966 | 644,804 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
79,037 | 8,277,632 | 9,314,389 | 1,174,482 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Diversified Financials | |||||||||||||||||||||||||
American Express Co. | Morgan Stanley | 5,581 | 938,750 | 934,985 | (3,466 | ) | |||||||||||||||||||
Ameriprise Financial, Inc. | Morgan Stanley | 1,886 | 451,666 | 498,130 | 50,650 | ||||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 24,489 | 4,870,490 | 6,684,028 | 1,821,737 | ||||||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 2,954 | 2,136,729 | 2,477,402 | 425,918 | ||||||||||||||||||||
Capital One Financial Corp. | Morgan Stanley | 8,311 | 1,253,576 | 1,346,133 | 103,515 | ||||||||||||||||||||
Charles Schwab Corp. (The) | Morgan Stanley | 8,946 | 617,499 | 651,627 | 39,154 |
The accompanying notes are an integral part of the financial statements.
141
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Diversified Financials — (continued) | |||||||||||||||||||||||||
Discover Financial Services | Morgan Stanley | 9,140 | $ | 713,366 | $ | 1,122,849 | $ | 423,584 | |||||||||||||||||
Franklin Resources, Inc. | Morgan Stanley | 72,919 | 2,030,071 | 2,167,153 | 193,800 | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | Morgan Stanley | 5,481 | 1,585,713 | 2,071,982 | 518,560 | ||||||||||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | 3,473 | 388,476 | 398,770 | 20,567 | ||||||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 108,843 | 1,326,849 | 2,624,205 | 1,373,494 | ||||||||||||||||||||
Moody’s Corp. | Morgan Stanley | 3,683 | 1,382,245 | 1,307,870 | (71,647 | ) | |||||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 10,160 | 1,380,231 | 1,961,083 | 617,028 | ||||||||||||||||||||
Raymond James Financial, Inc. | Morgan Stanley | 10,416 | 907,029 | 961,188 | 59,556 | ||||||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 3,063 | 1,096,419 | 1,301,438 | 213,085 | ||||||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 11,879 | 1,787,282 | 2,336,599 | 640,520 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
291,224 | 22,866,391 | 28,845,442 | 6,426,055 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
APA Corp. | Morgan Stanley | 138,870 | 2,160,524 | 2,975,984 | 817,880 | ||||||||||||||||||||
Chevron Corp. | Morgan Stanley | 1,597 | 87,917 | 162,016 | 86,537 | ||||||||||||||||||||
ConocoPhillips | Morgan Stanley | 16,592 | 490,913 | 1,124,440 | 655,031 | ||||||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 33,696 | 1,796,735 | 2,704,778 | 949,138 | ||||||||||||||||||||
Exxon Mobil Corp. | Morgan Stanley | 42,023 | 2,409,708 | 2,471,793 | 98,924 | ||||||||||||||||||||
Halliburton Co. | Morgan Stanley | 54,861 | 729,716 | 1,186,095 | 465,103 | ||||||||||||||||||||
Hess Corp. | Morgan Stanley | 24,895 | 1,897,125 | 1,944,548 | 48,190 | ||||||||||||||||||||
Kinder Morgan, Inc. | Morgan Stanley | 14,963 | 209,546 | 250,331 | 82,601 | ||||||||||||||||||||
Marathon Oil Corp. | Morgan Stanley | 259,632 | 2,877,592 | 3,549,169 | 693,784 | ||||||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 44,246 | 2,552,986 | 2,734,845 | 196,169 | ||||||||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | 44,749 | 1,133,300 | 1,323,675 | 192,442 | ||||||||||||||||||||
ONEOK, Inc. | Morgan Stanley | 18,633 | 977,567 | 1,080,528 | 103,277 | ||||||||||||||||||||
Phillips 66. | Morgan Stanley | 2 | 120 | 140 | (92 | ) | |||||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | 24,958 | 483,017 | 647,411 | 208,876 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
719,717 | 17,806,766 | 22,155,753 | 4,597,860 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 9,260 | 341,131 | 374,382 | 40,596 | ||||||||||||||||||||
Sysco Corp. | Morgan Stanley | 130 | 9,813 | 10,205 | 3,861 | ||||||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 8,576 | 382,001 | 403,501 | 30,228 | ||||||||||||||||||||
Walmart, Inc. | Morgan Stanley | 25,444 | 3,028,375 | 3,546,385 | 612,693 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
43,410 | 3,761,320 | 4,334,473 | 687,378 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 23,619 | 965,592 | 1,075,137 | 211,214 | ||||||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 10,744 | 531,688 | 644,747 | 126,429 | ||||||||||||||||||||
Campbell Soup Co. | Morgan Stanley | 5,975 | 245,048 | 249,815 | 9,303 | ||||||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 54,121 | 2,712,352 | 2,839,729 | 217,165 | ||||||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | 25,733 | 899,573 | 871,577 | (8,461 | ) | |||||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 10,613 | 2,097,142 | 2,236,053 | 166,291 | ||||||||||||||||||||
General Mills, Inc. | Morgan Stanley | 19,453 | 1,104,586 | 1,163,678 | 99,797 | ||||||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 10,088 | 1,624,842 | 1,707,394 | 98,362 | ||||||||||||||||||||
JM Smucker Co. (The) | Morgan Stanley | 1,471 | 167,347 | 176,564 | 22,422 | ||||||||||||||||||||
Kellogg Co. | Morgan Stanley | 17,224 | 1,066,551 | 1,100,958 | 58,572 | ||||||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 59,624 | 2,083,982 | 2,195,356 | 181,009 | ||||||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 10,779 | 442,504 | 499,930 | 60,874 | ||||||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 31,295 | 1,792,242 | 1,820,743 | 55,211 | ||||||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 9,739 | 1,425,458 | 1,464,843 | 63,180 |
The accompanying notes are an integral part of the financial statements.
142
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Food, Beverage & Tobacco — (continued) | |||||||||||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 13,611 | $ | 1,087,601 | $ | 1,290,187 | $ | 278,458 | |||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 22,795 | 1,653,348 | 1,799,437 | 207,570 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
326,884 | 19,899,856 | 21,136,148 | 1,847,396 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 16,072 | 1,589,050 | 1,898,585 | 334,862 | ||||||||||||||||||||
Align Technology, Inc. | Morgan Stanley | 959 | 576,560 | 638,147 | 61,724 | ||||||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | 8,777 | 888,425 | 1,048,413 | 173,452 | ||||||||||||||||||||
Anthem, Inc. | Morgan Stanley | 4,731 | 1,444,954 | 1,763,717 | 343,708 | ||||||||||||||||||||
Baxter International, Inc. | Morgan Stanley | 4,092 | 309,099 | 329,120 | 21,079 | ||||||||||||||||||||
Becton Dickinson and Co. | Morgan Stanley | 5,420 | 1,364,164 | 1,332,344 | (23,736 | ) | |||||||||||||||||||
Boston Scientific Corp. | Morgan Stanley | 14,038 | 622,460 | 609,109 | (13,194 | ) | |||||||||||||||||||
Centene Corp. | Morgan Stanley | 2,851 | 178,454 | 177,646 | (2,226 | ) | |||||||||||||||||||
Cerner Corp. | Morgan Stanley | 3,535 | 258,141 | 249,288 | (6,422 | ) | |||||||||||||||||||
Cigna Corp. | Morgan Stanley | 3,852 | 871,306 | 771,016 | (95,722 | ) | |||||||||||||||||||
CVS Health Corp. | Morgan Stanley | 18,947 | 1,303,466 | 1,607,842 | 350,157 | ||||||||||||||||||||
Danaher Corp. | Morgan Stanley | 4,877 | 1,093,388 | 1,484,754 | 420,951 | ||||||||||||||||||||
DaVita, Inc. | Morgan Stanley | 408 | 36,201 | 47,434 | 13,604 | ||||||||||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 2,863 | 130,723 | 166,197 | 44,922 | ||||||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 9,897 | 1,941,161 | 2,402,200 | 470,329 | ||||||||||||||||||||
Hologic, Inc. | Morgan Stanley | 36,310 | 2,256,610 | 2,680,041 | 424,320 | ||||||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 3,283 | 788,089 | 923,968 | 135,663 | ||||||||||||||||||||
McKesson Corp. | Morgan Stanley | 11,431 | 2,113,011 | 2,279,113 | 182,045 | ||||||||||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 20,298 | 2,281,593 | 2,544,354 | 327,960 | ||||||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 3,503 | 511,801 | 509,021 | (2,523 | ) | |||||||||||||||||||
Stryker Corp. | Morgan Stanley | 5,059 | 1,302,024 | 1,334,159 | 38,894 | ||||||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 8,199 | 2,848,564 | 3,203,677 | 414,805 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
189,402 | 24,709,244 | 28,000,145 | 3,614,652 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 28,507 | 2,147,150 | 2,154,559 | 46,875 | ||||||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,777 | 517,115 | 532,976 | 16,766 | ||||||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 10,588 | 1,403,331 | 1,402,275 | 19,106 | ||||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 11,182 | 1,455,255 | 1,563,244 | 135,592 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
52,054 | 5,522,851 | 5,653,054 | 218,339 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Insurance | |||||||||||||||||||||||||
Aflac, Inc. | Morgan Stanley | 29,664 | 1,582,253 | 1,546,384 | (20,576 | ) | |||||||||||||||||||
Allstate Corp. (The) | Morgan Stanley | 11,024 | 1,463,772 | 1,403,465 | (46,698 | ) | |||||||||||||||||||
American International Group, Inc. | Morgan Stanley | 9,363 | 513,062 | 513,935 | 3,977 | ||||||||||||||||||||
Aon PLC, Class A (Ireland) | Morgan Stanley | 2,988 | 680,246 | 853,881 | 179,745 | ||||||||||||||||||||
Arthur J Gallagher & Co. | Morgan Stanley | 6,178 | 758,806 | 918,360 | 166,730 | ||||||||||||||||||||
Assurant, Inc. | Morgan Stanley | 479 | 65,192 | 75,562 | 13,863 | ||||||||||||||||||||
Brown & Brown, Inc. | Morgan Stanley | 10,654 | 605,843 | 590,764 | (14,929 | ) | |||||||||||||||||||
Chubb Ltd. (Switzerland) | Morgan Stanley | 4,648 | 786,383 | 806,335 | 23,260 | ||||||||||||||||||||
Hartford Financial Services Group, Inc. (The) | Morgan Stanley | 1,236 | 52,180 | 86,829 | 35,941 | ||||||||||||||||||||
Loews Corp. | Morgan Stanley | 22,356 | 1,232,776 | 1,205,659 | (24,770 | ) | |||||||||||||||||||
Marsh & McLennan Cos., Inc. | Morgan Stanley | 10,548 | 1,141,703 | 1,597,284 | 475,456 | ||||||||||||||||||||
MetLife, Inc. | Morgan Stanley | 6,658 | 264,589 | 410,998 | 169,579 | ||||||||||||||||||||
Principal Financial Group, Inc. | Morgan Stanley | 148 | 8,426 | 9,531 | 1,171 |
The accompanying notes are an integral part of the financial statements.
143
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Insurance — (continued) | |||||||||||||||||||||||||
Prudential Financial, Inc. | Morgan Stanley | 1,309 | $ | 131,859 | $ | 137,707 | $ | 9,339 | |||||||||||||||||
Travelers Cos., Inc. (The) | Morgan Stanley | 3,525 | 529,146 | 535,835 | 14,113 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
120,778 | 9,816,236 | 10,692,529 | 986,201 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 8,735 | 1,825,124 | 1,809,979 | (6,320 | ) | |||||||||||||||||||
CF Industries Holdings, Inc. | Morgan Stanley | 20,453 | 844,073 | 1,141,686 | 360,227 | ||||||||||||||||||||
Dow, Inc. | Morgan Stanley | 9,095 | 500,383 | 523,508 | 66,746 | ||||||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 69,323 | 5,336,832 | 4,713,271 | (584,061 | ) | |||||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 4,105 | 435,256 | 413,538 | (18,950 | ) | |||||||||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 34,439 | 815,916 | 1,120,301 | 305,643 | ||||||||||||||||||||
International Paper Co. | Morgan Stanley | 32,224 | 1,373,828 | 1,801,966 | 505,486 | ||||||||||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 7,400 | 1,577,364 | 2,171,012 | 631,463 | ||||||||||||||||||||
LyondellBasell Industries N.V., Class A (Netherlands) | Morgan Stanley | 7,308 | 734,078 | 685,856 | (43,642 | ) | |||||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 2 | 573 | 683 | (4 | ) | |||||||||||||||||||
Mosaic Co. (The) | Morgan Stanley | 69,816 | 1,513,166 | 2,493,828 | 1,048,913 | ||||||||||||||||||||
Newmont Corp. | Morgan Stanley | 6,095 | 349,546 | 330,959 | (14,447 | ) | |||||||||||||||||||
Nucor Corp. | Morgan Stanley | 8,199 | 741,850 | 807,520 | 72,601 | ||||||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 5,966 | 1,379,951 | 1,668,869 | 298,882 | ||||||||||||||||||||
Westrock Co. | Morgan Stanley | 12,603 | 645,047 | 628,007 | (10,099 | ) | |||||||||||||||||||
|
|
|
|
|
|
| �� | ||||||||||||||||||
295,763 | 18,072,987 | 20,310,983 | 2,612,438 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 9,514 | 704,643 | 736,288 | 30,727 | ||||||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 5,365 | 7,082,225 | 14,343,435 | 7,251,847 | ||||||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 1,306 | 679,365 | 950,193 | 278,175 | ||||||||||||||||||||
Comcast Corp., Class A | Morgan Stanley | 16,629 | 935,115 | 930,060 | 5,076 | ||||||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 34,359 | 1,308,410 | 1,493,242 | 185,296 | ||||||||||||||||||||
Electronic Arts, Inc. | Morgan Stanley | 1,510 | 179,175 | 214,798 | 36,907 | ||||||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 9,104 | 1,969,039 | 3,089,807 | 1,115,246 | ||||||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 29,392 | 1,092,654 | 1,178,913 | 94,257 | ||||||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 26,981 | 652,128 | 989,393 | 372,856 | ||||||||||||||||||||
Netflix, Inc. | Morgan Stanley | 2,456 | 1,040,015 | 1,498,995 | 459,324 | ||||||||||||||||||||
News Corp., Class A | Morgan Stanley | 3,244 | 71,747 | 76,331 | 5,628 | ||||||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 5,653 | 414,249 | 409,616 | 3,298 | ||||||||||||||||||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 588 | 78,733 | 90,593 | 11,762 | ||||||||||||||||||||
Twitter, Inc. | Morgan Stanley | 6,263 | 260,876 | 378,223 | 117,342 | ||||||||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 18,501 | 746,463 | 730,975 | (7,272 | ) | |||||||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | 8,367 | 1,064,294 | 1,415,445 | 346,839 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
179,232 | 18,279,131 | 28,526,307 | 10,307,308 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| ||||||||||||||||||||||||
AbbVie, Inc. | Morgan Stanley | 29,630 | 3,156,058 | 3,196,188 | 89,446 | ||||||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 9,538 | 1,455,417 | 1,502,521 | 48,848 | ||||||||||||||||||||
Biogen, Inc. | Morgan Stanley | 2,752 | 797,365 | 778,788 | (18,341 | ) | |||||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 7,273 | 473,061 | 430,343 | (59,365 | ) | |||||||||||||||||||
Eli Lilly & Co. | Morgan Stanley | 2,317 | 508,611 | 535,343 | 28,952 | ||||||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 34,791 | 2,240,534 | 2,430,151 | 272,166 | ||||||||||||||||||||
Illumina, Inc. | Morgan Stanley | 921 | 333,898 | 373,567 | 38,490 | ||||||||||||||||||||
Incyte Corp. | Morgan Stanley | 1,394 | 135,233 | 95,879 | (40,432 | ) | |||||||||||||||||||
Johnson & Johnson | Morgan Stanley | 35,919 | 4,959,290 | 5,800,919 | 1,118,893 |
The accompanying notes are an integral part of the financial statements.
144
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) | |||||||||||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 39,636 | $ | 2,904,375 | $ | 2,977,060 | $ | 154,497 | |||||||||||||||||
Organon & Co. | Morgan Stanley | 78,655 | 2,372,480 | 2,579,097 | 227,736 | ||||||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 11,736 | 1,645,741 | 2,033,731 | 389,853 | ||||||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 78,236 | 2,591,533 | 3,364,930 | 899,245 | ||||||||||||||||||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 537 | 264,736 | 324,982 | 59,975 | ||||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 178 | 78,243 | 101,697 | 22,469 | ||||||||||||||||||||
Waters Corp. | Morgan Stanley | 4,267 | 1,189,821 | 1,524,599 | 335,189 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
337,780 | 25,106,396 | 28,049,795 | 3,567,621 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Real Estate | |||||||||||||||||||||||||
Alexandria Real Estate Equities, Inc., REIT | Morgan Stanley | 10,092 | 1,797,150 | 1,928,278 | 168,275 | ||||||||||||||||||||
American Tower Corp., REIT | Morgan Stanley | 3,261 | 817,701 | 865,502 | 67,326 | ||||||||||||||||||||
AvalonBay Communities, Inc., REIT | Morgan Stanley | 3,660 | 733,113 | 811,202 | 88,973 | ||||||||||||||||||||
CBRE Group, Inc., Class A | Morgan Stanley | 4,680 | 262,199 | 455,645 | 193,442 | ||||||||||||||||||||
Crown Castle International Corp., REIT | Morgan Stanley | 2,799 | 466,888 | 485,123 | 37,014 | ||||||||||||||||||||
Duke Realty Corp., REIT | Morgan Stanley | 16,269 | 719,633 | 778,797 | 63,703 | ||||||||||||||||||||
Extra Space Storage, Inc., REIT | Morgan Stanley | 5,631 | 792,582 | 945,952 | 166,260 | ||||||||||||||||||||
Iron Mountain, Inc., REIT | Morgan Stanley | 13,659 | 539,346 | 593,484 | 67,676 | ||||||||||||||||||||
Kimco Realty Corp., REIT | Morgan Stanley | 36,352 | 775,231 | 754,304 | (14,007 | ) | |||||||||||||||||||
Mid-America Apartment Communities, Inc., REIT | Morgan Stanley | 4,716 | 697,914 | 880,713 | 196,978 | ||||||||||||||||||||
Public Storage, REIT | Morgan Stanley | 3,809 | 975,968 | 1,131,654 | 174,486 | ||||||||||||||||||||
SBA Communications Corp., REIT | Morgan Stanley | 703 | 213,077 | 232,391 | 20,825 | ||||||||||||||||||||
Simon Property Group, Inc., REIT | Morgan Stanley | 6,641 | 669,560 | 863,131 | 234,826 | ||||||||||||||||||||
UDR, Inc., REIT | Morgan Stanley | 10,272 | 548,311 | 544,211 | (3,976 | ) | |||||||||||||||||||
Welltower, Inc., REIT | Morgan Stanley | 5,662 | 340,300 | 466,549 | 146,940 | ||||||||||||||||||||
Weyerhaeuser Co., REIT | Morgan Stanley | 75,848 | 1,749,387 | 2,697,913 | 1,011,618 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
204,054 | 12,098,360 | 14,434,849 | 2,620,359 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 7,648 | 1,178,598 | 1,597,591 | 438,196 | ||||||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 2,215 | 5,321,152 | 7,276,364 | 1,953,816 | ||||||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 840 | 1,169,202 | 1,426,312 | 257,512 | ||||||||||||||||||||
Bath & Body Works, Inc. | Morgan Stanley | 42,571 | 1,760,838 | 2,683,250 | 927,245 | ||||||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 4,961 | 407,868 | 524,427 | 135,583 | ||||||||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | 1,482 | 126,285 | 141,857 | 16,327 | ||||||||||||||||||||
eBay, Inc. | Morgan Stanley | 21,079 | 1,362,501 | 1,468,574 | 114,710 | ||||||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 14,057 | 1,386,874 | 1,704,130 | 366,157 | ||||||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 5,979 | 1,650,583 | 1,962,667 | 346,903 | ||||||||||||||||||||
LKQ Corp. | Morgan Stanley | 46,655 | 1,354,754 | 2,347,680 | 993,411 | ||||||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 7,704 | 1,168,273 | 1,562,833 | 414,374 | ||||||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 2,139 | 1,026,546 | 1,307,057 | 289,223 | ||||||||||||||||||||
Ross Stores, Inc. | Morgan Stanley | 10,046 | 1,214,252 | 1,093,507 | (117,634 | ) | |||||||||||||||||||
Target Corp. | Morgan Stanley | 10,566 | 1,928,851 | 2,417,184 | 530,656 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
177,942 | 21,056,577 | 27,513,433 | 6,666,479 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||||
Analog Devices, Inc. | Morgan Stanley | 6,135 | 713,235 | 1,027,490 | 317,318 | ||||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 31,666 | 3,721,321 | 4,076,364 | 376,282 | ||||||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 218 | 75,820 | 105,715 | 47,247 | ||||||||||||||||||||
Intel Corp. | Morgan Stanley | 74,528 | 3,891,046 | 3,970,852 | 205,424 | ||||||||||||||||||||
KLA Corp. | Morgan Stanley | 2,757 | 740,060 | 922,244 | 195,196 |
The accompanying notes are an integral part of the financial statements.
145
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Semiconductors & Semiconductor Equipment — (continued) | |||||||||||||||||||||||||
Lam Research Corp. | Morgan Stanley | 3,274 | $ | 1,755,229 | $ | 1,863,397 | $ | 120,540 | |||||||||||||||||
Micron Technology, Inc. | Morgan Stanley | 21,971 | 1,486,453 | 1,559,502 | 74,324 | ||||||||||||||||||||
NVIDIA Corp. | Morgan Stanley | 5,075 | 856,460 | 1,051,337 | 184,787 | ||||||||||||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | 4,962 | 941,010 | 971,907 | 30,449 | ||||||||||||||||||||
Qorvo, Inc. | Morgan Stanley | 7,424 | 1,272,170 | 1,241,219 | (36,086 | ) | |||||||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 13,333 | 1,753,780 | 1,719,690 | (16,459 | ) | |||||||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | 2,177 | 360,895 | 358,726 | (749 | ) | |||||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 9,093 | 1,514,163 | 1,747,766 | 280,639 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
182,613 | 19,081,642 | 20,616,209 | 1,778,912 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 2,191 | 605,087 | 700,945 | 101,531 | ||||||||||||||||||||
Adobe, Inc. | Morgan Stanley | 2,824 | 1,130,879 | 1,625,833 | 495,339 | ||||||||||||||||||||
ANSYS, Inc. | Morgan Stanley | 636 | 193,149 | 216,526 | 23,246 | ||||||||||||||||||||
Autodesk, Inc. | Morgan Stanley | 30 | 8,537 | 8,555 | (167 | ) | |||||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 13,683 | 2,594,317 | 2,735,505 | 164,862 | ||||||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 6,306 | 937,972 | 1,050,832 | 125,474 | ||||||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 1,855 | 195,601 | 280,921 | 85,290 | ||||||||||||||||||||
Cognizant Technology Solutions Corp., Class A | Morgan Stanley | 4,627 | 282,506 | 343,370 | 71,215 | ||||||||||||||||||||
DXC Technology Co. | Morgan Stanley | 43,419 | 1,677,405 | 1,459,313 | (217,463 | ) | |||||||||||||||||||
Fiserv, Inc. | Morgan Stanley | 5,875 | 640,055 | 637,438 | (4,003 | ) | |||||||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | 2 | 490 | 523 | (89 | ) | |||||||||||||||||||
Gartner, Inc. | Morgan Stanley | 2,014 | 502,358 | 612,014 | 109,760 | ||||||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 9,839 | 1,211,420 | 1,366,932 | 229,713 | ||||||||||||||||||||
Intuit, Inc. | Morgan Stanley | 3,303 | 1,667,758 | 1,782,002 | 115,800 | ||||||||||||||||||||
Mastercard, Inc., Class A | Morgan Stanley | 3,630 | 1,048,413 | 1,262,078 | 219,722 | ||||||||||||||||||||
Microsoft Corp. | Morgan Stanley | 23,407 | 4,819,184 | 6,598,901 | 1,894,794 | ||||||||||||||||||||
Oracle Corp. | Morgan Stanley | 25,339 | 1,269,247 | 2,207,787 | 981,590 | ||||||||||||||||||||
Paychex, Inc. | Morgan Stanley | 15,022 | 1,427,110 | 1,689,224 | 310,303 | ||||||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 6,787 | 1,076,251 | 1,766,045 | 684,115 | ||||||||||||||||||||
PTC, Inc. | Morgan Stanley | 3,478 | 442,307 | 416,630 | (25,601 | ) | |||||||||||||||||||
salesforce.com, Inc. | Morgan Stanley | 4,738 | 996,687 | 1,285,040 | 288,588 | ||||||||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 1,561 | 733,629 | 971,363 | 237,942 | ||||||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 772 | 187,879 | 231,145 | 43,228 | ||||||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 2,079 | 398,503 | 426,216 | 27,770 | ||||||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 12,058 | 2,465,393 | 2,685,920 | 240,854 | ||||||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 105,206 | 2,321,572 | 2,127,265 | (120,545 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
300,681 | 28,833,709 | 34,488,323 | 6,083,268 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
Apple, Inc. | Morgan Stanley | 152,960 | 9,582,404 | 21,643,840 | 12,351,213 | ||||||||||||||||||||
CDW Corp. | Morgan Stanley | 1,111 | 129,029 | 202,224 | 74,570 | ||||||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 69,315 | 2,968,943 | 3,772,815 | 914,492 | ||||||||||||||||||||
Corning, Inc. | Morgan Stanley | 57,067 | 2,382,090 | 2,082,375 | (277,101 | ) | |||||||||||||||||||
HP, Inc. | Morgan Stanley | 109,294 | 2,050,547 | 2,990,284 | 1,036,336 | ||||||||||||||||||||
Juniper Networks, Inc. | Morgan Stanley | 32,428 | 715,376 | 892,419 | 210,518 | ||||||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 8,442 | 1,483,785 | 1,386,936 | (96,306 | ) | |||||||||||||||||||
NetApp, Inc. | Morgan Stanley | 16,518 | 980,166 | 1,482,656 | 537,881 | ||||||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 19,474 | 1,085,906 | 1,606,994 | 533,082 |
The accompanying notes are an integral part of the financial statements.
146
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Technology Hardware & Equipment — (continued) | |||||||||||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 12,649 | $ | 1,269,436 | $ | 1,735,696 | $ | 496,623 | |||||||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | 2,873 | 1,455,509 | 1,480,802 | 25,823 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
482,131 | 24,103,191 | 39,277,041 | 15,807,131 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Telecommunication Services | |||||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 8,290 | 231,334 | 223,913 | (2,529 | ) | |||||||||||||||||||
Lumen Technologies, Inc. | Morgan Stanley | 23,215 | 252,989 | 287,634 | 52,352 | ||||||||||||||||||||
T-Mobile U.S., Inc. | Morgan Stanley | 5,722 | 743,128 | 731,043 | (11,874 | ) | |||||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 28,562 | 1,514,112 | 1,542,634 | 125,841 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
65,789 | 2,741,563 | 2,785,224 | 163,790 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 989 | 56,026 | 57,955 | 1,833 | ||||||||||||||||||||
CSX Corp. | Morgan Stanley | 49,921 | 1,347,829 | 1,484,651 | 143,598 | ||||||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | 14,055 | 1,344,031 | 1,674,372 | 344,386 | ||||||||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 1,038 | 157,772 | 173,574 | 16,793 | ||||||||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 3,350 | 755,912 | 801,488 | 63,404 | ||||||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 8,105 | 1,682,038 | 1,588,661 | (77,758 | ) | |||||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 15,635 | 2,746,188 | 2,847,134 | 126,663 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
93,093 | 8,089,796 | 8,627,835 | 618,919 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 239 | 4,900 | 5,456 | 2,891 | ||||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 43,359 | 3,030,503 | 3,166,074 | 238,251 | ||||||||||||||||||||
Exelon Corp. | Morgan Stanley | 49,694 | 2,209,939 | 2,402,208 | 224,562 | ||||||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 92,488 | 3,005,111 | 3,776,285 | 881,217 | ||||||||||||||||||||
PPL Corp. | Morgan Stanley | 133,200 | 3,894,135 | 3,713,616 | (125,003 | ) | |||||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 46,216 | 2,935,262 | 2,814,554 | (97,765 | ) | |||||||||||||||||||
Southern Co. (The) | Morgan Stanley | 2,939 | 169,931 | 182,130 | 20,346 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
368,135 | 15,249,781 | 16,060,323 | 1,144,499 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Total Reference Entity — Long | 367,508,663 | 442,591,074 | 81,401,501 | ||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
Short | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (41,356 | ) | (1,973,568 | ) | (1,786,993 | ) | 172,804 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Banks | |||||||||||||||||||||||||
Citizens Financial Group, Inc. | Morgan Stanley | (18,542 | ) | (862,011 | ) | (871,103 | ) | (18,790 | ) | ||||||||||||||||
Comerica, Inc. | Morgan Stanley | (15,865 | ) | (1,150,383 | ) | (1,277,133 | ) | (188,318 | ) | ||||||||||||||||
Huntington Bancshares, Inc. | Morgan Stanley | (130,097 | ) | (1,957,138 | ) | (2,011,300 | ) | (122,482 | ) | ||||||||||||||||
KeyCorp. | Morgan Stanley | (30,279 | ) | (655,672 | ) | (654,632 | ) | (18,922 | ) | ||||||||||||||||
M&T Bank Corp. | Morgan Stanley | (15,125 | ) | (2,544,194 | ) | (2,258,767 | ) | 164,323 | |||||||||||||||||
People’s United Financial, Inc. | Morgan Stanley | (116,000 | ) | (2,016,477 | ) | (2,026,520 | ) | (97,619 | ) | ||||||||||||||||
Truist Financial Corp. | Morgan Stanley | (3,837 | ) | (228,085 | ) | (225,040 | ) | 3,542 | |||||||||||||||||
US Bancorp. | Morgan Stanley | (12,456 | ) | (745,686 | ) | (740,385 | ) | (5,246 | ) | ||||||||||||||||
Zions Bancorp NA | Morgan Stanley | (17,284 | ) | (965,332 | ) | (1,069,707 | ) | (147,070 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(359,485 | ) | (11,124,978 | ) | (11,134,587 | ) | (430,582 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
A.O. Smith Corp. | Morgan Stanley | (8,802 | ) | (563,111 | ) | (537,538 | ) | 25,771 | |||||||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | (5,167 | ) | (708,623 | ) | (682,974 | ) | 18,007 |
The accompanying notes are an integral part of the financial statements.
147
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Capital Goods — (continued) | |||||||||||||||||||||||||
Boeing Co. (The) | Morgan Stanley | (17,136 | ) | $ | (4,985,162 | ) | $ | (3,768,892 | ) | $ | 1,158,140 | ||||||||||||||
Fastenal Co. | Morgan Stanley | (52,303 | ) | (2,777,369 | ) | (2,699,358 | ) | 52,172 | |||||||||||||||||
Fortune Brands Home & Security, Inc. | Morgan Stanley | (26,556 | ) | (2,664,608 | ) | (2,374,638 | ) | 275,026 | |||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | (8,660 | ) | (3,317,370 | ) | (3,539,082 | ) | (233,939 | ) | ||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | (2,352 | ) | (539,940 | ) | (499,283 | ) | 38,793 | |||||||||||||||||
IDEX Corp. | Morgan Stanley | (19,332 | ) | (4,118,794 | ) | (4,000,757 | ) | 87,449 | |||||||||||||||||
Masco Corp. | Morgan Stanley | (28,074 | ) | (1,670,321 | ) | (1,559,511 | ) | 97,954 | |||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | (2,198 | ) | (198,153 | ) | (180,851 | ) | 15,985 | |||||||||||||||||
PACCAR, Inc. | Morgan Stanley | (44,931 | ) | (4,058,388 | ) | (3,545,955 | ) | 472,829 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | (5,550 | ) | (540,436 | ) | (631,701 | ) | (93,665 | ) | ||||||||||||||||
Raytheon Technologies Corp. | Morgan Stanley | (25,011 | ) | (2,044,297 | ) | (2,149,946 | ) | (129,609 | ) | ||||||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | (3,271 | ) | (1,002,850 | ) | (961,805 | ) | 37,264 | |||||||||||||||||
TransDigm Group, Inc. | Morgan Stanley | (6,787 | ) | (4,169,297 | ) | (4,238,957 | ) | (85,273 | ) | ||||||||||||||||
Westinghouse Air Brake Technologies Corp. | Morgan Stanley | (16,027 | ) | (1,384,595 | ) | (1,381,688 | ) | (5,412 | ) | ||||||||||||||||
Xylem, Inc. | Morgan Stanley | (26,144 | ) | (3,118,364 | ) | (3,233,490 | ) | (140,430 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(298,301 | ) | (37,861,678 | ) | (35,986,426 | ) | 1,591,062 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
Copart, Inc. | Morgan Stanley | (5,717 | ) | (771,209 | ) | (793,062 | ) | (24,789 | ) | ||||||||||||||||
Equifax, Inc. | Morgan Stanley | (4,556 | ) | (988,765 | ) | (1,154,582 | ) | (193,358 | ) | ||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | (6,806 | ) | (801,242 | ) | (793,716 | ) | 4,710 | |||||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (11,754 | ) | (1,145,153 | ) | (1,129,912 | ) | 6,398 | |||||||||||||||||
Rollins, Inc. | Morgan Stanley | (113,816 | ) | (4,048,010 | ) | (4,021,119 | ) | (8,210 | ) | ||||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (17,834 | ) | (3,288,597 | ) | (3,571,615 | ) | (313,221 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(160,483 | ) | (11,042,976 | ) | (11,464,006 | ) | (528,470 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | (90,990 | ) | (4,597,432 | ) | (4,079,992 | ) | 443,895 | |||||||||||||||||
NVR, Inc. | �� | Morgan Stanley | (291 | ) | (1,312,006 | ) | (1,395,077 | ) | (87,980 | ) | |||||||||||||||
PulteGroup, Inc. | Morgan Stanley | (23,008 | ) | (1,217,233 | ) | (1,056,527 | ) | 153,436 | |||||||||||||||||
PVH Corp. | Morgan Stanley | (13,875 | ) | (1,530,603 | ) | (1,426,211 | ) | 101,101 | |||||||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | (52,820 | ) | (967,665 | ) | (925,406 | ) | 38,607 | |||||||||||||||||
VF Corp. | Morgan Stanley | (36,583 | ) | (2,962,536 | ) | (2,450,695 | ) | 459,425 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(217,567 | ) | (12,587,475 | ) | (11,333,908 | ) | 1,108,484 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
Booking Holdings, Inc. | Morgan Stanley | (75 | ) | (183,809 | ) | (178,040 | ) | 4,977 | |||||||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (7,190 | ) | (687,556 | ) | (807,293 | ) | (122,367 | ) | ||||||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (46,015 | ) | (1,318,194 | ) | (1,150,835 | ) | 162,428 | |||||||||||||||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (1,759 | ) | (2,772,320 | ) | (3,197,018 | ) | (440,654 | ) | ||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (16,217 | ) | (2,328,287 | ) | (2,456,389 | ) | (156,988 | ) | ||||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | (3,905 | ) | (1,871,548 | ) | (1,862,529 | ) | (5,702 | ) | ||||||||||||||||
Expedia Group, Inc. | Morgan Stanley | (7,381 | ) | (1,182,736 | ) | (1,209,746 | ) | (31,461 | ) | ||||||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | (7,180 | ) | (900,549 | ) | (948,550 | ) | (51,408 | ) | ||||||||||||||||
Las Vegas Sands Corp. | Morgan Stanley | (8,036 | ) | (503,029 | ) | (294,118 | ) | 206,954 | |||||||||||||||||
MGM Resorts International | Morgan Stanley | (67,743 | ) | (2,749,377 | ) | (2,923,110 | ) | (184,116 | ) | ||||||||||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (20,689 | ) | (711,914 | ) | (552,603 | ) | 156,592 | |||||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (18,204 | ) | (1,763,553 | ) | (1,619,246 | ) | 132,921 | |||||||||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (19,897 | ) | (2,229,069 | ) | (1,686,271 | ) | 502,209 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(224,291 | ) | (19,201,941 | ) | (18,885,748 | ) | �� | 173,385 | ||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
148
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Diversified Financials | |||||||||||||||||||||||||
Bank of New York Mellon Corp. (The) | Morgan Stanley | (54,414 | ) | $ | (2,700,401 | ) | $ | (2,820,822 | ) | $ | (206,805 | ) | |||||||||||||
Cboe Global Markets, Inc. | Morgan Stanley | (3,920 | ) | (489,271 | ) | (485,531 | ) | (5,370 | ) | ||||||||||||||||
CME Group, Inc. | Morgan Stanley | (3,819 | ) | (771,928 | ) | (738,518 | ) | 30,616 | |||||||||||||||||
MarketAxess Holdings, Inc. | Morgan Stanley | (8,626 | ) | (4,351,643 | ) | (3,628,872 | ) | 693,911 | |||||||||||||||||
MSCI, Inc. | Morgan Stanley | (2,996 | ) | (1,243,201 | ) | (1,822,587 | ) | (594,405 | ) | ||||||||||||||||
Northern Trust Corp. | Morgan Stanley | (32,020 | ) | (3,426,654 | ) | (3,452,076 | ) | (160,474 | ) | ||||||||||||||||
State Street Corp. | Morgan Stanley | (51,473 | ) | (4,230,015 | ) | (4,360,793 | ) | (309,491 | ) | ||||||||||||||||
Synchrony Financial | Morgan Stanley | (29,691 | ) | (1,501,415 | ) | (1,451,296 | ) | 48,146 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(186,959 | ) | (18,714,528 | ) | (18,760,495 | ) | (503,872 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
Baker Hughes Co. | Morgan Stanley | (10,113 | ) | (252,701 | ) | (250,094 | ) | (7,280 | ) | ||||||||||||||||
Coterra Energy, Inc. | Morgan Stanley | (52,703 | ) | (1,076,017 | ) | (1,146,817 | ) | (135,402 | ) | ||||||||||||||||
Devon Energy Corp. | Morgan Stanley | (140,460 | ) | (3,727,841 | ) | (4,987,735 | ) | (1,431,179 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (53,336 | ) | (4,451,063 | ) | (5,049,319 | ) | (701,504 | ) | ||||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (35,920 | ) | (5,525,756 | ) | (5,981,039 | ) | (609,538 | ) | ||||||||||||||||
Schlumberger NV (Curaçao) | Morgan Stanley | (10,405 | ) | (299,697 | ) | (308,404 | ) | (13,523 | ) | ||||||||||||||||
Valero Energy Corp. | Morgan Stanley | (45,197 | ) | (2,956,007 | ) | (3,189,552 | ) | (254,086 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(348,134 | ) | (18,289,082 | ) | (20,912,960 | ) | (3,152,512 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | (1,895 | ) | (753,500 | ) | (851,518 | ) | (102,698 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Food, Beverage & Tobacco | |||||||||||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | (50,906 | ) | (3,794,049 | ) | (3,411,211 | ) | 348,787 | |||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (157,736 | ) | (7,398,968 | ) | (6,467,176 | ) | 826,137 | |||||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (57,782 | ) | (4,872,012 | ) | (3,546,081 | ) | 1,267,683 | |||||||||||||||||
McCormick & Co., Inc., non-voting shares | Morgan Stanley | (61,529 | ) | (5,552,136 | ) | (4,985,695 | ) | 515,944 | |||||||||||||||||
Monster Beverage Corp. | Morgan Stanley | (26,189 | ) | (2,456,844 | ) | (2,326,369 | ) | 121,388 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(354,142 | ) | (24,074,009 | ) | (20,736,532 | ) | 3,079,939 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Health Care Equipment & Services | |||||||||||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (11,284 | ) | (3,290,820 | ) | (3,673,168 | ) | (394,478 | ) | ||||||||||||||||
Cardinal Health, Inc. | Morgan Stanley | (10,724 | ) | (622,036 | ) | (530,409 | ) | 76,903 | |||||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | (2,408 | ) | (940,845 | ) | (995,250 | ) | (58,201 | ) | ||||||||||||||||
Dexcom, Inc. | Morgan Stanley | (5,288 | ) | (2,246,144 | ) | (2,891,796 | ) | (653,970 | ) | ||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (9,205 | ) | (870,497 | ) | (1,042,098 | ) | (174,899 | ) | ||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | (53,894 | ) | (4,300,262 | ) | (4,104,567 | ) | 179,881 | |||||||||||||||||
Humana, Inc. | Morgan Stanley | (7,538 | ) | (3,223,869 | ) | (2,933,413 | ) | 268,294 | |||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | (2,883 | ) | (1,719,931 | ) | (1,792,938 | ) | (79,404 | ) | ||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (558 | ) | (570,502 | ) | (554,736 | ) | 13,563 | |||||||||||||||||
ResMed, Inc. | Morgan Stanley | (2,905 | ) | (747,488 | ) | (765,613 | ) | (22,129 | ) | ||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (15,459 | ) | (3,329,343 | ) | (3,157,965 | ) | 152,802 | |||||||||||||||||
Teleflex, Inc. | Morgan Stanley | (6,596 | ) | (2,531,426 | ) | (2,483,724 | ) | 26,150 | |||||||||||||||||
Universal Health Services, Inc., Class B | Morgan Stanley | (20,186 | ) | (3,062,452 | ) | (2,793,137 | ) | 254,366 | |||||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | (3,428 | ) | (1,206,973 | ) | (1,455,323 | ) | (253,348 | ) | ||||||||||||||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (13,822 | ) | (2,282,608 | ) | (2,022,988 | ) | 245,126 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(166,178 | ) | (30,945,196 | ) | (31,197,125 | ) | (419,344 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
149
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | (45,161 | ) | $ | (3,951,379 | ) | $ | (3,728,944 | ) | $ | 187,895 | ||||||||||||||
Clorox Co. (The) | Morgan Stanley | (28,483 | ) | (4,884,130 | ) | (4,717,070 | ) | 136,512 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(73,644 | ) | (8,835,509 | ) | (8,446,014 | ) | 324,407 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Insurance | |||||||||||||||||||||||||
Cincinnati Financial Corp. | Morgan Stanley | (12,034 | ) | (1,418,413 | ) | (1,374,523 | ) | 30,948 | |||||||||||||||||
Everest Re Group Ltd. (Bermuda) | Morgan Stanley | (1,467 | ) | (385,290 | ) | (367,894 | ) | 10,084 | |||||||||||||||||
Globe Life, Inc. | Morgan Stanley | (12,099 | ) | (1,159,645 | ) | (1,077,174 | ) | 75,112 | |||||||||||||||||
Lincoln National Corp. | Morgan Stanley | (14,623 | ) | (939,988 | ) | (1,005,331 | ) | (89,502 | ) | ||||||||||||||||
Progressive Corp. (The) | Morgan Stanley | (23,166 | ) | (2,199,847 | ) | (2,093,975 | ) | 102,125 | |||||||||||||||||
Willis Towers Watson PLC (Ireland) | Morgan Stanley | (10,628 | ) | (2,383,913 | ) | (2,470,585 | ) | (105,047 | ) | ||||||||||||||||
WR Berkley Corp. | Morgan Stanley | (14,508 | ) | (1,092,250 | ) | (1,061,695 | ) | 17,588 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(88,525 | ) | (9,579,346 | ) | (9,451,177 | ) | 41,308 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
Air Products & Chemicals, Inc. | Morgan Stanley | (11,521 | ) | (3,304,772 | ) | (2,950,643 | ) | 291,251 | |||||||||||||||||
Albemarle Corp. | Morgan Stanley | (10,507 | ) | (1,981,214 | ) | (2,300,718 | ) | (351,520 | ) | ||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | (203,552 | ) | (2,398,738 | ) | (2,359,168 | ) | (13,811 | ) | ||||||||||||||||
Ball Corp. | Morgan Stanley | (12,394 | ) | (1,106,468 | ) | (1,115,088 | ) | (18,018 | ) | ||||||||||||||||
Celanese Corp. | Morgan Stanley | (3,863 | ) | (599,792 | ) | (581,922 | ) | 14,688 | |||||||||||||||||
Corteva, Inc. | Morgan Stanley | (74,608 | ) | (3,350,039 | ) | (3,139,505 | ) | 195,569 | |||||||||||||||||
Ecolab, Inc. | Morgan Stanley | (11,193 | ) | (2,504,226 | ) | (2,335,084 | ) | 151,437 | |||||||||||||||||
FMC Corp. | Morgan Stanley | (39,949 | ) | (4,642,436 | ) | (3,657,730 | ) | 929,292 | |||||||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (24,047 | ) | (3,364,322 | ) | (3,215,565 | ) | 85,051 | |||||||||||||||||
Packaging Corp. of America | Morgan Stanley | (7,014 | ) | (1,070,571 | ) | (964,004 | ) | 93,603 | |||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | (14,193 | ) | (2,258,686 | ) | (2,029,741 | ) | 220,809 | |||||||||||||||||
Sealed Air Corp. | Morgan Stanley | (24,846 | ) | (1,451,850 | ) | (1,361,312 | ) | 82,634 | |||||||||||||||||
Vulcan Materials Co. | Morgan Stanley | (7,578 | ) | (1,342,906 | ) | (1,281,894 | ) | 52,725 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(445,265 | ) | (29,376,020 | ) | (27,292,374 | ) | 1,733,710 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Discovery, Inc., Class A | Morgan Stanley | (33,072 | ) | (1,380,124 | ) | (839,367 | ) | 535,599 | |||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | (19,936 | ) | (1,574,197 | ) | (1,816,768 | ) | (248,436 | ) | ||||||||||||||||
Match Group, Inc. | Morgan Stanley | (26,492 | ) | (4,010,531 | ) | (4,158,979 | ) | (163,204 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(79,500 | ) | (6,964,852 | ) | (6,815,114 | ) | 123,959 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences |
| ||||||||||||||||||||||||
Amgen, Inc. | Morgan Stanley | (3,657 | ) | (861,913 | ) | (777,661 | ) | 76,519 | |||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | (3,976 | ) | (2,480,510 | ) | (2,965,897 | ) | (494,560 | ) | ||||||||||||||||
Bio-Techne Corp. | Morgan Stanley | (3,494 | ) | (1,772,670 | ) | (1,693,088 | ) | 72,993 | |||||||||||||||||
Catalent, Inc. | Morgan Stanley | (36,679 | ) | (3,841,595 | ) | (4,880,875 | ) | (1,053,420 | ) | ||||||||||||||||
Charles River Laboratories International, Inc. | Morgan Stanley | (2,325 | ) | (820,073 | ) | (959,458 | ) | (142,499 | ) | ||||||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | (5,066 | ) | (1,214,908 | ) | (1,213,510 | ) | (3,156 | ) | ||||||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | (998 | ) | (1,417,653 | ) | (1,374,605 | ) | 35,436 | |||||||||||||||||
Moderna, Inc. | Morgan Stanley | (8,171 | ) | (3,377,426 | ) | (3,144,691 | ) | 220,289 | |||||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | (1,309 | ) | (376,659 | ) | (237,440 | ) | 137,724 | |||||||||||||||||
Viatris, Inc. | Morgan Stanley | (381,025 | ) | (5,387,888 | ) | (5,162,889 | ) | 137,989 | |||||||||||||||||
Zoetis, Inc. | Morgan Stanley | (14,145 | ) | (2,792,076 | ) | (2,746,110 | ) | 34,722 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(460,845 | ) | (24,343,371 | ) | (25,156,224 | ) | (977,963 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Real Estate | |||||||||||||||||||||||||
Boston Properties, Inc., REIT | Morgan Stanley | (12,156 | ) | (1,379,326 | ) | (1,317,103 | ) | 39,355 |
The accompanying notes are an integral part of the financial statements.
150
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Real Estate — (continued) | |||||||||||||||||||||||||
Digital Realty Trust, Inc., REIT | Morgan Stanley | (18,747 | ) | $ | (2,840,650 | ) | $ | (2,708,004 | ) | $ | 29,211 | ||||||||||||||
Equinix, Inc., REIT | Morgan Stanley | (7,076 | ) | (5,317,722 | ) | (5,590,960 | ) | (358,975 | ) | ||||||||||||||||
Equity Residential, REIT. | Morgan Stanley | (3,806 | ) | (315,683 | ) | (307,982 | ) | 3,742 | |||||||||||||||||
Essex Property Trust, Inc., REIT | Morgan Stanley | (3,079 | ) | (984,905 | ) | (984,479 | ) | (21,338 | ) | ||||||||||||||||
Federal Realty Investment Trust, REIT | Morgan Stanley | (13,642 | ) | (1,411,768 | ) | (1,609,620 | ) | (251,370 | ) | ||||||||||||||||
Healthpeak Properties, Inc., REIT | Morgan Stanley | (12,654 | ) | (454,002 | ) | (423,656 | ) | 26,047 | |||||||||||||||||
Host Hotels & Resorts, Inc., REIT | Morgan Stanley | (32,933 | ) | (566,673 | ) | (537,796 | ) | 21,516 | |||||||||||||||||
Prologis, Inc., REIT | Morgan Stanley | (1,210 | ) | (154,266 | ) | (151,770 | ) | 1,839 | |||||||||||||||||
Realty Income Corp., REIT | Morgan Stanley | (7,215 | ) | (508,659 | ) | (467,965 | ) | 33,520 | |||||||||||||||||
Regency Centers Corp., REIT | Morgan Stanley | (6,190 | ) | (422,332 | ) | (416,773 | ) | (28,910 | ) | ||||||||||||||||
Ventas, Inc., REIT | Morgan Stanley | (24,372 | ) | (1,388,960 | ) | (1,345,578 | ) | 21,356 | |||||||||||||||||
Vornado Realty Trust, REIT | Morgan Stanley | (63,485 | ) | (3,389,788 | ) | (2,667,005 | ) | 583,397 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(206,565 | ) | (19,134,734 | ) | (18,528,691 | ) | 99,390 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
CarMax, Inc. | Morgan Stanley | (39,771 | ) | (4,680,480 | ) | (5,089,097 | ) | (425,819 | ) | ||||||||||||||||
Dollar General Corp. | Morgan Stanley | (10,085 | ) | (2,168,086 | ) | (2,139,432 | ) | 16,705 | |||||||||||||||||
Etsy, Inc. | Morgan Stanley | (22,274 | ) | (4,577,491 | ) | (4,632,101 | ) | (71,435 | ) | ||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | (452 | ) | (15,571 | ) | (10,260 | ) | 5,078 | |||||||||||||||||
Pool Corp. | Morgan Stanley | (13,536 | ) | (5,095,716 | ) | (5,880,174 | ) | (830,739 | ) | ||||||||||||||||
TJX Cos., Inc. (The) | Morgan Stanley | (13,226 | ) | (958,291 | ) | (872,651 | ) | 82,238 | |||||||||||||||||
Tractor Supply Co. | Morgan Stanley | (8,733 | ) | (1,667,979 | ) | (1,769,393 | ) | (124,294 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(108,077 | ) | (19,163,614 | ) | (20,393,108 | ) | (1,348,266 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | (22,782 | ) | (2,182,462 | ) | (2,344,268 | ) | (169,891 | ) | ||||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | (26,406 | ) | (5,557,852 | ) | (3,960,108 | ) | 1,577,341 | |||||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | (8,990 | ) | (1,463,221 | ) | (1,379,875 | ) | 75,856 | |||||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | (5,908 | ) | (2,361,759 | ) | (2,863,489 | ) | (520,265 | ) | ||||||||||||||||
Teradyne, Inc. | Morgan Stanley | (23,421 | ) | (2,963,034 | ) | (2,556,871 | ) | 391,856 | |||||||||||||||||
Xilinx, Inc. | Morgan Stanley | (17,349 | ) | (2,385,162 | ) | (2,619,526 | ) | (243,188 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(104,856 | ) | (16,913,490 | ) | (15,724,137 | ) | 1,111,709 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (21,015 | ) | (2,259,684 | ) | (2,197,959 | ) | 53,231 | |||||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (17,633 | ) | (1,926,641 | ) | (1,985,828 | ) | (66,339 | ) | ||||||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (32,723 | ) | (3,937,823 | ) | (3,513,469 | ) | 388,125 | |||||||||||||||||
Fidelity National Information Services, Inc. | Morgan Stanley | (29,254 | ) | (4,161,964 | ) | (3,559,627 | ) | 557,235 | |||||||||||||||||
Fortinet, Inc. | Morgan Stanley | (10,501 | ) | (1,893,058 | ) | (3,066,712 | ) | (1,212,917 | ) | ||||||||||||||||
Global Payments, Inc. | Morgan Stanley | (23,474 | ) | (4,454,715 | ) | (3,699,033 | ) | 726,246 | |||||||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (30,106 | ) | (4,961,760 | ) | (4,939,190 | ) | (32,540 | ) | ||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | (14,463 | ) | (393,743 | ) | (365,914 | ) | 24,361 | |||||||||||||||||
Paycom Software, Inc. | Morgan Stanley | (4,255 | ) | (1,695,725 | ) | (2,109,416 | ) | (420,000 | ) | ||||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (5,591 | ) | (2,353,943 | ) | (2,564,312 | ) | (219,532 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(189,015 | ) | (28,039,056 | ) | (28,001,460 | ) | (202,130 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | (32,155 | ) | (2,222,947 | ) | (2,354,711 | ) | (155,731 | ) | ||||||||||||||||
Arista Networks, Inc. | Morgan Stanley | (5,001 | ) | (1,579,340 | ) | (1,718,544 | ) | (152,420 | ) | ||||||||||||||||
F5 Networks, Inc. | Morgan Stanley | (3,712 | ) | (753,066 | ) | (737,871 | ) | 12,326 | |||||||||||||||||
Hewlett Packard Enterprise Co. | Morgan Stanley | (64,832 | ) | (1,005,270 | ) | (923,856 | ) | 63,440 |
The accompanying notes are an integral part of the financial statements.
151
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Technology Hardware & Equipment — (continued) | |||||||||||||||||||||||||
IPG Photonics Corp. | Morgan Stanley | (17,053 | ) | $ | (3,399,896 | ) | $ | (2,701,195 | ) | $ | 686,172 | ||||||||||||||
Motorola Solutions, Inc. | Morgan Stanley | (3,991 | ) | (872,695 | ) | (927,189 | ) | (60,966 | ) | ||||||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (10,523 | ) | (4,596,556 | ) | (4,520,470 | ) | 59,061 | |||||||||||||||||
Trimble, Inc. | Morgan Stanley | (10,795 | ) | (895,898 | ) | (887,889 | ) | 4,618 | |||||||||||||||||
Western Digital Corp. | Morgan Stanley | (42,824 | ) | (3,031,092 | ) | (2,416,987 | ) | 606,285 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(190,886 | ) | (18,356,760 | ) | (17,188,712 | ) | 1,062,785 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
American Airlines Group, Inc. | Morgan Stanley | (37,419 | ) | (811,284 | ) | (767,838 | ) | 40,364 | |||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (63,673 | ) | (6,078,877 | ) | (5,539,551 | ) | 458,497 | |||||||||||||||||
Delta Air Lines, Inc. | Morgan Stanley | (30,820 | ) | (1,364,579 | ) | (1,313,240 | ) | 46,238 | |||||||||||||||||
FedEx Corp. | Morgan Stanley | (2,404 | ) | (547,260 | ) | (527,173 | ) | 21,002 | |||||||||||||||||
Kansas City Southern | Morgan Stanley | (9,874 | ) | (2,767,327 | ) | (2,672,299 | ) | 78,102 | |||||||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | (2,647 | ) | (729,011 | ) | (756,989 | ) | (31,245 | ) | ||||||||||||||||
Southwest Airlines Co. | Morgan Stanley | (27,662 | ) | (1,546,807 | ) | (1,422,657 | ) | 118,385 | |||||||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | (23,567 | ) | (1,481,663 | ) | (1,121,082 | ) | 355,052 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(198,066 | ) | (15,326,808 | ) | (14,120,829 | ) | 1,086,395 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
Alliant Energy Corp. | Morgan Stanley | (45,855 | ) | (2,687,217 | ) | (2,566,963 | ) | 83,697 | |||||||||||||||||
Ameren Corp. | Morgan Stanley | (30,730 | ) | (2,462,915 | ) | (2,489,130 | ) | (125,478 | ) | ||||||||||||||||
American Electric Power Co., Inc. | Morgan Stanley | (33,884 | ) | (3,027,035 | ) | (2,750,703 | ) | 147,346 | |||||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | (5,181 | ) | (831,589 | ) | (875,796 | ) | (52,696 | ) | ||||||||||||||||
Atmos Energy Corp. | Morgan Stanley | (16,201 | ) | (1,671,396 | ) | (1,428,928 | ) | 186,749 | |||||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (99,144 | ) | (2,205,946 | ) | (2,438,942 | ) | (296,970 | ) | ||||||||||||||||
CMS Energy Corp. | Morgan Stanley | (39,294 | ) | (2,508,539 | ) | (2,347,031 | ) | 101,923 | |||||||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (31,539 | ) | (2,487,719 | ) | (2,289,416 | ) | 109,889 | |||||||||||||||||
DTE Energy Co. | Morgan Stanley | (11,024 | ) | (1,263,512 | ) | (1,231,491 | ) | (31,657 | ) | ||||||||||||||||
Duke Energy Corp. | Morgan Stanley | (3,576 | ) | (351,085 | ) | (348,982 | ) | 8,008 | |||||||||||||||||
Edison International | Morgan Stanley | (51,354 | ) | (3,505,350 | ) | (2,848,606 | ) | 430,734 | |||||||||||||||||
Entergy Corp. | Morgan Stanley | (26,749 | ) | (2,835,832 | ) | (2,656,443 | ) | 65,928 | |||||||||||||||||
Evergy, Inc. | Morgan Stanley | (36,235 | ) | (2,283,560 | ) | (2,253,817 | ) | �� | (11,539 | ) | |||||||||||||||
Eversource Energy | Morgan Stanley | (40,760 | ) | (3,537,196 | ) | (3,332,538 | ) | 108,394 | |||||||||||||||||
FirstEnergy Corp. | Morgan Stanley | (60,183 | ) | (2,225,129 | ) | (2,143,718 | ) | 28,803 | |||||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (23,509 | ) | (1,889,976 | ) | (1,845,927 | ) | 30,157 | |||||||||||||||||
NiSource, Inc. | Morgan Stanley | (149,651 | ) | (3,815,887 | ) | (3,626,044 | ) | 147,014 | |||||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (49,471 | ) | (4,178,303 | ) | (3,579,722 | ) | 469,235 | |||||||||||||||||
Sempra Energy | Morgan Stanley | (17,739 | ) | (2,277,731 | ) | (2,243,984 | ) | (27,447 | ) | ||||||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (28,502 | ) | (2,705,036 | ) | (2,513,876 | ) | 124,859 | |||||||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (42,591 | ) | (2,929,005 | ) | (2,661,937 | ) | 221,286 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(843,172 | ) | (51,679,958 | ) | (48,473,994 | ) | 1,718,235 | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Total Reference Entity — Short | (434,282,449 | ) | (422,642,132 | ) | 5,761,735 | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
Net Value of Reference Entity | $ | (66,773,786 | ) | $ | 19,948,942 | $ | 87,163,236 | ||||||||||||||||||
|
|
|
|
|
|
* | Includes $440,508 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
152
GOTHAM LARGE VALUE FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 99.4% | ||||||||
Automobiles & Components — 2.4% |
| |||||||
Ford Motor Co.* | 46,729 | $ | 661,683 | |||||
General Motors Co.* | 16,985 | 895,279 | ||||||
|
| |||||||
1,556,962 | ||||||||
|
| |||||||
Banks — 4.4% |
| |||||||
Citigroup, Inc. | 12,578 | 882,724 | ||||||
Comerica, Inc. | 1,260 | 101,430 | ||||||
Fifth Third Bancorp | 4,870 | 206,683 | ||||||
JPMorgan Chase & Co. | 2,713 | 444,091 | ||||||
KeyCorp. | 8,063 | 174,322 | ||||||
M&T Bank Corp. | 29 | 4,331 | ||||||
People’s United Financial, Inc. | 4,945 | 86,389 | ||||||
Regions Financial Corp. | 11,173 | 238,097 | ||||||
SVB Financial Group* | 635 | 410,769 | ||||||
Wells Fargo & Co. | 4,755 | 220,679 | ||||||
Zions Bancorp NA | 1,899 | 117,529 | ||||||
|
| |||||||
2,887,044 | ||||||||
|
| |||||||
Capital Goods — 10.5% |
| |||||||
3M Co. | 2,187 | 383,644 | ||||||
A.O. Smith Corp. | 1,864 | 113,834 | ||||||
Carrier Global Corp. | 4,356 | 225,467 | ||||||
Caterpillar, Inc. | 1,258 | 241,498 | ||||||
Cummins, Inc. | 57 | 12,800 | ||||||
Deere & Co. | 933 | 312,620 | ||||||
Dover Corp. | 1,229 | 191,110 | ||||||
Emerson Electric Co. | 6,998 | 659,212 | ||||||
Fortive Corp. | 2 | 141 | ||||||
Fortune Brands Home & Security, Inc. | 79 | 7,064 | ||||||
General Dynamics Corp. | 2,788 | 546,532 | ||||||
General Electric Co. | 5,603 | 577,277 | ||||||
Howmet Aerospace, Inc. | 5,084 | 158,621 | ||||||
Huntington Ingalls Industries, Inc. | 356 | 68,729 | ||||||
Illinois Tool Works, Inc. | 118 | 24,382 | ||||||
Ingersoll Rand, Inc.* | 4,918 | 247,916 | ||||||
Johnson Controls International PLC (Ireland) | 8,336 | 567,515 | ||||||
Lockheed Martin Corp. | 1,435 | 495,219 | ||||||
Northrop Grumman Corp. | 761 | 274,074 | ||||||
Parker-Hannifin Corp. | 1,544 | 431,733 | ||||||
Pentair PLC (Ireland) | 1,857 | 134,874 | ||||||
Snap-on, Inc. | 631 | 131,847 | ||||||
Stanley Black & Decker, Inc. | 1,908 | 334,492 | ||||||
Textron, Inc. | 2,624 | 183,181 |
Number of Shares | Value | |||||||
Trane Technologies PLC (Ireland) | 1,616 | $ | 279,002 | |||||
WW Grainger, Inc. | 610 | 239,767 | ||||||
|
| |||||||
6,842,551 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.6% |
| |||||||
Jacobs Engineering Group, Inc. | 1,526 | 202,241 | ||||||
Nielsen Holdings PLC | 4,199 | 80,579 | ||||||
Robert Half International, Inc. | 1,224 | 122,804 | ||||||
Waste Management, Inc. | 1 | 149 | ||||||
|
| |||||||
405,773 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.7% |
| |||||||
Garmin Ltd. (Switzerland) | 1,534 | 238,476 | ||||||
Hanesbrands, Inc. | 3,548 | 60,884 | ||||||
Leggett & Platt, Inc. | 904 | 40,535 | ||||||
Mohawk Industries, Inc.* | 808 | 143,339 | ||||||
Newell Brands, Inc. | 4,451 | 98,545 | ||||||
PulteGroup, Inc. | 2 | 92 | ||||||
PVH Corp.* | 752 | 77,298 | ||||||
Ralph Lauren Corp. | 861 | 95,606 | ||||||
Tapestry, Inc. | 3,271 | 121,092 | ||||||
Under Armour, Inc., Class C* | 5,270 | 92,330 | ||||||
Whirlpool Corp. | 737 | 150,245 | ||||||
|
| |||||||
1,118,442 | ||||||||
|
| |||||||
Consumer Services — 0.8% |
| |||||||
Caesars Entertainment, Inc.* | 264 | 29,642 | ||||||
Penn National Gaming, Inc.* | 1,836 | 133,037 | ||||||
Yum! Brands, Inc. | 3,078 | 376,470 | ||||||
|
| |||||||
539,149 | ||||||||
|
| |||||||
Diversified Financials — 7.9% |
| |||||||
American Express Co. | 980 | 164,179 | ||||||
Ameriprise Financial, Inc. | 1,338 | 353,393 | ||||||
Berkshire Hathaway, Inc., Class B* | 1,008 | 275,124 | ||||||
BlackRock, Inc. | 1,267 | 1,062,582 | ||||||
Capital One Financial Corp. | 2,517 | 407,678 | ||||||
Discover Financial Services | 3,527 | 433,292 | ||||||
Franklin Resources, Inc. | 5,886 | 174,932 | ||||||
Goldman Sachs Group, Inc. (The) | 1,095 | 413,943 | ||||||
Invesco Ltd. (Bermuda) | 5,400 | 130,194 | ||||||
Morgan Stanley | 5,495 | 534,718 | ||||||
Nasdaq, Inc. | 1,331 | 256,910 | ||||||
Raymond James Financial, Inc. | 2,405 | 221,933 | ||||||
Synchrony Financial | 3,718 | 181,736 | ||||||
T Rowe Price Group, Inc. | 2,655 | 522,239 | ||||||
|
| |||||||
5,132,853 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
153
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — 6.7% | ||||||||
APA Corp. | 4,425 | $ | 94,828 | |||||
Baker Hughes Co. | 8,348 | 206,446 | ||||||
Chevron Corp. | 2 | 203 | ||||||
EOG Resources, Inc. | 6,835 | 548,645 | ||||||
Exxon Mobil Corp. | 20,665 | 1,215,515 | ||||||
Halliburton Co. | 10,287 | 222,405 | ||||||
Hess Corp. | 3,625 | 283,149 | ||||||
Kinder Morgan, Inc. | 24,263 | 405,920 | ||||||
Marathon Oil Corp. | 9,236 | 126,256 | ||||||
Marathon Petroleum Corp. | 7,468 | 461,597 | ||||||
Occidental Petroleum Corp. | 10,930 | 323,309 | ||||||
ONEOK, Inc. | 5,219 | 302,650 | ||||||
Schlumberger NV | 6,136 | 181,871 | ||||||
Williams Cos., Inc. (The) | 67 | 1,738 | ||||||
|
| |||||||
4,374,532 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
Walgreens Boots Alliance, Inc. | 200 | 9,410 | ||||||
Walmart, Inc. | 4,440 | 618,847 | ||||||
|
| |||||||
628,257 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 7.2% |
| |||||||
Altria Group, Inc. | 18,906 | 860,601 | ||||||
Archer-Daniels-Midland Co. | 6,543 | 392,645 | ||||||
Coca-Cola Co. (The) | 5,095 | 267,335 | ||||||
Constellation Brands, Inc., Class A | 2,246 | 473,210 | ||||||
Hershey Co. (The) | 2,420 | 409,585 | ||||||
Kellogg Co. | 10 | 639 | ||||||
Kraft Heinz Co. (The) | 14,315 | 527,078 | ||||||
Molson Coors Beverage Co., | 2,539 | 117,759 | ||||||
Mondelez International, Inc., Class A | 12,194 | 709,447 | ||||||
Philip Morris International, Inc. | 6,821 | 646,563 | ||||||
Tyson Foods, Inc., Class A | 3,618 | 285,605 | ||||||
|
| |||||||
4,690,467 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.5% |
| |||||||
AmerisourceBergen Corp. | 773 | 92,335 | ||||||
Anthem, Inc. | 790 | 294,512 | ||||||
Cigna Corp. | 3,473 | 695,156 | ||||||
CVS Health Corp. | 8,220 | 697,549 | ||||||
DaVita, Inc.* | 1,111 | 129,165 | ||||||
HCA Healthcare, Inc. | 3,772 | 915,540 | ||||||
Hologic, Inc.* | 2,939 | 216,927 | ||||||
Laboratory Corp. of America | 1,131 | 318,309 | ||||||
McKesson Corp. | 1,814 | 361,675 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Quest Diagnostics, Inc. | 1,090 | $ | 158,388 | |||||
UnitedHealth Group, Inc. | 971 | 379,408 | ||||||
|
| |||||||
4,258,964 | ||||||||
|
| |||||||
Household & Personal Products — 0.5% |
| |||||||
Colgate-Palmolive Co. | 2,486 | 187,892 | ||||||
Procter & Gamble Co. (The) | 829 | 115,894 | ||||||
|
| |||||||
303,786 | ||||||||
|
| |||||||
Insurance — 2.9% |
| |||||||
Aflac, Inc. | 5,915 | 308,349 | ||||||
American International Group, Inc. | 533 | 29,256 | ||||||
Aon PLC, Class A (Ireland) | 765 | 218,614 | ||||||
Arthur J Gallagher & Co. | 2,203 | 327,476 | ||||||
Brown & Brown, Inc. | 2,517 | 139,568 | ||||||
Lincoln National Corp. | 2,105 | 144,719 | ||||||
Loews Corp. | 2,322 | 125,225 | ||||||
Marsh & McLennan Cos., Inc. | 3,879 | 587,397 | ||||||
|
| |||||||
1,880,604 | ||||||||
|
| |||||||
Materials — 6.3% |
| |||||||
Avery Dennison Corp. | 971 | 201,201 | ||||||
CF Industries Holdings, Inc. | 2,054 | 114,654 | ||||||
Dow, Inc. | 8,730 | 502,499 | ||||||
DuPont de Nemours, Inc. | 6,141 | 417,526 | ||||||
Eastman Chemical Co. | 1,590 | 160,177 | ||||||
Freeport-McMoRan, Inc. | 17,185 | 559,028 | ||||||
International Paper Co. | 4,574 | 255,778 | ||||||
Linde PLC (Ireland) | 2 | 587 | ||||||
LyondellBasell Industries NV, | 3,916 | 367,516 | ||||||
Mosaic Co. (The) | 4,447 | 158,847 | ||||||
Nucor Corp. | 3,437 | 338,510 | ||||||
Packaging Corp. of America | 489 | 67,208 | ||||||
Sherwin-Williams Co. (The) | 2,949 | 824,924 | ||||||
Westrock Co. | 3,113 | 155,121 | ||||||
|
| |||||||
4,123,576 | ||||||||
|
| |||||||
Media & Entertainment — 2.7% |
| |||||||
Alphabet, Inc., Class A* | 159 | 425,090 | ||||||
Comcast Corp., Class A | 2,405 | 134,512 | ||||||
DISH Network Corp., Class A* | 6,180 | 268,583 | ||||||
Fox Corp., Class A | 6,692 | 268,416 | ||||||
Interpublic Group of Cos., Inc. (The). | 4,606 | 168,902 | ||||||
Omnicom Group, Inc. | 2,521 | 182,672 | ||||||
ViacomCBS, Inc., Class B | 7,562 | 298,774 | ||||||
|
| |||||||
1,746,949 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
154
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.2% |
| |||||||
AbbVie, Inc. | 6,407 | $ | 691,123 | |||||
Biogen, Inc.* | 7 | 1,981 | ||||||
Gilead Sciences, Inc. | 11,893 | 830,726 | ||||||
Johnson & Johnson | 2,489 | 401,974 | ||||||
Merck & Co., Inc. | 3,160 | 237,348 | ||||||
Organon & Co. | 2,967 | 97,288 | ||||||
PerkinElmer, Inc. | 1,312 | 227,356 | ||||||
Pfizer, Inc. | 15,373 | 661,193 | ||||||
Vertex Pharmaceuticals, Inc.* | 573 | 103,936 | ||||||
Waters Corp.* | 501 | 179,007 | ||||||
|
| |||||||
3,431,932 | ||||||||
|
| |||||||
Real Estate — 1.7% |
| |||||||
Alexandria Real Estate Equities, | 127 | 24,266 | ||||||
AvalonBay Communities, Inc., REIT | 298 | 66,049 | ||||||
CBRE Group, Inc., Class A* | 3,818 | 371,720 | ||||||
Equity Residential, REIT | 1,730 | 139,992 | ||||||
Essex Property Trust, Inc., REIT | 25 | 7,994 | ||||||
Kimco Realty Corp., REIT | 1,179 | 24,464 | ||||||
Mid-America Apartment Communities, Inc., REIT | 82 | 15,313 | ||||||
Simon Property Group, Inc., REIT | 548 | 71,224 | ||||||
UDR, Inc., REIT | 1,533 | 81,218 | ||||||
Ventas, Inc., REIT | 1 | 55 | ||||||
Weyerhaeuser Co., REIT | 8,777 | 312,198 | ||||||
|
| |||||||
1,114,493 | ||||||||
|
| |||||||
Retailing — 7.4% |
| |||||||
Advance Auto Parts, Inc. | 743 | 155,205 | ||||||
AutoZone, Inc.* | 188 | 319,222 | ||||||
Bath & Body Works, Inc. | 3,101 | 195,456 | ||||||
Best Buy Co., Inc. | 2,895 | 306,030 | ||||||
Dollar Tree, Inc.* | 35 | 3,350 | ||||||
eBay, Inc. | 5,226 | 364,095 | ||||||
Gap, Inc. (The) | 4,401 | 99,903 | ||||||
Genuine Parts Co. | 1,677 | 203,303 | ||||||
Home Depot, Inc. (The) | 1,915 | 628,618 | ||||||
LKQ Corp.* | 3,468 | 174,510 | ||||||
Lowe’s Cos., Inc. | 3,254 | 660,106 | ||||||
O’Reilly Automotive, Inc.* | 661 | 403,911 | ||||||
Ross Stores, Inc. | 2,790 | 303,692 | ||||||
Target Corp. | 3,456 | 790,629 | ||||||
Ulta Beauty, Inc.* | 638 | 230,267 | ||||||
|
| |||||||
4,838,297 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.9% |
| |||||||
Analog Devices, Inc. | 236 | 39,525 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Applied Materials, Inc. | 9,048 | $ | 1,164,749 | |||||
Intel Corp. | 17,527 | 933,839 | ||||||
KLA Corp. | 1,299 | 434,528 | ||||||
Lam Research Corp. | 1,191 | 677,858 | ||||||
Micron Technology, Inc. | 8,053 | 571,602 | ||||||
NXP Semiconductors NV | 1,146 | 224,467 | ||||||
Qorvo, Inc.* | 1,318 | 220,356 | ||||||
QUALCOMM, Inc. | 1,525 | 196,695 | ||||||
Skyworks Solutions, Inc. | 217 | 35,757 | ||||||
Teradyne, Inc. | 265 | 28,930 | ||||||
Texas Instruments, Inc. | 37 | 7,112 | ||||||
|
| |||||||
4,535,418 | ||||||||
|
| |||||||
Software & Services — 5.1% |
| |||||||
Accenture PLC, Class A (Ireland) | 1,775 | 567,858 | ||||||
Automatic Data Processing, Inc. | 2,666 | 532,987 | ||||||
Broadridge Financial Solutions, Inc. | 875 | 145,810 | ||||||
DXC Technology Co.* | 2,981 | 100,191 | ||||||
Gartner, Inc.* | 985 | 299,322 | ||||||
International Business Machines | 4,374 | 607,680 | ||||||
Oracle Corp. | 7,038 | 613,221 | ||||||
Paychex, Inc. | 3,499 | 393,462 | ||||||
Western Union Co. (The) | 4,764 | 96,328 | ||||||
|
| |||||||
3,356,859 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 5.5% |
| |||||||
CDW Corp. | 1,443 | 262,655 | ||||||
Cisco Systems, Inc. | 18,235 | 992,531 | ||||||
Corning, Inc. | 9,810 | 357,967 | ||||||
F5 Networks, Inc.* | 3 | 596 | ||||||
Hewlett Packard Enterprise Co. | 15,300 | 218,025 | ||||||
HP, Inc. | 13,490 | 369,086 | ||||||
Juniper Networks, Inc. | 1,271 | 34,978 | ||||||
Keysight Technologies, Inc.* | 137 | 22,508 | ||||||
NetApp, Inc. | 2,622 | 235,351 | ||||||
Seagate Technology Holdings PLC (Ireland) | 2,661 | 219,586 | ||||||
TE Connectivity Ltd. (Switzerland) | 3,512 | 481,916 | ||||||
Western Digital Corp.* | 2,902 | 163,789 | ||||||
Zebra Technologies Corp., Class A* | 466 | 240,186 | ||||||
|
| |||||||
3,599,174 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
155
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Telecommunication Services — 1.3% |
| |||||||
AT&T, Inc. | 17,079 | $ | 461,304 | |||||
Verizon Communications, Inc. | 6,985 | 377,260 | ||||||
|
| |||||||
838,564 | ||||||||
|
| |||||||
Transportation — 3.6% |
| |||||||
CSX Corp. | 21,447 | 637,834 | ||||||
Expeditors International of | 1,771 | 210,979 | ||||||
Norfolk Southern Corp. | 1,159 | 277,291 | ||||||
Union Pacific Corp. | 2,307 | 452,195 | ||||||
United Parcel Service, Inc., Class B . | 4,434 | 807,431 | ||||||
|
| |||||||
2,385,730 | ||||||||
|
| |||||||
Utilities — 0.6% |
| |||||||
Dominion Energy, Inc. | 128 | 9,347 | ||||||
NRG Energy, Inc. | 2,865 | 116,978 | ||||||
PPL Corp. | 9,008 | 251,143 | ||||||
|
| |||||||
377,468 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $55,008,159) | 64,967,844 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 383,418 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 65,351,262 | ||||||
|
|
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
156
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 99.4% | ||||||||
Automobiles & Components — 2.4% |
| |||||||
Aptiv PLC (Jersey)* | 15 | $ | 2,235 | |||||
BorgWarner, Inc. | 12 | 518 | ||||||
Ford Motor Co.* | 5,664 | 80,202 | ||||||
General Motors Co.* | 2,306 | 121,549 | ||||||
Tesla, Inc.* | 216 | 167,504 | ||||||
|
| |||||||
372,008 | ||||||||
|
| |||||||
Banks — 0.5% |
| |||||||
Bank of America Corp. | 338 | 14,348 | ||||||
Citigroup, Inc. | 81 | 5,685 | ||||||
Citizens Financial Group, Inc. | 17 | 799 | ||||||
Comerica, Inc. | 6 | 483 | ||||||
Fifth Third Bancorp | 28 | 1,188 | ||||||
First Republic Bank | 8 | 1,543 | ||||||
Huntington Bancshares, Inc. | 59 | 912 | ||||||
JPMorgan Chase & Co. | 173 | 28,318 | ||||||
KeyCorp. | 39 | 843 | ||||||
M&T Bank Corp. | 5 | 747 | ||||||
People’s United Financial, Inc. | 17 | 297 | ||||||
PNC Financial Services Group, Inc. (The) | 17 | 3,326 | ||||||
Regions Financial Corp. | 38 | 810 | ||||||
SVB Financial Group* | 3 | 1,941 | ||||||
Truist Financial Corp. | 53 | 3,108 | ||||||
US Bancorp | 59 | 3,507 | ||||||
Wells Fargo & Co. | 217 | 10,071 | ||||||
Zions Bancorp NA | 7 | 433 | ||||||
|
| |||||||
78,359 | ||||||||
|
| |||||||
Capital Goods — 6.6% |
| |||||||
3M Co. | 855 | 149,984 | ||||||
A.O. Smith Corp. | 79 | 4,824 | ||||||
Allegion PLC (Ireland) | 4 | 529 | ||||||
AMETEK, Inc. | 14 | 1,736 | ||||||
Boeing Co. (The)* | 23 | 5,059 | ||||||
Carrier Global Corp. | 47 | 2,433 | ||||||
Caterpillar, Inc. | 165 | 31,675 | ||||||
Cummins, Inc. | 39 | 8,758 | ||||||
Deere & Co. | 55 | 18,429 | ||||||
Dover Corp. | 167 | 25,968 | ||||||
Eaton Corp. PLC (Ireland) | 225 | 33,595 | ||||||
Emerson Electric Co. | 950 | 89,490 | ||||||
Fastenal Co. | 23 | 1,187 | ||||||
Fortive Corp. | 142 | 10,021 | ||||||
Fortune Brands Home & Security, Inc. | 15 | 1,341 | ||||||
Generac Holdings, Inc.* | 3 | 1,226 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) | ||||||||
General Dynamics Corp. | 202 | $ | 39,598 | |||||
General Electric Co. | 1,073 | 110,551 | ||||||
Honeywell International, Inc. | 40 | 8,491 | ||||||
Howmet Aerospace, Inc. | 262 | 8,174 | ||||||
Huntington Ingalls Industries, Inc. | 2 | 386 | ||||||
IDEX Corp. | 3 | 621 | ||||||
Illinois Tool Works, Inc. | 17 | 3,513 | ||||||
Ingersoll Rand, Inc.* | 24 | 1,210 | ||||||
Johnson Controls International PLC (Ireland) | 1,132 | 77,066 | ||||||
L3Harris Technologies, Inc. | 11 | 2,423 | ||||||
Lockheed Martin Corp. | 396 | 136,659 | ||||||
Masco Corp. | 14 | 778 | ||||||
Northrop Grumman Corp. | 66 | 23,770 | ||||||
Otis Worldwide Corp. | 17 | 1,399 | ||||||
PACCAR, Inc. | 18 | 1,420 | ||||||
Parker-Hannifin Corp. | 210 | 58,720 | ||||||
Pentair PLC (Ireland) | 109 | 7,917 | ||||||
Quanta Services, Inc. | 80 | 9,105 | ||||||
Raytheon Technologies Corp. | 60 | 5,158 | ||||||
Rockwell Automation, Inc. | 5 | 1,470 | ||||||
Roper Technologies, Inc. | 44 | 19,630 | ||||||
Snap-on, Inc. | 86 | 17,970 | ||||||
Stanley Black & Decker, Inc. | 126 | 22,089 | ||||||
Textron, Inc. | 12 | 838 | ||||||
Trane Technologies PLC (Ireland) | 298 | 51,450 | ||||||
TransDigm Group, Inc.* | 4 | 2,498 | ||||||
United Rentals, Inc.* | 48 | 16,845 | ||||||
Westinghouse Air Brake | 8 | 690 | ||||||
WW Grainger, Inc. | 15 | 5,896 | ||||||
Xylem, Inc. | 8 | 989 | ||||||
|
| |||||||
1,023,579 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.3% |
| |||||||
Cintas Corp. | 4 | 1,523 | ||||||
Copart, Inc.* | 9 | 1,248 | ||||||
Equifax, Inc. | 5 | 1,267 | ||||||
IHS Markit Ltd. (Bermuda) | 16 | 1,866 | ||||||
Jacobs Engineering Group, Inc. | 59 | 7,819 | ||||||
Leidos Holdings, Inc. | 6 | 577 | ||||||
Nielsen Holdings PLC (United | 571 | 10,957 | ||||||
Republic Services, Inc. | 16 | 1,921 | ||||||
Robert Half International, Inc. | 75 | 7,525 | ||||||
Rollins, Inc. | 20 | 707 |
The accompanying notes are an integral part of the financial statements.
