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: December 31, 2020
Item 1. Reports to Stockholders.
(a) | 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). |
| | | Allocation of Portfolio Holdings and Industries | | |
| | | | 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 | | |
| | | Expense Examples | | |
| | | Liquidity Risk Management | | |
| | | Additional Information | |
December 31, 2020 (Unaudited)
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 89% | | |
Equity Securities Short Positions | | | | | -97% | | |
Swap Agreements Long Positions | | | | | 19% | | |
Swap Agreements Short Positions | | | | | -14% | | |
Company | | | % of Net Assets | | |||
Peloton Interactive, Inc. | | | | | 0.6% | | |
Crowdstrike Holdings, Inc. | | | | | 0.6% | | |
Zscaler, Inc. | | | | | 0.6% | | |
RingCentral, Inc. | | | | | 0.6% | | |
MongoDB, Inc. | | | | | 0.6% | | |
Chewy, Inc. | | | | | 0.6% | | |
Tesla, Inc. | | | | | 0.6% | | |
Chegg, Inc. | | | | | 0.6% | | |
Enphase Energy, Inc. | | | | | 0.5% | | |
Etsy, Inc. | | | | | 0.5% | | |
Company | | | % of Net Assets | | |||
FireEye, Inc. | | | | | -0.7% | | |
Proofpoint, Inc. | | | | | -0.7% | | |
Pluralsight, Inc. | | | | | -0.6% | | |
Cargurus, Inc. | | | | | -0.6% | | |
Nielsen Holdings plc | | | | | -0.6% | | |
Lyft, Inc. | | | | | -0.6% | | |
Coherent, Inc. | | | | | -0.6% | | |
Kohl’s Corp. | | | | | -0.6% | | |
Western Digital Corp. | | | | | -0.6% | | |
Illumina, Inc. | | | | | -0.6% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.15% | | | | | | -4.05% | | |
Consumer Discretionary | | | | | 12.26% | | | | | | -11.91% | | |
Consumer Staples | | | | | 4.82% | | | | | | -4.87% | | |
Energy | | | | | 3.16% | | | | | | -3.41% | | |
Financials | | | | | 14.58% | | | | | | -14.21% | | |
Health Care | | | | | 12.81% | | | | | | -12.80% | | |
Industrials | | | | | 13.07% | | | | | | -13.28% | | |
Information Technology | | | | | 18.15% | | | | | | -18.15% | | |
Materials | | | | | 5.40% | | | | | | -5.44% | | |
Real Estate | | | | | 6.87% | | | | | | -7.02% | | |
Utilities | | | | | 4.73% | | | | | | -4.86% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 91% | | |
Equity Securities Short Positions | | | | | -93% | | |
Swap Agreements Long Positions | | | | | 16% | | |
Swap Agreements Short Positions | | | | | -16% | | |
Company | | | % of Net Assets | | |||
Crowdstrike Holdings, Inc. | | | | | 0.6% | | |
Peloton Interactive, Inc. | | | | | 0.6% | | |
Zscaler, Inc. | | | | | 0.6% | | |
MongoDB, Inc. | | | | | 0.6% | | |
RingCentral, Inc. | | | | | 0.6% | | |
Smartsheet, Inc. | | | | | 0.6% | | |
Alexion Pharmaceuticals, Inc. | | | | | 0.6% | | |
Amedisys, Inc. | | | | | 0.6% | | |
Nielsen Holdings plc | | | | | 0.5% | | |
Fortinet, Inc. | | | | | 0.5% | | |
Company | | | % of Net Assets | | |||
Pluralsight, Inc. | | | | | -0.6% | | |
Enphase Energy, Inc. | | | | | -0.6% | | |
Lyft, Inc. | | | | | -0.6% | | |
Coherent, Inc. | | | | | -0.5% | | |
Kohl’s Corp. | | | | | -0.5% | | |
Western Digital Corp. | | | | | -0.5% | | |
Zillow Group, Inc. | | | | | -0.5% | | |
Tenet Healthcare Corp. | | | | | -0.5% | | |
Darling Ingredients, Inc. | | | | | -0.5% | | |
NRG Energy, Inc. | | | | | -0.5% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.42% | | | | | | -3.61% | | |
Consumer Discretionary | | | | | 11.71% | | | | | | -11.48% | | |
Consumer Staples | | | | | 4.77% | | | | | | -5.06% | | |
Energy | | | | | 3.07% | | | | | | -3.51% | | |
Financials | | | | | 14.51% | | | | | | -14.62% | | |
Health Care | | | | | 12.86% | | | | | | -12.84% | | |
Industrials | | | | | 13.09% | | | | | | -13.27% | | |
Information Technology | | | | | 18.24% | | | | | | -18.05% | | |
Materials | | | | | 5.35% | | | | | | -5.52% | | |
Real Estate | | | | | 7.42% | | | | | | -7.35% | | |
Utilities | | | | | 4.56% | | | | | | -4.69% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities Long Positions | | | | | 95% | | |
Equity Securities Short Positions | | | | | -49% | | |
Master Limited Partnership Long Positions | | | | | 3% | | |
Company | | | % of Net Assets | | |||
Gaming and Leisure Properties, Inc. | | | | | 1.0% | | |
Broadcom, Inc. | | | | | 1.0% | | |
Edison International | | | | | 1.0% | | |
J M Smucker Co. (The) | | | | | 1.0% | | |
Altria Group, Inc. | | | | | 1.0% | | |
NextEra Energy Partners LP | | | | | 1.0% | | |
PPL Corp. | | | | | 1.0% | | |
IDACORP, Inc. | | | | | 1.0% | | |
Healthcare Trust of America, Inc. | | | | | 1.0% | | |
NiSource, Inc. | | | | | 1.0% | | |
Company | | | % of Net Assets | | |||
WEC Energy Group, Inc. | | | | | -0.6% | | |
Xcel Energy, Inc. | | | | | -0.6% | | |
Essential Utilities, Inc. | | | | | -0.6% | | |
Evergy, Inc. | | | | | -0.6% | | |
Alliant Energy Corp. | | | | | -0.6% | | |
CenterPoint Energy, Inc. | | | | | -0.6% | | |
FirstEnergy Corp. | | | | | -0.6% | | |
Atmos Energy Corp. | | | | | -0.6% | | |
Eversource Energy | | | | | -0.6% | | |
AES Corp. (The) | | | | | -0.6% | | |
Sector Weightings | | | % of Long Weight | | | % of Short Weight | | ||||||
Communication Services | | | | | 4.01% | | | | | | -4.14% | | |
Consumer Discretionary | | | | | 5.00% | | | | | | -5.00% | | |
Consumer Staples | | | | | 10.03% | | | | | | -9.98% | | |
Energy | | | | | 6.98% | | | | | | -7.00% | | |
Financials | | | | | 12.93% | | | | | | -20.96% | | |
Health Care | | | | | 7.01% | | | | | | -6.82% | | |
Industrials | | | | | 3.98% | | | | | | -3.95% | | |
Information Technology | | | | | 8.02% | | | | | | -7.91% | | |
Materials | | | | | 4.96% | | | | | | -5.00% | | |
Real Estate | | | | | 12.02% | | | | | | -4.03% | | |
Utilities | | | | | 25.06% | | | | | | -25.21% | | |
Investment Type | | | % of Net Assets | | |||
Equity Securities | | | | | 99% | | |
Exchange Traded Fund | | | | | 0%(a) | | |
Sectors | | | % of Net Assets | | |||
Communication Services | | | | | 3.98% | | |
Consumer Discretionary | | | | | 1.09% | | |
Energy | | | | | 18.47% | | |
Industrials | | | | | 15.15% | | |
Information Technology | | | | | 2.16% | | |
Exchange Traded Funds | | | | | 0.18% | | |
Real Estate | | | | | 19.83% | | |
Utilities | | | | | 39.14% | | |
Company | | | % of Net Assets | | |||
Enbridge, Inc. | | | | | 7.2% | | |
American Tower Corp. | | | | | 7.1% | | |
Crown Castle International Corp. | | | | | 5.2% | | |
TC Energy Corp. | | | | | 3.3% | | |
National Grid plc | | | | | 3.3% | | |
Vinci SA | | | | | 3.2% | | |
Kinder Morgan, Inc. | | | | | 3.0% | | |
Williams Cos., Inc. (The) | | | | | 2.6% | | |
Sempra Energy | | | | | 2.3% | | |
Transurban Group | | | | | 2.2% | | |
Country | | | % of Net Assets | | |||
United States | | | | | 46.98% | | |
Canada | | | | | 17.06% | | |
China | | | | | 5.39% | | |
United Kingdom | | | | | 4.59% | | |
Australia | | | | | 4.53% | | |
Spain | | | | | 3.56% | | |
France | | | | | 3.20% | | |
Italy | | | | | 3.07% | | |
Germany | | | | | 2.34% | | |
Austria | | | | | 1.37% | | |
Investment Type | | | % of Net Assets | | |||
Exchange Traded Funds | | | | | 100% | | |
| | | % of Net Assets | | |||
Technology Select Sector SPDR Fund | | | | | 20.5% | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 19.7% | | |
Health Care Select Sector SPDR Fund | | | | | 14.3% | | |
Financial Select Sector SPDR Fund | | | | | 10.6% | | |
Communication Services Select Sector SPDR Fund | | | | | 9.2% | | |
Consumer Staples Select Sector SPDR Fund | | | | | 8.7% | | |
Materials Select Sector SPDR Fund | | | | | 4.3% | | |
Industrial Select Sector SPDR Fund | | | | | 4.2% | | |
Consumer Discretionary Select Sector SPDR Fund | | | | | 3.8% | | |
Utilities Select Sector SPDR Fund | | | | | 2.2% | | |
Real Estate Select Sector SPDR Fund | | | | | 2.0% | | |
Energy Select Sector SPDR Fund | | | | | 0.3% | | |
Sector | | | % of Net Assets | | |||
ETFs for Downside Hedging | | | | | 19.73% | | |
Communication Services | | | | | 9.22% | | |
Consumer Discretionary | | | | | 3.83% | | |
Consumer Staples | | | | | 8.75% | | |
Energy | | | | | 0.32% | | |
Financials | | | | | 10.64% | | |
Health Care | | | | | 14.27% | | |
Industrials | | | | | 4.22% | | |
Information Technology | | | | | 20.53% | | |
Materials | | | | | 4.29% | | |
Real Estate | | | | | 1.96% | | |
Utilities | | | | | 2.24% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 88.6% | | ||||||||||||
COMMON STOCKS – 88.6% | | ||||||||||||
Aerospace & Defense – 0.4% | | ||||||||||||
Axon Enterprise, Inc.*(a) | | | | | 168 | | | | | $ | 20,585 | | |
Air Freight & Logistics – 0.8% | | ||||||||||||
FedEx Corp.(a) | | | | | 72 | | | | | | 18,693 | | |
United Parcel Service, Inc., Class B(a) | | | | | 124 | | | | | | 20,881 | | |
| | | | | | | | | | | 39,574 | | |
Automobiles – 1.0% | | ||||||||||||
Tesla, Inc.*(a) | | | | | 40 | | | | | | 28,227 | | |
Thor Industries, Inc.(a) | | | | | 220 | | | | | | 20,458 | | |
| | | | | | | | | | | 48,685 | | |
Banks – 1.3% | | ||||||||||||
Commerce Bancshares, Inc.(a) | | | | | 319 | | | | | | 20,958 | | |
First Republic Bank(a) | | | | | 156 | | | | | | 22,921 | | |
SVB Financial Group*(a) | | | | | 60 | | | | | | 23,270 | | |
| | | | | | | | | | | 67,149 | | |
Beverages – 1.3% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A*(a) | | | | | 24 | | | | | | 23,863 | | |
Brown-Forman Corp., Class B(a) | | | | | 260 | | | | | | 20,652 | | |
Monster Beverage Corp.*(a) | | | | | 252 | | | | | | 23,305 | | |
| | | | | | | | | | | 67,820 | | |
Biotechnology – 3.2% | | ||||||||||||
Acceleron Pharma, Inc.*(a) | | | | | 184 | | | | | | 23,541 | | |
Moderna, Inc.*(a) | | | | | 216 | | | | | | 22,566 | | |
Novavax, Inc.*(a) | | | | | 224 | | | | | | 24,978 | | |
Regeneron Pharmaceuticals, Inc.*(a) | | | | | 40 | | | | | | 19,324 | | |
Seagen, Inc.*(a) | | | | | 128 | | | | | | 22,418 | | |
Ultragenyx Pharmaceutical, Inc.*(a) | | | | | 180 | | | | | | 24,918 | | |
Vir Biotechnology, Inc.*(a) | | | | | 780 | | | | | | 20,888 | | |
| | | | | | | | | | | 158,633 | | |
Building Products – 1.3% | | ||||||||||||
Fortune Brands Home & Security, Inc.(a) | | | | | 252 | | | | | | 21,602 | | |
Trane Technologies plc(a) | | | | | 144 | | | | | | 20,903 | | |
Trex Co., Inc.*(a) | | | | | 288 | | | | | | 24,111 | | |
| | | | | | | | | | | 66,616 | | |
Capital Markets – 8.1% | | ||||||||||||
Ameriprise Financial, Inc.(a) | | | | | 108 | | | | | | 20,988 | | |
Ares Management Corp.(a) | | | | | 476 | | | | | | 22,396 | | |
BlackRock, Inc.(a) | | | | | 32 | | | | | | 23,089 | | |
Blackstone Group, Inc. (The), Class A(a) | | | | | 352 | | | | | | 22,813 | | |
Eaton Vance Corp.(a) | | | | | 308 | | | | | | 20,922 | | |
FactSet Research Systems, Inc.(a) | | | | | 68 | | | | | | 22,610 | | |
Intercontinental Exchange, Inc.(a) | | | | | 204 | | | | | | 23,519 | | |
Janus Henderson Group plc(a) | | | | | 720 | | | | | | 23,407 | | |
MarketAxess Holdings, Inc.(a) | | | | | 40 | | | | | | 22,822 | | |
Moody’s Corp.(a) | | | | | 76 | | | | | | 22,058 | | |
Morgan Stanley(a) | | | | | 332 | | | | | | 22,752 | | |
Morningstar, Inc.(a) | | | | | 108 | | | | | | 25,010 | | |
MSCI, Inc.(a) | | | | | 52 | | | | | | 23,220 | | |
Nasdaq, Inc.(a) | | | | | 168 | | | | | | 22,300 | | |
S&P Global, Inc.(a) | | | | | 64 | | | | | | 21,039 | | |
T. Rowe Price Group, Inc.(a) | | | | | 148 | | | | | | 22,406 | | |
Tradeweb Markets, Inc., Class A(a) | | | | | 368 | | | | | | 22,982 | | |
Virtu Financial, Inc., Class A(a) | | | | | 936 | | | | | | 23,559 | | |
| | | | | | | | | | | 407,892 | | |
Chemicals – 3.0% | | ||||||||||||
Albemarle Corp.(a) | | | | | 156 | | | | | | 23,013 | | |
Chemours Co. (The)(a) | | | | | 828 | | | | | | 20,526 | | |
Corteva, Inc.(a) | | | | | 544 | | | | | | 21,064 | | |
FMC Corp.(a) | | | | | 180 | | | | | | 20,687 | | |
Linde plc(a) | | | | | 84 | | | | | | 22,135 | | |
Scotts Miracle-Gro Co. (The)(a) | | | | | 124 | | | | | | 24,693 | | |
Sherwin-Williams Co. (The)(a) | | | | | 28 | | | | | | 20,578 | | |
| | | | | | | | | | | 152,696 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Commercial Services & Supplies – 1.8% | | ||||||||||||
Cintas Corp.(a) | | | | | 60 | | | | | $ | 21,208 | | |
Copart, Inc.*(a) | | | | | 188 | | | | | | 23,923 | | |
IAA, Inc.*(a) | | | | | 356 | | | | | | 23,133 | | |
Rollins, Inc.(a) | | | | | 564 | | | | | | 22,035 | | |
| | | | | | | | | | | 90,299 | | |
Construction & Engineering – 0.4% | | ||||||||||||
Quanta Services, Inc.(a) | | | | | 300 | | | | | | 21,606 | | |
Consumer Finance – 0.4% | | ||||||||||||
Green Dot Corp., Class A*(a) | | | | | 380 | | | | | | 21,204 | | |
Containers & Packaging – 0.8% | | ||||||||||||
Ball Corp.(a) | | | | | 220 | | | | | | 20,499 | | |
Berry Global Group, Inc.*(a) | | | | | 388 | | | | | | 21,802 | | |
| | | | | | | | | | | 42,301 | | |
Distributors – 0.5% | | ||||||||||||
Pool Corp.(a) | | | | | 64 | | | | | | 23,840 | | |
Diversified Consumer Services – 0.6% | | ||||||||||||
Chegg, Inc.*(a) | | | | | 308 | | | | | | 27,822 | | |
Electric Utilities – 2.1% | | ||||||||||||
Alliant Energy Corp.(a) | | | | | 396 | | | | | | 20,406 | | |
Eversource Energy(a) | | | | | 244 | | | | | | 21,108 | | |
NextEra Energy, Inc.(a) | | | | | 284 | | | | | | 21,911 | | |
PG&E Corp.*(a) | | | | | 1,652 | | | | | | 20,584 | | |
Xcel Energy, Inc.(a) | | | | | 312 | | | | | | 20,801 | | |
| | | | | | | | | | | 104,810 | | |
Electrical Equipment – 1.3% | | ||||||||||||
Generac Holdings, Inc.*(a) | | | | | 100 | | | | | | 22,741 | | |
Regal Beloit Corp.(a) | | | | | 172 | | | | | | 21,123 | | |
Rockwell Automation, Inc.(a) | | | | | 84 | | | | | | 21,068 | | |
| | | | | | | | | | | 64,932 | | |
Energy Equipment & Services – 0.9% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,044 | | | | | | 21,767 | | |
Halliburton Co.(a) | | | | | 1,184 | | | | | | 22,378 | | |
| | | | | | | | | | | 44,145 | | |
Entertainment – 1.0% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 280 | | | | | | 25,998 | | |
Netflix, Inc.*(a) | | | | | 44 | | | | | | 23,792 | | |
| | | | | | | | | | | 49,790 | | |
Equity Real Estate Investment Trusts (REITs) – 6.1% | | ||||||||||||
Alexandria Real Estate Equities, Inc.(a) | | | | | 132 | | | | | | 23,525 | | |
American Tower Corp.(a) | | | | | 92 | | | | | | 20,651 | | |
CoreSite Realty Corp.(a) | | | | | 172 | | | | | | 21,548 | | |
Crown Castle International Corp.(a) | | | | | 128 | | | | | | 20,376 | | |
CyrusOne, Inc.(a) | | | | | 308 | | | | | | 22,530 | | |
Digital Realty Trust, Inc.(a) | | | | | 160 | | | | | | 22,322 | | |
Duke Realty Corp.(a) | | | | | 556 | | | | | | 22,223 | | |
EastGroup Properties, Inc.(a) | | | | | 152 | | | | | | 20,985 | | |
Equinix, Inc.(a) | | | | | 32 | | | | | | 22,854 | | |
PotlatchDeltic Corp.(a) | | | | | 460 | | | | | | 23,009 | | |
Prologis, Inc.(a) | | | | | 216 | | | | | | 21,527 | | |
Public Storage(a) | | | | | 96 | | | | | | 22,169 | | |
Rexford Industrial Realty, Inc.(a) | | | | | 436 | | | | | | 21,412 | | |
SBA Communications Corp.(a) | | | | | 76 | | | | | | 21,442 | | |
| | | | | | | | | | | 306,573 | | |
Food & Staples Retailing – 1.2% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.*(a) | | | | | 492 | | | | | | 18,342 | | |
Costco Wholesale Corp.(a) | | | | | 56 | | | | | | 21,100 | | |
Kroger Co. (The)(a) | | | | | 648 | | | | | | 20,580 | | |
| | | | | | | | | | | 60,022 | | |
Food Products – 1.3% | | ||||||||||||
Beyond Meat, Inc.*(a) | | | | | 148 | | | | | | 18,500 | | |
Darling Ingredients, Inc.*(a) | | | | | 432 | | | | | | 24,918 | | |
Hain Celestial Group, Inc. (The)*(a) | | | | | 568 | | | | | | 22,805 | | |
| | | | | | | | | | | 66,223 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Health Care Equipment & Supplies – 3.2% | | ||||||||||||
ABIOMED, Inc.*(a) | | | | | 80 | | | | | $ | 25,936 | | |
Align Technology, Inc.*(a) | | | | | 44 | | | | | | 23,513 | | |
DexCom, Inc.*(a) | | | | | 68 | | | | | | 25,141 | | |
Masimo Corp.*(a) | | | | | 88 | | | | | | 23,617 | | |
Penumbra, Inc.*(a) | | | | | 92 | | | | | | 16,100 | | |
Quidel Corp.*(a) | | | | | 120 | | | | | | 21,558 | | |
West Pharmaceutical Services, Inc.(a) | | | | | 80 | | | | | | 22,665 | | |
| | | | | | | | | | | 158,530 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Amedisys, Inc.*(a) | | | | | 92 | | | | | | 26,986 | | |
DaVita, Inc.*(a) | | | | | 192 | | | | | | 22,541 | | |
| | | | | | | | | | | 49,527 | | |
Health Care Technology – 0.9% | | ||||||||||||
Teladoc Health, Inc.*(a) | | | | | 112 | | | | | | 22,396 | | |
Veeva Systems, Inc., Class A*(a) | | | | | 80 | | | | | | 21,780 | | |
| | | | | | | | | | | 44,176 | | |
Hotels, Restaurants & Leisure – 1.3% | | ||||||||||||
Chipotle Mexican Grill, Inc.*(a) | | | | | 16 | | | | | | 22,187 | | |
Churchill Downs, Inc.(a) | | | | | 112 | | | | | | 21,817 | | |
Domino’s Pizza, Inc.(a) | | | | | 56 | | | | | | 21,474 | | |
| | | | | | | | | | | 65,478 | | |
Household Durables – 0.4% | | ||||||||||||
DR Horton, Inc.(a) | | | | | 284 | | | | | | 19,573 | | |
Household Products – 0.4% | | ||||||||||||
Clorox Co. (The)(a) | | | | | 104 | | | | | | 21,000 | | |
Independent Power and Renewable Electricity Producers – 0.5% | | ||||||||||||
AES Corp. (The)(a) | | | | | 1,000 | | | | | | 23,500 | | |
Insurance – 3.1% | | ||||||||||||
Arthur J Gallagher & Co.(a) | | | | | 180 | | | | | | 22,268 | | |
Brown & Brown, Inc.(a) | | | | | 456 | | | | | | 21,619 | | |
Erie Indemnity Co., Class A(a) | | | | | 92 | | | | | | 22,595 | | |
Marsh & McLennan Cos., Inc.(a) | | | | | 184 | | | | | | 21,528 | | |
Progressive Corp. (The)(a) | | | | | 240 | | | | | | 23,731 | | |
RLI Corp.(a) | | | | | 204 | | | | | | 21,247 | | |
Willis Towers Watson plc(a) | | | | | 100 | | | | | | 21,068 | | |
| | | | | | | | | | | 154,056 | | |
Interactive Media & Services – 1.4% | | ||||||||||||
Pinterest, Inc., Class A*(a) | | | | | 332 | | | | | | 21,879 | | |
