GOTHAM INDEX PLUS FUND
Portfolio of Investments
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — 95.7% |
| |||||||
Automobiles & Components — 1.2% |
| |||||||
BorgWarner, Inc.(a) | 42,265 | $ | 1,633,120 | |||||
Ford Motor Co. | 147,387 | 1,295,532 | ||||||
General Motors Co. | 51,292 | 2,135,799 | ||||||
|
| |||||||
5,064,451 | ||||||||
|
| |||||||
Banks — 2.6% | ||||||||
Bank of America Corp.(a) | 56,382 | 1,708,938 | ||||||
Citigroup, Inc. | 4,327 | 266,803 | ||||||
Fifth Third Bancorp(a) | 57,214 | 1,577,390 | ||||||
First Republic Bank | 4,457 | 654,867 | ||||||
JPMorgan Chase & Co.(a) | 13,948 | 1,772,372 | ||||||
PNC Financial Services Group, Inc. (The)(a) | 9,905 | 1,475,845 | ||||||
SVB Financial Group* | 3,490 | 1,353,527 | ||||||
Truist Financial Corp. | 8,831 | 423,270 | ||||||
US Bancorp | 5,052 | 235,373 | ||||||
Wells Fargo & Co. | 64,878 | 1,958,018 | ||||||
|
| |||||||
11,426,403 | ||||||||
|
| |||||||
Capital Goods — 11.5% | ||||||||
3M Co. | 11,637 | 2,034,031 | ||||||
AMETEK, Inc. | 10,470 | 1,266,242 | ||||||
Carrier Global Corp. | 26,743 | 1,008,746 | ||||||
Caterpillar, Inc. | 9,114 | 1,658,930 | ||||||
Cummins, Inc. | 8,046 | 1,827,247 | ||||||
Deere & Co. | 3,072 | 826,522 | ||||||
Dover Corp. | 13,681 | 1,727,226 | ||||||
Eaton Corp. PLC (Ireland) | 8,684 | 1,043,296 | ||||||
Emerson Electric Co.(a) | 20,836 | 1,674,589 | ||||||
Flowserve Corp.(a) | 59,216 | 2,182,110 | ||||||
Fortive Corp. | 7,125 | 504,592 | ||||||
Fortune Brands Home & Security, Inc. | 13,311 | 1,141,019 | ||||||
General Dynamics Corp. | 3,612 | 537,538 | ||||||
Honeywell International, Inc.(a) | 10,919 | 2,322,471 | ||||||
Howmet Aerospace, Inc.(a) | 128,734 | 3,674,068 | ||||||
Illinois Tool Works, Inc. | 2,319 | 472,798 | ||||||
Johnson Controls International PLC (Ireland) | 28,512 | 1,328,374 | ||||||
L3Harris Technologies, Inc. | 2,249 | 425,106 | ||||||
Lockheed Martin Corp.(a) | 7,071 | 2,510,064 | ||||||
Masco Corp.(a) | 31,901 | 1,752,322 | ||||||
Northrop Grumman Corp. | 1,116 | 340,068 | ||||||
Otis Worldwide Corp. | 10,893 | 735,822 | ||||||
PACCAR, Inc. | 4,435 | 382,652 | ||||||
Parker-Hannifin Corp. | 3,776 | 1,028,620 | ||||||
Pentair PLC (Ireland) | 43,933 | 2,332,403 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Capital Goods — (Continued) |
| |||||||
Quanta Services, Inc.(a) | 60,924 | $ | 4,387,746 | |||||
Raytheon Technologies Corp. | 2,778 | 198,655 | ||||||
Roper Technologies, Inc. | 705 | 303,918 | ||||||
Snap-on, Inc.(a) | 13,442 | 2,300,464 | ||||||
Stanley Black & Decker, Inc. | 4,036 | 720,668 | ||||||
Trane Technologies PLC (Ireland) | 7,427 | 1,078,103 | ||||||
TransDigm Group, Inc.(a) * | 5,232 | 3,237,823 | ||||||
United Rentals, Inc.* | 8,315 | 1,928,332 | ||||||
WW Grainger, Inc. | 1,761 | 719,087 | ||||||
|
| |||||||
49,611,652 | ||||||||
|
| |||||||
Commercial & Professional Services — 1.4% |
| |||||||
Cintas Corp.(a) | 4,668 | 1,649,951 | ||||||
IHS Markit Ltd. (Bermuda) | 9,234 | 829,490 | ||||||
Nielsen Holdings PLC (United Kingdom) | 41,617 | 868,547 | ||||||
Republic Services, Inc. | 13,301 | 1,280,886 | ||||||
Robert Half International, Inc. | 9,657 | 603,369 | ||||||
Waste Management, Inc. | 8,152 | 961,365 | ||||||
|
| |||||||
6,193,608 | ||||||||
|
| |||||||
Consumer Durables & Apparel — 3.1% |
| |||||||
DR Horton, Inc. | 10,628 | 732,482 | ||||||
Garmin Ltd. (Switzerland) | 2,373 | 283,953 | ||||||
Hanesbrands, Inc. | 117,227 | 1,709,170 | ||||||
Leggett & Platt, Inc. | 8,567 | 379,518 | ||||||
Lennar Corp., Class A | 1,635 | 124,636 | ||||||
Mohawk Industries, Inc.* | 7,913 | 1,115,337 | ||||||
Newell Brands, Inc. | 22,371 | 474,936 | ||||||
NIKE, Inc., Class B | 10,123 | 1,432,101 | ||||||
PulteGroup, Inc. | 29,218 | 1,259,880 | ||||||
PVH Corp.(a) | 52,894 | 4,966,218 | ||||||
Tapestry, Inc. | 2,656 | 82,548 | ||||||
Whirlpool Corp. | 4,415 | 796,863 | ||||||
|
| |||||||
13,357,642 | ||||||||
|
| |||||||
Consumer Services — 1.5% |
| |||||||
Hilton Worldwide Holdings, Inc. | 2,864 | 318,649 | ||||||
McDonald’s Corp.(a) | 10,865 | 2,331,412 | ||||||
MGM Resorts International | 59,022 | 1,859,783 | ||||||
Yum! Brands, Inc.(a) | 18,532 | 2,011,834 | ||||||
|
| |||||||
6,521,678 | ||||||||
|
| |||||||
Diversified Financials — 3.9% |
| |||||||
American Express Co. | 1,561 | 188,740 | ||||||
Berkshire Hathaway, Inc., Class B* | 996 | 230,943 | ||||||
BlackRock, Inc. | 687 | 495,698 |
1
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Diversified Financials — (Continued) |
| |||||||
Discover Financial Services(a) | 33,938 | $ | 3,072,407 | |||||
Franklin Resources, Inc.(a) | 63,913 | 1,597,186 | ||||||
Goldman Sachs Group, Inc. (The)(a) | 7,685 | 2,026,611 | ||||||
Intercontinental Exchange, Inc. | 6,083 | 701,309 | ||||||
Invesco Ltd. (Bermuda) | 188,620 | 3,287,647 | ||||||
Moody’s Corp. | 1,663 | 482,669 | ||||||
Nasdaq, Inc. | 9,115 | 1,209,925 | ||||||
S&P Global, Inc.(a) | 8,083 | 2,657,125 | ||||||
T Rowe Price Group, Inc. | 7,048 | 1,066,997 | ||||||
|
| |||||||
17,017,257 | ||||||||
|
| |||||||
Energy — 3.7% | ||||||||
Apache Corp.(a) | 128,554 | 1,824,181 | ||||||
Chevron Corp.(a) | 35,893 | 3,031,164 | ||||||
Concho Resources, Inc. | 4,828 | 281,714 | ||||||
ConocoPhillips(a) | 34,185 | 1,367,058 | ||||||
EOG Resources, Inc. | 26,243 | 1,308,738 | ||||||
Halliburton Co.(a) | 130,501 | 2,466,469 | ||||||
Kinder Morgan, Inc.(a) | 121,389 | 1,659,388 | ||||||
Marathon Petroleum Corp. | 4,792 | 198,197 | ||||||
National Oilwell Varco, Inc.* | 89,543 | 1,229,425 | ||||||
Phillips 66 | 840 | 58,750 | ||||||
TechnipFMC PLC (United Kingdom) | 146,740 | 1,379,356 | ||||||
Williams Cos., Inc. (The) | 56,469 | 1,132,203 | ||||||
|
| |||||||
15,936,643 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.3% | ||||||||
Kroger Co. (The) | 9,900 | 314,424 | ||||||
Sysco Corp. | 13,928 | 1,034,293 | ||||||
Walgreens Boots Alliance, Inc. | 9,327 | 371,961 | ||||||
Walmart, Inc.(a) | 27,685 | 3,990,793 | ||||||
|
| |||||||
5,711,471 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 4.0% |
| |||||||
Altria Group, Inc.(a) | 36,547 | 1,498,427 | ||||||
Archer-Daniels-Midland Co. | 11,678 | 588,688 | ||||||
Campbell Soup Co. | 13,764 | 665,489 | ||||||
Coca-Cola Co. (The)(a) | 57,055 | 3,128,896 | ||||||
Conagra Brands, Inc. | 22,940 | 831,804 | ||||||
Constellation Brands, Inc., | 11,057 | 2,422,036 | ||||||
General Mills, Inc. | 15,343 | 902,168 | ||||||
JM Smucker Co. (The) | 9,323 | 1,077,739 | ||||||
Kellogg Co. | 14,294 | 889,516 | ||||||
Kraft Heinz Co. (The)(a) | 50,711 | 1,757,643 | ||||||
Molson Coors Beverage Co., Class B | 9,818 | 443,675 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Food, Beverage & Tobacco — (Continued) |
| |||||||
Mondelez International, Inc., Class A | 3,182 | $ | 186,052 | |||||
PepsiCo, Inc. | 2,851 | 422,803 | ||||||
Philip Morris International, Inc. | 12,930 | 1,070,475 | ||||||
Tyson Foods, Inc., Class A | 23,399 | 1,507,832 | ||||||
|
| |||||||
17,393,243 | ||||||||
|
| |||||||
Health Care Equipment & Services — 5.1% |
| |||||||
Abbott Laboratories | 8,391 | 918,731 | ||||||
AmerisourceBergen Corp. | 8,567 | 837,510 | ||||||
Anthem, Inc.(a) | 3,808 | 1,222,711 | ||||||
Cigna Corp. | 138 | 28,729 | ||||||
CVS Health Corp. | 17,198 | 1,174,623 | ||||||
Danaher Corp. | 6,578 | 1,461,237 | ||||||
DaVita, Inc.* | 6,890 | 808,886 | ||||||
DENTSPLY SIRONA, Inc. | 21,296 | 1,115,059 | ||||||
HCA Healthcare, Inc. | 2,067 | 339,939 | ||||||
Henry Schein, Inc.* | 983 | 65,723 | ||||||
Hologic, Inc.(a) * | 34,741 | 2,530,187 | ||||||
Humana, Inc. | 1,757 | 720,844 | ||||||
McKesson Corp. | 3,433 | 597,067 | ||||||
Medtronic PLC (Ireland) | 18,706 | 2,191,221 | ||||||
Quest Diagnostics, Inc. | 4,703 | 560,456 | ||||||
ResMed, Inc. | 556 | 118,183 | ||||||
STERIS PLC (Ireland) | 3,863 | 732,193 | ||||||
Stryker Corp. | 5,407 | 1,324,931 | ||||||
UnitedHealth Group, Inc. | 3,902 | 1,368,353 | ||||||
Universal Health Services, Inc., | 8,095 | 1,113,062 | ||||||
Varian Medical Systems, Inc.* | 10,805 | 1,890,983 | ||||||
West Pharmaceutical Services, Inc. | 2,408 | 682,210 | ||||||
Zimmer Biomet Holdings, Inc. | 30 | 4,623 | ||||||
|
| |||||||
21,807,461 | ||||||||
|
| |||||||
Household & Personal Products — 1.8% |
| |||||||
Clorox Co. (The) | 2,992 | 604,145 | ||||||
Colgate-Palmolive Co. | 15,667 | 1,339,685 | ||||||
Estee Lauder Cos., Inc. (The), | 1,549 | 412,328 | ||||||
Kimberly-Clark Corp. | 7,219 | 973,338 | ||||||
Procter & Gamble Co. (The)(a) | 33,380 | 4,644,493 | ||||||
|
| |||||||
7,973,989 | ||||||||
|
| |||||||
Insurance — 2.4% | ||||||||
Aflac, Inc. | 16,949 | 753,722 | ||||||
Aon PLC, Class A (Ireland) | 8,083 | 1,707,695 | ||||||
Arthur J Gallagher & Co. | 4,873 | 602,839 |
2
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Insurance — (Continued) |
| |||||||
Assurant, Inc. | 1,493 | $ | 203,376 | |||||
Cincinnati Financial Corp.(a) | 13,255 | 1,158,089 | ||||||
Globe Life, Inc. | 1,688 | 160,292 | ||||||
Hartford Financial Services Group, | ||||||||
Inc. (The) | 8,333 | 408,150 | ||||||
Loews Corp. | 608 | 27,372 | ||||||
Marsh & McLennan Cos., Inc. | 15,565 | 1,821,105 | ||||||
MetLife, Inc. | 23,642 | 1,109,992 | ||||||
Progressive Corp. (The) | 3,373 | 333,522 | ||||||
Prudential Financial, Inc. | 14,392 | 1,123,583 | ||||||
Travelers Cos., Inc. (The) | 4,607 | 646,685 | ||||||
WR Berkley Corp. | 6,198 | 411,671 | ||||||
|
| |||||||
10,468,093 | ||||||||
|
| |||||||
Materials — 5.7% |
| |||||||
Amcor PLC (Jersey) | 101,476 | 1,194,373 | ||||||
