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: 811-23216
FS Series Trust
(Exact name of registrant as specified in charter)
201 Rouse Boulevard, Philadelphia, Pennsylvania | 19112 | |
(Address of principal executive officers) | (Zip code) |
Michael C. Forman
FS Series Trust
201 Rouse Boulevard
Philadelphia, Pennsylvania 19112
(Name and address of agent for service)
Registrant’s telephone number, including area code: (215) 495-1185
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Item 1. Reports to Shareholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”): |
Annual report 2020 |
FS Series Trust
FS Multi-Strategy Alternatives Fund
FS Managed Futures Fund
FS Global Macro Fund
FS Real Asset Fund
FS Long/Short Equity Fund
Electronic Reports Disclosure — Beginning on March 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of FS Multi- Strategy Alternatives Fund’s, FS Managed Futures Fund’s, FS Global Macro Fund’s, FS Real Asset Fund’s and FS Long/Short Equity Fund’s (each a “Fund”) shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary (such as a broker-dealer or bank). Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly may elect to receive shareholder reports and other communications from a Fund electronically by calling 877-628-8575 or emailing service@fsinvestments.com to make such arrangements. For shareholders who hold accounts through an investment advisor, bank or broker-dealer, please contact that financial intermediary directly for information on how to receive shareholder reports and other communications electronically.
You may elect to receive all future reports in paper free of charge. Shareholders who hold accounts directly may inform a Fund that you wish to continue receiving paper copies of your shareholder reports by calling 877-628-8575 or emailing service@fsinvestments.com. For shareholders who hold accounts through an investment advisor, bank or broker-dealer, please contact that financial intermediary directly to inform them that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds in the fund complex if you hold accounts directly or to all funds held in your account if you invest through your financial intermediary.
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Management’s Discussion of Fund Performance (unaudited) | | | | | | | |
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Schedule of Investments | | | | | | | |
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Financial Highlights | | | | | | | |
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| | | For the Year Ended December 31, 2020 | | | Since Inception (May 16, 2017) | | ||||||
FSMSX (Class I) | | | | | -3.65% | | | | | | 1.77% | | |
FSMMX (Class A) with Full Sales Load | | | | | -9.48% | | | | | | -4.89% | | |
BofA Merril Lynch US 3month T-Bill | | | | | 0.67% | | | | | | 5.59% | | |
HFRX Global Hedge Fund Index | | | | | 6.81% | | | | | | 12.02% | | |
| | | For the Year End December 31, 2020 | | | Since Inception (December 31, 2018) | | ||||||
FMGFX (Class I) | | | | | 10.83% | | | | | | 10.94% | | |
FMFFX (Class A) with Full Sales Load | | | | | 4.16% | | | | | | 4.03% | | |
BofA Merrill Lynch US 3 Month T-Bill | | | | | 0.67% | | | | | | 2.96% | | |
| | | For the Year Ended December 31, 2020 | | | Since Inception (December 31, 2018) | | ||||||
FGMIX (Class I) | | | | | -1.11% | | | | | | 3.32% | | |
FGMCX (Class A) with Full Sales Load | | | | | -7.12% | | | | | | -3.36% | | |
BofA Merrill Lynch US 3 Month T-Bill | | | | | 0.67% | | | | | | 2.96% | | |
| | | For the Year Ended December 31, 2020 | | | Since Inception (December 31, 2018) | | ||||||
FSRLX (Class I) | | | | | 8.07% | | | | | | 19.03% | | |
FARLX (Class A) with Full Sales Load | | | | | 1.46% | | | | | | 11.52% | | |
60% BAML 3 Month T Bill, 40% S&P 500 | | | | | 8.98% | | | | | | 23.48% | | |
| | | For the Year Ended December 31, 2020 | | | Since Inception (December 31, 2018) | | ||||||
FSYIX (Class I) | | | | | -0.33% | | | | | | 18.59% | | |
FSYAX (Class A) with Full Sales Load | | | | | -6.37% | | | | | | 11.25% | | |
HFRX Equity Hedge | | | | | 4.60% | | | | | | 15.80% | | |
FS Multi-Strategy Alternatives Fund | | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Net Expense Ratio (**) | | ||||||||||||
Actual | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,015.80 | | | | | $ | 12.36 | | | | | | 2.44% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,017.00 | | | | | $ | 11.07 | | | | | | 2.18% | | |
| | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Expense Ratio (**) | | ||||||||||||
Hypothetical (5% annual return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,012.87 | | | | | $ | 12.34 | | | | | | 2.44% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,014.16 | | | | | $ | 11.06 | | | | | | 2.18% | | |
FS Managed Futures Fund | | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Net Expense Ratio (**) | | ||||||||||||
Actual | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,001.80 | | | | | $ | 2.55 | | | | | | 0.51% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,002.50 | | | | | $ | 1.26 | | | | | | 0.25% | | |
| | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period(*) | | | Annualized Expense Ratio(**) | | ||||||||||||
Hypothetical (5% annual return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,022.59 | | | | | $ | 2.58 | | | | | | 0.51% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,023.88 | | | | | $ | 1.27 | | | | | | 0.25% | | |
FS Global Macro Fund | | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Net Expense Ratio (**) | | ||||||||||||
Actual | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 989.00 | | | | | $ | 2.49 | | | | | | 0.50% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 991.90 | | | | | $ | 1.32 | | | | | | 0.26% | | |
| | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Expense Ratio (**) | | ||||||||||||
Hypothetical (5% annual return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,022.63 | | | | | $ | 2.54 | | | | | | 0.50% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,023.81 | | | | | $ | 1.34 | | | | | | 0.26% | | |
FS Real Asset Fund | | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Net Expense Ratio (**) | | ||||||||||||
Actual | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,160.10 | | | | | $ | 2.81 | | | | | | 0.52% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,162.10 | | | | | $ | 1.36 | | | | | | 0.25% | | |
| | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Expense Ratio (**) | | ||||||||||||
Hypothetical (5% annual return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,022.53 | | | | | $ | 2.63 | | | | | | 0.52% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,023.88 | | | | | $ | 1.27 | | | | | | 0.25% | | |
FS Long/Short Equity Fund | | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Net Expense Ratio (**) | | ||||||||||||
Actual | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,088.30 | | | | | $ | 5.77 | | | | | | 1.10% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,089.70 | | | | | $ | 4.47 | | | | | | 0.85% | | |
| | | Beginning Account Value (7/1/20) | | | Ending Account Value (12/31/20) | | | Expenses Paid During the Period (*) | | | Annualized Expense Ratio (**) | | ||||||||||||
Hypothetical (5% annual return before expenses) | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A Shares | | | | $ | 1,000.00 | | | | | $ | 1,019.61 | | | | | $ | 5.58 | | | | | | 1.10% | | |
Class I Shares | | | | $ | 1,000.00 | | | | | $ | 1,020.86 | | | | | $ | 4.32 | | | | | | 0.85% | | |
| Individual Funds | | | Consolidated (where applicable) Statements of Operations | | | Consolidated (where applicable) Statements of Changes in Net Assets | | | Consolidated (where applicable) Financial Highlights | |
| FS Multi-Strategy Alternatives Fund | | | For the year ended December 31, 2020 | | | For each of the two years in the period ended December 31, 2020 | | | For each of the three years in the period ended December 31, 2020 and the period from May 16, 2017 (Commencement of Operations) to December 31, 2017 | |
| FS Managed Futures Fund FS Global Macro Fund FS Real Asset Fund FS Long/Short Equity Fund | | | For the year ended December 31, 2020 | | | For each of the two years in the period ended December 31, 2020 | | | For each of the two years in the period ended December 31, 2020 | |
March 01, 2021
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Principal Amount(b) | | | Amortized Cost | | | Fair Value(c) | | |||||||||
Corporate Bonds – 35.4% | | | | | | | | | | | | | | | | | | | | | | | | | |
Acadia Healthcare Co., Inc., 5.6%, 2/15/23 | | | | | | Healthcare-Services | | | | $ | 1,072 | | | | | $ | 1,080 | | | | | $ | 1,077 | | |
Acadia Healthcare Co., Inc., 5.5%, 7/1/28 | | | (d) | | | Healthcare-Services | | | | | 307 | | | | | | 307 | | | | | | 330 | | |
AECOM, 5.9%, 10/15/24 | | | | | | Engineering & Construction | | | | | 468 | | | | | | 502 | | | | | | 523 | | |
Algeco Global Finance Plc, 8.0%, 2/15/23 | | | (d) | | | Commercial Services | | | | | 368 | | | | | | 371 | | | | | | 376 | | |
Alliance Data Systems Corp., 4.8%, 12/15/24 | | | (d) | | | Diversified Financial Services | | | | | 1,020 | | | | | | 959 | | | | | | 1,032 | | |
Altice France Holding S.A., 6.0%, 2/15/28 | | | (d) | | | Telecommunications | | | | | 209 | | | | | | 196 | | | | | | 212 | | |
APX Group, Inc., 8.5%, 11/1/24 | | | | | | Commercial Services | | | | | 121 | | | | | | 125 | | | | | | 128 | | |
APX Group, Inc., 6.8%, 2/15/27 | | | (d) | | | Commercial Services | | | | | 429 | | | | | | 406 | | | | | | 462 | | |
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.8%, 7/15/27 | | | (d) | | | Commercial Services | | | | | 304 | | | | | | 276 | | | | | | 308 | | |
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 10.5%, 5/15/25 | | | (d) | | | Commercial Services | | | | | 350 | | | | | | 342 | | | | | | 414 | | |
Bausch Health Companies, Inc., 5.3%, 2/15/31 | | | (d) | | | Pharmaceuticals | | | | | 110 | | | | | | 110 | | | | | | 115 | | |
BCD Acquisition, Inc., 9.6%, 9/15/23 | | | (d) | | | Auto Manufacturers | | | | | 1,415 | | | | | | 1,404 | | | | | | 1,452 | | |
Bombardier, Inc., 6.0%, 10/15/22 | | | (d) | | | Miscellaneous Manufacturing | | | | | 618 | | | | | | 593 | | | | | | 608 | | |
Boxer Parent Companies, Inc., 9.1%, 3/1/26 | | | (d) | | | Software | | | | | 179 | | | | | | 191 | | | | | | 193 | | |
Callon Petroleum Co., 8.3%, 7/15/25 | | | | | | Oil & Gas | | | | | 186 | | | | | | 188 | | | | | | 101 | | |
Carlson Travel, Inc., 6.8%, 12/15/25 | | | (d) | | | Leisure Time | | | | | 674 | | | | | | 589 | | | | | | 559 | | |
Carlson Travel, Inc., 10.5%, 3/31/25 | | | (d) | | | Leisure Time | | | | | 116 | | | | | | 111 | | | | | | 120 | | |
Cincinnati Bell, Inc., 7.0%, 7/15/24 | | | (d) | | | Telecommunications | | | | | 380 | | | | | | 392 | | | | | | 396 | | |
Cincinnati Bell, Inc., 8.0%, 10/15/25 | | | (d) | | | Telecommunications | | | | | 571 | | | | | | 598 | | | | | | 610 | | |
CITGO Petroleum Corp., 6.3%, 8/15/22 | | | (d) | | | Oil & Gas | | | | | 291 | | | | | | 292 | | | | | | 286 | | |
CITGO Petroleum Corp., 7.0%, 6/15/25 | | | (d) | | | Oil & Gas | | | | | 624 | | | | | | 624 | | | | | | 624 | | |
Colt Merger Sub, Inc., 5.8%, 7/1/25 | | | (d) | | | Entertainment | | | | | 396 | | | | | | 399 | | | | | | 420 | | |
CommScope Finance LLC, 6.0%, 3/1/26 | | | (d) | | | Telecommunications | | | | | 455 | | | | | | 483 | | | | | | 480 | | |
CoreCivic, Inc., 4.8%, 10/15/27 | | | | | | Commercial Services | | | | | 768 | | | | | | 668 | | | | | | 684 | | |
Cornerstone Building Brands, Inc., 6.1%, 1/15/29 | | | (d) | | | Building Materials | | | | | 194 | | | | | | 196 | | | | | | 206 | | |
CP Atlas Buyer, Inc., 7.0%, 12/1/28 | | | (d) | | | Building Materials | | | | | 133 | | | | | | 136 | | | | | | 138 | | |
CSC Holdings LLC, 4.6%, 12/1/30 | | | (d) | | | Media Entertainment | | | | | 190 | | | | | | 190 | | | | | | 199 | | |
CSC Holdings LLC, 5.3%, 6/1/24 | | | | | | Media Entertainment | | | | | 1,279 | | | | | | 1,382 | | | | | | 1,387 | | |
CVR Energy, Inc., 5.3%, 2/15/25 | | | (d) | | | Oil & Gas | | | | | 629 | | | | | | 607 | | | | | | 608 | | |
Dealer Tire LLC / DT Issuer LLC, 8.0%, 2/1/28 | | | (d) | | | Auto Parts & Equipment | | | | | 665 | | | | | | 578 | | | | | | 702 | | |
Delta Air Lines, Inc., 7.0%, 5/1/25 | | | (d) | | | Airlines | | | | | 91 | | | | | | 105 | | | | | | 105 | | |
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.8%, 10/20/28 | | | (d) | | | Airlines | | | | | 611 | | | | | | 626 | | | | | | 667 | | |
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.5%, 10/20/25 | | | (d) | | | Airlines | | | | | 122 | | | | | | 122 | | | | | | 130 | | |
Diamond Resorts International, Inc., 7.8%, 9/1/23 | | | (d) | | | Lodging | | | | | 864 | | | | | | 883 | | | | | | 890 | | |
eG Global Finance Plc, 8.5%, 10/30/25 | | | (d) | | | Retail | | | | | 824 | | | | | | 889 | | | | | | 875 | | |
eG Global Finance Plc, 6.8%, 2/7/25 | | | (d) | | | Retail | | | | | 709 | | | | | | 690 | | | | | | 731 | | |
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25 | | | (d) | | | Real Estate | | | | | 832 | | | | | | 809 | | | | | | 882 | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Principal Amount(b) | | | Amortized Cost | | | Fair Value(c) | | |||||||||
Fly Leasing Ltd., 5.3%, 10/15/24 | | | | | | Trucking & Leasing | | | | $ | 153 | | | | | $ | 139 | | | | | $ | 146 | | |
Ford Motor Credit Co. LLC, 3.4%, 11/17/23 | | | | | | Auto Manufacturers | | | | | 888 | | | | | | 881 | | | | | | 907 | | |
Ford Motor Credit Co. LLC, 3.1%, 1/9/23 | | | | | | Auto Manufacturers | | | | | 450 | | | | | | 439 | | | | | | 459 | | |
Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24 | | | (d) | | | Entertainment | | | | | 434 | | | | | | 449 | | | | | | 410 | | |
GEO Group, Inc., 5.1%, 4/1/23 | | | | | | Real Estate Investment Trusts | | | | | 210 | | | | | | 195 | | | | | | 190 | | |
GEO Group, Inc., 5.9%, 1/15/22 | | | | | | Real Estate Investment Trusts | | | | | 400 | | | | | | 394 | | | | | | 398 | | |
GEO Group, Inc., 6.0%, 4/15/26 | | | | | | Real Estate Investment Trusts | | | | | 203 | | | | | | 174 | | | | | | 162 | | |
Goodyear Tire & Rubber Co., 5.1%, 11/15/23 | | | | | | Auto Parts & Equipment | | | | | 715 | | | | | | 717 | | | | | | 717 | | |
Graham Packaging Co., Inc., 7.1%, 8/15/28 | | | (d) | | | Packaging & Containers | | | | | 564 | | | | | | 586 | | | | | | 624 | | |
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.9%, 9/1/25 | | | (d) | | | Pharmaceuticals | | | | | 174 | | | | | | 174 | | | | | | 190 | | |
Intelsat Jackson Holdings S.A., 8.0%, 2/15/24 Telecommunications | | | (d) (e) | | | Telecommunications | | | | | 751 | | | | | | 761 | | | | | | 770 | | |
IRB Holding Corp., 7.0%, 6/15/25 | | | (d) | | | Retail | | | | | 368 | | | | | | 376 | | | | | | 403 | | |
Iron Mountain, Inc., 4.5%, 2/15/31 | | | (d) | | | Real Estate Investment Trusts | | | | | 259 | | | | | | 257 | | | | | | 272 | | |
Iron Mountain, Inc., 5.6%, 7/15/32 | | | (d) | | | Real Estate Investment Trusts | | | | | 234 | | | | | | 234 | | | | | | 258 | | |
iStar, Inc., 5.5%, 2/15/26 | | | | | | Real Estate Investment Trusts | | | | | 585 | | | | | | 585 | | | | | | 598 | | |
Kronos Acquisition Holdings, Inc., 9.0%, 8/15/23 | | | (d) | | | Household Products/ Wares | | | | | 610 | | | | | | 626 | | | | | | 625 | | |
Kronos Acquisition Holdings, Inc., 5.0%, 12/31/26 | | | (d) | | | Household Products/ Wares | | | | | 49 | | | | | | 49 | | | | | | 51 | | |
Kronos Acquisition Holdings, Inc., 7.0%, 12/31/27 | | | (d) | | | Household Products/ Wares | | | | | 253 | | | | | | 258 | | | | | | 265 | | |
LABL Escrow Issuer LLC, 6.8%, 7/15/26 | | | (d) | | | Packaging & Containers | | | | | 114 | | | | | | 123 | | | | | | 124 | | |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.3%, 2/1/27 | | | (d) | | | Real Estate Investment Trusts | | | | | 390 | | | | | | 339 | | | | | | 384 | | |
Lamb Weston Holdings, Inc., 4.9%, 5/15/28 | | | (d) | | | Food | | | | | 120 | | | | | | 129 | | | | | | 134 | | |
LifePoint Health, Inc., 5.4%, 1/15/29 | | | (d) | | | Healthcare-Services | | | | | 411 | | | | | | 408 | | | | | | 411 | | |