157
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Verisk Analytics, Inc. | 7 | $ | 1,402 | |||||
Waste Management, Inc. | 17 | 2,539 | ||||||
|
| |||||||
39,351 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 0.9% |
| |||||||
DR Horton, Inc. | 14 | 1,176 | ||||||
Garmin Ltd. (Switzerland) | 112 | 17,411 | ||||||
Hanesbrands, Inc. | 513 | 8,803 | ||||||
Hasbro, Inc. | 7 | 625 | ||||||
Leggett & Platt, Inc. | 7 | 314 | ||||||
Lennar Corp., Class A | 124 | 11,616 | ||||||
Mohawk Industries, Inc.* | 110 | 19,514 | ||||||
Newell Brands, Inc. | 620 | 13,727 | ||||||
NIKE, Inc., Class B | 63 | 9,149 | ||||||
NVR, Inc.* | 1 | 4,794 | ||||||
PulteGroup, Inc. | 11 | 505 | ||||||
PVH Corp.* | 40 | 4,112 | ||||||
Ralph Lauren Corp. | 117 | 12,992 | ||||||
Tapestry, Inc. | 445 | 16,474 | ||||||
Under Armour, Inc., Class C* | 26 | 455 | ||||||
VF Corp. | 16 | 1,072 | ||||||
Whirlpool Corp. | 101 | 20,590 | ||||||
|
| |||||||
143,329 | ||||||||
|
| |||||||
Consumer Services — 0.7% |
| |||||||
Booking Holdings, Inc.* | 2 | 4,748 | ||||||
Caesars Entertainment, Inc.* | 8 | 898 | ||||||
Carnival Corp. (Panama)* | 44 | 1,100 | ||||||
Chipotle Mexican Grill, Inc.* | 1 | 1,818 | ||||||
Darden Restaurants, Inc. | 7 | 1,060 | ||||||
Domino’s Pizza, Inc. | 2 | 954 | ||||||
Expedia Group, Inc.* | 5 | 819 | ||||||
Hilton Worldwide Holdings, Inc.* | 11 | 1,453 | ||||||
Las Vegas Sands Corp.* | 31 | 1,135 | ||||||
Marriott International, Inc., Class A* | 12 | 1,777 | ||||||
McDonald’s Corp. | 44 | 10,609 | ||||||
MGM Resorts International | 19 | 820 | ||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 14 | 374 | ||||||
Penn National Gaming, Inc.* | 250 | 18,115 | ||||||
Royal Caribbean Cruises Ltd. | 10 | 889 | ||||||
Starbucks Corp. | 47 | 5,185 | ||||||
Wynn Resorts Ltd.* | 4 | 339 | ||||||
Yum! Brands, Inc. | 431 | 52,716 | ||||||
|
| |||||||
104,809 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — 3.9% | ||||||||
American Express Co. | 32 | $ | 5,361 | |||||
Ameriprise Financial, Inc. | 6 | 1,585 | ||||||
Bank of New York Mellon Corp. | 35 | 1,814 | ||||||
Berkshire Hathaway, Inc., Class B* | 744 | 203,067 | ||||||
BlackRock, Inc. | 242 | 202,956 | ||||||
Capital One Financial Corp. | 26 | 4,211 | ||||||
Cboe Global Markets, Inc. | 5 | 619 | ||||||
Charles Schwab Corp. (The) | 75 | 5,463 | ||||||
CME Group, Inc. | 15 | 2,901 | ||||||
Discover Financial Services | 17 | 2,088 | ||||||
Franklin Resources, Inc. | 800 | 23,776 | ||||||
Goldman Sachs Group, Inc. (The) | 30 | 11,341 | ||||||
Intercontinental Exchange, Inc. | 23 | 2,641 | ||||||
Invesco Ltd. (Bermuda) | 734 | 17,697 | ||||||
MarketAxess Holdings, Inc. | 2 | 841 | ||||||
Moody’s Corp. | 8 | 2,841 | ||||||
Morgan Stanley | 198 | 19,267 | ||||||
MSCI, Inc. | 3 | 1,825 | ||||||
Nasdaq, Inc. | 84 | 16,214 | ||||||
Northern Trust Corp. | 9 | 970 | ||||||
Raymond James Financial, Inc. | 10 | 923 | ||||||
S&P Global, Inc. | 12 | 5,099 | ||||||
State Street Corp. | 14 | 1,186 | ||||||
Synchrony Financial | 31 | 1,515 | ||||||
T Rowe Price Group, Inc. | 361 | 71,009 | ||||||
|
| |||||||
607,210 | ||||||||
|
| |||||||
Energy — 3.2% |
| |||||||
APA Corp. | 601 | 12,879 | ||||||
Baker Hughes Co. | 581 | 14,368 | ||||||
Chevron Corp. | 415 | 42,102 | ||||||
ConocoPhillips | 53 | 3,592 | ||||||
Coterra Energy, Inc. | 16 | 348 | ||||||
Devon Energy Corp. | 26 | 923 | ||||||
Diamondback Energy, Inc. | 7 | 663 | ||||||
EOG Resources, Inc. | 928 | 74,491 | ||||||
Exxon Mobil Corp. | 2,267 | 133,345 | ||||||
Halliburton Co. | 65 | 1,405 | ||||||
Hess Corp. | 447 | 34,915 | ||||||
Kinder Morgan, Inc. | 580 | 9,703 | ||||||
Marathon Oil Corp. | 1,254 | 17,142 | ||||||
Marathon Petroleum Corp. | 1,014 | 62,675 | ||||||
Occidental Petroleum Corp. | 1,484 | 43,897 | ||||||
ONEOK, Inc. | 709 | 41,115 | ||||||
Phillips 66 | 17 | 1,190 | ||||||
Pioneer Natural Resources Co. | 9 | 1,499 |
The accompanying notes are an integral part of the financial statements.
158
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Schlumberger NV | 76 | $ | 2,253 | |||||
Valero Energy Corp. | 17 | 1,200 | ||||||
Williams Cos., Inc. (The) | 64 | 1,660 | ||||||
|
| |||||||
501,365 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
Costco Wholesale Corp. | 18 | 8,088 | ||||||
Kroger Co. (The) | 40 | 1,617 | ||||||
Sysco Corp. | 28 | 2,198 | ||||||
Walgreens Boots Alliance, Inc. | 35 | 1,647 | ||||||
Walmart, Inc. | 2,159 | 300,922 | ||||||
|
| |||||||
314,472 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 5.4% |
| |||||||
Altria Group, Inc. | 2,933 | 133,510 | ||||||
Archer-Daniels-Midland Co. | 889 | 53,349 | ||||||
Brown-Forman Corp., Class B | 19 | 1,273 | ||||||
Campbell Soup Co. | 16 | 669 | ||||||
Coca-Cola Co. (The) | 2,101 | 110,240 | ||||||
Conagra Brands, Inc. | 27 | 915 | ||||||
Constellation Brands, Inc., Class A | 305 | 64,260 | ||||||
General Mills, Inc. | 35 | 2,094 | ||||||
Hershey Co. (The) | 257 | 43,497 | ||||||
Hormel Foods Corp. | 22 | 902 | ||||||
JM Smucker Co. (The) | 6 | 720 | ||||||
Kellogg Co. | 19 | 1,215 | ||||||
Kraft Heinz Co. (The) | 1,944 | 71,578 | ||||||
Lamb Weston Holdings, Inc. | 6 | 368 | ||||||
McCormick & Co., Inc., non-voting shares | 11 | 891 | ||||||
Molson Coors Beverage Co., Class B | 345 | 16,001 | ||||||
Mondelez International, Inc., Class A | 955 | 55,562 | ||||||
Monster Beverage Corp.* | 22 | 1,954 | ||||||
PepsiCo, Inc. | 55 | 8,273 | ||||||
Philip Morris International, Inc. | 2,477 | 234,795 | ||||||
Tyson Foods, Inc., Class A | 580 | 45,785 | ||||||
|
| |||||||
847,851 | ||||||||
|
| |||||||
Health Care Equipment & Services — 5.8% |
| |||||||
Abbott Laboratories | 711 | 83,990 | ||||||
ABIOMED, Inc.* | 2 | 651 | ||||||
Align Technology, Inc.* | 3 | 1,996 | ||||||
AmerisourceBergen Corp. | 11 | 1,314 | ||||||
Anthem, Inc. | 15 | 5,592 | ||||||
Baxter International, Inc. | 20 | 1,609 | ||||||
Becton Dickinson and Co. | 12 | 2,950 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Boston Scientific Corp.* | 57 | $ | 2,473 | |||||
Cardinal Health, Inc. | 12 | 593 | ||||||
Centene Corp.* | 24 | 1,495 | ||||||
Cerner Corp. | 17 | 1,199 | ||||||
Cigna Corp. | 543 | 108,687 | ||||||
Cooper Cos., Inc. (The) | 1 | 413 | ||||||
CVS Health Corp. | 2,095 | 177,782 | ||||||
Danaher Corp. | 285 | 86,765 | ||||||
DaVita, Inc.* | 6 | 698 | ||||||
DENTSPLY SIRONA, Inc. | 9 | 522 | ||||||
Dexcom, Inc.* | 3 | 1,641 | ||||||
Edwards Lifesciences Corp.* | 24 | 2,717 | ||||||
HCA Healthcare, Inc. | 513 | 124,515 | ||||||
Henry Schein, Inc.* | 6 | 457 | ||||||
Hologic, Inc.* | 16 | 1,181 | ||||||
Humana, Inc. | 6 | 2,335 | ||||||
IDEXX Laboratories, Inc.* | 4 | 2,488 | ||||||
Intuitive Surgical, Inc.* | 4 | 3,977 | ||||||
Laboratory Corp. of America Holdings* | 154 | 43,342 | ||||||
McKesson Corp. | 247 | 49,247 | ||||||
Medtronic PLC (Ireland) | 73 | 9,151 | ||||||
Quest Diagnostics, Inc. | 194 | 28,190 | ||||||
ResMed, Inc. | 6 | 1,581 | ||||||
STERIS PLC (Ireland) | 4 | 817 | ||||||
Stryker Corp. | 15 | 3,956 | ||||||
Teleflex, Inc. | 2 | 753 | ||||||
UnitedHealth Group, Inc. | 387 | 151,216 | ||||||
Universal Health Services, Inc., Class B | 4 | 553 | ||||||
West Pharmaceutical Services, Inc. | 3 | 1,274 | ||||||
Zimmer Biomet Holdings, Inc. | 8 | 1,171 | ||||||
|
| |||||||
909,291 | ||||||||
|
| |||||||
Household & Personal Products — 0.7% |
| |||||||
Church & Dwight Co., Inc. | 10 | 826 | ||||||
Clorox Co. (The) | 6 | 994 | ||||||
Colgate-Palmolive Co. | 310 | 23,430 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 15 | 4,499 | ||||||
Kimberly-Clark Corp. | 17 | 2,251 | ||||||
Procter & Gamble Co. (The) | 604 | 84,439 | ||||||
|
| |||||||
116,439 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Aflac, Inc. | 27 | 1,408 | ||||||
Allstate Corp. (The) | 12 | 1,528 |
The accompanying notes are an integral part of the financial statements.
159
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) | ||||||||
American International Group, Inc. | 34 | $ | 1,866 | |||||
Aon PLC, Class A (Ireland) | 165 | 47,152 | ||||||
Arthur J Gallagher & Co. | 129 | 19,176 | ||||||
Assurant, Inc. | 3 | 473 | ||||||
Brown & Brown, Inc. | 448 | 24,842 | ||||||
Chubb Ltd. (Switzerland) | 18 | 3,123 | ||||||
Cincinnati Financial Corp. | 7 | 800 | ||||||
Everest Re Group Ltd. (Bermuda) | 2 | 502 | ||||||
Globe Life, Inc. | 5 | 445 | ||||||
Hartford Financial Services Group, Inc. (The) | 14 | 983 | ||||||
Lincoln National Corp. | 8 | 550 | ||||||
Loews Corp. | 11 | 593 | ||||||
Marsh & McLennan Cos., Inc. | 744 | 112,664 | ||||||
MetLife, Inc. | 35 | 2,161 | ||||||
Principal Financial Group, Inc. | 11 | 708 | ||||||
Progressive Corp. (The) | 24 | 2,169 | ||||||
Prudential Financial, Inc. | 16 | 1,683 | ||||||
Travelers Cos., Inc. (The) | 13 | 1,976 | ||||||
Willis Towers Watson PLC (Ireland) | 7 | 1,627 | ||||||
WR Berkley Corp. | 8 | 585 | ||||||
|
| |||||||
227,014 | ||||||||
|
| |||||||
Materials — 3.1% | ||||||||
Air Products and Chemicals, Inc. | 8 | 2,049 | ||||||
Albemarle Corp. | 4 | 876 | ||||||
Amcor PLC (Jersey) | 82 | 950 | ||||||
Avery Dennison Corp. | 132 | 27,352 | ||||||
Ball Corp. | 12 | 1,080 | ||||||
Celanese Corp. | 5 | 753 | ||||||
CF Industries Holdings, Inc. | 12 | 670 | ||||||
Corteva, Inc. | 43 | 1,809 | ||||||
Dow, Inc. | 994 | 57,215 | ||||||
DuPont de Nemours, Inc. | 834 | 56,704 | ||||||
Eastman Chemical Co. | 85 | 8,563 | ||||||
Ecolab, Inc. | 15 | 3,129 | ||||||
FMC Corp. | 7 | 641 | ||||||
Freeport-McMoRan, Inc. | 2,333 | 75,893 | ||||||
International Flavors & Fragrances, Inc. | 9 | 1,203 | ||||||
International Paper Co. | 621 | 34,726 | ||||||
Linde PLC (Ireland). | 21 | 6,161 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 532 | 49,928 | ||||||
Martin Marietta Materials, Inc. | 3 | 1,025 | ||||||
Mosaic Co. (The) | 604 | 21,575 | ||||||
Newmont Corp. | 42 | 2,281 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Nucor Corp. | 467 | $ | 45,995 | |||||
Packaging Corp. of America | 5 | 687 | ||||||
PPG Industries, Inc. | 111 | 15,874 | ||||||
Sealed Air Corp. | 100 | 5,479 | ||||||
Sherwin-Williams Co. (The) | 147 | 41,120 | ||||||
Vulcan Materials Co. | 6 | 1,015 | ||||||
Westrock Co. | 318 | 15,846 | ||||||
|
| |||||||
480,599 | ||||||||
|
| |||||||
Media & Entertainment — 10.3% |
| |||||||
Activision Blizzard, Inc. | 312 | 24,146 | ||||||
Alphabet, Inc., Class A* | 295 | 788,688 | ||||||
Charter Communications, Inc., Class A* | 75 | 54,567 | ||||||
Comcast Corp., Class A | 183 | 10,235 | ||||||
Discovery, Inc., Class A* | 27 | 685 | ||||||
DISH Network Corp., Class A* | 839 | 36,463 | ||||||
Electronic Arts, Inc. | 114 | 16,217 | ||||||
Facebook, Inc., Class A* | 1,362 | 462,249 | ||||||
Fox Corp., Class A | 236 | 9,466 | ||||||
Interpublic Group of Cos., Inc. (The) | 626 | 22,955 | ||||||
Live Nation Entertainment, Inc.* | 8 | 729 | ||||||
Match Group, Inc.* | 10 | 1,570 | ||||||
Netflix, Inc.* | 175 | 106,810 | ||||||
News Corp., Class A | 24 | 565 | ||||||
Omnicom Group, Inc. | 343 | 24,854 | ||||||
Take-Two Interactive Software, Inc.* | 47 | 7,241 | ||||||
Twitter, Inc.* | 316 | 19,083 | ||||||
ViacomCBS, Inc., Class B | 36 | 1,422 | ||||||
Walt Disney Co. (The)* | 70 | 11,842 | ||||||
|
| |||||||
1,599,787 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 7.5% |
| |||||||
AbbVie, Inc. | 2,461 | 265,468 | ||||||
Agilent Technologies, Inc. | 13 | 2,048 | ||||||
Amgen, Inc. | 31 | 6,592 | ||||||
Biogen, Inc.* | 8 | 2,264 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 2 | 1,492 | ||||||
Bio-Techne Corp. | 1 | 485 | ||||||
Bristol-Myers Squibb Co. | 89 | 5,266 | ||||||
Catalent, Inc.* | 7 | 932 | ||||||
Charles River Laboratories International, Inc.* | 2 | 825 | ||||||
Eli Lilly and Co. | 39 | 9,011 | ||||||
Gilead Sciences, Inc. | 1,993 | 139,211 | ||||||
Illumina, Inc.* | 59 | 23,931 | ||||||
Incyte Corp.* | 87 | 5,984 |
The accompanying notes are an integral part of the financial statements.
160
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
IQVIA Holdings, Inc.* | 8 | $ | 1,916 | |||||
Johnson & Johnson | 1,634 | 263,891 | ||||||
Merck & Co., Inc. | 1,537 | 115,444 | ||||||
Mettler-Toledo International, Inc.* | 1 | 1,377 | ||||||
Moderna, Inc.* | 16 | 6,158 | ||||||
Organon & Co. | 403 | 13,214 | ||||||
PerkinElmer, Inc. | 8 | 1,386 | ||||||
Pfizer, Inc. | 5,905 | 253,974 | ||||||
Regeneron Pharmaceuticals, Inc.* | 47 | 28,444 | ||||||
Thermo Fisher Scientific, Inc. | 15 | 8,570 | ||||||
Vertex Pharmaceuticals, Inc.* | 15 | 2,721 | ||||||
Viatris, Inc. | 48 | 650 | ||||||
Waters Corp.* | 3 | 1,072 | ||||||
Zoetis, Inc. | 19 | 3,689 | ||||||
|
| |||||||
1,166,015 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 6 | 1,146 | ||||||
American Tower Corp., REIT | 180 | 47,774 | ||||||
AvalonBay Communities, Inc., REIT | 6 | 1,330 | ||||||
Boston Properties, Inc., REIT | 7 | 758 | ||||||
CBRE Group, Inc., Class A* | 20 | 1,947 | ||||||
Crown Castle International Corp., REIT | 171 | 29,638 | ||||||
Digital Realty Trust, Inc., REIT | 12 | 1,733 | ||||||
Duke Realty Corp., REIT | 16 | 766 | ||||||
Equinix, Inc., REIT | 3 | 2,370 | ||||||
Equity Residential, REIT | 15 | 1,214 | ||||||
Essex Property Trust, Inc., REIT | 3 | 959 | ||||||
Extra Space Storage, Inc., REIT | 6 | 1,008 | ||||||
Federal Realty Investment Trust, REIT | 4 | 472 | ||||||
Healthpeak Properties, Inc., REIT | 22 | 737 | ||||||
Host Hotels & Resorts, Inc., REIT* | 29 | 474 | ||||||
Iron Mountain, Inc., REIT | 12 | 521 | ||||||
Kimco Realty Corp., REIT | 18 | 373 | ||||||
Mid-America Apartment Communities, Inc., REIT | 5 | 934 | ||||||
Prologis, Inc., REIT | 30 | 3,763 | ||||||
Public Storage, REIT | 9 | 2,674 | ||||||
Realty Income Corp., REIT | 16 | 1,038 | ||||||
Regency Centers Corp., REIT | 7 | 471 | ||||||
SBA Communications Corp., REIT | 43 | 14,215 | ||||||
Simon Property Group, Inc., REIT | 14 | 1,820 | ||||||
UDR, Inc., REIT | 12 | 636 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) | ||||||||
Ventas, Inc., REIT | 15 | $ | 828 | |||||
Vornado Realty Trust, REIT | 8 | 336 | ||||||
Welltower, Inc., REIT | 17 | 1,401 | ||||||
Weyerhaeuser Co., REIT | 1,192 | 42,399 | ||||||
|
| |||||||
163,735 | ||||||||
|
| |||||||
Retailing — 10.6% | ||||||||
Advance Auto Parts, Inc. | 101 | 21,098 | ||||||
Amazon.com, Inc.* | 242 | 794,980 | ||||||
AutoZone, Inc.* | 34 | 57,732 | ||||||
Bath & Body Works, Inc. | 437 | 27,544 | ||||||
Best Buy Co., Inc. | 15 | 1,586 | ||||||
CarMax, Inc.* | 7 | 896 | ||||||
Dollar General Corp. | 13 | 2,758 | ||||||
Dollar Tree, Inc.* | 13 | 1,244 | ||||||
eBay, Inc. | 37 | 2,578 | ||||||
Etsy, Inc.* | 5 | 1,040 | ||||||
Gap, Inc. (The) | 598 | 13,574 | ||||||
Genuine Parts Co. | 228 | 27,640 | ||||||
Home Depot, Inc. (The) | 823 | 270,158 | ||||||
LKQ Corp.* | 471 | 23,701 | ||||||
Lowe’s Cos., Inc. | 748 | 151,739 | ||||||
O’Reilly Automotive, Inc.* | 77 | 47,051 | ||||||
Pool Corp. | 2 | 869 | ||||||
Ross Stores, Inc. | 15 | 1,633 | ||||||
Target Corp. | 779 | 178,212 | ||||||
TJX Cos., Inc. (The) | 48 | 3,167 | ||||||
Tractor Supply Co. | 63 | 12,764 | ||||||
Ulta Beauty, Inc.* | 4 | 1,444 | ||||||
|
| |||||||
1,643,408 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
Advanced Micro Devices, Inc.* | 48 | 4,939 | ||||||
Analog Devices, Inc. | 21 | 3,517 | ||||||
Applied Materials, Inc. | 1,435 | 184,728 | ||||||
Broadcom, Inc. | 16 | 7,759 | ||||||
Enphase Energy, Inc.* | 5 | 750 | ||||||
Intel Corp. | 3,794 | 202,144 | ||||||
KLA Corp. | 61 | 20,405 | ||||||
Lam Research Corp. | 57 | 32,442 | ||||||
Microchip Technology, Inc. | 11 | 1,688 | ||||||
Micron Technology, Inc. | 445 | 31,586 | ||||||
Monolithic Power Systems, Inc. | 1 | 485 | ||||||
NVIDIA Corp. | 99 | 20,509 | ||||||
NXP Semiconductors NV (Netherlands) | 15 | 2,938 | ||||||
Qorvo, Inc.* | 5 | 836 |
The accompanying notes are an integral part of the financial statements.
161
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
QUALCOMM, Inc. | 64 | $ | 8,255 | |||||
Skyworks Solutions, Inc. | 7 | 1,153 | ||||||
Teradyne, Inc. | 7 | 764 | ||||||
Texas Instruments, Inc. | 38 | 7,304 | ||||||
Xilinx, Inc. | 9 | 1,359 | ||||||
|
| |||||||
533,561 | ||||||||
|
| |||||||
Software & Services — 15.0% |
| |||||||
Accenture PLC, Class A (Ireland) | 77 | 24,634 | ||||||
Adobe, Inc.* | 188 | 108,235 | ||||||
Akamai Technologies, Inc.* | 6 | 628 | ||||||
ANSYS, Inc.* | 34 | 11,575 | ||||||
Autodesk, Inc.* | 87 | 24,810 | ||||||
Automatic Data Processing, Inc. | 496 | 99,160 | ||||||
Broadridge Financial Solutions, Inc. | 6 | 1,000 | ||||||
Cadence Design Systems, Inc.* | 109 | 16,507 | ||||||
Ceridian HCM Holding, Inc.* | 5 | 563 | ||||||
Citrix Systems, Inc. | 5 | 537 | ||||||
Cognizant Technology Solutions Corp., Class A | 208 | 15,436 | ||||||
DXC Technology Co.* | 405 | 13,612 | ||||||
Fidelity National Information Services, Inc. | 24 | 2,920 | ||||||
Fiserv, Inc.* | 27 | 2,930 | ||||||
FleetCor Technologies, Inc.* | 4 | 1,045 | ||||||
Fortinet, Inc.* | 7 | 2,044 | ||||||
Gartner, Inc.* | 65 | 19,752 | ||||||
Global Payments, Inc. | 11 | 1,733 | ||||||
International Business Machines Corp. | 894 | 124,203 | ||||||
Intuit, Inc. | 10 | 5,395 | ||||||
Jack Henry & Associates, Inc. | 3 | 492 | ||||||
Mastercard, Inc., Class A | 395 | 137,334 | ||||||
Microsoft Corp. | 3,604 | 1,016,040 | ||||||
NortonLifeLock, Inc. | 24 | 607 | ||||||
Oracle Corp. | 2,169 | 188,985 | ||||||
Paychex, Inc. | 21 | 2,361 | ||||||
Paycom Software, Inc.* | 2 | 992 | ||||||
PayPal Holdings, Inc.* | 517 | 134,529 | ||||||
PTC, Inc.* | 4 | 479 | ||||||
salesforce.com, Inc.* | 388 | 105,233 | ||||||
ServiceNow, Inc.* | 78 | 48,537 | ||||||
Synopsys, Inc.* | 60 | 17,965 | ||||||
Tyler Technologies, Inc.* | 1 | 459 | ||||||
VeriSign, Inc.* | 5 | 1,025 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Visa, Inc., Class A | 854 | $ | 190,229 | |||||
Western Union Co. (The) | 647 | 13,082 | ||||||
|
| |||||||
2,335,068 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 9.2% |
| |||||||
Amphenol Corp., Class A | 26 | 1,904 | ||||||
Apple, Inc. | 6,611 | 935,456 | ||||||
Arista Networks, Inc.* | 4 | 1,375 | ||||||
CDW Corp. | 7 | 1,274 | ||||||
Cisco Systems, Inc. | 5,726 | 311,666 | ||||||
Corning, Inc. | 1,332 | 48,605 | ||||||
F5 Networks, Inc.* | 3 | 596 | ||||||
Hewlett Packard Enterprise Co. | 52 | 741 | ||||||
HP, Inc. | 1,917 | 52,449 | ||||||
IPG Photonics Corp.* | 2 | 317 | ||||||
Juniper Networks, Inc. | 485 | 13,347 | ||||||
Keysight Technologies, Inc.* | 8 | 1,314 | ||||||
Motorola Solutions, Inc. | 7 | 1,626 | ||||||
NetApp, Inc. | 356 | 31,955 | ||||||
Seagate Technology Holdings PLC (Ireland) | 362 | 29,872 | ||||||
TE Connectivity Ltd. (Switzerland) | 14 | 1,921 | ||||||
Teledyne Technologies, Inc.* | 2 | 859 | ||||||
Trimble, Inc.* | 10 | 823 | ||||||
Western Digital Corp.* | 13 | 734 | ||||||
Zebra Technologies Corp., Class A* . | 3 | 1,546 | ||||||
|
| |||||||
1,438,380 | ||||||||
|
| |||||||
Telecommunication Services — 2.6% |
| |||||||
AT&T, Inc. | 7,511 | 202,872 | ||||||
Lumen Technologies, Inc. | 44 | 545 | ||||||
T-Mobile US, Inc.* | 50 | 6,388 | ||||||
Verizon Communications, Inc. | 3,653 | 197,299 | ||||||
|
| |||||||
407,104 | ||||||||
|
| |||||||
Transportation — 2.2% | ||||||||
Alaska Air Group, Inc.* | 4 | 235 | ||||||
American Airlines Group, Inc.* | 25 | 513 | ||||||
CH Robinson Worldwide, Inc. | 6 | 522 | ||||||
CSX Corp. | 3,405 | 101,265 | ||||||
Delta Air Lines, Inc.* | 25 | 1,065 | ||||||
Expeditors International of Washington, Inc. | 26 | 3,097 | ||||||
FedEx Corp. | 15 | 3,289 | ||||||
JB Hunt Transport Services, Inc. | 5 | 836 | ||||||
Kansas City Southern | 4 | 1,083 | ||||||
Norfolk Southern Corp. | 45 | 10,766 | ||||||
Old Dominion Freight Line, Inc. | 5 | 1,430 |
The accompanying notes are an integral part of the financial statements.
162
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
Southwest Airlines Co.* | 23 | $ | 1,183 | |||||
Union Pacific Corp. | 333 | 65,271 | ||||||
United Airlines Holdings, Inc.* | 12 | 571 | ||||||
United Parcel Service, Inc., Class B | 809 | 147,319 | ||||||
|
| |||||||
338,445 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
AES Corp. (The) | 37 | 845 | ||||||
Alliant Energy Corp. | 10 | 560 | ||||||
Ameren Corp. | 10 | 810 | ||||||
American Electric Power Co., Inc. | 19 | 1,542 | ||||||
American Water Works Co., Inc. | 7 | 1,183 | ||||||
Atmos Energy Corp. | 5 | 441 | ||||||
CenterPoint Energy, Inc. | 23 | 566 | ||||||
CMS Energy Corp. | 11 | 657 | ||||||
Consolidated Edison, Inc. | 14 | 1,016 | ||||||
Dominion Energy, Inc. | 49 | 3,578 | ||||||
DTE Energy Co. | 7 | 782 | ||||||
Duke Energy Corp. | 30 | 2,928 | ||||||
Edison International | 15 | 832 | ||||||
Entergy Corp. | 7 | 695 | ||||||
Evergy, Inc. | 10 | 622 | ||||||
Eversource Energy | 13 | 1,063 | ||||||
Exelon Corp. | 39 | 1,885 | ||||||
FirstEnergy Corp. | 22 | 784 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
NextEra Energy, Inc. | 77 | $ | 6,046 | |||||
NiSource, Inc. | 16 | 388 | ||||||
NRG Energy, Inc. | 389 | 15,883 | ||||||
Pinnacle West Capital Corp. | 4 | 289 | ||||||
PPL Corp. | 1,223 | 34,097 | ||||||
Public Service Enterprise Group, Inc. | 29 | 1,766 | ||||||
Sempra Energy | 12 | 1,518 | ||||||
Southern Co. (The) | 42 | 2,603 | ||||||
WEC Energy Group, Inc. | 12 | 1,058 | ||||||
Xcel Energy, Inc. | 21 | 1,313 | ||||||
|
| |||||||
85,750 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 15,476,929 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | 92,000 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 15,568,929 | ||||||
|
|
* | Non-income producing. |
PLC – Public Limited Company
REIT – Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
163
GOTHAM HEDGED CORE FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
LONG POSITIONS — 139.1% |
| |||||||
COMMON STOCKS — 139.1% |
| |||||||
Automobiles & Components — 0.0% |
| |||||||
General Motors Co.* | 62 | $ | 3,268 | |||||
|
| |||||||
Capital Goods — 7.3% | ||||||||
3M Co.† | 682 | 119,637 | ||||||
A.O. Smith Corp. | 603 | 36,825 | ||||||
General Dynamics Corp. | 30 | 5,881 | ||||||
Huntington Ingalls Industries, Inc. | 38 | 7,336 | ||||||
Johnson Controls International PLC (Ireland)† | 1,100 | 74,888 | ||||||
Lockheed Martin Corp.† | 384 | 132,518 | ||||||
Northrop Grumman Corp.† | 267 | 96,160 | ||||||
Otis Worldwide Corp. | 139 | 11,437 | ||||||
Pentair PLC (Ireland)† | 18 | 1,307 | ||||||
Quanta Services, Inc.† | 139 | 15,821 | ||||||
Roper Technologies, Inc.† | 17 | 7,584 | ||||||
Snap-on, Inc.† | 322 | 67,282 | ||||||
WW Grainger, Inc. | 58 | 22,798 | ||||||
|
| |||||||
599,474 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.2% |
| |||||||
Nielsen Holdings PLC (United Kingdom) | 555 | 10,650 | ||||||
Robert Half International, Inc.† | 81 | 8,127 | ||||||
|
| |||||||
18,777 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.0% |
| |||||||
Garmin Ltd. (Switzerland) | 322 | 50,058 | ||||||
Hanesbrands, Inc. | 1,429 | 24,522 | ||||||
Hasbro, Inc. | 150 | 13,383 | ||||||
Mohawk Industries, Inc.* | 11 | 1,951 | ||||||
NIKE, Inc., Class B | 327 | 47,490 | ||||||
Whirlpool Corp. | 546 | 111,308 | ||||||
|
| |||||||
248,712 | ||||||||
|
| |||||||
Consumer Services — 2.8% |
| |||||||
Booking Holdings, Inc.* | 1 | 2,374 | ||||||
Domino’s Pizza, Inc. | 9 | 4,293 | ||||||
Hilton Worldwide Holdings, Inc.* | 169 | 22,326 | ||||||
Marriott International, Inc., Class A* | 163 | 24,139 | ||||||
McDonald’s Corp.† | 291 | 70,163 | ||||||
Penn National Gaming, Inc.* | 615 | 44,563 | ||||||
Yum! Brands, Inc.† | 518 | 63,356 | ||||||
|
| |||||||
231,214 | ||||||||
|
| |||||||
Diversified Financials — 5.0% |
| |||||||
Berkshire Hathaway, Inc., Class B†* | 471 | 128,555 | ||||||
BlackRock, Inc.† | 100 | 83,866 | ||||||
Moody’s Corp. | 65 | 23,082 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Nasdaq, Inc.† | 349 | $ | 67,364 | |||||
T Rowe Price Group, Inc.† | 524 | 103,071 | ||||||
|
| |||||||
405,938 | ||||||||
|
| |||||||
Energy — 1.1% | ||||||||
Baker Hughes Co. | 614 | 15,184 | ||||||
Coterra Energy, Inc. | 1,021 | 22,217 | ||||||
EOG Resources, Inc. | 317 | 25,446 | ||||||
Hess Corp. | 47 | 3,671 | ||||||
Marathon Petroleum Corp. | 345 | 21,324 | ||||||
Schlumberger NV | 1 | 30 | ||||||
|
| |||||||
87,872 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.2% |
| |||||||
Kroger Co. (The)† | 3,202 | 129,457 | ||||||
Sysco Corp.† | 96 | 7,536 | ||||||
Walgreens Boots Alliance, Inc. | 17 | 800 | ||||||
Walmart, Inc.† | 1,459 | 203,355 | ||||||
|
| |||||||
341,148 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 20.6% |
| |||||||
Altria Group, Inc.† | 2,825 | 128,594 | ||||||
Archer-Daniels-Midland Co.† | 1,383 | 82,994 | ||||||
Campbell Soup Co.† | 2,644 | 110,546 | ||||||
Coca-Cola Co. (The) | 1,655 | 86,838 | ||||||
Conagra Brands, Inc.† | 3,325 | 112,618 | ||||||
Constellation Brands, Inc., Class A† | 111 | 23,387 | ||||||
General Mills, Inc.† | 2,695 | 161,215 | ||||||
Hershey Co. (The) | 844 | 142,847 | ||||||
JM Smucker Co. (The)† | 386 | 46,332 | ||||||
Kellogg Co.† | 2,515 | 160,759 | ||||||
Kraft Heinz Co. (The)† | 4,842 | 178,282 | ||||||
Molson Coors Beverage Co., Class B† | 183 | 8,487 | ||||||
Mondelez International, Inc., | ||||||||
Class A† | 2,387 | 138,876 | ||||||
PepsiCo, Inc. | 464 | 69,790 | ||||||
Philip Morris International, Inc.† | 1,641 | 155,550 | ||||||
Tyson Foods, Inc., Class A† | 1,024 | 80,834 | ||||||
|
| |||||||
1,687,949 | ||||||||
|
| |||||||
Health Care Equipment & Services — 14.2% |
| |||||||
Abbott Laboratories† | 280 | 33,076 | ||||||
Anthem, Inc. | 111 | 41,381 | ||||||
Cerner Corp. | 288 | 20,310 | ||||||
Cigna Corp. | 266 | 53,243 | ||||||
CVS Health Corp.† | 1,240 | 105,226 | ||||||
Danaher Corp.† | 112 | 34,097 | ||||||
DaVita, Inc.* | 165 | 19,183 |
The accompanying notes are an integral part of the financial statements.
164
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
HCA Healthcare, Inc. | 181 | $ | 43,932 | |||||
Hologic, Inc.†* | 2,714 | 200,320 | ||||||
Laboratory Corp. of America Holdings†* | 829 | 233,314 | ||||||
McKesson Corp. | 212 | 42,269 | ||||||
Quest Diagnostics, Inc.† | 1,667 | 242,232 | ||||||
UnitedHealth Group, Inc. | 246 | 96,122 | ||||||
|
| |||||||
1,164,705 | ||||||||
|
| |||||||
Household & Personal Products — 4.9% |
| |||||||
Colgate-Palmolive Co.† | 2,269 | 171,491 | ||||||
Kimberly-Clark Corp.† | 1,000 | 132,440 | ||||||
Procter & Gamble Co. (The)† | 683 | 95,483 | ||||||
|
| |||||||
399,414 | ||||||||
|
| |||||||
Insurance — 3.2% |
| |||||||
Aon PLC, Class A (Ireland)† | 237 | 67,727 | ||||||
Arthur J Gallagher & Co. | 585 | 86,960 | ||||||
Brown & Brown, Inc. | 595 | 32,993 | ||||||
Marsh & McLennan Cos., Inc.† | 495 | 74,958 | ||||||
|
| |||||||
262,638 | ||||||||
|
| |||||||
Materials — 1.8% | ||||||||
Avery Dennison Corp. | 145 | 30,045 | ||||||
CF Industries Holdings, Inc.† | 8 | 447 | ||||||
DuPont de Nemours, Inc. | 662 | 45,009 | ||||||
Eastman Chemical Co.† | 259 | 26,092 | ||||||
International Paper Co. | 473 | 26,450 | ||||||
Sherwin-Williams Co. (The) | 66 | 18,462 | ||||||
|
| |||||||
146,505 | ||||||||
|
| |||||||
Media & Entertainment — 9.4% |
| |||||||
Activision Blizzard, Inc.† | 1,041 | 80,563 | ||||||
Alphabet, Inc., Class A†* | 105 | 280,720 | ||||||
Charter Communications, Inc., Class A†* | 66 | 48,019 | ||||||
Electronic Arts, Inc.† | 45 | 6,401 | ||||||
Facebook, Inc., Class A†* | 448 | 152,047 | ||||||
Fox Corp., Class A† | 225 | 9,025 | ||||||
Interpublic Group of Cos., Inc. (The). | 136 | 4,987 | ||||||
Netflix, Inc.* | 215 | 131,223 | ||||||
Take-Two Interactive Software, Inc.†* | 19 | 2,927 | ||||||
ViacomCBS, Inc., Class B | 1,435 | 56,697 | ||||||
|
| |||||||
772,609 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 12.3% |
| |||||||
AbbVie, Inc. | 420 | 45,305 | ||||||
Biogen, Inc.†* | 327 | 92,538 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences —(Continued) |
| |||||||
Gilead Sciences, Inc.† | 954 | $ | 66,637 | |||||
Illumina, Inc.†* | 23 | 9,329 | ||||||
Johnson & Johnson | 935 | 151,002 | ||||||
Merck & Co., Inc. | 2,296 | 172,453 | ||||||
Organon & Co. | 2,435 | 79,844 | ||||||
PerkinElmer, Inc.† | 1,148 | 198,937 | ||||||
Pfizer, Inc.† | 4,231 | 181,975 | ||||||
Vertex Pharmaceuticals, Inc.* | 28 | 5,079 | ||||||
|
| |||||||
1,003,099 | ||||||||
|
| |||||||
Real Estate — 5.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 580 | 110,821 | ||||||
Duke Realty Corp., REIT | 1,353 | 64,768 | ||||||
Extra Space Storage, Inc., REIT | 445 | 74,756 | ||||||
Iron Mountain, Inc., REIT | 32 | 1,390 | ||||||
Mid-America Apartment Communities, Inc., REIT | 172 | 32,121 | ||||||
Public Storage, REIT | 329 | 97,746 | ||||||
Weyerhaeuser Co., REIT | 1,883 | 66,978 | ||||||
|
| |||||||
448,580 | ||||||||
|
| |||||||
Retailing — 8.5% | ||||||||
Amazon.com, Inc.†* | 79 | 259,518 | ||||||
AutoZone, Inc.†* | 13 | 22,074 | ||||||
Bath & Body Works, Inc. | 897 | 56,538 | ||||||
Best Buy Co., Inc.† | 52 | 5,497 | ||||||
eBay, Inc.† | 1,294 | 90,153 | ||||||
Gap, Inc. (The) | 291 | 6,606 | ||||||
Genuine Parts Co.† | 230 | 27,883 | ||||||
Home Depot, Inc. (The)† | 187 | 61,385 | ||||||
LKQ Corp.†* | 277 | 13,939 | ||||||
Lowe’s Cos., Inc.† | 203 | 41,180 | ||||||
O’Reilly Automotive, Inc.†* | 60 | 36,663 | ||||||
Ross Stores, Inc. | 168 | 18,287 | ||||||
Target Corp.† | 227 | 51,931 | ||||||
|
| |||||||
691,654 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
Applied Materials, Inc. | 336 | 43,253 | ||||||
Intel Corp. | 1,570 | 83,650 | ||||||
|
| |||||||
126,903 | ||||||||
|
| |||||||
Software & Services — 12.7% | ||||||||
Accenture PLC, Class A (Ireland) | 97 | 31,032 | ||||||
Automatic Data Processing, Inc. | 555 | 110,956 | ||||||
Broadridge Financial Solutions, Inc. | 1 | 167 |
The accompanying notes are an integral part of the financial statements.
165
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
International Business Machines Corp. | 346 | $ | 48,070 | |||||
Mastercard, Inc., Class A† | 155 | 53,890 | ||||||
Microsoft Corp.† | 1,186 | 334,357 | ||||||
NortonLifeLock, Inc.† | 5,579 | 141,149 | ||||||
Oracle Corp.† | 1,288 | 112,223 | ||||||
Paychex, Inc. | 174 | 19,566 | ||||||
PayPal Holdings, Inc.†* | 185 | 48,139 | ||||||
Visa, Inc., Class A† | 336 | 74,844 | ||||||
Western Union Co. (The) | 3,133 | 63,349 | ||||||
|
| |||||||
1,037,742 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 10.8% |
| |||||||
Apple, Inc.† | 2,584 | 365,636 | ||||||
Cisco Systems, Inc.† | 2,567 | 139,722 | ||||||
Corning, Inc. | 1,571 | 57,326 | ||||||
F5 Networks, Inc.†* | 12 | 2,385 | ||||||
HP, Inc. | 3,531 | 96,608 | ||||||
Juniper Networks, Inc.† | 765 | 21,053 | ||||||
Keysight Technologies, Inc.* | 148 | 24,315 | ||||||
NetApp, Inc. | 606 | 54,395 | ||||||
Seagate Technology Holdings PLC (Ireland) | 1,491 | 123,037 | ||||||
|
| |||||||
884,477 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
AT&T, Inc. | 4,651 | 125,624 | ||||||
Verizon Communications, Inc.† | 3,142 | 169,699 | ||||||
|
| |||||||
295,323 | ||||||||
|
| |||||||
Transportation — 3.0% |
| |||||||
CSX Corp. | 764 | 22,721 | ||||||
Expeditors International of Washington, Inc.† | 644 | 76,720 | ||||||
Southwest Airlines Co.* | 273 | 14,040 | ||||||
Union Pacific Corp. | 68 | 13,329 | ||||||
United Parcel Service, Inc., Class B | 640 | 116,544 | ||||||
|
| |||||||
243,354 | ||||||||
|
| |||||||
Utilities — 3.4% |
| |||||||
Dominion Energy, Inc.† | 1,294 | 94,488 | ||||||
NRG Energy, Inc. | 1,691 | 69,043 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) |
| |||||||
PPL Corp. | 2,984 | $ | 83,194 | |||||
Public Service Enterprise Group, Inc. | 482 | 29,354 | ||||||
|
| |||||||
276,079 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $10,313,103) | 11,377,434 | |||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.1% | 11,377,434 | |||||||
|
| |||||||
SHORT POSITIONS — (40.2)% |
| |||||||
COMMON STOCKS — (40.2)% |
| |||||||
Automobiles & Components — (0.7)% |
| |||||||
Aptiv PLC (Jersey)* | (156 | ) | (23,239 | ) | ||||
BorgWarner, Inc. | (464 | ) | (20,050 | ) | ||||
Tesla, Inc.* | (21 | ) | (16,285 | ) | ||||
|
| |||||||
(59,574 | ) | |||||||
|
| |||||||
Banks — (1.9)% | ||||||||
Citizens Financial Group, Inc | (424 | ) | (19,920 | ) | ||||
Comerica, Inc. | (211 | ) | (16,986 | ) | ||||
Huntington Bancshares, Inc. | (1,627 | ) | (25,153 | ) | ||||
KeyCorp. | (547 | ) | (11,826 | ) | ||||
M&T Bank Corp. | (202 | ) | (30,167 | ) | ||||
People’s United Financial, Inc. | (737 | ) | (12,875 | ) | ||||
Regions Financial Corp. | (189 | ) | (4,028 | ) | ||||
Truist Financial Corp. | (394 | ) | (23,108 | ) | ||||
Zions Bancorp NA | (207 | ) | (12,811 | ) | ||||
|
| |||||||
(156,874 | ) | |||||||
|
| |||||||
Capital Goods — (1.9)% | ||||||||
Boeing Co. (The)* | (239 | ) | (52,566 | ) | ||||
Fastenal Co. | (99 | ) | (5,109 | ) | ||||
Generac Holdings, Inc.* | (49 | ) | (20,025 | ) | ||||
IDEX Corp. | (5 | ) | (1,035 | ) | ||||
PACCAR, Inc. | (41 | ) | (3,236 | ) | ||||
Raytheon Technologies Corp. | (209 | ) | (17,965 | ) | ||||
TransDigm Group, Inc.* | (51 | ) | (31,853 | ) | ||||
United Rentals, Inc.* | (68 | ) | (23,863 | ) | ||||
Xylem, Inc. | (3 | ) | (371 | ) | ||||
|
| |||||||
(156,023 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.0)% |
| |||||||
Cintas Corp. | (76 | ) | (28,930 | ) | ||||
Copart, Inc.* | (74 | ) | (10,265 | ) | ||||
IHS Markit Ltd. (Bermuda) | (1 | ) | (117 | ) |
The accompanying notes are an integral part of the financial statements.
166
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Rollins, Inc. | (913 | ) | $ | (32,256 | ) | |||
Verisk Analytics, Inc. | (54 | ) | (10,815 | ) | ||||
|
| |||||||
(82,383 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (0.7)% |
| |||||||
DR Horton, Inc. | (136 | ) | (11,420 | ) | ||||
Leggett & Platt, Inc. | (404 | ) | (18,115 | ) | ||||
NVR, Inc.* | (1 | ) | (4,794 | ) | ||||
PulteGroup, Inc. | (316 | ) | (14,511 | ) | ||||
PVH Corp.* | (67 | ) | (6,887 | ) | ||||
VF Corp. | (50 | ) | (3,350 | ) | ||||
|
| |||||||
(59,077 | ) | |||||||
|
| |||||||
Consumer Services — (0.9)% |
| |||||||
Caesars Entertainment, Inc.* | (26 | ) | (2,919 | ) | ||||
Chipotle Mexican Grill, Inc.* | (14 | ) | (25,445 | ) | ||||
Darden Restaurants, Inc. | (142 | ) | (21,509 | ) | ||||
MGM Resorts International | (253 | ) | (10,917 | ) | ||||
Wynn Resorts Ltd.* | (143 | ) | (12,119 | ) | ||||
|
| |||||||
(72,909 | ) | |||||||
|
| |||||||
Diversified Financials — (1.0)% |
| |||||||
MarketAxess Holdings, Inc. | (64 | ) | (26,924 | ) | ||||
MSCI, Inc. | (11 | ) | (6,692 | ) | ||||
Northern Trust Corp. | (67 | ) | (7,223 | ) | ||||
State Street Corp. | (403 | ) | (34,142 | ) | ||||
Synchrony Financial | (199 | ) | (9,727 | ) | ||||
|
| |||||||
(84,708 | ) | |||||||
|
| |||||||
Energy — (0.0)% | ||||||||
Phillips 66 | (18 | ) | (1,261 | ) | ||||
|
| |||||||
Food, Beverage & Tobacco — (0.6)% |
| |||||||
Brown-Forman Corp., Class B | (161 | ) | (10,789 | ) | ||||
Hormel Foods Corp. | (401 | ) | (16,441 | ) | ||||
Lamb Weston Holdings, Inc. | (167 | ) | (10,249 | ) | ||||
McCormick & Co., Inc., non-voting shares | (146 | ) | (11,830 | ) | ||||
|
| |||||||
(49,309 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (2.9)% |
| |||||||
ABIOMED, Inc.* | (108 | ) | (35,156 | ) | ||||
Align Technology, Inc.* | (32 | ) | (21,294 | ) | ||||
DENTSPLY SIRONA, Inc. | (134 | ) | (7,779 | ) | ||||
Dexcom, Inc.* | (88 | ) | (48,124 | ) | ||||
Edwards Lifesciences Corp.* | (46 | ) | (5,208 | ) | ||||
Henry Schein, Inc.* | (66 | ) | (5,026 | ) | ||||
IDEXX Laboratories, Inc.* | (43 | ) | (26,742 | ) | ||||
Intuitive Surgical, Inc.* | (17 | ) | (16,900 | ) | ||||
ResMed, Inc. | (2 | ) | (527 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
STERIS PLC (Ireland) | (112 | ) | $ | (22,879 | ) | |||
Teleflex, Inc. | (74 | ) | (27,865 | ) | ||||
West Pharmaceutical Services, Inc. | (14 | ) | (5,943 | ) | ||||
Zimmer Biomet Holdings, Inc. | (97 | ) | (14,197 | ) | ||||
|
| |||||||
(237,640 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.0)% |
| |||||||
Church & Dwight Co., Inc. | (1 | ) | (83 | ) | ||||
|
| |||||||
Insurance — (0.3)% | ||||||||
Lincoln National Corp. | (245 | ) | (16,844 | ) | ||||
Principal Financial Group, Inc. | (100 | ) | (6,440 | ) | ||||
|
| |||||||
(23,284 | ) | |||||||
|
| |||||||
Materials — (3.8)% | ||||||||
Air Products & Chemicals, Inc. | (131 | ) | (33,551 | ) | ||||
Albemarle Corp. | (254 | ) | (55,618 | ) | ||||
Ball Corp. | (435 | ) | (39,137 | ) | ||||
Corteva, Inc. | (509 | ) | (21,419 | ) | ||||
Ecolab, Inc. | (155 | ) | (32,336 | ) | ||||
FMC Corp. | (200 | ) | (18,312 | ) | ||||
International Flavors & Fragrances, Inc. | (210 | ) | (28,081 | ) | ||||
Martin Marietta Materials, Inc. | (140 | ) | (47,835 | ) | ||||
PPG Industries, Inc. | (50 | ) | (7,151 | ) | ||||
Vulcan Materials Co. | (188 | ) | (31,802 | ) | ||||
|
| |||||||
(315,242 | ) | |||||||
|
| |||||||
Media & Entertainment — (0.7)% |
| |||||||
Live Nation Entertainment, Inc.* | (78 | ) | (7,108 | ) | ||||
Match Group, Inc.* | (302 | ) | (47,411 | ) | ||||
|
| |||||||
(54,519 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (1.9)% |
| |||||||
Amgen, Inc. | (70 | ) | (14,886 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (14 | ) | (10,443 | ) | ||||
Bio-Techne Corp. | (24 | ) | (11,630 | ) | ||||
Catalent, Inc.* | (307 | ) | (40,852 | ) | ||||
IQVIA Holdings, Inc.* | (6 | ) | (1,437 | ) | ||||
Moderna, Inc.* | (107 | ) | (41,180 | ) | ||||
Viatris, Inc. | (2,167 | ) | (29,363 | ) | ||||
Zoetis, Inc. | (15 | ) | (2,912 | ) | ||||
|
| |||||||
(152,703 | ) | |||||||
|
| |||||||
Real Estate — (1.5)% |
| |||||||
Boston Properties, Inc., REIT | (84 | ) | (9,101 | ) | ||||
Equinix, Inc., REIT | (53 | ) | (41,877 | ) | ||||
Host Hotels & Resorts, Inc., REIT* | (818 | ) | (13,358 | ) | ||||
Ventas, Inc., REIT | (528 | ) | (29,151 | ) |
The accompanying notes are an integral part of the financial statements.
167
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Vornado Realty Trust, REIT | (207 | ) | $ | (8,696 | ) | |||
Welltower, Inc., REIT | (235 | ) | (19,364 | ) | ||||
|
| |||||||
(121,547 | ) | |||||||
|
| |||||||
Retailing — (1.9)% | ||||||||
CarMax, Inc.* | (259 | ) | (33,142 | ) | ||||
Dollar General Corp. | (43 | ) | (9,122 | ) | ||||
Dollar Tree, Inc.* | (44 | ) | (4,212 | ) | ||||
Etsy, Inc.* | (209 | ) | (43,464 | ) | ||||
Pool Corp. | (43 | ) | (18,679 | ) | ||||
Tractor Supply Co. | (155 | ) | (31,404 | ) | ||||
Ulta Beauty, Inc.* | (35 | ) | (12,632 | ) | ||||
|
| |||||||
(152,655 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (3.5)% |
| |||||||
Advanced Micro Devices, Inc.* | (280 | ) | (28,812 | ) | ||||
Broadcom, Inc. | (41 | ) | (19,882 | ) | ||||
Enphase Energy, Inc.* | (285 | ) | (42,742 | ) | ||||
Microchip Technology, Inc. | (267 | ) | (40,982 | ) | ||||
Monolithic Power Systems, Inc. | (83 | ) | (40,228 | ) | ||||
NVIDIA Corp. | (149 | ) | (30,867 | ) | ||||
NXP Semiconductors NV (Netherlands) | (3 | ) | (588 | ) | ||||
Skyworks Solutions, Inc. | (35 | ) | (5,767 | ) | ||||
Teradyne, Inc. | (313 | ) | (34,170 | ) | ||||
Xilinx, Inc. | (281 | ) | (42,428 | ) | ||||
|
| |||||||
(286,466 | ) | |||||||
|
| |||||||
Software & Services — (4.2)% |
| |||||||
Akamai Technologies, Inc.* | (364 | ) | (38,071 | ) | ||||
Ceridian HCM Holding, Inc.* | (355 | ) | (39,980 | ) | ||||
Citrix Systems, Inc. | (404 | ) | (43,378 | ) | ||||
Fidelity National Information Services, Inc. | (211 | ) | (25,674 | ) | ||||
FleetCor Technologies, Inc.* | (33 | ) | (8,622 | ) | ||||
Fortinet, Inc.* | (11 | ) | (3,212 | ) | ||||
Global Payments, Inc. | (196 | ) | (30,886 | ) | ||||
Jack Henry & Associates, Inc. | (173 | ) | (28,382 | ) | ||||
Paycom Software, Inc.* | (95 | ) | (47,096 | ) | ||||
PTC, Inc.* | (271 | ) | (32,463 | ) | ||||
Tyler Technologies, Inc.* | (58 | ) | (26,602 | ) | ||||
VeriSign, Inc.* | (76 | ) | (15,581 | ) | ||||
|
| |||||||
(339,947 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.8)% |
| |||||||
IPG Photonics Corp.* | (127 | ) | (20,117 | ) | ||||
Teledyne Technologies, Inc.* | (93 | ) | (39,951 | ) | ||||
Trimble, Inc.* | (94 | ) | (7,731 | ) | ||||
|
| |||||||
(67,799 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (0.4)% | ||||||||
CH Robinson Worldwide, Inc. | (371 | ) | $ | (32,277 | ) | |||
|
| |||||||
Utilities — (9.6)% | ||||||||
AES Corp. (The) | (1,681 | ) | (38,377 | ) | ||||
Alliant Energy Corp. | (501 | ) | (28,046 | ) | ||||
Ameren Corp. | (385 | ) | (31,185 | ) | ||||
American Electric Power Co., Inc. | (395 | ) | (32,066 | ) | ||||
American Water Works Co., Inc. | (189 | ) | (31,949 | ) | ||||
Atmos Energy Corp. | (394 | ) | (34,751 | ) | ||||
CenterPoint Energy, Inc. | (1,940 | ) | (47,724 | ) | ||||
CMS Energy Corp. | (463 | ) | (27,655 | ) | ||||
Consolidated Edison, Inc. | (336 | ) | (24,390 | ) | ||||
DTE Energy Co. | (101 | ) | (11,283 | ) | ||||
Duke Energy Corp. | (157 | ) | (15,322 | ) | ||||
Edison International | (809 | ) | (44,875 | ) | ||||
Entergy Corp. | (355 | ) | (35,255 | ) | ||||
Evergy, Inc. | (401 | ) | (24,942 | ) | ||||
Eversource Energy | (594 | ) | (48,565 | ) | ||||
FirstEnergy Corp. | (845 | ) | (30,099 | ) | ||||
NextEra Energy, Inc. | (761 | ) | (59,754 | ) | ||||
NiSource, Inc. | (2,198 | ) | (53,258 | ) | ||||
Pinnacle West Capital Corp. | (684 | ) | (49,494 | ) | ||||
Sempra Energy | (350 | ) | (44,275 | ) | ||||
Southern Co. (The) | (177 | ) | (10,969 | ) | ||||
WEC Energy Group, Inc. | (326 | ) | (28,753 | ) | ||||
Xcel Energy, Inc. | (487 | ) | (30,437 | ) | ||||
|
| |||||||
(783,424 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS | (3,289,704 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS - (40.2)% | (3,289,704 | ) | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | 88,960 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 8,176,690 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC – Public Limited Company
REIT – Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
168
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2021
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2 | $ | 472,949,590 | $ | 216,946,171 | $ | 37,816,189 | |||||||||
Swaps, at value(a) | 32,142,833 | 35,319,045 | 3,056,022 | ||||||||||||
Cash and cash equivalents | 409,881 | 350,706 | — | ||||||||||||
Due from broker | 1,029,798 | 6,729,646 | — | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 9,779,874 | 4,470,445 | 2,031,582 | ||||||||||||
Capital shares sold | 885,812 | 605,002 | — | ||||||||||||
Dividends and interest | 311,341 | 140,696 | 25,133 | ||||||||||||
Prepaid expenses and other assets | 6,398 | 1,060 | 2,790 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Assets | 517,515,527 | 264,562,771 | 42,931,716 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Due to broker | — | — | 393,091 | ||||||||||||
Obligation to return cash collateral on swap contracts (Note 1) | 3,250,000 | 31,230,000 | 550,000 | ||||||||||||
Payables: | |||||||||||||||
Investments purchased | 13,676,754 | 5,461,142 | 1,633,518 | ||||||||||||
Investment adviser | 526,193 | 250,100 | 42,316 | ||||||||||||
Capital shares redeemed | 318,344 | 180,140 | 3,706 | ||||||||||||
Administration and accounting fees | 45,255 | 29,557 | 15,771 | ||||||||||||
Accrued expenses | 170,130 | 93,241 | 125,124 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Liabilities | 17,986,676 | 37,244,180 | 2,763,526 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 499,528,851 | $ | 227,318,591 | $ | 40,168,190 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 298,604 | $ | 176,000 | $ | 43,115 | |||||||||
Paid-in capital | 479,534,441 | 126,226,198 | 110,793,804 | ||||||||||||
Total distributable earnings/(loss) | 19,695,806 | 100,916,393 | (70,668,729 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 499,528,851 | $ | 227,318,591 | $ | 40,168,190 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 499,528,851 | $ | 227,318,591 | $ | 40,168,190 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding | 29,860,396 | 17,600,009 | 4,311,475 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 16.73 | $ | 12.92 | $ | 9.32 | |||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 415,695,765 | $ | 188,437,774 | $ | 34,738,367 | |||||||||
2 Includes market value of securities designated as collateral for swaps | $ | 128,843,439 | $ | 69,686,771 | $ | 22,918,249 |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
169
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
September 30, 2021
Gotham Index Plus Fund | Gotham Large Value Fund | |||||||||
Assets | ||||||||||
Non-affiliated investments, at value1,2 | $ | 377,599,088 | $ | 64,967,844 | ||||||
Affiliated investments, at value3 | 56,600,440 | — | ||||||||
Swaps, at value(a) | 87,163,236 | — | ||||||||
Cash and cash equivalents | — | 351,496 | ||||||||
Due from broker | 23,430,698 | — | ||||||||
Receivables: | �� | |||||||||
Investments sold | 6,991,311 | 1,616,782 | ||||||||
Capital shares sold | 367,450 | 500 | ||||||||
Dividends and interest | 347,571 | 85,820 | ||||||||
Prepaid expenses and other assets | 24,647 | 306 | ||||||||
|
|
|
| |||||||
Total Assets | 552,524,441 | 67,022,748 | ||||||||
|
|
|
| |||||||
Liabilities | ||||||||||
Due to broker | 49,603 | — | ||||||||
Obligation to return cash collateral on swap contracts (Note 1) | 85,550,000 | — | ||||||||
Payables: | ||||||||||
Investments purchased | 8,000,192 | 1,599,714 | ||||||||
Capital shares redeemed | 951,700 | 15,654 | ||||||||
Investment adviser | 378,675 | 10,713 | ||||||||
Administration and accounting fees | 34,467 | 4,560 | ||||||||
12b-1 distribution fees (Investor Class Shares) | 2,696 | — | ||||||||
Accrued expenses | 130,407 | 40,845 | ||||||||
|
|
|
| |||||||
Total Liabilities | 95,097,740 | 1,671,486 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 457,426,701 | $ | 65,351,262 | ||||||
|
|
|
| |||||||
Net Assets Consisted of: | ||||||||||
Capital stock, $0.01 par value | $ | 225,397 | $ | 39,111 | ||||||
Paid-in capital | 302,848,012 | 47,267,524 | ||||||||
Total distributable earnings | 154,353,292 | 18,044,627 | ||||||||
|
|
|
| |||||||
Net Assets | $ | 457,426,701 | $ | 65,351,262 | ||||||
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||
Net assets | $ | 444,755,729 | $ | 65,351,262 | ||||||
|
|
|
| |||||||
Shares outstanding | 21,913,443 | 3,911,139 | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 20.30 | $ | 16.71 | ||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Net assets | $ | 12,670,972 | N/A | |||||||
|
|
|
| |||||||
Shares outstanding | 626,228 | N/A | ||||||||
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 20.23 | N/A | |||||||
|
|
|
| |||||||
1 Non-affiliated investments, at cost | $ | 317,435,357 | $ | 55,008,159 | ||||||
2 Includes market value of securities designated as collateral for swaps | $ | 182,948,934 | $ | — | ||||||
3 Affiliated investments, at cost | $ | 56,506,063 | $ | — |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
170
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
September 30, 2021
Gotham Enhanced S&P 500 Index Fund | Gotham Hedged Core Fund | ||||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1 | $ | 15,476,929 | $ | 11,377,434 | |||||||||||
Cash and cash equivalents | 87,427 | 27,188 | |||||||||||||
Deposits with brokers for securities sold short | — | 72,007 | |||||||||||||
Receivables: | |||||||||||||||
Investments sold | 149,794 | 206,076 | |||||||||||||
Capital shares sold | 10,634 | — | |||||||||||||
Dividends and interest | 11,757 | 14,423 | |||||||||||||
|
|
|
| ||||||||||||
Total Assets | 15,736,541 | 11,697,128 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value2 | — | 3,289,704 | |||||||||||||
Payables: | |||||||||||||||
Investments purchased | 160,719 | 206,071 | |||||||||||||
Investment adviser | 4,532 | 19,587 | |||||||||||||
Capital shares redeemed | 384 | — | |||||||||||||
Dividends and fees on securities sold short | — | 4,026 | |||||||||||||
Accrued expenses | 1,977 | 1,050 | |||||||||||||
|
|
|
| ||||||||||||
Total Liabilities | 167,612 | 3,520,438 | |||||||||||||
|
|
|
| ||||||||||||
Net Assets | $ | 15,568,929 | $ | 8,176,690 | |||||||||||
|
|
|
| ||||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 9,690 | $ | 6,349 | |||||||||||
Paid-in capital | 12,406,437 | 6,114,053 | |||||||||||||
Total distributable earnings | 3,152,802 | 2,056,288 | |||||||||||||
|
|
|
| ||||||||||||
Net Assets | $ | 15,568,929 | $ | 8,176,690 | |||||||||||
|
|
|
| ||||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 15,568,929 | $ | 8,176,690 | |||||||||||
|
|
|
| ||||||||||||
Shares outstanding | 968,956 | 634,861 | |||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per share | $ | 16.07 | $ | 12.88 | |||||||||||
|
|
|
| ||||||||||||
1 Non-affiliated investments, at cost | $ | 13,001,855 | $ | 10,313,103 | |||||||||||
2 Proceeds received, securities sold short | $ | — | $ | 3,387,673 |
The accompanying notes are an integral part of the financial statements.
171
GOTHAM FUNDS
For the Year Ended September 30, 2021
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | Gotham Neutral Fund | |||||||||||||
Investment income | |||||||||||||||
Dividends from non-affiliated investments | $ | 5,324,777 | $ | 2,582,744 | $ | 419,069 | |||||||||
Less: taxes withheld | (23,731 | ) | (10,380 | ) | (3,034 | ) | |||||||||
Interest | 2,463 | 115 | 388 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 5,303,509 | 2,572,479 | 416,423 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 7,191,191 | 3,379,090 | 642,679 | ||||||||||||
Transfer agent fees (Note 2) | 430,001 | 150,611 | — | ||||||||||||
Administration and accounting fees (Note 2) | 213,261 | 165,071 | 89,890 | ||||||||||||
Legal fees | 190,106 | 81,463 | 24,904 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 140,146 | 64,707 | 12,644 | ||||||||||||
Audit fees | 84,645 | 52,652 | 42,772 | ||||||||||||
Registration and filing fees | 73,693 | 38,125 | 33,657 | ||||||||||||
Shareholder reporting fees | 68,445 | 34,340 | 22,437 | ||||||||||||
Custodian fees (Note 2) | 55,909 | 29,952 | 5,161 | ||||||||||||
Other expenses | 51,592 | 28,303 | 14,464 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before recoupments, waivers and/or reimbursements | 8,498,989 | 4,024,314 | 888,608 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments, waivers and/or reimbursements (Note 2) | (1,307,703 | ) | (645,181 | ) | (245,926 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after recoupments, waivers and/or reimbursements | 7,191,286 | 3,379,133 | 642,682 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment loss | (1,887,777 | ) | (806,654 | ) | (226,259 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 186,178,714 | 68,718,183 | 25,850,734 | ||||||||||||
Net realized loss from swaps | (112,912,078 | )(a) | (4,629,532 | )(a) | (19,045,718 | )(a) | |||||||||
Net realized loss from foreign currency transactions | (525 | ) | (6 | ) | (2 | ) | |||||||||
Net change in unrealized depreciation on non-affiliated investments | (28,360,888 | ) | (126,604 | ) | (7,920,972 | ) | |||||||||
Net change in unrealized appreciation/(depreciation) on swaps | 27,215,234 | (a) | (11,112,800 | )(a) | 1,285,446 | (a) | |||||||||
Net change in unrealized appreciation on foreign currency translations | 53 | 28 | 7 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 72,120,510 | 52,849,269 | 169,495 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 70,232,733 | $ | 52,042,615 | $ | (56,764 | ) | ||||||||
|
|
|
|
|
|
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
172
GOTHAM FUNDS
Statements of Operations (Continued)
For the Year Ended September 30, 2021
Gotham Index Plus Fund | Gotham Large | |||||||||
Investment income | ||||||||||
Dividends from non-affiliated investments | $ | 7,383,567 | $ | 1,800,079 | ||||||
Less: taxes withheld | (1,345 | ) | (519 | ) | ||||||
Interest | 104 | 51 | ||||||||
|
|
|
| |||||||
Total investment income | 7,382,326 | 1,799,611 | ||||||||
|
|
|
| |||||||
Expenses | ||||||||||
Advisory fees (Note 2) | 4,316,443 | 660,697 | ||||||||
Transfer agent fees (Note 2) | 371,083 | 74,437 | ||||||||
Administration and accounting fees (Note 2) | 158,866 | 34,766 | ||||||||
Legal fees | 136,149 | 29,239 | ||||||||
Trustees’ and officers’ fees (Note 2) | 123,564 | 25,185 | ||||||||
Custodian fees (Note 2) | 70,648 | 5,832 | ||||||||
Audit fees | 60,924 | 26,539 | ||||||||
Registration and filing fees | 58,075 | 27,805 | ||||||||
Shareholder reporting fees | 38,717 | 25,887 | ||||||||
Distribution fees (Investor Class) (Note 2) | 30,714 | — | ||||||||
Other expenses | 44,126 | 13,350 | ||||||||
|
|
|
| |||||||
Total expenses before recoupments, waivers and/or reimbursements | 5,409,309 | 923,737 | ||||||||
|
|
|
| |||||||
Recoupments, waivers and/or reimbursements (Note 2) | (402,970 | ) | (263,040 | ) | ||||||
|
|
|
| |||||||
Net expenses after recoupments, waivers and/or reimbursements | 5,006,339 | 660,697 | ||||||||
|
|
|
| |||||||
Net investment income | 2,375,987 | 1,138,914 | ||||||||
|
|
|
| |||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||
Net realized gain from non-affiliated investments | 120,772,711 | (a) | 18,029,679 | |||||||
Net realized gain from swaps | 18,901,241 | (b) | — | |||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | (3,504,701 | ) | 4,213,869 | |||||||
Net change in unrealized appreciation on affiliated investments | 94,377 | — | ||||||||
Net change in unrealized depreciation on swaps | (37,986,954 | )(b) | — | |||||||
|
|
|
| |||||||
Net realized and unrealized gain on investments | 98,276,674 | 22,243,548 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | $ | 100,652,661 | $ | 23,382,462 | ||||||
|
|
|
|
(a) | Includes net realized gains of $9,731,538 relating to a redemption in-kind (See Note 4). For tax purposes, no gain or losses will be recognized. |
(b) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
173
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Year Ended September 30, 2021
Gotham Enhanced S&P | Gotham Hedged | |||||||||||||||||||||||
500 Index Fund | Core Fund | |||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Dividends from non-affiliated investments | $ | 211,191 | $ | 264,527 | ||||||||||||||||||||
Less: taxes withheld | (3 | ) | — | |||||||||||||||||||||
Interest | 9 | 9 | ||||||||||||||||||||||
Income from securities loaned (Note 5) | — | 29 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total investment income | 211,197 | 264,565 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Advisory fees (Note 2) | 64,235 | 67,997 | ||||||||||||||||||||||
Legal fees | 28,146 | 3,654 | ||||||||||||||||||||||
Registration and filing fees | 27,873 | 26,878 | ||||||||||||||||||||||
Support services fees | 18,427 | 9,467 | ||||||||||||||||||||||
Transfer agent fees (Note 2) | 2,157 | 887 | ||||||||||||||||||||||
Administration and accounting fees (Note 2) | 1,629 | 6,957 | ||||||||||||||||||||||
Trustees’ and officers’ fees (Note 2) | 88 | 814 | ||||||||||||||||||||||
Custodian fees (Note 2) | 18 | 289 | ||||||||||||||||||||||
Dividends and fees on securities sold short (Note 1) | — | 78,817 | ||||||||||||||||||||||
Shareholder reporting fees | — | 5,499 | ||||||||||||||||||||||
Other expenses | 906 | 2,571 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total expenses before recoupments, waivers and/or reimbursements | 143,479 | 203,830 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Recoupments, waivers and/or reimbursements (Note 2) | (79,244 | ) | (42,614 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net expenses after recoupments, waivers and/or reimbursements | 64,235 | 161,216 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net investment income | 146,962 | 103,349 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net realized and unrealized gain/(loss) from investments: | ||||||||||||||||||||||||
Net realized gain from non-affiliated investments | 1,005,340 | 2,524,048 | ||||||||||||||||||||||
Net realized loss from securities sold short | — | (1,334,604 | ) | |||||||||||||||||||||
Net change in unrealized appreciation on non-affiliated investments | 1,553,131 | 98,586 | ||||||||||||||||||||||
Net change in unrealized appreciation on securities sold short | — | 82,725 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net realized and unrealized gain on investments | 2,558,471 | 1,370,755 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase in net assets resulting from operations | $ | 2,705,433 | $ | 1,474,104 | ||||||||||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
174
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham Absolute Return Fund | Gotham Enhanced Return Fund | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment loss | $ | (1,887,777 | ) | $ | (2,607,321 | ) | $ | (806,654 | ) | $ | (1,308,243 | ) | ||||||||||||||||||||||||||||||||||||
Net realized gain/(loss) from investments, securities sold short, swaps and foreign currency transactions | 73,266,111 | (15,068,216 | ) | 64,088,645 | (8,365,916 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized depreciation on investments, securities sold short, swaps and foreign currency translations | (1,145,601 | ) | (30,786,992 | ) | (11,239,376 | ) | (26,929,259 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in net assets | 70,232,733 | (48,462,529 | ) | 52,042,615 | (36,603,418 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total distributable earnings: | ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | — | — | (334,852 | ) | (124,087,944 | ) | ||||||||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Net decrease in net assets from dividends | — | — | (334,852 | ) | (124,087,944 | ) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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| |||||||||||||||||||||||||||||||||||||||||
Decrease in net assets derived from | (76,693,148 | ) | (302,795,097 | ) | (61,113,855 | ) | (121,651,134 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
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| |||||||||||||||||||||||||||||||||||||||||
Total decrease in net assets | (6,460,415 | ) | (351,257,626 | ) | (9,406,092 | ) | (282,342,496 | ) | ||||||||||||||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||||||||||
Net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of year | 505,989,266 | 857,246,892 | 236,724,683 | 519,067,179 | ||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||
End of year | $ | 499,528,851 | $ | 505,989,266 | $ | 227,318,591 | $ | 236,724,683 | ||||||||||||||||||||||||||||||||||||||||
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The accompanying notes are an integral part of the financial statements.
175
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Neutral Fund | Gotham Index Plus Fund | |||||||||||||||
For the Year | For the Year | For the Year | For the Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | |||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | (226,259 | ) | $ | (1,202,743 | ) | $ | 2,375,987 | $ | 4,561,361 | ||||||
Net realized gain/(loss) from investments, swaps and foreign currency transactions | 6,805,014 | 554,251 | 139,673,952 | (82,906,650 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations | (6,635,519 | ) | (16,524,100 | ) | (41,397,278 | ) | 88,741,908 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) in net assets resulting from operations | (56,764 | ) | (17,172,592 | ) | 100,652,661 | 10,396,619 | ||||||||||
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|
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| |||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||
Total distributable earnings: | ||||||||||||||||
Institutional Class | — | — | (4,445,820 | ) | (9,228,671 | ) | ||||||||||
Investor Class | N/A | N/A | (98,640 | ) | (203,551 | ) | ||||||||||
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|
| |||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | — | (4,544,460 | ) | (9,432,222 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in net assets derived from capital share transactions (Note 4) | (15,450,336 | ) | (108,565,570 | ) | (43,732,266 | ) | (260,792,812 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase/(decrease) in net assets | (15,507,100 | ) | (125,738,162 | ) | 52,375,935 | (259,828,415 | ) | |||||||||
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|
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|
|
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|
| |||||||||
Net assets | ||||||||||||||||
Beginning of year | 55,675,290 | 181,413,452 | 405,050,766 | 664,879,181 | ||||||||||||
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| |||||||||
End of year | $ | 40,168,190 | $ | 55,675,290 | $ | 457,426,701 | $ | 405,050,766 | ||||||||
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|
|
|
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The accompanying notes are an integral part of the financial statements.
176
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Large Value Fund | Gotham Enhanced S&P 500 Index Fund | |||||||||||||||||||||||||||||||||||||||||||||||
For the Year | For the Year | For the Year | For the Year | |||||||||||||||||||||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2020 | September 30, 2021 | September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 1,138,914 | $ | 1,264,674 | $ | 146,962 | $ | 118,395 | ||||||||||||||||||||||||||||||||||||||||
Net realized gain/(loss) from investments | 18,029,679 | (5,960,490 | ) | 1,005,340 | (338,005 | ) | ||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation on investments | 4,213,869 | 2,488,169 | 1,553,131 | 497,653 | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 23,382,462 | (2,207,647 | ) | 2,705,433 | 278,043 | |||||||||||||||||||||||||||||||||||||||||||
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|
|
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| |||||||||||||||||||||||||||||||||||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||||||||||||||||||||||||||||||||||
Total distributable earnings: | ||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | (1,307,860 | ) | (1,610,912 | ) | (114,476 | ) | (269,329 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (1,307,860 | ) | (1,610,912 | ) | (114,476 | ) | (269,329 | ) | ||||||||||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||||||||||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (26,725,897 | ) | 14,843,066 | 6,631,865 | (297,232 | ) | ||||||||||||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||||||||||
Total increase/(decrease) in net assets | (4,651,295 | ) | 11,024,507 | 9,222,822 | (288,518 | ) | ||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||
Net assets | ||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of year | 70,002,557 | 58,978,050 | 6,346,107 | 6,634,625 | ||||||||||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||||||
End of year | $ | 65,351,262 | $ | 70,002,557 | $ | 15,568,929 | $ | 6,346,107 | ||||||||||||||||||||||||||||||||||||||||
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|
|
The accompanying notes are an integral part of the financial statements.
