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: 811-22540
AGF Investments Trust
(Exact name of registrant as specified in charter)
53 State Street
Suite 1308
Boston, MA 02109
(Address of principal executive offices) (Zip code)
William H. DeRoche, President
53 State Street, Suite 1308
Boston, MA 02109
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (617) 292-9801
Date of fiscal year end: June 30
Date of reporting period: June 30, 2020
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
| | | Management Discussion of Fund Performance | | |
| | | | Schedule of Investments | |
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| | | Statements of Assets and Liabilities | | |
| | | Statements of Operations | | |
| | | Statements of Changes in Net Assets | | |
| | | Financial Highlights | | |
| | | Notes to Financial Statements | | |
| | | Report of Independent Registered Public Accounting Firm | | |
| | | Expense Examples | | |
| | | Board Consideration of the Investment Advisory Agreement | | |
| | | Additional Information | | |
| | | Trustees and Officers of AGF Investments Trust | |
| AGFiQ U.S. Market Neutral Momentum Fund (“MOM”) | | | | | 18.04% | | | | | |
| AGFiQ U.S. Market Neutral Value Fund (“CHEP”) | | | | | -26.21% | | | | | |
| AGFiQ U.S. Market Neutral Anti-Beta Fund (“BTAL”) | | | | | 12.07% | | | | | |
| AGFiQ Hedged Dividend Income Fund (“DIVA”) | | | | | -9.10% | | | | | |
| AGFiQ Global Infrastructure ETF (“GLIF”) | | | | | -7.32% | | | | | |
| AGFiQ Dynamic Hedged U.S. Equity ETF (“USHG”) | | | | | 8.81% | | | | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2020 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 4.83% | | | | | | -4.40% | | |
Consumer Discretionary | | | | | 12.62% | | | | | | -12.43% | | |
Consumer Staples | | | | | 5.07% | | | | | | -5.14% | | |
Energy | | | | | 3.49% | | | | | | -4.14% | | |
Financials | | | | | 15.34% | | | | | | -16.04% | | |
Health Care | | | | | 12.14% | | | | | | -11.84% | | |
Industrials | | | | | 14.52% | | | | | | -15.78% | | |
Information Technology | | | | | 17.88% | | | | | | -16.64% | | |
Materials | | | | | 5.10% | | | | | | -5.26% | | |
Real Estate | | | | | 9.14% | | | | | | -9.56% | | |
Utilities | | | | | 4.89% | | | | | | -4.87% | | |
Characteristics (as of 6/30/2020) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 200 | | | | | | 200 | | |
Book Yield (B/P) | | | | | 23.18% | | | | | | 86.28% | | |
Earnings Yield (E/P) | | | | | 3.12% | | | | | | 4.41% | | |
Beta | | | | | 1.053 | | | | | | 1.407 | | |
Average Market Cap (millions) | | | | $ | 47,707 | | | | | $ | 10,779 | | |
Median Market Cap (millions) | | | | $ | 18,248 | | | | | $ | 4,206 | | |
DJUS Momentum Index — S&P Dow Jones U.S. Thematic Market Neutral Momentum Index
Russell 1000 — Russell 1000 Index8
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
MOM NAV Return | | | | | 18.04% | | | | | | 9.02% | | | | | | 3.05% | | | | | | 2.01% | | |
MOM Market Price Return | | | | | 17.44% | | | | | | 8.82% | | | | | | 2.95% | | | | | | 1.95% | | |
DJUS Momentum Index | | | | | 16.78% | | | | | | 8.68% | | | | | | 3.66% | | | | | | 3.44% | | |
Russell 1000 Index | | | | | 7.48% | | | | | | 10.64% | | | | | | 10.47% | | | | | | 14.03% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2020 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 4.68% | | | | | | -4.02% | | |
Consumer Discretionary | | | | | 13.28% | | | | | | -12.57% | | |
Consumer Staples | | | | | 5.02% | | | | | | -5.03% | | |
Energy | | | | | 3.36% | | | | | | -3.68% | | |
Financials | | | | | 15.03% | | | | | | -14.93% | | |
Health Care | | | | | 11.33% | | | | | | -12.20% | | |
Industrials | | | | | 14.73% | | | | | | -14.62% | | |
Information Technology | | | | | 16.80% | | | | | | -18.72% | | |
Materials | | | | | 5.25% | | | | | | -5.12% | | |
Real Estate | | | | | 9.35% | | | | | | -8.57% | | |
Utilities | | | | | 5.04% | | | | | | -4.84% | | |
Characteristics (as of 6/30/20) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 200 | | | | | | 200 | | |
Book Yield (B/P) | | | | | 92.91% | | | | | | 15.53% | | |
Earnings Yield (E/P) | | | | | 7.49% | | | | | | 0.80% | | |
Beta | | | | | 1.332 | | | | | | 1.105 | | |
Average Market Cap (millions) | | | | $ | 14,663 | | | | | $ | 38,495 | | |
Median Market Cap (millions) | | | | $ | 5,899 | | | | | $ | 14,250 | | |
DJUS Value Index — S&P Dow Jones U.S. Thematic Market Neutral Value Index
Russell 1000 — Russell 1000 Index8
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
CHEP NAV Return | | | | | -26.21% | | | | | | -16.68% | | | | | | -10.35% | | | | | | -5.05% | | |
CHEP Market Price Return | | | | | -25.47% | | | | | | -16.42% | | | | | | -10.28% | | | | | | -4.95% | | |
DJUS Value Index | | | | | -26.04% | | | | | | -16.61% | | | | | | -9.60% | | | | | | -3.62% | | |
Russell 1000 Index | | | | | 7.48% | | | | | | 10.64% | | | | | | 10.47% | | | | | | 14.08% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2020 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 4.87% | | | | | | -4.70% | | |
Consumer Discretionary | | | | | 12.30% | | | | | | -13.17% | | |
Consumer Staples | | | | | 5.26% | | | | | | -5.50% | | |
Energy | | | | | 3.49% | | | | | | -3.89% | | |
Financials | | | | | 15.56% | | | | | | -16.08% | | |
Health Care | | | | | 12.17% | | | | | | -11.36% | | |
Industrials | | | | | 14.53% | | | | | | -15.27% | | |
Information Technology | | | | | 17.46% | | | | | | -17.38% | | |
Materials | | | | | 5.65% | | | | | | -6.30% | | |
Real Estate | | | | | 8.75% | | | | | | -9.18% | | |
Utilities | | | | | 4.94% | | | | | | -4.98% | | |
Characteristics (as of 6/30/2020) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 200 | | | | | | 200 | | |
Book Yield (B/P) | | | | | 31.12% | | | | | | 73.26% | | |
Earnings Yield (E/P) | | | | | 3.33% | | | | | | 3.92% | | |
Beta | | | | | 0.852 | | | | | | 1.586 | | |
Average Market Cap (millions) | | | | $ | 45,615 | | | | | $ | 13,398 | | |
Median Market Cap (millions) | | | | $ | 13,041 | | | | | $ | 5,520 | | |
DJUS Momentum Index — S&P Dow Jones U.S. Thematic Market Neutral Anti-Beta Index
Russell 1000 — Russell 1000 Index8
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
BTAL NAV Return | | | | | 12.07% | | | | | | 7.09% | | | | | | 4.90% | | | | | | 0.00% | | |
BTAL Market Price Return | | | | | 11.99% | | | | | | 7.16% | | | | | | 4.94% | | | | | | 0.02% | | |
DJUS Anti-Beta Index | | | | | 11.93% | | | | | | 7.08% | | | | | | 5.87% | | | | | | 1.46% | | |
Russell 1000 Index | | | | | 7.48% | | | | | | 10.64% | | | | | | 10.47% | | | | | | 14.08% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2020 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 3.91% | | | | | | -1.96% | | |
Consumer Discretionary | | | | | 10.73% | | | | | | -5.44% | | |
Consumer Staples | | | | | 4.90% | | | | | | -2.45% | | |
Energy | | | | | 13.83% | | | | | | -6.92% | | |
Financials | | | | | 11.73% | | | | | | -10.08% | | |
Health Care | | | | | 1.96% | | | | | | -0.96% | | |
Industrials | | | | | 6.88% | | | | | | -3.38% | | |
Information Technology | | | | | 8.78% | | | | | | -4.33% | | |
Materials | | | | | 4.88% | | | | | | -2.41% | | |
Real Estate | | | | | 12.65% | | | | | | -2.22% | | |
Utilities | | | | | 17.61% | | | | | | -8.76% | | |
Characteristics (as of 6/30/2020) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 100 | | | | | | 188 | | |
Book Yield (B/P) | | | | | 65.06% | | | | | | 47.28% | | |
Earnings Yield (E/P) | | | | | 7.39% | | | | | | 4.00% | | |
Beta | | | | | 1.184 | | | | | | 1.157 | | |
Average Market Cap (millions) | | | | $ | 30,992 | | | | | $ | 40,305 | | |
Median Market Cap (millions) | | | | $ | 10,580 | | | | | $ | 10,544 | | |
Hedged Dividend Income Index — INDXX Hedged Dividend Income Index
BloomBarc US Corporate Bond Index — Bloomberg Barclays US Corporate Total Return Value Unhedged Index10
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
DIVA NAV Return | | | | | -9.10% | | | | | | -1.62% | | | | | | 2.49% | | | | | | 1.52% | | |
DIVA Market Price Return | | | | | -9.42% | | | | | | -1.70% | | | | | | 2.41% | | | | | | 1.50% | | |
INDXX Hedged Dividend Income Index | | | | | -8.91% | | | | | | -0.93% | | | | | | 3.49% | | | | | | 2.54% | | |
BloomBarc US Corp Bond Index | | | | | 9.50% | | | | | | 6.34% | | | | | | 5.83% | | | | | | 4.80% | | |
Fund Sector Weights (Based on Net Assets) | | ||||||
As of 06/30/2020 | | | Percentage % | | |||
Utilities | | | | | 35.01% | | |
Real Estate | | | | | 23.20% | | |
Energy | | | | | 20.45% | | |
Industrials | | | | | 16.13% | | |
Communication Services | | | | | 4.53% | | |
Information Technology | | | | | 0.69% | | |
Top 10 Country Allocation (Based on Net Assets) | | ||||||
As of 06/30/2020 | | | Percentage % | | |||
United States | | | | | 47.78% | | |
Canada | | | | | 15.75% | | |
China | | | | | 5.87% | | |
United Kingdom | | | | | 5.79% | | |
France | | | | | 5.30% | | |
Australia | | | | | 3.86% | | |
Spain | | | | | 3.79% | | |
Hong Kong | | | | | 3.52% | | |
Italy | | | | | 2.70% | | |
Japan | | | | | 1.05% | | |
Characteristics (as of 6/30/2020) | | | Index | | | Fund (Based on Net Assets) | | ||||||
Number of Companies | | | | | 100 | | | | | | 75 | | |
Book Yield (B/P) | | | | | 44.77% | | | | | | 47.08% | | |
Earnings Yield (E/P) | | | | | 4.68% | | | | | | 4.76% | | |
Beta | | | | | 0.950 | | | | | | 0.955 | | |
Average Market Cap (millions) | | | | $ | 38,081 | | | | | $ | 42,063 | | |
Median Market Cap (millions) | | | | $ | 5,984 | | | | | $ | 10,162 | | |
Dow Jones Brookfield Global Infrastructure TR Index11
| | | 1 Year | | | Since Inception | | ||||||
GLIF NAV Return | | | | | -7.32% | | | | | | -4.11% | | |
GLIF Market Price Return | | | | | -6.76% | | | | | | -3.59% | | |
Dow Jones Brookfield Global Infrastructure Index | | | | | -5.99% | | | | | | -2.62% | | |
Top Holdings (Based on Net Assets) | | ||||||
As of 06/30/2020 | | | Percentage % | | |||
Communication Services SPDR Select Sector ETF | | | | | 9.46% | | |
Consumer Discretionary SPDR Select Sector ETF | | | | | 3.89% | | |
Consumer Staples SPDR Select Sector ETF | | | | | 9.71% | | |
Energy SPDR Select Sector ETF | | | | | 0.40% | | |
Financial SPDR Select Sector ETF | | | | | 10.68% | | |
Health Care SPDR Select Sector ETF | | | | | 16.09% | | |
Industrial SPDR Select Sector ETF | | | | | 4.16% | | |
Technology SPDR Select Sector ETF | | | | | 21.16% | | |
Materials SPDR Select Sector ETF | | | | | 4.25% | | |
Real Estate SPDR Select Sector ETF | | | | | 2.39% | | |
Utilities SPDR Select Sector ETF | | | | | 2.58% | | |
Characteristics (as of 6/30/2020) | | | Index | | | Fund (Based on Net Assets) | | ||||||
Number of Companies (With Look Thru) | | | | | 723 | | | | | | 506 | | |
Book Yield (B/P) | | | | | 18.29% | | | | | | 29.19% | | |
Earnings Yield (E/P) | | | | | 4.48% | | | | | | 4.93% | | |
Beta | | | | | 0.70 | | | | | | 0.84 | | |
Average Market Cap (millions) | | | | $ | 397,352 | | | | | $ | 323,459 | | |
Median Market Cap (millions) | | | | $ | 13,798 | | | | | $ | 21,616 | | |
S&P 500 TR Index — Standard & Poor’s 500 Total Return Index
| | | 1 Year | | | Since Inception | | ||||||
USHG NAV Return | | | | | 8.81% | | | | | | 10.54% | | |
USHG Market Price Return | | | | | 8.30% | | | | | | 10.10% | | |
S&P 500 TR Index | | | | | 7.51% | | | | | | 9.84% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 92.9% | | ||||||||||||
COMMON STOCKS – 92.9% | | ||||||||||||
Aerospace & Defense – 2.2% | | ||||||||||||
Axon Enterprise, Inc.*(a) | | | | | 348 | | | | | $ | 34,149 | | |
BWX Technologies, Inc.(a) | | | | | 416 | | | | | | 23,562 | | |
Lockheed Martin Corp.(a) | | | | | 68 | | | | | | 24,815 | | |
Mercury Systems, Inc.*(a) | | | | | 292 | | | | | | 22,969 | | |
Teledyne Technologies, Inc.*(a) | | | | | 72 | | | | | | 22,388 | | |
| | | | | | | | | | | 127,883 | | |
Air Freight & Logistics – 0.4% | | ||||||||||||
XPO Logistics, Inc.* | | | | | 332 | | | | | | 25,647 | | |
Auto Components – 0.4% | | ||||||||||||
Gentex Corp.(a) | | | | | 996 | | | | | | 25,667 | | |
Automobiles – 1.2% | | ||||||||||||
Tesla, Inc.*(a) | | | | | 32 | | | | | | 34,554 | | |
Thor Industries, Inc.(a) | | | | | 304 | | | | | | 32,385 | | |
| | | | | | | | | | | 66,939 | | |
Banks – 0.4% | | ||||||||||||
Commerce Bancshares, Inc.(a) | | | | | 416 | | | | | | 24,740 | | |
Beverages – 0.9% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A*(a) | | | | | 48 | | | | | | 25,759 | | |
Brown-Forman Corp., Class B(a) | | | | | 400 | | | | | | 25,464 | | |
| | | | | | | | | | | 51,223 | | |
Biotechnology – 3.8% | | ||||||||||||
ACADIA Pharmaceuticals, Inc.*(a) | | | | | 532 | | | | | | 25,786 | | |
Allogene Therapeutics, Inc.*(a) | | | | | 540 | | | | | | 23,123 | | |
Alnylam Pharmaceuticals, Inc.*(a) | | | | | 200 | | | | | | 29,622 | | |
Immunomedics, Inc.*(a) | | | | | 792 | | | | | | 28,068 | | |
Moderna, Inc.*(a) | | | | | 452 | | | | | | 29,023 | | |
Regeneron Pharmaceuticals, Inc.*(a) | | | | | 44 | | | | | | 27,441 | | |
Seattle Genetics, Inc.*(a) | | | | | 172 | | | | | | 29,226 | | |
Vertex Pharmaceuticals, Inc.*(a) | | | | | 92 | | | | | | 26,709 | | |
| | | | | | | | | | | 218,998 | | |
Building Products – 1.4% | | ||||||||||||
Fortune Brands Home & Security, Inc.(a) | | | | | 432 | | | | | | 27,618 | | |
Masco Corp.(a) | | | | | 568 | | | | | | 28,519 | | |
Trex Co., Inc.*(a) | | | | | 216 | | | | | | 28,095 | | |
| | | | | | | | | | | 84,232 | | |
Capital Markets – 7.2% | | ||||||||||||
Ameriprise Financial, Inc.(a) | | | | | 188 | | | | | | 28,208 | | |
BlackRock, Inc.(a) | | | | | 48 | | | | | | 26,116 | | |
Blackstone Group, Inc. (The), Class A(a) | | | | | 460 | | | | | | 26,064 | | |
CME Group, Inc.(a) | | | | | 144 | | | | | | 23,406 | | |
FactSet Research Systems, Inc.(a) | | | | | 84 | | | | | | 27,591 | | |
Intercontinental Exchange, Inc.(a) | | | | | 272 | | | | | | 24,915 | | |
MarketAxess Holdings, Inc.(a) | | | | | 52 | | | | | | 26,048 | | |
Moody’s Corp.(a) | | | | | 100 | | | | | | 27,473 | | |
Morgan Stanley(a) | | | | | 592 | | | | | | 28,594 | | |
Morningstar, Inc.(a) | | | | | 172 | | | | | | 24,247 | | |
MSCI, Inc.(a) | | | | | 80 | | | | | | 26,706 | | |
Nasdaq, Inc.(a) | | | | | 224 | | | | | | 26,761 | | |
S&P Global, Inc.(a) | | | | | 80 | | | | | | 26,358 | | |
SEI Investments Co.(a) | | | | | 484 | | | | | | 26,610 | | |
T. Rowe Price Group, Inc.(a) | | | | | 220 | | | | | | 27,170 | | |
Tradeweb Markets, Inc., Class A(a) | | | | | 400 | | | | | | 23,256 | | |
| | | | | | | | | | | 419,523 | | |
Chemicals – 2.2% | | ||||||||||||
Air Products and Chemicals, Inc.(a) | | | | | 108 | | | | | | 26,078 | | |
FMC Corp.(a) | | | | | 268 | | | | | | 26,698 | | |
Linde plc(a) | | | | | 128 | | | | | | 27,150 | | |
Scotts Miracle-Gro Co. (The)(a) | | | | | 184 | | | | | | 24,743 | | |
Sherwin-Williams Co. (The)(a) | | | | | 44 | | | | | | 25,425 | | |
| | | | | | | | | | | 130,094 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Commercial Services & Supplies – 1.8% | | ||||||||||||
Cintas Corp.(a) | | | | | 108 | | | | | $ | 28,767 | | |
Copart, Inc.*(a) | | | | | 296 | | | | | | 24,648 | | |
MSA Safety, Inc.(a) | | | | | 220 | | | | | | 25,176 | | |
Tetra Tech, Inc.(a) | | | | | 332 | | | | | | 26,268 | | |
| | | | | | | | | | | 104,859 | | |
Communications Equipment – 0.5% | | ||||||||||||
Lumentum Holdings, Inc.*(a) | | | | | 364 | | | | | | 29,641 | | |
Construction & Engineering – 0.4% | | ||||||||||||
AECOM*(a) | | | | | 676 | | | | | | 25,404 | | |
Consumer Finance – 0.5% | | ||||||||||||
OneMain Holdings, Inc.(a) | | | | | 1,120 | | | | | | 27,485 | | |
Containers & Packaging – 1.4% | | ||||||||||||
Avery Dennison Corp.(a) | | | | | 236 | | | | | | 26,925 | | |
Ball Corp.(a) | | | | | 372 | | | | | | 25,850 | | |
Crown Holdings, Inc.*(a) | | | | | 404 | | | | | | 26,313 | | |
| | | | | | | | | | | 79,088 | | |
Distributors – 0.5% | | ||||||||||||
Pool Corp.(a) | | | | | 100 | | | | | | 27,187 | | |
Diversified Consumer Services – 0.5% | | ||||||||||||
Chegg, Inc.*(a) | | | | | 432 | | | | | | 29,056 | | |
Electric Utilities – 2.1% | | ||||||||||||
Entergy Corp.(a) | | | | | 256 | | | | | | 24,015 | | |
Eversource Energy(a) | | | | | 312 | | | | | | 25,980 | | |
NextEra Energy, Inc.(a) | | | | | 104 | | | | | | 24,978 | | |
Southern Co. (The)(a) | | | | | 456 | | | | | | 23,644 | | |
Xcel Energy, Inc. | | | | | 404 | | | | | | 25,250 | | |
| | | | | | | | | | | 123,867 | | |
Electrical Equipment – 0.9% | | ||||||||||||
Generac Holdings, Inc.*(a) | | | | | 232 | | | | | | 28,288 | | |
Rockwell Automation, Inc.(a) | | | | | 120 | | | | | | 25,560 | | |
| | | | | | | | | | | 53,848 | | |
Entertainment – 1.9% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 372 | | | | | | 28,235 | | |
Roku, Inc.*(a) | | | | | 240 | | | | | | 27,967 | | |
Take-Two Interactive Software, Inc.*(a) | | | | | 196 | | | | | | 27,356 | | |
Zynga, Inc., Class A* | | | | | 2,940 | | | | | | 28,047 | | |
| | | | | | | | | | | 111,605 | | |
Equity Real Estate Investment Trusts (REITs) – 8.1% | | ||||||||||||
American Tower Corp.(a) | | | | | 100 | | | | | | 25,854 | | |
Americold Realty Trust(a) | | | | | 736 | | | | | | 26,717 | | |
CoreSite Realty Corp.(a) | | | | | 208 | | | | | | 25,180 | | |
Crown Castle International Corp.(a) | | | | | 152 | | | | | | 25,437 | | |
CyrusOne, Inc.(a) | | | | | 356 | | | | | | 25,899 | | |
Digital Realty Trust, Inc.(a) | | | | | 184 | | | | | | 26,148 | | |
EastGroup Properties, Inc.(a) | | | | | 224 | | | | | | 26,569 | | |
Equinix, Inc.(a) | | | | | 36 | | | | | | 25,283 | | |
Equity Commonwealth(a) | | | | | 772 | | | | | | 24,858 | | |
Equity LifeStyle Properties, Inc.(a) | | | | | 416 | | | | | | 25,992 | | |
First Industrial Realty Trust, Inc.(a) | | | | | 688 | | | | | | 26,447 | | |
Invitation Homes, Inc.(a) | | | | | 992 | | | | | | 27,310 | | |
Medical Properties Trust, Inc.(a) | | | | | 1,448 | | | | | | 27,222 | | |
Mid-America Apartment Communities, Inc.(a) | | | | | 224 | | | | | | 25,686 | | |
Prologis, Inc.(a) | | | | | 284 | | | | | | 26,506 | | |
Rexford Industrial Realty, Inc.(a) | | | | | 660 | | | | | | 27,344 | | |
SBA Communications Corp.(a) | | | | | 84 | | | | | | 25,025 | | |
Sun Communities, Inc.(a) | | | | | 188 | | | | | | 25,508 | | |
| | | | | | | | | | | 468,985 | | |
Food & Staples Retailing – 1.8% | | ||||||||||||
Casey’s General Stores, Inc.(a) | | | | | 164 | | | | | | 24,521 | | |
Costco Wholesale Corp.(a) | | | | | 84 | | | | | | 25,470 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Kroger Co. (The)(a) | | | | | 812 | | | | | $ | 27,486 | | |
Walmart, Inc.(a) | | | | | 212 | | | | | | 25,393 | | |
| | | | | | | | | | | 102,870 | | |
Food Products – 1.3% | | ||||||||||||
Campbell Soup Co.(a) | | | | | 520 | | | | | | 25,808 | | |
Hain Celestial Group, Inc. (The)*(a) | | | | | 840 | | | | | | 26,468 | | |
Hormel Foods Corp.(a) | | | | | 544 | | | | | | 26,259 | | |
| | | | | | | | | | | 78,535 | | |
Health Care Equipment & Supplies – 2.4% | | ||||||||||||
DexCom, Inc.*(a) | | | | | 72 | | | | | | 29,189 | | |
Insulet Corp.*(a) | | | | | 140 | | | | | | 27,196 | | |
Masimo Corp.*(a) | | | | | 108 | | | | | | 24,623 | | |
ResMed, Inc.(a) | | | | | 164 | | | | | | 31,488 | | |
West Pharmaceutical Services, Inc. | | | | | 124 | | | | | | 28,169 | | |
| | | | | | | | | | | 140,665 | | |
Health Care Providers & Services – 1.3% | | ||||||||||||
Amedisys, Inc.*(a) | | | | | 136 | | | | | | 27,001 | | |
Chemed Corp.(a) | | | | | 56 | | | | | | 25,260 | | |
DaVita, Inc.*(a) | | | | | 332 | | | | | | 26,275 | | |
| | | | | | | | | | | 78,536 | | |
Health Care Technology – 1.0% | | ||||||||||||
Teladoc Health, Inc.*(a) | | | | | 152 | | | | | | 29,008 | | |
Veeva Systems, Inc., Class A*(a) | | | | | 120 | | | | | | 28,130 | | |
| | | | | | | | | | | 57,138 | | |
Hotels, Restaurants & Leisure – 1.4% | | ||||||||||||
Chipotle Mexican Grill, Inc.*(a) | | | | | 28 | | | | | | 29,466 | | |
Churchill Downs, Inc.(a) | | | | | 200 | | | | | | 26,630 | | |
Domino’s Pizza, Inc.(a) | | | | | 68 | | | | | | 25,122 | | |
| | | | | | | | | | | 81,218 | | |
Household Durables – 1.9% | | ||||||||||||
DR Horton, Inc.(a) | | | | | 468 | | | | | | 25,950 | | |
Garmin Ltd.(a) | | | | | 288 | | | | | | 28,080 | | |
Helen of Troy Ltd.*(a) | | | | | 144 | | | | | | 27,153 | | |
Lennar Corp., Class A(a) | | | | | 432 | | | | | | 26,620 | | |
| | | | | | | | | | | 107,803 | | |
Household Products – 0.5% | | ||||||||||||
Clorox Co. (The)(a) | | | | | 128 | | | | | | 28,079 | | |
Insurance – 5.4% | | ||||||||||||
Allstate Corp. (The)(a) | | | | | 268 | | | | | | 25,993 | | |
Aon plc, Class A(a) | | | | | 132 | | | | | | 25,423 | | |
Arthur J Gallagher & Co.(a) | | | | | 280 | | | | | | 27,297 | | |
Assurant, Inc.(a) | | | | | 256 | | | | | | 26,442 | | |
Brown & Brown, Inc.(a) | | | | | 652 | | | | | | 26,576 | | |
First American Financial Corp.(a) | | | | | 524 | | | | | | 25,162 | | |
Marsh & McLennan Cos., Inc.(a) | | | | | 248 | | | | | | 26,628 | | |
Progressive Corp. (The)(a) | | | | | 340 | | | | | | 27,237 | | |
RenaissanceRe Holdings Ltd.(a) | | | | | 156 | | | | | | 26,681 | | |
RLI Corp.(a) | | | | | 336 | | | | | | 27,586 | | |
W R Berkley Corp. | | | | | 452 | | | | | | 25,895 | | |
Willis Towers Watson plc(a) | | | | | 128 | | | | | | 25,210 | | |
| | | | | | | | | | | 316,130 | | |
Interactive Media & Services – 0.6% | | ||||||||||||
Snap, Inc., Class A*(a) | | | | | 1,392 | | | | | | 32,698 | | |
Internet & Direct Marketing Retail – 0.6% | | ||||||||||||
Amazon.com, Inc.*(a) | | | | | 12 | | | | | | 33,106 | | |
IT Services – 1.8% | | ||||||||||||
EPAM Systems, Inc.*(a) | | | | | 116 | | | | | | 29,233 | | |
Leidos Holdings, Inc.(a) | | | | | 248 | | | | | | 23,230 | | |
MongoDB, Inc.*(a) | | | | | 116 | | | | | | 26,256 | | |
Okta, Inc.*(a) | | | | | 136 | | | | | | 27,231 | | |
| | | | | | | | | | | 105,950 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Life Sciences Tools & Services – 0.9% | | ||||||||||||
Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 56 | | | | | $ | 25,283 | | |
Repligen Corp.*(a) | | | | | 200 | | | | | | 24,722 | | |
| | | | | | | | | | | 50,005 | | |
Machinery – 0.5% | | ||||||||||||
Nordson Corp.(a) | | | | | 140 | | | | | | 26,559 | | |
Media – 1.3% | | ||||||||||||
Cable One, Inc.(a) | | | | | 16 | | | | | | 28,398 | | |
Charter Communications, Inc., Class A*(a) | | | | | 48 | | | | | | 24,482 | | |
Liberty Broadband Corp., Class C*(a) | | | | | 196 | | | | | | 24,296 | | |
| | | | | | | | | | | 77,176 | | |
Metals & Mining – 0.9% | | ||||||||||||
Newmont Corp.(a) | | | | | 436 | | | | | | 26,919 | | |
Reliance Steel & Aluminum Co.(a) | | | | | 272 | | | | | | 25,821 | | |
| | | | | | | | | | | 52,740 | | |
Multiline Retail – 0.9% | | ||||||||||||
Dollar General Corp.(a) | | | | | 136 | | | | | | 25,909 | | |
Target Corp.(a) | | | | | 216 | | | | | | 25,905 | | |
| | | | | | | | | | | 51,814 | | |
Multi-Utilities – 1.3% | | ||||||||||||
Dominion Energy, Inc.(a) | | | | | 312 | | | | | | 25,328 | | |
Sempra Energy(a) | | | | | 208 | | | | | | 24,384 | | |
WEC Energy Group, Inc.(a) | | | | | 288 | | | | | | 25,243 | | |
| | | | | | | | | | | 74,955 | | |
Oil, Gas & Consumable Fuels – 3.1% | | ||||||||||||
Chevron Corp.(a) | | | | | 292 | | | | | | 26,055 | | |
Hess Corp.(a) | | | | | 556 | | | | | | 28,806 | | |
Kinder Morgan, Inc.(a) | | | | | 1,688 | | | | | | 25,607 | | |
Phillips 66(a) | | | | | 336 | | | | | | 24,158 | | |
Valero Energy Corp.(a) | | | | | 392 | | | | | | 23,058 | | |
Williams Cos., Inc. (The)(a) | | | | | 1,316 | | | | | | 25,030 | | |
World Fuel Services Corp.(a) | | | | | 1,044 | | | | | | 26,894 | | |
| | | | | | | | | | | 179,608 | | |
Pharmaceuticals – 1.4% | | ||||||||||||
Catalent, Inc.*(a) | | | | | 336 | | | | | | 24,629 | | |
Horizon Therapeutics plc*(a) | | | | | 520 | | | | | | 28,902 | | |
Zoetis, Inc. | | | | | 188 | | | | | | 25,763 | | |
| | | | | | | | | | | 79,294 | | |
Professional Services – 2.8% | | ||||||||||||
CoStar Group, Inc.*(a) | | | | | 40 | | | | | | 28,427 | | |
Equifax, Inc.(a) | | | | | 172 | | | | | | 29,563 | | |
FTI Consulting, Inc.*(a) | | | | | 216 | | | | | | 24,743 | | |
IHS Markit Ltd.(a) | | | | | 376 | | | | | | 28,388 | | |
TransUnion(a) | | | | | 304 | | | | | | 26,460 | | |
Verisk Analytics, Inc.(a) | | | | | 152 | | | | | | 25,871 | | |
| | | | | | | | | | | 163,452 | | |
Road & Rail – 1.3% | | ||||||||||||
Kansas City Southern(a) | | | | | 172 | | | | | | 25,678 | | |
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 628 | | | | | | 26,194 | | |
Old Dominion Freight Line, Inc.(a) | | | | | 156 | | | | | | 26,456 | | |
| | | | | | | | | | | 78,328 | | |
Semiconductors & Semiconductor Equipment – 5.4% | | ||||||||||||
Advanced Micro Devices, Inc.*(a) | | | | | 500 | | | | | | 26,305 | | |
Applied Materials, Inc.(a) | | | | | 472 | | | | | | 28,532 | | |
Cirrus Logic, Inc.*(a) | | | | | 360 | | | | | | 22,241 | | |
Entegris, Inc.(a) | | | | | 440 | | | | | | 25,982 | | |
KLA Corp.(a) | | | | | 148 | | | | | | 28,783 | | |
Lam Research Corp.(a) | | | | | 96 | | | | | | 31,052 | | |
Monolithic Power Systems, Inc.(a) | | | | | 124 | | | | | | 29,388 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
NVIDIA Corp.(a) | | | | | 76 | | | | | $ | 28,873 | | |
Qorvo, Inc.*(a) | | | | | 252 | | | | | | 27,854 | | |
Skyworks Solutions, Inc.(a) | | | | | 224 | | | | | | 28,641 | | |
Teradyne, Inc.(a) | | | | | 396 | | | | | | 33,466 | | |
| | | | | | | | | | | 311,117 | | |