LifePoint Health, Inc., 4.4%, 2/15/27 | | | (d) | | | Healthcare-Services | | | | | 372 | | | | | | 362 | | | | | | 379 | | |
Marriott Ownership Resorts, Inc., 6.1%, 9/15/25 | | | (d) | | | Lodging | | | | | 310 | | | | | | 315 | | | | | | 331 | | |
Maxim Crane Works Holdings Capital LLC, 10.1%, 8/1/24 | | | (d) | | | Machinery-Diversified | | | | | 676 | | | | | | 685 | | | | | | 706 | | |
Meritor, Inc., 6.3%, 2/15/24 | | | (f) | | | Auto Parts & Equipment | | | | | 255 | | | | | | 256 | | | | | | 261 | | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.5%, 6/20/27 | | | (d) | | | Airlines | | | | | 481 | | | | | | 491 | | | | | | 518 | | |
Molina Healthcare, Inc., 4.4%, 6/15/28 | | | (d) | | | Healthcare-Services | | | | | 273 | | | | | | 278 | | | | | | 288 | | |
Navistar International Corp., 6.6%, 11/1/25 | | | (d) (f) | | | Auto Manufacturers | | | | | 1,037 | | | | | | 1,030 | | | | | | 1,088 | | |
New Enterprise Stone & Lime Co., Inc., 6.3%, 3/15/26 | | | (d) | | | Engineering & Construction | | | | | 459 | | | | | | 446 | | | | | | 471 | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Principal Amount(b) | | | Amortized Cost | | | Fair Value(c) | | |||||||||
New Home Co., Inc., 7.3%, 10/15/25 | | | (d) | | | Home Builders | | | | $ | 566 | | | | | $ | 569 | | | | | $ | 583 | | |
NGL Energy Partners LP / NGL Energy Finance Corp., 7.5%, 11/1/23 | | | (d) | | | Pipelines | | | | | 258 | | | | | | 249 | | | | | | 183 | | |
Nielsen Co. Luxembourg SARL, 5.5%, 10/1/21 | | | (g) (h) | | | Commercial Services | | | | | 617 | | | | | | 618 | | | | | | 620 | | |
Nielsen Finance LLC / Nielsen Finance Co., 5.0%, 4/15/22 | | | (d) | | | Commercial Services | | | | | 594 | | | | | | 591 | | | | | | 596 | | |
Pactiv LLC , 8.0%, 12/15/25 | | | | | | Packaging & Containers | | | | | 217 | | | | | | 220 | | | | | | 249 | | |
Pactiv LLC, 8.4%, 4/15/27 | | | | | | Packaging & Containers | | | | | 861 | | | | | | 918 | | | | | | 1,006 | | |
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, 5.9%, 10/1/28 | | | (d) | | | Real Estate Investment Trusts | | | | | 174 | | | | | | 174 | | | | | | 186 | | |
Presidio Holdings, Inc., 4.9%, 2/1/27 | | | (d) | | | Computers | | | | | 178 | | | | | | 183 | | | | | | 189 | | |
Prime Healthcare Services, Inc., 7.3%, 11/1/25 | | | (d) | | | Healthcare-Services | | | | | 454 | | | | | | 465 | | | | | | 483 | | |
Prime Security Services Borrower LLC / Prime Finance, Inc., 6.3%, 1/15/28 | | | (d) | | | Commercial Services | | | | | 752 | | | | | | 722 | | | | | | 808 | | |
Prime Security Services Borrower LLC / Prime Finance, Inc., 5.8%, 4/15/26 | | | (d) | | | Commercial Services | | | | | 270 | | | | | | 297 | | | | | | 296 | | |
Scientific Games International, Inc., 5.0%, 10/15/25 | | | (d) | | | Entertainment | | | | | 201 | | | | | | 206 | | | | | | 208 | | |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25 | | | (d) | | | Airlines | | | | | 235 | | | | | | 242 | | | | | | 264 | | |
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC, 7.0%, 7/15/26 | | | (d) | | | Entertainment | | | | | 481 | | | | | | 505 | | | | | | 507 | | |
Stericycle, Inc., 5.4%, 7/15/24 | | | (d) | | | Environmental Control | | | | | 325 | | | | | | 333 | | | | | | 340 | | |
Stericycle, Inc., 3.9%, 1/15/29 | | | (d) | | | Environmental Control | | | | | 236 | | | | | | 236 | | | | | | 243 | | |
Sunoco LP / Sunoco Finance Corp., 6.0%, 4/15/27 | | | | | | Oil & Gas | | | | | 96 | | | | | | 85 | | | | | | 102 | | |
T-Mobile USA, Inc., 4.0%, 4/15/22 | | | | | | Telecommunications | | | | | 229 | | | | | | 231 | | | | | | 237 | | |
Taylor Morrison Communities, Inc., 5.1%, 8/1/30 | | | (d) | | | Home Builders | | | | | 536 | | | | | | 560 | | | | | | 601 | | |
United Natural Foods, Inc., 6.8%, 10/15/28 | | | (d) | | | Food | | | | | 238 | | | | | | 242 | | | | | | 249 | | |
US Foods, Inc., 6.3%, 4/15/25 | | | (d) | | | Food | | | | | 375 | | | | | | 375 | | | | | | 401 | | |
Vector Group Ltd., 10.5%, 11/1/26 | | | (d) | | | Agriculture | | | | | 185 | | | | | | 196 | | | | | | 200 | | |
Vector Group Ltd., 6.1%, 2/1/25 | | | (d) | | | Agriculture | | | | | 943 | | | | | | 900 | | | | | | 961 | | |
VeriSign, Inc., 4.6%, 5/1/23 | | | (f) | | | Internet | | | | | 441 | | | | | | 439 | | | | | | 446 | | |
Waste Pro USA, Inc., 5.5%, 2/15/26 | | | (d) | | | Environmental Control | | | | | 335 | | | | | | 342 | | | | | | 344 | | |
Welbilt, Inc., 9.5%, 2/15/24 | | | | | | Machinery-Diversified | | | | | 499 | | | | | | 475 | | | | | | 517 | | |
WESCO Distribution, Inc., 5.4%, 12/15/21 | | | | | | Electrical Components & Equipment | | | | | 704 | | | | | | 701 | | | | | | 705 | | |
XHR LP, 6.4%, 8/15/25 | | | (d) | | | Real Estate Investment Trusts | | | | | 773 | | | | | | 782 | | | | | | 817 | | |
XPO Logistics, Inc., 6.5%, 6/15/22 | | | (d) | | | Transportation | | | | | 1,617 | | | | | | 1,590 | | | | | | 1,625 | | |
Total Corporate Bonds | | | | | | | | | | | | | | | | | 44,021 | | | | | | 45,536 | | |
|
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Number of Shares | | | Cost(b) | | | Fair Value(c) | | |||||||||
Common Stock – 9.9% | | | | | | | | | | | | | | | | | | | | | | | | | |
Adaptive Biotechnologies Corp. | | | (i) | | | Healthcare-Products | | | | | 1,322 | | | | | $ | 64 | | | | | $ | 78 | | |
Ball Corp. | | | (h) | | | Packaging & Containers | | | | | 14,186 | | | | | | 947 | | | | | | 1,322 | | |
Brown-Forman Corp. | | | | | | Beverages | | | | | 145 | | | | | | 8 | | | | | | 12 | | |
Capital One Financial Corp. | | | | | | Diversified Financial Services | | | | | 1,201 | | | | | | 115 | | | | | | 119 | | |
Cintas Corp. | | | (h) | | | Commercial Services | | | | | 1,548 | | | | | | 397 | | | | | | 547 | | |
Costco Wholesale Corp. | | | (h) | | | Retail | | | | | 1,453 | | | | | | 425 | | | | | | 548 | | |
CSX Corp. | | | (h) | | | Transportation | | | | | 3,725 | | | | | | 233 | | | | | | 338 | | |
Danaher Corp. | | | | | | Healthcare-Products | | | | | 1,262 | | | | | | 283 | | | | | | 280 | | |
Davide Campari-Milano N.V. | | | | | | Beverages | | | | | 34,741 | | | | | | 289 | | | | | | 396 | | |
Domino’s Pizza, Inc. | | | (h) | | | Retail | | | | | 1,012 | | | | | | 296 | | | | | | 388 | | |
Ecolab, Inc. | | | (h) | | ��� | Chemicals | | | | | 1,221 | | | | | | 243 | | | | | | 264 | | |
Five Below, Inc. | | | (h) (i) | | | Retail | | | | | 2,408 | | | | | | 254 | | | | | | 421 | | |
Home Depot, Inc. | | | (h) | | | Retail | | | | | 3,822 | | | | | | 825 | | | | | | 1,015 | | |
Intuit, Inc. | | | | | | Software | | | | | 577 | | | | | | 152 | | | | | | 219 | | |
Kansas City Southern | | | (h) | | | Transportation | | | | | 2,696 | | | | | | 403 | | | | | | 550 | | |
Mastercard, Inc. | | | (h) | | | Diversified Financial Services | | | | | 1,756 | | | | | | 501 | | | | | | 627 | | |
Mettler-Toledo International, Inc. | | | (i) | | | Electronics | | | | | 534 | | | | | | 373 | | | | | | 609 | | |
Microsoft Corp. | | | (h) | | | Software | | | | | 3,641 | | | | | | 558 | | | | | | 810 | | |
Moody’s Corp. | | | (h) | | | Commercial Services | | | | | 1,514 | | | | | | 339 | | | | | | 440 | | |
Pool Corp. | | | (h) | | | Distribution/ Wholesale | | | | | 1,135 | | | | | | 233 | | | | | | 423 | | |
Republic Services, Inc. | | | (h) | | | Environmental Control | | | | | 4,786 | | | | | | 395 | | | | | | 461 | | |
Sherwin-Williams Co. | | | (h) | | | Chemicals | | | | | 1,716 | | | | | | 903 | | | | | | 1,261 | | |
Thermo Fisher Scientific, Inc. | | | (h) | | | Healthcare-Products | | | | | 901 | | | | | | 280 | | | | | | 420 | | |
Toro Co. | | | (h) | | | Machinery-Diversified | | | | | 1,995 | | | | | | 150 | | | | | | 189 | | |
Ulta Salon Cosmetics & Fragrance, Inc. | | | (i) | | | Retail | | | | | 268 | | | | | | 52 | | | | | | 77 | | |
Union Pacific Corp. | | | (h) | | | Transportation | | | | | 3,032 | | | | | | 492 | | | | | | 631 | | |
Vroom, Inc. | | | (h) (i) | | | Retail | | | | | 2,583 | | | | | | 131 | | | | | | 106 | | |
Zoetis, Inc. | | | | | | Pharmaceuticals | | | | | 1,681 | | | | | | 209 | | | | | | 278 | | |
Total Common Stock | | | | | | | | | | | | | | | | | 9,550 | | | | | | 12,829 | | |
Portfolio Company(a) | | | Footnotes | | | Yield | | | Number of Shares | | | Cost | | | Fair Value(c) | | |||||||||
Short-Term Investments – 51.7% | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Institutional Liquid Reserves Fund – Premier Class | | | (j) | | | 0.10% | | | | | 66,508,862 | | | | | $ | 66,527 | | | | | $ | 66,522 | | |
Total Short-Term Investments | | | | | | | | | | | | | | | | | 66,527 | | | | | | 66,522 | | |
TOTAL INVESTMENTS – 97.0% | | | | | | | | | | | | | | | | $ | 120,098 | | | | | | 124,887 | | |
Other Assets in Excess of Liabilities – 3.0% | | | | | | | | | | | | | | | | | | | | | | | 3,816 | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | | | | $ | 128,703 | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Number of Shares | | | Proceeds | | | Fair Value(c) | | |||||||||
Mutual Funds Sold Short – (2.6)% | | | | | | | | | | | | | | | | | | | | | | |
Invesco QQQ Trust Series 1 | | | | | | | | (1,918) | | | | | $ | (594) | | | | | $ | (602) | | |
iShares Russell 1000 ETF | | | | | | | | (9,928) | | | | | | (2,059) | | | | | | (2,103) | | |
iShares Russell 2000 ETF | | | | | | | | (2,999) | | | | | | (575) | | | | | | (588) | | |
Total Mutual Funds Sold Short | | | | | | | | | | | | | $ | (3,228) | | | | | $ | (3,293) | | |
Portfolio Company(a) | | | Footnotes | | | Industry | | | Par(b) | | | Proceeds | | | Fair Value(c) | | |||||||||
Corporate Bonds Sold Short – (6.3)% | | | | | | | | | | | | | | | | | | | | | | | | | |
Adient Global Holdings Ltd., 4.9%, 8/15/26 | | | | | | Auto Parts & Equipment | | | | $ | (401) | | | | | $ | (397) | | | | | $ | (412) | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.5%, 4/3/26 | | | | | | Diversified Financial Services | | | | | (280) | | | | | | (280) | | | | | | (314) | | |
Aramark Services, Inc., 5.0%, 4/1/25 | | | | | | Food Service | | | | | (758) | | | | | | (759) | | | | | | (782) | | |
Bausch Health Cos., Inc., 6.1%, 4/15/25 | | | | | | Pharmaceuticals | | | | | (533) | | | | | | (540) | | | | | | (550) | | |
Boyd Gaming Corp., 6.4%, 4/1/26 | | | | | | Lodging | | | | | (273) | | | | | | (273) | | | | | | (284) | | |
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp., 5.4%, 6/1/24 | | | | | | Entertainment | | | | | (273) | | | | | | (270) | | | | | | (274) | | |
Cimarex Energy Co., 4.4%, 3/15/29 | | | | | | Oil & Gas | | | | | (402) | | | | | | (427) | | | | | | (458) | | |
CommScope, Inc., 7.1%, 7/1/28 | | | | | | Telecommunications | | | | | (228) | | | | | | (246) | | | | | | (243) | | |
Delta Air Lines, Inc., 7.4%, 1/15/26 | | | | | | Airlines | | | | | (46) | | | | | | (53) | | | | | | (53) | | |
LABL Escrow Issuer LLC, 10.5%, 7/15/27 | | | | | | Packaging & Containers | | | | | (57) | | | | | | (64) | | | | | | (64) | | |
Methanex Corp., 5.1%, 10/15/27 | | | | | | Chemicals | | | | | (404) | | | | | | (413) | | | | | | (440) | | |
Navient Corp., 6.8%, 6/15/26 | | | | | | Diversified Financial Services | | | | | (402) | | | | | | (417) | | | | | | (439) | | |
Presidio Holdings, Inc., 8.3%, 2/1/28 | | | | | | Computers | | | | | (89) | | | | | | (94) | | | | | | (98) | | |
Radiate Holdco LLC / Radiate Finance, Inc., 6.5%, 9/15/28 | | | | | | Media Entertainment | | | | | (322) | | | | | | (333) | | | | | | (339) | | |
Scientific Games International, Inc., 8.3%, 3/15/26 | | | | | | Entertainment | | | | | (201) | | | | | | (211) | | | | | | (217) | | |
Sotheby’s, 7.4%, 10/15/27 | | | | | | Commercial Services | | | | | (254) | | | | | | (257) | | | | | | (273) | | |
Teva Pharmaceutical Finance Netherlands III B.V., 6.8%, 3/1/28 | | | | | | Pharmaceuticals | | | | | (343) | | | | | | (375) | | | | | | (389) | | |
TransDigm, Inc., 6.5%, 5/15/25 | | | | | | Aerospace/Defense | | | | | (460) | | | | | | (463) | | | | | | (473) | | |
Tronox, Inc., 6.5%, 4/15/26 | | | | | | Chemicals | | | | | (401) | | | | | | (408) | | | | | | (418) | | |
Uber Technologies, Inc., 7.5%, 9/15/27 | | | | | | Internet | | | | | (56) | | | | | | (59) | | | | | | (62) | | |
United Rentals North America, Inc., 4.9%, 1/15/28 | | | | | | Commercial Services | | | | | (692) | | | | | | (717) | | | | | | (738) | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Par(b) | | | Proceeds | | | Fair Value(c) | | |||||||||
US Foods, Inc., 5.9%, 6/15/24 | | | | | | Food | | | | $ | (375) | | | | | $ | (356) | | | | | $ | (381) | | |
Vistra Operations Co. LLC, 5.5%, 9/1/26 | | | | | | Electric | | | | | (195) | | | | | | (199) | | | | | | (203) | | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.5%, 3/1/25 | | | | | | Lodging | | | | | (227) | | | | | | (213) | | | | | | (238) | | |
Total Corporate Bonds Sold Short | | | | | | | | | | | | | | | | $ | (7,824) | | | | | $ | (8,142) | | |
|
Portfolio Company(a) | | | Footnotes | | | Industry | | | Number of Shares | | | Proceeds | | | Fair Value(c) | | |||||||||
Common Stocks Sold Short – (2.1)% | | | | | | | | | | | | | | | | | | | | | | | | | |
Abercrombie & Fitch Co. | | | | | | Retail | | | | | (2,303) | | | | | $ | (44) | | | | | $ | (47) | | |
AGCO Corp. | | | | | | Machinery-Diversified | | | | | (77) | | | | | | (6) | | | | | | (8) | | |
American Airlines Group, Inc. | | | | | | Airlines | | | | | (4,222) | | | | | | (67) | | | | | | (67) | | |
Anheuser-Busch InBev S.A./N.V. | | | | | | Beverages | | | | | (844) | | | | | | (57) | | | | | | (59) | | |
Automatic Data Processing, Inc. | | | | | | Commercial Services | | | | | (920) | | | | | | (134) | | | | | | (162) | | |
Bank OZK | | | | | | Commercial Banks | | | | | (5,636) | | | | | | (144) | | | | | | (176) | | |
Bausch Health Companies, Inc. | | | | | | Pharmaceuticals | | | | | (4,252) | | | | | | (71) | | | | | | (88) | | |
Cheesecake Factory, Inc. | | | | | | Retail | | | | | (5,187) | | | | | | (153) | | | | | | (192) | | |
Credit Acceptance Corp. | | | | | | Diversified Financial Services | | | | | (275) | | | | | | (102) | | | | | | (95) | | |
FedEx Corp. | | | | | | Transportation | | | | | (269) | | | | | | (77) | | | | | | (70) | | |
Flowserve Corp. | | | | | | Machinery-Diversified | | | | | (3,071) | | | | | | (83) | | | | | | (113) | | |
Goosehead Insurance, Inc. | | | | | | Insurance | | | | | (81) | | | | | | (8) | | | | | | (10) | | |
Kohl’s Corp. | | | | | | Retail | | | | | (6,141) | | | | | | (156) | | | | | | (250) | | |
Lands’ End, Inc. | | | | | | Internet | | | | | (741) | | | | | | (10) | | | | | | (16) | | |
Macy’s, Inc. | | | | | | Retail | | | | | (5,908) | | | | | | (51) | | | | | | (66) | | |
Oracle Corp. | | | | | | Software | | | | | (691) | | | | | | (45) | | | | | | (45) | | |
Oshkosh Corp. | | | | | | Machinery-Construction & Mining | | | | | (1,185) | | | | | | (92) | | | | | | (102) | | |
Paychex, Inc. | | | | | | Software | | | | | (2,684) | | | | | | (215) | | | | | | (250) | | |
Pearson Plc | | | | | | Media Entertainment | | | | | (2,631) | | | | | | (21) | | | | | | (24) | | |
Red Robin Gourmet Burgers, Inc. | | | | | | Retail | | | | | (614) | | | | | | (11) | | | | | | (12) | | |
salesforce.com, Inc. | | | | | | Software | | | | | (308) | | | | | | (69) | | | | | | (69) | | |
Snap-on, Inc. | | | | | | Hand/Machine Tools | | | | | (967) | | | | | | (136) | | | | | | (166) | | |
Splunk, Inc. | | | | | | Software | | | | | (230) | | | | | | (40) | | | | | | (39) | | |
Tenaris S.A. | | | | | | Metal Fabricate/ Hardware | | | | | (1,576) | | | | | | (16) | | | | | | (25) | | |
Tenet Healthcare Corp. | | | | | | Healthcare-Services | | | | | (733) | | | | | | (20) | | | | | | (29) | | |
Tesla, Inc. | | | | | | Auto Manufacturers | | | | | (32) | | | | | | (21) | | | | | | (23) | | |
Under Armour, Inc. | | | | | | Apparel | | | | | (9,422) | | | | | | (99) | | | | | | (162) | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Number of Shares | | | Proceeds | | | Fair Value(c) | | |||||||||
Westinghouse Air Brake Technologies Corp. | | | | | | Machinery-Diversified | | | | | (1,124) | | | | | $ | (73) | | | | | $ | (82) | | |
Xylem, Inc. | | | | | | Machinery-Diversified | | | | | (2,070) | | | | | | (149) | | | | | | (211) | | |
Total Common Stocks Sold Short | | | | | | | | | | | | | | | | $ | (2,170) | | | | | $ | (2,658) | | |