Snap, Inc., Class A*(a) | | | | | 480 | | | | | | 24,033 | | |
Zillow Group, Inc., Class C*(a) | | | | | 196 | | | | | | 25,441 | | |
| | | | | | | | | | | 71,353 | | |
Internet & Direct Marketing Retail – 2.0% | | ||||||||||||
Amazon.com, Inc.*(a) | | | | | 8 | | | | | | 26,056 | | |
Chewy, Inc., Class A*(a) | | | | | 316 | | | | | | 28,405 | | |
Etsy, Inc.*(a) | | | | | 152 | | | | | | 27,042 | | |
Wayfair, Inc., Class A*(a) | | | | | 88 | | | | | | 19,871 | | |
| | | | | | | | | | | 101,374 | | |
IT Services – 3.4% | | ||||||||||||
EPAM Systems, Inc.*(a) | | | | | 68 | | | | | | 24,368 | | |
Fastly, Inc., Class A*(a) | | | | | 260 | | | | | | 22,716 | | |
MongoDB, Inc.*(a) | | | | | 80 | | | | | | 28,723 | | |
Okta, Inc.*(a) | | | | | 92 | | | | | | 23,392 | | |
PayPal Holdings, Inc.*(a) | | | | | 104 | | | | | | 24,357 | | |
Square, Inc., Class A*(a) | | | | | 104 | | | | | | 22,634 | | |
Twilio, Inc., Class A*(a) | | | | | 72 | | | | | | 24,372 | | |
| | | | | | | | | | | 170,562 | | |
Leisure Products – 0.6% | | ||||||||||||
Peloton Interactive, Inc., Class A*(a) | | | | | 200 | | | | | | 30,345 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Life Sciences Tools & Services – 2.3% | | ||||||||||||
10X Genomics, Inc., Class A*(a) | | | | | 156 | | | | | $ | 22,090 | | |
Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 40 | | | | | | 23,318 | | |
Charles River Laboratories International, Inc.*(a) | | | | | 96 | | | | | | 23,986 | | |
Repligen Corp.*(a) | | | | | 120 | | | | | | 22,996 | | |
Thermo Fisher Scientific, Inc.(a) | | | | | 48 | | | | | | 22,357 | | |
| | | | | | | | | | | 114,747 | | |
Machinery – 1.3% | | ||||||||||||
Cummins, Inc.(a) | | | | | 92 | | | | | | 20,893 | | |
Deere & Co.(a) | | | | | 80 | | | | | | 21,524 | | |
Graco, Inc.(a) | | | | | 308 | | | | | | 22,284 | | |
| | | | | | | | | | | 64,701 | | |
Media – 0.8% | | ||||||||||||
Charter Communications, Inc., Class A*(a) | | | | | 32 | | | | | | 21,169 | | |
Liberty Broadband Corp., Class C*(a) | | | | | 132 | | | | | | 20,905 | | |
| | | | | | | | | | | 42,074 | | |
Metals & Mining – 0.9% | | ||||||||||||
Freeport-McMoRan, Inc.(a) | | | | | 916 | | | | | | 23,834 | | |
Newmont Corp.(a) | | | | | 372 | | | | | | 22,279 | | |
| | | | | | | | | | | 46,113 | | |
Multiline Retail – 0.8% | | ||||||||||||
Dollar General Corp.(a) | | | | | 100 | | | | | | 21,030 | | |
Target Corp.(a) | | | | | 120 | | | | | | 21,184 | | |
| | | | | | | | | | | 42,214 | | |
Multi-Utilities – 1.2% | | ||||||||||||
Ameren Corp.(a) | | | | | 268 | | | | | | 20,920 | | |
Dominion Energy, Inc.(a) | | | | | 268 | | | | | | 20,153 | | |
WEC Energy Group, Inc.(a) | | | | | 220 | | | | | | 20,247 | | |
| | | | | | | | | | | 61,320 | | |
Oil, Gas & Consumable Fuels – 1.9% | | ||||||||||||
Cabot Oil & Gas Corp.(a) | | | | | 1,176 | | | | | | 19,145 | | |
Cheniere Energy, Inc.*(a) | | | | | 360 | | | | | | 21,611 | | |
EQT Corp.(a) | | | | | 1,328 | | | | | | 16,879 | | |
Equitrans Midstream Corp.(a) | | | | | 2,472 | | | | | | 19,875 | | |
Williams Cos., Inc. (The)(a) | | | | | 964 | | | | | | 19,328 | | |
| | | | | | | | | | | 96,838 | | |
Pharmaceuticals – 0.9% | | ||||||||||||
Catalent, Inc.*(a) | | | | | 224 | | | | | | 23,312 | | |
Horizon Therapeutics plc*(a) | | | | | 308 | | | | | | 22,530 | | |
| | | | | | | | | | | 45,842 | | |
Professional Services – 1.7% | | ||||||||||||
CoreLogic, Inc.(a) | | | | | 276 | | | | | | 21,340 | | |
CoStar Group, Inc.*(a) | | | | | 24 | | | | | | 22,183 | | |
IHS Markit Ltd. | | | | | 228 | | | | | | 20,481 | | |
Verisk Analytics, Inc.(a) | | | | | 108 | | | | | | 22,420 | | |
| | | | | | | | | | | 86,424 | | |
Road & Rail – 0.8% | | ||||||||||||
Old Dominion Freight Line, Inc.(a) | | | | | 104 | | | | | | 20,299 | | |
Uber Technologies, Inc.*(a) | | | | | 412 | | | | | | 21,012 | | |
| | | | | | | | | | | 41,311 | | |
Semiconductors & Semiconductor Equipment – 4.2% | | ||||||||||||
Advanced Micro Devices, Inc.*(a) | | | | | 248 | | | | | | 22,744 | | |
Enphase Energy, Inc.*(a) | | | | | 156 | | | | | | 27,373 | | |
Entegris, Inc.(a) | | | | | 236 | | | | | | 22,679 | | |
Inphi Corp.* | | | | | 140 | | | | | | 22,466 | | |
Lam Research Corp.(a) | | | | | 48 | | | | | | 22,669 | | |
Monolithic Power Systems, Inc.(a) | | | | | 68 | | | | | | 24,904 | | |
NVIDIA Corp.(a) | | | | | 40 | | | | | | 20,888 | | |
SolarEdge Technologies, Inc.*(a) | | | | | 80 | | | | | | 25,530 | | |
Teradyne, Inc.(a) | | | | | 196 | | | | | | 23,498 | | |
| | | | | | | | | | | 212,751 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Software – 8.0% | | ||||||||||||
Avalara, Inc.*(a) | | | | | 128 | | | | | $ | 21,106 | | |
Ceridian HCM Holding, Inc.*(a) | | | | | 224 | | | | | | 23,869 | | |
Cloudflare, Inc., Class A*(a) | | | | | 316 | | | | | | 24,013 | | |
Coupa Software, Inc.*(a) | | | | | 68 | | | | | | 23,046 | | |
Crowdstrike Holdings, Inc., Class A*(a) | | | | | 140 | | | | | | 29,655 | | |
Datadog, Inc., Class A*(a) | | | | | 236 | | | | | | 23,232 | | |
DocuSign, Inc.*(a) | | | | | 96 | | | | | | 21,341 | | |
Five9, Inc.*(a) | | | | | 148 | | | | | | 25,811 | | |
HubSpot, Inc.*(a) | | | | | 60 | | | | | | 23,786 | | |
Nuance Communications, Inc.*(a) | | | | | 508 | | | | | | 22,398 | | |
Pegasystems, Inc.(a) | | | | | 164 | | | | | | 21,855 | | |
RingCentral, Inc., Class A*(a) | | | | | 76 | | | | | | 28,802 | | |
ServiceNow, Inc.*(a) | | | | | 40 | | | | | | 22,017 | | |
Synopsys, Inc.*(a) | | | | | 100 | | | | | | 25,924 | | |
Trade Desk, Inc. (The), Class A*(a) | | | | | 24 | | | | | | 19,224 | | |
Zoom Video Communications, Inc., Class A*(a) | | | | | 48 | | | �� | | | 16,191 | | |
Zscaler, Inc.*(a) | | | | | 148 | | | | | | 29,557 | | |
| | | | | | | | | | | 401,827 | | |
Specialty Retail – 2.9% | | ||||||||||||
Best Buy Co., Inc.(a) | | | | | 188 | | | | | | 18,760 | | |
Carvana Co.*(a) | | | | | 88 | | | | | | 21,079 | | |
Floor & Decor Holdings, Inc., Class A*(a) | | | | | 256 | | | | | | 23,770 | | |
L Brands, Inc.(a) | | | | | 532 | | | | | | 19,785 | | |
Lithia Motors, Inc., Class A(a) | | | | | 68 | | | | | | 19,902 | | |
Restoration Hardware Holdings, Inc.*(a) | | | | | 48 | | | | | | 21,481 | | |
Williams-Sonoma, Inc.(a) | | | | | 188 | | | | | | 19,146 | | |
| | | | | | | | | | | 143,923 | | |
Technology Hardware, Storage & Peripherals – 0.5% | | ||||||||||||
Apple, Inc.(a) | | | | | 184 | | | | | | 24,415 | | |
Textiles, Apparel & Luxury Goods – 0.9% | | ||||||||||||
Deckers Outdoor Corp.*(a) | | | | | 80 | | | | | | 22,942 | | |
Lululemon Athletica, Inc.*(a) | | | | | 60 | | | | | | 20,882 | | |
| | | | | | | | | | | 43,824 | | |
Trading Companies & Distributors – 1.7% | | ||||||||||||
Fastenal Co.(a) | | | | | 432 | | | | | | 21,094 | | |
SiteOne Landscape Supply, Inc.*(a) | | | | | 156 | | | | | | 24,746 | | |
United Rentals, Inc.*(a) | | | | | 88 | | | | | | 20,408 | | |
Watsco, Inc.(a) | | | | | 92 | | | | | | 20,843 | | |
| | | | | | | | | | | 87,091 | | |
Water Utilities – 0.4% | | ||||||||||||
American Water Works Co., Inc.(a) | | | | | 140 | | | | | | 21,486 | | |
Wireless Telecommunication Services – 0.4% | | ||||||||||||
T-Mobile US, Inc.*(a) | | | | | 164 | | | | | | 22,115 | | |
TOTAL COMMON STOCKS (Cost $3,374,845) | | | | | | | | | | | 4,461,707 | | |
TOTAL LONG POSITIONS (Cost $3,374,845) | | | | | | | | | | | 4,461,707 | | |
SHORT POSITIONS – (97.3)% | | ||||||||||||
COMMON STOCKS – (97.3)% | | ||||||||||||
Aerospace & Defense – (3.2)% | | ||||||||||||
Boeing Co. (The) | | | | | (108) | | | | | | (23,119) | | |
Curtiss-Wright Corp. | | | | | (192) | | | | | | (22,339) | | |
General Dynamics Corp. | | | | | (152) | | | | | | (22,621) | | |
Hexcel Corp. | | | | | (448) | | | | | | (21,724) | | |
Howmet Aerospace, Inc.* | | | | | (932) | | | | | | (26,599) | | |
Huntington Ingalls Industries, Inc. | | | | | (136) | | | | | | (23,185) | | |
Raytheon Technologies Corp. | | | | | (316) | | | | | | (22,597) | | |
| | | | | | | | | | | (162,184) | | |
Airlines – (2.7)% | | ||||||||||||
Alaska Air Group, Inc. | | | | | (448) | | | | | | (23,296) | | |
American Airlines Group, Inc. | | | | | (1,592) | | | | | | (25,106) | | |
Delta Air Lines, Inc. | | | | | (572) | | | | | | (23,000) | | |
JetBlue Airways Corp.* | | | | | (1,488) | | | | | | (21,635) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Southwest Airlines Co. | | | | | (488) | | | | | $ | (22,746) | | |
United Airlines Holdings, Inc.* | | | | | (524) | | | | | | (22,663) | | |
| | | | | | | | | | | (138,446) | | |
Auto Components – (0.4)% | | ||||||||||||
BorgWarner, Inc. | | | | | (584) | | | | | | (22,566) | | |
Banks – (4.8)% | | ||||||||||||
Citigroup, Inc. | | | | | (412) | | | | | | (25,404) | | |
Comerica, Inc. | | | | | (432) | | | | | | (24,131) | | |
First Horizon National Corp. | | | | | (1,804) | | | | | | (23,019) | | |
FNB Corp. | | | | | (2,472) | | | | | | (23,484) | | |
M&T Bank Corp. | | | | | (192) | | | | | | (24,442) | | |
Synovus Financial Corp. | | | | | (696) | | | | | | (22,530) | | |
US Bancorp | | | | | (520) | | | | | | (24,227) | | |
Webster Financial Corp. | | | | | (588) | | | | | | (24,784) | | |
Wells Fargo & Co. | | | | | (824) | | | | | | (24,868) | | |
Wintrust Financial Corp. | | | | | (396) | | | | | | (24,192) | | |
| | | | | | | | | | | (241,081) | | |
Beverages – (0.4)% | | ||||||||||||
Molson Coors Beverage Co., Class B | | | | | (500) | | | | | | (22,595) | | |
Biotechnology – (3.5)% | | ||||||||||||
Alkermes plc* | | | | | (1,284) | | | | | | (25,616) | | |
Biogen, Inc.* | | | | | (96) | | | | | | (23,507) | | |
BioMarin Pharmaceutical, Inc.* | | | | | (304) | | | | | | (26,658) | | |
Bluebird Bio, Inc.* | | | | | (552) | | | | | | (23,885) | | |
Incyte Corp.* | | | | | (292) | | | | | | (25,398) | | |
Ionis Pharmaceuticals, Inc.* | | | | | (472) | | | | | | (26,687) | | |
Neurocrine Biosciences, Inc.* | | | | | (244) | | | | | | (23,387) | | |
| | | | | | | | | | | (175,138) | | |
Building Products – (0.4)% | | ||||||||||||
Armstrong World Industries, Inc. | | | | | (296) | | | | | | (22,019) | | |
Capital Markets – (0.5)% | | ||||||||||||
Cboe Global Markets, Inc. | | | | | (256) | | | | | | (23,839) | | |
Chemicals – (3.8)% | | ||||||||||||
Axalta Coating Systems Ltd.* | | | | | (820) | | | | | | (23,411) | | |
CF Industries Holdings, Inc. | | | | | (608) | | | | | | (23,536) | | |
DuPont de Nemours, Inc. | | | | | (356) | | | | | | (25,315) | | |
Ingevity Corp.* | | | | | (328) | | | | | | (24,839) | | |
International Flavors & Fragrances, Inc. | | | | | (204) | | | | | | (22,203) | | |
LyondellBasell Industries NV, Class A | | | | | (260) | | | | | | (23,832) | | |
NewMarket Corp. | | | | | (64) | | | | | | (25,491) | | |
W R Grace & Co. | | | | | (416) | | | | | | (22,805) | | |
| | | | | | | | | | | (191,432) | | |
Commercial Services & Supplies – (0.4)% | | ||||||||||||
Cimpress plc* | | | | | (244) | | | | | | (21,409) | | |
Communications Equipment – (1.9)% | | ||||||||||||
Cisco Systems, Inc. | | | | | (552) | | | | | | (24,702) | | |
Juniper Networks, Inc. | | | | | (1,056) | | | | | | (23,771) | | |
Motorola Solutions, Inc. | | | | | (136) | | | | | | (23,128) | | |
Viavi Solutions, Inc.* | | | | | (1,680) | | | | | | (25,158) | | |
| | | | | | | | | | | (96,759) | | |
Construction & Engineering – (0.5)% | | ||||||||||||
MasTec, Inc.* | | | | | (396) | | | | | | (26,999) | | |
Consumer Finance – (2.0)% | | ||||||||||||
Credit Acceptance Corp.* | | | | | (76) | | | | | | (26,307) | | |
FirstCash, Inc. | | | | | (332) | | | | | | (23,253) | | |
LendingTree, Inc.* | | | | | (92) | | | | | | (25,189) | | |
Synchrony Financial | | | | | (736) | | | | | | (25,546) | | |
| | | | | | | | | | | (100,295) | | |
Containers & Packaging – (0.5)% | | ||||||||||||
Graphic Packaging Holding Co. | | | | | (1,500) | | | | | | (25,410) | | |
Diversified Consumer Services – (0.9)% | | ||||||||||||
Grand Canyon Education, Inc.* | | | | | (272) | | | | | | (25,326) | | |
H&R Block, Inc. | | | | | (1,228) | | | | | | (19,476) | | |
| | | | | | | | | | | (44,802) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Diversified Telecommunication Services – (0.9)% | | ||||||||||||
AT&T, Inc. | | | | | (808) | | | | | $ | (23,238) | | |
CenturyLink, Inc. | | | | | (2,160) | | | | | | (21,060) | | |
| | | | | | | | | | | (44,298) | | |
Electric Utilities – (2.5)% | | ||||||||||||
ALLETE, Inc. | | | | | (392) | | | | | | (24,281) | | |
FirstEnergy Corp. | | | | | (884) | | | | | | (27,059) | | |
NRG Energy, Inc. | | | | | (740) | | | | | | (27,787) | | |
OGE Energy Corp. | | | | | (676) | | | | | | (21,537) | | |
Portland General Electric Co. | | | | | (540) | | | | | | (23,096) | | |
| | | | | | | | | | | (123,760) | | |
Electrical Equipment – (0.5)% | | ||||||||||||
Acuity Brands, Inc. | | | | | (192) | | | | | | (23,249) | | |
Electronic Equipment, Instruments & Components – (2.1)% | | ||||||||||||
Avnet, Inc. | | | | | (760) | | | | | | (26,684) | | |
Coherent, Inc.* | | | | | (192) | | | | | | (28,804) | | |
FLIR Systems, Inc. | | | | | (576) | | | | | | (25,246) | | |
National Instruments Corp. | | | | | (628) | | | | | | (27,594) | | |
| | | | | | | | | | | (108,328) | | |
Energy Equipment & Services – (0.5)% | | ||||||||||||
TechnipFMC plc | | | | | (2,436) | | | | | | (22,898) | | |
Entertainment – (0.5)% | | ||||||||||||
World Wrestling Entertainment, Inc., Class A | | | | | (560) | | | | | | (26,908) | | |
Equity Real Estate Investment Trusts (REITs) – (6.3)% | | ||||||||||||
Apartment Income REIT Corp.* | | | | | (600) | | | | | | (23,046) | | |
Apartment Investment and Management Co., Class A | | | | | (600) | | | | | | (3,168) | | |
Boston Properties, Inc. | | | | | (224) | | | | | | (21,175) | | |
Brixmor Property Group, Inc. | | | | | (1,404) | | | | | | (23,236) | | |
Douglas Emmett, Inc. | | | | | (708) | | | | | | (20,659) | | |
Equity Residential | | | | | (384) | | | | | | (22,764) | | |
Federal Realty Investment Trust | | | | | (252) | | | | | | (21,450) | | |
Kimco Realty Corp. | | | | | (1,528) | | | | | | (22,935) | | |
National Retail Properties, Inc. | | | | | (584) | | | | | | (23,897) | | |
Regency Centers Corp. | | | | | (484) | | | | | | (22,066) | | |
Simon Property Group, Inc. | | | | | (264) | | | | | | (22,514) | | |
SL Green Realty Corp. | | | | | (380) | | | | | | (22,640) | | |
Spirit Realty Capital, Inc. | | | | | (628) | | | | | | (25,227) | | |
Vornado Realty Trust | | | | | (564) | | | | | | (21,060) | | |
Welltower, Inc. | | | | | (360) | | | | | | (23,263) | | |
| | | | | | | | | | | (319,100) | | |
Food & Staples Retailing – (1.9)% | | ||||||||||||
Performance Food Group Co.* | | | | | (520) | | | | | | (24,757) | | |
Sysco Corp. | | | | | (324) | | | | | | (24,060) | | |
US Foods Holding Corp.* | | | | | (736) | | | | | | (24,516) | | |
Walgreens Boots Alliance, Inc. | | | | | (612) | | | | | | (24,407) | | |
| | | | | | | | | | | (97,740) | | |
Food Products – (1.4)% | | ||||||||||||
Post Holdings, Inc.* | | | | | (244) | | | | | | (24,647) | | |
TreeHouse Foods, Inc.* | | | | | (580) | | | | | | (24,644) | | |
Tyson Foods, Inc., Class A | | | | | (364) | | | | | | (23,456) | | |
| | | | | | | | | | | (72,747) | | |
Gas Utilities – (0.9)% | | ||||||||||||
Spire, Inc. | | | | | (348) | | | | | | (22,286) | | |
UGI Corp. | | | | | (620) | | | | | | (21,675) | | |
| | | | | | | | | | | (43,961) | | |
Health Care Equipment & Supplies – (3.5)% | | ||||||||||||
Becton Dickinson and Co. | | | | | (104) | | | | | | (26,023) | | |
Boston Scientific Corp.* | | | | | (696) | | | | | | (25,021) | | |
DENTSPLY SIRONA, Inc. | | | | | (456) | | | | | | (23,876) | | |
Haemonetics Corp.* | | | | | (204) | | | | | | (24,225) | | |
Hill-Rom Holdings, Inc. | | | | | (244) | | | | | | (23,905) | | |
Integra LifeSciences Holdings Corp.* | | | | | (424) | | | | | | (27,526) | | |
NuVasive, Inc.* | | | | | (492) | | | | | | (27,714) | | |
| | | | | | | | | | | (178,290) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Health Care Providers & Services – (2.4)% | | ||||||||||||
Cardinal Health, Inc. | | | | | (436) | | | | | $ | (23,352) | | |
CVS Health Corp. | | | | | (344) | | | | | | (23,495) | | |
Henry Schein, Inc.* | | | | | (364) | | | | | | (24,337) | | |
Premier, Inc., Class A | | | | | (668) | | | | | | (23,447) | | |
Universal Health Services, Inc., Class B | | | | | (176) | | | | | | (24,200) | | |
| | | | | | | | | | | (118,831) | | |
Hotels, Restaurants & Leisure – (4.8)% | | ||||||||||||
Aramark | | | | | (636) | | | | | | (24,473) | | |
Carnival Corp. | | | | | (1,164) | | | | | | (25,212) | | |
Cracker Barrel Old Country Store, Inc. | | | | | (164) | | | | | | (21,635) | | |
Darden Restaurants, Inc. | | | | | (208) | | | | | | (24,777) | | |
Hyatt Hotels Corp., Class A | | | | | (320) | | | | | | (23,760) | | |
Marriott International, Inc., Class A | | | | | (180) | | | | | | (23,746) | | |
MGM Resorts International | | | | | (828) | | | | | | (26,090) | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | (1,044) | | | | | | (26,549) | | |
Royal Caribbean Cruises Ltd. | | | | | (288) | | | | | | (21,511) | | |
Wynn Resorts Ltd. | | | | | (228) | | | | | | (25,725) | | |
| | | | | | | | | | | (243,478) | | |
Household Durables – (1.0)% | | ||||||||||||
Leggett & Platt, Inc. | | | | | (528) | | | | | | (23,391) | | |
Mohawk Industries, Inc.* | | | | | (176) | | | | | | (24,807) | | |
| | | | | | | | | | | (48,198) | | |
Household Products – (0.5)% | | ||||||||||||
Energizer Holdings, Inc. | | | | | (564) | | | | | | (23,789) | | |
Independent Power and Renewable Electricity Producers – (0.5)% | | ||||||||||||
Vistra Corp. | | | | | (1,216) | | | | | | (23,907) | | |
Industrial Conglomerates – (0.5)% | | ||||||||||||
General Electric Co. | | | | | (2,256) | | | | | | (24,365) | | |