177
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Hedged Core Fund | ||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 103,349 | $ | 51,943 | ||||||
Net realized gain/(loss) from investments and securities sold short | 1,189,444 | (221,239 | ) | |||||||
Net change in unrealized appreciation on investments and securities sold short | 181,311 | 764,069 | ||||||||
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|
|
| |||||||
Net increase in net assets resulting from operations | 1,474,104 | 594,773 | ||||||||
|
|
|
| |||||||
Less dividends and distributions to shareholders from: | ||||||||||
Total distributable earnings: | ||||||||||
Institutional Class | (83,766 | ) | (152,049 | ) | ||||||
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|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (83,766 | ) | (152,049 | ) | ||||||
|
|
|
| |||||||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (2,017,190 | ) | 5,778,631 | |||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | (626,852 | ) | 6,221,355 | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of year | 8,803,542 | 2,582,187 | ||||||||
|
|
|
| |||||||
End of year | $ | 8,176,690 | $ | 8,803,542 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
178
GOTHAM FUNDS
September 30, 2021
Gotham Hedged Core Fund | |||||
Cash flows used in operating activities: | |||||
Net increase in net assets resulting from operations | $ | 1,474,104 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | |||||
Purchases of long-term portfolio investments | (26,907,199 | ) | |||
Proceeds from disposition of long-term portfolio investments | 30,325,606 | ||||
Purchases to cover securities sold short | (17,477,076 | ) | |||
Proceeds from securities sold short | 16,019,880 | ||||
Net realized (gain)/loss on investments and securities sold short | (1,189,444 | ) | |||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (181,311 | ) | |||
Decrease in securities lending cash collateral | 178 | ||||
Increase in receivable for investments sold | (128,685 | ) | |||
Increase in dividends and interest receivable | (3,927 | ) | |||
Decrease in receivable from investment adviser | 11,433 | ||||
Decrease in prepaid expenses and other assets | 320 | ||||
Increase in payable for investments purchased | 128,459 | ||||
Increase in payable from investment adviser | 19,587 | ||||
Increase in payable for dividends and fees on securities sold short | 913 | ||||
Decrease in use of cash collateral from securities lending | (178 | ) | |||
Decrease in accrued expense payable | (40,154 | ) | |||
|
| ||||
Net cash provided by operating activities | 2,052,506 | ||||
|
| ||||
Cash flows from financing activities: | |||||
Proceeds from shares sold | 2,911,941 | ||||
Payment of shares redeemed | (5,012,897 | ) | |||
|
| ||||
Net cash used in financing activities | (2,100,956 | ) | |||
|
| ||||
Net decrease in cash and restricted cash | (48,450 | ) | |||
Cash and restricted cash: | |||||
Beginning of year: | $ | 147,645 | |||
|
| ||||
End of year: | $ | 99,195 | |||
|
| ||||
Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities: | |||||
Cash | $ | 129,076 | |||
|
| ||||
Restricted Cash | $ | 18,569 | |||
|
| ||||
Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities: | |||||
Cash | $ | 27,188 | |||
|
| ||||
Restricted Cash | $ | 72,007 | |||
|
| ||||
Supplemental disclosure of cash flow information: | |||||
Cash received during the year for financing charges. | $ | 27,029 |
The accompanying notes are an integral part of the financial statements.
179
GOTHAM FUNDS
Gotham Absolute Return Fund
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the | For the | For the | For the | For the | |||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.39 | $ | 15.01 | $ | 14.86 | $ | 13.94 | $ | 12.70 | |||||||||||||||
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| ||||||||||||||||
Net investment loss(1) | (0.06 | ) | (0.06 | ) | (0.00 | )(2) | (0.09 | ) | (0.12 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.40 | (0.56 | ) | 0.15 | 1.01 | 1.36 | |||||||||||||||||||
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| ||||||||||||||||
Total from investment operations | 2.34 | (0.62 | ) | 0.15 | 0.92 | 1.24 | |||||||||||||||||||
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Redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | |||||||||||||||
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| ||||||||||||||||
Net asset value, end of year | $ | 16.73 | $ | 14.39 | $ | 15.01 | $ | 14.86 | $ | 13.94 | |||||||||||||||
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| ||||||||||||||||
Total investment return(4) | 16.26 | % | (4.13 | )% | 1.01 | % | 6.60 | % | 9.76 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 499,529 | $ | 505,989 | $ | 857,247 | $ | 1,069,045 | $ | 884,205 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(5) | 1.50 | % | 2.55 | % | 2.58 | % | 2.56 | % | 2.81 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5)(6) | 1.77 | % | 2.65 | % | 2.60 | % | 2.63 | % | 2.95 | % | |||||||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.39 | )% | (0.39 | )% | | (0.02 | )%(7) | (0.58 | )% | (0.88 | )% | ||||||||||||||
Portfolio turnover rate | 210 | % | 259 | % | 233 | % | 258 | % | 238 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $(0.005) per share. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(5) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.05%, 2.15%, 2.15% and 2.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
(6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(7) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
The accompanying notes are an integral part of the financial statements.
180
GOTHAM FUNDS
Gotham Enhanced Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.21 | $ | 14.51 | $ | 15.55 | $ | 13.68 | $ | 11.79 | |||||||||||||||
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| ||||||||||||||||
Net investment loss(1) | (0.04 | ) | (0.04 | ) | (0.08 | ) | (0.13 | ) | (0.07 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.77 | (0.48 | ) | 0.26 | 2.14 | 1.96 | |||||||||||||||||||
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| ||||||||||||||||
Total from investment operations | 2.73 | (0.52 | ) | 0.18 | 2.01 | 1.89 | |||||||||||||||||||
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| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.02 | ) | — | — | — | — | |||||||||||||||||||
Net realized capital gains | — | (3.78 | ) | (1.22 | ) | (0.14 | ) | — | |||||||||||||||||
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| ||||||||||||||||
Total dividends and distributions to shareholders | (0.02 | ) | (3.78 | ) | (1.22 | ) | (0.14 | ) | — | ||||||||||||||||
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| ||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | |||||||||||||||
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| ||||||||||||||||
Net asset value, end of year | $ | 12.92 | $ | 10.21 | $ | 14.51 | $ | 15.55 | $ | 13.68 | |||||||||||||||
|
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|
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| ||||||||||||||||
Total investment return(3) | 26.73 | % | (6.81 | )% | 1.79 | % | 14.79 | % | 16.03 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 227,319 | $ | 236,725 | $ | 519,067 | $ | 845,833 | $ | 897,371 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.50 | % | 2.12 | % | 3.56 | % | 3.63 | % | 3.55 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(5) | 1.79 | % | 2.22 | % | 3.56 | % | 3.67 | % | 3.56 | % | |||||||||||||||
Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.36 | )% | (0.37 | )% | (0.56 | )% | (0.84 | )% | (0.51 | )% | |||||||||||||||
Portfolio turnover rate | 203 | % | 213 | % | 204 | % | 197 | % | 196 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 2.06%, 2.15%, 2.15% and 2.15% for years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
181
GOTHAM FUNDS
Gotham Neutral Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.19 | $ | 10.35 | $ | 10.25 | $ | 10.23 | $ | 9.91 | |||||||||||||||
|
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|
|
|
|
|
| ||||||||||||||||
Net investment income/(loss)(1) | (0.05 | ) | (0.09 | ) | 0.01 | (0.09 | ) | (0.13 | ) | ||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.18 | (1.07 | ) | 0.09 | 0.11 | 0.45 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.13 | (1.16 | ) | 0.10 | 0.02 | 0.32 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 9.32 | $ | 9.19 | $ | 10.35 | $ | 10.25 | $ | 10.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 1.42 | % | (11.21 | )% | 0.98 | % | 0.20 | % | 3.23 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 40,168 | $ | 55,675 | $ | 181,413 | $ | 356,672 | $ | 669,540 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.50 | % | 2.79 | % | 2.34 | % | 2.61 | % | 3.10 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(5) | 2.07 | % | 2.90 | % | 2.33 | % | 2.73 | % | 3.14 | % | |||||||||||||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.53 | )% | (0.95 | )% | 0.11 | %(6) | (0.87 | )% | (1.31 | )% | |||||||||||||||
Portfolio turnover rate | 282 | % | 356 | % | 331 | % | 274 | % | 261 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers, reimbursement, and recoupments for the Fund would be 2.09%, 2.15%, 2.15% and 2.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
The accompanying notes are an integral part of the financial statements.
182
GOTHAM FUNDS
Gotham Index Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.19 | $ | 15.18 | $ | 15.73 | $ | 13.00 | $ | 10.59 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.10 | 0.14 | 0.13 | 0.10 | 0.06 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 4.19 | 1.09 | (0.39 | ) | 2.68 | 2.41 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 4.29 | 1.23 | (0.26 | ) | 2.78 | 2.47 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.18 | ) | (0.22 | ) | (0.06 | ) | (0.05 | ) | (0.06 | ) | |||||||||||||||
Net realized capital gains | — | — | (0.23 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.18 | ) | (0.22 | ) | (0.29 | ) | (0.05 | ) | (0.06 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 20.30 | $ | 16.19 | $ | 15.18 | $ | 15.73 | $ | 13.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 26.76 | % | 8.14 | % | (1.57 | )% | 21.45 | % | 23.25 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 444,756 | $ | 394,773 | $ | 647,415 | $ | 631,060 | $ | 199,796 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.13 | % | 1.17 | % | 2.99 | % | 3.39 | % | 3.61 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(5) | 1.22 | % | 1.25 | % | 3.04 | % | 3.39 | % | 3.62 | % | |||||||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.55 | % | 0.89 | % | 0.89 | % | 0.69 | % | 0.46 | % | |||||||||||||||
Portfolio turnover rate | 158 | %(6) | 224 | % | 253 | % | 218 | % | 204 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund’s Institutional Class Shares would be 1.15%, 1.15%, 1.15% and 1.15% for the years ended September 30, 2020, 2019, 2018 and 2017, respectively. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
The accompanying notes are an integral part of the financial statements.
183
GOTHAM FUNDS
Gotham Index Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Investor Class Shares | ||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Period Ended September 30, 2018* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 16.15 | $ | 15.13 | $ | 15.70 | $ | 14.48 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss)(1) | 0.06 | 0.10 | (0.06 | ) | 0.05 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 4.16 | 1.10 | (0.24 | ) | 1.17 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 4.22 | 1.20 | (0.30 | ) | 1.22 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment loss | (0.14 | ) | (0.18 | ) | (0.04 | ) | — | |||||||||||||
Net realized capital gains | — | — | (0.23 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.14 | ) | (0.18 | ) | (0.27 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of year/period | $ | 20.23 | $ | 16.15 | $ | 15.13 | $ | 15.70 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(3) | 26.33 | % | 7.94 | % | (1.82 | )% | 8.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year year/period (in 000s) | $ | 12,671 | $ | 10,278 | $ | 17,464 | $ | 14,403 | ||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.38 | % | 1.42 | % | 4.28 | % | 3.64 | %(5) | ||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(6) | 1.47 | % | 1.50 | % | 4.34 | % | 3.64 | %(5) | ||||||||||||
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | 0.30 | % | 0.64 | % | (0.40 | )% | 0.49 | %(5) | ||||||||||||
Portfolio turnover rate | 158 | %(7) | 224 | % | 253 | % | 218 | %(8) |
* | Investor Class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when initial seed capital was issued at $14.48 per share. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund’s Investor Class Shares would be 1.40%, 1.40% and 1.40% for the years ended September 30, 2020, 2019 and the period ended September 30, 2018, respectively. |
(5) | Annualized. |
(6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(7) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
(8) | Reflects portfolio turnover of the Fund for the year ended September 30, 2018. |
The accompanying notes are an integral part of the financial statements.
184
GOTHAM FUNDS
Gotham Large Value Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.98 | $ | 13.29 | $ | 13.02 | $ | 12.46 | $ | 10.87 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.20 | 0.25 | 0.20 | 0.14 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 3.76 | (0.22 | ) | 0.18 | 2.03 | 1.71 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 3.96 | 0.03 | 0.38 | 2.17 | 1.85 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.23 | ) | (0.01 | ) | (0.28 | ) | (0.26 | ) | |||||||||||||||
Net realized capital gains | — | (0.11 | ) | (0.10 | ) | (1.33 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.23 | ) | (0.34 | ) | (0.11 | ) | (1.61 | ) | (0.26 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | — | 0.00 | (2) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 16.71 | $ | 12.98 | $ | 13.29 | $ | 13.02 | $ | 12.46 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 30.83 | % | 0.04 | % | 3.11 | % | 18.93 | % | 17.31 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 65,351 | $ | 70,003 | $ | 58,978 | $ | 31,318 | $ | 2,627 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.75 | % | 0.75 | % | 0.75 | % | 0.88 | % | 0.95 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4) | 1.05 | % | 1.03 | % | 1.05 | % | 2.19 | % | 4.40 | % | |||||||||||||||
Ratio of net investment income to average net assets | 1.29 | % | 1.95 | % | 1.61 | % | 1.12 | % | 1.19 | % | |||||||||||||||
Portfolio turnover rate | 226 | % | 406 | % | 316 | % | 670 | % | 169 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
185
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Period Ended September 30, 2017* | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 12.86 | $ | 11.93 | $ | 13.70 | $ | 11.53 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.17 | 0.21 | 0.19 | 0.20 | 0.13 | ||||||||||||||||||||
Net realized and unrealized gain on investments | 3.17 | 1.14 | 0.03 | 2.39 | 1.40 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 3.34 | 1.35 | 0.22 | 2.59 | 1.53 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.15 | ) | (0.21 | ) | (0.16 | ) | — | ||||||||||||||||
Net realized capital gains | — | (0.27 | ) | (1.78 | ) | (0.26 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.13 | ) | (0.42 | ) | (1.99 | ) | (0.42 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year/period | $ | 16.07 | $ | 12.86 | $ | 11.93 | $ | 13.70 | $ | 11.53 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 26.17 | % | 11.53 | % | 3.46 | % | 22.97 | % | 15.30 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 15,569 | $ | 6,346 | $ | 6,635 | $ | 3,529 | $ | 2,931 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | %(4) | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 1.12 | % | 2.13 | % | 3.20 | % | 2.55 | % | 3.61 | %(4) | |||||||||||||||
Ratio of net investment income to average net assets | 1.14 | % | 1.75 | % | 1.65 | % | 1.59 | % | | 1.66 | %(4) | ||||||||||||||
Portfolio turnover rate | 178 | % | 345 | % | 328 | % | 230 | % | 268 | %(6) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on December 30, 2016. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
186
GOTHAM FUNDS
Gotham Hedged Core Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.33 | $ | 11.16 | $ | 12.61 | $ | 11.34 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.13 | 0.13 | 0.14 | 0.11 | 0.07 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.51 | 0.70 | (0.11 | ) | 1.35 | 1.27 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.64 | 0.83 | 0.03 | 1.46 | 1.34 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.17 | ) | (0.07 | ) | (0.18 | ) | — | ||||||||||||||||
Net realized capital gains | (0.02 | ) | (0.49 | ) | (1.41 | ) | (0.01 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.09 | ) | (0.66 | ) | (1.48 | ) | (0.19 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (2) | — | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 12.88 | $ | 11.33 | $ | 11.16 | $ | 12.61 | $ | 11.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 14.56 | % | 7.59 | % | 0.86 | % | 12.93 | % | 13.40 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 8,177 | $ | 8,804 | $ | 2,582 | $ | 2,561 | $ | 2,267 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.66 | % | 1.52 | % | 1.00 | % | 1.16 | % | 1.40 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(5) | 2.10 | % | 3.47 | % | 4.05 | % | 3.85 | % | 4.91 | % | |||||||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 1.07 | % | 1.20 | % | 1.29 | % | 0.91 | % | 0.66 | % | |||||||||||||||
Portfolio turnover rate | 205 | % | 267 | % | 228 | % | 221 | % | 249 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers, reimbursements, and recoupments for the Fund would be 0.85%, 0.85%, 0.85%, 0.85% and 0.85% for the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
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1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Enhanced Return Fund, the Gotham Neutral Fund, the Gotham Index Plus Fund, the Gotham Large Value Fund, the Gotham Enhanced S&P 500 Index Fund and the Gotham Hedged Core Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Index Plus Fund, offers one class of shares, Institutional Class. The Gotham Index Plus Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
Gotham Absolute Return Fund (“Absolute Return”) | August 31, 2012 | |
Gotham Enhanced Return Fund (“Enhanced Return”) | May 31, 2013 | |
Gotham Neutral Fund (“Neutral”) | August 30, 2013 | |
Gotham Index Plus Fund (“Index Plus”) | March 31, 2015 | |
Gotham Large Value Fund (“Large Value”) | December 31, 2015 | |
Gotham Enhanced S&P 500 Index Fund (“Enhanced S&P 500 Index”) | December 30, 2016 | |
Gotham Hedged Core Fund (“Hedged Core”) | September 30, 2016 |
All the Funds, except for Large Value and Enhanced S&P 500 Index, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. Large Value seeks to achieve its investment objective by primarily investing in long positions of U.S. large capitalization equity securities with market capitalization similar to companies in the S&P 500® Index or Russell 1000® Index, but may invest in other large capitalization companies. Enhanced S&P 500 Index seeks to achieve its investment objective by generally investing at least 80% of its assets in U.S. equity securities listed in the S&P 500® Index.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. Over the Counter (“OTC”) investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith under the direction of the Board. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Gotham Asset Management, LLC (“Gotham” or “the Adviser”) the responsibility for applying the valuation methods. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security, asset or liability will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
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September 30, 2021
· | Level 1 — quoted prices in active markets for identical securities; |
· | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit |
risk, etc.); and
· | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: total return swaps with an end of period unrealized appreciation of $32,142,833, $35,319,045, $3,056,022 and $87,163,236 held by Absolute Return, Enhanced Return, Neutral, and Index Plus, respectively. These securities are considered Level 2 as of and for the year ended September 30, 2021.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the year ended September 30, 2021, there were no transfers in or out of Level 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis.
189
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September 30, 2021
Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund’s shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Short Sales — All Funds except for Large Value and Enhanced S&P 500 Index may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission ( “SEC” ) and other applicable regulatory bodies with respect to coverage of short sales.
As of September 30, 2021, the following Fund had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
Value of Securities Sold Short | Securities Pledged as Collateral | Deposits with Brokers for Securities Sold Short | |||||||||||||||||
Hedged Core | $ | 3,289,704 | $ | 7,471,436 | $72,007 |
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September 30, 2021
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Fund had net charges as shown in the table below for the year ended September 30, 2021:
Dividends on Securities Sold Short | Rebate (Income)/Fees | ||||||||||||||
Hedged Core | $51,788 | $8,658 |
The following Fund utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Fund’s respective investment objectives. A financing fee is charged to the Fund based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the year ended September 30, 2021:
Short Sales (Deposits) Proceeds | Financing Charges | |||||||||
Hedged Core | $ | 3,218,999 | $18,371 |
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under
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September 30, 2021
the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the year ended September 30, 2021, only Absolute Return, Enhanced Return, Neutral and Index Plus held total return swaps.
For the year ended September 30, 2021, the quarterly average notional volume of the total return swaps for each Fund was as follows:
Notional Amount | ||||
Absolute Return | $(177,483,177) | |||
Enhanced Return | (28,883,529) | |||
Neutral | (30,158,584) | |||
Index Plus | (83,028,297) |
Counterparty Risk — During the year ended September 30, 2021, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
Liquidity Risk — During the year ended September 30, 2021, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the year ended September 30, 2021, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the
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September 30, 2021
event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
LIBOR Phase-out Risk — The United Kingdom’s Financial Conduct Authority, which regulates London Interbank Overnight Rates (“LIBOR”), has announced plans to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which the Funds invest, as well as other unforeseen effects, could result in losses to the Funds.
Collateral Requirements — During the year ended September 30, 2021, Absolute Return, Enhanced Return, Neutral and Index Plus were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
Gross Amount Not Offset in the | ||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||
Offset in the | Assets Presented | |||||||||||||||||||||||
Gross Amounts | Statements of | in the Statements | ||||||||||||||||||||||
of Recognized | Assets and | of Assets and | Financial | Collateral | Net | |||||||||||||||||||
Assets/(Liabilities) | Liabilities | Liabilities | Instruments | Pledged/(Received)* | Amount** | |||||||||||||||||||
Absolute Return | $32,142,833 | $— | $32,142,833 | $— | $ (3,250,000 | ) | $28,892,833 | |||||||||||||||||
Enhanced Return | 35,319,045 | — | 35,319,045 | — | (31,230,000 | ) | 4,089,045 | |||||||||||||||||
Neutral | 3,056,022 | — | 3,056,022 | — | (550,000 | ) | 2,506,022 | |||||||||||||||||
Index Plus | 87,163,236 | — | 87,163,236 | — | (85,550,000 | ) | 1,613,236 |
* | Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
Absolute Return(1) | 1.50 | % | ||
Enhanced Return(1) | 1.50 | % | ||
Neutral | 1.50 | % | ||
Index Plus(1) | 1.00 | % | ||
Large Value | 0.75 | % | ||
Enhanced S&P 500 Index(1)(2) | 0.50 | % | ||
Hedged Core(2) | 0.70 | % |
(1) | Effective February 1, 2021, the advisory fee payable to Gotham shall be reduced by the dollar amount attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying Funds”), and the amount of such reduction shall be calculated based on the Fund’s average daily assets invested in an underlying fund. The effect of the reduction of investment advisory fee is intended to provide that Gotham’s aggregated direct and indirect compensation from a Fund and any underlying fund, respectively, does not exceed the annual advisory fee, prior to February 1, 2021. |
(2) | Effective November 1, 2020 and February 1, 2021, Enhanced S&P 500 Index and Hedged Core, respectively, entered into a Support, Service and Fee Assumption Agreement (“Agreement”) with Gotham, whereby Gotham will assume and undertake to pay substantially all Fund expenses, except taxes, interest and dividend expense, Rule 12b-1 fees, investment advisory fees and such non-recurring and/or extraordinary expenses as may arise. Under the Agreement, Gotham is entitled to a fee, computed daily and payable monthly, equal to the lesser of (i) the annualized rate of 0.15% of the Fund’s average daily net assets, or (ii) the actual amount of Gotham’s payment obligation under the Agreement. |
For all Funds, except for Neutral, Large Value and Hedged Core, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). For Neutral, Large Value and Hedged Core, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the year ended September 30, 2021.
Institutional Class | Investor Class | Termination Date | ||||
Absolute Return(1) | 0.00% | N/A | January 31, 2022 | |||
Enhanced Return(1) | 0.00% | N/A | January 31, 2022 | |||
Neutral | 1.50% | N/A | January 31, 2022 | |||
Index Plus(1) | 0.15% | 0.15% | January 31, 2022 | |||
Large Value | 0.75% | N/A | January 31, 2022 | |||
Enhanced S&P 500 Index(1) | 0.00% | N/A | January 31, 2022 | |||
Hedged Core | 0.85% | N/A | January 31, 2022 |
(1) | Gotham’s aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed 1.50%, 1.50%, 1.00% and 0.50% for Absolute Return, Enhanced Return, Index Plus and Enhanced S&P 500 Index, respectively, the annual investment advisory fee, prior to February 1, 2021. |
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September 30, 2021
For the year ended September 30, 2021, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Recoupments, Waivers and/or Reimbursements | Net Advisory Fee/ (Reimbursement) | |||||||||||||
Absolute Return | $ | 7,191,191 | $ | (1,307,703 | ) | $ | 5,883,488 | ||||||||
Enhanced Return | 3,379,090 | (645,181 | ) | 2,733,909 | |||||||||||
Neutral | 642,679 | (245,926 | ) | 396,753 | |||||||||||
Index Plus | 4,316,443 | (402,970 | ) | 3,913,473 | |||||||||||
Large Value | 660,697 | (263,040 | ) | 397,657 | |||||||||||
Enhanced S&P 500 Index | 64,235 | (79,244 | ) | (15,009) | |||||||||||
Hedged Core | 67,997 | (42,614 | ) | 25,383 |
For all Funds, except for Absolute Return, Enhanced Return, Neutral and Enhanced S&P 500 Index, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of September 30, 2021, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
Expiration | Expiration | Expiration | Expiration | |||||||||||||||||
09/30/2022 | 09/30/2023 | 09/30/2024 | Total | |||||||||||||||||
Index Plus | ||||||||||||||||||||
Institutional Class | $ | 383,317 | $ | 422,424 | $ | 391,665 | $ | 1,197,406 | ||||||||||||
Investor Class | 11,648 | 10,902 | 11,305 | 33,855 | ||||||||||||||||
Large Value | 156,711 | 184,619 | 263,040 | 604,370 | ||||||||||||||||
Hedged Core | 76,059 | 84,728 | 42,614 | 203,401 |
Other Service Providers
The Bank of New York Mellon ( “BNY Mellon” ) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the “Underwriter” ) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Index Plus, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Index Plus
195
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Index Plus’s Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC ( “JWFM” ) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC ( “Alaric” ) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Alaric are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists an issuer owned by Index Plus that may be deemed an “affiliated company” under the 1940 Act, as well as transactions that occurred in the security of such issuer during the year ended September 30, 2021:
Change in | ||||||||||||||||||||||||||||||||||||||||
Net | Unrealized | Shares | ||||||||||||||||||||||||||||||||||||||
Value at | Purchase | Sales | Realized | Appreciation/ | Value at | Held at | Dividend | |||||||||||||||||||||||||||||||||
Name of Issuer | 09/30/20 | Cost | Proceeds | Gain/(Loss) | (Depreciation) | 09/30/21 | 09/30/21 | Income | ||||||||||||||||||||||||||||||||
Gotham Enhanced 500 ETF | $ | — | $ | 56,506,063 | $ | — | $ | — | $ | 94,377 | $ | 56,600,440 | 2,446,000 | $ | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | 94,377 | $ | 56,600,440 | $ | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
3. Investment in Securities
For the year ended September 30, 2021, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||||
Absolute Return | $ | 953,786,565 | $ | 1,118,278,261 | ||||||
Enhanced Return | 431,218,226 | 507,043,063 | ||||||||
Neutral | 114,278,286 | 146,909,670 | ||||||||
Index Plus | 654,531,721 | 703,778,289 | ||||||||
Large Value | 191,032,512 | 217,877,809 | ||||||||
Enhanced S&P 500 Index | 29,026,806 | 22,414,015 | ||||||||
Hedged Core | 26,811,877 | 30,226,993 |
For the year ended September 30, 2021, the Funds had no purchases and sales of U.S. Government securities.
196
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
4. Capital Share Transactions
For the years ended September 30, 2021 and 2020, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Year Ended | For the Year Ended | |||||||||||||||
September 30, 2021 | September 30, 2020 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Absolute Return: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 7,666,168 | $ | 119,418,117 | 7,707,089 | $ | 111,825,830 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | 3,195 | — | 10,202 | ||||||||||||
Redemptions | (12,960,370 | ) | (196,114,460 | ) | (29,654,254 | ) | (414,631,129 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (5,294,202 | ) | $ | (76,693,148 | ) | (21,947,165 | ) | $ | (302,795,097 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced Return: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 2,371,756 | $ | 28,529,943 | 3,340,058 | $ | 36,819,281 | ||||||||||
Reinvestments | 28,679 | 300,838 | 9,276,386 | 108,069,892 | ||||||||||||
Redemption Fees* | — | 405 | — | 482 | ||||||||||||
Redemptions | (7,991,664 | ) | (89,945,041 | ) | (25,210,356 | ) | (266,540,789 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (5,591,229 | ) | $ | (61,113,855 | ) | (12,593,912 | ) | $ | (121,651,134 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Neutral : | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 1,337,315 | $ | 11,923,402 | 2,313,773 | $ | 22,882,144 | ||||||||||
Reinvestments | — | — | — | — | ||||||||||||
Redemption Fees* | — | 427 | — | 481 | ||||||||||||
Redemptions | (3,086,156 | ) | (27,374,165 | ) | (13,785,607 | ) | (131,448,195 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (1,748,841 | ) | $ | (15,450,336 | ) | (11,471,834 | ) | $ | (108,565,570 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Index Plus: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 5,446,249 | $ | 103,170,604 | 8,500,444 | $ | 128,551,226 | ||||||||||
Reinvestments | 202,608 | 3,379,499 | 420,842 | 6,754,520 | ||||||||||||
Redemption Fees* | — | 1,856 | — | 14,426 | ||||||||||||
Redemptions | (8,112,889 | ) | (149,954,593 | )** | (27,196,363 | ) | (388,757,413 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (2,464,032 | ) | $ | (43,402,634 | ) | (18,275,077 | ) | $ | (253,437,241 | ) | ||||||
|
|
|
|
|
|
|
|
197
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Investor Class | ||||||||||||||||
Sales | 176,170 | $ | 3,083,440 | 193,502 | $ | 2,999,496 | ||||||||||
Reinvestments | 5,855 | 97,550 | 12,613 | 202,195 | ||||||||||||
Redemption Fees* | — | 53 | — | 388 | ||||||||||||
Redemptions | (192,351 | ) | (3,510,675 | ) | (723,732 | ) | (10,557,650 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (10,326 | ) | $ | (329,632 | ) | (517,617 | ) | $ | (7,355,571 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total net decrease | (2,474,358 | ) | $ | (43,732,266 | ) | �� | (18,792,694 | ) | $ | (260,792,812 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Large Value: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 1,586,757 | $ | 24,657,014 | 5,096,192 | $ | 60,440,115 | ||||||||||
Reinvestments | 92,168 | 1,307,860 | 115,810 | 1,610,911 | ||||||||||||
Redemption Fees* | — | — | — | 59 | ||||||||||||
Redemptions | (3,159,326 | ) | (52,690,771 | ) | (4,257,287 | ) | (47,208,019 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (1,480,401 | ) | $ | (26,725,897 | ) | 954,715 | $ | 14,843,066 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced S&P 500 Index: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 647,845 | $ | 9,238,470 | 371,473 | $ | 4,535,175 | ||||||||||
Reinvestments | 8,342 | 114,453 | 22,022 | 269,329 | ||||||||||||
Redemption Fees* | — | 59 | — | 413 | ||||||||||||
Redemptions | (180,580 | ) | (2,721,117 | ) | (456,234 | ) | (5,102,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | 475,607 | $ | 6,631,865 | (62,739 | ) | $ | (297,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hedged Core: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 253,294 | $ | 2,911,941 | 563,090 | $ | 5,972,409 | ||||||||||
Reinvestments | 7,446 | 83,766 | 13,822 | 152,049 | ||||||||||||
Redemption Fees* | — | 2,923 | — | — | ||||||||||||
Redemptions | (403,008 | ) | (5,015,820 | ) | (31,260 | ) | (345,827 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (142,268 | ) | $ | (2,017,190 | ) | 545,652 | $ | 5,778,631 | ||||||||
|
|
|
|
|
|
|
|
* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
** | Index Plus had a redemption in-kind on September 29, 2021, in the amount of $20,610,000. The redemption was comprised of securities and cash, in the amount of $20,364,792 and $245,208, respectively. |
Significant Shareholders
As of September 30, 2021, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
Neutral | ||||
Affiliated Fund | 7 | % | ||
Index Plus | ||||
Affiliated Shareholders | 1 | % |
198
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Large Value | ||||
Affiliated Fund | 8 | % | ||
Enhanced S&P 500 Index | ||||
Affiliated Fund | 26 | % | ||
Affiliated Shareholders | 1 | % | ||
Non-affiliated Shareholders | 26 | % | ||
Hedged Core | ||||
Affiliated Fund | 50 | % | ||
Non-affiliated Shareholders | 44 | % |
5. Securities Lending
All Funds, except for Large Value and Enhanced S&P 500 Index, may lend securities to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments and/or securities consistent with the Fund’s investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received by the Funds at a rate equal to the Federal Funds (Open) rate plus 40 basis points with respect to the cash collateral received on those securities on loan that have a rebate that equals or exceeds the greater of either the Federal Funds (Open) rate minus 10 basis points or zero. These fees are included in the fees on cash collateral on the Statements of Operations. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser’s judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. Securities on loan are not used as collateral for swaps or as collateral for short securities, if any. During the year ended September 30, 2021, only Hedged Core entered into the securities lending program. Hedged Core had no open securities lending transactions as of September 30, 2021, and the income generated from the programs during the year ended September 30, 2021, with respect to such loans was as follows:
Market Value | Market Value | Income Received | ||||||||||||||||||
of Securities | Cash Collateral | of Non-cash | from Securities | |||||||||||||||||
Loaned | Received | Collateral | Lending | |||||||||||||||||
Hedged Core | $ | — | $ | — | $ | — | $ | 29 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The Funds had no open securities lending transactions which were subject to a MSLA as of September 30, 2021.
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
199
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. Net assets were not affected by these adjustments. Permanent differences as of September 30, 2021, were primarily attributed to capitalized dividends on short sales, net operating loss write-off, redesignation of dividends paid, equalization utilized and foreign currency reclassifications which were reclassified among the following accounts:
Increase/(Decrease) | ||||||
Total | Increase/(Decrease) | |||||
Distributable | Additional | |||||
Earnings | Paid in Capital | |||||
Absolute Return | $ 1,795,918 | $(1,795,918) | ||||
Enhanced Return | 988,633 | (988,633) | ||||
Neutral | 841,545 | (841,545) | ||||
Index Plus | (8,421,419) | 8,421,419 | ||||
Large Value | (3,195,643) | 3,195,643 | ||||
Hedged Core | (35,112) | 35,112 |
The tax character of distributions paid by the Funds during the year ended September 30, 2021, were as follows:
Ordinary | Long-Term | |||||
Income | Capital Gain | Return | ||||
Dividend | Dividend | of Capital | ||||
Enhanced Return | $ 334,833 | $ 19 | $— | |||
Index Plus | 4,544,442 | 18 | — | |||
Large Value | 1,307,860 | — | — | |||
Enhanced S&P 500 Index | 114,476 | — | — | |||
Hedged Core | 64,724 | 19,042 | — |
The tax character of distributions paid by the Funds during the year ended September 30, 2020, were as follows:
Ordinary | Long-Term | |||||
Income | Capital Gain | Return | ||||
Dividend | Dividend | of Capital | ||||
Enhanced Return | $ — | $124,087,944 | $— | |||
Index Plus | 9,432,222 | — | — | |||
Large Value | 1,230,886 | 380,026 | — | |||
Enhanced S&P 500 Index | 113,277 | 156,052 | — | |||
Hedged Core | 39,601 | 112,448 | �� | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
200
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/(Depreciation) | Qualified Late-Year Losses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Absolute Return | $ | (57,597,239 | ) | $ | — | $ | — | $ | 79,123,406 | $ | (1,830,361 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
Enhanced Return | — | — | 42,650,867 | 59,273,404 | (1,007,878 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Neutral | (75,556,945 | ) | — | — | 5,128,471 | (240,255 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Index Plus | — | — | 18,126,410 | 137,649,971 | (1,423,089 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Large Value | — | 563,127 | 9,133,859 | 8,347,641 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Enhanced S&P 500 Index | — | 120,041 | 848,438 | 2,184,323 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Hedged Core | — | 82,367 | 1,112,773 | 861,148 | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2021, were primarily attributed to wash sales, deferral of loss on unsettled short sale transactions, straddle losses outstanding, amortization of organizational costs and deferred interest expense. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2021, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
Net Unrealized | ||||||||||||||||||||
Federal | Unrealized | Unrealized | Appreciation/ | |||||||||||||||||
Tax Cost | Appreciation | (Depreciation) | (Depreciation) | |||||||||||||||||
Absolute Return | $ | 425,969,070 | $ | 132,496,759 | $ | (53,373,353 | ) | $ | 79,123,406 | |||||||||||
Enhanced Return | 192,991,840 | 111,039,463 | (51,766,059 | ) | 59,273,404 | |||||||||||||||
Neutral | 35,743,747 | 11,929,159 | (6,800,688 | ) | 5,128,471 | |||||||||||||||
Index Plus | 383,712,793 | 258,084,941 | (120,434,970 | ) | 137,649,971 | |||||||||||||||
Large Value | 56,620,203 | 10,518,105 | (2,170,464 | ) | 8,347,641 | |||||||||||||||
Enhanced S&P 500 Index | 13,292,606 | 2,600,486 | (416,163 | ) | 2,184,323 | |||||||||||||||
Hedged Core | 10,614,255 | 1,516,080 | (654,932 | ) | 861,148 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Funds deferred to October 1, 2021 the following losses:
Late-Year Ordinary | Short-Term Capital | Long-Term Capital | ||||
Losses Deferral | Loss Deferral | Loss Deferral | ||||
Absolute Return | $1,830,361 | $— | $— | |||
Enhanced Return | 1,007,878 | — | — | |||
Neutral | 240,255 | — | — | |||
Index Plus | 1,423,089 | — | — |
201
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2021
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
Capital Loss Carryforward | ||||||||||
Short-Term | Long-Term | |||||||||
Absolute Return | $ | 57,597,239 | $ | — | ||||||
Neutral | 75,556,945 | — |
For the year ended September 30, 2021, the following Funds utilized capital losses as follows:
Capital Losses | ||
Utilized | ||
Absolute Return | $ 3,344,299 | |
Enhanced Return | 12,671,992 | |
Index Plus | 23,491,546 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
202
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund, Gotham Index Plus Fund, Gotham Large Value Fund, Gotham Enhanced S&P 500 Index Fund and Gotham Hedged Core Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund, Gotham Index Plus Fund, Gotham Large Value Fund, Gotham Enhanced S&P 500 Index Fund and Gotham Hedged Core Fund (seven of the funds constituting FundVantage Trust, referred to hereafter collectively as the “Funds”) as of September 30, 2021, the related statements of operations for the year ended September 30, 2021, the statements of changes in net assets for each of the two years in the period ended September 30, 2021, and for Gotham Hedged Core Fund, the statement of cash flow for the year ended September 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2021, for Gotham Hedged Core Fund, the results of its cash flow for the year then ended and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, PA
November 23, 2021
We have served as the auditor of one or more investment companies in Gotham Asset Management LLC since 2011.
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Certain tax information regarding each Fund is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended September 30, 2021. The information and distributions reported here in may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2021. During the fiscal year ended September 30, 2021 the following dividends and distributions were paid by each of the Funds:
Ordinary | Long-Term | |||
Income | Capital Gain | |||
Enhanced Return | $ 334,833 | $ 19 | ||
Index Plus | 4,544,442 | 18 | ||
Large Value | 1,307,860 | — | ||
Enhanced S&P 500 Index | 114,476 | — | ||
Hedged Core | 64,724 | 19,042 |
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2021 were designated as “qualified dividend income”, as defined in the Act, and are subject to reduced tax rates:
Index Plus | 100.00 | % | ||
Large Value | 100.00 | % | ||
Enhanced S&P 500 Index | 94.06 | % | ||
Hedged Core | 100.00 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
Index Plus | 100.00 | % | ||
Large Value | 100.00 | % | ||
Enhanced S&P 500 Index | 94.76 | % | ||
Hedged Core | 100.00 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
Enhanced Return | 1.19 | % | ||
Index Plus | 0.45 | % | ||
Large Value | 0.12 | % | ||
Enhanced S&P 500 Index | 0.12 | % |
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2021. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2022.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
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Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
Board Considerations with Respect to the Approval of the Continuation of the Investment Advisory Agreement with Gotham
At a meeting held by videoconference on June 21-22, 2021 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between the Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Gotham Agreement”) on behalf of the Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Enhanced S&P 500 Index Fund, Gotham Hedged Core Fund, Gotham Index Plus Fund, Gotham Large Value Fund and Gotham Neutral Fund (together the “Gotham Funds”). At the Meeting, the Board considered the continuation of the Gotham Agreement with respect to each Fund for an additional one year period.
In determining whether to approve the Agreement, the Trustees, including the Independent Trustees, considered information provided by Gotham in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “Gotham 15(c) Response”) regarding (i) the services performed or to be performed by Gotham for the Gotham Funds, (ii) the composition and qualifications of Gotham’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the Gotham Funds, (iv) investment performance, (v) the financial condition of Gotham, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Gotham Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Gotham’s ability to service the Gotham Funds, and (x) compliance with the Gotham Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the Gotham 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the performance of each Gotham Fund compared against its Lipper Index and its benchmark; compliance with the Gotham Funds’ investment objectives, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from Gotham invited to participate in the Meeting regarding Gotham’s history, performance, investment strategy, and compliance program. Representatives of Gotham responded to questions from the Board. In addition to the foregoing information, the Trustees also considered other factors they believed to be relevant to considering the approval of the Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the Gotham Funds and Gotham, as provided by the terms of the Gotham Agreement, including the advisory fees under the Gotham Agreement, were fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
The Trustees considered the services provided by or to be provided by Gotham to the Gotham Funds. The Trustees considered Gotham’s personnel and the depth of Gotham’s personnel who provide investment management services to the Gotham Funds and
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Other Information (Continued)
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their experience. Based on the Gotham 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided (or to be provided) by Gotham are appropriate and consistent with the terms of the Agreement, (ii) that the quality of those services has been, and continues to be, consistent with industry norms, (iii) the Gotham Funds are likely to benefit from the provision of those services, (iv) Gotham has sufficient personnel, with the appropriate skills and experience, to serve the Gotham Funds effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Gotham Funds is likely to continue under the Agreement.
The Board discussed Gotham’s business continuity plan, and its ability to continue to manage the Gotham Funds effectively in light of the ongoing COVID-19 pandemic, continuing federal, state and local responses thereto and related volatility in the financial markets.
The Trustees considered the investment performance for the Gotham Funds (as applicable) and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Gotham Funds as compared to their respective benchmark indices and Lipper categories for the since inception, year-to-date, one year, two year, three year, five year, ten year and since inception periods ended March 31, 2021, as applicable. The Trustees considered the short term and long term performance of the Gotham Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Gotham Absolute Return Fund. The Trustees noted that the Gotham Absolute Return Fund underperformed the HFRX Equity Hedge Index for the one year period ended March 31, 2021 and outperformed the HFRX Equity Hedge Index for the year-to-date, three year, five year and since inception periods ended March 31, 2021. The Trustees further noted that the Gotham Absolute Return Fund outperformed the Lipper Absolute Return Funds Index for the year-to-date, one year, five year periods and since inception ended March 31, 2021 and underperformed the Lipper Absolute Return Funds Index for the three year period ended March 31, 2021.
Gotham Enhanced Return Fund. The Trustees noted that the Gotham Enhanced Return Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, one year, five year and since inception periods ended March 31, 2021 and underperformed the Lipper Alternative Long/Short Equity Funds Index for the three year period ended March 31, 2021. The Trustees further noted that the Gotham Enhanced Return Fund underperformed the S&P 500 Total Return Index for the one year, three year, five year and since inception periods ended March 31, 2021 and outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021.
Gotham Enhanced S&P 500 Index Fund. The Trustees noted that the Gotham Enhanced S&P 500 Index Fund outperformed the Lipper Large-Cap Core Funds Index for the year to date and since inception periods ended March 31, 2021 and underperformed the Lipper Large-Cap Core Funds Index for the one year and three year periods ended March 31, 2021. They further noted that the Gotham Enhanced S&P 500 Index Fund outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021 and underperformed the S&P 500 Total Return Index for the one year, three year and since inception periods ended March 31, 2021.
Gotham Hedged Core Fund. The Trustees noted that the Gotham Hedged Core Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, one year, three year and since inception periods ended March 31, 2021. They also noted that the Gotham Hedged Core Fund outperformed the HFRX Equity Hedge Index for the year to date, one year, three year and since inception periods ended March 31, 2021.
Gotham Index Plus Fund. The Trustees noted that the Gotham Index Plus Fund outperformed the Lipper Large-Cap Core Funds Index for the year to date period ended March 31, 2021, underperformed the Lipper Large-Cap Core Funds Index for the one year, three year and five year periods ended March 31, 2021, and performed in line with the Lipper Large-Cap Core Funds Index for the since inception period ended March 31, 2021. They further noted that the Gotham Index Plus Fund outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021 and underperformed the S&P 500 Total Return Index for the one year, three year, five year and since inception periods ended March 31, 2021.
Gotham Large Value Fund. The Trustees noted that the Gotham Large Value Fund underperformed the S&P 500 Total Return Index for the one year, three year, five year and since inception periods ended March 31, 2021 and outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021. They further noted that the Gotham Large Value Fund
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Other Information (Continued)
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underperformed the Lipper Multi-Cap Value Funds Index for the year-to-date and one year periods ended March 31, 2021 and outperformed the Lipper Multi-Cap Value Funds Index for the three year, five year and since inception periods ended March 31, 2021.
Gotham Neutral Fund. The Trustees noted that the Gotham Neutral Fund underperformed the ICE BofAML US 3-Month Treasury Bill Index for the one year, three year, five year and since inception periods ended March 31, 2021 and outperformed the ICE BofAML US 3-Month Treasury Bill Index for the year-to-date period ended March 31, 2021. They further noted that the Gotham Neutral Fund underperformed the Lipper Alternative Equity Market Neutral Funds Index for the one year, three year, five year and since inception periods ended March 31, 2021 and outperformed the Lipper Alternative Equity Market Neutral Funds Index for the year-to-date period ended March 31, 2021.
The Trustees concluded that the performance of each of the Gotham Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Gotham’s relationship with the Funds.
The Trustees also reviewed information regarding the fees Gotham charges to certain other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts, where applicable. The Trustees also reviewed a peer comparison of advisory fees and total expenses for each Gotham Fund versus those funds in the Fund’s applicable Lipper category (the “Peer Group”). The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Gotham Absolute Return Fund. The contractual advisory fee and net total expense ratio for the Gotham Absolute Return Fund’s Institutional Class shares were higher than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Absolute Return Fund’s Peer Group.
Gotham Enhanced Return Fund. The contractual advisory fee and net total expense ratio for the Gotham Enhanced Return Fund’s Institutional Class shares were higher than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Enhanced Return Fund’s Peer Group with $250 million or less in assets.
Gotham Enhanced S&P 500 Index Fund. The contractual advisory fee and net total expense ratio for the Gotham Enhanced S&P 500 Index Fund’s Institutional Class shares were lower than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Enhanced S&P 500 Index Fund’s Peer Group with $250 million or less in assets.
Gotham Hedged Core Fund. The contractual advisory fee and net total expense ratio for the Gotham Hedged Core Fund’s Institutional Class shares were lower than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Hedged Core Fund’s Peer Group with $250 million or less in assets.
Gotham Index Plus Fund. The contractual advisory fee and net total expense ratio for the Gotham Index Plus Fund’s Institutional Class shares were higher than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Index Plus Fund’s Peer Group.
Gotham Large Value Fund. The contractual advisory fee and net total expense ratio for the Gotham Large Value Fund’s Institutional Class shares were higher than and lower than, respectively, the median contractual advisory fee and net total expense ratio for those funds in the Gotham Large Value Fund’s Peer Group with $250 million or less in assets.
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Other Information (Concluded)
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Gotham Neutral Fund. The contractual advisory fee and net total expense ratio for the Gotham Neutral Fund’s Institutional Class shares were higher than the median contractual advisory fee and net total expense ratio for those funds in the Gotham Neutral Fund’s Peer Group with $250 million or less in assets.
The Trustees also discussed the limitations of the comparative expense information provided with respect to each Gotham Fund’s Peer Group, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in each of the Peer Groups. Based upon their review, the Trustees concluded that the respective advisory fees for the Gotham Funds were reasonable in light of the high quality of services received by the Funds from Gotham.
The Trustees considered the costs of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Gotham Funds, its profitability and certain additional information related to Gotham’s financial condition. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Gotham.
The Trustees considered the extent to which economies of scale may be realized relative to fee levels, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted Gotham’s representation that none of the Funds have reached an asset size at which economies of scale would traditionally be considered to exist, and Gotham’s belief that breakpoints are not appropriate at this time. The Board further considered Gotham’s representation that the nature of the various Funds’ investment strategies were such that future capacity was constrained based on Gotham’s ability to implement the strategy above certain asset levels, and as such the Funds’ ability to achieve future economies of scale were limited relative to more traditional asset classes. Based on the foregoing information, the Board concluded that economies of scale did not yet exist for the Funds and that therefore it was not yet necessary to consider whether the fee structure of the Funds provided an adequate mechanism for sharing the benefit of any such economies.
After consideration of all the factors, taking into consideration the information presented at the Board Meeting, the entire Board, including the Independent Trustees, unanimously approved the continuation of the Gotham Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
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The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site www.gothamfunds.com.
If you have questions or comments about our privacy practices, please call us at (877) 974-6852.
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FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Funds. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contain additional information about the Trustees and is available, without charge, upon request by calling (866) 640-5704.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of by Trustee
| Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. Chairman from 2007 until September 30, 2019. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 31 | Optimum Fund Trust (registered investment company with 6 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | Retired since September 2020; Professor of Finance, Widener University from 1998 to August 2020. | 31 | Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
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Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of by Trustee
| Other Directorships Held by Trustee | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee since 2016. Chairman since October 1, 2019. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 31 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 31 | Lincoln Variable Insurance Products Trust (registered investment company with 97 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
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Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of by Trustee
| Other Directorships Held by Trustee | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Assets Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 31 | Copeland Trust (registered investment company with 2 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
GABRIELLA MERCINCAVAGE Date of Birth: 6/68 | Assistant Treasurer | Shall serve until death, resignation or removal. Officer since 2019. | Fund Administration Consultant since January 2019; Fund Accounting and Tax Compliance Accountant to financial services companies from November 2003 to July 2018. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
GUY F. TALARICO Date of Birth: 8/55 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2020. | Chief Executive Officer of Alaric Compliance Services LLC since June 2004. |
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Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTI-0921
GOTHAM FUNDS
of
FundVantage Trust
Gotham ESG Large Value Fund
Gotham Defensive Long 500 Fund
Gotham Total Return Fund
Gotham Enhanced 500 Plus Fund
Gotham Hedged Plus Fund
Gotham Short Strategies Fund
ANNUAL REPORT
September 30, 2021
Important Notice: As permitted by the Securities and Exchange Commission, paper copies of the Gotham Funds’ annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically request paper copies of the shareholder reports from the Gotham Funds or from your financial intermediary. Instead, annual and semi-annual shareholder reports are available on the Gotham Funds website (www.GothamFunds.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future annual and semi-annual shareholder reports in paper, free of charge. To elect to receive paper copies of shareholder reports through the mail or otherwise change your delivery method, contact your financial intermediary or, if you hold your shares directly through the Gotham Funds, call the Gotham Funds toll-free at 1 (877) 974-6852 or write to the Gotham Funds at Gotham Funds, FundVantage Trust, c/o BNY Mellon Investment Servicing, P.O. Box 9829, Providence, RI 02940-8029. Your election to receive shareholder reports in paper will apply to all Gotham Funds that you hold through the financial intermediary, or directly with the Gotham Funds.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
GOTHAM FUNDS
ANNUAL REPORT
AS OF SEPTEMBER 30, 2021
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Financial Statements: | ||||
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GOTHAM FUNDS
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a “Fund” ) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham ESG Large Value Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham ESG Large Value Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. The Gotham Defensive Long 500 Fund and Gotham Short Strategies Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investment. Gotham Total Return Fund will primarily engage in short sales, leverage and swaps through its investments in underlying funds. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
1
Annual Investment Adviser’s Report
September 30, 2021
(Unaudited)
Gotham ESG Large Value Fund (GESGX)
Gotham Defensive Long 500 Fund (GDLFX)
Gotham Total Return Fund (GTRFX)
Gotham Enhanced 500 Plus Fund (GEFPX)
Gotham Hedged Plus Fund (GHPLX)
Gotham Short Strategies Fund (GSSFX)
Dear Shareholder,
Equity markets continued to make gains for the year amidst economic reopening fueled by the COVID-19 vaccination momentum, specifically in developed markets. The S&P 500 and Russell 1000 returned 15.9% and 15.2% respectively for the YTD period ending 9/30/21. The Russell 2000, a small-cap benchmark returned 12.4% YTD. Continuing the value/growth reversal trend from Q4 2020, Russell 1000 Value benchmark beat the Russell 1000 Growth benchmark by approximately 2% YTD. This “value tailwind” helped us achieve positive long/short spreads in many of our strategies along with strong absolute performance.
The S&P 500 is currently trading at 27x Gotham’s proprietary cash flow metric. This is a similar level to Q3 2020, despite the market appreciating 30% over the previous year. Much of the effect that Covid had on corporate earnings has started to phase out of our trailing data. The Russell 2000 remains markedly more expensive, trading at 58x Gotham’s cash flow metric. From similar valuation levels in the past, we would expect modestly positive returns for the S&P 500 and flat to slightly negative returns for the Russell 2000.1
However, our expected forward index returns based on historical cash flow yields do not reflect two major factors that could lead to more optimistic, though still muted, future return expectations. Of course, interest rates are lower than average over the last 30 years. If investors believe rates will remain below the average for the last three decades (a thesis more in question given recent inflation concerns), some adjustment should logically be made to our valuation percentiles.
Second, based on one of our recent research projects, returns on capital are much higher today than they were 30 years ago. Specifically, returns on tangible capital on a position-weighted basis for the S&P 500 have grown from roughly 20% to close to 70% over the last 30 years. In short, that means that to grow 5%, companies would have to reinvest 25% of their cash flow in the early 90’s versus closer to 7% today. In other words, raw cash flows are worth about 24% more today (93%/75%). Adjusting today’s cash flow yields to reflect this fact, would move our valuation metric from the 4th percentile towards expensive over the last 30 years to closer to the 15th percentile. At the 15th percentile, expected two-year forward returns would be closer to 8-10% (without any adjustment for lower interest rates).
Also, worthwhile considering is that a significant portion of the companies in the Russell 2000 are cash flow negative and our research indicates that much of the speculative valuation in US equity markets exists further down the market capitalization spectrum. The mega-cap technology companies that dominate large cap benchmarks generally merit their premium valuations given strong business fundamentals. Importantly for us, our research indicates that a wide dispersion in valuations across the US equity universe should provide favorable conditions to construct long/short portfolios.
As a reminder, we are cash-flow-oriented investors and define value differently than Russell or Morningstar who emphasizes metrics such as low price/book and low price to sales. Similar to a private equity firm, we examine a company’s cash flow generation and then determine its all-in cost as if we were buying the entire business. On the long side, we are generally overweight stocks that are big cash generators with high returns on capital but remain out of favor for varying reasons. Conversely, we are generally short stocks that trade at multiples of 50, 100, or more times free cash flow or companies with negative cash flow. This continues to make overwhelming sense to us. We remain disciplined in our approach to managing portfolio risks and given valuation levels, we are very optimistic about the opportunity set for our long/short spreads over the coming period.
1As of October 27, 2021
2
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Important Information
This letter is intended to assist shareholders in understanding how the Gotham Funds described herein performed during the period ended September 30, 2021, and reflects the views of the investment adviser at the time of this writing. Market and index valuations are based on Gotham’s valuation methodology. The views may change and do not guarantee the future performance of the Gotham Funds or the markets.
This letter contains forward-looking statements regarding future events, forecasts and expectations regarding equity markets and certain of Gotham’s strategies. Forward-looking statements may be identified terminology such terms as “may,” “expect,” “will,” “hope,” “believe” and/or comparable terminology. No assurance, representation, or warranty is made that any of Gotham’s expectations, views and/or objectives will be achieved and actual results may be significantly different than reflected herein.
The indices referenced herein are for comparison purposes only. The performance and volatility of the funds will be different than those of the indices. It is not possible to invest in the indices directly.
3
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Performance by Fund
Gotham ESG Large Value Fund (GESGX)
· | The Fund returned +31.82% (net) for the trailing twelve-month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Financials | 6.85 | % | 13.80 | % | |||||||||
Industrials | 5.95 | % | 18.76 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | HCA Healthcare, Inc. | 0.76 | % | 1.01 | % | |||||||||
Target Corp. | 0.75 | % | 1.56 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | Intel Corp. | -0.15 | % | 1.04 | % | |||||||||
Lockheed Martin Corp. | -0.12 | % | 0.83 | % |
4
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Defensive Long 500 Fund (GDLFX)
· | The Fund returned +8.65% (net) for the trailing twelve-month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | The spread for the period was -11.61%2. |
· | The long portfolio contributed +40.12% for the trailing twelve-month period. The short portfolio detracted -29.60% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
| Largest Contributors | |||||||||||||
Long | Industrials | 8.44 | % | 25.63 | % | |||||||||
Information Technology | 6.92 | % | 30.10 | % | ||||||||||
Short | Consumer Staples | 0.22 | % | -0.49 | % | |||||||||
Largest Detractors | ||||||||||||||
Long | Real Estate | -0.03 | % | 1.75 | % | |||||||||
Short | Information Technology | -7.82 | % | -22.94 | % | |||||||||
Health Care | -4.84 | % | -15.80 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Alphabet, Inc. | 2.01 | % | 3.40 | % | |||||||||
Microsoft Corp. | 1.38 | % | 4.35 | % | ||||||||||
Short | Enphase Energy, Inc. | 0.35 | % | -1.88 | % | |||||||||
Vertex Pharmaceuticals, Inc. | 0.32 | % | -0.91 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | Clorox Co. (The) | -0.55 | % | 3.24 | % | |||||||||
C.H. Robinson Worldwide, Inc. | -0.36 | % | 1.72 | % | ||||||||||
Short | Fortinet, Inc. | -1.23 | % | -1.24 | % | |||||||||
Western Digital Corp. | -1.08 | % | -1.30 | % |
5
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Total Return Fund (GTRFX)
· | The Fund’s Institutional Class returned +12.17% (net) for the trailing twelve-month period and the HFRX Equity Hedge Index returned +17.74% over the same time period. |
· | The spread for the period was +3.18%2. |
· | The long portfolio contributed +20.65% for the trailing twelve-month period. The short portfolio detracted -6.34% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Information Technology | 3.93 | % | 26.61 | % | |||||||||
Industrials | 3.09 | % | 19.90 | % | ||||||||||
Largest Detractors | ||||||||||||||
Short | Health Care | -1.30 | % | -9.41 | % | |||||||||
Information Technology | -0.94 | % | -12.06 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Apple, Inc. | 0.71 | % | 4.15 | % | |||||||||
Microsoft Corp. | 0.67 | % | 3.80 | % | ||||||||||
Short | Southern Co. (The) | 0.03 | % | -0.09 | % | |||||||||
Burlington Stores, Inc. | 0.02 | % | -0.16 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | C.H. Robinson Worldwide, Inc. | -0.06 | % | 0.35 | % | |||||||||
Dollar General Corp. | -0.04 | % | 0.55 | % | ||||||||||
Short | Mylan NV | -0.10 | % | -0.43 | % | |||||||||
Boeing Co. | -0.10 | % | -0.70 | % |
6
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Enhanced 500 Plus Fund (GEFPX)
· | The Fund returned +22.56% (net) for the trailing twelve-month period and the S&P 500 Total Return Index returned +30.00% over the same time period. |
· | The spread for the period was -7.01%2. |
· | The long portfolio contributed +38.73% for the trailing twelve-month period. The short portfolio detracted -14.41% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Information Technology | 9.73 | % | 33.89 | % | |||||||||
Industrials | 5.36 | % | 20.09 | % | ||||||||||
Largest Detractors | ||||||||||||||
Short | Financials | -2.40 | % | -4.40 | % | |||||||||
Health Care | -2.37 | % | -8.09 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Alphabet, Inc. | 2.96 | % | 4.55 | % | |||||||||
Microsoft Corp. | 2.18 | % | 6.19 | % | ||||||||||
Short | Vertex Pharmaceuticals, Inc. | 0.12 | % | -0.39 | % | |||||||||
Fidelity National Information Services, Inc. | 0.11 | % | -0.57 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | Lockheed Martin Corp. | -0.24 | % | 1.29 | % | |||||||||
Cigna Corp. | -0.21 | % | 0.41 | % | ||||||||||
Short | Exxon Mobil Corp. | -0.48 | % | -0.69 | % | |||||||||
General Electric Co. | -0.44 | % | -0.38 | % |
7
Annual Investment Adviser’s Report (Continued)
September 30, 2021
(Unaudited)
Gotham Hedged Plus Fund (GHPLX)
· | The Fund returned +8.37% (net) for the trailing twelve-month period and the HFRX Equity Hedge Index returned +17.74% over the same time period. |
· | The spread for the period was -14.11%2. |
· | The long portfolio contributed +36.72% for the trailing twelve-month period. The short portfolio detracted -26.40% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Consumer Discretionary | 6.85 | % | 27.71 | % | |||||||||
Information Technology | 5.88 | % | 27.84 | % | ||||||||||
Largest Detractors | ||||||||||||||
Short | Information Technology | -7.02 | % | -14.16 | % | |||||||||
Industrials | -4.55 | % | -10.36 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Alphabet, Inc. | 1.77 | % | 3.04 | % | |||||||||
Microsoft Corp. | 1.19 | % | 3.89 | % | ||||||||||
Short | 1Life Healthcare, Inc. | 0.47 | % | -0.40 | % | |||||||||
Magnite, Inc. | 0.46 | % | -0.42 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | Clorox Co. (The) | -0.31 | % | 2.11 | % | |||||||||
C.H. Robinson Worldwide, Inc. | -0.25 | % | 0.97 | % | ||||||||||
Short | Plug Power, Inc. | -1.36 | % | -0.91 | % | |||||||||
Lyft, Inc. | -0.98 | % | -1.31 | % |
8
Annual Investment Adviser’s Report (Concluded)
September 30, 2021
(Unaudited)
Gotham Short Strategies Fund (GSSFX)
· | The Fund returned -20.47% (net) for the trailing twelve-month period and the 50% Inverse of S&P 500 returned -14.03% over the same time period. |
· | The spread for the period was -3.32%2. |
· | The long portfolio contributed +28.81% for the trailing twelve-month period. The short portfolio detracted -48.53% for the period. |
· | Top contributors and detractors by sector and stock positions are below: |
Sector Contributors/Detractors |
| |||||||||||||
Average Contribution | Average Exposure | |||||||||||||
| Largest Contributors | |||||||||||||
Long | Consumer Discretionary | 7.18 | % | 22.60 | % | |||||||||
Industrials | 6.25 | % | 17.05 | % | ||||||||||
Largest Detractors | ||||||||||||||
Short | Consumer Discretionary | -10.43 | % | -17.29 | % | |||||||||
Health Care | -8.01 | % | -22.80 | % | ||||||||||
Stock Contributors/Detractors | ||||||||||||||
Average Contribution | Average Exposure | |||||||||||||
Largest Contributors | ||||||||||||||
Long | Zillow Group, Inc. | 0.81 | % | 1.67 | % | |||||||||
Howmet Aerospace, Inc. | 0.81 | % | 0.94 | % | ||||||||||
Short | Fastly, Inc. | 0.77 | % | -1.20 | % | |||||||||
Alteryx, Inc. | 0.74 | % | -1.97 | % | ||||||||||
Largest Detractors | ||||||||||||||
Long | Emergent BioSolutions, Inc. | -0.34 | % | 0.78 | % | |||||||||
Sage Therapeutics, Inc. | -0.26 | % | 0.83 | % | ||||||||||
Short | Novavax, Inc. | -2.27 | % | -0.70 | % | |||||||||
TripAdvisor, Inc. | -1.46 | % | -1.11 | % |
2 The spread is defined as how much our long portfolio outperformed our short portfolio adjusted for leverage (i.e. 100% long the long portfolio less 100% long the short portfolio).
9
GOTHAM FUNDS
Gotham ESG Large Value Fund
Annual Report
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham ESG Large Value Fund Institutional Class Shares
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||
1 Year | Since Inception | |||||||
Institutional Class Shares | 31.82 | % | 18.67% | * | ||||
S&P 500® Total Return Index | 30.00 | % | 24.25% | ** |
* | The Gotham ESG Large Value Fund (the “Fund”) incepted on December 28, 2018. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021 (as supplemented on April 30, 2021), the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursement” are both 0.75% for Institutional Class Shares of the Fund’s average daily net assets. This ratio may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
10
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $25,000 Investment in Gotham Defensive Long 500 Fund Institutional Class Shares
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||
Institutional Class Shares | 8.65 | % | 1.23% | 7.54% | 7.54% | * | ||||||||||
S&P 500® Total Return Index | 30.00 | % | 15.98% | 16.89% | 16.89% | ** |
* | The Gotham Defensive Long 500 Fund (the “Fund”) commenced operations on September 30, 2016. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.66% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
11
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Total Return Fund Institutional Class Shares
vs. Hedge Fund Research Inc. (“HFRX”) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||
Institutional Class Shares | 12.17 | % | 1.94% | 7.26% | 5.91% | * | ||||||||||
Investor Class Shares | 11.80 | % | 1.55% | 6.90% | 2.81% | * | ||||||||||
HFRX Equity Hedge Index | 17.74 | % | 4.96% | 4.90% | 2.91% | ** |
* | Institutional Class shares and Investor Class shares of the Gotham Total Return Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of the shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.92% and 1.33% for the Institutional Class shares, respectively, and 2.17% and 1.58% for the Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any) and brokerage commissions), do not exceed 0.00% with respect to Institutional Class shares, (on an annual basis) and 0.25% with respect to Investor Class shares, (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The recoupment of fees waived or expenses reimbursed are limited to the lesser of (a) the Expense Limitation in effect at the time fees were waived or expenses were reimbursed, and (b) the Expense Limitation in effect at the time of recoupment.
The Fund intends to evaluate performance as compared to that of the HFRX. The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
12
GOTHAM FUNDS
Gotham Total Return Fund
Annual Report
Performance Data (Continued)
September 30, 2021
(Unaudited)
The Fund normally allocates the majority of its assets among mutual funds advised by Gotham. Therefore, the Fund’s shareholders will indirectly bear the Fund’s proportionate share of fees and expenses of the underlying funds in addition to the Fund’s own expenses. The Fund also is subject to the risks of the underlying funds, which may include any or all of the risks described in Important Information.
13
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $25,000 Investment in Gotham Enhanced 500 Plus Fund Institutional Class Shares
vs. Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||
1 Year | 3 Years | Since Inception | ||||||||||
Institutional Class Shares | 22.56 | % | 9.75% | 13.45% | * | |||||||
S&P 500® Total Return Index | 30.00 | % | 15.98% | 16.89% | ** |
* | The Gotham Enhanced 500 Plus Fund (the “Fund”) commenced operations on September 30, 2016. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 5.04% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.21% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the S&P 500® Total Return Index. The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
14
GOTHAM FUNDS
Gotham Hedged Plus Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $25,000 Investment in Gotham Hedged Plus Fund Institutional Class Shares
vs. Hedge Fund Research Inc. (“HFRX”) Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||||||
1 Year | 3 Years | 5 Years | Since Inception | |||||||||||||
Institutional Class Shares | 8.37 | % | 1.59% | 6.76% | 6.28% | * | ||||||||||
HFRX Equity Hedge Index | 17.74 | % | 4.96% | 4.90% | 4.88% | ** |
* | The Gotham Hedged Plus Fund (the “Fund”) commenced operations on March 31, 2016. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 4.81% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.51% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the HFRX. The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
15
GOTHAM FUNDS
Gotham Short Strategies Fund
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 Investment in Gotham Short Strategies Fund Institutional Class Shares
vs. the 50% Inverse of the Standard & Poor’s 500® Total Return Index (“50% Inverse of the S&P 500®”)
Average Annual Total Returns for the Years Ended September 30, 2021 | ||||||||||||||||
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||
Institutional Class Shares* | -20.47 | % | -12.60% | -9.66% | -6.77% | |||||||||||
50% Inverse of the S&P 500® | -14.03 | % | -8.75% | -8.90% | -8.58% |
* | A privately offered fund (the “Predecessor Fund”) managed by Gotham Asset Management, LLC was reorganized into the Gotham Short Strategies Fund (the “Fund” or “GSSFX”) on July 31, 2017, the date GSSFX commenced operations. The Predecessor Fund was organized and commenced operations in February 2008 and had an investment objective, investment policies and restrictions that were, in all material respects, equivalent to those of GSSFX. However, the Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, this Predecessor Fund was not subject to certain investment limitations, diversification requirements, liquidity requirements, and other restrictions imposed by the 1940 Act and the Internal Revenue Code of 1986, as amended, which, if applicable, might have adversely affected its performance. GSSFX’s performance for periods prior to the commencement of operations on July 31, 2017 is that of the Predecessor Fund adjusted to reflect GSSFX’s fee structure. |
Past performance does not guarantee future results. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2021, the “Total Annual Fund Operating Expenses” are 1.88% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund intends to evaluate performance as compared to that of the 50% Inverse of the S&P 500®. The 50% Inverse of the S&P 500® reflects the return of the S&P 500® adjusted to show the negative 50% targeted net short exposure of the Predecessor Fund. Its returns reflect reinvested dividends.
16
GOTHAM FUNDS
September 30, 2021
(Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from April 1, 2021 through September 30, 2021 and held for the entire period.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham ESG Large Value Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.50 | 0.75% | $ | 3.88 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.31 | 0.75% | 3.80 | ||||||||||||||||
Gotham Defensive Long 500 Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.70 | 1.35% | $ | 6.90 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.30 | 1.35% | 6.83 |
17
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2021
(Unaudited)
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||||||||||||||
Gotham Total Return Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,058.50 | 0.00% | $ | — | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.07 | 0.00% | — | ||||||||||||||||
Investor Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.00 | 0.25% | $ | 1.29 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.82 | 0.25% | 1.27 | ||||||||||||||||
Gotham Enhanced 500 Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,055.40 | 2.01% | $ | 10.34 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.01 | 2.01% | 10.14 | ||||||||||||||||
Gotham Hedged Plus Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.50 | 2.35% | $ | 12.23 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.30 | 2.35% | 11.84 | ||||||||||||||||
Gotham Short Strategies Fund | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 985.00 | 1.34% | $ | 6.68 | |||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.33 | 1.34% | 6.80 |
* | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for the Gotham ESG Large Value Fund which does not short securities or use leverage. |
** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended September 30, 2021, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 365 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365 to reflect the period. |
18
GOTHAM ESG LARGE VALUE FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Common Stocks: | ||||||||||
Capital Goods | 9.9 | % | $ | 149,650 | ||||||
Retailing | 8.6 | 130,059 | ||||||||
Semiconductors & Semiconductor Equipment | 8.5 | 128,875 | ||||||||
Diversified Financials | 8.5 | 127,615 | ||||||||
Technology Hardware & Equipment | 6.7 | 101,142 | ||||||||
Health Care Equipment & Services | 6.3 | 94,872 | ||||||||
Energy | 5.9 | 89,417 | ||||||||
Software & Services | 5.9 | 88,702 | ||||||||
Materials | 4.8 | 72,134 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 4.8 | 71,915 | ||||||||
Real Estate | 4.5 | 67,526 | ||||||||
Food, Beverage & Tobacco | 3.9 | 59,167 | ||||||||
Banks | 3.8 | 57,783 | ||||||||
Transportation | 3.5 | 53,445 | ||||||||
Insurance | 3.3 | 50,384 | ||||||||
Media & Entertainment | 2.2 | 32,551 | ||||||||
Consumer Durables & Apparel | 2.0 | 30,962 | ||||||||
Telecommunication Services | 1.7 | 25,955 | ||||||||
Consumer Services | 1.1 | 15,952 | ||||||||
Automobiles & Components | 0.9 | 13,126 | ||||||||
Commercial & Professional Services | 0.6 | 8,429 | ||||||||
Utilities | 0.5 | 7,731 | ||||||||
Household & Personal Products | 0.5 | 7,309 | ||||||||
Food & Staples Retailing | 0.2 | 2,763 | ||||||||
|
|
|
| |||||||
Total Common Stocks | 98.6 | 1,487,464 | ||||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 1.4 | 21,741 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 1,509,205 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
19
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Common Stocks: | ||||||||||
Food, Beverage & Tobacco | 13.3 | % | $ | 4,648,906 | ||||||
Health Care Equipment & Services | 10.0 | 3,496,168 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 9.5 | 3,336,371 | ||||||||
Technology Hardware & Equipment | 8.3 | 2,903,626 | ||||||||
Software & Services | 7.1 | 2,478,078 | ||||||||
Media & Entertainment | 5.3 | 1,856,803 | ||||||||
Capital Goods | 4.6 | 1,622,358 | ||||||||
Retailing | 4.5 | 1,567,532 | ||||||||
Insurance | 4.0 | 1,391,774 | ||||||||
Diversified Financials | 3.9 | 1,359,567 | ||||||||
Real Estate | 3.6 | 1,276,153 | ||||||||
Household & Personal Products | 2.9 | 1,033,041 | ||||||||
Food & Staples Retailing | 2.5 | 888,227 | ||||||||
Materials | 2.4 | 856,635 | ||||||||
Transportation | 2.3 | 804,701 | ||||||||
Telecommunication Services | 2.2 | 787,744 | ||||||||
Consumer Durables & Apparel | 2.2 | 777,257 | ||||||||
Consumer Services | 2.2 | 767,791 | ||||||||
Utilities | 2.0 | 689,174 | ||||||||
Semiconductors & Semiconductor Equipment | 1.6 | 548,610 | ||||||||
Energy | 0.7 | 227,981 | ||||||||
Automobiles & Components | 0.3 | 89,456 | ||||||||
Commercial & Professional Services | 0.1 | 37,555 | ||||||||
|
|
|
| |||||||
Total Common Stocks | 95.5 | 33,445,508 | ||||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 4.5 | 1,591,697 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 35,037,205 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
20
GOTHAM TOTAL RETURN FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Affiliated Equity Registered Investment Companies | 99.7 | % | $ | 26,860,769 | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 0.3 | 86,243 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 26,947,012 | ||||||
|
|
|
|
Portfolio holdings are subject to change at any time.
21
GOTHAM ENHANCED 500 PLUS FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Software & Services | 16.7 | % | $ | 594,508 | ||||||
Retailing | 14.1 | 501,736 | ||||||||
Capital Goods | 12.0 | 425,560 | ||||||||
Media & Entertainment | 11.3 | 402,482 | ||||||||
Technology Hardware & Equipment | 11.3 | 401,739 | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.8 | 384,331 | ||||||||
Food, Beverage & Tobacco | 8.9 | 318,094 | ||||||||
Health Care Equipment & Services | 8.3 | 293,511 | ||||||||
Diversified Financials | 7.3 | 258,538 | ||||||||
Semiconductors & Semiconductor Equipment | 6.0 | 212,032 | ||||||||
Energy | 5.8 | 206,460 | ||||||||
Materials | 5.3 | 188,866 | ||||||||
Transportation | 4.1 | 147,254 | ||||||||
Telecommunication Services | 3.4 | 122,344 | ||||||||
Insurance | 2.8 | 99,060 | ||||||||
Food & Staples Retailing | 2.5 | 87,675 | ||||||||
Automobiles & Components | 2.2 | 78,102 | ||||||||
Real Estate | 1.6 | 55,041 | ||||||||
Consumer Durables & Apparel | 1.5 | 54,843 | ||||||||
Consumer Services | 1.1 | 39,414 | ||||||||
Household & Personal Products | 0.9 | 32,606 | ||||||||
Utilities | 0.8 | 27,911 | ||||||||
Banks | 0.7 | 24,984 | ||||||||
Commercial & Professional Services | 0.5 | 16,332 | ||||||||
|
|
|
| |||||||
Total Long Positions | 139.9 | 4,973,423 | ||||||||
|
|
|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Automobiles & Components | (0.3 | )% | $ | (10,118 | ) | |||||
Technology Hardware & Equipment | (0.3 | ) | (10,951 | ) | ||||||
Household & Personal Products | (0.5 | ) | (16,353 | ) | ||||||
Telecommunication Services | (0.5 | ) | (17,482 | ) | ||||||
Retailing | (0.8 | ) | (28,546 | ) | ||||||
Food & Staples Retailing | (0.8 | ) | (28,716 | ) | ||||||
Food, Beverage & Tobacco | (0.9 | ) | (30,426 | ) | ||||||
Transportation | (1.1 | ) | (38,861 | ) | ||||||
Consumer Durables & Apparel | (1.1 | ) | (40,332 | ) | ||||||
Insurance | (1.2 | ) | (41,080 | ) | ||||||
Energy | (1.2 | ) | (44,283 | ) | ||||||
Media & Entertainment | (1.3 | ) | (46,090 | ) | ||||||
Banks | (1.4 | ) | (48,175 | ) | ||||||
Commercial & Professional Services | (1.4 | ) | (49,650 | ) | ||||||
Materials | (1.9 | ) | (69,114 | ) | ||||||
Real Estate | (2.0 | ) | (70,784 | ) | ||||||
Software & Services | (2.1 | ) | (73,076 | ) | ||||||
Diversified Financials | (2.1 | ) | (74,206 | ) | ||||||
Semiconductors & Semiconductor Equipment | (2.2 | ) | (79,992 | ) | ||||||
Consumer Services | (2.3 | ) | (83,361 | ) | ||||||
Capital Goods | (2.3 | ) | (83,604 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (4.1 | ) | (145,365 | ) | ||||||
Utilities | (4.6 | ) | (162,729 | ) | ||||||
Health Care Equipment & Services | (4.9 | ) | (174,568 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (41.3 | ) | (1,467,862 | ) | ||||||
|
|
|
| |||||||
Other Assets in Excess of Liabilities | 1.4 | 50,548 | ||||||||
|
|
|
| |||||||
NET ASSETS | 100.0 | % | $ | 3,556,109 | ||||||
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|
|
|
Portfolio holdings are subject to change at any time.
22
GOTHAM HEDGED PLUS FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
LONG POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 23.4 | % | $ | 2,873,810 | ||||||
Food, Beverage & Tobacco | 23.3 | 2,862,947 | ||||||||
Health Care Equipment & Services | 16.2 | 1,989,282 | ||||||||
Technology Hardware & Equipment | 15.7 | 1,928,004 | ||||||||
Software & Services | 14.1 | 1,731,879 | ||||||||
Capital Goods | 10.8 | 1,327,545 | ||||||||
Retailing | 9.5 | 1,170,222 | ||||||||
Media & Entertainment | 9.3 | 1,149,084 | ||||||||
Telecommunication Services | 6.4 | 783,208 | ||||||||
Diversified Financials | 5.9 | 724,004 | ||||||||
Consumer Services | 5.1 | 632,777 | ||||||||
Consumer Durables & Apparel | 5.0 | 612,260 | ||||||||
Materials | 4.7 | 584,002 | ||||||||
Food & Staples Retailing | 4.7 | 581,041 | ||||||||
Household & Personal Products | 4.2 | 516,971 | ||||||||
Insurance | 3.3 | 408,171 | ||||||||
Energy | 3.3 | 403,805 | ||||||||
Transportation | 2.4 | 300,125 | ||||||||
Automobiles & Components | 2.4 | 291,687 | ||||||||
Utilities | 2.0 | 252,846 | ||||||||
Commercial & Professional Services | 1.7 | 209,778 | ||||||||
Real Estate | 1.1 | 137,372 | ||||||||
Semiconductors & Semiconductor Equipment | 0.7 | 88,907 | ||||||||
|
|
|
| |||||||
Total Long Positions | 175.2 | 21,559,727 | ||||||||
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|
|
% of Net Assets | Value | |||||||||
SHORT POSITIONS: | ||||||||||
Common Stocks: | ||||||||||
Automobiles & Components | (0.0 | )% | $ | (3,284 | ) | |||||
Household & Personal Products | (0.1 | ) | (7,601 | ) | ||||||
Food & Staples Retailing | (0.2 | ) | (26,054 | ) | ||||||
Diversified Financials | (0.3 | ) | (37,107 | ) | ||||||
Semiconductors & Semiconductor Equipment | (0.4 | ) | (54,306 | ) | ||||||
Food, Beverage & Tobacco | (0.5 | ) | (65,435 | ) | ||||||
Real Estate | (1.0 | ) | (121,426 | ) | ||||||
Media & Entertainment | (1.1 | ) | (139,304 | ) | ||||||
Banks | (1.1 | ) | (140,481 | ) | ||||||
Insurance | (1.4 | ) | (176,773 | ) | ||||||
Consumer Durables & Apparel | (1.5 | ) | (185,907 | ) | ||||||
Technology Hardware & Equipment | (1.6 | ) | (191,224 | ) | ||||||
Consumer Services | (1.7 | ) | (212,428 | ) | ||||||
Transportation | (1.9 | ) | (229,497 | ) | ||||||
Retailing | (2.0 | ) | (245,709 | ) | ||||||
Commercial & Professional Services | (2.1 | ) | (257,429 | ) | ||||||
Energy | (3.7 | ) | (451,894 | ) | ||||||
Materials | (4.5 | ) | (559,809 | ) | ||||||
Capital Goods | (4.6 | ) | (561,467 | ) | ||||||
Health Care Equipment & Services | (5.6 | ) | (685,351 | ) | ||||||
Software & Services | (11.6 | ) | (1,424,270 | ) | ||||||
Utilities | (14.1 | ) | (1,736,142 | ) | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | (15.3 | ) | (1,877,213 | ) | ||||||
|
|
|
| |||||||
Total Short Positions | (76.3 | ) | (9,390,111 | ) | ||||||
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|
|
| |||||||
Other Assets in Excess of Liabilities | 1.1 | 132,959 | ||||||||
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|
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| |||||||
NET ASSETS | 100.0 | % | $ | 12,302,575 | ||||||
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Portfolio holdings are subject to change at any time.