Software – 7.6% | | ||||||||||||
Alteryx, Inc., Class A*(a) | | | | | 184 | | | | | | 30,227 | | |
Avalara, Inc.*(a) | | | | | 248 | | | | | | 33,006 | | |
Ceridian HCM Holding, Inc.*(a) | | | | | 380 | | | | | | 30,123 | | |
Coupa Software, Inc.*(a) | | | | | 116 | | | | | | 32,137 | | |
DocuSign, Inc.*(a) | | | | | 192 | | | | | | 33,064 | | |
Fair Isaac Corp.*(a) | | | | | 64 | | | | | | 26,755 | | |
Fortinet, Inc.*(a) | | | | | 188 | | | | | | 25,807 | | |
NortonLifeLock, Inc.(a) | | | | | 1,208 | | | | | | 23,955 | | |
Paycom Software, Inc.*(a) | | | | | 92 | | | | | | 28,495 | | |
RingCentral, Inc., Class A*(a) | | | | | 96 | | | | | | 27,361 | | |
ServiceNow, Inc.*(a) | | | | | 68 | | | | | | 27,544 | | |
Synopsys, Inc.*(a) | | | | | 148 | | | | | | 28,860 | | |
Trade Desk, Inc. (The), Class A*(a) | | | | | 84 | | | | | | 34,146 | | |
Tyler Technologies, Inc.*(a) | | | | | 68 | | | | | | 23,588 | | |
Zoom Video Communications, Inc., Class A* | | | | | 152 | | | | | | 38,538 | | |
| | | | | | | | | | | 443,606 | | |
Specialty Retail – 2.9% | | ||||||||||||
Best Buy Co., Inc.(a) | | | | | 336 | | | | | | 29,323 | | |
Carvana Co.*(a) | | | | | 284 | | | | | | 34,137 | | |
Floor & Decor Holdings, Inc., Class A*(a) | | | | | 508 | | | | | | 29,286 | | |
Home Depot, Inc. (The)(a) | | | | | 104 | | | | | | 26,053 | | |
Murphy USA, Inc.*(a) | | | | | 228 | | | | | | 25,670 | | |
Williams-Sonoma, Inc. | | | | | 316 | | | | | | 25,915 | | |
| | | | | | | | | | | 170,384 | | |
Technology Hardware, Storage & Peripherals – 0.5% | | ||||||||||||
Apple, Inc.(a) | | | | | 80 | | | | | | 29,184 | | |
Textiles, Apparel & Luxury Goods – 1.0% | | ||||||||||||
Deckers Outdoor Corp.*(a) | | | | | 144 | | | | | | 28,280 | | |
Lululemon Athletica, Inc.*(a) | | | | | 88 | | | | | | 27,457 | | |
| | | | | | | | | | | 55,737 | | |
Trading Companies & Distributors – 1.0% | | ||||||||||||
Fastenal Co.(a) | | | | | 640 | | | | | | 27,418 | | |
SiteOne Landscape Supply, Inc.*(a) | | | | | 248 | | | | | | 28,264 | | |
| | | | | | | | | | | 55,682 | | |
Water Utilities – 0.9% | | ||||||||||||
American Water Works Co., Inc.(a) | | | | | 208 | | | | | | 26,761 | | |
Essential Utilities, Inc. | | | | | 608 | | | | | | 25,682 | | |
| | | | | | | | | | | 52,443 | | |
Wireless Telecommunication Services – 0.5% | | ||||||||||||
T-Mobile US, Inc.*(a) | | | | | 264 | | | | | | 27,496 | | |
TOTAL COMMON STOCKS (Cost $4,602,067) | | | | | | | | | | | 5,398,279 | | |
RIGHTS – 0.0% (b) | | ||||||||||||
Wireless Telecommunication Services – 0.0% (b) | | ||||||||||||
T-Mobile US, Inc., expiring 7/27/2020* (a) (Cost $1,267) | | | | | 264 | | | | | | 44 | | |
TOTAL LONG POSITIONS (Cost $4,603,334) | | | | | | | | | | | 5,398,323 | | |
SHORT POSITIONS – (98.5)% | | ||||||||||||
COMMON STOCKS – (98.0)% | | ||||||||||||
Aerospace & Defense – (2.8)% | | ||||||||||||
Boeing Co. (The) | | | | | (192) | | | | | | (35,193) | | |
Hexcel Corp. | | | | | (776) | | | | | | (35,091) | | |
Howmet Aerospace, Inc. | | | | | (2,128) | | | | | | (33,729) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Spirit AeroSystems Holdings, Inc., Class A | | | | | (1,252) | | | | | $ | (29,973) | | |
Textron, Inc. | | | | | (904) | | | | | | (29,751) | | |
| | | | | | | | | | | (163,737) | | |
Air Freight & Logistics – (0.5)% | | ||||||||||||
FedEx Corp. | | | | | (212) | | | | | | (29,727) | | |
Airlines – (2.6)% | | ||||||||||||
Alaska Air Group, Inc. | | | | | (804) | | | | | | (29,153) | | |
Delta Air Lines, Inc. | | | | | (1,100) | | | | | | (30,855) | | |
JetBlue Airways Corp.* | | | | | (2,748) | | | | | | (29,953) | | |
Southwest Airlines Co. | | | | | (856) | | | | | | (29,258) | | |
United Airlines Holdings, Inc.* | | | | | (984) | | | | | | (34,057) | | |
| | | | | | | | | | | (153,276) | | |
Auto Components – (0.6)% | | ||||||||||||
Goodyear Tire & Rubber Co. (The) | | | | | (3,608) | | | | | | (32,274) | | |
Automobiles – (0.5)% | | ||||||||||||
Ford Motor Co. | | | | | (4,848) | | | | | | (29,476) | | |
Banks – (6.8)% | | ||||||||||||
Associated Banc-Corp. | | | | | (1,972) | | | | | | (26,977) | | |
BankUnited, Inc. | | | | | (1,480) | | | | | | (29,970) | | |
CIT Group, Inc. | | | | | (1,512) | | | | | | (31,344) | | |
Comerica, Inc. | | | | | (764) | | | | | | (29,108) | | |
Hancock Whitney Corp. | | | | | (1,272) | | | | | | (26,966) | | |
M&T Bank Corp. | | | | | (260) | | | | | | (27,032) | | |
PacWest Bancorp | | | | | (1,600) | | | | | | (31,536) | | |
Sterling Bancorp | | | | | (2,236) | | | | | | (26,206) | | |
Synovus Financial Corp. | | | | | (1,448) | | | | | | (29,728) | | |
TCF Financial Corp. | | | | | (964) | | | | | | (28,361) | | |
Umpqua Holdings Corp. | | | | | (2,416) | | | | | | (25,706) | | |
Webster Financial Corp. | | | | | (960) | | | | | | (27,466) | | |
Wells Fargo & Co. | | | | | (1,040) | | | | | | (26,624) | | |
Wintrust Financial Corp. | | | | | (644) | | | | | | (28,091) | | |
| | | | | | | | | | | (395,115) | | |
Beverages – (0.4)% | | ||||||||||||
Molson Coors Beverage Co., Class B | | | | | (732) | | | | | | (25,152) | | |
Biotechnology – (4.2)% | | ||||||||||||
Agios Pharmaceuticals, Inc.* | | | | | (540) | | | | | | (28,879) | | |
Alexion Pharmaceuticals, Inc.* | | | | | (236) | | | | | | (26,489) | | |
Alkermes plc* | | | | | (1,724) | | | | | | (33,454) | | |
Bluebird Bio, Inc.* | | | | | (448) | | | | | | (27,346) | | |
Blueprint Medicines Corp.* | | | | | (432) | | | | | | (33,696) | | |
FibroGen, Inc.* | | | | | (800) | | | | | | (32,424) | | |
Ionis Pharmaceuticals, Inc.* | | | | | (496) | | | | | | (29,244) | | |
Sage Therapeutics, Inc.* | | | | | (764) | | | | | | (31,767) | | |
| | | | | | | | | | | (243,299) | | |
Capital Markets – (1.7)% | | ||||||||||||
Evercore, Inc., Class A | | | | | (500) | | | | | | (29,460) | | |
Franklin Resources, Inc. | | | | | (1,468) | | | | | | (30,784) | | |
Invesco Ltd. | | | | | (3,500) | | | | | | (37,660) | | |
| | | | | | | | | | | (97,904) | | |
Chemicals – (3.9)% | | ||||||||||||
CF Industries Holdings, Inc. | | | | | (936) | | | | | | (26,339) | | |
Chemours Co. (The) | | | | | (2,048) | | | | | | (31,437) | | |
DuPont de Nemours, Inc. | | | | | (548) | | | | | | (29,115) | | |
Ingevity Corp.* | | | | | (524) | | | | | | (27,546) | | |
Mosaic Co. (The) | | | | | (2,268) | | | | | | (28,373) | | |
Olin Corp. | | | | | (2,284) | | | | | | (26,243) | | |
W R Grace & Co. | | | | | (528) | | | | | | (26,828) | | |
Westlake Chemical Corp. | | | | | (580) | | | | | | (31,117) | | |
| | | | | | | | | | | (226,998) | | |
Commercial Services & Supplies – (0.5)% | | ||||||||||||
Deluxe Corp. | | | | | (1,148) | | | | | | (27,024) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Communications Equipment – (1.7)% | | ||||||||||||
Arista Networks, Inc.* | | | | | (120) | | | | | $ | (25,204) | | |
Cisco Systems, Inc. | | | | | (600) | | | | | | (27,984) | | |
CommScope Holding Co., Inc.* | | | | | (2,712) | | | | | | (22,590) | | |
ViaSat, Inc.* | | | | | (660) | | | | | | (25,324) | | |
| | | | | | | | | | | (101,102) | | |
Construction & Engineering – (0.5)% | | ||||||||||||
Fluor Corp. | | | | | (2,364) | | | | | | (28,557) | | |
Construction Materials – (0.5)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (408) | | | | | | (28,650) | | |
Consumer Finance – (1.5)% | | ||||||||||||
Ally Financial, Inc. | | | | | (1,560) | | | | | | (30,935) | | |
Discover Financial Services | | | | | (572) | | | | | | (28,651) | | |
Synchrony Financial | | | | | (1,344) | | | | | | (29,783) | | |
| | | | | | | | | | | (89,369) | | |
Diversified Consumer Services – (0.5)% | | ||||||||||||
ServiceMaster Global Holdings, Inc.* | | | | | (860) | | | | | | (30,693) | | |
Diversified Telecommunication Services – (0.5)% | | ||||||||||||
Liberty Latin America Ltd., Class C* | | | | | (2,876) | | | | | | (27,150) | | |
Electric Utilities – (1.8)% | | ||||||||||||
ALLETE, Inc. | | | | | (472) | | | | | | (25,776) | | |
Exelon Corp. | | | | | (720) | | | | | | (26,129) | | |
OGE Energy Corp. | | | | | (876) | | | | | | (26,595) | | |
Pinnacle West Capital Corp. | | | | | (356) | | | | | | (26,091) | | |
| | | | | | | | | | | (104,591) | | |
Electrical Equipment – (0.5)% | | ||||||||||||
Acuity Brands, Inc. | | | | | (320) | | | | | | (30,637) | | |
Electronic Equipment, Instruments & Components – (1.0)% | | ||||||||||||
Avnet, Inc. | | | | | (1,020) | | | | | | (28,443) | | |
Corning, Inc. | | | | | (1,224) | | | | | | (31,701) | | |
| | | | | | | | | | | (60,144) | | |
Energy Equipment & Services – (0.9)% | | ||||||||||||
Helmerich & Payne, Inc. | | | | | (1,396) | | | | | | (27,236) | | |
TechnipFMC plc | | | | | (3,760) | | | | | | (25,718) | | |
| | | | | | | | | | | (52,954) | | |
Entertainment – (1.2)% | | ||||||||||||
Cinemark Holdings, Inc. | | | | | (1,820) | | | | | | (21,021) | | |
Live Nation Entertainment, Inc.* | | | | | (564) | | | | | | (25,002) | | |
World Wrestling Entertainment, Inc., Class A | | | | | (596) | | | | | | (25,896) | | |
| | | | | | | | | | | (71,919) | | |
Equity Real Estate Investment Trusts (REITs) – (8.4)% | | ||||||||||||
Apple Hospitality REIT, Inc. | | | | | (2,724) | | | | | | (26,314) | | |
Colony Capital, Inc. | | | | | (13,372) | | | | | | (32,093) | | |
EPR Properties | | | | | (868) | | | | | | (28,757) | | |
Federal Realty Investment Trust | | | | | (344) | | | | | | (29,312) | | |
GEO Group, Inc. (The) | | | | | (2,312) | | | | | | (27,351) | | |
Host Hotels & Resorts, Inc. | | | | | (2,296) | | | | | | (24,774) | | |
Paramount Group, Inc. | | | | | (3,528) | | | | | | (27,201) | | |
Park Hotels & Resorts, Inc. | | | | | (2,780) | | | | | | (27,494) | | |
Pebblebrook Hotel Trust | | | | | (1,992) | | | | | | (27,211) | | |
RLJ Lodging Trust | | | | | (2,624) | | | | | | (24,770) | | |
Service Properties Trust | | | | | (4,064) | | | | | | (28,814) | | |
Simon Property Group, Inc. | | | | | (476) | | | | | | (32,549) | | |
SL Green Realty Corp. | | | | | (640) | | | | | | (31,545) | | |
Sunstone Hotel Investors, Inc. | | | | | (3,104) | | | | | | (25,298) | | |
Urban Edge Properties | | | | | (2,832) | | | | | | (33,616) | | |
Ventas, Inc. | | | | | (792) | | | | | | (29,003) | | |
Vornado Realty Trust | | | | | (752) | | | | | | (28,734) | | |
| | | | | | | | | | | (484,836) | | |
Food & Staples Retailing – (2.0)% | | ||||||||||||
Performance Food Group Co.* | | | | | (1,040) | | | | | | (30,306) | | |
Sysco Corp. | | | | | (500) | | | | | | (27,330) | | |
Investments | | | Shares | | | Value ($) | | ||||||
US Foods Holding Corp.* | | | | | (1,460) | | | | | $ | (28,791) | | |
Walgreens Boots Alliance, Inc. | | | | | (660) | | | | | | (27,977) | | |
| | | | | | | | | | | (114,404) | | |
Food Products – (1.5)% | | ||||||||||||
Bunge Ltd. | | | | | (716) | | | | | | (29,449) | | |
Post Holdings, Inc.* | | | | | (316) | | | | | | (27,688) | | |
Tyson Foods, Inc., Class A | | | | | (452) | | | | | | (26,989) | | |
| | | | | | | | | | | (84,126) | | |
Gas Utilities – (1.8)% | | ||||||||||||
National Fuel Gas Co. | | | | | (664) | | | | | | (27,842) | | |
New Jersey Resources Corp. | | | | | (788) | | | | | | (25,728) | | |
South Jersey Industries, Inc. | | | | | (988) | | | | | | (24,690) | | |
UGI Corp. | | | | | (880) | | | | | | (27,984) | | |
| | | | | | | | | | | (106,244) | | |
Health Care Equipment & Supplies – (2.4)% | | ||||||||||||
ABIOMED, Inc.* | | | | | (124) | | | | | | (29,953) | | |
Align Technology, Inc.* | | | | | (112) | | | | | | (30,737) | | |
DENTSPLY SIRONA, Inc. | | | | | (592) | | | | | | (26,084) | | |
ICU Medical, Inc.* | | | | | (136) | | | | | | (25,066) | | |
LivaNova plc* | | | | | (520) | | | | | | (25,028) | | |
| | | | | | | | | | | (136,868) | | |
Health Care Providers & Services – (2.3)% | | ||||||||||||
Acadia Healthcare Co., Inc.* | | | | | (972) | | | | | | (24,417) | | |
HealthEquity, Inc.* | | | | | (456) | | | | | | (26,753) | | |
Henry Schein, Inc.* | | | | | (452) | | | | | | (26,392) | | |
MEDNAX, Inc.* | | | | | (1,768) | | | | | | (30,233) | | |
Universal Health Services, Inc., Class B | | | | | (264) | | | | | | (24,523) | | |
| | | | | | | | | | | (132,318) | | |
Hotels, Restaurants & Leisure – (1.8)% | | ||||||||||||
Darden Restaurants, Inc. | | | | | (356) | | | | | | (26,974) | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | (1,792) | | | | | | (29,443) | | |
Royal Caribbean Cruises Ltd. | | | | | (540) | | | | | | (27,162) | | |
Six Flags Entertainment Corp. | | | | | (1,212) | | | | | | (23,282) | | |
| | | | | | | | | | | (106,861) | | |
Household Durables – (0.5)% | | ||||||||||||
Mohawk Industries, Inc.* | | | | | (300) | | | | | | (30,528) | | |
Independent Power and Renewable Electricity Producers – (0.4)% | | ||||||||||||
Vistra Energy Corp. | | | | | (1,356) | | | | | | (25,249) | | |
Industrial Conglomerates – (0.5)% | | ||||||||||||
General Electric Co. | | | | | (4,200) | | | | | | (28,686) | | |
Insurance – (3.4)% | | ||||||||||||
American Financial Group, Inc. | | | | | (456) | | | | | | (28,938) | | |
American International Group, Inc. | | | | | (908) | | | | | | (28,311) | | |
Cincinnati Financial Corp. | | | | | (468) | | | | | | (29,966) | | |
Lincoln National Corp. | | | | | (724) | | | | | | (26,636) | | |
Prudential Financial, Inc. | | | | | (452) | | | | | | (27,527) | | |
Reinsurance Group of America, Inc. | | | | | (304) | | | | | | (23,846) | | |
Unum Group | | | | | (1,804) | | | | | | (29,928) | | |
| | | | | | | | | | | (195,152) | | |
Interactive Media & Services – (0.9)% | | ||||||||||||
Cargurus, Inc.* | | | | | (1,060) | | | | | | (26,871) | | |
TripAdvisor, Inc. | | | | | (1,380) | | | | | | (26,234) | | |
| | | | | | | | | | | (53,105) | | |
Internet & Direct Marketing Retail – (1.1)% | | ||||||||||||
Expedia Group, Inc. | | | | | (356) | | | | | | (29,263) | | |
Qurate Retail, Inc., Series A* | | | | | (3,332) | | | | | | (31,654) | | |
| | | | | | | | | | | (60,917) | | |
IT Services – (3.5)% | | ||||||||||||
Alliance Data Systems Corp. | | | | | (580) | | | | | | (26,170) | | |
Cognizant Technology Solutions Corp., Class A | | | | | (520) | | | | | | (29,546) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
DXC Technology Co. | | | | | (1,868) | | | | | $ | (30,822) | | |
Euronet Worldwide, Inc.* | | | | | (292) | | | | | | (27,979) | | |
LiveRamp Holdings, Inc.* | | | | | (552) | | | | | | (23,444) | | |
Sabre Corp. | | | | | (3,872) | | | | | | (31,208) | | |
WEX, Inc.* | | | | | (188) | | | | | | (31,022) | | |
| | | | | | | | | | | (200,191) | | |
Life Sciences Tools & Services – (0.4)% | | ||||||||||||
Waters Corp.* | | | | | (140) | | | | | | (25,256) | | |
Machinery – (2.7)% | | ||||||||||||
Crane Co. | | | | | (500) | | | | | | (29,730) | | |
Flowserve Corp. | | | | | (1,064) | | | | | | (30,345) | | |
Fortive Corp. | | | | | (452) | | | | | | (30,582) | | |
Middleby Corp. (The)* | | | | | (408) | | | | | | (32,208) | | |
Woodward, Inc. | | | | | (404) | | | | | | (31,330) | | |
| | | | | | | | | | | (154,195) | | |
Marine – (0.5)% | | ||||||||||||
Kirby Corp.* | | | | | (540) | | | | | | (28,922) | | |
Media – (1.9)% | | ||||||||||||
Discovery, Inc., Class C* | | | | | (1,412) | | | | | | (27,195) | | |
Omnicom Group, Inc. | | | | | (508) | | | | | | (27,737) | | |
TEGNA, Inc. | | | | | (2,352) | | | | | | (26,202) | | |
ViacomCBS, Inc. | | | | | (1,332) | | | | | | (31,062) | | |
| | | | | | | | | | | (112,196) | | |
Metals & Mining – (0.6)% | | ||||||||||||
Alcoa Corp.* | | | | | (3,000) | | | | | | (33,720) | | |
Mortgage Real Estate Investment Trusts (REITs) – (1.0)% | | ||||||||||||
Chimera Investment Corp. | | | | | (3,300) | | | | | | (31,713) | | |
New Residential Investment Corp. | | | | | (3,812) | | | | | | (28,323) | | |
| | | | | | | | | | | (60,036) | | |
Multiline Retail – (1.5)% | | ||||||||||||
Kohl’s Corp. | | | | | (1,424) | | | | | | (29,577) | | |
Macy’s, Inc. | | | | | (4,292) | | | | | | (29,529) | | |
Nordstrom, Inc. | | | | | (1,672) | | | | | | (25,899) | | |
| | | | | | | | | | | (85,005) | | |
Multi-Utilities – (0.5)% | | ||||||||||||
CenterPoint Energy, Inc. | | | | | (1,544) | | | | | | (28,827) | | |
Oil, Gas & Consumable Fuels – (2.2)% | | ||||||||||||
Diamondback Energy, Inc. | | | | | (652) | | | | | | (27,267) | | |
Marathon Oil Corp. | | | | | (5,036) | | | | | | (30,820) | | |
Occidental Petroleum Corp. | | | | | (2,108) | | | | | | (38,576) | | |
Targa Resources Corp. | | | | | (1,556) | | | | | | (31,229) | | |
| | | | | | | | | | | (127,892) | | |
Personal Products – (0.5)% | | ||||||||||||
Nu Skin Enterprises, Inc., Class A | | | | | (736) | | | | | | (28,137) | | |
Pharmaceuticals – (1.8)% | | ||||||||||||
Elanco Animal Health, Inc.* | | | | | (1,292) | | | | | | (27,713) | | |
Jazz Pharmaceuticals plc* | | | | | (232) | | | | | | (25,599) | | |
Nektar Therapeutics* | | | | | (1,288) | | | | | | (29,830) | | |
Pfizer, Inc. | | | | | (724) | | | | | | (23,675) | | |
| | | | | | | | | | | (106,817) | | |
Professional Services – (0.5)% | | ||||||||||||
Nielsen Holdings plc | | | | | (2,000) | | | | | | (29,720) | | |
Real Estate Management & Development – (0.5)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (536) | | | | | | (27,845) | | |
Road & Rail – (1.0)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (884) | | | | | | (29,181) | | |
Ryder System, Inc. | | | | | (808) | | | | | | (30,308) | | |
| | | | | | | | | | | (59,489) | | |
Semiconductors & Semiconductor Equipment – (1.6)% | | ||||||||||||
Cree, Inc.* | | | | | (528) | | | | | | (31,252) | | |
ON Semiconductor Corp.* | | | | | (1,676) | | | | | | (33,218) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Xilinx, Inc. | | | | | (304) | | | | | $ | (29,911) | | |
| | | | | | | | | | | (94,381) | | |
Software – (4.3)% | | ||||||||||||
Blackbaud, Inc. | | | | | (472) | | | | | | (26,942) | | |
CDK Global, Inc. | | | | | (712) | | | | | | (29,491) | | |
FireEye, Inc.* | | | | | (2,208) | | | | | | (26,882) | | |
New Relic, Inc.* | | | | | (420) | | | | | | (28,938) | | |
Nutanix, Inc., Class A* | | | | | (1,152) | | | | | | (27,308) | | |
PTC, Inc.* | | | | | (368) | | | | | | (28,627) | | |
Teradata Corp.* | | | | | (1,308) | | | | | | (27,206) | | |
Verint Systems, Inc.* | | | | | (608) | | | | | | (27,470) | | |
VMware, Inc., Class A* | | | | | (180) | | | | | | (27,875) | | |
| | | | | | | | | | | (250,739) | | |
Specialty Retail – (2.5)% | | ||||||||||||
American Eagle Outfitters, Inc. | | | | | (2,976) | | | | | | (32,438) | | |
Foot Locker, Inc. | | | | | (988) | | | | | | (28,810) | | |
Gap, Inc. (The) | | | | | (3,024) | | | | | | (38,163) | | |
L Brands, Inc. | | | | | (1,700) | | | | | | (25,449) | | |
Ulta Beauty, Inc.* | | | | | (112) | | | | | | (22,783) | | |
| | | | | | | | | | | (147,643) | | |
Technology Hardware, Storage & Peripherals – (3.4)% | | ||||||||||||
Dell Technologies, Inc., Class C* | | | | | (560) | | | | | | (30,766) | | |
Hewlett Packard Enterprise Co. | | | | | (2,900) | | | | | | (28,217) | | |
HP, Inc. | | | | | (1,836) | | | | | | (32,002) | | |
NCR Corp.* | | | | | (1,520) | | | | | | (26,326) | | |
NetApp, Inc. | | | | | (624) | | | | | | (27,687) | | |
Pure Storage, Inc., Class A* | | | | | (1,544) | | | | | | (26,758) | | |
Xerox Holdings Corp. | | | | | (1,712) | | | | | | (26,176) | | |
| | | | | | | | | | | (197,932) | | |
Textiles, Apparel & Luxury Goods – (2.5)% | | ||||||||||||
Capri Holdings Ltd.* | | | | | (1,796) | | | | | | (28,072) | | |
Hanesbrands, Inc. | | | | | (2,780) | | | | | | (31,386) | | |
PVH Corp. | | | | | (596) | | | | | | (28,638) | | |
Tapestry, Inc. | | | | | (2,008) | | | | | | (26,666) | | |
Under Armour, Inc., Class A* | | | | | (3,116) | | | | | | (30,350) | | |
| | | | | | | | | | | (145,112) | | |
Thrifts & Mortgage Finance – (0.5)% | | ||||||||||||
MGIC Investment Corp. | | | | | (3,416) | | | | | | (27,977) | | |
Tobacco – (0.5)% | | ||||||||||||
Altria Group, Inc. | | | | | (712) | | | | | | (27,946) | | |
Trading Companies & Distributors – (1.5)% | | ||||||||||||
Air Lease Corp. | | | | | (916) | | | | | | (26,830) | | |
HD Supply Holdings, Inc.* | | | | | (876) | | | | | | (30,353) | | |
Univar Solutions, Inc.* | | | | | (1,784) | | | | | | (30,078) | | |
| | | | | | | | | | | (87,261) | | |
TOTAL COMMON STOCKS (Proceeds $(5,549,064)) | | | | | | | | | | | (5,696,281) | | |
MASTER LIMITED PARTNERSHIPS – (0.5)% | | ||||||||||||
Oil, Gas & Consumable Fuels – (0.5)% | | ||||||||||||
Western Midstream Partners LP (Proceeds $(27,989)) | | | | | (3,000) | | | | | | (30,120) | | |
TOTAL SHORT POSITIONS (Proceeds $(5,577,053)) | | | | | | | | | | | (5,726,401) | | |
Total Investments – (5.6)% (Cost $(973,719)) | | | | | | | | | | | (328,078) | | |
Other Assets Less Liabilities – 105.6% | | | | | | | | | | | 6,138,987 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 5,810,909 | | |
|
Schedule of Investments
| Aggregate gross unrealized appreciation | | | | $ | 1,115,374 | | |
| Aggregate gross unrealized depreciation | | | | | (427,071) | | |
| Net unrealized appreciation | | | | $ | 688,303 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (928,666) | | |
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | ||||||||||||||||||
| USD562,169 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.66% | | | | | | Monthly | | | | Dow Jones U.S. High Momentum Total Return Index(6) | | | | $ | 138,273 | | | | | $ | — | | | | | $ | 138,273 | | |
| USD(388,677) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.24)% | | | | | | Monthly | | | | Dow Jones U.S. Low Momentum Total Return Index(7) | | | | | (50,558) | | | | | | 20,039(8) | | | | | | (30,519) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 87,715 | | | | | | | | | | | $ | 107,754 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Long Positions – 93.4% | | ||||||||||||
Common Stocks – 93.4% | | ||||||||||||
Aerospace & Defense – 0.9% | | ||||||||||||
Raytheon Technologies Corp.(a) | | | | | 51 | | | | | $ | 3,143 | | |
Textron, Inc. | | | | | 109 | | | | | | 3,587 | | |
| | | | | | | | | | | 6,730 | | |
Air Freight & Logistics – 0.5% | �� | ||||||||||||
FedEx Corp.(a) | | | | | 26 | | | | | | 3,646 | | |
Auto Components – 2.0% | | ||||||||||||
BorgWarner, Inc.(a) | | | | | 106 | | | | | | 3,742 | | |
Dana, Inc.(a) | | | | | 266 | | | | | | 3,242 | | |
Goodyear Tire & Rubber Co. (The)(a) | | | | | 437 | | | | | | 3,909 | | |
Lear Corp.(a) | | | | | 32 | | | | | | 3,489 | | |
| | | | | | | | | | | 14,382 | | |
Automobiles – 1.4% | | ||||||||||||
Ford Motor Co.(a) | | | | | 588 | | | | | | 3,575 | | |
General Motors Co.(a) | | | | | 128 | | | | | | 3,239 | | |
Harley-Davidson, Inc.(a) | | | | | 155 | | | | | | 3,684 | | |
| | | | | | | | | | | 10,498 | | |
Banks – 4.1% | | ||||||||||||
Associated Banc-Corp.(a) | | | | | 239 | | | | | | 3,270 | | |
Fifth Third Bancorp(a) | | | | | 171 | | | | | | 3,297 | | |
First Horizon National Corp.(a) | | | | | 355 | | | | | | 3,536 | | |
FNB Corp.(a) | | | | | 450 | | | | | | 3,375 | | |
Hancock Whitney Corp.(a) | | | | | 154 | | | | | | 3,265 | | |
Pinnacle Financial Partners, Inc.(a) | | | | | 83 | | | | | | 3,485 | | |
Popular, Inc.(a) | | | | | 85 | | | | | | 3,159 | | |
Sterling Bancorp | | | | | 271 | | | | | | 3,176 | | |
Valley National Bancorp | | | | | 421 | | | | | | 3,292 | | |
| | | | | | | | | | | 29,855 | | |
Beverages – 0.4% | | ||||||||||||
Molson Coors Beverage Co., Class B | | | | | 89 | | | | | | 3,058 | | |
Biotechnology – 1.8% | | ||||||||||||
Alexion Pharmaceuticals, Inc.*(a) | | | | | 29 | | | | | | 3,255 | | |
Biogen, Inc.*(a) | | | | | 11 | | | | | | 2,943 | | |
Gilead Sciences, Inc.(a) | | | | | 44 | | | | | | 3,385 | | |
United Therapeutics Corp.* | | | | | 29 | | | | | | 3,509 | | |
| | | | | | | | | | | 13,092 | | |
Building Products – 0.5% | | ||||||||||||
Owens Corning(a) | | | | | 64 | | | | | | 3,569 | | |
Capital Markets – 0.6% | | ||||||||||||
Invesco Ltd.(a) | | | | | 425 | | | | | | 4,573 | | |
Chemicals – 2.4% | | ||||||||||||
Chemours Co. (The)(a) | | | | | 249 | | | | | | 3,822 | | |
Eastman Chemical Co.(a) | | | | | 49 | | | | | | 3,413 | | |
LyondellBasell Industries NV, Class A(a) | | | | | 53 | | | | | | 3,483 | | |
Mosaic Co. (The)(a) | | | | | 275 | | | | | | 3,440 | | |
PolyOne Corp.(a) | | | | | 135 | | | | | | 3,541 | | |
| | | | | | | | | | | 17,699 | | |
Commercial Services & Supplies – 0.4% | | ||||||||||||
KAR Auction Services, Inc.(a) | | | | | 235 | | | | | | 3,234 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Communications Equipment – 1.7% | | ||||||||||||
CommScope Holding Co., Inc.*(a) | | | | | 329 | | | | | $ | 2,741 | | |
F5 Networks, Inc.*(a) | | | | | 23 | | | | | | 3,208 | | |
Juniper Networks, Inc.(a) | | | | | 139 | | | | | | 3,177 | | |
ViaSat, Inc.* | | | | | 80 | | | | | | 3,070 | | |
| | | | | | | | | | | 12,196 | | |
Construction & Engineering – 1.5% | | ||||||||||||
MasTec, Inc.*(a) | | | | | 85 | | | | | | 3,814 | | |
Quanta Services, Inc.(a) | | | | | 91 | | | | | | 3,570 | | |
Valmont Industries, Inc. | | | | | 29 | | | | | | 3,295 | | |
| | | | | | | | | | | 10,679 | | |
Consumer Finance – 0.9% | | ||||||||||||
Ally Financial, Inc.(a) | | | | | 189 | | | | | | 3,748 | | |
Navient Corp.(a) | | | | | 444 | | | | | | 3,121 | | |
| | | | | | | | | | | 6,869 | | |
Containers & Packaging – 1.4% | | ||||||||||||
Berry Global Group, Inc.*(a) | | | | | 74 | | | | | | 3,280 | | |
International Paper Co.(a) | | | | | 98 | | | | | | 3,450 | | |
Westrock Co. | | | | | 120 | | | | | | 3,391 | | |
| | | | | | | | | | | 10,121 | | |