Total Investments Sold Short | | | | | | | | | | | | | | | | $ | (13,222) | | | | | $ | (14,093) | | |
|
Counterparty | | | Contract Settlement Date | | | Currency and Amount to be Received | | | Currency and Amount to be Delivered | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||||||||
Morgan Stanley & Co. International PLC | | | 3/17/21 | | | EUR | | | | | 28 | | | | | | USD | | | | | | 34 | | | | | $ | — | | | | | $ | — | | |
Morgan Stanley & Co. International PLC | | | 3/17/21 | | | USD | | | | | 14 | | | | | | EUR | | | | | | 11 | | | | | | — | | | | | | — | | |
Morgan Stanley & Co. International PLC | | | 3/17/21 | | | USD | | | | | 14 | | | | | | EUR | | | | | | 11 | | | | | | — | | | | | | — | | |
Morgan Stanley & Co. International PLC | | | 3/17/21 | | | USD | | | | | 440 | | | | | | EUR | | | | | | 361 | | | | | | — | | | | | | 2 | | |
State Street Bank and Trust Co. | | | 3/17/21 | | | EUR | | | | | 28 | | | | | | USD | | | | | | 34 | | | | | | — | | | | | | — | | |
State Street Bank and Trust Co. | | | 3/17/21 | | | EUR | | | | | 9 | | | | | | USD | | | | | | 11 | | | | | | — | | | | | | — | | |
Total Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | 2 | | |
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(c) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
Bank of America, N.A. | | | 0% | | | Total return on BofA Merrill Lynch Commodity Excess Return Strategy(l) | | | USD 11,134 | | | | | 8/18/21 | | | | Quarterly | | | | $ | — | | | | | $ | (91) | | | | | $ | — | | | | | $ | 91 | | |
Barclays Bank PLC | | | Fixed Rate of 0.35% | | | Total return on Barclays Equity Intraday Momentum Index(m) | | | USD 21,800 | | | | | 11/24/21 | | | | Quarterly | | | | | — | | | | | | (181) | | | | | | — | | | | | | 181 | | |
BNP Paribas | | | 3 Month LIBOR + 0.15% | | | Total return on BNP Equity Value Factor Index(n) | | | USD 18,807 | | | | | 6/15/21 | | | | Quarterly | | | | | — | | | | | | 113 | | | | | | 113 | | | | | | — | | |
BNP Paribas | | | Total return on BNP Equity Growth Factor Index(o) | | | 3 Month LIBOR – 0.05% | | | USD 9,260 | | | | | 6/15/21 | | | | Quarterly | | | | | — | | | | | | (175) | | | | | | — | | | | | | 175 | | |
BNP Paribas | | | 3 Month LIBOR – 0.15% | | | Total return on MSCI Emerging Net Total Return USD Index(p) | | | USD 14,825 | | | | | 6/3/21 | | | | Quarterly | | | | | — | | | | | | 640 | | | | | | 640 | | | | | | — | | |
BNP Paribas | | | Total return on MSCI Daily Total Return Gross EAFE USD Index(q) | | | 3 Month LIBOR + 0.32% | | | USD 7,355 | | | | | 6/3/21 | | | | Quarterly | | | | | — | | | | | | (183) | | | | | | — | | | | | | 183 | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(c) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
Credit Suisse International | | | Fixed Rate of 0.50% | | | Total return on Credit Suisse Gamma Weighted Dispersion Index ER(r) | | | USD 5,061 | | | | | 11/19/21 | | | | Monthly | | | | $ | — | | | | | $ | (23) | | | | | $ | — | | | | | $ | 23 | | |
Deutsche Bank | | | 0% | | | Total return on Deutsche Bank Diversified Rates Strategy Index 008(s) | | | USD 43,623 | | | | | 6/15/21 | | | | Quarterly | | | | | — | | | | | | (9) | | | | | | — | | | | | | 9 | | |
Goldman Sachs International | | | Fixed Rate of 0.45% | | | Total return on Goldman Sachs Macro Index MF13(t) | | | USD 11,660 | | | | | 11/25/21 | | | | Quarterly | | | | | — | | | | | | 267 | | | | | | 267 | | | | | | — | | |
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs Calls-vs-Calls Series 2 Excess Return Strategy Index(u) | | | USD 7,541 | | | | | 11/6/21 | | | | Quarterly | | | | | — | | | | | | 130 | | | | | | 130 | | | | | | — | | |
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(v) | | | USD 4,529 | | | | | 11/6/21 | | | | Quarterly | | | | | — | | | | | | 50 | | | | | | 50 | | | | | | — | | |
JP Morgan Chase Bank, N.A. | | | Total return on JPM Short ERP Sector Index (w) | | | 3 Month LIBOR – 0.25% | | | USD 10,484 | | | | | 8/3/21 | | | | Quarterly | | | | | — | | | | | | 32 | | | | | | 32 | | | | | | — | | |
JP Morgan Chase Bank, N.A. | | | Fixed Rate of 0.04% | | | Total return on JP Morgan Equity Risk Premium – Global Pure Low Vol L/S USD Index 1(x) | | | USD 8,504 | | | | | 6/30/21 | | | | Quarterly | | | | | — | | | | | | 24 | | | | | | 24 | | | | | | — | | |
JP Morgan Chase Bank, N.A. | | | 3 Month LIBOR + 0.60% | | | Total return on JPM Long ERP Sector Index(y) | | | USD 11,068 | | | | | 8/3/21 | | | | Quarterly | | | | | — | | | | | | (110) | | | | | | — | | | | | | 110 | | |
JP Morgan Chase Bank, N.A. | | | Fixed Rate of 0.25% | | | Total return on JPM Correlation Spread Index(z) | | | USD 9,234 | | | | | 7/30/21 | | | | Quarterly | | | | | — | | | | | | (528) | | | | | | — | | | | | | 528 | | |
JP Morgan Chase Bank, N.A. | | | Total return on iBoxx USD Liquid High Yield Index | | | 3 Month LIBOR | | | USD 5,000 | | | | | 3/20/21 | | | | Quarterly | | | | | — | | | | | | (58) | | | | | | — | | | | | | 58 | | |
JP Morgan Chase Bank, N.A. | | | Fixed Rate of 0.20% | | | Total return on US Conviction Mean Reversion Index(aa) | | | USD 7,530 | | | | | 11/4/21 | | | | Quarterly | | | | | — | | | | | | (35) | | | | | | — | | | | | | 35 | | |
Nomura Securities Co., Ltd. | | | Fixed Rate of 0.15% | | | Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adj Index(ab) | | | USD 13,300 | | | | | 7/30/21 | | | | Quarterly | | | | | — | | | | | | 50 | | | | | | 50 | | | | | | — | | |
Societe Generale | | | Fixed Rate of 0.15% | | | Total return on Delta Capped Mean Reversion Index(ac) | | | USD 8,030 | | | | | 11/9/21 | | | | Quarterly | | | | | — | | | | | | (99) | | | | | | — | | | | | | 99 | | |
Societe Generale | | | Fed Funds Rate | | | Total return on Soc Gen Vol Roll on Rates Index(ad) | | | USD 24,902 | | | | | 4/7/21 | | | | N/A | | | | | — | | | | | | 8 | | | | | | 8 | | | | | | — | | |
Total Total Return Index Swaps | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (178) | | | | | $ | 1,314 | | | | | $ | 1,492 | | |
|
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Futures | | | | | | | | | | | | | |
NATURAL GAS Jun 21 | | | | | 2,209 | | | | | | 20.00% | | |
NATURAL GAS Mar 21 | | | | | (2,087) | | | | | | -18.90% | | |
LME COPPER Mar 21 | | | | | (1,966) | | | | | | -17.80% | | |
LME COPPER Apr 21 | | | | | 1,955 | | | | | | 17.70% | | |
WTI CRUDE Mar 21 | | | | | (1,944) | | | | | | -17.60% | | |
SOYBEAN Mar 21 | | | | | (1,756) | | | | | | -15.90% | | |
BRENT CRUDE Mar 21 | | | | | (1,745) | | | | | | -15.80% | | |
SOYBEAN Jul 21 | | | | | 1,723 | | | | | | 15.60% | | |
CORN Mar 21 | | | | | (1,645) | | | | | | -14.90% | | |
CORN Jul 21 | | | | | 1,612 | | | | | | 14.60% | | |
WTI CRUDE Apr 21 | | | | | 1,369 | | | | | | 12.40% | | |
SOYBEAN MEAL Jul 21 | | | | | 1,215 | | | | | | 11.00% | | |
BRENT CRUDE May 21 | | | | | 1,182 | | | | | | 10.70% | | |
LIVE CATTLE Apr 21 | | | | | (1,104) | | | | | | -10.00% | | |
LEAN HOGS Apr 21 | | | | | 1,104 | | | | | | 10.00% | | |
SILVER Mar 21 | | | | | (1,104) | | | | | | -10.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
LIVE CATTLE Jun 21 | | | | | 1,071 | | | | | | 9.70% | | |
LME PRI ALUM Mar 21 | | | | | (1,060) | | | | | | -9.60% | | |
LME PRI ALUM Apr 21 | | | | | 1,049 | | | | | | 9.50% | | |
SOYBEAN MEAL Mar 21 | | | | | (1,049) | | | | | | -9.50% | | |
SOYBEAN OIL Jul 21 | | | | | 906 | | | | | | 8.20% | | |
LME ZINC Mar 21 | | | | | (895) | | | | | | -8.10% | | |
LME ZINC Apr 21 | | | | | 895 | | | | | | 8.10% | | |
WHEAT (CBT) Jul 21 | | | | | 895 | | | | | | 8.10% | | |
LIVE CATTLE Feb 21 | | | | | (817) | | | | | | -7.40% | | |
SOYBEAN OIL Mar 21 | | | | | (795) | | | | | | -7.20% | | |
WHEAT (CBT) Mar 21 | | | | | (795) | | | | | | -7.20% | | |
LME NICKEL Mar 21 | | | | | (729) | | | | | | -6.60% | | |
LME NICKEL Apr 21 | | | | | 729 | | | | | | 6.60% | | |
SUGAR #11 (WORLD) Jul 21 | | | | | 729 | | | | | | 6.60% | | |
SUGAR #11 (WORLD) May 21 | | | | | (718) | | | | | | -6.50% | | |
COFFEE ‘C’ Mar 21 | | | | | (641) | | | | | | -5.80% | | |
COFFEE ‘C’ Jul 21 | | | | | 641 | | | | | | 5.80% | | |
NATURAL GAS Dec 21 | | | | | (607) | | | | | | -5.50% | | |
LME COPPER Dec 21 | | | | | 497 | | | | | | 4.50% | | |
WTI CRUDE Dec 21 | | | | | 464 | | | | | | 4.20% | | |
SOYBEAN Nov21 | | | | | 453 | | | | | | 4.10% | | |
CORN Dec 21 | | | | | 431 | | | | | | 3.90% | | |
GASOLINE RBOB Apr 21 | | | | | 431 | | | | | | 3.90% | | |
KC HRW WHEAT Mar 21 | | | | | (420) | | | | | | -3.80% | | |
LEAN HOGS Feb 21 | | | | | (409) | | | | | | -3.70% | | |
GASOLINE RBOB Mar 21 | | | | | (409) | | | | | | -3.70% | | |
BRENT CRUDE Dec 21 | | | | | 398 | | | | | | 3.60% | | |
Low Su Gasoil G Apr 21 | | | | | 387 | | | | | | 3.50% | | |
COTTON NO.2 Mar 21 | | | | | (375) | | | | | | -3.40% | | |
COTTON NO.2 May 21 | | | | | 364 | | | | | | 3.30% | | |
NY Harb ULSD Apr 21 | | | | | 342 | | | | | | 3.10% | | |
LEAN HOGS Jun 21 | | | | | 342 | | | | | | 3.10% | | |
SILVER May 21 | | | | | (331) | | | | | | -3.00% | | |
KC HRW WHEAT Jul 21 | | | | | 309 | | | | | | 2.80% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Barclays IDME Strategy Index | | | | | 21,627 | | | | | | 100.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Microsoft Corp | | | | | 2,272 | | | | | | 505 | | | | | | 2.67% | | |
Walmart Inc | | | | | 919 | | | | | | 132 | | | | | | 0.70% | | |
Johnson & Johnson | | | | | 840 | | | | | | 132 | | | | | | 0.70% | | |
JPMorgan Chase & Co | | | | | 954 | | | | | | 121 | | | | | | 0.64% | | |
Walt Disney Co/The | | | | | 600 | | | | | | 109 | | | | | | 0.58% | | |
Oracle Corp | | | | | 1,636 | | | | | | 106 | | | | | | 0.56% | | |
Intel Corp | | | | | 2,102 | | | | | | 105 | | | | | | 0.55% | | |
Bank of America Corp | | | | | 2,859 | | | | | | 87 | | | | | | 0.46% | | |
Procter & Gamble Co/The | | | | | 601 | | | | | | 84 | | | | | | 0.44% | | |
Comcast Corp | | | | | 1,586 | | | | | | 83 | | | | | | 0.44% | | |
AbbVie Inc | | | | | 759 | | | | | | 81 | | | | | | 0.43% | | |
Verizon Communications Inc | | | | | 1,382 | | | | | | 81 | | | | | | 0.43% | | |
Coca-Cola Co/The | | | | | 1,451 | | | | | | 80 | | | | | | 0.42% | | |
Pfizer Inc | | | | | 1,966 | | | | | | 72 | | | | | | 0.38% | | |
PepsiCo Inc | | | | | 488 | | | | | | 72 | | | | | | 0.38% | | |
Merck & Co Inc | | | | | 877 | | | | | | 72 | | | | | | 0.38% | | |
AT&T Inc | | | | | 2,444 | | | | | | 70 | | | | | | 0.37% | | |
Abbott Laboratories | | | | | 621 | | | | | | 68 | | | | | | 0.36% | | |
Cisco Systems Inc | | | | | 1,458 | | | | | | 65 | | | | | | 0.35% | | |
Amgen Inc | | | | | 280 | | | | | | 64 | | | | | | 0.34% | | |
QUALCOMM Inc | | | | | 416 | | | | | | 63 | | | | | | 0.34% | | |
Bristol-Myers Squibb Co | | | | | 1,002 | | | | | | 62 | | | | | | 0.33% | | |
McDonald’s Corp | | | | | 274 | | | | | | 59 | | | | | | 0.31% | | |
Eli Lilly & Co | | | | | 340 | | | | | | 57 | | | | | | 0.30% | | |
Chevron Corp | | | | | 678 | | | | | | 57 | | | | | | 0.30% | | |
Synchronoss Technologies Inc | | | | | 12,017 | | | | | | 56 | | | | | | 0.30% | | |
Danaher Corp | | | | | 254 | | | | | | 56 | | | | | | 0.30% | | |
DXC Technology Co | | | | | 2,161 | | | | | | 56 | | | | | | 0.29% | | |
General Electric Co | | | | | 5,143 | | | | | | 56 | | | | | | 0.29% | | |
Texas Instruments Inc | | | | | 337 | | | | | | 55 | | | | | | 0.29% | | |
MTS Systems Corp | | | | | 949 | | | | | | 55 | | | | | | 0.29% | | |
First Solar Inc | | | | | 554 | | | | | | 55 | | | | | | 0.29% | | |
Kraft Heinz Co/The | | | | | 1,564 | | | | | | 54 | | | | | | 0.29% | | |
Madison Square Garden Entertai | | | | | 514 | | | | | | 54 | | | | | | 0.29% | | |
Mitek Systems Inc | | | | | 3,017 | | | | | | 54 | | | | | | 0.28% | | |
Wells Fargo & Co | | | | | 1,759 | | | | | | 53 | | | | | | 0.28% | | |
Hewlett Packard Enterprise Co | | | | | 4,427 | | | | | | 52 | | | | | | 0.28% | | |
Goldman Sachs Group Inc/The | | | | | 197 | | | | | | 52 | | | | | | 0.27% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Jabil Inc | | | | | 1,215 | | | | | | 52 | | | | | | 0.27% | | |
CenturyLink Inc | | | | | 5,301 | | | | | | 52 | | | | | | 0.27% | | |
Citigroup Inc | | | | | 837 | | | | | | 52 | | | | | | 0.27% | | |
Gannett Co Inc | | | | | 15,345 | | | | | | 52 | | | | | | 0.27% | | |
Arrow Electronics Inc | | | | | 521 | | | | | | 51 | | | | | | 0.27% | | |
Juniper Networks Inc | | | | | 2,190 | | | | | | 49 | | | | | | 0.26% | | |
Xerox Holdings Corp | | | | | 2,118 | | | | | | 49 | | | | | | 0.26% | | |
Cardtronics PLC | | | | | 1,381 | | | | | | 49 | | | | | | 0.26% | | |
General Motors Co | | | | | 1,169 | | | | | | 49 | | | | | | 0.26% | | |
CVS Health Corp | | | | | 711 | | | | | | 49 | | | | | | 0.26% | | |
Bunge Ltd | | | | | 731 | | | | | | 48 | | | | | | 0.25% | | |
Philip Morris International In | | | | | 571 | | | | | | 47 | | | | | | 0.25% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | |||||
Apple Inc | | | | | (2,626) | | | | | | (348) | | | | | | -3.69% | | |
Amazon.com Inc | | | | | (74) | | | | | | (243) | | | | | | -2.57% | | |
Alphabet Inc | | | | | (96) | | | | | | (169) | | | | | | -1.79% | | |
Tesla Inc | | | | | (166) | | | | | | (117) | | | | | | -1.24% | | |
Facebook Inc | | | | | (418) | | | | | | (114) | | | | | | -1.21% | | |
Berkshire Hathaway Inc | | | | | (356) | | | | | | (82) | | | | | | -0.87% | | |
NVIDIA Corp | | | | | (132) | | | | | | (69) | | | | | | -0.73% | | |
Charter Communications Inc | | | | | (74) | | | | | | (49) | | | | | | -0.52% | | |
NIKE Inc | | | | | (341) | | | | | | (48) | | | | | | -0.51% | | |
PayPal Holdings Inc | | | | | (206) | | | | | | (48) | | | | | | -0.51% | | |
Crowdstrike Holdings Inc | | | | | (226) | | | | | | (48) | | | | | | -0.51% | | |
Square Inc | | | | | (199) | | | | | | (43) | | | | | | -0.46% | | |
Enphase Energy Inc | | | | | (243) | | | | | | (43) | | | | | | -0.45% | | |
Advanced Micro Devices Inc | | | | | (455) | | | | | | (42) | | | | | | -0.44% | | |
MongoDB Inc | | | | | (112) | | | | | | (40) | | | | | | -0.43% | | |
Veru Inc | | | | | (4,644) | | | | | | (40) | | | | | | -0.43% | | |
Netflix Inc | | | | | (73) | | | | | | (40) | | | | | | -0.42% | | |
Pinterest Inc | | | | | (594) | | | | | | (39) | | | | | | -0.42% | | |
Estee Lauder Cos Inc/The | | | | | (141) | | | | | | (38) | | | | | | -0.40% | | |
Cloudflare Inc | | | | | (491) | | | | | | (37) | | | | | | -0.40% | | |
salesforce.com Inc | | | | | (163) | | | | | | (36) | | | | | | -0.38% | | |
Cable One Inc | | | | | (16) | | | | | | (36) | | | | | | -0.38% | | |
RingCentral Inc | | | | | (95) | | | | | | (36) | | | | | | -0.38% | | |
Ubiquiti Inc | | | | | (128) | | | | | | (36) | | | | | | -0.38% | | |
Twilio Inc | | | | | (105) | | | | | | (35) | | | | | | -0.38% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Okta Inc | | | | | (136) | | | | | | (35) | | | | | | -0.37% | | |
Zoom Video Communications Inc | | | | | (102) | | | | | | (35) | | | | | | -0.37% | | |
Domo Inc | | | | | (541) | | | | | | (34) | | | | | | -0.37% | | |
Paycom Software Inc | | | | | (76) | | | | | | (34) | | | | | | -0.36% | | |
Zebra Technologies Corp | | | | | (88) | | | | | | (34) | | | | | | -0.36% | | |
Trimble Inc | | | | | (508) | | | | | | (34) | | | | | | -0.36% | | |
Arista Networks Inc | | | | | (117) | | | | | | (34) | | | | | | -0.36% | | |
Monolithic Power Systems Inc | | | | | (92) | | | | | | (34) | | | | | | -0.36% | | |
Amphenol Corp | | | | | (258) | | | | | | (34) | | | | | | -0.36% | | |
Trade Desk Inc/The | | | | | (42) | | | | | | (33) | | | | | | -0.35% | | |
DocuSign Inc | | | | | (150) | | | | | | (33) | | | | | | -0.35% | | |
Nutanix Inc | | | | | (1,046) | | | | | | (33) | | | | | | -0.35% | | |
United Parcel Service Inc | | | | | (196) | | | | | | (33) | | | | | | -0.35% | | |
VeriSign Inc | | | | | (151) | | | | | | (33) | | | | | | -0.35% | | |
Colgate-Palmolive Co | | | | | (380) | | | | | | (33) | | | | | | -0.34% | | |
Broadcom Inc | | | | | (74) | | | | | | (32) | | | | | | -0.34% | | |
IPG Photonics Corp | | | | | (144) | | | | | | (32) | | | | | | -0.34% | | |
Cognex Corp | | | | | (394) | | | | | | (32) | | | | | | -0.34% | | |
T-Mobile US Inc | | | | | (233) | | | | | | (31) | | | | | | -0.33% | | |
Motorola Solutions Inc | | | | | (184) | | | | | | (31) | | | | | | -0.33% | | |