Avery Dennison Corp. | 575 | 89,188 | ||||||
Celanese Corp. | 14,013 | 1,820,849 | ||||||
CF Industries Holdings, Inc.(a) | 67,559 | 2,615,209 | ||||||
Dow, Inc. | 12,085 | 670,718 | ||||||
DuPont de Nemours, Inc.(a) | 54,046 | 3,843,211 | ||||||
Eastman Chemical Co. | 7,372 | 739,264 | ||||||
Ecolab, Inc.(a) | 3,388 | 733,028 | ||||||
FMC Corp. | 7,170 | 824,048 | ||||||
Freeport-McMoRan, Inc. | 11,793 | 306,854 | ||||||
International Paper Co. | 23,461 | 1,166,481 | ||||||
Linde PLC (Ireland) | 7,847 | 2,067,763 | ||||||
LyondellBasell Industries NV, Class A (Netherlands) | 12,082 | 1,107,436 | ||||||
Martin Marietta Materials, Inc. | 1,622 | 460,599 | ||||||
Mosaic Co. (The) | 50,873 | 1,170,588 | ||||||
Newmont Corp. | 6,055 | 362,634 | ||||||
Nucor Corp. | 9,799 | 521,209 | ||||||
PPG Industries, Inc.(a) | 11,422 | 1,647,281 | ||||||
Sealed Air Corp.(a) | 53,977 | 2,471,607 | ||||||
Sherwin-Williams Co. (The) | 979 | 719,477 | ||||||
|
| |||||||
24,531,817 | ||||||||
|
| |||||||
Media & Entertainment — 5.3% |
| |||||||
Activision Blizzard, Inc. | 5,158 | 478,920 | ||||||
Alphabet, Inc., Class A(a) * | 2,936 | 5,145,751 | ||||||
Charter Communications, Inc., | 449 | 297,036 | ||||||
Comcast Corp., Class A(a) | 30,663 | 1,606,741 | ||||||
Discovery, Inc., Class A* | 9,052 | 272,375 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Media & Entertainment — (Continued) |
| |||||||
Electronic Arts, Inc. | 2,198 | $ | 315,633 | |||||
Facebook, Inc., Class A(a) * | 31,996 | 8,740,027 | ||||||
Fox Corp., Class A | 32,013 | 932,219 | ||||||
Interpublic Group of Cos., Inc. (The) | 24,784 | 582,920 | ||||||
Netflix, Inc.* | 2,833 | 1,531,888 | ||||||
Omnicom Group, Inc. | 3,163 | 197,276 | ||||||
Take-Two Interactive Software, Inc.* | 785 | 163,115 | ||||||
Twitter, Inc.* | 5,519 | 298,854 | ||||||
Walt Disney Co. (The)(a) * | 11,560 | 2,094,441 | ||||||
|
| |||||||
22,657,196 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences — 4.8% |
| |||||||
AbbVie, Inc. | 21,308 | 2,283,152 | ||||||
Agilent Technologies, Inc. | 9,962 | 1,180,397 | ||||||
Alexion Pharmaceuticals, Inc.* | 9,098 | 1,421,471 | ||||||
Amgen, Inc. | 1,143 | 262,799 | ||||||
Biogen, Inc.* | 1,980 | 484,823 | ||||||
Bristol-Myers Squibb Co. | 12,836 | 796,217 | ||||||
Gilead Sciences, Inc. | 19,975 | 1,163,744 | ||||||
Illumina, Inc.* | 943 | 348,910 | ||||||
Incyte Corp.* | 1,469 | 127,774 | ||||||
Johnson & Johnson | 11,674 | 1,837,254 | ||||||
Merck & Co., Inc.(a) | 31,383 | 2,567,129 | ||||||
PerkinElmer, Inc. | 6,557 | 940,930 | ||||||
Pfizer, Inc.(a) | 92,593 | 3,408,348 | ||||||
Regeneron Pharmaceuticals, Inc.* | 987 | 476,830 | ||||||
Thermo Fisher Scientific, Inc.(a) | 5,010 | 2,333,558 | ||||||
Viatris, Inc.* | 63,684 | 1,193,438 | ||||||
|
| |||||||
20,826,774 | ||||||||
|
| |||||||
Real Estate — 3.3% |
| |||||||
Alexandria Real Estate Equities, Inc., REIT | 5,742 | 1,023,339 | ||||||
American Tower Corp., REIT | 2,878 | 645,996 | ||||||
AvalonBay Communities, Inc., REIT | 4,494 | 720,972 | ||||||
Boston Properties, Inc., REIT | 4,046 | 382,468 | ||||||
CBRE Group, Inc., Class A* | 7,422 | 465,508 | ||||||
Crown Castle International Corp., REIT | 2,855 | 454,487 | ||||||
Extra Space Storage, Inc., REIT | 136 | 15,757 | ||||||
Mid-America Apartment Communities, Inc., REIT | 9,996 | 1,266,393 | ||||||
Prologis, Inc., REIT | 6,316 | 629,453 | ||||||
Public Storage, REIT | 2,567 | 592,797 | ||||||
Realty Income Corp., REIT | 8,222 | 511,162 |
3
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Real Estate — (Continued) |
| |||||||
SBA Communications Corp., REIT | 745 | $ | 210,187 | |||||
Simon Property Group, Inc., REIT | 11,656 | 994,024 | ||||||
Welltower, Inc., REIT | 16,801 | 1,085,681 | ||||||
Weyerhaeuser Co., REIT(a) | 151,198 | 5,069,669 | ||||||
|
| |||||||
14,067,893 | ||||||||
|
| |||||||
Retailing — 8.9% |
| |||||||
Advance Auto Parts, Inc. | 6,040 | 951,360 | ||||||
Amazon.com, Inc.(a) * | 4,744 | 15,450,876 | ||||||
AutoZone, Inc.* | 909 | 1,077,565 | ||||||
Best Buy Co., Inc. | 5,816 | 580,379 | ||||||
Booking Holdings, Inc.* | 182 | 405,363 | ||||||
Dollar General Corp. | 6,236 | 1,311,431 | ||||||
eBay, Inc.(a) | 46,443 | 2,333,761 | ||||||
Gap, Inc. (The)* | 101,640 | 2,052,112 | ||||||
Genuine Parts Co. | 12,530 | 1,258,388 | ||||||
Home Depot, Inc. (The)(a) | 12,437 | 3,303,516 | ||||||
L Brands, Inc. | 52,712 | 1,960,359 | ||||||
LKQ Corp.* | 46,629 | 1,643,206 | ||||||
Lowe’s Cos., Inc. | 10,104 | 1,621,793 | ||||||
O’Reilly Automotive, Inc.* | 2,537 | 1,148,170 | ||||||
Target Corp. | 8,510 | 1,502,270 | ||||||
Tractor Supply Co.(a) | 12,932 | 1,817,981 | ||||||
|
| |||||||
38,418,530 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Applied Materials, Inc. | 19,968 | 1,723,238 | ||||||
Broadcom, Inc.(a) | 4,971 | 2,176,552 | ||||||
Intel Corp. | 23,685 | 1,179,987 | ||||||
KLA Corp. | 2,765 | 715,886 | ||||||
Lam Research Corp. | 1,100 | 519,497 | ||||||
Maxim Integrated Products, Inc. | 8,236 | 730,121 | ||||||
Micron Technology, Inc.* | 7,395 | 555,956 | ||||||
NVIDIA Corp.(a) | 3,615 | 1,887,753 | ||||||
Qorvo, Inc.* | 1,791 | 297,790 | ||||||
QUALCOMM, Inc. | 11,325 | 1,725,250 | ||||||
Skyworks Solutions, Inc. | 5,468 | 835,948 | ||||||
Texas Instruments, Inc.(a) | 10,481 | 1,720,247 | ||||||
|
| |||||||
14,068,225 | ||||||||
|
| |||||||
Software & Services — 12.0% |
| |||||||
Accenture PLC, Class A (Ireland) | 11,807 | 3,084,106 | ||||||
Adobe, Inc.(a) * | 4,099 | 2,049,992 | ||||||
ANSYS, Inc.* | 570 | 207,366 | ||||||
Autodesk, Inc.* | 2,796 | 853,731 | ||||||
Broadridge Financial Solutions, Inc. | 8,960 | 1,372,672 |
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Software & Services — (Continued) |
| |||||||
Cadence Design Systems, Inc.* | 4,153 | $ | 566,594 | |||||
Cognizant Technology Solutions Corp., Class A | 1,085 | 88,916 | ||||||
FleetCor Technologies, Inc.* | 948 | 258,643 | ||||||
International Business Machines Corp.(a) | 19,345 | 2,435,149 | ||||||
Mastercard, Inc., Class A(a) | 9,077 | 3,239,944 | ||||||
Microsoft Corp.(a) | 88,761 | 19,742,222 | ||||||
NortonLifeLock, Inc. | 2,297 | 47,732 | ||||||
Oracle Corp.(a) | 47,101 | 3,046,964 | ||||||
Paychex, Inc.(a) | 37,522 | 3,496,300 | ||||||
PayPal Holdings, Inc.(a) * | 8,553 | 2,003,113 | ||||||
salesforce.com, Inc.(a) * | 8,414 | 1,872,367 | ||||||
ServiceNow, Inc.* | 1,320 | 726,568 | ||||||
Synopsys, Inc.* | 2,415 | 626,065 | ||||||
VeriSign, Inc.* | 2,195 | 474,998 | ||||||
Visa, Inc., Class A(a) | 15,464 | 3,382,441 | ||||||
Western Union Co. (The)(a) | 97,813 | 2,146,017 | ||||||
|
| |||||||
51,721,900 | ||||||||
|
| |||||||
Technology Hardware & Equipment — 3.8% |
| |||||||
Amphenol Corp., Class A | 6,804 | 889,759 | ||||||
Apple, Inc. | 7,649 | 1,014,946 | ||||||
CDW Corp. | 2,779 | 366,244 | ||||||
Cisco Systems, Inc.(a) | 59,357 | 2,656,226 | ||||||
Corning, Inc. | 10,000 | 360,000 | ||||||
F5 Networks, Inc.* | 4,093 | 720,122 | ||||||
FLIR Systems, Inc.(a) | 20,984 | 919,729 | ||||||
HP, Inc. | 66,876 | 1,644,481 | ||||||
Juniper Networks, Inc. | 61,152 | 1,376,532 | ||||||
NetApp, Inc. | 18,716 | 1,239,748 | ||||||
Seagate Technology PLC (Ireland) | 21,449 | 1,333,270 | ||||||
TE Connectivity Ltd. (Switzerland) | 14,618 | 1,769,801 | ||||||
Vontier Corp.(a) * | 58,599 | 1,957,207 | ||||||
|
| |||||||
16,248,065 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
AT&T, Inc.(a) | 125,166 | 3,599,774 | ||||||
CenturyLink, Inc. | 10,369 | 101,098 | ||||||
T-Mobile US, Inc.* | 5,233 | 705,670 | ||||||
Verizon Communications, Inc.(a) | 35,589 | 2,090,854 | ||||||
|
| |||||||
6,497,396 | ||||||||
|
| |||||||
Transportation — 1.7% |
| |||||||
Alaska Air Group, Inc. | 5,409 | 281,268 |
4
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Number | ||||||||
of Shares | Value | |||||||
COMMON STOCKS — (Continued) |
| |||||||
Transportation — (Continued) |
| |||||||
CH Robinson Worldwide, Inc. | 5,792 | $ | 543,695 | |||||
CSX Corp. | 17,237 | 1,564,258 | ||||||
Expeditors International of Washington, Inc.(a) | 25,096 | 2,386,881 | ||||||
JB Hunt Transport Services, Inc. | 4,969 | 679,014 | ||||||
Norfolk Southern Corp. | 7,592 | 1,803,935 | ||||||
Union Pacific Corp. | 901 | 187,606 | ||||||
|
| |||||||
7,446,657 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES Corp. (The) | 4,431 | 104,128 | ||||||
CenterPoint Energy, Inc. | 14,844 | 321,224 | ||||||
Dominion Energy, Inc.(a) | 18,123 | 1,362,850 | ||||||
Duke Energy Corp. | 16,381 | 1,499,844 | ||||||
Evergy, Inc. | 4,117 | 228,535 | ||||||
NextEra Energy, Inc. | 1,861 | 143,576 | ||||||
NRG Energy, Inc.(a) | 92,209 | 3,462,448 | ||||||
Public Service Enterprise Group, Inc. | 5,836 | 340,239 | ||||||
Southern Co. (The) | 8,329 | 511,650 | ||||||
|
| |||||||
7,974,494 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 412,942,538 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF |
| 18,577,393 | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 431,519,931 | ||||||
|
|
(a) | Security position is either entirely or partially designated as collateral for total return swaps. |
* | Non-income producing. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
5
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Over-the-counter total return swaps outstanding as of December 31, 2020
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 November 3, 2025, 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 3.3% of net assets as of December 31, 2020.