Diversified Financial Services – 0.5% | | ||||||||||||
Equitable Holdings, Inc.(a) | | | | | 176 | | | | | | 3,395 | | |
Diversified Telecommunication Services – 0.9% | | ||||||||||||
AT&T, Inc. | | | | | 109 | | | | | | 3,295 | | |
CenturyLink, Inc.(a) | | | | | 348 | | | | | | 3,491 | | |
| | | | | | | | | | | 6,786 | | |
Electric Utilities – 1.7% | | ||||||||||||
Avangrid, Inc.(a) | | | | | 75 | | | | | | 3,148 | | |
Duke Energy Corp.(a) | | | | | 39 | | | | | | 3,116 | | |
Exelon Corp.(a) | | | | | 87 | | | | | | 3,157 | | |
PPL Corp.(a) | | | | | 119 | | | | | | 3,075 | | |
| | | | | | | | | | | 12,496 | | |
Electrical Equipment – 1.5% | | ||||||||||||
Acuity Brands, Inc.(a) | | | | | 39 | | | | | | 3,734 | | |
nVent Electric plc(a) | | | | | 184 | | | | | | 3,446 | | |
Regal Beloit Corp.(a) | | | | | 42 | | | | | | 3,668 | | |
| | | | | | | | | | | 10,848 | | |
Electronic Equipment, Instruments & Components – 3.8% | | ||||||||||||
Arrow Electronics, Inc.*(a) | | | | | 49 | | | | | | 3,366 | | |
Avnet, Inc.(a) | | | | | 124 | | | | | | 3,458 | | |
Belden, Inc.(a) | | | | | 99 | | | | | | 3,222 | | |
Corning, Inc.(a) | | | | | 148 | | | | | | 3,833 | | |
Jabil, Inc.(a) | | | | | 111 | | | | | | 3,561 | | |
SYNNEX Corp.(a) | | | | | 31 | | | | | | 3,713 | | |
TE Connectivity Ltd. | | | | | 41 | | | | | | 3,343 | | |
Vishay Intertechnology, Inc. | | | | | 207 | | | | | | 3,161 | | |
| | | | | | | | | | | 27,657 | | |
Energy Equipment & Services – 0.9% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 205 | | | | | | 3,155 | | |
TechnipFMC plc(a) | | | | | 456 | | | | | | 3,119 | | |
| | | | | | | | | | | 6,274 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Equity Real Estate Investment Trusts (REITs) – 7.5% | | ||||||||||||
Brixmor Property Group, Inc.(a) | | | | | 296 | | | | | $ | 3,795 | | |
EPR Properties(a) | | | | | 105 | | | | | | 3,479 | | |
Gaming and Leisure Properties, Inc.(a) | | | | | 97 | | | | | | 3,356 | | |
Kimco Realty Corp.(a) | | | | | 296 | | | | | | 3,800 | | |
National Health Investors, Inc.(a) | | | | | 60 | | | | | | 3,643 | | |
National Retail Properties, Inc.(a) | | | | | 106 | | | | | | 3,761 | | |
Paramount Group, Inc.(a) | | | | | 428 | | | | | | 3,300 | | |
Park Hotels & Resorts, Inc.(a) | | | | | 337 | | | | | | 3,333 | | |
Pebblebrook Hotel Trust(a) | | | | | 242 | | | | | | 3,306 | | |
Sabra Health Care REIT, Inc.(a) | | | | | 249 | | | | | | 3,593 | | |
Simon Property Group, Inc.(a) | | | | | 58 | | | | | | 3,966 | | |
Spirit Realty Capital, Inc.(a) | | | | | 118 | | | | | | 4,113 | | |
STORE Capital Corp. | | | | | 172 | | | | | | 4,095 | | |
VICI Properties, Inc. | | | | | 172 | | | | | | 3,473 | | |
Weingarten Realty Investors | | | | | 185 | | | | | | 3,502 | | |
| | | | | | | | | | | 54,515 | | |
Food & Staples Retailing – 0.9% | | ||||||||||||
Kroger Co. (The)(a) | | | | | 104 | | | | | | 3,521 | | |
Walgreens Boots Alliance, Inc. | | | | | 80 | | | | | | 3,391 | | |
| | | | | | | | | | | 6,912 | | |
Food Products – 3.2% | | ||||||||||||
Conagra Brands, Inc.(a) | | | | | 98 | | | | | | 3,447 | | |
Darling Ingredients, Inc.*(a) | | | | | 145 | | | | | | 3,570 | | |
Ingredion, Inc.(a) | | | | | 40 | | | | | | 3,320 | | |
J M Smucker Co. (The)(a) | | | | | 30 | | | | | | 3,174 | | |
Kraft Heinz Co. (The)(a) | | | | | 110 | | | | | | 3,508 | | |
TreeHouse Foods, Inc.* | | | | | 63 | | | | | | 2,759 | | |
Tyson Foods, Inc., Class A | | | | | 55 | | | | | | 3,284 | | |
| | | | | | | | | | | 23,062 | | |
Gas Utilities – 0.9% | | ||||||||||||
National Fuel Gas Co.(a) | | | | | 81 | | | | | | 3,396 | | |
UGI Corp. | | | | | 107 | | | | | | 3,403 | | |
| | | | | | | | | | | 6,799 | | |
Health Care Providers & Services – 7.1% | | ||||||||||||
Acadia Healthcare Co., Inc.*(a) | | | | | 118 | | | | | | 2,964 | | |
AmerisourceBergen Corp.(a) | | | | | 35 | | | | | | 3,527 | | |
Anthem, Inc.(a) | | | | | 12 | | | | | | 3,156 | | |
Cardinal Health, Inc.(a) | | | | | 61 | | | | | | 3,184 | | |
Centene Corp.*(a) | | | | | 50 | | | | | | 3,178 | | |
Cigna Corp.(a) | | | | | 17 | | | | | | 3,190 | | |
CVS Health Corp.(a) | | | | | 51 | | | | | | 3,313 | | |
DaVita, Inc.*(a) | | | | | 42 | | | | | | 3,324 | | |
HCA Healthcare, Inc.(a) | | | | | 32 | | | | | | 3,106 | | |
Humana, Inc.(a) | | | | | 8 | | | | | | 3,102 | | |
Laboratory Corp. of America Holdings*(a) | | | | | 19 | | | | | | 3,156 | | |
McKesson Corp.(a) | | | | | 21 | | | | | | 3,222 | | |
MEDNAX, Inc.*(a) | | | | | 214 | | | | | | 3,659 | | |
Premier, Inc., Class A*(a) | | | | | 96 | | | | | | 3,291 | | |
Quest Diagnostics, Inc.(a) | | | | | 29 | | | | | | 3,305 | | |
Universal Health Services, Inc., Class B | | | | | 32 | | | | | | 2,972 | | |
| | | | | | | | | | | 51,649 | | |
Hotels, Restaurants & Leisure – 1.0% | | ||||||||||||
Carnival Corp. | | | | | 217 | | | | | | 3,563 | | |
Norwegian Cruise Line Holdings Ltd.*(a) | | | | | 217 | | | | | | 3,565 | | |
| | | | | | | | | | | 7,128 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Household Durables – 2.0% | | ||||||||||||
Lennar Corp., Class A(a) | | | | | 55 | | | | | $ | 3,389 | | |
Mohawk Industries, Inc.*(a) | | | | | 37 | | | | | | 3,765 | | |
Newell Brands, Inc.(a) | | | | | 252 | | | | | | 4,002 | | |
PulteGroup, Inc.(a) | | | | | 98 | | | | | | 3,335 | | |
| | | | | | | | | | | 14,491 | | |
Independent Power and Renewable Electricity Producers – 0.9% | | ||||||||||||
AES Corp. (The)(a) | | | | | 267 | | | | | | 3,869 | | |
Vistra Energy Corp. | | | | | 164 | | | | | | 3,053 | | |
| | | | | | | | | | | 6,922 | | |
Insurance – 5.1% | | ||||||||||||
American International Group, Inc.(a) | | | | | 110 | | | | | | 3,430 | | |
Assured Guaranty Ltd.(a) | | | | | 129 | | | | | | 3,149 | | |
Athene Holding Ltd., Class A*(a) | | | | | 115 | | | | | | 3,587 | | |
Brighthouse Financial, Inc.*(a) | | | | | 112 | | | | | | 3,116 | | |
CNO Financial Group, Inc.(a) | | | | | 234 | | | | | | 3,643 | | |
Lincoln National Corp.(a) | | | | | 88 | | | | | | 3,238 | | |
MetLife, Inc.(a) | | | | | 93 | | | | | | 3,396 | | |
Principal Financial Group, Inc.(a) | | | | | 87 | | | | | | 3,614 | | |
Prudential Financial, Inc.(a) | | | | | 55 | | | | | | 3,350 | | |
Reinsurance Group of America, Inc.(a) | | | | | 37 | | | | | | 2,902 | | |
Unum Group | | | | | 219 | | | | | | 3,633 | | |
| | | | | | | | | | | 37,058 | | |
Internet & Direct Marketing Retail – 0.5% | | ||||||||||||
Qurate Retail, Inc., Series A*(a) | | | | | 404 | | | | | | 3,838 | | |
IT Services – 4.2% | | ||||||||||||
Alliance Data Systems Corp.(a) | | | | | 71 | | | | | | 3,203 | | |
Amdocs Ltd.(a) | | | | | 54 | | | | | | 3,288 | | |
CACI International, Inc., Class A*(a) | | | | | 13 | | | | | | 2,819 | | |
Cognizant Technology Solutions Corp., Class A(a) | | | | | 63 | | | | | | 3,580 | | |
DXC Technology Co.(a) | | | | | 226 | | | | | | 3,729 | | |
International Business Machines Corp.(a) | | | | | 27 | | | | | | 3,261 | | |
KBR, Inc.(a) | | | | | 144 | | | | | | 3,247 | | |
Perspecta, Inc.(a) | | | | | 151 | | | | | | 3,508 | | |
WEX, Inc.* | | | | | 23 | | | | | | 3,795 | | |
| | | | | | | | | | | 30,430 | | |
Machinery – 2.8% | | ||||||||||||
AGCO Corp.(a) | | | | | 61 | | | | | | 3,383 | | |
Allison Transmission Holdings, Inc.(a) | | | | | 89 | | | | | | 3,274 | | |
Crane Co.(a) | | | | | 61 | | | | | | 3,627 | | |
Oshkosh Corp.(a) | | | | | 47 | | | | | | 3,366 | | |
Timken Co. (The) | | | | | 79 | | | | | | 3,594 | | |
Westinghouse Air Brake Technologies Corp. | | | | | 55 | | | | | | 3,166 | | |
| | | | | | | | | | | 20,410 | | |
Marine – 0.5% | | ||||||||||||
Kirby Corp.*(a) | | | | | 65 | | | | | | 3,481 | | |
Media – 2.8% | | ||||||||||||
Discovery, Inc., Class C*(a) | | | | | 171 | | | | | | 3,293 | | |
DISH Network Corp., Class A*(a) | | | | | 107 | | | | | | 3,693 | | |
Interpublic Group of Cos., Inc. (The)(a) | | | | | 197 | | | | | | 3,380 | | |
Nexstar Media Group, Inc., Class A(a) | | | | | 40 | | | | | | 3,348 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
TEGNA, Inc. | | | | | 285 | | | | | $ | 3,175 | | |
ViacomCBS, Inc. | | | | | 162 | | | | | | 3,778 | | |
| | | | | | | | | | | 20,667 | | |
Metals & Mining – 0.9% | | ||||||||||||
Reliance Steel & Aluminum Co.(a) | | | | | 35 | | | | | | 3,323 | | |
Steel Dynamics, Inc. | | | | | 128 | | | | | | 3,339 | | |
| | | | | | | | | | | 6,662 | | |
Mortgage Real Estate Investment Trusts (REITs) – 1.4% | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 257 | | | | | | 3,315 | | |
Annaly Capital Management, Inc.(a) | | | | | 530 | | | | | | 3,477 | | |
New Residential Investment Corp.(a) | | | | | 462 | | | | | | 3,433 | | |
| | | | | | | | | | | 10,225 | | |
Multiline Retail – 1.0% | | ||||||||||||
Kohl’s Corp.(a) | | | | | 173 | | | | | | 3,593 | | |
Macy’s, Inc.(a) | | | | | 520 | | | | | | 3,578 | | |
| | | | | | | | | | | 7,171 | | |
Multi-Utilities – 0.9% | | ||||||||||||
CenterPoint Energy, Inc.(a) | | | | | 187 | | | | | | 3,491 | | |
MDU Resources Group, Inc.(a) | | | | | 153 | | | | | | 3,394 | | |
| | | | | | | | | | | 6,885 | | |
Oil, Gas & Consumable Fuels – 2.2% | | ||||||||||||
Diamondback Energy, Inc.(a) | | | | | 79 | | | | | | 3,304 | | |
EQT Corp.(a) | | | | | 250 | | | | | | 2,975 | | |
Kinder Morgan, Inc.(a) | | | | | 215 | | | | | | 3,262 | | |
ONEOK, Inc.(a) | | | | | 92 | | | | | | 3,056 | | |
Williams Cos., Inc. (The) | | | | | 168 | | | | | | 3,195 | | |
| | | | | | | | | | | 15,792 | | |
Pharmaceuticals – 1.3% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 55 | | | | | | 3,234 | | |
Jazz Pharmaceuticals plc*(a) | | | | | 28 | | | | | | 3,089 | | |
Perrigo Co. plc(a) | | | | | 62 | | | | | | 3,427 | | |
| | | | | | | | | | | 9,750 | | |
Professional Services – 1.4% | | ||||||||||||
ASGN, Inc.*(a) | | | | | 54 | | | | | | 3,601 | | |
ManpowerGroup, Inc.(a) | | | | | 48 | | | | | | 3,300 | | |
Nielsen Holdings plc(a) | | | | | 243 | | | | | | 3,611 | | |
| | | | | | | | | | | 10,512 | | |
Real Estate Management & Development – 0.9% | | ||||||||||||
CBRE Group, Inc., Class A*(a) | | | | | 77 | | | | | | 3,482 | | |
Jones Lang LaSalle, Inc.(a) | | | | | 33 | | | | | | 3,414 | | |
| | | | | | | | | | | 6,896 | | |
Road & Rail – 0.9% | | ||||||||||||
AMERCO | | | | | 10 | | | | | | 3,022 | | |
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 80 | | | | | | 3,337 | | |
| | | | | | | | | | | 6,359 | | |
Semiconductors & Semiconductor Equipment – 1.5% | | ||||||||||||
Intel Corp.(a) | | | | | 53 | | | | | | 3,171 | | |
Micron Technology, Inc.*(a) | | | | | 71 | | | | | | 3,658 | | |
ON Semiconductor Corp.*(a) | | | | | 203 | | | | | | 4,023 | | |
| | | | | | | | | | | 10,852 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Software – 1.3% | | ||||||||||||
J2 Global, Inc.*(a) | | | | | 42 | | | | | $ | 2,655 | | |
SS&C Technologies Holdings, Inc. | | | | | 58 | | | | | | 3,276 | | |
Verint Systems, Inc.* | | | | | 74 | | | | | | 3,343 | | |
| | | | | | | | | | | 9,274 | | |
Specialty Retail – 2.7% | | ||||||||||||
Aaron’s, Inc.(a) | | | | | 90 | | | | | | 4,086 | | |
AutoNation, Inc.*(a) | | | | | 83 | | | | | | 3,119 | | |
Foot Locker, Inc.(a) | | | | | 120 | | | | | | 3,499 | | |
Gap, Inc. (The)(a) | | | | | 367 | | | | | | 4,632 | | |
Lithia Motors, Inc., Class A(a) | | | | | 28 | | | | | | 4,237 | | |
| | | | | | | | | | | 19,573 | | |
Technology Hardware, Storage & Peripherals – 2.7% | | ||||||||||||
Dell Technologies, Inc., Class C*(a) | | | | | 68 | | | | | | 3,736 | | |
Hewlett Packard Enterprise Co.(a) | | | | | 352 | | | | | | 3,425 | | |
NCR Corp.*(a) | | | | | 184 | | | | | | 3,187 | | |
Seagate Technology plc | | | | | 64 | | | | | | 3,098 | | |
Western Digital Corp. | | | | | 76 | | | | | | 3,355 | | |
Xerox Holdings Corp. | | | | | 207 | | | | | | 3,165 | | |
| | | | | | | | | | | 19,966 | | |
Textiles, Apparel & Luxury Goods – 1.4% | | ||||||||||||
Capri Holdings Ltd.*(a) | | | | | 218 | | | | | | 3,407 | | |
PVH Corp.(a) | | | | | 72 | | | | | | 3,460 | | |
Tapestry, Inc. | | | | | 243 | | | | | | 3,227 | | |
| | | | | | | | | | | 10,094 | | |
Thrifts & Mortgage Finance – 0.9% | | ||||||||||||
MGIC Investment Corp.(a) | | | | | 414 | | | | | | 3,390 | | |
Radian Group, Inc.(a) | | | | | 217 | | | | | | 3,366 | | |
| | | | | | | | | | | 6,756 | | |
Trading Companies & Distributors – 1.9% | | ||||||||||||
Air Lease Corp.(a) | | | | | 111 | | | | | | 3,251 | | |
GATX Corp.(a) | | | | | 53 | | | | | | 3,232 | | |
United Rentals, Inc.* | | | | | 24 | | | | | | 3,577 | | |
Univar Solutions, Inc.* | | | | | 216 | | | | | | 3,642 | | |
| | | | | | | | | | | 13,702 | | |
Transportation Infrastructure – 0.5% | | ||||||||||||
Macquarie Infrastructure Corp.(a) | | | | | 117 | | | | | | 3,591 | | |
Wireless Telecommunication Services – 0.4% | | ||||||||||||
Telephone and Data Systems, Inc. | | | | | 165 | | | | | | 3,280 | | |
TOTAL COMMON STOCKS | | | | ||||||||||
(Cost $831,553) | | | | | | | | | | | 682,359 | | |
TOTAL LONG POSITIONS | | | | ||||||||||
(Cost $831,553) | | | | | | | | | | | 682,359 | | |
SHORT POSITIONS – (94.3)% | | ||||||||||||
COMMON STOCKS – (94.3)% | | ||||||||||||
Aerospace & Defense – (2.9)% | | ||||||||||||
Axon Enterprise, Inc.* | | | | | (44) | | | | | | (4,318) | | |
Boeing Co. (The) | | | | | (23) | | | | | | (4,216) | | |
BWX Technologies, Inc. | | | | | (53) | | | | | | (3,002) | | |
HEICO Corp. | | | | | (33) | | | | | | (3,288) | | |
Teledyne Technologies, Inc.* | | | | | (9) | | | | | | (2,799) | | |
TransDigm Group, Inc. | | | | | (8) | | | | | | (3,536) | | |
| | | | | | | | | | | (21,159) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Automobiles – (0.6)% | | ||||||||||||
Tesla, Inc.* | | | | | (4) | | | | | $ | (4,319) | | |
Banks – (0.9)% | | ||||||||||||
First Citizens BancShares, Inc., Class A | | | | | (9) | | | | | | (3,645) | | |
First Financial Bankshares, Inc. | | | | | (111) | | | | | | (3,207) | | |
| | | | | | | | | | | (6,852) | | |
Beverages – (2.2)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (6) | | | | | | (3,220) | | |
Brown-Forman Corp., Class B | | | | | (51) | | | | | | (3,247) | | |
Coca-Cola Co. (The) | | | | | (72) | | | | | | (3,217) | | |
Monster Beverage Corp.* | | | | | (47) | | | | | | (3,258) | | |
PepsiCo, Inc. | | | | | (25) | | | | | | (3,306) | | |
| | | | | | | | | | | (16,248) | | |
Biotechnology – (6.3)% | | ||||||||||||
ACADIA Pharmaceuticals, Inc.* | | | | | (68) | | | | | | (3,296) | | |
Agios Pharmaceuticals, Inc.* | | | | | (66) | | | | | | (3,530) | | |
Allogene Therapeutics, Inc.* | | | | | (69) | | | | | | (2,955) | | |
Alnylam Pharmaceuticals, Inc.* | | | | | (25) | | | | | | (3,703) | | |
Blueprint Medicines Corp.* | | | | | (52) | | | | | | (4,056) | | |
Exact Sciences Corp.* | | | | | (40) | | | | | | (3,478) | | |
FibroGen, Inc.* | | | | | (97) | | | | | | (3,931) | | |
Immunomedics, Inc.* | | | | | (101) | | | | | | (3,579) | | |
Intercept Pharmaceuticals, Inc.* | | | | | (47) | | | | | | (2,252) | | |
Moderna, Inc.* | | | | | (58) | | | | | | (3,724) | | |
Sarepta Therapeutics, Inc.* | | | | | (22) | | | | | | (3,527) | | |
Seattle Genetics, Inc.* | | | | | (22) | | | | | | (3,738) | | |
Ultragenyx Pharmaceutical, Inc.* | | | | | (50) | | | | | | (3,911) | | |
| | | | | | | | | | | (45,680) | | |
Building Products – (1.5)% | | ||||||||||||
Allegion plc | | | | | (34) | | | | | | (3,475) | | |
Lennox International, Inc. | | | | | (16) | | | | | | (3,728) | | |
Trex Co., Inc.* | | | | | (28) | | | | | | (3,642) | | |
| | | | | | | | | | | (10,845) | | |
Capital Markets – (7.3)% | | ||||||||||||
Blackstone Group, Inc. (The), Class A | | | | | (59) | | | | | | (3,343) | | |
Cboe Global Markets, Inc. | | | | | (32) | | | | | | (2,985) | | |
CME Group, Inc. | | | | | (18) | | | | | | (2,926) | | |
FactSet Research Systems, Inc. | | | | | (11) | | | | | | (3,613) | | |
Interactive Brokers Group, Inc., Class A | | | | | (79) | | | | | | (3,300) | | |
Intercontinental Exchange, Inc. | | | | | (35) | | | | | | (3,206) | | |
Lazard Ltd., Class A | | | | | (124) | | | | | | (3,550) | | |
LPL Financial Holdings, Inc. | | | | | (47) | | | | | | (3,685) | | |
MarketAxess Holdings, Inc. | | | | | (7) | | | | | | (3,506) | | |
Moody’s Corp. | | | | | (13) | | | | | | (3,571) | | |
Morningstar, Inc. | | | | | (22) | | | | | | (3,101) | | |
MSCI, Inc. | | | | | (10) | | | | | | (3,338) | | |
Nasdaq, Inc. | | | | | (29) | | | | | | (3,465) | | |
S&P Global, Inc. | | | | | (10) | | | | | | (3,295) | | |
SEI Investments Co. | | | | | (62) | | | | | | (3,409) | | |
Tradeweb Markets, Inc., Class A | | | | | (51) | | | | | | (2,965) | | |
| | | | | | | | | | | (53,258) | | |
Chemicals – (2.7)% | | ||||||||||||
Air Products and Chemicals, Inc. | | | | | (14) | | | | | | (3,380) | | |
Ecolab, Inc. | | | | | (16) | | | | | | (3,183) | | |
NewMarket Corp. | | | | | (8) | | | | | | (3,204) | | |
Investments | | | Shares | | | Value ($) | | ||||||
RPM International, Inc. | | | | | (45) | | | | | $ | (3,378) | | |
Scotts Miracle-Gro Co. (The) | | | | | (23) | | | | | | (3,093) | | |
Sherwin-Williams Co. (The) | | | | | (6) | | | | | | (3,467) | | |
| | | | | | | | | | | (19,705) | | |
Commercial Services & Supplies – (2.3)% | | ||||||||||||
Cintas Corp. | | | | | (14) | | | | | | (3,729) | | |
Copart, Inc.* | | | | | (37) | | | | | | (3,081) | | |
IAA, Inc.* | | | | | (82) | | | | | | (3,163) | | |
MSA Safety, Inc. | | | | | (28) | | | | | | (3,204) | | |
Rollins, Inc. | | | | | (81) | | | | | | (3,434) | | |
| | | | | | | | | | | (16,611) | | |
Consumer Finance – (1.4)% | | ||||||||||||
American Express Co. | | | | | (35) | | | | | | (3,332) | | |
FirstCash, Inc. | | | | | (49) | | | | | | (3,306) | | |
LendingTree, Inc.* | | | | | (13) | | | | | | (3,764) | | |
| | | | | | | | | | | (10,402) | | |
Containers & Packaging – (0.9)% | | ||||||||||||
AptarGroup, Inc. | | | | | (30) | | | | | | (3,359) | | |
Ball Corp. | | | | | (47) | | | | | | (3,266) | | |
| | | | | | | | | | | (6,625) | | |
Distributors – (0.5)% | | ||||||||||||
Pool Corp. | | | | | (13) | | | | | | (3,534) | | |
Diversified Consumer Services – (1.0)% | | ||||||||||||
Bright Horizons Family Solutions, Inc.* | | | | | (30) | | | | | | (3,516) | | |
Chegg, Inc.* | | | | | (55) | | | | | | (3,699) | | |
| | | | | | | | | | | (7,215) | | |
Electric Utilities – (2.6)% | | ||||||||||||
Alliant Energy Corp. | | | | | (68) | | | | | | (3,253) | | |
Edison International | | | | | (57) | | | | | | (3,096) | | |
Eversource Energy | | | | | (40) | | | | | | (3,331) | | |
NextEra Energy, Inc. | | | | | (13) | | | | | | (3,122) | | |
Portland General Electric Co. | | | | | (72) | | | | | | (3,010) | | |
Xcel Energy, Inc. | | | | | (51) | | | | | | (3,188) | | |
| | | | | | | | | | | (19,000) | | |
Electrical Equipment – (0.4)% | | ||||||||||||
Rockwell Automation, Inc. | | | | | (15) | | | | | | (3,195) | | |
Entertainment – (1.4)% | | ||||||||||||
Live Nation Entertainment, Inc.* | | | | | (69) | | | | | | (3,059) | | |
Netflix, Inc.* | | | | | (8) | | | | | | (3,640) | | |
Roku, Inc.* | | | | | (31) | | | | | | (3,613) | | |
| | | | | | | | | | | (10,312) | | |
Equity Real Estate Investment Trusts (REITs) – (7.7)% | | ||||||||||||
American Tower Corp. | | | | | (13) | | | | | | (3,361) | | |
Americold Realty Trust | | | | | (94) | | | | | | (3,412) | | |
Apple Hospitality REIT, Inc. | | | | | (330) | | | | | | (3,188) | | |
CoreSite Realty Corp. | | | | | (27) | | | | | | (3,269) | | |
Crown Castle International Corp. | | | | | (20) | | | | | | (3,347) | | |
CyrusOne, Inc. | | | | | (45) | | | | | | (3,274) | | |
Digital Realty Trust, Inc. | | | | | (23) | | | | | | (3,269) | | |
Duke Realty Corp. | | | | | (96) | | | | | | (3,397) | | |
EastGroup Properties, Inc. | | | | | (28) | | | | | | (3,321) | | |
Equinix, Inc. | | | | | (5) | | | | | | (3,512) | | |
Equity LifeStyle Properties, Inc. | | | | | (53) | | | | | | (3,311) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Outfront Media, Inc. | | | | | (236) | | | | | $ | (3,344) | | |
Rexford Industrial Realty, Inc. | | | | | (84) | | | | | | (3,480) | | |
SBA Communications Corp. | | | | | (11) | | | | | | (3,277) | | |
Sun Communities, Inc. | | | | | (24) | | | | | | (3,256) | | |
Sunstone Hotel Investors, Inc. | | | | | (377) | | | | | | (3,073) | | |
UDR, Inc. | | | | | (88) | | | | | | (3,289) | | |
| | | | | | | | | | | (56,380) | | |
Food & Staples Retailing – (0.5)% | | ||||||||||||
Costco Wholesale Corp. | | | | | (11) | | | | | | (3,335) | | |
Food Products – (0.5)% | | ||||||||||||
McCormick & Co., Inc. (Non-Voting) | | | | | (19) | | | | | | (3,409) | | |
Gas Utilities – (0.4)% | | ||||||||||||
South Jersey Industries, Inc. | | | | | (120) | | | | | | (2,999) | | |
Health Care Equipment & Supplies – (2.0)% | | ||||||||||||
DexCom, Inc.* | | | | | (9) | | | | | | (3,649) | | |
IDEXX Laboratories, Inc.* | | | | | (11) | | | | | | (3,632) | | |
Insulet Corp.* | | | | | (18) | | | | | | (3,497) | | |
Penumbra, Inc.* | | | | | (20) | | | | | | (3,576) | | |
| | | | | | | | | | | (14,354) | | |
Health Care Providers & Services – (0.4)% | | ||||||||||||
Guardant Health, Inc.* | | | | | (38) | | | | | | (3,083) | | |
Health Care Technology – (1.0)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (19) | | | | | | (3,626) | | |
Veeva Systems, Inc., Class A* | | | | | (16) | | | | | | (3,751) | | |
| | | | | | | | | | | (7,377) | | |
Hotels, Restaurants & Leisure – (5.3)% | | ||||||||||||
Chipotle Mexican Grill, Inc.* | | | | | (3) | | | | | | (3,157) | | |
Churchill Downs, Inc. | | | | | (25) | | | | | | (3,329) | | |
Domino’s Pizza, Inc. | | | | | (9) | | | | | | (3,325) | | |
Hilton Worldwide Holdings, Inc. | | | | | (42) | | | | | | (3,085) | | |
Las Vegas Sands Corp. | | | | | (71) | | | | | | (3,233) | | |
Marriott International, Inc., Class A | | | | | (38) | | | | | | (3,258) | | |
McDonald’s Corp. | | | | | (18) | | | | | | (3,320) | | |
Planet Fitness, Inc., Class A* | | | | | (51) | | | | | | (3,089) | | |
Starbucks Corp. | | | | | (43) | | | | | | (3,164) | | |
Wendy’s Co. (The) | | | | | (156) | | | | | | (3,398) | | |
Wynn Resorts Ltd. | | | | | (41) | | | | | | (3,054) | | |
Yum! Brands, Inc. | | | | | (37) | | | | | | (3,216) | | |
| | | | | | | | | | | (38,628) | | |
Household Products – (0.9)% | | ||||||||||||
Clorox Co. (The) | | | | | (16) | | | | | | (3,510) | | |
Colgate-Palmolive Co. | | | | | (46) | | | | | | (3,370) | | |
| | | | | | | | | | | (6,880) | | |
Industrial Conglomerates – (0.5)% | | ||||||||||||
Roper Technologies, Inc. | | | | | (9) | | | | | | (3,494) | | |
Insurance – (3.8)% | | ||||||||||||
Aon plc, Class A | | | | | (17) | | | | | | (3,274) | | |
Arthur J Gallagher & Co. | | | | | (35) | | | | | | (3,412) | | |
Brown & Brown, Inc. | | | | | (83) | | | | | | (3,383) | | |
Enstar Group Ltd.* | | | | | (23) | | | | | | (3,514) | | |
Erie Indemnity Co., Class A | | | | | (19) | | | | | | (3,646) | | |
Marsh & McLennan Cos., Inc. | | | | | (32) | | | | | | (3,436) | | |
RLI Corp. | | | | | (43) | | | | | | (3,530) | | |
Investments | | | Shares | | | Value ($) | | ||||||
White Mountains Insurance Group Ltd. | | | | | (4) | | | | | $ | (3,552) | | |
| | | | | | | | | | | (27,747) | | |
Interactive Media & Services – (1.6)% | | ||||||||||||
IAC/interactivecorp* | | | | | (12) | | | | | | (3,881) | | |
Snap, Inc., Class A* | | | | | (177) | | | | | | (4,158) | | |
Zillow Group, Inc., Class C* | | | | | (58) | | | | | | (3,341) | | |
| | | | | | | | | | | (11,380) | | |
Internet & Direct Marketing Retail – (2.0)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (1) | | | | | | (2,759) | | |
Chewy, Inc., Class A* | | | | | (76) | | | | | | (3,396) | | |
Etsy, Inc.* | | | | | (42) | | | | | | (4,462) | | |
Wayfair, Inc., Class A* | | | | | (19) | | | | | | (3,755) | | |
| | | | | | | | | | | (14,372) | | |
IT Services – (2.4)% | | ||||||||||||
Mastercard, Inc., Class A | | | | | (11) | | | | | | (3,253) | | |
MongoDB, Inc.* | | | | | (15) | | | | | | (3,395) | | |
Okta, Inc.* | | | | | (17) | | | | | | (3,404) | | |
Square, Inc., Class A* | | | | | (41) | | | | | | (4,303) | | |
VeriSign, Inc.* | | | | | (15) | | | | | | (3,102) | | |
| | | | | | | | | | | (17,457) | | |
Life Sciences Tools & Services – (0.9)% | | ||||||||||||
Illumina, Inc.* | | | | | (9) | | | | | | (3,333) | | |
Repligen Corp.* | | | | | (26) | | | | | | (3,214) | | |
| | | | | | | | | | | (6,547) | | |
Machinery – (1.8)% | | ||||||||||||
Graco, Inc. | | | | | (69) | | | | | | (3,311) | | |
IDEX Corp. | | | | | (21) | | | | | | (3,319) | | |
Otis Worldwide Corp. | | | | | (65) | | | | | | (3,696) | | |
Toro Co. (The) | | | | | (47) | | | | | | (3,118) | | |
| | | | | | | | | | | (13,444) | | |
Media – (1.0)% | | ||||||||||||
Cable One, Inc. | | | | | (2) | | | | | | (3,550) | | |
New York Times Co. (The), Class A | | | | | (85) | | | | | | (3,572) | | |
| | | | | | | | | | | (7,122) | | |
Metals & Mining – (1.0)% | | ||||||||||||
Freeport-McMoRan, Inc. | | | | | (369) | | | | | | (4,269) | | |
Royal Gold, Inc. | | | | | (25) | | | | | | (3,108) | | |
| | | | | | | | | | | (7,377) | | |
Multi-Utilities – (0.4)% | | ||||||||||||
WEC Energy Group, Inc. | | | | | (37) | | | | | | (3,243) | | |
Oil, Gas & Consumable Fuels – (3.3)% | | ||||||||||||
Apache Corp. | | | | | (301) | | | | | | (4,063) | | |
Cheniere Energy, Inc.* | | | | | (77) | | | | | | (3,721) | | |
Chevron Corp. | | | | | (37) | | | | | | (3,302) | | |
Concho Resources, Inc. | | | | | (61) | | | | | | (3,141) | | |
ConocoPhillips | | | | | (79) | | | | | | (3,320) | | |