Insurance – (4.2)% | | ||||||||||||
Alleghany Corp. | | | | | (40) | | | | | | (24,148) | | |
American Financial Group, Inc. | | | | | (248) | | | | | | (21,730) | | |
American International Group, Inc. | | | | | (576) | | | | | | (21,807) | | |
Cincinnati Financial Corp. | | | | | (296) | | | | | | (25,862) | | |
Fidelity National Financial, Inc. | | | | | (636) | | | | | | (24,861) | | |
Hartford Financial Services Group, Inc. (The) | | | | | (496) | | | | | | (24,294) | | |
Lincoln National Corp. | | | | | (464) | | | | | | (23,344) | | |
Reinsurance Group of America, Inc. | | | | | (188) | | | | | | (21,789) | | |
Unum Group | | | | | (992) | | | | | | (22,756) | | |
| | | | | | | | | | | (210,591) | | |
Interactive Media & Services – (0.6)% | | ||||||||||||
Cargurus, Inc.* | | | | | (960) | | | | | | (30,461) | | |
IT Services – (4.4)% | | ||||||||||||
Automatic Data Processing, Inc. | | | | | (136) | | | | | | (23,963) | | |
DXC Technology Co. | | | | | (996) | | | | | | (25,647) | | |
Euronet Worldwide, Inc.* | | | | | (172) | | | | | | (24,926) | | |
FleetCor Technologies, Inc.* | | | | | (88) | | | | | | (24,009) | | |
International Business Machines Corp. | | | | | (188) | | | | | | (23,666) | | |
KBR, Inc. | | | | | (824) | | | | | | (25,486) | | |
Perspecta, Inc. | | | | | (1,024) | | | | | | (24,658) | | |
Western Union Co. (The) | | | | | (1,052) | | | | | | (23,081) | | |
WEX, Inc.* | | | | | (128) | | | | | | (26,052) | | |
| | | | | | | | | | | (221,488) | | |
Leisure Products – (0.5)% | | ||||||||||||
Hasbro, Inc. | | | | | (256) | | | | | | (23,946) | | |
Life Sciences Tools & Services – (1.1)% | | ||||||||||||
Bruker Corp. | | | | | (468) | | | | | | (25,333) | | |
Illumina, Inc.* | | | | | (76) | | | | | | (28,120) | | |
| | | | | | | | | | | (53,453) | | |
Machinery – (1.5)% | | ||||||||||||
Crane Co. | | | | | (324) | | | | | | (25,162) | | |
Flowserve Corp. | | | | | (652) | | | | | | (24,026) | | |
Woodward, Inc. | | | | | (204) | | | | | | (24,792) | | |
| | | | | | | | | | | (73,980) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Marine – (0.5)% | | ||||||||||||
Kirby Corp.* | | | | | (440) | | | | | $ | (22,805) | | |
Media – (1.9)% | | ||||||||||||
Discovery, Inc., Class C* | | | | | (964) | | | | | | (25,247) | | |
Fox Corp., Class A | | | | | (800) | | | | | | (23,296) | | |
Omnicom Group, Inc. | | | | | (364) | | | | | | (22,703) | | |
ViacomCBS, Inc. | | | | | (684) | | | | | | (25,486) | | |
| | | | | | | | | | | (96,732) | | |
Metals & Mining – (1.0)% | | ||||||||||||
Alcoa Corp.* | | | | | (1,132) | | | | | | (26,093) | | |
Royal Gold, Inc. | | | | | (220) | | | | | | (23,399) | | |
| | | | | | | | | | | (49,492) | | |
Mortgage Real Estate Investment Trusts (REITs) – (0.9)% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A | | | | | (844) | | | | | | (23,236) | | |
New Residential Investment Corp. | | | | | (2,396) | | | | | | (23,816) | | |
| | | | | | | | | | | (47,052) | | |
Multiline Retail – (1.0)% | | ||||||||||||
Dollar Tree, Inc.* | | | | | (212) | | | | | | (22,904) | | |
Kohl’s Corp. | | | | | (704) | | | | | | (28,646) | | |
| | | | | | | | | | | (51,550) | | |
Multi-Utilities – (0.9)% | | ||||||||||||
Avista Corp. | | | | | (600) | | | | | | (24,084) | | |
Black Hills Corp. | | | | | (364) | | | | | | (22,368) | | |
| | | | | | | | | | | (46,452) | | |
Oil, Gas & Consumable Fuels – (2.9)% | | ||||||||||||
Apache Corp. | | | | | (1,680) | | | | | | (23,839) | | |
Diamondback Energy, Inc. | | | | | (500) | | | | | | (24,200) | | |
HollyFrontier Corp. | | | | | (912) | | | | | | (23,575) | | |
Marathon Oil Corp. | | | | | (3,652) | | | | | | (24,359) | | |
Occidental Petroleum Corp. | | | | | (1,404) | | | | | | (24,304) | | |
ONEOK, Inc. | | | | | (624) | | | | | | (23,949) | | |
| | | | | | | | | | | (144,226) | | |
Personal Products – (0.4)% | | ||||||||||||
Coty, Inc., Class A | | | | | (3,120) | | | | | | (21,902) | | |
Pharmaceuticals – (2.0)% | | ||||||||||||
Jazz Pharmaceuticals plc* | | | | | (164) | | | | | | (27,068) | | |
Merck & Co., Inc. | | | | | (296) | | | | | | (24,213) | | |
Nektar Therapeutics* | | | | | (1,412) | | | | | | (24,004) | | |
Viatris, Inc.* | | | | | (1,396) | | | | | | (26,161) | | |
| | | | | | | | | | | (101,446) | | |
Professional Services – (0.6)% | | ||||||||||||
Nielsen Holdings plc | | | | | (1,420) | | | | | | (29,635) | | |
Real Estate Management & Development – (0.5)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (316) | | | | | | (24,942) | | |
Road & Rail – (0.6)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (596) | | | | | | (29,281) | | |
Semiconductors & Semiconductor Equipment – (0.5)% | | ||||||||||||
Intel Corp. | | | | | (500) | | | | | | (24,910) | | |
Software – (5.6)% | | ||||||||||||
ACI Worldwide, Inc.* | | | | | (728) | | | | | | (27,977) | | |
Blackbaud, Inc. | | | | | (416) | | | | | | (23,945) | | |
CDK Global, Inc. | | | | | (484) | | | | | | (25,086) | | |
FireEye, Inc.* | | | | | (1,556) | | | | | | (35,881) | | |
J2 Global, Inc.* | | | | | (264) | | | | | | (25,790) | | |
New Relic, Inc.* | | | | | (420) | | | | | | (27,468) | | |
Nutanix, Inc., Class A* | | | | | (836) | | | | | | (26,643) | | |
Pluralsight, Inc., Class A* | | | | | (1,544) | | | | | | (32,362) | | |
Proofpoint, Inc.* | | | | | (240) | | | | | | (32,739) | | |
VMware, Inc., Class A* | | | | | (156) | | | | | | (21,881) | | |
| | | | | | | | | | | (279,772) | | |
Specialty Retail – (0.5)% | | ||||||||||||
Foot Locker, Inc. | | | | | (604) | | | | | | (24,426) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Technology Hardware, Storage & Peripherals – (3.1)% | | ||||||||||||
Hewlett Packard Enterprise Co. | | | | | (2,044) | | | | | $ | (24,221) | | |
HP, Inc. | | | | | (1,084) | | | | | | (26,655) | | |
NetApp, Inc. | | | | | (424) | | | | | | (28,086) | | |
Pure Storage, Inc., Class A* | | | | | (1,192) | | | | | | (26,951) | | |
Western Digital Corp. | | | | | (512) | | | | | | (28,360) | | |
Xerox Holdings Corp. | | | | | (1,000) | | | | | | (23,190) | | |
| | | | | | | | | | | (157,463) | | |
Textiles, Apparel & Luxury Goods – (2.5)% | | ||||||||||||
Carter’s, Inc. | | | | | (248) | | | | | | (23,330) | | |
PVH Corp. | | | | | (272) | | | | | | (25,538) | | |
Ralph Lauren Corp. | | | | | (264) | | | | | | (27,387) | | |
Skechers USA, Inc., Class A* | | | | | (684) | | | | | | (24,583) | | |
Under Armour, Inc., Class A* | | | | | (1,384) | | | | | | (23,763) | | |
| | | | | | | | | | | (124,601) | | |
Thrifts & Mortgage Finance – (1.5)% | | ||||||||||||
MGIC Investment Corp. | | | | | (1,888) | | | | | | (23,694) | | |
New York Community Bancorp, Inc. | | | | | (2,416) | | | | | | (25,489) | | |
Radian Group, Inc. | | | | | (1,180) | | | | | | (23,895) | | |
| | | | | | | | | | | (73,078) | | |
Trading Companies & Distributors – (1.0)% | | ||||||||||||
Air Lease Corp. | | | | | (592) | | | | | | (26,297) | | |
Univar Solutions, Inc.* | | | | | (1,260) | | | | | | (23,952) | | |
| | | | | | | | | | | (50,249) | | |
Transportation Infrastructure – (0.5)% | | ||||||||||||
Macquarie Infrastructure Corp. | | | | | (684) | | | | | | (25,684) | | |
TOTAL COMMON STOCKS (Proceeds $(4,173,850)) | | | | | | | | | | | (4,898,438) | | |
TOTAL SHORT POSITIONS (Proceeds $(4,173,850)) | | | | | | | | | | | (4,898,438) | | |
Total Investments – (8.7)% (Cost $(799,005)) | | | | | | | | | | | (436,731) | | |
Other assets less liabilities – 108.7% | | | | | | | | | | | 5,473,781 | | |
Net Assets – 100.0% | | | | | | | | | | | 5,037,050 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 1,496,297 | | |
| Aggregate gross unrealized depreciation | | | | | (1,050,920) | | |
| Net unrealized appreciation | | | | $ | 445,377 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | (795,740) | | |
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) | | ||||||||||||||||||
| USD616,168 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.64% | | | | | | Monthly | | | | Dow Jones U.S. High Momentum Total Return Index(6) | | | | $ | 323,438 | | | | | $ | — | | | | | $ | 323,438 | | |
| USD(477,317) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.26)% | | | | | | Monthly | | | | Dow Jones U.S. Low Momentum Total Return Index(7) | | | | | (237,070) | | | | | | 20,039(8) | | | | | | (217,031) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 86,368 | | | | | | | | | | | $ | 106,407 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 91.2% | | | | | | | | | | | | | |
COMMON STOCKS – 91.2% | | | | | | | | | | | | | |
Aerospace & Defense – 1.8% | | ||||||||||||
L3Harris Technologies, Inc.(a) | | | | | 2,919 | | | | | $ | 551,749 | | |
Lockheed Martin Corp.(a) | | | | | 1,529 | | | | | | 542,764 | | |
Mercury Systems, Inc.*(a) | | | | | 8,062 | | | | | | 709,940 | | |
Northrop Grumman Corp. | | | | | 1,807 | | | | | | 550,629 | | |
| | | | | | | | | | | 2,355,082 | | |
Air Freight & Logistics – 1.7% | | ||||||||||||
CH Robinson Worldwide, Inc.(a) | | | | | 6,116 | | | | | | 574,109 | | |
Expeditors International of Washington, Inc.(a) | | | | | 6,394 | | | | | | 608,133 | | |
FedEx Corp.(a) | | | | | 1,946 | | | | | | 505,221 | | |
United Parcel Service, Inc., Class B | | | | | 3,336 | | | | | | 561,782 | | |
| | | | | | | | | | | 2,249,245 | | |
Auto Components – 0.4% | | ||||||||||||
Gentex Corp.(a) | | | | | 17,514 | | | | | | 594,250 | | |
Banks – 2.2% | | ||||||||||||
Bank OZK | | | | | 19,599 | | | | | | 612,861 | | |
Commerce Bancshares, Inc.(a) | | | | | 8,772 | | | | | | 576,320 | | |
First Financial Bankshares, Inc.(a) | | | | | 16,402 | | | | | | 593,342 | | |
Glacier Bancorp, Inc.(a) | | | | | 13,205 | | | | | | 607,562 | | |
UMB Financial Corp. | | | | | 7,923 | | | | | | 546,608 | | |
| | | | | | | | | | | 2,936,693 | | |
Biotechnology – 6.0% | | ||||||||||||
Alexion Pharmaceuticals, Inc.*(a) | | | | | 4,726 | | | | | | 738,390 | | |
Alnylam Pharmaceuticals, Inc.*(a) | | | | | 4,587 | | | | | | 596,172 | | |
Amgen, Inc.(a) | | | | | 2,641 | | | | | | 607,219 | | |
Gilead Sciences, Inc.(a) | | | | | 9,591 | | | | | | 558,772 | | |
Incyte Corp.*(a) | | | | | 7,228 | | | | | | 628,691 | | |
Moderna, Inc.*(a) | | | | | 5,838 | | | | | | 609,896 | | |
Neurocrine Biosciences, Inc.*(a) | | | | | 5,977 | | | | | | 572,896 | | |
Novavax, Inc.* | | | | | 6,116 | | | | | | 681,995 | | |
Regeneron Pharmaceuticals, Inc.* | | | | | 1,112 | | | | | | 537,218 | | |
Seagen, Inc.* | | | | | 3,475 | | | | | | 608,612 | | |
United Therapeutics Corp.* | | | | | 4,309 | | | | | | 654,063 | | |
Vertex Pharmaceuticals, Inc.* | | | | | 2,641 | | | | | | 624,174 | | |
Vir Biotechnology, Inc.* | | | | | 21,267 | | | | | | 569,530 | | |
| | | | | | | | | | | 7,987,628 | | |
Capital Markets – 5.7% | | ||||||||||||
Bank of New York Mellon Corp. (The)(a) | | | | | 14,178 | | | | | | 601,714 | | |
Cboe Global Markets, Inc.(a) | | | | | 6,255 | | | | | | 582,466 | | |
Charles Schwab Corp. (The) | | | | | 11,537 | | | | | | 611,922 | | |
CME Group, Inc.(a) | | | | | 3,336 | | | | | | 607,319 | | |
Franklin Resources, Inc.(a) | | | | | 25,854 | | | | | | 646,091 | | |
Interactive Brokers Group, Inc., Class A(a) | | | | | 10,981 | | | | | | 668,963 | | |
Intercontinental Exchange, Inc.(a) | | | | | 5,560 | | | | | | 641,012 | | |
MarketAxess Holdings, Inc.(a) | | | | | 1,112 | | | | | | 634,463 | | |
Morningstar, Inc.(a) | | | | | 2,919 | | | | | | 675,953 | | |
MSCI, Inc.(a) | | | | | 1,390 | | | | | | 620,677 | | |
Tradeweb Markets, Inc., Class A | | | | | 10,008 | | | | | | 625,000 | | |
Virtu Financial, Inc., Class A | | | | | 25,437 | | | | | | 640,249 | | |
| | | | | | | | | | | 7,555,829 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Chemicals – 1.3% | | ||||||||||||
Air Products and Chemicals, Inc.(a) | | | | | 2,085 | | | | | $ | 569,664 | | |
Corteva, Inc.(a) | | | | | 14,873 | | | | | | 575,883 | | |
NewMarket Corp. | | | | | 1,529 | | | | | | 608,985 | | |
| | | | | | | | | | | 1,754,532 | | |
Commercial Services & Supplies – 1.7% | | ||||||||||||
Republic Services, Inc. | | | | | 5,977 | | | | | | 575,585 | | |
Rollins, Inc. | | | | | 15,497 | | | | | | 605,468 | | |
Tetra Tech, Inc. | | | | | 4,726 | | | | | | 547,176 | | |
Waste Management, Inc. | | | | | 4,865 | | | | | | 573,730 | | |
| | | | | | | | | | | 2,301,959 | | |
Communications Equipment – 1.0% | | ||||||||||||
Cisco Systems, Inc.(a) | | | | | 13,622 | | | | | | 609,585 | | |
Ubiquiti, Inc. | | | | | 2,363 | | | | | | 658,119 | | |
| | | | | | | | | | | 1,267,704 | | |
Construction & Engineering – 0.5% | | ||||||||||||
Valmont Industries, Inc. | | | | | 3,475 | | | | | | 607,882 | | |
Consumer Finance – 0.4% | | ||||||||||||
FirstCash, Inc.(a) | | | | | 8,201 | | | | | | 574,398 | | |
Containers & Packaging – 2.3% | | ||||||||||||
Amcor plc(a) | | | | | 48,928 | | | | | | 575,883 | | |
AptarGroup, Inc.(a) | | | | | 4,587 | | | | | | 627,914 | | |
Packaging Corp. of America | | | | | 4,309 | | | | | | 594,254 | | |
Silgan Holdings, Inc. | | | | | 16,680 | | | | | | 618,494 | | |
Sonoco Products Co. | | | | | 9,730 | | | | | | 576,503 | | |
| | | | | | | | | | | 2,993,048 | | |
Distributors – 0.5% | | ||||||||||||
Pool Corp. | | | | | 1,807 | | | | | | 673,107 | | |
Diversified Consumer Services – 1.8% | | ||||||||||||
frontdoor, Inc.*(a) | | | | | 12,510 | | | | | | 628,127 | | |
Grand Canyon Education, Inc.*(a) | | | | | 6,672 | | | | | | 621,230 | | |
Service Corp. International | | | | | 11,676 | | | | | | 573,292 | | |
Terminix Global Holdings, Inc.* | | | | | 11,398 | | | | | | 581,412 | | |
| | | | | | | | | | | 2,404,061 | | |
Diversified Financial Services – 0.4% | | ||||||||||||
Berkshire Hathaway, Inc., Class B*(a) | | | | | 2,502 | | | | | | 580,139 | | |
Diversified Telecommunication Services – 0.9% | | ||||||||||||
Liberty Global plc, Class C*(a) | | | | | 25,854 | | | | | | 611,447 | | |
Verizon Communications, Inc. | | | | | 9,591 | | | | | | 563,471 | | |
| | | | | | | | | | | 1,174,918 | | |
Electric Utilities – 1.3% | | ||||||||||||
Avangrid, Inc.(a) | | | | | 12,371 | | | | | | 562,262 | | |
Hawaiian Electric Industries, Inc.(a) | | | | | 15,151 | | | | | | 536,194 | | |
NextEra Energy, Inc. | | | | | 7,645 | | | | | | 589,812 | | |
| | | | | | | | | | | 1,688,268 | | |
Electronic Equipment, Instruments & Components – 1.0% | | ||||||||||||
Cognex Corp.(a) | | | | | 7,923 | | | | | | 636,098 | | |
Keysight Technologies, Inc.*(a) | | | | | 4,865 | | | | | | 642,618 | | |
| | | | | | | | | | | 1,278,716 | | |
Entertainment – 3.1% | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 7,645 | | | | | | 709,838 | | |
Electronic Arts, Inc.(a) | | | | | 4,865 | | | | | | 698,614 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Netflix, Inc.* | | | | | 1,251 | | | | | $ | 676,453 | | |
Take-Two Interactive Software, Inc.* | | | | | 3,475 | | | | | | 722,070 | | |
World Wrestling Entertainment, Inc., Class A | | | | | 13,761 | | | | | | 661,216 | | |
Zynga, Inc., Class A* | | | | | 72,141 | | | | | | 712,032 | | |
| | | | | | | | | | | 4,180,223 | | |
Equity Real Estate Investment Trusts (REITs) – 6.8% | | ||||||||||||
American Tower Corp.(a) | | | | | 2,502 | | | | | | 561,599 | | |
Americold Realty Trust(a) | | | | | 17,375 | | | | | | 648,609 | | |
CoreSite Realty Corp.(a) | | | | | 4,587 | | | | | | 574,659 | | |
Crown Castle International Corp.(a) | | | | | 3,475 | | | | | | 553,185 | | |
CubeSmart(a) | | | | | 17,931 | | | | | | 602,661 | | |
CyrusOne, Inc.(a) | | | | | 8,479 | | | | | | 620,239 | | |
Digital Realty Trust, Inc.(a) | | | | | 4,309 | | | | | | 601,149 | | |
Equinix, Inc.(a) | | | | | 834 | | | | | | 595,626 | | |
Equity Commonwealth(a) | | | | | 21,962 | | | | | | 599,123 | | |
Extra Space Storage, Inc.(a) | | | | | 5,282 | | | | | | 611,972 | | |
Lexington Realty Trust(a) | | | | | 55,322 | | | | | | 587,520 | | |
Public Storage | | | | | 2,641 | | | | | | 609,886 | | |
Rayonier, Inc. | | | | | 20,433 | | | | | | 600,322 | | |
SBA Communications Corp. | | | | | 2,085 | | | | | | 588,241 | | |
Sun Communities, Inc. | | | | | 4,170 | | | | | | 633,631 | | |
| | | | | | | | | | | 8,988,422 | | |
Food & Staples Retailing – 0.8% | | ||||||||||||
Kroger Co. (The)(a) | | | | | 17,653 | | | | | | 560,659 | | |
Sprouts Farmers Market, Inc.* | | | | | 27,800 | | | | | | 558,780 | | |
| | | | | | | | | | | 1,119,439 | | |
Food Products – 2.6% | | ||||||||||||
Campbell Soup Co.(a) | | | | | 11,676 | | | | | | 564,535 | | |
Flowers Foods, Inc.(a) | | | | | 25,576 | | | | | | 578,785 | | |
General Mills, Inc.(a) | | | | | 9,591 | | | | | | 563,951 | | |
Hain Celestial Group, Inc. (The)*(a) | | | | | 15,429 | | | | | | 619,474 | | |
Hormel Foods Corp.(a) | | | | | 12,232 | | | | | | 570,133 | | |
J M Smucker Co. (The) | | | | | 4,865 | | | | | | 562,394 | | |
| | | | | | | | | | | 3,459,272 | | |
Gas Utilities – 1.6% | | ||||||||||||
Atmos Energy Corp.(a) | | | | | 5,699 | | | | | | 543,855 | | |
National Fuel Gas Co. | | | | | 13,344 | | | | | | 548,839 | | |
New Jersey Resources Corp. | | | | | 15,151 | | | | | | 538,618 | | |
Spire, Inc. | | | | | 8,618 | | | | | | 551,897 | | |
| | | | | | | | | | | 2,183,209 | | |
Health Care Equipment & Supplies – 1.4% | | ||||||||||||
Baxter International, Inc.(a) | | | | | 7,645 | | | | | | 613,435 | | |
Becton Dickinson and Co.(a) | | | | | 2,502 | | | | | | 626,051 | | |
ICU Medical, Inc.*(a) | | | | | 3,058 | | | | | | 655,910 | | |
| | | | | | | | | | | 1,895,396 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Amedisys, Inc.*(a) | | | | | 2,502 | | | | | | 733,912 | | |
Premier, Inc., Class A | | | | | 16,402 | | | | | | 575,710 | | |
| | | | | | | | | | | 1,309,622 | | |
Health Care Technology – 0.9% | | ||||||||||||
Teladoc Health, Inc.* | | | | | 3,058 | | | | | | 611,478 | | |