23
GOTHAM SHORT STRATEGIES FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||||
Common Stocks: | ||||||||||
Materials | 12.6 | % | $ | 190,769 | ||||||
Pharmaceuticals, Biotechnology & Life Sciences | 10.2 | 154,656 | ||||||||
Health Care Equipment & Services. | 9.9 | 150,972 | ||||||||
Capital Goods | 9.2 | 139,832 | ||||||||
Semiconductors & Semiconductor Equipment | 7.8 | 119,231 | ||||||||
Technology Hardware & Equipment | 7.0 | 105,996 | ||||||||
Energy | 6.1 | 92,101 | ||||||||
Retailing | 5.9 | 90,397 | ||||||||
Software & Services | 5.5 | 83,307 | ||||||||
Consumer Durables & Apparel | 4.7 | 71,098 | ||||||||
Consumer Services | 2.8 | 42,109 | ||||||||
Utilities | 2.5 | 38,449 | ||||||||
Food, Beverage & Tobacco | 2.3 | 35,672 | ||||||||
Media & Entertainment | 2.1 | 31,803 | ||||||||
Transportation | 2.0 | 30,737 | ||||||||
Automobiles & Components | 2.0 | 30,024 | ||||||||
Household & Personal Products | 1.4 | 21,629 | ||||||||
Commercial & Professional Services | 1.2 | 18,033 | ||||||||
Food & Staples Retailing | 0.5 | 7,190 | ||||||||
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| |||||||
Total Common Stocks | 95.7 | 1,454,005 | ||||||||
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| |||||||
Other Assets in Excess of Liabilities | 4.3 | 66,094 | ||||||||
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| |||||||
NET ASSETS | 100.0 | % | $ | 1,520,099 | ||||||
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Portfolio holdings are subject to change at any time.
24
GOTHAM ESG LARGE VALUE FUND
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 98.6% |
| |||||||
Automobiles & Components — 0.9% |
| |||||||
Ford Motor Co.* | 927 | $ | 13,126 | |||||
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Banks — 3.8% | ||||||||
Citizens Financial Group, Inc. | 99 | 4,651 | ||||||
Comerica, Inc. | 32 | 2,576 | ||||||
Fifth Third Bancorp | 157 | 6,663 | ||||||
JPMorgan Chase & Co. | 110 | 18,006 | ||||||
KeyCorp. | 226 | 4,886 | ||||||
M&T Bank Corp. | 28 | 4,182 | ||||||
People’s United Financial, Inc. | 70 | 1,223 | ||||||
Regions Financial Corp. | 224 | 4,773 | ||||||
SVB Financial Group* | 13 | 8,409 | ||||||
Zions Bancorp NA | 39 | 2,414 | ||||||
|
| |||||||
57,783 | ||||||||
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| |||||||
Capital Goods — 9.9% | ||||||||
3M Co. | 63 | 11,051 | ||||||
A.O. Smith Corp. | 38 | 2,321 | ||||||
Allegion PLC (Ireland) | 19 | 2,511 | ||||||
Carrier Global Corp. | 192 | 9,938 | ||||||
Cummins, Inc. | 18 | 4,042 | ||||||
Deere & Co. | 11 | 3,686 | ||||||
Dover Corp. | 32 | 4,976 | ||||||
Eaton Corp. PLC (Ireland) | 42 | 6,271 | ||||||
Emerson Electric Co. | 133 | 12,529 | ||||||
Fortive Corp. | 2 | 141 | ||||||
General Dynamics Corp. | 36 | 7,057 | ||||||
Howmet Aerospace, Inc. | 107 | 3,338 | ||||||
IDEX Corp. | 2 | 414 | ||||||
Illinois Tool Works, Inc. | 10 | 2,066 | ||||||
Ingersoll Rand, Inc.* | 94 | 4,738 | ||||||
Johnson Controls International PLC (Ireland) | 184 | 12,527 | ||||||
Lockheed Martin Corp. | 38 | 13,114 | ||||||
Northrop Grumman Corp. | 19 | 6,843 | ||||||
Otis Worldwide Corp. | 29 | 2,386 | ||||||
Parker-Hannifin Corp. | 30 | 8,389 | ||||||
Pentair PLC (Ireland) | 36 | 2,615 | ||||||
Snap-on, Inc. | 14 | 2,925 | ||||||
Stanley Black & Decker, Inc. | 38 | 6,662 | ||||||
Textron, Inc. | 52 | 3,630 | ||||||
Trane Technologies PLC (Ireland) | 56 | 9,668 | ||||||
United Rentals, Inc.* | 2 | 702 | ||||||
WW Grainger, Inc. | 13 | 5,110 | ||||||
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149,650 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.6% |
| |||||||
Jacobs Engineering Group, Inc. | 31 | 4,108 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Commercial & Professional Services — (Continued) |
| |||||||
Nielsen Holdings PLC (United Kingdom) | 84 | $ | 1,612 | |||||
Robert Half International, Inc. | 27 | 2,709 | ||||||
|
| |||||||
8,429 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 2.0% |
| |||||||
Garmin Ltd. (Switzerland) | 35 | 5,441 | ||||||
Hanesbrands, Inc. | 81 | 1,390 | ||||||
Hasbro, Inc. | 28 | 2,498 | ||||||
Mohawk Industries, Inc.* | 20 | 3,548 | ||||||
Newell Brands, Inc. | 99 | 2,192 | ||||||
PulteGroup, Inc. | 2 | 92 | ||||||
PVH Corp.* | 15 | 1,542 | ||||||
Ralph Lauren Corp. | 17 | 1,888 | ||||||
Tapestry, Inc. | 65 | 2,406 | ||||||
Under Armour, Inc., Class C* | 107 | 1,875 | ||||||
VF Corp. | 66 | 4,421 | ||||||
Whirlpool Corp. | 18 | 3,669 | ||||||
|
| |||||||
30,962 | ||||||||
|
| |||||||
Consumer Services — 1.1% | ||||||||
Caesars Entertainment, Inc.* | 33 | 3,705 | ||||||
McDonald’s Corp. | 7 | 1,688 | ||||||
Penn National Gaming, Inc.* | 36 | 2,609 | ||||||
Yum! Brands, Inc. | 65 | 7,950 | ||||||
|
| |||||||
15,952 | ||||||||
|
| |||||||
Diversified Financials — 8.5% | ||||||||
American Express Co. | 46 | 7,706 | ||||||
Ameriprise Financial, Inc. | 27 | 7,131 | ||||||
Berkshire Hathaway, Inc., Class B* | 50 | 13,647 | ||||||
BlackRock, Inc. | 31 | 25,998 | ||||||
Charles Schwab Corp. (The) | 34 | 2,477 | ||||||
Discover Financial Services | 71 | 8,722 | ||||||
Franklin Resources, Inc. | 148 | 4,399 | ||||||
Goldman Sachs Group, Inc. (The) | 21 | 7,939 | ||||||
Invesco Ltd. (Bermuda) | 128 | 3,086 | ||||||
Moody’s Corp. | 5 | 1,775 | ||||||
Morgan Stanley | 109 | 10,607 | ||||||
Nasdaq, Inc. | 40 | 7,721 | ||||||
Raymond James Financial, Inc. | 46 | 4,245 | ||||||
S&P Global, Inc. | 7 | 2,974 | ||||||
Synchrony Financial | 135 | 6,599 | ||||||
T Rowe Price Group, Inc. | 64 | 12,589 | ||||||
|
| |||||||
127,615 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
APA Corp. | 87 | 1,864 |
The accompanying notes are an integral part of the financial statements.
25
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) | ||||||||
Baker Hughes Co. | 185 | $ | 4,575 | |||||
EOG Resources, Inc. | 130 | 10,435 | ||||||
Exxon Mobil Corp. | 430 | 25,293 | ||||||
Halliburton Co. | 227 | 4,908 | ||||||
Hess Corp. | 71 | 5,546 | ||||||
Kinder Morgan, Inc. | 504 | 8,432 | ||||||
Marathon Petroleum Corp. | 142 | 8,777 | ||||||
Occidental Petroleum Corp. | 217 | 6,419 | ||||||
ONEOK, Inc. | 103 | 5,973 | ||||||
Schlumberger NV | 220 | 6,521 | ||||||
Williams Cos., Inc. (The) | 26 | 674 | ||||||
|
| |||||||
89,417 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
Kroger Co. (The) | 2 | 81 | ||||||
Walgreens Boots Alliance, Inc. | 57 | 2,682 | ||||||
|
| |||||||
2,763 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.9% |
| |||||||
Archer-Daniels-Midland Co. | 134 | 8,041 | ||||||
Coca-Cola Co. (The) | 165 | 8,658 | ||||||
Constellation Brands, Inc., Class A | 43 | 9,060 | ||||||
General Mills, Inc. | 27 | 1,615 | ||||||
Hershey Co. (The) | 46 | 7,786 | ||||||
Kellogg Co. | 8 | 511 | ||||||
Kraft Heinz Co. (The) | 275 | 10,125 | ||||||
Molson Coors Beverage Co., Class B | 49 | 2,273 | ||||||
Mondelez International, Inc., Class A | 183 | 10,647 | ||||||
PepsiCo, Inc. | 3 | 451 | ||||||
|
| |||||||
59,167 | ||||||||
|
| |||||||
Health Care Equipment & Services — 6.3% |
| |||||||
AmerisourceBergen Corp. | 18 | 2,150 | ||||||
Anthem, Inc. | 35 | 13,048 | ||||||
Cardinal Health, Inc. | 7 | 346 | ||||||
Cigna Corp. | 76 | 15,212 | ||||||
CVS Health Corp. | 210 | 17,821 | ||||||
DaVita, Inc.* | 23 | 2,674 | ||||||
HCA Healthcare, Inc. | 78 | 18,932 | ||||||
Hologic, Inc.* | 56 | 4,133 | ||||||
Laboratory Corp. of America Holdings* | 23 | 6,473 | ||||||
Quest Diagnostics, Inc. | 27 | 3,924 | ||||||
UnitedHealth Group, Inc. | 26 | 10,159 | ||||||
|
| |||||||
94,872 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — 0.5% |
| |||||||
Colgate-Palmolive Co. | 93 | $ | 7,029 | |||||
Procter & Gamble Co. (The) | 2 | 280 | ||||||
|
| |||||||
7,309 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
Aflac, Inc. | 147 | 7,663 | ||||||
American International Group, Inc. | 56 | 3,074 | ||||||
Aon PLC, Class A (Ireland) | 36 | 10,288 | ||||||
Arthur J Gallagher & Co. | 44 | 6,541 | ||||||
Brown & Brown, Inc. | 63 | 3,493 | ||||||
Lincoln National Corp. | 44 | 3,025 | ||||||
Loews Corp. | 58 | 3,128 | ||||||
Marsh & McLennan Cos., Inc. | 61 | 9,237 | ||||||
MetLife, Inc. | 39 | 2,407 | ||||||
Principal Financial Group, Inc. | 19 | 1,224 | ||||||
Travelers Cos., Inc. (The) | 2 | 304 | ||||||
|
| |||||||
50,384 | ||||||||
|
| |||||||
Materials — 4.8% | ||||||||
Avery Dennison Corp. | 20 | 4,144 | ||||||
CF Industries Holdings, Inc. | 50 | 2,791 | ||||||
Dow, Inc. | 174 | 10,015 | ||||||
DuPont de Nemours, Inc. | 124 | 8,431 | ||||||
Eastman Chemical Co. | 30 | 3,022 | ||||||
International Paper Co. | 111 | 6,207 | ||||||
Linde PLC (Ireland) | 13 | 3,814 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 74 | 6,945 | ||||||
Mosaic Co. (The) | 88 | 3,143 | ||||||
Nucor Corp. | 67 | 6,599 | ||||||
Packaging Corp. of America | 22 | 3,024 | ||||||
Sherwin-Williams Co. (The) | 39 | 10,910 | ||||||
Westrock Co. | 62 | 3,089 | ||||||
|
| |||||||
72,134 | ||||||||
|
| |||||||
Media & Entertainment — 2.2% |
| |||||||
Comcast Corp., Class A | 91 | 5,089 | ||||||
Discovery, Inc., Class A* | 147 | 3,731 | ||||||
DISH Network Corp., Class A* | 122 | 5,302 | ||||||
Fox Corp., Class A | 129 | 5,174 | ||||||
Interpublic Group of Cos., Inc. (The) | 110 | 4,034 | ||||||
Omnicom Group, Inc. | 58 | 4,203 | ||||||
ViacomCBS, Inc., Class B | 127 | 5,018 | ||||||
|
| |||||||
32,551 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 4.8% |
| |||||||
AbbVie, Inc. | 160 | 17,259 | ||||||
Agilent Technologies, Inc. | 1 | 157 |
The accompanying notes are an integral part of the financial statements.
26
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Biogen, Inc.* | 8 | $ | 2,264 | |||||
Gilead Sciences, Inc. | 220 | 15,367 | ||||||
Merck & Co., Inc. | 110 | 8,262 | ||||||
Organon & Co. | 57 | 1,869 | ||||||
PerkinElmer, Inc. | 27 | 4,679 | ||||||
Pfizer, Inc. | 285 | 12,258 | ||||||
Thermo Fisher Scientific, Inc. | 3 | 1,714 | ||||||
Vertex Pharmaceuticals, Inc.* | 17 | 3,084 | ||||||
Waters Corp.* | 14 | 5,002 | ||||||
|
| |||||||
71,915 | ||||||||
|
| |||||||
Real Estate — 4.5% | ||||||||
Alexandria Real Estate Equities, Inc., REIT | 34 | 6,496 | ||||||
AvalonBay Communities, Inc., REIT | 31 | 6,871 | ||||||
CBRE Group, Inc., Class A* | 79 | 7,692 | ||||||
Duke Realty Corp., REIT | 82 | 3,925 | ||||||
Equity Residential, REIT | 83 | 6,716 | ||||||
Essex Property Trust, Inc., REIT | 14 | 4,476 | ||||||
Extra Space Storage, Inc., REIT | 3 | 504 | ||||||
Kimco Realty Corp., REIT | 100 | 2,075 | ||||||
Mid-America Apartment Communities, Inc., REIT | 26 | 4,856 | ||||||
Prologis, Inc., REIT | 8 | 1,003 | ||||||
Public Storage, REIT | 3 | 891 | ||||||
Realty Income Corp., REIT | 2 | 130 | ||||||
Regency Centers Corp., REIT | 37 | 2,491 | ||||||
Simon Property Group, Inc., REIT | 72 | 9,358 | ||||||
UDR, Inc., REIT | 66 | 3,497 | ||||||
Weyerhaeuser Co., REIT | 184 | 6,545 | ||||||
|
| |||||||
67,526 | ||||||||
|
| |||||||
Retailing — 8.6% | ||||||||
Advance Auto Parts, Inc. | 16 | 3,342 | ||||||
AutoZone, Inc.* | 5 | 8,490 | ||||||
Bath & Body Works, Inc. | 69 | 4,349 | ||||||
Best Buy Co., Inc. | 63 | 6,660 | ||||||
Dollar Tree, Inc.* | 24 | 2,297 | ||||||
eBay, Inc. | 147 | 10,242 | ||||||
Gap, Inc. (The) | 87 | 1,975 | ||||||
Genuine Parts Co. | 42 | 5,092 | ||||||
Home Depot, Inc. (The) | 59 | 19,367 | ||||||
LKQ Corp.* | 85 | 4,277 | ||||||
Lowe’s Cos., Inc. | 93 | 18,866 | ||||||
O’Reilly Automotive, Inc.* | 16 | 9,777 | ||||||
Ross Stores, Inc. | 79 | 8,599 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Retailing — (Continued) | ||||||||
Target Corp. | 91 | $ | 20,818 | |||||
Tractor Supply Co. | 6 | 1,216 | ||||||
Ulta Beauty, Inc.* | 13 | 4,692 | ||||||
|
| |||||||
130,059 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.5% |
| |||||||
Analog Devices, Inc. | 38 | 6,364 | ||||||
Applied Materials, Inc. | 213 | 27,420 | ||||||
Intel Corp. | 411 | 21,898 | ||||||
KLA Corp. | 35 | 11,708 | ||||||
Lam Research Corp. | 32 | 18,213 | ||||||
Microchip Technology, Inc. | 6 | 921 | ||||||
Micron Technology, Inc. | 241 | 17,106 | ||||||
NXP Semiconductors NV (Netherlands) | 51 | 9,989 | ||||||
Qorvo, Inc.* | 26 | 4,347 | ||||||
Skyworks Solutions, Inc. | 30 | 4,943 | ||||||
Teradyne, Inc. | 30 | 3,275 | ||||||
Texas Instruments, Inc. | 14 | 2,691 | ||||||
|
| |||||||
128,875 | ||||||||
|
| |||||||
Software & Services — 5.9% |
| |||||||
Accenture PLC, Class A (Ireland) | 48 | 15,356 | ||||||
Automatic Data Processing, Inc. | 88 | 17,593 | ||||||
Broadridge Financial Solutions, Inc. | 26 | 4,333 | ||||||
DXC Technology Co.* | 59 | 1,983 | ||||||
Fiserv, Inc.* | 13 | 1,410 | ||||||
Gartner, Inc.* | 20 | 6,078 | ||||||
International Business Machines Corp. | 117 | 16,255 | ||||||
NortonLifeLock, Inc. | 128 | 3,238 | ||||||
Oracle Corp. | 121 | 10,543 | ||||||
Paychex, Inc. | 84 | 9,446 | ||||||
Western Union Co. (The) | 122 | 2,467 | ||||||
|
| |||||||
88,702 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 6.7% |
| |||||||
Amphenol Corp., Class A | 2 | 146 | ||||||
Arista Networks, Inc.* | 8 | 2,749 | ||||||
CDW Corp. | 32 | 5,825 | ||||||
Cisco Systems, Inc. | 462 | 25,147 | ||||||
Corning, Inc. | 186 | 6,787 | ||||||
F5 Networks, Inc.* | 13 | 2,584 | ||||||
Hewlett Packard Enterprise Co. | 302 | 4,303 | ||||||
HP, Inc. | 352 | 9,631 | ||||||
Juniper Networks, Inc. | 91 | 2,504 | ||||||
Keysight Technologies, Inc.* | 41 | 6,736 | ||||||
Motorola Solutions, Inc. | 2 | 465 |
The accompanying notes are an integral part of the financial statements.
27
GOTHAM ESG LARGE VALUE FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
NetApp, Inc. | 52 | $ | 4,667 | |||||
Seagate Technology Holdings PLC (Ireland) | 61 | 5,034 | ||||||
TE Connectivity Ltd. (Switzerland) | 73 | 10,017 | ||||||
Trimble, Inc.* | 55 | 4,524 | ||||||
Western Digital Corp.* | 68 | 3,838 | ||||||
Zebra Technologies Corp., | 12 | 6,185 | ||||||
|
| |||||||
101,142 | ||||||||
|
| |||||||
Telecommunication Services — 1.7% |
| |||||||
AT&T, Inc. | 513 | 13,856 | ||||||
Verizon Communications, Inc. | 224 | 12,099 | ||||||
|
| |||||||
25,955 | ||||||||
|
| |||||||
Transportation — 3.5% | ||||||||
CSX Corp. | 502 | 14,930 | ||||||
Expeditors International of Washington, Inc. | 41 | 4,884 | ||||||
Norfolk Southern Corp. | 29 | 6,938 | ||||||
Union Pacific Corp. | 60 | 11,761 | ||||||
United Parcel Service, Inc., | 82 | 14,932 | ||||||
|
| |||||||
53,445 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — 0.5% | ||||||||
NRG Energy, Inc. | 54 | $ | 2,205 | |||||
PPL Corp. | 172 | 4,795 | ||||||
Public Service Enterprise Group, Inc. | 12 | 731 | ||||||
|
| |||||||
7,731 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $1,278,518) | 1,487,464 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% | 21,741 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,509,205 | ||||||
|
|
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
28
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 95.5% | ||||||||
Automobiles & Components — 0.3% |
| |||||||
Ford Motor Co.* | 1,415 | $ | 20,037 | |||||
General Motors Co.* | 1,317 | 69,419 | ||||||
|
| |||||||
89,456 | ||||||||
|
| |||||||
Capital Goods — 4.6% | ||||||||
3M Co.(a) | 1,851 | 324,702 | ||||||
A.O. Smith Corp. | 2,410 | 147,179 | ||||||
General Dynamics Corp. | 19 | 3,725 | ||||||
Johnson Controls International PLC (Ireland) | 2,206 | 150,184 | ||||||
Lockheed Martin Corp.(a) | 1,045 | 360,629 | ||||||
Northrop Grumman Corp. | 677 | 243,821 | ||||||
Otis Worldwide Corp. | 342 | 28,140 | ||||||
Pentair PLC (Ireland) | 481 | 34,935 | ||||||
Quanta Services, Inc. | 119 | 13,545 | ||||||
Roper Technologies, Inc. | 51 | 22,753 | ||||||
Snap-on, Inc. | 1,085 | 226,711 | ||||||
WW Grainger, Inc. | 168 | 66,034 | ||||||
|
| |||||||
1,622,358 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.1% |
| |||||||
Nielsen Holdings PLC (United Kingdom) | 1,957 | 37,555 | ||||||
|
| |||||||
Consumer Durables & Apparel — 2.2% |
| |||||||
Garmin Ltd. (Switzerland) | 1,214 | 188,728 | ||||||
Hasbro, Inc. | 427 | 38,097 | ||||||
Mohawk Industries, Inc.* | 326 | 57,832 | ||||||
NIKE, Inc., Class B | 715 | 103,840 | ||||||
Tapestry, Inc. | 848 | 31,393 | ||||||
Whirlpool Corp.(a) | 1,753 | 357,367 | ||||||
|
| |||||||
777,257 | ||||||||
|
| |||||||
Consumer Services — 2.2% | ||||||||
Booking Holdings, Inc.* | 1 | 2,374 | ||||||
Hilton Worldwide Holdings, Inc.* | 447 | 59,053 | ||||||
Marriott International, Inc., | 385 | 57,015 | ||||||
McDonald’s Corp. | 878 | 211,694 | ||||||
Penn National Gaming, Inc.* | 3,032 | 219,699 | ||||||
Yum! Brands, Inc. | 1,782 | 217,956 | ||||||
|
| |||||||
767,791 | ||||||||
|
| |||||||
Diversified Financials — 3.9% | ||||||||
Berkshire Hathaway, Inc., | 1,400 | 382,116 | ||||||
BlackRock, Inc. | 379 | 317,852 | ||||||
Invesco Ltd. (Bermuda) | 761 | 18,348 | ||||||
Moody’s Corp. | 177 | 62,854 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Nasdaq, Inc. | 1,149 | $ | 221,780 | |||||
T Rowe Price Group, Inc.(a) | 1,813 | 356,617 | ||||||
|
| |||||||
1,359,567 | ||||||||
|
| |||||||
Energy — 0.7% | ||||||||
Baker Hughes Co. | 1,236 | 30,566 | ||||||
EOG Resources, Inc. | 1,463 | 117,435 | ||||||
Hess Corp. | 34 | 2,656 | ||||||
Marathon Petroleum Corp. | 1,251 | 77,324 | ||||||
|
| |||||||
227,981 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
Kroger Co. (The)(a) | 7,635 | 308,683 | ||||||
Sysco Corp. | 190 | 14,915 | ||||||
Walmart, Inc.(a) | 4,051 | 564,629 | ||||||
|
| |||||||
888,227 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 13.3% |
| |||||||
Altria Group, Inc.(a) | 8,180 | 372,354 | ||||||
Archer-Daniels-Midland | 4,549 | 272,985 | ||||||
Campbell Soup Co.(a) | 5,392 | 225,440 | ||||||
Coca-Cola Co. (The) | 4,947 | 259,569 | ||||||
Conagra Brands, Inc.(a) | 8,553 | 289,690 | ||||||
Constellation Brands, Inc., Class A | 376 | 79,219 | ||||||
General Mills, Inc.(a) | 7,085 | 423,825 | ||||||
Hershey Co. (The)(a) | 2,534 | 428,880 | ||||||
JM Smucker Co. (The)(a) | 567 | 68,057 | ||||||
Kellogg Co.(a) | 6,520 | 416,758 | ||||||
Kraft Heinz Co. (The)(a) | 13,473 | 496,076 | ||||||
Mondelez International, Inc., Class A(a) | 6,742 | 392,250 | ||||||
PepsiCo, Inc. | 1,296 | 194,931 | ||||||
Philip Morris International, Inc.(a) | 5,405 | 512,340 | ||||||
Tyson Foods, Inc., Class A | 2,743 | 216,532 | ||||||
|
| |||||||
4,648,906 | ||||||||
|
| |||||||
Health Care Equipment & Services — 10.0% |
| |||||||
Abbott Laboratories | 1,067 | 126,045 | ||||||
Anthem, Inc. | 371 | 138,309 | ||||||
Cerner Corp. | 464 | 32,721 | ||||||
Cigna Corp. | 821 | 164,331 | ||||||
CVS Health Corp.(a) | 3,823 | 324,420 | ||||||
Danaher Corp. | 446 | 135,780 | ||||||
DaVita, Inc.* | 283 | 32,902 | ||||||
HCA Healthcare, Inc. | 675 | 163,836 | ||||||
Hologic, Inc.(a)* | 8,429 | 622,144 | ||||||
Laboratory Corp. of America Holdings(a)* | 2,394 | 673,767 |
The accompanying notes are an integral part of the financial statements.
29
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
McKesson Corp. | 635 | $ | 126,606 | |||||
Quest Diagnostics, Inc.(a) | 4,657 | 676,709 | ||||||
UnitedHealth Group, Inc. | 713 | 278,598 | ||||||
|
| |||||||
3,496,168 | ||||||||
|
| |||||||
Household & Personal Products — 2.9% |
| |||||||
Colgate-Palmolive Co.(a) | 6,066 | 458,468 | ||||||
Kimberly-Clark Corp.(a) | 2,432 | 322,094 | ||||||
Procter & Gamble Co. | 1,806 | 252,479 | ||||||
|
| |||||||
1,033,041 | ||||||||
|
| |||||||
Insurance — 4.0% | ||||||||
Aon PLC, Class A (Ireland) | 1,302 | 372,073 | ||||||
Arthur J Gallagher & Co. | 1,810 | 269,057 | ||||||
Brown & Brown, Inc. | 1,412 | 78,295 | ||||||
Marsh & McLennan Cos., | 4,440 | 672,349 | ||||||
|
| |||||||
1,391,774 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Avery Dennison Corp. | 593 | 122,876 | ||||||
DuPont de Nemours, Inc. | 2,408 | 163,720 | ||||||
Eastman Chemical Co. | 442 | 44,527 | ||||||
International Paper Co. | 1,714 | 95,847 | ||||||
Sherwin-Williams Co. | 1,536 | 429,665 | ||||||
|
| |||||||
856,635 | ||||||||
|
| |||||||
Media & Entertainment — 5.3% |
| |||||||
Activision Blizzard, Inc.(a) | 3,754 | 290,522 | ||||||
Alphabet, Inc., Class A(a)* | 117 | 312,802 | ||||||
Charter Communications, Inc., Class A* | 195 | 141,874 | ||||||
DISH Network Corp., | 86 | 3,738 | ||||||
Electronic Arts, Inc. | 97 | 13,798 | ||||||
Facebook, Inc., Class A(a)* | 1,682 | 570,854 | ||||||
Fox Corp., Class A | 481 | 19,293 | ||||||
Interpublic Group of Cos., Inc. (The) | 1,443 | 52,915 | ||||||
Netflix, Inc.(a)* | 525 | 320,429 | ||||||
Omnicom Group, Inc. | 5 | 362 | ||||||
Take-Two Interactive Software, Inc.* . | 42 | 6,471 | ||||||
ViacomCBS, Inc., Class B | 3,132 | 123,745 | ||||||
|
| |||||||
1,856,803 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 9.5% |
| |||||||
AbbVie, Inc. | 1,461 | 157,598 | ||||||
Biogen, Inc.* | 986 | 279,028 | ||||||
Gilead Sciences, Inc. | 2,782 | 194,323 | ||||||
Illumina, Inc.* | 82 | 33,260 | ||||||
Johnson & Johnson(a) | 2,672 | 431,528 | ||||||
Merck & Co., Inc.(a) | 6,444 | 484,009 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Organon & Co. | 6,566 | $ | 215,299 | |||||
PerkinElmer, Inc.(a) | 3,910 | 677,564 | ||||||
Pfizer, Inc.(a) | 15,425 | 663,429 | ||||||
Thermo Fisher Scientific, Inc. | 320 | 182,825 | ||||||
Waters Corp.* | 49 | 17,508 | ||||||
|
| |||||||
3,336,371 | ||||||||
|
| |||||||
Real Estate — 3.6% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT | 1,665 | 318,132 | ||||||
Duke Realty Corp., REIT | 3,704 | 177,310 | ||||||
Extra Space Storage, Inc., REIT | 1,120 | 188,149 | ||||||
Iron Mountain, Inc., REIT | 16 | 695 | ||||||
Mid-America Apartment Communities, Inc., REIT | 349 | 65,176 | ||||||
Prologis, Inc., REIT | 6 | 753 | ||||||
Public Storage, REIT | 851 | 252,832 | ||||||
Weyerhaeuser Co., REIT | 7,678 | 273,106 | ||||||
|
| |||||||
1,276,153 | ||||||||
|
| |||||||
Retailing — 4.5% | ||||||||
Advance Auto Parts, Inc. | 5 | 1,045 | ||||||
Amazon.com, Inc.(a)* | 79 | 259,518 | ||||||
AutoZone, Inc.* | 65 | 110,369 | ||||||
Bath & Body Works, Inc. | 1,925 | 121,333 | ||||||
Best Buy Co., Inc. | 189 | 19,979 | ||||||
eBay, Inc. | 4,123 | 287,249 | ||||||
Genuine Parts Co. | 797 | 96,620 | ||||||
Home Depot, Inc. (The) | 446 | 146,404 | ||||||
LKQ Corp.* | 1,542 | 77,594 | ||||||
Lowe’s Cos., Inc. | 447 | 90,678 | ||||||
O’Reilly Automotive, Inc.* | 207 | 126,490 | ||||||
Ross Stores, Inc. | 724 | 78,807 | ||||||
Target Corp. | 662 | 151,446 | ||||||
|
| |||||||
1,567,532 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
Applied Materials, Inc. | 2,050 | 263,896 | ||||||
Intel Corp.(a) | 5,301 | 282,437 | ||||||
Lam Research Corp. | 4 | 2,277 | ||||||
|
| |||||||
548,610 | ||||||||
|
| |||||||
Software & Services — 7.1% |
| |||||||
Accenture PLC, Class A (Ireland) | 385 | 123,169 | ||||||
Automatic Data Processing, Inc. | 1,553 | 310,476 | ||||||
Broadridge Financial Solutions, Inc. | 46 | 7,665 | ||||||
Gartner, Inc.* | 10 | 3,039 |
The accompanying notes are an integral part of the financial statements.
30
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
International Business Machines Corp. | 920 | $ | 127,816 | |||||
Mastercard, Inc., Class A | 124 | 43,112 | ||||||
Microsoft Corp.(a) | 1,524 | 429,646 | ||||||
NortonLifeLock, Inc.(a) | 15,191 | 384,332 | ||||||
Oracle Corp.(a) | 5,296 | 461,440 | ||||||
Paychex, Inc. | 630 | 70,844 | ||||||
PayPal Holdings, Inc.* | 437 | 113,712 | ||||||
Visa, Inc., Class A | 993 | 221,191 | ||||||
Western Union Co. (The) | 8,983 | 181,636 | ||||||
|
| |||||||
2,478,078 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 8.3% |
| |||||||
Apple, Inc.(a) | 6,713 | 949,889 | ||||||
Cisco Systems, Inc.(a) | 8,958 | 487,584 | ||||||
Corning, Inc. | 6,317 | 230,507 | ||||||
F5 Networks, Inc.* | 41 | 8,150 | ||||||
HP, Inc.(a) | 11,835 | 323,806 | ||||||
Juniper Networks, Inc. | 7,352 | 202,327 | ||||||
Keysight Technologies, Inc.* | 531 | 87,238 | ||||||
NetApp, Inc. | 2,566 | 230,324 | ||||||
Seagate Technology Holdings PLC (Ireland) | 4,651 | 383,801 | ||||||
|
| |||||||
2,903,626 | ||||||||
|
| |||||||
Telecommunication Services — 2.2% |
| |||||||
AT&T, Inc.(a) | 12,362 | 333,898 | ||||||
Verizon Communications, | 8,403 | 453,846 | ||||||
|
| |||||||
787,744 | ||||||||
|
| |||||||
Transportation — 2.3% |
| |||||||
CSX Corp. | 3,343 | 99,421 | ||||||
Expeditors International of Washington, Inc.(a) | 2,274 | 270,902 | ||||||
Southwest Airlines Co.* | 401 | 20,623 | ||||||
Union Pacific Corp. | 329 | 64,487 | ||||||
United Parcel Service, Inc., Class B(a) | 1,918 | 349,268 | ||||||
|
| |||||||
804,701 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
Dominion Energy, Inc.(a) | 2,535 | 185,106 | ||||||
NRG Energy, Inc. | 5,749 | 234,732 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
PPL Corp. | 7,225 | $ | 201,433 | |||||
Public Service Enterprise Group, Inc. | 1,115 | 67,903 | ||||||
|
| |||||||
689,174 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 33,445,508 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.5% | 1,591,697 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 35,037,205 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
31
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of long and short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between August 29, 2024 and July 6, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents 3.5% of net assets as of September 30, 2021.
The following table represents the individual long and short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Long | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
Ford Motor Co. | Morgan Stanley | 1,407 | $ | 16,322 | $ | 19,923 | $ | 3,857 | ||||||||||||||
General Motors Co. | Morgan Stanley | 1,340 | 70,311 | 70,631 | 300 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
2,747 | 86,633 | 90,554 | 4,157 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
3M Co. | Morgan Stanley | 1,845 | 329,309 | 323,650 | 2,942 | |||||||||||||||||
A.O. Smith Corp. | Morgan Stanley | 2,064 | 114,376 | 126,048 | 13,039 | |||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 22 | 4,360 | 4,313 | 206 | |||||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 2,158 | 91,286 | 146,917 | 59,434 | |||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 993 | 366,658 | 342,684 | (22,390 | ) | ||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 662 | 233,830 | 238,419 | 6,174 | |||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 337 | 28,236 | 27,728 | (248 | ) | ||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 478 | 20,483 | 34,717 | 17,406 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | 128 | 7,637 | 14,569 | 7,320 | |||||||||||||||||
Roper Technologies, Inc. | Morgan Stanley | 20 | 7,997 | 8,923 | 1,216 | |||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 1,067 | 145,888 | 222,950 | 82,636 | |||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 184 | 72,504 | 72,323 | 517 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
9,958 | 1,422,564 | 1,563,241 | 168,252 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
Nielsen Holdings PLC (United Kingdom) | Morgan Stanley | 1,901 | 39,473 | 36,480 | (2,729 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 1,211 | 167,856 | 188,262 | 24,724 | |||||||||||||||||
Hasbro, Inc. | Morgan Stanley | 453 | 43,837 | 40,417 | (3,930 | ) | ||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 322 | 62,650 | 57,123 | (5,256 | ) | ||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 681 | 91,062 | 98,902 | 8,578 | |||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 834 | 33,420 | 30,875 | (2,284 | ) | ||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 1,735 | 294,884 | 353,697 | 65,833 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
5,236 | 693,709 | 769,276 | 87,665 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
Hilton Worldwide Holdings, Inc. | Morgan Stanley | 99 | 10,151 | 13,079 | 3,183 | |||||||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | 371 | 50,962 | 54,941 | 4,246 | |||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 870 | 203,885 | 209,766 | 8,286 |
The accompanying notes are an integral part of the financial statements.
32
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||||
Penn National Gaming, Inc. | Morgan Stanley | 2,984 | $ | 209,102 | $ | 216,221 | $ | 7,437 | ||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 1,761 | 196,150 | 215,388 | 20,844 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
6,085 | 670,250 | 709,395 | 43,996 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 625 | 144,808 | 170,588 | 26,077 | |||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 328 | 228,092 | 275,080 | 50,510 | |||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 768 | 18,917 | 18,516 | (143 | ) | ||||||||||||||||
Moody’s Corp. | Morgan Stanley | 173 | 64,453 | 61,434 | (2,747 | ) | ||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 1,130 | 171,271 | 218,113 | 48,054 | |||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 1,790 | 270,222 | 352,093 | 93,540 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
4,814 | 897,763 | 1,095,824 | 215,291 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Energy | ||||||||||||||||||||||
Baker Hughes Co. | Morgan Stanley | 1,127 | 23,911 | 27,871 | 4,219 | |||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 1,127 | 77,140 | 90,464 | 13,600 | |||||||||||||||||
Hess Corp. | Morgan Stanley | 56 | 3,768 | 4,374 | 1,351 | |||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 1,223 | 71,468 | 75,594 | 4,399 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
3,533 | 176,287 | 198,303 | 23,569 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 7,554 | 275,047 | 305,408 | 35,455 | |||||||||||||||||
Sysco Corp. | Morgan Stanley | 184 | 9,056 | 14,444 | 5,970 | |||||||||||||||||
Walmart, Inc. | Morgan Stanley | 4,016 | 514,039 | 559,750 | 57,148 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
11,754 | 798,142 | 879,602 | 98,573 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 8,074 | 336,965 | 367,528 | 54,535 | |||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 4,703 | 191,270 | 282,227 | 98,641 | |||||||||||||||||
Campbell Soup Co. | Morgan Stanley | 7,273 | 342,919 | 304,084 | (22,552 | ) | ||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 4,895 | 274,818 | 256,841 | (17,639 | ) | ||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | 8,086 | 283,198 | 273,873 | 65 | |||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 367 | 62,532 | 77,323 | 17,684 | |||||||||||||||||
General Mills, Inc. | Morgan Stanley | 7,010 | 395,054 | 419,338 | 46,169 | |||||||||||||||||
Hershey Co. (The) | Morgan Stanley | 2,485 | 388,968 | 420,586 | 34,352 | |||||||||||||||||
J M Smucker Co. (The) | Morgan Stanley | 571 | 63,030 | 68,537 | 24,696 | |||||||||||||||||
Kellogg Co. | Morgan Stanley | 6,370 | 396,488 | 407,170 | 24,791 | |||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 13,302 | 454,663 | 489,780 | 46,301 | |||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 6,583 | 368,489 | 382,999 | 18,804 | |||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 1,278 | 198,382 | 192,224 | (5,844 | ) | ||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 5,290 | 438,914 | 501,439 | 75,120 | |||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 2,680 | 176,434 | 211,559 | 37,817 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
78,967 | 4,372,124 | 4,655,508 | 432,940 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 138 | 13,567 | 16,302 | 3,151 | |||||||||||||||||
Anthem, Inc. | Morgan Stanley | 392 | 146,059 | 146,138 | 776 | |||||||||||||||||
Cerner Corp. | Morgan Stanley | 456 | 33,171 | 32,157 | (110 | ) | ||||||||||||||||
Cigna Corp. | Morgan Stanley | 806 | 174,394 | 161,329 | (12,759 | ) | ||||||||||||||||
CVS Health Corp. | Morgan Stanley | 3,412 | 248,873 | 289,542 | 43,590 | |||||||||||||||||
Danaher Corp. | Morgan Stanley | 38 | 9,855 | 11,569 | 1,982 | |||||||||||||||||
DaVita, Inc. | Morgan Stanley | 280 | 34,662 | 32,553 | (1,847 | ) |
The accompanying notes are an integral part of the financial statements.
33
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Health Care Equipment & Services — (continued) | ||||||||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 671 | $ | 140,176 | $ | 162,865 | $ | 23,222 | ||||||||||||||
Hologic, Inc. | Morgan Stanley | 7,594 | 523,779 | 560,513 | 37,152 | |||||||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | 2,352 | 611,111 | 661,947 | 51,281 | |||||||||||||||||
McKesson Corp. | Morgan Stanley | 624 | 121,719 | 124,413 | 3,120 | |||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 4,513 | 579,850 | 655,784 | 78,932 | |||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 704 | 283,801 | 275,081 | (8,097 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
21,980 | 2,921,017 | 3,130,193 | 220,393 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 5,932 | 428,897 | 448,341 | 28,177 | |||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 2,401 | 313,381 | 317,988 | 14,767 | |||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 1,784 | 229,075 | 249,403 | 29,638 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
10,117 | 971,353 | 1,015,732 | 72,582 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Insurance | ||||||||||||||||||||||
Aon PLC, Class A (Ireland) | Morgan Stanley | 1,299 | 281,241 | 371,215 | 91,326 | |||||||||||||||||
Arthur J Gallagher & Co. | Morgan Stanley | 1,794 | 240,959 | 266,678 | 26,731 | |||||||||||||||||
Brown & Brown, Inc. | Morgan Stanley | 1,405 | 79,772 | 77,907 | (1,588 | ) | ||||||||||||||||
Marsh & McLennan Cos., Inc. | Morgan Stanley | 4,320 | 475,568 | 654,178 | 182,437 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
8,818 | 1,077,540 | 1,369,978 | 298,906 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Materials | ||||||||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 574 | 122,289 | 118,939 | (3,060 | ) | ||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 2,334 | 177,905 | 158,689 | (18,594 | ) | ||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 436 | 40,340 | 43,923 | 5,396 | |||||||||||||||||
International Paper Co. | Morgan Stanley | 1,694 | 95,132 | 94,728 | 1,372 | |||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 1,521 | 358,954 | 425,469 | 68,191 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
6,559 | 794,620 | 841,748 | 53,305 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 3,223 | 256,947 | 249,428 | (9,815 | ) | ||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 336 | 447,499 | 898,303 | 451,196 | |||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 163 | 119,220 | 118,592 | (339 | ) | ||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | 91 | 4,024 | 3,955 | 184 | |||||||||||||||||
Electronic Arts, Inc. | Morgan Stanley | 96 | 11,323 | 13,656 | 2,637 | |||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 245 | 67,551 | 83,151 | 15,872 | |||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 461 | 16,923 | 18,491 | 1,824 | |||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 1,378 | 48,780 | 50,531 | 2,061 | |||||||||||||||||
Netflix, Inc. | Morgan Stanley | 380 | 185,545 | 231,929 | 46,694 | |||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 4 | 292 | 290 | 249 | |||||||||||||||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 36 | 4,653 | 5,547 | 1,146 | |||||||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | 3,080 | 126,072 | 121,691 | (3,696 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
9,493 | 1,288,829 | 1,795,564 | 508,013 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
AbbVie, Inc. | Morgan Stanley | 1,481 | 169,157 | 159,755 | (9,096 | ) | ||||||||||||||||
Biogen, Inc. | Morgan Stanley | 951 | 285,354 | 269,123 | (15,889 | ) | ||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 2,751 | 171,188 | 192,157 | 24,297 | |||||||||||||||||
Illumina, Inc. | Morgan Stanley | 17 | 5,753 | 6,895 | 1,395 | |||||||||||||||||
Johnson & Johnson | Morgan Stanley | 2,647 | 442,659 | 427,490 | (12,671 | ) | ||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 6,365 | 482,832 | 478,075 | (4,195 | ) | ||||||||||||||||
Organon & Co. | Morgan Stanley | 6,483 | 220,136 | 212,578 | (7,238 | ) |
The accompanying notes are an integral part of the financial statements.
34
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
| ||||||||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 3,876 | $ | 504,427 | $ | 671,672 | $ | 167,900 | |||||||||||||||
Pfizer, Inc. | Morgan Stanley | 15,273 | 549,072 | 656,892 | 117,285 | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 314 | 140,112 | 179,398 | 39,809 | ||||||||||||||||||
Waters Corp. | Morgan Stanley | 48 | 14,456 | 17,150 | 2,951 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
40,206 | 2,985,146 | 3,271,185 | 304,548 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Real Estate | |||||||||||||||||||||||
Alexandria Real Estate Equities, Inc., REIT | Morgan Stanley | 1,656 | 330,142 | 316,412 | (13,182 | ) | |||||||||||||||||
Duke Realty Corp., REIT | Morgan Stanley | 3,741 | 185,494 | 179,082 | (6,591 | ) | |||||||||||||||||
Extra Space Storage, Inc., REIT | Morgan Stanley | 1,109 | 184,816 | 186,301 | 1,933 | ||||||||||||||||||
Iron Mountain, Inc. | Morgan Stanley | 16 | 711 | 695 | 236 | ||||||||||||||||||
Mid-America Apartment Communities, Inc., REIT | Morgan Stanley | 352 | 67,117 | 65,736 | (1,109 | ) | |||||||||||||||||
Prologis, Inc., REIT | Morgan Stanley | 5 | 635 | 627 | 244 | ||||||||||||||||||
Public Storage, REIT | Morgan Stanley | 838 | 253,802 | 248,970 | (4,506 | ) | |||||||||||||||||
Weyerhaeuser Co., REIT | Morgan Stanley | 7,570 | 263,517 | 269,265 | 6,740 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
15,287 | 1,286,234 | 1,267,088 | (16,235 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Retailing | |||||||||||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 263 | 485,798 | 863,966 | 378,573 | ||||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 63 | 81,161 | 106,973 | 26,089 | ||||||||||||||||||
Bath & Body Works, Inc. | Morgan Stanley | 1,817 | 65,957 | 114,526 | 48,840 | ||||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 41 | 2,606 | 4,334 | 2,166 | ||||||||||||||||||
eBay, Inc. | Morgan Stanley | 3,909 | 268,253 | 272,340 | 6,374 | ||||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 823 | 81,115 | 99,772 | 22,308 | ||||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 410 | 125,193 | 134,587 | 9,815 | ||||||||||||||||||
LKQ Corp. | Morgan Stanley | 1,524 | 56,942 | 76,688 | 20,015 | ||||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 349 | 67,971 | 70,798 | 4,593 | ||||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 199 | 98,587 | 121,601 | 23,296 | ||||||||||||||||||
Ross Stores, Inc. | Morgan Stanley | 704 | 84,804 | 76,630 | (7,916 | ) | |||||||||||||||||
Target Corp. | Morgan Stanley | 660 | 145,098 | 150,988 | 6,329 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
10,762 | 1,563,485 | 2,093,203 | 540,482 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 1,735 | 221,203 | 223,347 | 2,465 | ||||||||||||||||||
Intel Corp. | Morgan Stanley | 5,175 | 284,528 | 275,724 | (8,113 | ) | |||||||||||||||||
Lam Research Corp. | Morgan Stanley | 13 | 7,460 | 7,399 | 177 | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
6,923 | 513,191 | 506,470 | (5,471 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||
Software & Services | |||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 346 | 113,244 | 110,692 | (1,852 | ) | |||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | 1,518 | 298,193 | 303,479 | 6,210 | ||||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 39 | 6,526 | 6,499 | 228 | ||||||||||||||||||
Gartner, Inc. | Morgan Stanley | 9 | 2,768 | 2,735 | 219 | ||||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 912 | 119,353 | 126,704 | 9,679 | ||||||||||||||||||
Mastercard, Inc., Class A | Morgan Stanley | 546 | 142,539 | 189,833 | 48,745 | ||||||||||||||||||
Microsoft Corp. | Morgan Stanley | 3,577 | 586,174 | 1,008,428 | 432,435 | ||||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 15,051 | 357,231 | 380,790 | 26,098 | ||||||||||||||||||
Oracle Corp. | Morgan Stanley | 5,236 | 353,038 | 456,213 | 108,245 | ||||||||||||||||||
Paychex, Inc. | Morgan Stanley | 625 | 67,381 | 70,281 | 3,173 | ||||||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 360 | 63,344 | 93,676 | 30,603 |
The accompanying notes are an integral part of the financial statements.
35
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 455 | $ | 81,529 | $ | 101,351 | $ | 20,812 | ||||||||||||||
Western Union Co. (The) | Morgan Stanley | 8,889 | 203,168 | 179,736 | (22,625 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
37,563 | 2,394,488 | 3,030,417 | 661,970 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
Apple, Inc. | Morgan Stanley | 4,519 | 359,756 | 639,438 | 285,329 | |||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 8,105 | 359,028 | 441,155 | 90,114 | |||||||||||||||||
Corning, Inc. | Morgan Stanley | 6,212 | 265,410 | 226,676 | (37,223 | ) | ||||||||||||||||
F5 Networks, Inc. | Morgan Stanley | 42 | 5,142 | 8,349 | 3,459 | |||||||||||||||||
HP, Inc. | Morgan Stanley | 11,268 | 197,726 | 308,292 | 119,748 | |||||||||||||||||
Juniper Networks, Inc. | Morgan Stanley | 7,276 | 154,537 | 200,236 | 51,810 | |||||||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | 522 | 88,585 | 85,759 | (2,547 | ) | ||||||||||||||||
NetApp, Inc. | Morgan Stanley | 2,497 | 200,483 | 224,131 | 23,962 | |||||||||||||||||
Seagate Technology Holdings PLC (Ireland) | Morgan Stanley | 4,593 | 402,724 | 379,014 | (23,494 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
45,034 | 2,033,391 | 2,513,050 | 511,158 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 11,763 | 334,403 | 317,719 | (10,915 | ) | ||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 8,316 | 460,093 | 449,147 | 4,143 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
20,079 | 794,496 | 766,866 | (6,772 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
CSX Corp. | Morgan Stanley | 3,162 | 101,223 | 94,038 | (6,858 | ) | ||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | 2,020 | 221,466 | 240,643 | 24,192 | |||||||||||||||||
Southwest Airlines Co. | Morgan Stanley | 393 | 18,306 | 20,212 | 2,163 | |||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 322 | 64,157 | 63,115 | (770 | ) | ||||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | 1,902 | 318,715 | 346,354 | 30,716 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
7,799 | 723,867 | 764,362 | 49,443 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 2,507 | 173,582 | 183,061 | 17,328 | |||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 5,698 | 247,407 | 232,649 | (14,428 | ) | ||||||||||||||||
PPL Corp. | Morgan Stanley | 7,165 | 210,390 | 199,760 | (30,347 | ) | ||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 1,175 | 73,904 | 71,558 | (5,171 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
16,545 | 705,283 | 687,028 | (32,618 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Long | 29,209,885 | 33,051,067 | 4,231,418 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Short | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | (1,422) | (225,178) | (211,835) | 12,981 | |||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (5,794) | (279,860) | (250,359) | 29,408 | |||||||||||||||||
Tesla, Inc. | Morgan Stanley | (91) | (67,426) | (70,569) | (3,075 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,307) | (572,464) | (532,763) | 39,314 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Banks | ||||||||||||||||||||||
Citizens Financial Group, Inc. | Morgan Stanley | (2,984) | (131,011) | (140,188) | (9,283 | ) | ||||||||||||||||
Comerica, Inc. | Morgan Stanley | (1,741) | (126,262) | (140,151) | (15,572 | ) | ||||||||||||||||
Huntington Bancshares, Inc. | Morgan Stanley | (13,933) | (199,278) | (215,404) | (16,497 | ) | ||||||||||||||||
KeyCorp. | Morgan Stanley | (3,481) | (70,887) | (75,259) | (4,314 | ) | ||||||||||||||||
M&T Bank Corp. | Morgan Stanley | (1,798) | (266,975) | (268,513) | (6,089 | ) | ||||||||||||||||
People’s United Financial, Inc. | Morgan Stanley | (6,109) | (107,116) | (106,724) | 3 |
The accompanying notes are an integral part of the financial statements.
36
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Banks — (continued) | ||||||||||||||||||||||
Regions Financial Corp. | Morgan Stanley | (369 | ) | $ | (7,698 | ) | $ | (7,863 | ) | $ | 65 | |||||||||||
Truist Financial Corp. | Morgan Stanley | (3,081 | ) | (174,268 | ) | (180,701 | ) | (6,656 | ) | |||||||||||||
Zions Bancorp NA | Morgan Stanley | (1,510 | ) | (82,607 | ) | (93,454 | ) | (11,420 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(35,006 | ) | (1,166,102 | ) | (1,228,257 | ) | (69,763 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
Boeing Co. (The) | Morgan Stanley | (2,306 | ) | (692,297 | ) | (507,182 | ) | 179,921 | ||||||||||||||
Fastenal Co. | Morgan Stanley | (974 | ) | (54,091 | ) | (50,268 | ) | 4,119 | ||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | (465 | ) | (197,873 | ) | (190,032 | ) | 7,554 | ||||||||||||||
IDEX Corp. | Morgan Stanley | (89 | ) | (19,328 | ) | (18,419 | ) | 1,108 | ||||||||||||||
PACCAR, Inc. | Morgan Stanley | (652 | ) | (56,191 | ) | (51,456 | ) | 4,826 | ||||||||||||||
Raytheon Technologies Corp. | Morgan Stanley | (1,837 | ) | (157,279 | ) | (157,909 | ) | (806 | ) | |||||||||||||
TransDigm Group, Inc. | Morgan Stanley | (485 | ) | (308,976 | ) | (302,916 | ) | 5,440 | ||||||||||||||
United Rentals, Inc. | Morgan Stanley | (566 | ) | (189,821 | ) | (198,626 | ) | (9,274 | ) | |||||||||||||
Xylem, Inc. | Morgan Stanley | (32 | ) | (4,102 | ) | (3,958 | ) | 384 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,406 | ) | (1,679,958 | ) | (1,480,766 | ) | 193,272 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
Cintas Corp. | Morgan Stanley | (763 | ) | (297,172 | ) | (290,444 | ) | 3,663 | ||||||||||||||
Copart, Inc. | Morgan Stanley | (854 | ) | (123,070 | ) | (118,467 | ) | 4,519 | ||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | (67 | ) | (8,239 | ) | (7,814 | ) | 703 | ||||||||||||||
Rollins, Inc. | Morgan Stanley | (8,593 | ) | (313,197 | ) | (303,591 | ) | 8,822 | ||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (595 | ) | (115,972 | ) | (119,161 | ) | (3,270 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(10,872 | ) | (857,650 | ) | (839,477 | ) | 14,437 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
DR Horton, Inc. | Morgan Stanley | (1,284 | ) | (118,730 | ) | (107,817 | ) | 10,816 | ||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | (3,168 | ) | (152,395 | ) | (142,053 | ) | 10,178 | ||||||||||||||
NVR, Inc. | Morgan Stanley | (17 | ) | (83,197 | ) | (81,499 | ) | 1,722 | ||||||||||||||
PulteGroup, Inc. | Morgan Stanley | (3,103 | ) | (174,557 | ) | (142,490 | ) | 31,538 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,572 | ) | (528,879 | ) | (473,859 | ) | 54,254 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (400 | ) | (41,233 | ) | (44,912 | ) | (3,909 | ) | |||||||||||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (142 | ) | (235,237 | ) | (258,088 | ) | (23,578 | ) | |||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (1,336 | ) | (193,787 | ) | (202,364 | ) | (9,331 | ) | |||||||||||||
MGM Resorts International | Morgan Stanley | (3,489 | ) | (139,200 | ) | (150,550 | ) | (11,752 | ) | |||||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (1,930 | ) | (193,134 | ) | (163,568 | ) | 29,292 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(7,297 | ) | (802,591 | ) | (819,482 | ) | (19,278 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
MarketAxess Holdings, Inc. | Morgan Stanley | (633 | ) | (327,265 | ) | (266,297 | ) | 59,816 | ||||||||||||||
MSCI, Inc. | Morgan Stanley | (117 | ) | (51,811 | ) | (71,176 | ) | (21,112 | ) | |||||||||||||
Northern Trust Corp. | Morgan Stanley | (593 | ) | (68,786 | ) | (63,931 | ) | 4,946 | ||||||||||||||
State Street Corp. | Morgan Stanley | (3,470 | ) | (302,762 | ) | (293,978 | ) | 6,712 | ||||||||||||||
Synchrony Financial | Morgan Stanley | (1,031 | ) | (49,452 | ) | (50,395 | ) | (1,097 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(5,844 | ) | (800,076 | ) | (745,777 | ) | 49,265 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Energy | ||||||||||||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (60 | ) | (5,698 | ) | (5,680 | ) | (915 | ) | |||||||||||||
Phillips 66 | Morgan Stanley | (980 | ) | (67,764 | ) | (68,629 | ) | (268 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(1,040 | ) | (73,462 | ) | (74,309 | ) | (1,183 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
37
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | (1,730) | $ | (124,176) | $ | (115,927) | $ | 8,181 | ||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (3,964) | (169,049) | (162,524) | 6,315 | |||||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (3,145) | (249,724) | (193,009) | 55,711 | |||||||||||||||||
McCormick & Co, Inc., non-voting shares | Morgan Stanley | (1,537) | (133,210) | (124,543) | 8,585 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(10,376) | (676,159) | (596,003) | 78,792 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (1,111) | (348,211) | (361,653) | (14,138 | ) | ||||||||||||||||
Align Technology, Inc. | Morgan Stanley | (281) | (177,594) | (186,986) | (9,624 | ) | ||||||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | (78) | (32,551) | (32,238) | (93 | ) | ||||||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | (1,922) | (128,549) | (111,572) | 16,487 | |||||||||||||||||
Dexcom, Inc. | Morgan Stanley | (847) | (362,067) | (463,190) | (101,858 | ) | ||||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (583) | (58,750) | (66,001) | (7,161 | ) | ||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | (937) | (75,886) | (71,362) | 4,559 | |||||||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | (403) | (233,639) | (250,626) | (17,372 | ) | ||||||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (166) | (161,348) | (165,029) | (3,999 | ) | ||||||||||||||||
ResMed, Inc. | Morgan Stanley | (75) | (20,617) | (19,766) | 984 | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (1,144) | (245,636) | (233,696) | 11,522 | |||||||||||||||||
Teleflex, Inc. | Morgan Stanley | (718) | (281,447) | (270,363) | 9,677 | |||||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | (200) | (70,328) | (84,908) | (14,961 | ) | ||||||||||||||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | (1,340) | (216,442) | (196,122) | 19,329 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(9,805) | (2,413,065) | (2,513,512) | (106,648 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | (105) | (8,747) | (8,670) | 304 | |||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (254) | (42,680) | (42,065) | 8,680 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(359) | (51,427) | (50,735) | 8,984 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Insurance | ||||||||||||||||||||||
Lincoln National Corp. | Morgan Stanley | (1,718) | (110,745) | (118,113) | (8,161 | ) | ||||||||||||||||
Principal Financial Group, Inc. | Morgan Stanley | (551) | (36,363) | (35,484) | 880 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(2,269) | (147,108) | (153,597) | (7,281 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Materials | ||||||||||||||||||||||
Air Products and Chemicals, Inc. | Morgan Stanley | (1,345) | (390,832) | (344,468) | 42,130 | |||||||||||||||||
Albemarle Corp. | Morgan Stanley | (2,291) | (419,706) | (501,660) | (84,546 | ) | ||||||||||||||||
Ball Corp. | Morgan Stanley | (4,376) | (396,654) | (393,709) | 1,075 | |||||||||||||||||
Corteva, Inc. | Morgan Stanley | (4,475) | (199,951) | (188,308) | 11,350 | |||||||||||||||||
Ecolab, Inc. | Morgan Stanley | (1,479) | (330,255) | (308,549) | 20,695 | |||||||||||||||||
FMC Corp. | Morgan Stanley | (1,857) | (212,129) | (170,027) | 41,112 | |||||||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (2,132) | (304,984) | (285,091) | 16,691 | |||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | (1,313) | (475,981) | (448,626) | 26,290 | |||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | (523) | (79,979) | (74,794) | 5,622 | |||||||||||||||||
Vulcan Materials Co. | Morgan Stanley | (1,749) | (313,018) | (295,861) | 16,556 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(21,540) | (3,123,489) | (3,011,093) | 96,975 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | (286) | (25,714) | (26,063) | (168 | ) | ||||||||||||||||
Match Group, Inc. | Morgan Stanley | (2,742) | (419,536) | (430,467) | (11,821 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(3,028) | (445,250) | (456,530) | (11,989 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
38
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
Amgen, Inc. | Morgan Stanley | (582 | ) | $ | (134,092 | ) | $ | (123,762 | ) | $ | 10,215 | |||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | (167 | ) | (116,194 | ) | (124,574 | ) | (8,445 | ) | |||||||||||||
Bio-Techne Corp. | Morgan Stanley | (221 | ) | (111,977 | ) | (107,090 | ) | 4,833 | ||||||||||||||
Catalent, Inc. | Morgan Stanley | (3,019 | ) | (324,051 | ) | (401,738 | ) | (78,318 | ) | |||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | (73 | ) | (17,827 | ) | (17,486 | ) | 543 | ||||||||||||||
Moderna, Inc. | Morgan Stanley | (1,066 | ) | (443,004 | ) | (410,261 | ) | 31,788 | ||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | (306 | ) | (88,756 | ) | (55,505 | ) | 33,261 | ||||||||||||||
Viatris, Inc. | Morgan Stanley | (22,339 | ) | (322,602 | ) | (302,693 | ) | 15,168 | ||||||||||||||
Zoetis, Inc. | Morgan Stanley | (191 | ) | (38,023 | ) | (37,081 | ) | 1,090 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(27,964 | ) | (1,596,526 | ) | (1,580,190 | ) | 10,135 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Real Estate | ||||||||||||||||||||||
Boston Properties, Inc., REIT | Morgan Stanley | (676 | ) | (77,815 | ) | (73,245 | ) | 4,292 | ||||||||||||||
Equinix, Inc., REIT | Morgan Stanley | (538 | ) | (422,004 | ) | (425,090 | ) | (8,154 | ) | |||||||||||||
Host Hotels & Resorts, Inc., REIT | Morgan Stanley | (7,905 | ) | (140,199 | ) | (129,089 | ) | 11,059 | ||||||||||||||
Ventas, Inc., REIT | Morgan Stanley | (4,797 | ) | (275,872 | ) | (264,842 | ) | 9,317 | ||||||||||||||
Vornado Realty Trust, REIT | Morgan Stanley | (3,342 | ) | (158,008 | ) | (140,397 | ) | 14,998 | ||||||||||||||
Welltower, Inc., REIT | Morgan Stanley | (2,136 | ) | (185,470 | ) | (176,006 | ) | 9,282 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(19,394 | ) | (1,259,368 | ) | (1,208,669 | ) | 40,794 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Retailing | ||||||||||||||||||||||
CarMax, Inc. | Morgan Stanley | (2,740 | ) | (360,918 | ) | (350,610 | ) | 9,577 | ||||||||||||||
Dollar General Corp. | Morgan Stanley | (513 | ) | (112,721 | ) | (108,828 | ) | 3,802 | ||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | (257 | ) | (24,531 | ) | (24,600 | ) | 115 | ||||||||||||||
Etsy, Inc. | Morgan Stanley | (1,942 | ) | (389,037 | ) | (403,858 | ) | (15,629 | ) | |||||||||||||
Gap, Inc. (The) | Morgan Stanley | (2,251 | ) | (78,759 | ) | (51,098 | ) | 27,698 | ||||||||||||||
Pool Corp. | Morgan Stanley | (470 | ) | (196,932 | ) | (204,173 | ) | (8,019 | ) | |||||||||||||
Tractor Supply Co. | Morgan Stanley | (831 | ) | (163,882 | ) | (168,369 | ) | (4,629 | ) | |||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | (27 | ) | (10,510 | ) | (9,745 | ) | 1,272 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(9,031 | ) | (1,337,290 | ) | (1,321,281 | ) | 14,187 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | (2,847 | ) | (273,146 | ) | (292,956 | ) | (20,303 | ) | |||||||||||||
Broadcom, Inc. | Morgan Stanley | (351 | ) | (171,037 | ) | (170,210 | ) | 555 | ||||||||||||||
Enphase Energy, Inc. | Morgan Stanley | (3,916 | ) | (828,053 | ) | (587,283 | ) | 238,768 | ||||||||||||||
Microchip Technology, Inc. | Morgan Stanley | (2,203 | ) | (353,086 | ) | (338,138 | ) | 13,190 | ||||||||||||||
Monolithic Power Systems, Inc. | Morgan Stanley | (774 | ) | (303,513 | ) | (375,142 | ) | (74,417 | ) | |||||||||||||
NVIDIA Corp. | Morgan Stanley | (1,448 | ) | (289,608 | ) | (299,968 | ) | (10,979 | ) | |||||||||||||
NXP Semiconductors N.V. (Netherlands) | Morgan Stanley | (2 | ) | (396 | ) | (392 | ) | 255 | ||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | (244 | ) | (46,461 | ) | (40,206 | ) | 6,624 | ||||||||||||||
Teradyne, Inc. | Morgan Stanley | (2,740 | ) | (353,615 | ) | (299,126 | ) | 53,691 | ||||||||||||||
Xilinx, Inc. | Morgan Stanley | (2,545 | ) | (367,672 | ) | (384,270 | ) | (17,347 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(17,070 | ) | (2,986,587 | ) | (2,787,691 | ) | 190,037 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (3,622 | ) | (407,470 | ) | (378,825 | ) | 27,841 | ||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (2,351 | ) | (259,516 | ) | (264,770 | ) | (5,709 | ) | |||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (4,012 | ) | (470,133 | ) | (430,768 | ) | 37,280 | ||||||||||||||
Fidelity National Information Services, Inc. | Morgan Stanley | (2,045 | ) | (306,008 | ) | (248,836 | ) | 55,267 | ||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | (292 | ) | (82,155 | ) | (76,291 | ) | 5,892 | ||||||||||||||
Fortinet, Inc. | Morgan Stanley | (84 | ) | (25,730 | ) | (24,531 | ) | 1,379 |
The accompanying notes are an integral part of the financial statements.
39
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts Long/(Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Global Payments, Inc. | Morgan Stanley | (1,828 | ) | $ | (370,373 | ) | $ | (288,056 | ) | $ | 80,272 | |||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (1,819 | ) | (309,479 | ) | (298,425 | ) | 9,331 | ||||||||||||||
Paycom Software, Inc. | Morgan Stanley | (909 | ) | (317,354 | ) | (450,637 | ) | (133,896 | ) | |||||||||||||
PTC, Inc. | Morgan Stanley | (2,508 | ) | (347,743 | ) | (300,433 | ) | 46,853 | ||||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (594 | ) | (254,968 | ) | (272,438 | ) | (17,913 | ) | |||||||||||||
VeriSign, Inc. | Morgan Stanley | (778 | ) | (173,598 | ) | (159,498 | ) | 13,910 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(20,842 | ) | (3,324,527 | ) | (3,193,508 | ) | 120,507 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
IPG Photonics Corp. | Morgan Stanley | (1,674 | ) | (349,395 | ) | (265,162 | ) | 83,533 | ||||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (884 | ) | (399,644 | ) | (379,749 | ) | 18,970 | ||||||||||||||
Trimble, Inc. | Morgan Stanley | (833 | ) | (69,670 | ) | (68,514 | ) | 1,161 | ||||||||||||||
Western Digital Corp. | Morgan Stanley | (3 | ) | (231 | ) | (169 | ) | (3,824 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(3,394 | ) | (818,940 | ) | (713,594 | ) | 99,840 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (3,623 | ) | (331,328 | ) | (315,201 | ) | 15,476 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | (12,135 | ) | (286,859 | ) | (277,042 | ) | 9,287 | ||||||||||||||
Alliant Energy Corp. | Morgan Stanley | (5,116 | ) | (289,181 | ) | (286,394 | ) | 591 | ||||||||||||||
Ameren Corp. | Morgan Stanley | (3,887 | ) | (320,634 | ) | (314,847 | ) | (3,384 | ) | |||||||||||||
American Electric Power Co., Inc. | Morgan Stanley | (4,112 | ) | (360,701 | ) | (333,812 | ) | 18,575 | ||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | (1,838 | ) | (294,272 | ) | (310,696 | ) | (18,043 | ) | |||||||||||||
Atmos Energy Corp. | Morgan Stanley | (3,972 | ) | (400,989 | ) | (350,330 | ) | 40,641 | ||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (19,225 | ) | (474,486 | ) | (472,935 | ) | (10,470 | ) | |||||||||||||
CMS Energy Corp. | Morgan Stanley | (4,738 | ) | (300,112 | ) | (283,001 | ) | 13,269 | ||||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (3,692 | ) | (285,334 | ) | (268,002 | ) | 10,942 | ||||||||||||||
DTE Energy Co. | Morgan Stanley | (1,131 | ) | (127,250 | ) | (126,344 | ) | (8,784 | ) | |||||||||||||
Duke Energy Corp. | Morgan Stanley | (1,586 | ) | (163,478 | ) | (154,778 | ) | 8,507 | ||||||||||||||
Edison International | Morgan Stanley | (7,846 | ) | (515,407 | ) | (435,218 | ) | 56,447 | ||||||||||||||
Entergy Corp. | Morgan Stanley | (3,531 | ) | (394,263 | ) | (350,664 | ) | 27,331 | ||||||||||||||
Evergy, Inc. | Morgan Stanley | (4,216 | ) | (270,599 | ) | (262,235 | ) | 3,482 | ||||||||||||||
Eversource Energy | Morgan Stanley | (5,796 | ) | (512,453 | ) | (473,881 | ) | 25,273 | ||||||||||||||
FirstEnergy Corp. | Morgan Stanley | (8,539 | ) | (349,876 | ) | (304,159 | ) | 31,109 | ||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (7,302 | ) | (575,801 | ) | (573,353 | ) | (1,407 | ) | |||||||||||||
NiSource, Inc. | Morgan Stanley | (21,456 | ) | (550,963 | ) | (519,879 | ) | 29,835 | ||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (6,519 | ) | (543,014 | ) | (471,715 | ) | 56,704 | ||||||||||||||
Sempra Energy | Morgan Stanley | (3,403 | ) | (446,520 | ) | (430,480 | ) | 7,449 | ||||||||||||||
Southern Co. (The) | Morgan Stanley | (1,920 | ) | (123,759 | ) | (118,982 | ) | 4,684 | ||||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (3,399 | ) | (328,798 | ) | (299,792 | ) | 21,995 | ||||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (5,020 | ) | (347,325 | ) | (313,750 | ) | 25,649 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(140,379 | ) | (8,262,074 | ) | (7,732,289 | ) | 349,682 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Short | (33,254,320 | ) | (31,828,583 | ) | 1,159,809 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Net Value of Reference Entity | $ | (4,044,435 | ) | $ | 1,222,484 | $ | 5,391,227 | |||||||||||||||
|
|
|
|
|
|
* | Includes $124,308 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
40
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES(a) — 99.7% |
| |||||||
Gotham Defensive Long 500 Fund | 208,944 | $ | 2,689,109 | |||||
Gotham Enhanced 500 ETF* | 232,600 | 5,382,364 | ||||||
Gotham Enhanced S&P 500 Index Fund | 250,744 | 4,029,451 | ||||||
Gotham Hedged Core Fund | 314,987 | 4,057,027 | ||||||
Gotham Hedged Plus Fund | 237,234 | 2,706,841 | ||||||
Gotham Large Value Fund | 318,647 | 5,324,591 | ||||||
Gotham Neutral Fund* | 286,629 | 2,671,386 | ||||||
|
| |||||||
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES | 26,860,769 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF |
| 86,243 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 26,947,012 | |||||
|
|
(a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
* | Non-income producing. |
ETF Exchange-Traded Fund
The accompanying notes are an integral part of the financial statements.
41
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
LONG POSITIONS — 139.9% |
| |||||||
COMMON STOCKS — 139.9% |
| |||||||
Automobiles & Components — 2.2% |
| |||||||
Ford Motor Co.†* | 2,400 | $ | 33,984 | |||||
General Motors Co.†* | 837 | 44,118 | ||||||
|
| |||||||
78,102 | ||||||||
|
| |||||||
Banks — 0.7% | ||||||||
Citizens Financial Group, Inc. | 1 | 47 | ||||||
First Republic Bank | 21 | 4,051 | ||||||
JPMorgan Chase & Co.† | 39 | 6,384 | ||||||
SVB Financial Group* | 13 | 8,410 | ||||||
US Bancorp† | 1 | 59 | ||||||
Wells Fargo & Co. | 130 | 6,033 | ||||||
|
| |||||||
24,984 | ||||||||
|
| |||||||
Capital Goods — 12.0% | ||||||||
3M Co.† | 316 | 55,433 | ||||||
A.O. Smith Corp. | 64 | 3,909 | ||||||
AMETEK, Inc.† | 3 | 372 | ||||||
Carrier Global Corp. | 165 | 8,540 | ||||||
Caterpillar, Inc.† | 100 | 19,197 | ||||||
Cummins, Inc.† | 29 | 6,512 | ||||||
Deere & Co.† | 41 | 13,738 | ||||||
Dover Corp.† | 68 | 10,574 | ||||||
Eaton Corp. PLC (Ireland)† | 81 | 12,094 | ||||||
Emerson Electric Co.† | 341 | 32,122 | ||||||
Fastenal Co. | 5 | 258 | ||||||
Fortive Corp.† | 32 | 2,258 | ||||||
General Dynamics Corp.† | 110 | 21,563 | ||||||
General Electric Co.† | 415 | 42,758 | ||||||
Honeywell International, Inc.† | 9 | 1,911 | ||||||
Howmet Aerospace, Inc. | 154 | 4,805 | ||||||
Huntington Ingalls Industries, Inc. | 5 | 965 | ||||||
Illinois Tool Works, Inc.† | 11 | 2,273 | ||||||
Ingersoll Rand, Inc.* | 127 | 6,402 | ||||||
Johnson Controls International PLC | ||||||||
(Ireland)† | 462 | 31,453 | ||||||
L3Harris Technologies, Inc.† | 3 | 661 | ||||||
Lockheed Martin Corp.† | 140 | 48,314 | ||||||
Northrop Grumman Corp.† | 33 | 11,885 | ||||||
Otis Worldwide Corp. | 11 | 905 | ||||||
Parker-Hannifin Corp.† | 80 | 22,370 | ||||||
Pentair PLC (Ireland) | 70 | 5,084 | ||||||
Rockwell Automation, Inc. | 1 | 294 | ||||||
Roper Technologies, Inc. | 10 | 4,461 | ||||||
Snap-on, Inc. | 35 | 7,313 | ||||||
Stanley Black & Decker, Inc.† | 76 | 13,324 | ||||||
Textron, Inc. | 67 | 4,677 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Trane Technologies PLC (Ireland)† | 125 | $ | 21,581 | |||||
Westinghouse Air Brake Technologies Corp.† | 1 | 86 | ||||||
WW Grainger, Inc.† | 19 | 7,468 | ||||||
|
| |||||||
425,560 | ||||||||
|
| |||||||
Commercial & Professional Services — 0.5% |
| |||||||
Jacobs Engineering Group, Inc. | 52 | 6,892 | ||||||
Nielsen Holdings PLC (United Kingdom) | 217 | 4,164 | ||||||
Republic Services, Inc.† | 3 | 360 | ||||||
Robert Half International, Inc. | 49 | 4,916 | ||||||
|
| |||||||
16,332 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 1.5% |
| |||||||
Garmin Ltd. (Switzerland)† | 81 | 12,592 | ||||||
Hanesbrands, Inc. | 190 | 3,261 | ||||||
Hasbro, Inc. | 6 | 535 | ||||||
Leggett & Platt, Inc. | 35 | 1,569 | ||||||
Lennar Corp., Class A | 28 | 2,623 | ||||||
Mohawk Industries, Inc.* | 44 | 7,806 | ||||||
Newell Brands, Inc. | 141 | 3,122 | ||||||
PVH Corp.* | 24 | 2,467 | ||||||
Ralph Lauren Corp. | 43 | 4,775 | ||||||
Tapestry, Inc. | 169 | 6,256 | ||||||
Under Armour, Inc., Class C* | 104 | 1,822 | ||||||
VF Corp. | 4 | 268 | ||||||
Whirlpool Corp.† | 38 | 7,747 | ||||||
|
| |||||||
54,843 | ||||||||
|
| |||||||
Consumer Services — 1.1% |
| |||||||
Caesars Entertainment, Inc.* | 2 | 225 | ||||||
Las Vegas Sands Corp.* | 7 | 256 | ||||||
McDonald’s Corp.† | 49 | 11,814 | ||||||
Penn National Gaming, Inc.* | 89 | 6,449 | ||||||
Yum! Brands, Inc.† | 169 | 20,670 | ||||||
|
| |||||||
39,414 | ||||||||
|
| |||||||
Diversified Financials — 7.3% |
| |||||||
American Express Co. | 34 | 5,696 | ||||||
Ameriprise Financial, Inc. | 26 | 6,867 | ||||||
Berkshire Hathaway, Inc., Class B†* . | 209 | 57,045 | ||||||
BlackRock, Inc.† | 89 | 74,641 | ||||||
Capital One Financial Corp.† | 59 | 9,556 | ||||||
Charles Schwab Corp. (The)† | 131 | 9,542 | ||||||
Discover Financial Services† | 67 | 8,231 | ||||||
Franklin Resources, Inc. | 302 | 8,975 | ||||||
Goldman Sachs Group, Inc. (The)† | 34 | 12,853 |
The accompanying notes are an integral part of the financial statements.
42
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Invesco Ltd. (Bermuda) | 299 | $ | 7,209 | |||||
Morgan Stanley† | 233 | 22,673 | ||||||
Nasdaq, Inc.† | 20 | 3,860 | ||||||
Raymond James Financial, Inc. | 46 | 4,245 | ||||||
T Rowe Price Group, Inc.† | 138 | 27,145 | ||||||
|
| |||||||
258,538 | ||||||||
|
| |||||||
Energy — 5.8% |
| |||||||
APA Corp. | 218 | 4,672 | ||||||
Baker Hughes Co. | 344 | 8,507 | ||||||
Chevron Corp.† | 29 | 2,942 | ||||||
EOG Resources, Inc.† | 337 | 27,051 | ||||||
Exxon Mobil Corp.† | 1,165 | 68,525 | ||||||
Halliburton Co.† | 204 | 4,411 | ||||||
Hess Corp.† | 178 | 13,904 | ||||||
Kinder Morgan, Inc.† | 796 | 13,317 | ||||||
Marathon Oil Corp. | 455 | 6,220 | ||||||
Marathon Petroleum Corp.† | 368 | 22,746 | ||||||
Occidental Petroleum Corp.† | 564 | 16,683 | ||||||
ONEOK, Inc.† | 257 | 14,903 | ||||||
Schlumberger NV† | 17 | 504 | ||||||
Williams Cos., Inc. (The)† | 80 | 2,075 | ||||||
|
| |||||||
206,460 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.5% |
| |||||||
Walgreens Boots Alliance, Inc.† | 9 | 423 | ||||||
Walmart, Inc.† | 626 | 87,252 | ||||||
|
| |||||||
87,675 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 8.9% |
| |||||||
Altria Group, Inc.† | 1,161 | 52,849 | ||||||
Archer-Daniels-Midland Co.† | 338 | 20,283 | ||||||
Coca-Cola Co. (The)† | 808 | 42,396 | ||||||
Conagra Brands, Inc. | 6 | 203 | ||||||
Constellation Brands, Inc., Class A† . | 109 | 22,965 | ||||||
General Mills, Inc.† | 19 | 1,137 | ||||||
Hershey Co. (The)† | 118 | 19,972 | ||||||
JM Smucker Co. (The) | 1 | 120 | ||||||
Kellogg Co.† | 4 | 256 | ||||||
Kraft Heinz Co. (The)† | 760 | 27,983 | ||||||
Molson Coors Beverage Co., Class B | 126 | 5,844 | ||||||
Mondelez International, Inc., Class A† | 448 | 26,065 | ||||||
PepsiCo, Inc. | 12 | 1,805 | ||||||
Philip Morris International, Inc.† | 841 | 79,718 | ||||||
Tyson Foods, Inc., Class A† | 209 | 16,498 | ||||||
|
| |||||||
318,094 | ||||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — 8.3% |
| |||||||
Anthem, Inc.† | 57 | $ | 21,250 | |||||
Cigna Corp.† | 196 | 39,231 | ||||||
CVS Health Corp.† | 755 | 64,069 | ||||||
Danaher Corp.† | 65 | 19,789 | ||||||
DaVita, Inc.†* | 13 | 1,511 | ||||||
HCA Healthcare, Inc.† | 204 | 49,515 | ||||||
Hologic, Inc.†* | 78 | 5,757 | ||||||
Laboratory Corp. of America Holdings†* | 59 | 16,605 | ||||||
McKesson Corp.† | 89 | 17,745 | ||||||
Medtronic PLC (Ireland)† | 16 | 2,006 | ||||||
Quest Diagnostics, Inc.† | 71 | 10,317 | ||||||
UnitedHealth Group, Inc.† | 117 | 45,716 | ||||||
|
| |||||||
293,511 | ||||||||
|
| |||||||
Household & Personal Products — 0.9% |
| |||||||
Colgate-Palmolive Co.† | 178 | 13,453 | ||||||
Procter & Gamble Co. (The)† | 137 | 19,153 | ||||||
|
| |||||||
32,606 | ||||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
Aflac, Inc. | 28 | 1,460 | ||||||
Allstate Corp. (The) | 2 | 255 | ||||||
American International Group, Inc. | 7 | 384 | ||||||
Aon PLC, Class A (Ireland)† | 97 | 27,720 | ||||||
Arthur J Gallagher & Co.† | 88 | 13,081 | ||||||
Brown & Brown, Inc. | 162 | 8,983 | ||||||
Lincoln National Corp. | 24 | 1,650 | ||||||
Loews Corp. | 2 | 108 | ||||||
Marsh & McLennan Cos., Inc.† | 295 | 44,672 | ||||||
MetLife, Inc. | 7 | 432 | ||||||
Prudential Financial, Inc.† | 3 | 315 | ||||||
|
| |||||||
99,060 | ||||||||
|
| |||||||
Materials — 5.3% |
| |||||||
Avery Dennison Corp.† | 49 | 10,153 | ||||||
CF Industries Holdings, Inc. | 54 | 3,014 | ||||||
Dow, Inc.† | 445 | 25,614 | ||||||
DuPont de Nemours, Inc.† | 320 | 21,757 | ||||||
Eastman Chemical Co.† | 59 | 5,944 | ||||||
Freeport-McMoRan, Inc.† | 885 | 28,789 | ||||||
International Paper Co.† | 253 | 14,148 | ||||||
Linde PLC (Ireland)† | 4 | 1,174 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)† | 191 | 17,925 | ||||||
Mosaic Co. (The) | 235 | 8,394 | ||||||
Newmont Corp. | 9 | 489 | ||||||
Nucor Corp.† | 170 | 16,743 |
The accompanying notes are an integral part of the financial statements.