Hess Corp. | | | | | (71) | | | | | | (3,678) | | |
Valero Energy Corp. | | | | | (50) | | | | | | (2,941) | | |
| | | | | | | | | | | (24,166) | | |
Personal Products – (0.4)% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (17) | | | | | | (3,208) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Pharmaceuticals – (0.4)% | | ||||||||||||
Zoetis, Inc. | | | | | (24) | | | | | $ | (3,289) | | |
Professional Services – (1.9)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (5) | | | | | | (3,553) | | |
Equifax, Inc. | | | | | (22) | | | | | | (3,781) | | |
TransUnion | | | | | (39) | | | | | | (3,395) | | |
Verisk Analytics, Inc. | | | | | (19) | | | | | | (3,234) | | |
| | | | | | | | | | | (13,963) | | |
Road & Rail – (0.9)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (107) | | | | | | (3,532) | | |
Uber Technologies, Inc.* | | | | | (94) | | | | | | (2,922) | | |
| | | | | | | | | | | (6,454) | | |
Semiconductors & Semiconductor Equipment – (0.9)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (64) | | | | | | (3,367) | | |
Universal Display Corp. | | | | | (23) | | | | | | (3,441) | | |
| | | | | | | | | | | (6,808) | | |
Software – (13.6)% | | ||||||||||||
Adobe, Inc.* | | | | | (9) | | | | | | (3,918) | | |
Alteryx, Inc., Class A* | | | | | (24) | | | | | | (3,943) | | |
Anaplan, Inc.* | | | | | (73) | | | | | | (3,308) | | |
Autodesk, Inc.* | | | | | (16) | | | | | | (3,827) | | |
Avalara, Inc.* | | | | | (32) | | | | | | (4,259) | | |
Coupa Software, Inc.* | | | | | (15) | | | | | | (4,156) | | |
DocuSign, Inc.* | | | | | (24) | | | | | | (4,133) | | |
Elastic NV* | | | | | (39) | | | | | | (3,596) | | |
Fair Isaac Corp.* | | | | | (8) | | | | | | (3,344) | | |
HubSpot, Inc.* | | | | | (17) | | | | | | (3,814) | | |
Intuit, Inc. | | | | | (12) | | | | | | (3,554) | | |
Manhattan Associates, Inc.* | | | | | (38) | | | | | | (3,580) | | |
New Relic, Inc.* | | | | | (51) | | | | | | (3,514) | | |
Nutanix, Inc., Class A* | | | | | (140) | | | | | | (3,319) | | |
Paycom Software, Inc.* | | | | | (12) | | | | | | (3,717) | | |
Pegasystems, Inc. | | | | | (35) | | | | | | (3,541) | | |
RingCentral, Inc., Class A* | | | | | (12) | | | | | | (3,420) | | |
ServiceNow, Inc.* | | | | | (9) | | | | | | (3,645) | | |
Slack Technologies, Inc., Class A* | | | | | (97) | | | | | | (3,016) | | |
Smartsheet, Inc., Class A* | | | | | (60) | | | | | | (3,055) | | |
Splunk, Inc.* | | | | | (18) | | | | | | (3,577) | | |
Trade Desk, Inc. (The), Class A* | | | | | (11) | | | | | | (4,471) | | |
Tyler Technologies, Inc.* | | | | | (9) | | | | | | (3,122) | | |
Workday, Inc., Class A* | | | | | (18) | | | | | | (3,372) | | |
Zendesk, Inc.* | | | | | (39) | | | | | | (3,453) | | |
Zoom Video Communications, Inc., Class A* | | | | | (19) | | | | | | (4,817) | | |
Zscaler, Inc.* | | | | | (35) | | | | | | (3,832) | | |
| | | | | | | | | | | (99,303) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Specialty Retail – (1.1)% | | ||||||||||||
Carvana Co.* | | | | | (36) | | | | | $ | (4,327) | | |
Five Below, Inc.* | | | | | (32) | | | | | | (3,421) | | |
| | | | | | | | | | | (7,748) | | |
Textiles, Apparel & Luxury Goods – (0.9)% | | ||||||||||||
Lululemon Athletica, Inc.* | | | | | (11) | | | | | | (3,432) | | |
NIKE, Inc., Class B | | | | | (34) | | | | | | (3,334) | | |
| | | | | | | | | | | (6,766) | | |
Trading Companies & Distributors – (1.0)% | | ||||||||||||
Fastenal Co. | | | | | (82) | | | | | | (3,513) | | |
SiteOne Landscape Supply, Inc.* | | | | | (31) | | | | | | (3,533) | | |
| | | | | | | | | | | (7,046) | | |
Water Utilities – (0.9)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (26) | | | | | | (3,345) | | |
Essential Utilities, Inc. | | | | | (77) | | | | | | (3,253) | | |
| | | | | | | | | | | (6,598) | | |
TOTAL COMMON STOCKS | | | | ||||||||||
(Proceeds $(536,718)) | | | | | | | | | | | (688,937) | | |
TOTAL SHORT POSITIONS | | | | ||||||||||
(Proceeds $(536,718)) | | | | | | | | | | | (688,937) | | |
Total Investments – (0.9)% (Cost $294,835) | | | | | | | | | | | (6,578) | | |
Other Assets Less Liabilities – 100.9% | | | | | | | | | | | 736,984 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 730,406 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 64,828 | | |
| Aggregate gross unrealized depreciation | | | | | (394,140) | | |
| Net unrealized depreciation | | | | $ | (329,312) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 298,532 | | |
Schedule of Investments
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | ||||||||||||||||||
| 92,248 USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.56% | | | | | | Monthly | | | | Dow Jones U.S. Relative Value Total Return Index(6) | | | | $ | (15,893) | | | | | | — | | | | | | (15,893) | | |
| $(67,649) USD | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.24)% | | | | | | Monthly | | | | Dow Jones U.S. Short Relative Value Total Return Index(7) | | | | | (8,309) | | | | | | — | | | | | | (8,309) | | |
| | | | | | | | | | | | ��� | | | | | | | | | | | | | | | | | $ | (24,202) | | | | | | | | | | | $ | (24,202) | | |
Abbreviations | | | ||
USD | | | US Dollar | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 95.2% | | | | | | | | | | | | | |
COMMON STOCKS – 95.2% | | | | | | | | | | | | | |
Aerospace & Defense – 1.7% | | ||||||||||||
L3Harris Technologies, Inc.(a) | | | | | 4,611 | | | | | $ | 782,349 | | |
Lockheed Martin Corp.(a) | | | | | 2,385 | | | | | | 870,334 | | |
Mercury Systems, Inc.*(a) | | | | | 10,176 | | | | | | 800,444 | | |
Northrop Grumman Corp.(a) | | | | | 2,703 | | | | | | 831,010 | | |
| | | | | | | | | | | 3,284,137 | | |
Air Freight & Logistics – 2.0% | | ||||||||||||
CH Robinson Worldwide, Inc.(a) | | | | | 11,130 | | | | | | 879,938 | | |
Expeditors International of Washington, Inc.(a) | | | | | 11,925 | | | | | | 906,777 | | |
FedEx Corp.(a) | | | | | 6,996 | | | | | | 980,979 | | |
United Parcel Service, Inc., Class B | | | | | 9,063 | | | | | | 1,007,624 | | |
| | | | | | | | | | | 3,775,318 | | |
Auto Components – 0.5% | | ||||||||||||
Gentex Corp.(a) | | | | | 34,662 | | | | | | 893,240 | | |
Banks – 3.2% | | ||||||||||||
Bank of Hawaii Corp.(a) | | | | | 14,310 | | | | | | 878,777 | | |
Bank OZK | | | | | 40,704 | | | | | | 955,323 | | |
Commerce Bancshares, Inc.(a) | | | | | 14,469 | | | | | | 860,472 | | |
First Financial Bankshares, Inc.(a) | | | | | 30,210 | | | | | | 872,767 | | |
First Hawaiian, Inc.(a) | | | | | 52,947 | | | | | | 912,806 | | |
Glacier Bancorp, Inc.(a) | | | | | 22,260 | | | | | | 785,555 | | |
UMB Financial Corp. | | | | | 17,808 | | | | | | 918,002 | | |
| | | | | | | | | | | 6,183,702 | | |
Biotechnology – 4.9% | | ||||||||||||
Alexion Pharmaceuticals, Inc.*(a) | | | | | 7,791 | | | | | | 874,462 | | |
Alnylam Pharmaceuticals, Inc.*(a) | | | | | 6,837 | | | | | | 1,012,628 | | |
Amgen, Inc.(a) | | | | | 3,975 | | | | | | 937,544 | | |
Gilead Sciences, Inc.(a) | | | | | 12,084 | | | | | | 929,743 | | |
Moderna, Inc.*(a) | | | | | 15,741 | | | | | | 1,010,730 | | |
Neurocrine Biosciences, Inc.*(a) | | | | | 7,473 | | | | | | 911,706 | | |
Regeneron Pharmaceuticals, Inc.* | | | | | 1,590 | | | | | | 991,603 | | |
Seattle Genetics, Inc.* | | | | | 5,883 | | | | | | 999,639 | | |
United Therapeutics Corp.* | | | | | 7,791 | | | | | | 942,711 | | |
Vertex Pharmaceuticals, Inc.* | | | | | 3,180 | | | | | | 923,186 | | |
| | | | | | | | | | | 9,533,952 | | |
Building Products – 0.5% | | ||||||||||||
Lennox International, Inc.(a) | | | | | 4,293 | | | | | | 1,000,226 | | |
Capital Markets – 5.1% | | ||||||||||||
Bank of New York Mellon Corp. (The)(a) | | | | | 24,486 | | | | | | 946,384 | | |
Cboe Global Markets, Inc.(a) | | | | | 8,745 | | | | | | 815,734 | | |
Charles Schwab Corp. (The) | | | | | 25,599 | | | | | | 863,710 | | |
CME Group, Inc.(a) | | | | | 5,088 | | | | | | 827,004 | | |
Franklin Resources, Inc.(a) | | | | | 48,654 | | | | | | 1,020,274 | | |
Interactive Brokers Group, Inc., Class A(a) | | | | | 21,624 | | | | | | 903,234 | | |
Intercontinental Exchange, Inc.(a) | | | | | 9,540 | | | | | | 873,864 | | |
MarketAxess Holdings, Inc.(a) | | | | | 1,908 | | | | | | 955,755 | | |
Morningstar, Inc.(a) | | | | | 6,042 | | | | | | 851,741 | | |
MSCI, Inc.(a) | | | | | 2,862 | | | | | | 955,393 | | |
Tradeweb Markets, Inc., Class A | | | | | 13,992 | | | | | | 813,495 | | |
| | | | | | | | | | | 9,826,588 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Chemicals – 1.4% | | ||||||||||||
Air Products and Chemicals, Inc.(a) | | | | | 3,816 | | | | | $ | 921,412 | | |
NewMarket Corp.(a) | | | | | 2,067 | | | | | | 827,792 | | |
Olin Corp. | | | | | 75,525 | | | | | | 867,782 | | |
| | | | | | | | | | | 2,616,986 | | |
Commercial Services & Supplies – 1.9% | | ||||||||||||
Republic Services, Inc. | | | | | 10,653 | | | | | | 874,079 | | |
Rollins, Inc. | | | | | 22,260 | | | | | | 943,601 | | |
Tetra Tech, Inc. | | | | | 11,607 | | | | | | 918,346 | | |
Waste Management, Inc. | | | | | 8,427 | | | | | | 892,503 | | |
| | | | | | | | | | | 3,628,529 | | |
Communications Equipment – 1.4% | | ||||||||||||
Cisco Systems, Inc.(a) | | | | | 19,716 | | | | | | 919,554 | | |
Motorola Solutions, Inc.(a) | | | | | 6,837 | | | | | | 958,069 | | |
Ubiquiti, Inc. | | | | | 4,929 | | | | | | 860,406 | | |
| | | | | | | | | | | 2,738,029 | | |
Construction & Engineering – 0.5% | | ||||||||||||
Valmont Industries, Inc. | | | | | 7,950 | | | | | | 903,279 | | |
Containers & Packaging – 2.8% | | ||||||||||||
AptarGroup, Inc.(a) | | | | | 8,268 | | | | | | 925,851 | | |
Ball Corp.(a) | | | | | 12,879 | | | | | | 894,962 | | |
Packaging Corp. of America | | | | | 9,063 | | | | | | 904,487 | | |
Sealed Air Corp. | | | | | 28,779 | | | | | | 945,390 | | |
Silgan Holdings, Inc. | | | | | 27,189 | | | | | | 880,652 | | |
Sonoco Products Co. | | | | | 17,649 | | | | | | 922,866 | | |
| | | | | | | | | | | 5,474,208 | | |
Distributors – 0.5% | | ||||||||||||
Pool Corp. | | | | | 3,498 | | | | | | 951,001 | | |
Diversified Consumer Services – 2.3% | | ||||||||||||
frontdoor, Inc.*(a) | | | | | 20,034 | | | | | | 888,107 | | |
Graham Holdings Co., Class B(a) | | | | | 2,544 | | | | | | 871,753 | | |
Grand Canyon Education, Inc.*(a) | | | | | 9,381 | | | | | | 849,262 | | |
Service Corp. International | | | | | 23,373 | | | | | | 908,976 | | |
ServiceMaster Global Holdings, Inc.* | | | | | 28,461 | | | | | | 1,015,773 | | |
| | | | | | | | | | | 4,533,871 | | |
Diversified Financial Services – 0.5% | | ||||||||||||
Berkshire Hathaway, Inc., Class B*(a) | | | | | 4,929 | | | | | | 879,876 | | |
Diversified Telecommunication Services – 0.9% | | ||||||||||||
Liberty Global plc, Class C*(a) | | | | | 43,407 | | | | | | 933,685 | | |
Verizon Communications, Inc. | | | | | 16,377 | | | | | | 902,864 | | |
| | | | | | | | | | | 1,836,549 | | |
Electric Utilities – 1.3% | | ||||||||||||
Avangrid, Inc.(a) | | | | | 20,670 | | | | | | 867,727 | | |
Hawaiian Electric Industries, Inc.(a) | | | | | 23,055 | | | | | | 831,363 | | |
NextEra Energy, Inc.(a) | | | | | 3,657 | | | | | | 878,302 | | |
| | | | | | | | | | | 2,577,392 | | |
Electronic Equipment, Instruments & Components – 1.4% | | ||||||||||||
Cognex Corp.(a) | | | | | 16,059 | | | | | | 959,044 | | |
Keysight Technologies, Inc.*(a) | | | | | 8,586 | | | | | | 865,297 | | |
Zebra Technologies Corp., Class A* | | | | | 3,498 | | | | | | 895,313 | | |
| | | | | | | | | | | 2,719,654 | | |
Entertainment – 3.0% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 12,879 | | | | | | 977,516 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Electronic Arts, Inc.*(a) | | | | | 7,632 | | | | | $ | 1,007,806 | | |
Netflix, Inc.*(a) | | | | | 2,226 | | | | | | 1,012,919 | | |
Take-Two Interactive Software, Inc.* | | | | | 6,837 | | | | | | 954,240 | | |
World Wrestling Entertainment, Inc., Class A | | | | | 19,716 | | | | | | 856,660 | | |
Zynga, Inc., Class A* | | | | | 102,237 | | | | | | 975,341 | | |
| | | | | | | | | | | 5,784,482 | | |
Equity Real Estate Investment Trusts (REITs) – 7.9% | | ||||||||||||
American Tower Corp.(a) | | | | | 3,498 | | | | | | 904,373 | | |
Americold Realty Trust(a) | | | | | 25,440 | | | | | | 923,472 | | |
CoreSite Realty Corp.(a) | | | | | 7,314 | | | | | | 885,433 | | |
Crown Castle International Corp.(a) | | | | | 5,406 | | | | | | 904,694 | | |
CubeSmart(a) | | | | | 31,641 | | | | | | 853,991 | | |
CyrusOne, Inc.(a) | | | | | 12,402 | | | | | | 902,245 | | |
Digital Realty Trust, Inc.(a) | | | | | 6,360 | | | | | | 903,820 | | |
Equinix, Inc.(a) | | | | | 1,272 | | | | | | 893,326 | | |
Equity Commonwealth(a) | | | | | 26,871 | | | | | | 865,246 | | |
Equity LifeStyle Properties, Inc.(a) | | | | | 14,469 | | | | | | 904,023 | | |
Extra Space Storage, Inc.(a) | | | | | 9,381 | | | | | | 866,523 | | |
Healthcare Trust of America, Inc., Class A(a) | | | | | 34,344 | | | | | | 910,803 | | |
Lexington Realty Trust(a) | | | | | 93,810 | | | | | | 989,695 | | |
Public Storage | | | | | 4,452 | | | | | | 854,294 | | |
Rayonier, Inc. | | | | | 38,319 | | | | | | 949,928 | | |
SBA Communications Corp. | | | | | 2,862 | | | | | | 852,647 | | |
Sun Communities, Inc. | | | | | 6,678 | | | | | | 906,071 | | |
| | | | | | | | | | | 15,270,584 | | |
Food & Staples Retailing – 1.0% | | ||||||||||||
Kroger Co. (The)(a) | | | | | 28,302 | | | | | | 958,023 | | |
Sprouts Farmers Market, Inc.* | | | | | 36,252 | | | | | | 927,688 | | |
| | | | | | | | | | | 1,885,711 | | |
Food Products – 2.8% | | ||||||||||||
Flowers Foods, Inc.(a) | | | | | 38,955 | | | | | | 871,034 | | |
General Mills, Inc.(a) | | | | | 14,469 | | | | | | 892,014 | | |
Hain Celestial Group, Inc. (The)*(a) | | | | | 29,256 | | | | | | 921,857 | | |
Hormel Foods Corp.(a) | | | | | 18,921 | | | | | | 913,317 | | |
J M Smucker Co. (The) | | | | | 8,109 | | | | | | 858,013 | | |
Kellogg Co.(a) | | | | | 13,992 | | | | | | 924,311 | | |
| | | | | | | | | | | 5,380,546 | | |
Gas Utilities – 2.2% | | ||||||||||||
Atmos Energy Corp.(a) | | | | | 8,904 | | | | | | 886,660 | | |
National Fuel Gas Co.(a) | | | | | 21,942 | | | | | | 920,028 | | |
New Jersey Resources Corp.(a) | | | | | 26,076 | | | | | | 851,382 | | |
South Jersey Industries, Inc. | | | | | 32,595 | | | | | | 814,549 | | |
Spire, Inc. | | | | | 12,561 | | | | | | 825,383 | | |
| | | | | | | | | | | 4,298,002 | | |
Health Care Equipment & Supplies – 1.8% | | ||||||||||||
Baxter International, Inc.(a) | | | | | 10,176 | | | | | | 876,154 | | |
Becton Dickinson and Co.(a) | | | | | 3,816 | | | | | | 913,054 | | |
Globus Medical, Inc., Class A*(a) | | | | | 16,695 | | | | | | 796,519 | | |
ICU Medical, Inc.*(a) | | | | | 4,611 | | | | | | 849,853 | | |
| | | | | | | | | | | 3,435,580 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Amedisys, Inc.*(a) | | | | | 4,770 | | | | | | 947,036 | | |
Premier, Inc., Class A* | | | | | 26,076 | | | | | | 893,885 | | |
| | | | | | | | | | | 1,840,921 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Health Care Technology – 1.0% | | ||||||||||||
Teladoc Health, Inc.* | | | | | 5,247 | | | | | $ | 1,001,337 | | |
Veeva Systems, Inc., Class A* | | | | | 4,293 | | | | | | 1,006,365 | | |
| | | | | | | | | | | 2,007,702 | | |
Hotels, Restaurants & Leisure – 0.9% | | ||||||||||||
Domino’s Pizza, Inc.(a) | | | | | 2,385 | | | | | | 881,114 | | |
McDonald’s Corp.(a) | | | | | 4,929 | | | | | | 909,253 | | |
| | | | | | | | | | | 1,790,367 | | |
Household Durables – 1.0% | | ||||||||||||
Garmin Ltd.(a) | | | | | 10,017 | | | | | | 976,658 | | |
Helen of Troy Ltd.*(a) | | | | | 5,088 | | | | | | 959,393 | | |
| | | | | | | | | | | 1,936,051 | | |
Household Products – 1.0% | | ||||||||||||
Church & Dwight Co., Inc.(a) | | | | | 12,243 | | | | | | 946,384 | | |
Clorox Co. (The)(a) | | | | | 4,452 | | | | | | 976,635 | | |
| | | | | | | | | | | 1,923,019 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co.(a) | | | | | 5,883 | | | | | | 917,689 | | |
Roper Technologies, Inc. | | | | | 2,385 | | | | | | 926,000 | | |
| | | | | | | | | | | 1,843,689 | | |
Insurance – 4.9% | | ||||||||||||
Arthur J Gallagher & Co.(a) | | | | | 9,699 | | | | | | 945,556 | | |
Axis Capital Holdings Ltd.(a) | | | | | 24,168 | | | | | | 980,254 | | |
Brown & Brown, Inc.(a) | | | | | 22,737 | | | | | | 926,760 | | |
Erie Indemnity Co., Class A(a) | | | | | 5,247 | | | | | | 1,006,899 | | |
Everest Re Group Ltd. | | | | | 4,611 | | | | | | 950,788 | | |
Hanover Insurance Group, Inc. (The) | | | | | 9,063 | | | | | | 918,354 | | |
Progressive Corp. (The) | | | | | 11,766 | | | | | | 942,574 | | |
RLI Corp. | | | | | 11,607 | | | | | | 952,935 | | |
Selective Insurance Group, Inc. | | | | | 17,331 | | | | | | 914,037 | | |
White Mountains Insurance Group Ltd. | | | | | 954 | | | | | | 847,123 | | |
| | | | | | | | | | | 9,385,280 | | |
Interactive Media & Services – 0.5% | | ||||||||||||
Alphabet, Inc., Class C*(a) | | | | | 636 | | | | | | 899,056 | | |
Internet & Direct Marketing Retail – 1.0% | | ||||||||||||
Amazon.com, Inc.*(a) | | | | | 318 | | | | | | 877,305 | | |
eBay, Inc.(a) | | | | | 20,511 | | | | | | 1,075,802 | | |
| | | | | | | | | | | 1,953,107 | | |
IT Services – 3.4% | | ||||||||||||
Accenture plc, Class A(a) | | | | | 4,611 | | | | | | 990,074 | | |
Akamai Technologies, Inc.*(a) | | | | | 8,745 | | | | | | 936,502 | | |
Black Knight, Inc.*(a) | | | | | 11,925 | | | | | | 865,278 | | |
Booz Allen Hamilton Holding Corp.(a) | | | | | 11,607 | | | | | | 902,909 | | |
Broadridge Financial Solutions, Inc.(a) | | | | | 7,632 | | | | | | 963,082 | | |
MAXIMUS, Inc.(a) | | | | | 12,561 | | | | | | 884,922 | | |
Okta, Inc.* | | | | | 4,770 | | | | | | 955,097 | | |
| | | | | | | | | | | 6,497,864 | | |
Life Sciences Tools & Services – 0.9% | | ||||||||||||
Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 1,908 | | | | | | 861,443 | | |
Repligen Corp.* | | | | | 6,996 | | | | | | 864,775 | | |
| | | | | | | | | | | 1,726,218 | | |
Machinery – 1.4% | | ||||||||||||
Caterpillar, Inc.(a) | | | | | 7,632 | | | | | | 965,448 | | |
Graco, Inc.(a) | | | | | 18,921 | | | | | | 908,019 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Toro Co. (The) | | | | | 12,879 | | | | | $ | 854,393 | | |
| | | | | | | | | | | 2,727,860 | | |
Metals & Mining – 0.9% | | ||||||||||||
Newmont Corp.(a) | | | | | 15,264 | | | | | | 942,399 | | |
Royal Gold, Inc. | | | | | 6,678 | | | | | | 830,209 | | |
| | | | | | | | | | | 1,772,608 | | |
Multiline Retail – 1.9% | | ||||||||||||
Dollar General Corp.(a) | | | | | 4,770 | | | | | | 908,732 | | |
Dollar Tree, Inc.*(a) | | | | | 9,222 | | | | | | 854,695 | | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | 9,858 | | | | | | 962,634 | | |
Target Corp. | | | | | 7,473 | | | | | | 896,237 | | |
| | | | | | | | | | | 3,622,298 | | |
Multi-Utilities – 0.9% | | ||||||||||||
Consolidated Edison, Inc.(a) | | | | | 12,243 | | | | | | 880,639 | | |
Dominion Energy, Inc.(a) | | | | | 10,812 | | | | | | 877,718 | | |
| | | | | | | | | | | 1,758,357 | | |
Oil, Gas & Consumable Fuels – 3.2% | | ||||||||||||
Cabot Oil & Gas Corp.(a) | | | | | 46,269 | | | | | | 794,901 | | |
Cheniere Energy, Inc.*(a) | | | | | 20,988 | | | | | | 1,014,140 | | |
Concho Resources, Inc.(a) | | | | | 16,695 | | | | | | 859,793 | | |
ConocoPhillips(a) | | | | | 21,624 | | | | | | 908,641 | | |
Delek US Holdings, Inc.(a) | | | | | 46,110 | | | | | | 802,775 | | |
EOG Resources, Inc.(a) | | | | | 17,967 | | | | | | 910,208 | | |
EQT Corp.(a) | | | | | 68,211 | | | | | | 811,711 | | |
| | | | | | | | | | | 6,102,169 | | |
Pharmaceuticals – 1.4% | | ||||||||||||
Eli Lilly and Co.(a) | | | | | 6,042 | | | | | | 991,975 | | |
Johnson & Johnson(a) | | | | | 6,201 | | | | | | 872,047 | | |
Merck & Co., Inc.(a) | | | | | 11,448 | | | | | | 885,274 | | |
| | | | | | | | | | | 2,749,296 | | |
Professional Services – 1.4% | | ||||||||||||
FTI Consulting, Inc.*(a) | | | | | 7,473 | | | | | | 856,032 | | |
Nielsen Holdings plc(a) | | | | | 66,144 | | | | | | 982,900 | | |
Verisk Analytics, Inc. | | | | | 5,247 | | | | | | 893,039 | | |
| | | | | | | | | | | 2,731,971 | | |
Road & Rail – 1.9% | | ||||||||||||
JB Hunt Transport Services, Inc.(a) | | | | | 7,632 | | | | | | 918,435 | | |
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 21,783 | | | | | | 908,569 | | |
Landstar System, Inc.(a) | | | | | 7,791 | | | | | | 875,007 | | |
Old Dominion Freight Line, Inc. | | | | | 5,406 | | | | | | 916,804 | | |
| | | | | | | | | | | 3,618,815 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Texas Instruments, Inc. | | | | | 7,791 | | | | | | 989,223 | | |
Xilinx, Inc. | | | | | 10,017 | | | | | | 985,573 | | |
| | | | | | | | | | | 1,974,796 | | |
Software – 8.6% | | ||||||||||||
Adobe, Inc.*(a) | | | | | 2,385 | | | | | | 1,038,214 | | |
Autodesk, Inc.*(a) | | | | | 4,452 | | | | | | 1,064,874 | | |
Blackbaud, Inc.(a) | | | | | 15,741 | | | | | | 898,496 | | |
Citrix Systems, Inc.(a) | | | | | 6,201 | | | | | | 917,190 | | |
Coupa Software, Inc.*(a) | | | | | 3,975 | | | | | | 1,101,234 | | |
DocuSign, Inc.*(a) | | | | | 6,678 | | | | | | 1,150,018 | | |
Dropbox, Inc., Class A*(a) | | | | | 40,863 | | | | | | 889,588 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Fortinet, Inc.*(a) | | | | | 6,519 | | | | | $ | 894,863 | | |
Guidewire Software, Inc.*(a) | | | | | 8,904 | | | | | | 987,009 | | |
NortonLifeLock, Inc.(a) | | | | | 41,976 | | | | | | 832,384 | | |
Oracle Corp. | | | | | 17,013 | | | | | | 940,309 | | |
RingCentral, Inc., Class A* | | | | | 3,339 | | | | | | 951,648 | | |
Smartsheet, Inc., Class A* | | | | | 16,218 | | | | | | 825,821 | | |
Teradata Corp.* | | | | | 43,248 | | | | | | 899,558 | | |
Tyler Technologies, Inc.* | | | | | 2,385 | | | | | | 827,309 | | |
Zoom Video Communications, Inc., Class A* | | | | | 5,247 | | | | | | 1,330,324 | | |
Zscaler, Inc.* | | | | | 9,540 | | | | | | 1,044,630 | | |
| | | | | | | | | | | 16,593,469 | | |
Specialty Retail – 1.5% | | ||||||||||||
Murphy USA, Inc.*(a) | | | | | 7,950 | | | | | | 895,091 | | |
O’Reilly Automotive, Inc.* | | | | | 2,226 | | | | | | 938,637 | | |
Tractor Supply Co. | | | | | 7,473 | | | | | | 984,867 | | |
| | | | | | | | | | | 2,818,595 | | |
Textiles, Apparel & Luxury Goods – 1.5% | | ||||||||||||
Columbia Sportswear Co.(a) | | | | | 12,402 | | | | | | 999,353 | | |
Hanesbrands, Inc.(a) | | | | | 91,902 | | | | | | 1,037,574 | | |
Lululemon Athletica, Inc.*(a) | | | | | 3,021 | | | | | | 942,582 | | |
| | | | | | | | | | | 2,979,509 | | |
Thrifts & Mortgage Finance – 0.5% | | ||||||||||||
New York Community Bancorp, Inc.(a) | | | | | 90,789 | | | | | | 926,048 | | |
Trading Companies & Distributors – 1.0% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A(a) | | | | | 13,197 | | | | | | 960,873 | | |
Watsco, Inc. | | | | | 5,088 | | | | | | 904,138 | | |
| | | | | | | | | | | 1,865,011 | | |
TOTAL COMMON STOCKS (Cost $182,913,788) | | | | | | | | | | | 183,455,518 | | |
TOTAL LONG POSITIONS (Cost $182,913,788) | | | | | | | | | | | 183,455,518 | | |
SHORT POSITIONS – (100.1)% | | ||||||||||||
COMMON STOCKS – (100.1)% | | ||||||||||||
Aerospace & Defense – (2.1)% | | ||||||||||||
Boeing Co. (The) | | | | | (6,519) | | | | | | (1,194,933) | | |
Raytheon Technologies Corp. | | | | | (14,310) | | | | | | (881,782) | | |
Spirit AeroSystems Holdings, Inc., Class A | | | | | (42,453) | | | | | | (1,016,325) | | |
Textron, Inc. | | | | | (30,528) | | | | | | (1,004,676) | | |
| | | | | | | | | | | (4,097,716) | | |
Air Freight & Logistics – (0.5)% | | ||||||||||||
XPO Logistics, Inc.* | | | | | (11,766) | | | | | | (908,923) | | |
Airlines – (2.2)% | | ||||||||||||
Alaska Air Group, Inc. | | | | | (27,348) | | | | | | (991,638) | | |
Delta Air Lines, Inc. | | | | | (37,365) | | | | | | (1,048,088) | | |
JetBlue Airways Corp.* | | | | | (93,174) | | | | | | (1,015,597) | | |
United Airlines Holdings, Inc.* | | | | | (33,231) | | | | | | (1,150,125) | | |
| | | | | | | | | | | (4,205,448) | | |
Auto Components – (0.5)% | | ||||||||||||
Aptiv plc | | | | | (12,561) | | | | | | (978,753) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Automobiles – (0.6)% | | ||||||||||||
Thor Industries, Inc. | | | | | (10,812) | | | | | $ | (1,151,802) | | |
Banks – (3.5)% | | ||||||||||||
Citigroup, Inc. | | | | | (19,398) | | | | | | (991,238) | | |
Citizens Financial Group, Inc. | | | | | (38,796) | | | | | | (979,211) | | |
Fifth Third Bancorp | | | | | (47,700) | | | | | | (919,656) | | |
Hancock Whitney Corp. | | | | | (43,089) | | | | | | (913,487) | | |
PacWest Bancorp | | | | | (54,219) | | | | | | (1,068,656) | | |
Sterling Bancorp | | | | | (75,843) | | | | | | (888,880) | | |
TCF Financial Corp. | | | | | (32,595) | | | | | | (958,945) | | |
| | | | | | | | | | | (6,720,073) | | |
Beverages – (1.0)% | | ||||||||||||
Constellation Brands, Inc., Class A | | | | | (5,406) | | | | | | (945,780) | | |
Monster Beverage Corp.* | | | | | (13,038) | | | | | | (903,794) | | |
| | | | | | | | | | | (1,849,574) | | |
Biotechnology – (1.4)% | | ||||||||||||
FibroGen, Inc.* | | | | | (27,030) | | | | | | (1,095,526) | | |
Immunomedics, Inc.* | | | | | (28,143) | | | | | | (997,388) | | |
Intercept Pharmaceuticals, Inc.* | | | | | (13,038) | | | | | | (624,650) | | |
| | | | | | | | | | | (2,717,564) | | |
Building Products – (0.5)% | | ||||||||||||
Fortune Brands Home & Security, Inc. | | | | | (15,423) | | | | | | (985,992) | | |
Capital Markets – (1.0)% | | ||||||||||||
Ameriprise Financial, Inc. | | | | | (6,678) | | | | | | (1,001,967) | | |