Veeva Systems, Inc., Class A* | | | | | 2,224 | | | | | | 605,484 | | |
| | | | | | | | | | | 1,216,962 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Hotels, Restaurants & Leisure – 0.9% | | ||||||||||||
Domino’s Pizza, Inc.(a) | | | | | 1,529 | | | | | $ | 586,310 | | |
McDonald’s Corp.(a) | | | | | 2,641 | | | | | | 566,706 | | |
| | | | | | | | | | | 1,153,016 | | |
Household Durables – 0.9% | | ||||||||||||
Garmin Ltd.(a) | | | | | 5,004 | | | | | | 598,779 | | |
Helen of Troy Ltd.*(a) | | | | | 2,780 | | | | | | 617,688 | | |
| | | | | | | | | | | 1,216,467 | | |
Household Products – 0.9% | | ||||||||||||
Church & Dwight Co., Inc.(a) | | | | | 6,950 | | | | | | 606,249 | | |
Clorox Co. (The)(a) | | | | | 2,919 | | | | | | 589,404 | | |
| | | | | | | | | | | 1,195,653 | | |
Industrial Conglomerates – 0.9% | | ||||||||||||
3M Co.(a) | | | | | 3,336 | | | | | | 583,099 | | |
Roper Technologies, Inc. | | | | | 1,390 | | | | | | 599,215 | | |
| | | | | | | | | | | 1,182,314 | | |
Insurance – 4.0% | | ||||||||||||
Arthur J Gallagher & Co.(a) | | | | | 5,004 | | | | | | 619,045 | | |
Axis Capital Holdings Ltd.(a) | | | | | 10,842 | | | | | | 546,328 | | |
Brown & Brown, Inc.(a) | | | | | 12,371 | | | | | | 586,509 | | |
Erie Indemnity Co., Class A(a) | | | | | 2,502 | | | | | | 614,491 | | |
Everest Re Group Ltd. | | | | | 2,363 | | | | | | 553,155 | | |
Progressive Corp. (The) | | | | | 6,533 | | | | | | 645,983 | | |
RLI Corp. | | | | | 5,560 | | | | | | 579,074 | | |
Selective Insurance Group, Inc. | | | | | 8,896 | | | | | | 595,854 | | |
White Mountains Insurance Group Ltd. | | | | | 556 | | | | | | 556,367 | | |
| | | | | | | | | | | 5,296,806 | | |
Internet & Direct Marketing Retail – 0.8% | | ||||||||||||
Amazon.com, Inc.*(a) | | | | | 139 | | | | | | 452,713 | | |
eBay, Inc.(a) | | | | | 11,398 | | | | | | 572,750 | | |
| | | | | | | | | | | 1,025,463 | | |
IT Services – 4.2% | | ||||||||||||
Akamai Technologies, Inc.*(a) | | | | | 5,699 | | | | | | 598,338 | | |
Black Knight, Inc.*(a) | | | | | 6,394 | | | | | | 564,910 | | |
Booz Allen Hamilton Holding Corp.(a) | | | | | 6,533 | | | | | | 569,547 | | |
Broadridge Financial Solutions, Inc.(a) | | | | | 3,892 | | | | | | 596,254 | | |
Fastly, Inc., Class A*(a) | | | | | 7,089 | | | | | | 619,366 | | |
MAXIMUS, Inc.(a) | | | | | 7,784 | | | | | | 569,711 | | |
MongoDB, Inc.*(a) | | | | | 2,224 | | | | | | 798,505 | | |
Okta, Inc.* | | | | | 2,502 | | | | | | 636,158 | | |
VeriSign, Inc.* | | | | | 2,919 | | | | | | 631,672 | | |
| | | | | | | | | | | 5,584,461 | | |
Leisure Products – 0.6% | | ||||||||||||
Peloton Interactive, Inc., Class A* | | | | | 5,421 | | | | | | 822,474 | | |
Life Sciences Tools & Services – 0.9% | | ||||||||||||
Bio-Rad Laboratories, Inc., Class A*(a) | | | | | 1,112 | | | | | | 648,229 | | |
Repligen Corp.* | | | | | 3,197 | | | | | | 612,641 | | |
| | | | | | | | | | | 1,260,870 | | |
Machinery – 1.4% | | ||||||||||||
Caterpillar, Inc.(a) | | | | | 3,336 | | | | | | 607,219 | | |
Graco, Inc.(a) | | | | | 8,340 | | | | | | 603,399 | | |
Toro Co. (The) | | | | | 6,255 | | | | | | 593,224 | | |
| | | | | | | | | | | 1,803,842 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Metals & Mining – 1.3% | | ||||||||||||
Newmont Corp. | | | | | 10,147 | | | | | $ | 607,704 | | |
Nucor Corp. | | | | | 10,286 | | | | | | 547,112 | | |
Royal Gold, Inc. | | | | | 5,421 | | | | | | 576,578 | | |
| | | | | | | | | | | 1,731,394 | | |
Multiline Retail – 1.7% | | ||||||||||||
Dollar General Corp.(a) | | | | | 2,780 | | | | | | 584,634 | | |
Dollar Tree, Inc.*(a) | | | | | 5,143 | | | | | | 555,650 | | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | 6,116 | | | | | | 500,105 | | |
Target Corp. | | | | | 3,197 | | | | | | 564,366 | | |
| | | | | | | | | | | 2,204,755 | | |
Multi-Utilities – 1.2% | | ||||||||||||
Ameren Corp.(a) | | | | | 7,367 | | | | | | 575,068 | | |
Consolidated Edison, Inc.(a) | | | | | 7,367 | | | | | | 532,413 | | |
Dominion Energy, Inc.(a) | | | | | 7,228 | | | | | | 543,546 | | |
| | | | | | | | | | | 1,651,027 | | |
Oil, Gas & Consumable Fuels – 2.8% | | ||||||||||||
Cabot Oil & Gas Corp.(a) | | | | | 31,970 | | | | | | 520,472 | | |
Cheniere Energy, Inc.*(a) | | | | | 9,730 | | | | | | 584,092 | | |
Concho Resources, Inc.(a) | | | | | 8,896 | | | | | | 519,082 | | |
EOG Resources, Inc.(a) | | | | | 10,564 | | | | | | 526,827 | | |
EQT Corp.(a) | | | | | 36,140 | | | | | | 459,339 | | |
Equitrans Midstream Corp.(a) | | | | | 67,276 | | | | | | 540,899 | | |
Exxon Mobil Corp. | | | | | 13,761 | | | | | | 567,228 | | |
| | | | | | | | | | | 3,717,939 | | |
Pharmaceuticals – 1.4% | | ||||||||||||
Eli Lilly and Co.(a) | | | | | 4,031 | | | | | | 680,594 | | |
Johnson & Johnson(a) | | | | | 4,031 | | | | | | 634,399 | | |
Merck & Co., Inc.(a) | | | | | 7,228 | | | | | | 591,250 | | |
| | | | | | | | | | | 1,906,243 | | |
Professional Services – 1.5% | | ||||||||||||
FTI Consulting, Inc.*(a) | | | | | 5,560 | | | | | | 621,163 | | |
Nielsen Holdings plc | | | | | 34,750 | | | | | | 725,233 | | |
Verisk Analytics, Inc. | | | | | 2,919 | | | | | | 605,955 | | |
| | | | | | | | | | | 1,952,351 | | |
Road & Rail – 1.7% | | ||||||||||||
JB Hunt Transport Services, Inc.(a) | | | | | 4,170 | | | | | | 569,831 | | |
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 13,900 | | | | | | 581,298 | | |
Landstar System, Inc.(a) | | | | | 4,309 | | | | | | 580,250 | | |
Old Dominion Freight Line, Inc. | | | | | 2,780 | | | | | | 542,600 | | |
| | | | | | | | | | | 2,273,979 | | |
Semiconductors & Semiconductor Equipment – 0.9% | | ||||||||||||
Texas Instruments, Inc. | | | | | 3,614 | | | | | | 593,166 | | |
Xilinx, Inc. | | | | | 4,309 | | | | | | 610,887 | | |
| | | | | | | | | | | 1,204,053 | | |
Software – 9.6% | | ||||||||||||
Adobe, Inc.*(a) | | | | | 1,251 | | | | | | 625,650 | | |
Autodesk, Inc.*(a) | | | | | 2,224 | | | | | | 679,076 | | |
Citrix Systems, Inc.(a) | | | | | 4,726 | | | | | | 614,853 | | |
Cloudflare, Inc., Class A* | | | | | 8,618 | | | | | | 654,882 | | |
Coupa Software, Inc.*(a) | | | | | 1,807 | | | | | | 612,410 | | |
Crowdstrike Holdings, Inc., Class A*(a) | | | | | 3,892 | | | | | | 824,403 | | |
Datadog, Inc., Class A*(a) | | | | | 6,533 | | | | | | 643,109 | | |
Investments | | | Shares | | | Value ($) | | ||||||
DocuSign, Inc.*(a) | | | | | 2,641 | | | | | $ | 587,094 | | |
Dropbox, Inc., Class A*(a) | | | | | 31,275 | | | | | | 693,992 | | |
Five9, Inc.*(a) | | | | | 4,031 | | | | | | 703,006 | | |
Fortinet, Inc.*(a) | | | | | 4,865 | | | | | | 722,599 | | |
Guidewire Software, Inc.*(a) | | | | | 4,865 | | | | | | 626,271 | | |
NortonLifeLock, Inc. | | | | | 31,692 | | | | | | 658,560 | | |
Oracle Corp. | | | | | 10,008 | | | | | | 647,418 | | |
RingCentral, Inc., Class A* | | | | | 2,085 | | | | | | 790,152 | | |
Smartsheet, Inc., Class A* | | | | | 11,259 | | | | | | 780,136 | | |
Tyler Technologies, Inc.* | | | | | 1,390 | | | | | | 606,763 | | |
Zoom Video Communications, Inc., Class A* | | | | | 1,390 | | | | | | 468,875 | | |
Zscaler, Inc.* | | | | | 4,031 | | | | | | 805,031 | | |
| | | | | | | | | | | 12,744,280 | | |
Specialty Retail – 1.8% | | ||||||||||||
Murphy USA, Inc.(a) | | | | | 4,448 | | | | | | 582,110 | | |
O’Reilly Automotive, Inc.* | | | | | 1,251 | | | | | | 566,165 | | |
Tiffany & Co. | | | | | 4,448 | | | | | | 584,690 | | |
Tractor Supply Co. | | | | | 4,309 | | | | | | 605,759 | | |
| | | | | | | | | | | 2,338,724 | | |
Textiles, Apparel & Luxury Goods – 1.3% | | ||||||||||||
Columbia Sportswear Co.(a) | | | | | 6,811 | | | | | | 595,145 | | |
Hanesbrands, Inc.(a) | | | | | 38,920 | | | | | | 567,454 | | |
Lululemon Athletica, Inc.*(a) | | | | | 1,668 | | | | | | 580,514 | | |
| | | | | | | | | | | 1,743,113 | | |
Thrifts & Mortgage Finance – 0.5% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 59,214 | | | | | | 624,708 | | |
Trading Companies & Distributors – 0.9% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A(a) | | | | | 6,672 | | | | | | 563,050 | | |
Watsco, Inc. | | | | | 2,502 | | | | | | 566,828 | | |
| | | | | | | | | | | 1,129,878 | | |
TOTAL COMMON STOCKS (Cost $107,416,525) | | | | | | | | | | | 121,093,814 | | |
TOTAL LONG POSITIONS (Cost $107,416,525) | | | | | | | | | | | 121,093,814 | | |
SHORT POSITIONS – (93.0)% | | ||||||||||||
COMMON STOCKS – (93.0)% | | ||||||||||||
Aerospace & Defense – (2.3)% | | ||||||||||||
Boeing Co. (The) | | | | | (2,780) | | | | | | (595,087) | | |
Howmet Aerospace, Inc.* | | | | | (23,769) | | | | | | (678,367) | | |
Raytheon Technologies Corp. | | | | | (8,062) | | | | | | (576,514) | | |
Textron, Inc. | | | | | (12,371) | | | | | | (597,890) | | |
TransDigm Group, Inc.* | | | | | (973) | | | | | | (602,141) | | |
| | | | | | | | | | | (3,049,999) | | |
Air Freight & Logistics – (0.5)% | | ||||||||||||
XPO Logistics, Inc.* | | | | | (5,699) | | | | | | (679,321) | | |
Airlines – (2.2)% | | ||||||||||||
Alaska Air Group, Inc. | | | | | (11,537) | | | | | | (599,924) | | |
American Airlines Group, Inc. | | | | | (40,588) | | | | | | (640,073) | | |
Delta Air Lines, Inc. | | | | | (14,595) | | | | | | (586,865) | | |
JetBlue Airways Corp.* | | | | | (37,947) | | | | | | (551,749) | | |
United Airlines Holdings, Inc.* | | | | | (13,344) | | | | | | (577,128) | | |
| | | | | | | | | | | (2,955,739) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Auto Components – (0.5)% | | ||||||||||||
Aptiv plc | | | | | (5,004) | | | | | $ | (651,971) | | |
Automobiles – (0.4)% | | ||||||||||||
Thor Industries, Inc. | | | | | (6,255) | | | | | | (581,652) | | |
Banks – (2.7)% | | ||||||||||||
Citigroup, Inc. | | | | | (10,564) | | | | | | (651,376) | | |
Citizens Financial Group, Inc. | | | | | (17,097) | | | | | | (611,389) | | |
Fifth Third Bancorp | | | | | (22,101) | | | | | | (609,325) | | |
KeyCorp | | | | | (36,001) | | | | | | (590,776) | | |
Synovus Financial Corp. | | | | | (17,792) | | | | | | (575,927) | | |
TCF Financial Corp. | | | | | (16,124) | | | | | | (596,910) | | |
| | | | | | | | | | | (3,635,703) | | |
Beverages – (1.0)% | | ||||||||||||
Constellation Brands, Inc., Class A | | | | | (2,919) | | | | | | (639,407) | | |
Monster Beverage Corp.* | | | | | (7,089) | | | | | | (655,591) | | |
| | | | | | | | | | | (1,294,998) | | |
Biotechnology – (0.4)% | | ||||||||||||
FibroGen, Inc.* | | | | | (14,595) | | | | | | (541,329) | | |
Building Products – (0.5)% | | ||||||||||||
Fortune Brands Home & Security, Inc. | | | | | (7,089) | | | | | | (607,669) | | |
Chemicals – (3.2)% | | ||||||||||||
Axalta Coating Systems Ltd.* | | | | | (20,989) | | | | | | (599,236) | | |
Chemours Co. (The) | | | | | (23,491) | | | | | | (582,342) | | |
Eastman Chemical Co. | | | | | (5,838) | | | | | | (585,435) | | |
Ingevity Corp.* | | | | | (8,479) | | | | | | (642,115) | | |
LyondellBasell Industries NV, Class A | | | | | (6,672) | | | | | | (611,555) | | |
Valvoline, Inc. | | | | | (25,437) | | | | | | (588,612) | | |
W R Grace & Co. | | | | | (10,703) | | | | | | (586,738) | | |
| | | | | | | | | | | (4,196,033) | | |
Commercial Services & Supplies – (0.9)% | | ||||||||||||
Cimpress plc* | | | | | (6,255) | | | | | | (548,814) | | |
Clean Harbors, Inc.* | | | | | (7,923) | | | | | | (602,940) | | |
| | | | | | | | | | | (1,151,754) | | |
Construction Materials – (0.5)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (6,255) | | | | | | (633,944) | | |
Consumer Finance – (3.8)% | | ||||||||||||
Ally Financial, Inc. | | | | | (19,321) | | | | | | (688,987) | | |
Capital One Financial Corp. | | | | | (6,533) | | | | | | (645,787) | | |
Credit Acceptance Corp.* | | | | | (1,946) | | | | | | (673,588) | | |
Discover Financial Services | | | | | (7,367) | | | | | | (666,935) | | |
OneMain Holdings, Inc. | | | | | (14,734) | | | | | | (709,589) | | |
PROG Holdings, Inc. | | | | | (9,035) | | | | | | (486,715) | | |
Santander Consumer USA Holdings, Inc. | | | | | (25,576) | | | | | | (563,184) | | |
Synchrony Financial | | | | | (18,765) | | | | | | (651,333) | | |
| | | | | | | | | | | (5,086,118) | | |
Diversified Financial Services – (0.4)% | | ||||||||||||
Equitable Holdings, Inc. | | | | | (22,657) | | | | | | (579,793) | | |
Electric Utilities – (2.2)% | | ||||||||||||
Entergy Corp. | | | | | (5,421) | | | | | | (541,233) | | |
NRG Energy, Inc. | | | | | (18,904) | | | | | | (709,845) | | |
OGE Energy Corp. | | | | | (17,375) | | | | | | (553,567) | | |
PNM Resources, Inc. | | | | | (12,232) | | | | | | (593,619) | | |
PPL Corp. | | | | | (19,599) | | | | | | (552,692) | | |
| | | | | | | | | | | (2,950,956) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Electrical Equipment – (0.4)% | | ||||||||||||
nVent Electric plc | | | | | (25,159) | | | | | $ | (585,953) | | |
Electronic Equipment, Instruments & Components – (2.5)% | | ||||||||||||
CDW Corp. | | | | | (4,448) | | | | | | (586,202) | | |
Coherent, Inc.* | | | | | (4,865) | | | | | | (729,847) | | |
FLIR Systems, Inc. | | | | | (14,595) | | | | | | (639,699) | | |
Jabil, Inc. | | | | | (15,290) | | | | | | (650,284) | | |
Trimble, Inc.* | | | | | (9,869) | | | | | | (658,953) | | |
| | | | | | | | | | | (3,264,985) | | |
Energy Equipment & Services – (0.5)% | | ||||||||||||
Halliburton Co. | | | | | (33,638) | | | | | | (635,758) | | |
Entertainment – (0.5)% | | ||||||||||||
Live Nation Entertainment, Inc.* | | | | | (8,618) | | | | | | (633,251) | | |
Equity Real Estate Investment Trusts (REITs) – (6.4)% | | ||||||||||||
American Campus Communities, Inc. | | | | | (14,595) | | | | | | (624,228) | | |
Brixmor Property Group, Inc. | | | | | (35,862) | | | | | | (593,516) | | |
Gaming and Leisure Properties, Inc. | | | | | (14,368) | | | | | | (609,202) | | |
Lamar Advertising Co., Class A | | | | | (7,367) | | | | | | (613,082) | | |
National Health Investors, Inc. | | | | | (9,035) | | | | | | (624,951) | | |
National Retail Properties, Inc. | | | | | (15,012) | | | | | | (614,291) | | |
Sabra Health Care REIT, Inc. | | | | | (34,333) | | | | | | (596,364) | | |
Simon Property Group, Inc. | | | | | (6,811) | | | | | | (580,842) | | |
SL Green Realty Corp. | | | | | (9,730) | | | | | | (579,714) | | |
Ventas, Inc. | | | | | (11,954) | | | | | | (586,224) | | |
VEREIT, Inc. | | | | | (16,372) | | | | | | (618,713) | | |
Vornado Realty Trust | | | | | (14,317) | | | | | | (534,597) | | |
Welltower, Inc. | | | | | (9,174) | | | | | | (592,824) | | |
Weyerhaeuser Co. | | | | | (20,572) | | | | | | (689,779) | | |
| | | | | | | | | | | (8,458,327) | | |
Food & Staples Retailing – (1.4)% | | ||||||||||||
Performance Food Group Co.* | | | | | (13,205) | | | | | | (628,690) | | |
Sysco Corp. | | | | | (8,340) | | | | | | (619,329) | | |
US Foods Holding Corp.* | | | | | (18,765) | | | | | | (625,062) | | |
| | | | | | | | | | | (1,873,081) | | |
Food Products – (1.4)% | | ||||||||||||
Beyond Meat, Inc.* | | | | | (4,309) | | | | | | (538,625) | | |
Darling Ingredients, Inc.* | | | | | (12,371) | | | | | | (713,559) | | |
Lamb Weston Holdings, Inc. | | | | | (8,340) | | | | | | (656,692) | | |
| | | | | | | | | | | (1,908,876) | | |
Health Care Equipment & Supplies – (3.0)% | | ||||||||||||
Align Technology, Inc.* | | | | | (1,251) | | | | | | (668,509) | | |
Intuitive Surgical, Inc.* | | | | | (834) | | | | | | (682,295) | | |
NuVasive, Inc.* | | | | | (12,510) | | | | | | (704,688) | | |
Stryker Corp. | | | | | (2,502) | | | | | | (613,090) | | |
Tandem Diabetes Care, Inc.* | | | | | (6,811) | | | | | | (651,677) | | |
Zimmer Biomet Holdings, Inc. | | | | | (4,031) | | | | | | (621,137) | | |
| | | | | | | | | | | (3,941,396) | | |
Health Care Providers & Services – (6.2)% | | ||||||||||||
Acadia Healthcare Co., Inc.* | | | | | (13,761) | | | | | | (691,628) | | |
Anthem, Inc. | | | | | (1,946) | | | | | | (624,841) | | |
Cigna Corp. | | | | | (2,919) | | | | | | (607,677) | | |
Covetrus, Inc.* | | | | | (22,379) | | | | | | (643,173) | | |
Encompass Health Corp. | | | | | (7,228) | | | | | | (597,683) | | |
HCA Healthcare, Inc. | | | | | (3,892) | | | | | | (640,078) | | |
HealthEquity, Inc.* | | | | | (8,201) | | | | | | (571,692) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Humana, Inc. | | | | | (1,529) | | | | | $ | (627,303) | | |
Laboratory Corp. of America Holdings* | | | | | (3,058) | | | | | | (622,456) | | |
Molina Healthcare, Inc.* | | | | | (2,919) | | | | | | (620,813) | | |
Tenet Healthcare Corp.* | | | | | (17,931) | | | | | | (715,985) | | |
UnitedHealth Group, Inc. | | | | | (1,807) | | | | | | (633,679) | | |
Universal Health Services, Inc., Class B | | | | | (4,448) | | | | | | (611,600) | | |
| | | | | | | | | | | (8,208,608) | | |
Hotels, Restaurants & Leisure – (3.8)% | | ||||||||||||
Carnival Corp. | | | | | (29,746) | | | | | | (644,298) | | |
Darden Restaurants, Inc. | | | | | (5,282) | | | | | | (629,192) | | |
Marriott Vacations Worldwide Corp. | | | | | (4,448) | | | | | | (610,355) | | |
MGM Resorts International | | | | | (21,128) | | | | | | (665,743) | | |
Norwegian Cruise Line Holdings Ltd.* | | | | | (26,688) | | | | | | (678,676) | | |
Planet Fitness, Inc., Class A* | | | | | (8,062) | | | | | | (625,853) | | |
Royal Caribbean Cruises Ltd. | | | | | (7,367) | | | | | | (550,241) | | |
Wynn Resorts Ltd. | | | | | (5,838) | | | | | | (658,702) | | |
| | | | | | | | | | | (5,063,060) | | |
Household Durables – (1.4)% | | ||||||||||||
Mohawk Industries, Inc.* | | | | | (4,448) | | | | | | (626,945) | | |
Tempur Sealy International, Inc.* | | | | | (23,908) | | | | | | (645,516) | | |
Toll Brothers, Inc. | | | | | (12,927) | | | | | | (561,937) | | |
| | | | | | | | | | | (1,834,398) | | |
Household Products – (0.5)% | | ||||||||||||
Energizer Holdings, Inc. | | | | | (14,456) | | | | | | (609,754) | | |