43
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Packaging Corp. of America | 10 | $ | 1,375 | |||||
PPG Industries, Inc.† | 34 | 4,862 | ||||||
Sherwin-Williams Co. (The)† | 76 | 21,260 | ||||||
Westrock Co. | 145 | 7,225 | ||||||
|
| |||||||
188,866 | ||||||||
|
| |||||||
Media & Entertainment — 11.3% |
| |||||||
Activision Blizzard, Inc. | 71 | 5,495 | ||||||
Alphabet, Inc., Class A†* | 73 | 195,167 | ||||||
Charter Communications, Inc., Class A* | 17 | 12,369 | ||||||
Comcast Corp., Class A | 68 | 3,803 | ||||||
Discovery, Inc., Class A* | 36 | 914 | ||||||
DISH Network Corp., Class A†* | 304 | 13,212 | ||||||
Electronic Arts, Inc. | 26 | 3,698 | ||||||
Facebook, Inc., Class A†* | 309 | 104,871 | ||||||
Fox Corp., Class A† | 221 | 8,864 | ||||||
Interpublic Group of Cos., Inc. (The). | 238 | 8,727 | ||||||
Netflix, Inc.†* | 40 | 24,414 | ||||||
Omnicom Group, Inc.† | 131 | 9,492 | ||||||
Take-Two Interactive Software, Inc.* | 11 | 1,695 | ||||||
Twitter, Inc.* | 72 | 4,348 | ||||||
ViacomCBS, Inc., Class B | 137 | 5,413 | ||||||
|
| |||||||
402,482 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.8% |
| |||||||
AbbVie, Inc.† | 869 | 93,739 | ||||||
Agilent Technologies, Inc. | 2 | 315 | ||||||
Biogen, Inc.†* | 3 | 849 | ||||||
Gilead Sciences, Inc.† | 723 | 50,501 | ||||||
Illumina, Inc.* | 14 | 5,678 | ||||||
Incyte Corp.* | 20 | 1,376 | ||||||
Johnson & Johnson† | 502 | 81,073 | ||||||
Merck & Co., Inc.† | 544 | 40,860 | ||||||
Organon & Co.† | 145 | 4,755 | ||||||
PerkinElmer, Inc. | 34 | 5,892 | ||||||
Pfizer, Inc.† | 2,019 | 86,837 | ||||||
Regeneron Pharmaceuticals, Inc.†* | 11 | 6,657 | ||||||
Vertex Pharmaceuticals, Inc.†* | 30 | 5,442 | ||||||
Waters Corp.* | 1 | 357 | ||||||
|
| |||||||
384,331 | ||||||||
|
| |||||||
Real Estate — 1.6% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT | 33 | 6,305 | ||||||
American Tower Corp., REIT† | 41 | 10,882 | ||||||
AvalonBay Communities, Inc., REIT | 1 | 222 | ||||||
CBRE Group, Inc., Class A†* | 90 | 8,762 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
Crown Castle International Corp., REIT | 39 | $ | 6,759 | |||||
Duke Realty Corp., REIT | 3 | 144 | ||||||
Equity Residential, REIT | 3 | 243 | ||||||
Extra Space Storage, Inc., REIT | 1 | 168 | ||||||
Kimco Realty Corp., REIT | 4 | 83 | ||||||
Mid-America Apartment Communities, Inc., REIT | 1 | 187 | ||||||
Regency Centers Corp., REIT | 1 | 67 | ||||||
SBA Communications Corp., REIT | 10 | 3,306 | ||||||
Simon Property Group, Inc., REIT | 4 | 520 | ||||||
UDR, Inc., REIT | 2 | 106 | ||||||
Weyerhaeuser Co., REIT† | 486 | 17,287 | ||||||
|
| |||||||
55,041 | ||||||||
|
| |||||||
Retailing — 14.1% |
| |||||||
Advance Auto Parts, Inc. | 36 | 7,520 | ||||||
Amazon.com, Inc.†* | 55 | 180,677 | ||||||
AutoZone, Inc.†* | 12 | 20,376 | ||||||
Bath & Body Works, Inc.† | 172 | 10,841 | ||||||
Best Buy Co., Inc.† | 75 | 7,928 | ||||||
eBay, Inc. | 146 | 10,172 | ||||||
Gap, Inc. (The) | 215 | 4,881 | ||||||
Genuine Parts Co.† | 90 | 10,911 | ||||||
Home Depot, Inc. (The)† | 250 | 82,065 | ||||||
LKQ Corp.†* | 192 | 9,662 | ||||||
Lowe’s Cos., Inc.† | 256 | 51,932 | ||||||
O’Reilly Automotive, Inc.†* | 38 | 23,220 | ||||||
Ross Stores, Inc. | 78 | 8,490 | ||||||
Target Corp.† | 290 | 66,343 | ||||||
Tractor Supply Co.† | 10 | 2,026 | ||||||
Ulta Beauty, Inc.†* | 13 | 4,692 | ||||||
|
| |||||||
501,736 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.0% |
| |||||||
Analog Devices, Inc. | 4 | 670 | ||||||
Applied Materials, Inc.† | 515 | 66,296 | ||||||
Intel Corp.† | 1,329 | 70,809 | ||||||
KLA Corp.† | 30 | 10,035 | ||||||
Lam Research Corp.† | 51 | 29,027 | ||||||
Micron Technology, Inc.† | 306 | 21,720 | ||||||
NXP Semiconductors NV (Netherlands)† | 6 | 1,175 | ||||||
Qorvo, Inc.* | 26 | 4,347 | ||||||
QUALCOMM, Inc.† | 44 | 5,675 | ||||||
Skyworks Solutions, Inc. | 2 | 330 |
The accompanying notes are an integral part of the financial statements.
44
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (Continued) |
| |||||||
Teradyne, Inc. | 2 | $ | 218 | |||||
Texas Instruments, Inc. | 9 | 1,730 | ||||||
|
| |||||||
212,032 | ||||||||
|
| |||||||
Software & Services — 16.7% |
| |||||||
Accenture PLC, Class A (Ireland)† | 56 | 17,916 | ||||||
Adobe, Inc.†* | 43 | 24,756 | ||||||
ANSYS, Inc.* | 8 | 2,724 | ||||||
Autodesk, Inc.* | 20 | 5,703 | ||||||
Automatic Data Processing, Inc.† | 205 | 40,984 | ||||||
Broadridge Financial Solutions, Inc. | 2 | 333 | ||||||
Cadence Design Systems, Inc.* | 25 | 3,786 | ||||||
Cognizant Technology Solutions Corp., Class A | 47 | 3,488 | ||||||
DXC Technology Co.* | 150 | 5,041 | ||||||
Fiserv, Inc.* | 6 | 651 | ||||||
Gartner, Inc.†* | 35 | 10,636 | ||||||
International Business Machines Corp.† | 315 | 43,763 | ||||||
Mastercard, Inc., Class A† | 89 | 30,943 | ||||||
Microsoft Corp.† | 818 | 230,611 | ||||||
NortonLifeLock, Inc. | 6 | 152 | ||||||
Oracle Corp.† | 527 | 45,917 | ||||||
Paychex, Inc.† | 83 | 9,333 | ||||||
PayPal Holdings, Inc.†* | 117 | 30,445 | ||||||
salesforce.com, Inc.†* | 88 | 23,867 | ||||||
ServiceNow, Inc.†* | 18 | 11,201 | ||||||
Synopsys, Inc.* | 14 | 4,192 | ||||||
Visa, Inc., Class A† | 194 | 43,213 | ||||||
Western Union Co. (The)† | 240 | 4,853 | ||||||
|
| |||||||
594,508 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 11.3% |
| |||||||
Apple, Inc.† | 1,495 | 211,542 | ||||||
CDW Corp. | 13 | 2,366 | ||||||
Cisco Systems, Inc.† | 1,873 | 101,947 | ||||||
Corning, Inc.† | 484 | 17,661 | ||||||
Hewlett Packard Enterprise Co. | 286 | 4,076 | ||||||
HP, Inc.† | 767 | 20,985 | ||||||
Juniper Networks, Inc. | 111 | 3,055 | ||||||
Keysight Technologies, Inc.* | 2 | 329 | ||||||
Motorola Solutions, Inc. | 1 | 232 | ||||||
NetApp, Inc.† | 131 | 11,759 | ||||||
Seagate Technology Holdings PLC (Ireland)† | 140 | 11,553 | ||||||
TE Connectivity Ltd. (Switzerland)† | 72 | 9,880 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Western Digital Corp.* | 3 | $ | 169 | |||||
Zebra Technologies Corp., Class A* | 12 | 6,185 | ||||||
|
| |||||||
401,739 | ||||||||
|
| |||||||
Telecommunication Services — 3.4% |
| |||||||
AT&T, Inc.† | 2,310 | 62,393 | ||||||
Verizon Communications, Inc.† | 1,110 | 59,951 | ||||||
|
| |||||||
122,344 | ||||||||
|
| |||||||
Transportation — 4.1% | ||||||||
CSX Corp.† | 1,284 | 38,186 | ||||||
Expeditors International of Washington, Inc.† | 53 | 6,314 | ||||||
Kansas City Southern† | 1 | 271 | ||||||
Norfolk Southern Corp.† | 67 | 16,030 | ||||||
Union Pacific Corp.† | 167 | 32,734 | ||||||
United Parcel Service, Inc., Class B† | 295 | 53,719 | ||||||
|
| |||||||
147,254 | ||||||||
|
| |||||||
Utilities — 0.8% | ||||||||
AES Corp. (The) | 1 | 23 | ||||||
Dominion Energy, Inc.† | 133 | 9,711 | ||||||
NRG Energy, Inc. | 142 | 5,798 | ||||||
PPL Corp.† | 444 | 12,379 | ||||||
|
| |||||||
27,911 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $4,034,623) |
| 4,973,423 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 139.9% (Cost $4,034,623) |
| 4,973,423 | ||||||
|
| |||||||
SHORT POSITIONS — (41.3)% |
| |||||||
COMMON STOCKS — (41.3)% |
| |||||||
Automobiles & Components — (0.3)% |
| |||||||
Aptiv PLC (Jersey)* | (54 | ) | (8,044 | ) | ||||
BorgWarner, Inc. | (48 | ) | (2,074 | ) | ||||
|
| |||||||
(10,118 | ) | |||||||
|
| |||||||
Banks — (1.4)% | ||||||||
Bank of America Corp. | (109 | ) | (4,627 | ) | ||||
Citigroup, Inc. | (90 | ) | (6,316 | ) | ||||
Comerica, Inc. | (29 | ) | (2,334 | ) | ||||
Huntington Bancshares, Inc. | (300 | ) | (4,638 | ) | ||||
KeyCorp. | (195 | ) | (4,216 | ) | ||||
M&T Bank Corp. | (28 | ) | (4,182 | ) | ||||
People’s United Financial, Inc. | (91 | ) | (1,590 | ) |
The accompanying notes are an integral part of the financial statements.
45
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Banks — (Continued) | ||||||||
PNC Financial Services Group, Inc. (The) | (3 | ) | $ | (587 | ) | |||
Regions Financial Corp. | (68 | ) | (1,449 | ) | ||||
Truist Financial Corp. | (274 | ) | (16,070 | ) | ||||
Zions Bancorp NA | (35 | ) | (2,166 | ) | ||||
|
| |||||||
(48,175 | ) | |||||||
|
| |||||||
Capital Goods — (2.3)% | ||||||||
Boeing Co. (The)* | (119 | ) | (26,173 | ) | ||||
Fortune Brands Home & Security, Inc. | (26 | ) | (2,325 | ) | ||||
Generac Holdings, Inc.* | (12 | ) | (4,904 | ) | ||||
IDEX Corp. | (17 | ) | (3,518 | ) | ||||
Masco Corp. | (49 | ) | (2,722 | ) | ||||
PACCAR, Inc. | (72 | ) | (5,682 | ) | ||||
Quanta Services, Inc. | (11 | ) | (1,252 | ) | ||||
Raytheon Technologies Corp. | (274 | ) | (23,553 | ) | ||||
TransDigm Group, Inc.* | (12 | ) | (7,495 | ) | ||||
United Rentals, Inc.* | (4 | ) | (1,404 | ) | ||||
Xylem, Inc. | (37 | ) | (4,576 | ) | ||||
|
| |||||||
(83,604 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (1.4)% |
| |||||||
Cintas Corp. | (21 | ) | (7,994 | ) | ||||
Copart, Inc.* | (54 | ) | (7,491 | ) | ||||
Equifax, Inc. | (22 | ) | (5,575 | ) | ||||
IHS Markit Ltd. (Bermuda) | (85 | ) | (9,913 | ) | ||||
Leidos Holdings, Inc. | (28 | ) | (2,692 | ) | ||||
Rollins, Inc. | (123 | ) | (4,346 | ) | ||||
Verisk Analytics, Inc. | (35 | ) | (7,009 | ) | ||||
Waste Management, Inc. | (31 | ) | (4,630 | ) | ||||
|
| |||||||
(49,650 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.1)% |
| |||||||
DR Horton, Inc. | (76 | ) | (6,382 | ) | ||||
NIKE, Inc., Class B | (184 | ) | (26,722 | ) | ||||
NVR, Inc.* | (1 | ) | (4,794 | ) | ||||
PulteGroup, Inc. | (53 | ) | (2,434 | ) | ||||
|
| |||||||
(40,332 | ) | |||||||
|
| |||||||
Consumer Services — (2.3)% |
| |||||||
Booking Holdings, Inc.* | (8 | ) | (18,991 | ) | ||||
Carnival Corp. (Panama)* | (238 | ) | (5,952 | ) | ||||
Chipotle Mexican Grill, Inc.* | (7 | ) | (12,723 | ) | ||||
Darden Restaurants, Inc. | (27 | ) | (4,090 | ) | ||||
Domino’s Pizza, Inc. | (9 | ) | (4,293 | ) | ||||
Expedia Group, Inc.* | (31 | ) | (5,081 | ) | ||||
Hilton Worldwide Holdings, Inc.* | (60 | ) | (7,926 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Services — (Continued) |
| |||||||
Marriott International, Inc., Class A* | (68 | ) | $ | (10,070 | ) | |||
MGM Resorts International | (104 | ) | (4,488 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (78 | ) | (2,083 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia)* | (53 | ) | (4,714 | ) | ||||
Starbucks Corp. | (6 | ) | (662 | ) | ||||
Wynn Resorts Ltd.* | (27 | ) | (2,288 | ) | ||||
|
| |||||||
(83,361 | ) | |||||||
|
| |||||||
Diversified Financials — (2.1)% |
| |||||||
Bank of New York Mellon Corp. (The) | (185 | ) | (9,590 | ) | ||||
Cboe Global Markets, Inc. | (22 | ) | (2,725 | ) | ||||
CME Group, Inc. | (73 | ) | (14,117 | ) | ||||
Intercontinental Exchange, Inc. | (114 | ) | (13,090 | ) | ||||
MarketAxess Holdings, Inc. | (9 | ) | (3,786 | ) | ||||
Moody’s Corp. | (3 | ) | (1,065 | ) | ||||
MSCI, Inc. | (18 | ) | (10,950 | ) | ||||
Northern Trust Corp. | (46 | ) | (4,959 | ) | ||||
S&P Global, Inc. | (15 | ) | (6,373 | ) | ||||
State Street Corp. | (77 | ) | (6,524 | ) | ||||
Synchrony Financial | (21 | ) | (1,027 | ) | ||||
|
| |||||||
(74,206 | ) | |||||||
|
| |||||||
Energy — (1.2)% | ||||||||
ConocoPhillips | (285 | ) | (19,314 | ) | ||||
Coterra Energy, Inc. | (89 | ) | (1,937 | ) | ||||
Devon Energy Corp. | (142 | ) | (5,042 | ) | ||||
Diamondback Energy, Inc. | (38 | ) | (3,598 | ) | ||||
Phillips 66 | (89 | ) | (6,233 | ) | ||||
Pioneer Natural Resources Co. | (49 | ) | (8,159 | ) | ||||
|
| |||||||
(44,283 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.8)% |
| |||||||
Costco Wholesale Corp. | (39 | ) | (17,525 | ) | ||||
Kroger Co. (The) | (71 | ) | (2,870 | ) | ||||
Sysco Corp. | (106 | ) | (8,321 | ) | ||||
|
| |||||||
(28,716 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (0.9)% |
| |||||||
Brown-Forman Corp., Class B | (108 | ) | (7,237 | ) | ||||
Campbell Soup Co. | (61 | ) | (2,550 | ) | ||||
Hormel Foods Corp. | (114 | ) | (4,674 | ) | ||||
Lamb Weston Holdings, Inc. | (30 | ) | (1,841 | ) |
The accompanying notes are an integral part of the financial statements.
46
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
McCormick & Co., Inc., non-voting shares | (57 | ) | $ | (4,619 | ) | |||
Monster Beverage Corp.* | (107 | ) | (9,505 | ) | ||||
|
| |||||||
(30,426 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (4.9)% |
| |||||||
ABIOMED, Inc.* | (11 | ) | (3,581 | ) | ||||
Align Technology, Inc.* | (13 | ) | (8,650 | ) | ||||
AmerisourceBergen Corp. | (42 | ) | (5,017 | ) | ||||
Baxter International, Inc. | (107 | ) | (8,606 | ) | ||||
Becton Dickinson and Co. | (51 | ) | (12,537 | ) | ||||
Boston Scientific Corp.* | (286 | ) | (12,409 | ) | ||||
Centene Corp.* | (7 | ) | (436 | ) | ||||
Cerner Corp. | (37 | ) | (2,609 | ) | ||||
Cooper Cos., Inc. (The) | (13 | ) | (5,373 | ) | ||||
DENTSPLY SIRONA, Inc. | (46 | ) | (2,670 | ) | ||||
Dexcom, Inc.* | (20 | ) | (10,937 | ) | ||||
Edwards Lifesciences Corp.* | (141 | ) | (15,963 | ) | ||||
Henry Schein, Inc.* | (30 | ) | (2,285 | ) | ||||
Humana, Inc. | (27 | ) | (10,507 | ) | ||||
IDEXX Laboratories, Inc.* | (22 | ) | (13,682 | ) | ||||
Intuitive Surgical, Inc.* | (22 | ) | (21,871 | ) | ||||
ResMed, Inc. | (32 | ) | (8,434 | ) | ||||
STERIS PLC (Ireland) | (20 | ) | (4,086 | ) | ||||
Stryker Corp. | (15 | ) | (3,956 | ) | ||||
Teleflex, Inc. | (12 | ) | (4,519 | ) | ||||
Universal Health Services, Inc., Class B | (18 | ) | (2,491 | ) | ||||
West Pharmaceutical Services, Inc. | (17 | ) | (7,217 | ) | ||||
Zimmer Biomet Holdings, Inc. | (46 | ) | (6,732 | ) | ||||
|
| |||||||
(174,568 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.5)% |
| |||||||
Church & Dwight Co., Inc. | (52 | ) | (4,294 | ) | ||||
Clorox Co. (The) | (27 | ) | (4,471 | ) | ||||
Estee Lauder Cos., Inc. (The), Class A | (20 | ) | (5,999 | ) | ||||
Kimberly-Clark Corp. | (12 | ) | (1,589 | ) | ||||
|
| |||||||
(16,353 | ) | |||||||
|
| |||||||
Insurance — (1.2)% |
| |||||||
Assurant, Inc. | (13 | ) | (2,051 | ) | ||||
Chubb Ltd. (Switzerland) | (19 | ) | (3,296 | ) | ||||
Cincinnati Financial Corp. | (33 | ) | (3,769 | ) | ||||
Everest Re Group Ltd. (Bermuda) | (9 | ) | (2,257 | ) | ||||
Globe Life, Inc. | (22 | ) | (1,959 | ) | ||||
Hartford Financial Services Group, Inc. (The) | (76 | ) | (5,339 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Principal Financial Group, Inc. | (55 | ) | $ | (3,542 | ) | |||
Progressive Corp. (The) | (120 | ) | (10,847 | ) | ||||
Travelers Cos., Inc. (The) | (10 | ) | (1,520 | ) | ||||
Willis Towers Watson PLC (Ireland) | (16 | ) | (3,719 | ) | ||||
WR Berkley Corp. | (38 | ) | (2,781 | ) | ||||
|
| |||||||
(41,080 | ) | |||||||
|
| |||||||
Materials — (1.9)% |
| |||||||
Air Products & Chemicals, Inc. | (49 | ) | (12,549 | ) | ||||
Albemarle Corp. | (26 | ) | (5,693 | ) | ||||
Amcor PLC (Jersey) | (310 | ) | (3,593 | ) | ||||
Ball Corp. | (73 | ) | (6,568 | ) | ||||
Celanese Corp. | (23 | ) | (3,465 | ) | ||||
Corteva, Inc. | (146 | ) | (6,144 | ) | ||||
Ecolab, Inc. | (57 | ) | (11,891 | ) | ||||
FMC Corp. | (27 | ) | (2,472 | ) | ||||
International Flavors & Fragrances, Inc. | (52 | ) | (6,953 | ) | ||||
Martin Marietta Materials, Inc. | (13 | ) | (4,442 | ) | ||||
Sealed Air Corp. | (8 | ) | (438 | ) | ||||
Vulcan Materials Co. | (29 | ) | (4,906 | ) | ||||
|
| |||||||
(69,114 | ) | |||||||
|
| |||||||
Media & Entertainment — (1.3)% |
| |||||||
Live Nation Entertainment, Inc.* | (48 | ) | (4,374 | ) | ||||
Match Group, Inc.* | (55 | ) | (8,635 | ) | ||||
News Corp., Class A | (119 | ) | (2,800 | ) | ||||
Walt Disney Co. (The)* | (179 | ) | (30,281 | ) | ||||
|
| |||||||
(46,090 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (4.1)% |
| |||||||
Amgen, Inc. | (69 | ) | (14,673 | ) | ||||
Bio-Rad Laboratories, Inc., Class A* | (7 | ) | (5,222 | ) | ||||
Bio-Techne Corp. | (8 | ) | (3,876 | ) | ||||
Bristol-Myers Squibb Co. | (83 | ) | (4,911 | ) | ||||
Catalent, Inc.* | (37 | ) | (4,924 | ) | ||||
Charles River Laboratories International, Inc.* | (11 | ) | (4,539 | ) | ||||
Eli Lilly & Co. | (28 | ) | (6,469 | ) | ||||
IQVIA Holdings, Inc.* | (51 | ) | (12,216 | ) | ||||
Mettler-Toledo International, Inc.* | (5 | ) | (6,887 | ) | ||||
Moderna, Inc.* | (81 | ) | (31,174 | ) | ||||
Thermo Fisher Scientific, Inc. | (48 | ) | (27,424 | ) | ||||
Viatris, Inc. | (254 | ) | (3,442 | ) | ||||
Zoetis, Inc. | (101 | ) | (19,608 | ) | ||||
|
| |||||||
(145,365 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
47
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (2.0)% | ||||||||
Boston Properties, Inc., REIT | (33 | ) | $ | (3,575 | ) | |||
Digital Realty Trust, Inc., REIT | (60 | ) | (8,667 | ) | ||||
Equinix, Inc., REIT | (22 | ) | (17,383 | ) | ||||
Essex Property Trust, Inc., REIT | (1 | ) | (320 | ) | ||||
Federal Realty Investment Trust, REIT | (17 | ) | (2,006 | ) | ||||
Healthpeak Properties, Inc., REIT | (116 | ) | (3,884 | ) | ||||
Host Hotels & Resorts, Inc., REIT* | (161 | ) | (2,629 | ) | ||||
Iron Mountain, Inc., REIT | (56 | ) | (2,433 | ) | ||||
Prologis, Inc., REIT | (89 | ) | (11,163 | ) | ||||
Public Storage, REIT | (2 | ) | (594 | ) | ||||
Realty Income Corp., REIT | (79 | ) | (5,124 | ) | ||||
Ventas, Inc., REIT | (79 | ) | (4,362 | ) | ||||
Vornado Realty Trust, REIT | (41 | ) | (1,722 | ) | ||||
Welltower, Inc., REIT | (84 | ) | (6,922 | ) | ||||
|
| |||||||
(70,784 | ) | |||||||
|
| |||||||
Retailing — (0.8)% | ||||||||
CarMax, Inc.* | (35 | ) | (4,478 | ) | ||||
Dollar General Corp. | (47 | ) | (9,970 | ) | ||||
Etsy, Inc.* | (29 | ) | (6,031 | ) | ||||
Pool Corp. | (9 | ) | (3,910 | ) | ||||
TJX Cos., Inc. (The) | (63 | ) | (4,157 | ) | ||||
|
| |||||||
(28,546 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (2.2)% |
| |||||||
Advanced Micro Devices, Inc.* | (243 | ) | (25,005 | ) | ||||
Broadcom, Inc. | (30 | ) | (14,548 | ) | ||||
Enphase Energy, Inc.* | (27 | ) | (4,049 | ) | ||||
Microchip Technology, Inc. | (51 | ) | (7,828 | ) | ||||
Monolithic Power Systems, Inc. | (9 | ) | (4,362 | ) | ||||
NVIDIA Corp. | (76 | ) | (15,744 | ) | ||||
Xilinx, Inc. | (56 | ) | (8,456 | ) | ||||
|
| |||||||
(79,992 | ) | |||||||
|
| |||||||
Software & Services — (2.1)% |
| |||||||
Akamai Technologies, Inc.* | (41 | ) | (4,288 | ) | ||||
Ceridian HCM Holding, Inc.* | (30 | ) | (3,379 | ) | ||||
Citrix Systems, Inc. | (27 | ) | (2,899 | ) | ||||
Fidelity National Information | ||||||||
Services, Inc. | (133 | ) | (16,183 | ) | ||||
FleetCor Technologies, Inc.* | (18 | ) | (4,703 | ) | ||||
Fortinet, Inc.* | (28 | ) | (8,177 | ) | ||||
Global Payments, Inc. | (66 | ) | (10,400 | ) | ||||
Intuit, Inc. | (1 | ) | (540 | ) | ||||
Jack Henry & Associates, Inc. | (17 | ) | (2,789 | ) | ||||
Paycom Software, Inc.* | (13 | ) | (6,445 | ) | ||||
PTC, Inc.* | (25 | ) | (2,995 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Tyler Technologies, Inc.* | (9 | ) | $ | (4,128 | ) | |||
VeriSign, Inc.* | (30 | ) | (6,150 | ) | ||||
|
| |||||||
(73,076 | ) | |||||||
|
| |||||||
Technology Hardware & Equipment — (0.3)% |
| |||||||
Amphenol Corp., Class A | (15 | ) | (1,099 | ) | ||||
F5 Networks, Inc.* | (4 | ) | (795 | ) | ||||
IPG Photonics Corp.* | (12 | ) | (1,901 | ) | ||||
Teledyne Technologies, Inc.* | (9 | ) | (3,866 | ) | ||||
Trimble, Inc.* | (40 | ) | (3,290 | ) | ||||
|
| |||||||
(10,951 | ) | |||||||
|
| |||||||
Telecommunication Services — (0.5)% |
| |||||||
Lumen Technologies, Inc. | (122 | ) | (1,512 | ) | ||||
T-Mobile US, Inc.* | (125 | ) | (15,970 | ) | ||||
|
| |||||||
(17,482 | ) | |||||||
|
| |||||||
Transportation — (1.1)% | ||||||||
Alaska Air Group, Inc.* | (27 | ) | (1,582 | ) | ||||
American Airlines Group, Inc.* | (135 | ) | (2,770 | ) | ||||
CH Robinson Worldwide, Inc. | (28 | ) | (2,436 | ) | ||||
Delta Air Lines, Inc.* | (138 | ) | (5,880 | ) | ||||
FedEx Corp. | (25 | ) | (5,482 | ) | ||||
JB Hunt Transport Services, Inc. | (23 | ) | (3,846 | ) | ||||
Old Dominion Freight Line, Inc. | (25 | ) | (7,150 | ) | ||||
Southwest Airlines Co.* | (126 | ) | (6,480 | ) | ||||
United Airlines Holdings, Inc.* | (68 | ) | (3,235 | ) | ||||
|
| |||||||
(38,861 | ) | |||||||
|
| |||||||
Utilities — (4.6)% | ||||||||
Alliant Energy Corp. | (61 | ) | (3,415 | ) | ||||
Ameren Corp. | (62 | ) | (5,022 | ) | ||||
American Electric Power Co., Inc. | (124 | ) | (10,066 | ) | ||||
American Water Works Co., Inc. | (41 | ) | (6,931 | ) | ||||
Atmos Energy Corp. | (30 | ) | (2,646 | ) | ||||
CenterPoint Energy, Inc. | (126 | ) | (3,100 | ) | ||||
CMS Energy Corp. | (70 | ) | (4,181 | ) | ||||
Consolidated Edison, Inc. | (82 | ) | (5,952 | ) | ||||
DTE Energy Co. | (46 | ) | (5,139 | ) | ||||
Duke Energy Corp. | (163 | ) | (15,907 | ) | ||||
Edison International | (90 | ) | (4,992 | ) | ||||
Entergy Corp. | (50 | ) | (4,966 | ) | ||||
Evergy, Inc. | (50 | ) | (3,110 | ) | ||||
Eversource Energy | (82 | ) | (6,704 | ) | ||||
Exelon Corp. | (10 | ) | (483 | ) | ||||
FirstEnergy Corp. | (136 | ) | (4,844 | ) | ||||
NextEra Energy, Inc. | (414 | ) | (32,507 | ) | ||||
NiSource, Inc. | (94 | ) | (2,278 | ) |
The accompanying notes are an integral part of the financial statements.
48
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
Pinnacle West Capital Corp. | (26 | ) | $ | (1,881 | ) | |||
Public Service Enterprise Group, Inc. | (16 | ) | (975 | ) | ||||
Sempra Energy | (64 | ) | (8,096 | ) | ||||
Southern Co. (The) | (230 | ) | (14,253 | ) | ||||
WEC Energy Group, Inc. | (79 | ) | (6,968 | ) | ||||
Xcel Energy, Inc. | (133 | ) | (8,313 | ) | ||||
|
| |||||||
(162,729 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS |
| (1,467,862 | ) | |||||
|
| |||||||
TOTAL SHORT POSITIONS - (41.3)% |
| (1,467,862 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% |
| 50,548 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,556,109 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC Public Limited Company
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
49
GOTHAM HEDGED PLUS FUND
September 30, 2021
Number of Shares | Value | |||||||
LONG POSITIONS — 175.2% | ||||||||
COMMON STOCKS — 175.2% | ||||||||
Automobiles & Components — 2.4% |
| |||||||
General Motors Co.* | 559 | $ | 29,465 | |||||
Gentex Corp. | 2,617 | 86,309 | ||||||
Harley-Davidson, Inc. | 594 | 21,746 | ||||||
Magna International, Inc. (Canada)† | 2,049 | 154,167 | ||||||
|
| |||||||
291,687 | ||||||||
|
| |||||||
Capital Goods — 10.8% | ||||||||
3M Co.† | 1,019 | 178,753 | ||||||
A.O. Smith Corp. | 628 | 38,352 | ||||||
Advanced Drainage Systems, Inc.† | 344 | 37,210 | ||||||
AECOM* | 42 | 2,652 | ||||||
AGCO Corp.† | 714 | 87,486 | ||||||
EMCOR Group, Inc. | 4 | 462 | ||||||
Fortune Brands Home & Security, Inc.† | 355 | 31,744 | ||||||
General Dynamics Corp.† | 15 | 2,940 | ||||||
Hubbell, Inc.† | 82 | 14,815 | ||||||
Johnson Controls International PLC (Ireland)† | 1,009 | 68,693 | ||||||
Lockheed Martin Corp.† | 497 | 171,515 | ||||||
Masco Corp.† | 152 | 8,444 | ||||||
Northrop Grumman Corp.† | 280 | 100,842 | ||||||
Oshkosh Corp. | 2 | 205 | ||||||
Owens Corning† | 787 | 67,288 | ||||||
Pentair PLC (Ireland)† | 804 | 58,394 | ||||||
Quanta Services, Inc.† | 379 | 43,138 | ||||||
Regal Rexnord Corp.† | 32 | 4,811 | ||||||
Roper Technologies, Inc.† | 25 | 11,153 | ||||||
Snap-on, Inc.† | 679 | 141,877 | ||||||
Timken Co. (The) | 12 | 785 | ||||||
Toro Co. (The)† | 1,494 | 145,531 | ||||||
Trane Technologies PLC (Ireland)† | 368 | 63,535 | ||||||
Watsco, Inc.† | 158 | 41,810 | ||||||
WW Grainger, Inc.† | 13 | 5,110 | ||||||
|
| |||||||
1,327,545 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.7% |
| |||||||
CACI International, Inc., Class A* | 61 | 15,988 | ||||||
ManpowerGroup, Inc.† | 521 | 56,414 | ||||||
Nielsen Holdings PLC (United Kingdom) | 348 | 6,678 | ||||||
Thomson Reuters Corp. (Canada)† | 1,183 | 130,698 | ||||||
|
| |||||||
209,778 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 5.0% |
| |||||||
BRP, Inc., sub-voting shares (Canada) | 305 | 28,267 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Brunswick Corp. | 214 | $ | 20,388 | |||||
Deckers Outdoor Corp.†* | 409 | 147,322 | ||||||
Garmin Ltd. (Switzerland)† | 616 | 95,763 | ||||||
Gildan Activewear, Inc. (Canada)† | 1,026 | 37,459 | ||||||
Mohawk Industries, Inc.* | 94 | 16,676 | ||||||
Tapestry, Inc. | 7 | 259 | ||||||
Tempur Sealy International, Inc. | 1,668 | 77,412 | ||||||
Whirlpool Corp.† | 721 | 146,983 | ||||||
YETI Holdings, Inc.†* | 487 | 41,731 | ||||||
|
| |||||||
612,260 | ||||||||
|
| |||||||
Consumer Services — 5.1% | ||||||||
Airbnb, Inc., Class A* | 89 | 14,930 | ||||||
Boyd Gaming Corp.†* | 1,714 | 108,428 | ||||||
Choice Hotels International, Inc. | 71 | 8,972 | ||||||
McDonald’s Corp.† | 442 | 106,571 | ||||||
Service Corp. International† | 3,335 | 200,967 | ||||||
Wyndham Hotels & Resorts, Inc. | 650 | 50,173 | ||||||
Yum! Brands, Inc.† | 1,167 | 142,736 | ||||||
|
| |||||||
632,777 | ||||||||
|
| |||||||
Diversified Financials — 5.9% | ||||||||
Affiliated Managers Group, Inc. | 297 | 44,874 | ||||||
Berkshire Hathaway, Inc., Class B†* | 709 | 193,515 | ||||||
BlackRock, Inc.† | 162 | 135,863 | ||||||
Blackstone, Inc. | 9 | 1,047 | ||||||
Evercore, Inc., Class A | 245 | 32,749 | ||||||
Invesco Ltd. (Bermuda) | 433 | 10,440 | ||||||
Moody’s Corp. | 20 | 7,102 | ||||||
Nasdaq, Inc.† | 422 | 81,454 | ||||||
T Rowe Price Group, Inc.† | 1,103 | 216,960 | ||||||
|
| |||||||
724,004 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Baker Hughes Co. | 596 | 14,739 | ||||||
Canadian Natural Resources Ltd. (Canada) | 4,327 | 158,109 | ||||||
Cimarex Energy Co.* | 1,596 | 139,171 | ||||||
EOG Resources, Inc. | 504 | 40,456 | ||||||
Halliburton Co.† | 225 | 4,865 | ||||||
Marathon Oil Corp. | 164 | 2,242 | ||||||
Marathon Petroleum Corp. | 566 | 34,984 | ||||||
Ovintiv, Inc. | 281 | 9,239 | ||||||
|
| |||||||
403,805 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.7% | ||||||||
Albertsons Cos., Inc., Class A | 4,307 | 134,077 | ||||||
Kroger Co. (The) | 1,791 | 72,410 |
The accompanying notes are an integral part of the financial statements.
50
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food & Staples Retailing — (Continued) |
| |||||||
Sysco Corp.† | 52 | $ | 4,082 | |||||
Walmart, Inc.† | 2,658 | 370,472 | ||||||
|
| |||||||
581,041 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 23.3% |
| |||||||
Altria Group, Inc.† | 5,487 | 249,768 | ||||||
Archer-Daniels-Midland Co.† | 2,618 | 157,106 | ||||||
Bunge Ltd. (Bermuda)† | 3,145 | 255,751 | ||||||
Campbell Soup Co.† | 1,808 | 75,592 | ||||||
Coca-Cola Co. (The)† | 2,491 | 130,703 | ||||||
Conagra Brands, Inc.† | 4,551 | 154,142 | ||||||
Constellation Brands, Inc., Class A† | 41 | 8,638 | ||||||
Flowers Foods, Inc.† | 2,658 | 62,809 | ||||||
General Mills, Inc.† | 4,243 | 253,816 | ||||||
Hershey Co. (The)† | 1,205 | 203,946 | ||||||
JM Smucker Co. (The)† | 522 | 62,656 | ||||||
Kellogg Co.† | 3,444 | 220,141 | ||||||
Keurig Dr Pepper, Inc.† | 3,195 | 109,141 | ||||||
Kraft Heinz Co. (The)† | 8,275 | 304,686 | ||||||
Mondelez International, Inc., Class A† | 3,255 | 189,376 | ||||||
PepsiCo, Inc. | 363 | 54,599 | ||||||
Philip Morris International, Inc.† | 3,153 | 298,873 | ||||||
Tyson Foods, Inc., Class A† | 902 | 71,204 | ||||||
|
| |||||||
2,862,947 | ||||||||
|
| |||||||
Health Care Equipment & Services — 16.2% |
| |||||||
Abbott Laboratories† | 423 | 49,969 | ||||||
Acadia Healthcare Co., Inc.* | 65 | 4,146 | ||||||
Anthem, Inc. | 82 | 30,570 | ||||||
Cerner Corp. | 68 | 4,795 | ||||||
Cigna Corp. | 270 | 54,043 | ||||||
CVS Health Corp.† | 2,174 | 184,486 | ||||||
Danaher Corp.† | 170 | 51,755 | ||||||
HCA Healthcare, Inc. | 343 | 83,253 | ||||||
Hill-Rom Holdings, Inc. | 129 | 19,350 | ||||||
Hologic, Inc.†* | 3,263 | 240,842 | ||||||
Laboratory Corp. of America Holdings†* | 1,676 | 471,694 | ||||||
McKesson Corp. | 9 | 1,794 | ||||||
Quest Diagnostics, Inc.† | 2,743 | 398,585 | ||||||
Quidel Corp.†* | 2,282 | 322,104 | ||||||
UnitedHealth Group, Inc. | 184 | 71,896 | ||||||
|
| |||||||
1,989,282 | ||||||||
|
| |||||||
Household & Personal Products — 4.2% |
| |||||||
Colgate-Palmolive Co.† | 3,317 | 250,699 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Household & Personal Products — (Continued) |
| |||||||
Kimberly-Clark Corp.† | 1,184 | $ | 156,809 | |||||
Procter & Gamble Co. (The)† | 783 | 109,463 | ||||||
|
| |||||||
516,971 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
Aon PLC, Class A (Ireland)† | 289 | 82,588 | ||||||
Arthur J Gallagher & Co.† | 836 | 124,271 | ||||||
Brown & Brown, Inc. | 1,342 | 74,414 | ||||||
Marsh & McLennan Cos., Inc.† | 838 | 126,898 | ||||||
|
| |||||||
408,171 | ||||||||
|
| |||||||
Materials — 4.7% | ||||||||
Avery Dennison Corp. | 148 | 30,667 | ||||||
Berry Global Group, Inc.* | 145 | 8,828 | ||||||
DuPont de Nemours, Inc. | 331 | 22,505 | ||||||
Eastman Chemical Co.† | 331 | 33,345 | ||||||
Freeport-McMoRan, Inc. | 1 | 32 | ||||||
International Paper Co.† | 688 | 38,473 | ||||||
Louisiana-Pacific Corp.† | 3,170 | 194,543 | ||||||
Olin Corp. | 168 | 8,106 | ||||||
Reliance Steel & Aluminum Co. | 170 | 24,211 | ||||||
Sealed Air Corp.† | 187 | 10,246 | ||||||
Sherwin-Williams Co. (The)† | 166 | 46,435 | ||||||
Southern Copper Corp.† | 1,799 | 100,996 | ||||||
West Fraser Timber Co. Ltd. (Canada) | 779 | 65,615 | ||||||
|
| |||||||
584,002 | ||||||||
|
| |||||||
Media & Entertainment — 9.3% | ||||||||
Activision Blizzard, Inc.† | 245 | 18,961 | ||||||
Alphabet, Inc., Class A†* | 159 | 425,090 | ||||||
Altice USA, Inc., Class A* | 672 | 13,924 | ||||||
Charter Communications, Inc., Class A†* | 43 | 31,285 | ||||||
Discovery, Inc., Class A* | 861 | 21,852 | ||||||
Electronic Arts, Inc.† | 68 | 9,673 | ||||||
Facebook, Inc., Class A†* | 677 | 229,767 | ||||||
Interpublic Group of Cos., Inc. (The) | 687 | 25,192 | ||||||
Omnicom Group, Inc. | 11 | 797 | ||||||
Roku, Inc.†* | 556 | 174,223 | ||||||
Shaw Communications, Inc., Class B (Canada)† | 863 | 25,061 | ||||||
Take-Two Interactive Software, Inc.†* | 28 | 4,314 | ||||||
ViacomCBS, Inc., Class B† | 4,276 | 168,945 | ||||||
|
| |||||||
1,149,084 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
51
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 23.4% |
| |||||||
AbbVie, Inc.† | 3,895 | $ | 420,154 | |||||
Biogen, Inc.†* | 1,488 | 421,089 | ||||||
Gilead Sciences, Inc.† | 6,379 | 445,573 | ||||||
Illumina, Inc.†* | 35 | 14,196 | ||||||
Johnson & Johnson† | 1,479 | 238,859 | ||||||
Merck & Co., Inc.† | 3,875 | 291,051 | ||||||
Organon & Co. | 2,535 | 83,123 | ||||||
PerkinElmer, Inc.† | 1,713 | 296,846 | ||||||
Pfizer, Inc.† | 8,146 | 350,359 | ||||||
United Therapeutics Corp.†* | 1,145 | 211,344 | ||||||
Vertex Pharmaceuticals, Inc.†* | 558 | 101,216 | ||||||
|
| |||||||
2,873,810 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
Jones Lang LaSalle, Inc.* | 157 | 38,950 | ||||||
Weyerhaeuser Co., REIT† | 2,767 | 98,422 | ||||||
|
| |||||||
137,372 | ||||||||
|
| |||||||
Retailing — 9.5% | ||||||||
Advance Auto Parts, Inc.† | 292 | 60,996 | ||||||
Amazon.com, Inc.†* | 120 | 394,205 | ||||||
AutoNation, Inc.†* | 238 | 28,979 | ||||||
AutoZone, Inc.†* | 12 | 20,376 | ||||||
Bath & Body Works, Inc. | 1,005 | 63,345 | ||||||
Best Buy Co., Inc.† | 73 | 7,717 | ||||||
Dick’s Sporting Goods, Inc. | 229 | 27,427 | ||||||
eBay, Inc.† | 2,067 | 144,008 | ||||||
Genuine Parts Co.† | 445 | 53,947 | ||||||
Home Depot, Inc. (The)† | 392 | 128,678 | ||||||
Kohl’s Corp.† | 956 | 45,018 | ||||||
LKQ Corp.†* | 825 | 41,514 | ||||||
Lowe’s Cos., Inc.† | 131 | 26,575 | ||||||
O’Reilly Automotive, Inc.* | 19 | 11,610 | ||||||
Target Corp.† | 336 | 76,867 | ||||||
Victoria’s Secret & Co.* | 689 | 38,074 | ||||||
Williams-Sonoma, Inc.† | 5 | 886 | ||||||
|
| |||||||
1,170,222 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
Applied Materials, Inc. | 564 | 72,604 | ||||||
Intel Corp.† | 306 | 16,303 | ||||||
|
| |||||||
88,907 | ||||||||
|
| |||||||
Software & Services — 14.1% | ||||||||
Accenture PLC, Class A (Ireland)† | 67 | 21,435 | ||||||
Amdocs Ltd. (Guernsey)† | 2,265 | 171,483 | ||||||
Automatic Data Processing, Inc.† | 635 | 126,949 | ||||||
CGI, Inc. (Canada)†* | 552 | 46,787 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) | ||||||||
Software & Services — (Continued) | ||||||||
Dolby Laboratories, Inc., Class A | 2 | $ | 176 | |||||
International Business Machines Corp. | 51 | 7,085 | ||||||
Mastercard, Inc., Class A† | 235 | 81,705 | ||||||
Microsoft Corp.† | 1,793 | 505,483 | ||||||
NortonLifeLock, Inc.† | 4,192 | 106,058 | ||||||
Open Text Corp. (Canada)† | 1,602 | 78,081 | ||||||
Oracle Corp.† | 1,708 | 148,818 | ||||||
PayPal Holdings, Inc.†* | 280 | 72,859 | ||||||
SS&C Technologies Holdings, Inc.† . | 1,420 | 98,548 | ||||||
Visa, Inc., Class A† | 509 | 113,380 | ||||||
Western Union Co. (The) | 1,136 | 22,970 | ||||||
Ziff Davis, Inc.†* | 952 | 130,062 | ||||||
|
| |||||||
1,731,879 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 15.7% |
| |||||||
Apple, Inc.† | 3,874 | 548,171 | ||||||
Arrow Electronics, Inc.†* | 1,570 | 176,295 | ||||||
Cisco Systems, Inc.† | 4,493 | 244,554 | ||||||
Corning, Inc.† | 2,988 | 109,032 | ||||||
Dell Technologies, Inc., Class C†* | 536 | 55,766 | ||||||
HP, Inc.† | 8,321 | 227,663 | ||||||
Jabil, Inc. | 1,438 | 83,936 | ||||||
Juniper Networks, Inc.† | 486 | 13,375 | ||||||
Keysight Technologies, Inc.* | 86 | 14,129 | ||||||
NetApp, Inc. | 1,150 | 103,224 | ||||||
Seagate Technology Holdings PLC (Ireland)† | 2,745 | 226,517 | ||||||
SYNNEX Corp.† | 941 | 97,958 | ||||||
Vontier Corp. | 815 | 27,384 | ||||||
|
| |||||||
1,928,004 | ||||||||
|
| |||||||
Telecommunication Services — 6.4% | ||||||||
AT&T, Inc.† | 8,101 | 218,808 | ||||||
BCE, Inc. (Canada)† | 3,924 | 196,436 | ||||||
Rogers Communications, Inc., Class B (Canada)† | 1,210 | 56,434 | ||||||
Verizon Communications, Inc.† | 5,768 | 311,530 | ||||||
|
| |||||||
783,208 | ||||||||
|
| |||||||
Transportation — 2.4% | ||||||||
Expeditors International of Washington, Inc.† | 1,210 | 144,147 | ||||||
JB Hunt Transport Services, Inc.† | 1 | 167 | ||||||
Southwest Airlines Co.* | 128 | 6,583 |
The accompanying notes are an integral part of the financial statements.
52
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) | ||||||||
TFI International, Inc. (Canada)† | 466 | $ | 47,616 | |||||
United Parcel Service, Inc., Class B† | 558 | 101,612 | ||||||
|
| |||||||
300,125 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
Dominion Energy, Inc.† | 965 | 70,464 | ||||||
NRG Energy, Inc. | 1,868 | 76,271 | ||||||
PPL Corp. | 3,806 | 106,111 | ||||||
|
| |||||||
252,846 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $19,474,454) |
| 21,559,727 | ||||||
|
| |||||||
TOTAL LONG POSITIONS - 175.2% (Cost $19,474,454) |
| 21,559,727 | ||||||
|
| |||||||
SHORT POSITIONS — (76.3)% | ||||||||
COMMON STOCKS — (76.3)% | ||||||||
Automobiles & Components — (0.0)% |
| |||||||
BorgWarner, Inc. | (76 | ) | (3,284 | ) | ||||
|
| |||||||
Banks — (1.1)% | ||||||||
Citizens Financial Group, Inc. | (367 | ) | (17,242 | ) | ||||
Comerica, Inc. | (314 | ) | (25,277 | ) | ||||
Commerce Bancshares, Inc. | (1 | ) | (70 | ) | ||||
Huntington Bancshares, Inc. | (418 | ) | (6,462 | ) | ||||
KeyCorp. | (37 | ) | (800 | ) | ||||
M&T Bank Corp. | (322 | ) | (48,087 | ) | ||||
People’s United Financial, Inc. | (171 | ) | (2,987 | ) | ||||
Prosperity Bancshares, Inc. | (9 | ) | (640 | ) | ||||
SouthState Corp. | (93 | ) | (6,944 | ) | ||||
Truist Financial Corp. | (27 | ) | (1,584 | ) | ||||
Zions Bancorp NA | (491 | ) | (30,388 | ) | ||||
|
| |||||||
(140,481 | ) | |||||||
|
| |||||||
Capital Goods — (4.6)% | ||||||||
AerCap Holdings NV (Netherlands)* | (1,407 | ) | (81,339 | ) | ||||
Axon Enterprise, Inc.* | (24 | ) | (4,201 | ) | ||||
AZEK Co., Inc. (The)* | (1,142 | ) | (41,717 | ) | ||||
Ballard Power Systems, Inc. (Canada)* | (363 | ) | (5,100 | ) | ||||
Bloom Energy Corp., Class A* | (849 | ) | (15,893 | ) | ||||
Boeing Co. (The)* | (688 | ) | (151,319 | ) | ||||
Builders FirstSource, Inc.* | (166 | ) | (8,589 | ) | ||||
BWX Technologies, Inc. | (843 | ) | (45,404 | ) | ||||
Chart Industries, Inc.* | (81 | ) | (15,480 | ) | ||||
FuelCell Energy, Inc.* | (2,006 | ) | (13,420 | ) | ||||
Mercury Systems, Inc.* | (650 | ) | (30,823 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Nikola Corp.* | (836 | ) | $ | (8,920 | ) | |||
Plug Power, Inc.* | (2,702 | ) | (69,009 | ) | ||||
Sunrun, Inc.* | (409 | ) | (17,996 | ) | ||||
Trex Co., Inc.* | (260 | ) | (26,502 | ) | ||||
Virgin Galactic Holdings, Inc.* | (1,018 | ) | (25,755 | ) | ||||
|
| |||||||
(561,467 | ) | |||||||
|
| |||||||
Commercial & Professional Services — (2.1)% |
| |||||||
ADT, Inc. | (8,321 | ) | (67,317 | ) | ||||
Clarivate PLC (Jersey)* | (84 | ) | (1,840 | ) | ||||
CoStar Group, Inc.* | (782 | ) | (67,299 | ) | ||||
Dun & Bradstreet Holdings, Inc.* | (2,508 | ) | (42,159 | ) | ||||
GFL Environmental, Inc., sub-voting shares (Canada) | (2,047 | ) | (76,046 | ) | ||||
MSA Safety, Inc. | (19 | ) | (2,768 | ) | ||||
|
| |||||||
(257,429 | ) | |||||||
|
| |||||||
Consumer Durables & Apparel — (1.5)% |
| |||||||
Callaway Golf Co.* | (3,508 | ) | (96,926 | ) | ||||
Lululemon Athletica, Inc.* | (30 | ) | (12,141 | ) | ||||
NIKE, Inc., Class B | (9 | ) | (1,307 | ) | ||||
Peloton Interactive, Inc., Class A* | (49 | ) | (4,266 | ) | ||||
Skechers USA, Inc., Class A* | (1,692 | ) | (71,267 | ) | ||||
|
| |||||||
(185,907 | ) | |||||||
|
| |||||||
Consumer Services — (1.7)% | ||||||||
Aramark | (3,350 | ) | (110,081 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (8 | ) | (1,115 | ) | ||||
Carnival Corp. (Panama)* | (60 | ) | (1,501 | ) | ||||
DraftKings, Inc., Class A* | (1,509 | ) | (72,674 | ) | ||||
Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (149 | ) | (3,980 | ) | ||||
Planet Fitness, Inc., Class A* | (8 | ) | (628 | ) | ||||
Royal Caribbean Cruises Ltd. (Liberia)* | (139 | ) | (12,364 | ) | ||||
Wynn Resorts Ltd.* | (119 | ) | (10,085 | ) | ||||
|
| |||||||
(212,428 | ) | |||||||
|
| |||||||
Diversified Financials — (0.3)% | ||||||||
State Street Corp. | (438 | ) | (37,107 | ) | ||||
|
| |||||||
Energy — (3.7)% | ||||||||
Cameco Corp. (Canada) | (4 | ) | (87 | ) | ||||
Cenovus Energy, Inc. (Canada) | (16,929 | ) | (170,306 | ) | ||||
ConocoPhillips | (556 | ) | (37,680 | ) | ||||
Devon Energy Corp. | (1,403 | ) | (49,820 | ) | ||||
Diamondback Energy, Inc. | (1,025 | ) | (97,037 | ) |
The accompanying notes are an integral part of the financial statements.
53
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Energy — (Continued) |
| |||||||
New Fortress Energy, Inc. | (200 | ) | $ | (5,550 | ) | |||
Pioneer Natural Resources Co. | (549 | ) | (91,414 | ) | ||||
|
| |||||||
(451,894 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (0.2)% |
| |||||||
Casey’s General Stores, Inc. | (103 | ) | (19,410 | ) | ||||
Grocery Outlet Holding Corp.* | (308 | ) | (6,644 | ) | ||||
|
| |||||||
(26,054 | ) | |||||||
|
| |||||||
Food, Beverage & Tobacco — (0.5)% |
| |||||||
Beyond Meat, Inc.* | (152 | ) | (16,000 | ) | ||||
Celsius Holdings, Inc.* | (91 | ) | (8,198 | ) | ||||
Freshpet, Inc.* | (289 | ) | (41,237 | ) | ||||
|
| |||||||
(65,435 | ) | |||||||
|
| |||||||
Health Care Equipment & Services — (5.6)% |
| |||||||
1Life Healthcare, Inc.* | (1,769 | ) | (35,822 | ) | ||||
Dexcom, Inc.* | (20 | ) | (10,937 | ) | ||||
GoodRx Holdings, Inc., Class A* | (250 | ) | (10,255 | ) | ||||
Guardant Health, Inc.* | (718 | ) | (89,757 | ) | ||||
HealthEquity, Inc.* | (1,525 | ) | (98,759 | ) | ||||
Inspire Medical Systems, Inc.* | (10 | ) | (2,329 | ) | ||||
Insulet Corp.* | (362 | ) | (102,891 | ) | ||||
iRhythm Technologies, Inc.* | (72 | ) | (4,216 | ) | ||||
LHC Group, Inc.* | (7 | ) | (1,098 | ) | ||||
Masimo Corp.* | (210 | ) | (56,849 | ) | ||||
Neogen Corp.* | (194 | ) | (8,426 | ) | ||||
Nevro Corp.* | (196 | ) | (22,811 | ) | ||||
Novocure Ltd. (Jersey)* | (109 | ) | (12,663 | ) | ||||
Oak Street Health, Inc.* | (2,004 | ) | (85,230 | ) | ||||
Penumbra, Inc.* | (357 | ) | (95,141 | ) | ||||
Schrodinger, Inc./United States* | (446 | ) | (24,387 | ) | ||||
SmileDirectClub, Inc.* | (4,470 | ) | (23,780 | ) | ||||
|
| |||||||
(685,351 | ) | |||||||
|
| |||||||
Household & Personal Products — (0.1)% |
| |||||||
Reynolds Consumer Products, Inc. | (278 | ) | (7,601 | ) | ||||
|
| |||||||
Insurance — (1.4)% |
| |||||||
Arch Capital Group Ltd. (Bermuda)* . | (725 | ) | (27,681 | ) | ||||
Lincoln National Corp. | (540 | ) | (37,125 | ) | ||||
Reinsurance Group of America, Inc. | (644 | ) | (71,651 | ) | ||||
RenaissanceRe Holdings Ltd. (Bermuda) | (268 | ) | (37,359 | ) | ||||
Unum Group | (118 | ) | (2,957 | ) | ||||
|
| |||||||
(176,773 | ) | |||||||
|
| |||||||
Materials — (4.5)% |
| |||||||
Ball Corp. | (280 | ) | (25,192 | ) | ||||
Cleveland-Cliffs, Inc.* | (5,518 | ) | (109,312 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) |
| |||||||
Franco-Nevada Corp. (Canada) | (25 | ) | $ | (3,248 | ) | |||
Huntsman Corp. | (2,650 | ) | (78,413 | ) | ||||
International Flavors & Fragrances, Inc. | (429 | ) | (57,366 | ) | ||||
Largo Resources Ltd. (Canada)* | (72 | ) | (757 | ) | ||||
Martin Marietta Materials, Inc. | (122 | ) | (41,685 | ) | ||||
Novagold Resources, Inc. (Canada)* | (132 | ) | (908 | ) | ||||
Teck Resources Ltd., Class B (Canada) | (8,927 | ) | (222,371 | ) | ||||
United States Steel Corp. | (851 | ) | (18,696 | ) | ||||
Vulcan Materials Co. | (11 | ) | (1,861 | ) | ||||
|
| |||||||
(559,809 | ) | |||||||
|
| |||||||
Media & Entertainment — (1.1)% |
| |||||||
Angi, Inc.* | (3,064 | ) | (37,810 | ) | ||||
Cable One, Inc. | (43 | ) | (77,965 | ) | ||||
IAC/InterActiveCorp.* | (1 | ) | (130 | ) | ||||
Magnite, Inc.* | (97 | ) | (2,716 | ) | ||||
Match Group, Inc.* | (11 | ) | (1,727 | ) | ||||
TripAdvisor, Inc.* | (560 | ) | (18,956 | ) | ||||
|
| |||||||
(139,304 | ) | |||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (15.3)% |
| |||||||
ACADIA Pharmaceuticals, Inc.* | (1,383 | ) | (22,972 | ) | ||||
Acceleron Pharma, Inc.* | (985 | ) | (169,518 | ) | ||||
Adaptive Biotechnologies Corp.* | (1,087 | ) | (36,947 | ) | ||||
Agios Pharmaceuticals, Inc.* | (160 | ) | (7,384 | ) | ||||
Allakos, Inc.* | (835 | ) | (88,401 | ) | ||||
Allogene Therapeutics, Inc.* | (1,358 | ) | (34,901 | ) | ||||
Alnylam Pharmaceuticals, Inc.* | (188 | ) | (35,496 | ) | ||||
Amicus Therapeutics, Inc.* | (1,794 | ) | (17,133 | ) | ||||
Arrowhead Pharmaceuticals, Inc.* | (681 | ) | (42,515 | ) | ||||
Beam Therapeutics, Inc.* | (1,274 | ) | (110,851 | ) | ||||
Biohaven Pharmaceutical Holding Co. Ltd. (British Virgin Islands)* | (251 | ) | (34,866 | ) | ||||
BioMarin Pharmaceutical, Inc.* | (757 | ) | (58,508 | ) | ||||
Bluebird Bio, Inc.* | (748 | ) | (14,294 | ) | ||||
Bridgebio Pharma, Inc.* | (2,487 | ) | (116,566 | ) | ||||
ChemoCentryx, Inc.* | (491 | ) | (8,396 | ) | ||||
Elanco Animal Health, Inc.* | (1,744 | ) | (55,616 | ) | ||||
Exact Sciences Corp.* | (231 | ) | (22,049 | ) | ||||
FibroGen, Inc.* | (878 | ) | (8,973 | ) | ||||
Global Blood Therapeutics, Inc.* | (566 | ) | (14,422 | ) | ||||
Intellia Therapeutics, Inc.* | (841 | ) | (112,820 | ) | ||||
Ionis Pharmaceuticals, Inc.* | (379 | ) | (12,712 | ) | ||||
Iovance Biotherapeutics, Inc.* | (827 | ) | (20,394 | ) |
The accompanying notes are an integral part of the financial statements.
54
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — (Continued) |
| |||||||
Jazz Pharmaceuticals PLC (Ireland)* | (1,237 | ) | $ | (161,070 | ) | |||
Kodiak Sciences, Inc.* | (400 | ) | (38,392 | ) | ||||
Mirati Therapeutics, Inc.* | (794 | ) | (140,467 | ) | ||||
Natera, Inc.* | (148 | ) | (16,493 | ) | ||||
Nektar Therapeutics* | (1,344 | ) | (24,138 | ) | ||||
NeoGenomics, Inc.* | (695 | ) | (33,527 | ) | ||||
Neurocrine Biosciences, Inc.* | (13 | ) | (1,247 | ) | ||||
Novavax, Inc.* | (26 | ) | (5,390 | ) | ||||
Pacific Biosciences of California, Inc.* | (584 | ) | (14,921 | ) | ||||
Perrigo Co. PLC (Ireland) | (2,010 | ) | (95,133 | ) | ||||
PTC Therapeutics, Inc.* | (593 | ) | (22,066 | ) | ||||
Reata Pharmaceuticals, Inc., Class A* | (158 | ) | (15,896 | ) | ||||
Sarepta Therapeutics, Inc.* | (1,275 | ) | (117,912 | ) | ||||
Seagen, Inc.* | (3 | ) | (509 | ) | ||||
TG Therapeutics, Inc.* | (296 | ) | (9,851 | ) | ||||
Turning Point Therapeutics, Inc.* | (286 | ) | (18,999 | ) | ||||
Ultragenyx Pharmaceutical, Inc.* | (766 | ) | (69,086 | ) | ||||
Viatris, Inc. | (3,423 | ) | (46,382 | ) | ||||
|
| |||||||
(1,877,213 | ) | |||||||
|
| |||||||
Real Estate — (1.0)% | ||||||||
Equinix, Inc., REIT | (43 | ) | (33,976 | ) | ||||
Omega Healthcare Investors, Inc., REIT | (193 | ) | (5,782 | ) | ||||
Redfin Corp.* | (232 | ) | (11,623 | ) | ||||
Ventas, Inc., REIT | (959 | ) | (52,947 | ) | ||||
Vornado Realty Trust, REIT | (407 | ) | (17,098 | ) | ||||
|
| |||||||
(121,426 | ) | |||||||
|
| |||||||
Retailing — (2.0)% | ||||||||
CarMax, Inc.* | (32 | ) | (4,095 | ) | ||||
Carvana Co.* | (195 | ) | (58,800 | ) | ||||
Chewy, Inc., Class A* | (82 | ) | (5,585 | ) | ||||
Five Below, Inc.* | (396 | ) | (70,017 | ) | ||||
Lithia Motors, Inc., Class A | (4 | ) | (1,268 | ) | ||||
Macy’s, Inc. | (691 | ) | (15,617 | ) | ||||
Nordstrom, Inc.* | (643 | ) | (17,007 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (266 | ) | (16,034 | ) | ||||
Stitch Fix, Inc., Class A* | (570 | ) | (22,771 | ) | ||||
Vroom, Inc.* | (985 | ) | (21,739 | ) | ||||
Wayfair, Inc., Class A* | (50 | ) | (12,776 | ) | ||||
|
| |||||||
(245,709 | ) | |||||||
|
|
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — (0.4)% |
| |||||||
Marvell Technology, Inc. | (57 | ) | $ | (3,438 | ) | |||
Silicon Laboratories, Inc.* | (227 | ) | (31,816 | ) | ||||
Wolfspeed, Inc.* | (236 | ) | (19,052 | ) | ||||
|
| |||||||
(54,306 | ) | |||||||
|
| |||||||
Software & Services — (11.6)% | ||||||||
Anaplan, Inc.* | (1,329 | ) | (80,923 | ) | ||||
Appfolio, Inc., Class A* | (359 | ) | (43,224 | ) | ||||
Appian Corp.* | (126 | ) | (11,656 | ) | ||||
Bentley Systems, Inc., Class B | (294 | ) | (17,828 | ) | ||||
BlackBerry Ltd. (Canada)* | (19,675 | ) | (191,438 | ) | ||||
Blackline, Inc.* | (171 | ) | (20,188 | ) | ||||
Ceridian HCM Holding, Inc.* | (443 | ) | (49,891 | ) | ||||
Cloudera, Inc.* | (3,037 | ) | (48,501 | ) | ||||
Coupa Software, Inc.* | (11 | ) | (2,411 | ) | ||||
Duck Creek Technologies, Inc.* | (406 | ) | (17,961 | ) | ||||
Elastic NV (Netherlands)* | (96 | ) | (14,303 | ) | ||||
Envestnet, Inc.* | (75 | ) | (6,018 | ) | ||||
Euronet Worldwide, Inc.* | (167 | ) | (21,256 | ) | ||||
Everbridge, Inc.* | (155 | ) | (23,411 | ) | ||||
Fastly, Inc., Class A* | (255 | ) | (10,312 | ) | ||||
Guidewire Software, Inc.* | (1,174 | ) | (139,553 | ) | ||||
LiveRamp Holdings, Inc.* | (174 | ) | (8,218 | ) | ||||
Mandiant, Inc.* | (818 | ) | (14,560 | ) | ||||
Medallia, Inc.* | (2,991 | ) | (101,305 | ) | ||||
nCino, Inc.* | (626 | ) | (44,465 | ) | ||||
New Relic, Inc.* | (125 | ) | (8,971 | ) | ||||
Nutanix, Inc., Class A* | (3,952 | ) | (148,990 | ) | ||||
Okta, Inc.* | (45 | ) | (10,680 | ) | ||||
Palantir Technologies, Inc., Class A* . | (441 | ) | (10,602 | ) | ||||
Pegasystems, Inc. | (277 | ) | (35,207 | ) | ||||
Q2 Holdings, Inc.* | (209 | ) | (16,749 | ) | ||||
RingCentral, Inc., Class A* | (37 | ) | (8,047 | ) | ||||
Smartsheet, Inc., Class A* | (236 | ) | (16,242 | ) | ||||
Snowflake, Inc., Class A* | (26 | ) | (7,863 | ) | ||||
SolarWinds Corp. | (61 | ) | (1,021 | ) | ||||
Splunk, Inc.* | (386 | ) | (55,858 | ) | ||||
Switch, Inc., Class A | (957 | ) | (24,298 | ) | ||||
Twilio, Inc., Class A* | (22 | ) | (7,019 | ) | ||||
Unity Software, Inc.* | (50 | ) | (6,313 | ) | ||||
Varonis Systems, Inc.* | (507 | ) | (30,851 | ) | ||||
WEX, Inc.* | (244 | ) | (42,978 | ) | ||||
Workday, Inc., Class A* | (322 | ) | (80,465 | ) | ||||
Zendesk, Inc.* | (384 | ) | (44,694 | ) | ||||
|
| |||||||
(1,424,270 | ) | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
55
GOTHAM HEDGED PLUS FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (1.6)% |
| |||||||
3D Systems Corp.* | (155 | ) | $ | (4,274 | ) | |||
National Instruments Corp. | (23 | ) | (902 | ) | ||||
Pure Storage, Inc., Class A* | (4,714 | ) | (118,604 | ) | ||||
Teledyne Technologies, Inc.* | (157 | ) | (67,444 | ) | ||||
|
| |||||||
(191,224 | ) | |||||||
|
| |||||||
Transportation — (1.9)% | ||||||||
CH Robinson Worldwide, Inc. | (2 | ) | (174 | ) | ||||
Lyft, Inc., Class A* | (1,946 | ) | (104,286 | ) | ||||
Uber Technologies, Inc.* | (2,791 | ) | (125,037 | ) | ||||
|
| |||||||
(229,497 | ) | |||||||
|
| |||||||
Utilities — (14.1)% | ||||||||
AES Corp. (The) | (1,116 | ) | (25,478 | ) | ||||
Alliant Energy Corp. | (446 | ) | (24,967 | ) | ||||
Ameren Corp. | (868 | ) | (70,308 | ) | ||||
American Electric Power Co., Inc. | (216 | ) | (17,535 | ) | ||||
American Water Works Co., Inc. | (92 | ) | (15,552 | ) | ||||
Atmos Energy Corp. | (823 | ) | (72,589 | ) | ||||
Avangrid, Inc. | (1,528 | ) | (74,261 | ) | ||||
Black Hills Corp. | (366 | ) | (22,970 | ) | ||||
CenterPoint Energy, Inc. | (4,677 | ) | (115,054 | ) | ||||
Consolidated Edison, Inc. | (16 | ) | (1,161 | ) | ||||
Edison International | (2,033 | ) | (112,771 | ) | ||||
Entergy Corp. | (666 | ) | (66,140 | ) | ||||
Essential Utilities, Inc. | (805 | ) | (37,094 | ) | ||||
Evergy, Inc. | (240 | ) | (14,928 | ) | ||||
Eversource Energy | (1,371 | ) | (112,093 | ) | ||||
MDU Resources Group, Inc. | (148 | ) | (4,391 | ) | ||||
NextEra Energy, Inc. | (2,180 | ) | (171,174 | ) |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Utilities — (Continued) | ||||||||
NiSource, Inc. | (7,977 | ) | $ | (193,283 | ) | |||
OGE Energy Corp. | (1,971 | ) | (64,964 | ) | ||||
Ormat Technologies, Inc. | (35 | ) | (2,331 | ) | ||||
Pinnacle West Capital Corp. | (1,925 | ) | (139,293 | ) | ||||
Sempra Energy | (803 | ) | (101,579 | ) | ||||
Southwest Gas Holdings, Inc. | (85 | ) | (5,685 | ) | ||||
Vistra Corp. | (11,447 | ) | (195,744 | ) | ||||
WEC Energy Group, Inc. | (442 | ) | (38,984 | ) | ||||
Xcel Energy, Inc. | (573 | ) | (35,813 | ) | ||||
|
| |||||||
(1,736,142 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Proceeds $10,325,313) |
| (9,390,111 | ) | |||||
|
| |||||||
TOTAL SHORT POSITIONS - (76.3)% (Proceeds $10,325,313) |
| (9,390,111 | ) | |||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | 132,959 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 12,302,575 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
56
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — 95.7% | ||||||||
Automobiles & Components — 2.0% |
| |||||||
Gentex Corp.(a) | 285 | $ | 9,399 | |||||
Lear Corp. | 24 | 3,755 | ||||||
Magna International, Inc. (Canada) | 203 | 15,274 | ||||||
Thor Industries, Inc. | 13 | 1,596 | ||||||
|
| |||||||
30,024 | ||||||||
|
| |||||||
Capital Goods — 9.2% | ||||||||
3M Co. | 45 | 7,894 | ||||||
A.O. Smith Corp. | 48 | 2,931 | ||||||
Armstrong World Industries, Inc. | 12 | 1,146 | ||||||
Carrier Global Corp. | 101 | 5,228 | ||||||
Caterpillar, Inc. | 23 | 4,415 | ||||||
Crane Co.(a) | 74 | 7,016 | ||||||
Cummins, Inc.(a) | 75 | 16,842 | ||||||
Eaton Corp. PLC (Ireland) | 58 | 8,660 | ||||||
Emerson Electric Co. | 89 | 8,384 | ||||||
General Dynamics Corp. | 13 | 2,548 | ||||||
Lennox International, Inc.(a) | 44 | 12,943 | ||||||
Nordson Corp. | 25 | 5,954 | ||||||
Oshkosh Corp.(a) | 126 | 12,899 | ||||||
Otis Worldwide Corp. | 12 | 987 | ||||||
Owens Corning(a) | 190 | 16,245 | ||||||
Rockwell Automation, Inc. | 5 | 1,470 | ||||||
Sensata Technologies Holding PLC (United Kingdom)* | 35 | 1,915 | ||||||
Snap-on, Inc.(a) | 38 | 7,940 | ||||||
Stanley Black & Decker, Inc.(a) | 49 | 8,590 | ||||||
Trane Technologies PLC (Ireland) | 23 | 3,971 | ||||||
WESCO International, Inc.* | 15 | 1,730 | ||||||
Xylem, Inc. | 1 | 124 | ||||||
|
| |||||||
139,832 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.2% |
| |||||||
Clean Harbors, Inc.* | 34 | 3,532 | ||||||
Nielsen Holdings PLC (United Kingdom) | 679 | 13,030 | ||||||
Rollins, Inc. | 15 | 530 | ||||||
Science Applications International Corp. | 11 | 941 | ||||||
|
| |||||||
18,033 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 4.7% |
| |||||||
BRP, Inc., sub-voting shares (Canada) | 19 | 1,761 | ||||||
Brunswick Corp.(a) | 174 | 16,577 | ||||||
Hasbro, Inc.(a) | 204 | 18,201 | ||||||
Mattel, Inc.(a)* | 758 | 14,068 | ||||||
Sonos, Inc.(a)* | 262 | 8,478 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Consumer Durables & Apparel — (Continued) |
| |||||||
Under Armour, Inc., Class C* | 159 | $ | 2,786 | |||||
Whirlpool Corp.(a) | 44 | 8,970 | ||||||
YETI Holdings, Inc.* | 3 | 257 | ||||||
|
| |||||||
71,098 | ||||||||
|
| |||||||
Consumer Services — 2.8% | ||||||||
Airbnb, Inc., Class A(a)* | 27 | 4,529 | ||||||
Boyd Gaming Corp.(a)* | 120 | 7,591 | ||||||
Choice Hotels International, Inc.(a) | 35 | 4,423 | ||||||
Domino’s Pizza, Inc. | 3 | 1,431 | ||||||
Penn National Gaming, Inc.* | 26 | 1,884 | ||||||
Service Corp. International | 2 | 120 | ||||||
Wendy’s Co. (The) | 213 | 4,618 | ||||||
Wyndham Hotels & Resorts, Inc.(a) | 173 | 13,354 | ||||||
Yum! Brands, Inc. | 34 | 4,159 | ||||||
|
| |||||||
42,109 | ||||||||
|
| |||||||
Energy — 6.1% | ||||||||
APA Corp. | 52 | 1,114 | ||||||
Canadian Natural Resources Ltd. (Canada) | 195 | 7,125 | ||||||
Cimarex Energy Co.(a)* | 138 | 12,034 | ||||||
Continental Resources, Inc.(a) | 231 | 10,661 | ||||||
EOG Resources, Inc.(a) | 29 | 2,328 | ||||||
Exxon Mobil Corp.(a) | 326 | 19,175 | ||||||
Hess Corp.(a) | 197 | 15,388 | ||||||
Imperial Oil Ltd. (Canada) | 62 | 1,957 | ||||||
Marathon Oil Corp.(a) | 1,138 | 15,557 | ||||||
Marathon Petroleum Corp. | 36 | 2,225 | ||||||
Ovintiv, Inc.(a) | 138 | 4,537 | ||||||
|
| |||||||
92,101 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% | ||||||||
Costco Wholesale Corp. | 16 | 7,190 | ||||||
|
| |||||||
Food, Beverage & Tobacco — 2.3% | ||||||||
Brown-Forman Corp., Class B | 100 | 6,701 | ||||||
Coca-Cola Co. (The)(a) | 176 | 9,235 | ||||||
Darling Ingredients, Inc.* | 83 | 5,968 | ||||||
Monster Beverage Corp.(a)* | 155 | 13,768 | ||||||
|
| |||||||
35,672 | ||||||||
|
| |||||||
Health Care Equipment & Services — 9.9% |
| |||||||
Abbott Laboratories(a) | 70 | 8,269 | ||||||
ABIOMED, Inc.* | 1 | 326 | ||||||
Acadia Healthcare Co., Inc.(a)* | 178 | 11,353 | ||||||
Alcon, Inc. (Switzerland) | 182 | 14,646 | ||||||
AMN Healthcare Services, Inc.* | 45 | 5,164 | ||||||
Boston Scientific Corp.(a)* | 537 | 23,300 |
The accompanying notes are an integral part of the financial statements.
