UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22540
AGF Investments Trust
(Exact name of registrant as specified in charter)
53 State Street
Suite 1308
Boston, MA 02109
(Address of principal executive offices) (Zip code)
William H. DeRoche, President
53 State Street, Suite 1308
Boston, MA 02109
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (617) 292-9801
Date of fiscal year end: June 30
Date of reporting period: June 30, 2021
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). |
| AGFiQ U.S. Market Neutral Anti-Beta Fund (“BTAL”) | | | | | -30.35% | | |
| AGFiQ Hedged Dividend Income Fund (“DIVA”) | | | | | 18.18% | | |
| AGFiQ Global Infrastructure ETF (“GLIF”) | | | | | 18.72% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2021 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 3.89% | | | | | | -4.01% | | |
Consumer Discretionary | | | | | 11.82% | | | | | | -11.13% | | |
Consumer Staples | | | | | 5.26% | | | | | | -5.24% | | |
Energy | | | | | 3.04% | | | | | | -3.36% | | |
Financials | | | | | 14.90% | | | | | | -14.13% | | |
Health Care | | | | | 12.98% | | | | | | -12.35% | | |
Industrials | | | | | 13.06% | | | | | | -13.86% | | |
Information Technology | | | | | 16.67% | | | | | | -16.27% | | |
Materials | | | | | 5.07% | | | | | | -5.18% | | |
Real Estate | | | | | 7.64% | | | | | | -7.30% | | |
Utilities | | | | | 4.74% | | | | | | -4.97% | | |
Characteristics (as of 6/30/2021) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 199 | | | | | | 199 | | |
Book Yield (B/P) | | | | | 23.52% | | | | | | 37.00% | | |
Earnings Yield (E/P) | | | | | 3.67% | | | | | | 1.55% | | |
Beta | | | | | 0.862 | | | | | | 1.478 | | |
Average Market Cap (millions) | | | | $ | 42,955 | | | | | $ | 30,247 | | |
Median Market Cap (millions) | | | | $ | 14,951 | | | | | $ | 12,706 | | |
Dow Jones U.S. Thematic Market Neutral Low Beta Index
Russell 1000 — Russell 1000 Index8
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
BTAL NAV Return | | | | | -30.35% | | | | | | -5.16% | | | | | | -5.99% | | | | | | -3.62% | | |
BTAL Market Price Return | | | | | -30.45% | | | | | | -5.12% | | | | | | -5.98% | | | | | | -3.62% | | |
DJUS Low Beta Index | | | | | -29.55% | | | | | | -4.96% | | | | | | -5.67% | | | | | | -2.24% | | |
Russell 1000 Index | | | | | 43.07% | | | | | | 19.16% | | | | | | 17.99% | | | | | | 16.75% | | |
| | | Fund Sector Weights (Based on Net Assets) | | |||||||||
As of 06/30/2021 | | | % Long Weight | | | % Short Weight | | ||||||
Communication Services | | | | | 3.94% | | | | | | -1.96% | | |
Consumer Discretionary | | | | | 2.94% | | | | | | -5.44% | | |
Consumer Staples | | | | | 9.80% | | | | | | -2.45% | | |
Energy | | | | | 12.73% | | | | | | -6.92% | | |
Financials | | | | | 9.82% | | | | | | -10.08% | | |
Health Care | | | | | 6.85% | | | | | | -0.96% | | |
Industrials | | | | | 5.86% | | | | | | -3.38% | | |
Information Technology | | | | | 5.90% | | | | | | -4.33% | | |
Materials | | | | | 1.96% | | | | | | -2.41% | | |
Real Estate | | | | | 14.60% | | | | | | -2.22% | | |
Utilities | | | | | 23.59% | | | | | | -8.76% | | |
Characteristics (as of 6/30/2021) | | | Long Index | | | Short Index | | ||||||
Number of Companies | | | | | 100 | | | | | | 166 | | |
Book Yield (B/P) | | | | | 42.68% | | | | | | 35.19% | | |
Earnings Yield (E/P) | | | | | 4.83% | | | | | | 2.48% | | |
Beta | | | | | 1.081 | | | | | | 1.181 | | |
Average Market Cap (millions) | | | | $ | 49,891 | | | | | $ | 69,824 | | |
Median Market Cap (millions) | | | | $ | 21,253 | | | | | $ | 20,735 | | |
Hedged Dividend Income Index — INDXX Hedged Dividend Income Index
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since Inception | | ||||||||||||
DIVA NAV Return | | | | | 18.18% | | | | | | 4.10% | | | | | | 3.56% | | | | | | 3.94% | | |
DIVA Market Price Return | | | | | 18.16% | | | | | | 4.06% | | | | | | 3.55% | | | | | | 3.91% | | |
Hedged Dividend Income Index | | | | | 19.86% | | | | | | 4.96% | | | | | | 4.60% | | | | | | 5.05% | | |
BloomBarc U.S. Corporate Bond Index | | | | | 3.30% | | | | | | 7.79% | | | | | | 4.90% | | | | | | 4.57% | | |
Fund Sector Weights (Based on Net Assets) | | ||||||
As of 06/30/2021 | | | % Weight | | |||
Utilities | | | | | 33.37% | | |
Real Estate | | | | | 19.73% | | |
Energy | | | | | 24.27% | | |
Industrials | | | | | 15.33% | | |
Communication Services | | | | | 4.16% | | |
Information Technology | | | | | 1.90% | | |
Top 10 Country Allocations (Based on Net Assets) | | ||||||
As of 06/30/2021 | | | % Weight | | |||
United States | | | | | 52.87% | | |
Canada | | | | | 15.07% | | |
China | | | | | 6.54% | | |
France | | | | | 4.40% | | |
Spain | | | | | 4.25% | | |
United Kingdom | | | | | 3.86% | | |
Australia | | | | | 3.82% | | |
Germany | | | | | 1.48% | | |
Austria | | | | | 1.22% | | |
Finland | | | | | 1.20% | | |
Characteristics (as of 6/30/2021) | | | Index | | | Fund (Based on Net Assets) | | ||||||
Number of Companies | | | | | 106 | | | | | | 86 | | |
Book Yield (B/P) | | | | | 41.05% | | | | | | 42.60% | | |
Earnings Yield (E/P) | | | | | 3.57% | | | | | | 3.69% | | |
Beta | | | | | 0.977 | | | | | | 0.990 | | |
Average Market Cap (millions) | | | | $ | 38,532 | | | | | $ | 80,537 | | |
Median Market Cap (millions) | | | | $ | 7,399 | | | | | $ | 12,834 | | |
Dow Jones Brookfield Global Infrastructure TR Index11
| | | 1 Year | | | Since Inception | | ||||||
GLIF NAV Return | | | | | 18.72% | | | | | | 6.12% | | |
GLIF Market Price Return | | | | | 18.10% | | | | | | 6.16% | | |
Dow Jones Brookfield Global Infrastructure Index | | | | | 18.75% | | | | | | 6.99% | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | ||||||||||
LONG POSITIONS – 87.2% | | | | | | | | | | | | | | | | ||||
COMMON STOCKS – 87.2% | | | | | | | | | | | | | | | | ||||
Aerospace & Defense – 1.7% | | | | | | | | ||||||||||||
BWX Technologies, Inc.(a) | | | | | 6,786 | | | | | $ | 394,402 | | | | | ||||
Huntington Ingalls Industries, Inc.(a) | | | | | 1,989 | | | | | | 419,182 | | | | | ||||
Lockheed Martin Corp.(a) | | | | | 1,053 | | | | | | 398,403 | | | | | ||||
Northrop Grumman Corp. | | | | | 1,170 | | | | | | 425,213 | | | | | ||||
| | | | | | | | | | | 1,637,200 | | | | | ||||
Air Freight & Logistics – 0.9% | | | | | | | | ||||||||||||
CH Robinson Worldwide, Inc.(a) | | | | | 4,446 | | | | | | 416,457 | | | | | ||||
Expeditors International of Washington, Inc.(a) | | | | | 3,393 | | | | | | 429,554 | | | | | ||||
| | | | | | | | | | | 846,011 | | | | | ||||
Automobiles – 0.8% | | | | | | | | ||||||||||||
Harley-Davidson, Inc.(a) | | | | | 9,126 | | | | | | 418,153 | | | | | ||||
Thor Industries, Inc. | | | | | 3,627 | | | | | | 409,851 | | | | | ||||
| | | | | | | | | | | 828,004 | | | | | ||||
Banks – 0.8% | | | | | | | | ||||||||||||
Bank OZK | | | | | 10,296 | | | | | | 434,079 | | | | | ||||
Commerce Bancshares, Inc.(a) | | | | | 5,499 | | | | | | 410,006 | | | | | ||||
| | | | | | | | | | | 844,085 | | | | | ||||
Biotechnology – 6.9% | | | | | | | | ||||||||||||
ACADIA Pharmaceuticals, Inc.*(a) | | | | | 19,890 | | | | | | 485,117 | | | | | ||||
Acceleron Pharma, Inc.* | | | | | 3,276 | | | | | | 411,105 | | | | | ||||
Alkermes plc*(a) | | | | | 19,656 | | | | | | 481,965 | | | | | ||||
Allogene Therapeutics, Inc.*(a) | | | | | 17,082 | | | | | | 445,499 | | | | | ||||
Exact Sciences Corp.*(a) | | | | | 3,861 | | | | | | 479,961 | | | | | ||||
Exelixis, Inc.*(a) | | | | | 18,954 | | | | | | 345,342 | | | | | ||||
FibroGen, Inc.*(a) | | | | | 20,475 | | | | | | 545,249 | | | | | ||||
Gilead Sciences, Inc.(a) | | | | | 6,435 | | | | | | 443,114 | | | | | ||||
Incyte Corp.*(a) | | | | | 5,148 | | | | | | 433,101 | | | | | ||||
Ionis Pharmaceuticals, Inc.*(a) | | | | | 12,051 | | | | | | 480,714 | | | | | ||||
Moderna, Inc.* | | | | | 2,457 | | | | | | 577,346 | | | | | ||||
Sarepta Therapeutics, Inc.* | | | | | 5,616 | | | | | | 436,588 | | | | | ||||
United Therapeutics Corp.* | | | | | 2,340 | | | | | | 419,819 | | | | | ||||
Vertex Pharmaceuticals, Inc.* | | | | | 1,989 | | | | | | 401,042 | | | | | ||||
Vir Biotechnology, Inc.* | | | | | 9,477 | | | | | | 448,073 | | | | | ||||
| | | | | | | | | | | 6,834,035 | | | | | ||||
Building Products – 0.4% | | | | | | | | ||||||||||||
Masco Corp.(a) | | | | | 6,903 | | | | | | 406,656 | | | | | ||||
Capital Markets – 5.0% | | | | | | | | ||||||||||||
Ares Management Corp.(a) | | | | | 7,722 | | | | | | 491,042 | | | | | ||||
Cboe Global Markets, Inc.(a) | | | | | 3,861 | | | | | | 459,652 | | | | | ||||
CME Group, Inc.(a) | | | | | 1,989 | | | | | | 423,021 | | | | | ||||
Intercontinental Exchange, Inc.(a) | | | | | 3,744 | | | | | | 444,413 | | | | | ||||
MarketAxess Holdings, Inc.(a) | | | | | 936 | | | | | | 433,920 | | | | | ||||
Morningstar, Inc.(a) | | | | | 1,755 | | | | | | 451,228 | | | | | ||||
MSCI, Inc. | | | | | 936 | | | | | | 498,963 | | | | | ||||
Nasdaq, Inc. | | | | | 2,574 | | | | | | 452,509 | | | | | ||||
S&P Global, Inc. | | | | | 1,170 | | | | | | 480,226 | | | | | ||||
Tradeweb Markets, Inc., Class A | | | | | 5,265 | | | | | | 445,208 | | | | | ||||
Virtu Financial, Inc., Class A | | | | | 14,625 | | | | | | 404,089 | | | | | ||||
| | | | | | | | | | | 4,984,271 | | | | |
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Chemicals – 2.1% | | | | | | | | ||||||||||||
Air Products and Chemicals, Inc.(a) | | | | | 1,404 | | | | | $ | 403,903 | | | | | ||||
DuPont de Nemours, Inc.(a) | | | | | 5,031 | | | | | | 389,450 | | | | | ||||
NewMarket Corp. | | | | | 1,287 | | | | | | 414,388 | | | | | ||||
Sherwin-Williams Co. (The) | | | | | 1,521 | | | | | | 414,396 | | | | | ||||
Valvoline, Inc. | | | | | 13,104 | | | | | | 425,356 | | | | | ||||
| | | | | | | | | | | 2,047,493 | | | | | ||||
Commercial Services & Supplies – 1.3% | | | | | | | | ||||||||||||
Republic Services, Inc. | | | | | 3,861 | | | | | | 424,749 | | | | | ||||
Rollins, Inc. | | | | | 12,402 | | | | | | 424,148 | | | | | ||||
Waste Management, Inc. | | | | | 3,042 | | | | | | 426,215 | | | | | ||||
| | | | | | | | | | | 1,275,112 | | | | | ||||
Communications Equipment – 0.9% | | | | | | | | ||||||||||||
Cisco Systems, Inc.(a) | | | | | 7,956 | | | | | | 421,668 | | | | | ||||
F5 Networks, Inc.*(a) | | | | | 2,340 | | | | | | 436,784 | | | | | ||||
| | | | | | | | | | | 858,452 | | | | | ||||
Consumer Finance – 0.9% | | | | | | | | ||||||||||||
FirstCash, Inc.(a) | | | | | 5,499 | | | | | | 420,344 | | | | | ||||
LendingTree, Inc.* | | | | | 2,106 | | | | | | 446,219 | | | | | ||||
| | | | | | | | | | | 866,563 | | | | | ||||
Containers & Packaging – 1.6% | | | | | | | | ||||||||||||
AptarGroup, Inc.(a) | | | | | 2,808 | | | | | | 395,479 | | | | | ||||
International Paper Co.(a) | | | | | 6,669 | | | | | | 408,876 | | | | | ||||
Packaging Corp. of America | | | | | 2,808 | | | | | | 380,259 | | | | | ||||
Silgan Holdings, Inc. | | | | | 9,945 | | | | | | 412,718 | | | | | ||||
| | | | | | | | | | | 1,597,332 | | | | | ||||
Distributors – 0.4% | | | | | | | | ||||||||||||
Pool Corp. | | | | | 936 | | | | | | 429,306 | | | | | ||||
Diversified Consumer Services – 1.7% | | | | | | | | ||||||||||||
frontdoor, Inc.*(a) | | | | | 7,956 | | | | | | 396,368 | | | | | ||||
Grand Canyon Education, Inc.*(a) | | | | | 4,680 | | | | | | 421,060 | | | | | ||||
Service Corp. International | | | | | 8,073 | | | | | | 432,632 | | | | | ||||
Terminix Global Holdings, Inc.* | | | | | 8,775 | | | | | | 418,655 | | | | | ||||
| | | | | | | | | | | 1,668,715 | | | | | ||||
Diversified Financial Services – 0.4% | | | | | | | | ||||||||||||
Berkshire Hathaway, Inc., Class B*(a) | | | | | 1,521 | | | | | | 422,716 | | | | | ||||
Diversified Telecommunication Services – 0.4% | | | | | | | | ||||||||||||
Verizon Communications, Inc. | | | | | 7,488 | | | | | | 419,553 | | | | | ||||
Electric Utilities – 1.7% | | | | | | | | ||||||||||||
Duke Energy Corp.(a) | | | | | 4,212 | | | | | | 415,808 | | | | | ||||
Evergy, Inc.(a) | | | | | 6,903 | | | | | | 417,148 | | | | | ||||
Hawaiian Electric Industries, Inc.(a) | | | | | 9,828 | | | | | | 415,528 | | | | | ||||
PNM Resources, Inc. | | | | | 8,658 | | | | | | 422,251 | | | | | ||||
| | | | | | | | | | | 1,670,735 | | | | | ||||
Electronic Equipment, Instruments & Components – 0.5% | | | | | | | | ||||||||||||
Keysight Technologies, Inc.*(a) | | | | | 3,042 | | | | | | 469,715 | | | | | ||||
Entertainment — 1.7% | | | | | | | | ||||||||||||
Activision Blizzard, Inc.(a) | | | | | 4,329 | | | | | | 413,160 | | | | | ||||
Electronic Arts, Inc.(a) | | | | | 2,925 | | | | | | 420,702 | | | | | ||||
Take-Two Interactive Software, Inc.* | | | | | 2,340 | | | | | | 414,227 | | | | | ||||
Zynga, Inc., Class A* | | | | | 40,248 | | | | | | 427,836 | | | | | ||||
| | | | | | | | | | | 1,675,925 | | | | | ||||
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Equity Real Estate Investment Trusts (REITs) – 6.7% | | | | ||||||||||||||||
Americold Realty Trust(a) | | | | | 10,998 | | | | | $ | 416,274 | | | | | ||||
Camden Property Trust(a) | | | | | 3,393 | | | | | | 450,149 | | | | | ||||
CoreSite Realty Corp.(a) | | | | | 3,510 | | | | | | 472,446 | | | | | ||||
Crown Castle International Corp.(a) | | | | | 2,223 | | | | | | 433,707 | | | | | ||||
CubeSmart(a) | | | | | 9,828 | | | | | | 455,233 | | | | | ||||
CyrusOne, Inc.(a) | | | | | 5,733 | | | | | | 410,024 | | | | | ||||
Digital Realty Trust, Inc.(a) | | | | | 2,808 | | | | | | 422,492 | | | | | ||||
Equinix, Inc.(a) | | | | | 585 | | | | | | 469,521 | | | | | ||||