The following table represents the individual long and short positions and related values of total return swaps as of December 31, 2020:
Total Return Swaps
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Long | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
BorgWarner, Inc. | Morgan Stanley | 33,346 | $ | 1,120,425 | $ | 1,288,489 | $ | 184,992 | ||||||||||||||
Ford Motor Co. | Morgan Stanley | 269,102 | 2,351,091 | 2,365,407 | 18,153 | |||||||||||||||||
General Motors Co. | Morgan Stanley | 52,145 | 2,058,216 | 2,171,318 | 116,496 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
354,593 | 5,529,732 | 5,825,214 | 319,641 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Banks | ||||||||||||||||||||||
Bank of America Corp. | Morgan Stanley | 63,014 | 1,458,212 | 1,909,954 | 478,183 | |||||||||||||||||
Citigroup, Inc. | Morgan Stanley | 4,850 | 190,468 | 299,051 | 115,887 | |||||||||||||||||
Fifth Third Bancorp | Morgan Stanley | 46,242 | 937,312 | 1,274,892 | 369,632 | |||||||||||||||||
First Republic Bank | Morgan Stanley | 4,616 | 593,389 | 678,229 | 86,518 | |||||||||||||||||
JPMorgan Chase & Co. | Morgan Stanley | 9,359 | 923,170 | 1,189,248 | 276,115 | |||||||||||||||||
PNC Financial Services Group, Inc. (The) | Morgan Stanley | 9,656 | 964,531 | 1,438,744 | 503,794 | |||||||||||||||||
SVB Financial Group | Morgan Stanley | 3,560 | 1,257,021 | 1,380,675 | 125,838 | |||||||||||||||||
Truist Financial Corp. | Morgan Stanley | 7,627 | 217,287 | 365,562 | 160,635 | |||||||||||||||||
US Bancorp | Morgan Stanley | 5,144 | 167,869 | 239,659 | 78,810 | |||||||||||||||||
Wells Fargo & Co. | Morgan Stanley | 66,189 | 1,505,093 | 1,997,584 | 503,240 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
220,257 | 8,214,352 | 10,773,598 | 2,698,652 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
3M Co. | Morgan Stanley | 11,922 | 1,779,482 | 2,083,846 | 354,485 | |||||||||||||||||
AMETEK, Inc. | Morgan Stanley | 7,000 | 455,332 | 846,580 | 396,001 | |||||||||||||||||
Carrier Global Corp. | Morgan Stanley | 4,103 | 49,618 | 154,765 | 106,656 | |||||||||||||||||
Caterpillar, Inc. | Morgan Stanley | 3,956 | 647,025 | 720,071 | 75,965 | |||||||||||||||||
Cummins, Inc. | Morgan Stanley | 6,660 | 1,147,046 | 1,512,486 | 391,702 | |||||||||||||||||
Deere & Co. | Morgan Stanley | 3,310 | 672,294 | 890,556 | 224,332 | |||||||||||||||||
Dover Corp. | Morgan Stanley | 12,621 | 1,079,908 | 1,593,401 | 533,659 | |||||||||||||||||
Eaton Corp. PLC (Ireland) | Morgan Stanley | 8,856 | 603,772 | 1,063,960 | 479,736 | |||||||||||||||||
Emerson Electric Co. | Morgan Stanley | 20,825 | 1,043,989 | 1,673,705 | 663,300 | |||||||||||||||||
Flowserve Corp. | Morgan Stanley | 54,112 | 1,221,050 | 1,994,027 | 813,441 | |||||||||||||||||
Fortive Corp. | Morgan Stanley | 6,393 | 289,470 | 452,752 | 164,990 | |||||||||||||||||
Fortune Brands Home & Security, Inc. | Morgan Stanley | 14,488 | 854,905 | 1,241,911 | 397,131 | |||||||||||||||||
General Dynamics Corp. | Morgan Stanley | 3,689 | 436,535 | 548,997 | 126,963 | |||||||||||||||||
Honeywell International, Inc. | Morgan Stanley | 11,137 | 1,399,381 | 2,368,840 | 1,001,311 | |||||||||||||||||
Howmet Aerospace, Inc. | Morgan Stanley | 130,752 | 1,698,762 | 3,731,662 | 2,035,752 |
6
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Capital Goods — (continued) | ||||||||||||||||||||||
Illinois Tool Works, Inc. | Morgan Stanley | 2,062 | $ | 345,630 | $ | 420,401 | $ | 87,717 | ||||||||||||||
Johnson Controls International PLC (Ireland) | Morgan Stanley | 30,544 | 1,228,783 | 1,423,045 | 209,781 | |||||||||||||||||
L3Harris Technologies, Inc. | Morgan Stanley | 2,298 | 426,972 | 434,368 | 8,327 | |||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley | 4,380 | 1,615,873 | 1,554,812 | (32,403 | ) | ||||||||||||||||
Masco Corp. | Morgan Stanley | 32,544 | 1,301,287 | 1,787,642 | 500,035 | |||||||||||||||||
Northrop Grumman Corp. | Morgan Stanley | 1,018 | 310,035 | 310,205 | 2,462 | |||||||||||||||||
Otis Worldwide Corp. | Morgan Stanley | 9,190 | 412,262 | 620,785 | 214,945 | |||||||||||||||||
PACCAR, Inc. | Morgan Stanley | 4,504 | 386,523 | 388,605 | 8,557 | |||||||||||||||||
Parker-Hannifin Corp. | Morgan Stanley | 3,990 | 944,115 | 1,086,916 | 146,396 | |||||||||||||||||
Pentair PLC (Ireland) | Morgan Stanley | 44,864 | 1,554,920 | 2,381,830 | 846,292 | |||||||||||||||||
Quanta Services, Inc. | Morgan Stanley | 55,448 | 1,832,584 | 3,993,365 | 2,175,012 | |||||||||||||||||
Raytheon Technologies Corp. | Morgan Stanley | 2,836 | 124,819 | 202,802 | 82,205 | |||||||||||||||||
Roper Technologies, Inc. | Morgan Stanley | 638 | 246,721 | 275,035 | 29,622 | |||||||||||||||||
Snap-on, Inc. | Morgan Stanley | 13,712 | 1,587,456 | 2,346,672 | 808,383 | |||||||||||||||||
Stanley Black & Decker, Inc. | Morgan Stanley | 4,031 | 657,286 | 719,775 | 66,849 | |||||||||||||||||
Trane Technologies PLC (Ireland) | Morgan Stanley | 7,590 | 685,705 | 1,101,764 | 427,677 | |||||||||||||||||
TransDigm Group, Inc. | Morgan Stanley | 5,332 | 1,635,554 | 3,299,708 | 1,666,910 | |||||||||||||||||
United Rentals, Inc. | Morgan Stanley | 8,342 | 943,442 | 1,934,593 | 992,862 | |||||||||||||||||
WW Grainger, Inc. | Morgan Stanley | 1,721 | 509,878 | 702,753 | 199,254 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
534,868 | 30,128,414 | 45,862,635 | 16,206,307 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
Cintas Corp. | Morgan Stanley | 4,374 | 858,992 | 1,546,034 | 703,545 | |||||||||||||||||
IHS Markit Ltd. (Bermuda) | Morgan Stanley | 8,997 | 666,661 | 808,201 | 144,840 | |||||||||||||||||
Nielsen Holdings PLC (United Kingdom). | Morgan Stanley | 43,216 | 698,433 | 901,918 | 209,428 | |||||||||||||||||
Republic Services, Inc. | Morgan Stanley | 13,715 | 1,114,885 | 1,320,755 | 225,233 | |||||||||||||||||
Robert Half International, Inc. | Morgan Stanley | 9,854 | 471,546 | 615,678 | 152,183 | |||||||||||||||||
Waste Management, Inc. | Morgan Stanley | 8,209 | 823,392 | 968,087 | 157,650 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
88,365 | 4,633,909 | 6,160,673 | 1,592,879 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
DR Horton, Inc. | Morgan Stanley | 8,198 | 417,812 | 565,006 | 151,613 | |||||||||||||||||
Garmin Ltd. (Switzerland) | Morgan Stanley | 2,381 | 176,657 | 284,910 | 112,890 | |||||||||||||||||
Hanesbrands, Inc. | Morgan Stanley | 114,086 | 1,445,046 | 1,663,374 | 234,657 | |||||||||||||||||
Leggett & Platt, Inc. | Morgan Stanley | 8,750 | 236,470 | 387,625 | 162,297 | |||||||||||||||||
Lennar Corp., Class A | Morgan Stanley | 2,328 | 113,766 | 177,463 | 65,917 | |||||||||||||||||
Mohawk Industries, Inc. | Morgan Stanley | 7,380 | 601,148 | 1,040,211 | 440,256 | |||||||||||||||||
Newell Brands, Inc. | Morgan Stanley | 22,814 | 365,587 | 484,341 | 129,274 | |||||||||||||||||
NIKE, Inc., Class B | Morgan Stanley | 9,856 | 1,028,621 | 1,394,328 | 372,935 | |||||||||||||||||
PulteGroup, Inc. | Morgan Stanley | 29,811 | 744,025 | 1,285,450 | 553,778 | |||||||||||||||||
PVH Corp. | Morgan Stanley | 53,973 | 2,418,879 | 5,067,525 | 2,652,774 | |||||||||||||||||
Tapestry, Inc. | Morgan Stanley | 2,692 | 28,541 | 83,667 | 55,455 | |||||||||||||||||
Whirlpool Corp. | Morgan Stanley | 4,505 | 417,387 | 813,107 | 412,423 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
266,774 | 7,993,939 | 13,247,007 | 5,344,269 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
McDonald’s Corp. | Morgan Stanley | 11,622 | 2,083,112 | 2,493,849 | 455,645 |
7
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Consumer Services — (continued) | ||||||||||||||||||||||
MGM Resorts International | Morgan Stanley | 60,400 | $ | 462,909 | $ | 1,903,204 | $ | 1,441,732 | ||||||||||||||
Yum! Brands, Inc. | Morgan Stanley | 18,911 | 1,514,572 | 2,052,978 | 564,071 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
90,933 | 4,060,593 | 6,450,031 | 2,461,448 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
American Express Co. | Morgan Stanley | 1,502 | 113,368 | 181,607 | 70,042 | |||||||||||||||||
Berkshire Hathaway, Inc., Class B | Morgan Stanley | 30,616 | 6,037,157 | 7,098,932 | 1,074,857 | |||||||||||||||||
BlackRock, Inc. | Morgan Stanley | 5,386 | 2,356,332 | 3,886,214 | 1,638,432 | |||||||||||||||||
Discover Financial Services | Morgan Stanley | 28,904 | 1,063,108 | 2,616,679 | 1,588,583 | |||||||||||||||||
Franklin Resources, Inc. | Morgan Stanley | 35,721 | 636,410 | 892,668 | 292,173 | |||||||||||||||||
Goldman Sachs Group, Inc. (The) | Morgan Stanley | 7,834 | 1,387,840 | 2,065,904 | 703,625 | |||||||||||||||||
Intercontinental Exchange, Inc. | Morgan Stanley | 6,242 | 472,045 | 719,640 | 254,779 | |||||||||||||||||
Invesco Ltd. (Bermuda) | Morgan Stanley | 194,907 | 1,682,152 | 3,397,229 | 1,800,686 | |||||||||||||||||
Moody’s Corp. | Morgan Stanley | 1,691 | 461,631 | 490,796 | 36,766 | |||||||||||||||||
Nasdaq, Inc. | Morgan Stanley | 20,523 | 2,078,742 | 2,724,223 | 700,845 | |||||||||||||||||
S&P Global, Inc. | Morgan Stanley | 6,021 | 1,954,624 | 1,979,283 | 34,430 | |||||||||||||||||
T Rowe Price Group, Inc. | Morgan Stanley | 11,194 | 1,207,427 | 1,694,660 | 536,479 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
350,541 | 19,450,836 | 27,747,835 | 8,731,697 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Energy | ||||||||||||||||||||||
Apache Corp. | Morgan Stanley | 131,609 | 634,810 | 1,867,532 | 1,243,836 | |||||||||||||||||
Chevron Corp. | Morgan Stanley | 12,420 | 810,859 | 1,048,869 | 270,649 | |||||||||||||||||
Concho Resources, Inc. | Morgan Stanley | 4,620 | 195,223 | 269,577 | 75,794 | |||||||||||||||||
ConocoPhillips | Morgan Stanley | 34,870 | 973,902 | 1,394,451 | 453,495 | |||||||||||||||||
EOG Resources, Inc. | Morgan Stanley | 29,155 | 1,102,879 | 1,453,960 | 352,064 | |||||||||||||||||
Halliburton Co. | Morgan Stanley | 128,767 | 1,251,714 | 2,433,696 | 1,197,272 | |||||||||||||||||
Kinder Morgan, Inc. | Morgan Stanley | 119,679 | 1,652,474 | 1,636,012 | 58,299 | |||||||||||||||||
Marathon Petroleum Corp. | Morgan Stanley | 5,003 | 115,702 | 206,924 | 98,353 | |||||||||||||||||
National Oilwell Varco, Inc. | Morgan Stanley | 90,573 | 824,250 | 1,243,567 | 420,847 | |||||||||||||||||
Phillips 66. | Morgan Stanley | 857 | 37,727 | 59,939 | 24,866 | |||||||||||||||||