Evercore, Inc., Class A | | | | | (16,854) | | | | | | (993,038) | | |
| | | | | | | | | | | (1,995,005) | | |
Chemicals – (2.5)% | | ||||||||||||
Cabot Corp. | | | | | (25,917) | | | | | | (960,225) | | |
Chemours Co. (The) | | | | | (69,483) | | | | | | (1,066,564) | | |
Eastman Chemical Co. | | | | | (13,674) | | | | | | (952,257) | | |
Ingevity Corp.* | | | | | (17,649) | | | | | | (927,808) | | |
LyondellBasell Industries NV, Class A | | | | | (14,787) | | | | | | (971,802) | | |
| | | | | | | | | | | (4,878,656) | | |
Commercial Services & Supplies – (0.4)% | | ||||||||||||
Cimpress plc* | | | | | (10,176) | | | | | | (776,836) | | |
Communications Equipment – (0.8)% | | ||||||||||||
CommScope Holding Co., Inc.* | | | | | (91,743) | | | | | | (764,219) | | |
ViaSat, Inc.* | | | | | (22,419) | | | | | | (860,217) | | |
| | | | | | | | | | | (1,624,436) | | |
Construction & Engineering – (0.5)% | | ||||||||||||
Fluor Corp. | | | | | (79,028) | | | | | | (954,658) | | |
Construction Materials – (0.5)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (13,833) | | | | | | (971,353) | | |
Consumer Finance – (2.0)% | | ||||||||||||
Ally Financial, Inc. | | | | | (52,947) | | | | | | (1,049,939) | | |
Capital One Financial Corp. | | | | | (13,833) | | | | | | (865,808) | | |
Discover Financial Services | | | | | (19,398) | | | | | | (971,646) | | |
Synchrony Financial | | | | | (45,633) | | | | | | (1,011,227) | | |
| | | | | | | | | | | (3,898,620) | | |
Diversified Financial Services – (0.5)% | | ||||||||||||
Equitable Holdings, Inc. | | | | | (48,972) | | | | | | (944,670) | | |
Diversified Telecommunication Services – (0.5)% | | ||||||||||||
Liberty Latin America Ltd., Class C* | | | | | (97,467) | | | | | | (920,088) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Electric Utilities – (2.3)% | | ||||||||||||
Entergy Corp. | | | | | (9,063) | | | | | $ | (850,200) | | |
NRG Energy, Inc. | | | | | (26,076) | | | | | | (849,034) | | |
OGE Energy Corp. | | | | | (29,733) | | | | | | (902,694) | | |
PNM Resources, Inc. | | | | | (22,896) | | | | | | (880,122) | | |
PPL Corp. | | | | | (33,390) | | | | | | (862,798) | | |
| | | | | | | | | | | (4,344,848) | | |
Electrical Equipment – (0.5)% | | ||||||||||||
nVent Electric plc | | | | | (51,516) | | | | | | (964,895) | | |
Electronic Equipment, Instruments & Components – (2.4)% | | ||||||||||||
Belden, Inc. | | | | | (27,666) | | | | | | (900,528) | | |
CDW Corp. | | | | | (8,427) | | | | | | (979,049) | | |
Coherent, Inc.* | | | | | (6,519) | | | | | | (853,859) | | |
FLIR Systems, Inc. | | | | | (20,511) | | | | | | (832,131) | | |
Jabil, Inc. | | | | | (31,005) | | | | | | (994,640) | | |
| | | | | | | | | | | (4,560,207) | | |
Energy Equipment & Services – (1.0)% | | ||||||||||||
Halliburton Co. | | | | | (80,772) | | | | | | (1,048,420) | | |
Helmerich & Payne, Inc. | | | | | (47,382) | | | | | | (924,423) | | |
| | | | | | | | | | | (1,972,843) | | |
Entertainment – (0.8)% | | ||||||||||||
Cinemark Holdings, Inc. | | | | | (61,692) | | | | | | (712,543) | | |
Live Nation Entertainment, Inc.* | | | | | (19,080) | | | | | | (845,816) | | |
| | | | | | | | | | | (1,558,359) | | |
Equity Real Estate Investment Trusts (REITs) – (8.0)% | | ||||||||||||
Apple Hospitality REIT, Inc. | | | | | (92,220) | | | | | | (890,845) | | |
Colony Capital, Inc. | | | | | (452,991) | | | | | | (1,087,178) | | |
EPR Properties | | | | | (29,415) | | | | | | (974,519) | | |
Gaming and Leisure Properties, Inc. | | | | | (27,030) | | | | | | (935,238) | | |
Hudson Pacific Properties, Inc. | | | | | (36,570) | | | | | | (920,101) | | |
Lamar Advertising Co., Class A | | | | | (13,992) | | | | | | (934,106) | | |
National Health Investors, Inc. | | | | | (16,695) | | | | | | (1,013,720) | | |
Outfront Media, Inc. | | | | | (65,985) | | | | | | (935,007) | | |
Park Hotels & Resorts, Inc. | | | | | (94,128) | | | | | | (930,926) | | |
Pebblebrook Hotel Trust | | | | | (67,416) | | | | | | (920,903) | | |
RLJ Lodging Trust | | | | | (88,881) | | | | | | (839,037) | | |
Sabra Health Care REIT, Inc. | | | | | (69,483) | | | | | | (1,002,640) | | |
Simon Property Group, Inc. | | | | | (16,059) | | | | | | (1,098,114) | | |
Ventas, Inc. | | | | | (26,871) | | | | | | (984,016) | | |
Vornado Realty Trust | | | | | (25,599) | | | | | | (978,138) | | |
Weyerhaeuser Co. | | | | | (45,315) | | | | | | (1,017,775) | | |
| | | | | | | | | | | (15,462,263) | | |
Food & Staples Retailing – (1.5)% | | ||||||||||||
Performance Food Group Co.* | | | | | (35,298) | | | | | | (1,028,584) | | |
Sysco Corp. | | | | | (16,854) | | | | | | (921,240) | | |
US Foods Holding Corp.* | | | | | (49,449) | | | | | | (975,134) | | |
| | | | | | | | | | | (2,924,958) | | |
Food Products – (1.0)% | | ||||||||||||
Darling Ingredients, Inc.* | | | | | (40,545) | | | | | | (998,218) | | |
Lamb Weston Holdings, Inc. | | | | | (15,582) | | | | | | (996,157) | | |
| | | | | | | | | | | (1,994,375) | | |
Health Care Equipment & Supplies – (2.3)% | | ||||||||||||
Align Technology, Inc.* | | | | | (3,816) | | | | | | (1,047,263) | | |
Intuitive Surgical, Inc.* | | | | | (1,590) | | | | | | (906,030) | | |
LivaNova plc* | | | | | (17,490) | | | | | | (841,794) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
NuVasive, Inc.* | | | | | (15,423) | | | | | $ | (858,444) | | |
Stryker Corp. | | | | | (4,770) | | | | | | (859,506) | | |
| | | | | | | | | | | (4,513,037) | | |
Health Care Providers & Services – (4.4)% | | ||||||||||||
Acadia Healthcare Co., Inc.* | | | | | (32,913) | | | | | | (826,774) | | |
Anthem, Inc. | | | | | (3,180) | | | | | | (836,276) | | |
Encompass Health Corp. | | | | | (12,720) | | | | | | (787,750) | | |
HCA Healthcare, Inc. | | | | | (8,904) | | | | | | (864,222) | | |
HealthEquity, Inc.* | | | | | (15,423) | | | | | | (904,867) | | |
Humana, Inc. | | | | | (2,385) | | | | | | (924,784) | | |
Laboratory Corp. of America Holdings* | | | | | (5,406) | | | | | | (897,991) | | |
Tenet Healthcare Corp.* | | | | | (44,043) | | | | | | (797,619) | | |
UnitedHealth Group, Inc. | | | | | (3,021) | | | | | | (891,044) | | |
Universal Health Services, Inc., Class B | | | | | (8,904) | | | | | | (827,093) | | |
| | | | | | | | | | | (8,558,420) | | |
Hotels, Restaurants & Leisure – (3.7)% | | ||||||||||||
Darden Restaurants, Inc. | | | | | (12,084) | | | | | | (915,605) | | |
Hilton Grand Vacations, Inc.* | | | | | (43,248) | | | | | | (845,498) | | |
Marriott Vacations Worldwide Corp. | | | | | (10,335) | | | | | | (849,640) | | |
MGM Resorts International | | | | | (55,173) | | | | | | (926,906) | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | (60,738) | | | | | | (997,925) | | |
Planet Fitness, Inc., Class A* | | | | | (14,310) | | | | | | (866,757) | | |
Royal Caribbean Cruises Ltd. | | | | | (18,285) | | | | | | (919,736) | | |
Wynn Resorts Ltd. | | | | | (11,289) | | | | | | (840,918) | | |
| | | | | | | | | | | (7,162,985) | | |
Household Durables – (1.6)% | | ||||||||||||
Mohawk Industries, Inc.* | | | | | (10,176) | | | | | | (1,035,510) | | |
Tempur Sealy International, Inc.* | | | | | (14,310) | | | | | | (1,029,604) | | |
Toll Brothers, Inc. | | | | | (28,461) | | | | | | (927,544) | | |
| | | | | | | | | | | (2,992,658) | | |
Household Products – (0.5)% | | ||||||||||||
Energizer Holdings, Inc. | | | | | (21,147) | | | | | | (1,004,271) | | |
Insurance – (5.4)% | | ||||||||||||
American Financial Group, Inc. | | | | | (15,423) | | | | | | (978,743) | | |
American International Group, Inc. | | | | | (30,846) | | | | | | (961,778) | | |
Assured Guaranty Ltd. | | | | | (35,934) | | | | | | (877,149) | | |
Athene Holding Ltd., Class A* | | | | | (32,277) | | | | | | (1,006,720) | | |
Brighthouse Financial, Inc.* | | | | | (31,323) | | | | | | (871,406) | | |
Lincoln National Corp. | | | | | (24,486) | | | | | | (900,840) | | |
Primerica, Inc. | | | | | (8,268) | | | | | | (964,049) | | |
Principal Financial Group, Inc. | | | | | (24,168) | | | | | | (1,003,939) | | |
Prudential Financial, Inc. | | | | | (15,264) | | | | | | (929,578) | | |
Reinsurance Group of America, Inc. | | | | | (10,335) | | | | | | (810,677) | | |
Unum Group | | | | | (61,056) | | | | | | (1,012,919) | | |
| | | | | | | | | | | (10,317,798) | | |
Interactive Media & Services – (1.6)% | | ||||||||||||
Snap, Inc., Class A* | | | | | (49,449) | | | | | | (1,161,557) | | |
TripAdvisor, Inc. | | | | | (46,746) | | | | | | (888,641) | | |
Zillow Group, Inc., Class C* | | | | | (16,218) | | | | | | (934,319) | | |
| | | | | | | | | | | (2,984,517) | | |
Internet & Direct Marketing Retail – (0.6)% | | ||||||||||||
Wayfair, Inc., Class A* | | | | | (5,406) | | | | | | (1,068,280) | | |
IT Services – (3.5)% | | ||||||||||||
DXC Technology Co. | | | | | (63,282) | | | | | | (1,044,153) | | |
Gartner, Inc.* | | | | | (7,632) | | | | | | (925,990) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Global Payments, Inc. | | | | | (5,247) | | | | | $ | (889,996) | | |
KBR, Inc. | | | | | (40,227) | | | | | | (907,119) | | |
Science Applications International Corp. | | | | | (10,494) | | | | | | (815,174) | | |
Square, Inc., Class A* | | | | | (11,448) | | | | | | (1,201,353) | | |
WEX, Inc.* | | | | | (6,360) | | | | | | (1,049,464) | | |
| | | | | | | | | | | (6,833,249) | | |
Leisure Products – (0.6)% | | ||||||||||||
Brunswick Corp. | | | | | (16,854) | | | | | | (1,078,825) | | |
Life Sciences Tools & Services – (1.9)% | | ||||||||||||
Charles River Laboratories International, Inc.* | | | | | (5,247) | | | | | | (914,814) | | |
IQVIA Holdings, Inc.* | | | | | (6,360) | | | | | | (902,357) | | |
PRA Health Sciences, Inc.* | | | | | (9,063) | | | | | | (881,739) | | |
Syneos Health, Inc.* | | | | | (15,582) | | | | | | (907,652) | | |
| | | | | | | | | | | (3,606,562) | | |
Machinery – (3.6)% | | ||||||||||||
Colfax Corp.* | | | | | (33,549) | | | | | | (936,017) | | |
Middleby Corp. (The)* | | | | | (13,833) | | | | | | (1,091,977) | | |
Parker-Hannifin Corp. | | | | | (5,247) | | | | | | (961,618) | | |
Stanley Black & Decker, Inc. | | | | | (7,473) | | | | | | (1,041,587) | | |
Timken Co. (The) | | | | | (22,101) | | | | | | (1,005,374) | | |
Westinghouse Air Brake Technologies Corp. | | | | | (15,423) | | | | | | (887,902) | | |
Woodward, Inc. | | | | | (13,674) | | | | | | (1,060,419) | | |
| | | | | | | | | | | (6,984,894) | | |
Media – (1.5)% | | ||||||||||||
Interpublic Group of Cos., Inc. (The) | | | | | (55,173) | | | | | | (946,769) | | |
Nexstar Media Group, Inc., Class A | | | | | (11,289) | | | | | | (944,776) | | |
ViacomCBS, Inc. | | | | | (45,156) | | | | | | (1,053,038) | | |
| | | | | | | | | | | (2,944,583) | | |
Metals & Mining – (2.3)% | | ||||||||||||
Alcoa Corp.* | | | | | (101,760) | | | | | | (1,143,782) | | |
Allegheny Technologies, Inc.* | | | | | (109,074) | | | | | | (1,111,464) | | |
Carpenter Technology Corp. | | | | | (40,227) | | | | | | (976,712) | | |
Freeport-McMoRan, Inc. | | | | | (103,191) | | | | | | (1,193,920) | | |
| | | | | | | | | | | (4,425,878) | | |
Mortgage Real Estate Investment Trusts (REITs) – (2.0)% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A | | | | | (38,955) | | | | | | (938,426) | | |
New Residential Investment Corp. | | | | | (129,108) | | | | | | (959,272) | | |
Starwood Property Trust, Inc. | | | | | (68,847) | | | | | | (1,029,951) | | |
Two Harbors Investment Corp. | | | | | (201,294) | | | | | | (1,014,522) | | |
| | | | | | | | | | | (3,942,171) | | |
Multiline Retail – (0.5)% | | ||||||||||||
Kohl’s Corp. | | | | | (48,336) | | | | | | (1,003,939) | | |
Multi-Utilities – (2.4)% | | ||||||||||||
Black Hills Corp. | | | | | (15,105) | | | | | | (855,849) | | |
CenterPoint Energy, Inc. | | | | | (52,311) | | | | | | (976,646) | | |
DTE Energy Co. | | | | | (8,745) | | | | | | (940,088) | | |
MDU Resources Group, Inc. | | | | | (42,771) | | | | | | (948,661) | | |
NorthWestern Corp. | | | | | (15,582) | | | | | | (849,531) | | |
| | | | | | | | | | | (4,570,775) | | |
Oil, Gas & Consumable Fuels – (2.6)% | | ||||||||||||
Apache Corp. | | | | | (84,270) | | | | | | (1,137,645) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Marathon Petroleum Corp. | | | | | (26,871) | | | | | $ | (1,004,438) | | |
Noble Energy, Inc. | | | | | (103,191) | | | | | | (924,591) | | |
ONEOK, Inc. | | | | | (25,758) | | | | | | (855,681) | | |
Targa Resources Corp. | | | | | (52,629) | | | | | | (1,056,264) | | |
| | | | | | | | | | | (4,978,619) | | |
Paper & Forest Products – (0.5)% | | ||||||||||||
Louisiana-Pacific Corp. | | | | | (38,955) | | | | | | (999,196) | | |
Personal Products – (1.1)% | | ||||||||||||
Coty, Inc., Class A | | | | | (246,450) | | | | | | (1,101,632) | | |
Nu Skin Enterprises, Inc., Class A | | | | | (24,963) | | | | | | (954,335) | | |
| | | | | | | | | | | (2,055,967) | | |
Pharmaceuticals – (0.5)% | | ||||||||||||
Elanco Animal Health, Inc.* | | | | | (43,725) | | | | | | (937,901) | | |
Professional Services – (1.3)% | | ||||||||||||
CoreLogic, Inc. | | | | | (18,921) | | | | | | (1,271,870) | | |
Insperity, Inc. | | | | | (18,126) | | | | | | (1,173,296) | | |
| | | | | | | | | | | (2,445,166) | | |
Real Estate Management & Development – (0.5)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (18,126) | | | | | | (941,646) | | |
Road & Rail – (0.5)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (30,051) | | | | | | (991,984) | | |
Semiconductors & Semiconductor Equipment – (4.9)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (17,808) | | | | | | (936,879) | | |
Applied Materials, Inc. | | | | | (16,695) | | | | | | (1,009,213) | | |
Lam Research Corp. | | | | | (3,498) | | | | | | (1,131,463) | | |
Microchip Technology, Inc. | | | | | (9,699) | | | | | | (1,021,402) | | |
Micron Technology, Inc.* | | | | | (19,716) | | | | | | (1,015,768) | | |
ON Semiconductor Corp.* | | | | | (56,763) | | | | | | (1,125,043) | | |
Skyworks Solutions, Inc. | | | | | (7,950) | | | | | | (1,016,487) | | |
Teradyne, Inc. | | | | | (14,151) | | | | | | (1,195,901) | | |
Universal Display Corp. | | | | | (6,360) | | | | | | (951,583) | | |
| | | | | | | | | | | (9,403,739) | | |
Software – (2.6)% | | ||||||||||||
Anaplan, Inc.* | | | | | (20,352) | | | | | | (922,149) | | |
Nutanix, Inc., Class A* | | | | | (39,114) | | | | | | (927,197) | | |
Paylocity Holding Corp.* | | | | | (7,314) | | | | | | (1,067,039) | | |
SS&C Technologies Holdings, Inc. | | | | | (16,218) | | | | | | (915,993) | | |
Trade Desk, Inc. (The), Class A* | | | | | (3,021) | | | | | | (1,228,037) | | |
| | | | | | | | | | | (5,060,415) | | |
Specialty Retail – (2.8)% | | ||||||||||||
Aaron’s, Inc. | | | | | (25,122) | | | | | | (1,140,539) | | |
Carvana Co.* | | | | | (10,176) | | | | | | (1,223,155) | | |
Dick’s Sporting Goods, Inc. | | | | | (26,076) | | | | | | (1,075,896) | | |
L Brands, Inc. | | | | | (57,558) | | | | | | (861,643) | | |
National Vision Holdings, Inc.* | | | | | (34,821) | | | | | | (1,062,737) | | |
| | | | | | | | | | | (5,363,970) | | |
Technology Hardware, Storage & Peripherals – (1.9)% | | ||||||||||||
NCR Corp.* | | | | | (51,516) | | | | | | (892,257) | | |
Pure Storage, Inc., Class A* | | | | | (52,311) | | | | | | (906,550) | | |
Western Digital Corp. | | | | | (21,306) | | | | | | (940,660) | | |
Xerox Holdings Corp. | | | | | (57,876) | | | | | | (884,924) | | |
| | | | | | | | | | | (3,624,391) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Textiles, Apparel & Luxury Goods – (1.5)% | | ||||||||||||
Capri Holdings Ltd.* | | | | | (60,897) | | | | | $ | (951,820) | | |
PVH Corp. | | | | | (20,193) | | | | | | (970,274) | | |
Tapestry, Inc. | | | | | (68,052) | | | | | | (903,730) | | |
| | | | | | | | | | | (2,825,824) | | |
Thrifts & Mortgage Finance – (0.5)% | | ||||||||||||
MGIC Investment Corp. | | | | | (115,752) | | | | | | (948,009) | | |
Trading Companies & Distributors – (1.5)% | | ||||||||||||
Air Lease Corp. | | | | | (31,005) | | | | | | (908,137) | | |
United Rentals, Inc.* | | | | | (6,678) | | | | | | (995,289) | | |
Univar Solutions, Inc.* | | | | | (60,420) | | | | | | (1,018,681) | | |
| | | | | | | | | | | (2,922,107) | | |
Transportation Infrastructure – (0.5)% | | ||||||||||||
Macquarie Infrastructure Corp. | | | | | (32,754) | | | | | | (1,005,220) | | |
TOTAL COMMON STOCKS (Proceeds $(202,722,922)) | | | | | | | | | | | (192,859,911) | | |
EXCHANGE TRADED FUNDS – 0.0%(b) | | ||||||||||||
SPDR S&P 500 ETF Trust | | | | | | | | | | | | | |
(Proceeds $(13,230)) | | | | | (44) | | | | | | (13,568) | | |
TOTAL SHORT POSITIONS (Proceeds $(202,736,152)) | | | | | | | | | | | (192,873,479) | | |
Total Investments – (4.9)% (Cost $(19,822,364)) | | | | | | | | | | | (9,417,961) | | |
Other Assets Less Liabilities – 104.9% | | | | | | | | | | | 202,172,644 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 192,754,683 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 19,996,422 | | |
| Aggregate gross unrealized depreciation | | | | | (14,242,310) | | |
| Net unrealized appreciation | | | | $ | 5,754,112 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (12,990,558) | | |
Schedule of Investments
| Notional Amount | | | Termination Date(1) | | | Counterparty | | | Rate Paid (Received)(2) | | | Payment Frequency | | | Underlying Instrument(3) | | | Value and Unrealized Appreciation/ (Depreciation)(4) | | | Cash Collateral (Received) Pledged | | | Net Amount(5) | | |||||||||||||||
| USD18,212,988 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.51% | | | | Monthly | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | $ | 638,847 | | | | | | — | | | | | $ | 638,847 | | |
| USD(16,448,499) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.24)% | | | | Monthly | | | Dow Jones U.S. High Beta Total Return Index(7) | | | | | 1,542,668 | | | | | | — | | | | | | 1,542,668 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,181,515 | | | | | | | | | | | $ | 2,181,515 | | |
Abbreviations | | | ||
USD | | | US Dollar | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Long Positions – 97.9% | | ||||||||||||
Common Stocks – 93.9% | | ||||||||||||
Air Freight & Logistics – 1.0% | | ||||||||||||
United Parcel Service, Inc., Class B | | | | | 273 | | | | | $ | 30,352 | | |
Automobiles – 1.0% | | ||||||||||||
General Motors Co.(a) | | | | | 1,188 | | | | | | 30,056 | | |
Banks – 6.8% | | ||||||||||||
Citizens Financial Group, Inc. | | | | | 1,197 | | | | | | 30,212 | | |
First Horizon National Corp. | | | | | 3,021 | | | | | | 30,089 | | |
Huntington Bancshares, Inc. | | | | | 3,360 | | | | | | 30,358 | | |
People’s United Financial, Inc. | | | | | 2,592 | | | | | | 29,989 | | |
Synovus Financial Corp. | | | | | 1,467 | | | | | | 30,118 | | |
TCF Financial Corp. | | | | | 1,014 | | | | | | 29,832 | | |
Wells Fargo & Co. | | | | | 1,170 | | | | | | 29,952 | | |
| | | | | | | | | | | 210,550 | | |
Beverages – 1.0% | | ||||||||||||
Molson Coors Beverage Co., Class B | | | | | 888 | | | | | | 30,512 | | |
Biotechnology – 1.0% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 306 | | | | | | 30,043 | | |
Chemicals – 1.9% | | ||||||||||||
CF Industries Holdings, Inc. | | | | | 1,068 | | | | | | 30,054 | | |
Eastman Chemical Co.(a) | | | | | 432 | | | | | | 30,084 | | |
| | | | | | | | | | | 60,138 | | |
Communications Equipment – 1.0% | | ||||||||||||
Juniper Networks, Inc.(a) | | | | | 1,311 | | | | | | 29,969 | | |
Containers & Packaging – 1.0% | | ||||||||||||
International Paper Co.(a) | | | | | 855 | | | | | | 30,105 | | |
Distributors – 1.0% | | ||||||||||||
Genuine Parts Co. | | | | | 348 | | | | | | 30,262 | | |
Diversified Consumer Services – 1.0% | | ||||||||||||
H&R Block, Inc.(a) | | | | | 2,103 | | | | | | 30,031 | | |
Diversified Telecommunication Services – 2.0% | | ||||||||||||
AT&T, Inc. | | | | | 999 | | | | | | 30,200 | | |
Verizon Communications, Inc. | | | | | 549 | | | | | | 30,266 | | |
| | | | | | | | | | | 60,466 | | |
Electric Utilities – 8.8% | | ||||||||||||
ALLETE, Inc. | | | | | 552 | | | | | | 30,145 | | |
Duke Energy Corp.(a) | | | | | 378 | | | | | | 30,199 | | |
Edison International(a) | | | | | 552 | | | | | | 29,979 | | |
Exelon Corp. | | | | | 831 | | | | | | 30,157 | | |
FirstEnergy Corp. | | | | | 780 | | | | | | 30,248 | | |
OGE Energy Corp. | | | | | 990 | | | | | | 30,056 | | |
Pinnacle West Capital Corp. | | | | | 411 | | | | | | 30,122 | | |
PPL Corp. | | | | | 1,176 | | | | | | 30,388 | | |
Southern Co. (The) | | | | | 582 | | | | | | 30,177 | | |
| | | | | | | | | | | 271,471 | | |
Electronic Equipment, Instruments & Components – 1.0% | | ||||||||||||
Corning, Inc. | | | | | 1,158 | | | | | | 29,992 | | |
Energy Equipment & Services – 1.0% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,965 | | | | | | 30,241 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Equity Real Estate Investment Trusts (REITs) – 12.6% | | ||||||||||||
Brixmor Property Group, Inc.(a) | | | | | 2,349 | | | | | $ | 30,114 | | |
Gaming and Leisure Properties, Inc. | | | | | 867 | | | | | | 29,998 | | |
Host Hotels & Resorts, Inc. | | | | | 2,766 | | | | | | 29,845 | | |
Iron Mountain, Inc.(a) | | | | | 1,155 | | | | | | 30,145 | | |
Kimco Realty Corp.(a) | | | | | 2,346 | | | | | | 30,123 | | |
National Retail Properties, Inc. | | | | | 843 | | | | | | 29,910 | | |
Omega Healthcare Investors, Inc. | | | | | 999 | | | | | | 29,700 | | |
STORE Capital Corp. | | | | | 1,254 | | | | | | 29,858 | | |
Ventas, Inc. | | | | | 822 | | | | | | 30,102 | | |
VEREIT, Inc. | | | | | 4,650 | | | | | | 29,900 | | |
Vornado Realty Trust | | | | | 783 | | | | | | 29,918 | | |
Weyerhaeuser Co. | | | | | 1,344 | | | | | | 30,186 | | |
WP Carey, Inc. | | | | | 444 | | | | | | 30,037 | | |
| | | | | | | | | | | 389,836 | | |
Food & Staples Retailing – 1.0% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 714 | | | | | | 30,266 | | |
Food Products – 1.0% | | ||||||||||||
Kellogg Co.(a) | | | | | 453 | | | | | | 29,925 | | |
Gas Utilities – 2.0% | | ||||||||||||
National Fuel Gas Co. | | | | | 729 | | | | | | 30,567 | | |
UGI Corp. | | | | | 945 | | | | | | 30,051 | | |
| | | | | | | | | | | 60,618 | | |
Hotels, Restaurants & Leisure – 1.0% | | ||||||||||||
Las Vegas Sands Corp. | | | | | 660 | | | | | | 30,056 | | |
Household Durables – 2.9% | | ||||||||||||
Leggett & Platt, Inc. | | | | | 855 | | | | | | 30,053 | | |
Newell Brands, Inc. | | | | | 1,899 | | | | | | 30,156 | | |
Whirlpool Corp. | | | | | 231 | | | | | | 29,922 | | |
| | | | | | | | | | | 90,131 | | |
Independent Power and Renewable Electricity Producers – 1.9% | | ||||||||||||
AES Corp. (The) | | | | | 2,076 | | | | | | 30,081 | | |
NextEra Energy Partners LP | | | | | 582 | | | | | | 29,845 | | |
| | | | | | | | | | | 59,926 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co. | | | | | 195 | | | | | | 30,418 | | |
Insurance – 1.9% | | ||||||||||||
Principal Financial Group, Inc. | | | | | 723 | | | | | | 30,034 | | |
Prudential Financial, Inc. | | | | | 498 | | | | | | 30,328 | | |
| | | | | | | | | | | 60,362 | | |
IT Services – 1.9% | | ||||||||||||
International Business Machines Corp.(a) | | | | | 249 | | | | | | 30,072 | | |
Western Union Co. (The) | | | | | 1,383 | | | | | | 29,900 | | |
| | | | | | | | | | | 59,972 | | |
Leisure Products – 1.0% | | ||||||||||||
Hasbro, Inc.(a) | | | | | 405 | | | | | | 30,355 | | |
Machinery – 1.0% | | ||||||||||||
Crane Co. | | | | | 504 | | | | | | 29,968 | | |
Media – 1.9% | | ||||||||||||
Interpublic Group of Cos., Inc. (The)(a) | | | | | 1,749 | | | | | | 30,013 | | |
Omnicom Group, Inc. | | | | | 552 | | | | | | 30,139 | | |
| | | | | | | | | | | 60,152 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Metals & Mining – 1.9% | | ||||||||||||
Nucor Corp. | | | | | 729 | | | | | $ | 30,188 | | |
Steel Dynamics, Inc. | | | | | 1,149 | | | | | | 29,977 | | |
| | | | | | | | | | | 60,165 | | |
Mortgage Real Estate Investment Trusts (REITs) – 1.9% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 1,245 | | | | | | 29,992 | | |
Starwood Property Trust, Inc. | | | | | 2,022 | | | | | | 30,249 | | |
| | | | | | | | | | | 60,241 | | |
Multi-Utilities – 4.9% | | ||||||||||||
Consolidated Edison, Inc.(a) | | | | | 420 | | | | | | 30,211 | | |
Dominion Energy, Inc. | | | | | 372 | | | | | | 30,199 | | |
MDU Resources Group, Inc. | | | | | 1,350 | | | | | | 29,943 | | |
NorthWestern Corp. | | | | | 549 | | | | | | 29,931 | | |
Public Service Enterprise Group, Inc. | | | | | 615 | | | | | | 30,233 | | |
| | | | | | | | | | | 150,517 | | |
Oil, Gas & Consumable Fuels – 9.9% | | ||||||||||||
Chevron Corp.(a) | | | | | 339 | | | | | | 30,249 | | |
ConocoPhillips | | | | | 723 | | | | | | 30,380 | | |
Exxon Mobil Corp. | | | | | 681 | | | | | | 30,454 | | |
HollyFrontier Corp.(a) | | | | | 1,053 | | | | | | 30,747 | | |
Kinder Morgan, Inc.(a) | | | | | 2,001 | | | | | | 30,355 | | |
Marathon Petroleum Corp. | | | | | 816 | | | | | | 30,502 | | |
ONEOK, Inc. | | | | | 915 | | | | | | 30,396 | | |
Phillips 66 | | | | | 423 | | | | | | 30,414 | | |
Valero Energy Corp. | | | | | 519 | | | | | | 30,528 | | |
Williams Cos., Inc. (The) | | | | | 1,602 | | | | | | 30,470 | | |
| | | | | | | | | | | 304,495 | | |
Pharmaceuticals – 1.0% | | ||||||||||||
Pfizer, Inc. | | | | | 924 | | | | | | 30,215 | | |
Professional Services – 1.0% | | ||||||||||||
ManpowerGroup, Inc. | | | | | 438 | | | | | | 30,113 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Broadcom, Inc.(a) | | | | | 96 | | | | | | 30,299 | | |
Specialty Retail – 1.0% | | ||||||||||||