Monster Beverage Corp | | | | | (332) | | | | | | (31) | | | | | | -0.33% | | |
Anaplan Inc | | | | | (423) | | | | | | (30) | | | | | | -0.32% | | |
John Wiley & Sons Inc | | | | | (663) | | | | | | (30) | | | | | | -0.32% | | |
Universal Display Corp | | | | | (129) | | | | | | (30) | | | | | | -0.31% | | |
Anterix Inc | | | | | (764) | | | | | | (29) | | | | | | -0.30% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
MSCI Emerging Net Total Return USD Index | | | | | 15,472 | | | | | | 100.00% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
MSCI Daily TR Gross EAFE USD | | | | | (7,541) | | | | | | -100.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Option | | | | | | | | | | | | | |
SPY Put | | | | | (20,097) | | | | | | -398.32% | | |
SPY Call | | | | | (9,409) | | | | | | -186.48% | | |
AAPL Put | | | | | 2,084 | | | | | | 41.31% | | |
AAPL Call | | | | | 1,910 | | | | | | 37.85% | | |
MSFT Put | | | | | 1,815 | | | | | | 35.98% | | |
MSFT Call | | | | | 1,510 | | | | | | 29.93% | | |
AMZN Call | | | | | 1,428 | | | | | | 28.30% | | |
AMZN Put | | | | | 1,282 | | | | | | 25.40% | | |
FB Put | | | | | 697 | | | | | | 13.82% | | |
FB Call | | | | | 594 | | | | | | 11.77% | | |
BRK/B Put | | | | | 562 | | | | | | 11.14% | | |
GOOGL Put | | | | | 559 | | | | | | 11.08% | | |
GOOG Put | | | | | 546 | | | | | | 10.83% | | |
GOOGL Call | | | | | 493 | | | | | | 9.77% | | |
GOOG Call | | | | | 478 | | | | | | 9.47% | | |
JPM Put | | | | | 426 | | | | | | 8.45% | | |
V Put | | | | | 418 | | | | | | 8.28% | | |
BRK/B Call | | | | | 417 | | | | | | 8.26% | | |
JNJ Put | | | | | 412 | | | | | | 8.17% | | |
PG Put | | | | | 406 | | | | | | 8.05% | | |
JNJ Call | | | | | 356 | | | | | | 7.05% | | |
UNH Put | | | | | 339 | | | | | | 6.72% | | |
NVDA Call | | | | | 337 | | | | | | 6.68% | | |
NVDA Put | | | | | 320 | | | | | | 6.33% | | |
JPM Call | | | | | 318 | | | | | | 6.30% | | |
HD Put | | | | | 308 | | | | | | 6.10% | | |
DIS Call | | | | | 301 | | | | | | 5.96% | | |
V Call | | | | | 300 | | | | | | 5.95% | | |
DIS Put | | | | | 291 | | | | | | 5.78% | | |
VZ Put | | | | | 280 | | | | | | 5.54% | | |
HD Call | | | | | 265 | | | | | | 5.26% | | |
UNH Call | | | | | 265 | | | | | | 5.24% | | |
PG Call | | | | | 260 | | | | | | 5.15% | | |
CMCSA Put | | | | | 258 | | | | | | 5.11% | | |
PFE Call | | | | | 257 | | | | | | 5.10% | | |
PYPL Put | | | | | 257 | | | | | | 5.08% | | |
ADBE Put | | | | | 254 | | | | | | 5.04% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
KO Put | | | | | 253 | | | | | | 5.01% | | |
PYPL Call | | | | | 253 | | | | | | 5.01% | | |
BAC Put | | | | | 247 | | | | | | 4.90% | | |
CRM Put | | | | | 247 | | | | | | 4.89% | | |
TSLA Call | | | | | 239 | | | | | | 4.74% | | |
NFLX Call | | | | | 234 | | | | | | 4.64% | | |
ABT Put | | | | | 234 | | | | | | 4.63% | | |
CRM Call | | | | | 226 | | | | | | 4.48% | | |
PEP Put | | | | | 224 | | | | | | 4.44% | | |
ETF | | | | | | | | | | | | | |
SPY | | | | | 2,761 | | | | | | 54.71% | | |
Common Stock | | | | | | | | | | | | | |
AAPL | | | | | (779) | | | | | | -15.44% | | |
MSFT | | | | | (246) | | | | | | -4.87% | | |
AMZN | | | | | (227) | | | | | | -4.50% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Deutsche Bank Duration Bias US | | | | | (7,512) | | | | | | -17.22% | | |
Deutsche Bank Duration Bias EU | | | | | 5,913 | | | | | | 13.56% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Forwards | | | | | | | | | | | | | |
USD/ZAR 1MO | | | | | 4,734 | | | | | | 39.66% | | |
USD/INR 1MO | | | | | 3,608 | | | | | | 30.23% | | |
USD/CZK 1MO | | | | | (3,411) | | | | | | -28.58% | | |
USD/CNH 1MO | | | | | 2,695 | | | | | | 22.58% | | |
USD/MXN 1MO | | | | | 1,973 | | | | | | 16.53% | | |
USD/NOK 1MO | | | | | (1,911) | | | | | | -16.01% | | |
USD/SEK 1MO | | | | | 1,779 | | | | | | 14.90% | | |
EUR/USD 1MO | | | | | 1,690 | | | | | | 14.16% | | |
USD/SGD 1MO | | | | | (1,587) | | | | | | -13.30% | | |
USD/JPY 1MO | | | | | 1,509 | | | | | | 12.64% | | |
USD/KRW 1MO | | | | | 1,498 | | | | | | 12.55% | | |
USD/CLP 1MO | | | | | 1,291 | | | | | | 10.82% | | |
USD/CAD 1MO | | | | | 905 | | | | | | 7.58% | | |
USD/PHP 1MO | | | | | 856 | | | | | | 7.18% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
AUD/USD 1MO | | | | | (744) | | | | | | -6.23% | | |
GBP/USD 1MO | | | | | (653) | | | | | | -5.47% | | |
USD/BRL 1MO | | | | | 593 | | | | | | 4.96% | | |
USD/CHF 1MO | | | | | 491 | | | | | | 4.11% | | |
USD/HUF 1MO | | | | | (410) | | | | | | -3.43% | | |
USD/PLN 1MO | | | | | (408) | | | | | | -3.42% | | |
USD/RUB 1MO | | | | | 341 | | | | | | 2.85% | | |
USD/IDR 1MO | | | | | 270 | | | | | | 2.26% | | |
USD/TWD 1MO | | | | | (228) | | | | | | -1.91% | | |
NZD/USD 1MO | | | | | (82) | | | | | | -0.69% | | |
USD/ILS 1MO | | | | | 77 | | | | | | 0.64% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Options | | | | | | | | | | | | | |
SPX European Call Option | | | | | 18,397 | | | | | | 239.77% | | |
AAPL American Call Option | | | | | (1,214) | | | | | | -15.83% | | |
AMZN American Call Option | | | | | (795) | | | | | | -10.37% | | |
PFE American Call Option | | | | | (614) | | | | | | -8.01% | | |
MSFT American Call Option | | | | | (594) | | | | | | -7.75% | | |
FB American Call Option | | | | | (557) | | | | | | -7.26% | | |
GOOGL American Call Option | | | | | (540) | | | | | | -7.04% | | |
WFC American Call Option | | | | | (498) | | | | | | -6.49% | | |
FDX American Call Option | | | | | (467) | | | | | | -6.09% | | |
MU American Call Option | | | | | (412) | | | | | | -5.37% | | |
NKE American Call Option | | | | | (397) | | | | | | -5.17% | | |
ACN American Call Option | | | | | (390) | | | | | | -5.09% | | |
JNJ American Call Option | | | | | (382) | | | | | | -4.99% | | |
DIS American Call Option | | | | | (373) | | | | | | -4.87% | | |
ISRG American Call Option | | | | | (336) | | | | | | -4.38% | | |
COST American Call Option | | | | | (327) | | | | | | -4.27% | | |
PYPL American Call Option | | | | | (320) | | | | | | -4.18% | | |
JPM American Call Option | | | | | (302) | | | | | | -3.94% | | |
CVX American Call Option | | | | | (299) | | | | | | -3.90% | | |
C American Call Option | | | | | (290) | | | | | | -3.78% | | |
CRM American Call Option | | | | | (282) | | | | | | -3.68% | | |
ADBE American Call Option | | | | | (279) | | | | | | -3.63% | | |
AXP American Call Option | | | | | (270) | | | | | | -3.52% | | |
KO American Call Option | | | | | (270) | | | | | | -3.52% | | |
CI American Call Option | | | | | (268) | | | | | | -3.50% | | |
XOM American Call Option | | | | | (260) | | | | | | -3.39% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
LLY American Call Option | | | | | (240) | | | | | | -3.13% | | |
FIS American Call Option | | | | | (226) | | | | | | -2.94% | | |
PG American Call Option | | | | | (220) | | | | | | -2.87% | | |
MS American Call Option | | | | | (202) | | | | | | -2.64% | | |
MCD American Call Option | | | | | (199) | | | | | | -2.59% | | |
HON American Call Option | | | | | (194) | | | | | | -2.53% | | |
AMT American Call Option | | | | | (193) | | | | | | -2.51% | | |
TJX American Call Option | | | | | (189) | | | | | | -2.47% | | |
NEE American Call Option | | | | | (186) | | | | | | -2.43% | | |
TMO American Call Option | | | | | (178) | | | | | | -2.32% | | |
ORCL American Call Option | | | | | (176) | | | | | | -2.29% | | |
HD American Call Option | | | | | (173) | | | | | | -2.26% | | |
AVGO American Call Option | | | | | (168) | | | | | | -2.19% | | |
DHR American Call Option | | | | | (166) | | | | | | -2.16% | | |
INTC American Call Option | | | | | (161) | | | | | | -2.10% | | |
UPS American Call Option | | | | | (158) | | | | | | -2.06% | | |
NFLX American Call Option | | | | | (158) | | | | | | -2.06% | | |
NVDA American Call Option | | | | | (157) | | | | | | -2.05% | | |
LOW American Call Option | | | | | (152) | | | | | | -1.98% | | |
MDT American Call Option | | | | | (140) | | | | | | -1.82% | | |
UNH American Call Option | | | | | (139) | | | | | | -1.81% | | |
SBUX American Call Option | | | | | (137) | | | | | | -1.79% | | |
RTX American Call Option | | | | | (130) | | | | | | -1.69% | | |
Cash | | | | | | | | | | | | | |
USD | | | | | 268 | | | | | | 3.50% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Options | | | | | | | | | | | | | |
SPX European Call Option | | | | | 16,592 | | | | | | 362.29% | | |
SPX European Put Option | | | | | 0 | | | | | | 0.00% | | |
Forwards | | | | | | | | | | | | | |
SPX EQ Forward | | | | | (14,602) | | | | | | -318.84% | | |
Cash | | | | ||||||||||
USD | | | | | (403) | | | | | | -8.79% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Sunrun Inc | | | | | (3,314) | | | | | | (230) | | | | | | -2.20% | | |
Alcoa Corp | | | | | (9,477) | | | | | | (218) | | | | | | -2.09% | | |
Spirit AeroSystems Holdings In | | | | | (5,588) | | | | | | (218) | | | | | | -2.09% | | |
American Tower Corp | | | | | (964) | | | | | | (216) | | | | | | -2.07% | | |
NextEra Energy Inc | | | | | (2,804) | | | | | | (216) | | | | | | -2.07% | | |
Equinix Inc | | | | | (301) | | | | | | (215) | | | | | | -2.06% | | |
Fortive Corp | | | | | (3,025) | | | | | | (214) | | | | | | -2.05% | | |
PG&E Corp | | | | | (17,196) | | | | | | (214) | | | | | | -2.05% | | |
SBA Communications Corp | | | | | (759) | | | | | | (214) | | | | | | -2.05% | | |
Crown Holdings Inc | | | | | (2,128) | | | | | | (213) | | | | | | -2.04% | | |
Sensata Technologies Holding P | | | | | (4,043) | | | | | | (213) | | | | | | -2.04% | | |
IHS Markit Ltd | | | | | (2,362) | | | | | | (212) | | | | | | -2.03% | | |
Invitation Homes Inc | | | | | (7,144) | | | | | | (212) | | | | | | -2.03% | | |
Host Hotels & Resorts Inc | | | | | (14,431) | | | | | | (211) | | | | | | -2.02% | | |
Southwest Airlines Co | | | | | (4,530) | | | | | | (211) | | | | | | -2.02% | | |
American Water Works Co Inc | | | | | (1,369) | | | | | | (210) | | | | | | -2.01% | | |
Carrier Global Corp | | | | | (5,570) | | | | | | (210) | | | | | | -2.01% | | |
Weyerhaeuser Co | | | | | (6,266) | | | | | | (210) | | | | | | -2.01% | | |
TransUnion | | | | | (2,107) | | | | | | (209) | | | | | | -2.00% | | |
Acuity Brands Inc | | | | | (1,718) | | | | | | (208) | | | | | | -1.99% | | |
Cheniere Energy Inc | | | | | (3,465) | | | | | | (208) | | | | | | -1.99% | | |
General Electric Co | | | | | (18,872) | | | | | | (204) | | | | | | -1.95% | | |
National Oilwell Varco Inc | | | | | (14,844) | | | | | | (204) | | | | | | -1.95% | | |
Marathon Oil Corp | | | | | (30,400) | | | | | | (203) | | | | | | -1.94% | | |
American Homes 4 Rent | | | | | (6,654) | | | | | | (200) | | | | | | -1.91% | | |
TechnipFMC PLC | | | | | (21,015) | | | | | | (198) | | | | | | -1.89% | | |
Halliburton Co | | | | | (10,452) | | | | | | (198) | | | | | | -1.89% | | |
United States Steel Corp | | | | | (11,717) | | | | | | (196) | | | | | | -1.88% | | |
Boeing Co/The | | | | | (913) | | | | | | (195) | | | | | | -1.87% | | |
Textron Inc | | | | | (4,044) | | | | | | (195) | | | | | | -1.87% | | |
Hexcel Corp | | | | | (3,966) | | | | | | (192) | | | | | | -1.84% | | |
Axalta Coating Systems Ltd | | | | | (6,699) | | | | | | (191) | | | | | | -1.83% | | |
TransDigm Group Inc | | | | | (309) | | | | | | (191) | | | | | | -1.83% | | |
Mosaic Co/The | | | | | (7,813) | | | | | | (180) | | | | | | -1.72% | | |
Targa Resources Corp | | | | | (6,339) | | | | | | (167) | | | | | | -1.60% | | |
Ovintiv Inc | | | | | (11,573) | | | | | | (166) | | | | | | -1.59% | | |
Alaska Air Group Inc | | | | | (3,136) | | | | | | (163) | | | | | | -1.56% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Berry Global Group Inc | | | | | (2,846) | | | | | | (160) | | | | | | -1.53% | | |
Continental Resources Inc/OK | | | | | (9,169) | | | | | | (149) | | | | | | -1.43% | | |
JetBlue Airways Corp | | | | | (9,632) | | | | | | (140) | | | | | | -1.34% | | |
Prologis Inc | | | | | (1,269) | | | | | | (126) | | | | | | -1.21% | | |
Apache Corp | | | | | (8,471) | | | | | | (120) | | | | | | -1.15% | | |
American Airlines Group Inc | | | | | (7,423) | | | | | | (117) | | | | | | -1.12% | | |
AMETEK Inc | | | | | (907) | | | | | | (110) | | | | | | -1.05% | | |
Verisk Analytics Inc | | | | | (503) | | | | | | (105) | | | | | | -1.00% | | |
Summit Materials Inc | | | | | (5,049) | | | | | | (101) | | | | | | -0.97% | | |
Jacobs Engineering Group Inc | | | | | (921) | | | | | | (100) | | | | | | -0.96% | | |
HEICO Corp | | | | | (734) | | | | | | (97) | | | | | | -0.93% | | |
Wabtec Corp | | | | | (1,271) | | | | | | (93) | | | | | | -0.89% | | |
Concho Resources Inc | | | | | (1,558) | | | | | | (91) | | | | | | -0.87% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Ambu A/S | | | | | (1,149) | | | | | | (50) | | | | | | -0.58% | | |
IAC/InterActiveCorp | | | | | 260 | | | | | | 49 | | | | | | 0.58% | | |
Siemens Energy AG | | | | | 1,319 | | | | | | 48 | | | | | | 0.57% | | |
Capital One Financial Corp | | | | | (464) | | | | | | (46) | | | | | | -0.54% | | |
JD Sports Fashion PLC | | | | | (3,883) | | | | | | (46) | | | | | | -0.54% | | |
Synchrony Financial | | | | | (1,312) | | | | | | (46) | | | | | | -0.53% | | |
Hilton Worldwide Holdings Inc | | | | | 408 | | | | | | 45 | | | | | | 0.53% | | |
Enphase Energy Inc | | | | | (258) | | | | | | (45) | | | | | | -0.53% | | |
Booking Holdings Inc | | | | | 20 | | | | | | 45 | | | | | | 0.53% | | |
KeyCorp | | | | | (2,753) | | | | | | (45) | | | | | | -0.53% | | |
Ally Financial Inc | | | | | (1,265) | | | | | | (45) | | | | | | -0.53% | | |
DISH Network Corp | | | | | (1,392) | | | | | | (45) | | | | | | -0.53% | | |
First Quantum Minerals Ltd | | | | | (2,506) | | | | | | (45) | | | | | | -0.53% | | |
Natixis SA | | | | | (13,171) | | | | | | (45) | | | | | | -0.53% | | |
ViacomCBS Inc | �� | | | | (1,204) | | | | | | (45) | | | | | | -0.53% | | |
Coca-Cola European Partners PL | | | | | (899) | | | | | | (45) | | | | | | -0.53% | | |
Voya Financial Inc | | | | | 761 | | | | | | 45 | | | | | | 0.52% | | |
Discover Financial Services | | | | | (494) | | | | | | (45) | | | | | | -0.52% | | |
Nitto Denko Corp | | | | | 500 | | | | | | 45 | | | | | | 0.52% | | |
Phillips 66 | | | | | 638 | | | | | | 45 | | | | | | 0.52% | | |
Intel Corp | | | | | (895) | | | | | | (45) | | | | | | -0.52% | | |
Ross Stores Inc | | | | | 362 | | | | | | 45 | | | | | | 0.52% | | |
Aptiv PLC | | | | | (342) | | | | | | (45) | | | | | | -0.52% | | |
Citizens Financial Group Inc | | | | | (1,241) | | | | | | (44) | | | | | | -0.52% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Sysmex Corp | | | | | 369 | | | | | | 44 | | | | | | 0.52% | | |
UDR Inc | | | | | 1,152 | | | | | | 44 | | | | | | 0.52% | | |
Berkshire Hathaway Inc | | | | | 191 | | | | | | 44 | | | | | | 0.52% | | |
AES Corp/VA | | | | | (1,883) | | | | | | (44) | | | | | | -0.52% | | |
Astellas Pharma Inc | | | | | 2,864 | | | | | | 44 | | | | | | 0.52% | | |
Western Digital Corp | | | | | (798) | | | | | | (44) | | | | | | -0.52% | | |
Starbucks Corp | | | | | 413 | | | | | | 44 | | | | | | 0.52% | | |
Kansai Paint Co Ltd | | | | | 1,436 | | | | | | 44 | | | | | | 0.52% | | |
Tesco PLC | | | | | 13,962 | | | | | | 44 | | | | | | 0.52% | | |
Ameriprise Financial Inc | | | | | (227) | | | | | | (44) | | | | | | -0.52% | | |
Ryohin Keikaku Co Ltd | | | | | (2,163) | | | | | | (44) | | | | | | -0.52% | | |
Cadence Design Systems Inc | | | | | 323 | | | | | | 44 | | | | | | 0.52% | | |
ON Semiconductor Corp | | | | | (1,346) | | | | | | (44) | | | | | | -0.52% | | |
Nasdaq Inc | | | | | 332 | | | | | | 44 | | | | | | 0.52% | | |
Nissin Foods Holdings Co Ltd | | | | | 514 | | | | | | 44 | | | | | | 0.52% | | |
Brown & Brown Inc | | | | | 928 | | | | | | 44 | | | | | | 0.52% | | |
TE Connectivity Ltd | | | | | 363 | | | | | | 44 | | | | | | 0.52% | | |
Lincoln National Corp | | | | | (873) | | | | | | (44) | | | | | | -0.52% | | |
Zebra Technologies Corp | | | | | 114 | | | | | | 44 | | | | | | 0.52% | | |
EPAM Systems Inc | | | | | (123) | | | | | | (44) | | | | | | -0.51% | | |
IDEXX Laboratories Inc | | | | | 88 | | | | | | 44 | | | | | | 0.51% | | |
Comcast Corp | | | | | 838 | | | | | | 44 | | | | | | 0.51% | | |
Danske Bank A/S | | | | | 2,652 | | | | | | 44 | | | | | | 0.51% | | |