57
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Health Care Equipment & Services — (Continued) |
| |||||||
Cerner Corp.(a) | 229 | $ | 16,149 | |||||
Cooper Cos., Inc. (The) | 17 | 7,026 | ||||||
Edwards Lifesciences Corp.* | 4 | 453 | ||||||
Envista Holdings Corp.(a)* | 241 | 10,076 | ||||||
Hologic, Inc.* | 34 | 2,510 | ||||||
Integra LifeSciences Holdings | 90 | 6,163 | ||||||
Laboratory Corp. of America Holdings(a)* | 33 | 9,287 | ||||||
Medtronic PLC (Ireland) | 169 | 21,184 | ||||||
Quest Diagnostics, Inc. | 17 | 2,470 | ||||||
STAAR Surgical Co.(a)* | 98 | 12,596 | ||||||
|
| |||||||
150,972 | ||||||||
|
| |||||||
Household & Personal Products — 1.4% |
| |||||||
Coty, Inc., Class A* | 653 | 5,133 | ||||||
Estee Lauder Cos., Inc. (The), Class A(a) | 55 | 16,496 | ||||||
|
| |||||||
21,629 | ||||||||
|
| |||||||
Materials — 12.6% | ||||||||
Agnico Eagle Mines Ltd. (Canada) | 311 | 16,125 | ||||||
Axalta Coating Systems Ltd. (Bermuda)* | 53 | 1,547 | ||||||
Barrick Gold Corp. (Canada) | 20 | 361 | ||||||
Chemours Co. (The) | 162 | 4,708 | ||||||
Corteva, Inc. | 63 | 2,651 | ||||||
Dow, Inc. | 152 | 8,749 | ||||||
DuPont de Nemours, Inc.(a) | 355 | 24,136 | ||||||
Eagle Materials, Inc. | 48 | 6,296 | ||||||
Freeport-McMoRan, Inc.(a) | 814 | 26,479 | ||||||
Graphic Packaging Holding Co. | 125 | 2,380 | ||||||
International Paper Co. | 18 | 1,007 | ||||||
Kinross Gold Corp. (Canada) | 353 | 1,892 | ||||||
Kirkland Lake Gold Ltd. (Canada) | 90 | 3,743 | ||||||
Linde PLC (Ireland) | 29 | 8,508 | ||||||
Louisiana-Pacific Corp.(a) | 353 | 21,664 | ||||||
Newmont Corp. | 82 | 4,453 | ||||||
Nucor Corp. | 53 | 5,220 | ||||||
Olin Corp.(a) | 234 | 11,290 | ||||||
Royal Gold, Inc. | 15 | 1,432 | ||||||
Sherwin-Williams Co. (The) | 4 | 1,119 | ||||||
Southern Copper Corp.(a) | 369 | 20,716 | ||||||
West Fraser Timber Co. Ltd. (Canada) | 50 | 4,212 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Materials — (Continued) | ||||||||
Westlake Chemical Corp.(a) | 67 | $ | 6,106 | |||||
Wheaton Precious Metals Corp. (Canada) | 159 | 5,975 | ||||||
|
| |||||||
190,769 | ||||||||
|
| |||||||
Media & Entertainment — 2.1% | ||||||||
Activision Blizzard, Inc.(a) | 367 | 28,402 | ||||||
Alphabet, Inc., Class A* | 1 | 2,673 | ||||||
Charter Communications, Inc., Class A* | 1 | 728 | ||||||
|
| |||||||
31,803 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 10.2% |
| |||||||
AbbVie, Inc. | 19 | 2,049 | ||||||
BioMarin Pharmaceutical, Inc.* | 9 | 696 | ||||||
Bio-Rad Laboratories, Inc., Class A* . | 2 | 1,492 | ||||||
Bristol-Myers Squibb Co. | 141 | 8,343 | ||||||
Bruker Corp. | 18 | 1,406 | ||||||
Eli Lilly and Co.(a) | 119 | 27,495 | ||||||
Illumina, Inc.(a)* | 61 | 24,742 | ||||||
Johnson & Johnson(a) | 93 | 15,019 | ||||||
Moderna, Inc.(a)* | 60 | 23,092 | ||||||
PerkinElmer, Inc. | 18 | 3,119 | ||||||
Pfizer, Inc.(a) | 689 | 29,634 | ||||||
Regeneron Pharmaceuticals, Inc.* | 16 | 9,683 | ||||||
United Therapeutics Corp.* | 27 | 4,984 | ||||||
Vertex Pharmaceuticals, Inc.* | 16 | 2,902 | ||||||
|
| |||||||
154,656 | ||||||||
|
| |||||||
Retailing — 5.9% | ||||||||
American Eagle Outfitters, Inc. | 125 | 3,225 | ||||||
AutoNation, Inc.(a)* | 30 | 3,653 | ||||||
Bath & Body Works, Inc.(a) | 130 | 8,194 | ||||||
Dick’s Sporting Goods, Inc. | 8 | 958 | ||||||
eBay, Inc.(a) | 420 | 29,261 | ||||||
Foot Locker, Inc. | 51 | 2,329 | ||||||
Kohl’s Corp. | 1 | 47 | ||||||
LKQ Corp.* | 41 | 2,063 | ||||||
Macy’s, Inc. | 8 | 181 | ||||||
National Vision Holdings, Inc.* | 11 | 624 | ||||||
Penske Automotive Group, Inc. | 11 | 1,107 | ||||||
RH* | 1 | 667 | ||||||
Ross Stores, Inc.(a) | 99 | 10,776 | ||||||
Target Corp.(a) | 39 | 8,922 | ||||||
Ulta Beauty, Inc.(a)* | 41 | 14,798 | ||||||
Victoria’s Secret & Co.* | 65 | 3,592 | ||||||
|
| |||||||
90,397 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
58
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Semiconductors & Semiconductor Equipment — 7.8% |
| |||||||
Advanced Micro Devices, Inc.(a)* | 288 | $ | 29,635 | |||||
Applied Materials, Inc. | 13 | 1,673 | ||||||
Broadcom, Inc.(a) | 35 | 16,972 | ||||||
Enphase Energy, Inc.* | 1 | 150 | ||||||
First Solar, Inc.(a)* | 78 | 7,446 | ||||||
Micron Technology, Inc. | 169 | 11,996 | ||||||
NXP Semiconductors NV (Netherlands) | 11 | 2,155 | ||||||
ON Semiconductor Corp.(a)* | 394 | 18,033 | ||||||
Power Integrations, Inc. | 39 | 3,861 | ||||||
Qorvo, Inc.* | 26 | 4,347 | ||||||
QUALCOMM, Inc.(a) | 100 | 12,898 | ||||||
Synaptics, Inc.* | 56 | 10,065 | ||||||
|
| |||||||
119,231 | ||||||||
|
| |||||||
Software & Services — 5.5% | ||||||||
Automatic Data Processing, Inc.(a) | 62 | 12,395 | ||||||
Cerence, Inc.* | 26 | 2,499 | ||||||
DocuSign, Inc.(a)* | 33 | 8,495 | ||||||
Dolby Laboratories, Inc., Class A | 68 | 5,984 | ||||||
Dropbox, Inc., Class A(a)* | 381 | 11,133 | ||||||
DXC Technology Co.(a)* | 133 | 4,470 | ||||||
Fiserv, Inc.(a)* | 75 | 8,138 | ||||||
Gartner, Inc.(a)* | 1 | 304 | ||||||
Manhattan Associates, Inc.* | 6 | 918 | ||||||
McAfee Corp., Class A | 284 | 6,279 | ||||||
MongoDB, Inc.* | 7 | 3,301 | ||||||
Nutanix, Inc., Class A* | 44 | 1,659 | ||||||
Palo Alto Networks, Inc.(a)* | 17 | 8,143 | ||||||
Paychex, Inc. | 16 | 1,799 | ||||||
Sprout Social, Inc., Class A* | 12 | 1,463 | ||||||
Square, Inc., Class A(a)* | 22 | 5,277 | ||||||
Western Union Co. (The) | 38 | 768 | ||||||
Workiva, Inc.* | 2 | 282 | ||||||
|
| |||||||
83,307 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 7.0% |
| |||||||
3D Systems Corp.(a)* | 214 | 5,900 | ||||||
Arista Networks, Inc.* | 2 | 687 | ||||||
Cognex Corp. | 1 | 80 | ||||||
Coherent, Inc.(a)* | 69 | 17,256 | ||||||
Corning, Inc.(a) | 273 | 9,962 | ||||||
Hewlett Packard Enterprise Co. | 308 | 4,389 | ||||||
HP, Inc.(a) | 600 | 16,416 | ||||||
Keysight Technologies, Inc.* | 34 | 5,586 | ||||||
SYNNEX Corp. | 23 | 2,395 | ||||||
TE Connectivity Ltd. (Switzerland) | 127 | 17,427 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Technology Hardware & Equipment — (Continued) |
| |||||||
Trimble, Inc.* | 61 | $ | 5,017 | |||||
Ubiquiti, Inc.(a) | 24 | 7,168 | ||||||
Western Digital Corp.(a)* | 168 | 9,482 | ||||||
Xerox Holdings Corp. | 82 | 1,654 | ||||||
Zebra Technologies Corp., Class A* . | 5 | 2,577 | ||||||
|
| |||||||
105,996 | ||||||||
|
| |||||||
Transportation — 2.0% | ||||||||
Canadian Pacific Railway Ltd. (Canada) | 30 | 1,952 | ||||||
CSX Corp.(a) | 540 | 16,060 | ||||||
Union Pacific Corp. | 43 | 8,428 | ||||||
XPO Logistics, Inc.* | 54 | 4,297 | ||||||
|
| |||||||
30,737 | ||||||||
|
| |||||||
Utilities — 2.5% | ||||||||
Fortis, Inc. (Canada) | 13 | 576 | ||||||
NRG Energy, Inc.(a) | 298 | 12,167 | ||||||
PPL Corp.(a) | 673 | 18,763 | ||||||
Public Service Enterprise Group, | 114 | 6,943 | ||||||
|
| |||||||
38,449 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,454,005 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.3% | 66,094 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,520,099 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
59
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Over-the-counter total return swaps outstanding as of September 30, 2021
The Fund maintains a portfolio of short positions and receives/pays a rebate based upon the Fed Funds 1-Day Rate less a specified spread as negotiated by the parties. The notional gain or loss, dividends payable and rebates are payable the earlier of maturity of the swaps or upon termination. The portfolio matures between May 4, 2022 and January 5, 2026, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The cash amounts payable/receivable due to individual contracts being closed are settled, on a net basis, once a week. The value of total return swaps represents (145.4)% of net assets as of September 30, 2021.
The following table represents the individual short positions and related values of total return swaps as of September 30, 2021:
Total Return Swaps
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Short | |||||||||||||||||||||||||
Automobiles & Components | |||||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | (19 | ) | $ (821 | ) | $ (821 | ) | $ (1 | ) | ||||||||||||||||
Goodyear Tire & Rubber Co. (The) | Morgan Stanley | (585 | ) | (9,669 | ) | (10,355 | ) | (690 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(604 | ) | (10,490 | ) | (11,176 | ) | (691 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Capital Goods | |||||||||||||||||||||||||
Advanced Drainage Systems, Inc. | Morgan Stanley | (129 | ) | (14,965 | ) | (13,954 | ) | 992 | |||||||||||||||||
AMETEK, Inc. | Morgan Stanley | (3 | ) | (416 | ) | (372 | ) | 62 | |||||||||||||||||
API Group Corp. | Morgan Stanley | (183 | ) | (4,171 | ) | (3,724 | ) | 445 | |||||||||||||||||
Ballard Power Systems, Inc. (Canada) | Morgan Stanley | (1,442 | ) | (22,284 | ) | (20,260 | ) | 2,013 | |||||||||||||||||
Bloom Energy Corp., Class A | Morgan Stanley | (65 | ) | (1,741 | ) | (1,217 | ) | 523 | |||||||||||||||||
Builders FirstSource, Inc. | Morgan Stanley | (30 | ) | (1,540 | ) | (1,552 | ) | (14 | ) | ||||||||||||||||
BWX Technologies, Inc. | Morgan Stanley | (152 | ) | (9,257 | ) | (8,187 | ) | 1,000 | |||||||||||||||||
Chart Industries, Inc. | Morgan Stanley | (10 | ) | (1,498 | ) | (1,911 | ) | (415 | ) | ||||||||||||||||
Curtiss-Wright Corp. | Morgan Stanley | (36 | ) | (4,407 | ) | (4,542 | ) | (144 | ) | ||||||||||||||||
Generac Holdings, Inc. | Morgan Stanley | (30 | ) | (13,448 | ) | (12,260 | ) | 1,486 | |||||||||||||||||
Herc Holdings, Inc. | Morgan Stanley | (4 | ) | (660 | ) | (654 | ) | 5 | |||||||||||||||||
Hexcel Corp. | Morgan Stanley | (4 | ) | (245 | ) | (238 | ) | 5 | |||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | (407 | ) | (13,072 | ) | (12,698 | ) | 368 | |||||||||||||||||
IDEX Corp. | Morgan Stanley | (40 | ) | (9,037 | ) | (8,278 | ) | 754 | |||||||||||||||||
John Bean Technologies Corp. | Morgan Stanley | (4 | ) | (608 | ) | (562 | ) | 45 | |||||||||||||||||
MasTec, Inc. | Morgan Stanley | (224 | ) | (20,555 | ) | (19,327 | ) | 1,218 | |||||||||||||||||
Mercury Systems, Inc. | Morgan Stanley | (50 | ) | (3,890 | ) | (2,371 | ) | 1,517 | |||||||||||||||||
Nikola Corp. | Morgan Stanley | (36 | ) | (396 | ) | (384 | ) | 11 | |||||||||||||||||
Plug Power, Inc. | Morgan Stanley | (744 | ) | (19,811 | ) | (19,002 | ) | 800 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | (258 | ) | (26,486 | ) | (29,366 | ) | (2,908 | ) | ||||||||||||||||
SiteOne Landscape Supply, Inc. | Morgan Stanley | 8 | (1,539 | ) | (1,596 | ) | (58 | ) | |||||||||||||||||
Spirit AeroSystems Holdings, Inc., Class A | Morgan Stanley | (422 | ) | (20,641 | ) | (18,648 | ) | 2,092 | |||||||||||||||||
Sunrun, Inc. | Morgan Stanley | (37 | ) | (1,827 | ) | (1,628 | ) | 197 | |||||||||||||||||
TransDigm Group, Inc. | Morgan Stanley | (2 | ) | (1,281 | ) | (1,249 | ) | 31 | |||||||||||||||||
UFP Industries, Inc. | Morgan Stanley | (112 | ) | (9,196 | ) | (7,614 | ) | 1,548 | |||||||||||||||||
United Rentals, Inc. | Morgan Stanley | (135 | ) | (44,899 | ) | (47,376 | ) | (2,497 | ) | ||||||||||||||||
Valmont Industries, Inc. | Morgan Stanley | (31 | ) | (7,415 | ) | (7,289 | ) | 107 | |||||||||||||||||
Vicor Corp. | Morgan Stanley | (3 | ) | (406 | ) | (402 | ) | 3 | |||||||||||||||||
Watsco, Inc. | Morgan Stanley | (8 | ) | (2,262 | ) | (2,117 | ) | 144 | |||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(4,593 | ) | (257,953 | ) | (248,778 | ) | 9,330 | |||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
60
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Commercial & Professional Services | |||||||||||||||||||||||||
ADT, Inc. | Morgan Stanley | (997 | ) | $ (9,135 | ) | $ (8,066 | ) | $ 994 | |||||||||||||||||
Booz Allen Hamilton Holding Corp. | Morgan Stanley | (120 | ) | (9,891 | ) | (9,522 | ) | 341 | |||||||||||||||||
CoStar Group, Inc. | Morgan Stanley | (2 | ) | (178 | ) | (172 | ) | 5 | |||||||||||||||||
Dun & Bradstreet Holdings, Inc. | Morgan Stanley | (588 | ) | (10,755 | ) | (9,884 | ) | 865 | |||||||||||||||||
IAA, Inc. | Morgan Stanley | (8 | ) | (452 | ) | (437 | ) | 14 | |||||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (141 | ) | (13,639 | ) | (13,554 | ) | 38 | |||||||||||||||||
Tetra Tech, Inc. | Morgan Stanley | (8 | ) | (1,058 | ) | (1,195 | ) | (140 | ) | ||||||||||||||||
Upwork, Inc. | Morgan Stanley | (237 | ) | (10,450 | ) | (10,672 | ) | (227 | ) | ||||||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (134 | ) | (25,563 | ) | (26,836 | ) | (1,317 | ) | ||||||||||||||||
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| ||||||||||||||||||
(2,235 | ) | (81,121 | ) | (80,338 | ) | 573 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Durables & Apparel | |||||||||||||||||||||||||
Callaway Golf Co. | Morgan Stanley | (170 | ) | (4,818 | ) | (4,697 | ) | 118 | |||||||||||||||||
Canada Goose Holdings, Inc. (Canada) | Morgan Stanley | (42 | ) | (1,727 | ) | (1,498 | ) | 227 | |||||||||||||||||
Helen of Troy Ltd. (Bermuda) | Morgan Stanley | (33 | ) | (7,630 | ) | (7,414 | ) | 212 | |||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | (19 | ) | (2,836 | ) | (2,759 | ) | 74 | |||||||||||||||||
Peloton Interactive, Inc., Class A | Morgan Stanley | (327 | ) | (31,468 | ) | (28,465 | ) | 2,988 | |||||||||||||||||
Polaris, Inc. | Morgan Stanley | (7 | ) | (861 | ) | (838 | ) | 22 | |||||||||||||||||
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| ||||||||||||||||||
(598 | ) | (49,340 | ) | (45,671 | ) | 3,641 | |||||||||||||||||||
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| ||||||||||||||||||
Consumer Services | |||||||||||||||||||||||||
Caesars Entertainment, Inc. | Morgan Stanley | (85 | ) | (8,274 | ) | (9,544 | ) | (1,785 | ) | ||||||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (985 | ) | (23,690 | ) | (24,635 | ) | (1,919 | ) | ||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (16 | ) | (2,521 | ) | (2,424 | ) | 95 | |||||||||||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (62 | ) | (1,376 | ) | (1,656 | ) | (315 | ) | ||||||||||||||||
Papa John’s International, Inc. | Morgan Stanley | (5 | ) | (638 | ) | (635 | ) | 2 | |||||||||||||||||
Wingstop, Inc. | Morgan Stanley | (91 | ) | (15,462 | ) | (14,918 | ) | 529 | |||||||||||||||||
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| ||||||||||||||||||
(1,244 | ) | (51,961 | ) | (53,812 | ) | (3,393 | ) | ||||||||||||||||||
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| ||||||||||||||||||
Energy | |||||||||||||||||||||||||
Antero Midstream Corp. | Morgan Stanley | (528 | ) | (5,435 | ) | (5,502 | ) | (71 | ) | ||||||||||||||||
Cenovus Energy, Inc. (Canada) | Morgan Stanley | (136 | ) | (1,402 | ) | (1,368 | ) | (53 | ) | ||||||||||||||||
Cheniere Energy, Inc. | Morgan Stanley | (257 | ) | (22,625 | ) | (25,101 | ) | (2,487 | ) | ||||||||||||||||
Devon Energy Corp. | Morgan Stanley | (441 | ) | (12,220 | ) | (15,660 | ) | (5,084 | ) | ||||||||||||||||
Enbridge, Inc. (Canada) | Morgan Stanley | (145 | ) | (5,768 | ) | (5,771 | ) | (13 | ) | ||||||||||||||||
EQT Corp. | Morgan Stanley | (708 | ) | (13,167 | ) | (14,486 | ) | (1,325 | ) | ||||||||||||||||
Halliburton Co. | Morgan Stanley | (41 | ) | (906 | ) | (886 | ) | 18 | |||||||||||||||||
Kinder Morgan, Inc. | Morgan Stanley | (9 | ) | (153 | ) | (151 | ) | 1 | |||||||||||||||||
New Fortress Energy, Inc. | Morgan Stanley | (142 | ) | (4,518 | ) | (3,941 | ) | 564 | |||||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (271 | ) | (43,323 | ) | (45,124 | ) | (2,858 | ) | ||||||||||||||||
Range Resources Corp. | Morgan Stanley | (81 | ) | (1,503 | ) | (1,833 | ) | (331 | ) | ||||||||||||||||
Schlumberger N.V. (Curaçao) | Morgan Stanley | (2 | ) | (61 | ) | (59 | ) | 1 | |||||||||||||||||
TC Energy Corp. (Canada) | Morgan Stanley | (112 | ) | (5,457 | ) | (5,386 | ) | (9 | ) | ||||||||||||||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | (25 | ) | (265 | ) | (188 | ) | 76 | |||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | (702 | ) | (17,870 | ) | (18,210 | ) | (348 | ) | ||||||||||||||||
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(3,600 | ) | (134,673 | ) | (143,666 | ) | (11,919 | ) | ||||||||||||||||||
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| ||||||||||||||||||
Food & Staples Retailing | |||||||||||||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | Morgan Stanley | (113 | ) | (5,572 | ) | (6,206 | ) | (955 | ) | ||||||||||||||||
Casey’s General Stores, Inc. | Morgan Stanley | (70 | ) | (13,819 | ) | (13,191 | ) | 605 |
The accompanying notes are an integral part of the financial statements.
61
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Food & Staples Retailing — (continued) | |||||||||||||||||||||||||
Performance Food Group Co. | Morgan Stanley | (10 | ) | $ | (432 | ) | $ | (465 | ) | $ | (33 | ) | |||||||||||||
U.S. Foods Holding Corp. | Morgan Stanley | (35 | ) | (1,200 | ) | (1,213 | ) | (14 | ) | ||||||||||||||||
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(228 | ) | (21,023 | ) | (21,075 | ) | (397 | ) | ||||||||||||||||||
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Food, Beverage & Tobacco | |||||||||||||||||||||||||
Beyond Meat, Inc. | Morgan Stanley | (19 | ) | (2,806 | ) | (2,000 | ) | 805 | |||||||||||||||||
Celsius Holdings, Inc. | Morgan Stanley | (232 | ) | (18,078 | ) | (20,901 | ) | (2,831 | ) | ||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | (483 | ) | (16,565 | ) | (16,359 | ) | 75 | |||||||||||||||||
Freshpet, Inc. | Morgan Stanley | (67 | ) | (9,489 | ) | (9,560 | ) | (76 | ) | ||||||||||||||||
Hormel Foods Corp. | Morgan Stanley | (340 | ) | (14,238 | ) | (13,940 | ) | 291 | |||||||||||||||||
Ingredion, Inc. | Morgan Stanley | (99 | ) | (8,665 | ) | (8,812 | ) | (151 | ) | ||||||||||||||||
J M Smucker Co. (The) | Morgan Stanley | (93 | ) | (11,353 | ) | (11,163 | ) | 185 | |||||||||||||||||
Lancaster Colony Corp. | Morgan Stanley | (10 | ) | (1,728 | ) | (1,688 | ) | 35 | |||||||||||||||||
McCormick & Co, Inc., non voting shares | Morgan Stanley | (51 | ) | (4,442 | ) | (4,133 | ) | 301 | |||||||||||||||||
Post Holdings, Inc. | Morgan Stanley | (48 | ) | (5,366 | ) | (5,288 | ) | 76 | |||||||||||||||||
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| ||||||||||||||||||
(1,442 | ) | (92,730 | ) | (93,844 | ) | (1,290 | ) | ||||||||||||||||||
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Health Care Equipment & Services | |||||||||||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | (246 | ) | (29,841 | ) | (29,385 | ) | 387 | |||||||||||||||||
Anthem, Inc. | Morgan Stanley | (59 | ) | (22,678 | ) | (21,995 | ) | 644 | |||||||||||||||||
Centene Corp. | Morgan Stanley | (217 | ) | (14,835 | ) | (13,521 | ) | 1,307 | |||||||||||||||||
Change Healthcare, Inc. | Morgan Stanley | (188 | ) | (4,083 | ) | (3,937 | ) | 144 | |||||||||||||||||
Covetrus, Inc. | Morgan Stanley | (95 | ) | (3,267 | ) | (1,723 | ) | 1,541 | |||||||||||||||||
CVS Health Corp. | Morgan Stanley | (35 | ) | (3,023 | ) | (2,970 | ) | 51 | |||||||||||||||||
GoodRx Holdings, Inc., Class A | Morgan Stanley | (52 | ) | (2,406 | ) | (2,133 | ) | 519 | |||||||||||||||||
HealthEquity, Inc. | Morgan Stanley | (18 | ) | (1,202 | ) | (1,166 | ) | 35 | |||||||||||||||||
Humana, Inc. | Morgan Stanley | (94 | ) | (41,685 | ) | (36,580 | ) | 5,019 | |||||||||||||||||
ICU Medical, Inc. | Morgan Stanley | (12 | ) | (2,901 | ) | (2,801 | ) | 99 | |||||||||||||||||
Inovalon Holdings, Inc., Class A | Morgan Stanley | (79 | ) | (2,694 | ) | (3,183 | ) | (491 | ) | ||||||||||||||||
Insulet Corp. | Morgan Stanley | (59 | ) | (15,677 | ) | (16,770 | ) | (1,100 | ) | ||||||||||||||||
Masimo Corp. | Morgan Stanley | (27 | ) | (7,177 | ) | (7,309 | ) | (136 | ) | ||||||||||||||||
Molina Healthcare, Inc. | Morgan Stanley | (11 | ) | (3,069 | ) | (2,984 | ) | 82 | |||||||||||||||||
Oak Street Health, Inc. | Morgan Stanley | (367 | ) | (18,182 | ) | (15,609 | ) | 2,565 | |||||||||||||||||
Penumbra, Inc. | Morgan Stanley | (12 | ) | (3,225 | ) | (3,198 | ) | 25 | |||||||||||||||||
Progyny, Inc. | Morgan Stanley | (291 | ) | (16,766 | ) | (16,296 | ) | 462 | |||||||||||||||||
Quidel Corp. | Morgan Stanley | (10 | ) | (1,384 | ) | (1,412 | ) | (29 | ) | ||||||||||||||||
ResMed, Inc. | Morgan Stanley | (50 | ) | (10,899 | ) | (13,177 | ) | (3,165 | ) | ||||||||||||||||
Schrodinger, Inc. | Morgan Stanley | (24 | ) | (1,553 | ) | (1,312 | ) | 239 | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | (129 | ) | (27,558 | ) | (26,352 | ) | 1,145 | |||||||||||||||||
Surgery Partners, Inc. | Morgan Stanley | (6 | ) | (296 | ) | (254 | ) | 41 | |||||||||||||||||
Teladoc Health, Inc. | Morgan Stanley | (17 | ) | (3,751 | ) | (2,156 | ) | 1,593 | |||||||||||||||||
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| ||||||||||||||||||
(2,098 | ) | (238,152 | ) | (226,223 | ) | 10,977 | |||||||||||||||||||
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| ||||||||||||||||||
Household & Personal Products | |||||||||||||||||||||||||
Clorox Co. (The) | Morgan Stanley | (134 | ) | (22,361 | ) | (22,192 | ) | 159 | |||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | (94 | ) | (12,861 | ) | (12,449 | ) | 229 | |||||||||||||||||
Reynolds Consumer Products, Inc. | Morgan Stanley | (133 | ) | (3,761 | ) | (3,636 | ) | 114 | |||||||||||||||||
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| ||||||||||||||||||
(361 | ) | (38,983 | ) | (38,277 | ) | 502 | |||||||||||||||||||
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| ||||||||||||||||||
Materials | |||||||||||||||||||||||||
Alcoa Corp. | Morgan Stanley | (252 | ) | (12,695 | ) | (12,333 | ) | 356 |
The accompanying notes are an integral part of the financial statements.
62
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Materials — (continued) | |||||||||||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | (463 | ) | $ | (5,823 | ) | $ | (5,366 | ) | $ | 414 | ||||||||||||||
Avient Corp. | Morgan Stanley | (98 | ) | (4,841 | ) | (4,542 | ) | 275 | |||||||||||||||||
Balchem Corp. | Morgan Stanley | (6 | ) | (868 | ) | (870 | ) | (4 | ) | ||||||||||||||||
Ball Corp. | Morgan Stanley | (394 | ) | (35,072 | ) | (35,448 | ) | (569 | ) | ||||||||||||||||
Ecolab, Inc. | Morgan Stanley | (21 | ) | (4,623 | ) | (4,381 | ) | 285 | |||||||||||||||||
Element Solutions, Inc. | Morgan Stanley | (18 | ) | (403 | ) | (390 | ) | 12 | |||||||||||||||||
FMC Corp. | Morgan Stanley | (64 | ) | (6,175 | ) | (5,860 | ) | 281 | |||||||||||||||||
Franco-Nevada Corp. (Canada) | Morgan Stanley | (53 | ) | (7,781 | ) | (6,885 | ) | 877 | |||||||||||||||||
Huntsman Corp. | Morgan Stanley | (445 | ) | (11,771 | ) | (13,168 | ) | (1,456 | ) | ||||||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (204 | ) | (28,973 | ) | (27,279 | ) | 1,387 | |||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | (20 | ) | (7,558 | ) | (6,834 | ) | 706 | |||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | (188 | ) | (30,753 | ) | (26,886 | ) | 3,759 | |||||||||||||||||
Quaker Chemical Corp. | Morgan Stanley | (6 | ) | (1,499 | ) | (1,426 | ) | 71 | |||||||||||||||||
RPM International, Inc. | Morgan Stanley | (55 | ) | (4,725 | ) | (4,271 | ) | 451 | |||||||||||||||||
Scotts Miracle-Gro Co. (The) | Morgan Stanley | (84 | ) | (13,192 | ) | (12,294 | ) | 863 | |||||||||||||||||
Vulcan Materials Co. | Morgan Stanley | (2 | ) | (355 | ) | (338 | ) | 16 | |||||||||||||||||
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| ||||||||||||||||||
(2,373 | ) | (177,107 | ) | (168,571 | ) | 7,724 | |||||||||||||||||||
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| ||||||||||||||||||
Media & Entertainment | |||||||||||||||||||||||||
Angi, Inc. | Morgan Stanley | (96 | ) | (1,050 | ) | (1,185 | ) | (136 | ) | ||||||||||||||||
Cable One, Inc. | Morgan Stanley | (2 | ) | (3,863 | ) | (3,626 | ) | 228 | |||||||||||||||||
Match Group, Inc. | Morgan Stanley | (274 | ) | (43,603 | ) | (43,015 | ) | 568 | |||||||||||||||||
Nexstar Media Group, Inc., Class A | Morgan Stanley | (6 | ) | (930 | ) | (912 | ) | 17 | |||||||||||||||||
Skillz, Inc. | Morgan Stanley | (124 | ) | (1,398 | ) | (1,218 | ) | 179 | |||||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | (48 | ) | (8,664 | ) | (8,120 | ) | 550 | |||||||||||||||||
Warner Music Group Corp., Class A | Morgan Stanley | (52 | ) | (2,250 | ) | (2,222 | ) | 26 | |||||||||||||||||
World Wrestling Entertainment, Inc., Class A | Morgan Stanley | (7 | ) | (391 | ) | (394 | ) | (4 | ) | ||||||||||||||||
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| ||||||||||||||||||
(609 | ) | (62,149 | ) | (60,692 | ) | 1,428 | |||||||||||||||||||
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| ||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | |||||||||||||||||||||||||
10X Genomics, Inc., Class A | Morgan Stanley | (6 | ) | (882 | ) | (873 | ) | 7 | |||||||||||||||||
Apellis Pharmaceuticals, Inc. | Morgan Stanley | (163 | ) | (9,781 | ) | (5,372 | ) | 4,404 | |||||||||||||||||
Arrowhead Pharmaceuticals, Inc. | Morgan Stanley | (44 | ) | (2,857 | ) | (2,747 | ) | 108 | |||||||||||||||||
Arvinas, Inc. | Morgan Stanley | (22 | ) | (2,064 | ) | (1,808 | ) | 254 | |||||||||||||||||
Avantor, Inc. | Morgan Stanley | (58 | ) | (2,514 | ) | (2,372 | ) | 140 | |||||||||||||||||
Beam Therapeutics, Inc. | Morgan Stanley | (10 | ) | (1,063 | ) | (870 | ) | 192 | |||||||||||||||||
Bridgebio Pharma, Inc. | Morgan Stanley | (1 | ) | (54 | ) | (47 | ) | 6 | |||||||||||||||||
Catalent, Inc. | Morgan Stanley | (40 | ) | (5,421 | ) | (5,323 | ) | 95 | |||||||||||||||||
Ionis Pharmaceuticals, Inc. | Morgan Stanley | (1 | ) | (34 | ) | (34 | ) | — | |||||||||||||||||
Jazz Pharmaceuticals PLC (Ireland) | Morgan Stanley | (249 | ) | (34,197 | ) | (32,422 | ) | 1,759 | |||||||||||||||||
Kodiak Sciences, Inc. | Morgan Stanley | (12 | ) | (1,059 | ) | (1,152 | ) | (94 | ) | ||||||||||||||||
Medpace Holdings, Inc. | Morgan Stanley | (3 | ) | (571 | ) | (568 | ) | 2 | |||||||||||||||||
Mirati Therapeutics, Inc. | Morgan Stanley | (57 | ) | (8,503 | ) | (10,084 | ) | (1,585 | ) | ||||||||||||||||
Neurocrine Biosciences, Inc. | Morgan Stanley | (83 | ) | (7,661 | ) | (7,961 | ) | (304 | ) | ||||||||||||||||
Novavax, Inc. | Morgan Stanley | (69 | ) | (14,378 | ) | (14,304 | ) | 67 | |||||||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (482 | ) | (20,460 | ) | (22,813 | ) | (2,419 | ) | ||||||||||||||||
Reata Pharmaceuticals, Inc., Class A | Morgan Stanley | (12 | ) | (1,549 | ) | (1,207 | ) | 340 | |||||||||||||||||
Seagen, Inc. | Morgan Stanley | (18 | ) | (3,000 | ) | (3,056 | ) | (58 | ) | ||||||||||||||||
Syneos Health, Inc. | Morgan Stanley | (114 | ) | (10,431 | ) | (9,973 | ) | 453 | |||||||||||||||||
TG Therapeutics, Inc. | Morgan Stanley | (80 | ) | (2,600 | ) | (2,662 | ) | (64 | ) |
The accompanying notes are an integral part of the financial statements.
63
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences — (continued) |
| ||||||||||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | (20 | ) | $ | (11,660 | ) | $ | (11,427 | ) | $ | 227 | ||||||||||||||
Twist Bioscience Corp. | Morgan Stanley | (80 | ) | (8,296 | ) | (8,558 | ) | (266 | ) | ||||||||||||||||
Viatris, Inc. | Morgan Stanley | (200 | ) | (2,966 | ) | (2,710 | ) | 216 | |||||||||||||||||
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| ||||||||||||||||||
(1,824 | ) | (152,001 | ) | (148,343 | ) | 3,480 | |||||||||||||||||||
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| ||||||||||||||||||
Retailing | |||||||||||||||||||||||||
CarMax, Inc. | Morgan Stanley | (18 | ) | (2,409 | ) | (2,303 | ) | 104 | |||||||||||||||||
Dollar General Corp. | Morgan Stanley | (46 | ) | (9,717 | ) | (9,758 | ) | (63 | ) | ||||||||||||||||
Dollar Tree, Inc. | Morgan Stanley | (33 | ) | (3,244 | ) | (3,159 | ) | 83 | |||||||||||||||||
Etsy, Inc. | Morgan Stanley | (122 | ) | (25,925 | ) | (25,371 | ) | 542 | |||||||||||||||||
Five Below, Inc. | Morgan Stanley | (29 | ) | (5,507 | ) | (5,127 | ) | 376 | |||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | (954 | ) | (24,069 | ) | (21,656 | ) | 2,402 | |||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | (29 | ) | (9,576 | ) | (9,520 | ) | 15 | |||||||||||||||||
Lithia Motors, Inc. | Morgan Stanley | (10 | ) | (3,671 | ) | (3,170 | ) | 593 | |||||||||||||||||
Qurate Retail, Inc., Series A | Morgan Stanley | (332 | ) | (3,603 | ) | (3,383 | ) | 218 | |||||||||||||||||
Shutterstock, Inc. | Morgan Stanley | (3 | ) | (355 | ) | (340 | ) | 14 | |||||||||||||||||
Stamps.com, Inc. | Morgan Stanley | (41 | ) | (13,361 | ) | (13,521 | ) | (167 | ) | ||||||||||||||||
Tractor Supply Co. | Morgan Stanley | (103 | ) | (19,598 | ) | (20,869 | ) | (1,314 | ) | ||||||||||||||||
Vroom, Inc. | Morgan Stanley | (116 | ) | (4,513 | ) | (2,560 | ) | 1,951 | |||||||||||||||||
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| ||||||||||||||||||
(1,836 | ) | (125,548 | ) | (120,737 | ) | 4,754 | |||||||||||||||||||
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| ||||||||||||||||||
Semiconductors & Semiconductor Equipment | |||||||||||||||||||||||||
Analog Devices, Inc. | Morgan Stanley | (20 | ) | (3,525 | ) | (3,350 | ) | 173 | |||||||||||||||||
Brooks Automation, Inc. | Morgan Stanley | (25 | ) | (2,660 | ) | (2,559 | ) | 100 | |||||||||||||||||
Cirrus Logic, Inc. | Morgan Stanley | (2 | ) | (175 | ) | (165 | ) | 1 | |||||||||||||||||
Entegris, Inc. | Morgan Stanley | (82 | ) | (10,338 | ) | (10,324 | ) | 9 | |||||||||||||||||
Marvell Technology, Inc. | Morgan Stanley | (128 | ) | (7,843 | ) | (7,720 | ) | 119 | |||||||||||||||||
Silicon Laboratories, Inc. | Morgan Stanley | (75 | ) | (11,036 | ) | (10,512 | ) | 518 | |||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | (19 | ) | (3,759 | ) | (3,652 | ) | 104 | |||||||||||||||||
Wolfspeed, Inc. | Morgan Stanley | (29 | ) | (2,936 | ) | (2,341 | ) | 593 | |||||||||||||||||
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|
| ||||||||||||||||||
(380 | ) | (42,272 | ) | (40,623 | ) | 1,617 | |||||||||||||||||||
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| ||||||||||||||||||
Software & Services | |||||||||||||||||||||||||
Alliance Data Systems Corp. | Morgan Stanley | (26 | ) | (2,610 | ) | (2,623 | ) | (17 | ) | ||||||||||||||||
Alteryx, Inc., Class A | Morgan Stanley | (201 | ) | (15,774 | ) | (14,693 | ) | 1,073 | |||||||||||||||||
Appfolio, Inc., Class A | Morgan Stanley | (22 | ) | (2,896 | ) | (2,649 | ) | 245 | |||||||||||||||||
BigCommerce Holdings, Inc. | Morgan Stanley | (3 | ) | (180 | ) | (152 | ) | 28 | |||||||||||||||||
BlackBerry Ltd. (Canada) | Morgan Stanley | (642 | ) | (5,929 | ) | (6,247 | ) | (370 | ) | ||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | (35 | ) | (6,057 | ) | (5,832 | ) | 198 | |||||||||||||||||
CDK Global, Inc. | Morgan Stanley | (31 | ) | (1,340 | ) | (1,319 | ) | 19 | |||||||||||||||||
Ceridian HCM Holding, Inc. | Morgan Stanley | (120 | ) | (11,497 | ) | (13,514 | ) | (2,617 | ) | ||||||||||||||||
Citrix Systems, Inc. | Morgan Stanley | (266 | ) | (29,358 | ) | (28,560 | ) | 696 | |||||||||||||||||
Coupa Software, Inc. | Morgan Stanley | (19 | ) | (4,698 | ) | (4,164 | ) | 531 | |||||||||||||||||
Digital Turbine, Inc. | Morgan Stanley | (379 | ) | (25,353 | ) | (26,056 | ) | (715 | ) | ||||||||||||||||
Dynatrace, Inc. | Morgan Stanley | (7 | ) | (448 | ) | (497 | ) | (49 | ) | ||||||||||||||||
Everbridge, Inc. | Morgan Stanley | (5 | ) | (733 | ) | (755 | ) | (23 | ) | ||||||||||||||||
Fastly, Inc., Class A | Morgan Stanley | (46 | ) | (3,786 | ) | (1,860 | ) | 1,923 | |||||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | (27 | ) | (7,212 | ) | (7,054 | ) | 154 | |||||||||||||||||
Guidewire Software, Inc. | Morgan Stanley | (1 | ) | (120 | ) | (119 | ) | — | |||||||||||||||||
Intuit, Inc. | Morgan Stanley | (29 | ) | (16,278 | ) | (15,646 | ) | 624 | |||||||||||||||||
Mandiant, Inc. | Morgan Stanley | (30 | ) | (555 | ) | (534 | ) | 20 |
The accompanying notes are an integral part of the financial statements.
64
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Continued)
September 30, 2021
Total Return Swaps (continued)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Software & Services — (continued) | |||||||||||||||||||||||||
Maximus, Inc. | Morgan Stanley | (43) | $ | (3,632) | $ | (3,578) | $ | 50 | |||||||||||||||||
Medallia, Inc. | Morgan Stanley | (10) | (337) | (339) | (2 | ) | |||||||||||||||||||
NCR Corp. | Morgan Stanley | (449) | (18,821) | (17,403) | 1,409 | ||||||||||||||||||||
Okta, Inc. | Morgan Stanley | (2) | (465) | (475) | (10 | ) | |||||||||||||||||||
Oracle Corp. | Morgan Stanley | (304) | (27,184) | (26,488) | 674 | ||||||||||||||||||||
Q2 Holdings, Inc. | Morgan Stanley | (39) | (3,266) | (3,125) | 139 | ||||||||||||||||||||
RingCentral, Inc., Class A | Morgan Stanley | (82) | (22,131) | (17,835) | 4,286 | ||||||||||||||||||||
Sailpoint Technologies Holdings, Inc. | Morgan Stanley | (139) | (6,262) | (5,960) | 299 | ||||||||||||||||||||
Shift4 Payments, Inc., Class A | Morgan Stanley | (19) | (1,605) | (1,473) | 131 | ||||||||||||||||||||
Smartsheet, Inc., Class A | Morgan Stanley | (73) | (5,227) | (5,024) | 200 | ||||||||||||||||||||
SolarWinds Corp. | Morgan Stanley | (62) | (1,270) | (1,037) | 138 | ||||||||||||||||||||
Squarespace, Inc., Class A | Morgan Stanley | (1) | (46) | (39) | 7 | ||||||||||||||||||||
Twilio, Inc., Class A | Morgan Stanley | (37) | (12,148) | (11,805) | 337 | ||||||||||||||||||||
VMware, Inc., Class A | Morgan Stanley | (4) | (599) | (595) | 3 | ||||||||||||||||||||
WEX, Inc. | Morgan Stanley | (115) | (23,283) | (20,256) | 3,016 | ||||||||||||||||||||
Zendesk, Inc. | Morgan Stanley | (4) | (514) | (466) | 48 | ||||||||||||||||||||
Ziff Davis, Inc. | Morgan Stanley | (3) | (422) | (410) | 11 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(3,275) | (262,036) | (248,582) | 12,456 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Technology Hardware & Equipment | |||||||||||||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | (30) | (2,162) | (2,197) | (42 | ) | |||||||||||||||||||
CDW Corp. | Morgan Stanley | (54) | (10,456) | (9,829) | 605 | ||||||||||||||||||||
Dell Technologies, Inc., Class C | Morgan Stanley | (7) | (734) | (728) | 5 | ||||||||||||||||||||
Jabil, Inc. | Morgan Stanley | (32) | (1,899) | (1,868) | 30 | ||||||||||||||||||||
National Instruments Corp. | Morgan Stanley | (146) | (5,972) | (5,728) | 182 | ||||||||||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (64) | (28,931) | (27,493) | 1,424 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(333) | (50,154) | (47,843) | 2,204 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Transportation | |||||||||||||||||||||||||
Canadian National Railway Co. (Canada) | Morgan Stanley | (142) | (16,621) | (16,422) | 160 | ||||||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | (368) | (33,661) | (32,016) | 1,451 | ||||||||||||||||||||
Expeditors International of Washington, Inc. | Morgan Stanley | (33) | (4,225) | (3,931) | 291 | ||||||||||||||||||||
Landstar System, Inc. | Morgan Stanley | (45) | (7,450) | (7,102) | 344 | ||||||||||||||||||||
TFI International, Inc. (Canada) | Morgan Stanley | (19) | (2,113) | (1,941) | 166 | ||||||||||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | (19) | (926) | (904) | (11 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(626) | (64,996) | (62,316) | 2,401 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Utilities | |||||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | (221) | (5,235) | (5,045) | 187 | ||||||||||||||||||||
Algonquin Power & Utilities Corp. (Canada) | Morgan Stanley | (769) | (12,245) | (11,274) | 540 | ||||||||||||||||||||
Ameren Corp. | Morgan Stanley | (422) | (35,237) | (34,182) | 137 | ||||||||||||||||||||
Atmos Energy Corp. | Morgan Stanley | (85) | (7,892) | (7,497) | 359 | ||||||||||||||||||||
Avangrid, Inc. | Morgan Stanley | (33) | (1,692) | (1,604) | 84 | ||||||||||||||||||||
Black Hills Corp. | Morgan Stanley | (22) | (1,533) | (1,381) | 137 | ||||||||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | (431) | (11,440) | (10,603) | 769 | ||||||||||||||||||||
CMS Energy Corp. | Morgan Stanley | (22) | (1,377) | (1,314) | 57 | ||||||||||||||||||||
DTE Energy Co. | Morgan Stanley | (2) | (235) | (223) | 9 | ||||||||||||||||||||
Duke Energy Corp. | Morgan Stanley | (187) | (19,962) | (18,249) | 1,603 | ||||||||||||||||||||
Edison International | Morgan Stanley | (638) | (41,424) | (35,390) | 4,466 | ||||||||||||||||||||
Entergy Corp. | Morgan Stanley | (85) | (9,061) | (8,441) | 580 | ||||||||||||||||||||
Evergy, Inc. | Morgan Stanley | (519) | (30,683) | (32,282) | (2,151 | ) |
The accompanying notes are an integral part of the financial statements.
65
GOTHAM SHORT STRATEGIES FUND
Portfolio of Investments (Concluded)
September 30, 2021
Total Return Swaps (concluded)
Reference Entity | Counterparty | Number of Contracts (Short) | Notional Amount | Value | Unrealized Appreciation/ (Depreciation)* | ||||||||||||||||||||
Utilities — (continued) | |||||||||||||||||||||||||
Eversource Energy | Morgan Stanley | (111) | $ | (9,856) | $ | (9,075) | $ | 698 | |||||||||||||||||
MDU Resources Group, Inc. | Morgan Stanley | (82) | (2,477) | (2,433) | 42 | ||||||||||||||||||||
National Fuel Gas Co. | Morgan Stanley | (39) | (2,045) | (2,048) | (21 | ) | |||||||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | (258) | (19,931) | (20,258) | (506 | ) | |||||||||||||||||||
NiSource, Inc. | Morgan Stanley | (1,292) | (33,077) | (31,305) | 1,492 | ||||||||||||||||||||
OGE Energy Corp. | Morgan Stanley | (450) | (15,363) | (14,832) | 358 | ||||||||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (167) | (12,919) | (12,084) | 793 | ||||||||||||||||||||
Portland General Electric Co. | Morgan Stanley | (81) | (4,056) | (3,806) | 212 | ||||||||||||||||||||
Sempra Energy | Morgan Stanley | (370) | (49,804) | (46,805) | 1,369 | ||||||||||||||||||||
Vistra Corp. | Morgan Stanley | (1,977) | (33,250) | (33,807) | (1,108 | ) | |||||||||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (97) | (6,206) | (6,063) | 135 | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(8,360) | (367,000) | (350,001) | 10,241 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
Total Reference Entity — Short | $ | (2,279,689) | $ | (2,210,568) | $ | 53,638 | |||||||||||||||||||
|
|
|
|
|
|
* | Includes $(15,483) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
The accompanying notes are an integral part of the financial statements.
66
GOTHAM FUNDS
Statements of Assets and Liabilities
September 30, 2021
Gotham ESG Large Value Fund | Gotham Defensive Long 500 Fund | Gotham Total Return Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2 | $ | 1,487,464 | $ | 33,445,508 | $ | — | |||||||||
Affiliated investments, at value3 | — | — | 26,860,769 | ||||||||||||
Swaps, at value(a) | — | 5,391,227 | — | ||||||||||||
Cash and cash equivalents | 32,394 | 271,768 | 99,965 | ||||||||||||
Due from broker | — | 938,428 | — | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 27,607 | 356,450 | — | ||||||||||||
Dividends and interest | 1,240 | 39,798 | — | ||||||||||||
Investment adviser | — | — | 14,474 | ||||||||||||
Prepaid expenses and other assets | — | 10,316 | 16,373 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Assets | 1,548,705 | 40,453,495 | 26,991,581 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Due to broker | — | 16 | — | ||||||||||||
Obligation to return cash collateral on swap contracts (Note 1) | — | 4,770,000 | — | ||||||||||||
Payables: | |||||||||||||||
Investments purchased | 27,666 | 574,969 | — | ||||||||||||
Investment adviser | 11,834 | 25,051 | — | ||||||||||||
Administration and accounting fees | — | 8,928 | 7,146 | ||||||||||||
12b-1 distribution fees (Investor Class Shares) | — | — | 626 | ||||||||||||
Transfer agent fees | — | 1,913 | 4,865 | ||||||||||||
Audit fees | — | 25,336 | 22,906 | ||||||||||||
Shareholder reporting fees | — | 6,903 | 6,425 | ||||||||||||
Accrued expenses | — | 3,174 | 2,601 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Liabilities | 39,500 | 5,416,290 | 44,569 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,509,205 | $ | 35,037,205 | $ | 26,947,012 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 1,066 | $ | 27,223 | $ | 20,693 | |||||||||
Paid-in capital. | 1,078,151 | 36,807,874 | 23,757,307 | ||||||||||||
Total distributable earnings/(loss) | 429,988 | (1,797,892 | ) | 3,169,012 | |||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 1,509,205 | $ | 35,037,205 | $ | 26,947,012 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets | $ | 1,509,205 | $ | 35,037,205 | $ | 23,986,660 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding | 106,597 | 2,722,320 | 1,841,398 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 14.16 | $ | 12.87 | $ | 13.03 | |||||||||
|
|
|
|
|
| ||||||||||
Investor Class Shares: | |||||||||||||||
Net assets | N/A | N/A | $ | 2,960,352 | |||||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding | N/A | N/A | 227,863 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | N/A | N/A | $ | 12.99 | |||||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 1,278,518 | $ | 29,927,561 | $ | — | |||||||||
2 Includes market value of securities designated as collateral for swaps | $ | — | $ | 14,252,401 | $ | — | |||||||||
3 Affiliated investments, at cost. | $ | — | $ | — | $ | 24,713,908 |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
67
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
September 30, 2021
Gotham Enhanced 500 Plus Fund | Gotham Hedged Plus Fund | Gotham Short Strategies Fund | |||||||||||||
Assets | |||||||||||||||
Non-affiliated investments, at value1,2 | $ | 4,973,423 | $ | 21,559,727 | $ | 1,454,005 | |||||||||
Swaps, at value(a) | — | — | 53,638 | ||||||||||||
Cash and cash equivalents | 18,081 | 109,837 | — | ||||||||||||
Cash pledged on swap contracts | — | — | 45,000 | ||||||||||||
Due from broker | — | — | 299 | ||||||||||||
Deposits with brokers for securities sold short | 56,234 | 36,763 | — | ||||||||||||
Receivables: | |||||||||||||||
Investments sold | 76,171 | 383,650 | 94,555 | ||||||||||||
Dividends and interest | 4,545 | 28,383 | 962 | ||||||||||||
Investment adviser | 7,951 | 2,692 | — | ||||||||||||
Prepaid expenses and other assets | 641 | 322 | 15,980 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Assets | 5,137,046 | 22,121,374 | 1,664,439 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities | |||||||||||||||
Securities sold short, at value3 | 1,467,862 | 9,390,111 | — | ||||||||||||
Due to broker | — | — | 12,191 | ||||||||||||
Payables: | |||||||||||||||
Investments purchased | 76,460 | 382,903 | 85,890 | ||||||||||||
Audit fees | 21,458 | 25,503 | 20,949 | ||||||||||||
Shareholder reporting fees | 7,861 | 5,598 | 5,835 | ||||||||||||
Administration and accounting fees | 4,370 | 5,517 | 6,384 | ||||||||||||
Dividends and fees on securities sold short | 1,431 | 7,301 | — | ||||||||||||
Transfer agent fees | 563 | 618 | 594 | ||||||||||||
Investment adviser | — | — | 11,098 | ||||||||||||
Accrued expenses | 932 | 1,248 | 1,399 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Liabilities | 1,580,937 | 9,818,799 | 144,340 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 3,556,109 | $ | 12,302,575 | $ | 1,520,099 | |||||||||
|
|
|
|
|
| ||||||||||
Net Assets Consisted of: | |||||||||||||||
Capital stock, $0.01 par value | $ | 2,557 | $ | 10,782 | $ | 2,578 | |||||||||
Paid-in capital | 2,601,795 | 10,849,163 | 17,989,244 | ||||||||||||
Total distributable earnings/(loss) | 951,757 | 1,442,630 | (16,471,723 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net Assets | $ | 3,556,109 | $ | 12,302,575 | $ | 1,520,099 | |||||||||
|
|
|
|
|
| ||||||||||
Institutional Class Shares: | |||||||||||||||
Net assets. | $ | 3,556,109 | $ | 12,302,575 | $ | 1,520,099 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding. | 255,705 | 1,078,229 | 257,832 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, offering and redemption price per share | $ | 13.91 | $ | 11.41 | $ | 5.90 | |||||||||
|
|
|
|
|
| ||||||||||
1 Non-affiliated investments, at cost | $ | 4,034,623 | $ | 19,474,454 | $ | 1,494,413 | |||||||||
2 Includes market value of securities designated as collateral for swaps | $ | — | $ | — | $ | 858,626 | |||||||||
3 Proceeds received, securities sold short | $ | 1,316,814 | $ | 10,325,313 | $ | — |
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
68
GOTHAM FUNDS
For the Year Ended September 30, 2021
Gotham ESG Large Value Fund | Gotham Defensive Long 500 Fund | Gotham Total Return Fund | |||||||||||||
Investment income | |||||||||||||||
Dividends from non-affiliated investments | $ | 26,864 | $ | 783,925 | $ | — | |||||||||
Dividends from affiliated investments | — | — | 185,169 | ||||||||||||
Less: taxes withheld | (11 | ) | — | — | |||||||||||
Interest | 3 | 62 | 13 | ||||||||||||
Income from securities loaned (Note 5) | — | 173 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 26,856 | 784,160 | 185,182 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Administration and accounting fees (Note 2) | 11,625 | 41,673 | 38,767 | ||||||||||||
Advisory fees (Note 2) | 10,534 | 569,372 | — | ||||||||||||
Shareholder reporting fees | 8,814 | 23,737 | 21,820 | ||||||||||||
Legal fees | 2,546 | 25,256 | 13,532 | ||||||||||||
Registration and filing fees | 2,057 | 25,319 | 32,388 | ||||||||||||
Transfer agent fees (Note 2) | 1,913 | 8,952 | 31,401 | ||||||||||||
Audit fees | 604 | 25,908 | 22,879 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 219 | 12,584 | 7,867 | ||||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | 6,975 | ||||||||||||
Custodian fees (Note 2) | — | 8,208 | 8,189 | ||||||||||||
Other expenses | 1,769 | 11,677 | 6,509 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before recoupments, waivers and/or reimbursements | 40,081 | 752,686 | 190,327 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments, waivers and/or reimbursements (Note 2) | (29,546 | ) | (183,313 | ) | (183,352 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after recoupments, waivers and/or reimbursements | 10,535 | 569,373 | 6,975 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 16,321 | 214,787 | 178,207 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 251,422 | 11,285,992 | — | ||||||||||||
Net realized gain from affiliated investments | — | — | 3,209,776 | ||||||||||||
Net realized loss from swaps | — | (872,206 | )(a) | — | |||||||||||
Capital gain distributions from affiliated investments | — | — | 9,663 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 99,783 | (3,219,471 | ) | — | |||||||||||
Net change in unrealized depreciation on affiliated investments | — | — | (303,103 | ) | |||||||||||
Net change in unrealized depreciation on swaps | — | (3,915,296 | )(a) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain on investments | 351,205 | 3,279,019 | 2,916,336 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 367,526 | $ | 3,493,806 | $ | 3,094,543 | |||||||||
|
|
|
|
|
|
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
69
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Year Ended September 30, 2021
Gotham Enhanced 500 Plus Fund | Gotham Hedged Plus Fund | Gotham Short Strategies Fund | |||||||||||||
Investment income | |||||||||||||||
Dividends from non-affiliated investments | $ | 85,665 | $ | 394,432 | $ | 95,723 | |||||||||
Less: taxes withheld | (10 | ) | (4,679 | ) | (592 | ) | |||||||||
Interest | 2 | 11 | 121 | ||||||||||||
Income from securities loaned (Note 5) | 8 | 24 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 85,665 | 389,788 | 95,252 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses | |||||||||||||||
Advisory fees (Note 2) | 33,530 | 119,959 | 116,526 | ||||||||||||
Dividends and fees on securities sold short (Note 1) | 30,464 | 134,490 | — | ||||||||||||
Administration and accounting fees (Note 2) | 30,288 | 33,071 | 28,383 | ||||||||||||
Shareholder reporting fees | 23,079 | 19,816 | 23,086 | ||||||||||||
Audit fees | 22,122 | 26,729 | 20,949 | ||||||||||||
Legal fees | 5,079 | 7,451 | 12,975 | ||||||||||||
Transfer agent fees (Note 2) | 3,162 | 3,231 | 11,415 | ||||||||||||
Registration and filing fees | 2,753 | 33,307 | 24,030 | ||||||||||||
Trustees’ and officers’ fees (Note 2) | 952 | 3,414 | 3,045 | ||||||||||||
Custodian fees (Note 2) | 112 | 1,467 | 1,886 | ||||||||||||
Other expenses | 6,199 | 7,714 | 9,408 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses before recoupments, waivers and/or reimbursements | 157,740 | 390,649 | 251,703 | ||||||||||||
|
|
|
|
|
| ||||||||||
Recoupments, waivers and/or reimbursements (Note 2) | (88,717 | ) | (118,207 | ) | (135,236 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses after recoupments, waivers and/or reimbursements | 69,023 | 272,442 | 116,467 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income/(loss) | 16,642 | 117,346 | (21,215 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) from investments: | |||||||||||||||
Net realized gain from non-affiliated investments | 701,266 | 3,207,133 | 5,499,527 | ||||||||||||
Net realized loss from securities sold short | (284,012 | ) | (3,775,449 | ) | — | ||||||||||
Net realized loss from swaps | — | — | (13,621,262 | )(a) | |||||||||||
Net realized gain from foreign currency transactions | — | 5 | — | ||||||||||||
Net change in unrealized appreciation/(depreciation) on non-affiliated investments | 328,132 | 869,036 | (186,030 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on securities sold short | (109,047 | ) | 858,601 | — | |||||||||||
Net change in unrealized appreciation on swaps | — | — | 754,860 | (a) | |||||||||||
Net change in unrealized depreciation on foreign currency translations | — | (3 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain/(loss) on investments | 636,339 | 1,159,323 | (7,552,905 | ) | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 652,981 | $ | 1,276,669 | $ | (7,574,120 | ) | ||||||||
|
|
|
|
|
|
(a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
70
GOTHAM FUNDS
Statements of Changes in Net Assets
Gotham ESG Large Value Fund | Gotham Defensive Long 500 Fund | |||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 16,321 | $ | 20,168 | $ | 214,787 | $ | 625,871 | ||||||||||||
Net realized gain/(loss) from investments and swaps | 251,422 | 11,636 | 10,413,786 | (19,931,370 | ) | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and swaps | 99,783 | (30,743 | ) | (7,134,767 | ) | 12,518,208 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 367,526 | 1,061 | 3,493,806 | (6,787,291 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||||||
Total distributable earnings: | ||||||||||||||||||||
Institutional Class | (60,804 | ) | (95,342 | ) | (476,753 | ) | (878,804 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (60,804 | ) | (95,342 | ) | (476,753 | ) | (878,804 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 31,555 | 47,671 | (22,655,205 | ) | 2,973,681 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 338,277 | (46,610 | ) | (19,638,152 | ) | (4,692,414 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 1,170,928 | 1,217,538 | 54,675,357 | 59,367,771 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 1,509,205 | $ | 1,170,928 | $ | 35,037,205 | $ | 54,675,357 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
71
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
Gotham Total Return Fund | Gotham Enhanced 500 Plus Fund | |||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income | $ | 178,207 | $ | 290,492 | $ | 16,642 | $ | 32,355 | ||||||||||||
Net realized gain/(loss) from investments, securities sold short and capital gain distributions from affiliated investments | 3,219,439 | (2,106,272 | ) | 417,254 | (143,104 | ) | ||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and securities sold short | (303,103 | ) | (861,238 | ) | 219,085 | 260,758 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 3,094,543 | (2,677,018 | ) | 652,981 | 150,009 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||||||
Total distributable earnings: | ||||||||||||||||||||
Institutional Class | (178,762 | ) | (1,914,251 | ) | (32,071 | ) | (246,579 | ) | ||||||||||||
Investor Class | (10,943 | ) | (178,991 | ) | N/A | N/A | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (189,705 | ) | (2,093,242 | ) | (32,071 | ) | (246,579 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (4,595,192 | ) | (1,481,855 | ) | 44,339 | 27,241 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | (1,690,354 | ) | (6,252,115 | ) | 665,249 | (69,329 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 28,637,366 | 34,889,481 | 2,890,860 | 2,960,189 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 26,947,012 | $ | 28,637,366 | $ | 3,556,109 | $ | 2,890,860 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
72
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
Gotham Hedged Plus Fund | Gotham Short Strategies Fund | |||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||||||||||||
Net investment income/(loss) | $ | 117,346 | $ | 52,680 | $ | (21,215 | ) | $ | 38,912 | |||||||||||
Net realized loss from investments, securities sold short, swaps and foreign currency transactions | (568,311 | ) | (927,144 | ) | (8,121,735 | ) | (5,071,110 | ) | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, swaps and foreign currency translations | 1,727,634 | 987,330 | 568,830 | (887,196 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1,276,669 | 112,866 | (7,574,120 | ) | (5,919,394 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions to shareholders from: | ||||||||||||||||||||
Total distributable earnings: | ||||||||||||||||||||
Institutional Class | (57,670 | ) | (174,499 | ) | (3,624 | ) | (70,055 | ) | ||||||||||||
Return of capital: | ||||||||||||||||||||
Institutional Class | — | — | — | (8,407 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (57,670 | ) | (174,499 | ) | (3,624 | ) | (78,462 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 1,889,615 | 6,327,746 | (28,520,694 | ) | 11,540,824 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase/(decrease) in net assets | 3,108,614 | 6,266,113 | (36,098,438 | ) | 5,542,968 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | ||||||||||||||||||||
Beginning of year | 9,193,961 | 2,927,848 | 37,618,537 | 32,075,569 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 12,302,575 | $ | 9,193,961 | $ | 1,520,099 | $ | 37,618,537 | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
73
GOTHAM FUNDS
September 30, 2021
Gotham Enhanced 500 Plus Fund | Gotham Hedged Plus Fund | |||||||||||||||||||||||
Cash flows from operating activities: | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | $ | 652,981 | $ | 1,276,669 | ||||||||||||||||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | ||||||||||||||||||||||||
Purchases of long-term portfolio investments | (6,564,755 | ) | (46,435,582 | ) | ||||||||||||||||||||
Proceeds from disposition of long-term portfolio investments | 6,663,807 | 44,789,758 | ||||||||||||||||||||||
Purchases to cover securities sold short | (2,552,295 | ) | (37,687,529 | ) | ||||||||||||||||||||
Proceeds from securities sold short | 2,422,032 | 37,377,320 | ||||||||||||||||||||||
Net realized gain/(loss) on investments, securities sold short and foreign currency transactions | (417,254 | ) | 568,311 | |||||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short and foreign currency translations | (219,085 | ) | (1,727,634 | ) | ||||||||||||||||||||
Return of capital received from real estate investment trusts | 583 | 844 | ||||||||||||||||||||||
Decrease in securities lending cash collateral | — | 894 | ||||||||||||||||||||||
Increase in receivable for investments sold | (54,433 | ) | (202,337 | ) | ||||||||||||||||||||
Increase in dividends and interest receivable | (484 | ) | (13,691 | ) | ||||||||||||||||||||
Increase/(decrease) in receivable from investment adviser | (1,371 | ) | 8,818 | |||||||||||||||||||||
Increase/(decrease) in prepaid expenses and other assets | (115 | ) | 8,408 | |||||||||||||||||||||
Increase in payable for investments purchased | 54,612 | 200,558 | ||||||||||||||||||||||
Increase in payable for dividends and fees on securities sold short | 184 | 4,468 | ||||||||||||||||||||||
Decrease in use of cash collateral from securities lending | — | (894 | ) | |||||||||||||||||||||
Decrease in accrued expense payable | (105 | ) | (2,935 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net cash used in operating activities | (15,698 | ) | (1,834,554 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Cash flows from financing activities: | ||||||||||||||||||||||||
Proceeds from shares sold | 27,919 | 4,681,900 | ||||||||||||||||||||||
Payment of shares redeemed. | (15,651 | ) | (2,849,955 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net cash provided by financing activities | 12,268 | 1,831,945 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net decrease in cash and restricted cash | (3,430 | ) | (2,609 | ) | ||||||||||||||||||||
Cash and restricted cash: | ||||||||||||||||||||||||
Beginning of year:. | $ | 77,745 | $ | 149,209 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
End of year: | $ | 74,315 | $ | 146,600 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Reconciliation of restricted and unrestricted cash at the beginning of the year to the statements of assets and liabilities: | ||||||||||||||||||||||||
Cash | $ | 47,723 | $ | 114,994 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Restricted Cash | $ | 30,022 | $ | 34,215 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Reconciliation of restricted and unrestricted cash at the end of the year to the statements of assets and liabilities: | ||||||||||||||||||||||||
Cash | $ | 18,081 | $ | 109,837 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Restricted Cash | $ | 56,234 | $ | 36,763 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Supplemental disclosure of cash flow information: | ||||||||||||||||||||||||
Cash received during the year for financing charges | $ | 9,734 | $ | 68,248 |
The accompanying notes are an integral part of the financial statements.
74
GOTHAM FUNDS
Gotham ESG Large Value Fund
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Period Ended September 30, 2019* | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of year/period | $ | 11.27 | $ | 12.18 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Net investment income(1) | 0.15 | 0.20 | 0.13 | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 3.33 | (0.16 | ) | 2.05 | |||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 3.48 | 0.04 | 2.18 | ||||||||||||
|
|
|
|
|
| ||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||
Net investment income | (0.13 | ) | (0.18 | ) | — | ||||||||||
Net realized capital gains | (0.46 | ) | (0.77 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions to shareholders | (0.59 | ) | (0.95 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Redemption fees | — | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value, end of year/period | $ | 14.16 | $ | 11.27 | $ | 12.18 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(2) | 31.82 | % | (0.17 | )% | 21.80 | % | |||||||||
Ratios/Supplemental Data | |||||||||||||||
Net assets, end of year/period (in 000s) | $ | 1,509 | $ | 1,171 | $ | 1,218 | |||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.75 | % | 0.75 | % | 0.75 | %(3) | |||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4) | 2.85 | % | 6.46 | % | 6.59 | %(3) | |||||||||
Ratio of net investment income to average net assets | 1.16 | % | 1.74 | % | 1.49 | %(3) | |||||||||
Portfolio turnover rate | 186 | % | 284 | % | �� | 169 | %(5) |
* | Institutional class commenced operations on December 31, 2018. Total return is calculated based on inception date of December 28, 2018, when initial seed capital was issued at $10.00 per share. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
75
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.98 | $ | 13.20 | $ | 13.78 | $ | 11.71 | $ | 9.99 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.06 | 0.14 | 0.13 | 0.09 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.96 | (1.17 | ) | 0.32 | 2.06 | 1.68 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.02 | (1.03 | ) | 0.45 | 2.15 | 1.72 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.08 | ) | (0.07 | ) | (0.08 | ) | — | ||||||||||||||||
Net realized capital gains | — | (0.11 | ) | (0.96 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.13 | ) | (0.19 | ) | (1.03 | ) | (0.08 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | — | 0.00 | (2) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 12.87 | $ | 11.98 | $ | 13.20 | $ | 13.78 | $ | 11.71 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(3) | 8.65 | % | (7.95 | )% | 3.71 | % | 18.42 | % | 17.10 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 35,037 | $ | 54,675 | $ | 59,368 | $ | 11,031 | $ | 7,940 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.35 | % | 1.35 | % | 3.21 | % | 3.51 | % | 3.80 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(4)(5) | 1.78 | % | 1.66 | % | 3.81 | % | 4.08 | % | 5.01 | % | |||||||||||||||
Ratio of net investment income to average net assets (including dividend and interest expense) | 0.51 | % | 1.11 | % | 1.03 | % | 0.73 | % | 0.39 | % | |||||||||||||||
Portfolio turnover rate | 163 | % | 294 | % | 429 | % | 220 | % | 259 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.42%, 1.50% and 1.50% for the years ended September 30, 2019, 2018 and 2017, respectively. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
76
GOTHAM FUNDS
Gotham Total Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.70 | $ | 13.28 | $ | 13.38 | $ | 11.60 | $ | 10.02 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.08 | 0.11 | 0.05 | 0.03 | 0.01 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.33 | (0.91 | ) | 0.03 | 1.80 | 1.58 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.41 | (0.80 | ) | 0.08 | 1.83 | 1.59 | |||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.11 | ) | (0.05 | ) | (0.04 | ) | (0.01 | ) | |||||||||||||||
Net realized capital gains | (0.00 | )(2) | (0.67 | ) | (0.13 | ) | (0.01 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.08 | ) | (0.78 | ) | (0.18 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 13.03 | $ | 11.70 | $ | 13.28 | $ | 13.38 | $ | 11.60 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(4) | 12.17 | % | (6.54 | )% | 0.67 | % | 15.73 | % | 15.82 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 23,987 | $ | 25,967 | $ | 32,167 | $ | 26,218 | $ | 18,539 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.02 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(5) | 0.66 | % | 0.59 | % | 0.69 | % | 0.51 | % | 0.74 | % | |||||||||||||||
Ratio of net investment income to average net assets | 0.68 | % | 0.94 | % | 0.35 | % | 0.27 | % | 0.09 | % | |||||||||||||||
Portfolio turnover rate | 85 | % | 55 | % | 3 | % | 1 | % | 27 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $(0.005) per share. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(5) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
77
GOTHAM FUNDS
Gotham Total Return Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Investor Class Shares | ||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Period Ended September 30, 2018* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.67 | $ | 13.24 | $ | 13.35 | $ | 12.60 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income/(loss)(1) | 0.05 | 0.08 | 0.01 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.32 | (0.90 | ) | 0.03 | 0.77 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 1.37 | (0.82 | ) | 0.04 | 0.75 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment loss | (0.05 | ) | (0.08 | ) | (0.02 | ) | — | |||||||||||||
Net realized capital gains | (0.00 | )(2) | (0.67 | ) | (0.13 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.75 | ) | (0.15 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of year/period | $ | 12.99 | $ | 11.67 | $ | 13.24 | $ | 13.35 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(4) | 11.80 | % | (6.70 | )% | 0.40 | % | 5.95 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year year/period (in 000s) | $ | 2,960 | $ | 2,670 | $ | 2,723 | $ | 2,110 | ||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | %(5) | ||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 0.91 | % | 0.84 | % | 0.93 | % | 0.76 | %(5) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.37 | % | 0.67 | % | 0.08 | % | (0.24 | )%(5) | ||||||||||||
Portfolio turnover rate | 85 | % | 55 | % | 3 | % | 1 | %(7) |
* | Investor Class commenced operations on January 2, 2018. Total return is calculated based on inception date of December 29, 2017, when initial seed capital was issued at $12.60 per share. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $(0.005) per share. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(5) | Annualized. |
(6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
78
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.47 | $ | 11.86 | $ | 13.99 | $ | 11.86 | $ | 9.99 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.07 | 0.13 | 0.10 | 0.13 | 0.09 | ||||||||||||||||||||
Net realized and unrealized gain on investments | 2.50 | 0.47 | 0.07 | 2.20 | 1.78 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 2.57 | 0.60 | 0.17 | 2.33 | 1.87 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.14 | ) | (0.12 | ) | (0.16 | ) | — | ||||||||||||||||
Net realized capital gains | — | (0.85 | ) | (2.18 | ) | (0.04 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.13 | ) | (0.99 | ) | (2.30 | ) | (0.20 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 13.91 | $ | 11.47 | $ | 11.86 | $ | 13.99 | $ | 11.86 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 22.56 | % | 4.95 | % | 2.78 | % | 19.86 | % | 18.60 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 3,556 | $ | 2,891 | $ | 2,960 | $ | 2,881 | $ | 2,399 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any(3) | 2.06 | % | 2.21 | % | 2.20 | % | 2.10 | % | 2.21 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(3)(4) | 4.70 | % | 5.04 | % | 5.23 | % | 4.24 | % | 5.28 | % | |||||||||||||||
Ratio of net investment income to average net assets | 0.50 | % | 1.15 | % | 0.90 | % | 0.97 | % | 0.83 | % | |||||||||||||||
Portfolio turnover rate | 140 | % | 263 | % | 274 | % | 224 | % | 237 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
79
GOTHAM FUNDS
Gotham Hedged Plus Fund
Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Year Ended September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.58 | $ | 11.31 | $ | 12.87 | $ | 11.43 | $ | 10.08 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.10 | 0.12 | 0.10 | 0.06 | 0.01 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.78 | (0.17 | ) | (0.44 | ) | 1.64 | 1.49 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.88 | (0.05 | ) | (0.34 | ) | 1.70 | 1.50 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.12 | ) | (0.06 | ) | (0.09 | ) | (0.11 | ) | |||||||||||||||
Net realized capital gains | — | (0.56 | ) | (1.16 | ) | (0.17 | ) | (0.04 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.05 | ) | (0.68 | ) | (1.22 | ) | (0.26 | ) | (0.15 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 11.41 | $ | 10.58 | $ | 11.31 | $ | 12.87 | $ | 11.43 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 8.37 | % | (0.82 | )% | (2.45 | )% | 15.00 | % | 15.01 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year (in 000s) | $ | 12,303 | $ | 9,194 | $ | 2,928 | $ | 2,665 | $ | 2,319 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any(3) | 2.27 | % | 2.51 | % | 2.68 | % | 2.71 | % | 3.10 | % | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(3)(4) | 3.26 | % | 4.81 | % | 6.97 | % | 5.57 | % | 8.46 | % | |||||||||||||||
Ratio of net investment income to average net assets | 0.98 | % | 1.11 | % | 0.84 | % | 0.48 | % | 0.09 | % | |||||||||||||||
Portfolio turnover rate | 218 | % | 353 | % | 239 | % | 227 | % | 183 | % |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the years ended September 30, 2021, 2020, 2019, 2018, and 2017, respectively. |
(4) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
The accompanying notes are an integral part of the financial statements.
80
GOTHAM FUNDS
Gotham Short Strategies Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class Shares | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Period Ended September 30, 2017* | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 7.42 | $ | 8.78 | $ | 9.05 | $ | 10.07 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income/(loss)(1) | (0.02 | ) | 0.01 | 0.03 | (0.03 | ) | 0.02 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (1.50 | ) | (1.35 | ) | (0.09 | ) | (0.97 | ) | 0.05 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (1.52 | ) | (1.34 | ) | (0.06 | ) | (1.00 | ) | 0.07 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.00 | )(2) | (0.02 | ) | — | (0.02 | ) | — | |||||||||||||||||
Net realized capital gains | — | — | (0.21 | ) | — | — | |||||||||||||||||||
Return of capital | — | (0.00 | )(2) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.00 | )(2) | (0.02 | ) | (0.21 | ) | (0.02 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Redemption fees | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year/period | $ | 5.90 | $ | 7.42 | $ | 8.78 | $ | 9.05 | $ | 10.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(4) | (20.47 | )% | (15.27 | )% | (0.81 | )% | (9.90 | )% | 0.70 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 1,520 | $ | 37,619 | $ | 32,076 | $ | 1,591 | $ | 18,328 | |||||||||||||||
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | %(5) | |||||||||||||||
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 2.92 | % | 1.88 | % | 2.20 | % | 2.49 | % | 3.06 | %(5) | |||||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.25 | )% | 0.12 | % | 0.39 | % | (0.30 | )% | 1.19 | %(5) | |||||||||||||||
Portfolio turnover rate | 459 | % | 692 | % | 616 | % | 591 | % | 165 | %(7)(8) |
* | Commencement of operations. Initial seed capital was issued at $10.00 per share on July 31, 2017. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Amount is less than $(0.005) per share. |
(3) | Amount is less than $0.005 per share. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(5) | Annualized. |
(6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
(7) | Not annualized. |
(8) | Portfolio turnover rate excludes securities received from processing a subscription due to a reorganization. |
The accompanying notes are an integral part of the financial statements.
81
GOTHAM FUNDS
September 30, 2021
1. Organization and Significant Accounting Policies
The Gotham ESG Large Value Fund, the Gotham Defensive Long 500 Fund, the Gotham Total Return Fund, the Gotham Enhanced 500 Plus Fund, the Gotham Hedged Plus Fund and the Gotham Short Strategies Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Total Return Fund, offers one class of shares, Institutional Class. The Gotham Total Return Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
Gotham ESG Large Value Fund (“ESG Large Value”) | December 31, 2018 | |
Gotham Defensive Long 500 Fund (“Defensive Long 500”) | September 30, 2016 | |
Gotham Total Return Fund (“Total Return”) (operates as a “Fund of Funds”) | March 31, 2015 | |
Gotham Enhanced 500 Plus Fund (“Enhanced 500 Plus”) | September 30, 2016 | |
Gotham Hedged Plus Fund (“Hedged Plus”) | March 31, 2016 | |
Gotham Short Strategies Fund (“Short Strategies”) | July 31, 2017 |
All the Funds, except for ESG Large Value and Total Return, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. ESG Large Value seeks to achieve its investment objective by primarily investing in long positions of equity securities. Total Return seeks to achieve its investment objective by primarily investing in other funds advised by Gotham.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. Over the Counter (“OTC”) investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith under the direction of the Board. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Gotham Asset Management, LLC (“Gotham” or “the Adviser”) the responsibility for applying the valuation methods. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security, asset or liability will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
· | Level 1 — quoted prices in active markets for identical securities; |
82
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
· | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and |
· | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: total return swaps with end of period unrealized appreciation of $5,391,227 and $53,638 held by Defensive Long 500 and Short Strategies, respectively. These securities are considered Level 2 as of and for the year ended September 30, 2021.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the year ended September 30, 2021, there were no transfers in or out of Level 3 for the Funds.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the
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September 30, 2021
amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, capitalized dividends on short sales, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund’s shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Short Sales — All Funds except for ESG Large Value may sell securities short. Total Return indirectly invests in short sales through its underlying securities. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission (“SEC”) and other applicable regulatory bodies with respect to coverage of short sales.
As of September 30, 2021, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
Value of Securities Sold Short | Securities Pledged as Collateral | Deposits with Brokers for Securities Sold Short | |||||||||||||
Enhanced 500 Plus | $ | 1,467,862 | $ | 4,029,793 | $ | 56,234 | |||||||||
Hedged Plus | 9,390,111 | 16,202,122 | 36,763 |
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September 30, 2021
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the year ended September 30, 2021:
Dividends on Securities Sold Short | Rebate (Income)/Fees | |||||||||
Enhanced 500 Plus | $ | 20,730 | $ | 3,155 | ||||||
Hedged Plus | 66,242 | 25,707 |
The following Funds utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Funds’ respective investment objectives. A financing fee is charged to the Funds based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the year ended September 30, 2021:
Short Sales (Deposits) Proceeds | Financing Charges | |||||||||
Enhanced 500 Plus | $ | 1,436,836 | $ | 6,579 | ||||||
Hedged Plus | 9,188,633 | 42,541 |
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits
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September 30, 2021
(“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the year ended September 30, 2021, only Defensive Long 500 and Short Strategies held total return swaps.
For the year ended September 30, 2021, the quarterly average notional volume of the total return swaps for each Fund was as follows:
Notional Amount | |||||
Defensive Long 500 | $ | (5,703,142 | ) | ||
Short Strategies | (13,422,049 | ) |
Counterparty Risk — During the year ended September 30, 2021, Defensive Long 500 and Short Strategies were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
Liquidity Risk — During the year ended September 30, 2021, Defensive Long 500 and Short Strategies were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the year ended September 30, 2021, Defensive Long 500 and Short Strategies were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the
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GOTHAM FUNDS
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September 30, 2021
counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
LIBOR Phase-out Risk — The United Kingdom’s Financial Conduct Authority, which regulates London Interbank Overnight Rates (“LIBOR”), has announced plans to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on any of the Funds or on financial instruments in which the Funds invest, as well as other unforeseen effects, could result in losses to the Funds.