Equity Commonwealth(a) | | | | | 15,327 | | | | | | 401,567 | | | | | ||||
Extra Space Storage, Inc.(a) | | | | | 2,808 | | | | | | 460,007 | | | | | ||||
Iron Mountain, Inc.(a) | | | | | 9,828 | | | | | | 415,921 | | | | | ||||
Life Storage, Inc.(a) | | | | | 4,329 | | | | | | 464,718 | | | | | ||||
Public Storage | | | | | 1,521 | | | | | | 457,350 | | | | | ||||
SBA Communications Corp. | | | | | 1,404 | | | | | | 447,455 | | | | | ||||
Sun Communities, Inc. | | | | | 2,574 | | | | | | 441,184 | | | | | ||||
| | | | | | | | | | | 6,618,048 | | | | | ||||
Food & Staples Retailing – 0.9% | | | | | | | | ||||||||||||
Kroger Co. (The)(a) | | | | | 11,583 | | | | | | 443,745 | | | | | ||||
Sprouts Farmers Market, Inc.* | | | | | 16,497 | | | | | | 409,950 | | | | | ||||
| | | | | | | | | | | 853,695 | | | | | ||||
Food Products – 2.9% | | | | | | | | ||||||||||||
Campbell Soup Co.(a) | | | | | 8,775 | | | | | | 400,052 | | | | | ||||
Flowers Foods, Inc.(a) | | | | | 17,550 | | | | | | 424,710 | | | | | ||||
General Mills, Inc.(a) | | | | | 6,786 | | | | | | 413,471 | | | | | ||||
Hain Celestial Group, Inc. (The)*(a) | | | | | 10,530 | | | | | | 422,464 | | | | | ||||
Hormel Foods Corp.(a) | | | | | 8,658 | | | | | | 413,419 | | | | | ||||
J M Smucker Co. (The) | | | | | 3,159 | | | | | | 409,312 | | | | | ||||
TreeHouse Foods, Inc.* | | | | | 8,541 | | | | | | 380,245 | | | | | ||||
| | | | | | | | | | | 2,863,673 | | | | | ||||
Gas Utilities – 0.4% | | | | | | | | ||||||||||||
National Fuel Gas Co. | | | | | 8,307 | | | | | | 434,041 | | | | | ||||
Health Care Equipment & Supplies – 2.3% | | | | | | | | ||||||||||||
Baxter International, Inc.(a) | | | | | 5,148 | | | | | | 414,414 | | | | | ||||
Becton Dickinson and Co.(a) | | | | | 1,755 | | | | | | 426,799 | | | | | ||||
Penumbra, Inc.* | | | | | 1,638 | | | | | | 448,910 | | | | | ||||
Quidel Corp.* | | | | | 3,510 | | | | | | 449,701 | | | | | ||||
ResMed, Inc. | | | | | 2,106 | | | | | | 519,171 | | | | | ||||
| | | | | | | | | | | 2,258,995 | | | | | ||||
Health Care Providers & Services – 1.3% | | | | | | | | ||||||||||||
Amedisys, Inc.*(a) | | | | | 1,638 | | | | | | 401,195 | | | | | ||||
Laboratory Corp. of America Holdings*(a) | | | | | 1,521 | | | | | | 419,568 | | | | | ||||
Quest Diagnostics, Inc.(a) | | | | | 3,276 | | | | | | 432,334 | | | | | ||||
| | | | | | | | | | | 1,253,097 | | | | | ||||
Hotels, Restaurants & Leisure – 1.4% | | | | | | | | ||||||||||||
Domino’s Pizza, Inc.(a) | | | | | 1,053 | | | | | | 491,214 | | | | | ||||
McDonald’s Corp.(a) | | | | | 1,872 | | | | | | 432,413 | | | | | ||||
Wendy’s Co. (The) | | | | | 18,252 | | | | | | 427,462 | | | | | ||||
| | | | | | | | | | | 1,351,089 | | | | | ||||
Household Durables – 0.5% | | | | | | | | ||||||||||||
Helen of Troy Ltd.*(a) | | | | | 1,989 | | | | | | 453,731 | | | | | ||||
|
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Household Products – 0.8% | | | | | | | | ||||||||||||
Church & Dwight Co., Inc.(a) | | | | | 4,914 | | | | | $ | 418,771 | | | | | ||||
Clorox Co. (The)(a) | | | | | 2,340 | | | | | | 420,989 | | | | | ||||
| | | | | | | | | | | 839,760 | | | | | ||||
Industrial Conglomerates – 0.4% | | | | | | | | ||||||||||||
3M Co.(a) | | | | | 2,106 | | | | | | 418,315 | | | | | ||||
Insurance – 4.6% | | | | | | | | ||||||||||||
Allstate Corp. (The)(a) | | | | | 3,159 | | | | | | 412,060 | | | | | ||||
Aon plc, Class A(a) | | | | | 1,638 | | | | | | 391,089 | | | | | ||||
Arthur J Gallagher & Co.(a) | | | | | 2,925 | | | | | | 409,734 | | | | | ||||
Assurant, Inc.(a) | | | | | 2,691 | | | | | | 420,280 | | | | | ||||
Brown & Brown, Inc.(a) | | | | | 8,190 | | | | | | 435,217 | | | | | ||||
Erie Indemnity Co., Class A(a) | | | | | 2,106 | | | | | | 407,195 | | | | | ||||
Marsh & McLennan Cos., Inc.(a) | | | | | 3,042 | | | | | | 427,949 | | | | | ||||
Mercury General Corp.(a) | | | | | 6,669 | | | | | | 433,152 | | | | | ||||
Progressive Corp. (The) | | | | | 4,329 | | | | | | 425,151 | | | | | ||||
RLI Corp. | | | | | 4,095 | | | | | | 428,296 | | | | | ||||
White Mountains Insurance Group Ltd. | | | | | 351 | | | | | | 402,958 | | | | | ||||
| | | | | | | | | | | 4,593,081 | | | | | ||||
Internet & Direct Marketing Retail – 0.4% | | | | | | | | ||||||||||||
Amazon.com, Inc.*(a) | | | | | 117 | | | | | | 402,499 | | | | | ||||
IT Services – 4.5% | | | | | | | | ||||||||||||
Akamai Technologies, Inc.*(a) | | | | | 3,627 | | | | | | 422,908 | | | | | ||||
Amdocs Ltd.(a) | | | | | 5,499 | | | | | | 425,403 | | | | | ||||
Automatic Data Processing, Inc.(a) | | | | | 2,223 | | | | | | 441,532 | | | | | ||||
Black Knight, Inc.*(a) | | | | | 5,850 | | | | | | 456,183 | | | | | ||||
Broadridge Financial Solutions, Inc.(a) | | | | | 2,691 | | | | | | 434,677 | | | | | ||||
Cognizant Technology Solutions Corp., Class A(a) | | | | | 5,967 | | | | | | 413,274 | | | | | ||||
Maximus, Inc.(a) | | | | | 4,680 | | | | | | 411,700 | | | | | ||||
MongoDB, Inc.*(a) | | | | | 1,521 | | | | | | 549,872 | | | | | ||||
Okta, Inc.* | | | | | 1,755 | | | | | | 429,413 | | | | | ||||
VeriSign, Inc.* | | | | | 1,872 | | | | | | 426,236 | | | | | ||||
| | | | | | | | | | | 4,411,198 | | | | | ||||
Leisure Products – 1.0% | | | | | | | | ||||||||||||
Mattel, Inc.*(a) | | | | | 21,177 | | | | | | 425,658 | | | | | ||||
Peloton Interactive, Inc., Class A* | | | | | 4,212 | | | | | | 522,372 | | | | | ||||
| | | | | | | | | | | 948,030 | | | | | ||||
Machinery – 2.1% | | | | | | | | ||||||||||||
Cummins, Inc.(a) | | | | | 1,638 | | | | | | 399,361 | | | | | ||||
Graco, Inc.(a) | | | | | 5,616 | | | | | | 425,131 | | | | | ||||
Navistar International Corp.* | | | | | 9,594 | | | | | | 426,933 | | | | | ||||
Otis Worldwide Corp. | | | | | 5,499 | | | | | | 449,653 | | | | | ||||
Toro Co. (The) | | | | | 3,861 | | | | | | 424,247 | | | | | ||||
| | | | | | | | | | | 2,125,325 | | | | | ||||
Media – 1.3% | | | | | | | | ||||||||||||
Charter Communications, Inc., Class A*(a) | | | | | 585 | | | | | | 422,048 | | | | | ||||
Fox Corp., Class A(a) | | | | | 11,349 | | | | | | 421,389 | | | | | ||||
New York Times Co. (The), Class A | | | | | 9,711 | | | | | | 422,914 | | | | | ||||
| | | | | | | | | | | 1,266,351 | | | | | ||||
Metals & Mining – 0.8% | | | | | | | | ||||||||||||
Newmont Corp. | | | | | 5,733 | | | | | | 363,358 | | | | | ||||
Royal Gold, Inc. | | | | | 3,393 | | | | | | 387,141 | | | | | ||||
| | | | | | | | | | | 750,499 | | | | | ||||
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.8% | | | | | | | | ||||||||||||
AGNC Investment Corp.(a) | | | | | 22,815 | | | | | $ | 385,346 | | | | | ||||
Annaly Capital Management, Inc. | | | | | 45,864 | | | | | | 407,272 | | | | | ||||
| | | | | | | | | | | 792,618 | | | | | ||||
Multiline Retail – 1.4% | | | | | | | | ||||||||||||
Dollar General Corp.(a) | | | | | 2,106 | | | | | | 455,717 | | | | | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | | | | | 5,382 | | | | | | 452,788 | | | | | ||||
Target Corp. | | | | | 1,872 | | | | | | 452,537 | | | | | ||||
| | | | | | | | | | | 1,361,042 | | | | | ||||
Multi-Utilities – 2.0% | | | | | | | | ||||||||||||
Ameren Corp.(a) | | | | | 5,031 | | | | | | 402,681 | | | | | ||||
CMS Energy Corp.(a) | | | | | 6,669 | | | | | | 394,005 | | | | | ||||
Consolidated Edison, Inc.(a) | | | | | 5,499 | | | | | | 394,388 | | | | | ||||
Dominion Energy, Inc.(a) | | | | | 5,616 | | | | | | 413,169 | | | | | ||||
WEC Energy Group, Inc. | | | | | 4,446 | | | | | | 395,472 | | | | | ||||
| | | | | | | | | | | 1,999,715 | | | | | ||||
Oil, Gas & Consumable Fuels – 2.7% | | | | | | | | ||||||||||||
Cabot Oil & Gas Corp.(a) | | | | | 25,740 | | | | | | 449,420 | | | | | ||||
Cheniere Energy, Inc.*(a) | | | | | 5,031 | | | | | | 436,389 | | | | | ||||
EQT Corp.*(a) | | | | | 20,592 | | | | | | 458,378 | | | | | ||||
Equitrans Midstream Corp.(a) | | | | | 51,363 | | | | | | 437,099 | | | | | ||||
Kinder Morgan, Inc.(a) | | | | | 22,815 | | | | | | 415,918 | | | | | ||||
Williams Cos., Inc. (The) | | | | | 16,380 | | | | | | 434,889 | | | | | ||||
| | | | | | | | | | | 2,632,093 | | | | | ||||
Pharmaceuticals – 0.9% | | | | | | | | ||||||||||||
Eli Lilly and Co.(a) | | | | | 2,106 | | | | | | 483,369 | | | | | ||||
Johnson & Johnson(a) | | | | | 2,457 | | | | | | 404,766 | | | | | ||||
| | | | | | | | | | | 888,135 | | | | | ||||
Professional Services – 2.5% | | | | | | | | ||||||||||||
Booz Allen Hamilton Holding Corp.(a) | | | | | 5,031 | | | | | | 428,541 | | | | | ||||
CACI International, Inc., Class A*(a) | | | | | 1,638 | | | | | | 417,886 | | | | | ||||
FTI Consulting, Inc.*(a) | | | | ��� | 3,042 | | | | | | 415,568 | | | | | ||||
Nielsen Holdings plc | | | | | 15,678 | | | | | | 386,776 | | | | | ||||
Science Applications International Corp. | | | | | 4,797 | | | | | | 420,841 | | | | | ||||
Verisk Analytics, Inc. | | | | | 2,457 | | | | | | 429,287 | | | | | ||||
| | | | | | | | | | | 2,498,899 | | | | | ||||
Road & Rail – 1.6% | | | | | | | | ||||||||||||
JB Hunt Transport Services, Inc.(a) | | | | | 2,574 | | | | | | 419,433 | | | | | ||||
Kansas City Southern(a) | | | | | 1,404 | | | | | | 397,852 | | | | | ||||
Knight-Swift Transportation Holdings, Inc.(a) | | | | | 9,009 | | | | | | 409,549 | | | | | ||||
Landstar System, Inc.(a) | | | | | 2,574 | | | | | | 406,743 | | | | | ||||
| | | | | | | | | | | 1,633,577 | | | | | ||||
Semiconductors & Semiconductor Equipment – 0.5% | | | | | | | | ||||||||||||
Cirrus Logic, Inc.*(a) | | | | | 5,499 | | | | | | 468,075 | | | | | ||||
Software – 7.9% | | | | | | | | ||||||||||||
Alteryx, Inc., Class A*(a) | | | | | 5,616 | | | | | | 483,088 | | | | | ||||
Citrix Systems, Inc.(a) | | | | | 3,627 | | | | | | 425,338 | | | | | ||||
Datadog, Inc., Class A*(a) | | | | | 4,680 | | | | | | 487,094 | | | | | ||||
Dolby Laboratories, Inc., Class A(a) | | | | | 4,446 | | | | | | 436,997 | | | | | ||||
Dropbox, Inc., Class A*(a) | | | | | 15,795 | | | | | | 478,747 | | | | | ||||
Five9, Inc.*(a) | | | | | 2,457 | | | | | | 450,589 | | | | | ||||
New Relic, Inc.* | | | | | 6,903 | | | | | | 462,294 | | | | | ||||
NortonLifeLock, Inc. | | | | | 15,561 | | | | | | 423,570 | | | | | ||||
Nuance Communications, Inc.* | | | | | 7,956 | | | | | | 433,125 | | | | |
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Oracle Corp. | | | | | 5,382 | | | | | $ | 418,935 | | | | | ||||
Proofpoint, Inc.* | | | | | 2,457 | | | | | | 426,928 | | | | | ||||
RingCentral, Inc., Class A* | | | | | 1,638 | | | | | | 475,970 | | | | | ||||
Smartsheet, Inc., Class A* | | | | | 7,254 | | | | | | 524,609 | | | | | ||||
Splunk, Inc.* | | | | | 3,510 | | | | | | 507,476 | | | | | ||||
Tyler Technologies, Inc.* | | | | | 1,053 | | | | | | 476,346 | | | | | ||||
Verint Systems, Inc.* | | | | | 9,243 | | | | | | 416,582 | | | | | ||||
Zoom Video Communications, Inc., Class A* | | | | | 1,287 | | | | | | 498,108 | | | | | ||||
| | | | | | | | | | | 7,825,796 | | | | | ||||
Specialty Retail – 2.8% | | | | | | | | ||||||||||||
AutoZone, Inc.*(a) | | | | | 351 | | | | | | 523,769 | | | | | ||||
Dick’s Sporting Goods, Inc.(a) | | | | | 5,031 | | | | | | 504,056 | | | | | ||||
Five Below, Inc.*(a) | | | | | 2,340 | | | | | | 452,252 | | | | | ||||
Murphy USA, Inc. | | | | | 3,159 | | | | | | 421,316 | | | | | ||||
O’Reilly Automotive, Inc.* | | | | | 819 | | | | | | 463,726 | | | | | ||||
Tractor Supply Co. | | | | | 2,340 | | | | | | 435,380 | | | | | ||||
| | | | | | | | | | | 2,800,499 | | | | | ||||
Technology Hardware, Storage & Peripherals – 0.4% | | | | | | | | ||||||||||||
Seagate Technology Holdings plc | | | | | 4,563 | | | | | | 401,225 | | | | | ||||
Thrifts & Mortgage Finance – 0.4% | | | | | | | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 36,387 | | | | | | 400,985 | | | | | ||||
Trading Companies & Distributors – 0.9% | | | | | | | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | 4,563 | | | | | | 409,438 | | | | | ||||
Watsco, Inc. | | | | | 1,521 | | | | | | 435,979 | | | | | ||||
| | | | | | | | | | | 845,417 | | | | | ||||
TOTAL COMMON STOCKS (Cost $78,610,404) | | | | | | | | | | | 86,171,382 | | | | | ||||
TOTAL LONG POSITIONS (Cost $78,610,404) | | | | | | | | | | | 86,171,382 | | | | | ||||
SHORT POSITIONS – (85.4)% | | | | | | | | ||||||||||||
COMMON STOCKS – (85.4)% | | | | | | | | ||||||||||||
Aerospace & Defense – (3.1)% | | | | | | | | ||||||||||||
Boeing Co. (The)* | | | | | (1,755) | | | | | | (420,428) | | | | | ||||
Curtiss-Wright Corp. | | | | | (3,393) | | | | | | (402,953) | | | | | ||||
HEICO Corp. | | | | | (3,042) | | | | | | (424,115) | | | | | ||||
Hexcel Corp.* | | | | | (7,605) | | | | | | (474,552) | | | | | ||||
Howmet Aerospace, Inc.* | | | | | (12,285) | | | | | | (423,464) | | | | | ||||
Textron, Inc. | | | | | (6,201) | | | | | | (426,443) | | | | | ||||
TransDigm Group, Inc.* | | | | | (702) | | | | | | (454,397) | | | | | ||||
| | | | | | | | | | | (3,026,352) | | | | | ||||
Air Freight & Logistics – (0.4)% | | | | | | | | ||||||||||||
XPO Logistics, Inc.* | | | | | (2,925) | | | | | | (409,178) | | | | | ||||
Airlines – (1.9)% | | | | | | | | ||||||||||||
Alaska Air Group, Inc.* | | | | | (6,084) | | | | | | (366,926) | | | | | ||||
American Airlines Group, Inc.* | | | | | (17,901) | | | | | | (379,680) | | | | | ||||
Delta Air Lines, Inc.* | | | | | (8,892) | | | | | | (384,668) | | | | | ||||
JetBlue Airways Corp.* | | | | | (20,943) | | | | | | (351,423) | | | | | ||||
United Airlines Holdings, Inc.* | | | | | (7,254) | | | | | | (379,312) | | | | | ||||
| | | | | | | | | | | (1,862,009) | | | | | ||||