Insurance – (4.3)% | | ||||||||||||
American Financial Group, Inc. | | | | | (6,394) | | | | | | (560,242) | | |
American International Group, Inc. | | | | | (14,734) | | | | | | (557,829) | | |
Athene Holding Ltd., Class A* | | | | | (12,788) | | | | | | (551,674) | | |
Brighthouse Financial, Inc.* | | | | | (15,707) | | | | | | (568,672) | | |
Lincoln National Corp. | | | | | (11,815) | | | | | | (594,413) | | |
Primerica, Inc. | | | | | (4,448) | | | | | | (595,721) | | |
Principal Financial Group, Inc. | | | | | (11,398) | | | | | | (565,455) | | |
Prudential Financial, Inc. | | | | | (7,506) | | | | | | (585,993) | | |
Reinsurance Group of America, Inc. | | | | | (4,865) | | | | | | (563,854) | | |
Unum Group | | | | | (25,298) | | | | | | (580,336) | | |
| | | | | | | | | | | (5,724,189) | | |
Interactive Media & Services – (1.0)% | | ||||||||||||
TripAdvisor, Inc.* | | | | | (21,962) | | | | | | (632,066) | | |
Zillow Group, Inc., Class C* | | | | | (5,560) | | | | | | (721,688) | | |
| | | | | | | | | | | (1,353,754) | | |
Internet & Direct Marketing Retail – (0.4)% | | ||||||||||||
Wayfair, Inc., Class A* | | | | | (2,502) | | | | | | (564,977) | | |
IT Services – (3.9)% | | ||||||||||||
DXC Technology Co. | | | | | (25,437) | | | | | | (655,003) | | |
Euronet Worldwide, Inc.* | | | | | (4,448) | | | | | | (644,604) | | |
Gartner, Inc.* | | | | | (3,892) | | | | | | (623,460) | | |
Global Payments, Inc. | | | | | (3,058) | | | | | | (658,754) | | |
KBR, Inc. | | | | | (21,128) | | | | | | (653,489) | | |
Science Applications International Corp. | | | | | (6,394) | | | | | | (605,128) | | |
Square, Inc., Class A* | | | | | (2,919) | | | | | | (635,291) | | |
WEX, Inc.* | | | | | (3,197) | | | | | | (650,686) | | |
| | | | | | | | | | | (5,126,415) | | |
Leisure Products – (0.4)% | | ||||||||||||
Brunswick Corp. | | | | | (7,923) | | | | | | (604,050) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Life Sciences Tools & Services – (1.9)% | | ||||||||||||
Charles River Laboratories International, Inc.* | | | | | (2,641) | | | | | $ | (659,880) | | |
IQVIA Holdings, Inc.* | | | | | (3,475) | | | | | | (622,616) | | |
PRA Health Sciences, Inc.* | | | | | (5,421) | | | | | | (680,010) | | |
Syneos Health, Inc.* | | | | | (9,035) | | | | | | (615,555) | | |
| | | | | | | | | | | (2,578,061) | | |
Machinery – (2.7)% | | ||||||||||||
Colfax Corp.* | | | | | (15,985) | | | | | | (611,266) | | |
Middleby Corp. (The)* | | | | | (4,309) | | | | | | (555,516) | | |
Parker-Hannifin Corp. | | | | | (2,085) | | | | | | (567,975) | | |
Stanley Black & Decker, Inc. | | | | | (3,197) | | | | | | (570,856) | | |
Westinghouse Air Brake Technologies Corp. | | | | | (7,923) | | | | | | (579,964) | | |
Woodward, Inc. | | | | | (5,282) | | | | | | (641,922) | | |
| | | | | | | | | | | (3,527,499) | | |
Media – (1.9)% | | ||||||||||||
Interpublic Group of Cos., Inc. (The) | | | | | (25,854) | | | | | | (608,086) | | |
Liberty Broadband Corp., Class C* | | | | | (27) | | | | | | (4,276) | | |
Liberty Media Corp-Liberty SiriusXM* | | | | | (14,178) | | | | | | (616,885) | | |
Nexstar Media Group, Inc., Class A | | | | | (5,421) | | | | | | (591,919) | | |
ViacomCBS, Inc. | | | | | (17,375) | | | | | | (647,392) | | |
| | | | | | | | | | | (2,468,558) | | |
Metals & Mining – (1.0)% | | ||||||||||||
Alcoa Corp.* | | | | | (28,912) | | | | | | (666,421) | | |
Freeport-McMoRan, Inc. | | | | | (25,993) | | | | | | (676,338) | | |
| | | | | | | | | | | (1,342,759) | | |
Mortgage Real Estate Investment Trusts (REITs) – (1.4)% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A | | | | | (21,545) | | | | | | (593,134) | | |
New Residential Investment Corp. | | | | | (61,160) | | | | | | (607,930) | | |
Starwood Property Trust, Inc. | | | | | (31,414) | | | | | | (606,290) | | |
| | | | | | | | | | | (1,807,354) | | |
Multiline Retail – (0.5)% | | ||||||||||||
Kohl’s Corp. | | | | | (17,931) | | | | | | (729,612) | | |
Multi-Utilities – (2.1)% | | ||||||||||||
Black Hills Corp. | | | | | (9,313) | | | | | | (572,284) | | |
CenterPoint Energy, Inc. | | | | | (24,742) | | | | | | (535,417) | | |
DTE Energy Co. | | | | | (4,587) | | | | | | (556,908) | | |
MDU Resources Group, Inc. | | | | | (23,213) | | | | | | (611,430) | | |
NorthWestern Corp. | | | | | (9,730) | | | | | | (567,356) | | |
| | | | | | | | | | | (2,843,395) | | |
Oil, Gas & Consumable Fuels – (2.8)% | | ||||||||||||
Apache Corp. | | | | | (42,812) | | | | | | (607,502) | | |
Marathon Petroleum Corp. | | | | | (14,178) | | | | | | (586,402) | | |
Occidental Petroleum Corp. | | | | | (35,862) | | | | | | (620,771) | | |
ONEOK, Inc. | | | | | (15,985) | | | | | | (613,505) | | |
Ovintiv, Inc. | | | | | (44,619) | | | | | | (640,729) | | |
Targa Resources Corp. | | | | | (23,908) | | | | | | (630,693) | | |
| | | | | | | | | | | (3,699,602) | | |
Paper & Forest Products – (0.5)% | | ||||||||||||
Louisiana-Pacific Corp. | | | | | (17,236) | | | | | | (640,662) | | |
Personal Products – (0.4)% | | ||||||||||||
Coty, Inc., Class A | | | | | (79,925) | | | | | | (561,074) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Pharmaceuticals – (0.4)% | | ||||||||||||
Elanco Animal Health, Inc.* | | ��� | | | (19,043) | | | | | $ | (584,049) | | |
Professional Services – (0.4)% | | ||||||||||||
Insperity, Inc. | | | | | (6,811) | | | | | | (554,552) | | |
Real Estate Management & Development – (0.5)% | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (8,062) | | | | | | (636,334) | | |
Road & Rail – (0.6)% | | ||||||||||||
Lyft, Inc., Class A* | | | | | (15,290) | | | | | | (751,198) | | |
Semiconductors & Semiconductor Equipment – (4.9)% | | ||||||||||||
Applied Materials, Inc. | | | | | (7,228) | | | | | | (623,776) | | |
Enphase Energy, Inc.* | | | | | (4,448) | | | | | | (780,491) | | |
KLA Corp. | | | | | (2,363) | | | | | | (611,804) | | |
Lam Research Corp. | | | | | (1,390) | | | | | | (656,455) | | |
Microchip Technology, Inc. | | | | | (4,448) | | | | | | (614,313) | | |
NXP Semiconductors NV | | | | | (3,753) | | | | | | (596,765) | | |
ON Semiconductor Corp.* | | | | | (20,989) | | | | | | (686,970) | | |
SolarEdge Technologies, Inc.* | | | | | (2,224) | | | | | | (709,723) | | |
Teradyne, Inc. | | | | | (5,560) | | | | | | (666,588) | | |
Universal Display Corp. | | | | | (2,641) | | | | | | (606,902) | | |
| | | | | | | | | | | (6,553,787) | | |
Software – (4.0)% | | ||||||||||||
Anaplan, Inc.* | | | | | (8,896) | | | | | | (639,178) | | |
Manhattan Associates, Inc.* | | | | | (6,394) | | | | | | (672,521) | | |
Nutanix, Inc., Class A* | | | | | (21,267) | | | | | | (677,779) | | |
Paylocity Holding Corp.* | | | | | (3,058) | | | | | | (629,673) | | |
Pluralsight, Inc., Class A* | | | | | (39,476) | | | | | | (827,417) | | |
PTC, Inc.* | | | | | (5,838) | | | | | | (698,283) | | |
SS&C Technologies Holdings, Inc. | | | | | (8,618) | | | | | | (626,959) | | |
Trade Desk, Inc. (The), Class A* | | | | | (695) | | | | | | (556,695) | | |
| | | | | | | | | | | (5,328,505) | | |
Specialty Retail – (2.2)% | | ||||||||||||
Carvana Co.* | | | | | (2,502) | | | | | | (599,329) | | |
Gap, Inc. (The) | | | | | (22,379) | | | | | | (451,832) | | |
National Vision Holdings, Inc.* | | | | | (13,344) | | | | | | (604,350) | | |
Penske Automotive Group, Inc. | | | | | (10,008) | | | | | | (594,375) | | |
Restoration Hardware Holdings, Inc.* | | | | | (1,390) | | | | | | (622,053) | | |
| | | | | | | | | | | (2,871,939) | | |
Technology Hardware, Storage & Peripherals – (1.5)% | | ||||||||||||
Pure Storage, Inc., Class A* | | | | | (30,441) | | | | | | (688,271) | | |
Western Digital Corp. | | | | | (13,066) | | | | | | (723,726) | | |
Xerox Holdings Corp. | | | | | (25,576) | | | | | | (593,107) | | |
| | | | | | | | | | | (2,005,104) | | |
Textiles, Apparel & Luxury Goods – (1.0)% | | ||||||||||||
PVH Corp. | | | | | (6,950) | | | | | | (652,536) | | |
Tapestry, Inc. | | | | | (20,016) | | | | | | (622,097) | | |
| | | | | | | | | | | (1,274,633) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Thrifts & Mortgage Finance – (0.9)% | | ||||||||||||
MGIC Investment Corp. | | | | | (48,233) | | | | | $ | (605,324) | | |
Radian Group, Inc. | | | | | (30,163) | | | | | | (610,801) | | |
| | | | | | | | | | | (1,216,125) | | |
Trading Companies & Distributors – (1.4)% | | ||||||||||||
Air Lease Corp. | | | | | (15,151) | | | | | | (673,007) | | |
United Rentals, Inc.* | | | | | (2,502) | | | | | | (580,239) | | |
Univar Solutions, Inc.* | | | | | (32,109) | | | | | | (610,392) | | |
| | | | | | | | | | | (1,863,638) | | |
Transportation Infrastructure – (0.5)% | | ||||||||||||
Macquarie Infrastructure Corp. | | | | | (17,375) | | | | | | (652,431) | | |
TOTAL COMMON STOCKS (Proceeds $(107,886,227)) | | | | | | | | | | | (123,478,682) | | |
TOTAL SHORT POSITIONS (Proceeds $(107,886,227)) | | | | | | | | | | | (123,478,682) | | |
Total Investments – (1.8)% (Cost $(469,702)) | | | | | | | | | | | (2,384,868) | | |
Other assets less liabilities – 101.8% | | | | | | | | | | | 135,194,930 | | |
Net Assets – 100.0% | | | | | | | | | | | 132,810,062 | | |
| Aggregate gross unrealized appreciation | | | | $ | 19,642,507 | | |
| Aggregate gross unrealized depreciation | | | | | (28,510,995) | | |
| Net unrealized depreciation | | | | $ | (8,868,488) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 6,859,204 | | |
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) | | |||||||||||||||
| USD16,772,024 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.49% | | | | Monthly | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | $ | 3,925,498 | | | | | $ | — | | | | | $ | 3,925,498 | | |
| USD(17,938,703) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.26)% | | | | Monthly | | | Dow Jones U.S. High Beta Total Return Index(7) | | | | | (3,549,914) | | | | | | 3,549,914(8) | | | | | | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 375,584 | | | | | | | | | | | $ | 3,925,498 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Long Positions – 98.0% | | ||||||||||||
Common Stocks – 95.1% | | ||||||||||||
Banks – 5.8% | | ||||||||||||
Comerica, Inc.(a) | | | | | 576 | | | | | $ | 32,175 | | |
First Horizon National Corp.(a) | | | | | 2,502 | | | | | | 31,926 | | |
Huntington Bancshares, Inc.(a) | | | | | 2,553 | | | | | | 32,244 | | |
People’s United Financial, Inc. | | | | | 2,490 | | | | | | 32,196 | | |
United Bankshares, Inc. | | | | | 984 | | | | | | 31,882 | | |
Valley National Bancorp | | | | | 3,294 | | | | | | 32,116 | | |
| | | | | | | | | | | 192,539 | | |
Beverages – 1.0% | | ||||||||||||
Coca-Cola Co. (The) | | | | | 591 | | | | | | 32,410 | | |
Biotechnology – 1.9% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 300 | | | | | | 32,145 | | |
Gilead Sciences, Inc.(a) | | | | | 558 | | | | | | 32,509 | | |
| | | | | | | | | | | 64,654 | | |
Capital Markets – 2.0% | | ||||||||||||
Apollo Global Management, Inc. | | | | | 660 | | | | | | 32,327 | | |
Franklin Resources, Inc. | | | | | 1,299 | | | | | | 32,462 | | |
| | | | | | | | | | | 64,789 | | |
Chemicals – 1.9% | | ||||||||||||
CF Industries Holdings, Inc.(a) | | | | | 828 | | | | | | 32,052 | | |
Chemours Co. (The)(a) | | | | | 1,281 | | | | | | 31,756 | | |
| | | | | | | | | | | 63,808 | | |
Communications Equipment – 2.0% | | ||||||||||||
Cisco Systems, Inc.(a) | | | | | 723 | | | | | | 32,354 | | |
Juniper Networks, Inc.(a) | | | | | 1,443 | | | | | | 32,482 | | |
| | | | | | | | | | | 64,836 | | |
Containers & Packaging – 1.9% | | ||||||||||||
International Paper Co.(a) | | | | | 651 | | | | | | 32,368 | | |
Sonoco Products Co. | | | | | 543 | | | | | | 32,173 | | |
| | | | | | | | | | | 64,541 | | |
Distributors – 1.0% | | ||||||||||||
Genuine Parts Co.(a) | | | | | 324 | | | | | | 32,539 | | |
Diversified Consumer Services – 1.0% | | ||||||||||||
H&R Block, Inc. | | | | | 2,040 | | | | | | 32,354 | | |
Diversified Telecommunication Services – 2.0% | | ||||||||||||
AT&T, Inc. | | | | | 1,128 | | | | ��� | | 32,441 | | |
Verizon Communications, Inc. | | | | | 552 | | | | | | 32,430 | | |
| | | | | | | | | | | 64,871 | | |
Electric Utilities – 12.8% | | ||||||||||||
American Electric Power Co., Inc.(a) | | | | | 390 | | | | | | 32,475 | | |
Duke Energy Corp.(a) | | | | | 354 | | | | | | 32,412 | | |
Edison International(a) | | | | | 519 | | | | | | 32,604 | | |
Entergy Corp.(a) | | | | | 324 | | | | | | 32,348 | | |
Exelon Corp.(a) | | | | | 768 | | | | | | 32,425 | | |
Hawaiian Electric Industries, Inc.(a) | | | | | 915 | | | | | | 32,382 | | |
IDACORP, Inc. | | | | | 339 | | | | | | 32,554 | | |
NRG Energy, Inc. | | | | | 864 | | | | | | 32,443 | | |
OGE Energy Corp. | | | | | 1,014 | | | | | | 32,306 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Pinnacle West Capital Corp. | | | | | 405 | | | | | $ | 32,380 | | |
Portland General Electric Co. | | | | | 756 | | | | | | 32,334 | | |
PPL Corp. | | | | | 1,155 | | | | | | 32,571 | | |
Southern Co. (The) | | | | | 528 | | | | | | 32,435 | | |
| | | | | | | | | | | 421,669 | | |
Energy Equipment & Services – 1.0% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,542 | | | | | | 32,151 | | |
Equity Real Estate Investment Trusts (REITs) – 11.8% | | ||||||||||||
American Campus Communities, Inc.(a) | | | | | 756 | | | | | | 32,334 | | |
Gaming and Leisure Properties, Inc.(a) | | | | | 779 | | | | | | 33,030 | | |
Healthcare Trust of America, Inc., Class A | | | | | 1,182 | | | | | | 32,552 | | |
Healthpeak Properties, Inc. | | | | | 1,074 | | | | | | 32,467 | | |
Highwoods Properties, Inc. | | | | | 813 | | | | | | 32,219 | | |
Iron Mountain, Inc.(a) | | | | | 1,101 | | | | | | 32,457 | | |
Medical Properties Trust, Inc. | | | | | 1,488 | | | | | | 32,424 | | |
National Retail Properties, Inc. | | | | | 789 | | | | | | 32,286 | | |
Omega Healthcare Investors, Inc. | | | | | 885 | | | | | | 32,143 | | |
SL Green Realty Corp. | | | | | 546 | | | | | | 32,531 | | |
VICI Properties, Inc. | | | | | 1,257 | | | | | | 32,054 | | |
WP Carey, Inc. | | | | | 459 | | | | | | 32,396 | | |
| | | | | | | | | | | 388,893 | | |
Food Products – 5.9% | | ||||||||||||
Archer-Daniels-Midland Co. | | | | | 639 | | | | | | 32,212 | | |
Campbell Soup Co. | | | | | 672 | | | | | | 32,491 | | |
General Mills, Inc. | | | | | 552 | | | | | | 32,458 | | |
Ingredion, Inc. | | | | | 411 | | | | | | 32,333 | | |
J M Smucker Co. (The) | | | | | 282 | | | | | | 32,599 | | |
Kellogg Co. | | | | | 522 | | | | | | 32,484 | | |
| | | | | | | | | | | 194,577 | | |
Gas Utilities – 2.9% | | ||||||||||||
National Fuel Gas Co. | | | | | 786 | | | | | | 32,328 | | |
Southwest Gas Holdings, Inc. | | | | | 534 | | | | | | 32,441 | | |
UGI Corp. | | | | | 930 | | | | | | 32,513 | | |
| | | | | | | | | | | 97,282 | | |
Health Care Providers & Services – 2.0% | | ||||||||||||
Cardinal Health, Inc.(a) | | | | | 606 | | | | | | 32,458 | | |
CVS Health Corp. | | | | | 474 | | | | | | 32,374 | | |
| | | | | | | | | | | 64,832 | | |
Household Durables – 1.0% | | ||||||||||||
Leggett & Platt, Inc. | | | | | 732 | | | | | | 32,428 | | |
Household Products – 1.0% | | ||||||||||||
Kimberly-Clark Corp. | | | | | 240 | | | | | | 32,359 | | |
Independent Power and Renewable Electricity Producers – 1.0% | | ||||||||||||
NextEra Energy Partners LP | | | | | 486 | | | | | | 32,586 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co. | | | | | 186 | | | | | | 32,511 | | |
Insurance – 1.9% | | ||||||||||||
Prudential Financial, Inc. | | | | | 414 | | | | | | 32,321 | | |
Unum Group | | | | | 1,404 | | | | | | 32,208 | | |
| | | | | | | | | | | 64,529 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
IT Services – 2.0% | | ||||||||||||
International Business Machines Corp.(a) | | | | | 258 | | | | | $ | 32,477 | | |
Western Union Co. (The) | | | | | 1,476 | | | | | | 32,384 | | |
| | | | | | | | | | | 64,861 | | |
Leisure Products – 1.0% | | ||||||||||||
Hasbro, Inc.(a) | | | | | 345 | | | | | | 32,271 | | |
Media – 1.9% | | ||||||||||||
Interpublic Group of Cos., Inc. (The)(a) | | | | | 1,377 | | | | | | 32,387 | | |
Omnicom Group, Inc. | | | | | 519 | | | | | | 32,370 | | |
| | | | | | | | | | | 64,757 | | |
Metals & Mining – 1.0% | | ||||||||||||
Nucor Corp. | | | | | 606 | | | | | | 32,233 | | |
Mortgage Real Estate Investment Trusts (REITs) – 1.9% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 1,176 | | | | | | 32,375 | | |
Starwood Property Trust, Inc. | | | | | 1,671 | | | | | | 32,251 | | |
| | | | | | | | | | | 64,626 | | |
Multi-Utilities – 7.9% | | ||||||||||||
Black Hills Corp.(a) | | | | | 528 | | | | | | 32,446 | | |
Consolidated Edison, Inc.(a) | | | | | 450 | | | | | | 32,522 | | |
Dominion Energy, Inc.(a) | | | | | 432 | | | | | | 32,486 | | |
DTE Energy Co.(a) | | | | | 267 | | | | | | 32,416 | | |
MDU Resources Group, Inc. | | | | | 1,230 | | | | | | 32,398 | | |
NiSource, Inc. | | | | | 1,419 | | | | | | 32,552 | | |
Public Service Enterprise Group, Inc. | | | | | 558 | | | | | | 32,531 | | |
Sempra Energy | | | | | 255 | | | | | | 32,490 | | |
| | | | | | | | | | | 259,841 | | |
Oil, Gas & Consumable Fuels – 3.9% | | ||||||||||||
Chevron Corp.(a) | | | | | 381 | | | | | | 32,175 | | |
ConocoPhillips(a) | | | | | 804 | | | | | | 32,152 | | |
Kinder Morgan, Inc. | | | | | 2,358 | | | | | | 32,234 | | |
Williams Cos., Inc. (The) | | | | | 1,617 | | | | | | 32,421 | | |
| | | | | | | | | | | 128,982 | | |
Pharmaceuticals – 2.9% | | ||||||||||||
Bristol-Myers Squibb Co. | | | | | 522 | | | | | | 32,380 | | |
Merck & Co., Inc. | | | | | 396 | | | | | | 32,393 | | |
Pfizer, Inc. | | | | | 882 | | | | | | 32,466 | | |
| | | | | | | | | | | 97,239 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Broadcom, Inc.(a) | | | | | 75 | | | | | | 32,839 | | |