Vifor Pharma AG | | | | | (279) | | | | | | (44) | | | | | | -0.51% | | |
Royal Caribbean Cruises Ltd | | | | | (587) | | | | | | (44) | | | | | | -0.51% | | |
Merck & Co Inc | | | | | 536 | | | | | | 44 | | | | | | 0.51% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Nielsen Holdings PLC | | | | | 11,292 | | | | | | 236 | | | | | | 2.15% | | |
CH Robinson Worldwide Inc | | | | | 2,452 | | | | | | 230 | | | | | | 2.10% | | |
Olin Corp | | | | | 9,373 | | | | | | 230 | | | | | | 2.10% | | |
Eaton Corp PLC | | | | | 1,898 | | | | | | 228 | | | | | | 2.08% | | |
LyondellBasell Industries NV | | | | | 2,487 | | | | | | 228 | | | | | | 2.08% | | |
Dow Inc | | | | | 4,088 | | | | | | 227 | | | | | | 2.07% | | |
Amcor PLC | | | | | 19,185 | | | | | | 226 | | | | | | 2.06% | | |
Cummins Inc | | | | | 989 | | | | | | 225 | | | | | | 2.05% | | |
International Paper Co | | | | | 4,497 | | | | | | 224 | | | | | | 2.04% | | |
PPL Corp | | | | | 7,930 | | | | | | 224 | | | | | | 2.04% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
United Parcel Service Inc | | | | | 1,328 | | | | | | 224 | | | | | | 2.04% | | |
Iron Mountain Inc | | | | | 7,548 | | | | | | 223 | | | | | | 2.03% | | |
3M Co | | | | | 1,267 | | | | | | 221 | | | | | | 2.02% | | |
Lockheed Martin Corp | | | | | 621 | | | | | | 220 | | | | | | 2.01% | | |
FirstEnergy Corp | | | | | 7,055 | | | | | | 216 | | | | | | 1.97% | | |
Renewable Energy Group Inc | | | | | 3,034 | | | | | | 215 | | | | | | 1.96% | | |
General Dynamics Corp | | | | | 1,436 | | | | | | 214 | | | | | | 1.95% | | |
Vornado Realty Trust | | | | | 5,724 | | | | | | 214 | | | | | | 1.95% | | |
Simon Property Group Inc | | | | | 2,468 | | | | | | 210 | | | | | | 1.92% | | |
Omega Healthcare Investors Inc | | | | | 5,704 | | | | | | 207 | | | | | | 1.89% | | |
ONEOK Inc | | | | | 5,369 | | | | | | 206 | | | | | | 1.88% | | |
Chemours Co/The | | | | | 8,224 | | | | | | 204 | | | | | | 1.86% | | |
Macerich Co/The | | | | | 19,005 | | | | | | 203 | | | | | | 1.85% | | |
Williams Cos Inc/The | | | | | 9,950 | | | | | | 199 | | | | | | 1.82% | | |
ManpowerGroup Inc | | | | | 2,188 | | | | | | 197 | | | | | | 1.80% | | |
Park Hotels & Resorts Inc | | | | | 11,249 | | | | | | 193 | | | | | | 1.76% | | |
Robert Half International Inc | | | | | 3,088 | | | | | | 193 | | | | | | 1.76% | | |
Maxar Technologies Inc | | | | | 4,886 | | | | | | 189 | | | | | | 1.72% | | |
Johnson Controls International | | | | | 3,906 | | | | | | 182 | | | | | | 1.66% | | |
CNX Resources Corp | | | | | 16,138 | | | | | | 174 | | | | | | 1.59% | | |
Hubbell Inc | | | | | 1,105 | | | | | | 173 | | | | | | 1.58% | | |
Huntington Ingalls Industries | | | | | 958 | | | | | | 163 | | | | | | 1.49% | | |
Antero Resources Corp | | | | | 28,359 | | | | | | 155 | | | | | | 1.41% | | |
Antero Midstream GP LP | | | | | 18,909 | | | | | | 146 | | | | | | 1.33% | | |
OGE Energy Corp | | | | | 4,301 | | | | | | 137 | | | | | | 1.25% | | |
Saia Inc | | | | | 752 | | | | | | 136 | | | | | | 1.24% | | |
Upwork Inc | | | | | 3,874 | | | | | | 134 | | | | | | 1.22% | | |
CF Industries Holdings Inc | | | | | 3,256 | | | | | | 126 | | | | | | 1.15% | | |
MGM Growth Properties LLC | | | | | 3,922 | | | | | | 123 | | | | | | 1.12% | | |
Equitrans Midstream Corp | | | | | 15,133 | | | | | | 122 | | | | | | 1.11% | | |
Plains GP Holdings LP | | | | | 14,399 | | | | | | 122 | | | | | | 1.11% | | |
Spirit Realty Capital Inc | | | | | 3,029 | | | | | | 122 | | | | | | 1.11% | | |
Sabra Health Care REIT Inc | | | | | 6,500 | | | | | | 113 | | | | | | 1.03% | | |
Fluor Corp | | | | | 6,658 | | | | | | 106 | | | | | | 0.97% | | |
Fastenal Co | | | | | 2,110 | | | | | | 103 | | | | | | 0.94% | | |
Helmerich & Payne Inc | | | | | 4,402 | | | | | | 102 | | | | | | 0.93% | | |
Eastman Chemical Co | | | | | 1,006 | | | | | | 101 | | | | | | 0.92% | | |
SL Green Realty Corp | | | | | 1,645 | | | | | | 101 | | | | | | 0.92% | | |
Atlas Air Worldwide Holdings I | | | | | 1,829 | | | | | | 100 | | | | | | 0.91% | | |
Trinseo SA | | | | | 1,884 | | | | | | 96 | | | | | | 0.88% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
S&P 500 Index | | | | | 891 | | | | | | 10.23% | | |
iPath Series B S&P 500 VIX Short-Term Futures ETN | | | | | 376 | | | | | | 4.32% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
S&P 500 Total Return Index | | | | | (7,169) | | | | | | -95.62% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Foreign Currency | | | | | | | | | | | | | |
AUSTRALIAN DOLLAR | | | | | (2,319) | | | | | | -17.37% | | |
JAPANESE YEN | | | | | 1,571 | | | | | | 11.76% | | |
SWEDISH KRONA | | | | | (1,409) | | | | | | -10.55% | | |
NORWEGIAN KRONE | | | | | (1,364) | | | | | | -10.22% | | |
CANADIAN DOLLAR | | | | | 864 | | | | | | 6.47% | | |
SWISS FRANC | | | | | 744 | | | | | | 5.57% | | |
EURO | | | | | 673 | | | | | | 5.04% | | |
NEW ZEALAND DOLLAR | | | | | (645) | | | | | | -4.83% | | |
BRITISH POUND | | | | | (565) | | | | | | -4.23% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
S&P 500 Index | | | | | (4,040) | | | | | | -50.92% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Derivative | | | | | | | | | | | | | |
1y Forward 5y20y Straddle | | | | | 15,334 | | | | | | 61.54% | | |
1y Forward 3y7y Straddle | | | | | 5,271 | | | | | | 21.15% | | |
1y Forward 1y7y Straddle | | | | | 2,875 | | | | | | 11.54% | | |
1y Forward 10y20y Straddle | | | | | 479 | | | | | | 1.92% | | |
1y Forward 1y3y Straddle | | | | | 479 | | | | | | 1.92% | | |
1y Forward 7y3y Straddle | | | | | 479 | | | | | | 1.92% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Yield | | | Number of Shares | | | Cost | | | Fair Value(b) | | |||||||||
Short-Term Investments – 99.2% | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Institutional Liquid Reserves Fund – Premier Class | | | (c) | | | 0.10% | | | | | 2,060,470 | | | | | $ | 2,061 | | | | | $ | 2,061 | | |
Total Short-Term Investments | | | | | | | | | | | | | | | | | 2,061 | | | | | | 2,061 | | |
TOTAL INVESTMENTS – 99.2% | | | | | | | | | | | | | | | | $ | 2,061 | | | | | | 2,061 | | |
Other Assets in Excess of Liabilities – 0.8% | | | | | | | | | | | | | | | | | | | | | | | 17 | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | | | | $ | 2,078 | | |
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(b) | | | Unrealized Appreciation | | | Unrealized Depreciation | | | ||||||||||||||||||||
Barclays Bank PLC | | | Fixed Rate of 0.50% | | | Total return on Barclays Month End Rebalancing Currency Index(e) | | | USD 343 | | | | | 2/5/21 | | | | | | Quarterly | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | ||
Barclays Bank PLC | | | Fixed Rate of 0.66% | | | Total Return on Barclays Equity Asset Momentum Pair-Basket Index (f) | | | USD 328 | | | | | 10/1/21 | | | | | | Quarterly | | | | | | — | | | | | | 3 | | | | | | 3 | | | | | | — | | | | ||
Barclays Bank PLC | | | Fixed Rate of 0.35% | | | Total return on Barclays Equity Intraday Momentum Index(g) | | | USD 540 | | | | | 11/24/21 | | | | | | Quarterly | | | | | | — | | | | | | (5) | | | | | | — | | | | | | 5 | | | | | |
BNP Paribas | | | Fixed Rate of 0.10% | | | Total return on BNP Paribas Artificial Intelligence Trend ex-Commo USD 2019 Index(h) | | | USD 595 | | | | | 5/11/21 | | | | | | Quarterly | | | | | | — | | | | | | 16 | | | | | | 16 | | | | | | — | | | | ||
Deutsche Bank | | | 0% | | | Total return on Deutsche Bank Diversified Rates Strategy Index 008(i) | | | USD 437 | | | | | 6/15/21 | | | | | | Quarterly | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | ||
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs Cross Asset Trend Basket Series 11 Excess Return Strategy Index(j) | | | USD 1,038 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | 59 | | | | | | 59 | | | | | | — | | | | ||
JP Morgan Chase Bank, N.A | | | 0% | | | Total return on JPM FX Momentum(k) | | | USD 270 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | (7) | | | | | | — | | | | | | 7 | | | | | |
JP Morgan Chase Bank, N.A | | | Fixed Rate of 0.25% | | | Total return on JP Morgan Correlation Spread Index(l) | | | USD 221 | | | | | 6/28/21 | | | | | | Quarterly | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | ||
JP Morgan Chase Bank, N.A | | | Fixed Rate of 0.04% | | | Total return on JP Morgan Equity Risk Premium – Global Pure Low Vol L/S USD Index(m) | | | USD 297 | | | | | 6/29/21 | | | | | | Quarterly | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | ||
JP Morgan Chase Bank, N.A. | | | Fixed Rate of 0.20% | | | Total return JPM Bi-Weekly 1 Month Variance US Conviction Mean Reversion Index(n) | | | USD 445 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | (4) | | | | | | — | | | | | | 4 | | | | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(b) | | | Unrealized Appreciation | | | Unrealized Depreciation | | ||||||||||||||||||
Nomura Securities Co., Ltd | | | Fixed Rate of 0.15% | | | Total return on Nomura G10 All Currencies Mean Reversion Index(o) | | | USD 300 | | | | | 1/4/21 | | | | | | Quarterly | | | | | $ | — | | | | | $ | 3 | | | | | $ | 3 | | | | | $ | — | | |
Total Total Return Index Swaps | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | 65 | | | | | $ | 81 | | | | | $ | 16 | | |
|
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Cash | | | | | | | | | | | | | |
US DOLLAR | | | | | 343 | | | | | | 100.00% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Callon Petroleum Co | | | | | 427 | | | | | | 6 | | | | | | 1.70% | | |
Kohl’s Corp | | | | | 126 | | | | | | 5 | | | | | | 1.55% | | |
AdaptHealth Corp | | | | | 136 | | | | | | 5 | | | | | | 1.54% | | |
Tesla Inc | | | | | (7) | | | | | | (5) | | | | | | -1.53% | | |
Allegheny Technologies Inc | | | | | 301 | | | | | | 5 | | | | | | 1.53% | | |
Endo International PLC | | | | | 700 | | | | | | 5 | | | | | | 1.52% | | |
Warrior Met Coal Inc | | | | | (233) | | | | | | (5) | | | | | | -1.50% | | |
Nordstrom Inc | | | | | 157 | | | | | | 5 | | | | | | 1.48% | | |
United States Steel Corp | | | | | 286 | | | | | | 5 | | | | | | 1.45% | | |
Royalty Pharma PLC | | | | | 95 | | | | | | 5 | | | | | | 1.44% | | |
WEX Inc | | | | | (23) | | | | | | (5) | | | | | | -1.44% | | |
Cadence Design Systems Inc | | | | | (35) | | | | | | (5) | | | | | | -1.44% | | |
Sinclair Broadcast Group Inc | | | | | 149 | | | | | | 5 | | | | | | 1.43% | | |
G-III Apparel Group Ltd | | | | | 199 | | | | | | 5 | | | | | | 1.43% | | |
Twitter Inc | | | | | (87) | | | | | | (5) | | | | | | -1.43% | | |
Eli Lilly & Co | | | | | 28 | | | | | | 5 | | | | | | 1.42% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Vista Outdoor Inc | | | | | (197) | | | | | | (5) | | | | | | -1.41% | | |
Spirit AeroSystems Holdings In | | ��� | | | 119 | | | | | | 5 | | | | | | 1.41% | | |
Teck Resources Ltd | | | | | 257 | | | | | | 5 | | | | | | 1.41% | | |
NRG Energy Inc | | | | | (124) | | | | | | (5) | | | | | | -1.41% | | |
FLIR Systems Inc | | | | | 106 | | | | | | 5 | | | | | | 1.41% | | |
Ingevity Corp | | | | | (61) | | | | | | (5) | | | | | | -1.40% | | |
Progressive Corp/The | | | | | 47 | | | | | | 5 | | | | | | 1.39% | | |
Scotts Miracle-Gro Co/The | | | | | (23) | | | | | | (5) | | | | | | -1.39% | | |
Devon Energy Corp | | | | | 290 | | | | | | 5 | | | | | | 1.39% | | |
CINEMARK HOLDINGS INC | | | | | 263 | | | | | | 5 | | | | | | 1.38% | | |
Oracle Corp | | | | | 70 | | | | | | 5 | | | | | | 1.38% | | |
HP Inc | | | | | 185 | | | | | | 5 | | | | | | 1.38% | | |
Wintrust Financial Corp | | | | | (74) | | | | | | (5) | | | | | | -1.38% | | |
Arch Capital Group Ltd | | | | | 126 | | | | | | 5 | | | | | | 1.38% | | |
National Oilwell Varco Inc | | | | | 331 | | | | | | 5 | | | | | | 1.37% | | |
American Airlines Group Inc | | | | | 287 | | | | | | 5 | | | | | | 1.37% | | |
Viatris Inc | | | | | 241 | | | | | | 5 | | | | | | 1.37% | | |
Eagle Materials Inc | | | | | (45) | | | | | | (5) | | | | | | -1.37% | | |
Lear Corp | | | | | 28 | | | | | | 5 | | | | | | 1.37% | | |
Norwegian Cruise Line Holdings | | | | | 177 | | | | | | 5 | | | | | | 1.37% | | |
Nabors Industries Ltd | | | | | 77 | | | | | | 5 | | | | | | 1.36% | | |
Bank of Nova Scotia/The | | | | | (83) | | | | | | (4) | | | | | | -1.36% | | |
Hartford Financial Services Group Inc | | | | | 92 | | | | | | 4 | | | | | | 1.36% | | |
HollyFrontier Corp | | | | | (173) | | | | | | (4) | | | | | | -1.36% | | |
Darden Restaurants Inc | | | | | 38 | | | | | | 4 | | | | | | 1.35% | | |
Methanex Corp | | | | | 97 | | | | | | 4 | | | | | | 1.35% | | |
Macy’s Inc | | | | | 397 | | | | | | 4 | | | | | | 1.35% | | |
Occidental Petroleum Corp | | | | | 257 | | | | | | 4 | | | | | | 1.35% | | |
BMC Stock Holdings Inc | | | | | (83) | | | | | | (4) | | | | | | -1.35% | | |
Kansas City Southern | | | | | 22 | | | | | | 4 | | | | | | 1.35% | | |
M&T Bank Corp | | | | | (35) | | | | | | (4) | | | | | | -1.34% | | |
Levi Strauss & Co | | | | | (221) | | | | | | (4) | | | | | | -1.34% | | |
Edwards Lifesciences Corp | | | | | (48) | | | | | | (4) | | | | | | -1.34% | | |
First Citizens BancShares Inc/NC | | | | | (8) | | | | | | (4) | | | | | | -1.33% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Barclays IDME Strategy Index | | | | | 536 | | | | | | 100.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
BNP Paribas USD 10Y Futures Index | | | | | 607 | | | | | | 99.47% | | |
BNP Paribas JPY 10Y Futures Index | | | | | 298 | | | | | | 48.81% | | |
BNP Paribas Eurozone Equity Futures Index | | | | | 150 | | | | | | 24.64% | | |
BNP Paribas US Equity Futures Index | | | | | 92 | | | | | | 15.04% | | |
BNP Paribas China Equity Futures Index | | | | | 42 | | | | | | 6.86% | | |
BNP Paribas Japan Equity Futures Index | | | | | 31 | | | | | | 5.16% | | |
BNP Paribas EUR 10Y Futures Index | | | | | 29 | | | | | | 4.78% | | |
BNP Paribas Emerging Equities Index | | | | | 13 | | | | | | 2.17% | | |
Cash | | | | | | | | | | | | | |
JAPANESE YEN | | | | | (329) | | | | | | -53.97% | | |
EURO | | | | | (179) | | | | | | -29.28% | | |
US DOLLAR | | | | | (103) | | | | | | -16.83% | | |
HONG KONG DOLLAR | | | | | (42) | | | | | | -6.86% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Deutsche Bank Duration Bias US | | | | | (75) | | | | | | -17.22% | | |
Deutsche Bank Duration Bias EU | | | | | 59 | | | | | | 13.56% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Futures | | | | | | | | | | | | | |
US 2YR NOTE (CBT) Mar21 | | | | | 1,522 | | | | | | 138.71% | | |
90DAY STERLING Sep21 | | | | | 1,159 | | | | | | 105.66% | | |
90DAY STERLING Jun21 | | | | | 1,159 | | | | | | 105.64% | | |
90DAY STERLING Jun22 | | | | | 1,159 | | | | | | 105.60% | | |
90DAY STERLING Mar22 | | | | | 1,159 | | | | | | 105.60% | | |
3MO EURO EURIBOR Mar22 | | | | | 1,157 | | | | | | 105.43% | | |
3MO EURO EURIBOR Jun22 | | | | | 1,157 | | | | | | 105.43% | | |
3MO EURO EURIBOR Sep21 | | | | | 1,157 | | | | | | 105.42% | | |
3MO EURO EURIBOR Jun21 | | | | | 1,157 | | | | | | 105.42% | | |
90DAY EURO$ Jun21 | | | | | 1,133 | | | | | | 103.29% | | |
90DAY EURO$ Sep21 | | | | | 1,133 | | | | | | 103.28% | | |
90DAY EURO$ Mar22 | | | | | 1,133 | | | | | | 103.27% | | |
90DAY EURO$ Jun22 | | | | | 1,133 | | | | | | 103.25% | | |
EURO-BOBL Mar21 | | | | | 613 | | | | | | 55.88% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
US 5YR NOTE (CBT) Mar21 | | | | | 604 | | | | | | 55.02% | | |
EURO-BUND Mar21 | | | | | 306 | | | | | | 27.90% | | |
US 10YR NOTE (CBT)Mar21 | | | | | 302 | | | | | | 27.56% | | |
EURO-SCHATZ Mar21 | | | | | (279) | | | | | | -25.43% | | |
LONG GILT Mar21 | | | | | 196 | | | | | | 17.86% | | |
US LONG BOND(CBT) Mar21 | | | | | (97) | | | | | | -8.81% | | |
JPN 10Y BOND(OSE) Mar21 | | | | | (83) | | | | | | -7.56% | | |
S&P/TSX 60 IX Mar21 | | | | | 62 | | | | | | 5.63% | | |
SWISS MKT IX Mar21 | | | | | 58 | | | | | | 5.24% | | |
TOPIX INDX Mar21 | | | | | 56 | | | | | | 5.07% | | |
SPI 200 Jan21 | | | | | 54 | | | | | | 4.95% | | |
AMSTERDAM IDX Jan21 | | | | | 51 | | | | | | 4.67% | | |
HANG SENG IDX Jan21 | | | | | 51 | | | | | | 4.64% | | |
HSCEI Jan21 | | | | | 51 | | | | | | 4.64% | | |
MSCI EmgMkt Mar21 | | | | | 50 | | | | | | 4.59% | | |
S&P500 EMINI Mar21 | | | | | 50 | | | | | | 4.57% | | |
Forwards | | | | | | | | | | | | | |