Auto Components – (0.5)% | | | | | | | | ||||||||||||
Aptiv plc* | | | | | (2,925) | | | | | | (460,190) | | | | | ||||
Automobiles – (0.5)% | | | | | | | | ||||||||||||
Tesla, Inc.* | | | | | (702) | | | | | | (477,149) | | | | | ||||
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | ||||||||||
Banks – (4.0)% | | | | | | | | ||||||||||||
BOK Financial Corp. | | | | | (4,797) | | | | | $ | (415,420) | | | | | ||||
Citigroup, Inc. | | | | | (5,382) | | | | | | (380,776) | | | | | ||||
Citizens Financial Group, Inc. | | | | | (8,541) | | | | | | (391,776) | | | | | ||||
Fifth Third Bancorp | | | | | (10,062) | | | | | | (384,670) | | | | | ||||
First Horizon Corp. | | | | | (22,464) | | | | | | (388,178) | | | | | ||||
FNB Corp. | | | | | (31,941) | | | | | | (393,832) | | | | | ||||
Huntington Bancshares, Inc. | | | | | (27,403) | | | | | | (391,041) | | | | | ||||
KeyCorp | | | | | (18,369) | | | | | | (379,320) | | | | | ||||
SVB Financial Group* | | | | | (702) | | | | | | (390,614) | | | | | ||||
Wells Fargo & Co. | | | | | (9,009) | | | | | | (408,018) | | | | | ||||
| | | | | | | | | | | (3,923,645) | | | | | ||||
Beverages – (0.4)% | | | | | | | | ||||||||||||
Constellation Brands, Inc., Class A | | | | | (1,755) | | | | | | (410,477) | | | | | ||||
Biotechnology – (0.5)% | | | | | | | | ||||||||||||
Emergent BioSolutions, Inc.* | | | | | (7,371) | | | | | | (464,299) | | | | | ||||
Capital Markets – (2.9)% | | | | | | | | ||||||||||||
Federated Hermes, Inc. | | | | | (13,104) | | | | | | (444,356) | | | | | ||||
Franklin Resources, Inc. | | | | | (12,519) | | | | | | (400,483) | | | | | ||||
Invesco Ltd. | | | | | (15,678) | | | | | | (419,073) | | | | | ||||
Janus Henderson Group plc | | | | | (11,115) | | | | | | (431,373) | | | | | ||||
Lazard Ltd., Class A | | | | | (9,009) | | | | | | (407,657) | | | | | ||||
Northern Trust Corp. | | | | | (3,393) | | | | | | (392,299) | | | | | ||||
State Street Corp. | | | | | (4,914) | | | | | | (404,324) | | | | | ||||
| | | | | | | | | | | (2,899,565) | | | | | ||||
Chemicals – (2.5)% | | | | | | | | ||||||||||||
Albemarle Corp. | | | | | (2,574) | | | | | | (433,616) | | | | | ||||
Chemours Co. (The) | | | | | (12,051) | | | | | | (419,375) | | | | | ||||
Ingevity Corp.* | | | | | (5,031) | | | | | | (409,322) | | | | | ||||
Linde plc | | | | | (1,404) | | | | | | (405,897) | | | | | ||||
LyondellBasell Industries NV, Class A | | | | | (3,744) | | | | | | (385,145) | | | | | ||||
Westlake Chemical Corp. | | | | | (4,212) | | | | | | (379,459) | | | | | ||||
| | | | | | | | | | | (2,432,814) | | | | | ||||
Commercial Services & Supplies – (0.9)% | | | | | | | | ||||||||||||
ADT, Inc. | | | | | (40,950) | | | | | | (441,851) | | | | | ||||
Clean Harbors, Inc.* | | | | | (4,446) | | | | | | (414,100) | | | | | ||||
| | | | | | | | | | | (855,951) | | | | | ||||
Consumer Finance – (3.0)% | | | | | | | | ||||||||||||
Ally Financial, Inc. | | | | | (7,839) | | | | | | (390,696) | | | | | ||||
American Express Co. | | | | | (2,574) | | | | | | (425,302) | | | | | ||||
Capital One Financial Corp. | | | | | (2,574) | | | | | | (398,172) | | | | | ||||
Discover Financial Services | | | | | (3,627) | | | | | | (429,038) | | | | | ||||
OneMain Holdings, Inc. | | | | | (7,605) | | | | | | (455,615) | | | | | ||||
Santander Consumer USA Holdings, Inc. | | | | | (11,232) | | | | | | (407,946) | | | | | ||||
Synchrony Financial | | | | | (9,009) | | | | | | (437,117) | | | | | ||||
| | | | | | | | | | | (2,943,886) | | | | | ||||
Containers & Packaging – (0.8)% | | | | | | | | ||||||||||||
Berry Global Group, Inc.* | | | | | (6,084) | | | | | | (396,798) | | | | | ||||
Sealed Air Corp. | | | | | (7,371) | | | | | | (436,732) | | | | | ||||
| | | | | | | | | | | (833,530) | | | | | ||||
Electric Utilities – (1.8)% | | | | | | | | ||||||||||||
Exelon Corp. | | | | | (9,243) | | | | | | (409,558) | | | | | ||||
NRG Energy, Inc. | | | | | (12,753) | | | | | | (513,946) | | | | | ||||
OGE Energy Corp. | | | | | (12,285) | | | | | | (413,390) | | | | |
Investments | | | Shares | | | Value ($) | | | | ||||||||||
PG&E Corp.* | | | | | (41,301) | | | | | $ | (420,031) | | | | | ||||
| | | | | | | | | | | (1,756,925) | | | | | ||||
Electrical Equipment – (0.4)% | | | | | | | | ||||||||||||
EnerSys | | | | | (4,563) | | | | | | (445,942) | | | | | ||||
Electronic Equipment, Instruments & Components – (1.7)% | | | | | | | | ||||||||||||
Avnet, Inc. | | | | | (9,360) | | | | | | (375,149) | | | | | ||||
CDW Corp. | | | | | (2,457) | | | | | | (429,115) | | | | | ||||
Jabil, Inc. | | | | | (7,488) | | | | | | (435,202) | | | | | ||||
Trimble, Inc.* | | | | | (5,265) | | | | | | (430,835) | | | | | ||||
| | | | | | | | | | | (1,670,301) | | | | | ||||
Energy Equipment & Services – (0.5)% | | | | | | | | ||||||||||||
TechnipFMC plc* | | | | | (51,714) | | | | | | (468,012) | | | | | ||||
Entertainment – (0.9)% | | | | | | | | ||||||||||||
Live Nation Entertainment, Inc.* | | | | | (4,563) | | | | | | (399,673) | | | | | ||||
Roku, Inc.* | | | | | (1,170) | | | | | | (537,323) | | | | | ||||
| | | | | | | | | | | (936,996) | | | | | ||||
Equity Real Estate Investment Trusts (REITs) – (6.0)% | | | | | | | | ||||||||||||
Brixmor Property Group, Inc. | | | | | (18,954) | | | | | | (433,857) | | | | | ||||
Highwoods Properties, Inc. | | | | | (9,243) | | | | | | (417,506) | | | | | ||||
Host Hotels & Resorts, Inc.* | | | | | (24,804) | | | | | | (423,900) | | | | | ||||
Kimco Realty Corp. | | | | | (20,241) | | | | | | (422,025) | | | | | ||||
Lamar Advertising Co., Class A | | | | | (3,978) | | | | | | (415,383) | | | | | ||||
National Retail Properties, Inc. | | | | | (9,009) | | | | | | (422,342) | | | | | ||||
PotlatchDeltic Corp. | | | | | (7,020) | | | | | | (373,113) | | | | | ||||
Sabra Health Care REIT, Inc. | | | | | (23,751) | | | | | | (432,268) | | | | | ||||
Simon Property Group, Inc. | | | | | (3,393) | | | | | | (442,719) | | | | | ||||
SL Green Realty Corp. | | | | | (5,382) | | | | | | (430,560) | | | | | ||||
STORE Capital Corp. | | | | | (12,168) | | | | | | (419,918) | | | | | ||||
Ventas, Inc. | | | | | (7,488) | | | | | | (427,565) | | | | | ||||
Welltower, Inc. | | | | | (5,499) | | | | | | (456,967) | | | | | ||||
Weyerhaeuser Co. | | | | | (11,115) | | | | | | (382,578) | | | | | ||||
| | | | | | | | | | | (5,900,701) | | | | | ||||
Food & Staples Retailing – (2.0)% | | | | | | | | ||||||||||||
Casey’s General Stores, Inc. | | | | | (1,872) | | | | | | (364,366) | | | | | ||||
Performance Food Group Co.* | | | | | (8,424) | | | | | | (408,480) | | | | | ||||
Sysco Corp. | | | | | (5,148) | | | | | | (400,257) | | | | | ||||
US Foods Holding Corp.* | | | | | (10,881) | | | | | | (417,395) | | | | | ||||
Walgreens Boots Alliance, Inc. | | | | | (7,722) | | | | | | (406,254) | | | | | ||||
| | | | | | | | | | | (1,996,752) | | | | | ||||
Food Products – (0.8)% | | | | | | | | ||||||||||||
Darling Ingredients, Inc.* | | | | | (6,084) | | | | | | (410,670) | | | | | ||||
Lamb Weston Holdings, Inc. | | | | | (5,148) | | | | | | (415,238) | | | | | ||||
| | | | | | | | | | | (825,908) | | | | | ||||
Gas Utilities – (0.4)% | | | | | | | | ||||||||||||
UGI Corp. | | | | | (9,243) | | | | | | (428,043) | | | | | ||||
Health Care Equipment & Supplies – (3.9)% | | | | | | | | ||||||||||||
Align Technology, Inc.* | | | | | (702) | | | | | | (428,922) | | | | | ||||
Boston Scientific Corp.* | | | | | (9,711) | | | | | | (415,242) | | | | | ||||
DexCom, Inc.* | | | | | (1,170) | | | | | | (499,590) | | | | | ||||
Globus Medical, Inc., Class A* | | | | | (5,850) | | | | | | (453,550) | | | | | ||||
Integra LifeSciences Holdings Corp.* | | | | | (5,967) | | | | | | (407,188) | | | | | ||||
Intuitive Surgical, Inc.* | | | | | (468) | | | | | | (430,392) | | | | | ||||
NuVasive, Inc.* | | | | | (5,967) | | | | | | (404,443) | | | | | ||||
Stryker Corp. | | | | | (1,638) | | | | | | (425,438) | | | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | | ||||||||||||
Zimmer Biomet Holdings, Inc. | | | | | (2,457) | | | | | $ | (395,135) | | | | | | ||||||
| | | | | | | | | | | (3,859,900) | | | | | | ||||||
Health Care Providers & Services – (4.6)% | | | | | | | | | ||||||||||||||
1Life Healthcare, Inc.* | | | | | (12,168) | | | | | | (402,274) | | | | | | ||||||
Anthem, Inc. | | | | | (1,053) | | | | | | (402,035) | | | | | | ||||||
Centene Corp.* | | | | | (5,616) | | | | | | (409,575) | | | | | | ||||||
Cigna Corp. | | | | | (1,638) | | | | | | (388,321) | | | | | | ||||||
Covetrus, Inc.* | | | | | (15,561) | | | | | | (420,147) | | | | | | ||||||
HCA Healthcare, Inc. | | | | | (1,989) | | | | | | (411,206) | | | | | | ||||||
HealthEquity, Inc.* | | | | | (5,265) | | | | | | (423,727) | | | | | | ||||||
McKesson Corp. | | | | | (2,106) | | | | | | (402,752) | | | | | | ||||||
Molina Healthcare, Inc.* | | | | | (1,638) | | | | | | (414,512) | | | | | | ||||||
Tenet Healthcare Corp.* | | | | | (6,552) | | | | | | (438,919) | | | | | | ||||||
UnitedHealth Group, Inc. | | | | | (1,053) | | | | | | (421,663) | | | | | | ||||||
| | | | | | | | | | | (4,535,131) | | | | | | ||||||
Hotels, Restaurants & Leisure – (5.4)% | | | | | | | | | ||||||||||||||
Aramark | | | | | (11,232) | | | | | | (418,392) | | | | | | ||||||
Booking Holdings, Inc.* | | | | | (234) | | | | | | (512,013) | | | | | | ||||||
Boyd Gaming Corp.* | | | | | (6,786) | | | | | | (417,271) | | | | | | ||||||
Carnival Corp.* | | | | | (14,508) | | | | | | (382,431) | | | | | | ||||||
Churchill Downs, Inc. | | | | | (2,106) | | | | | | (417,536) | | | | | | ||||||
Expedia Group, Inc.* | | | | | (2,340) | | | | | | (383,081) | | | | | | ||||||
Marriott International, Inc., Class A* | | | | | (2,925) | | | | | | (399,321) | | | | | | ||||||
Marriott Vacations Worldwide Corp.* | | | | | (2,457) | | | | | | (391,400) | | | | | | ||||||
MGM Resorts International | | | | | (9,828) | | | | | | (419,164) | | | | | | ||||||
Norwegian Cruise Line Holdings Ltd.* | | | | | (13,338) | | | | | | (392,271) | | | | | | ||||||
Planet Fitness, Inc., Class A* | | | | | (5,265) | | | | | | (396,191) | | | | | | ||||||
Royal Caribbean Cruises Ltd.* | | | | | (4,680) | | | | | | (399,110) | | | | | | ||||||
Wynn Resorts Ltd.* | | | | | (3,159) | | | | | | (386,346) | | | | | | ||||||
| | | | | | | | | | | (5,314,527) | | | | | | ||||||
Household Products – (0.4)% | | | | | | | | | | | ||||||||||||
Energizer Holdings, Inc. | | | | | (9,009) | | | | | | (387,207) | | | | | | | | ||||
Independent Power and Renewable Electricity Producers – (0.9)% | | | | | | | | | | | ||||||||||||
AES Corp. (The) | | | | | (16,380) | | | | | | (427,027) | | | | | | | | ||||
Vistra Corp. | | | | | (25,740) | | | | | | (477,477) | | | | | | | | ||||
| | | | | | | | | | | (904,504) | | | | | | | | ||||
Insurance – (2.1)% | | | | | | | | | | | ||||||||||||
Athene Holding Ltd., Class A* | | | | | (6,786) | | | | | | (458,055) | | | | | | | | ||||
Brighthouse Financial, Inc.* | | | | | (8,892) | | | | | | (404,942) | | | | | | | | ||||
Lincoln National Corp. | | | | | (6,201) | | | | | | (389,671) | | | | | | | | ||||
Principal Financial Group, Inc. | | | | | (6,435) | | | | | | (406,627) | | | | | | | | ||||
Unum Group | | | | | (14,157) | | | | | | (402,059) | | | | | | | | ||||
| | | | | | | | | | | (2,061,354) | | | | | | | | | | ||
Interactive Media & Services – (1.3)% | | | | | | | | | | | ||||||||||||
Cargurus, Inc.* | | | | | (14,976) | | | | | | (392,820) | | | | | | | | ||||
TripAdvisor, Inc.* | | | | | (10,179) | | | | | | (410,214) | | | | | | | | ||||
Zillow Group, Inc., Class C* | | | | | (3,744) | | | | | | (457,592) | | | | | | | | ||||
| | | | | | | | | | | (1,260,626) | | | | | | | | ||||
IT Services – (2.9)% | | | | | | | | | | | ||||||||||||
DXC Technology Co.* | | | | | (11,232) | | | | | | (437,374) | | | | | | | | ||||
Euronet Worldwide, Inc.* | | | | | (2,808) | | | | | | (380,063) | | | | | | | | ||||
FleetCor Technologies, Inc.* | | | | | (1,521) | | | | | | (389,467) | | | | | | | | ||||
Gartner, Inc.* | | | | | (1,755) | | | | | | (425,061) | | | | | | | | ||||
Global Payments, Inc. | | | | | (2,106) | | | | | | (394,959) | | | | | | | |
Investments | | | Shares | | | Value ($) | | | | | ||||||||||||
Square, Inc., Class A* | | | | | (1,872) | | | | | $ | (456,394) | | | | | | | | ||||
WEX, Inc.* | | | | | (2,106) | | | | | | (408,353) | | | | | | | | ||||
| | | | | | | | | | | (2,891,671) | | | | | | | | ||||
Life Sciences Tools & Services – (1.8)% | | | | | | | | | | | ||||||||||||
Bio-Techne Corp. | | | | | (936) | | | | | | (421,444) | | | | | | | | ||||
Mettler-Toledo International, Inc.* | | | | | (351) | | | | | | (486,254) | | | | | | | | ||||
Repligen Corp.* | | | | | (2,340) | | | | | | (467,112) | | | | | | | | ||||
Syneos Health, Inc.* | | | | | (4,680) | | | | | | (418,813) | | | | | | | | ||||
| | | | | | | | | | | (1,793,623) | | | | | | | | ||||
Machinery – (2.1)% | | | | | | | | | | | ||||||||||||
Colfax Corp.* | | | | | (9,477) | | | | | | (434,141) | | | | | | | | ||||
Crane Co. | | | | | (4,329) | | | | | | (399,870) | | | | | | | | ||||
Middleby Corp. (The)* | | | | | (2,457) | | | | | | (425,700) | | | | | | | | ||||
Westinghouse Air Brake Technologies Corp. | | | | | (5,148) | | | | | | (423,680) | | | | | | | | ||||
Woodward, Inc. | | | | | (3,393) | | | | | | (416,932) | | | | | | | | ||||
| | | | | | | | | | | (2,100,323) | | | | | | | | ||||
Media – (1.3)% | | | | | | | | | | | ||||||||||||
DISH Network Corp., Class A* | | | | | (9,594) | | | | | | (401,029) | | | | | | | | ||||