Foot Locker, Inc.(a) | | | | | 1,029 | | | | | | 30,006 | | |
Technology Hardware, Storage & Peripherals – 3.9% | | ||||||||||||
Hewlett Packard Enterprise Co.(a) | | | | | 3,099 | | | | | | 30,153 | | |
HP, Inc. | | | | | 1,731 | | | | | | 30,171 | | |
NetApp, Inc. | | | | | 672 | | | | | | 29,817 | | |
Western Digital Corp. | | | | | 681 | | | | | | 30,066 | | |
| | | | | | | | | | | 120,207 | | |
Textiles, Apparel & Luxury Goods – 1.9% | | ||||||||||||
Hanesbrands, Inc.(a) | | | | | 2,640 | | | | | | 29,806 | | |
Ralph Lauren Corp. | | | | | 414 | | | | | | 30,023 | | |
| | | | | | | | | | | 59,829 | | |
Thrifts & Mortgage Finance – 1.0% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 2,961 | | | | | | 30,202 | | |
Tobacco – 1.9% | | ||||||||||||
Altria Group, Inc. | | | | | 768 | | | | | | 30,144 | | |
Philip Morris International, Inc. | | | | | 429 | | | | | | 30,056 | | |
| | | | | | | | | | | 60,200 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Trading Companies & Distributors – 2.0% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | 417 | | | | | $ | 30,362 | | |
Watsco, Inc. | | | | | 171 | | | | | | 30,387 | | |
| | | | | | | | | | | 60,749 | | |
Total Common Stocks (Cost $3,032,646) | | | | | | | | | | | 2,893,411 | | |
Master Limited Partnerships – 4.0% | | ||||||||||||
Industrial Conglomerates – 1.0% | | ||||||||||||
Icahn Enterprises LP | | | | | 624 | | | | | | 30,258 | | |
Oil, Gas & Consumable Fuels – 3.0% | | ||||||||||||
Energy Transfer LP | | | | | 4,254 | | | | | | 30,289 | | |
Enterprise Products Partners LP(a) | | | | | 1,683 | | | | | | 30,580 | | |
Magellan Midstream Partners LP | | | | | 711 | | | | | | 30,694 | | |
| | | | | | | | | | | 91,563 | | |
Total Master Limited Partnerships (Cost $141,956) | | | | | | | | | | | 121,821 | | |
Total Long Positions (Cost $3,174,602) | | | | | | | | | | | 3,015,232 | | |
Short Positions – (49.0)% | | ||||||||||||
Common Stocks – (48.3)% | | ||||||||||||
Aerospace & Defense – (0.5)% | | ||||||||||||
Teledyne Technologies, Inc.* | | | | | (24) | | | | | | (7,463) | | |
TransDigm Group, Inc. | | | | | (18) | | | | | | (7,957) | | |
| | | | | | | | | | | (15,420) | | |
Air Freight & Logistics – (0.3)% | | ||||||||||||
XPO Logistics, Inc.* | | | | | (99) | | | | | | (7,648) | | |
Airlines – (0.2)% | | ||||||||||||
United Airlines Holdings, Inc.* | | | | | (213) | | | | | | (7,372) | | |
Automobiles – (0.2)% | | ||||||||||||
Tesla, Inc.* | | | | | (6) | | | | | | (6,479) | | |
Banks – (1.5)% | | ||||||||||||
Commerce Bancshares, Inc. | | | | | (126) | | | | | | (7,493) | | |
First Citizens BancShares, Inc., Class A | | | | | (18) | | | | | | (7,291) | | |
First Financial Bankshares, Inc. | | | | | (261) | | | | | | (7,540) | | |
First Republic Bank | | | | | (69) | | | | | | (7,313) | | |
Pinnacle Financial Partners, Inc. | | | | | (177) | | | | | | (7,432) | | |
SVB Financial Group* | | | | | (36) | | | | | | (7,759) | | |
| | | | | | | | | | | (44,828) | | |
Beverages – (0.5)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (15) | | | | | | (8,050) | | |
Monster Beverage Corp.* | | | | | (108) | | | | | | (7,486) | | |
| | | | | | | | | | | (15,536) | | |
Building Products – (0.2)% | | ||||||||||||
Trex Co., Inc.* | | | | | (57) | | | | | | (7,414) | | |
Capital Markets – (3.7)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (102) | | | | | | (7,605) | | |
Cboe Global Markets, Inc. | | | | | (81) | | | | | | (7,556) | | |
E*TRADE Financial Corp. | | | | | (150) | | | | | | (7,459) | | |
FactSet Research Systems, Inc. | | | | | (24) | | | | | | (7,883) | | |
Hamilton Lane, Inc., Class A | | | | | (114) | | | | | | (7,680) | | |
Intercontinental Exchange, Inc. | | | | | (81) | | | | | | (7,420) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LPL Financial Holdings, Inc. | | | | | (96) | | | | | $ | (7,526) | | |
MarketAxess Holdings, Inc. | | | | | (15) | | | | | | (7,514) | | |
Moody’s Corp. | | | | | (27) | | | | | | (7,418) | | |
Morningstar, Inc. | | | | | (54) | | | | | | (7,612) | | |
MSCI, Inc. | | | | | (24) | | | | | | (8,012) | | |
Nasdaq, Inc. | | | | | (63) | | | | | | (7,527) | | |
S&P Global, Inc. | | | | | (24) | | | | | | (7,908) | | |
SEI Investments Co. | | | | | (138) | | | | | | (7,587) | | |
Stifel Financial Corp. | | | | | (159) | | | | | | (7,541) | | |
| | | | | | | | | | | (114,248) | | |
Chemicals – (1.0)% | | ||||||||||||
Balchem Corp. | | | | | (78) | | | | | | (7,399) | | |
Ecolab, Inc. | | | | | (39) | | | | | | (7,759) | | |
Quaker Chemical Corp. | | | | | (39) | | | | | | (7,241) | | |
Sherwin-Williams Co. (The) | | | | | (12) | | | | | | (6,934) | | |
| | | | | | | | | | | (29,333) | | |
Commercial Services & Supplies – (0.2)% | | ||||||||||||
Copart, Inc.* | | | | | (90) | | | | | | (7,494) | | |
Construction & Engineering – (0.2)% | | ||||||||||||
AECOM* | | | | | (201) | | | | | | (7,554) | | |
Construction Materials – (0.2)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (108) | | | | | | (7,584) | | |
Consumer Finance – (1.0)% | | ||||||||||||
Credit Acceptance Corp.* | | | | | (18) | | | | | | (7,542) | | |
FirstCash, Inc. | | | | | (111) | | | | | | (7,490) | | |
LendingTree, Inc.* | | | | | (27) | | | | | | (7,818) | | |
SLM Corp. | | | | | (1,071) | | | | | | (7,529) | | |
| | | | | | | | | | | (30,379) | | |
Containers & Packaging – (0.7)% | | ||||||||||||
Ball Corp. | | | | | (108) | | | | | | (7,505) | | |
Berry Global Group, Inc.* | | | | | (168) | | | | | | (7,446) | | |
Crown Holdings, Inc.* | | | | | (114) | | | | | | (7,425) | | |
| | | | | | | | | | | (22,376) | | |
Distributors – (0.2)% | | ||||||||||||
LKQ Corp.* | | | | | (288) | | | | | | (7,546) | | |
Diversified Consumer Services – (0.5)% | | ||||||||||||
Bright Horizons Family Solutions, Inc.* | | | | | (63) | | | | | | (7,383) | | |
Chegg, Inc.* | | | | | (111) | | | | | | (7,466) | | |
| | | | | | | | | | | (14,849) | | |
Diversified Financial Services – (0.5)% | | ||||||||||||
Berkshire Hathaway, Inc., Class B* | | | | | (42) | | | | | | (7,498) | | |
Voya Financial, Inc. | | | | | (162) | | | | | | (7,557) | | |
| | | | | | | | | | | (15,055) | | |
Electric Utilities – (3.4)% | | ||||||||||||
Alliant Energy Corp. | | | | | (183) | | | | | | (8,755) | | |
American Electric Power Co., Inc. | | | | | (108) | | | | | | (8,601) | | |
Entergy Corp. | | | | | (93) | | | | | | (8,724) | | |
Evergy, Inc. | | | | | (147) | | | | | | (8,716) | | |
Eversource Energy | | | | | (105) | | | | | | (8,743) | | |
Hawaiian Electric Industries, Inc. | | | | | (243) | | | | | | (8,763) | | |
IDACORP, Inc. | | | | | (99) | | | | | | (8,650) | | |
NextEra Energy, Inc. | | | | | (36) | | | | | | (8,646) | | |
NRG Energy, Inc. | | | | | (267) | | | | | | (8,693) | | |
PNM Resources, Inc. | | | | | (225) | | | | | | (8,649) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Portland General Electric Co. | | | | | (207) | | | | | $ | (8,655) | | |
Xcel Energy, Inc. | | | | | (138) | | | | | | (8,625) | | |
| | | | | | | | | | | (104,220) | | |
Electrical Equipment – (0.3)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (63) | | | | | | (7,682) | | |
Energy Equipment & Services – (0.7)% | | ||||||||||||
Halliburton Co. | | | | | (774) | | | | | | (10,047) | | |
National Oilwell Varco, Inc. | | | | | (813) | | | | | | (9,959) | | |
| | | | | | | | | | | (20,006) | | |
Entertainment – (0.5)% | | ||||||||||||
Electronic Arts, Inc.* | | | | | (57) | | | | | | (7,527) | | |
Netflix, Inc.* | | | | | (15) | | | | | | (6,825) | | |
| | | | | | | | | | | (14,352) | | |
Equity Real Estate Investment Trusts (REITs) – (1.2)% | | ||||||||||||
American Homes 4 Rent, Class A | | | | | (279) | | | | | | (7,505) | | |
American Tower Corp. | | | | | (30) | | | | | | (7,756) | | |
Equinix, Inc. | | | | | (12) | | | | | | (8,428) | | |
Equity Commonwealth | | | | | (234) | | | | | | (7,535) | | |
SBA Communications Corp. | | | | | (24) | | | | | | (7,150) | | |
| | | | | | | | | | | (38,374) | | |
Food & Staples Retailing – (1.0)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (201) | | | | | | (7,491) | | |
Grocery Outlet Holding Corp.* | | | | | (183) | | | | | | (7,467) | | |
Performance Food Group Co.* | | | | | (255) | | | | | | (7,431) | | |
US Foods Holding Corp.* | | | | | (378) | | | | | | (7,454) | | |
| | | | | | | | | | | (29,843) | | |
Food Products – (1.0)% | | ||||||||||||
Beyond Meat, Inc.* | | | | | (57) | | | | | | (7,637) | | |
Darling Ingredients, Inc.* | | | | | (303) | | | | | | (7,460) | | |
Hain Celestial Group, Inc. (The)* | | | | | (237) | | | | | | (7,468) | | |
Post Holdings, Inc.* | | | | | (87) | | | | | | (7,623) | | |
| | | | | | | | | | | (30,188) | | |
Gas Utilities – (1.4)% | | ||||||||||||
Atmos Energy Corp. | | | | | (87) | | | | | | (8,663) | | |
New Jersey Resources Corp. | | | | | (267) | | | | | | (8,718) | | |
ONE Gas, Inc. | | | | | (114) | | | | | | (8,784) | | |
Southwest Gas Holdings, Inc. | | | | | (126) | | | | | | (8,700) | | |
Spire, Inc. | | | | | (132) | | | | | | (8,674) | | |
| | | | | | | | | | | (43,539) | | |
Health Care Equipment & Supplies – (0.7)% | | ||||||||||||
Boston Scientific Corp.* | | | | | (213) | | | | | | (7,478) | | |
Edwards Lifesciences Corp.* | | | | | (108) | | | | | | (7,464) | | |
Intuitive Surgical, Inc.* | | | | | (12) | | | | | | (6,838) | | |
| | | | | | | | | | | (21,780) | | |
Hotels, Restaurants & Leisure – (0.4)% | | ||||||||||||
Chipotle Mexican Grill, Inc.* | | | | | (6) | | | | | | (6,314) | | |
Planet Fitness, Inc., Class A* | | | | | (123) | | | | | | (7,450) | | |
| | | | | | | | | | | (13,764) | | |
Household Durables – (0.6)% | | ||||||||||||
Mohawk Industries, Inc.* | | | | | (75) | | | | | | (7,632) | | |
NVR, Inc.* | | | | | (3) | | | | | | (9,776) | | |
| | | | | | | | | | | (17,408) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Independent Power and Renewable Electricity Producers – (0.9)% | | ||||||||||||
Clearway Energy, Inc. | | | | | (378) | | | | | $ | (8,717) | | |
Ormat Technologies, Inc. | | | | | (138) | | | | | | (8,761) | | |
Vistra Energy Corp. | | | | | (468) | | | | | | (8,714) | | |
| | | | | | | | | | | (26,192) | | |
Insurance –��(3.2)% | | ||||||||||||
Alleghany Corp. | | | | | (15) | | | | | | (7,337) | | |
Brighthouse Financial, Inc.* | | | | | (273) | | | | | | (7,595) | | |
Brown & Brown, Inc. | | | | | (186) | | | | | | (7,581) | | |
eHealth, Inc.* | | | | | (78) | | | | | | (7,663) | | |
Globe Life, Inc. | | | | | (102) | | | | | | (7,571) | | |
Kinsale Capital Group, Inc. | | | | | (48) | | | | | | (7,450) | | |
Loews Corp. | | | | | (219) | | | | | | (7,509) | | |
Markel Corp.* | | | | | (9) | | | | | | (8,309) | | |
Primerica, Inc. | | | | | (66) | | | | | | (7,696) | | |
Progressive Corp. (The) | | | | | (93) | | | | | | (7,450) | | |
RLI Corp. | | | | | (90) | | | | | | (7,389) | | |
Selective Insurance Group, Inc. | | | | | (144) | | | | | | (7,595) | | |
W R Berkley Corp. | | | | | (132) | | | | | | (7,562) | | |
| | | | | | | | | | | (98,707) | | |
Interactive Media & Services – (0.8)% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | (6) | | | | | | (8,508) | | |
Facebook, Inc., Class A* | | | | | (33) | | | | | | (7,493) | | |
Snap, Inc., Class A* | | | | | (318) | | | | | | (7,470) | | |
| | | | | | | | | | | (23,471) | | |
Internet & Direct Marketing Retail – (1.1)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (3) | | | | | | (8,276) | | |
Booking Holdings, Inc.* | | | | | (6) | | | | | | (9,554) | | |
Etsy, Inc.* | | | | | (69) | | | | | | (7,330) | | |
Wayfair, Inc., Class A* | | | | | (39) | | | | | | (7,707) | | |
| | | | | | | | | | | (32,867) | | |
IT Services – (1.4)% | | ||||||||||||
Fiserv, Inc.* | | | | | (78) | | | | | | (7,614) | | |
Okta, Inc.* | | | | | (36) | | | | | | (7,208) | | |
PayPal Holdings, Inc.* | | | | | (42) | | | | | | (7,318) | | |
Square, Inc., Class A* | | | | | (72) | | | | | | (7,556) | | |
Twilio, Inc., Class A* | | | | | (33) | | | | | | (7,241) | | |
VeriSign, Inc.* | | | | | (36) | | | | | | (7,446) | | |
| | | | | | | | | | | (44,383) | | |
Leisure Products – (0.2)% | | ||||||||||||
Peloton Interactive, Inc., Class A* | | | | | (129) | | | | | | (7,452) | | |
Life Sciences Tools & Services – (0.3)% | | ||||||||||||
Illumina, Inc.* | | | | | (21) | | | | | | (7,777) | | |
Machinery – (0.2)% | | ||||||||||||
Ingersoll Rand, Inc.* | | | | | (264) | | | | | | (7,424) | | |
Media – (0.5)% | | ||||||||||||
Charter Communications, Inc., Class A* | | | | | (15) | | | | | | (7,651) | | |
Liberty Broadband Corp., Class C* | | | | | (60) | | | | | | (7,437) | | |
| | | | | | | | | | | (15,088) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Metals & Mining – (0.5)% | | ||||||||||||
Newmont Corp. | | | | | (123) | | | | | $ | (7,594) | | |
Royal Gold, Inc. | | | | | (60) | | | | | | (7,459) | | |
| | | | | | | | | | | (15,053) | | |
Multiline Retail – (0.5)% | | ||||||||||||
Dollar Tree, Inc.* | | | | | (81) | | | | | | (7,507) | | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | (78) | | | | | | (7,617) | | |
| | | | | | | | | | | (15,124) | | |
Multi-Utilities – (2.3)% | | ||||||||||||
Ameren Corp. | | | | | (123) | | | | | | (8,654) | | |
Black Hills Corp. | | | | | (153) | | | | | | (8,669) | | |
CenterPoint Energy, Inc. | | | | | (468) | | | | | | (8,738) | | |
CMS Energy Corp. | | | | | (150) | | | | | | (8,763) | | |
DTE Energy Co. | | | | | (81) | | | | | | (8,708) | | |
NiSource, Inc. | | | | | (384) | | | | | | (8,732) | | |
Sempra Energy | | | | | (75) | | | | | | (8,792) | | |
WEC Energy Group, Inc. | | | | | (99) | | | | | | (8,677) | | |
| | | | | | | | | | | (69,733) | | |
Oil, Gas & Consumable Fuels – (5.6)% | | ||||||||||||
Apache Corp. | | | | | (747) | | | | | | (10,084) | | |
Cabot Oil & Gas Corp. | | | | | (588) | | | | | | (10,102) | | |
Cheniere Energy, Inc.* | | | | | (213) | | | | | | (10,292) | | |
Concho Resources, Inc. | | | | | (195) | | | | | | (10,043) | | |
Devon Energy Corp. | | | | | (891) | | | | | | (10,104) | | |
Diamondback Energy, Inc. | | | | | (240) | | | | | | (10,037) | | |
EOG Resources, Inc. | | | | | (198) | | | | | | (10,031) | | |
EQT Corp. | | | | | (867) | | | | | | (10,317) | | |
Equitrans Midstream Corp. | | | | | —(b) | | | | | | (3) | | |
Hess Corp. | | | | | (195) | | | | | | (10,103) | | |
Marathon Oil Corp. | | | | | (1,665) | | | | | | (10,190) | | |
Noble Energy, Inc. | | | | | (1,125) | | | | | | (10,080) | | |
Occidental Petroleum Corp. | | | | | (558) | | | | | | (10,211) | | |
Parsley Energy, Inc., Class A | | | | | (942) | | | | | | (10,061) | | |
Pioneer Natural Resources Co. | | | | | (102) | | | | | | (9,965) | | |
Targa Resources Corp. | | | | | (513) | | | | | | (10,296) | | |
Texas Pacific Land Trust | | | | | (18) | | | | | | (10,704) | | |
WPX Energy, Inc.* | | | | | (1,578) | | | | | | (10,068) | | |
| | | | | | | | | | | (172,691) | | |
Professional Services – (0.2)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (9) | | | | | | (6,396) | | |
Real Estate Management & Development – (1.0)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (168) | | | | | | (7,597) | | |
Howard Hughes Corp. (The)* | | | | | (144) | | | | | | (7,481) | | |
Jones Lang LaSalle, Inc. | | | | | (72) | | | | | | (7,449) | | |
Redfin Corp.* | | | | | (180) | | | | | | (7,544) | | |
| | | | | | | | | | | (30,071) | | |
Road & Rail – (0.7)% | | ||||||||||||
AMERCO | | | | | (24) | | | | | | (7,253) | | |
Lyft, Inc., Class A* | | | | | (225) | | | | | | (7,427) | | |
Uber Technologies, Inc.* | | | | | (243) | | | | | | (7,552) | | |
| | | | | | | | | | | (22,232) | | |
Semiconductors & Semiconductor Equipment – (0.5)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (144) | | | | | | (7,576) | | |
Micron Technology, Inc.* | | | | | (147) | | | | | | (7,573) | | |
| | | | | | | | | | | (15,149) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Software – (2.4)% | | ||||||||||||
Adobe, Inc.* | | | | | (18) | | | | | $ | (7,835) | | |
Autodesk, Inc.* | | | | | (30) | | | | | | (7,176) | | |
Cadence Design Systems, Inc.* | | | | | (78) | | | | | | (7,485) | | |
DocuSign, Inc.* | | | | | (42) | | | | | | (7,233) | | |
salesforce.com, Inc.* | | | | | (39) | | | | | | (7,306) | | |
ServiceNow, Inc.* | | | | | (18) | | | | | | (7,291) | | |
Splunk, Inc.* | | | | | (36) | | | | | | (7,153) | | |
Synopsys, Inc.* | | | | | (39) | | | | | | (7,605) | | |
Workday, Inc., Class A* | | | | | (39) | | | | | | (7,307) | | |
Zoom Video Communications, Inc., Class A* | | | | | (30) | | | | | | (7,606) | | |
| | | | | | | | | | | (73,997) | | |
Specialty Retail – (1.7)% | | ||||||||||||
AutoZone, Inc.* | | | | | (6) | | | | | | (6,769) | | |
Burlington Stores, Inc.* | | | | | (39) | | | | | | (7,680) | | |
CarMax, Inc.* | | | | | (84) | | | | | | (7,522) | | |
Five Below, Inc.* | | | | | (72) | | | | | | (7,698) | | |
Floor & Decor Holdings, Inc., Class A* | | | | | (132) | | | | | | (7,610) | | |
O’Reilly Automotive, Inc.* | | | | | (18) | | | | | | (7,590) | | |
Ulta Beauty, Inc.* | | | | | (36) | | | | | | (7,323) | | |
| | | | | | | | | | | (52,192) | | |
Thrifts & Mortgage Finance – (0.2)% | | ||||||||||||
Radian Group, Inc. | | | | | (483) | | | | | | (7,491) | | |
Trading Companies & Distributors – (0.2)% | | ||||||||||||
United Rentals, Inc.* | | | | | (51) | | | | | | (7,601) | | |
Water Utilities – (0.9)% | | ||||||||||||
American States Water Co. | | | | | (111) | | | | | | (8,728) | | |
American Water Works Co., Inc. | | | | | (69) | | | | | | (8,877) | | |
Essential Utilities, Inc. | | | | | (207) | | | | | | (8,744) | | |
| | | | | | | | | | | (26,349) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Wireless Telecommunication Services – (0.2)% | | ||||||||||||
T-Mobile US, Inc.* | | | | | (72) | | | | | $ | (7,499) | | |
Total Common Stocks (Proceeds $(1,603,739)) | | | | | | | | | | | (1,487,210) | | |
Master Limited Partnerships – (0.7)% | | ||||||||||||
Oil, Gas & Consumable Fuels – (0.7)% | | ||||||||||||
Plains All American Pipeline LP | | | | | (1,176) | | | | | | (10,396) | | |
Western Midstream Partners LP | | | | | (1,008) | | | | | | (10,120) | | |
Total Master Limited Partnerships (Proceeds $(17,926)) | | | | | | | | | | | (20,516) | | |
Total Short Positions (Proceeds $(1,621,665)) | | | | | | | | | | | (1,507,726) | | |
Total Investments – 48.9% (Cost $1,552,937) | | | | | | | | | | | 1,507,506 | | |
Other Assets Less Liabilities – 51.1% | | | | | | | | | | | 1,572,348 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 3,079,854 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 162,598 | | |
| Aggregate gross unrealized depreciation | | | | | (540,810) | | |
| Net unrealized depreciation | | | | $ | (378,212) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 1,885,718 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
COMMON STOCKS – 98.6% | | ||||||||||||
Construction & Engineering – 4.8% | | ||||||||||||
Vinci SA | | | | | 1,219 | | | | | $ | 112,098 | | |
Diversified Telecommunication Services – 4.5% | | ||||||||||||
Cellnex Telecom SA | | | | | 389 | | | | | | 23,675 | | |
China Tower Corp. Ltd., Class H | | | | | 388,850 | | | | | | 68,821 | | |
Infrastrutture Wireless Italiane SpA | | | | | 1,276 | | | | | | 12,778 | | |
| | | | | | | | | | | 105,274 | | |
Electric Utilities – 12.6% | | ||||||||||||
AusNet Services | | | | | 7,744 | | | | | | 8,933 | | |
Duke Energy Corp. | | | | | 288 | | | | | | 23,008 | | |
Edison International | | | | | 440 | | | | | | 23,896 | | |
EDP – Energias do Brasil SA | | | | | 4,178 | | | | | | 13,383 | | |
Elia Group SA/NV | | | | | 88 | | | | | | 9,542 | | |
Endesa SA | | | | | 292 | | | | | | 7,187 | | |
Eversource Energy | | | | | 420 | | | | | | 34,973 | | |
Fortis, Inc. | | | | | 1,006 | | | | | | 38,259 | | |
Mercury NZ Ltd. | | | | | 3,842 | | | | | | 11,639 | | |
OGE Energy Corp. | | | | | 530 | | | | | | 16,091 | | |
Power Assets Holdings Ltd. | | | | | 2,848 | | | | | | 15,466 | | |
Southern Co. (The) | | | | | 605 | | | | | | 31,369 | | |
SSE plc | | | | | 986 | | | | | | 16,648 | | |
Terna Rete Elettrica Nazionale SpA | | | | | 2,704 | | | | | | 18,565 | | |
Xcel Energy, Inc. | | | | | 380 | | | | | | 23,750 | | |
| | | | | | | | | | | 292,709 | | |
Equity Real Estate Investment Trusts (REITs) – 23.2% | | ||||||||||||
American Tower Corp. | | | | | 889 | | | | | | 229,842 | | |
Ascendas REIT | | | | | 5,303 | | | | | | 12,090 | | |
Crown Castle International Corp. | | | | | 1,103 | | | | | | 184,587 | | |
Digital Realty Trust, Inc. | | | | | 71 | | | | | | 10,090 | | |
Japan Logistics Fund, Inc. | | | | | 5 | | | | | | 13,574 | | |
SBA Communications Corp. | | | | | 181 | | | | | | 53,924 | | |
STAG Industrial, Inc. | | | | | 798 | | | | | | 23,397 | | |
Welltower, Inc. | | | | | 219 | | | | | | 11,333 | | |
| | | | | | | | | | | 538,837 | | |
Gas Utilities – 4.1% | | ||||||||||||
Atmos Energy Corp. | | | | | 246 | | | | | | 24,497 | | |
China Gas Holdings Ltd. | | | | | 4,200 | | | | | | 12,934 | | |
China Resources Gas Group Ltd. | | | | | 2,426 | | | | | | 11,806 | | |
Enagas SA | | | | | 506 | | | | | | 12,351 | | |
ENN Energy Holdings Ltd. | | | | | 964 | | | | | | 10,827 | | |
Hong Kong & China Gas Co. Ltd. | | | | | 9,464 | | | | | | 14,635 | | |
Spire, Inc. | | | | | 120 | | | | | | 7,885 | | |
| | | | | | | | | | | 94,935 | | |
Independent Power and Renewable Electricity Producers – 0.8% | | ||||||||||||
Capital Power Corp. | | | | | 550 | | | | | | 11,336 | | |
CGN Power Co. Ltd., Class H | | | | | 37,802 | | | | | | 7,819 | | |
| | | | | | | | | | | 19,155 | | |
IT Services – 0.7% | | ||||||||||||
GDS Holdings Ltd., ADR* | | | | | 201 | | | | | | 16,012 | | |
Machinery – 0.1% | | ||||||||||||
Cargotec OYJ, Class B | | | | | 126 | | | | | | 2,920 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Multi-Utilities – 13.6% | | ||||||||||||
A2A SpA | | | | | 6,104 | | | | | $ | 8,633 | | |
AGL Energy Ltd. | | | | | 502 | | | | | | 5,921 | | |
Consolidated Edison, Inc. | | | | | 532 | | | | | | 38,267 | | |
DTE Energy Co. | | | | | 242 | | | | | | 26,015 | | |
E.ON SE | | | | | 1,698 | | | | | | 19,090 | | |
National Grid plc | | | | | 7,170 | | | | | | 87,798 | | |
NorthWestern Corp. | | | | | 234 | | | | | | 12,758 | | |
REN – Redes Energeticas Nacionais SGPS SA | | | | | 3,650 | | | | | | 9,958 | | |
Sempra Energy | | | | | 604 | | | | | | 70,807 | | |
Veolia Environnement SA | | | | | 430 | | | | | | 9,658 | | |
WEC Energy Group, Inc. | | | | | 297 | | | | | | 26,032 | | |
| | | | | | | | | | | 314,937 | | |
Oil, Gas & Consumable Fuels – 19.8% | | ||||||||||||
Enbridge, Inc. | | | | | 5,347 | | | | | | 162,584 | | |
Kinder Morgan, Inc. | | | | | 5,349 | | | | | | 81,145 | | |
ONEOK, Inc. | | | | | 582 | | | | | | 19,334 | | |
Pembina Pipeline Corp. | | | | | 1,622 | | | | | | 40,550 | | |
TC Energy Corp. | | | | | 2,276 | | | | | | 97,236 | | |
Williams Cos., Inc. (The) | | | | | 3,105 | | | | | | 59,057 | | |
| | | | | | | | | | | 459,906 | | |
Road & Rail – 2.2% | | ||||||||||||
Canadian National Railway Co. | | | | | 151 | | | | | | 13,359 | | |
Kyushu Railway Co. | | | | | 416 | | | | | | 10,793 | | |
Union Pacific Corp. | | | | | 153 | | | | | | 25,868 | | |
| | | | | | | | | | | 50,020 | | |
Transportation Infrastructure – 8.7% | | ||||||||||||
Aena SME SA* | | | | | 322 | | | | | | 42,867 | | |
ASTM SpA* | | | | | 563 | | | | | | 12,882 | | |
Atlantia SpA* | | | | | 498 | | | | | | 7,987 | | |
Auckland International Airport Ltd. | | | | | 2,354 | | | | | | 9,959 | | |
COSCO SHIPPING Ports Ltd. | | | | | 11,206 | | | | | | 6,039 | | |
Flughafen Zurich AG (Registered)* | | | | | 83 | | | | | | 10,765 | | |
Grupo Aeroportuario del Pacifico SAB de CV, ADR | | | | | 81 | | | | | | 5,817 | | |
Jiangsu Expressway Co. Ltd., Class H | | | | | 7,254 | | | | | | 8,520 | | |
Shenzhen Expressway Co. Ltd., Class H | | | | | 11,032 | | | | | | 11,168 | | |
Sydney Airport | | | | | 4,694 | | | | | | 18,405 | | |
Transurban Group | | | | | 5,522 | | | | | | 53,923 | | |
Zhejiang Expressway Co. Ltd., Class H | | | | | 18,000 | | | | | | 12,768 | | |
| | | | | | | | | | | 201,100 | | |
Water Utilities – 3.5% | | ||||||||||||
American Water Works Co., Inc. | | | | | 246 | | | | | | 31,651 | | |
Guangdong Investment Ltd. | | | | | 11,750 | | | | | | 20,169 | | |
United Utilities Group plc | | | | | 2,600 | | | | | | 29,287 | | |
| | | | | | | | | | | 81,107 | | |
TOTAL COMMON STOCKS (Cost $2,426,491) | | | | | | | | | | | 2,289,010 | | |
EXCHANGE TRADED FUNDS – 1.0% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $28,802) | | | | | 524 | | | | | | 22,930 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
MASTER LIMITED PARTNERSHIPS – 0.4% | | | | ||||||||||
Oil, Gas & Consumable Fuels – 0.4% | | | | ||||||||||
Energy Transfer LP (Cost $22,739) | | | | | 1,522 | | | | | $ | 10,837 | | |
Total Investments – 100.0% (Cost $2,478,032) | | | | | | | | | | | 2,322,777 | | |
Liabilities in excess of other assets – 0.0% | | | | | | | | | | | (537) | | |
Net Assets – 100.0% | | | | | | | | | | $ | 2,322,240 | | |
|
Abbreviations | | | ||
ADR | | | American Depositary Receipt | |
OYJ | | | Public Limited Company | |
SPDR | | | Standard & Poor’s Depositary Receipt | |
| Aggregate gross unrealized appreciation | | | | $ | 157,964 | | |
| Aggregate gross unrealized depreciation | | | | | (315,289) | | |
| Net unrealized depreciation | | | | $ | (157,325) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,480,102 | | |
| Australia | | | | | 3.8% | | |
| Belgium | | | | | 0.4% | | |