Technology Hardware, Storage & Peripherals – 2.9% | | ||||||||||||
Hewlett Packard Enterprise Co.(a) | | | | | 2,718 | | | | | | 32,208 | | |
HP, Inc.(a) | | | | | 1,317 | | | | | | 32,385 | | |
NetApp, Inc. | | | | | 489 | | | | | | 32,392 | | |
| | | | | | | | | | | 96,985 | | |
Textiles, Apparel & Luxury Goods – 1.0% | | ||||||||||||
Hanesbrands, Inc.(a) | | | | | 2,205 | | | | | | 32,149 | | |
Thrifts & Mortgage Finance – 1.0% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 3,039 | | | | | | 32,061 | | |
Tobacco – 2.0% | | ||||||||||||
Altria Group, Inc. | | | | | 795 | | | | | | 32,595 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Philip Morris International, Inc. | | | | | 393 | | | | | $ | 32,536 | | |
| | | | | | | | | | | 65,131 | | |
Trading Companies & Distributors – 1.9% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | 381 | | | | | | 32,153 | | |
Watsco, Inc. | | | | | 141 | | | | | | 31,943 | | |
| | | | | | | | | | | 64,096 | | |
Total Common Stocks (Cost $2,916,699) | | | | | | | | | | | 3,139,229 | | |
Master Limited Partnerships – 2.9% | | ||||||||||||
Industrial Conglomerates – 0.9% | | ||||||||||||
Icahn Enterprises LP | | | | | 633 | | | | | | 32,074 | | |
Oil, Gas & Consumable Fuels – 2.0% | | ||||||||||||
Enterprise Products Partners LP(a) | | | | | 1,650 | | | | | | 32,323 | | |
Magellan Midstream Partners LP | | | | | 765 | | | | | | 32,467 | | |
| | | | | | | | | | | 64,790 | | |
Total Master Limited Partnerships (Cost $106,922) | | | | | | | | | | | 96,864 | | |
Total Long Positions (Cost $3,023,621) | | | | | | | | | | | 3,236,093 | | |
Short Positions – (49.0)% | | ||||||||||||
Common Stocks – (49.0)% | | ||||||||||||
Aerospace & Defense – (0.5)% | | ||||||||||||
Teledyne Technologies, Inc.* | | | | | (21) | | | | | | (8,232) | | |
TransDigm Group, Inc.* | | | | | (12) | | | | | | (7,426) | | |
| | | | | | | | | | | (15,658) | | |
Automobiles – (0.3)% | | ||||||||||||
Tesla, Inc.* | | | | | (12) | | | | | | (8,468) | | |
Banks – (1.2)% | | ||||||||||||
First Citizens BancShares, Inc., Class A | | | | | (15) | | | | | | (8,614) | | |
First Financial Bankshares, Inc. | | | | | (222) | | | | | | (8,031) | | |
First Republic Bank | | | | | (54) | | | | | | (7,934) | | |
Pinnacle Financial Partners, Inc. | | | | | (123) | | | | | | (7,921) | | |
SVB Financial Group* | | | | | (21) | | | | | | (8,145) | | |
| | | | | | | | | | | (40,645) | | |
Beverages – (1.0)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (9) | | | | | | (8,948) | | |
Brown-Forman Corp., Class B | | | | | (102) | | | | | | (8,102) | | |
Constellation Brands, Inc., Class A | | | | | (36) | | | | | | (7,886) | | |
Monster Beverage Corp.* | | | | | (87) | | | | | | (8,046) | | |
| | | | | | | | | | | (32,982) | | |
Biotechnology – (0.2)% | | ||||||||||||
Alexion Pharmaceuticals, Inc.* | | | | | (51) | | | | | | (7,968) | | |
Capital Markets – (3.7)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (78) | | | | | | (7,933) | | |
Charles Schwab Corp. (The) | | | | | (153) | | | | | | (8,115) | | |
FactSet Research Systems, Inc. | | | | | (24) | | | | | | (7,980) | | |
Intercontinental Exchange, Inc. | | | | | (69) | | | | | | (7,955) | | |
KKR & Co., Inc. | | | | | (198) | | | | | | (8,017) | | |
LPL Financial Holdings, Inc. | | | | | (78) | | | | | | (8,129) | | |
MarketAxess Holdings, Inc. | | | | | (15) | | | | | | (8,558) | | |
Moody’s Corp. | | | | | (27) | | | | | | (7,836) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Morningstar, Inc. | | | | | (36) | | | | | $ | (8,337) | | |
MSCI, Inc. | | | | | (18) | | | | | | (8,038) | | |
Nasdaq, Inc. | | | | | (60) | | | | | | (7,964) | | |
Open Lending Corp., Class A* | | | | | (237) | | | | | | (8,286) | | |
S&P Global, Inc. | | | | | (24) | | | | | | (7,890) | | |
SEI Investments Co. | | | | | (141) | | | | | | (8,103) | | |
Stifel Financial Corp. | | | | | (159) | | | | | | (8,023) | | |
| | | | | | | | | | | (121,164) | | |
Chemicals – (0.8)% | | ||||||||||||
Ecolab, Inc. | | | | | (36) | | | | | | (7,789) | | |
Quaker Chemical Corp. | | | | | (33) | | | | | | (8,362) | | |
Sherwin-Williams Co. (The) | | | | | (12) | | | | | | (8,819) | | |
| | | | | | | | | | | (24,970) | | |
Commercial Services & Supplies – (0.2)% | | ||||||||||||
Copart, Inc.* | | | | | (63) | | | | | | (8,017) | | |
Construction Materials – (0.5)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (78) | | | | | | (7,905) | | |
Martin Marietta Materials, Inc. | | | | | (27) | | | | | | (7,667) | | |
| | | | | | | | | | | (15,572) | | |
Consumer Finance – (1.2)% | | ||||||||||||
American Express Co. | | | | | (66) | | | | | | (7,980) | | |
Capital One Financial Corp. | | | | | (81) | | | | | | (8,007) | | |
Credit Acceptance Corp.* | | | | | (24) | | | | | | (8,307) | | |
PROG Holdings, Inc. | | | | | (147) | | | | | | (7,919) | | |
SLM Corp. | | | | | (648) | | | | | | (8,029) | | |
| | | | | | | | | | | (40,242) | | |
Containers & Packaging – (0.7)% | | ||||||||||||
Ball Corp. | | | | | (87) | | | | | | (8,107) | | |
Berry Global Group, Inc.* | | | | | (144) | | | | | | (8,091) | | |
Crown Holdings, Inc.* | | | | | (81) | | | | | | (8,116) | | |
| | | | | | | | | | | (24,314) | | |
Diversified Financial Services – (0.5)% | | ||||||||||||
Berkshire Hathaway, Inc., Class B* | | | | | (36) | | | | | | (8,347) | | |
Voya Financial, Inc. | | | | | (135) | | | | | | (7,940) | | |
| | | | | | | | | | | (16,287) | | |
Electric Utilities – (4.7)% | | ||||||||||||
Alliant Energy Corp. | | | | | (378) | | | | | | (19,478) | | |
Evergy, Inc. | | | | | (351) | | | | | | (19,484) | | |
Eversource Energy | | | | | (225) | | | | | | (19,465) | | |
FirstEnergy Corp. | | | | | (636) | | | | | | (19,468) | | |
NextEra Energy, Inc. | | | | | (252) | | | | | | (19,442) | | |
PG&E Corp.* | | | | | (1,557) | | | | | | (19,400) | | |
PNM Resources, Inc. | | | | | (399) | | | | | | (19,364) | | |
Xcel Energy, Inc. | | | | | (294) | | | | | | (19,601) | | |
| | | | | | | | | | | (155,702) | | |
Electrical Equipment – (0.3)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (36) | | | | | | (8,187) | | |
Energy Equipment & Services – (0.2)% | | ||||||||||||
National Oilwell Varco, Inc. | | | | | (585) | | | | | | (8,032) | | |
Entertainment – (0.3)% | | ||||||||||||
Netflix, Inc.* | | | | | (15) | | | | | | (8,111) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Equity Real Estate Investment Trusts (REITs) – (0.8)% | | ||||||||||||
American Homes 4 Rent, Class A | | | | | (270) | | | | | $ | (8,100) | | |
Equinix, Inc. | | | | | (12) | | | | | | (8,570) | | |
SBA Communications Corp. | | | | | (30) | | | | | | (8,464) | | |
| | | | | | | | | | | (25,134) | | |
Food & Staples Retailing – (1.5)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (216) | | | | | | (8,053) | | |
Casey’s General Stores, Inc. | | | | | (45) | | | | | | (8,038) | | |
Costco Wholesale Corp. | | | | | (21) | | | | | | (7,912) | | |
Performance Food Group Co.* | | | | | (168) | | | | | | (7,998) | | |
US Foods Holding Corp.* | | | | | (240) | | | | | | (7,994) | | |
Walmart, Inc. | | | | | (57) | | | | | | (8,217) | | |
| | | | | | | | | | | (48,212) | | |
Food Products – (1.9)% | | ||||||||||||
Beyond Meat, Inc.* | | | | | (63) | | | | | | (7,875) | | |
Darling Ingredients, Inc.* | | | | | (138) | | | | | | (7,960) | | |
Freshpet, Inc.* | | | | | (57) | | | | | | (8,093) | | |
Hain Celestial Group, Inc. (The)* | | | | | (201) | | | | | | (8,070) | | |
Lamb Weston Holdings, Inc. | | | | | (102) | | | | | | (8,032) | | |
Lancaster Colony Corp. | | | | | (45) | | | | | | (8,268) | | |
McCormick & Co., Inc. (Non-Voting) | | | | | (84) | | | | | | (8,030) | | |
Post Holdings, Inc.* | | | | | (78) | | | | | | (7,879) | | |
| | | | | | | | | | | (64,207) | | |
Gas Utilities – (1.2)% | | ||||||||||||
Atmos Energy Corp. | | | | | (204) | | | | | | (19,468) | | |
ONE Gas, Inc. | | | | | (252) | | | | | | (19,346) | | |
| | | | | | | | | | | (38,814) | | |
Health Care Equipment & Supplies – (1.4)% | | ||||||||||||
Align Technology, Inc.* | | | | | (15) | | | | | | (8,015) | | |
Boston Scientific Corp.* | | | | | (225) | | | | | | (8,089) | | |
DexCom, Inc.* | | | | | (21) | | | | | | (7,764) | | |
Edwards Lifesciences Corp.* | | | | | (90) | | | | | | (8,211) | | |
IDEXX Laboratories, Inc.* | | | | | (15) | | | | | | (7,498) | | |
Intuitive Surgical, Inc.* | | | | | (9) | | | | | | (7,363) | | |
| | | | | | | | | | | (46,940) | | |
Health Care Providers & Services – (0.3)% | | ||||||||||||
Centene Corp.* | | | | | (135) | | | | | | (8,104) | | |
Health Care Technology – (0.5)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (42) | | | | | | (8,398) | | |
Veeva Systems, Inc., Class A* | | | | | (30) | | | | | | (8,168) | | |
| | | | | | | | | | | (16,566) | | |
Hotels, Restaurants & Leisure – (0.5)% | | ||||||||||||
Chipotle Mexican Grill, Inc.* | | | | | (6) | | | | | | (8,320) | | |
DraftKings, Inc., Class A* | | | | | (171) | | | | | | (7,962) | | |
| | | | | | | | | | | (16,282) | | |
Household Products – (0.3)% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | (93) | | | | | | (8,112) | | |
Independent Power and Renewable Electricity Producers – (2.9)% | | ||||||||||||
AES Corp. (The) | | | | | (828) | | | | | | (19,458) | | |
Clearway Energy, Inc. | | | | | (609) | | | | | | (19,445) | | |
Ormat Technologies, Inc. | | | | | (213) | | | | | | (19,230) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Sunnova Energy International, Inc.* | | | | | (420) | | | | | $ | (18,955) | | |
Vistra Corp. | | | | | (987) | | | | | | (19,404) | | |
| | | | | | | | | | | (96,492) | | |
Insurance – (3.4)% | | ||||||||||||
Alleghany Corp. | | | | | (12) | | | | | | (7,244) | | |
Arthur J Gallagher & Co. | | | | | (66) | | | | | | (8,165) | | |
Brown & Brown, Inc. | | | | | (171) | | | | | | (8,107) | | |
Globe Life, Inc. | | | | | (84) | | | | | | (7,977) | | |
Goosehead Insurance, Inc., Class A | | | | | (66) | | | | | | (8,234) | | |
Kemper Corp. | | | | | (105) | | | | | | (8,067) | | |
Kinsale Capital Group, Inc. | | | | | (39) | | | | | | (7,805) | | |
Loews Corp. | | | | | (180) | | | | | | (8,104) | | |
Markel Corp.* | | | | | (9) | | | | | | (9,300) | | |
National General Holdings Corp. | | | | | (219) | | | | | | (7,485) | | |
Primerica, Inc. | | | | | (60) | | | | | | (8,036) | | |
RLI Corp. | | | | | (78) | | | | | | (8,124) | | |
Selective Insurance Group, Inc. | | | | | (120) | | | | | | (8,037) | | |
W R Berkley Corp. | | | | | (120) | | | | | | (7,970) | | |
| | | | | | | | | | | (112,655) | | |
Interactive Media & Services – (1.3)% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | (6) | | | | | | (10,516) | | |
Facebook, Inc., Class A* | | | | | (30) | | | | | | (8,195) | | |
Pinterest, Inc., Class A* | | | | | (120) | | | | | | (7,908) | | |
Snap, Inc., Class A* | | | | | (162) | | | | | | (8,111) | | |
Twitter, Inc.* | | | | | (150) | | | | | | (8,122) | | |
| | | | | | | | | | | (42,852) | | |
Internet & Direct Marketing Retail – (0.7)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (3) | | | | | | (9,771) | | |
Booking Holdings, Inc.* | | | | | (3) | | | | | | (6,682) | | |
Wayfair, Inc., Class A* | | | | | (36) | | | | | | (8,129) | | |
| | | | | | | | | | | (24,582) | | |
IT Services – (1.0)% | | ||||||||||||
Fiserv, Inc.* | | | | | (72) | | | | | | (8,198) | | |
PayPal Holdings, Inc.* | | | | | (36) | | | | | | (8,431) | | |
Square, Inc., Class A* | | | | | (36) | | | | | | (7,835) | | |
Twilio, Inc., Class A* | | | | | (24) | | | | | | (8,124) | | |
| | | | | | | | | | | (32,588) | | |
Leisure Products – (0.3)% | | ||||||||||||
Peloton Interactive, Inc., Class A* | | | | | (54) | | | | | | (8,193) | | |
Life Sciences Tools & Services – (0.7)% | | ||||||||||||
Illumina, Inc.* | | | | | (21) | | | | | | (7,770) | | |
IQVIA Holdings, Inc.* | | | | | (45) | | | | | | (8,063) | | |
Mettler-Toledo International, Inc.* | | | | | (6) | | | | | | (6,838) | | |
| | | | | | | | | | | (22,671) | | |
Machinery – (0.2)% | | ||||||||||||
Ingersoll Rand, Inc.* | | | | | (177) | | | | | | (8,064) | | |
Media – (0.2)% | | ||||||||||||
Charter Communications, Inc., Class A* | | | | | (12) | | | | | | (7,939) | | |
Metals & Mining – (0.5)% | | ||||||||||||
Alcoa Corp.* | | | | | (345) | | | | | | (7,952) | | |
Freeport-McMoRan, Inc. | | | | | (309) | | | | | | (8,040) | | |
| | | | | | | | | | | (15,992) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Multiline Retail – (0.2)% | | ||||||||||||
Dollar Tree, Inc.* | | | | | (75) | | | | | $ | (8,103) | | |
Multi-Utilities – (2.4)% | | ||||||||||||
Ameren Corp. | | | | | (249) | | | | | | (19,437) | | |
CenterPoint Energy, Inc. | | | | | (900) | | | | | | (19,476) | | |
CMS Energy Corp. | | | | | (318) | | | | | | (19,401) | | |
WEC Energy Group, Inc. | | | | | (213) | | | | | | (19,603) | | |
| | | | | | | | | | | (77,917) | | |
Oil, Gas & Consumable Fuels – (3.2)% | | ||||||||||||
Apache Corp. | | | | | (567) | | | | | | (8,046) | | |
Cabot Oil & Gas Corp. | | | | | (495) | | | | | | (8,059) | | |
Cheniere Energy, Inc.* | | | | | (132) | | | | | | (7,924) | | |
Cimarex Energy Co. | | | | | (216) | | | | | | (8,102) | | |
Concho Resources, Inc. | | | | | (138) | | | | | | (8,052) | | |
EQT Corp. | | | | | (633) | | | | | | (8,045) | | |
Hess Corp. | | | | | (153) | | | | | | (8,077) | | |
Marathon Oil Corp. | | | | | (1,203) | | | | | | (8,024) | | |
New Fortress Energy, Inc. | | | | | (147) | | | | | | (7,878) | | |
Parsley Energy, Inc., Class A | | | | | (567) | | | | | | (8,051) | | |
Pioneer Natural Resources Co. | | | | | (72) | | | | | | (8,200) | | |
Texas Pacific Land Trust | | | | | (12) | | | | | | (8,724) | | |
WPX Energy, Inc.* | | | | | (987) | | | | | | (8,044) | | |
| | | | | | | | | | | (105,226) | | |
Personal Products – (0.2)% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (30) | | | | | | (7,986) | | |
Pharmaceuticals – (0.2)% | | ||||||||||||
Viatris, Inc.* | | | | | (429) | | | | | | (8,039) | | |
Professional Services – (0.3)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (9) | | | | | | (8,319) | | |
Real Estate Management & Development – (1.2)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (129) | | | | | | (8,091) | | |
eXp World Holdings, Inc.* | | | | | (126) | | | | | | (7,953) | | |
Howard Hughes Corp. (The)* | | | | | (102) | | | | | | (8,051) | | |
Jones Lang LaSalle, Inc.* | | | | | (54) | | | | | | (8,012) | | |
Redfin Corp.* | | | | | (117) | | | | | | (8,030) | | |
| | | | | | | | | | | (40,137) | | |
Road & Rail – (0.2)% | | ||||||||||||
Uber Technologies, Inc.* | | | | | (156) | | | | | | (7,956) | | |
Semiconductors & Semiconductor Equipment – (0.5)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (87) | | | | | | (7,979) | | |
Micron Technology, Inc.* | | | | | (108) | | | | | | (8,119) | | |
| | | | | | | | | | | (16,098) | | |
Software – (2.4)% | | ||||||||||||
Adobe, Inc.* | | | | | (15) | | | | | | (7,502) | | |
Autodesk, Inc.* | | | | | (27) | | | | | | (8,244) | | |
Crowdstrike Holdings, Inc., Class A* | | | | | (39) | | | | | | (8,261) | | |
DocuSign, Inc.* | | | | | (36) | | | | | | (8,003) | | |
salesforce.com, Inc.* | | | | | (36) | | | | | | (8,011) | | |
ServiceNow, Inc.* | | | | | (15) | | | | | | (8,256) | | |
Synopsys, Inc.* | | | | | (30) | | | | | | (7,777) | | |
Trade Desk, Inc. (The), Class A* | | | | | (9) | | | | | | (7,209) | | |
Workday, Inc., Class A* | | | | | (33) | | | | | | (7,907) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Zoom Video Communications, Inc., Class A* | | | | | (24) | | | | | $ | (8,096) | | |
| | | | | | | | | | | (79,266) | | |
Specialty Retail – (0.5)% | | ||||||||||||
AutoZone, Inc.* | | | | | (6) | | | | | | (7,113) | | |
O’Reilly Automotive, Inc.* | | | | | (18) | | | | | | (8,146) | | |
| | | | | | | | | | | (15,259) | | |
Thrifts & Mortgage Finance – (0.2)% | | ||||||||||||
PennyMac Financial Services, Inc. | | | | | (123) | | | | | | (8,071) | | |
Trading Companies & Distributors – (0.2)% | | ||||||||||||
United Rentals, Inc.* | | | | | (33) | | | | | | (7,653) | | |
Water Utilities – (1.2)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (126) | | | | | | (19,337) | | |
Essential Utilities, Inc. | | | | | (414) | | | | | | (19,578) | | |
| | | | | | | | | | | (38,915) | | |
Wireless Telecommunication Services – (0.2)% | | ||||||||||||
T-Mobile US, Inc.* | | | | | (60) | | | | | | (8,091) | | |
Total Common Stocks (Proceeds $(1,447,201)) | | | | | | | | | | | (1,617,754) | | |
|
Investments | | | Shares | | | Value ($) | | |||
Total Short Positions (Proceeds $(1,447,201)) | | | | | | | $ | (1,617,754) | | |
Total Investments – 49.0% (Cost $1,576,420) | | | | | | | | 1,618,339 | | |
Other assets less liabilities – 51.0% | | | | | | | | 1,683,513 | | |
Net Assets – 100.0% | | | | | | | | 3,301,852 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 304,284 | | |
| Aggregate gross unrealized depreciation | | | | | (369,508) | | |
| Net unrealized depreciation | | | | $ | (65,224) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 1,683,563 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
COMMON STOCKS – 99.4% | | ||||||||||||
Construction & Engineering – 3.2% | | ||||||||||||
Vinci SA | | | | | 770 | | | | | $ | 76,616 | | |
Diversified Telecommunication Services – 2.8% | | ||||||||||||
Cellnex Telecom SA | | | | | 489 | | | | | | 29,357 | | |
China Tower Corp. Ltd., Class H | | | | | 254,370 | | | | | | 37,446 | | |
| | | | | | | | | | | 66,803 | | |
Electric Utilities – 16.2% | | ||||||||||||
AusNet Services | | | | | 7,744 | | | | | | 10,527 | | |
Cia Energetica de Minas Gerais (Preference) | | | | | 6,090 | | | | | | 17,071 | | |
Duke Energy Corp. | | | | | 160 | | | | | | 14,650 | | |