Liberty Media Corp-Liberty SiriusXM, Class C* | | | | | (9,945) | | | | | | (461,349) | | | | | | | | ||||
Nexstar Media Group, Inc., Class A | | | | | (2,691) | | | | | | (397,945) | | | | | | | | ||||
| | | | | | | | | | | (1,260,323) | | | | | | | | ||||
Metals & Mining – (0.8)% | | | | | | | | | | | ||||||||||||
Alcoa Corp.* | | | | | (11,817) | | | | | | (435,338) | | | | | | | | ||||
Freeport-McMoRan, Inc. | | | | | (10,179) | | | | | | (377,743) | | | | | | | | ||||
| | | | | | | | | | | (813,081) | | | | | | | | ||||
Multiline Retail – (0.4)% | | | | | | | | | | | ||||||||||||
Kohl’s Corp. | | | | | (7,605) | | | | | | (419,112) | | | | | | | | ||||
Multi-Utilities – (1.2)% | | | | | | | | | | | ||||||||||||
CenterPoint Energy, Inc. | | | | | (16,731) | | | | | | (410,244) | | | | | | | | ||||
MDU Resources Group, Inc. | | | | | (12,402) | | | | | | (388,679) | | | | | | | | ||||
NorthWestern Corp. | | | | | (6,552) | | | | | | (394,561) | | | | | | | | ||||
| | | | | | | | | | | (1,193,484) | | | | | | | | ||||
Oil, Gas & Consumable Fuels – (2.5)% | | | | | | | | | | | ||||||||||||
APA Corp. | | | | | (20,826) | | | | | | (450,466) | | | | | | | | ||||
Occidental Petroleum Corp. | | | | | (16,848) | | | | | | (526,837) | | | | | | | | ||||
ONEOK, Inc. | | | | �� | (7,839) | | | | | | (436,162) | | | | | | | | ||||
Ovintiv, Inc. | | | | | (16,497) | | | | | | (519,161) | | | | | | | | ||||
Targa Resources Corp. | | | | | (11,115) | | | | | | (494,062) | | | | | | | | ||||
| | | | | | | | | | | (2,426,688) | | | | | | | | | | ||
Paper & Forest Products – (0.4)% | | | | | | | | | | | ||||||||||||
Louisiana-Pacific Corp. | | | | | (6,435) | | | | | | (387,966) | | | | | | | | ||||
Personal Products – (0.9)% | | | | | | | | | | | ||||||||||||
Coty, Inc., Class A* | | | | | (48,555) | | | | | | (453,504) | | | | | | | | ||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (1,404) | | | | | | (446,584) | | | | | | | | ||||
| | | | | | | | | | | (900,088) | | | | | | | | ||||
Professional Services – (1.2)% | | | | | | | | | | | ||||||||||||
ASGN, Inc.* | | | | | (4,095) | | | | | | (396,929) | | | | | | | | ||||
Insperity, Inc. | | | | | (4,563) | | | | | | (412,358) | | | | | | | | ||||
KBR, Inc. | | | | | (10,179) | | | | | | (388,329) | | | | | | | | ||||
| | | | | | | | | | | (1,197,616) | | | | | | | | ||||
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | | | | ||||||||||||
Real Estate Management & Development – (0.4)% | | | | | | | | | | | ||||||||||||
Howard Hughes Corp. (The)* | | | | | (3,978) | | | | | $ | (387,696) | | | | | | | | ||||
Road & Rail – (0.9)% | | | | | | | | | | | ||||||||||||
Lyft, Inc., Class A* | | | | | (7,839) | | | | | | (474,103) | | | | | | | | ||||
Uber Technologies, Inc.* | | | | | (8,190) | | | | | | (410,483) | | | | | | | | ||||
| | | | | | | | | | | (884,586) | | | | | | | | ||||
Semiconductors & Semiconductor Equipment – (5.4)% | | | | | | | | | | | ||||||||||||
Applied Materials, Inc. | | | | | (3,042) | | | | | | (433,181) | | | | | | | | ||||
Cree, Inc.* | | | | | (4,329) | | | | | | (423,939) | | | | | | | | ||||
Enphase Energy, Inc.* | | | | | (3,042) | | | | | | (558,603) | | | | | | | | ||||
KLA Corp. | | | | | (1,287) | | | | | | (417,258) | | | | | | | | ||||
Lam Research Corp. | | | | | (702) | | | | | | (456,792) | | | | | | | | ||||
Marvell Technology, Inc. | | | | | (8,658) | | | | | | (505,021) | | | | | | | | ||||
Microchip Technology, Inc. | | | | | (2,691) | | | | | | (402,950) | | | | | | | | ||||
MKS Instruments, Inc. | | | | | (2,223) | | | | | | (395,583) | | | | | | | | ||||
NXP Semiconductors NV | | | | | (1,989) | | | | | | (409,177) | | | | | | | | ||||
ON Semiconductor Corp.* | | | | | (10,647) | | | | | | (407,567) | | | | | | | | ||||
SolarEdge Technologies, Inc.* | | | | | (1,638) | | | | | | (452,694) | | | | | | | | ||||
Teradyne, Inc. | | | | | (3,276) | | | | | | (438,853) | | | | | | | | ||||
| | | | | | | | | | | (5,301,618) | | | | | | | | ||||
Software – (3.8)% | | | | | | | | | | | ||||||||||||
ACI Worldwide, Inc.* | | | | | (10,530) | | | | | | (391,084) | | | | | | | | ||||
Anaplan, Inc.* | | | | | (7,254) | | | | | | (386,638) | | | | | | | | ||||
Cloudflare, Inc., Class A* | | | | | (5,265) | | | | | | (557,248) | | | | | | | | ||||
Dynatrace, Inc.* | | | | | (8,073) | | | | | | (471,625) | | | | | | | | ||||
HubSpot, Inc.* | | | | | (819) | | | | | | (477,248) | | | | | | | | ||||
Paycom Software, Inc.* | | | | | (1,287) | | | | | | (467,786) | | | | | | | | ||||
PTC, Inc.* | | | | | (3,159) | | | | | | (446,240) | | | | | | | | ||||
Trade Desk, Inc. (The), Class A* | | | | | (7,020) | | | | | | (543,067) | | | | | | | | ||||
| | | | | | | | | | | (3,740,936) | | | | | | | | ||||
Specialty Retail – (2.1)% | | | | | | | | | | | ||||||||||||
Carvana Co.* | | | | | (1,638) | | | | | | (494,381) | | | | | | | | ||||
Gap, Inc. (The) | | | | | (12,753) | | | | | | (429,138) | | | | | | | | ||||
Lithia Motors, Inc. | | | | | (1,170) | | | | | | (402,059) | | | | | | | | ||||
National Vision Holdings, Inc.* | | | | | (8,307) | | | | | | (424,737) | | | | | | | | ||||
Penske Automotive Group, Inc. | | | | | (4,914) | | | | | | (370,958) | | | | | | | | ||||
| | | | | | | | | | | (2,121,273) | | | | | | | | | | ||
Technology Hardware, Storage & Peripherals – (0.4)% | | | | | | | | | | | ||||||||||||
Xerox Holdings Corp. | | | | | (17,784) | | | | | | (417,746) | | | | | | | | ||||
Textiles, Apparel & Luxury Goods – (0.8)% | | | | | | | | | | | ||||||||||||
PVH Corp.* | | | | | (3,744) | | | | | | (402,817) | | | | | | | | ||||
Tapestry, Inc.* | | | | | (9,594) | | | | | | (417,147) | | | | | | | | ||||
| | | | | | | | | | | (819,964) | | | | | | | | ||||
Thrifts & Mortgage Finance – (0.4)% | | | | | | | | | | | ||||||||||||
MGIC Investment Corp. | | | | | (29,484) | | | | | | (400,982) | | | | | | | | ||||
Trading Companies & Distributors – (1.2)% | | | | | | | | | | | ||||||||||||
Air Lease Corp. | | | | | (9,126) | | | | | | (380,919) | | | | | | | | ||||
United Rentals, Inc.* | | | | | (1,287) | | | | | | (410,566) | | | | | | | | ||||
Univar Solutions, Inc.* | | | | | (15,327) | | | | | | (373,672) | | | | | | | | ||||
| | | | | | | | | | | (1,165,157) | | | | | | | | ||||
TOTAL COMMON STOCKS (Proceeds $(76,376,507)) | | | | | | | | | | | (84,375,807) | | | | | | ||||||
TOTAL SHORT POSITIONS (Proceeds $(76,376,507)) | | | | | | | | | | | (84,375,807) | | | | | | | | ||||
|
Investments | | | Shares | | | Value ($) | | | |||||
Total Investments – 1.8% (Cost $2,233,897) | | | | | | | $ | 1,795,575 | | | | ||
Other assets less liabilities – 98.2% | | | | | | | | 97,025,543 | | | | | |
Net Assets – 100.0% | | | | | | | $ | 98,821,118 | | | | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 10,074,263 | | |
| Aggregate gross unrealized depreciation | | | | | (17,859,143) | | |
| Net unrealized depreciation | | | | $ | (7,784,880) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 11,214,505 | | |
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) ($) | | |||||||||||||||
| USD 8,471,633 | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | 0.45% | | | | Monthly | | | Dow Jones U.S. Low Beta Total Return Index(6) | | | | | 3,684,867 | | | | | | — | | | | | | 3,684,867 | | |
| USD (10,237,604) | | | | | 9/30/2021 | | | | Morgan Stanley | | | | | (0.30)% | | | | Monthly | | | Dow Jones U.S. High Beta Total Return Index(7) | | | | | (2,050,817) | | | | | | 774,237(8) | | | | | | (1,276,580) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 1,634,050 | | | | | | | | | | | | 2,408,287 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
LONG POSITIONS – 98.0% | | ||||||||||||
COMMON STOCKS – 94.1% | | ||||||||||||
Aerospace & Defense – 1.0% | | ||||||||||||
Lockheed Martin Corp.(a) | | | | | 93 | | | | | $ | 35,187 | | |
Banks – 2.9% | | ||||||||||||
Comerica, Inc. | | | | | 495 | | | | | | 35,313 | | |
Huntington Bancshares, Inc. | | | | | 2,493 | | | | | | 35,575 | | |
People’s United Financial, Inc. | | | | | 2,064 | | | | | | 35,377 | | |
| | | | | | | | | | | 106,265 | | |
Beverages – 2.0% | | ||||||||||||
Coca-Cola Co. (The)(a) | | | | | 657 | | | | | | 35,550 | | |
PepsiCo, Inc. | | | | | 240 | | | | | | 35,561 | | |
| | | | | | | | | | | 71,111 | | |
Biotechnology – 2.9% | | ||||||||||||
AbbVie, Inc.(a) | | | | | 315 | | | | | | 35,481 | | |
Amgen, Inc.(a) | | | | | 144 | | | | | | 35,100 | | |
Gilead Sciences, Inc.(a) | | | | | 516 | | | | | | 35,532 | | |
| | | | | | | | | | | 106,113 | | |
Capital Markets – 1.0% | | ||||||||||||
Virtu Financial, Inc., Class A | | | | | 1,284 | | | | | | 35,477 | | |
Chemicals – 1.0% | | ||||||||||||
Chemours Co. (The) | | | | | 1,014 | | | | | | 35,287 | | |
Communications Equipment – 2.0% | | ||||||||||||
Cisco Systems, Inc.(a) | | | | | 678 | | | | | | 35,934 | | |
Juniper Networks, Inc.(a) | | | | | 1,296 | | | | | | 35,446 | | |
| | | | | | | | | | | 71,380 | | |
Containers & Packaging – 1.0% | | ||||||||||||
International Paper Co.(a) | | | | | 576 | | | | | | 35,315 | | |
Diversified Telecommunication Services – 1.9% | | ||||||||||||
AT&T, Inc. | | | | | 1,230 | | | | | | 35,399 | | |
Verizon Communications, Inc. | | | | | 633 | | | | | | 35,467 | | |
| | | | | | | | | | | 70,866 | | |
Electric Utilities – 14.7% | | ||||||||||||
Alliant Energy Corp. | | | | | 636 | | | | | | 35,463 | | |
American Electric Power Co., Inc.(a) | | | | | 417 | | | | | | 35,274 | | |
Duke Energy Corp.(a) | | | | | 366 | | | | | | 36,132 | | |
Edison International | | | | | 612 | | | | | | 35,386 | | |
Entergy Corp. | | | | | 357 | | | | | | 35,593 | | |
Eversource Energy(a) | | | | | 441 | | | | | | 35,386 | | |
Exelon Corp. | | | | | 801 | | | | | | 35,492 | | |
FirstEnergy Corp. | | | | | 954 | | | | | | 35,498 | | |
Hawaiian Electric Industries, Inc. | | | | | 840 | | | | | | 35,515 | | |
IDACORP, Inc.(a) | | | | | 363 | | | | | | 35,393 | | |
NRG Energy, Inc. | | | | | 876 | | | | | | 35,303 | | |
OGE Energy Corp. | | | | | 1,056 | | | | | | 35,534 | | |
Pinnacle West Capital Corp. | | | | | 435 | | | | | | 35,657 | | |
PPL Corp. | | | | | 1,272 | | | | | | 35,578 | | |
Southern Co. (The) | | | | | 585 | | | | | | 35,398 | | |
| | | | | | | | | | | 532,602 | | |
Energy Equipment & Services – 1.0% | | ||||||||||||
Baker Hughes Co.(a) | | | | | 1,548 | | | | | | 35,403 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Equity Real Estate Investment Trusts (REITs) – 14.6% | | ||||||||||||
American Campus Communities, Inc.(a) | | | | | 753 | | | | | $ | 35,180 | | |
CoreSite Realty Corp.(a) | | | | | 264 | | | | | | 35,534 | | |
Federal Realty Investment Trust(a) | | | | | 300 | | | | | | 35,151 | | |
Healthcare Trust of America, Inc., Class A(a) | | | | | 1,314 | | | | | | 35,084 | | |
Highwoods Properties, Inc.(a) | | | | | 780 | | | | | | 35,233 | | |
Iron Mountain, Inc.(a) | | | | | 834 | | | | | | 35,295 | | |
Medical Properties Trust, Inc. | | | | | 1,752 | | | | | | 35,215 | | |
MGM Growth Properties LLC, Class A | | | | | 960 | | | | | | 35,155 | | |
National Retail Properties, Inc. | | | | | 750 | | | | | | 35,160 | | |
Omega Healthcare Investors, Inc. | | | | | 969 | | | | | | 35,165 | | |
Realty Income Corp. | | | | | 525 | | | | | | 35,039 | | |
SL Green Realty Corp. | | | | | 432 | | | | | | 34,560 | | |
STORE Capital Corp. | | | | | 1,020 | | | | | | 35,200 | | |
VICI Properties, Inc. | | | | | 1,134 | | | | | | 35,177 | | |
WP Carey, Inc. | | | | | 471 | | | | | | 35,146 | | |
| | | | | | | | | | | 527,294 | | |
Food & Staples Retailing – 1.0% | | ||||||||||||
Walgreens Boots Alliance, Inc. | | | | | 672 | | | | | | 35,354 | | |
Food Products – 3.9% | | ||||||||||||
Campbell Soup Co.(a) | | | | | 774 | | | | | | 35,287 | | |
Flowers Foods, Inc.(a) | | | | | 1,470 | | | | | | 35,574 | | |
General Mills, Inc.(a) | | | | | 570 | | | | | | 34,730 | | |
Kellogg Co.(a) | | | | | 555 | | | | | | 35,703 | | |
| | | | | | | | | | | 141,294 | | |
Gas Utilities – 1.9% | | ||||||||||||
National Fuel Gas Co. | | | | | 678 | | | | | | 35,426 | | |
UGI Corp. | | | | | 768 | | | | | | 35,566 | | |
| | | | | | | | | | | 70,992 | | |
Health Care Providers & Services – 1.0% | | ||||||||||||
Cardinal Health, Inc.(a) | | | | | 621 | | | | | | 35,453 | | |
Household Durables – 1.0% | | ||||||||||||
Leggett & Platt, Inc.(a) | | | | | 684 | | | | | | 35,438 | | |
Household Products – 1.0% | | ||||||||||||
Kimberly-Clark Corp.(a) | | | | | 264 | | | | | | 35,318 | | |
Independent Power and Renewable Electricity Producers – 1.0% | | ||||||||||||
NextEra Energy Partners LP | | | | | 465 | | | | | | 35,507 | | |
Industrial Conglomerates – 1.0% | | ||||||||||||
3M Co. | | | | | 177 | | | | | | 35,158 | | |
Insurance – 2.9% | | ||||||||||||
Progressive Corp. (The) | | | | | 360 | | | | | | 35,356 | | |
Prudential Financial, Inc. | | | | | 345 | | | | | | 35,352 | | |
Unum Group | | | | | 1,257 | | | | | | 35,699 | | |
| | | | | | | | | | | 106,407 | | |
IT Services – 1.9% | | ||||||||||||
International Business Machines Corp.(a) | | | | | 240 | | | | | | 35,181 | | |
Western Union Co. (The) | | | | | 1,542 | | | | | | 35,420 | | |
| | | | | | | | | | | 70,601 | | |
Leisure Products – 1.0% | | ||||||||||||
Hasbro, Inc.(a) | | | | | 375 | | | | | | 35,445 | | |
Machinery – 1.0% | | ||||||||||||
Fortive Corp. | | | | | 507 | | | | | | 35,358 | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Media – 2.0% | | ||||||||||||
Interpublic Group of Cos., Inc. (The)(a) | | | | | 1,101 | | | | | $ | 35,771 | | |