Collateral Requirements — During the year ended September 30, 2021, Defensive Long 500 and Short Strategies were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
Gross Amount Not Offset in the | ||||||||||||||||||||||||||||||
Statements of Assets and Liabilities | ||||||||||||||||||||||||||||||
Gross Amounts of Recognized Assets/(Liabilities) | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Collateral Pledged/(Received)* | Net Amount** | |||||||||||||||||||||||||
Defensive Long 500 | $ | 5,391,227 | $ | — | $ | 5,391,227 | $ | — | $ | (4,770,000) | $ | 621,227 | ||||||||||||||||||
Short Strategies | 53,638 | — | 53,638 | — | — | 53,638 |
* | Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown. |
** | Net amount represents the net receivable from the counterparty in the event of a default. |
ESG Strategy Risk — The ESG Large Value’s ESG strategies could cause it to perform differently compared to funds that do not have such a policy. The criteria related to this ESG policy may result in the Fund’s forgoing opportunities to buy certain securities when
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GOTHAM FUNDS
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September 30, 2021
it might otherwise be advantageous to do so, or selling securities for ESG reasons when it might be otherwise disadvantageous for it to do so. In addition, there is a risk that the companies identified by the ESG policy do not operate as expected when addressing ESG issues. There are significant differences in interpretations of what it means for a company to have positive ESG characteristics. While the Adviser believes its definitions are reasonable, the portfolio decisions it makes may differ with other investors’ or advisers’ views.
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
ESG Large Value(1) | 0.75 | % | ||
Defensive Long 500 | 1.35 | % | ||
Total Return(2) | — | % | ||
Enhanced 500 Plus | 1.00 | % | ||
Hedged Plus | 1.00 | % | ||
Short Strategies | 1.35 | % |
(1) | Effective May 1, 2021, ESG Large Value entered into a Support, Service and Fee Assumption Agreement with Gotham, whereby Gotham will assume and undertake to pay substantially all Fund expenses, except investment advisory fees. |
(2) | For Total Return (the “Fund”), Gotham is not entitled to receive an investment advisory fee on assets invested in mutual funds advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), but is entitled to receive an investment advisory fee of 1.00% of the Fund’s average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from the Fund on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. The Fund does not currently expect to invest in assets other than underlying funds; however, to the extent it does, the Fund will pay an investment advisory fee on such assets. |
The Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation amounts, as a percentage of average daily net assets, in effect during the year ended September 30, 2021.
Institutional Class | Investor Class | Termination Date | |||||||||||||
ESG Large Value | 0.75 | % | N/A | January 31, 2022 | |||||||||||
Defensive Long 500 | 1.35 | % | N/A | January 31, 2022 | |||||||||||
Total Return(1) | 0.00 | % | 0.25 | % | January 31, 2022 | ||||||||||
Enhanced 500 Plus | 1.15 | % | N/A | January 31, 2022 | |||||||||||
Hedged Plus | 1.15 | % | N/A | January 31, 2022 | |||||||||||
Short Strategies | 1.35 | % | N/A | January 31, 2022 |
(1) Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any.
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GOTHAM FUNDS
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September 30, 2021
For the year ended September 30, 2021, investment advisory fees accrued and waivers were as follows:
Gross Advisory Fee | Recoupments, Waivers and/or Reimbursements | Net Advisory Fee/ (Reimbursement) | |||||||||||||
ESG Large Value | $ | 10,534 | $ | (29,546 | ) | $ | (19,012 | ) | |||||||
Defensive Long 500 | 569,372 | (183,313 | ) | 386,059 | |||||||||||
Total Return | — | (183,352 | ) | (183,352 | ) | ||||||||||
Enhanced 500 Plus | 33,530 | (88,717 | ) | (55,187 | ) | ||||||||||
Hedged Plus | 119,959 | (118,207 | ) | 1,752 | |||||||||||
Short Strategies | 116,526 | (135,236 | ) | (18,710 | ) |
For all Funds, except for ESG Large Value, Defensive Long 500 and Short Strategies, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of September 30, 2021, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
Expiration 09/30/2022 | Expiration 09/30/2023 | Expiration 09/30/2024 | Expiration Total | |||||||||||||||||
Total Return | ||||||||||||||||||||
Institutional Class | $ | 200,356 | $ | 170,911 | $ | 164,802 | $ | 536,069 | ||||||||||||
Investor Class | 18,489 | 17,025 | 18,550 | 54,064 | ||||||||||||||||
Enhanced 500 Plus | 84,996 | 79,156 | 88,717 | 252,869 | ||||||||||||||||
Hedged Plus | 120,723 | 109,329 | 118,207 | 348,259 |
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Total Return, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Total
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Return compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Total Return’s Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC (“Alaric”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Alaric are compensated for their services provided to the Trust.
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Investment in Affiliated Funds
The following table lists each issuer owned by Total Return that may be deemed an “affiliated company” under the 1940 Act, as well as transactions that occurred in the security of such issuers during the year ended September 30, 2021:
Name of Issuer | Value at 09/30/20 | Purchase Cost | Sales Proceeds | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at 09/30/21 | Shares Held at 09/30/21 | Dividend Income | ||||||||||||||||||||||||
Gotham Defensive Long 500 Fund | $ | 12,904,078 | $ | 95,203 | $ | 10,083,830 | $ | 331,230 | $ | (557,572 | ) | $ | 2,689,109 | 208,944 | $ | 31,125 | ||||||||||||||||
Gotham Enhanced 500 ETF | — | 5,572,438 | 335,545 | 73 | 145,398 | 5,382,364 | 232,600 | — | ||||||||||||||||||||||||
Gotham Enhanced S&P 500 Index Fund | — | 4,281,578 | 987,295 | 80,727 | 654,441 | 4,029,451 | 250,744 | 40,908 | ||||||||||||||||||||||||
Gotham Hedged Core Fund | 3,411,033 | 2,195,264 | 2,223,562 | 184,949 | 489,343 | 4,057,027 | 314,987 | 32,846 | ||||||||||||||||||||||||
Gotham Hedged Plus Fund | — | 4,446,062 | 2,272,275 | 168,056 | 364,998 | 2,706,841 | 237,234 | 19,161 | ||||||||||||||||||||||||
Gotham Index Plus Fund | 5,790,088 | 110,332 | 6,968,795 | 2,799,095 | (1,730,720 | ) | — | — | 60,930 | |||||||||||||||||||||||
Gotham Large Value Fund | 1,061,959 | 5,572,898 | 1,471,857 | 275,099 | (113,508 | ) | 5,324,591 | 318,647 | — | |||||||||||||||||||||||
Gotham Neutral Fund | 4,256,076 | 318,226 | 1,933,181 | (232,567 | ) | 262,832 | 2,671,386 | 286,629 | — | |||||||||||||||||||||||
Gotham Short Strategies Fund | 1,086,822 | 621,810 | 1,493,431 | (396,886 | ) | 181,685 | — | — | 199 | |||||||||||||||||||||||
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Total | $ | 28,510,056 | $ | 3,209,776 | $ | (303,103 | ) | $ | 26,860,769 | $ | 185,169 | |||||||||||||||||||||
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3. Investment in Securities
For the year ended September 30, 2021, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
ESG Large Value | $ | 2,558,165 | $ | 2,573,180 | ||||
Defensive Long 500 | 64,571,665 | 91,106,700 | ||||||
Total Return | 23,213,811 | 27,769,771 | ||||||
Enhanced 500 Plus | 6,530,631 | 6,627,092 | ||||||
Hedged Plus | 46,342,015 | 44,692,759 | ||||||
Short Strategies | 42,298,480 | 82,274,997 |
91
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
For the year ended September 30, 2021, the Funds had no purchases and sales of U.S. Government securities.
4. Capital Share Transactions
For the years ended September 30, 2021 and 2020, transactions in capital shares of the Funds (authorized shares unlimited) were as follows:
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
ESG Large Value: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | — | $ | — | — | $ | — | ||||||||||
Reinvestments | 2,654 | 31,555 | 3,943 | 47,671 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,654 | $ | 31,555 | 3,943 | $ | 47,671 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Defensive Long 500: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 14,121 | $ | 169,005 | 1,785,878 | $ | 21,079,978 | ||||||||||
Reinvestments | 42,153 | 476,753 | 66,026 | 878,804 | ||||||||||||
Redemption Fees* | — | — | — | 2,017 | ||||||||||||
Redemptions | (1,896,428 | ) | (23,300,963 | ) | (1,785,995 | ) | (18,987,118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (1,840,154 | ) | $ | (22,655,205 | ) | 65,909 | $ | 2,973,681 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 4,359 | $ | 50,461 | 325,525 | $ | 4,134,781 | ||||||||||
Reinvestments | 13,436 | 151,823 | 127,914 | 1,652,650 | ||||||||||||
Redemption Fees* | — | 45 | — | 82 | ||||||||||||
Redemptions | (395,576 | ) | (4,790,616 | ) | (657,113 | ) | (7,623,112 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (377,781 | ) | $ | (4,588,287 | ) | (203,674 | ) | $ | (1,835,599 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Investor Class | ||||||||||||||||
Sales | 16,324 | $ | 198,612 | 92,479 | $ | 1,150,847 | ||||||||||
Reinvestments | 969 | 10,943 | 13,865 | 178,991 | ||||||||||||
Redemption Fees* | — | 5 | — | 8 | ||||||||||||
Redemptions | (18,296 | ) | (216,465 | ) | (83,091 | ) | (976,102 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (1,003 | ) | $ | (6,905 | ) | 23,253 | $ | 353,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total net decrease | (378,784 | ) | $ | (4,595,192 | ) | (180,421 | ) | $ | (1,481,855 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Enhanced 500 Plus: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 2,223 | $ | 27,919 | 2,136 | $ | 23,898 | ||||||||||
Reinvestments | 2,670 | 32,071 | 21,275 | 246,579 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (1,303 | ) | (15,651 | ) | (20,986 | ) | (243,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 3,590 | $ | 44,339 | 2,425 | $ | 27,241 | ||||||||||
|
|
|
|
|
|
|
|
92
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Hedged Plus: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 467,743 | $ | 4,681,900 | 639,213 | $ | 6,650,000 | ||||||||||
Reinvestments | 6,077 | 57,670 | 15,608 | 174,499 | ||||||||||||
Redemption Fees* | — | — | — | — | ||||||||||||
Redemptions | (264,777 | ) | (2,849,955 | ) | (44,569 | ) | (496,753 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 209,043 | $ | 1,889,615 | 610,252 | $ | 6,327,746 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Strategies: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | 253,119 | $ | 1,646,780 | 2,164,344 | $ | 17,640,696 | ||||||||||
Reinvestments | 598 | 3,554 | 9,232 | 76,810 | ||||||||||||
Redemption Fees* | — | 78 | — | 404 | ||||||||||||
Redemptions | (5,067,579 | ) | (30,171,106 | ) | (754,740 | ) | (6,177,086 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase/(decrease) | (4,813,862 | ) | $ | (28,520,694 | ) | 1,418,836 | $ | 11,540,824 | ||||||||
|
|
|
|
|
|
|
|
* | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in-capital. |
Significant Shareholders
As of September 30, 2021, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
ESG Large Value | ||||
Affiliated Shareholders | 100 | % | ||
Defensive Long 500 | ||||
Affiliated Fund | 8 | % | ||
Non-affiliated Shareholders | 84 | % | ||
Total Return | ||||
Affiliated Shareholders | 27 | % | ||
Non-affiliated Shareholders | 49 | % | ||
Enhanced 500 Plus | ||||
Non-affiliated Shareholders | 97 | % | ||
Hedged Plus | ||||
Affiliated Fund | 22 | % | ||
Non-affiliated Shareholders | 78 | % | ||
Short Strategies | ||||
Affiliated Shareholders | 60 | % | ||
Non-affiliated Shareholders | 21 | % |
93
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
5. Securities Lending
All Funds may lend securities to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments and/or securities consistent with the Fund’s investment objective. Securities purchased with cash collateral are included in market value of securities designated as collateral for securities on loan on the Statements of Assets and Liabilities. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Funds pay a fee on the cash collateral received by the Funds at a rate equal to the Federal Funds (Open) rate plus 40 basis points with respect to the cash collateral received on those securities on loan that have a rebate that equals or exceeds the greater of either the Federal Funds (Open) rate minus 10 basis points or zero. These fees are included in the fees on cash collateral on the Statements of Operations. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser’s judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. Securities on loan are not used as collateral for swaps or as collateral for short securities, if any. During the year ended September 30, 2021, the Funds listed below each had securities lending programs. The Funds had no open securities lending transactions as of September 30, 2021, and the income generated from the programs during the year ended September 30, 2021, with respect to such loans was as follows:
Market Value of Securities Loaned | Cash Collateral Received | Market Value of Non-cash Collateral | Income Received from Securities Lending | |||||||||||||||||
Defensive Long 500 | $ | — | $ | — | $ | — | $ | 173 | ||||||||||||
Enhanced 500 Plus | — | — | — | 8 | ||||||||||||||||
Hedged Plus | — | — | — | 24 |
Securities lending transactions are entered into by the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Funds to the same counterparty against amounts to be received from that counterparty and create one single net payment due to or from the Funds. The Funds had no open securities lending transactions which were subject to a MSLA as of September 30, 2021.
6. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. Net assets were not affected by these adjustments. Permanent differences as of September 30, 2021, were primarily attributed to return of capital, redesignation of dividends paid and capitalized dividends on short sales. As of September 30, 2021, there were no reclassifications within the components of net assets.
94
GOTHAM FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
The tax character of distributions paid by the Funds during the year ended September 30, 2021, were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
ESG Large Value | $ | 13,302 | $ | 47,502 | $ | — | |||||||||
Defensive Long 500 | 476,753 | — | — | ||||||||||||
Total Return | 189,705 | — | — | ||||||||||||
Enhanced 500 Plus | 32,071 | — | — | ||||||||||||
Hedged Plus | 57,670 | — | — | ||||||||||||
Short Strategies | 3,624 | — | — |
The tax character of distributions paid by the Funds during the year ended September 30, 2020, were as follows:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | ||||||||||
ESG Large Value | $ | 95,326 | $ | 16 | $ | — | ||||||
Defensive Long 500 | 370,405 | 508,399 | — | |||||||||
Total Return | 309,540 | 1,783,702 | — | |||||||||
Enhanced 500 Plus | 40,676 | 205,903 | — | |||||||||
Hedged Plus | 30,340 | 144,159 | — | |||||||||
Short Strategies | 70,055 | — | 8,407 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | |||||||||||||||||||||
ESG Large Value | $ | — | $ | 56,152 | $ | 184,463 | $ | 189,373 | $ | — | |||||||||||||||
Defensive Long 500 | (10,025,927 | ) | 165,147 | — | 8,062,888 | — | |||||||||||||||||||
Total Return | — | 449,941 | 621,623 | 2,097,448 | — | ||||||||||||||||||||
Enhanced 500 Plus | — | 9,961 | 341,295 | 600,501 | — | ||||||||||||||||||||
Hedged Plus | (592,028 | ) | 116,113 | — | 1,918,545 | — | |||||||||||||||||||
Short Strategies | (16,452,807 | ) | — | — | 5,923 | (24,839 | ) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2021, were primarily attributed to wash sales and deferral of loss on unsettled short sale transactions. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of September 30, 2021, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
95
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
September 30, 2021
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
ESG Large Value | $ | 1,298,091 | $ | 225,927 | $ | (36,554 | ) | $ | 189,373 | |||||||
Defensive Long 500 | 30,773,847 | 10,591,245 | (7,919,584 | ) | 2,671,661 | |||||||||||
Total Return | 24,763,321 | 2,332,927 | (235,480 | ) | 2,097,447 | |||||||||||
Enhanced 500 Plus | 4,221,874 | 1,187,218 | (435,669 | ) | 751,549 | |||||||||||
Hedged Plus | 20,576,381 | 3,625,441 | (2,642,096 | ) | 983,345 | |||||||||||
Short Strategies | 1,501,720 | 186,432 | (180,509 | ) | 5,923 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Funds deferred to October 1, 2021 the following losses:
Late-Year Ordinary Losses Deferral | Short-Term Capital Loss Deferral | Long-Term Capital Loss Deferral | |||||||||||||
Short Strategies | $ | 24,839 | $ | — | $ | — |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. For Short Strategies, the future use of available capital loss carryforwards may be subject to limitation under Internal Revenue Code Section 382. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the following Funds had long-term and short-term capital loss carryforwards in the following amounts:
Capital Loss Carryforward | ||||||||
Short-Term | Long-Term | |||||||
Defensive Long 500 | $ | 10,025,927 | $ | — | ||||
Hedged Plus | 592,028 | — | ||||||
Short Strategies | 16,412,396 | 40,411 |
For the year ended September 30, 2021, the following Funds utilized capital losses as follows:
Capital Losses Utilized | |||||
Defensive Long 500 | $ | 8,890,563 | |||
Total Return | 1,969,312 |
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no material subsequent events requiring recognition or disclosure in the financial statements.
96
GOTHAM FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of Gotham ESG Large Value Fund, Gotham Defensive Long 500 Fund, Gotham Total Return Fund, Gotham Enhanced 500 Plus Fund, Gotham Hedged Plus Fund and Gotham Short Strategies Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Gotham ESG Large Value Fund, Gotham Defensive Long 500 Fund, Gotham Total Return Fund, Gotham Enhanced 500 Plus Fund, Gotham Hedged Plus Fund, and Gotham Short Strategies Fund (six of the funds constituting FundVantage Trust, referred to hereafter collectively as the “Funds”) as of September 30, 2021, the related statements of operations for the year ended September 30, 2021, the statements of changes in net assets for each of the two years in the period ended September 30, 2021, and for Gotham Enhanced 500 Plus Fund and Gotham Hedged Plus Fund, the statements of cash flow for the year ended September 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2021, for Gotham Enhanced 500 Plus Fund and Gotham Hedged Plus Fund, the results of each of their cash flows for the year then ended and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, PA
November 23, 2021
We have served as the auditor of one or more investment companies in Gotham Asset Management LLC since 2011.
97
GOTHAM FUNDS
(Unaudited)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended September 30, 2021. The information and distributions reported here in may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2021. During the fiscal year ended September 30, 2021 the following dividends and distributions were paid by each of the Funds:
Ordinary Income Dividend | Long-Term Capital Gain Dividend | Return of Capital | |||||||||||||
ESG Large Value | $ | 13,302 | $ | 47,502 | $ | — | |||||||||
Defensive Long 500 | 476,753 | — | — | ||||||||||||
Total Return | 189,705 | — | — | ||||||||||||
Enhanced 500 Plus | 32,071 | — | — | ||||||||||||
Hedged Plus | 57,670 | — | — | ||||||||||||
Short Strategies | 3,624 | — | — |
Where appropriate, all designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended September 30, 2021 were designated as “qualified dividend income”, as defined in the Act, and are subject to reduced tax rates:
ESG Large Value | 83.24 | % | ||
Defensive Long 500 | 100.00 | % | ||
Total Return | 28.57 | % | ||
Enhanced 500 Plus | 100.00 | % | ||
Hedged Plus | 100.00 | % | ||
Short Strategies | 100.00 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
ESG Large Value | 82.42 | % | ||
Defensive Long 500 | 100.00 | % | ||
Total Return | 28.62 | % | ||
Enhanced 500 Plus | 100.00 | % | ||
Hedged Plus | 100.00 | % | ||
Short Strategies | 100.00 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
ESG Large Value | 0.24 | % | ||
Defensive Long 500 | 0.76 | % | ||
Total Return | 0.01 | % | ||
Hedged Plus | 0.69 | % | ||
Short Strategies | 17.01 | % |
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
Total Return | 100.00 | % |
98
GOTHAM FUNDS
Shareholder Tax Information (Concluded)
(Unaudited)
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2021. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2022.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
99
GOTHAM FUNDS
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
Board Considerations with Respect to the Approval of the Continuation of the Investment Advisory Agreement with Gotham
At a meeting held by videoconference on June 21-22, 2021 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between the Gotham Asset Management, LLC (“Gotham” or the “Adviser”) and the Trust (the “Gotham Agreement”) on behalf of the Gotham Defensive Long 500 Fund, Gotham Enhanced 500 Plus Fund, Gotham ESG Large Value Fund, Gotham Hedged Plus Fund, Gotham Short Strategies Fund and Gotham Total Return (together the “Gotham Funds”). At the Meeting, the Board considered the continuation of the Gotham Agreement with respect to each Fund for an additional one year period.
In determining whether to approve the Agreement, the Trustees, including the Independent Trustees, considered information provided by Gotham in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “Gotham 15(c) Response”) regarding (i) the services performed or to be performed by Gotham for the Gotham Funds, (ii) the composition and qualifications of Gotham’s portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the Gotham Funds, (iv) investment performance, (v) the financial condition of Gotham, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Gotham Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Gotham’s ability to service the Gotham Funds, and (x) compliance with the Gotham Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the Gotham 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the performance of each Gotham Fund compared against its Lipper Index and its benchmark; compliance with the Gotham Funds’ investment objectives, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from Gotham invited to participate in the Meeting regarding Gotham’s history, performance, investment strategy, and compliance program. Representatives of Gotham responded to questions from the Board. In addition to the foregoing information, the Trustees also considered other factors they believed to be relevant to considering the approval of the Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the Gotham Funds and Gotham, as provided by the terms of the Gotham Agreement, including the advisory fees under the Gotham Agreement, were fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
The Trustees considered the services provided by or to be provided by Gotham to the Gotham Funds. The Trustees considered Gotham’s personnel and the depth of Gotham’s personnel who provide investment management services to the Gotham Funds and
100
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
their experience. Based on the Gotham 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided (or to be provided) by Gotham are appropriate and consistent with the terms of the Agreement, (ii) that the quality of those services has been, and continues to be, consistent with industry norms, (iii) the Gotham Funds are likely to benefit from the provision of those services, (iv) Gotham has sufficient personnel, with the appropriate skills and experience, to serve the Gotham Funds effectively and has demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Gotham Funds is likely to continue under the Agreement.
The Board discussed Gotham’s business continuity plan, and its ability to continue to manage the Gotham Funds effectively in light of the ongoing COVID-19 pandemic, continuing federal, state and local responses thereto and related volatility in the financial markets.
The Trustees considered the investment performance for the Gotham Funds (as applicable) and Gotham. The Trustees reviewed historical performance charts which showed the performance of the Gotham Funds as compared to their respective benchmark indices and Lipper categories for the since inception, year-to-date, one year, two year, three year, five year, ten year and since inception periods ended March 31, 2021, as applicable. The Trustees considered the short term and long term performance of the Gotham Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Gotham Defensive Long 500 Fund. The Trustees noted that the Gotham Defensive Long 500 Fund underperformed the S&P 500 Total Return Index for the one year, three year and since inception periods ended March 31, 2021 and outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021. The Trustees further noted that the Gotham Defensive Long 500 Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date and since inception periods ended March 31, 2021 and underperformed the Lipper Alternative Long/Short Equity Funds Index for the one year and three year periods ended March 31, 2021.
Gotham Enhanced 500 Plus Fund. The Trustees noted that the Gotham Enhanced 500 Plus Fund underperformed the S&P 500 Total Return Index for the one year, two year, three year and since inception periods ended March 31, 2021 and outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021. They further noted that the Gotham Enhanced 500 Plus Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, one year, three year and since inception periods ended March 31, 2021.
Gotham ESG Large Value Fund. The Trustees noted that the Gotham ESG Large Value Fund underperformed the S&P 500 Total Return Index for the one year, two year and since inception periods ended March 31, 2021 and outperformed the S&P 500 Total Return Index for the year-to-date period ended March 31, 2021. They further noted that the Gotham ESG Large Value Fund underperformed the Lipper Multi-Cap Core Funds Index for the one year, two year and since inception periods ended March 31, 2021 and outperformed the Lipper Multi-Cap Core Funds Index for the year-to-date period ended March 31, 2021.
Gotham Hedged Plus Fund. The Trustees noted that the Gotham Hedged Plus Fund outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date, period ended March 31, 2021 and underperformed the Lipper Alternative Long/Short Equity Funds Index for the one year, three year, five year and since inception periods ended March 31, 2021. The Trustees further noted that the Gotham Hedged Plus Fund underperformed the HFRX Equity Hedge Index for the one year and three year periods ended March 31, 2021 and outperformed the HFRX Equity Hedge Index for the year-to-date, five year and since inception periods ended March 31, 2021.
Gotham Short Strategies Fund. The Trustees noted that that the Gotham Short Strategies Fund underperformed the Lipper Alternative Long/Short Equity Index for the year-to-date, one year, three year and since inception periods ended March 31, 2021. The Trustees further noted that the Gotham Short Strategies Fund outperformed the S&P 500 Inverse 50% Index for the year-to-date period ended March 31, 2021 and underperformed the S&P 500 Inverse 50% Index for the one year, three year and since inception periods ended March 31, 2021.
Gotham Total Return Fund. The Trustees noted that the Gotham Total Return Fund Institutional Class shares outperformed the Lipper Alternative Long/Short Equity Funds Index for the year-to-date and since inception periods ended March 31, 2021 and underperformed the Lipper Alternative Long/Short Equity Funds Index for the one year, three year and five year periods ended
101
GOTHAM FUNDS
Other Information (Continued)
(Unaudited)
March 31, 2021. They further noted that the Gotham Total Return Fund Institutional Class shares outperformed the HFRX Equity Hedge Index for the year-to-date, three year, five year and since inception periods ended March 31, 2021 and underperformed the HFRX Equity Hedge Index for the one year period ended March 31, 2021.
The Trustees concluded that the performance of each of the Gotham Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees noted that the representatives of Gotham had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Funds and any other ancillary benefit resulting from the Gotham’s relationship with the Funds.
The Trustees also reviewed information regarding the fees Gotham charges to certain other clients and evaluated explanations provided by Gotham as to differences in fees charged to the Funds and other similarly managed accounts, where applicable. The Trustees also reviewed a peer comparison of advisory fees and total expenses for each Gotham Fund versus those funds in the Fund’s applicable Lipper category (the “Peer Group”). The Trustees concluded that the advisory fees and services provided by Gotham are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Funds as measured by the information provided by Gotham.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Fund:
Gotham Defensive Long 500 Fund. The contractual advisory fee and net total expense ratio for the Gotham Defensive Long 500 Fund’s Institutional Class shares were higher and lower than, respectively, the median contractual advisory fee and net total expense ratio for those funds in the Gotham Defensive Long 500 Fund’s Peer Group with $250 million or less in assets.
Gotham Enhanced 500 Plus Fund. The contractual advisory fee and net total expense ratio for the Gotham Enhanced 500 Plus Fund’s Institutional Class shares were equal to and lower than, respectively, the median contractual advisory fee and net total expense ratio for those funds in the Gotham Enhanced 500 Plus Fund’s Peer Group with $250 million or less in assets.
Gotham ESG Large Value Fund. The contractual advisory fee and net total expense ratio for the Gotham ESG Large Value Fund’s Institutional Class shares were higher than and lower than, respectively, the median of the contractual advisory fee and net total expense ratio for those funds in the Gotham ESG Large Value Fund’s Peer Group with $250 million or less in assets.
Gotham Hedged Plus Fund. The contractual advisory fee and the net total expense ratio for the Gotham Hedged Plus Fund’s Institutional Class shares were equal to and lower than, respectively, the median gross advisory fee and net total expense ratio for those funds in the Gotham Hedged Plus Fund’s Peer Group with $250 million or less in assets.
Gotham Short Strategies Fund. The contractual advisory fee and net total expense ratio for the Gotham Short Strategy Fund’s Institutional Class shares were higher and lower than, respectively, the median contractual advisory fee and net total expense ratio for those funds in the Gotham Short Strategies Fund’s Peer Group with $250 million or less in assets.
Gotham Total Return Fund. The net advisory fee and net total expense ratio for the Gotham Total Return Fund’s Institutional Class shares were lower than the median net advisory fee and net total expense ratio for those funds in the Gotham Total Return Fund’s Peer Group with $250 million or less in assets. The Trustees discussed that the Gotham Total Return Fund is a “fund of funds,” and that there is no advisory fee in respect of assets invested in other funds advised by Gotham. The Trustees noted that the Gotham Total Return Fund does not collect an advisory fee because it invests only in other series of the Trust advised by Gotham.
The Trustees also discussed the limitations of the comparative expense information provided with respect to each Gotham Fund’s Peer Group, given the potential varying nature, extent and quality of the services provided by the advisors of other portfolios included in each of the Peer Groups. Based upon their review, the Trustees concluded that the respective advisory fees for the Gotham Funds were reasonable in light of the high quality of services received by the Funds from Gotham.
102
GOTHAM FUNDS
Other Information (Concluded)
(Unaudited)
The Trustees considered the costs of the services provided by Gotham, the compensation and benefits received by Gotham in providing services to the Gotham Funds, its profitability and certain additional information related to Gotham’s financial condition. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Gotham.
The Trustees considered the extent to which economies of scale may be realized relative to fee levels, and whether the advisory fee levels reflect these economies of scale for the benefit of shareholders. The Board noted Gotham’s representation that none of the Funds have reached an asset size at which economies of scale would traditionally be considered to exist, and Gotham’s belief that breakpoints are not appropriate at this time. The Board further considered Gotham’s representation that the nature of the various Funds’ investment strategies were such that future capacity was constrained based on Gotham’s ability to implement the strategy above certain asset levels, and as such the Funds’ ability to achieve future economies of scale were limited relative to more traditional asset classes. Based on the foregoing information, the Board concluded that economies of scale did not yet exist for the Funds and that therefore it was not yet necessary to consider whether the fee structure of the Funds provided an adequate mechanism for sharing the benefit of any such economies.
After consideration of all the factors, taking into consideration the information presented at the Board Meeting, the entire Board, including the Independent Trustees, unanimously approved the continuation of the Gotham Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
103
GOTHAM FUNDS
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site www.gothamfunds.com.
If you have questions or comments about our privacy practices, please call us at 1 (877) 974-6852.
104
GOTHAM FUNDS
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Funds. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contain additional information about the Trustees and is available, without charge, upon request by calling (866) 640-5704.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. Chairman from 2007 until September 30, 2019. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 31 | Optimum Fund Trust (registered investment company with 6 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | Retired since September 2020; Professor of Finance, Widener University from 1998 to August 2020. | 31 | Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
105
GOTHAM FUNDS
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee since 2016. Chairman since October 1, 2019. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 31 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 31 |
Lincoln Variable Insurance Products Trust (registered investment company with 97 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
106
GOTHAM FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years |
Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by Trustee | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Assets Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 31 | Copeland Trust (registered investment company with 2 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
GABRIELLA MERCINCAVAGE Date of Birth: 6/68 | Assistant Treasurer | Shall serve until death, resignation or removal. Officer since 2019. | Fund Administration Consultant since January 2019; Fund Accounting and Tax Compliance Accountant to financial services companies from November 2003 to July 2018. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
GUY F. TALARICO Date of Birth: 8/55 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2020. | Chief Executive Officer of Alaric Compliance Services LLC since June 2004. |
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Investment Adviser
Gotham Asset Management, LLC
535 Madison Avenue, 30th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTII-0921
Sirios Long/Short Fund
Sirios Focus Fund
of
FundVantage Trust
Institutional Class
ANNUAL REPORT
September 30, 2021
IMPORTANT NOTE: As permitted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports are no longer sent by mail, unless you specifically request paper copies of the shareholder reports from the Funds or from your financial intermediary. Instead, shareholder reports are available on the Sirios Funds’ website (www.sirioslp.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper, free of charge. To elect to receive paper copies of shareholder reports through the mail or otherwise change your delivery method, contact your financial intermediary or, if you hold your shares directly through the Funds, call toll-free at (866) 640-5704 or write to:
Sirios Funds
FundVantage Trust
c/o BNY Mellon Investment Servicing
P.O. Box 9829
Providence, RI 02940-8029
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
SIRIOS LONG/SHORT FUND
Annual Investment Adviser’s Report
September 30, 2021
(Unaudited)
Dear Fellow Shareholder:
The Sirios Long/Short Fund’s Institutional Class shares (SLHIX) returned 17.93% net of expenses for the fiscal year ended September 30, 2021, while the HFRX Equity Hedge Index returned 17.74%.
The Sirios Long/Short Fund is a liquid, long/short strategy that seeks to achieve long-term capital appreciation. The Fund’s long exposure is comprised of companies exhibiting earnings growth potential and attractive valuation. Meanwhile, short exposure includes sector and index hedges, as well as mega-capitalization, single-stock positions. Single-stock and index put options may also be utilized.
Portfolio Review
For the fiscal year, long common equity positions contributed 32.77% to gross performance, while short common equity positions detracted 12.28% and short fixed income positions detracted 0.80%. Other income, expenses, and currency hedges detracted 1.76%. Geographically, common equity positions in North America and Europe contributed 14.67% and 5.02%, respectively, to gross performance. The most significant individual positive long contributors (+10.35%) were Alcon (Switzerland), IHS Markit, J.P.Morgan, Eli Lilly, and Airbus (France). The most significant long detractors (1.54%) were London Stock Exchange (U.K.), Discovery, Allison Transmission, ON24, and Amazon.
Exposure Analysis
Total net exposure as of fiscal year-end was 60%, as compared to 62% the prior fiscal year-end, as gross long exposure increased by 2% while gross short exposure increased by 4%. Net exposure is balanced across the Consumer (+14%), Health Care (+14%), Financials/RE (+13%), Technology/Communications (+13%), and Energy/Industrials (+9%) sectors. During the fiscal year, net exposure increased in the Financials/RE (+3%) sector, while net exposure decreased in the Technology/Communications (-10%), Health Care (-8%), Consumer (-1%), and Energy/Industrials (-1%) sectors.
Net exposure remains primarily focused on North America (+42%), with positive net exposure to Europe (+18%) and no direct exposure to Asia as of fiscal year-end. During the fiscal year, net exposure to North America decreased by 2% driven by increased gross short exposure. Net exposure to Europe remained consistent with the prior fiscal year end.
Market Overview
The U.S. economy experienced robust growth over the last year after successful progress on vaccinations against COVID-19 allowed for easing of related restrictions, and a return to normalized consumer activity. By the end of September, 2021, 64% of the U.S. population 12 years and older were fully vaccinated against the virus while 75% had received at least one dose, according to CDC data. The accelerated economic recovery caused labor and material shortages as well as manufacturing and transportation bottlenecks as companies endeavored to keep up with strong consumer demand. This pent-up demand coupled with monetary and fiscal stimulus drove equity markets to all-time highs in early September before pulling back the balance of the month. U.S. real gross domestic product increased each quarter from 4.5% in fourth quarter of 2020 to 6.3% in the first quarter of 2021, followed by 6.7% in the second quarter of 2021; however, slower growth is expected in the third quarter of 2021. Despite adding over 5.5 million jobs to the labor market over the last year, payroll employment was still 5.3 million below the pre-pandemic level. The unemployment rate dropped to 4.8% in September, marking its lowest level since the pandemic started but still above the 3.5% seen in February 2020. The combination of unprecedented stimulus, supply chain issues, and strong economic reopening created a perfect environment for higher inflation trends, which is reflected in both year-over-year core Producer Price Index (up 6.8%) and year-over-year core Consumer Price Index (up 4%). S&P 500 companies’ second quarter of 2021 results yielded an 89% blended earnings growth rate and blended revenue growth rate just under 25%. In addition, 87% of S&P 500 companies surpassed earnings estimates, above the five-year average of 75%, while 87% of companies surpassed revenue estimates, above the five-year average of 65%.
1
SIRIOS LONG/SHORT FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2021
(Unaudited)
The Federal Reserve maintained the benchmark federal funds rate between 0.00% - 0.25% all year but commenced tapering discussions over its $120 billion of monthly asset purchases. An interest rate hike is not expected until late 2022 at the earliest. On the fiscal policy front, President Biden’s infrastructure and social spending plans stalled as the debt ceiling resolution moved to the top of the Congressional agenda.
Outlook
Despite a surge in COVID infections during the third quarter of 2021, economic growth remained strong as consumer spending proved resilient and leading indicators for industrial activity showed further momentum. The Federal Reserve signaled that conditions to satisfy its dual mandate have been reached, with recent trends in employment showing less slack than previously expected. While the Federal Reserve has termed the recent increase in inflation as “transitory”, most companies are concerned about long-term supply-chain issues and the lack of skilled labor. The combination of excessive government spending, pent-up consumer savings, and rapid money supply growth has resulted in an escalation of asset values and early signs of increased core inflation.
Record low interest rates and strong economic activity has pushed valuations to extreme levels just as the Federal Reserve has signaled the end of quantitative easing is near. As the Federal Reserve begins to reduce the degree of balance sheet expansion, which it expects to complete by mid-2022, it’s likely to put upward pressure on the long-end of the yield curve. Inflation expectations are also likely to increase as wages continue to rise and the surge in home prices gets reflected in “owner-equivalent rents”. If Congress is successful in passing the $1 trillion infrastructure plan and the $3.5 trillion tax reform and social spending plan, core inflation is likely to accelerate beyond the current expectation of 4 - 4.5%.
Excessive valuation, Federal Reserve tightening, and the potential for margin-driven earnings disappointments all point to a more difficult backdrop for the equity market in the near-term.
Thank you for your continued confidence in Sirios Capital Management.
Sincerely,
John F. Brennan, Jr.
Managing Director
This letter is intended to assist shareholders in understanding how the Sirios Long/Short Fund performed during the year ended September 30, 2021. Any statements of opinion constitute only past opinions of Sirios Capital Management, L.P. (“Sirios”), which may have changed and which Sirios does not undertake to update. Past performance is no guarantee of future results of any fund or account managed by Sirios.
The above commentary is for informational purposes only and is not intended as investment advice or securities recommendations, either explicit or implicit.
Sector exposures and holdings are subject to change. Exposures are expressed as a percentage of net assets and exclude cash and cash equivalents.
2
SIRIOS FOCUS FUND
Annual Investment Adviser’s Report
September 30, 2021
(Unaudited)
Dear Fellow Shareholder:
The Sirios Focus Fund’s Institutional Class shares (SFFIX) returned 16.80% net of expenses from its inception on December 16, 2020 through the fiscal year ended September 30, 2021, while the S&P 500 Total Return Index returned 17.91%.
The Sirios Focus Fund is a concentrated long strategy that seeks to deliver long-term capital appreciation. The Fund’s exposure consists primarily of equity and equity-related securities of approximately 25 to 60 companies. The Fund typically invests in companies exhibiting long-term earnings growth potential and attractive valuation.
Portfolio Review
From the Fund’s inception on December 16, 2020 through the fiscal year-end, common equity positions contributed 17.81% to gross performance, while other income, expenses, and currency hedges detracted 1.01%. Geographically, common equity positions in North America and Europe contributed 15.83% and 1.98%, respectively, to gross performance. The most significant individual positive long contributors (+7.09%) were IHS Markit, Alcon (Switzerland), Williams-Sonoma, Eli Lilly, and Danaher. The most significant long detractors (1.93%) were London Stock Exchange (U.K.), Qualcomm, Allison Transmission, Discovery, and ON24.
Exposure Analysis
The Fund’s cash balance as a percentage of the entire portfolio decreased by 7.3% during the period from the Fund’s inception through the fiscal year-end. Exposure is balanced across the Technology/Communications (+28.1%), Health Care (+19.9%), Consumer (+19.4%), Financials/RE (+17.5%), and Energy/Industrials (+14.3%) sectors. During the period, exposure increased in the Financials/RE (+6.6%), Technology/Communications (5.2%), and Consumer (2.2%) sectors. Exposure decreased in the Health Care (-4.4%) and Energy/Industrials (-2.3%) sectors.
The Fund’s exposure remains primarily focused on North America (+81.5%), with positive exposure to Europe (+17.7%) and no direct exposure to Asia as of fiscal year-end. During the period from the Fund’s inception through the fiscal year-end, exposure to North America increased by 5.6% while exposure to Europe increased 1.7%.
Market Overview
The U.S. economy experienced robust growth over the last year after successful progress on vaccinations against COVID-19 allowed for easing of related restrictions, and a return to normalized consumer activity. By the end of September, 2021, 64% of the U.S. population 12 years and older were fully vaccinated against the virus while 75% had received at least one dose, according to CDC data. The accelerated economic recovery caused labor and material shortages as well as manufacturing and transportation bottlenecks as companies endeavored to keep up with strong consumer demand. This pent-up demand coupled with monetary and fiscal stimulus drove equity markets to all-time highs in early September before pulling back the balance of the month. U.S. real gross domestic product increased each quarter from 4.5% in the fourth quarter of 2020 to 6.3% in the first quarter of 2021 , followed by 6.7% in the second quarter of 2021; however, slower growth is expected in the third quarter of 2021. Despite adding over 5.5 million jobs to the labor market over the last year, payroll employment was still 5.3 million below the pre-pandemic level. The unemployment rate dropped to 4.8% in September, marking its lowest level since the pandemic started but still above the 3.5% seen in February 2020. The combination of unprecedented stimulus, supply chain issues, and strong economic reopening created a perfect environment for higher inflation trends, which is reflected in both year-over-year core Producer Price Index (up 6.8%) and year-over-year core Consumer Price Index (up 4%). S&P 500 companies’ second quarter of 2021 results yielded an 89% blended earnings growth rate and blended revenue growth rate just under 25%. In addition, 87% of S&P 500 companies surpassed earnings estimates, above the five-year average of 75%, while 87% of companies surpassed revenue estimates, above the five-year average of 65%.
3
SIRIOS FOCUS FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2021
(Unaudited)
The Federal Reserve maintained the benchmark federal funds rate between 0.00% - 0.25% all year but commenced tapering discussions over its $120 billion of monthly asset purchases. An interest rate hike is not expected until late 2022 at the earliest. On the fiscal policy front, President Biden’s infrastructure and social spending plans stalled as the debt ceiling resolution moved to the top of the Congressional agenda.
Outlook
Despite a surge in COVID infections during the third quarter of 2021, economic growth remained strong as consumer spending proved resilient and leading indicators for industrial activity showed further momentum. The Federal Reserve signaled that conditions to satisfy its dual mandate have been reached, with recent trends in employment showing less slack than previously expected. While the Federal Reserve has termed the recent increase in inflation as “transitory”, most companies are concerned about long-term supply-chain issues and the lack of skilled labor. The combination of excessive government spending, pent-up consumer savings, and rapid money supply growth has resulted in an escalation of asset values and early signs of increased core inflation.
Record low interest rates and strong economic activity has pushed valuations to extreme levels just as the Federal Reserve has signaled the end of quantitative easing is near. As the Federal Reserve begins to reduce the degree of balance sheet expansion, which it expects to complete by mid-2022, it’s likely to put upward pressure on the long-end of the yield curve. Inflation expectations are also likely to increase as wages continue to rise and the surge in home prices gets reflected in “owner-equivalent rents”. If Congress is successful in passing the $1 trillion infrastructure plan and the $3.5 trillion tax reform and social spending plan, core inflation is likely to accelerate beyond the current expectation of 4 - 4.5%.
Excessive valuation, Federal Reserve tightening, and the potential for margin-driven earnings disappointments all point to a more difficult backdrop for the equity market in the near-term.
Thank you for your continued confidence in Sirios Capital Management.
Sincerely,
John F. Brennan, Jr.
Managing Director
This letter is intended to assist shareholders in understanding how the Sirios Focus Fund performed during the year ended September 30, 2021. Any statements of opinion constitute only past opinions of Sirios Capital Management, L.P. (“Sirios”), which may have changed and which Sirios does not undertake to update. Past performance is no guarantee of future results of any fund or account managed by Sirios.
The above commentary is for informational purposes only and is not intended as investment advice or securities recommendations, either explicit or implicit.
Sector exposures and holdings are subject to change. Exposures are expressed as a percentage of net assets and exclude cash and cash equivalents.
4
SIRIOS LONG/SHORT FUND
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 (investment minimum) Investment in Sirios Long/Short Fund Institutional Class vs. HFRX Equity Hedge Index
Average Annual Total Returns for the Periods Ended September 30, 2021 |
| |||||||||
1 Year | 3 Years | Since Inception | ||||||||
Institutional Class Shares | 17.93 | % | 4.75% | 6.20%* | ||||||
HFRX Equity Hedge Index | 17.74 | % | 4.96% | 3.95%** |
* | The Sirios Long/Short Fund (the “Fund”) Institutional Class shares commenced operation on May 3, 2018. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2021 are 2.49% and 1.60%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities, and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2022, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the HFRX Equity Hedge Index (“HFRX Index”). Hedge Fund Research, Inc. constructs the HFRX Index methodology. The HFRX Index is comprised of long/short equity hedge funds. The HFRX Index is unmanaged and its returns (i) do not include sales charges or fees, which would lower performance; and (ii) are subject to a variety of material distortions, as investments in hedge funds typically involve substantial risks, including the “risk of ruin.” It is impossible to invest directly in an index.
5
SIRIOS LONG/SHORT FUND
Annual Report
Performance Data (Concluded)
September 30, 2021
(Unaudited)
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
6
SIRIOS FOCUS FUND
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $100,000 (investment minimum) Investment in Sirios Focus Fund Institutional Class vs. S&P 500® Index
Total Returns for the Period Ended September 30, 2021 |
| |||||||
Since Inception† | ||||||||
Institutional Class Shares | 16.80%* | |||||||
S&P 500® Index | 17.91%** |
† | Not annualized. |
* | The Sirios Focus Fund (the “Fund”) Institutional Class shares commenced operation on December 16, 2020. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund has been in existence for less than one year; cumulative performance may not be indicative of the Fund’s long-term potential. The Fund returns will fluctuate over long and short-term periods.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 16, 2020, are 1.83% and 1.60%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until February 1, 2022, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund intends to evaluate performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®“). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
7
SIRIOS FOCUS FUND
Annual Report
Performance Data (Concluded)
September 30, 2021
(Unaudited)
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
8
SIRIOS FUNDS
Fund Expense Disclosure
September 30, 2021
(Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from April 1, 2021 through September 30, 2021 and held for the entire period.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period | |||||||||||||||||
Sirios Long/Short Fund | ||||||||||||||||||||
Institutional Class* | ||||||||||||||||||||
Actual | $1,000.00 | $1,050.00 | 1.62 | % | $8.33 | ** | ||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.95 | 1.62 | % | 8.19 | ** | ||||||||||||||
Sirios Focus Fund | ||||||||||||||||||||
Institutional Class*** | ||||||||||||||||||||
Actual | $1,000.00 | $1,077.50 | 1.60 | % | $8.33 | |||||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.05 | 1.60 | % | 8.09 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended September 30, 2021 of 1.62% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 365 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 5.00%. |
** | These amounts include interest paid on securities which the Fund has sold short (“Short-sale interest”). The amount of short-sale interest expense was 0.02% of average net assets for the Institutional Class shares of the Fund. |
9
SIRIOS FUNDS
Fund Expense Disclosure (Concluded)
September 30, 2021
(Unaudited)
*** | Expenses are equal to the annualized expense ratio for the six-month period ended September 30, 2021 of 1.60% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 365 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 7.75%. |
10
SIRIOS LONG/SHORT FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Healthcare-Products | 13.8 | % | $ | 4,112,460 | ||||
Semiconductors | 9.4 | 2,797,151 | ||||||
Software | 8.0 | 2,383,034 | ||||||
Retail | 7.0 | 2,103,640 | ||||||
Diversified Financial Services | 6.5 | 1,958,132 | ||||||
Pharmaceuticals | 5.9 | 1,756,277 | ||||||
Commercial Services | 5.8 | 1,746,268 | ||||||
Banks | 4.8 | 1,442,657 | ||||||
Internet | 4.2 | 1,243,611 | ||||||
Beverages | 4.0 | 1,204,093 | ||||||
Leisure Time | 3.6 | 1,067,862 | ||||||
Telecommunications | 2.7 | 817,875 | ||||||
Airlines | 2.7 | 808,377 | ||||||
Oil & Gas Services | 2.3 | 687,823 | ||||||
Building Materials | 1.9 | 554,784 | ||||||
Auto Parts & Equipment | 1.8 | 540,290 | ||||||
Auto Manufacturers | 1.5 | 454,658 | ||||||
Home Builders | 1.4 | 420,186 | ||||||
Transportation | 1.1 | 324,587 | ||||||
Aerospace & Defense | 1.0 | 296,572 | ||||||
Computers | 1.0 | 287,706 | ||||||
Apparel | 0.9 | 263,302 | ||||||
Electronics | 0.8 | 234,442 | ||||||
Environmental Control | 0.7 | 215,214 | ||||||
Media | 0.6 | 189,640 | ||||||
Chemicals | 0.5 | 158,327 | ||||||
Toys/Games/Hobbies | 0.4 | 107,421 | ||||||
|
|
|
| |||||
Total Common Stocks | 94.3 | 28,176,389 | ||||||
|
|
|
| |||||
Short-Term Investments. | 6.0 | 1,803,104 | ||||||
|
|
|
| |||||
Liabilities in Excess of Other Assets | (0.3 | ) | (85,127 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 29,894,366 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
11
SIRIOS LONG/SHORT FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Values | |||||||
COMMON STOCKS — 94.3% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
Airbus SE (France)* | 2,237 | $ | 296,572 | |||||
|
| |||||||
Airlines — 2.7% | ||||||||
Southwest Airlines Co.* | 15,718 | 808,377 | ||||||
|
| |||||||
Apparel — 0.9% | ||||||||
NIKE, Inc., Class B | 1,813 | 263,302 | ||||||
|
| |||||||
Auto Manufacturers — 1.5% | ||||||||
PACCAR, Inc. | 5,761 | 454,658 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.8% | ||||||||
Allison Transmission Holdings, Inc. | 15,297 | 540,290 | ||||||
|
| |||||||
Banks — 4.8% | ||||||||
JPMorgan Chase & Co. | 945 | 154,687 | ||||||
Wells Fargo & Co.† | 27,752 | 1,287,970 | ||||||
|
| |||||||
1,442,657 | ||||||||
|
| |||||||
Beverages — 4.0% | ||||||||
Constellation Brands, Inc., Class A | 5,715 | 1,204,093 | ||||||
|
| |||||||
Building Materials — 1.9% | ||||||||
Johnson Controls International PLC | 8,149 | 554,784 | ||||||
|
| |||||||
Chemicals — 0.5% | ||||||||
Sherwin-Williams Co. (The) | 566 | 158,327 | ||||||
|
| |||||||
Commercial Services — 5.8% | ||||||||
IHS Markit Ltd. (United Kingdom)† | 14,974 | 1,746,268 | ||||||
|
| |||||||
Computers — 1.0% | ||||||||
CyberArk Software Ltd. (Israel)* | 1,823 | 287,706 | ||||||
|
| |||||||
Diversified Financial Services — 6.5% |
| |||||||
Janus Henderson Group PLC (United Kingdom) | 3,539 | 146,267 | ||||||
London Stock Exchange Group PLC (United Kingdom) | 18,081 | 1,811,865 | ||||||
|
| |||||||
1,958,132 | ||||||||
|
| |||||||
Electronics — 0.8% | ||||||||
Keysight Technologies, Inc.* | 1,427 | 234,442 | ||||||
|
| |||||||
Environmental Control — 0.7% | ||||||||
Waste Connections, Inc. | 1,709 | 215,214 | ||||||
|
| |||||||
Healthcare-Products — 13.8% | ||||||||
Abbott Laboratories† | 5,169 | 610,614 | ||||||
Alcon, Inc. (Switzerland) | 18,220 | 1,466,164 | ||||||
Boston Scientific Corp.†* | 12,383 | 537,298 | ||||||
Danaher Corp.† | 2,124 | 646,631 | ||||||
Medtronic PLC (Ireland) | 6,795 | 851,753 | ||||||
|
| |||||||
4,112,460 | ||||||||
|
| |||||||
Home Builders — 1.4% | ||||||||
DR Horton, Inc. | 5,004 | 420,186 | ||||||
|
|
Number of Shares | Values | |||||||
Common Stocks — (Continued) | ||||||||
Internet — 4.2% | ||||||||
Alphabet, Inc., Class A†* | 305 | $ | 815,424 | |||||
Amazon.com, Inc.* | 91 | 298,939 | ||||||
Bumble, Inc., Class A* | 2,586 | 129,248 | ||||||
|
| |||||||
1,243,611 | ||||||||
|
| |||||||
Leisure Time — 3.6% | ||||||||
Carnival Corp.* | 22,336 | 558,623 | ||||||
Royal Caribbean Cruises Ltd.* | 5,725 | 509,239 | ||||||
|
| |||||||
1,067,862 | ||||||||
|
| |||||||
Media — 0.6% | ||||||||
Walt Disney Co. (The)* | 1,121 | 189,640 | ||||||
|
| |||||||
Oil & Gas Services — 2.3% | ||||||||
Baker Hughes Co. | 15,702 | 388,311 | ||||||
Schlumberger NV | 10,105 | 299,512 | ||||||
|
| |||||||
687,823 | ||||||||
|
| |||||||
Pharmaceuticals — 5.9% | ||||||||
Eli Lilly and Co.† | 2,539 | 586,636 | ||||||
Option Care Health, Inc.* | 7,160 | 173,702 | ||||||
Pfizer, Inc.† | 23,156 | 995,939 | ||||||
|
| |||||||
1,756,277 | ||||||||
|
| |||||||
Retail — 7.0% | ||||||||
Lowe’s Cos., Inc. | 2,245 | 455,421 | ||||||
Papa John’s International, Inc. | 2,527 | 320,904 | ||||||
Williams-Sonoma, Inc. | 7,485 | 1,327,315 | ||||||
|
| |||||||
2,103,640 | ||||||||
|
| |||||||
Semiconductors — 9.4% | ||||||||
Analog Devices, Inc.† | 10,877 | 1,821,680 | ||||||
Marvell Technology, Inc. | 2,485 | 149,870 | ||||||
QUALCOMM, Inc.† | 6,401 | 825,601 | ||||||
|
| |||||||
2,797,151 | ||||||||
|
| |||||||
Software — 8.0% | ||||||||
Cognyte Software Ltd. (Israel)* | 3,739 | 76,836 | ||||||
Dropbox, Inc., Class A* | 2,577 | 75,300 | ||||||
Electronic Arts, Inc. | 1,568 | 223,048 | ||||||
Microsoft Corp. | 1,747 | 492,514 | ||||||
ON24, Inc.* | 14,803 | 295,172 | ||||||
PTC, Inc.* | 3,006 | 360,089 | ||||||
Roper Technologies, Inc.† | 954 | 425,608 | ||||||
Splunk, Inc.* | 1,009 | 146,012 | ||||||
Verra Mobility Corp.* | 19,141 | 288,455 | ||||||
|
| |||||||
2,383,034 | ||||||||
|
| |||||||
Telecommunications — 2.7% | ||||||||
Anterix, Inc.* | 2,812 | 170,688 |
The accompanying notes are an integral part of the financial statements.
12
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Values | |||||||
Common Stocks — (Continued) | ||||||||
Telecommunications — (Continued) |
| |||||||
Telefonaktiebolaget LM Ericsson, Class B (Sweden) | 30,343 | $ | 342,479 | |||||
T-Mobile US, Inc.* | 2,385 | 304,708 | ||||||
|
| |||||||
817,875 | ||||||||
|
| |||||||
Toys/Games/Hobbies — 0.4% | ||||||||
Hasbro, Inc. | 1,204 | 107,421 | ||||||
|
| |||||||
Transportation — 1.1% | ||||||||
Old Dominion Freight Line, Inc. | 1,135 | 324,587 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 28,176,389 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 6.0% |
| |||||||
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 0.01%(a) | 1,803,104 | 1,803,104 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.3% (Cost $26,231,194) | 29,979,493 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% | (85,127 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 29,894,366 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
(a) | Rate disclosed is the 7-day yield at September 30, 2021. |
Forward foreign currency contracts outstanding as of September 30, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||
EUR | 204,000 | USD | 239,962 | 12/15/21 | MS | $(3,270 | ) | |||||||||||||||||||||||||
GBP | 31,000 | USD | 42,423 | 12/15/21 | MS | (648 | ) | |||||||||||||||||||||||||
USD | 1,810,810 | EUR | 1,534,000 | 12/15/21 | MS | 30,985 | ||||||||||||||||||||||||||
USD | 1,885,113 | GBP | 1,370,000 | 12/15/21 | MS | 38,908 | ||||||||||||||||||||||||||
USD | 353,034 | SEK | 3,044,000 | 12/15/21 | MS | 5,053 | ||||||||||||||||||||||||||
$71,028 |
The accompanying notes are an integral part of the financial statements.
13
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
September 30, 2021
The following table represents Total Return Swaps - Long positions and their related values as of September 30, 2021.
Reference Entity/Index (Receive) | Pay | Payment Frequency | Counter- Party | Expiration Date | Notional Amount | Value and Unrealized Appreciation | ||||||||||||||||||||||||
Cellnex Telecom SA | U.S. Fed Funds +0.550% | Maturity | MS | 11/15/22 | $ | 954,666 | $ | 276,989 | ||||||||||||||||||||||
|
|
The following table represents Total Return Swaps - Short positions and their related values as of September 30, 2021.
Reference Entity/Index (Pay) | Receive | Payment Frequency | Counter- Party | Expiration Date | Notional Amount | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Aflac, Inc. | U.S. Fed Funds -0.300% | Maturity | MS | 10/31/22 | $ 286,871 | $ (6,636 | ) | |||||||||||||||||||||||
Dow Jones U.S. Real Estate Index | U.S. Fed Funds -0.200% | Maturity | MS | 10/31/22 | 113,104 | (15,823 | ) | |||||||||||||||||||||||
Home Depot, Inc. | U.S. Fed Funds -0.300% | Maturity | MS | 10/31/22 | 304,827 | 4,206 | ||||||||||||||||||||||||
S&P 500 Equal Weight Consumer Discretionary | U.S. Fed Funds -0.350% | Maturity | MS | 10/31/22 | 264,085 | (26,159 | ) | |||||||||||||||||||||||
S&P 500 Equal Weight Information Technology | U.S. Fed Funds -0.350% | Maturity | MS | 10/31/22 | 1,428,166 | (58,795 | ) | |||||||||||||||||||||||
S&P 500 Index | U.S. Fed Funds -0.250% | Maturity | MS | 10/31/22 | 817,031 | (130,550 | ) | |||||||||||||||||||||||
Walmart, Inc. | U.S. Fed Funds -0.300% | Maturity | MS | 10/31/22 | 461,071 | 2,615 | ||||||||||||||||||||||||
S&P 500 Index Pharmaceuticals Select Sector | U.S. Fed Funds -0.350% | Maturity | MS | 12/07/23 | 782,983 | (16,716 | ) | |||||||||||||||||||||||
S&P 500 Equal Weight Communication Services | U.S. Fed Funds -0.350% | Maturity | MS | 02/22/24 | 1,025,654 | 7,826 | ||||||||||||||||||||||||
S&P 500 Index Semiconductor Select Sector | U.S. Fed Funds -0.070% | Maturity | MS | 04/11/24 | 986,697 | (192,320 | ) | |||||||||||||||||||||||
S&P 500 Index Software & Services Select Industry | U.S. Fed Funds +0.070% | Maturity | MS | 04/11/24 | 743,892 | (44,446 | ) | |||||||||||||||||||||||
S&P 500 Equal Weight Index | U.S. Fed Funds -0.350% | Maturity | MS | 04/24/24 | 1,784,616 | (111,941 | ) | |||||||||||||||||||||||
Dow Jones U.S. Select Home Construction Index | U.S. Fed Funds -0.350% | Maturity | MS | 07/24/24 | 221,863 | 5,174 | ||||||||||||||||||||||||
S&P 500 Index Retail Select Industry Index | U.S. Fed Funds -1.270% | Maturity | MS | 07/24/24 | 213,531 | 5,236 | ||||||||||||||||||||||||
S&P 500 Equal Weight Financial | U.S. Fed Funds -0.350% | Maturity | MS | 07/31/24 | 751,777 | 5,343 | ||||||||||||||||||||||||
S&P 500 Equal Weight Health Care | U.S. Fed Funds -0.350% | Maturity | MS | 07/31/24 | 939,289 | (20,644 | ) | |||||||||||||||||||||||
$(593,630 | ) | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Swap Contracts | $(316,641 | ) | ||||||||||||||||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
14
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
September 30, 2021
Legend | ||
EUR | Euro | |
GBP | British Pound | |
MS | Morgan Stanley | |
PLC | Public Limited Company | |
SEK | Sweden Krona | |
USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
15
SIRIOS FOCUS FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Healthcare-Products | 13.9 | % | $ | 1,627,147 | ||||
Semiconductors | 9.4 | 1,103,555 | ||||||
Software | 8.0 | 931,726 | ||||||
Retail | 7.1 | 831,063 | ||||||
Diversified Financial Services | 6.6 | 769,382 | ||||||
Commercial Services | 6.0 | 694,939 | ||||||
Pharmaceuticals | 5.9 | 693,441 | ||||||
Banks | 4.9 | 572,932 | ||||||
Internet | 4.2 | 487,690 | ||||||
Beverages | 4.1 | 477,845 | ||||||
Leisure Time | 3.6 | 417,279 | ||||||
Telecommunications | 2.8 | 323,298 | ||||||
Airlines | 2.7 | 316,500 | ||||||
Oil & Gas Services | 2.2 | 256,501 | ||||||
Building Materials | 1.9 | 219,422 | ||||||
Auto Parts & Equipment | 1.8 | 212,203 | ||||||
Auto Manufacturers | 1.5 | 178,280 | ||||||
Home Builders | 1.4 | 165,169 | ||||||
Transportation | 1.1 | 126,117 | ||||||
Aerospace & Defense | 1.0 | 116,799 | ||||||
Computers | 1.0 | 114,104 | ||||||
Apparel | 0.9 | 103,549 | ||||||
Electronics | 0.8 | 92,824 | ||||||
Environmental Control | 0.7 | 80,217 | ||||||
Media | 0.6 | 74,604 | ||||||
Chemicals | 0.5 | 61,541 | ||||||
Toys/Games/Hobbies | 0.4 | 42,023 | ||||||
|
|
|
| |||||
Total Common Stocks | 95.0 | 11,090,150 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 5.0 | 588,524 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 11,678,674 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
16
SIRIOS FOCUS FUND
Portfolio of Investments
September 30, 2021
Number of Shares | Values | |||||||
COMMON STOCKS — 95.0% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
Airbus SE (France)* | 881 | $ | 116,799 | |||||
|
| |||||||
Airlines — 2.7% | ||||||||
Southwest Airlines Co.* | 6,154 | 316,500 | ||||||
|
| |||||||
Apparel — 0.9% | ||||||||
NIKE, Inc., Class B | 713 | 103,549 | ||||||
|
| |||||||
Auto Manufacturers — 1.5% | ||||||||
PACCAR, Inc. | 2,259 | 178,280 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.8% | ||||||||
Allison Transmission Holdings, Inc. | 6,008 | 212,203 | ||||||
|
| |||||||
Banks — 4.9% |
| |||||||
JPMorgan Chase & Co. | 370 | 60,565 | ||||||
Wells Fargo & Co. | 11,040 | 512,367 | ||||||
|
| |||||||
572,932 | ||||||||
|
| |||||||
Beverages — 4.1% |
| |||||||
Constellation Brands, Inc., Class A | 2,268 | 477,845 | ||||||
|
| |||||||
Building Materials — 1.9% | ||||||||
Johnson Controls International PLC | 3,223 | 219,422 | ||||||
|
| |||||||
Chemicals — 0.5% | ||||||||
Sherwin-Williams Co. (The) | 220 | 61,541 | ||||||
|
| |||||||
Commercial Services — 6.0% | ||||||||
IHS Markit Ltd. (United Kingdom) | 5,959 | 694,939 | ||||||
|
| |||||||
Computers — 1.0% | ||||||||
CyberArk Software Ltd. (Israel)* | 723 | 114,104 | ||||||
|
| |||||||
Diversified Financial Services — 6.6% |
| |||||||
Janus Henderson Group PLC (United Kingdom) | 1,401 | 57,903 | ||||||
London Stock Exchange Group PLC (United Kingdom) | 7,100 | 711,479 | ||||||
|
| |||||||
769,382 | ||||||||
|
| |||||||
Electronics — 0.8% | ||||||||
Keysight Technologies, Inc.* | 565 | 92,824 | ||||||
|
| |||||||
Environmental Control — 0.7% | ||||||||
Waste Connections, Inc. | 637 | 80,217 | ||||||
|
| |||||||
Healthcare-Products — 13.9% |
| |||||||
Abbott Laboratories | 2,030 | 239,804 | ||||||
Alcon, Inc. (Switzerland) | 7,251 | 583,488 | ||||||
Boston Scientific Corp.* | 4,863 | 211,006 | ||||||
Danaher Corp. | 834 | 253,903 | ||||||
Medtronic PLC (Ireland) | 2,704 | 338,946 | ||||||
|
| |||||||
1,627,147 | ||||||||
|
| |||||||
Home Builders — 1.4% | ||||||||
DR Horton, Inc. | 1,967 | 165,169 | ||||||
|
|
Number of Shares | Values | |||||||
Common Stocks — (Continued) |
| |||||||
Internet — 4.2% | ||||||||
Alphabet, Inc., Class A* | 119 | $ | 318,149 | |||||
Amazon.com, Inc.* | 36 | 118,261 | ||||||
Bumble, Inc., Class A* | 1,026 | 51,280 | ||||||
|
| |||||||
487,690 | ||||||||
|
| |||||||
Leisure Time — 3.6% | ||||||||
Carnival Corp.* | 8,732 | 218,387 | ||||||
Royal Caribbean Cruises Ltd.* | 2,236 | 198,892 | ||||||
|
| |||||||
417,279 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
Walt Disney Co. (The)* | 441 | 74,604 | ||||||
|
| |||||||
Oil & Gas Services — 2.2% | ||||||||
Baker Hughes Co. | 5,820 | 143,928 | ||||||
Schlumberger NV | 3,798 | 112,573 | ||||||
|
| |||||||
256,501 | ||||||||
|
| |||||||
Pharmaceuticals — 5.9% | ||||||||
Eli Lilly and Co. | 990 | 228,739 | ||||||
Option Care Health, Inc.* | 2,818 | 68,365 | ||||||
Pfizer, Inc.† | 9,215 | 396,337 | ||||||
|
| |||||||
693,441 | ||||||||
|
| |||||||
Retail — 7.1% | ||||||||
Lowe’s Cos., Inc. | 891 | 180,748 | ||||||
Papa John’s International, Inc. | 996 | 126,482 | ||||||
Williams-Sonoma, Inc. | 2,954 | 523,833 | ||||||
|
| |||||||
831,063 | ||||||||
|
| |||||||
Semiconductors — 9.4% | ||||||||
Analog Devices, Inc. | 4,318 | 723,179 | ||||||
Marvell Technology, Inc. | 984 | 59,345 | ||||||
QUALCOMM, Inc.† | 2,489 | 321,031 | ||||||
|
| |||||||
1,103,555 | ||||||||
|
| |||||||
Software — 8.0% |
| |||||||
Cognyte Software Ltd. (Israel)* | 1,468 | 30,167 | ||||||
Dropbox, Inc., Class A* | 1,020 | 29,804 | ||||||
Electronic Arts, Inc. | 622 | 88,479 | ||||||
Microsoft Corp. | 686 | 193,397 | ||||||
ON24, Inc.* | 5,867 | 116,988 | ||||||
PTC, Inc.* | 1,121 | 134,285 | ||||||
Roper Technologies, Inc. | 375 | 167,299 | ||||||
Splunk, Inc.* | 399 | 57,739 | ||||||
Verra Mobility Corp.* | 7,536 | 113,568 | ||||||
|
| |||||||
931,726 | ||||||||
|
| |||||||
Telecommunications — 2.8% | ||||||||
Anterix, Inc.* | 1,103 | 66,952 |
The accompanying notes are an integral part of the financial statements.
17
SIRIOS FOCUS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Values | |||||||
Common Stocks — (Continued) |
| |||||||
Telecommunications — (Continued) |
| |||||||
Telefonaktiebolaget LM Ericsson, Class B (Sweden) | 12,015 | $ | 135,613 | |||||
T-Mobile US, Inc.* | 945 | 120,733 | ||||||
|
| |||||||
323,298 | ||||||||
|
| |||||||
Toys/Games/Hobbies — 0.4% | ||||||||
Hasbro, Inc. | 471 | 42,023 | ||||||
|
| |||||||
Transportation — 1.1% | ||||||||
Old Dominion Freight Line, Inc. | 441 | 126,117 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 11,090,150 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 95.0% | 11,090,150 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF | 588,524 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 11,678,674 | ||||||
|
|
† | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts. (See Note 1 of the Notes to Financial Statements) |
* | Non-income producing. |
Forward foreign currency contracts outstanding as of September 30, 2021 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
EUR | 74,000 | USD | 87,045 | 12/15/21 | MS | $ (1,186 | ) | |||||||||||||||||||||
GBP | 11,000 | USD | 15,053 | 12/15/21 | MS | (230 | ) | |||||||||||||||||||||
USD | 703,563 | EUR | 596,000 | 12/15/21 | MS | 12,053 | ||||||||||||||||||||||
USD | 739,047 | GBP | 537,000 | 12/15/21 | MS | 15,389 | ||||||||||||||||||||||
USD | 139,736 | SEK | 1,205,000 | 12/15/21 | MS | 1,984 | ||||||||||||||||||||||
$28,010 |
The following table represents Total Return Swaps - Long positions and their related values as of September 30, 2021.
Reference Entity/Index (Receive) | Pay | Payment Frequency | Counter- Party | Expiration Date | Notional Amount | Value and Unrealized Appreciation | ||||||||||||||||||||||||
Cellnex Telecom SA | U.S. Fed Funds +0.550% | Maturity | MS | 04/23/24 | $431,730 | $57,862 | ||||||||||||||||||||||||
Total Swap Contracts | $57,862 |
The accompanying notes are an integral part of the financial statements.
18
SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
September 30, 2021
Legend |
EUR | Euro | |
GBP | British Pound | |
MS | Morgan Stanley | |
PLC | Public Limited Company | |
SEK | Sweden Krona | |
USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
19
SIRIOS FUNDS
Statements of Assets and Liabilities
September 30, 2021
Sirios Long/Short Fund | Sirios Focus Fund | |||||||
Assets | ||||||||
Investments, at value* | $ | 29,979,493 | $ | 11,090,150 | ||||
Cash and cash equivalents | 463,637 | 578,876 | ||||||
Cash (segregated for derivative instruments) | 150,333 | — | ||||||
Receivables: | ||||||||
Investments sold | 319,785 | 121,244 | ||||||
Dividends and interest | 15,170 | 4,833 | ||||||
Investment adviser | — | 20,811 | ||||||
Unrealized appreciation on swap contracts | 307,389 | 57,862 | ||||||
Unrealized appreciation on forward foreign currency contracts | 74,946 | 29,426 | ||||||
Prepaid expenses and other assets | 12,943 | 3,381 | ||||||
|
|
|
| |||||
Total Assets | 31,323,696 | 11,906,583 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Unrealized depreciation on swap contracts | 624,030 | — | ||||||
Swap contracts settlement | 160,371 | 7 | ||||||
Unrealized depreciation on forward foreign currency contracts | 3,918 | 1,416 | ||||||
Payables: | ||||||||
Investments purchased | 582,662 | 164,791 | ||||||
Audit fees | 31,020 | 20,000 | ||||||
Administration and accounting fees | 10,719 | 11,880 | ||||||
Investment adviser | 5,212 | — | ||||||
Legal fees | — | 15,586 | ||||||
Accrued expenses | 11,398 | 14,229 | ||||||
|
|
|
| |||||
Total Liabilities | 1,429,330 | 227,909 | ||||||
|
|
|
| |||||
Net Assets | $ | 29,894,366 | $ | 11,678,674 | ||||
|
|
|
| |||||
Net Assets Consisted of: | ||||||||
Capital stock, $0.01 par value | $ | 25,426 | $ | 10,000 | ||||
Paid-in capital | 25,625,027 | 9,990,000 | ||||||
Total distributable earnings | 4,243,913 | 1,678,674 | ||||||
|
|
|
| |||||
Net Assets | $ | 29,894,366 | $ | 11,678,674 | ||||
|
|
|
| |||||
Institutional Class Shares: | ||||||||
Net assets | $ | 29,894,366 | $ | 11,678,674 | ||||
|
|
|
| |||||
Shares outstanding | 2,542,581 | 1,000,000 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.76 | $ | 11.68 | ||||
|
|
|
| |||||
* Investments, at cost | $ | 26,231,194 | $ | 10,234,833 |
The accompanying notes are an integral part of the financial statements.
20
SIRIOS FUNDS
Statements of Operations
For the Period Ended September 30, 2021
Sirios Long/Short Fund | Sirios Focus Fund* | |||||||
Investment income | ||||||||
Dividends | $ | 307,578 | $ | 89,022 | ||||
Less: foreign taxes withheld | (2,801 | ) | (767 | ) | ||||
|
|
|
| |||||
Total investment income | 304,777 | 88,255 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fees (Note 2) | 385,703 | 79,666 | ||||||
Administration and accounting fees (Note 2) | 61,265 | 56,138 | ||||||
Trustees’ and officers’ fees (Note 2) | 44,858 | 16,879 | ||||||
Legal fees | 40,137 | 28,608 | ||||||
Audit fees | 31,416 | 20,000 | ||||||
Transfer agent fees (Note 2) | 30,983 | 22,577 | ||||||
Shareholder reporting fees | 29,161 | 19,818 | ||||||
Registration and filing fees | 27,625 | 8,713 | ||||||
Dividends and fees on securities sold short (Note 1) | 25,785 | — | ||||||
Custodian fees (Note 2) | 21,552 | 13,000 | ||||||
Other expenses | 13,936 | 9,421 | ||||||
|
|
|
| |||||
Total expenses before waivers and reimbursements | 712,421 | 274,820 | ||||||
|
|
|
| |||||
Less: waivers and reimbursements (Note 2) | (230,327 | ) | (133,215 | ) | ||||
|
|
|
| |||||
Net expenses after waivers and reimbursements | 482,094 | 141,605 | ||||||
|
|
|
| |||||
Net investment loss | (177,317 | ) | (53,350 | ) | ||||
|
|
|
| |||||
Net realized and unrealized gain/(loss) from investments: | ||||||||
Net realized gain from investments | 5,201,120 | 767,578 | ||||||
Net realized gain from securities sold short | 181,208 | — | ||||||
Net realized gain/(loss) from swaps | (3,932,590 | ) | 7,044 | |||||
Net realized loss from foreign currency transactions | (2,786 | ) | (2,268 | ) | ||||
Net realized gain/(loss) from forward foreign currency contracts | (28,732 | ) | 18,496 | |||||
Net change in unrealized appreciation on investments | 2,336,933 | 855,317 | ||||||
Net change in unrealized depreciation on securities sold short | (20 | ) | — | |||||
Net change in unrealized appreciation on swaps | 924,379 | 57,862 | ||||||
Net change in unrealized depreciation on foreign currency translations | (118 | ) | (15 | ) | ||||
Net change in unrealized appreciation on forward foreign currency contracts | 41,804 | 28,010 | ||||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 4,721,198 | 1,732,024 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | $ | 4,543,881 | $ | 1,678,674 | ||||
|
|
|
|
* | The Sirios Focus Fund commenced operations on December 16, 2020. |
The accompanying notes are an integral part of the financial statements.
21
SIRIOS FUNDS
Statements of Changes in Net Assets
Sirios Long/Short Fund | ||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment loss | $ | (177,317) | $ | (173,471) | ||||||
Net realized gains from investments, securities sold short, swaps, foreign currency transactions and forward foreign currency contracts | 1,418,220 | 91,615 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments, securities sold short, swaps, foreign currency translations, and forward foreign currency contracts | 3,302,978 | (1,291,955 | ) | |||||||
|
|
|
| |||||||
Net increase/(decrease) in net assets resulting from operations | 4,543,881 | (1,373,811 | ) | |||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Total distributable earnings: | ||||||||||
Institutional Class | (241,186 | ) | (144,660 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (241,186 | ) | (144,660 | ) | ||||||
|
|
|
| |||||||
Increase in net assets derived from capital share transactions (Note 4) | 105,912 | 58,988 | ||||||||
|
|
|
| |||||||
Total increase/(decrease) in net assets | 4,408,607 | (1,459,483 | ) | |||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of year | 25,485,759 | 26,945,242 | ||||||||
|
|
|
| |||||||
End of year | $ | 29,894,366 | $ | 25,485,759 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
22
SIRIOS FUNDS
Statements of Changes in Net Assets (Concluded)
Sirios Focus Fund | |||||
For the Period December 16, 2020* to September 30, 2021 | |||||
Net increase/(decrease) in net assets from operations: | |||||
Net investment loss | $ | (53,350 | ) | ||
Net realized gains from investments, swaps, foreign currency transactions and forward foreign currency contracts | 790,850 | ||||
Net change in unrealized appreciation on investments, swaps, foreign currency translations and forward foreign currency contracts | 941,174 | ||||
|
| ||||
Net increase in net assets resulting from operations | 1,678,674 | ||||
|
| ||||
Increase in net assets derived from capital share transactions (Note 4) | 10,000,000 | ||||
|
| ||||
Total increase in net assets | 11,678,674 | ||||
|
| ||||
Net assets | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 11,678,674 | |||
|
|
* | The Sirios Focus Fund commenced operations on December 16, 2020. |
The accompanying notes are an integral part of the financial statements.
23
SIRIOS LONG/SHORT FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | ||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Period Ended September 30, 2018* | |||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of year/period | $ | 10.06 | $ | 10.66 | $ | 10.68 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment loss(1) | (0.07 | ) | (0.07 | ) | (0.02 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.87 | (0.47 | ) | 0.27 | 0.69 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 1.80 | (0.54 | ) | 0.25 | 0.68 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.06 | ) | (0.01 | ) | — | ||||||||||||||
Net realized capital gains | (0.10 | ) | — | (0.26 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions to shareholders | (0.10 | ) | (0.06 | ) | (0.27 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of year/period | $ | 11.76 | $ | 10.06 | $ | 10.66 | $ | 10.68 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return(2) | 17.93 | % | (5.13 | )% | 2.74 | % | 6.80 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of year/period (in 000s) | $ | 29,894 | $ | 25,486 | $ | 26,945 | $ | 10,679 | ||||||||||||
Ratio of expenses to average net assets | 1.69 | %(3) | 1.60 | % | 2.21 | %(4) | 2.10 | %(4)(5) | ||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(6) | 2.49 | % | 2.49 | % | 3.33 | % | 4.57 | %(5) | ||||||||||||
Ratio of net investment loss to average net assets | (0.62 | )% | (0.66 | )% | (0.22 | )% | (0.19 | )%(5) | ||||||||||||
Portfolio turnover rate | 127 | % | 153 | % | 134 | % | 49 | %(7) |
* | Commenced operations on May 3, 2018. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Ratio of expenses to average net assets with waivers and expense reimbursement, excluding short-sale interest expense, was 1.60% for the year ended September 30, 2021. |
(4) | Ratio of expenses to average net assets with waivers and expense reimbursement, excluding short-sale dividend expense, was 1.60% for the year ended September 30, 2019 and for the period ended September 30, 2018. |
(5) | Annualized. |
(6) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
24
SIRIOS FOCUS FUND
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total return in the table represents the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Institutional Class | |||||
For the Period Ended September 30, 2021* | |||||
Per Share Operating Performance | |||||
Net asset value, beginning of period | $ 10.00 | ||||
|
| ||||
Net investment loss(1) | (0.05 | ) | |||
Net realized and unrealized gain on investments | 1.73 | ||||
|
| ||||
Total from investment operations | 1.68 | ||||
|
| ||||
Net asset value, end of period | $ 11.68 | ||||
|
| ||||
Total investment return(2) | 16.80 | % | |||
Ratios/Supplemental Data | |||||
Net assets, end of period (in 000s) | $11,679 | ||||
Ratio of expenses to average net assets | 1.60 | %(3) | |||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 3.10 | %(3) | |||
Ratio of net investment loss to average net assets | (0.60 | )%(3) | |||
Portfolio turnover rate | 96 | %(5) |
* | Commenced operations on December 16, 2020. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
25
SIRIOS FUNDS
Notes to Financial Statements
September 30, 2021
1. Organization and Significant Accounting Policies
The Sirios Long/Short Fund and the Sirios Focus Fund are non-diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”) (the Sirios Long/Short Fund and the Sirios Focus Fund are each a “Fund”, and together, the “Funds”). The Sirios Long/Short Fund commenced investment operations on May 3, 2018 and the Sirios Focus Fund commenced investment operations on December 16, 2020. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each Fund offers Class A, Advisor Class, Institutional Class and Retail Class shares. As of September 30, 2021, Class A, Advisor Class and Retail Class shares have not been issued.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Each Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates market value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward foreign currency contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). OTC investments (including swap contracts) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations.