| Brazil | | | | | 0.6% | | |
| Canada | | | | | 15.6% | | |
| China | | | | | 8.0% | | |
| Finland | | | | | 0.1% | | |
| France | | | | | 5.2% | | |
| Germany | | | | | 0.8% | | |
| Hong Kong | | | | | 1.3% | | |
| Italy | | | | | 2.6% | | |
| Japan | | | | | 1.1% | | |
| Mexico | | | | | 0.3% | | |
| New Zealand | | | | | 0.9% | | |
| Portugal | | | | | 0.4% | | |
| Singapore | | | | | 0.5% | | |
| Spain | | | | | 3.7% | | |
| Switzerland | | | | | 0.5% | | |
| United Kingdom | | | | | 5.8% | | |
| United States | | | | | 48.4% | | |
| Other(1) | | | | | 0.0%(2) | | |
| | | | | | 100.0% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
EXCHANGE TRADED FUNDS – 84.8% | | ||||||||||||
Communication Services Select Sector SPDR Fund | | | | | 4,822 | | | | | $ | 260,581 | | |
Consumer Discretionary Select Sector SPDR Fund | | | | | 840 | | | | | | 107,276 | | |
Consumer Staples Select Sector SPDR Fund | | | | | 4,561 | | | | | | 267,457 | | |
Energy Select Sector SPDR Fund | | | | | 293 | | | | | | 11,090 | | |
Financial Select Sector SPDR Fund | | | | | 12,713 | | | | | | 294,179 | | |
Health Care Select Sector SPDR Fund | | | | | 4,430 | | | | | | 443,310 | | |
Industrial Select Sector SPDR Fund | | | | | 1,669 | | | | | | 114,660 | | |
Materials Select Sector SPDR Fund | | | | | 2,080 | | | | | | 117,208 | | |
Real Estate Select Sector SPDR Fund | | | | | 1,892 | | | | | | 65,861 | | |
Technology Select Sector SPDR Fund | | | | | 5,579 | | | | | | 582,950 | | |
Utilities Select Sector SPDR Fund | | | | | 1,260 | | | | | | 71,102 | | |
TOTAL EXCHANGE TRADED FUNDS (Cost $2,129,313) | | | | | | | 2,335,674 | | | ||||
Total Investments – 84.8% (Cost $2,129,313) | | | | | | | 2,335,674 | | | ||||
Other Assets Less Liabilities – 15.2% | | | | | | | | | | | 419,179 | | |
Net Assets – 100.0% | | | | | | $ | 2,754,853 | | |
| Aggregate gross unrealized appreciation | | | | $ | 255,459 | | |
| Aggregate gross unrealized depreciation | | | | | (49,216) | | |
| Net unrealized appreciation | | | | $ | 206,243 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,129,431 | | |
|
Security | | | Value June 30, 2019 | | | Purchases at Cost | | | Sales Proceeds | | | Shares June 30, 2020 | | | Value June 30, 2020 | | | Change in Unrealized Appreciation (Depreciation) | | | Dividend Income | | | Realized Gain | | ||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 494,146 | | | | | $ | 41,619 | | | | | $ | 631,049 | | | | | | — | | | | | $ | — | | | | | $ | 5,747 | | | | | $ | 4,093 | | | | | $ | 89,537 | | |
June 30, 2020
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 5,398,323 | | | | | $ | 682,359 | | | | | $ | 183,455,518 | | | | | $ | 3,015,232 | | |
Cash | | | | | 1,337,367 | | | | | | 234,895 | | | | | | 29,302,961 | | | | | | 43,569 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 20,039 | | | | | | — | | | | | | 3,394,237 | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 4,726,755 | | | | | | 548,699 | | | | | | 166,269,943 | | | | | | 1,482,675 | | |
Unrealized appreciation on swap agreements | | | | | 138,273 | | | | | | — | | | | | | 2,181,515 | | | | | | — | | |
Receivables: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold | | | | | — | | | | | | — | | | | | | 1,345,483 | | | | | | 1,835,385 | | |
Dividends and interest | | | | | 3,316 | | | | | | 1,287 | | | | | | 157,962 | | | | | | 9,035 | | |
Receivable for capital shares issued | | | | | — | | | | | | — | | | | | | 1,206,453 | | | | | | — | | |
Investment adviser (Note 4) | | | | | 13,668 | | | | | | 13,969 | | | | | | — | | | | | | 13,167 | | |
Prepaid expenses | | | | | 5,525 | | | | | | 5,525 | | | | | | 5,525 | | | | | | 4,484 | | |
Total Assets | | | | | 11,643,266 | | | | | | 1,486,734 | | | | | | 387,319,597 | | | | | | 6,403,547 | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value(2) | | | | | 5,726,401 | | | | | | 688,937 | | | | | | 192,873,479 | | | | | | 1,507,726 | | |
Unrealized depreciation on swap agreements | | | | | 50,558 | | | | | | 24,202 | | | | | | — | | | | | | — | | |
Payables: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities purchased | | | | | 413 | | | | | | — | | | | | | 1,286,725 | | | | | | 1,726,849 | | |
Income distributions | | | | | — | | | | | | — | | | | | | — | | | | | | 38,655 | | |
Investment management fees | | | | | — | | | | | | — | | | | | | 4,687 | | | | | | — | | |
Trustees fees | | | | | 618 | | | | | | 118 | | | | | | 21,835 | | | | | | 459 | | |
Dividends on securities sold short | | | | | 9,842 | | | | | | 641 | | | | | | 267,228 | | | | | | 1,222 | | |
Accrued expenses and other liabilities | | | | | 44,525 | | | | | | 42,430 | | | | | | 110,960 | | | | | | 48,782 | | |
Total Liabilities | | | | | 5,832,357 | | | | | | 756,328 | | | | | | 194,564,914 | | | | | | 3,323,693 | | |
Net Assets | | | | $ | 5,810,909 | | | | | $ | 730,406 | | | | | $ | 192,754,683 | | | | | $ | 3,079,854 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | | 7,869,694 | | | | | | 2,762,440 | | | | | | 201,137,874 | | | | | | 4,479,468 | | |
Distributable earnings (loss) | | | | | (2,058,785) | | | | | | (2,032,034) | | | | | | (8,383,191) | | | | | | (1,399,614) | | |
Net Assets | | | | $ | 5,810,909 | | | | | $ | 730,406 | | | | | $ | 192,754,683 | | | | | $ | 3,079,854 | | |
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Outstanding | | | | | 200,000 | | | | | | 50,000 | | | | | | 7,950,000 | | | | | | 150,000 | | |
Net Asset Value | | | | $ | 29.05 | | | | | $ | 14.61 | | | | | $ | 24.25 | | | | | $ | 20.53 | | |
(1) Investments in securities, at cost | | | | $ | 4,603,334 | | | | | $ | 831,553 | | | | | $ | 182,913,788 | | | | | $ | 3,174,602 | | |
(2) Securities sold short, proceeds | | | | $ | 5,577,053 | | | | | $ | 536,718 | | | | | $ | 202,736,152 | | | | | $ | 1,621,665 | | |
June 30, 2020
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||
ASSETS | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 2,322,777 | | | | | $ | 2,335,674 | | |
Cash | | | | | 32,473 | | | | | | 448,907 | | |
Receivables: | | | | | | | | | | | | | |
Dividends and interest | | | | | 9,639 | | | | | | — | | |
Investment adviser (Note 4) | | | | | 7,722 | | | | | | 7,756 | | |
Foreign tax reclaims | | | | | 1,767 | | | | | | — | | |
Prepaid expenses | | | | | 4,892 | | | | | | 4,892 | | |
Total Assets | | | | | 2,379,270 | | | | | | 2,797,229 | | |
LIABILITIES | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | |
Income distributions | | | | | 13,887 | | | | | | — | | |
Trustees fees | | | | | 343 | | | | | | 391 | | |
Accrued expenses and other liabilities | | | | | 42,800 | | | | | | 41,985 | | |
Total Liabilities | | | | | 57,030 | | | | | | 42,376 | | |
Net Assets | | | | $ | 2,322,240 | | | | | $ | 2,754,853 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | |
Paid-in capital | | | | | 2,500,022 | | | | | | 2,499,949 | | |
Distributable earnings (loss) | | | | | (177,782) | | | | | | 254,904 | | |
Net Assets | | | | $ | 2,322,240 | | | | | $ | 2,754,853 | | |
The Funds have an unlimited number of shares authorized with no par value. Net asset value is calculated by dividing the net assets by the number of outstanding shares. | | | | | | | | | | | | | |
Shares Outstanding | | | | | 100,001 | | | | | | 100,001 | | |
Net Asset Value | | | | $ | 23.22 | | | | | $ | 27.55 | | |
(1) Investments in securities, at cost | | | | $ | 2,478,032 | | | | | $ | 2,129,313 | | |
For the Year Ended June 30, 2020
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 36,368 | | | | | $ | 22,324 | | | | | $ | 2,217,039 | | | | | $ | 198,418 | | |
Interest income on securities sold short | | | | | 17,134 | | | | | | 8,689 | | | | | | 877,044 | | | | | | 21,587 | | |
Foreign withholding tax on dividends | | | | | — | | | | | | (6) | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 53,502 | | | | | | 31,007 | | | | | | 3,094,083 | | | | | | 220,005 | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 61,836 | | | | | | 9,126 | | | | | | 2,202,841 | | | | | | 32,281 | | |
Investment management fees (Note 4) | | | | | 14,337 | | | | | | 4,664 | | | | | | 570,422 | | | | | | 19,050 | | |
Professional fees | | | | | 55,099 | | | | | | 53,312 | | | | | | 207,951 | | | | | | 60,154 | | |
Custody fees | | | | | 5,800 | | | | | | 2,442 | | | | | | 16,271 | | | | | | 3,510 | | |
Index fees | | | | | 12,504 | | | | | | 12,504 | | | | | | 12,504 | | | | | | 15,004 | | |
CCO fees | | | | | 8,704 | | | | | | 8,380 | | | | | | 38,630 | | | | | | 8,970 | | |
Treasurer fees | | | | | 6,207 | | | | | | 6,073 | | | | | | 18,699 | | | | | | 6,320 | | |
Listing fees | | | | | 6,063 | | | | | | 6,063 | | | | | | 6,063 | | | | | | 6,063 | | |
Accounting fees | | | | | 30,362 | | | | | | 30,362 | | | | | | 31,020 | | | | | | 30,362 | | |
Trustees fees | | | | | 5,589 | | | | | | 4,956 | | | | | | 48,557 | | | | | | 5,745 | | |
Administration fees (Note 5) | | | | | 69,850 | | | | | | 69,850 | | | | | | 69,850 | | | | | | 69,850 | | |
Other fees | | | | | 8,552 | | | | | | 8,461 | | | | | | 34,123 | | | | | | 9,017 | | |
Total Expenses before Adjustments | | | | | 284,903 | | | | | | 216,193 | | | | | | 3,256,931 | | | | | | 266,326 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (202,602) | | | | | | (200,226) | | | | | | (484,176) | | | | | | (215,032) | | |
Total Expenses after Adjustments | | | | | 82,301 | | | | | | 15,967 | | | | | | 2,772,755 | | | | | | 51,294 | | |
Net Investment Income (Loss) | | | | | (28,799) | | | | | | 15,040 | | | | | | 321,328 | | | | | | 168,711 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | (52,308) | | | | | | (50,354) | | | | | | (10,343,836) | | | | | | (329,677) | | |
In-kind redemptions of investments | | | | | 129,964 | | | | | | — | | | | | | 2,026,001 | | | | | | 10,969 | | |
Securities sold short | | | | | (151,493) | | | | | | (92,529) | | | | | | 8,905,812 | | | | | | (185,050) | | |
Expiration or closing of swap agreements | | | | | 48,186 | | | | | | (36,959) | | | | | | (284,701) | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (25,651) | | | | | | (179,842) | | | | | | 303,276 | | | | | | (503,758) | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | | | 694,056 | | | | | | (120,228) | | | | | | (1,943,838) | | | | | | (256,759) | | |
Securities sold short | | | | | (440,469) | | | | | | 23,293 | | | | | | 11,452,840 | | | | | | 261,176 | | |
Swap agreements | | | | | 11,657 | | | | | | 3,600 | | | | | | 1,562,379 | | | | | | — | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | 265,244 | | | | | | (93,335) | | | | | | 11,071,381 | | | | | | 4,417 | | |
Net Realized and Unrealized Gain (Loss) | | | | | 239,593 | | | | | | (273,177) | | | | | | 11,374,657 | | | | | | (499,341) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 210,794 | | | | | $ | (258,137) | | | | | $ | 11,695,985 | | | | | $ | (330,630) | | |
For the Year Ended June 30, 2020
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||
INVESTMENT INCOME | | | | | | | | | | | | | |
Dividend income | | | | $ | 88,350 | | | | | $ | 45,314 | | |
Dividend income from affiliates | | | | | — | | | | | | 4,093 | | |
Foreign withholding tax on dividends | | | | | (6,508) | | | | | | — | | |
Total Investment Income | | | | | 81,842 | | | | | | 49,407 | | |
EXPENSES | | | | | | | | | | | | | |
Investment management fees (Note 4) | | | | | 11,273 | | | | | | 11,990 | | |
Professional fees | | | | | 52,397 | | | | | | 52,561 | | |
Custody fees | | | | | 4,247 | | | | | | 67 | | |
Index fees | | | | | 5,009 | | | | | | 5,009 | | |
CCO fees | | | | | 8,698 | | | | | | 8,736 | | |
Treasurer fees | | | | | 6,205 | | | | | | 6,222 | | |
Listing fees | | | | | 1,306 | | | | | | 1,306 | | |
Accounting fees | | | | | 18,131 | | | | | | 18,138 | | |
Trustees fees | | | | | 5,407 | | | | | | 5,474 | | |
Administration fees (Note 5) | | | | | 43,088 | | | | | | 43,096 | | |
Other fees | | | | | 14,616 | | | | | | 8,038 | | |
Total Expenses before Adjustments | | | | | 170,377 | | | | | | 160,637 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (159,123) | | | | | | (151,747) | | |
Total Expenses after Adjustments | | | | | 11,254 | | | | | | 8,890 | | |
Net Investment Income (Loss) | | | | | 70,588 | | | | | | 40,517 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | |
Transactions in Investment securities of Affiliated Underlying Funds | | | | | — | | | | | | 89,537 | | |
Transactions in Investment securities | | | | | (36,615) | | | | | | (52,098) | | |
Settlement of forward foreign currency exchange contracts | | | | | (74) | | | | | | — | | |
Foreign currency transactions | | | | | (698) | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (37,387) | | | | | | 37,439 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | |
Investments in securities | | | | | (216,706) | | | | | | 142,325 | | |
Investments in Affiliated Underlying Funds | | | | | — | | | | | | 5,747 | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | (102) | | | | | | — | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | (216,808) | | | | | | 148,072 | | |
Net Realized and Unrealized Gain (Loss) | | | | | (254,195) | | | | | | 185,511 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | (183,607) | | | | | $ | 226,028 | | |
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Value Fund | | ||||||||||||||||||
| | | Year Ended June 30, 2020 | | | Year Ended June 30, 2019 | | | Year Ended June 30, 2020 | | | Year Ended June 30, 2019 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (28,799) | | | | | $ | 5,200 | | | | | $ | 15,040 | | | | | $ | 23,936 | | |
Net realized gain (loss) | | | | | (25,651) | | | | | | 506,486 | | | | | | (179,842) | | | | | | (126,322) | | |
Net change in unrealized appreciation (depreciation) | | | | | 265,244 | | | | | | (472,650) | | | | | | (93,335) | | | | | | (59,288) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 210,794 | | | | | | 39,036 | | | | | | (258,137) | | | | | | (161,674) | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | — | | | | | | (22,169) | | | | | | (8,604) | | |
Total Distributions | | | | | — | | | | | | — | | | | | | (22,169) | | | | | | (8,604) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 7,156,217 | | | | | | 6,203,473 | | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | (4,016,549) | | | | | | (12,371,559) | | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 3,139,668 | | | | | | (6,168,086) | | | | | | — | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | 3,350,462 | | | | | | (6,129,050) | | | | | | (280,306) | | | | | | (170,278) | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 2,460,447 | | | | | $ | 8,589,497 | | | | | $ | 1,010,712 | | | | | $ | 1,180,990 | | |
End of Year | | | | $ | 5,810,909 | | | | | $ | 2,460,447 | | | | | $ | 730,406 | | | | | $ | 1,010,712 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 100,000 | | | | | | 350,000 | | | | | | 50,000 | | | | | | 50,000 | | |
Shares issued in-kind | | | | | 250,000 | | | | | | 250,000 | | | | | | — | | | | | | — | | |
Shares redeemed | | | | | (100,000) | | | | | | — | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (50,000) | | | | | | (500,000) | | | | | | — | | | | | | — | | |
Shares Outstanding, End of Year | | | | | 200,000 | | | | | | 100,000 | | | | | | 50,000 | | | | | | 50,000 | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||
| | | Year Ended June 30, 2020 | | | Year Ended June 30, 2019 | | | Year Ended June 30, 2020 | | | Year Ended June 30, 2019 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 321,328 | | | | | $ | 473,743 | | | | | $ | 168,711 | | | | | $ | 135,828 | | |
Net realized gain (loss) | | | | | 303,276 | | | | | | (656,745) | | | | | | (503,758) | | | | | | (21,105) | | |
Net change in unrealized appreciation (depreciation) | | | | | 11,071,381 | | | | | | 1,136,828 | | | | | | 4,417 | | | | | | 1,638 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 11,695,985 | | | | | | 953,826 | | | | | | (330,630) | | | | | | 116,361 | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | (1,077,142) | | | | | | (128,640) | | | | | | (196,558) | | | | | | (117,526) | | |
Tax return of capital | | | | | — | | | | | | — | | | | | | (16,969) | | | | | | — | | |
Total Distributions | | | | | (1,077,142) | | | | | | (128,640) | | | | | | (213,527) | | | | | | (117,526) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 297,822,206 | | | | | | 87,843,626 | | | | | | 1,200,348 | | | | | | 2,415,200 | | |
Cost of shares redeemed | | | | | (181,178,598) | | | | | | (32,200,019) | | | | | | (2,346,703) | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 116,643,608 | | | | | | 55,643,607 | | | | | | (1,146,355) | | | | | | 2,415,200 | | |
Total Increase (Decrease) in Net Assets | | | | | 127,262,451 | | | | | | 56,468,793 | | | | | | (1,690,512) | | | | | | 2,414,035 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 65,492,232 | | | | | $ | 9,023,439 | | | | | $ | 4,770,366 | | | | | $ | 2,356,331 | | |
End of Year | | | | $ | 192,754,683 | | | | | $ | 65,492,232 | | | | | $ | 3,079,854 | | | | | $ | 4,770,366 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 3,000,000 | | | | | | 450,000 | | | | | | 200,000 | | | | | | 100,000 | | |
Shares issued | | | | | 2,300,000 | | | | | | 450,000 | | | | | | — | | | | | | — | | |
Shares issued in-kind | | | | | 10,100,000 | | | | | | 3,600,000 | | | | | | 50,000 | | | | | | 100,000 | | |
Shares redeemed | | | | | — | | | | | | (50,000) | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (7,450,000) | | | | | | (1,450,000) | | | | | | (100,000) | | | | | | — | | |
Shares Outstanding, End of Year | | | | | 7,950,000 | | | | | | 3,000,000 | | | | | | 150,000 | | | | | | 200,000 | | |
| | | AGFiQ Global Infrastructure ETF | | | AGFiQ Dynamic Hedged U.S. Equity ETF | | ||||||||||||||||||
| | | Year Ended June 30, 2020 | | | For the period 05/23/19* – 06/30/19 | | | Year Ended June 30, 2020 | | | For the period 05/23/19* – 06/30/19 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 70,588 | | | | | $ | 14,311 | | | | | $ | 40,517 | | | | | $ | 8,896 | | |
Net realized gain (loss) | | | | | (37,387) | | | | | | (1,186) | | | | | | 37,439 | | | | | | — | | |
Net change in unrealized appreciation (depreciation) | | | | | (216,808) | | | | | | 61,500 | | | | | | 148,072 | | | | | | 58,289 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (183,607) | | | | | | 74,625 | | | | | | 226,028 | | | | | | 67,185 | | |
DISTRIBUTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | (68,803) | | | | | | — | | | | | | (38,385) | | | | | | — | | |
Total Distributions | | | | | (68,803) | | | | | | — | | | | | | (38,385) | | | | | | — | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | 2,500,025 | | | | | | — | | | | | | 2,500,025 | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | 2,500,025 | | | | | | — | | | | | | 2,500,025 | | |
Total Increase (Decrease) in Net Assets | | | | | (252,410) | | | | | | 2,574,650 | | | | | | 187,643 | | | | | | 2,567,210 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 2,574,650 | | | | | $ | — | | | | | $ | 2,567,210 | | | | | $ | — | | |
End of Year | | | | $ | 2,322,240 | | | | | $ | 2,574,650 | | | | | $ | 2,754,853 | | | | | $ | 2,567,210 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 100,001 | | | | | | — | | | | | | 100,001 | | | | | | — | | |
Shares issued | | | | | — | | | | | | 100,001 | | | | | | — | | | | | | 100,001 | | |
Shares Outstanding, End of Year | | | | | 100,001 | | | | | | 100,001 | | | | | | 100,001 | | | | | | 100,001 | | |
| | | PER SHARE OPERATING PERFORMANCE | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||
| | | Investment Operations | | | Distributions | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
| | | Net asset value, beginning of period | | | Net investment income (loss)(1) | | | Net realized and unrealized gain (loss) | | | Total investment operations | | | Net investment income | | | Net realized gains | | | Tax return of capital | | | Total distributions | | | Transaction fees(10) | | | Net asset value, end of period | | ||||||||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | $ | 24.60 | | | | | $ | (0.26) | | | | | $ | 4.65 | | | | | $ | 4.39 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 0.06 | | | | | $ | 29.05 | | |
Year ended June 30, 2019 | | | | | 24.54 | | | | | | 0.02 | | | | | | —(9) | | | | | | 0.02(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.04 | | | | | | 24.60 | | |
Year ended June 30, 2018 | | | | | 22.41 | | | | | | (0.21) | | | | | | 2.34 | | | | | | 2.13 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | —(9) | | | | | | 24.54 | | |
Year ended June 30, 2017 | | | | | 26.73 | | | | | | (0.21) | | | | | | (4.12) | | | | | | (4.33)(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 22.41 | | |
Year ended June 30, 2016 | | | | | 24.99 | | | | | | (0.63) | | | | | | 2.37(8) | | | | | | 1.74 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 26.73 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | | 20.21 | | | | | | 0.30 | | | | | | (5.46) | | | | | | (5.16) | | | | | | (0.44) | | | | | | — | | | | | | — | | | | | | (0.44) | | | | | | — | | | | | | 14.61 | | |
Year ended June 30, 2019 | | | | | 23.62 | | | | | | 0.48 | | | | | | (3.72) | | | | | | (3.24) | | | | | | (0.17) | | | | | | — | | | | | | — | | | | | | (0.17) | | | | | | — | | | | | | 20.21 | | |
Year ended June 30, 2018 | | | | | 25.99 | | | | | | 0.16 | | | | | | (2.53) | | | | | | (2.37) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.62 | | |
Year ended June 30, 2017 | | | | | 23.42 | | | | | | (0.04) | | | | | | 2.60 | | | | | | 2.56(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 25.99 | | |
Year ended June 30, 2016 | | | | | 25.96 | | | | | | (0.24) | | | | | | (2.30) | | | | | | (2.54) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.42 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | | 21.83 | | | | | | 0.06 | | | | | | 2.52 | | | | | | 2.58 | | | | | | (0.20) | | | | | | — | | | | | | — | | | | | | (0.20) | | | | | | 0.04 | | | | | | 24.25 | | |
Year ended June 30, 2019 | | | | | 20.05 | | | | | | 0.31 | | | | | | 1.52 | | | | | | 1.83(15) | | | | | | (0.09) | | | | | | — | | | | | | — | | | | | | (0.09) | | | | | | 0.04 | | | | | | 21.83 | | |
Year ended June 30, 2018 | | | | | 20.00 | | | | | | 0.18 | | | | | | (0.13) | | | | | | 0.05 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 20.05 | | |
Year ended June 30, 2017 | | | | | 23.30 | | | | | | (0.02) | | | | | | (3.30) | | | | | | (3.32)(15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 20.00 | | |
Year ended June 30, 2016 | | | | | 19.34 | | | | | | (0.13) | | | | | | 4.09(8) | | | | | | 3.96 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23.30 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | | 23.85 | | | | | | 0.93 | | | | | | (3.04) | | | | | | (2.11) | | | | | | (1.10) | | | | | | — | | | | | | (0.11) | | | | | | (1.21) | | | | | | —(9) | | | | | | 20.53 | | |
Year ended June 30, 2019 | | | | | 23.56 | | | | | | 1.00 | | | | | | 0.16 | | | | | | 1.16 | | | | | | (0.87) | | | | | | — | | | | | | — | | | | | | (0.87) | | | | | | —(9) | | | | | | 23.85 | | |
Year ended June 30, 2018 | | | | | 25.41 | | | | | | 0.90 | | | | | | (0.99) | | | | | | (0.09) | | | | | | (1.19) | | | | | | (0.57) | | | | | | — | | | | | | (1.76) | | | | | | — | | | | | | 23.56 | | |
Year ended June 30, 2017 | | | | | 25.43 | | | | | | 1.04 | | | | | | 0.44(8) | | | | | | 1.48(15) | | | | | | (0.91) | | | | | | (0.60) | | | | | | — | | | | | | (1.51) | | | | | | 0.01 | | | | | | 25.41 | | |
Year ended June 30, 2016 | | | | | 23.87 | | | | | | 0.86 | | | | | | 1.93 | | | | | | 2.79 | | | | | | (0.83) | | | | | | (0.40) | | | | | | — | | | | | | (1.23) | | | | | | — | | | | | | 25.43 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | | 25.75 | | | | | | 0.71 | | | | | | (2.55) | | | | | | (1.84) | | | | | | (0.69) | | | | | | —(9) | | | | | | — | | | | | | (0.69) | | | | | | — | | | | | | 23.22 | | |
For the period 05/23/19* – 06/30/19 | | | | | 25.00 | | | | | | 0.14 | | | | | | 0.61 | | | | | | 0.75 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.75 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2020 | | | | | 25.67 | | | | | | 0.41 | | | | | | 1.85 | | | | | | 2.26 | | | | | | (0.31) | | | | | | (0.07) | | | | | | — | | | | | | (0.38) | | | | | | — | | | | | | 27.55 | | |
For the period 05/23/19* – 06/30/19 | | | | | 25.00 | | | | | | 0.09 | | | | | | 0.58 | | | | | | 0.67 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 25.67 | | |
| RATIOS/SUPPLEMENTAL DATA | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of(2) | | | | | | | | | Total Return(3)(4) | | | | | | | | | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||
| Expenses, after waivers and/or reimbursements and before securities sold short | | | Expenses, after waivers and/or reimbursements and securities sold short | | | Expenses, before waivers and/or reimbursements and after securities sold short | | | Net investment income (loss) | | | Net investment income (loss), before waivers | | | Net investment income (loss) net of reimbursements excluding special dividends(11) | | | Net investment income (loss) per share excluding special dividends(12) | | | Net asset value(5) | | | Market value(6) | | | Portfolio turnover rate (excluding short sales)(3)(7) | | | Portfolio turnover rate (including short sales)(3)(7) | | | Ending net assets (thousands) | | ||||||||||||||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.70% | | | | | | 2.83% | | | | | | 9.79% | | | | | | (0.99)% | | | | | | (7.95)% | | | | | | (0.99)% | | | | | $ | (0.26) | | | | | | 18.09% | | | | | | 17.44% | | | | | | 132% | | | | | | 391% | | | | | $ | 5,811 | | |