TechnipFMC PLC (United Kingdom) | Morgan Stanley | 152,035 | 1,006,024 | 1,429,129 | 432,579 | |||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley | 57,632 | 1,179,123 | 1,155,522 | 10,924 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
767,220 | 9,784,687 | 14,199,178 | 4,638,978 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
Kroger Co. (The) | Morgan Stanley | 18,311 | 493,900 | 581,557 | 103,751 | |||||||||||||||||
Sysco Corp. | Morgan Stanley | 14,198 | 563,986 | 1,054,344 | 506,875 | |||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley | 9,522 | 352,196 | 379,737 | 34,227 | |||||||||||||||||
Walmart, Inc. | Morgan Stanley | 26,477 | 3,000,994 | 3,816,660 | 884,882 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
68,508 | 4,411,076 | 5,832,298 | 1,529,735 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Altria Group, Inc. | Morgan Stanley | 16,613 | 631,988 | 681,133 | 95,449 | |||||||||||||||||
Archer-Daniels-Midland Co. | Morgan Stanley | 16,807 | 688,981 | 847,241 | 184,520 | |||||||||||||||||
Campbell Soup Co. | Morgan Stanley | 16,932 | 781,866 | 818,662 | 46,405 | |||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley | 34,070 | 1,590,020 | 1,868,399 | 311,032 | |||||||||||||||||
Conagra Brands, Inc. | Morgan Stanley | 27,398 | 980,726 | 993,452 | 14,492 | |||||||||||||||||
Constellation Brands, Inc., Class A | Morgan Stanley | 11,144 | 1,566,328 | 2,441,093 | 898,866 |
8
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Food, Beverage & Tobacco — (continued) | ||||||||||||||||||||||
General Mills, Inc. | Morgan Stanley | 15,931 | $ | 919,247 | $ | 936,743 | $ | 32,064 | ||||||||||||||
JM Smucker Co. (The) | Morgan Stanley | 9,586 | 1,066,671 | 1,108,142 | 59,526 | |||||||||||||||||
Kellogg Co. | Morgan Stanley | 18,363 | 1,252,004 | 1,142,730 | (88,602 | ) | ||||||||||||||||
Kraft Heinz Co. (The) | Morgan Stanley | 41,777 | 1,344,002 | 1,447,991 | 139,087 | |||||||||||||||||
Molson Coors Beverage Co., Class B | Morgan Stanley | 9,988 | 355,298 | 451,358 | 96,882 | |||||||||||||||||
Mondelez International, Inc., Class A | Morgan Stanley | 3,239 | 146,387 | 189,384 | 47,391 | |||||||||||||||||
PepsiCo, Inc. | Morgan Stanley | 10,535 | 1,319,395 | 1,562,341 | 299,807 | |||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley | 13,309 | 957,456 | 1,101,852 | 177,930 | |||||||||||||||||
Tyson Foods, Inc., Class A | Morgan Stanley | 23,604 | 1,296,229 | 1,521,042 | 250,298 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
269,296 | 14,896,598 | 17,111,563 | 2,565,147 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
Abbott Laboratories | Morgan Stanley | 15,817 | 1,184,468 | 1,731,803 | 566,492 | |||||||||||||||||
AmerisourceBergen Corp. | Morgan Stanley | 10,155 | 1,033,479 | 992,753 | (38,880 | ) | ||||||||||||||||
Anthem, Inc. | Morgan Stanley | 3,652 | 739,475 | 1,172,621 | 444,580 | |||||||||||||||||
Cigna Corp. | Morgan Stanley | 219 | 41,679 | 45,591 | 4,260 | |||||||||||||||||
CVS Health Corp. | Morgan Stanley | 17,393 | 1,031,254 | 1,187,942 | 177,064 | |||||||||||||||||
Danaher Corp. | Morgan Stanley | 11,248 | 1,942,510 | 2,498,631 | 568,317 | |||||||||||||||||
DaVita, Inc. | Morgan Stanley | 10,790 | 914,958 | 1,266,746 | 353,514 | |||||||||||||||||
DENTSPLY SIRONA, Inc. | Morgan Stanley | 22,076 | 1,037,337 | 1,155,899 | 123,420 | |||||||||||||||||
HCA Healthcare, Inc. | Morgan Stanley | 2,047 | 290,083 | 336,650 | 47,290 | |||||||||||||||||
Henry Schein, Inc. | Morgan Stanley | 1,002 | 44,056 | 66,994 | 23,289 | |||||||||||||||||
Hologic, Inc. | Morgan Stanley | 29,992 | 1,771,203 | 2,184,317 | 416,075 | |||||||||||||||||
Humana, Inc. | Morgan Stanley | 4,500 | 1,831,204 | 1,846,215 | 23,256 | |||||||||||||||||
McKesson Corp. | Morgan Stanley | 3,525 | 553,771 | 613,068 | 62,916 | |||||||||||||||||
Medtronic PLC (Ireland) | Morgan Stanley | 19,098 | 1,827,562 | 2,237,140 | 443,304 | |||||||||||||||||
Quest Diagnostics, Inc. | Morgan Stanley | 4,197 | 369,127 | 500,157 | 135,317 | |||||||||||||||||
ResMed, Inc. | Morgan Stanley | 629 | 105,522 | 133,700 | 29,894 | |||||||||||||||||
STERIS PLC (Ireland) | Morgan Stanley | 4,044 | 620,877 | 766,500 | 150,261 | |||||||||||||||||
Stryker Corp. | Morgan Stanley | 5,584 | 1,137,574 | 1,368,303 | 238,672 | |||||||||||||||||
UnitedHealth Group, Inc. | Morgan Stanley | 8,961 | 2,164,735 | 3,142,444 | 1,057,082 | |||||||||||||||||
Universal Health Services, Inc., Class B | Morgan Stanley | 8,256 | 687,493 | 1,135,200 | 449,031 | |||||||||||||||||
Varian Medical Systems, Inc. | Morgan Stanley | 11,033 | 1,909,507 | 1,930,885 | 24,549 | |||||||||||||||||
West Pharmaceutical Services, Inc. | Morgan Stanley | 2,451 | 508,816 | 694,393 | 187,439 | |||||||||||||||||
Zimmer Biomet Holdings, Inc. | Morgan Stanley | 1 | 111 | 154 | 329 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
196,670 | 21,746,801 | 27,008,106 | 5,487,471 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Clorox Co. (The) | Morgan Stanley | 3,062 | 638,543 | 618,279 | (16,943 | ) | ||||||||||||||||
Colgate-Palmolive Co. | Morgan Stanley | 10,696 | 719,371 | 914,615 | 213,218 | |||||||||||||||||
Estee Lauder Cos., Inc. (The), Class A | Morgan Stanley | 1,548 | 237,505 | 412,062 | 176,764 | |||||||||||||||||
Kimberly-Clark Corp. | Morgan Stanley | 7,776 | 1,071,267 | 1,048,438 | 2,524 | |||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley | 5,443 | 642,950 | 757,339 | 123,564 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
28,525 | 3,309,636 | 3,750,733 | 499,127 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Insurance | ||||||||||||||||||||||
Aflac, Inc. | Morgan Stanley | 7,243 | 256,184 | 322,096 | 71,099 | |||||||||||||||||
Aon PLC, Class A (Ireland) | Morgan Stanley | 5,096 | 901,323 | 1,076,632 | 180,306 |
9
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Insurance — (continued) | ||||||||||||||||||||||
Arthur J Gallagher & Co. | Morgan Stanley | 5,722 | $ | 611,825 | $ | 707,869 | $ | 99,786 | ||||||||||||||
Assurant, Inc. | Morgan Stanley | 546 | 60,486 | 74,376 | 15,132 | |||||||||||||||||
Cincinnati Financial Corp. | Morgan Stanley | 11,310 | 616,184 | 988,155 | 393,544 | |||||||||||||||||
Globe Life, Inc. | Morgan Stanley | 1,667 | 122,903 | 158,298 | 36,533 | |||||||||||||||||
Hartford Financial Services Group, Inc. (The) | Morgan Stanley | 8,504 | 280,580 | 416,526 | 144,089 | |||||||||||||||||
Loews Corp. | Morgan Stanley | 621 | 17,753 | 27,957 | 10,633 | |||||||||||||||||
Marsh & McLennan Cos., Inc. | Morgan Stanley | 15,826 | 1,646,813 | 1,851,642 | 214,393 | |||||||||||||||||
MetLife, Inc. | Morgan Stanley | 17,614 | 530,661 | 826,977 | 321,424 | |||||||||||||||||
Progressive Corp. (The) | Morgan Stanley | 3,704 | 336,784 | 366,252 | 30,262 | |||||||||||||||||
Prudential Financial, Inc. | Morgan Stanley | 14,676 | 753,672 | 1,145,755 | 441,084 | |||||||||||||||||
Travelers Cos., Inc. (The) | Morgan Stanley | 4,700 | 430,020 | 659,739 | 242,639 | |||||||||||||||||
WR Berkley Corp. | Morgan Stanley | 6,318 | 327,550 | 419,642 | 95,116 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
103,547 | 6,892,738 | 9,041,916 | 2,296,040 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Materials | ||||||||||||||||||||||
Amcor PLC (Jersey) | Morgan Stanley | 73,138 | 618,305 | 860,834 | 263,268 | |||||||||||||||||
Avery Dennison Corp. | Morgan Stanley | 372 | 47,061 | 57,701 | 11,662 | |||||||||||||||||
Celanese Corp. | Morgan Stanley | 10,633 | 777,202 | 1,381,652 | 625,249 | |||||||||||||||||
CF Industries Holdings, Inc. | Morgan Stanley | 16,749 | 475,068 | 648,354 | 183,028 | |||||||||||||||||
Dow, Inc. | Morgan Stanley | 10,082 | 413,469 | 559,551 | 161,514 | |||||||||||||||||
DuPont de Nemours, Inc. | Morgan Stanley | 49,839 | 1,805,916 | 3,544,051 | 1,786,004 | |||||||||||||||||
Eastman Chemical Co. | Morgan Stanley | 7,290 | 379,016 | 731,041 | 370,701 | |||||||||||||||||
Ecolab, Inc. | Morgan Stanley | 3,539 | 667,070 | 765,698 | 105,887 | |||||||||||||||||
FMC Corp. | Morgan Stanley | 7,506 | 693,596 | 862,665 | 178,685 | |||||||||||||||||
Freeport-McMoRan, Inc. | Morgan Stanley | 19,598 | 357,022 | 509,940 | 153,742 | |||||||||||||||||
International Paper Co. | Morgan Stanley | 23,823 | 751,579 | 1,184,480 | 470,449 | |||||||||||||||||
Linde PLC (Ireland) | Morgan Stanley | 8,004 | 1,369,425 | 2,109,134 | 765,187 | |||||||||||||||||
LyondellBasell Industries NV, Class A (Netherlands) | Morgan Stanley | 9,914 | 417,333 | 908,717 | 523,529 | |||||||||||||||||
Martin Marietta Materials, Inc. | Morgan Stanley | 1,631 | 277,344 | 463,155 | 189,467 | |||||||||||||||||
Mosaic Co. (The) | Morgan Stanley | 57,594 | 1,034,308 | 1,325,238 | 298,529 | |||||||||||||||||
Newmont Corp. | Morgan Stanley | 6,249 | 382,954 | 374,253 | (5,266 | ) | ||||||||||||||||
Nucor Corp. | Morgan Stanley | 9,993 | 424,642 | 531,528 | 121,431 | |||||||||||||||||
PPG Industries, Inc. | Morgan Stanley | 11,611 | 1,049,864 | 1,674,538 | 642,620 | |||||||||||||||||
Sealed Air Corp. | Morgan Stanley | 53,665 | 1,336,426 | 2,457,320 | 1,148,958 | |||||||||||||||||
Sherwin-Williams Co. (The) | Morgan Stanley | 1,002 | 684,498 | 736,380 | 54,881 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
382,232 | 13,962,098 | 21,686,230 | 8,049,525 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
Activision Blizzard, Inc. | Morgan Stanley | 4,787 | 336,844 | 444,473 | 108,423 | |||||||||||||||||
Alphabet, Inc., Class A | Morgan Stanley | 6,606 | 7,771,359 | 11,577,940 | 3,818,450 | |||||||||||||||||
Charter Communications, Inc., Class A | Morgan Stanley | 5,976 | 2,387,115 | 3,953,423 | 1,608,633 | |||||||||||||||||
Comcast Corp., Class A | Morgan Stanley | 25,320 | 957,302 | 1,326,768 | 383,474 | |||||||||||||||||
Discovery, Inc., Class A | Morgan Stanley | 7,579 | 148,124 | 228,052 | 80,437 | |||||||||||||||||
Electronic Arts, Inc. | Morgan Stanley | 1,510 | 178,922 | 216,836 | 38,726 | |||||||||||||||||
Facebook, Inc., Class A | Morgan Stanley | 11,782 | 2,318,962 | 3,218,371 | 903,198 | |||||||||||||||||
Fox Corp., Class A | Morgan Stanley | 29,601 | 745,245 | 861,981 | 127,811 |
10
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Media & Entertainment — (continued) | ||||||||||||||||||||||
Interpublic Group of Cos., Inc. (The) | Morgan Stanley | 25,164 | $ | 423,411 | $ | 591,857 | $ | 181,591 | ||||||||||||||