26
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 | — | quoted prices in active markets for identical securities; | ||
• Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||
• Level 3 | — | significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of September 30, 2021, in valuing each Fund’s investments carried at fair value:
Funds | Total Value at 09/30/21 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Sirios Long/Short Fund | ||||||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ 296,572 | $ — | $ 296,572 | $— | ||||||||||||
Airlines | 808,377 | 808,377 | — | — | ||||||||||||
Apparel | 263,302 | 263,302 | — | — | ||||||||||||
Auto Manufacturers | 454,658 | 454,658 | — | — | ||||||||||||
Auto Parts & Equipment | 540,290 | 540,290 | — | — | ||||||||||||
Banks | 1,442,657 | 1,442,657 | — | — | ||||||||||||
Beverages | 1,204,093 | 1,204,093 | — | — | ||||||||||||
Building Materials | 554,784 | 554,784 | — | — | ||||||||||||
Chemicals | 158,327 | 158,327 | — | — | ||||||||||||
Commercial Services | 1,746,268 | 1,746,268 | — | — | ||||||||||||
Computers | 287,706 | 287,706 | — | — | ||||||||||||
Diversified Financial Services | 1,958,132 | 146,267 | 1,811,865 | — | ||||||||||||
Electronics | 234,442 | 234,442 | — | — | ||||||||||||
Environmental Control | 215,214 | 215,214 | — | — | ||||||||||||
Healthcare-Products | 4,112,460 | 4,112,460 | — | — | ||||||||||||
Home Builders | 420,186 | 420,186 | — | — | ||||||||||||
Internet | 1,243,611 | 1,243,611 | — | — | ||||||||||||
Leisure Time | 1,067,862 | 1,067,862 | — | — | ||||||||||||
Media | 189,640 | 189,640 | — | — | ||||||||||||
Oil & Gas Services | 687,823 | 687,823 | — | — |
27
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Funds | Total Value at 09/30/21 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||
Sirios Long/Short Fund (continued) | ||||||||||||||
Assets (continued) | ||||||||||||||
Pharmaceuticals | $ 1,756,277 | $ 1,756,277 | $ — | $— | ||||||||||
Retail | 2,103,640 | 2,103,640 | — | — | ||||||||||
Semiconductors | 2,797,151 | 2,797,151 | — | — | ||||||||||
Software | 2,383,034 | 2,383,034 | — | — | ||||||||||
Telecommunications | 817,875 | 475,396 | 342,479 | — | ||||||||||
Toys/Games/Hobbies | 107,421 | 107,421 | — | — | ||||||||||
Transportation | 324,587 | 324,587 | — | — | ||||||||||
Short-Term Investments | 1,803,104 | 1,803,104 | — | — | ||||||||||
Derivatives: | ||||||||||||||
Equity Contracts | ||||||||||||||
Total Return Swap Contracts | 307,389 | — | 307,389 | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||
Forward Foreign Currency Contracts | 74,946 | — | 74,946 | — | ||||||||||
|
|
|
|
|
|
|
| |||||||
Total Assets | $30,361,828 | $27,528,577 | $2,833,251 | $— | ||||||||||
|
|
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||||
Derivatives: | ||||||||||||||
Equity Contracts | ||||||||||||||
Total Return Swap Contracts | $ (624,030) | $ — | $ (624,030) | $— | ||||||||||
Foreign Currency Contracts | ||||||||||||||
Forward Foreign Currency Contracts | (3,918) | — | (3,918) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||
Total Liabilities | $ (627,948) | $ — | $ (627,948) | $— | ||||||||||
|
|
|
|
|
|
|
| |||||||
Sirios Focus Fund | ||||||||||||||
Assets | ||||||||||||||
Common Stocks | ||||||||||||||
Aerospace & Defense | $ 116,799 | $ — | $ 116,799 | $— | ||||||||||
Airlines | 316,500 | 316,500 | — | — | ||||||||||
Apparel | 103,549 | 103,549 | — | — | ||||||||||
Auto Manufacturers | 178,280 | 178,280 | — | — | ||||||||||
Auto Parts & Equipment | 212,203 | 212,203 | — | — | ||||||||||
Banks | 572,932 | 572,932 | — | — | ||||||||||
Beverages | 477,845 | 477,845 | — | — | ||||||||||
Building Materials | 219,422 | 219,422 | — | — | ||||||||||
Chemicals | 61,541 | 61,541 | — | — | ||||||||||
Commercial Services | 694,939 | 694,939 | — | — | ||||||||||
Computers | 114,104 | 114,104 | — | — | ||||||||||
Diversified Financial Services | 769,382 | 57,903 | 711,479 | — | ||||||||||
Electronics | 92,824 | 92,824 | — | — | ||||||||||
Environmental Control | 80,217 | 80,217 | — | — | ||||||||||
Healthcare-Products | 1,627,147 | 1,627,147 | — | — | ||||||||||
Home Builders | 165,169 | 165,169 | — | — | ||||||||||
Internet | 487,690 | 487,690 | — | — | ||||||||||
Leisure Time | 417,279 | 417,279 | — | — | ||||||||||
Media | 74,604 | 74,604 | — | — |
28
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Funds | Total Value at 09/30/21 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
Sirios Focus Fund (continued) | ||||||||||||||||
Assets (continued) | ||||||||||||||||
Oil & Gas Services | $ 256,501 | $ 256,501 | $ — | $— | ||||||||||||
Pharmaceuticals | 693,441 | 693,441 | — | — | ||||||||||||
Retail | 831,063 | 831,063 | — | — | ||||||||||||
Semiconductors | 1,103,555 | 1,103,555 | — | — | ||||||||||||
Software | 931,726 | 931,726 | — | — | ||||||||||||
Telecommunications | 323,298 | 187,685 | 135,613 | — | ||||||||||||
Toys/Games/Hobbies | 42,023 | 42,023 | — | — | ||||||||||||
Transportation | 126,117 | 126,117 | — | — | ||||||||||||
Derivatives: | ||||||||||||||||
Equity Contracts | ||||||||||||||||
Total Return Swap Contract | 57,862 | — | 57,862 | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 29,426 | — | 29,426 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Assets | $11,177,438 | $10,126,259 | $1,051,179 | $— | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Liabilities | ||||||||||||||||
Derivatives: | �� | |||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | $ (1,416 | ) | $ — | $ (1,416 | ) | $— | ||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Liabilities | $ (1,416 | ) | $ — | $ (1,416 | ) | $— | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds have an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the year ended September 30, 2021, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the
29
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
Each Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund’s shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Funds.
Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency
30
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
translation rates. Each Fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. Each Fund utilized Forward Contracts for hedging purposes to protect each Fund’s return against adverse currency movements.
For the year ended September 30, 2021, the Funds’ average monthly volume of forward foreign currency contracts were as follows:
Forward Foreign Currency Contracts - Purchased | Forward Foreign Currency Contracts - Sold | |||
Sirios Long/Short Fund | $698,157 | $3,392,972 | ||
Sirios Focus Fund | $184,481 | $1,219,384 |
Purchased Options — The Funds may purchase option contracts. They are subject to interest rate and other risk exposure in the normal course of pursuing their investment objectives. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
For the year ended September 30, 2021, the daily average volume of purchased options for the Sirios Long/Short Fund was $6,386. As of September 30, 2021, the Sirios Long/Short Fund and the Sirios Focus Fund had no purchased options.
Total Return Swaps — Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). The Funds used total return swaps to enhance returns, obtain short exposure as part of the Funds’ strategy and for market exposure.
For the year ended September 30, 2021, the quarterly average volume of the total return swaps were as follows:
Notional Amount - Long | Notional Amount - Short | |||
Sirios Long/Short Fund | $779,967 | $10,495,190 | ||
Sirios Focus Fund | 265,029 | — |
As of September 30, 2021, the Sirios Long/Short Fund and the Sirios Focus Fund had securities pledged as collateral for total return swaps and forward foreign currency contracts totaling $5,098,603 and $201,766, respectively.
Counterparty Risk — Certain of the derivatives entered into by each Fund may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes a Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing a Fund to suffer a loss. If a counterparty defaults on its payment obligations to a Fund, this default will cause the value of an investment in a Fund to decrease. In addition, to the extent a Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. Each Fund is neither restricted from
31
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of each Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by each Fund.
Each Fund is subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that each Fund will not sustain a loss on a transaction as a result.
Liquidity Risk — Each Fund may be subject to liquidity risk primarily due to investments in derivatives. Each Fund may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Fund may be unable to sell the asset or sell it at a reasonable price. In addition, each Fund may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of each Fund in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Fund may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, each Fund may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, each Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements. The result would cause a Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by each Fund and the counterparty. Cash collateral that has been pledged to cover obligations of each Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by each Fund, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of each Fund. Any additional required collateral is delivered to/pledged by each Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to each Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent each Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.
32
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
The following tables present derivative assets and liabilities net of amounts available for offset under a master netting agreement and any related collateral received or posted by each Fund for forward foreign currency contracts and total return swaps as of September 30, 2021:
Counterparty | Derivative Assets - Gross | Derivative Available for Offset | Collateral Received | Derivative Assets - Net* | ||||||||||||||||||||
Sirios Long/Short Fund Morgan Stanley | $382,335 | $(382,335) | $— | $ — | ||||||||||||||||||||
Sirios Focus Fund Morgan Stanley | $ 87,288 | $ (1,416) | $— | $85,872 |
* | Net amount represents the net receivable from the counterparty in the event of a default. |
Counterparty | Derivative Liabilities - Gross | Derivative Available for Offset | Collateral Posted | Derivative Liabilities - Net ** | ||||||||
Sirios Long/Short Fund Morgan Stanley | $(627,948) | $382,335 | $245,613 | $— | ||||||||
Sirios Focus Fund Morgan Stanley | $ (1,416) | $ 1,416 | $ — | $— |
** | Net amount represents the net payable to the counterparty in the event of a default. |
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Short Sales — Each Fund may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then a Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to a Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds comply with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
As of September 30, 2021, the Sirios Long/Short Fund and the Sirios Focus Fund had no securities sold short.
33
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security.
Disclosures About Derivative Instruments and Hedging Activities
The following tables provide quantitative disclosures about fair value amounts of, gains and losses on, each Fund’s derivative instruments as of September 30, 2021.
The following table lists the fair values of each Fund’s derivative holdings as of September 30, 2021 grouped by contract type and risk exposure category.
Sirios Long/Short Fund Derivative Type | Location Statement of Assets and Liabilities | Equity Risk | Foreign Currency Risk | Total | ||||||||||
| ||||||||||||||
Asset Derivatives | ||||||||||||||
| ||||||||||||||
Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ | — | $74,946 | $ | 74,946 | ||||||||
| ||||||||||||||
Swap Contracts | Unrealized appreciation on swap contracts | 307,389 | — | 307,389 | ||||||||||
| ||||||||||||||
Total Value - Assets | $ | 307,389 | $74,946 | $ | 382,335 | |||||||||
| ||||||||||||||
Liability Derivatives | ||||||||||||||
| ||||||||||||||
Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ | — | $(3,918) | $ | (3,918 | ) | |||||||
| ||||||||||||||
Swap Contracts | Unrealized depreciation on swap contracts | (624,030 | ) | — | (624,030 | ) | ||||||||
| ||||||||||||||
Total Value - Liabilities | $ | (624,030 | ) | $(3,918) | $ | (627,948 | ) | |||||||
|
Sirios Focus Fund Derivative Type | Location Statement of Assets and Liabilities | Equity Risk | Foreign Currency Risk | Total | ||||||||||
| ||||||||||||||
Asset Derivatives | ||||||||||||||
| ||||||||||||||
Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ | — | $29,426 | $ | 29,426 | ||||||||
| ||||||||||||||
Swap Contracts | Unrealized appreciation on swap contracts | 57,862 | — | 57,862 | ||||||||||
| ||||||||||||||
Total Value - Assets | $ | 57,862 | $29,426 | $ | 87,288 | |||||||||
| ||||||||||||||
Liability Derivatives | ||||||||||||||
| ||||||||||||||
Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ | — | $(1,416) | $ | (1,416 | ) | |||||||
| ||||||||||||||
Swap Contracts | Unrealized depreciation on swap contracts | — | — | — | ||||||||||
| ||||||||||||||
Total Value - Liabilities | $ | — | $(1,416) | $ | (1,416 | ) | ||||||||
|
34
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
The following table lists the amounts of realized gains or losses included in net decrease in net assets resulting from operations for the year ended September 30, 2021, grouped by contract type and risk exposure.
Sirios Long/Short Fund Derivative Type | Location Statement of Operations | Equity Risk | Foreign Currency Risk | Total | ||||||||||
Realized Gain(Loss) | ||||||||||||||
Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ | — | $(28,732) | $ | (28,732 | ) | |||||||
Purchased Options | Net realized gain/(loss) from investments | 342 | — | 342 | ||||||||||
Swap Contracts | Net realized gain/(loss) from swap contracts | (3,932,590 | ) | — | (3,932,590 | ) | ||||||||
Total Realized Loss | $ | (3,932,248 | ) | $(28,732) | $ | (3,960,980 | ) | |||||||
Sirios Focus Fund Derivative Type | Location Statement of Operations | Equity Risk | Foreign Currency Risk | Total | ||||||||||
Realized Gain(Loss) | ||||||||||||||
Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $18,496 | $18,496 | ||||||||||
Swap Contracts | Net realized gain/(loss) from swap contracts | 7,044 | — | 7,044 | ||||||||||
Total Realized Gain | $7,044 | $18,496 | $25,540 |
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net decrease in net assets resulting from operations for the year ended September 30, 2021, grouped by contract type and risk exposure.
Sirios Long/Short Fund Derivative Type | Location Statement of Operations | Equity Risk | Foreign Currency Risk | Total | ||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||
Forward Foreign Currency Contracts | Net change in unrealized appreciation on forward foreign currency contracts | $ | — | $41,804 | $ | 41,804 | ||||||||
Swap Contracts | Net change in unrealized appreciation on swap contracts | 924,379 | — | 924,379 | ||||||||||
Total Change in Appreciation (Depreciation) | $ | 924,379 | $41,804 | $ | 966,183 | |||||||||
Sirios Focus Fund Derivative Type | Location Statement of Operations | Equity Risk | Foreign Currency Risk | Total | ||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||
Forward Foreign Currency Contracts | Net change in unrealized appreciation on forward foreign currency contracts | $ — | $28,010 | $28,010 | ||||||||||
Swap Contracts | Net change in unrealized appreciation on swap contracts | 57,862 | — | 57,862 | ||||||||||
Total Change in Appreciation (Depreciation) | $57,862 | $28,010 | $85,872 |
35
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
2. Transactions with Related Parties and Other Service Providers
Sirios Capital Management, L.P. (“Sirios”) serves as the investment adviser to each Fund pursuant to an investment advisory agreement with the Trust. For its services, the Adviser earns a monthly fee at the annual rate of 1.35% of the Sirios Long/Short Fund’s average daily net assets; and 0.90% of the Sirios Focus Fund’s average daily net assets. The Adviser has contractually agreed to reduce its compensation and/or reimburse certain expenses of each Fund to the extent necessary to ensure that each Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2022 for the Sirios Long/Short Fund and February 1, 2022 for the Sirios Focus Fund, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for each Fund. The Adviser is permitted to seek recoupment from each Fund for fees it waived and Fund expenses it paid to the extent the total annual fund expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless each Fund’s expenses are below the Expense Limitation. As of September 30, 2021, the amount of potential recovery was as follows:
Expiration | ||||||||||||||||
09/30/2022 | 09/30/2023 | 09/30/2024 | Total | |||||||||||||
Sirios Long/Short Fund | $202,406 | $231,152 | $230,327 | $663,885 | ||||||||||||
Sirios Focus Fund | — | — | 105,845 | 105,845 |
For the year ended September 30, 2021, the Adviser earned advisory fees of $385,703 and $79,666 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively. For the year ended September 30, 2021, the Adviser waived fees and/or reimbursed expenses of $230,327 and $105,845 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the Sirios Focus Fund, BNY Mellon accrued administration and accounting fees totaling $56,138 and waived fees totaling $17,576; and accrued custodian fees totaling $13,000 and waived fees totally $3,767 for the period ended September 30, 2021.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses. For the Sirios Focus Fund, BNY Mellon accrued transfer agent fees totaling $22,577 and waived fees totaling $6,027 for the period ended September 30, 2021.
BNY Mellon and the Transfer Agent have the ability to recover such amounts previously waived, if the Sirios Focus Fund terminates its agreements with BNY Mellon and the Transfer Agent within three years of commencing operations. As of September 30, 2021, the amount of potential recovery was $27,370. The ability to recover such amounts previously waived expires on December 16, 2023.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and have agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer Agent fees in the Statements of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
36
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC (“Alaric”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Alaric are compensated for their services provided to the Trust.
3. Investment in Securities
For the year ended September 30, 2021, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Sirios Long/Short Fund | $ | 33,589,434 | $ | 36,577,334 | ||||
Sirios Focus Fund | 19,631,033 | 10,161,098 |
4. Capital Share Transactions
For year/period ended September 30, 2021 and for the year ended September 30, 2020, transactions in capital shares (authorized shares unlimited) were as follows:
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sirios Long/Short Fund: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Sales | — | $ | — | 9,524 | $ | 101,517 | ||||||||||
Reinvestments | 22,127 | 241,186 | 13,436 | 144,436 | ||||||||||||
Redemptions | (12,430 | ) | (135,274 | ) | (17,953 | ) | (186,965 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 9,697 | $ | 105,912 | 5,007 | $ | 58,988 | ||||||||||
|
|
|
|
|
|
|
|
For the Period Ended September 30, 2021* | ||||||||
Shares | Amount | |||||||
Sirios Focus Fund: | ||||||||
Institutional Class | ||||||||
Sales | 1,000,000 | $ | 10,000,000 | |||||
Reinvestments | — | — | ||||||
Redemptions | — | — | ||||||
|
|
|
| |||||
Net increase | 1,000,000 | $ | 10,000,000 | |||||
|
|
|
|
* | The Sirios Focus Fund commenced operations on December 16, 2020 |
37
SIRIOS FUNDS
Notes to Financial Statements (Continued)
September 30, 2021
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the year ended September 30, 2021, there were no reclassifications between components of total distributable earnings and paid in capital.
For the year ended September 30, 2021, the tax character of distributions paid by the Sirios Long/Short Fund was $195,719 of ordinary income dividends and $45,467 of long-term capital gains. The Sirios Focus Fund had no distributions for the year ended September 30, 2021. For the year ended September 30, 2020, the tax character of distributions paid by the Sirios Long/Short Fund was $144,660 of ordinary income dividends.
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gain | Unrealized Appreciation/ (Depreciation) | Qualified Late-Year Losses | |||||||||||||
Sirios Long/Short Fund | $ | — | $993,968 | $3,294,405 | $(44,460 | ) | ||||||||||
Sirios Focus Fund | 765,510 | — | 913,164 | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of the September 30, 2021, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Sirios Long/Short Fund | $26,368,521 | $4,515,601 | $(1,221,196) | 3,294,405 | ||||||||||||
Sirios Focus Fund | 10,234,833 | 1,254,485 | (341,321) | 913,164 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Sirios Long/Short Fund and the Sirios Focus Fund had late year ordinary loss deferrals of $44,460 and $0, respectively.
38
SIRIOS FUNDS
Notes to Financial Statements (Concluded)
September 30, 2021
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2021, the Funds did not have any capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
39
SIRIOS FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and Shareholders of Sirios Long/Short Fund and Sirios Focus Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Sirios Long/Short Fund and Sirios Focus Fund (collectively referred to as the “Funds”), (two of the series constituting FundVantage Trust (the “Trust”)), including the portfolios of investments, as of September 30, 2021, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (two of the Funds constituting FundVantage Trust) at September 30, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual series constituting FundVantage Trust | Statement of operations | Statements of changes in net assets | Financial highlights | |||
Sirios Long/Short Fund | For the year ended September 30, 2021 | For each of the two years in the period ended September 30, 2021 | For each of the three years ended September 30, 2021 and the period May 3, 2018 (commencement of operations) to September 30, 2018 | |||
Sirios Focus Fund | For the period from December 16, 2020 (commencement of operations) through September 30, 2021 |
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian and brokers or by other appropriate audit procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Sirios investment companies since 2018.
Philadelphia, Pennsylvania
November 24, 2021
40
SIRIOS FUNDS
Shareholder Tax Information
(Unaudited)
The Funds are required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Funds’ shareholders in respect of such fiscal year. For the year ended September 30, 2021, the tax character of distributions paid by the Sirios Long/Short Fund was $195,719 of ordinary income dividends and $45,467 of long-term capital gains. The Sirios Focus Fund had no distributions for the year ended September 30, 2021. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Sirios Long/Short Fund and the Sirios Focus Fund designated $1,029,757 and $0, respectively, as long-term capital gains distributions during the year ended September 30, 2021. Distributable long-term gains are based on net realized long-term gains determined on a tax basis and may differ from such amounts for financial reporting purposes..
The Sirios Long/Short Fund and the Sirios Focus Fund designate 100.00% and 0.00%, respectively, of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction for the Sirios Long/Short Fund and the Sirios Focus Fund are 100.00% and 0.00%, respectively.
The percentage of ordinary income distributions as qualified short-term gain pursuant to the American Jobs Creation Act of 2004 for the Sirios Long/Short Fund and the Sirios Focus Fund are 100.00% and 0.00%, respectively.
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Funds to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2021. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2022.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
41
SIRIOS FUNDS
Statement Regarding Liquidity Risk Management Program
(Unaudited)
On October 16, 2016, the Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the Sirios Long/Short Fund and the Sirios Focus Fund (each a “Fund”, and together, the “Funds”), met on September 21-22, 2021 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Funds, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Funds’ Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of June 30, 2021 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of each Fund’s portfolio holdings, a HLIM was not currently required for the Funds.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follow:
A. Each Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed each Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on each Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish each Fund’s reasonably anticipated trading size. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration each Fund’s shareholder ownership concentration and the fact that the shares of the Funds are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of the Fund’s holdings, it was noted that each Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in each Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Funds does not currently have a borrowing or other credit funding arrangement.
42
SIRIOS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
43
SIRIOS FUNDS
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (866) 640-5704.
44
SIRIOS FUNDS
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an “interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Funds. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Funds contain additional information about the Trustees and is available, without charge, upon request by calling (866) 640-5704.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
INDEPENDENT TRUSTEES
| ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. Chairman from 2007 until September 30, 2019. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 31 | Optimum Fund Trust (registered investment company with 6 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio).
| |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | Retired since September 2020; Professor of Finance, Widener University from 1998 to August 2020. | 31 | Third Avenue
|
45
SIRIOS FUNDS
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee since 2016. Chairman since October 1, 2019. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 31 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio).
| |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment
| 31 | Lincoln Variable Insurance Products Trust (registered investment company with 97 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio).
|
46
SIRIOS FUNDS
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Assets Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 31 | Copeland Trust (registered investment company with 2 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio).
|
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS
| ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016.
| |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016.
| |||
GABRIELLA MERCINCAVAGE Date of Birth: 6/68 | Assistant Treasurer | Shall serve until death, resignation or removal. Officer since 2019. | Fund Administration Consultant since January 2019; Fund Accounting and Tax Compliance Accountant to financial services companies from November 2003 to July 2018.
| |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012.
| Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001.
| |||
GUY F. TALARICO Date of Birth: 8/55 | Chief Compliance Officer and Anti-Money Laundering Officer
| Shall serve until death, resignation or removal. Officer since 2020. | Chief Executive Officer of Alaric Compliance Services LLC since June 2004.
|
47
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[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
SIR-0921
TOBAM Emerging Markets Fund
of
FundVantage Trust
Class I
ANNUAL REPORT
September 30, 2021
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report
September 30, 2021
(Unaudited)
Dear Shareholders,
Portfolio Performance
For the year ending September 30, 2021, the TOBAM Emerging Markets Fund (the “Fund”) returned 11.05%, compared to a 18.20% return for the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI®”) Emerging Markets Net Total Return Index’s (“MSCI® EM Net TR Index”), corresponding to an underperformance of 7.15% relative to the Fund’s benchmark.
* 1 year net return as of 09/30/2021 | ||||||
Fund’s return | 11.05% | MSCI® EM Index return | 18.20% | |||
* 1 year volatility as of 09/30/2021 | ||||||
Fund’s return | 14.95% | MSCI® EM Net TR Index volatility | 15.66% |
Performance data quoted here represents past performance. Past performance is no guarantee of future results. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call (844) 282-6161.
For the year ended September 30, 2021, the main trading themes in Emerging Markets were ex-China mega-cap outperformance, the Chinese tech crackdown and COVID-19 continuing to rage in many Emerging Market countries. The virus has had secondary effects on overwhelmed healthcare systems that cannot sufficiently treat patients, which is why mortality rates amongst women and children have been rising. Widespread vaccination programs will likely be unrealistic for many citizens in emerging market countries in the near future. This impedes investor confidence in these more vulnerable economies.
Over the last quarter of 2020, equity markets saw strong growth with the MSCI® EM Net TR Index up a staggering +19.7%. Over the quarter the mega-cap performance was a mixed bag with Samsung returning over 50% in the quarter and the Chinese tech giant Alibaba falling drastically by -20%. However, the second largest bias of the benchmark, the Financial sector, outperformed and drove the benchmark’s performance over the quarter.
The first quarter of 2021 reflation/recovery trade caused the benchmark’s biases toward Financials and Materials (specifically, Commodities) to be rewarded. Simultaneously, the benchmark’s bias to its top 5 holdings (which together account for over a quarter of the benchmark in terms of weight) increased as three out of the five outperformed massively. The outperformance of the mega-cap stocks was coupled with the significant increase in weight of very few sectors, and within these sectors a limited number of stocks.
In the second and third quarters of 2021 mega-cap stocks underperformed across the board with the exception of Taiwan Semiconductor. The tech crackdown by the Chinese government coupled with investors’ fears that their valuations are excessively high, drove the mega-cap tech stocks down over the second and third quarters of 2021.
Management Policy of the Fund
The Adviser seeks to enhance the Fund’s portfolio diversification in terms of various risk metrics by applying a systematic, quantitative investment approach designed to identify securities of emerging market issuers included in the MSCI® EM Net TR Index that have the lowest possible correlation to each other for inclusion in the Fund’s portfolio.
From September 30, 2020 to September 30, 2021, the relative return of the Fund vs. the benchmark was -7.15%. Over the year, the MSCI® EM Net TR Index remained significantly biased toward Financials, Energy, Communication Services and Information Technology. These biases toward Financials and Energy were rewarded and this was not beneficial for our strategy. The benchmark’s bias to its top 5 holdings and the Financial sector were the primary reason for the underperformance of the strategy and this has led an even more concentrated benchmark.
1
TOBAM EMERGING MARKETS FUND
Annual Investment Adviser’s Report (Concluded)
September 30, 2021
(Unaudited)
The high market concentration into the mega-caps provides an environment that is adverse to the Fund. We feel the persistent uncertainty and dispersion in Emerging Markets provides outperformance opportunities for a diversified portfolio.
Since commencement of operations on April 25, 2017, the Fund underperformed the MSCI® EM Index by -2.32% annualized as a result of the benchmark’s biases discussed earlier.
Portfolio Changes
The strategy is rebalanced on a quarterly basis. For the fiscal year ended September 30, 2021, the Fund’s portfolio turnover was 42%.
Dividend Distribution
The Fund will distribute a dividend following for the 2021 fiscal year according to the following schedule:
Distribution | Record Date | Ex-Date | Payment Date | |||
Ordinary income | 8 December 2021 | 9 December 2021 | 10 December 2021 |
Outlook
We don’t expect any major change in the management of the Fund in the coming months.
Sincerely,
TOBAM, Investment Adviser
This letter is intended to assist shareholders in understanding how the Fund performed during the fiscal year ended September 30, 2021 and reflects the views of the investment adviser at the time of this writing. Of course, these views may change and do not guarantee the future performance of the Fund or the markets.
The specific securities identified and described do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and discussed will be profitable.
The above commentary is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.
TOBAM’s quantitative investment process is supported by extensive proprietary computer code. TOBAM’s researchers, software developers, and IT teams follow a structured design, development, testing, change control, and review process during the development of its systems and the implementation within our investment process. These controls and their effectiveness are subject to regular internal reviews. However, despite these extensive controls it is possible that errors may occur in coding and within the investment process, as is the case with any complex software or data-driven model, and no guarantee or warranty can be provided that any quantitative investment model is completely free of errors. Any such errors could have a negative impact on investment results.
2
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data
September 30, 2021
(Unaudited)
Comparison of Change in Value of $500,000 (investment minimum) Investment in
TOBAM Emerging Markets Fund ’s Class I vs.
Morgan Stanley Capital International (“MSCI®”) Emerging Markets Net Total Return Index (“MSCI® EM Net TR Index”)
Average Annual Total Returns for the Periods Ended September 30, 2021 | ||||||||||||
1 Year | 3 Years | Since Inception | ||||||||||
Class I | 11.05 | % | 3.03 | % | 5.88 | %* | ||||||
MSCI® EM Net TR Index | 18.20 | % | 8.58 | % | 8.20 | %** |
* | The TOBAM Emerging Markets Fund (the “Fund”) Class I shares commenced operation on April 25, 2017. |
** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (844) 282-6161. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The graph and table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement” are 1.17% and 1.10%, respectively, of the Fund’s average daily net assets for Class I shares. These ratios are stated in the current prospectus dated February 1, 2021, and may differ from the actual expenses incurred by the Fund for the period covered by this report. TOBAM (“TOBAM” or the “Adviser”) has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses” (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed (on an annual basis) 1.10% with respect to Class I shares, of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in effect until January 31, 2022, unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. The Adviser may recoup, subject to approval by the Board of Trustees, any expenses or fees it has waived or reimbursed within a three-year period from the date on which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
A 1.00% redemption fee applies to shares redeemed within 30 days of purchase. The redemption fee is not reflected in the returns shown above.
The Fund intends to evaluate performance as compared to that of the Morgan Stanley Capital International Emerging Markets Net Total Return Index (“MSCI® EM Net TR Index”). The MSCI® EM Net TR Index is a free float-adjusted, market capitalization-weighted
3
TOBAM EMERGING MARKETS FUND
Annual Report
Performance Data (Concluded)
September 30, 2021
(Unaudited)
index designed to measure the equity performance of emerging market countries in Africa, Asia, Europe, Latin America, and the Middle East. An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
4
TOBAM EMERGING MARKETS FUND
Fund Expense Disclosure
September 30, 2021
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from April 1, 2021 through September 30, 2021 and held for the entire period.
Actual Expenses
The first line the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value April 1, 2021 | Ending Account Value September 30, 2021 | Annualized Expense Ratio | Expenses Paid During Period* | |||||||||||||
TOBAM Emerging Markets Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual | $1,000.00 | $ 975.20 | 1.10% | $5.45 | ||||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.55 | 1.10% | 5.57 |
* | Expenses are equal to the annualized expense ratio for the six-month period ended September 30, 2021 of 1.10% for Class I shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 365 to reflect the period. The Fund’s ending account value on the first line in the table is based on the actual six-month total return for the Fund of (2.48)% for Class I shares. |
5
TOBAM EMERGING MARKETS FUND
Portfolio Holdings Summary Table
September 30, 2021
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
% of Net | ||||||||
Assets | Value | |||||||
COMMON STOCKS: | ||||||||
Pharmaceuticals | 12.1 | % | $ | 14,653,542 | ||||
Telecommunications | 7.8 | 9,490,463 | ||||||
Food | 6.2 | 7,550,852 | ||||||
Software | 5.4 | 6,572,301 | ||||||
Biotechnology | 4.8 | 5,831,079 | ||||||
Banks | 4.5 | 5,415,585 | ||||||
Semiconductors | 4.4 | 5,409,132 | ||||||
Computers | 3.7 | 4,510,687 | ||||||
Transportation | 3.5 | 4,316,605 | ||||||
Gas | 3.5 | 4,248,730 | ||||||
Retail | 3.3 | 4,039,402 | ||||||
Internet | 3.3 | 3,967,046 | ||||||
Mining | 3.1 | 3,755,179 | ||||||
Electronics | 3.1 | 3,737,207 | ||||||
Oil & Gas | 3.0 | 3,676,164 | ||||||
Healthcare-Products | 1.8 | 2,138,180 | ||||||
Energy-Alternate Sources | 1.7 | 2,116,478 | ||||||
Miscellaneous Manufacturing | 1.7 | 2,112,701 | ||||||
Auto Manufacturers | 1.7 | 2,084,439 | ||||||
Apparel | 1.7 | 2,080,226 | ||||||
Healthcare-Services | 1.6 | 1,970,143 | ||||||
Beverages | 1.5 | 1,837,237 | ||||||
Chemicals | 1.4 | 1,646,097 | ||||||
Shipbuilding | 1.3 | 1,625,676 | ||||||
Electric | 1.3 | 1,563,216 | ||||||
Diversified Financial Services | 1.2 | 1,419,985 | ||||||
Forest Products & Paper | 1.2 | 1,403,113 | ||||||
Agriculture | 1.0 | 1,205,454 | ||||||
Water | 0.8 | 989,134 | ||||||
Home Furnishings | 0.8 | 982,479 | ||||||
Cosmetics/Personal Care | 0.8 | 926,842 | ||||||
Commercial Services | 0.7 | 823,088 | ||||||
Airlines | 0.7 | 799,343 | ||||||
Iron/Steel | 0.6 | 706,123 | ||||||
Auto Parts & Equipment | 0.6 | 670,740 | ||||||
Machinery-Construction & Mining | 0.4 | 526,331 | ||||||
Leisure Time | 0.4 | 496,662 | ||||||
Engineering & Construction | 0.4 | 473,726 | ||||||
Housewares | 0.3 | 424,355 | ||||||
Electrical Components & Equipments | 0.3 | 350,938 | ||||||
Textiles | 0.2 | 264,624 | ||||||
Insurance | 0.2 | 245,414 | ||||||
Machinery-Diversified | 0.2 | 218,190 | ||||||
Household Products/Wares | 0.1 | 171,210 | ||||||
Investment Companies | 0.1 | 137,517 | ||||||
Metal Fabricate/Hardware | 0.1 | 116,756 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
6
TOBAM EMERGING MARKETS FUND
Portfolio Holdings Summary Table (Concluded)
September 30, 2021
(Unaudited)
% of Net | ||||||||
Assets | Value | |||||||
Total Common Stocks | 98.5 | % | $ | 119,700,391 | ||||
|
|
|
| |||||
RIGHTS | 0.0 | 21,892 | ||||||
|
|
|
| |||||
Other Assets in Excess of Liabilities | 1.5 | 1,865,104 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 121,587,387 | ||||
|
|
|
|
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
TOBAM EMERGING MARKETS FUND
Portfolio of Investments
September 30, 2021
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — 98.5% | ||||||||
Brazil — 2.8% | ||||||||
Atacadao SA | 144,400 | $ | 468,009 | |||||
CCR SA | 122,100 | 263,000 | ||||||
Raia Drogasil SA | 300,100 | 1,281,242 | ||||||
Suzano SA* | 141,500 | 1,403,113 | ||||||
|
| |||||||
3,415,364 | ||||||||
|
| |||||||
China — 33.1% | ||||||||
51job, Inc., ADR* | 4,237 | 294,599 | ||||||
Bank of Hangzhou Co. Ltd., Class A | 104,600 | 240,312 | ||||||
BeiGene Ltd., ADR* | 4,863 | 1,765,269 | ||||||
Beijing Roborock Technology Co. Ltd., Class A | 1,000 | 109,395 | ||||||
Bosideng International Holdings Ltd. | 914,000 | 646,456 | ||||||
By-health Co. Ltd., Class A | 29,100 | 127,216 | ||||||
CanSino Biologics, Inc., Class H* | 24,200 | 855,961 | ||||||
Changchun High & New Technology Industry Group, Inc., Class A | 7,100 | 300,687 | ||||||
China Baoan Group Co. Ltd., Class A | 42,100 | 123,543 | ||||||
China CSSC Holdings Ltd., Class A | 82,300 | 318,583 | ||||||
China Feihe Ltd. | 228,000 | 384,301 | ||||||
China Gas Holdings Ltd. | 192,800 | 569,424 | ||||||
China Literature Ltd.* | 100,800 | 764,970 | ||||||
China Mengniu Dairy Co. Ltd. | 60,000 | 386,390 | ||||||
China Northern Rare Earth Group | ||||||||
High-Tech Co. Ltd., Class A | 61,700 | 417,076 | ||||||
China Resources Beer Holdings Co. Ltd. | 96,000 | 710,020 | ||||||
China Resources Gas Group Ltd. | 288,000 | 1,513,132 | ||||||
China Yangtze Power Co. Ltd., Class A | 279,311 | 948,943 | ||||||
Chongqing Changan Automobile Co. Ltd., Class A | 106,260 | 273,219 | ||||||
Chongqing Zhifei Biological Products Co. Ltd., Class A | 28,488 | 696,503 | ||||||
COSCO SHIPPING Holdings Co. Ltd., Class A* | 85,130 | 224,994 | ||||||
ENN Energy Holdings Ltd. | 85,000 | 1,401,946 | ||||||
Founder Securities Co. Ltd., Class A | 138,400 | 174,765 | ||||||
Gigadevice Semiconductor Beijing, Inc., Class A | 11,900 | 265,421 | ||||||
GoerTek, Inc., Class A | 63,100 | 418,181 | ||||||
GOME Retail Holdings Ltd.* | 3,647,000 | 340,180 | ||||||
Great Wall Motor Co. Ltd., Class A | 39,100 | 316,937 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Guangdong Investment Ltd. | 758,000 | $ | 989,134 | |||||
Guangdong Kinlong Hardware Products Co. Ltd., Class A | 5,500 | 116,756 | ||||||
Guangzhou Shiyuan Electronic Technology Co. Ltd., Class A | 12,200 | 147,786 | ||||||
Hangzhou First Applied Material Co. Ltd., Class A | 16,563 | 322,524 | ||||||
Hangzhou Silan Microelectronics Co. Ltd., Class A | 24,100 | 211,394 | ||||||
Hengan International Group Co. Ltd. | 96,000 | 511,930 | ||||||
Huadong Medicine Co. Ltd., Class A | 32,700 | 149,978 | ||||||
Hualan Biological Engineering, Inc., Class A | 34,907 | 150,266 | ||||||
I-Mab, SP ADR* | 8,900 | 645,161 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 547,000 | 303,215 | ||||||
Industrial Bank Co. Ltd., Class A | 155,700 | 438,086 | ||||||
Ingenic Semiconductor Co. Ltd., Class A | 8,100 | 159,976 | ||||||
Inner Mongolia BaoTou Steel Union Co. Ltd., Class A* | 856,200 | 415,995 | ||||||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co. Ltd., Class A | 162,000 | 142,806 | ||||||
Innovent Biologics, Inc.* | 32,000 | 308,168 | ||||||
iQIYI, Inc., ADR* | 91,802 | 737,170 | ||||||
JCET Group Co. Ltd., Class A | 34,200 | 168,214 | ||||||
Jiangsu Eastern Shenghong Co. Ltd., Class A | 61,300 | 264,624 | ||||||
Juewei Food Co. Ltd., Class A | 11,500 | 113,609 | ||||||
Kingdee International Software Group Co. Ltd.* | 244,000 | 812,437 | ||||||
Kuang-Chi Technologies Co. Ltd., Class A* | 38,500 | 133,811 | ||||||
Lingyi iTech Guangdong Co., Class A | 136,900 | 136,256 | ||||||
LONGi Green Energy Technology Co. Ltd., Class A | 51,080 | 649,299 | ||||||
Maxscend Microelectronics Co. Ltd., Class A | 6,080 | 328,510 | ||||||
Metallurgical Corp. of China Ltd., Class A | 336,400 | 225,703 | ||||||
Microport Scientific Corp. | 83,700 | 469,325 |
The accompanying notes are an integral part of the financial statements.
8
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Montage Technology Co. Ltd., Class A | 13,200 | $ | 120,711 | |||||
Muyuan Foods Co. Ltd., Class A | 95,884 | 763,249 | ||||||
National Silicon Industry Group Co. Ltd., Class A* | 37,012 | 162,599 | ||||||
NAURA Technology Group Co. Ltd., Class A | 8,500 | 476,641 | ||||||
New Hope Liuhe Co. Ltd., Class A* | 83,500 | 190,001 | ||||||
Pinduoduo, Inc., ADR* | 2,473 | 224,227 | ||||||
Ping An Healthcare and Technology Co. Ltd.* | 101,200 | 659,633 | ||||||
Postal Savings Bank of China Co. Ltd., Class H | 2,188,000 | 1,504,152 | ||||||
Sanan Optoelectronics Co. Ltd., Class A | 82,500 | 402,514 | ||||||
Sangfor Technologies, Inc., Class A | 7,558 | 274,526 | ||||||
SG Micro Corp., Class A | 4,100 | 210,033 | ||||||
Shandong Gold Mining Co. Ltd., Class A | 67,568 | 205,264 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 652,000 | 1,156,925 | ||||||
Shanghai Electric Group Co. Ltd., Class A | 237,200 | 190,218 | ||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class A | 35,500 | 285,793 | ||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | 72,000 | 368,593 | ||||||
Shanxi Meijin Energy Co. Ltd., Class A* | 82,300 | 135,539 | ||||||
Shengyi Technology Co. Ltd., Class A | 37,300 | 124,382 | ||||||
Shenzhen Goodix Technology Co. Ltd., Class A | 7,600 | 129,984 | ||||||
Shenzhen Kangtai Biological Products Co. Ltd., Class A | 12,400 | 210,823 | ||||||
Shenzhou International Group Holdings Ltd. | 12,900 | 273,783 | ||||||
Sichuan Swellfun Co. Ltd., Class A | 8,800 | 172,067 | ||||||
Silergy Corp. | 4,000 | 581,814 | ||||||
StarPower Semiconductor Ltd., Class A | 2,800 | 174,863 | ||||||
Sungrow Power Supply Co. Ltd., Class A | 26,400 | 600,002 | ||||||
Sunwoda Electronic Co. Ltd., Class A | 28,300 | 162,646 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
China — (Continued) | ||||||||
Suzhou Maxwell Technologies Co. Ltd., Class A | 1,691 | $ | 158,436 | |||||
TBEA Co. Ltd., Class A | 57,900 | 215,399 | ||||||
Thunder Software Technology Co. Ltd., Class A | 6,400 | 123,231 | ||||||
Tianjin Zhonghuan Semiconductor Co. Ltd., Class A | 50,700 | 358,231 | ||||||
Tingyi Cayman Islands Holding Corp. | 620,000 | 1,152,774 | ||||||
Unigroup Guoxin Microelectronics Co. Ltd., Class A | 10,500 | 334,525 | ||||||
Vipshop Holdings Ltd., ADR* | 61,519 | 685,322 | ||||||
Walvax Biotechnology Co. Ltd., Class A | 25,900 | 251,334 | ||||||
Want Want China Holdings Ltd. | 1,483,000 | 1,119,787 | ||||||
Wens Foodstuffs Group Co. Ltd., Class A | 112,820 | 252,204 | ||||||
Will Semiconductor Co. Ltd. Shanghai, Class A | 15,441 | 576,322 | ||||||
Wingtech Technology Co. Ltd., Class A | 23,700 | 341,549 | ||||||
Yonyou Network Technology Co. Ltd., Class A | 62,290 | 318,955 | ||||||
Zai Lab Ltd., ADR* | 5,200 | 548,028 | ||||||
Zhaojin Mining Industry Co. Ltd., Class H | 315,500 | 222,124 | ||||||
Zhejiang Jingsheng Mechanical & Electrical Co. Ltd., Class A | 22,000 | 218,190 | ||||||
|
| |||||||
40,277,949 | ||||||||
|
| |||||||
Colombia — 0.1% | ||||||||
Grupo de Inversiones Suramericana SA | 24,469 | 137,517 | ||||||
|
| |||||||
Greece — 0.4% | ||||||||
JUMBO SA | 26,678 | 434,390 | ||||||
|
| |||||||
India — 21.3% | ||||||||
Adani Green Energy Ltd.* | 39,818 | 614,273 | ||||||
Adani Total Gas Ltd. | 39,860 | 764,228 | ||||||
Apollo Hospitals Enterprise Ltd. | 3,784 | 227,725 | ||||||
Aurobindo Pharma Ltd. | 72,115 | 701,522 | ||||||
Avenue Supermarts Ltd.* | 23,178 | 1,323,064 | ||||||
Bandhan Bank Ltd. | 156,466 | 592,502 | ||||||
Bharat Petroleum Corp. Ltd. | 236,598 | 1,371,797 | ||||||
Bharti Airtel Ltd.* | 148,411 | 1,371,916 | ||||||
Cipla Ltd. | 117,266 | 1,550,404 | ||||||
Container Corp. Of India Ltd. | 59,973 | 566,110 |
The accompanying notes are an integral part of the financial statements.
9
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Continued)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
India — (Continued) | ||||||||
Dr Reddy’s Laboratories Ltd. | 27,395 | $ | 1,797,116 | |||||
Eicher Motors Ltd. | 28,677 | 1,072,720 | ||||||
Godrej Consumer Products Ltd.* | 19,014 | 263,008 | ||||||
HCL Technologies Ltd. | 87,270 | 1,496,807 | ||||||
Hero MotoCorp Ltd. | 13,024 | 496,662 | ||||||
Hindustan Petroleum Corp. Ltd. | 192,932 | 777,745 | ||||||
Indian Oil Corp. Ltd. | 506,791 | 850,462 | ||||||
Indus Towers Ltd. | 203,511 | 841,263 | ||||||
InterGlobe Aviation Ltd.* | 29,416 | 799,343 | ||||||
Ipca Laboratories Ltd. | 16,355 | 529,338 | ||||||
Jubilant Foodworks Ltd. | 3,858 | 209,492 | ||||||
Lupin Ltd. | 68,638 | 876,155 | ||||||
Sun Pharmaceutical Industries Ltd. | 170,756 | 1,879,102 | ||||||
Tata Consultancy Services Ltd. | 32,293 | 1,636,553 | ||||||
Tech Mahindra Ltd. | 94,644 | 1,752,242 | ||||||
United Spirits Ltd.* | 83,482 | 955,150 | ||||||
Yes Bank Ltd.* | 3,501,611 | 588,295 | ||||||
|
| |||||||
25,904,994 | ||||||||
|
| |||||||
Indonesia — 0.7% | ||||||||
Telkom Indonesia Persero Tbk PT | 1,413,300 | 361,898 | ||||||
Tower Bersama Infrastructure Tbk PT | 1,380,600 | 284,482 | ||||||
Unilever Indonesia Tbk PT | 620,800 | 171,210 | ||||||
|
| |||||||
817,590 | ||||||||
|
| |||||||
Malaysia — 3.5% | ||||||||
Axiata Group Bhd | 810,485 | 753,783 | ||||||
Hartalega Holdings Bhd | 377,300 | 554,257 | ||||||
Kossan Rubber Industries | 394,700 | 217,785 | ||||||
Maxis Bhd | 678,600 | 760,213 | ||||||
Public Bank Bhd | 832,200 | 809,042 | ||||||
Supermax Corp. Bhd | 462,040 | 263,771 | ||||||
Top Glove Corp. Bhd | 1,370,900 | 943,077 | ||||||
|
| |||||||
4,301,928 | ||||||||
|
| |||||||
Mexico — 0.4% | ||||||||
Grupo Financiero Banorte SAB de CV, Class O | 67,300 | 431,321 | ||||||
|
| |||||||
Peru — 0.8% | ||||||||
Cia de Minas Buenaventura SAA, ADR* | 65,079 | 439,934 | ||||||
Credicorp Ltd. | 4,585 | 508,660 | ||||||
|
| |||||||
948,594 | ||||||||
|
| |||||||
Poland — 1.8% | ||||||||
CD Projekt SA | 22,006 | 1,061,049 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Poland — (Continued) | ||||||||
Orange Polska SA* | 208,357 | $ | 420,669 | |||||
Polski Koncern Naftowy ORLEN SA | 32,819 | 676,160 | ||||||
|
| |||||||
2,157,878 | ||||||||
|
| |||||||
Russia — 1.3% | ||||||||
PhosAgro PJSC, GDR | 42,048 | 936,829 | ||||||
Polyus PJSC | 3,687 | 604,365 | ||||||
|
| |||||||
1,541,194 | ||||||||
|
| |||||||
South Africa — 2.0% | ||||||||
AngloGold Ashanti Ltd. | 51,474 | 824,656 | ||||||
Capitec Bank Holdings Ltd. | 4,651 | 561,842 | ||||||
Gold Fields Ltd. | 100,067 | 820,252 | ||||||
Harmony Gold Mining Co. Ltd. | 71,178 | 221,508 | ||||||
|
| |||||||
2,428,258 | ||||||||
|
| |||||||
South Korea — 12.6% | ||||||||
Alteogen, Inc.* | 7,232 | 438,671 | ||||||
Amorepacific Corp. | 4,438 | 663,834 | ||||||
Celltrion Healthcare Co. Ltd.* | 14,429 | 1,319,810 | ||||||
Celltrion Pharm, Inc.* | 5,180 | 634,157 | ||||||
Celltrion, Inc.* | 2,953 | 641,449 | ||||||
Coway Co. Ltd. | 13,988 | 873,084 | ||||||
Doosan Heavy Industries & | ||||||||
Construction Co. Ltd.* | 19,529 | 336,113 | ||||||
Green Cross Corp. | 1,426 | 395,578 | ||||||
Hanmi Pharm Co. Ltd. | 2,165 | 499,956 | ||||||
Hanon Systems | 51,212 | 670,740 | ||||||
HLB, Inc.* | 27,556 | 1,307,093 | ||||||
HMM Co. Ltd.* | 22,611 | 637,770 | ||||||
Hyundai Glovis Co. Ltd. | 2,824 | 391,122 | ||||||
Kia Corp. | 6,242 | 421,563 | ||||||
LG Uplus Corp. | 22,447 | 282,175 | ||||||
NCSoft Corp. | 1,688 | 855,063 | ||||||
Netmarble Corp. | 4,457 | 439,939 | ||||||
Orion Corp. | 7,382 | 727,408 | ||||||
Pearl Abyss Corp.* | 8,407 | 567,641 | ||||||
Samsung Biologics Co. Ltd.* | 413 | 303,056 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 1,242 | 245,414 | ||||||
Seegene, Inc. | 11,477 | 581,994 | ||||||
Shin Poong Pharmaceutical Co. Ltd. | 9,835 | 468,432 | ||||||
SK Chemicals Co. Ltd. | 2,389 | 566,462 | ||||||
SK Telecom Co. Ltd.* | 2,672 | 725,759 | ||||||
Yuhan Corp. | 6,923 | 357,447 | ||||||
|
| |||||||
15,351,730 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
10
TOBAM EMERGING MARKETS FUND
Portfolio of Investments (Concluded)
September 30, 2021
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Taiwan — 11.9% |
| |||||||
Accton Technology Corp. | 89,000 | $ | 838,786 | |||||
Asustek Computer, Inc. | 84,000 | 975,593 | ||||||
AU Optronics Corp. | 1,546,000 | 969,233 | ||||||
Eclat Textile Co. Ltd. | 39,660 | 859,592 | ||||||
Far EasTone Telecommunications Co. Ltd. | 494,000 | 1,089,419 | ||||||
Feng TAY Enterprise Co. Ltd. | 123,200 | 946,851 | ||||||
Inventec Corp. | 816,000 | 751,826 | ||||||
Micro-Star International Co. Ltd. | 81,000 | 373,586 | ||||||
momo.com, Inc. | 7,000 | 405,695 | ||||||
Nien Made Enterprise Co. Ltd. | 30,000 | 424,355 | ||||||
Oneness Biotech Co. Ltd.* | 70,000 | 462,353 | ||||||
Taiwan High Speed Rail Corp. | 588,000 | 623,790 | ||||||
Taiwan Mobile Co. Ltd. | 382,000 | 1,354,834 | ||||||
United Microelectronics Corp. | 815,000 | 1,847,401 | ||||||
Wan Hai Lines Ltd. | 140,800 | 1,017,746 | ||||||
Wiwynn Corp. | 23,000 | 712,213 | ||||||
Yang Ming Marine Transport Corp.* | 203,000 | 855,073 | ||||||
|
| |||||||
14,508,346 | ||||||||
|
| |||||||
Thailand — 4.8% | ||||||||
Airports of Thailand PCL | 138,400 | 248,023 | ||||||
Bangkok Dusit Medical Services PCL, Class F | 2,236,200 | 1,499,903 | ||||||
Bangkok Expressway & Metro PCL | 2,171,000 | 560,088 | ||||||
Berli Jucker PCL | 376,800 | 365,308 | ||||||
Bumrungrad Hospital PCL | 58,400 | 242,515 | ||||||
Charoen Pokphand Foods PCL | 1,165,720 | 884,822 | ||||||
Energy Absolute PCL | 214,600 | 386,217 | ||||||
Krungthai Card PCL | 168,100 | 270,490 | ||||||
Srisawad Corp. PCL | 223,400 | 412,888 |
Number of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Thailand — (Continued) |
| |||||||
Thai Union Group PCL, Class F | 896,100 | $ | 574,712 | |||||
True Corp. PCL | 3,625,400 | 405,266 | ||||||
|
| |||||||
5,850,232 | ||||||||
|
| |||||||
Turkey — 1.0% | ||||||||
BIM Birlesik Magazalar A/S | 125,668 | 902,978 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 157,550 | 290,128 | ||||||
|
| |||||||
1,193,106 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 119,700,391 | |||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
India — 0.0% | ||||||||
Bharti Airtel Ltd., Expires 10/22/21* | 10,600 | 21,892 | ||||||
|
| |||||||
TOTAL RIGHTS | 21,892 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 98.5% |
| 119,722,283 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% | 1,865,104 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 121,587,387 | ||||||
|
|
* | Non-income producing. |
ADR | American Depositary Receipt | |
GDR | Global Depository Receipt | |
PCL | Public Company Limited | |
PJSC | Public Joint Stock Company | |
SP ADR | Sponsored American Depository Receipt |
At September 30, 2021, the Fund held the following open positions in futures contracts:
Long Futures Outstanding | Expiration Date | Number of Contracts | Notional Cost | Notional Amount | Value and Unrealized Depreciation | ||||||||||||||||||||
MSCI® Emerging Markets Index | 12/17/21 | 29 | $ | 1,871,339 | $ | 1,806,120 | $ | (65,219 | ) | ||||||||||||||||
|
| ||||||||||||||||||||||||
$ | (65,219 | ) | |||||||||||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
11
TOBAM EMERGING MARKETS FUND
Statement of Assets and Liabilities
September 30, 2021
Assets | ||||
Investments, at value (Cost $104,479,932) | $ | 119,722,283 | ||
Cash and cash equivalents | 1,358,603 | |||
Foreign currency, at value (Cost $310,506) | 308,263 | |||
Receivables: | ||||
Dividends and interest | 236,849 | |||
Deposits for futures contracts* | 270,413 | |||
Prepaid expenses and other assets | 12,544 | |||
|
| |||
Total Assets | 121,908,955 | |||
|
| |||
Liabilities | ||||
Payables: | ||||
Investment adviser | 219,962 | |||
Audit fees | 39,851 | |||
Custodian fees | 29,493 | |||
Administration and accounting fees | 15,905 | |||
Accrued expenses | 16,357 | |||
|
| |||
Total Liabilities | 321,568 | |||
|
| |||
Net Assets | $ | 121,587,387 | ||
|
| |||
Net Assets Consisted of: | ||||
Capital stock, $0.01 par value | $ | 102,872 | ||
Paid-in capital | 107,203,549 | |||
Total distributable earnings | 14,280,966 | |||
|
| |||
Net Assets | $ | 121,587,387 | ||
|
| |||
Class I Shares: | ||||
Net assets | $ | 121,587,387 | ||
|
| |||
Shares outstanding | 10,287,249 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 11.82 | ||
|
|
* | Primary risk exposure is equity index contracts. |
The accompanying notes are an integral part of the financial statements.
12
TOBAM EMERGING MARKETS FUND
Statement of Operations
For the Year Ended September 30, 2021
Investment income | ||||
Dividends | $ | 2,743,261 | ||
Less: foreign taxes withheld | (370,213 | ) | ||
|
| |||
Total investment income | 2,373,048 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 2) | 981,662 | |||
Custodian fees (Note 2) | 113,620 | |||
Administration and accounting fees (Note 2) | 96,183 | |||
Audit fees | 45,472 | |||
Trustees’ and officers’ fees (Note 2) | 40,658 | |||
Legal fees | 36,200 | |||
Shareholder reporting fees | 30,805 | |||
Registration and filing fees | 27,575 | |||
Transfer agent fees (Note 2) | 24,505 | |||
Other expenses | 17,851 | |||
|
| |||
Total expenses before waivers and reimbursements | 1,414,531 | |||
|
| |||
Less: waivers and reimbursements (Note 2) | (63,299 | ) | ||
|
| |||
Net expenses after waivers and reimbursements | 1,351,232 | |||
|
| |||
Net investment income | 1,021,816 | |||
|
| |||
Net realized and unrealized gain/(loss) from investments: | ||||
Net realized gain from investments* | 5,159,496 | |||
Net realized loss from foreign currency transactions | (97,206 | ) | ||
Net realized gain from futures contracts** | 168,795 | |||
Net change in unrealized appreciation on investments*** | 5,314,006 | |||
Net change in unrealized depreciation on foreign currency translations | (1,521 | ) | ||
Net change in unrealized depreciation on futures contracts** | (8,674 | ) | ||
|
| |||
Net realized and unrealized gain on investments | 10,534,896 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 11,556,712 | ||
|
|
* | Net realized gain from investments includes foreign capital gains tax of $13,109. |
** | Primary risk exposure is equity index contracts. |
*** | Includes net decrease in deferred foreign capital gains tax of $14,297. |
The accompanying notes are an integral part of the financial statements.
13
TOBAM EMERGING MARKETS FUND
Statements of Changes in Net Assets
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||
Net increase/(decrease) in net assets from operations: | ||||||||||
Net investment income | $ | 1,021,816 | $ | 678,371 | ||||||
Net realized gains/(losses) from investments, foreign currency transactions and futures contracts | 5,231,085 | (2,406,984 | ) | |||||||
Net change in unrealized appreciation on investments, foreign currency translations and futures contracts | 5,303,811 | 7,086,084 | ||||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 11,556,712 | 5,357,471 | ||||||||
|
|
|
| |||||||
Less Dividends and Distributions to Shareholders from: | ||||||||||
Total distributable earnings: | ||||||||||
Class I | (405,754 | ) | (1,093,800 | ) | ||||||
|
|
|
| |||||||
Net decrease in net assets from dividends and distributions to shareholders | (405,754 | ) | (1,093,800 | ) | ||||||
|
|
|
| |||||||
Increase in net assets derived from capital share transactions (Note 4) | 5,405,721 | 1,093,620 | ||||||||
|
|
|
| |||||||
Total increase in net assets | 16,556,679 | 5,357,291 | ||||||||
|
|
|
| |||||||
Net assets | ||||||||||
Beginning of year | 105,030,708 | 99,673,417 | ||||||||
|
|
|
| |||||||
End of year | $ | 121,587,387 | $ | 105,030,708 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
14
TOBAM EMERGING MARKETS FUND
Financial Highlights
Contained below is per share operating performance data for Class I shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
Class I | |||||||||||||||||||||||||
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | For the Year Ended September 30, 2019 | For the Year Ended September 30, 2018 | For the Period April 25, 2017* to September 30, 2017 | |||||||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||||
Net asset value, beginning of year/period | $ 10.68 | $ 10.25 | $ 11.58 | $ 11.35 | $ 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income(1) | 0.10 | 0.07 | 0.15 | 0.16 | 0.15 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | 1.08 | 0.47 | (0.91 | ) | 0.27 | 1.20 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.18 | 0.54 | (0.76 | ) | 0.43 | 1.35 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends and distributions to shareholders from: | |||||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.11 | ) | (0.12 | ) | (0.19 | ) | — | ||||||||||||||||
Net realized gains | — | — | (0.45 | ) | (0.01 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions to shareholders | (0.04 | ) | (0.11 | ) | (0.57 | ) | (0.20 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year/period | $ 11.82 | $ 10.68 | $ 10.25 | $ 11.58 | $ 11.35 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(2) | 11.05 | % | 5.30 | % | (6.47 | )% | 3.79 | % | 13.50 | % | |||||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of year/period (in 000s) | $121,587 | $105,031 | $99,673 | $49,822 | $48,020 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.10 | % | 1.10 | % | 1.10 | % | 0.95 | % | 0.85 | %(3) | |||||||||||||||
Ratio of expenses to average net assets without waivers and expense reimbursements(4) | 1.15 | % | 1.17 | % | 1.20 | % | 1.44 | % | 1.66 | %(3) | |||||||||||||||
Ratio of net investment income to average net assets | 0.83 | % | 0.68 | % | 1.48 | % | 1.27 | % | 3.29 | %(3) | |||||||||||||||
Portfolio turnover rate | 42 | % | 42 | % | 42 | % | 33 | % | 14 | %(5) |
* | Commencement of operations. |
(1) | The selected per share data was calculated using the average shares outstanding method for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
15
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements
September 30, 2021
1. Organization and Significant Accounting Policies
The TOBAM Emerging Markets Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), and commenced investment operations on April 25, 2017. The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers separate classes of shares: Class A, Class C and Class I Shares. As of September 30, 2021, Class A and Class C shares have not been issued.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter ( “OTC”) market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Securities that do not have a readily available current market value are valued in accordance with procedures adopted by the Trust’s Board of Trustees. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available and has delegated to TOBAM (“TOBAM” or the “Adviser”) the responsibility for applying the valuation methods. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser. The Trust has established a Valuation Committee which performs certain functions including the oversight of the Adviser’s fair valuation determinations. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Any assets held by the Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Fund. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses). Exchange traded futures contracts are generally valued using the settlement price determined by the relevant exchange. Exchange traded futures contracts for which no settlement price is reported, are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
· Level 1 | — | quoted prices in active markets for identical securities; | ||||
· Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and | ||||
· Level 3 | — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
16
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2021
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of September 30, 2021, in valuing the Fund’s investments carried at fair value:
Total Value at 09/30/21 | Level 1 Quoted Price | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 3,415,364 | $ | 3,415,364 | $ | — | $ | — | ||||||||
China | 40,277,949 | 6,656,114 | 33,621,835 | — | ||||||||||||
Colombia | 137,517 | 137,517 | — | — | ||||||||||||
Greece | 434,390 | — | 434,390 | — | ||||||||||||
India | 25,904,994 | 764,228 | 25,140,766 | — | ||||||||||||
Indonesia | 817,590 | — | 817,590 | — | ||||||||||||
Malaysia | 4,301,928 | 3,548,145 | 753,783 | — | ||||||||||||
Mexico | 431,321 | 431,321 | — | — | ||||||||||||
Peru | 948,594 | 948,594 | — | — | ||||||||||||
Poland | 2,157,878 | 420,669 | 1,737,209 | — | ||||||||||||
Russia | 1,541,194 | 936,829 | 604,365 | — | ||||||||||||
South Africa | 2,428,258 | 561,842 | 1,866,416 | — | ||||||||||||
South Korea | 15,351,730 | — | 15,351,730 | — | ||||||||||||
Taiwan | 14,508,346 | — | 14,508,346 | — | ||||||||||||
Thailand | 5,850,232 | 574,712 | 5,275,520 | — | ||||||||||||
Turkey | 1,193,106 | 902,978 | 290,128 | — | ||||||||||||
Rights | 21,892 | — | — | 21,892 | ||||||||||||
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Total Assets | $ | 119,722,283 | $ | 19,298,313 | $ | 100,402,078 | $ | 21,892 | ||||||||
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Liabilities | ||||||||||||||||
Derivatives: | ||||||||||||||||
Equity Contracts | ||||||||||||||||
Long Futures | $ | (65,219 | ) | $ | — | $ | (65,219 | ) | $ | — | ||||||
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Total Liabilities | $ | (65,219 | ) | $ | — | $ | (65,219 | ) | $ | — | ||||||
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At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially
17
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2021
from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the year ended September 30, 2021, there were no transfers in or out of Level 3.
Futures Contracts — The Fund may use futures contracts for hedging or speculative purposes consistent with its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
During the reporting period, the Fund entered into futures contracts to gain exposure to various markets, as part of the Fund’s investment strategy.
For the year ended September 30, 2021, the Fund’s monthly average volume of futures bought long was $1,682,221.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. The Fund may be subject to foreign taxes on unrealized and realized gains on certain foreign investments. The Fund will accrue such taxes and reclaims, as applicable, based upon the current interpretation of tax rules and regulations that exist in the market in which the Fund invests. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Foreign Currency Translation—Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
18
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2021
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statement of Operations.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to its long-term implications. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers. Fund management is continuing to monitor this development and evaluate its impact on the Fund.
Currency Risk — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund’s holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund’s holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Emerging Markets Risk — The securities of issuers located or doing substantial business in emerging market countries tend to be more volatile and less liquid than the securities of issuers located in countries with more mature economies. Emerging markets generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. Investments in these countries may be subject to political, economic, legal, market and currency risks. The risks may include less protection of property rights and uncertain political and economic policies, the imposition of capital controls and/or foreign investment limitations by a country, nationalization of businesses and the imposition of sanctions by other countries, such as the United States. Recent statements by U.S. securities and accounting regulatory agencies have expressed concern regarding information access and audit quality regarding issuers in China and other emerging market countries, which could present heightened risks associated with investments in these markets.
19
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2021
2. Transactions with Related Parties and Other Service Providers
TOBAM serves as investment adviser to the Fund. For its services, the Adviser is paid a monthly fee at the annual rate of 0.80% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive fees and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses” (as defined in Form N-1A), dividend and interest expense on securities sold short, interest, extraordinary items and brokerage commissions) do not exceed 1.10% (on an annual basis), with respect to Class I shares, of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2022, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser may recoup, subject to approval by the Board of Trustees, any expenses or fees it has waived or reimbursed within a three-year period from the date on which the Adviser reduced its compensation and/or assumed expenses of the Fund. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount. As of September 30, 2021, the amount of potential recovery was as follows:
Expiration | ||||||
09/30/2022 | 09/30/2023 | 09/30/2024 | Total | |||
$88,642 | $64,807 | $63,299 | $216,748 |
For the year ended September 30, 2021, the Adviser earned advisory fees of $981,662 and waived fees of $63,299.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Fund, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Fund and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Fund for these services are included in Transfer Agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, respectively, to the Trust. Alaric Compliance Services LLC (“Alaric”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Alaric are compensated for their services provided to the Trust.
20
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Continued)
September 30, 2021
3. Investment in Securities
For the year ended September 30, 2021, aggregated purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales | |||||||
Investment Securities | $ | 56,530,752 | $ | 50,140,392 |
4. Capital Share Transactions
For the years ended September 30, 2021 and 2020, transactions in capital shares (authorized shares unlimited) were as follows:
For the Year Ended September 30, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I | ||||||||||||||||
Sales | 659,522 | $ | 8,000,000 | — | $ | — | ||||||||||
Reinvestments | 33,669 | 405,721 | 103,269 | 1,093,620 | ||||||||||||
Redemptions | (237,154 | ) | (3,000,000 | ) | — | — | ||||||||||
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Net increase | 456,037 | $ | 5,405,721 | 103,269 | $ | 1,093,620 | ||||||||||
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There is a 1.00% redemption fee that may be charged on shares redeemed which have been held for 30 days or less. The redemption fee is retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. Net investment income, net realized gains and net assets are not affected by these adjustments. For the year ended September 30, 2021, there were no reclassifications between components of total distributable earnings and paid in capital.
For the year ended September 30, 2021, the tax character of distributions paid by the Fund was $405,754 of ordinary income dividends. For the year ended September 30, 2020, the tax character of distributions paid by the Fund was $1,093,800 of ordinary income dividends. Distributions from net investment income and short-term gains are treated as ordinary income for federal income tax purposes.
21
TOBAM EMERGING MARKETS FUND
Notes to Financial Statements (Concluded)
September 30, 2021
As of September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Capital Loss Carryforward | Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | ||
$(1,758,888) | $911,499 | $15,128,355 |
The differences between the book and tax basis components of distributable earnings relate primarily to outstanding wash sales loss deferrals.
As of the September 30, 2021, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund was as follows:
Federal Tax Cost | $ | 104,589,891 | ||
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Unrealized Appreciation | 27,976,105 | |||
Unrealized Depreciation | (12,847,750 | ) | ||
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Net Unrealized Appreciation | $ | 15,128,355 | ||
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Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain net capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2021, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2021. For the year ended September 30, 2021, the Fund had no capital loss deferrals and no late year ordinary loss deferrals.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2021 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2021, the Fund had capital loss carryforward of $1,758,888, all of which are short-term losses and have an unlimited period of capital loss carryforward.
During the year ended September 30, 2021, the Fund utilized $2,796,762 of prior year capital loss carryforwards.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
22
TOBAM EMERGING MARKETS FUND
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of FundVantage Trust and
Shareholders of TOBAM Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of TOBAM Emerging Markets Fund (the “Fund”) (one of the series constituting FundVantage Trust (the “Trust”)), including the portfolio of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the four years in the period then ended and the period from April 25, 2017 (commencement of operations) to September 30, 2017 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting FundVantage Trust) at September 30, 2021,the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the four years in the period then ended and the period from April 25, 2017 (commencement of operations) to September 30, 2017, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more TOBAM investment companies since 2017.
Philadelphia, Pennsylvania
November 24, 2021
23
TOBAM EMERGING MARKETS FUND
Shareholder Tax Information
(Unaudited)
The Fund is required by Subchapter M of the Internal Revenue Code to advise its shareholders of the U.S. federal tax status of distributions received by the Fund’s shareholders in respect of such fiscal year. During the year ended September 30, 2021, the Fund paid $405,754 of ordinary income dividends to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund designates 100.00% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is 0.05%.
The TOBAM Emerging Markets Fund paid foreign taxes and recognized foreign source income as follows:
Foreign Taxes Paid | Foreign Source Income | |||
TOBAM Emerging Markets Fund | $273,544 | $2,743,569 |
All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2021. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns will be made in conjunction with Form 1099-DIV and will be mailed in January 2022.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by a Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in a Fund.
24
TOBAM EMERGING MARKETS FUND
Statement Regarding Liquidity Risk Management Program
(Unaudited)
On October 16, 2016, the Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the TOBAM Emerging Markets Fund (the “Fund”), met on September 21-22, 2021 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Fund, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Fund’s Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of June 30, 2021 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of the Fund’s portfolio holdings, a HLIM was not currently required for the Fund.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follow:
A. The Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed the Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on the Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish the Fund’s reasonably anticipated trading size. The Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration the Fund’s shareholder ownership concentration and the fact that the shares of the Fund are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of the Fund’s holdings, it was noted that the Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in the Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Fund does not currently have a borrowing or other credit funding arrangement.
25
TOBAM EMERGING MARKETS FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (844) 282-6161 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to their reports on Form N-PORT. The Trust’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
26
TOBAM EMERGING MARKETS FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (844) 282-6161.
27
TOBAM EMERGING MARKETS FUND
Fund Management
(Unaudited)
FundVantage Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The primary responsibility of the Trustees is to represent the interest of the Trust’s shareholders and to provide oversight management of the Trust.
The following tables present certain information regarding the Board of Trustees and officers of the Trust. None of the Trustees are an” interested person” of the Trust, the Adviser, another investment adviser of a series of the Trust, or Foreside Funds Distributors LLC, the principal underwriter of the Trust (“Underwriter”), within the meaning of the 1940 Act and each Trustee is referred to as an “Independent Trustee” and is listed under such heading below. Employees of certain service providers to the Trust serve as officers of the Trust; such persons are not compensated by the Fund. The address of each Trustee and officer as it relates to the Trust’s business is 301 Bellevue Parkway, 2nd Floor, Wilmington, DE 19809.
The Statement of Additional Information for the Fund contains additional information about the Trustees and is available, without charge, upon request by calling (844) 282-6161.
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
INDEPENDENT TRUSTEES | ||||||||||
ROBERT J. CHRISTIAN Date of Birth: 2/49 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. Chairman from 2007 until September 30, 2019. | Retired since February 2006; Executive Vice President of Wilmington Trust Company from February 1996 to February 2006; President of Rodney Square Management Corporation (“RSMC”) (investment advisory firm) from 1996 to 2005; Vice President of RSMC from 2005 to 2006. | 31 | Optimum Fund Trust (registered investment company with 6 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
IQBAL MANSUR Date of Birth: 6/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2007. | Retired since September 2020; Professor of Finance, Widener University from 1998 to August 2020. | 31 | Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
28
TOBAM EMERGING MARKETS FUND
Fund Management (Continued)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
NICHOLAS M. MARSINI, JR. Date of Birth: 8/55 | Trustee and Chairman of the Board | Shall serve until death, resignation or removal. Trustee since 2016. Chairman since October 1, 2019. | Retired since March 2016. President of PNC Bank Delaware from June 2011 to March 2016; Executive Vice President of Finance of BNY Mellon from July 2010 to January 2011; Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from September 1997 to July 2010. | 31 | Brinker Capital Destinations Trust (registered investment company with 10 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). | |||||
NANCY B. WOLCOTT Date of Birth: 11/54 | Trustee | Shall serve until death, resignation or removal. Trustee since 2011. | Retired since May 2014; EVP, Head of GFI Client Service Delivery, BNY Mellon from January 2012 to May 2014; EVP, Head of US Funds Services, BNY Mellon from July 2010 to January 2012; President of PNC Global Investment Servicing from 2008 to July 2010; Chief Operating Officer of PNC Global Investment Servicing from 2007 to 2008; Executive Vice President of PFPC Worldwide Inc. from 2006 to 2007. | 31 | Lincoln Variable Insurance Products Trust (registered investment company with 97 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
29
TOBAM EMERGING MARKETS FUND
Fund Management (Concluded)
(Unaudited)
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | Number of Funds in Trust Complex Overseen by Trustee
| Other Directorships Held by | |||||
STEPHEN M. WYNNE Date of Birth: 1/55 | Trustee | Shall serve until death, resignation or removal. Trustee since 2009. | Retired since December 2010; Chief Executive Officer of US Funds Services, BNY Mellon Assets Servicing from July 2010 to December 2010; Chief Executive Officer of PNC Global Investment Servicing from March 2008 to July 2010; President, PNC Global Investment Servicing from 2003 to 2008. | 31 | Copeland Trust (registered investment company with 2 portfolios); Third Avenue Trust (registered investment company with 4 portfolios); Third Avenue Variable Series Trust (registered investment company with 1 portfolio). |
Name and Date of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | |||
EXECUTIVE OFFICERS | ||||||
JOEL L. WEISS Date of Birth: 1/63 | President and Chief Executive Officer | Shall serve until death, resignation or removal. Officer since 2007. | President of JW Fund Management LLC since June 2016; Vice President and Managing Director of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from 1993 to June 2016. | |||
T. RICHARD KEYES Date of Birth: 1/57 | Treasurer and Chief Financial Officer | Shall serve until death, resignation or removal. Officer since 2016. | President of TRK Fund Consulting LLC since July 2016; Head of Tax — U.S. Fund Services of BNY Mellon Investment Servicing (US) Inc. and predecessor firms from February 2006 to July 2016. | |||
GABRIELLA MERCINCAVAGE Date of Birth: 6/68 | Assistant Treasurer | Shall serve until death, resignation or removal. Officer since 2019. | Fund Administration Consultant since January 2019; Fund Accounting and Tax Compliance Accountant to financial services companies from November 2003 to July 2018. | |||
VINCENZO A. SCARDUZIO Date of Birth: 4/72 | Secretary | Shall serve until death, resignation or removal. Officer since 2012. | Director and Vice President Regulatory Administration of The Bank of New York Mellon and predecessor firms since 2001. | |||
GUY F. TALARICO Date of Birth: 8/55 | Chief Compliance Officer and Anti-Money Laundering Officer | Shall serve until death, resignation or removal. Officer since 2020. | Chief Executive Officer of Alaric Compliance Services LLC since June 2004. |
30
Investment Adviser
TOBAM
49-53, Avenue des Champs-Élysées
75008 Paris, France
Administrator
The Bank of New York Mellon
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
Foreside Funds Distributors LLC
400 Berwyn Park
899 Cassatt Road
Berwyn, PA 19312
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
TOB-0921
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The Audit Committee of the Board of Trustees currently is comprised of Robert J. Christian, Iqbal Mansur and Stephen M. Wynne, each of whom is considered “independent” within the meaning set forth under Item 3 of Form N-CSR. The Board of Trustees has determined that Mr. Wynne is an “audit committee financial expert” as such term is defined by Item 3 of Form N-CSR.
The Registrant’s Board of Trustees has determined that Mr. Wynne acquired the attributes necessary to be considered an audit committee financial expert through his experience as a chief executive officer (and other senior-level accounting and/or financial positions) of several large financial institutions and because he has co-authored a text book on mutual fund accounting.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or |
engagements for those fiscal years were $508,121 for the fiscal year ending September 30, 2021 and $574,682 for the fiscal year ending September 30, 2020, as follows: |
Fiscal Year Ending September 30, 2021
| Fiscal Year Ending September 30, 2020
| |||
PricewaterhouseCoopers LLP
| $426,176
| $448,792
| ||
Ernst & Young LLP
| $81,945
| $125,890
| ||
Aggregate Fees
| $508,121
| $574,682
|
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for the fiscal year ending September 30, 2021 and $0 for the fiscal year ending September 30, 2020. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $26,554 for the fiscal year ending September 30, 2021 and $24,869 for the fiscal year ending September 30, 2020, as follows: |
Fiscal Year Ending September 30, 2021
| Fiscal Year Ending September 30, 2020
| |||
PricewaterhouseCoopers LLP
| $0
| $0
| ||
Ernst & Young LLP
| $26,554
| $24,869
| ||
Aggregate Fees
| $26,554
| $24,869
|
These fees were for Passive Foreign Investment Company (PFIC) database tax services.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for the fiscal year ending September 30, 2021 and $0 for the fiscal year ending September 30, 2020. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Registrant’s Audit Committee Charter requires the Audit Committee to (i) (a) approve prior to appointment the engagement of independent registered public accounting firm to annually audit and provide their opinion on the Registrant’s financial statements, (b) recommend to the Independent Trustees the selection, retention or termination of the Registrant’s independent registered public accounting firm and, (c) in connection therewith, to review and evaluate matters potentially affecting the independence and capabilities of the independent registered public accounting firm; and (ii) to approve prior to appointment the engagement of the independent registered public accounting firm to provide other audit services to the Registrant, or to provide non-audit services to the Registrant, its series, an investment adviser to its series or any entity controlling, controlled by, or under common control with an investment adviser to its series (“adviser-affiliate”) that provides ongoing services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant. The Audit Committee will not approve non-audit services that the Audit Committee believes may impair the independence of the Registrant’s independent registered public accountant. The Audit Committee may delegate, to the extent permitted by law, pre-approved responsibilities to one or more members of the Audit Committee who shall report to the full Audit Committee.
(e)(2) | Not applicable. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $254,105 for the fiscal year ending September 30, 2021 and $1,425,069 for the fiscal year ending September 30, 2020, as follows: |
Fiscal Year Ending September 30, 2021
| Fiscal Year Ending September 30, 2020
| |||
PricewaterhouseCoopers LLP
| $0
| $0
| ||
Ernst & Young LLP
| $254,105
| $1,425,069
| ||
Aggregate Fees
| $254,105
| $1,425,069
|
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered |
by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FundVantage Trust | ||
By (Signature and Title)* /s/ Joel L. Weiss | ||
Joel L. Weiss, President and | ||
Chief Executive Officer | ||
(principal executive officer) | ||
Date December 3, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Joel L. Weiss | ||
Joel L. Weiss, President and | ||
Chief Executive Officer | ||
(principal executive officer) | ||
Date December 3, 2021 |
By (Signature and Title)* /s/ T. Richard Keyes | ||
T. Richard Keyes, Treasurer and | ||
Chief Financial Officer | ||
(principal financial officer) | ||
Date December 3, 2021 |
* Print the name and title of each signing officer under his or her signature.