Omnicom Group, Inc. | | | | | 444 | | | | | | 35,516 | | |
| | | | | | | | | | | 71,287 | | |
Mortgage Real Estate Investment Trusts (REITs) – 2.0% | | ||||||||||||
Blackstone Mortgage Trust, Inc., Class A(a) | | | | | 1,125 | | | | | | 35,876 | | |
Starwood Property Trust, Inc. | | | | | 1,350 | | | | | | 35,330 | | |
| | | | | | | | | | | 71,206 | | |
Multi-Utilities – 5.9% | | ||||||||||||
Consolidated Edison, Inc. | | | | | 495 | | | | | | 35,501 | | |
DTE Energy Co.(a) | | | | | 273 | | | | | | 35,381 | | |
NiSource, Inc. | | | | | 1,464 | | | | | | 35,868 | | |
Public Service Enterprise Group, Inc. | | | | | 585 | | | | | | 34,948 | | |
Sempra Energy | | | | | 267 | | | | | | 35,372 | | |
WEC Energy Group, Inc. | | | | | 399 | | | | | | 35,491 | | |
| | | | | | | | | | | 212,561 | | |
Oil, Gas & Consumable Fuels – 8.8% | | ||||||||||||
Chevron Corp.(a) | | | | | 336 | | | | | | 35,193 | | |
ConocoPhillips(a) | | | | | 582 | | | | | | 35,444 | | |
Exxon Mobil Corp. | | | | | 561 | | | | | | 35,388 | | |
Kinder Morgan, Inc. | | | | | 1,947 | | | | | | 35,494 | | |
Marathon Petroleum Corp. | | | | | 585 | | | | | | 35,346 | | |
ONEOK, Inc. | | | | | 633 | | | | | | 35,220 | | |
Phillips 66 | | | | | 414 | | | | | | 35,529 | | |
Valero Energy Corp. | | | | | 453 | | | | | | 35,370 | | |
Williams Cos., Inc. (The) | | | | | 1,335 | | | | | | 35,444 | | |
| | | | | | | | | | | 318,428 | | |
Pharmaceuticals – 2.9% | | ||||||||||||
Bristol-Myers Squibb Co.(a) | | | | | 528 | | | | | | 35,281 | | |
Merck & Co., Inc. | | | | | 453 | | | | | | 35,230 | | |
Pfizer, Inc. | | | | | 903 | | | | | | 35,361 | | |
| | | | | | | | | | | 105,872 | | |
Professional Services – 1.0% | | ||||||||||||
ManpowerGroup, Inc. | | | | | 297 | | | | | | 35,316 | | |
Semiconductors & Semiconductor Equipment – 1.0% | | ||||||||||||
Broadcom, Inc.(a) | | | | | 75 | | | | | | 35,763 | | |
Technology Hardware, Storage & Peripherals – 1.0% | | ||||||||||||
Hewlett Packard Enterprise Co.(a) | | | | | 2,430 | | | | | | 35,429 | | |
Textiles, Apparel & Luxury Goods – 1.0% | | ||||||||||||
Hanesbrands, Inc.(a) | | | | | 1,893 | | | | | | 35,342 | | |
Thrifts & Mortgage Finance – 1.0% | | ||||||||||||
New York Community Bancorp, Inc. | | | | | 3,207 | | | | | | 35,341 | | |
Tobacco – 1.9% | | ||||||||||||
Altria Group, Inc. | | | | | 744 | | | | | | 35,474 | | |
Philip Morris International, Inc. | | | | | 357 | | | | | | 35,382 | | |
| | | | | | | | | | | 70,856 | | |
Trading Companies & Distributors – 1.0% | | ||||||||||||
MSC Industrial Direct Co., Inc., Class A | | | | | 393 | | | | | | 35,264 | | |
Total Common Stocks (Cost $3,018,521) | | | | | | | | | | | 3,397,290 | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Master Limited Partnerships – 3.9% | | | | ||||||||||
Industrial Conglomerates – 1.0% | | ||||||||||||
Icahn Enterprises LP | | | | | 642 | | | | | $ | 35,304 | | |
Oil, Gas & Consumable Fuels – 2.9% | | ||||||||||||
Cheniere Energy Partners LP* | | | | | 798 | | | | | | 35,343 | | |
Enterprise Products Partners LP(a) | | | | | 1,452 | | | | | | 35,037 | | |
Magellan Midstream Partners LP | | | | | 723 | | | | | | 35,362 | | |
| | | | | | | | | | | 105,742 | | |
Total Master Limited Partnerships (Cost $140,233) | | | | | | | | | | | 141,046 | | |
Total Long Positions (Cost $3,158,754) | | | | | | | | | | | 3,538,336 | | |
Short Positions – (49.0)% | | ||||||||||||
Common Stocks – (48.0)% | | ||||||||||||
Aerospace & Defense – (0.8)% | | ||||||||||||
Boeing Co. (The)* | | | | | (36) | | | | | | (8,624) | | |
Teledyne Technologies, Inc.* | | | | | (21) | | | | | | (8,796) | | |
TransDigm Group, Inc.* | | | | | (15) | | | | | | (9,709) | | |
| | | | | | | | | | | (27,129) | | |
Airlines – (0.7)% | | ||||||||||||
Delta Air Lines, Inc.* | | | | | (204) | | | | | | (8,825) | | |
Southwest Airlines Co.* | | | | | (165) | | | | | | (8,760) | | |
United Airlines Holdings, Inc.* | | | | | (168) | | | | | | (8,785) | | |
| | | | | | | | | | | (26,370) | | |
Automobiles – (0.7)% | | ||||||||||||
Ford Motor Co.* | | | | | (594) | | | | | | (8,827) | | |
General Motors Co.* | | | | | (150) | | | | | | (8,876) | | |
Tesla, Inc.* | | | | | (12) | | | | | | (8,156) | | |
| | | | | | | | | | | (25,859) | | |
Banks – (2.2)% | | ||||||||||||
First Citizens BancShares, Inc., Class A | | | | | (12) | | | | | | (9,993) | | |
First Financial Bankshares, Inc. | | | | | (186) | | | | | | (9,138) | | |
First Republic Bank | | | | | (51) | | | | | | (9,546) | | |
Pinnacle Financial Partners, Inc. | | | | | (99) | | | | | | (8,741) | | |
Signature Bank | | | | | (36) | | | | | | (8,843) | | |
Sterling Bancorp | | | | | (360) | | | | | | (8,924) | | |
SVB Financial Group* | | | | | (15) | | | | | | (8,346) | | |
Wells Fargo & Co. | | | | | (195) | | | | | | (8,832) | | |
Western Alliance Bancorp | | | | | (93) | | | | | | (8,635) | | |
| | | | | | | | | | | (80,998) | | |
Beverages – (1.5)% | | ||||||||||||
Boston Beer Co., Inc. (The), Class A* | | | | | (9) | | | | | | (9,187) | | |
Brown-Forman Corp., Class B | | | | | (117) | | | | | | (8,768) | | |
Celsius Holdings, Inc.* | | | | | (117) | | | | | | (8,902) | | |
Constellation Brands, Inc., Class A | | | | | (39) | | | | | | (9,122) | | |
Molson Coors Beverage Co., Class B* | | | | | (171) | | | | | | (9,181) | | |
Monster Beverage Corp.* | | | | | (96) | | | | | | (8,770) | | |
| | | | | | | | | | | (53,930) | | |
Biotechnology – (0.3)% | | ||||||||||||
Alexion Pharmaceuticals, Inc.* | | | | | (48) | | | | | | (8,818) | | |
Capital Markets – (3.4)% | | ||||||||||||
Affiliated Managers Group, Inc. | | | | | (57) | | | | | | (8,790) | | |
Charles Schwab Corp. (The) | | | | | (123) | | | | | | (8,956) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
FactSet Research Systems, Inc. | | | | | (27) | | | | | $ | (9,061) | | |
Interactive Brokers Group, Inc., Class A | | | | | (135) | | | | | | (8,874) | | |
KKR & Co., Inc. | | | | | (150) | | | | | | (8,886) | | |
LPL Financial Holdings, Inc. | | | | | (66) | | | | | | (8,909) | | |
MarketAxess Holdings, Inc. | | | | | (18) | | | | | | (8,345) | | |
Moody’s Corp. | | | | | (24) | | | | | | (8,697) | | |
Morningstar, Inc. | | | | | (33) | | | | | | (8,485) | | |
MSCI, Inc. | | | | | (18) | | | | | | (9,595) | | |
Open Lending Corp., Class A* | | | | | (204) | | | | | | (8,790) | | |
S&P Global, Inc. | | | | | (21) | | | | | | (8,619) | | |
Stifel Financial Corp. | | | | | (135) | | | | | | (8,756) | | |
Tradeweb Markets, Inc., Class A | | | | | (105) | | | | | | (8,879) | | |
| | | | | | | | | | | (123,642) | | |
Commercial Services & Supplies – (0.2)% | | ||||||||||||
Copart, Inc.* | | | | | (66) | | | | | | (8,701) | | |
Construction Materials – (0.3)% | | ||||||||||||
Eagle Materials, Inc. | | | | | (63) | | | | | | (8,953) | | |
Consumer Finance – (1.0)% | | ||||||||||||
American Express Co. | | | | | (54) | | | | | | (8,922) | | |
Capital One Financial Corp. | | | | | (57) | | | | | | (8,817) | | |
Credit Acceptance Corp.* | | | | | (18) | | | | | | (8,174) | | |
SLM Corp. | | | | | (423) | | | | | | (8,858) | | |
| | | | | | | | | | | (34,771) | | |
Containers & Packaging – (0.2)% | | ||||||||||||
Berry Global Group, Inc.* | | | | | (135) | | | | | | (8,805) | | |
Diversified Financial Services – (0.5)% | | ||||||||||||
Berkshire Hathaway, Inc., Class B* | | | | | (33) | | | | | | (9,171) | | |
Voya Financial, Inc. | | | | | (135) | | | | | | (8,303) | | |
| | | | | | | | | | | (17,474) | | |
Electric Utilities – (3.2)% | | ||||||||||||
Evergy, Inc. | | | | | (471) | | | | | | (28,463) | | |
NextEra Energy, Inc. | | | | | (387) | | | | | | (28,359) | | |
PG&E Corp.* | | | | | (2,781) | | | | | | (28,283) | | |
Xcel Energy, Inc. | | | | | (432) | | | | | | (28,460) | | |
| | | | | | | | | | | (113,565) | | |
Electrical Equipment – (0.2)% | | ||||||||||||
Generac Holdings, Inc.* | | | | | (21) | | | | | | (8,718) | | |
Energy Equipment & Services – (0.8)% | | ||||||||||||
ChampionX Corp.* | | | | | (357) | | | | | | (9,157) | | |
Halliburton Co. | | | | | (411) | | | | | | (9,502) | | |
NOV, Inc.* | | | | | (600) | | | | | | (9,192) | | |
| | | | | | | | | | | (27,851) | | |
Entertainment – (0.5)% | | ||||||||||||
Netflix, Inc.* | | | | | (18) | | | | | | (9,508) | | |
Walt Disney Co. (The)* | | | | | (48) | | | | | | (8,437) | | |
| | | | | | | | | | | (17,945) | | |
Equity Real Estate Investment Trusts (REITs) – (1.5)% | | ||||||||||||
American Homes 4 Rent, Class A | | | | | (228) | | | | | | (8,858) | | |
DigitalBridge Group, Inc.* | | | | | (1,119) | | | | | | (8,840) | | |
Host Hotels & Resorts, Inc.* | | | | | (513) | | | | | | (8,767) | | |
Park Hotels & Resorts, Inc.* | | | | | (426) | | | | | | (8,780) | | |
SBA Communications Corp. | | | | | (27) | | | | | | (8,605) | | |
Weyerhaeuser Co. | | | | | (258) | | | | | | (8,880) | | |
| | | | | | | | | | | (52,730) | | |
|
Investments | | | Shares | | | Value ($) | | ||||||
Food & Staples Retailing – (1.5)% | | ||||||||||||
BJ’s Wholesale Club Holdings, Inc.* | | | | | (195) | | | | | $ | (9,278) | | |
Casey’s General Stores, Inc. | | | | | (45) | | | | | | (8,759) | | |
Costco Wholesale Corp. | | | | | (21) | | | | | | (8,309) | | |
Performance Food Group Co.* | | | | | (183) | | | | | | (8,874) | | |
US Foods Holding Corp.* | | | | | (240) | | | | | | (9,206) | | |
Walmart, Inc. | | | | | (66) | | | | | | (9,307) | | |
| | | | | | | | | | | (53,733) | | |
Food Products – (1.5)% | | ||||||||||||
Beyond Meat, Inc.* | | | | | (57) | | | | | | (8,977) | | |
Darling Ingredients, Inc.* | | | | | (129) | | | | | | (8,708) | | |
Freshpet, Inc.* | | | | | (54) | | | | | | (8,800) | | |
Lamb Weston Holdings, Inc. | | | | | (114) | | | | | | (9,195) | | |
McCormick & Co., Inc. (Non-Voting) | | | | | (99) | | | | | | (8,744) | | |
Post Holdings, Inc.* | | | | | (84) | | | | | | (9,111) | | |
| | | | | | | | | | | (53,535) | | |
Gas Utilities – (0.8)% | | ||||||||||||
Atmos Energy Corp. | | | | | (297) | | | | | | (28,545) | | |
Health Care Equipment & Supplies – (1.5)% | | ||||||||||||
Align Technology, Inc.* | | | | | (15) | | | | | | (9,165) | | |
Boston Scientific Corp.* | | | | | (207) | | | | | | (8,851) | | |
DexCom, Inc.* | | | | | (21) | | | | | | (8,967) | | |
Edwards Lifesciences Corp.* | | | | | (87) | | | | | | (9,011) | | |
IDEXX Laboratories, Inc.* | | | | | (15) | | | | | | (9,473) | | |
Intuitive Surgical, Inc.* | | | | | (9) | | | | | | (8,277) | | |
| | | | | | | | | | | (53,744) | | |
Health Care Providers & Services – (0.5)% | | ||||||||||||
Centene Corp.* | | | | | (123) | | | | | | (8,970) | | |
Laboratory Corp. of America Holdings* | | | | | (33) | | | | | | (9,103) | | |
| | | | | | | | | | | (18,073) | | |
Health Care Technology – (0.5)% | | ||||||||||||
Teladoc Health, Inc.* | | | | | (54) | | | | | | (8,980) | | |
Veeva Systems, Inc., Class A* | | | | | (27) | | | | | | (8,395) | | |
| | | | | | | | | | | (17,375) | | |
Hotels, Restaurants & Leisure – (0.4)% | | ||||||||||||
Airbnb, Inc., Class A* | | | | | (57) | | | | | | (8,729) | | |
Booking Holdings, Inc.* | | | | | (3) | | | | | | (6,564) | | |
| | | | | | | | | | | (15,293) | | |
Household Products – (0.2)% | | ||||||||||||
Church & Dwight Co., Inc. | | | | | (99) | | | | | | (8,437) | | |
Independent Power and Renewable Electricity Producers – (2.4)% | | ||||||||||||
AES Corp. (The) | | | | | (1,095) | | | | | | (28,547) | | |
Clearway Energy, Inc., Class C | | | | | (1,068) | | | | | | (28,280) | | |
Vistra Corp. | | | | | (1,542) | | | | | | (28,604) | | |
| | | | | | | | | | | (85,431) | | |
Insurance – (2.0)% | | ||||||||||||
Alleghany Corp.* | | | | | (12) | | | | | | (8,005) | | |
Brown & Brown, Inc. | | | | | (165) | | | | | | (8,768) | | |
Globe Life, Inc. | | | | | (90) | | | | | | (8,573) | | |
Loews Corp. | | | | | (171) | | | | | | (9,345) | | |
Markel Corp.* | | | | | (9) | | | | | | (10,680) | | |
Primerica, Inc. | | | | | (60) | | | | | | (9,188) | | |
RLI Corp. | | | | | (84) | | ��� | | | | (8,786) | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
W R Berkley Corp. | | | | | (120) | | | | | $ | (8,932) | | |
| | | | | | | | | | | (72,277) | | |
Interactive Media & Services – (1.0)% | | ||||||||||||
Alphabet, Inc., Class A* | | | | | (3) | | | | | | (7,325) | | |
Facebook, Inc., Class A* | | | | | (27) | | | | | | (9,388) | | |
Snap, Inc., Class A* | | | | | (129) | | | | | | (8,790) | | |
Twitter, Inc.* | | | | | (129) | | | | | | (8,877) | | |
| | | | | | | | | | | (34,380) | | |
Internet & Direct Marketing Retail – (0.3)% | | ||||||||||||
Amazon.com, Inc.* | | | | | (3) | | | | | | (10,321) | | |
IT Services – (1.0)% | | ||||||||||||
Fiserv, Inc.* | | | | | (84) | | | | | | (8,979) | | |
PayPal Holdings, Inc.* | | | | | (30) | | | | | | (8,744) | | |
Snowflake, Inc., Class A* | | | | | (36) | | | | | | (8,705) | | |
Square, Inc., Class A* | | | | | (36) | | | | | | (8,777) | | |
| | | | | | | | | | | (35,205) | | |
Life Sciences Tools & Services – (0.7)% | | ||||||||||||
Illumina, Inc.* | | | | | (18) | | | | | | (8,518) | | |
IQVIA Holdings, Inc.* | | | | | (36) | | | | | | (8,723) | | |
Mettler-Toledo International, Inc.* | | | | | (6) | | | | | | (8,312) | | |
| | | | | | | | | | | (25,553) | | |
Machinery – (0.2)% | | ||||||||||||
Ingersoll Rand, Inc.* | | | | | (180) | | | | | | (8,786) | | |
Media – (0.2)% | | ||||||||||||
Charter Communications, Inc., Class A* | | | | | (12) | | | | | | (8,657) | | |
Metals & Mining – (0.5)% | | ||||||||||||
Alcoa Corp.* | | | | | (240) | | | | | | (8,841) | | |
Cleveland-Cliffs, Inc.* | | | | | (414) | | | | | | (8,926) | | |