Netflix, Inc. | Morgan Stanley | 2,763 | 1,162,842 | 1,494,037 | 333,237 | |||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley | 3,422 | 171,586 | 213,430 | 48,680 | |||||||||||||||||
Take-Two Interactive Software, Inc. | Morgan Stanley | 695 | 92,877 | 144,414 | 51,962 | |||||||||||||||||
Twitter, Inc. | Morgan Stanley | 4,902 | 150,633 | 265,443 | 115,323 | |||||||||||||||||
Walt Disney Co. (The) | Morgan Stanley | 11,557 | 1,123,742 | 2,093,897 | 972,991 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
141,664 | 17,968,964 | 26,630,922 | 8,772,936 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
AbbVie, Inc. | Morgan Stanley | 14,955 | 1,434,658 | 1,602,428 | 177,413 | |||||||||||||||||
Agilent Technologies, Inc. | Morgan Stanley | 7,030 | 681,466 | 832,985 | 154,160 | |||||||||||||||||
Alexion Pharmaceuticals, Inc. | Morgan Stanley | 7,373 | 806,578 | 1,151,958 | 346,883 | |||||||||||||||||
Amgen, Inc. | Morgan Stanley | 1,405 | 304,272 | 323,038 | 32,019 | |||||||||||||||||
Biogen, Inc. | Morgan Stanley | 9,254 | 2,204,547 | 2,265,934 | 65,003 | |||||||||||||||||
Bristol-Myers Squibb Co. | Morgan Stanley | 9,868 | 605,053 | 612,112 | 14,310 | |||||||||||||||||
Gilead Sciences, Inc. | Morgan Stanley | 26,204 | 1,655,509 | 1,526,645 | (88,107 | ) | ||||||||||||||||
Illumina, Inc. | Morgan Stanley | 939 | 340,525 | 347,430 | 7,705 | |||||||||||||||||
Incyte Corp. | Morgan Stanley | 1,310 | 131,316 | 113,944 | (16,889 | ) | ||||||||||||||||
Johnson & Johnson | Morgan Stanley | 42,008 | 5,489,199 | 6,611,219 | 1,373,728 | |||||||||||||||||
Merck & Co., Inc. | Morgan Stanley | 19,655 | 1,441,421 | 1,607,779 | 200,519 | |||||||||||||||||
PerkinElmer, Inc. | Morgan Stanley | 6,361 | 537,542 | 912,804 | 377,375 | |||||||||||||||||
Pfizer, Inc. | Morgan Stanley | 95,665 | 3,149,756 | 3,521,429 | 407,625 | |||||||||||||||||
Regeneron Pharmaceuticals, Inc. | Morgan Stanley | 609 | 302,330 | 294,214 | (7,374 | ) | ||||||||||||||||
Thermo Fisher Scientific, Inc. | Morgan Stanley | 4,730 | 2,056,062 | 2,203,139 | 150,772 | |||||||||||||||||
Viatris, Inc. | Morgan Stanley | 65,222 | 1,005,610 | 1,222,260 | 218,454 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
312,588 | 22,145,844 | 25,149,318 | 3,413,596 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Real Estate | ||||||||||||||||||||||
Alexandria Real Estate Equities, Inc., REIT. | Morgan Stanley | 5,680 | 861,691 | 1,012,290 | 173,901 | |||||||||||||||||
American Tower Corp., REIT | Morgan Stanley | 2,746 | 701,429 | 616,367 | (74,629 | ) | ||||||||||||||||
AvalonBay Communities, Inc., REIT | Morgan Stanley | 3,676 | 524,527 | 589,741 | 80,661 | |||||||||||||||||
Boston Properties, Inc., REIT | Morgan Stanley | 1,131 | 83,603 | 106,913 | 32,656 | |||||||||||||||||
CBRE Group, Inc., Class A | Morgan Stanley | 7,385 | 358,681 | 463,187 | 105,333 | |||||||||||||||||
Crown Castle International Corp., REIT . | Morgan Stanley | 2,607 | 437,565 | 415,008 | (12,616 | ) | ||||||||||||||||
Extra Space Storage, Inc., REIT | Morgan Stanley | 139 | 10,691 | 16,105 | 6,090 | |||||||||||||||||
Mid-America Apartment Communities, Inc., REIT | Morgan Stanley | 7,432 | 873,259 | 941,560 | 76,899 | |||||||||||||||||
Prologis, Inc., REIT | Morgan Stanley | 6,527 | 638,551 | 650,481 | 16,816 | |||||||||||||||||
Public Storage, REIT | Morgan Stanley | 2,619 | 462,032 | 604,806 | 159,135 | |||||||||||||||||
Realty Income Corp., REIT | Morgan Stanley | 8,135 | 362,998 | 505,753 | 162,591 | |||||||||||||||||
SBA Communications Corp., REIT | Morgan Stanley | 668 | 205,992 | 188,463 | (16,343 | ) | ||||||||||||||||
Simon Property Group, Inc., REIT | Morgan Stanley | 11,744 | 658,918 | 1,001,528 | 383,705 | |||||||||||||||||
Welltower, Inc., REIT | Morgan Stanley | 14,534 | 618,304 | 939,187 | 347,119 | |||||||||||||||||
Weyerhaeuser Co., REIT | Morgan Stanley | 154,260 | 2,665,893 | 5,172,338 | 2,536,982 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
229,283 | 9,464,134 | 13,223,727 | 3,978,300 | |||||||||||||||||||
|
|
|
|
|
|
|
|
11
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Retailing | ||||||||||||||||||||||
Advance Auto Parts, Inc. | Morgan Stanley | 6,989 | $ | 1,080,377 | $ | 1,100,837 | $ | 23,967 | ||||||||||||||
Amazon.com, Inc. | Morgan Stanley | 2,964 | 6,275,840 | 9,653,541 | 3,407,537 | |||||||||||||||||
AutoZone, Inc. | Morgan Stanley | 1,156 | 1,115,626 | 1,370,369 | 256,714 | |||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley | 7,727 | 606,368 | 771,077 | 178,022 | |||||||||||||||||
Booking Holdings, Inc. | Morgan Stanley | 185 | 221,890 | 412,045 | 190,776 | |||||||||||||||||
Dollar General Corp. | Morgan Stanley | 6,025 | 1,212,360 | 1,267,058 | 58,568 | |||||||||||||||||
eBay, Inc. | Morgan Stanley | 46,903 | 1,417,342 | 2,356,876 | 963,369 | |||||||||||||||||
Gap, Inc. (The) | Morgan Stanley | 103,538 | 1,931,469 | 2,090,432 | 162,167 | |||||||||||||||||
Genuine Parts Co. | Morgan Stanley | 13,021 | 1,152,500 | 1,307,699 | 173,690 | |||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley | 2,304 | 518,132 | 611,988 | 103,296 | |||||||||||||||||
L Brands, Inc. | Morgan Stanley | 41,112 | 1,530,052 | 1,528,955 | 1,500 | |||||||||||||||||
LKQ Corp. | Morgan Stanley | 46,990 | 1,150,074 | 1,655,928 | 507,876 | |||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | 10,512 | 1,276,777 | 1,687,281 | 424,807 | |||||||||||||||||
O’Reilly Automotive, Inc. | Morgan Stanley | 1,954 | 845,823 | 884,322 | 40,061 | |||||||||||||||||
Target Corp. | Morgan Stanley | 11,368 | 1,593,234 | 2,006,793 | 444,829 | |||||||||||||||||
Tractor Supply Co. | Morgan Stanley | 12,598 | 1,625,822 | 1,771,027 | 156,200 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
315,346 | 23,553,686 | 30,476,228 | 7,093,379 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Applied Materials, Inc. | Morgan Stanley | 12,530 | 497,369 | 1,081,339 | 593,276 | |||||||||||||||||
Broadcom, Inc. | Morgan Stanley | 2,503 | 843,882 | 1,095,939 | 268,975 | |||||||||||||||||
Intel Corp. | Morgan Stanley | 91,852 | 4,265,531 | 4,576,067 | 452,087 | |||||||||||||||||
KLA Corp. | Morgan Stanley | 2,644 | 584,039 | 684,558 | 104,339 | |||||||||||||||||
Lam Research Corp. | Morgan Stanley | 947 | 255,460 | 447,240 | 196,001 | |||||||||||||||||
Maxim Integrated Products, Inc. | Morgan Stanley | 8,385 | 556,739 | 743,330 | 187,717 | |||||||||||||||||
Micron Technology, Inc. | Morgan Stanley | 6,919 | 324,110 | 520,170 | 196,835 | |||||||||||||||||
NVIDIA Corp. | Morgan Stanley | 2,845 | 774,303 | 1,485,659 | 714,076 | |||||||||||||||||
Qorvo, Inc. | Morgan Stanley | 1,877 | 172,512 | 312,089 | 140,123 | |||||||||||||||||
QUALCOMM, Inc. | Morgan Stanley | 11,541 | 1,667,617 | 1,758,156 | 100,564 | |||||||||||||||||
Skyworks Solutions, Inc. | Morgan Stanley | 4,560 | 404,186 | 697,133 | 300,409 | |||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley | 10,906 | 1,565,941 | 1,790,002 | 240,137 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
157,509 | 11,911,689 | 15,191,682 | 3,494,539 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
Accenture PLC, Class A (Ireland) | Morgan Stanley | 4,753 | 899,079 | 1,241,531 | 352,572 | |||||||||||||||||
Adobe, Inc. | Morgan Stanley | 2,018 | 665,950 | 1,009,242 | 344,583 | |||||||||||||||||
ANSYS, Inc. | Morgan Stanley | 525 | 149,090 | 190,995 | 42,415 | |||||||||||||||||
Broadridge Financial Solutions, Inc. | Morgan Stanley | 14,904 | 2,077,065 | 2,283,293 | 226,698 | |||||||||||||||||
Cadence Design Systems, Inc. | Morgan Stanley | 4,261 | 431,080 | 581,328 | 151,185 | |||||||||||||||||
Citrix Systems, Inc. | Morgan Stanley | 54 | 5,481 | 7,025 | 1,913 | |||||||||||||||||
Cognizant Technology Solutions Corp., Class A | Morgan Stanley | 5,745 | 351,863 | 470,803 | 126,834 | |||||||||||||||||
FleetCor Technologies, Inc. | Morgan Stanley | 916 | 164,972 | 249,912 | 85,475 | |||||||||||||||||
International Business Machines Corp. | Morgan Stanley | 19,958 | 2,208,635 | 2,512,313 | 380,197 | |||||||||||||||||
Mastercard, Inc., Class A | Morgan Stanley | 3,698 | 1,047,443 | 1,319,964 | 277,219 | |||||||||||||||||
Microsoft Corp. | Morgan Stanley | 27,427 | 4,732,774 | 6,100,313 | 1,440,379 | |||||||||||||||||
NortonLifeLock, Inc. | Morgan Stanley | 2,331 | 43,773 | 48,438 | 15,267 | |||||||||||||||||
Oracle Corp. | Morgan Stanley | 48,048 | 2,239,780 | 3,108,225 | 903,665 |
12
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Software & Services — (continued) | ||||||||||||||||||||||
Paychex, Inc. | Morgan Stanley | 38,256 | $ | 2,273,728 | $ | 3,564,694 | $ | 1,365,400 | ||||||||||||||
PayPal Holdings, Inc. | Morgan Stanley | 8,682 | 1,309,580 | 2,033,324 | 726,008 | |||||||||||||||||
salesforce.com, Inc. | Morgan Stanley | 3,731 | 499,810 | 830,259 | 331,489 | |||||||||||||||||
ServiceNow, Inc. | Morgan Stanley | 1,167 | 446,434 | 642,352 | 196,877 | |||||||||||||||||
Synopsys, Inc. | Morgan Stanley | 2,323 | 459,377 | 602,215 | 143,817 | |||||||||||||||||
VeriSign, Inc. | Morgan Stanley | 2,235 | 456,884 | 483,654 | 27,746 | |||||||||||||||||
Visa, Inc., Class A | Morgan Stanley | 14,590 | 2,557,844 | 3,191,271 | 667,009 | |||||||||||||||||
Western Union Co. (The) | Morgan Stanley | 40,979 | 824,066 | 899,079 | 97,034 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
246,601 | 23,844,708 | 31,370,230 | 7,903,782 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
Amphenol Corp., Class A | Morgan Stanley | 4,806 | 339,722 | 628,481 | 293,354 | |||||||||||||||||
Apple, Inc. | Morgan Stanley | 215,249 | 11,489,480 | 28,561,390 | 17,369,018 | |||||||||||||||||
CDW Corp. | Morgan Stanley | 2,801 | 292,721 | 369,144 | 78,998 | |||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley | 86,538 | 3,588,565 | 3,872,576 | 355,916 | |||||||||||||||||
Corning, Inc. | Morgan Stanley | 10,748 | 358,891 | 386,928 | 31,005 | |||||||||||||||||
F5 Networks, Inc. | Morgan Stanley | 4,177 | 394,722 | 734,901 | 341,060 | |||||||||||||||||
FLIR Systems, Inc. | Morgan Stanley | 20,494 | 659,280 | 898,252 | 250,439 | |||||||||||||||||
HP, Inc. | Morgan Stanley | 110,721 | 1,818,721 | 2,722,629 | 954,424 | |||||||||||||||||
Juniper Networks, Inc. | Morgan Stanley | 80,047 | 1,671,847 | 1,801,858 | 163,715 | |||||||||||||||||
NetApp, Inc. | Morgan Stanley | 19,240 | 804,151 | 1,274,458 | 481,382 | |||||||||||||||||