USD/PHP 1MO | | | | | 247 | | | | | | 22.55% | | |
USD/SGD 1MO | | | | | 161 | | | | | | 14.68% | | |
USD/INR 1MO | | | | | 153 | | | | | | 13.91% | | |
USD/TWD 1MO | | | | | 136 | | | | | | 12.36% | | |
USD/CNH 1MO | | | | | 110 | | | | | | 10.05% | | |
USD/KRW 1MO | | | | | 110 | | | | | | 10.05% | | |
USD/ILS 1MO | | | | | 101 | | | | | | 9.19% | | |
EUR/USD 1MO | | | | | 86 | | | | | | 7.84% | | |
USD/CHF 1MO | | | | | 86 | | | | | | 7.84% | | |
USD/CAD 1MO | | | | | 81 | | | | | | 7.41% | | |
USD/IDR 1MO | | | | | 80 | | | | | | 7.31% | | |
USD/JPY 1MO | | | | | 76 | | | | | | 6.97% | | |
USD/CZK 1MO | | | | | 58 | | | | | | 5.32% | | |
USD/CLP 1MO | | | | | 58 | | | | | | 5.32% | | |
GBP/USD 1MO | | | | | 57 | | | | | | 5.23% | | |
USD/HUF 1MO | | | | | 53 | | | | | | 4.84% | | |
USD/PLN 1MO | | | | | 53 | | | | | | 4.84% | | |
AUD/USD 1MO | | | | | 53 | | | | | | 4.79% | | |
NZD/USD 1MO | | | | | 53 | | | | | | 4.79% | | |
USD/SEK 1MO | | | | | 53 | | | | | | 4.79% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Foreign Currency | | | | | | | | | | | | | |
HUNGARIAN FORINT | | | | | 85 | | | | | | 32.22% | | |
TURKISH LIRA | | | | | 79 | | | | | | 30.00% | | |
SWEDISH KRONA | | | | | (76) | | | | | | -28.89% | | |
SOUTH AFRICAN RAND | | | | | (76) | | | | | | -28.89% | | |
MEXICAN PESO | | | | | 35 | | | | | | 13.33% | | |
NEW ZEALAND DOLLAR | | | | | (32) | | | | | | -12.22% | | |
CANADIAN DOLLAR | | | | | (32) | | | | | | -12.22% | | |
JAPANESE YEN | | | | | 29 | | | | | | 11.11% | | |
EURO | | | | | (20) | | | | | | -7.78% | | |
POLISH ZLOTY | | | | | 18 | | | | | | 6.67% | | |
RUSSIAN RUBLE | | | | | 6 | | | | | | 2.22% | | |
BRITISH POUND | | | | | (6) | | | | | | -2.22% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
S&P 500 Index | | | | | 23 | | | | | | 10.23% | | |
iPath Series B S&P 500 VIX Short-Term Futures ETN | | | | | 10 | | | | | | 4.32% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Ambu A/S | | | | | (40) | | | | | | (2) | | | | | | -0.58% | | |
IAC/InterActiveCorp | | | | | 9 | | | | | | 2 | | | | | | 0.58% | | |
Siemens Energy AG | | | | | 46 | | | | | | 2 | | | | | | 0.57% | | |
Capital One Financial Corp | | | | | (16) | | | | | | (2) | | | | | | -0.54% | | |
JD Sports Fashion PLC | | | | | (135) | | | | | | (2) | | | | | | -0.54% | | |
Synchrony Financial | | | | | (46) | | | | | | (2) | | | | | | -0.53% | | |
Hilton Worldwide Holdings Inc | | | | | 14 | | | | | | 2 | | | | | | 0.53% | | |
Enphase Energy Inc | | | | | (9) | | | | | | (2) | | | | | | -0.53% | | |
Booking Holdings Inc | | | | | 1 | | | | | | 2 | | | | | | 0.53% | | |
KeyCorp | | | | | (96) | | | | | | (2) | | | | | | -0.53% | | |
Ally Financial Inc | | | | | (44) | | | | | | (2) | | | | | | -0.53% | | |
DISH Network Corp | | | | | (48) | | | | | | (2) | | | | | | -0.53% | | |
First Quantum Minerals Ltd | | | | | (87) | | | | | | (2) | | | | | | -0.53% | | |
Natixis SA | | | | | (458) | | | | | | (2) | | | | | | -0.53% | | |
ViacomCBS Inc | | | | | (42) | | | | | | (2) | | | | | | -0.53% | | |
Coca-Cola European Partners PL | | | | | (31) | | | | | | (2) | | | | | | -0.53% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Voya Financial Inc | | | | | 26 | | | | | | 2 | | | | | | 0.52% | | |
Discover Financial Services | | | | | (17) | | | | | | (2) | | | | | | -0.52% | | |
Nitto Denko Corp | | | | | 17 | | | | | | 2 | | | | | | 0.52% | | |
Phillips 66 | | | | | 22 | | | | | | 2 | | | | | | 0.52% | | |
Intel Corp | | | | | (31) | | | | | | (2) | | | | | | -0.52% | | |
Ross Stores Inc | | | | | 13 | | | | | | 2 | | | | | | 0.52% | | |
Aptiv PLC | | | | | (12) | | | | | | (2) | | | | | | -0.52% | | |
Citizens Financial Group Inc | | | | | (43) | | | | | | (2) | | | | | | -0.52% | | |
Sysmex Corp | | | | | 13 | | | | | | 2 | | | | | | 0.52% | | |
UDR Inc | | | | | 40 | | | | | | 2 | | | | | | 0.52% | | |
Berkshire Hathaway Inc | | | | | 7 | | | | | | 2 | | | | | | 0.52% | | |
AES Corp/VA | | | | | (65) | | | | | | (2) | | | | | | -0.52% | | |
Astellas Pharma Inc | | | | | 99 | | | | | | 2 | | | | | | 0.52% | | |
Western Digital Corp | | | | | (28) | | | | | | (2) | | | | | | -0.52% | | |
Starbucks Corp | | | | | 14 | | | | | | 2 | | | | | | 0.52% | | |
Kansai Paint Co Ltd | | | | | 50 | | | | | | 2 | | | | | | 0.52% | | |
Tesco PLC | | | | | 485 | | | | | | 2 | | | | | | 0.52% | | |
Ameriprise Financial Inc | | | | | (8) | | | | | | (2) | | | | | | -0.52% | | |
Ryohin Keikaku Co Ltd | | | | | (75) | | | | | | (2) | | | | | | -0.52% | | |
Cadence Design Systems Inc | | | | | 11 | | | | | | 2 | | | | | | 0.52% | | |
ON Semiconductor Corp | | | | | (47) | | | | | | (2) | | | | | | -0.52% | | |
Nasdaq Inc | | | | | 12 | | | | | | 2 | | | | | | 0.52% | | |
Nissin Foods Holdings Co Ltd | | | | | 18 | | | | | | 2 | | | | | | 0.52% | | |
Brown & Brown Inc | | | | | 32 | | | | | | 2 | | | | | | 0.52% | | |
TE Connectivity Ltd | | | | | 13 | | | | | | 2 | | | | | | 0.52% | | |
Lincoln National Corp | | | | | (30) | | | | | | (2) | | | | | | -0.52% | | |
Zebra Technologies Corp | | | | | 4 | | | | | | 2 | | | | | | 0.52% | | |
EPAM Systems Inc | | | | | (4) | | | | | | (2) | | | | | | -0.51% | | |
IDEXX Laboratories Inc | | | | | 3 | | | | | | 2 | | | | | | 0.51% | | |
Comcast Corp | | | | | 29 | | | | | | 2 | | | | | | 0.51% | | |
Danske Bank A/S | | | | | 92 | | | | | | 2 | | | | | | 0.51% | | |
Vifor Pharma AG | | | | | (10) | | | | | | (2) | | | | | | -0.51% | | |
Royal Caribbean Cruises Ltd | | | | | (20) | | | | | | (2) | | | | | | -0.51% | | |
Merck & Co Inc | | | | | 19 | | | | | | 2 | | | | | | 0.51% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
S&P 500 Total Return Index | | | | | (422) | | | | | | -95.60% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Foreign Currency | | | | | | | | | | | | | |
AUSTRALIAN DOLLAR | | | | | (53) | | | | | | -17.37% | | |
JAPANESE YEN | | | | | 36 | | | | | | 11.76% | | |
SWEDISH KRONA | | | | | (32) | | | | | | -10.55% | | |
NORWEGIAN KRONE | | | | | (31) | | | | | | -10.22% | | |
CANADIAN DOLLAR | | | | | 20 | | | | | | 6.47% | | |
SWISS FRANC | | | | | 17 | | | | | | 5.57% | | |
EURO | | | | | 15 | | | | | | 5.04% | | |
NEW ZEALAND DOLLAR | | | | | (15) | | | | | | -4.83% | | |
BRITISH POUND | | | | | (13) | | | | | | -4.23% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Principal Amount(b) | | | Amortized Cost | | | Fair Value(c) | | | |||||||||||
Corporate Bonds – 68.2% | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Acadia Healthcare Co., Inc., 5.6%, 2/15/23 | | | | | | Healthcare-Services | | | | $ | 200 | | | | | $ | 202 | | | | | $ | 201 | | | | ||
AECOM, 5.9%, 10/15/24 | | | | | | Engineering & Construction | | | | | 90 | | | | | | 100 | | | | | | 101 | | | | ||
Algeco Global Finance Plc, 8.0%, 2/15/23 | | | (d) | | | Commercial Services | | | | | 125 | | | | | | 128 | | | | | | 128 | | | | ||
Alliance Data Systems Corp., 4.8%, 12/15/24 | | | (d) | | | Diversified Financial Services | | | | | 150 | | | | | | 146 | | | | | | 152 | | | | ||
APX Group, Inc., 8.5%, 11/1/24 | | | | | | Commercial Services | | | | | 150 | | | | | | 159 | | | | | | 158 | | | | ||
BCD Acquisition, Inc., 9.6%, 9/15/23 | | | (d) | | | Auto Manufacturers | | | | | 150 | | | | | | 154 | | | | | | 154 | | | | ||
Bombardier, Inc., 6.0%, 10/15/22 | | | (d) | | | Miscellaneous Manufacturing | | | | | 100 | | | | | | 94 | | | | | | 98 | | | | ||
CenturyLink, Inc., 5.8%, 3/15/22 | | | | | | Telecommunications | | | | | 125 | | | | | | 131 | | | | | | 131 | | | | ||
Cincinnati Bell, Inc., 8.0%, 10/15/25 | | | (d) | | | Telecommunications | | | | | 100 | | | | | | 107 | | | | | | 107 | | | | ||
CITGO Petroleum Corp., 6.3%, 8/15/22 | | | (d) | | | Oil & Gas | | | | | 50 | | | | | | 49 | | | | | | 49 | | | | ||
CITGO Petroleum Corp., 7.0%, 6/15/25 | | | (d) | | | Oil & Gas | | | | | 150 | | | | | | 151 | | | | | | 150 | | | | ||
Colt Merger Sub, Inc., 5.8%, 7/1/25 | | | (d) | | | Entertainment | | | | | 125 | | | | | | 132 | | | | | | 133 | | | | ||
CSC Holdings LLC, 5.3%, 6/1/24 | | | | | | Media Entertainment | | | | | 150 | | | | | | 162 | | | | | | 163 | | | | ||
Diamond Resorts International, Inc., 7.8%, 9/1/23 | | | (d) | | | Lodging | | | | | 150 | | | | | | 153 | | | | | | 154 | | | | ||
eG Global Finance Plc, 6.8%, 2/7/25 | | | (d) | | | Retail | | | | | 102 | | | | | | 106 | | | | | | 105 | | | | ||
eG Global Finance Plc, 8.5%, 10/30/25 | | | (d) | | | Retail | | | | | 150 | | | | | | 161 | | | | | | 159 | | | | ||
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25 | | | (d) | | | Real Estate | | | | | 150 | | | | | | 158 | | | | | | 159 | | | | ||
Ford Motor Credit Co. LLC, 5.1%, 6/16/25 | | | | | | Auto Manufacturers | | | | | 150 | | | | | | 163 | | | | | | 163 | | | | ||
Ford Motor Credit Co. LLC, 3.4%, 11/17/23 | | | | | | Auto Manufacturers | | | | | 150 | | | | | | 152 | | | | | | 153 | | | | ||
Goodyear Tire & Rubber Co., 5.1%, 11/15/23 | | | | | | Auto Parts & Equipment | | | | | 105 | | | | | | 105 | | | | | | 105 | | | | ||
IRB Holding Corp., 7.0%, 6/15/25 | | | (d) | | | Retail | | | | | 125 | | | | | | 136 | | | | | | 137 | | | | ||
Kronos Acquisition Holdings, Inc., 9.0%, 8/15/23 | | | (d) | | | Household Products/ Wares | | | | | 90 | | | | | | 93 | | | | | | 92 | | | | ||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.3%, 3/15/22 | | | (d) | | | Real Estate Investment Trusts | | | | | 145 | | | | | | 146 | | | | | | 146 | | | | ||
New Home Co., Inc., 7.3%, 10/15/25 | | | (d) | | | Home Builders | | | | | 75 | | | | | | 77 | | | | | | 77 | | | | ||
Nexteer Automotive Group Ltd., 5.9%, 11/15/21 | | | (d) | | | Auto Parts & Equipment | | | | | 23 | | | | | | 23 | | | | | | 23 | | | | ||
Nielsen Finance LLC / Nielsen Finance Co., 5.0%, 4/15/22 | | | (d) | | | Commercial Services | | | | | 168 | | | | | | 169 | | | | | | 169 | | | | ||
Pactiv LLC , 8.0%, 12/15/25 | | | | | | Packaging & Containers | | | | | 75 | | | | | | 84 | | | | | | 86 | | | | ||
Prime Healthcare Services, Inc., 7.3%, 11/1/25 | | | (d) | | | Healthcare-Services | | | | | 75 | | | | | | 78 | | | | | | 80 | | | | ||
Prime Security Services Borrower LLC / Prime Finance, Inc., 5.8%, 4/15/26 | | | (d) | | | Commercial Services | | | | | 150 | | | | | | 164 | | | | | | 164 | | | | ||
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25 | | | (d) | | | Airlines | | | | | 125 | | | | | | 139 | | | | | | 141 | | | | ||
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.6%, 3/1/24 | | | (d) | | | Home Builders | | | | | 150 | | | | | | 162 | | | | | | 161 | | | | ||
Vector Group Ltd., 6.1%, 2/1/25 | | | (d) | | | Agriculture | | | | | 100 | | | | | | 101 | | | | | | 102 | | | | ||
VeriSign, Inc., 4.6%, 5/1/23 | | | | | | Internet | | | | | 125 | | | | | | 126 | | | | | | 126 | | | | ||
Welbilt, Inc., 9.5%, 2/15/24 | | | | | | Machinery-Diversified | | | | | 155 | | | | | | 160 | | | | | | 161 | | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Industry | | | Principal Amount(b) | | | Amortized Cost | | | Fair Value(c) | | |||||||||
WESCO Distribution, Inc., 5.4%, 12/15/21 | | | | | | Electrical Components & Equipment | | | | $ | 10 | | | | | $ | 10 | | | | | $ | 10 | | |
XHR LP, 6.4%, 8/15/25 | | | (d) | | | Real Estate Investment Trusts | | | | | 75 | | | | | | 78 | | | | | | 79 | | |
XPO Logistics, Inc., 6.5%, 6/15/22 | | | (d) | | | Transportation | | | | | 250 | | | | | | 248 | | | | | | 251 | | |
Total Corporate Bonds | | | | | | | | | | | | | | | | | 4,707 | | | | | | 4,728 | | |
|
Portfolio Company(a) | | | Footnotes | | | Yield | | | Number of Shares | | | Cost | | | Fair Value(c) | | |||||||||
Short-Term Investments – 27.7% | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Institutional Liquid Reserves Fund – Premier Class | | | (e) | | | 0.10% | | | | | 1,920,654 | | | | | $ | 1,921 | | | | | $ | 1,921 | | |
Total Short-Term Investments | | | | | | | | | | | | | | | | | 1,921 | | | | | | 1,921 | | |
TOTAL INVESTMENTS – 95.9% | | | | | | | | | | | | | | | | $ | 6,628 | | | | | | 6,649 | | |
Other Assets in Excess of Liabilities – 4.1% | | | | | | | | | | | | | | | | | | | | | | | 281 | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | | | | $ | 6,930 | | |
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(c) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
BNP Paribas | | | 3 Month LIBOR + 0.20% | | | Total return on BNP Long Sustainable Dividend Basket Index(g) | | | USD 887 | | | | | 6/28/21 | | | | Quarterly | | | | $ | — | | | | | $ | 7 | | | | | $ | 7 | | | | | $ | — | | |
BNP Paribas | | | Total return on BNP Short Sustainable Basket Index(h) | | | 3 Month LIBOR – 0.06% | | | USD 760 | | | | | 6/28/21 | | | | Quarterly | | | | | — | | | | | | (7) | | | | | | — | | | | | | 7 | | |
Deutsche Bank | | | Fixed Rate of 0.00% | | | Total return on Deutsche Bank Cross Asset Carry USD Index Ex Commodities(i) | | | USD 1,776 | | | | | 12/31/21 | | | | Quarterly | | | | | — | | | | | | (1) | | | | | | — | | | | | | 1 | | |
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total Return on Goldman Sachs Macro Index CA02(j) | | | USD 1,048 | | | | | 1/4/21 | | | | Quarterly | | | | | — | | | | | | (2) | | | | | | — | | | | | | 2 | | |
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs RP Equity Carry Series 01 Excess Return Strategy Index(k) | | | USD 698 | | | | | 1/4/21 | | | | Quarterly | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs Calls-vs-Calls Series 2 Excess Return Strategy Index(l) | | | USD 701 | | | | | 11/16/21 | | | | Quarterly | | | | | — | | | | | | 8 | | | | | | 8 | | | | | | — | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(c) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
Goldman Sachs International | | | Fixed Rate of 0.15% | | | Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(m) | | | USD 351 | | | | | 11/16/21 | | | | Quarterly | | | | $ | — | | | | | $ | 5 | | | | | $ | 5 | | | | | $ | — | | |
JP Morgan Chase Bank, N.A. | | | 3 Month LIBOR – 0.60% | | | Total return on JPM Long ERP Sector(n) | | | USD 706 | | | | | 11/16/21 | | | | Quarterly | | | | | — | | | | | | (7) | | | | | | — | | | | | | 7 | | |
JP Morgan Chase Bank, N.A. | | | Total return on JPM Short ERP Sector(o) | | | 3 Month LIBOR – 0.25% | | | USD 566 | | | | | 11/16/21 | | | | Quarterly | | | | | — | | | | | | 2 | | | | | | 2 | | | | | | — | | |
Nomura Securities Co., Ltd. | | | 0% | | | Total return on Nomura Interest Rate Swaps Value Daily Index – 3% Target Vol Index(p) | | | USD 1,750 | | | | | 11/4/21 | | | | Quarterly | | | | | — | | | | | | (12) | | | | | | — | | | | | | 12 | | |
Nomura Securities Co., Ltd. | | | 0% | | | Total return on Nomura Bespoke Transaction Interest Rate Risk Premia Basket(q) | | | USD 7,012 | | | | | 1/4/21 | | | | Quarterly | | | | | — | | | | | | (67) | | | | | | — | | | | | | 67 | | |
Total Total Return Index Swaps | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | (74) | | | | | $ | 22 | | | | | $ | 96 | | |
|
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Target Corp | | | | | 193 | | | | | | 34 | | | | | | 3.81% | | |
BlackRock Inc | | | | | 44 | | | | | | 32 | | | | | | 3.55% | | |
Medtronic PLC | | | | | 215 | | | | | | 25 | | | | | | 2.82% | | |
Colgate-Palmolive Co | | | | | 278 | | | | | | 24 | | | | | | 2.66% | | |
Coca-Cola Co/The | | | | | 426 | | | | | | 23 | | | | | | 2.61% | | |
Walmart Inc | | | | | 160 | | | | | | 23 | | | | | | 2.58% | | |
Honeywell International Inc | | | | | 107 | | | | | | 23 | | | | | | 2.54% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Johnson & Johnson | | | | | 140 | | | | | | 22 | | | | | | 2.46% | | |
PepsiCo Inc | | | | | 147 | | | | | | 22 | | | | | | 2.43% | | |
Clorox Co/The | | | | | 106 | | | | | | 21 | | | | | | 2.40% | | |
Kimberly-Clark Corp | | | | | 147 | | | | | | 20 | | | | | | 2.22% | | |
PPG Industries Inc | | | | | 128 | | | | | | 18 | | | | | | 2.06% | | |
Apple Inc | | | | | 122 | | | | | | 16 | | | | | | 1.82% | | |
American Express Co | | | | | 134 | | | | | | 16 | | | | | | 1.81% | | |
Quest Diagnostics Inc | | | | | 134 | | | | | | 16 | | | | | | 1.79% | | |
NIKE Inc | | | | | 109 | | | | | | 15 | | | | | | 1.72% | | |
Eastman Chemical Co | | | | | 151 | | | | | | 15 | | | | | | 1.69% | | |
Caterpillar Inc | | | | | 81 | | | | | | 15 | | | | | | 1.65% | | |