| | | | | | | | | | | (17,767) | | |
Multi-Utilities – (3.9)% | | ||||||||||||
Ameren Corp. | | | | | (354) | | | | | | (28,334) | | |
CenterPoint Energy, Inc. | | | | | (1,167) | | | | | | (28,616) | | |
CMS Energy Corp. | | | | | (483) | | | | | | (28,536) | | |
Dominion Energy, Inc. | | | | | (387) | | | | | | (28,471) | | |
MDU Resources Group, Inc. | | | | | (906) | | | | | | (28,394) | | |
| | | | | | | | | | | (142,351) | | |
Oil, Gas & Consumable Fuels – (4.6)% | | ||||||||||||
Antero Midstream Corp. | | | | | (885) | | | | | | (9,195) | | |
APA Corp. | | | | | (426) | | | | | | (9,214) | | |
Cabot Oil & Gas Corp. | | | | | (531) | | | | | | (9,271) | | |
Cheniere Energy, Inc.* | | | | | (105) | | | | | | (9,108) | | |
Cimarex Energy Co. | �� | | | | (129) | | | | | | (9,346) | | |
Devon Energy Corp. | | | | | (315) | | | | | | (9,195) | | |
Diamondback Energy, Inc. | | | | | (99) | | | | | | (9,295) | | |
EOG Resources, Inc. | | | | | (111) | | | | | | (9,262) | | |
EQT Corp.* | | | | | (414) | | | | | | (9,216) | | |
Hess Corp. | | | | | (105) | | | | | | (9,169) | | |
HollyFrontier Corp. | | | | | (276) | | | | | | (9,080) | | |
Marathon Oil Corp. | | | | | (675) | | | | | | (9,194) | | |
Occidental Petroleum Corp. | | | | | (294) | | | | | | (9,193) | | |
Ovintiv, Inc. | | | | | (291) | | | | | | (9,158) | | |
Pioneer Natural Resources Co. | | | | | (57) | | | | | | (9,264) | | |
Plains GP Holdings LP, Class A* | | | | | (771) | | | | | | (9,206) | | |
Targa Resources Corp. | | | | | (207) | | | | | | (9,201) | | |
Investments | | | Shares | | | Value ($) | | ||||||
Texas Pacific Land Corp. | | | | | (6) | | | | | $ | (9,598) | | |
| | | | | | | | | | | (166,165) | | |
Personal Products – (0.2)% | | ||||||||||||
Estee Lauder Cos., Inc. (The), Class A | | | | | (27) | | | | | | (8,588) | | |
Professional Services – (0.2)% | | ||||||||||||
CoStar Group, Inc.* | | | | | (105) | | | | | | (8,696) | | |
Real Estate Management & Development – (1.5)% | | ||||||||||||
CBRE Group, Inc., Class A* | | | | | (102) | | | | | | (8,744) | | |
eXp World Holdings, Inc.* | | | | | (228) | | | | | | (8,840) | | |
Howard Hughes Corp. (The)* | | | | | (93) | | | | | | (9,064) | | |
Jones Lang LaSalle, Inc.* | | | | | (48) | | | | | | (9,382) | | |
Opendoor Technologies, Inc.* | | | | | (498) | | | | | | (8,830) | | |
Redfin Corp.* | | | | | (132) | | | | | | (8,370) | | |
| | | | | | | | | | | (53,230) | | |
Road & Rail – (0.3)% | | ||||||||||||
Uber Technologies, Inc.* | | | | | (177) | | | | | | (8,871) | | |
Semiconductors & Semiconductor Equipment – (0.5)% | | ||||||||||||
Advanced Micro Devices, Inc.* | | | | | (96) | | | | | | (9,017) | | |
Micron Technology, Inc.* | | | | | (99) | | | | | | (8,413) | | |
| | | | | | | | | | | (17,430) | | |
Software – (1.2)% | | ||||||||||||
Adobe, Inc.* | | | | | (15) | | | | | | (8,784) | | |
Autodesk, Inc.* | | | | | (30) | | | | | | (8,757) | | |
salesforce.com, Inc.* | | | | | (36) | | | | | | (8,794) | | |
ServiceNow, Inc.* | | | | | (15) | | | | | | (8,243) | | |
Zoom Video Communications, Inc., Class A* | | | | | (24) | | | | | | (9,289) | | |
| | | | | | | | | | | (43,867) | | |
Technology Hardware, Storage & Peripherals – (0.2)% | | ||||||||||||
Dell Technologies, Inc., Class C* | | | | | (87) | | | | | | (8,671) | | |
Thrifts & Mortgage Finance – (0.2)% | | ||||||||||||
Rocket Cos., Inc., Class A | | | | | (453) | | | | | | (8,766) | | |
Trading Companies & Distributors – (0.2)% | | ||||||||||||
United Rentals, Inc.* | | | | | (27) | | | | | | (8,613) | | |
Water Utilities – (1.6)% | | ||||||||||||
American Water Works Co., Inc. | | | | | (183) | | | | | | (28,206) | | |
Essential Utilities, Inc. | | | | | (618) | | | | | | (28,242) | | |
| | | | | | | | | | | (56,448) | | |
Wireless Telecommunication Services – (0.2)% | | ||||||||||||
T-Mobile US, Inc.* | | | | | (60) | | | | | | (8,690) | | |
Total Common Stocks (Proceeds $(1,508,445)) | | | | | | | | | | | (1,733,757) | | |
Master Limited Partnerships – (1.0)% | | ||||||||||||
Oil, Gas & Consumable Fuels – (1.0)% | | ||||||||||||
DCP Midstream LP* | | | | | (297) | | | | | | (9,115) | | |
Energy Transfer LP | | | | | (861) | | | | | | (9,152) | | |
Plains All American Pipeline LP | | | | | (810) | | | | | | (9,202) | | |
Western Midstream Partners LP | | | | | (426) | | | | | | (9,125) | | |
Total Master Limited Partnerships (Proceeds $(36,558)) | | | | | | | | | | | (36,594) | | |
|
Schedule of Investments
Investments | | | Shares | | | Value ($) | | |||
Total Short Positions (Proceeds $(1,545,003)) | | | | | | | $ | (1,770,351) | | |
Total Investments – 49.0% (Cost $1,613,751) | | | | | | | | 1,767,985 | | |
Other assets less liabilities – 51.0% | | | | | | | | 1,841,955 | | |
Net Assets – 100.0% | | | | | | | $ | 3,609,940 | | |
|
| Aggregate gross unrealized appreciation | | | | $ | 321,823 | | |
| Aggregate gross unrealized depreciation | | | | | (350,218) | | |
| Net unrealized depreciation | | | | $ | (28,395) | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 1,796,380 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
COMMON STOCKS – 97.4% | | ||||||||||||
Commercial Services & Supplies – 0.3% | | ||||||||||||
China Everbright Environment Group Ltd. | | | | | 17,751 | | | | | $ | 10,059 | | |
Construction & Engineering – 3.8% | | ||||||||||||
Vinci SA | | | | | 1,431 | | | | | | 152,696 | | |
Diversified Telecommunication Services – 2.7% | | ||||||||||||
Cellnex Telecom SA | | | | | 1,393 | | | | | | 88,732 | | |
China Tower Corp. Ltd., Class H | | | | | 134,844 | | | | | | 18,583 | | |
| | | | | | | | | | | 107,315 | | |
Electric Utilities – 11.4% | | ||||||||||||
AusNet Services Ltd. | | | | | 11,616 | | | | | | 15,245 | | |
Cia Energetica de Minas Gerais (Preference) | | | | | 10,185 | | | | | | 24,839 | | |
Duke Energy Corp. | | | | | 246 | | | | | | 24,285 | | |
Edison International | | | | | 463 | | | | | | 26,771 | | |
Endesa SA | | | | | 438 | | | | | | 10,626 | | |
Eversource Energy | | | | | 651 | | | | | | 52,236 | | |
Fortis, Inc. | | | | | 285 | | | | | | 12,615 | | |
Fortum OYJ | | | | | 1,749 | | | | | | 48,239 | | |
Iberdrola SA | | | | | 2,343 | | | | | | 28,560 | | |
Mercury NZ Ltd. | | | | | 5,763 | | | | | | 26,869 | | |
NextEra Energy, Inc. | | | | | 570 | | | | | | 41,770 | | |
OGE Energy Corp. | | | | | 795 | | | | | | 26,752 | | |
Orsted A/S | | | | | 174 | | | | | | 24,416 | | |
PG&E Corp.* | | | | | 942 | | | | | | 9,580 | | |
Southern Co. (The) | | | | | 636 | | | | | | 38,484 | | |
Verbund AG | | | | | 534 | | | | | | 49,167 | | |
| | | | | | | | | | | 460,454 | | |
Equity Real Estate Investment Trusts (REITs) – 19.7% | | ||||||||||||
American Tower Corp. | | | | | 1,296 | | | | | | 350,101 | | |
Ascendas REIT | | | | | 7,955 | | | | | | 17,452 | | |
CoreSite Realty Corp. | | | | | 209 | | | | | | 28,131 | | |
Crown Castle International Corp. | | | | | 1,299 | | | | | | 253,435 | | |
CyrusOne, Inc. | | | | | 223 | | | | | | 15,949 | | |
Digital Realty Trust, Inc. | | | | | 169 | | | | | | 25,428 | | |
Equinix, Inc. | | | | | 15 | | | | | | 12,039 | | |
QTS Realty Trust, Inc., Class A | | | | | 264 | | | | | | 20,407 | | |
SBA Communications Corp. | | | | | 180 | | | | | | 57,366 | | |
STAG Industrial, Inc. | | | | | 381 | | | | | | 14,261 | | |
| | | | | | | | | | | 794,569 | | |
Gas Utilities – 3.3% | | ||||||||||||
Enagas SA | | | | | 481 | | | | | | 11,113 | | |
ENN Energy Holdings Ltd. | | | | | 1,176 | | | | | | 22,386 | | |
Hong Kong & China Gas Co. Ltd. | | | | | 14,905 | | | | | | 23,151 | | |
Italgas SpA | | | | | 1,561 | | | | | | 10,202 | | |
Kunlun Energy Co. Ltd. | | | | | 38,397 | | | | | | 35,409 | | |
Naturgy Energy Group SA | | | | | 744 | | | | | | 19,126 | | |
Spire, Inc. | | | | | 180 | | | | | | 13,009 | | |
| | | | | | | | | | | 134,396 | | |
Independent Power and Renewable Electricity Producers – 3.0% | | ||||||||||||
China Longyuan Power Group Corp. Ltd., Class H | | | | | 13,593 | | | | | | 23,425 | | |
China Power International Development Ltd. | | | | | 118,680 | | | | | | 25,985 | | |
Investments | | | Shares | | | Value ($) | | ||||||
Northland Power, Inc. | | | | | 879 | | | | | $ | 29,988 | | |
TransAlta Renewables, Inc. | | | | | 2,328 | | | | | | 39,119 | | |
| | | | | | | | | | | 118,517 | | |
Interactive Media & Services – 1.5% | | ||||||||||||
Alphabet, Inc., Class C* | | | | | 24 | | | | | | 60,152 | | |
Internet & Direct Marketing Retail – 1.0% | | ||||||||||||
Amazon.com, Inc.* | | | | | 12 | | | | | | 41,282 | | |
IT Services – 0.8% | | ||||||||||||
GDS Holdings Ltd., ADR* | | | | | 198 | | | | | | 15,541 | | |
Switch, Inc., Class A | | | | | 735 | | | | | | 15,516 | | |
| | | | | | | | | | | 31,057 | | |
Multi-Utilities – 11.1% | | ||||||||||||
A2A SpA | | | | | 9,156 | | | | | | 18,717 | | |
Algonquin Power & Utilities Corp. | | | | | 2,319 | | | | | | 34,553 | | |
CenterPoint Energy, Inc. | | | | | 651 | | | | | | 15,963 | | |
Consolidated Edison, Inc. | | | | | 840 | | | | | | 60,245 | | |
DTE Energy Co. | | | | | 246 | | | | | | 31,882 | | |
E.ON SE | | | | | 479 | | | | | | 5,540 | | |
National Grid plc | | | | | 9,231 | | | | | | 117,579 | | |
REN – Redes Energeticas Nacionais SGPS SA | | | | | 5,475 | | | | | | 15,191 | | |
RWE AG | | | | | 936 | | | | | | 33,917 | | |
Sempra Energy | | | | | 681 | | | | | | 90,219 | | |
WEC Energy Group, Inc. | | | | | 270 | | | | | | 24,016 | | |
| | | | | | | | | | | 447,822 | | |
Oil, Gas & Consumable Fuels – 23.8% | | ||||||||||||
Cheniere Energy, Inc.* | | | | | 288 | | | | | | 24,981 | | |
Enbridge, Inc. | | | | | 8,322 | | | | | | 333,189 | | |
Kinder Morgan, Inc. | | | | | 9,966 | | | | | | 181,680 | | |
ONEOK, Inc. | | | | | 2,037 | | | | | | 113,339 | | |
Pembina Pipeline Corp. | | | | | 1,344 | | | | | | 42,708 | | |
Targa Resources Corp. | | | | | 643 | | | | | | 28,581 | | |
TC Energy Corp. | | | | | 1,830 | | | | | | 90,555 | | |
Williams Cos., Inc. (The) | | | | | 5,466 | | | | | | 145,122 | | |
| | | | | | | | | | | 960,155 | | |
Road & Rail – 2.3% | | ||||||||||||
Aurizon Holdings Ltd. | | | | | 6,399 | | | | | | 17,852 | | |
Canadian National Railway Co. | | | | | 96 | | | | | | 10,129 | | |
Union Pacific Corp. | | | | | 291 | | | | | | 64,000 | | |
| | | | | | | | | | | 91,981 | | |
Software – 1.1% | | ||||||||||||
Microsoft Corp. | | | | | 168 | | | | | | 45,511 | | |
Transportation Infrastructure – 8.2% | | ||||||||||||
Aena SME SA* | | | | | 105 | | | | | | 17,219 | | |
Aeroports de Paris* | | | | | 189 | | | | | | 24,618 | | |
Atlantia SpA* | | | | | 936 | | | | | | 16,948 | | |
Beijing Capital International Airport Co. Ltd., Class H* | | | | | 13,549 | | | | | | 8,987 | | |
China Merchants Port Holdings Co. Ltd. | | | | | 25,320 | | | | | | 36,981 | | |
COSCO SHIPPING Ports Ltd. | | | | | 38,340 | | | | | | 29,924 | | |
Flughafen Zurich AG (Registered)* | | | | | 123 | | | | | | 20,339 | | |
Fraport AG Frankfurt Airport Services Worldwide* | | | | | 293 | | | | | | 19,963 | | |
Schedule of Investments
Investments | | | Shares | | | Value ($) | | ||||||
Jiangsu Expressway Co. Ltd., Class H | | | | | 10,881 | | | | | $ | 12,318 | | |
Sydney Airport* | | | | | 12,804 | | | | | | 55,598 | | |
Transurban Group | | | | | 6,096 | | | | | | 65,055 | | |
Zhejiang Expressway Co. Ltd., Class H | | | | | 27,000 | | | | | | 24,029 | | |
| | | | | | | | | | | 331,979 | | |
Water Utilities – 3.4% | | ||||||||||||
American Water Works Co., Inc. | | | | | 639 | | | | | | 98,489 | | |
United Utilities Group plc | | | | | 2,814 | | | | | | 37,930 | | |
| | | | | | | | | | | 136,419 | | |
TOTAL COMMON STOCKS (COST $3,594,274) | | | | | | | | | | | 3,924,364 | | |
EXCHANGE TRADED FUNDS – 2.0% | | ||||||||||||
SPDR S&P Global Infrastructure ETF (Cost $79,499) | | | | | 1,511 | | | | | | 78,889 | | |
MASTER LIMITED PARTNERSHIPS – 0.3% | | | | ||||||||||
Independent Power and Renewable Electricity Producers – 0.3% | | | | ||||||||||
Brookfield Renewable Partners LP (Cost $16,327) | | | | | 366 | | | | | | 14,143 | | |
Total Investments – 99.7% (Cost $3,690,100) | | | | | | | | | | | 4,017,396 | | |
Other assets less liabilities – 0.3% | | | | | | | | | | | 10,753 | | |
Net Assets – 100.0% | | | | | | | | | | $ | 4,028,149 | | |
|
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 | | | | $ | 405,570 | | |
| Aggregate gross unrealized depreciation | | | | | (72,399) | | |
| Net unrealized appreciation | | | | $ | 333,171 | | |
| Federal income tax cost of investments (including derivative contracts, if any) | | | | $ | 3,684,225 | | |
| Australia | | | | | 3.8% | | |
| Austria | | | | | 1.2% | | |
| Brazil | | | | | 0.6% | | |
| Canada | | | | | 15.1% | | |
| China | | | | | 6.5% | | |
| Denmark | | | | | 0.6% | | |
| Finland | | | | | 1.2% | | |
| France | | | | | 4.4% | | |
| Germany | | | | | 1.5% | | |
| Hong Kong | | | | | 0.6% | | |
| Italy | | | | | 1.1% | | |
| New Zealand | | | | | 0.7% | | |
| Portugal | | | | | 0.4% | | |
| Singapore | | | | | 0.4% | | |
| Spain | | | | | 4.3% | | |
| Switzerland | | | | | 0.5% | | |
| United Kingdom | | | | | 3.9% | | |
| United States | | | | | 52.9% | | |
| Other(1) | | | | | 0.3% | | |
| | | | | | 100.0% | | |
June 30, 2021
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | |||||||||
ASSETS | | | | | | | | | | | | | | | | | | | |
Investments in securities, at value(1) | | | | $ | 86,171,382 | | | | | $ | 3,538,336 | | | | | $ | 4,017,396 | | |
Cash | | | | | 8,633,572 | | | | | | 51,278 | | | | | | 49,161 | | |