Seagate Technology PLC (Ireland) | Morgan Stanley | 22,238 | 1,138,495 | 1,382,314 | 268,376 | |||||||||||||||||
TE Connectivity Ltd. (Switzerland) | Morgan Stanley | 14,647 | 862,128 | 1,773,312 | 934,536 | |||||||||||||||||
Vontier Corp. | Morgan Stanley | 61,874 | 1,780,609 | 2,066,592 | 288,958 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
653,580 | 25,199,332 | 46,472,835 | 21,811,181 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Telecommunication Services | ||||||||||||||||||||||
AT&T, Inc. | Morgan Stanley | 3,111 | 87,020 | 89,472 | 4,041 | |||||||||||||||||
CenturyLink, Inc. | Morgan Stanley | 15,831 | 158,768 | 154,352 | 1,180 | |||||||||||||||||
T-Mobile US, Inc. | Morgan Stanley | 2,800 | 234,832 | 377,580 | 143,388 | |||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley | 33,259 | 1,765,393 | 1,953,966 | �� | 241,470 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
55,001 | 2,246,013 | 2,575,370 | 390,079 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Transportation | ||||||||||||||||||||||
Alaska Air Group, Inc. | Morgan Stanley | 5,359 | 129,673 | 278,668 | 149,476 | |||||||||||||||||
CH Robinson Worldwide, Inc. | Morgan Stanley | 1,405 | 109,616 | 131,887 | 24,313 | |||||||||||||||||
CSX Corp. | Morgan Stanley | 17,585 | 936,113 | 1,595,839 | 675,141 | |||||||||||||||||
Expeditors International of Washington, Inc | Morgan Stanley | 24,400 | 1,598,764 | 2,320,684 | 749,347 | |||||||||||||||||
JB Hunt Transport Services, Inc. | Morgan Stanley | 5,194 | 670,178 | 709,760 | 43,441 | |||||||||||||||||
Norfolk Southern Corp. | Morgan Stanley | 5,160 | 875,417 | 1,226,068 | 365,215 | |||||||||||||||||
Union Pacific Corp. | Morgan Stanley | 1,042 | 188,785 | 216,965 | 32,745 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
60,145 | 4,508,546 | 6,479,871 | 2,039,678 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
AES Corp. (The) | Morgan Stanley | 11,038 | 195,947 | 259,393 | 69,217 | |||||||||||||||||
CenterPoint Energy, Inc. | Morgan Stanley | 15,348 | 295,851 | 332,131 | 39,296 | |||||||||||||||||
Dominion Energy, Inc. | Morgan Stanley | 13,276 | 945,602 | 998,355 | 81,729 |
13
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Utilities — (continued) | ||||||||||||||||||||||
Duke Energy Corp. | Morgan Stanley | 16,648 | $ | 1,462,353 | $ | 1,524,291 | $ | 82,432 | ||||||||||||||
Evergy, Inc. | Morgan Stanley | 4,491 | 240,718 | 249,295 | 12,527 | |||||||||||||||||
NextEra Energy, Inc. | Morgan Stanley | 1,968 | 146,037 | 151,831 | 6,936 | |||||||||||||||||
NRG Energy, Inc. | Morgan Stanley | 115,025 | 3,407,279 | 4,319,189 | 1,022,281 | |||||||||||||||||
Public Service Enterprise Group, Inc. | Morgan Stanley | 5,752 | 229,551 | 335,342 | 114,876 | |||||||||||||||||
Southern Co. (The) | Morgan Stanley | 9,752 | 557,055 | 599,065 | 50,301 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
193,298 | 7,480,393 | 8,768,892 | 1,479,595 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Long | 303,338,718 | 421,036,092 | 122,797,981 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Short | ||||||||||||||||||||||
Automobiles & Components | ||||||||||||||||||||||
Aptiv PLC (Jersey) | Morgan Stanley | (19,045 | ) | (1,665,034 | ) | (2,481,373 | ) | (839,065 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Banks | ||||||||||||||||||||||
Citizens Financial Group, Inc. | Morgan Stanley | (39,744 | ) | (1,571,688 | ) | (1,421,245 | ) | 87,399 | ||||||||||||||
Comerica, Inc. | Morgan Stanley | (18,018 | ) | (951,686 | ) | (1,006,486 | ) | (64,708 | ) | |||||||||||||
Huntington Bancshares, Inc. | Morgan Stanley | (166,016 | ) | (2,214,858 | ) | (2,096,782 | ) | (1,359 | ) | |||||||||||||
KeyCorp | Morgan Stanley | (55,222 | ) | (1,073,673 | ) | (906,193 | ) | 122,661 | ||||||||||||||
M&T Bank Corp. | Morgan Stanley | (15,667 | ) | (2,665,080 | ) | (1,994,409 | ) | 591,497 | ||||||||||||||
People’s United Financial, Inc. | Morgan Stanley | (167,331 | ) | (1,872,567 | ) | (2,163,590 | ) | (342,769 | ) | |||||||||||||
Regions Financial Corp. | Morgan Stanley | (107,911 | ) | (1,655,499 | ) | (1,739,525 | ) | (139,460 | ) | |||||||||||||
Zions Bancorp NA | Morgan Stanley | (43,355 | ) | (1,875,684 | ) | (1,883,341 | ) | (41,981 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(613,264 | ) | (13,880,735 | ) | (13,211,571 | ) | 211,280 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Capital Goods | ||||||||||||||||||||||
A.O. Smith Corp. | Morgan Stanley | (28,178 | ) | (1,347,540 | ) | (1,544,718 | ) | (215,695 | ) | |||||||||||||
Allegion PLC (Ireland) | Morgan Stanley | (30,748 | ) | (3,197,803 | ) | (3,578,452 | ) | (409,237 | ) | |||||||||||||
Boeing Co. (The) | Morgan Stanley | (18,053 | ) | (5,613,668 | ) | (3,864,425 | ) | 1,668,170 | ||||||||||||||
Fastenal Co. | Morgan Stanley | (45,879 | ) | (1,980,954 | ) | (2,240,272 | ) | (301,073 | ) | |||||||||||||
General Electric Co. | Morgan Stanley | (265,384 | ) | (2,788,356 | ) | (2,866,147 | ) | (102,893 | ) | |||||||||||||
Huntington Ingalls Industries, Inc. | Morgan Stanley | (1,153 | ) | (234,894 | ) | (196,563 | ) | 35,191 | ||||||||||||||
IDEX Corp. | Morgan Stanley | (4,943 | ) | (935,427 | ) | (984,646 | ) | (54,199 | ) | |||||||||||||
Ingersoll Rand, Inc. | Morgan Stanley | (123,022 | ) | (3,830,792 | ) | (5,604,882 | ) | (1,788,933 | ) | |||||||||||||
Jacobs Engineering Group, Inc. | Morgan Stanley | (40,875 | ) | (4,001,592 | ) | (4,453,740 | ) | (486,428 | ) | |||||||||||||
Rockwell Automation, Inc. | Morgan Stanley | (9,746 | ) | (2,188,157 | ) | (2,444,394 | ) | (285,553 | ) | |||||||||||||
Teledyne Technologies, Inc. | Morgan Stanley | (5,448 | ) | (1,988,511 | ) | (2,135,507 | ) | (154,564 | ) | |||||||||||||
Textron, Inc. | Morgan Stanley | (75,479 | ) | (3,685,740 | ) | (3,647,900 | ) | 17,219 | ||||||||||||||
Westinghouse Air Brake Technologies Corp | Morgan Stanley | (26,693 | ) | (1,766,579 | ) | (1,953,928 | ) | (199,351 | ) | |||||||||||||
Xylem, Inc. | Morgan Stanley | (48,611 | ) | (3,727,014 | ) | (4,948,114 | ) | (1,265,422 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(724,212 | ) | (37,287,027 | ) | (40,463,688 | ) | (3,542,768 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Commercial & Professional Services | ||||||||||||||||||||||
Copart, Inc. | Morgan Stanley | (20,877 | ) | (2,249,523 | ) | (2,656,598 | ) | (425,411 | ) | |||||||||||||
Equifax, Inc. | Morgan Stanley | (11,493 | ) | (1,933,987 | ) | (2,216,310 | ) | (293,995 | ) | |||||||||||||
Rollins, Inc. | Morgan Stanley | (70,690 | ) | (2,043,490 | ) | (2,761,858 | ) | (742,492 | ) | |||||||||||||
Verisk Analytics, Inc. | Morgan Stanley | (3,095 | ) | (608,635 | ) | (642,491 | ) | (39,923 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(106,155 | ) | (6,835,635 | ) | (8,277,257 | ) | (1,501,821 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
14
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Consumer Durables & Apparel | ||||||||||||||||||||||
Hasbro, Inc. | Morgan Stanley | (3,698 | ) | $ | (348,754 | ) | $ | (345,911 | ) | $ | (4,539 | ) | ||||||||||
NVR, Inc. | Morgan Stanley | (880 | ) | (3,410,292 | ) | (3,590,277 | ) | (193,168 | ) | |||||||||||||
Ralph Lauren Corp. | Morgan Stanley | (43,416 | ) | (3,125,516 | ) | (4,503,976 | ) | (1,390,517 | ) | |||||||||||||
Under Armour, Inc., Class C | Morgan Stanley | (232,646 | ) | (2,296,916 | ) | (3,461,773 | ) | (1,173,642 | ) | |||||||||||||
VF Corp. | Morgan Stanley | (52,308 | ) | (3,556,226 | ) | (4,467,626 | ) | (964,629 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(332,948 | ) | (12,737,704 | ) | (16,369,563 | ) | (3,726,495 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Consumer Services | ||||||||||||||||||||||
Carnival Corp. (Panama) | Morgan Stanley | (20,384 | ) | (390,039 | ) | (441,517 | ) | (52,733 | ) | |||||||||||||
Chipotle Mexican Grill, Inc. | Morgan Stanley | (1,060 | ) | (1,346,104 | ) | (1,469,913 | ) | (128,839 | ) | |||||||||||||
Darden Restaurants, Inc. | Morgan Stanley | (16,810 | ) | (2,068,849 | ) | (2,002,407 | ) | 52,066 | ||||||||||||||
Domino’s Pizza, Inc. | Morgan Stanley | (7,653 | ) | (3,031,076 | ) | (2,934,619 | ) | 74,821 | ||||||||||||||
Las Vegas Sands Corp. | Morgan Stanley | (18,657 | ) | (1,124,741 | ) | (1,111,957 | ) | (16,521 | ) | |||||||||||||
Marriott International, Inc., Class A | Morgan Stanley | (4,252 | ) | (468,406 | ) | (560,924 | ) | (94,083 | ) | |||||||||||||
Norwegian Cruise Line Holdings Ltd. (Bermuda) | Morgan Stanley | (88,145 | ) | (3,143,538 | ) | (2,241,527 | ) | 889,882 | ||||||||||||||
Royal Caribbean Cruises Ltd. (Liberia) | Morgan Stanley | (17,734 | ) | (1,715,442 | ) | (1,324,552 | ) | 377,242 | ||||||||||||||
Starbucks Corp. | Morgan Stanley | (6,529 | ) | (648,381 | ) | (698,472 | ) | (81,452 | ) | |||||||||||||
Wynn Resorts Ltd. | Morgan Stanley | (13,991 | ) | (1,651,886 | ) | (1,578,605 | ) | 24,792 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(195,215 | ) | (15,588,462 | ) | (14,364,493 | ) | 1,045,175 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Diversified Financials | ||||||||||||||||||||||
Ameriprise Financial, Inc. | Morgan Stanley | (5,395 | ) | (828,254 | ) | (1,048,410 | ) | (233,160 | ) | |||||||||||||
Bank of New York Mellon Corp. (The) | Morgan Stanley | (49,585 | ) | (2,101,819 | ) | (2,104,387 | ) | (37,097 | ) | |||||||||||||
Capital One Financial Corp. | Morgan Stanley | (19,154 | ) | (1,612,381 | ) | (1,893,373 | ) | (300,772 | ) | |||||||||||||
Cboe Global Markets, Inc. | Morgan Stanley | (7,658 | ) | (959,884 | ) | (713,113 | ) | 231,319 | ||||||||||||||
Charles Schwab Corp. (The) | Morgan Stanley | (13,057 | ) | (656,463 | ) | (692,543 | ) | (49,057 | ) | |||||||||||||
CME Group, Inc. | Morgan Stanley | (2,967 | ) | (567,159 | ) | (540,142 | ) | 7,319 | ||||||||||||||
MarketAxess Holdings, Inc. | Morgan Stanley | (4,270 | ) | (2,207,894 | ) | (2,436,291 | ) | (243,922 | ) | |||||||||||||
MSCI, Inc. | Morgan Stanley | (9,115 | ) | (3,309,174 | ) | (4,070,121 | ) | (789,494 | ) | |||||||||||||
Northern Trust Corp. | Morgan Stanley | (40,781 | ) | (4,174,581 | ) | (3,798,342 | ) | 246,823 | ||||||||||||||
Raymond James Financial, Inc. | Morgan Stanley | (19,527 | ) | (1,509,798 | ) | (1,868,148 | ) | (368,897 | ) | |||||||||||||
State Street Corp. | Morgan Stanley | (52,158 | ) | (4,061,758 | ) | (3,796,059 | ) | 150,741 | ||||||||||||||