Air Products & Chemicals Inc | | | | | 53 | | | | | | 15 | | | | | | 1.63% | | |
Aflac Inc | | | | | 327 | | | | | | 15 | | | | | | 1.63% | | |
Maxim Integrated Products Inc | | | | | 159 | | | | | | 14 | | | | | | 1.58% | | |
Emerson Electric Co | | | | | 174 | | | | | | 14 | | | | | | 1.56% | | |
Accenture PLC | | | | | 53 | | | | | | 14 | | | | | | 1.55% | | |
WW Grainger Inc | | | | | 33 | | | | | | 13 | | | | | | 1.50% | | |
Dover Corp | | | | | 104 | | | | | | 13 | | | | | | 1.46% | | |
MetLife Inc | | | | | 272 | | | | | | 13 | | | | | | 1.43% | | |
Eli Lilly & Co | | | | | 75 | | | | | | 13 | | | | | | 1.43% | | |
Home Depot Inc/The | | | | | 45 | | | | | | 12 | | | | | | 1.35% | | |
Intercontinental Exchange Inc | | | | | 103 | | | | | | 12 | | | | | | 1.33% | | |
International Business Machines Corp | | | | | 94 | | | | | | 12 | | | | | | 1.33% | | |
NextEra Energy Inc | | | | | 151 | | | | | | 12 | | | | | | 1.31% | | |
Cardinal Health Inc | | | | | 217 | | | | | | 12 | | | | | | 1.30% | | |
Microsoft Corp | | | | | 52 | | | | | | 12 | | | | | | 1.30% | | |
Anthem Inc | | | | | 35 | | | | | | 11 | | | | | | 1.27% | | |
Merck & Co Inc | | | | | 138 | | | | | | 11 | | | | | | 1.26% | | |
Ecolab Inc | | | | | 52 | | | | | | 11 | | | | | | 1.26% | | |
Hasbro Inc | | | | | 120 | | | | | | 11 | | | | | | 1.25% | | |
UnitedHealth Group Inc | | | | | 32 | | | | | | 11 | | | | | | 1.24% | | |
Automatic Data Processing Inc | | | | | 63 | | | | | | 11 | | | | | | 1.24% | | |
Abbott Laboratories | | | | | 100 | | | | | | 11 | | | | | | 1.23% | | |
General Mills Inc | | | | | 186 | | | | | | 11 | | | | | | 1.23% | | |
McDonald’s Corp | | | | | 51 | | | | | | 11 | | | | | | 1.22% | | |
S&P Global Inc | | | | | 33 | | | | | | 11 | | | | | | 1.21% | | |
Public Storage | | | | | 46 | | | | | | 11 | | | | | | 1.20% | | |
Realty Income Corp | | | | | 171 | | | | | | 11 | | | | | | 1.19% | | |
American Water Works Co Inc | | | | | 69 | | | | | | 11 | | | | | | 1.19% | | |
Republic Services Inc | | | | | 110 | | | | | | 11 | | | | | | 1.18% | | |
Procter & Gamble Co/The | | | | | 75 | | | | | | 10 | | | | | | 1.17% | | |
Kellogg Co | | | | | 167 | | | | | | 10 | | | | | | 1.16% | | |
Stanley Black & Decker Inc | | | | | 56 | | | | | | 10 | | | | | | 1.11% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Commons Stock | | | | | | | | | | | | | | | | | | | |
Coty Inc | | | | | (1,044) | | | | | | (7) | | | | | | -0.96% | | |
Nordstrom Inc | | | | | (234) | | | | | | (7) | | | | | | -0.95% | | |
Kohl’s Corp | | | | | (147) | | | | | | (6) | | | | | | -0.78% | | |
Tapestry Inc | | | | | (173) | | | | | | (5) | | | | | | -0.70% | | |
General Electric Co | | | | | (463) | | | | | | (5) | | | | | | -0.65% | | |
Occidental Petroleum Corp | | | | | (278) | | | | | | (5) | | | | | | -0.63% | | |
Arconic Inc | | | | | (167) | | | | | | (5) | | | | | | -0.62% | | |
Align Technology Inc | | | | | (9) | | | | | | (5) | | | | | | -0.62% | | |
Freeport-McMoRan Inc | | | | | (181) | | | | | | (5) | | | | | | -0.61% | | |
SVB Financial Group | | | | | (12) | | | | | | (5) | | | | | | -0.61% | | |
Paycom Software Inc | | | | | (10) | | | | | | (4) | | | | | | -0.58% | | |
Marathon Oil Corp | | | | | (669) | | | | | | (4) | | | | | | -0.58% | | |
Harley-Davidson Inc | | | | | (120) | | | | | | (4) | | | | | | -0.57% | | |
Wynn Resorts Ltd | | | | | (39) | | | | | | (4) | | | | | | -0.57% | | |
Norwegian Cruise Line Holdings | | | | | (172) | | | | | | (4) | | | | | | -0.57% | | |
PVH Corp | | | | | (46) | | | | | | (4) | | | | | | -0.57% | | |
Teradyne Inc | | | | | (36) | | | | | | (4) | | | | | | -0.57% | | |
Micron Technology Inc | | | | | (58) | | | | | | (4) | | | | | | -0.57% | | |
DXC Technology Co | | | | | (168) | | | | | | (4) | | | | | | -0.56% | | |
Under Armour Inc | | | | | (251) | | | | | | (4) | | | | | | -0.56% | | |
Halliburton Co | | | | | (225) | | | | | | (4) | | | | | | -0.55% | | |
Zebra Technologies Corp | | | | | (11) | | | | | | (4) | | | | | | -0.55% | | |
Ralph Lauren Corp | | | | | (41) | | | | | | (4) | | | | | | -0.55% | | |
Aptiv PLC | | | | | (32) | | | | | | (4) | | | | | | -0.54% | | |
Etsy Inc | | | | | (23) | | | | | | (4) | | | | | | -0.54% | | |
Walt Disney Co/The | | | | | (23) | | | | | | (4) | | | | | | -0.54% | | |
Western Digital Corp | | | | | (74) | | | | | | (4) | | | | | | -0.54% | | |
Mohawk Industries Inc | | | | | (29) | | | | | | (4) | | | | | | -0.54% | | |
Morgan Stanley | | | | | (60) | | | | | | (4) | | | | | | -0.53% | | |
F5 Networks Inc | | | | | (23) | | | | | | (4) | | | | | | -0.53% | | |
Arista Networks Inc | | | | | (14) | | | | | | (4) | | | | | | -0.53% | | |
Carnival Corp | | | | | (187) | | | | | | (4) | | | | | | -0.53% | | |
General Motors Co | | | | | (97) | | | | | | (4) | | | | | | -0.53% | | |
Expedia Group Inc | | | | | (30) | | | | | | (4) | | | | | | -0.53% | | |
National Oilwell Varco Inc | | | | | (293) | | | | | | (4) | | | | | | -0.52% | | |
MGM Resorts International | | | | | (127) | | | | | | (4) | | | | | | -0.52% | | |
DaVita Inc | | | | | (34) | | | | | | (4) | | | | | | -0.52% | | |
Capital One Financial Corp | | | | | (40) | | | | | | (4) | | | | | | -0.52% | | |
Alaska Air Group Inc | | | | | (76) | | | | | | (4) | | | | | | -0.52% | | |
Apache Corp | | | | | (279) | | | | | | (4) | | | | | | -0.52% | | |
Alexion Pharmaceuticals Inc | | | | | (25) | | | | | | (4) | | | | | | -0.52% | | |
Marriott International Inc/MD | | | | | (30) | | | | | | (4) | | | | | | -0.51% | | |
Quanta Services Inc | | | | | (54) | | | | | | (4) | | | | | | -0.51% | | |
First Republic Bank/CA | | | | | (27) | | | | | | (4) | | | | | | -0.51% | | |
HCA Healthcare Inc | | | | | (24) | | | | | | (4) | | | | | | -0.51% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Live Nation Entertainment Inc | | | | | (53) | | | | | | (4) | | | | | | -0.51% | | |
Molson Coors Brewing Co | | | | | (86) | | | | | | (4) | | | | | | -0.50% | | |
Host Hotels & Resorts Inc | | | | | (263) | | | | | | (4) | | | | | | -0.50% | | |
IPG Photonics Corp | | | | | (17) | | | | | | (4) | | | | | | -0.50% | | |
Ross Stores Inc | | | | | (31) | | | | | | (4) | | | | | | -0.50% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Swap | | | | | | | | | | | | | |
Deutsche Bank Duration Bias US | | | | | 187 | | | | | | 10.53% | | |
Deutsche Bank Duration Bias EU | | | | | 159 | | | | | | 8.93% | | |
Deutsche Bank Duration Bias GB | | | | | 158 | | | | | | 8.88% | | |
Deutsche Bank Duration Bias JP | | | | | 121 | | | | | | 6.82% | | |
Index | | | | | | | | | | | | | |
ITRX XOVER CDSI S34 5Y Corp | | | | | 160 | | | | | | 8.99% | | |
CDX.NA.HY 5Y Long Excess Return Index | | | | | 162 | | | | | | 9.15% | | |
EONIA Total Return Index | | | | | (0) | | | | | | -0.01% | | |
Fed Funds Effective Rate Total Return Index | | | | | (0) | | | | | | 0.00% | | |
Futures | | | | | | | | | | | | | |
FTSE 100 IDX Mar21 | | | | | 106 | | | | | | 5.96% | | |
MSCI EmgMkt Mar21 | | | | | (64) | | | | | | -3.59% | | |
EURO STOXX 50 Mar21 | | | | | 44 | | | | | | 2.46% | | |
S&P500 EMINI Mar21 | | | | | 33 | | | | | | 1.83% | | |
NIKKEI 225 (OSE) Mar21 | | | | | 26 | | | | | | 1.44% | | |
FX Forwards | | | | | | | | | | | | | |
USD/EUR | | | | | (109) | | | | | | -6.16% | | |
USD/JPY | | | | | (57) | | | | | | -3.24% | | |
USD/BRL | | | | | 29 | | | | | | 1.63% | | |
USD/HUF | | | | | 29 | | | | | | 1.63% | | |
USD/MXN | | | | | 29 | | | | | | 1.63% | | |
USD/PLN | | | | | 29 | | | | | | 1.63% | | |
USD/RUB | | | | | 29 | | | | | | 1.63% | | |
USD/SGD | | | | | 29 | | | | | | 1.63% | | |
USD/TRY | | | | | 29 | | | | | | 1.63% | | |
USD/ZAR | | | | | 29 | | | | | | 1.63% | | |
USD/KRW | | | | | 29 | | | | | | 1.63% | | |
USD/TWD | | | | | 29 | | | | | | 1.63% | | |
USD/CNH | | | | | 29 | | | | | | 1.63% | | |
USD/AUD | | | | | (21) | | | | | | -1.17% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Foreign Currency | | | | | | | | | | | | | |
SOUTH AFRICAN RAND | | | | | 161 | | | | | | 15.35% | | |
INDIAN RUPEE | | | | | 159 | | | | | | 15.23% | | |
TAIWAN DOLLAR | | | | | (158) | | | | | | -15.08% | | |
RUSSIAN RUBLE | | | | | 153 | | | | | | 14.59% | | |
CZECH KORUNA | | | | | (146) | | | | | | -13.96% | | |
SWEDISH KRONA | | | | | (141) | | | | | | -13.51% | | |
MEXICAN PESO | | | | | 130 | | | | | | 12.40% | | |
NORWEGIAN KRONE | | | | | (118) | | | | | | -11.29% | | |
SWISS FRANC | | | | | (110) | | | | | | -10.50% | | |
AUSTRALIAN DOLLAR | | | | | (86) | | | | | | -8.18% | | |
CHINESE RENMINBI OFFSHORE | | | | | 80 | | | | | | 7.64% | | |
PHILIPPINES PESO | | | | | 76 | | | | | | 7.31% | | |
SOUTH KOREAN WON | | | | | (21) | | | | | | -2.05% | | |
INDONESIAN RUPIAH | | | | | 17 | | | | | | 1.58% | | |
CHILEAN PESO | | | | | (10) | | | | | | -0.94% | | |
EURO | | | | | (4) | | | | | | -0.41% | | |
BRITISH POUND | | | | | (0) | | | | | | 0.00% | | |
POLISH ZLOTY | | | | | (0) | | | | | | 0.00% | | |
NEW ZEALAND DOLLAR | | | | | (0) | | | | | | 0.00% | | |
CANADIAN DOLLAR | | | | | (0) | | | | | | 0.00% | | |
ISRAELI SHEKEL | | | | | (0) | | | | | | 0.00% | | |
BRAZIL REAL | | | | | (0) | | | | | | 0.00% | | |
JAPANESE YEN | | | | | (0) | | | | | | 0.00% | | |
HUNGARIAN FORINT | | | | | (0) | | | | | | 0.00% | | |
SINGAPORE DOLLAR | | | | | (0) | | | | | | 0.00% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Futures | | | | | | | | | | | | | |
BIST 30 Feb21 | | | | | (128) | | | | | | -18.40% | | |
KOSPI2 INX Mar21 | | | | | 120 | | | | | | 17.15% | | |
FTSE Taiwan Index Jan21 | | | | | 114 | | | | | | 16.30% | | |
FTSE/JSE TOP 40 Mar21 | | | | | (112) | | | | | | -16.11% | | |
IBEX 35 INDX Jan21 | | | | | 104 | | | | | | 14.87% | | |
HSCEI Jan21 | | | | | (102) | | | | | | -14.61% | | |
SWISS MKT IX Mar21 | | | | | 89 | | | | | | 12.71% | | |
HANG SENG IDX Jan21 | | | | | (68) | | | | | | -9.77% | | |
NASDAQ 100 E-MINI Mar21 | | | | | (67) | | | | | | -9.59% | | |
S&P/TSX 60 IX Mar21 | | | | | 63 | | | | | | 9.09% | | |
FTSE 100 IDX Mar21 | | | | | 60 | | | | | | 8.57% | | |
MSCI EmgMkt Mar21 | | | | | (52) | | | | | | -7.44% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
CAC40 10 EURO Jan21 | | | | | 45 | | | | | | 6.47% | | |
TOPIX INDX Mar21 | | | | | (44) | | | | | | -6.34% | | |
E-Mini Russ 2000 Mar21 | | | | | (41) | | | | | | -5.89% | | |
SPI 200 Jan21 | | | | | 40 | | | | | | 5.75% | | |
SET50 Mar21 | | | | | (33) | | | | | | -4.75% | | |
S&P500 EMINI Mar21 | | | | | (28) | | | | | | -4.06% | | |
FTSE/MIB IDX Mar21 | | | | | 25 | | | | | | 3.63% | | |
AMSTERDAM IDX Jan21 | | | | | (17) | | | | | | -2.50% | | |
EURO STOXX 50 Mar21 | | | | | 13 | | | | | | 1.81% | | |
Cash/Foreign Currency | | | | | | | | | | | | | |
BRITISH POUND | | | | | 0 | | | | | | 0.00% | | |
US DOLLAR | | | | | (0) | | | | | | 0.00% | | |
SWISS FRANC | | | | | (0) | | | | | | 0.00% | | |
JAPANESE YEN | | | | | (0) | | | | | | 0.00% | | |
EURO | | | | | 0 | | | | | | 0.00% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Options | | | | | | | | | | | | | |
SPX European Call Option | | | | | 1,699 | | | | | | 239.77% | | |
AAPL American Call Option | | | | | (112) | | | | | | -15.83% | | |
AMZN American Call Option | | | | | (73) | | | | | | -10.37% | | |
PFE American Call Option | | | | | (57) | | | | | | -8.01% | | |
MSFT American Call Option | | | | | (55) | | | | | | -7.75% | | |
FB American Call Option | | | | | (51) | | | | | | -7.26% | | |
GOOGL American Call Option | | | | | (50) | | | | | | -7.04% | | |
WFC American Call Option | | | | | (46) | | | | | | -6.49% | | |
FDX American Call Option | | | | | (43) | | | | | | -6.09% | | |
MU American Call Option | | | | | (38) | | | | | | -5.37% | | |
NKE American Call Option | | | | | (37) | | | | | | -5.17% | | |
ACN American Call Option | | | | | (36) | | | | | | -5.09% | | |
JNJ American Call Option | | | | | (35) | | | | | | -4.99% | | |
DIS American Call Option | | | | | (35) | | | | | | -4.87% | | |
ISRG American Call Option | | | | | (31) | | | | | | -4.38% | | |
COST American Call Option | | | | | (30) | | | | | | -4.27% | | |
PYPL American Call Option | | | | | (30) | | | | | | -4.18% | | |
JPM American Call Option | | | | | (28) | | | | | | -3.94% | | |
CVX American Call Option | | | | | (28) | | | | | | -3.90% | | |
C American Call Option | | | | | (27) | | | | | | -3.78% | | |
CRM American Call Option | | | | | (26) | | | | | | -3.68% | | |
ADBE American Call Option | | | | | (26) | | | | | | -3.63% | | |
AXP American Call Option | | | | | (25) | | | | | | -3.52% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
KO American Call Option | | | | | (25) | | | | | | -3.52% | | |
CI American Call Option | | | | | (25) | | | | | | -3.50% | | |
XOM American Call Option | | | | | (24) | | | | | | -3.39% | | |
LLY American Call Option | | | | | (22) | | | | | | -3.13% | | |
FIS American Call Option | | | | | (21) | | | | | | -2.94% | | |
PG American Call Option | | | | | (20) | | | | | | -2.87% | | |
MS American Call Option | | | | | (19) | | | | | | -2.64% | | |
MCD American Call Option | | | | | (18) | | | | | | -2.59% | | |
HON American Call Option | | | | | (18) | | | | | | -2.53% | | |
AMT American Call Option | | | | | (18) | | | | | | -2.51% | | |
TJX American Call Option | | | | | (17) | | | | | | -2.47% | | |
NEE American Call Option | | | | | (17) | | | | | | -2.43% | | |
TMO American Call Option | | | | | (16) | | | | | | -2.32% | | |
ORCL American Call Option | | | | | (16) | | | | | | -2.29% | | |
HD American Call Option | | | | | (16) | | | | | | -2.26% | | |
AVGO American Call Option | | | | | (16) | | | | | | -2.19% | | |
DHR American Call Option | | | | | (15) | | | | | | -2.16% | | |
INTC American Call Option | | | | | (15) | | | | | | -2.10% | | |
UPS American Call Option | | | | | (15) | | | | | | -2.06% | | |
NFLX American Call Option | | | | | (15) | | | | | | -2.06% | | |
NVDA American Call Option | | | | | (15) | | | | | | -2.05% | | |
LOW American Call Option | | | | | (14) | | | | | | -1.98% | | |
MDT American Call Option | | | | | (13) | | | | | | -1.82% | | |
UNH American Call Option | | | | | (13) | | | | | | -1.81% | | |
SBUX American Call Option | | | | | (13) | | | | | | -1.79% | | |
RTX American Call Option | | | | | (12) | | | | | | -1.69% | | |
Cash | | | | | | | | | | | | | |
USD | | | | | 25 | | | | | | 3.50% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Options | | | | | | | | | | | | | |
SPX European Call Option | | | | | 1,288 | | | | | | 362.29% | | |
SPX European Put Option | | | | | 0 | | | | | | 0.00% | | |
Forwards | | | | | | | | | | | | | |
SPX EQ Forward | | | | | (1,134) | | | | | | -318.84% | | |
Cash | | | | | | | | | | | | | |
USD | | | | | (31) | | | | | | -8.79% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Nielsen Holdings PLC | | | | | 721 | | | | | | 15 | | | | | | 2.15% | | |
CH Robinson Worldwide Inc | | | | | 156 | | | | | | 15 | | | | | | 2.10% | | |
Olin Corp | | | | | 598 | | | | | | 15 | | | | | | 2.10% | | |
Eaton Corp PLC | | | | | 121 | | | | | | 15 | | | | | | 2.08% | | |
LyondellBasell Industries NV | | | | | 159 | | | | | | 15 | | | | | | 2.08% | | |
Dow Inc | | | | | 261 | | | | | | 14 | | | | | | 2.07% | | |
Amcor PLC | | | | | 1,224 | | | | | | 14 | | | | | | 2.06% | | |
Cummins Inc | | | | | 63 | | | | | | 14 | | | | | | 2.05% | | |
International Paper Co | | | | | 287 | | | | | | 14 | | | | | | 2.04% | | |
PPL Corp | | | | | 506 | | | | | | 14 | | | | | | 2.04% | | |
United Parcel Service Inc | | | | | 85 | | | | | | 14 | | | | | | 2.04% | | |
Iron Mountain Inc | | | | | 482 | | | | | | 14 | | | | | | 2.03% | | |
3M Co | | | | | 81 | | | | | | 14 | | | | | | 2.02% | | |
Lockheed Martin Corp | | | | | 40 | | | | | | 14 | | | | | | 2.01% | | |
FirstEnergy Corp | | | | | 450 | | | | | | 14 | | | | | | 1.97% | | |
Renewable Energy Group Inc | | | | | 194 | | | | | | 14 | | | | | | 1.96% | | |
General Dynamics Corp | | | | | 92 | | | | | | 14 | | | | | | 1.95% | | |
Vornado Realty Trust | | | | | 365 | | | | | | 14 | | | | | | 1.95% | | |
Simon Property Group Inc | | | | | 157 | | | | | | 13 | | | | | | 1.92% | | |
Omega Healthcare Investors Inc | | | | | 364 | | | | | | 13 | | | | | | 1.89% | | |
ONEOK Inc | | | | | 343 | | | | | | 13 | | | | | | 1.88% | | |