Segregated cash balance with custodian for swap agreements (Note 2) | | | | | 774,237 | | | | | | — | | | | | | — | | |
Segregated cash balance with broker for securities sold short (Note 2) | | | | | 86,106,850 | | | | | | 1,842,077 | | | | | | — | | |
Foreign cash(2) | | | | | — | | | | | | — | | | | | | 799 | | |
Unrealized appreciation on swap agreements | | | | | 3,684,867 | | | | | | — | | | | | | — | | |
Receivables: | | | | | — | | | | | | — | | | | | | — | | |
Securities sold | | | | | — | | | | | | 1,452,980 | | | | | | — | | |
Dividends and interest | | | | | 61,689 | | | | | | 10,526 | | | | | | 28,425 | | |
Investment adviser (Note 4) | | | | | 1,218 | | | | | | 22,305 | | | | | | 26,419 | | |
Foreign tax reclaims | | | | | — | | | | | | — | | | | | | 2,452 | | |
Prepaid expenses | | | | | 4,017 | | | | | | 4,017 | | | | | | 4,920 | | |
Total Assets | | | | | 185,437,832 | | | | | | 6,921,519 | | | | | | 4,129,572 | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | |
Securities sold short, at value(3) | | | | | 84,375,807 | | | | | | 1,770,351 | | | | | | — | | |
Unrealized depreciation on swap agreements | | | | | 2,050,817 | | | | | | — | | | | | | — | | |
Payables: | | | | | | | | | | | | | | | | | | | |
Securities purchased | | | | | — | | | | | | 1,460,219 | | | | | | — | | |
Income distributions | | | | | — | | | | | | 3,552 | | | | | | 25,063 | | |
Trustees fees | | | | | 21,772 | | | | | | 798 | | | | | | 822 | | |
Dividends on securities sold short | | | | | 71,222 | | | | | | 912 | | | | | | — | | |
Accrued expenses and other liabilities | | | | | 97,096 | | | | | | 75,747 | | | | | | 75,538 | | |
Total Liabilities | | | | | 86,616,714 | | | | | | 3,311,579 | | | | | | 101,423 | | |
Net Assets | | | | $ | 98,821,118 | | | | | $ | 3,609,940 | | | | | $ | 4,028,149 | | |
NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | | | 188,911,354 | | | | | ��� | 4,493,407 | | | | | | 3,783,176 | | |
Distributable earnings (loss) | | | | | (90,090,236) | | | | | | (883,467) | | | | | | 244,973 | | |
Net Assets | | | | $ | 98,821,118 | | | | | $ | 3,609,940 | | | | | $ | 4,028,149 | | |
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 | | | | | 5,850,000 | | | | | | 150,000 | | | | | | 150,001 | | |
Net Asset Value | | | | $ | 16.89 | | | | | $ | 24.07 | | | | | $ | 26.85 | | |
(1) Investments in securities, at cost | | | | $ | 78,610,404 | | | | | $ | 3,158,754 | | | | | $ | 3,690,100 | | |
(2) Cost of foreign cash | | | | $ | — | | | | | $ | — | | | | | $ | 799 | | |
(3) Securities sold short, proceeds | | | | $ | 76,376,507 | | | | | $ | 1,545,003 | | | | | $ | — | | |
For the Year Ended June 30, 2021
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | | AGFiQ Global Infrastructure ETF | | |||||||||
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | |
Dividend income | | | | $ | 2,238,102 | | | | | $ | 128,705 | | | | | $ | 122,858 | | |
Foreign withholding tax on dividends | | | | | — | | | | | | — | | | | | | (8,123) | | |
Total Investment Income | | | | | 2,238,102 | | | | | | 128,705 | | | | | | 114,735 | | |
EXPENSES | | | | | | | | | | | | | | | | | | | |
Dividends on securities sold short | | | | | 2,707,273 | | | | | | 19,242 | | | | | | — | | |
Stock loan fees on securities sold short | | | | | 525,245 | | | | | | 6,090 | | | | | | — | | |
Investment management fees (Note 4) | | | | | 699,868 | | | | | | 15,036 | | | | | | 12,345 | | |
Professional fees | | | | | 352,598 | | | | | | 81,747 | | | | | | 84,276 | | |
Custody fees | | | | | 26,901 | | | | | | 3,820 | | | | | | 6,197 | | |
Index fees | | | | | 12,962 | | | | | | 15,463 | | | | | | 5,458 | | |
Chief Compliance Officer fees | | | | | 63,002 | | | | | | 5,386 | | | | | | 5,202 | | |
Treasurer fees | | | | | 29,383 | | | | | | 4,599 | | | | | | 4,519 | | |
Listing fees | | | | | 7,115 | | | | | | 7,115 | | | | | | 9,487 | | |
Accounting fees | | | | | 33,873 | | | | | | 30,000 | | | | | | 30,000 | | |
Trustees fees | | | | | 87,304 | | | | | | 2,094 | | | | | | 1,773 | | |
Administration fees (Note 5) | | | | | 76,400 | | | | | | 76,400 | | | | | | 76,400 | | |
Other fees | | | | | 61,173 | | | | | | 12,506 | | | | | | 11,476 | | |
Total Expenses before Adjustments | | | | | 4,683,097 | | | | | | 279,498 | | | | | | 247,133 | | |
Less: waivers and/or reimbursements by Adviser (Note 4) | | | | | (750,711) | | | | | | (239,131) | | | | | | (234,788) | | |
Total Expenses after Adjustments | | | | | 3,932,386 | | | | | | 40,367 | | | | | | 12,345 | | |
Net Investment Income (Loss) | | | | | (1,694,284) | | | | | | 88,338 | | | | | | 102,390 | | |
NET REALIZED GAIN (LOSS) FROM: | | | | | | | | | | | | | | | | | | | |
Transactions in Investment securities | | | | | 14,742,050 | | | | | | 489,490 | | | | | | (88,816) | | |
Foreign currency transactions | | | | | — | | | | | | — | | | | | | (661) | | |
In-kind redemptions of investments | | | | | 20,183,178 | | | | | | — | | | | | | — | | |
Securities sold short | | | | | (79,437,125) | | | | | | (222,126) | | | | | | — | | |
Expiration or closing of swap agreements | | | | | (5,177,041) | | | | | | — | | | | | | — | | |
Net Realized Gain (Loss) | | | | | (49,688,938) | | | | | | 267,364 | | | | | | (89,477) | | |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM: | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | | | 7,019,248 | | | | | | 541,036 | | | | | | 482,551 | | |
Securities sold short | | | | | (17,861,973) | | | | | | (339,287) | | | | | | — | | |
Swap agreements | | | | | (547,465) | | | | | | — | | | | | | — | | |
Translation of assets and liabilities denominated in foreign currencies | | | | | — | | | | | | — | | | | | | 97 | | |
Net Change in Unrealized Appreciation (Depreciation) | | | | | (11,390,190) | | | | | | 201,749 | | | | | | 482,648 | | |
Net Realized and Unrealized Gain (Loss) | | | | | (61,079,128) | | | | | | 469,113 | | | | | | 393,171 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | $ | (62,773,412) | | | | | $ | 557,451 | | | | | $ | 495,561 | | |
| | | AGFiQ U.S. Market Neutral Anti-Beta Fund | | | AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||
| | | Year Ended June 30, 2021 | | | Year Ended June 30, 2020 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2020 | | ||||||||||||
OPERATIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (1,694,284) | | | | | $ | 321,328 | | | | | $ | 88,338 | | | | | $ | 168,711 | | |
Net realized gain (loss) | | | | | (49,688,938) | | | | | | 303,276 | | | | | | 267,364 | | | | | | (503,758) | | |
Net change in unrealized appreciation (depreciation) | | | | | (11,390,190) | | | | | | 11,071,381 | | | | | | 201,749 | | | | | | 4,417 | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | (62,773,412) | | | | | | 11,695,985 | | | | | | 557,451 | | | | | | (330,630) | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings | | | | | — | | | | | | (1,077,142) | | | | | | (27,365) | | | | | | (196,558) | | |
Tax return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | (16,969) | | |
Total Distributions | | | | | — | | | | | | (1,077,142) | | | | | | (27,365) | | | | | | (213,527) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 112,000,987 | | | | | | 297,822,206 | | | | | | — | | | | | | 1,200,348 | | |
Cost of shares redeemed | | | | | (143,161,140) | | | | | | (181,178,598) | | | | | | — | | | | | | (2,346,703) | | |
Net Increase (Decrease) from Capital Transactions | | | | | (31,160,153) | | | | | | 116,643,608 | | | | | | — | | | | | | (1,146,355) | | |
Total Increase (Decrease) in Net Assets | | | | | (93,933,565) | | | | | | 127,262,451 | | | | | | 530,086 | | | | | | (1,690,512) | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | $ | 192,754,683 | | | | | $ | 65,492,232 | | | | | $ | 3,079,854 | | | | | $ | 4,770,366 | | |
End of Year | | | | $ | 98,821,118 | | | | | $ | 192,754,683 | | | | | $ | 3,609,940 | | | | | $ | 3,079,854 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | 7,950,000 | | | | | | 3,000,000 | | | | | | 150,000 | | | | | | 200,000 | | |
Shares issued | | | | | 100,000 | | | | | | 2,300,000 | | | | | | — | | | | | | — | | |
Shares issued in-kind | | | | | 5,100,000 | | | | | | 10,100,000 | | | | | | — | | | | | | 50,000 | | |
Shares redeemed | | | | | (150,000) | | | | | | — | | | | | | — | | | | | | — | | |
Shares redeemed in-kind | | | | | (7,150,000) | | | | | | (7,450,000) | | | | | | — | | | | | | (100,000) | | |
Shares Outstanding, End of Year | | | | | 5,850,000 | | | | | | 7,950,000 | | | | | | 150,000 | | | | | | 150,000 | | |
| | | AGFiQ Global Infrastructure ETF | | |||||||||
| | | Year Ended June 30, 2021 | | | Year Ended June 30, 2020 | | ||||||
OPERATIONS | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 102,390 | | | | | $ | 70,588 | | |
Net realized gain (loss) | | | | | (89,477) | | | | | | (37,387) | | |
Net change in unrealized appreciation (depreciation) | | | | | 482,648 | | | | | | (216,808) | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | 495,561 | | | | | | (183,607) | | |
DISTRIBUTIONS (Note 2) | | | | | | | | | | | | | |
Distributable earnings | | | | | (72,810) | | | | | | (68,803) | | |
Total Distributions | | | | | (72,810) | | | | | | (68,803) | | |
CAPITAL TRANSACTIONS(1) | | | | | | | | | | | | | |
Proceeds from shares issued | | | | | 1,283,158 | | | | | | — | | |
Cost of shares redeemed | | | | | — | | | | | | — | | |
Net Increase (Decrease) from Capital Transactions | | | | | 1,283,158 | | | | | | — | | |
Total Increase (Decrease) in Net Assets | | | | | 1,705,909 | | | | | | (252,410) | | |
NET ASSETS | | | | | | | | | | | | | |
Beginning of year | | | | $ | 2,322,240 | | | | | $ | 2,574,650 | | |
End of Year | | | | $ | 4,028,149 | | | | | $ | 2,322,240 | | |
SHARE TRANSACTIONS | | | | | | | | | | | | | |
Beginning of year | | | | | 100,001 | | | | | | 100,001 | | |
Shares issued in-kind | | | | | 50,000 | | | | | | — | | |
Shares redeemed in-kind | | | | | — | | | | | | — | | |
Shares Outstanding, End of Year | | | | | 150,001 | | | | | | 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 Anti-Beta Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2021 | | | | $ | 24.25 | | | | | $ | (0.22) | | | | | $ | (7.16) | | | | | $ | (7.38) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 0.02 | | | | | $ | 16.89 | | |
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(14) | | | | | | (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)(14) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 0.02 | | | | | | 20.00 | | |
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2021 | | | | | 20.53 | | | | | | 0.59 | | | | | | 3.13 | | | | | | 3.72 | | | | | | (0.18) | | | | | | — | | | | | | — | | | | | | (0.18) | | | | | | — | | | | | | 24.07 | | |
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(14) | | | | | | (0.91) | | | | | | (0.60) | | | | | | — | | | | | | (1.51) | | | | | | 0.01 | | | | | | 25.41 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year ended June 30, 2021 | | | | | 23.22 | | | | | | 0.93 | | | | | | 3.34 | | | | | | 4.27 | | | | | | (0.64) | | | | | | — | | | | | | — | | | | | | (0.64) | | | | | | — | | | | | | 26.85 | | |
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 | | |
| 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% | | | | | | 2.53% | | | | | | 3.01% | | | | | | (1.09)% | | | | | | (1.57)% | | | | | | (1.09)% | | | | | $ | (0.22) | | | | | | (30.35)% | | | | | | (30.45)% | | | | | | 35% | | | | | | 225% | | | | | $ | 98,821 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45 | | | | | | 1.21 | | | | | | 8.36 | | | | | | 2.64 | | | | | | (4.51) | | | | | | 2.64 | | | | | $ | 0.59 | | | | | | 18.18 | | | | | | 18.16 | | | | | | 115 | | | | | | 180 | | | | | | 3,610 | | |
| | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |||||
| | | 0.45(13) | | | | | | 0.45(13) | | | | | | 9.01(13) | | | | | | 3.73 | | | | | | (4.83) | | | | | | 3.73 | | | | | $ | 0.93 | | | | | | 18.72 | | | | | | 18.10 | | | | | | 44 | | | | | | 44 | | | | | | 4,028 | | |
| | | 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 | | |
June 30, 2021
| | | 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* | | | | $ | 86,171,382 | | | | | $ | — | | | | | $ | — | | | | | $ | 86,171,382 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (84,375,807) | | | | | $ | — | | | | | $ | — | | | | | $ | (84,375,807) | | |
Total Investments | | | | $ | 1,795,575 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,795,575 | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | 3,684,867 | | | | | $ | — | | | | | $ | 3,684,867 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Agreements** | | | | $ | — | | | | | $ | (2,050,817) | | | | | $ | — | | | | | $ | (2,050,817) | | |
Total Other Financial Instruments | | | | $ | — | | | | | $ | 1,634,050 | | | | | $ | — | | | | | $ | 1,634,050 | | |
| | | Level 1 – Quoted Prices | | | Level 2 – Other Significant Observable Inputs | | | Level 3 – Significant Unobservable Inputs | | | Total | | ||||||||||||
AGFiQ Hedged Dividend Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 3,397,290 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,397,290 | | |
Master Limited Partnerships | | | | | 141,046 | | | | | | — | | | | | | — | | | | | | 141,046 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | (1,733,757) | | | | | $ | — | | | | | $ | — | | | | | $ | (1,733,757) | | |
Master Limited Partnerships | | | | | (36,594) | | | | | | — | | | | | | — | | | | | | (36,594) | | |
Total Investments | | | | $ | 1,767,985 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,767,985 | | |