Synchrony Financial | Morgan Stanley | (32,011 | ) | (1,068,844 | ) | (1,111,102 | ) | (55,935 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(255,678 | ) | (23,058,009 | ) | (24,072,031 | ) | (1,442,132 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Energy | ||||||||||||||||||||||
Baker Hughes Co. | Morgan Stanley | (124,943 | ) | (1,979,015 | ) | (2,605,062 | ) | (649,241 | ) | |||||||||||||
Cabot Oil & Gas Corp. | Morgan Stanley | (189,983 | ) | (3,666,665 | ) | (3,092,923 | ) | 512,448 | ||||||||||||||
Devon Energy Corp. | Morgan Stanley | (120,290 | ) | (1,378,718 | ) | (1,901,785 | ) | (567,475 | ) | |||||||||||||
Diamondback Energy, Inc. | Morgan Stanley | (45,908 | ) | (3,972,533 | ) | (2,221,947 | ) | 1,660,923 | ||||||||||||||
Exxon Mobil Corp. | Morgan Stanley | (1,171 | ) | (48,628 | ) | (48,269 | ) | 452 | ||||||||||||||
Hess Corp. | Morgan Stanley | (81,137 | ) | (5,197,636 | ) | (4,283,222 | ) | 813,037 | ||||||||||||||
HollyFrontier Corp. | Morgan Stanley | (75,941 | ) | (1,618,134 | ) | (1,963,075 | ) | �� | (374,408 | ) | ||||||||||||
Marathon Oil Corp. | Morgan Stanley | (348,891 | ) | (3,850,333 | ) | (2,327,103 | ) | 1,489,461 | ||||||||||||||
Occidental Petroleum Corp. | Morgan Stanley | (109,880 | ) | (4,613,775 | ) | (1,902,023 | ) | 2,603,715 | ||||||||||||||
ONEOK, Inc. | Morgan Stanley | (113,172 | ) | (5,529,165 | ) | (4,343,541 | ) | 845,808 | ||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley | (16,654 | ) | (2,254,011 | ) | (1,896,724 | ) | 312,031 |
15
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Energy — (continued) | ||||||||||||||||||||||
Schlumberger NV (Curacao) | Morgan Stanley | (55,434 | ) | $ | (1,910,828 | ) | $ | (1,210,124 | ) | $ | 672,655 | |||||||||||
Valero Energy Corp. | Morgan Stanley | (23,816 | ) | (1,099,273 | ) | (1,347,271 | ) | (273,815 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(1,307,220 | ) | (37,118,714 | ) | (29,143,069 | ) | 7,045,591 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||||||||
Costco Wholesale Corp. | Morgan Stanley | (121 | ) | (46,437 | ) | (45,590 | ) | (1,072 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Food, Beverage & Tobacco | ||||||||||||||||||||||
Brown-Forman Corp., Class B | Morgan Stanley | (43,190 | ) | (2,891,909 | ) | (3,430,582 | ) | (580,333 | ) | |||||||||||||
Hershey Co. (The) | Morgan Stanley | (4,156 | ) | (616,962 | ) | (633,084 | ) | (22,363 | ) | |||||||||||||
Hormel Foods Corp. | Morgan Stanley | (61,357 | ) | (2,955,908 | ) | (2,859,850 | ) | 65,585 | ||||||||||||||
Lamb Weston Holdings, Inc. | Morgan Stanley | (22,384 | ) | (2,047,036 | ) | (1,762,516 | ) | 264,566 | ||||||||||||||
McCormick & Co., Inc., non-voting shares | Morgan Stanley | (5,310 | ) | (518,849 | ) | (507,636 | ) | 6,805 | ||||||||||||||
Monster Beverage Corp. | Morgan Stanley | (1,878 | ) | (165,597 | ) | (173,677 | ) | (8,450 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(138,275 | ) | (9,196,261 | ) | (9,367,345 | ) | (274,190 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Health Care Equipment & Services | ||||||||||||||||||||||
ABIOMED, Inc. | Morgan Stanley | (11,125 | ) | (2,351,338 | ) | (3,606,725 | ) | (1,315,827 | ) | |||||||||||||
Align Technology, Inc. | Morgan Stanley | (2,833 | ) | (1,156,326 | ) | (1,513,899 | ) | (361,854 | ) | |||||||||||||
Baxter International, Inc. | Morgan Stanley | (9,503 | ) | (802,966 | ) | (762,521 | ) | 33,324 | ||||||||||||||
Becton Dickinson and Co. | Morgan Stanley | (1,517 | ) | (400,103 | ) | (379,584 | ) | 17,269 | ||||||||||||||
Boston Scientific Corp. | Morgan Stanley | (55,468 | ) | (2,100,349 | ) | (1,994,075 | ) | 98,265 | ||||||||||||||
Cardinal Health, Inc. | Morgan Stanley | (40,631 | ) | (2,232,993 | ) | (2,176,196 | ) | 28,521 | ||||||||||||||
Centene Corp. | Morgan Stanley | (16,047 | ) | (1,050,243 | ) | (963,301 | ) | 88,633 | ||||||||||||||
Cerner Corp. | Morgan Stanley | (1,754 | ) | (134,082 | ) | (137,654 | ) | (4,177 | ) | |||||||||||||
Cooper Cos., Inc. (The) | Morgan Stanley | (9,383 | ) | (3,016,669 | ) | (3,409,032 | ) | (404,248 | ) | |||||||||||||
DexCom, Inc. | Morgan Stanley | (12,871 | ) | (4,936,749 | ) | (4,758,666 | ) | 154,105 | ||||||||||||||
Edwards Lifesciences Corp. | Morgan Stanley | (36,396 | ) | (2,853,809 | ) | (3,320,407 | ) | (488,492 | ) | |||||||||||||
IDEXX Laboratories, Inc. | Morgan Stanley | (1,082 | ) | (446,491 | ) | (540,859 | ) | (97,380 | ) | |||||||||||||
Intuitive Surgical, Inc. | Morgan Stanley | (1,181 | ) | (886,697 | ) | (966,176 | ) | (92,586 | ) | |||||||||||||
Laboratory Corp. of America Holdings | Morgan Stanley | (778 | ) | (158,595 | ) | (158,362 | ) | (109 | ) | |||||||||||||
Teleflex, Inc. | Morgan Stanley | (7,450 | ) | (2,680,851 | ) | (3,066,197 | ) | (405,398 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(208,019 | ) | (25,208,261 | ) | (27,753,654 | ) | (2,749,954 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Household & Personal Products | ||||||||||||||||||||||
Church & Dwight Co., Inc. | Morgan Stanley | (20,230 | ) | (1,742,825 | ) | (1,764,663 | ) | (36,844 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Insurance | ||||||||||||||||||||||
Allstate Corp. (The) | Morgan Stanley | �� | (8,152 | ) | (785,590 | ) | (896,149 | ) | (118,811 | ) | ||||||||||||
American International Group, Inc. | Morgan Stanley | (22,545 | ) | (1,115,777 | ) | (853,554 | ) | 229,245 | ||||||||||||||
Chubb Ltd. (Switzerland) | Morgan Stanley | (11,907 | ) | (1,489,001 | ) | (1,832,725 | ) | (358,286 | ) | |||||||||||||
Everest Re Group Ltd. (Bermuda) | Morgan Stanley | (3,428 | ) | (727,701 | ) | (802,461 | ) | (81,242 | ) | |||||||||||||
Lincoln National Corp. | Morgan Stanley | (49,380 | ) | (2,996,888 | ) | (2,484,308 | ) | 441,774 | ||||||||||||||
Principal Financial Group, Inc. | Morgan Stanley | (23,817 | ) | (1,288,606 | ) | (1,181,561 | ) | 58,466 | ||||||||||||||
Unum Group | Morgan Stanley | (55,922 | ) | (1,671,899 | ) | (1,282,851 | ) | 334,918 | ||||||||||||||
Willis Towers Watson PLC (Ireland) | Morgan Stanley | (22,318 | ) | (4,412,832 | ) | (4,701,956 | ) | (328,580 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(197,469 | ) | (14,488,294 | ) | (14,035,565 | ) | 177,484 | ||||||||||||||||
|
|
|
|
|
|
|
|
16
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Materials | ||||||||||||||||||||||
Air Products & Chemicals, Inc. | Morgan Stanley | (8,619 | ) | $ | (2,360,707 | ) | $ | (2,354,883 | ) | $ | (26,303 | ) | ||||||||||
Albemarle Corp. | Morgan Stanley | (37,088 | ) | (3,340,930 | ) | (5,471,222 | ) | (2,212,649 | ) | |||||||||||||
Ball Corp. | Morgan Stanley | (6,988 | ) | (607,466 | ) | (651,142 | ) | (48,095 | ) | |||||||||||||
Corteva, Inc. | Morgan Stanley | (105,294 | ) | (2,949,752 | ) | (4,076,984 | ) | (1,155,322 | ) | |||||||||||||
International Flavors & Fragrances, Inc. | Morgan Stanley | (38,996 | ) | (4,796,559 | ) | (4,244,325 | ) | 459,974 | ||||||||||||||
Packaging Corp. of America | Morgan Stanley | (11,770 | ) | (1,307,654 | ) | (1,623,201 | ) | (336,264 | ) | |||||||||||||
Vulcan Materials Co. | Morgan Stanley | (4,445 | ) | (652,553 | ) | (659,238 | ) | (12,451 | ) | |||||||||||||
Westrock Co. | Morgan Stanley | (47,381 | ) | (1,581,244 | ) | (2,062,495 | ) | (506,025 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(260,581 | ) | (17,596,865 | ) | (21,143,490 | ) | (3,837,135 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Media & Entertainment | ||||||||||||||||||||||
DISH Network Corp., Class A | Morgan Stanley | (59,279 | ) | (2,451,237 | ) | (1,917,083 | ) | 524,759 | ||||||||||||||
Live Nation Entertainment, Inc. | Morgan Stanley | (31,959 | ) | (2,313,519 | ) | (2,348,347 | ) | (43,679 | ) | |||||||||||||
News Corp., Class A | Morgan Stanley | (19,864 | ) | (304,656 | ) | (356,956 | ) | (55,197 | ) | |||||||||||||
ViacomCBS, Inc., Class B | Morgan Stanley | (2,532 | ) | (81,166 | ) | (94,342 | ) | (17,983 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(113,634 | ) | (5,150,578 | ) | (4,716,728 | ) | 407,900 | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | ||||||||||||||||||||||
Bio-Rad Laboratories, Inc., Class A | Morgan Stanley | (4,312 | ) | (2,191,258 | ) | (2,513,637 | ) | (330,748 | ) | |||||||||||||
Catalent, Inc. | Morgan Stanley | (37,656 | ) | (3,278,357 | ) | (3,918,860 | ) | (653,164 | ) | |||||||||||||
Eli Lilly & Co. | Morgan Stanley | (4,733 | ) | (754,434 | ) | (799,120 | ) | (47,380 | ) | |||||||||||||
IQVIA Holdings, Inc. | Morgan Stanley | (16,915 | ) | (2,813,159 | ) | (3,030,661 | ) | (228,703 | ) | |||||||||||||
Mettler-Toledo International, Inc. | Morgan Stanley | (373 | ) | (392,326 | ) | (425,101 | ) | (34,039 | ) | |||||||||||||
Perrigo Co. PLC (Ireland) | Morgan Stanley | (99,301 | ) | (5,693,386 | ) | (4,440,741 | ) | 1,154,759 | ||||||||||||||
Vertex Pharmaceuticals, Inc. | Morgan Stanley | (18,630 | ) | (4,792,838 | ) | (4,403,014 | ) | 368,168 | ||||||||||||||
Waters Corp. | Morgan Stanley | (4,346 | ) | (973,953 | ) | (1,075,287 | ) | (106,167 | ) | |||||||||||||
Zoetis, Inc. | Morgan Stanley | (804 | ) | (135,106 | ) | (133,062 | ) | 1,668 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(187,070 | ) | (21,024,817 | ) | (20,739,483 | ) | 124,394 | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
Real Estate | ||||||||||||||||||||||
Digital Realty Trust, Inc., REIT | Morgan Stanley | (24,086 | ) | (3,529,806 | ) | (3,360,238 | ) | 95,326 | ||||||||||||||
Duke Realty Corp., REIT | Morgan Stanley | (18,647 | ) | (722,282 | ) | (745,321 | ) | (25,606 | ) | |||||||||||||
Equinix, Inc., REIT | Morgan Stanley | (6,677 | ) | (4,671,972 | ) | (4,768,580 | ) | (147,494 | ) | |||||||||||||
Equity Residential, REIT | Morgan Stanley | (21,819 | ) | (1,330,918 | ) | (1,293,430 | ) | (1,315 | ) | |||||||||||||
Essex Property Trust, Inc., REIT | Morgan Stanley | (7,531 | ) | (1,760,815 | ) | (1,788,010 | ) | (63,827 | ) | |||||||||||||
Federal Realty Investment Trust, REIT | Morgan Stanley | (17,981 | ) | (1,487,822 | ) | (1,530,543 | ) | (67,170 | ) | |||||||||||||
Healthpeak Properties, Inc., REIT | Morgan Stanley | (89,058 | ) | (2,458,749 | ) | (2,692,223 | ) | (292,680 | ) | |||||||||||||
Host Hotels & Resorts, Inc., REIT | Morgan Stanley | (51,644 | ) | (695,288 | ) | (755,552 | ) | (67,897 | ) | |||||||||||||