| | | 0.75 | | | | | | 2.62 | | | | | | 6.23 | | | | | | 0.08 | | | | | | (3.53) | | | | | | 0.08 | | | | | | 0.02 | | | | | | 0.24 | | | | | | 0.29 | | | | | | 137 | | | | | | 384 | | | | | | 2,460 | | |
| | | 0.75 | | | | | | 1.88 | | | | | | 5.81 | | | | | | (0.82) | | | | | | (4.76) | | | | | | (0.82) | | | | | | (0.21) | | | | | | 9.50 | | | | | | 9.41 | | | | | | 184 | | | | | | 402 | | | | | | 8,589 | | |
| | | 0.99 | | | | | | 2.31 | | | | | | 10.55 | | | | | | (0.90) | | | | | | (9.14) | | | | | | (1.02) | | | | | | (0.24) | | | | | | (16.16) | | | | | | (16.12) | | | | | | 172 | | | | | | 380 | | | | | | 2,241 | | |
| | | 1.49 | | | | | | 3.67 | | | | | | 7.77 | | | | | | (2.34) | | | | | | (6.44) | | | | | | (2.37) | | | | | | (0.63) | | | | | | 6.96 | | | | | | 7.01 | | | | | | 210 | | | | | | 647 | | | | | | 4,009 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.73 | | | | | | 1.70 | | | | | | 23.08 | | | | | | 1.61 | | | | | | (19.77) | | | | | | 1.61 | | | | | $ | 0.30 | | | | | | (26.21) | | | | | | (25.47) | | | | | | 58 | | | | | | 122 | | | | | | 730 | | |
| | | 0.75 | | | | | | 1.91 | | | | | | 24.39 | | | | | | 2.16 | | | | | | (20.32) | | | | | | 2.16 | | | | | | 0.48 | | | | | | (13.77) | | | | | | (13.73) | | | | | | 59 | | | | | | 123 | | | | | | 1,011 | | |
| | | 0.75 | | | | | | 1.12 | | | | | | 18.34 | | | | | | 0.63 | | | | | | (16.60) | | | | | | 0.61 | | | | | | 0.15 | | | | | | (9.12) | | | | | | (9.19) | | | | | | 81 | | | | | | 152 | | | | | | 1,181 | | |
| | | 0.97 | | | | | | 2.09 | | | | | | 12.00 | | | | | | (0.15) | | | | | | (10.06) | | | | | | (0.15) | | | | | | (0.04) | | | | | | 10.97 | | | | | | 11.11 | | | | | | 79 | | | | | | 246 | | | | ��� | | 1,300 | | |
| | | 1.49 | | | | | | 3.05 | | | | | | 10.14 | | | | | | (0.95) | | | | | | (8.03) | | | | | | (0.97) | | | | | | (0.24) | | | | | | (9.78) | | | | | | (10.38) | | | | | | 95 | | | | | | 195 | | | | | | 2,342 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 2.19 | | | | | | 2.57 | | | | | | 0.25 | | | | | | (0.13) | | | | | | 0.25 | | | | | $ | 0.06 | | | | | | 12.07 | | | | | | 11.99 | | | | | | 144 | | | | | | 483 | | | | | | 192,755 | | |
| | | 0.50 | | | | | | 2.16 | | | | | | 2.94 | | | | | | 1.45 | | | | | | 0.67 | | | | | | 1.42 | | | | | | 0.30 | | | | | | 9.30 | | | | | | 9.66 | | | | | | 116 | | | | | | 341 | | | | | | 65,492 | | |
| | | 0.75 | | | | | | 1.06 | | | | | | 3.39 | | | | | | 0.93 | | | | | | (1.41) | | | | | | 0.93 | | | | | | 0.18 | | | | | | 0.25 | | | | | | 0.20 | | | | | | 166 | | | | | | 347 | | | | | | 9,023 | | |
| | | 0.84 | | | | | | 2.02 | | | | | | 3.60 | | | | | | (0.07) | | | | | | (1.66) | | | | | | (0.17) | | | | | | (0.04) | | | | | | (14.16) | | | | | | (14.16) | | | | | | 98 | | | | | | 273 | | | | | | 10,000 | | |
| | | 0.99 | | | | | | 2.71 | | | | | | 3.13 | | | | | | (0.61) | | | | | | (1.03) | | | | | | (0.84) | | | | | | (0.18) | | | | | | 20.48 | | | | | | 20.48 | | | | | | 168 | | | | | | 974 | | | | | | 26,793 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 1.21 | | | | | | 6.30 | | | | | | 3.99 | | | | | | (1.10) | | | | | | 3.99 | | | | | $ | 0.93 | | | | | | (9.10) | | | | | | (9.42) | | | | | | 127 | | | | | | 187 | | | | | | 3,080 | | |
| | | 0.55 | | | | | | 1.16 | | | | | | 8.99 | | | | | | 4.17 | | | | | | (3.66) | | | | | | 4.15 | | | | | | 1.00 | | | | | | 5.02 | | | | | | 5.28 | | | | | | 132 | | | | | | 185 | | | | | | 4,770 | | |
| | | 0.75 | | | | | | 1.00 | | | | | | 3.98 | | | | | | 3.60 | | | | | | 0.62 | | | | | | 3.53 | | | | | | 0.88 | | | | | | (0.26) | | | | | | (0.39) | | | | | | 100 | | | | | | 141 | | | | | | 2,356 | | |
| | | 0.79 | | | | | | 1.16 | | | | | | 3.73 | | | | | | 4.04 | | | | | | 1.47 | | | | | | 4.04 | | | | | | 1.04 | | | | | | 5.88 | | | | | | 6.05 | | | | | | 108 | | | | | | 168 | | | | | | 11,434 | | |
| | | 0.99 | | | | | | 1.75 | | | | | | 5.31 | | | | | | 3.61 | | | | | | 0.06 | | | | | | 3.60 | | | | | | 0.85 | | | | | | 12.21 | | | | | | 11.84 | | | | | | 130 | | | | | | 192 | | | | | | 3,815 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45(13) | | | | | | 0.45(13) | | | | | | 6.81(13) | | | | | | 2.82 | | | | | | (3.54) | | | | | | 2.82 | | | | | $ | 0.71 | | | | | | (7.32) | | | | | | (6.76) | | | | | | 32 | | | | | | 32 | | | | | | 2,322 | | |
| | | 0.45(13) | | | | | | 0.45(13) | | | | | | 16.91(13) | | | | | | 5.28 | | | | | | (11.19) | | | | | | 5.28 | | | | | | 0.14 | | | | | | 3.00 | | | | | | 3.00 | | | | | | — | | | | | | — | | | | | | 2,575 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.33(14) | | | | | | 0.33(14) | | | | | | 6.04(14) | | | | | | 1.52 | | | | | | (4.18) | | | | | | 1.52 | | | | | $ | 0.41 | | | | | | 8.81 | | | | | | 8.30 | | | | | | 31 | | | | | | 31 | | | | | | 2,755 | | |
| | | 0.36(14) | | | | | | 0.36(14) | | | | | | 15.05(14) | | | | | | 3.30 | | | | | | (11.38) | | | | | | 3.30 | | | | | | 0.09 | | | | | | 2.68 | | | | | | 2.72 | | | | | | — | | | | | | — | | | | | | 2,567 | | |
Notes to Financial Statements
June 30, 2020
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 5,398,279 | | | | | $ | — | | | | | $ | — | | | | | $ | 5,398,279 | | |
Rights | | | | | 44 | | | | | | — | | | | | | — | | | | | | 44 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (5,696,281) | | | | | $ | — | | | | | $ | — | | | | | $ | (5,696,281) | | |
Master Limited Partnerships | | | | | (30,120) | | | | | | — | | | | | | — | | | | | | (30,120) | | |
Total Investments | | | | $ | (328,078) | | | | | $ | — | | | | | $ | — | | | | | $ | (328,078) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 138,273 | | | | | $ | — | | | | | $ | 138,273 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (50,558) | | | | | $ | — | | | | | $ | (50,558) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 87,715 | | | | | $ | — | | | | | $ | 87,715 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 682,359 | | | | | $ | — | | | | | $ | — | | | | | $ | 682,359 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (688,937) | | | | | $ | — | | | | | $ | — | | | | | $ | (688,937) | | |
Total Investments | | | | $ | (6,578) | | | | | $ | — | | | | | $ | — | | | | | $ | (6,578) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (24,202) | | | | | $ | — | | | | | $ | (24,202) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | (24,202) | | | | | $ | — | | | | | $ | (24,202) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 183,455,518 | | | | | $ | — | | | | | $ | — | | | | | $ | 183,455,518 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (192,859,911) | | | | | $ | — | | | | | $ | — | | | | | $ | (192,859,911) | | |
Exchange Traded Funds | | | | | (13,568) | | | | | | — | | | | | | — | | | | | | (13,568) | | |
Total Investments | | | | $ | (9,417,961) | | | | | $ | — | | | | | $ | — | | | | | $ | (9,417,961) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 2,181,515 | | | | | $ | — | | | | | $ | 2,181,515 | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 2,181,515 | | | | | $ | — | | | | | $ | 2,181,515 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 2,893,411 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,893,411 | | |
Master Limited Partnerships | | | | | 121,821 | | | | | | — | | | | | | — | | | | | | 121,821 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,487,210) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,487,210) | | |
Master Limited Partnerships | | | | | (20,516) | | | | | | — | | | | | | — | | | | | | (20,516) | | |
Total Investments | | | | $ | 1,507,506 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,507,506 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Construction & Engineering | | | | $ | — | | | | | $ | 112,098 | | | | | $ | — | | | | | $ | 112,098 | | |
Diversified Telecommunication Services | | | | | — | | | | | | 105,274 | | | | | | — | | | | | | 105,274 | | |
Electric Utilities | | | | | 204,729 | | | | | | 87,980 | | | | | | — | | | | | | 292,709 | | |
Equity Real Estate Investment Trusts (REITs) | | | | | 513,173 | | | | | | 25,664 | | | | | | — | | | | | | 538,837 | | |
Gas Utilities | | | | | 32,382 | | | | | | 62,553 | | | | | | — | | | | | | 94,935 | | |
Independent Power and Renewable Electricity Producers | | | | | 11,336 | | | | | | 7,819 | | | | | | — | | | | | | 19,155 | | |
Machinery | | | | | — | | | | | | 2,920 | | | | | | — | | | | | | 2,920 | | |
Multi-Utilities | | | | | 173,879 | | | | | | 141,058 | | | | | | — | | | | | | 314,937 | | |
Road & Rail | | | | | 39,227 | | | | | | 10,793 | | | | | | — | | | | | | 50,020 | | |
Transportation Infrastructure | | | | | 5,817 | | | | | | 195,283 | | | | | | — | | | | | | 201,100 | | |
Water Utilities | | | | | 31,651 | | | | | | 49,456 | | | | | | — | | | | | | 81,107 | | |
Other* | | | | | 475,918 | | | | | | — | | | | | | — | | | | | | 475,918 | | |
Exchange Traded Funds | | | | | 22,930 | | | | | | — | | | | | | — | | | | | | 22,930 | | |
Master Limited Partnerships | | | | | 10,837 | | | | | | — | | | | | | — | | | | | | 10,837 | | |
Total Investments | | | | $ | 1,521,879 | | | | | $ | 800,898 | | | | | $ | — | | | | | $ | 2,322,777 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds | | | | $ | 2,335,674 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,335,674 | | |
Total Investments | | | | $ | 2,335,674 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,335,674 | | |
The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties
surrounding inputs for a non-derivative security with the same market value.
Fund | | | Average Contract Long | | | Average Contract Short | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 330,077 | | | | | $ | (257,118) | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 107,842 | | | | | | (133,183) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 14,165,916 | | | | | | (12,417,767) | | |
Fair Value of Derivative Instruments as of June 30, 2020 | | ||||||||||||||||||
Fund | | | Derivatives not accounted for as hedging instruments under ASC 815 | | | Location | | | Assets Value | | | Liabilities Value | | ||||||
| | | Swap agreements | | | Statements of Assets and Liabilities | | | | | | | | | | | | | |
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | | | | $ | 138,273 | | | | | $ | 50,558 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | | | | — | | | | | | 24,202 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | 2,181,515 | | | | | | — | | |
The Effect of Derivative Instruments on the Statements of Operations as of June 30, 2020 | | |||||||||||||||
Fund | | | Derivatives not accounted for as hedging instruments under ASC 815 | | | Realized Gain or (Loss) on Derivatives | | | Change in Unrealized Appreciation or (Depreciation) on Derivatives | | ||||||
| | | Swap agreements | | | | | | | | | | | | | |
AGFiQ U.S. Market Neutral Momentum Fund | | | | | | | $ | 48,186 | | | | | $ | 11,657 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | | | | (36,959) | | | | | | 3,600 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | (284,701) | | | | | | 1,562,379 | | |
| | | Year Ended June 30, 2020 | | | Year Ended June 30, 2019 | | ||||||||||||||||||||||||||||||||||||||||||
Fund | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Tax Return of Capital | | | Total Distributions | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Tax Return of Capital | | | Total Distributions | | ||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 22,169 | | | | | | — | | | | | | — | | | | | | 22,169 | | | | | | 8,604 | | | | | | — | | | | | | — | | | | | | 8,604 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 1,077,142 | | | | | | — | | | | | | — | | | | | | 1,077,142 | | | | | | 128,640 | | | | | | — | | | | | | — | | | | | | 128,640 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 196,558 | | | | | | — | | | | | | 16,969 | | | | | | 213,527 | | | | | | 117,526 | | | | | | — | | | | | | — | | | | | | 117,526 | | |
AGFiQ Global Infrastructure ETF | | | | | 68,765 | | | | | | 38 | | | | | | — | | | | | | 68,803 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 38,385 | | | | | | — | | | | | | — | | | | | | 38,385 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Fund | | | Undistributed Ordinary Income | | | Undistributed Long-Term Capital Gains | | | Accumulated Capital and Other Losses | | | Unrealized Appreciation/ (Depreciation)* | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | — | | | | | $ | — | | | | | $ | (2,747,089) | | | | | $ | 688,304 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 14,912 | | | | | | — | | | | | | (1,717,634) | | | | | | (329,312) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | — | | | | | | — | | | | | | (14,137,303) | | | | | | 5,754,112 | | |
AGFiQ Hedged Dividend Income Fund | | | | | — | | | | | | — | | | | | | (1,018,506) | | | | | | (381,108) | | |
AGFiQ Global Infrastructure ETF | | | | | 11,757 | | | | | | — | | | | | | (32,161) | | | | | | (157,378) | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 48,661 | | | | | | — | | | | | | — | | | | | | 206,243 | | |
Fund | | | Capital Loss Carryforwards | | | Utilized Capital Loss Carryforwards | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 2,577,489 | | | | | $ | — | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 1,569,998 | | | | | | — | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 13,139,933 | | | | | | 3,588,975 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 785,443 | | | | | | — | | |
AGFiQ Global Infrastructure ETF | | | | | 6,854 | | | | | | — | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | — | | |
Fund | | | Ordinary Late Year Loss Deferrals | | | Post-October Capital Losses | | | Total | | |||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 21,911 | | | | | $ | 147,689 | | | | | $ | 169,600 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | — | | | | | | 147,636 | | | | | | 147,636 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 215,613 | | | | | | 781,757 | | | | | | 997,370 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 33,784 | | | | | | 199,279 | | | | | | 233,063 | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 25,307 | | | | | | 25,307 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | — | | | | | | — | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 14,337 | | | | | $ | 188,265 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 4,664 | | | | | | 195,562 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 484,176 | | | | | | — | | |
AGFiQ Hedged Dividend Income Fund | | | | | 19,050 | | | | | | 195,982 | | |
AGFiQ Global Infrastructure ETF | | | | | 11,273 | | | | | | 147,850 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 11,990 | | | | | | 139,757 | | |
| | | Expires June 30, | | | Total Eligible for Recoupment | | | ||||||||||||||||||||
Fund | | | 2021 | | | 2022 | | | 2023 | | | |||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 214,161 | | | | | $ | 242,138 | | | | | $ | 202,602 | | | | | $ | 658,901 | | | | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 215,970 | | | | | | 249,332 | | | | | | 200,226 | | | | | | 665,528 | | | | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 208,882 | | | | | | 255,129 | | | | | | 484,176 | | | | | | 948,187 | | | | | |
AGFiQ Hedged Dividend Income Fund | | | | | 210,337 | | | | | | 255,140 | | | | | | 215,032 | | | | | | 680,509 | | | | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 44,646 | | | | | | 159,123 | | | | | | 203,769 | | | | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | 39,362 | | | | | | 148,662 | | | | | | 188,024 | | | | | |
Fund | | | Year Ended June 30, 2020 | | |||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 6,476 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 220,239 | | |
Fund | | | Year Ended June 30, 2020 | | |||
AGFiQ Hedged Dividend Income Fund | | | | | 461 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 3,506,461 | | | | | $ | 6,895,024 | | | | | $ | 5,104,540 | | | | | $ | 9,457,472 | | |
AGFiQ U.S. Market Neutral Value Fund | | | | | 491,753 | | | | | | 767,179 | | | | | | 592,948 | | | | | | 441,749 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 229,936,191 | | | | | | 314,710,850 | | | | | | 162,399,950 | | | | | | 461,634,463 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 5,218,797 | | | | | | 3,222,352 | | | | | | 5,231,568 | | | | | | 2,466,899 | | |
AGFiQ Global Infrastructure ETF | | | | | 828,361 | | | | | | — | | | | | | 795,306 | | | | | | — | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 792,081 | | | | | | — | | | | | | 1,191,478 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 1,102,606 | | | | | $ | 129,964 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 143,595,077 | | | | | | 2,026,001 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 2,226,455 | | | | | | 10,969 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 4,883,114 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 206,376,457 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 1,180,340 | | |
June 30, 2020
Boston, Massachusetts
August 25, 2020
June 30, 2020
June 30, 2020
| | | Beginning Account Value 01/01/20 | | | Ending Account Value 06/30/20 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,253.80 | | | | | $ | 14.40 | | | | | | 2.57% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,012.08 | | | | | $ | 12.86 | | | | | | 2.57% | | |
AGFiQ U.S. Market Neutral Value Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 694.70 | | | | | $ | 6.78 | | | | | | 1.61% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,016.86 | | | | | $ | 8.07 | | | | | | 1.61% | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,094.30 | | | | | $ | 11.14 | | | | | | 2.14% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,014.22 | | | | | $ | 10.72 | | | | | | 2.14% | | |
AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 868.60 | | | | | $ | 5.48 | | | | | | 1.18% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,019.00 | | | | | $ | 5.92 | | | | | | 1.18% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 881.70 | | | | | $ | 2.11 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.63 | | | | | $ | 2.26 | | | | | | 0.45% | | |
AGFiQ Dynamic Hedged U.S. Equity ETF(b) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 997.10 | | | | | $ | 2.04 | | | | | | 0.41% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.82 | | | | | $ | 2.06 | | | | | | 0.41% | | |
Fund | | | QDI | | | DRD | | ||||||
AGFiQ U.S. Market Neutral Value Fund | | | | | 81.73% | | | | | | 73.91% | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 100.00% | | | | | | 100.00% | | |
AGFiQ Hedged Dividend Income Fund | | | | | 72.99% | | | | | | 74.65% | | |
AGFiQ Global Infrastructure ETF | | | | | 93.53% | | | | | | 36.06% | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 100.00% | | | | | | 100.00% | | |
Fund | | | Foreign Taxes Paid | | | Foreign Source Income | | ||||||
AGFiQ Global Infrastructure ETF | | | | $ | 6,612 | | | | | $ | 49,021 | | |
Name, Address*, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Directorships Held by Trustee | |
Independent Trustees | | |||||||||||||||
Peter A. Ambrosini Year of Birth: 1943 | | | Trustee | | | Indefinite/ Since 2011 | | | Independent Consultant, Independent Directors of GMO Trust (2013 − Present); Independent Consultant, GMO Funds, (2011 to present); Principal, Dover Consulting LLC (2008 to 2015). | | | 8 | | | None | |
Joseph A. Franco Year of Birth: 1957 | | | Trustee | | | Indefinite/ Since 2011 | | | Professor of Law, Suffolk University Law School (1996 to present). | | | 8 | | | None | |
Richard S. Robie III Year of Birth: 1960 | | | Trustee | | | Indefinite/ Since 2011 | | | Chief Operating Officer, Eagle Capital Management (July 2017 to present); Consultant, Advent International (August 2010 to present). | | | 8 | | | None | |
Interested Trustee** | | |||||||||||||||
William C. Carey Year of Birth: 1960 | | | Trustee; Vice President | | | Indefinite/ Since 2018 Since 2018 | | | Chief Executive Officer, AGF Investments LLC (September 2013 to February 2020). | | | 8 | | | Trustee, Bates College (2011 to present). | |
Name, Address, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During the Past 5 Years | |
Joshua G. Hunter 10 High Street, Suite 302 Boston, MA 02110 Year of Birth: 1981 | | | Principal Financial Officer and Treasurer | | | Indefinite/ Since 2015 | | | Fund Principal Financial Officer, Foreside Management Services LLC (July 2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 to July 2015).* | |
William H. DeRoche 53 State Street, Suite 1308, Boston, MA 02109 Year of Birth: 1962 | | | President | | | Indefinite/ Since 2012 | | | Chief Investment Officer, Adviser (April 2010 to present); Chief Compliance Officer, Adviser (June 2012 to March 2017); Portfolio Manager, ICC Capital (March 2015 to December 2015). | |
Kenneth A. Kalina c/o Foreside 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1959 | | | Chief Compliance Officer | | | Indefinite/ Since 2017 | | | Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (December 2005 to December 2015).* | |
Kevin McCreadie 66 Wellington Street West 31st Floor Toronto, Ontario Canada M5K 1E9 Year of Birth: 1960 | | | Vice President | | | Indefinite/ Since 2017 | | | Director and Chief Investment Officer of AGF Investments America Inc, and Executive Vice President and Chief Investment Officer of AGF Management Limited (June 2014 to present); Senior Officer and/or Director of certain subsidiaries of AGF Management Limited (June 2014 to present); Managing Executive – Institutional Asset Management, PNC Financial Services Group Inc.’s (“PNC”) Asset Management Group (December 2008 to May 2014); President and Chief Investment Officer, PNC Capital Advisors, LLC, a division of PNC and President, PNC Funds Co. and President, PNC Alternative Investment Funds Co. (March 2007 to May 2014). | |
Boston, MA 02109
www.AGFiQ.com
Foreside Fund Services, LLC
Item 2. Code of Ethics.
As of the end of the period, June 30, 2020, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR that applies to its principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. During the period covered by this report, there have been no waivers granted under the code of ethics.
Item 3. Audit Committee Financial Expert.
The Board has determined that it does not include an audit committee financial expert, notwithstanding certain Trustees’ past experience overseeing the implementation of accounting controls and principles, due to the continuous modernization of accounting and tax requirements and the increasingly important role played by technology in the conduct of audits.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for AGF Investments Trust by PricewaterhouseCoopers LLP (“PwC”) for the fiscal years ended June 30, 2018 and June 30, 2019 were:
2019 | 2020 | |
Audit Fees (a) | 113,477 | 102,103 |
Audit Related Fees (b) | 0 | 0 |
Tax Fees (c) | 50,815 | 59,217 |
All Other Fees (d) | 0 | 0 |
Total: | 164,292 | 161,320 |
(a) | Audit Fees: These fees relate to professional services rendered by PwC for the audit of the Registrant’s annual financial statement or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents. |
(b) | Audit Related Fees: These fees relate to assurance and related services by PwC related to audit services in connection with the June 30, 2019 and June 30, 2020 annual financial statement. |
(c) | Tax Fees: These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. |
(d) | All Other Fees: These fees relate to products and services provided by PwC other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e)(1) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
(e)(2) | 0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable. |
(g) | Disclose 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 the fiscal year ended June 30, 2019 and June 30, 2020: $50,815 and $59,217, respectively. |
(h) | The Registrant's Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant's investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Peter A. Ambrosini, Joseph A. Franco and Richard S. Robie III, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) Schedule I – Investments in Securities of Unaffiliated Issuers
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940.
The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(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) that occurred during the period covered by this report that have materially affected, or are 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 to the Registrant.
Item 13. Exhibits.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(a)(1) | Code of Ethics – Filed herewith. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable. |
(a)(4) | A change in the registrant’s independent public accountant – Not applicable |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
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.
AGF Investments Trust
By: | /s/ William DeRoche | |
William DeRoche | ||
President and Principal Executive Officer | ||
September 3, 2020 |
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: | /s/ William DeRoche | |
William DeRoche | ||
President and Principal Executive Officer | ||
September 3, 2020 |
By: | /s/ Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
September 3, 2020 |