AGFiQ Global Infrastructure ETF | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 3,924,364 | | | | | $ | — | | | | | $ | — | | | | | $ | 3,924,364 | | |
Exchange Traded Funds | | | | | 78,889 | | | | | | — | | | | | | — | | | | | | 78,889 | | |
Master Limited Partnerships | | | | | 14,143 | | | | | | — | | | | | | — | | | | | | 14,143 | | |
Total Investments | | | | $ | 4,017,396 | | | | | $ | — | | | | | $ | — | | | | | $ | 4,017,396 | | |
Fund | | | Average Contract Long | | | Average Contract Short | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 18,873,164 | | | | | $ | (17,353,370) | | |
Fair Value of Derivative Instruments as of June 30, 2021 | | ||||||||||||||||||
Fund | | | Derivatives not accounted for as hedging instruments under ASC 815 | | | Location | | | Assets Value | | | Liabilities Value | | ||||||
| | | Swap agreement | | | Statements of Assets and Liabilities | | | | | | | | | | | | �� | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | | | | $ | 3,684,867 | | | | | $ | 2,050,817 | | |
The Effect of Derivative Instruments on the Statements of Operations as of June 30, 2021 | | |||||||||||||||
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 agreement | | | | | | | | | | | | | |
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | | | | $ | (5,177,041) | | | | | $ | (547,465) | | |
| | | Year Ended June 30, 2021 | | | Year Ended June 30, 2020 | | ||||||||||||||||||||||||||||||||||||
Fund | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Total Distributions | | | Distributions Paid from Ordinary Income | | | Distributions Paid from Net Long Term Capital Gains | | | Tax Return of Capital | | | Total Distributions | | |||||||||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,077,142 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,077,142 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 27,365 | | | | | | — | | | | | | 27,365 | | | | | | 196,558 | | | | | | — | | | | | | 16,969 | | | | | | 213,527 | | |
AGFiQ Global Infrastructure ETF | | | | | 72,810 | | | | | | — | | | | | | 72,810 | | | | | | 68,765 | | | | | | 38 | | | | | | — | | | | | | 68,803 | | |
Fund | | | Undistributed Ordinary Income | | | Undistributed Long-Term Capital Gains | | | Accumulated Capital and Other Losses | | | Unrealized Appreciation/ (Depreciation)* | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | — | | | | | $ | — | | | | | $ | (82,305,356) | | | | | $ | (7,784,880) | | |
AGFiQ Hedged Dividend Income Fund | | | | | 21,437 | | | | | | — | | | | | | (876,510) | | | | | | (28,394) | | |
AGFiQ Global Infrastructure ETF | | | | | 30,219 | | | | | | — | | | | | | (118,461) | | | | | | 333,215 | | |
Fund | | | Accumulated undistributed net investment income (loss) | | | Accumulated net realized gain (loss) on investments | | | Paid in Capital | | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 1,293,946 | | | | | $ | (20,227,579) | | | | | $ | 18,933,633 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 6,349 | | | | | | (20,288) | | | | | | 13,939 | | |
AGFiQ Global Infrastructure ETF | | | | | (9,221) | | | | | | 9,225 | | | | | | (4) | | |
Fund | | | Capital Loss Carryforwards | | | Utilized Capital Loss Carryforwards | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 24,996,069 | | | | | $ | — | | |
AGFiQ Hedged Dividend Income Fund | | | | | 876,510 | | | | | | 94,164 | | |
AGFiQ Global Infrastructure ETF | | | | | 106,419 | | | | | | — | | |
Fund | | | Ordinary Late Year Loss Deferrals | | | Post-October Capital Losses | | | Total | | |||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 615,951 | | | | | $ | 56,693,336 | | | | | $ | 57,309,287 | | |
AGFiQ Global Infrastructure ETF | | | | | — | | | | | | 12,042 | | | | | | 12,042 | | |
Fund | | | Management Fees Waived | | | Expense Reimbursements | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 699,868 | | | | | $ | 50,843 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 15,036 | | | | | | 224,095 | | |
AGFiQ Global Infrastructure ETF | | | | | 12,345 | | | | | | 222,443 | | |
| | | Expires June 30, | | | Total Eligible for Recoupment | | ||||||||||||||||||
Fund | | | 2022 | | | 2023 | | | 2024 | | |||||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 255,129 | | | | | $ | 484,176 | | | | | $ | 750,711 | | | | | $ | 1,490,016 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 255,140 | | | | | | 215,032 | | | | | | 239,131 | | | | | | 709,303 | | |
AGFiQ Global Infrastructure ETF | | | | | 44,646 | | | | | | 159,123 | | | | | | 234,788 | | | | | | 438,557 | | |
Fund | | | Year Ended June 30, 2021 | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 115,738 | | |
| | | Purchases | | | Sales | | ||||||||||||||||||
Fund | | | Long | | | Short Covers | | | Long | | | Short | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 52,931,956 | | | | | $ | 379,896,632 | | | | | $ | 163,291,756 | | | | | $ | 174,099,858 | | |
AGFiQ Hedged Dividend Income Fund | | | | | 3,788,836 | | | | | | 2,116,879 | | | | | | 4,271,114 | | | | | | 1,818,091 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,246,095 | | | | | | — | | | | | | 1,204,478 | | | | | | — | | |
Fund | | | Value | | | Realized Gain | | ||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 132,969,795 | | | | | $ | 20,183,178 | | |
Fund | | | Value | | |||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | | | $ | 104,345,808 | | |
AGFiQ Global Infrastructure ETF | | | | | 1,262,480 | | |
June 30, 2021
Boston, Massachusetts
August 24, 2021
June 30, 2021
June 30, 2021
| | | Beginning Account Value 01/01/21 | | | Ending Account Value 06/30/21 | | | Expenses Paid During the Period* | | | Annualized Expense Ratio During Period | | ||||||||||||
AGFiQ U.S. Market Neutral Anti-Beta Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 883.80 | | | | | $ | 11.72 | | | | | | 2.51% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,012.35 | | | | | $ | 12.52 | | | | | | 2.51% | | |
AGFiQ Hedged Dividend Income Fund | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,095.40 | | | | | $ | 5.97 | | | | | | 1.15% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,019.09 | | | | | $ | 5.76 | | | | | | 1.15% | | |
AGFiQ Global Infrastructure ETF(a) | | ||||||||||||||||||||||||
Actual | | | | $ | 1,000.00 | | | | | $ | 1,130.10 | | | | | $ | 2.38 | | | | | | 0.45% | | |
Hypothetical | | | | $ | 1,000.00 | | | | | $ | 1,022.56 | | | | | $ | 2.26 | | | | | | 0.45% | | |
Fund | | | QDI | | | DRD | | ||||||
AGFiQ Hedged Dividend Income Fund | | | | | 100.00% | | | | | | 100.00% | | |
AGFiQ Global Infrastructure ETF | | | | | 100.00% | | | | | | 42.87% | | |
Name, Address*, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Directorships Held by Trustee | |
Independent Trustees | | |||||||||||||||
Peter A. Ambrosini Year of Birth: 1943 | | | Trustee | | | Indefinite/ Since 2011 | | | Independent Consultant, Independent Directors of GMO Trust (2013 − Present); Independent Consultant, GMO Funds, (2011 to present); Principal, Dover Consulting LLC (2008 to 2015). | | | 5 | | | None | |
Joseph A. Franco Year of Birth: 1957 | | | Trustee | | | Indefinite/ Since 2011 | | | Professor of Law, Suffolk University Law School (1996 to present). | | | 5 | | | None | |
Richard S. Robie III Year of Birth: 1960 | | | Trustee | | | Indefinite/ Since 2011 | | | Chief Operating Officer, Eagle Capital Management (July 2017 to present); Consultant, Advent International (August 2010 to present). | | | 5 | | | None | |
Interested Trustee** | | | | | | | ||||||||||
William H. DeRoche Year of Birth: 1962 | | | Trustee; President | | | Indefinite/ Since 2020 Since 2012 | | | Chief Investment Officer, Adviser (April 2010 to present); Chief Compliance Officer, Adviser (June 2012 to March 2017). | | | 5 | | | None | |
Name, Address, Year of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During the Past 5 Years | |
Joshua G. Hunter 10 High Street, Suite 302 Boston, MA 02110 Year of Birth: 1981 | | | Principal Financial Officer and Treasurer | | | Indefinite/ Since 2015 | | | Fund Principal Financial Officer, Foreside Management Services LLC (July 2015 to present); Vice President/Assistant Vice President, Treasury Services, JPMorgan Chase & Co. (July 2008 to July 2015).* | |
Kenneth A. Kalina c/o Foreside 3 Canal Plaza, Suite 100 Portland, ME 04101 Year of Birth: 1959 | | | Chief Compliance Officer | | | Indefinite/ Since 2017 | | | Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (June 2017 to present); Chief Compliance Officer, Henderson Global Funds (December 2005 to June 2017); Chief Compliance Officer, Henderson Global Investors (North America) Inc. (December 2005 to December 2015).* | |
Kevin McCreadie 66 Wellington Street West 31st Floor Toronto, Ontario Canada M5K 1E9 Year of Birth: 1960 | | | Vice President | | | Indefinite/ Since 2017 | | | Director and Chief Investment Officer of AGF Investments America Inc, and Executive Vice President and Chief Investment Officer of AGF Management Limited (June 2014 to present); Senior Officer and/or Director of certain subsidiaries of AGF Management Limited (June 2014 to present); Managing Executive – Institutional Asset Management, PNC Financial Services Group Inc.’s (“PNC”) Asset Management Group (December 2008 to May 2014); President and Chief Investment Officer, PNC Capital Advisors, LLC, a division of PNC and President, PNC Funds Co. and President, PNC Alternative Investment Funds Co. (March 2007 to May 2014). | |
Damion Hendrickson 53 State Street, Suite 1308 Boston, MA 02109 Year of Birth: 1972 | | | Vice President | | | Indefinite/ Since 2020 | | | Managing Director/Head of U.S. Business of AGF Investments (March 2020 to present); Managing Director/ Head of Sales U.S. and Latin America of HSBC Global Asset Management (December 2011 to February 2020) | |
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.
As of the end of the period, June 30, 2021, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR that applies to its principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. During the period covered by this report, there have been no waivers granted under the code of ethics.
Item 3. Audit Committee Financial Expert.
The Board has determined that it does not include an audit committee financial expert, notwithstanding certain Trustees’ past experience overseeing the implementation of accounting controls and principles, due to the continuous modernization of accounting and tax requirements and the increasingly important role played by technology in the conduct of audits.
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for AGF Investments Trust by PricewaterhouseCoopers LLP (“PwC”) for the fiscal years ended June 30, 2020 and June 30, 2021 were:
2020 | 2021 | |
Audit Fees (a) | $102,103 | $57,609 |
Audit Related Fees (b) | 0 | 0 |
Tax Fees (c) | $59,217 | $28,827 |
All Other Fees (d) | 0 | 0 |
Total: | $161,320 | $86,436 |
(a) | Audit Fees: These fees relate to professional services rendered by PwC for the audit of the Registrant’s annual financial statement or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Registrant and issuance of consents. |
(b) | Audit Related Fees: These fees relate to assurance and related services by PwC related to audit services in connection with the June 30, 2020 and June 30, 2021 annual financial statement. |
(c) | Tax Fees: These fees relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. |
(d) | All Other Fees: These fees relate to products and services provided by PwC other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e)(1) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
(e)(2) | 0% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | If greater than 50%, disclose the percentage of hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the most recent fiscal year that were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees: Not Applicable. |
(g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal year ended June 30, 2020 and June 30, 2021: $59,217 and $28,827, respectively. |
(h) | The Registrant’s Audit Committee has considered that the provision of non-audit services that were rendered to the Registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental 6 basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation. |
(j) | A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must disclose: |
(1) That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
(2) The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
(3) Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant;
(4) The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Peter A. Ambrosini, Joseph A. Franco and Richard S. Robie III, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) | Schedule I – Investments in Securities of Unaffiliated Issuers |
Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a - 3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(a)(1) | Code of Ethics – Filed herewith. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not applicable. |
(a)(4) | A change in the registrant’s independent public accountant – Not applicable |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AGF Investments Trust
By: | /s/ William H. DeRoche | |
William H. DeRoche | ||
President and Principal Executive Officer | ||
September 3, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ William H. DeRoche | |
William H. DeRoche | ||
President and Principal Executive Officer | ||
September 3, 2021 |
By: | /s/ Joshua Hunter | |
Joshua Hunter | ||
Principal Financial Officer and Treasurer | ||
September 3, 2021 |