Edison International | | | | | 440 | | | | | | 27,641 | | |
Endesa SA | | | | | 292 | | | | | | 8,006 | | |
Eversource Energy | | | | | 420 | | | | | | 36,334 | | |
Fortis, Inc. | | | | | 766 | | | | | | 31,292 | | |
Fortum OYJ | | | | | 1,128 | | | | | | 27,135 | | |
Iberdrola SA | | | | | 1,132 | | | | | | 16,189 | | |
Mercury NZ Ltd. | | | | | 3,842 | | | | | | 18,048 | | |
NextEra Energy, Inc. | | | | | 368 | | | | | | 28,391 | | |
OGE Energy Corp. | | | | | 530 | | | | | | 16,886 | | |
Orsted A/S | | | | | 72 | | | | | | 14,726 | | |
Power Assets Holdings Ltd. | | | | | 2,848 | | | | | | 15,449 | | |
Southern Co. (The) | | | | | 416 | | | | | | 25,555 | | |
Terna Rete Elettrica Nazionale SpA | | | | | 2,704 | | | | | | 20,631 | | |
Verbund AG | | | | | 384 | | | | | | 32,855 | | |
Xcel Energy, Inc. | | | | | 380 | | | | | | 25,335 | | |
| | | | | | | | | | | 386,721 | | |
Equity Real Estate Investment Trusts (REITs) – 19.7% | | ||||||||||||
American Tower Corp. | | | | | 762 | | | | | | 171,038 | | |
Ascendas REIT | | | | | 5,303 | | | | | | 11,941 | | |
CoreSite Realty Corp. | | | | | 139 | | | | | | 17,414 | | |
Crown Castle International Corp. | | | | | 778 | | | | | | 123,850 | | |
CyrusOne, Inc. | | | | | 149 | | | | | | 10,899 | | |
Digital Realty Trust, Inc. | | | | | 113 | | | | | | 15,765 | | |
Equinix, Inc. | | | | | 20 | | | | | | 14,284 | | |
Japan Logistics Fund, Inc. | | | | | 4 | | | | | | 11,796 | | |
Keppel DC REIT | | | | | 7,859 | | | | | | 16,729 | | |
QTS Realty Trust, Inc., Class A | | | | | 176 | | | | | | 10,891 | | |
SBA Communications Corp. | | | | | 181 | | | | | | 51,066 | | |
STAG Industrial, Inc. | | | | | 534 | | | | | | 16,725 | | |
| | | | | | | | | | | 472,398 | | |
Gas Utilities – 4.0% | | ||||||||||||
Atmos Energy Corp. | | | | | 266 | | | | | | 25,384 | | |
China Gas Holdings Ltd. | | | | | 2,218 | | | | | | 8,844 | | |
Enagas SA | | | | | 672 | | | | | | 14,756 | | |
Hong Kong & China Gas Co. Ltd. | | | | | 9,464 | | | | | | 14,160 | | |
Italgas SpA | | | | | 2,016 | | | | | | 12,865 | | |
Kunlun Energy Co. Ltd. | | | | | 13,952 | | | | | | 12,066 | | |
Spire, Inc. | | | | | 120 | | | | | | 7,685 | | |
| | | | | | | | | | | 95,760 | | |
Independent Power and Renewable Electricity Producers – 2.8% | | ||||||||||||
China Longyuan Power Group Corp. Ltd., Class H | | | | | 15,180 | | | | | | 15,186 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Northland Power, Inc. | | | | | 718 | | | | | $ | 25,761 | | |
TransAlta Renewables, Inc. | | | | | 1,516 | | | | | | 25,916 | | |
| | | | | | | | | | | 66,863 | | |
Interactive Media & Services – 1.2% | | ||||||||||||
Alphabet, Inc., Class C* | | | | | 16 | | | | | | 28,030 | | |
Internet & Direct Marketing Retail – 1.1% | | ||||||||||||
Amazon.com, Inc.* | | | | | 8 | | | | | | 26,055 | | |
IT Services – 0.6% | | ||||||||||||
GDS Holdings Ltd., ADR* | | | | | 132 | | | | | | 12,361 | | |
Switch, Inc., Class A | | | | | 155 | | | | | | 2,537 | | |
| | | | | | | | | | | 14,898 | | |
Multi-Utilities – 13.1% | | ||||||||||||
A2A SpA | | | | | 6,104 | | | | | | 9,719 | | |
AGL Energy Ltd. | | | | | 502 | | | | | | 4,629 | | |
Algonquin Power & Utilities Corp. | | | | | 1,516 | | | | | | 24,951 | | |
CenterPoint Energy, Inc. | | | | | 434 | | | | | | 9,392 | | |
Consolidated Edison, Inc. | | | | | 542 | | | | | | 39,170 | | |
DTE Energy Co. | | | | | 160 | | | | | | 19,426 | | |
E.ON SE | | | | | 1,698 | | | | | | 18,805 | | |
National Grid plc | | | | | 6,537 | | | | | | 77,859 | | |
REN – Redes Energeticas Nacionais SGPS SA | | | | | 3,650 | | | | | | 10,567 | | |
RWE AG | | | | | 602 | | | | | | 25,426 | | |
Sempra Energy | | | | | 440 | | | | | | 56,060 | | |
WEC Energy Group, Inc. | | | | | 180 | | | | | | 16,565 | | |
| | | | | | | | | | | 312,569 | | |
Oil, Gas & Consumable Fuels – 18.4% | | ||||||||||||
Enbridge, Inc. | | | | | 5,370 | | | | | | 171,744 | | |
Kinder Morgan, Inc. | | | | | 5,273 | | | | | | 72,082 | | |
ONEOK, Inc. | | | | | 612 | | | | | | 23,488 | | |
Pembina Pipeline Corp. | | | | | 880 | | | | | | 20,809 | | |
Targa Resources Corp. | | | | | 429 | | | | | | 11,317 | | |
TC Energy Corp. | | | | | 1,950 | | | | | | 79,278 | | |
Williams Cos., Inc. (The) | | | | | 3,067 | | | | | | 61,493 | | |
| | | | | | | | | | | 440,211 | | |
Road & Rail – 3.2% | | ||||||||||||
Canadian National Railway Co. | | | | | 258 | | | | | | 28,364 | | |
Kyushu Railway Co. | | | | | 416 | | | | | | 8,987 | | |
Union Pacific Corp. | | | | | 188 | | | | | | 39,145 | | |
| | | | | | | | | | | 76,496 | | |
Software – 1.5% | | ||||||||||||
Microsoft Corp. | | | | | 164 | | | | | | 36,477 | | |
Transportation Infrastructure – 8.7% | | ||||||||||||
Aena SME SA* | | | | | 96 | | | | | | 16,763 | | |
ASTM SpA* | | | | | 756 | | | | | | 19,009 | | |
Atlantia SpA* | | | | | 624 | | | | | | 11,203 | | |
Auckland International Airport Ltd. | | | | | 2,354 | | | | | | 12,865 | | |
Beijing Capital International Airport Co. Ltd., Class H | | | | | 9,033 | | | | | | 7,543 | | |
COSCO SHIPPING Ports Ltd. | | | | | 17,514 | | | | | | 12,184 | | |
Fraport AG Frankfurt Airport Services Worldwide* | | | | | 195 | | | | | | 11,762 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Jiangsu Expressway Co. Ltd., Class H | | | | | 7,254 | | | | | $ | 8,122 | | |
Sydney Airport* | | | | | 8,288 | | | | | | 40,988 | | |
Transurban Group | | | | | 4,960 | | | | | | 52,284 | | |
Zhejiang Expressway Co. Ltd., Class H | | | | | 18,000 | | | | | | 15,225 | | |
| | | | | | | | | | | 207,948 | | |
Water Utilities – 2.9% | | ||||||||||||
American Water Works Co., Inc. | | | | | 252 | | | | | | 38,675 | | |
United Utilities Group plc | | | | | 2,600 | | | | | | 31,979 | | |
| | | | | | | | | | | 70,654 | | |
TOTAL COMMON STOCKS (Cost $2,373,210) | | | | | | | | | | | 2,378,499 | | |
EXCHANGE TRADED FUNDS – 0.2% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $3,980) | | | | | 87 | | | | | | 4,340 | | |
Total Investments – 99.6% (Cost $2,377,190) | | | | | | | | | | | 2,382,839 | | |
Other assets less liabilities – 0.4% | | | | | | | | | | | 9,824 | | |
Net Assets – 100.0% | | | | | | | | | | | 2,392,663 | | |
|
Abbreviations | | | ||
ADR | | | American Depositary Receipt | |
OYJ | | | Public Limited Company | |
Preference | | | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
SPDR | | | Standard & Poor’s Depositary Receipt | |
| Aggregate gross unrealized appreciation | | | | $ | 189,590 | | |
| Aggregate gross unrealized depreciation | | | | | (186,891) | | |
| Net unrealized appreciation | | | | $ | 2,699 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,380,140 | | |
| Australia | | | | | 4.5% | | |
| Austria | | | | | 1.4% | | |
| Brazil | | | | | 0.7% | | |
| Canada | | | | | 17.1% | | |
| China | | | | | 5.4% | | |
| Denmark | | | | | 0.6% | | |
| Finland | | | | | 1.1% | | |
| France | | | | | 3.2% | | |
| Germany | | | | | 2.3% | | |
| Hong Kong | | | | | 1.2% | | |
| Italy | | | | | 3.1% | | |
| Japan | | | | | 0.9% | | |
| New Zealand | | | | | 1.3% | | |
| Portugal | | | | | 0.4% | | |
| Singapore | | | | | 1.2% | | |
| Spain | | | | | 3.6% | | |
| United Kingdom | | | | | 4.6% | | |
| United States | | | | | 47.0% | | |
| Other(1) | | | | | 0.4% | | |
| | | | | | 100.0% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
EXCHANGE TRADED FUNDS – 100.0% | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund*(a) | | | | | 32,014 | | | | | $ | 610,827 | | |
Communication Services Select Sector SPDR Fund | | | | | 4,228 | | | | | | 285,305 | | |
Consumer Discretionary Select Sector SPDR Fund | | | | | 738 | | | | | | 118,655 | | |
Consumer Staples Select Sector SPDR Fund | | | | | 4,015 | | | | | | 270,812 | | |
Energy Select Sector SPDR Fund | | | | | 259 | | | | | | 9,816 | | |
Financial Select Sector SPDR Fund | | | | | 11,168 | | | | | | 329,233 | | |
Health Care Select Sector SPDR Fund | | | | | 3,894 | | | | | | 441,735 | | |
Industrial Select Sector SPDR Fund | | | | | 1,474 | | | | | | 130,523 | | |
Materials Select Sector SPDR Fund | | | | | 1,835 | | | | | | 132,836 | | |
Real Estate Select Sector SPDR Fund | | | | | 1,662 | | | | | | 60,763 | | |
Technology Select Sector SPDR Fund | | | | | 4,887 | | | | | | 635,408 | | |
Utilities Select Sector SPDR Fund | | | | | 1,107 | | | | | | 69,409 | | |
TOTAL EXCHANGE TRADED FUNDS (Cost $2,565,356) | | | | | | | | | | | 3,095,322 | | |
Total Investments – 100.0% (Cost $2,565,356) | | | | | | | 3,095,322 | | | ||||
Liabilities in excess of other assets – 0.0% | | | | | | | (95) | | | ||||
Net Assets – 100.0% | | | | | | | 3,095,227 | | |
| Aggregate gross unrealized appreciation | | | | $ | 630,067 | | |
| Aggregate gross unrealized depreciation | | | | | (100,219) | | |
| Net unrealized appreciation | | | | $ | 529,848 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 2,565,474 | | |
Security | | | Value June 30, 2020 | | | Purchases at Cost | | | Sales Proceeds | | | Shares December 31, 2020 | | | Value December 31, 2020 | | | Change in Unrealized Appreciation (Depreciation) | | | Dividend Income | | | Realized Loss | | ||||||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | 710,555 | | | | | $ | 1,362 | | | | | | 32,014 | | | | | $ | 610,827 | | | | | $ | (98,326) | | | | | $ | — | | | | | $ | (40) | | |
December 31, 2020 (Unaudited)
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | ||||||||||||
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 4,461,707 | | | | | $ | 121,093,814 | | | | | $ | 3,236,093 | | | | | $ | 2,382,839 | | |
Cash | | | | | 449,783 | | | | | | 6,116,109 | | | | | | 180,951 | | | | | | 34,765 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 20,039 | | | | | | 4,774,237 | | | | | | — | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 4,891,931 | | | | | | 123,573,953 | | | | | | 1,390,288 | | | | | | — | | |
Unrealized appreciation on swap agreements | | | | | 323,438 | | | | | | 3,925,498 | | | | | | — | | | | | | — | | |
Receivables: | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold | | | | | 39,354 | | | | | | 892,272 | | | | | | 1,363,759 | | | | | | 9,381 | | |
Dividends and interest | | | | | 1,815 | | | | | | 116,727 | | | | | | 14,400 | | | | | | 6,849 | | |
Receivable for capital shares issued | | | | | — | | | | | | 955,905 | | | | | | — | | | | | | — | | |
Investment adviser (Note 4) | | | | | 15,250 | | | | | | 84,333 | | | | | | 14,887 | | | | | | 14,090 | | |
Foreign tax reclaims | | | | | — | | | | | | — | | | | | | — | | | | | | 1,809 | | |
Prepaid expenses | | | | | 1,018 | | | | | | 10,494 | | | | | | 757 | | | | | | 221 | | |
Total Assets | | | | | 10,204,335 | | | | | | 261,543,342 | | | | | | 6,201,135 | | | | | | 2,449,954 | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value(2) | | | | | 4,898,438 | | | | | | 123,478,682 | | | | | | 1,617,754 | | | | | | — | | |
Foreign Cash Overdraft | ��� | | | | — | | | | | | — | | | | | | — | | | | | | 9,381 | | |
Unrealized depreciation on swap agreements | | | | | 237,070 | | | | | | 3,549,914 | | | | | | — | | | | | | — | | |
Payables: | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities purchased | | | | | — | | | | | | 1,467,271 | | | | | | 1,248,021 | | | | | | — | | |
Income distributions | | | | | — | | | | | | — | | | | | | 6,000 | | | | | | 29,198 | | |
Trustees fees | | | | | 628 | | | | | | 22,521 | | | | | | 362 | | | | | | 275 | | |
Dividends on securities sold short | | | | | 10,273 | | | | | | 197,093 | | | | | | 1,134 | | | | | | — | | |
Accrued expenses and other liabilities | | | | | 20,876 | | | | | | 17,799 | | | | | | 26,012 | | | | | | 18,437 | | |
Total Liabilities | | | | | 5,167,285 | | | | | | 128,733,280 | | | | | | 2,899,283 | | | | | | 57,291 | | |
Net Assets | | | | $ | 5,037,050 | | | | | $ | 132,810,062 | | | | | $ | 3,301,852 | | | | | $ | 2,392,663 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | | 7,869,694 | | | | | | 188,103,358 | | | | | | 4,479,468 | | | | | | 2,500,022 | | |
Distributable earnings (loss) | | | | | (2,832,644) | | | | | | (55,293,296) | | | | | | (1,177,616) | | | | | | (107,359) | | |
Net Assets | | | | $ | 5,037,050 | | | | | $ | 132,810,062 | | | | | $ | 3,301,852 | | | | | $ | 2,392,663 | | |
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 | | | | | | 6,950,000 | | | | | | 150,000 | | | | | | 100,001 | | |
Net Asset Value | | | | $ | 25.19 | | | | | $ | 19.11 | | | | | $ | 22.01 | | | | | $ | 23.93 | | |
(1) Investments in securities, at cost | | | | $ | 3,374,845 | | | | | $ | 107,416,525 | | | | | $ | 3,023,621 | | | | | $ | 2,377,190 | | |
(2) Securities sold short, proceeds | | | | $ | 4,173,850 | | | | | $ | 107,886,227 | | | | | $ | 1,447,201 | | | | | $ | — | | |
December 31, 2020 (Unaudited)
| | | AGFiQ Dynamic Hedged U.S. Equity ETF | | |||
ASSETS | | | | | | | |
Investments in securities, at value(1) | | | | $ | 2,484,495 | | |
Investments in affiliates, at value(3) | | | | | 610,827 | | |
Cash | | | | | 73,135 | | |
Receivables: | | | | | — | | |
Investment adviser (Note 4) | | | | | 13,858 | | |
Prepaid expenses | | | | | 221 | | |
Total Assets | | | | | 3,182,536 | | |
LIABILITIES | | | | | | | |
Payables: | | | | | | | |
Income distributions | | | | | 35,896 | | |
Capital gain distributions | | | | | 30,137 | | |
Trustees fees | | | | | 330 | | |
Accrued expenses and other liabilities | | | | | 20,946 | | |
Total Liabilities | | | | | 87,309 | | |
Net Assets | | | | $ | 3,095,227 | | |
NET ASSETS CONSIST OF: | | | | | | | |
Paid-in capital | | | | | 2,499,949 | | |
Distributable earnings (loss) | | | | | 595,278 | | |
Net Assets | | | | $ | 3,095,227 | | |
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 | | |
Net Asset Value | | | | $ | 30.95 | | |
(1) Investments in securities, at cost | | | | $ | 1,856,203 | | |
(3) Investments in affiliates, at cost | | | | $ | 709,153 | | |
For the Period Ended December 31, 2020 (Unaudited)
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | ||||||||||||
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 32,191 | | | | | $ | 1,708,649 | | | | | $ | 81,411 | | | | | $ | 41,800 | | |
Interest income on securities sold short | | | | | (10,261) | | | | | | (351,537) | | | | | | (2,968) | | | | | | — | | |
Foreign withholding tax on dividends | | | | | — | | | | | | — | | | | | | — | | | | | | (3,268) | | |
Total Investment Income | | | | | 21,930 | | | | | | 1,357,112 | | | | | | 78,443 | | | | | | 38,532 | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 57,797 | | | | | | 1,748,594 | | | | | | 10,165 | | | | | | — | | |
Investment management fees (Note 4) | | | | | 13,157 | | | | | | 452,158 | | | | | | 7,143 | | | | | | 5,371 | | |
Professional fees | | | | | 19,275 | | | | | | 257,361 | | | | | | 17,506 | | | | | | 14,666 | | |
Custody fees | | | | | 3,491 | | | | | | 13,533 | | | | | | 1,767 | | | | | | 2,499 | | |
Index fees | | | | | 6,004 | | | | | | 6,004 | | | | | | 7,265 | | | | | | 2,222 | | |
CCO fees | | | | | 2,955 | | | | | | 32,283 | | | | | | 2,445 | | | | | | 2,354 | | |
Treasurer fees | | | | | 2,417 | | | | | | 14,938 | | | | | | 2,200 | | | | | | 2,160 | | |
Listing fees | | | | | 3,582 | | | | | | 3,582 | | | | | �� | 3,582 | | | | | | 4,776 | | |
Accounting fees | | | | | 15,000 | | | | | | 18,873 | | | | | | 15,000 | | | | | | 15,000 | | |
Trustees fees | | | | | 1,312 | | | | | | 44,758 | | | | | | 664 | | | | | | 506 | | |
Administration fees (Note 5) | | | | | 38,200 | | | | | | 38,200 | | | | | | 38,200 | | | | | | 38,200 | | |
Other fees | | | | | 5,997 | | | | | | 23,253 | | | | | | 5,768 | | | | | | 5,322 | | |
Total Expenses before Adjustments | | | | | 169,187 | | | | | | 2,653,537 | | | | | | 111,705 | | | | | | 93,076 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (98,231) | | | | | | (452,769) | | | | | | (94,398) | | | | | | (87,705) | | |
Total Expenses after Adjustments | | | | | 70,956 | | | | | | 2,200,768 | | | | | | 17,307 | | | | | | 5,371 | | |
Net Investment Income (Loss) | | | | | (49,026) | | | | | | (843,656) | | | | | | 61,136 | | | | | | 33,161 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | 950,731 | | | | | | 5,451,178 | | | | | | 148,903 | | | | | | (78,549) | | |
Foreign currency transactions | | | | | — | | | | | | — | | | | | | — | | | | | | (138) | | |
In-kind redemptions of investments | | | | | — | | | | | | 11,652,966 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | (1,388,397) | | | | | | (47,305,723) | | | | | | (55,620) | | | | | | — | | |
Expiration or closing of swap agreements | | | | | (2,453) | | | | | | (1,739,370) | | | | | | — | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (440,119) | | | | | | (31,940,949) | | | | | | 93,283 | | | | | | (78,687) | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | | | 291,873 | | | | | | 13,135,559 | | | | | | 371,842 | | | | | | 160,904 | | |
Securities sold short | | | | | (575,240) | | | | | | (25,455,128) | | | | | | (284,492) | | | | | | — | | |
Swap agreements | | | | | (1,347) | | | | | | (1,805,931) | | | | | | — | | | | | | — | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | — | | | | | | — | | | | | | — | | | | | | 205 | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | (284,714) | | | | | | (14,125,500) | | | | | | 87,350 | | | | | | 161,109 | | |
Net Realized and Unrealized Gain (Loss) | | | | | (724,833) | | | | | | (46,066,449) | | | | | | 180,633 | | | | | | 82,422 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | (773,859) | | | | | $ | (46,910,105) | | | | | $ | 241,769 | | | | | $ | 115,583 | | |
For the Period Ended December 31, 2020 (Unaudited)
| | | AGFiQ Dynamic Hedged U.S. Equity ETF | | |||
INVESTMENT INCOME | | | | | | | |
Dividend income | | | | $ | 21,861 | | |
Total Investment Income | | | | | 21,861 | | |
EXPENSES | | | | | | | |