Iron Mountain, Inc., REIT | Morgan Stanley | (48,129 | ) | (1,614,601 | ) | (1,418,843 | ) | 71,930 | ||||||||||||||
Kimco Realty Corp., REIT | Morgan Stanley | (96,188 | ) | (1,272,432 | ) | (1,443,782 | ) | (196,079 | ) | |||||||||||||
Regency Centers Corp., REIT | Morgan Stanley | (39,589 | ) | (2,573,115 | ) | (1,804,863 | ) | 657,373 | ||||||||||||||
SL Green Realty Corp., REIT | Morgan Stanley | (29,626 | ) | (1,939,247 | ) | (1,765,117 | ) | 40,524 | ||||||||||||||
UDR, Inc., REIT | Morgan Stanley | (47,016 | ) | (1,670,136 | ) | (1,806,825 | ) | (164,328 | ) | |||||||||||||
Ventas, Inc., REIT | Morgan Stanley | (1 | ) | (73 | ) | (49 | ) | 305 | ||||||||||||||
Vornado Realty Trust, REIT | Morgan Stanley | (54,242 | ) | (2,584,613 | ) | (2,025,396 | ) | 475,300 | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
(552,234 | ) | (28,311,869 | ) | (27,198,772 | ) | 314,362 | ||||||||||||||||
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|
|
|
|
|
|
|
17
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
December 31, 2020
(Unaudited)
Total Return Swaps (continued)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Retailing | ||||||||||||||||||||||
CarMax, Inc. | Morgan Stanley | (34,891 | ) | $ | (3,233,509 | ) | $ | (3,295,804 | ) | $ | (74,779 | ) | ||||||||||
Dollar Tree, Inc. | Morgan Stanley | (23,113 | ) | (2,547,033 | ) | (2,497,129 | ) | 40,131 | ||||||||||||||
Etsy, Inc. | Morgan Stanley | (24,092 | ) | (3,015,412 | ) | (4,286,208 | ) | (1,282,418 | ) | |||||||||||||
Expedia Group, Inc. | Morgan Stanley | (32,368 | ) | (4,074,884 | ) | (4,285,523 | ) | (282,283 | ) | |||||||||||||
Pool Corp. | Morgan Stanley | (8,048 | ) | (2,812,016 | ) | (2,997,880 | ) | (204,844 | ) | |||||||||||||
Ross Stores, Inc. | Morgan Stanley | (31,402 | ) | (3,219,172 | ) | (3,856,480 | ) | (649,735 | ) | |||||||||||||
Tiffany & Co. | Morgan Stanley | (8,699 | ) | (1,128,926 | ) | (1,143,484 | ) | (22,478 | ) | |||||||||||||
TJX Cos., Inc. (The) | Morgan Stanley | (21,055 | ) | (1,338,183 | ) | (1,437,846 | ) | (104,663 | ) | |||||||||||||
Ulta Beauty, Inc. | Morgan Stanley | (5,302 | ) | (1,369,534 | ) | (1,522,522 | ) | (158,112 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(188,970 | ) | (22,738,669 | ) | (25,322,876 | ) | (2,739,181 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||||||||
Advanced Micro Devices, Inc. | Morgan Stanley | (46,934 | ) | (3,952,781 | ) | (4,304,317 | ) | (371,853 | ) | |||||||||||||
Analog Devices, Inc. | Morgan Stanley | (4,039 | ) | (564,169 | ) | (596,682 | ) | (35,826 | ) | |||||||||||||
Microchip Technology, Inc. | Morgan Stanley | (1,089 | ) | (131,191 | ) | (150,402 | ) | (20,952 | ) | |||||||||||||
Teradyne, Inc. | Morgan Stanley | (8,557 | ) | (874,122 | ) | (1,025,899 | ) | (155,412 | ) | |||||||||||||
Xilinx, Inc. | Morgan Stanley | (15,820 | ) | (1,882,292 | ) | (2,242,801 | ) | (379,339 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(76,439 | ) | (7,404,555 | ) | (8,320,101 | ) | (963,382 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Software & Services | ||||||||||||||||||||||
Akamai Technologies, Inc. | Morgan Stanley | (21,826 | ) | (2,284,603 | ) | (2,291,512 | ) | (15,646 | ) | |||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley | (3,983 | ) | (669,166 | ) | (701,805 | ) | (38,817 | ) | |||||||||||||
DXC Technology Co. | Morgan Stanley | (91,799 | ) | (2,424,583 | ) | (2,363,824 | ) | 28,719 | ||||||||||||||
Fidelity National Information Services, Inc. | Morgan Stanley | (27,946 | ) | (3,946,139 | ) | (3,953,241 | ) | (42,689 | ) | |||||||||||||
Fiserv, Inc. | Morgan Stanley | (9,985 | ) | (1,113,831 | ) | (1,136,892 | ) | (27,175 | ) | |||||||||||||
Fortinet, Inc. | Morgan Stanley | (42,566 | ) | (5,614,121 | ) | (6,322,328 | ) | (741,125 | ) | |||||||||||||
Gartner, Inc. | Morgan Stanley | (5,226 | ) | (821,739 | ) | (837,153 | ) | (18,374 | ) | |||||||||||||
Global Payments, Inc. | Morgan Stanley | (23,418 | ) | (4,183,491 | ) | (5,044,706 | ) | (914,269 | ) | |||||||||||||
Intuit, Inc. | Morgan Stanley | (1,038 | ) | (392,565 | ) | (394,284 | ) | (3,614 | ) | |||||||||||||
Jack Henry & Associates, Inc. | Morgan Stanley | (7,810 | ) | (1,410,917 | ) | (1,265,142 | ) | 133,348 | ||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley | (18,871 | ) | (1,756,669 | ) | (1,983,720 | ) | (254,310 | ) | |||||||||||||
Paycom Software, Inc. | Morgan Stanley | (6,017 | ) | (1,931,197 | ) | (2,721,188 | ) | (797,333 | ) | |||||||||||||
Tyler Technologies, Inc. | Morgan Stanley | (6,119 | ) | (2,195,993 | ) | (2,671,066 | ) | (483,460 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(266,604 | ) | (28,745,014 | ) | (31,686,861 | ) | (3,174,745 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Technology Hardware & Equipment | ||||||||||||||||||||||
Arista Networks, Inc. | Morgan Stanley | (12,829 | ) | (3,112,919 | ) | (3,727,723 | ) | (627,257 | ) | |||||||||||||
Hewlett Packard Enterprise Co. | Morgan Stanley | (231,714 | ) | (2,391,938 | ) | (2,745,811 | ) | (389,760 | ) | |||||||||||||
IPG Photonics Corp. | Morgan Stanley | (16,556 | ) | (2,221,119 | ) | (3,705,067 | ) | (1,517,948 | ) | |||||||||||||
Keysight Technologies, Inc. | Morgan Stanley | (30,797 | ) | (3,145,290 | ) | (4,067,976 | ) | (978,168 | ) | |||||||||||||
Motorola Solutions, Inc. | Morgan Stanley | (18,890 | ) | (2,839,899 | ) | (3,212,433 | ) | (410,181 | ) | |||||||||||||
Western Digital Corp. | Morgan Stanley | (95,733 | ) | (6,411,539 | ) | (5,302,651 | ) | 1,027,524 | ||||||||||||||
Xerox Holdings Corp. | Morgan Stanley | (101,481 | ) | (2,039,306 | ) | (2,353,344 | ) | (351,009 | ) | |||||||||||||
Zebra Technologies Corp., Class A | Morgan Stanley | (2,013 | ) | (633,216 | ) | (773,656 | ) | (142,656 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(510,013 | ) | (22,795,226 | ) | (25,888,661 | ) | (3,389,455 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
18
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
December 31, 2020
(Unaudited)
Total Return Swaps (concluded)
Number of | Unrealized | |||||||||||||||||||||
Contracts | Notional | Appreciation/ | ||||||||||||||||||||
Reference Entity | Counterparty | Long/(Short) | Amount | Value | (Depreciation)* | |||||||||||||||||
Transportation | ||||||||||||||||||||||
American Airlines Group, Inc. | Morgan Stanley | (94,120 | ) | $ | (1,616,655 | ) | $ | (1,484,272 | ) | $ | 126,283 | |||||||||||
Delta Air Lines, Inc. | Morgan Stanley | (25,945 | ) | (988,772 | ) | (1,043,248 | ) | (58,096 | ) | |||||||||||||
FedEx Corp. | Morgan Stanley | (1,165 | ) | (325,255 | ) | (302,457 | ) | 20,974 | ||||||||||||||
Kansas City Southern | Morgan Stanley | (6,341 | ) | (1,182,007 | ) | (1,294,388 | ) | (126,769 | ) | |||||||||||||
Old Dominion Freight Line, Inc. | Morgan Stanley | (2,986 | ) | (592,957 | ) | (582,808 | ) | 6,574 | ||||||||||||||
Southwest Airlines Co. | Morgan Stanley | (31,691 | ) | (1,345,617 | ) | (1,477,118 | ) | (136,560 | ) | |||||||||||||
United Airlines Holdings, Inc. | Morgan Stanley | (23,939 | ) | (1,394,880 | ) | (1,035,362 | ) | 354,295 | ||||||||||||||
United Parcel Service, Inc., Class B | Morgan Stanley | (811 | ) | (140,370 | ) | (136,572 | ) | 3,528 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(186,998 | ) | (7,586,513 | ) | (7,356,225 | ) | 190,229 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Utilities | ||||||||||||||||||||||
Alliant Energy Corp. | Morgan Stanley | (32,944 | ) | (1,753,644 | ) | (1,697,604 | ) | 21,148 | ||||||||||||||
Ameren Corp. | Morgan Stanley | (27,354 | ) | (2,133,563 | ) | (2,135,253 | ) | (71,291 | ) | |||||||||||||
American Electric Power Co., Inc. | Morgan Stanley | (25,167 | ) | (2,230,173 | ) | (2,095,656 | ) | 56,386 | ||||||||||||||
American Water Works Co., Inc. | Morgan Stanley | (5,223 | ) | (742,486 | ) | (801,574 | ) | (66,575 | ) | |||||||||||||
Atmos Energy Corp. | Morgan Stanley | (13,426 | ) | (1,391,280 | ) | (1,281,243 | ) | 78,782 | ||||||||||||||
CMS Energy Corp. | Morgan Stanley | (35,897 | ) | (2,278,981 | ) | (2,190,076 | ) | 51,735 | ||||||||||||||
Consolidated Edison, Inc. | Morgan Stanley | (21,075 | ) | (1,659,110 | ) | (1,523,090 | ) | 97,484 | ||||||||||||||
DTE Energy Co. | Morgan Stanley | (12,874 | ) | (1,666,952 | ) | (1,563,032 | ) | 47,907 | ||||||||||||||
Edison International | Morgan Stanley | (49,752 | ) | (3,494,198 | ) | (3,125,421 | ) | 202,666 | ||||||||||||||
Entergy Corp. | Morgan Stanley | (17,179 | ) | (1,791,287 | ) | (1,715,151 | ) | 14,244 | ||||||||||||||
Eversource Energy | Morgan Stanley | (27,159 | ) | (2,316,359 | ) | (2,349,525 | ) | (86,336 | ) | |||||||||||||
Exelon Corp. | Morgan Stanley | (41,687 | ) | (2,041,030 | ) | (1,760,025 | ) | 212,408 | ||||||||||||||
FirstEnergy Corp. | Morgan Stanley | (55,933 | ) | (1,739,989 | ) | (1,712,109 | ) | 5,498 | ||||||||||||||
NiSource, Inc. | Morgan Stanley | (40,276 | ) | (1,212,457 | ) | (923,931 | ) | 258,648 | ||||||||||||||
Pinnacle West Capital Corp. | Morgan Stanley | (23,102 | ) | (2,105,159 | ) | (1,847,005 | ) | 207,214 | ||||||||||||||
PPL Corp. | Morgan Stanley | (58,772 | ) | (1,816,952 | ) | (1,657,370 | ) | 107,438 | ||||||||||||||
Sempra Energy | Morgan Stanley | (8,653 | ) | (1,062,853 | ) | (1,102,479 | ) | (57,316 | ) | |||||||||||||
WEC Energy Group, Inc. | Morgan Stanley | (18,854 | ) | (1,749,434 | ) | (1,735,134 | ) | (31,475 | ) | |||||||||||||
Xcel Energy, Inc. | Morgan Stanley | (26,598 | ) | (1,747,429 | ) | (1,773,289 | ) | (76,059 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
(541,925 | ) | (34,933,336 | ) | (32,988,967 | ) | 972,506 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total Reference Entity — Short | (395,140,840 | ) | (406,712,026 | ) | (17,729,318 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
Net Value of Reference Entity | $ | (91,802,122 | ) | $ | 14,324,066 | $ | 105,068,663 | |||||||||||||||
|
|
|
|
|
|
* | Includes $(1,057,505) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
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 total return swaps with end of period unrealized appreciation of $105,068,663, which are considered Level 2 as of and for the period ended December 31, 2020.
For additional information about significant accounting policies, including valuation of investments, refer to the Fund’s most recent annual or semi-annual report.
19