Investment management fees (Note 4) | | | | | 6,751 | | |
Professional fees | | | | | 15,184 | | |
Custody fees | | | | | 348 | | |
Index fees | | | | | 2,222 | | |
CCO fees | | | | | 2,434 | | |
Treasurer fees | | | | | 2,195 | | |
Listing fees | | | | | 4,776 | | |
Accounting fees | | | | | 15,000 | | |
Trustees fees | | | | | 617 | | |
Administration fees (Note 5) | | | | | 38,200 | | |
Other fees | | | | | 5,309 | | |
Total Expenses before Adjustments | | | | | 93,036 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (87,040) | | |
Total Expenses after Adjustments | | | | | 5,996 | | |
Net Investment Income (Loss) | | | | | 15,865 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | |
Transactions in Investment securities of Affiliated Underlying Funds | | | | | (40) | | |
Transactions in Investment securities | | | | | 66,977 | | |
Net Realized Gain (Loss) | | | | | 66,937 | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | |
Investments in securities | | | | | 421,931 | | |
Investments in Affiliated Underlying Funds | | | | | (98,326) | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | 323,605 | | |
Net Realized and Unrealized Gain (Loss) | | | | | 390,542 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | 406,407 | | |
| | | AGFiQ U.S. Market Neutral Momentum Fund | | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||
| | | Six Months Ended December 31, 2020 (Unaudited) | | | Year Ended June 30, 2020 | | | Six Months Ended December 31, 2020 (Unaudited) | | | Year Ended June 30, 2020 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (49,026) | | | | | $ | (28,799) | | | | | $ | (843,656) | | | | | $ | 321,328 | | |
Net realized gain (loss) | | | | | (440,119) | | | | | | (25,651) | | | | | | (31,940,949) | | | | | | 303,276 | | |
Net change in unrealized appreciation (depreciation) | | | | | (284,714) | | | | | | 265,244 | | | | | | (14,125,500) | | | | | | 11,071,381 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (773,859) | | | | | | 210,794 | | | | | | (46,910,105) | | | | | | 11,695,985 | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | — | | | | | | — | | | | | | (1,077,142) | | |
Total Distributions | | | | | — | | | | | | — | | | | | | — | | | | | | (1,077,142) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | 7,156,217 | | | | | | 80,154,657 | | | | | | 297,822,206 | | |
Cost of shares redeemed | | | | | — | | | | | | (4,016,549) | | | | | | (93,189,173) | | | | | | (181,178,598) | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | 3,139,668 | | | | | | (13,034,516) | | | | | | 116,643,608 | | |
Total Increase (Decrease) in Net Assets | | | | | (773,859) | | | | | | 3,350,462 | | | | | | (59,944,621) | | | | | | 127,262,451 | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 5,810,909 | | | | | $ | 2,460,447 | | | | | $ | 192,754,683 | | | | | $ | 65,492,232 | | |
End of Period | | | | $ | 5,037,050 | | | | | $ | 5,810,909 | | | | | $ | 132,810,062 | | | | | $ | 192,754,683 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 200,000 | | | | | | 100,000 | | | | | | 7,950,000 | | | | | | 3,000,000 | | |
Shares issued | | | | | — | | | | | | — | | | | | | 50,000 | | | | | | 2,300,000 | | |
Shares issued in-kind | | | | | — | | | | | | 250,000 | | | | | | 3,300,000 | | | | | | 10,100,000 | | |
Shares redeemed | | | | | — | | | | | | (100,000) | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | — | | | | | | (50,000) | | | | | | (4,350,000) | | | | | | (7,450,000) | | |
Shares Outstanding, End of Period | | | | | 200,000 | | | | | | 200,000 | | | | | | 6,950,000 | | | | | | 7,950,000 | | |
| | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | ||||||||||||||||||
| | | Six Months Ended December 31, 2020 (Unaudited) | | | Year Ended June 30, 2020 | | | Six Months Ended December 31, 2020 (Unaudited) | | | Year Ended June 30, 2020 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 61,136 | | | | | $ | 168,711 | | | | | $ | 33,161 | | | | | $ | 70,588 | | |
Net realized gain (loss) | | | | | 93,283 | | | | | | (503,758) | | | | | | (78,687) | | | | | | (37,387) | | |
Net change in unrealized appreciation (depreciation) | | | | | 87,350 | | | | | | 4,417 | | | | | | 161,109 | | | | | | (216,808) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 241,769 | | | | | | (330,630) | | | | | | 115,583 | | | | | | (183,607) | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | (19,771) | | | | | | (196,558) | | | | | | (45,160) | | | | | | (68,803) | | |
Tax return of capital | | | | | — | | | | | | (16,969) | | | | | | — | | | | | | — | | |
Total Distributions | | | | | (19,771) | | | | | | (213,527) | | | | | | (45,160) | | | | | | (68,803) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | 1,200,348 | | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | — | | | | | | (2,346,703) | | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | (1,146,355) | | | | | | — | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | 221,998 | | | | | | (1,690,512) | | | | | | 70,423 | | | | | | (252,410) | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | $ | 3,079,854 | | | | | $ | 4,770,366 | | | | | $ | 2,322,240 | | | | | $ | 2,574,650 | | |
End of Period | | | | $ | 3,301,852 | | | | | $ | 3,079,854 | | | | | $ | 2,392,663 | | | | | $ | 2,322,240 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 150,000 | | | | | | 200,000 | | | | | | 100,001 | | | | | | 100,001 | | |
Shares issued in-kind | | | | | — | | | | | | 50,000 | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | — | | | | | | (100,000) | | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 150,000 | | | | | | 150,000 | | | | | | 100,001 | | | | | | 100,001 | | |
| �� | | AGFiQ Dynamic Hedged U.S. Equity ETF | | |||||||||
| | | Six Months Ended December 31, 2020 (Unaudited) | | | Year Ended June 30, 2020 | | ||||||
OPERATIONS | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 15,865 | | | | | $ | 40,517 | | |
Net realized gain (loss) | | | | | 66,937 | | | | | | 37,439 | | |
Net change in unrealized appreciation (depreciation) | | | | | 323,605 | | | | | | 148,072 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 406,407 | | | | | | 226,028 | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | |
Distributable earnings | | | | | (66,033) | | | | | | (38,385) | | |
Total Distributions | | | | | (66,033) | | | | | | (38,385) | | |
CAPITAL TRANSACTIONS | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | — | | | | | | — | | |
Cost of shares redeemed | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | — | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | 340,374 | | | | | | 187,643 | | |
NET ASSETS | | | | | | | | | | | | | |
Beginning of period | | | | $ | 2,754,853 | | | | | $ | 2,567,210 | | |
End of Period | | | | $ | 3,095,227 | | | | | $ | 2,754,853 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | |
Beginning of period | | | | | 100,001 | | | | | | 100,001 | | |
Shares issued in-kind | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | — | | | | | | — | | |
Shares Outstanding, End of Period | | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/20 (unaudited) | | | | $ | 29.05 | | | | | $ | (0.25) | | | | | $ | (3.61) | | | | | $ | (3.86) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 25.19 | | |
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 Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/20 (unaudited) | | | | | 24.25 | | | | | | (0.10) | | | | | | (5.05) | | | | | | (5.15) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.01 | | | | | | 19.11 | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/20 (unaudited) | | | | | 20.53 | | | | | | 0.41 | | | | | | 1.20 | | | | | | 1.61 | | | | | | (0.13) | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | — | | | | | | 22.01 | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/20 (unaudited) | | | | | 23.22 | | | | | | 0.33 | | | | | | 0.83 | | | | | | 1.16 | | | | | | (0.45) | | | | | | — | | | | | | — | | | | | | (0.45) | | | | | | — | | | | | | 23.93 | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the six months ended 12/31/20 (unaudited) | | | | | 27.55 | | | | | | 0.16 | | | | | | 3.90 | | | | | | 4.06 | | | | | | (0.36) | | | | | | (0.30) | | | | | | — | | | | | | (0.66) | | | | | | — | | | | | | 30.95 | | |
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) | | ||||||||||||||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45% | | | | | | 2.43% | | | | | | 5.79% | | | | | | (1.68)% | | | | | | (5.04)% | | | | | | (1.68)% | | | | | $ | (0.25) | | | | | | (13.29)% | | | | | | (12.95)% | | | | | | 43% | | | | | | 145% | | | | | $ | 5,037 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 2.19 | | | | | | 2.64 | | | | | | (0.84) | | | | | | (1.29) | | | | | | (0.84) | | | | | $ | (0.10) | | | | | | (21.20) | | | | | | (21.56) | | | | | | 10 | | | | | | 111 | | | | | | 132,810 | | |
| | | 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 | | | | | | 1.09 | | | | | | 7.04 | | | | | | 3.85 | | | | | | (2.10) | | | | | | 3.85 | | | | | $ | 0.41 | | | | | | 7.89 | | | | | | 8.00 | | | | | | 56 | | | | | | 86 | | | | | | 3,302 | | |
| | | 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) | | | | | | 7.80(13) | | | | | | 2.78 | | | | | | (4.57) | | | | | | 2.78 | | | | | $ | 0.33 | | | | | | 5.05 | | | | | | 4.20 | | | | | | 25 | | | | | | 25 | | | | | | 2,393 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.40(14) | | | | | | 0.40(14) | | | | | | 6.20(14) | | | | | | 1.06 | | | | | | (4.74) | | | | | | 1.06 | | | | | $ | 0.16 | | | | | | 14.75 | | | | | | 14.69 | | | | | | 12 | | | | | | 12 | | | | | | 3,095 | | |
| | | 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 | | |
December 31, 2020 (Unaudited)
| | | 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* | | | | $ | 4,461,707 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,461,707 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (4,898,438) | | | | | $ | — | | | | | $ | — | | | | | $ | (4,898,438) | | |
Total Investments | | | | $ | (436,731) | | | | | $ | — | | | | | $ | — | | | | | $ | (436,731) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 323,438 | | | | | $ | — | | | | | $ | 323,438 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (237,070) | | | | | $ | — | | | | | $ | (237,070) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 86,368 | | | | | $ | — | | | | | $ | 86,368 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 121,093,814 | | | | | $ | — | | | | | $ | — | | | | | $ | 121,093,814 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (123,478,682) | | | | | $ | — | | | | | $ | — | | | | | $ | (123,478,682) | | |
Total Investments | | | | $ | (2,384,868) | | | | | $ | — | | | | | $ | — | | | | | $ | (2,384,868) | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 3,925,498 | | | | | $ | — | | | | | $ | 3,925,498 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (3,549,914) | | | | | $ | — | | | | | $ | (3,549,914) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 375,584 | | | | | $ | — | | | | | $ | 375,584 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 3,236,093 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,236,093 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,617,754) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,617,754) | | |
Total Investments | | | | $ | 1,618,339 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,618,339 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Construction & Engineering | | | | $ | — | | | | | $ | 76,616 | | | | | $ | — | | | | | $ | 76,616 | | |
Diversified Telecommunication Services | | | | | — | | | | | | 66,803 | | | | | | — | | | | | | 66,803 | | |
Electric Utilities | | | | | 223,155 | | | | | | 163,566 | | | | | | — | | | | | | 386,721 | | |
Equity Real Estate Investment Trusts (REITs) | | | | | 431,932 | | | | | | 40,466 | | | | | | — | | | | | | 472,398 | | |
Gas Utilities | | | | | 33,069 | | | | | | 62,691 | | | | | | — | | | | | | 95,760 | | |
Independent Power and Renewable Electricity Producers | | | | | 51,677 | | | | | | 15,186 | | | | | | — | | | | | | 66,863 | | |
Multi-Utilities | | | | | 165,564 | | | | | | 147,005 | | | | | | — | | | | | | 312,569 | | |
Road & Rail | | | | | 67,509 | | | | | | 8,987 | | | | | | — | | | | | | 76,496 | | |
Transportation Infrastructure | | | | | — | | | | | | 207,948 | | | | | | — | | | | | | 207,948 | | |
Water Utilities | | | | | 38,675 | | | | | | 31,979 | | | | | | — | | | | | | 70,654 | | |
Other* | | | | | 545,671 | | | | | | — | | | | | | — | | | | | | 545,671 | | |
Exchange Traded Funds | | | | | 4,340 | | | | | | — | | | | | | — | | | | | | 4,340 | | |
Total Investments | | | | $ | 1,561,592 | | | | | $ | 821,247 | | | | | $ | — | | | | | $ | 2,382,839 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange Traded Funds | | | | $ | 3,095,322 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,095,322 | | |
Total Investments | | | | $ | 3,095,322 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,095,322 | | |
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 | | | | $ | 796,477 | | | | | $ | (508,762) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 22,330,180 | | | | | | (18,915,560) | | |
Fair Value of Derivative Instruments as of December 31, 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 | | | | | | | | | | $ | 323,438 | | | | | $ | 237,070 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | | 3,925,498 | | | | | | 3,549,914 | | |
The Effect of Derivative Instruments on the Statements of Operations as of December 31, 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 | | | | | | | $ | (2,453) | | | | | $ | (1,347) | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | (1,739,370) | | | | | | (1,805,931) | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 13,157 | | | | | $ | 85,074 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 452,158 | | | | | | 611 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 7,143 | | | | | | 87,255 | | |
AGFiQ Global Infrastructure ETF | | | | | 5,371 | | | | | | 82,334 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 6,751 | | | | | | 80,289 | | |
| | | Expires June 30, | | | Total Eligible for Recoupment | | ||||||||||||||||||||||||
Fund | | | 2021 | | | 2022 | | | 2023 | | | 2024 | | ||||||||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 107,997 | | | | | $ | 242,138 | | | | | $ | 202,602 | | | | | $ | 98,231 | | | | | $ | 650,968 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 107,742 | | | | | | 255,129 | | | | | | 484,176 | | | | | | 452,769 | | | | | | 1,299,816 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 114,110 | | | | | | 255,140 | | | | | | 215,032 | | | | | | 94,398 | | | | | | 678,680 | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 44,646 | | | | | | 159,123 | | | | | | 87,705 | | | | | | 291,474 | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | — | | | | | | 39,362 | | | | | | 148,662 | | | | | | 86,285 | | | | | | 274,309 | | |
Fund | | | Six Months Ended December 31, 2020 | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 78,119 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | | | $ | 2,308,753 | | | | | $ | 6,112,081 | | | | | $ | 4,486,575 | | | | | $ | 3,320,480 | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | 19,246,369 | | | | | | 253,616,841 | | | | | | 98,871,663 | | | | | | 111,437,835 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 1,743,596 | | | | | | 942,772 | | | | | | 2,043,915 | | | | | | 712,688 | | |
AGFiQ Global Infrastructure ETF | | | | | 595,965 | | | | | | — | | | | | | 617,681 | | | | | | — | | |
AGFiQ Dynamic Hedged U.S. Equity ETF | | | | | 710,555 | | | | | | — | | | | | | 341,450 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 87,452,047 | | | | | $ | 11,652,966 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 74,476,412 | | |
December 31, 2020
December 31, 2020
| | | Beginning Account Value 07/01/20 | | | Ending Account Value 12/31/20 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Momentum Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 867.10 | | | | | $ | 11.44 | | | | | | 2.43% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,012.96 | | | | | $ | 12.33 | | | | | | 2.43% | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 788.00 | | | | | $ | 9.87 | | | | | | 2.19% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,014.17 | | | | | $ | 11.12 | | | | | | 2.19% | | |
AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,078.90 | | | | | $ | 5.71 | | | | | | 1.09% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,019.71 | | | | | $ | 5.55 | | | | | | 1.09% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,050.50 | | | | | $ | 2.33 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.94 | | | | | $ | 2.29 | | | | | | 0.45% | | |
AGFiQ Dynamic Hedged U.S. Equity ETF(b) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,147.50 | | | | | $ | 2.17 | | | | | | 0.40% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,023.19 | | | | | $ | 2.04 | | | | | | 0.40% | | |
December 31, 2020 (Unaudited)
Boston, MA 02109
www.AGFiQ.com
Foreside Fund Services, LLC
(b) | Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. |
Not applicable.
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
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) | Not required for this filing. |
(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 H. DeRoche | |
William H. DeRoche | ||
President and Principal Executive Officer | ||
March 5, 2021 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
By: | /s/ William H. DeRoche | |
William H. DeRoche | ||
President and Principal Executive Officer | ||
March 5, 2021 | ||
By: | /s/ Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
March 5, 2021 |