Chemours Co/The | | | | | 525 | | | | | | 13 | | | | | | 1.86% | | |
Macerich Co/The | | | | | 1,213 | | | | | | 13 | | | | | | 1.85% | | |
Williams Cos Inc/The | | | | | 635 | | | | | | 13 | | | | | | 1.82% | | |
ManpowerGroup Inc | | | | | 140 | | | | | | 13 | | | | | | 1.80% | | |
Park Hotels & Resorts Inc | | | | | 718 | | | | | | 12 | | | | | | 1.76% | | |
Robert Half International Inc | | | | | 197 | | | | | | 12 | | | | | | 1.76% | | |
Maxar Technologies Inc | | | | | 312 | | | | | | 12 | | | | | | 1.72% | | |
Johnson Controls International | | | | | 249 | | | | | | 12 | | | | | | 1.66% | | |
CNX Resources Corp | | | | | 1,030 | | | | | | 11 | | | | | | 1.59% | | |
Hubbell Inc | | | | | 70 | | | | | | 11 | | | | | | 1.58% | | |
Huntington Ingalls Industries | | | | | 61 | | | | | | 10 | | | | | | 1.49% | | |
Antero Resources Corp | | | | | 1,810 | | | | | | 10 | | | | | | 1.41% | | |
Antero Midstream GP LP | | | | | 1,207 | | | | | | 9 | | | | | | 1.33% | | |
OGE Energy Corp | | | | | 274 | | | | | | 9 | | | | | | 1.25% | | |
Saia Inc | | | | | 48 | | | | | | 9 | | | | | | 1.24% | | |
Upwork Inc | | | | | 247 | | | | | | 9 | | | | | | 1.22% | | |
CF Industries Holdings Inc | | | | | 208 | | | | | | 8 | | | | | | 1.15% | | |
MGM Growth Properties LLC | | | | | 250 | | | | | | 8 | | | | | | 1.12% | | |
Equitrans Midstream Corp | | | | | 966 | | | | | | 8 | | | | | | 1.11% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Plains GP Holdings LP | | | | | 919 | | | | | | 8 | | | | | | 1.11% | | |
Spirit Realty Capital Inc | | | | | 193 | | | | | | 8 | | | | | | 1.11% | | |
Sabra Health Care REIT Inc | | | | | 415 | | | | | | 7 | | | | | | 1.03% | | |
Fluor Corp | | | | | 425 | | | | | | 7 | | | | | | 0.97% | | |
Fastenal Co | | | | | 135 | | | | | | 7 | | | | | | 0.94% | | |
Helmerich & Payne Inc | | | | | 281 | | | | | | 7 | | | | | | 0.93% | | |
Eastman Chemical Co | | | | | 64 | | | | | | 6 | | | | | | 0.92% | | |
SL Green Realty Corp | | | | | 105 | | | | | | 6 | | | | | | 0.92% | | |
Atlas Air Worldwide Holdings I | | | | | 117 | | | | | | 6 | | | | | | 0.91% | | |
Trinseo SA | | | | | 120 | | | | | | 6 | | | | | | 0.88% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Sunrun Inc | | | | | (179) | | | | | | (12) | | | | | | -2.20% | | |
Alcoa Corp | | | | | (512) | | | | | | (12) | | | | | | -2.09% | | |
Spirit AeroSystems Holdings In | | | | | (302) | | | | | | (12) | | | | | | -2.09% | | |
American Tower Corp | | | | | (52) | | | | | | (12) | | | | | | -2.07% | | |
NextEra Energy Inc | | | | | (151) | | | | | | (12) | | | | | | -2.07% | | |
Equinix Inc | | | | | (16) | | | | | | (12) | | | | | | -2.06% | | |
Fortive Corp | | | | | (163) | | | | | | (12) | | | | | | -2.05% | | |
PG&E Corp | | | | | (929) | | | | | | (12) | | | | | | -2.05% | | |
SBA Communications Corp | | | | | (41) | | | | | | (12) | | | | | | -2.05% | | |
Crown Holdings Inc | | | | | (115) | | | | | | (12) | | | | | | -2.04% | | |
Sensata Technologies Holding P | | | | | (218) | | | | | | (12) | | | | | | -2.04% | | |
IHS Markit Ltd | | | | | (128) | | | | | | (11) | | | | | | -2.03% | | |
Invitation Homes Inc | | | | | (386) | | | | | | (11) | | | | | | -2.03% | | |
Host Hotels & Resorts Inc | | | | | (780) | | | | | | (11) | | | | | | -2.02% | | |
Southwest Airlines Co | | | | | (245) | | | | | | (11) | | | | | | -2.02% | | |
American Water Works Co Inc | | | | | (74) | | | | | | (11) | | | | | | -2.01% | | |
Carrier Global Corp | | | | | (301) | | | | | | (11) | | | | | | -2.01% | | |
Weyerhaeuser Co | | | | | (338) | | | | | | (11) | | | | | | -2.01% | | |
TransUnion | | | | | (114) | | | | | | (11) | | | | | | -2.00% | | |
Acuity Brands Inc | | | | | (93) | | | | | | (11) | | | | | | -1.99% | | |
Cheniere Energy Inc | | | | | (187) | | | | | | (11) | | | | | | -1.99% | | |
General Electric Co | | | | | (1,019) | | | | | | (11) | | | | | | -1.95% | | |
National Oilwell Varco Inc | | | | | (802) | | | | | | (11) | | | | | | -1.95% | | |
Marathon Oil Corp | | | | | (1,642) | | | | | | (11) | | | | | | -1.94% | | |
American Homes 4 Rent | | | | | (359) | | | | | | (11) | | | | | | -1.91% | | |
TechnipFMC PLC | | | | | (1,135) | | | | | | (11) | | | | | | -1.89% | | |
Halliburton Co | | | | | (565) | | | | | | (11) | | | | | | -1.89% | | |
United States Steel Corp | | | | | (633) | | | | | | (11) | | | | | | -1.88% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Boeing Co/The | | | | | (49) | | | | | | (11) | | | | | | -1.87% | | |
Textron Inc | | | | | (218) | | | | | | (11) | | | | | | -1.87% | | |
Hexcel Corp | | | | | (214) | | | | | | (10) | | | | | | -1.84% | | |
Axalta Coating Systems Ltd | | | | | (362) | | | | | | (10) | | | | | | -1.83% | | |
TransDigm Group Inc | | | | | (17) | | | | | | (10) | | | | | | -1.83% | | |
Mosaic Co/The | | | | | (422) | | | | | | (10) | | | | | | -1.72% | | |
Targa Resources Corp | | | | | (342) | | | | | | (9) | | | | | | -1.60% | | |
Ovintiv Inc | | | | | (625) | | | | | | (9) | | | | | | -1.59% | | |
Alaska Air Group Inc | | | | | (169) | | | | | | (9) | | | | | | -1.56% | | |
Berry Global Group Inc | | | | | (154) | | | | | | (9) | | | | | | -1.53% | | |
Continental Resources Inc/OK | | | | | (495) | | | | | | (8) | | | | | | -1.43% | | |
JetBlue Airways Corp | | | | | (520) | | | | | | (8) | | | | | | -1.34% | | |
Prologis Inc | | | | | (69) | | | | | | (7) | | | | | | -1.21% | | |
Apache Corp | | | | | (458) | | | | | | (6) | | | | | | -1.15% | | |
American Airlines Group Inc | | | | | (401) | | | | | | (6) | | | | | | -1.12% | | |
AMETEK Inc | | | | | (49) | | | | | | (6) | | | | | | -1.05% | | |
Verisk Analytics Inc | | | | | (27) | | | | | | (6) | | | | | | -1.00% | | |
Summit Materials Inc | | | | | (273) | | | | | | (5) | | | | | | -0.97% | | |
Jacobs Engineering Group Inc | | | | | (50) | | | | | | (5) | | | | | | -0.96% | | |
HEICO Corp | | | | | (40) | | | | | | (5) | | | | | | -0.93% | | |
Wabtec Corp | | | | | (69) | | | | | | (5) | | | | | | -0.89% | | |
Concho Resources Inc | | | | | (84) | | | | | | (5) | | | | | | -0.87% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
IRS Rec 5Y in GBP | | | | | 864 | | | | | | 49.68% | | |
IRS Rec 20Y in EUR | | | | | (198) | | | | | | -11.41% | | |
IRS Rec 20Y in GBP | | | | | 197 | | | | | | 11.34% | | |
IRS Rec 10Y in EUR | | | | | (163) | | | | | | -9.40% | | |
IRS Rec 30Y in EUR | | | | | (125) | | | | | | -7.17% | | |
IRS Rec 10Y in USD | | | | | 49 | | | | | | 2.83% | | |
IRS Rec 20Y in USD | | | | | 26 | | | | | | 1.51% | | |
IRS Rec 30Y in GBP | | | | | 17 | | | | | | 0.97% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
IRS Rec 1Y in USD | | | | | 3,174 | | | | | | 45.71% | | |
IRS 2Y DKK S 1-0 | | | | | (2,086) | | | | | | -30.04% | | |
IRS 2Y CAD S 1-0 | | | | | 1,945 | | | | | | 28.00% | | |
IRS 2Y NOK S 1-0 | | | | | 1,771 | | | | | | 25.51% | | |
IRS Rec 2Y in JPY | | | | | (1,761) | | | | | | -25.35% | | |
IRS 5Y CAD S 1-0 | | | | | 1,710 | | | | | | 24.62% | | |
IRS Rec 1Y in EUR | | | | | (1,400) | | | | | | -20.15% | | |
IRS Rec 2Y in USD | | | | | 1,235 | | | | | | 17.78% | | |
IRS 10Y AUD S 1-0 | | | | | 948 | | | | | | 13.66% | | |
IRS Rec 10Y in USD | | | | | 946 | | | | | | 13.63% | | |
IRS Rec 10Y in EUR | | | | | (896) | | | | | | -12.90% | | |
IRS 10Y DKK S 1-0 | | | | | (882) | | | | | | -12.70% | | |
IRS Rec 5Y in JPY | | | | | (843) | | | | | | -12.15% | | |
IRS 2Y CHF S 1-0 | | | | | (696) | | | | | | -10.02% | | |
IRS Rec 20Y in USD | | | | | 505 | | | | | | 7.27% | | |
IRS Rec 20Y in EUR | | | | | (447) | | | | | | -6.44% | | |
IRS 5Y NZD S 1-0 | | | | | 356 | | | | | | 5.13% | | |
IRS Rec 30Y in EUR | | | | | (298) | | | | | | -4.29% | | |
IRS Rec 5Y in AUD | | | | | 283 | | | | | | 4.08% | | |
IRS 2Y SEK S 1-0 | | | | | (175) | | | | | | -2.52% | | |
IRS Rec 5Y in USD | | | | | 142 | | | | | | 2.04% | | |
IRS 5Y CHF S 1-0 | | | | | (138) | | | | | | -1.99% | | |
IRS Rec 10Y in JPY | | | | | (70) | | | | | | -1.01% | | |
IRS 10Y CHF S 1-0 | | | | | (34) | | | | | | -0.49% | | |
IRS Rec 30Y in USD | | | | | 30 | | | | | | 0.43% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Yield | | | Number of Shares | | | Cost | | | Fair Value(b) | | |||||||||
Short-Term Investments – 73.4% | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Institutional Liquid Reserves Fund – Premier Class | | | (c) | | | 0.10% | | | | | 1,610,531 | | | | | $ | 1,611 | | | | | $ | 1,611 | | |
Total Short-Term Investments | | | | | | | | | | | | | | | | | 1,611 | | | | | | 1,611 | | |
TOTAL INVESTMENTS – 73.4% | | | | | | | | | | | | | | | | $ | 1,611 | | | | | | 1,611 | | |
Other Assets in Excess of Liabilities – 26.6% | | | | | | | | | | | | | | | | | | | | | | | 583 | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | | | | $ | 2,194 | | |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(b) | | | Unrealized Appreciation | | | Unrealized Depreciation | | ||||||||||||||||||
Bank of America, N.A. | | | 3 Month LIBOR + 0.55% | | | Total return on iShares S&P GSCI Commodity-Indexed Trust | | | USD 199 | | | | | 12/10/21 | | | | | | Quarterly | | | | | $ | — | | | | | $ | 7 | | | | | $ | 7 | | | | | $ | — | | |
JPMorgan Chase Bank, N.A. | | | 3 Month LIBOR + 0.60% | | | Total return on JPM Long ERP Sector(e) | | | USD 1,334 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | (13) | | | | | | — | | | | | | 13 | | |
JPMorgan Chase Bank, N.A. | | | Total return on JPM Short ERP Sector(f) | | | 3 Month LIBOR – 0.25% | | | USD 669 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | 2 | | | | | | 2 | | | | | | — | | |
Morgan Stanley Capital Services LLC | | | 1 Month LIBOR + 0.50% | | | Total return on Morgan Stanley Inflation Index(g) | | | USD 182 | | | | | 1/4/21 | | | | | | Quarterly | | | | | | — | | | | | | 65 | | | | | | 65 | | | | | | — | | |
Morgan Stanley Capital Services LLC | | | 1 Month LIBOR + 0.50% | | | Total return on Morgan Stanley Pricing Power Index(h) | | | USD 205 | | | | | 3/1/21 | | | | | | Quarterly | | | | | | — | | | | | | 21 | | | | | | 21 | | | | | | — | | |
Total Total Return Index Swaps | | | | | | | | | | | | | | | | | | | | | | | | | $ | — | | | | | $ | 82 | | | | | $ | 95 | | | | | $ | 13 | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Nielsen Holdings PLC | | | | | 1,361 | | | | | | 28 | | | | | | 2.15% | | |
CH Robinson Worldwide Inc | | | | | 296 | | | | | | 28 | | | | | | 2.10% | | |
Olin Corp | | | | | 1,130 | | | | | | 28 | | | | | | 2.10% | | |
Eaton Corp PLC | | | | | 229 | | | | | | 27 | | | | | | 2.08% | | |
LyondellBasell Industries NV | | | | | 300 | | | | | | 27 | | | | | | 2.08% | | |
Dow Inc | | | | | 493 | | | | | | 27 | | | | | | 2.07% | | |
Amcor PLC | | | | | 2,313 | | | | | | 27 | | | | | | 2.06% | | |
Cummins Inc | | | | | 119 | | | | | | 27 | | | | | | 2.05% | | |
International Paper Co | | | | | 542 | | | | | | 27 | | | | | | 2.04% | | |
PPL Corp | | | | | 956 | | | | | | 27 | | | | | | 2.04% | | |
United Parcel Service Inc | | | | | 160 | | | | | | 27 | | | | | | 2.04% | | |
Iron Mountain Inc | | | | | 910 | | | | | | 27 | | | | | | 2.03% | | |
3M Co | | | | | 153 | | | | | | 27 | | | | | | 2.02% | | |
Lockheed Martin Corp | | | | | 75 | | | | | | 27 | | | | | | 2.01% | | |
FirstEnergy Corp | | | | | 850 | | | | | | 26 | | | | | | 1.97% | | |
Renewable Energy Group Inc | | | | | 366 | | | | | | 26 | | | | | | 1.96% | | |
General Dynamics Corp | | | | | 173 | | | | | | 26 | | | | | | 1.95% | | |
Vornado Realty Trust | | | | | 690 | | | | | | 26 | | | | | | 1.95% | | |
Simon Property Group Inc | | | | | 298 | | | | | | 25 | | | | | | 1.92% | | |
Omega Healthcare Investors Inc | | | | | 688 | | | | | | 25 | | | | | | 1.89% | | |
ONEOK Inc | | | | | 647 | | | | | | 25 | | | | | | 1.88% | | |
Chemours Co/The | | | | | 991 | | | | | | 25 | | | | | | 1.86% | | |
Macerich Co/The | | | | | 2,291 | | | | | | 24 | | | | | | 1.85% | | |
Williams Cos Inc/The | | | | | 1,200 | | | | | | 24 | | | | | | 1.82% | | |
ManpowerGroup Inc | | | | | 264 | | | | | | 24 | | | | | | 1.80% | | |
Park Hotels & Resorts Inc | | | | | 1,356 | | | | | | 23 | | | | | | 1.76% | | |
Robert Half International Inc | | | | | 372 | | | | | | 23 | | | | | | 1.76% | | |
Maxar Technologies Inc | | | | | 589 | | | | | | 23 | | | | | | 1.72% | | |
Johnson Controls International | | | | | 471 | | | | | | 22 | | | | | | 1.66% | | |
CNX Resources Corp | | | | | 1,945 | | | | | | 21 | | | | | | 1.59% | | |
Hubbell Inc | | | | | 133 | | | | | | 21 | | | | | | 1.58% | | |
Huntington Ingalls Industries | | | | | 115 | | | | | | 20 | | | | | | 1.49% | | |
Antero Resources Corp | | | | | 3,419 | | | | | | 19 | | | | | | 1.41% | | |
Antero Midstream GP LP | | | | | 2,280 | | | | | | 18 | | | | | | 1.33% | | |
OGE Energy Corp | | | | | 518 | | | | | | 17 | | | | | | 1.25% | | |
Saia Inc | | | | | 91 | | | | | | 16 | | | | | | 1.24% | | |
Upwork Inc | | | | | 467 | | | | | | 16 | | | | | | 1.22% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
CF Industries Holdings Inc | | | | | 393 | | | | | | 15 | | | | | | 1.15% | | |
MGM Growth Properties LLC | | | | | 473 | | | | | | 15 | | | | | | 1.12% | | |
Equitrans Midstream Corp | | | | | 1,824 | | | | | | 15 | | | | | | 1.11% | | |
Plains GP Holdings LP | | | | | 1,736 | | | | | | 15 | | | | | | 1.11% | | |
Spirit Realty Capital Inc | | | | | 365 | | | | | | 15 | | | | | | 1.11% | | |
Sabra Health Care REIT Inc | | | | | 784 | | | | | | 14 | | | | | | 1.03% | | |
Fluor Corp | | | | | 803 | | | | | | 13 | | | | | | 0.97% | | |
Fastenal Co | | | | | 254 | | | | | | 12 | | | | | | 0.94% | | |
Helmerich & Payne Inc | | | | | 531 | | | | | | 12 | | | | | | 0.93% | | |
Eastman Chemical Co | | | | | 121 | | | | | | 12 | | | | | | 0.92% | | |
SL Green Realty Corp | | | | | 198 | | | | | | 12 | | | | | | 0.92% | | |
Atlas Air Worldwide Holdings I | | | | | 220 | | | | | | 12 | | | | | | 0.91% | | |
Trinseo SA | | | | | 227 | | | | | | 12 | | | | | | 0.88% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Sunrun Inc | | | | | (211) | | | | | | (15) | | | | | | -2.20% | | |
Alcoa Corp | | | | | (604) | | | | | | (14) | | | | | | -2.09% | | |
Spirit AeroSystems Holdings In | | | | | (356) | | | | | | (14) | | | | | | -2.09% | | |
American Tower Corp | | | | | (61) | | | | | | (14) | | | | | | -2.07% | | |
NextEra Energy Inc | | | | | (179) | | | | | | (14) | | | | | | -2.07% | | |
Equinix Inc | | | | | (19) | | | | | | (14) | | | | | | -2.06% | | |
Fortive Corp | | | | | (193) | | | | | | (14) | | | | | | -2.05% | | |
PG&E Corp | | | | | (1,097) | | | | | | (14) | | | | | | -2.05% | | |
SBA Communications Corp | | | | | (48) | | | | | | (14) | | | | | | -2.05% | | |
Crown Holdings Inc | | | | | (136) | | | | | | (14) | | | | | | -2.04% | | |
Sensata Technologies Holding P | | | | | (258) | | | | | | (14) | | | | | | -2.04% | | |
IHS Markit Ltd | | | | | (151) | | | | | | (14) | | | | | | -2.03% | | |
Invitation Homes Inc | | | | | (456) | | | | | | (14) | | | | | | -2.03% | | |
Host Hotels & Resorts Inc | | | | | (920) | | | | | | (13) | | | | | | -2.02% | | |
Southwest Airlines Co | | | | | (289) | | | | | | (13) | | | | | | -2.02% | | |
American Water Works Co Inc | | | | | (87) | | | | | | (13) | | | | | | -2.01% | | |
Carrier Global Corp | | | | | (355) | | | | | | (13) | | | | | | -2.01% | | |
Weyerhaeuser Co | | | | | (400) | | | | | | (13) | | | | | | -2.01% | | |
TransUnion | | | | | (134) | | | | | | (13) | | | | | | -2.00% | | |
Acuity Brands Inc | | | | | (110) | | | | | | (13) | | | | | | -1.99% | | |
Cheniere Energy Inc | | | | | (221) | | | | | | (13) | | | | | | -1.99% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
General Electric Co | | | | | (1,204) | | | | | | (13) | | | | | | -1.95% | | |
National Oilwell Varco Inc | | | | | (947) | | | | | | (13) | | | | | | -1.95% | | |
Marathon Oil Corp | | | | | (1,939) | | | | | | (13) | | | | | | -1.94% | | |
American Homes 4 Rent | | | | | (424) | | | | | | (13) | | | | | | -1.91% | | |
TechnipFMC PLC | | | | | (1,340) | | | | | | (13) | | | | | | -1.89% | | |
Halliburton Co | | | | | (667) | | | | | | (13) | | | | | | -1.89% | | |
United States Steel Corp | | | | | (747) | | | | | | (13) | | | | | | -1.88% | | |
Boeing Co | | | | | (58) | | | | | | (12) | | | | | | -1.87% | | |
Textron Inc | | | | | (258) | | | | | | (12) | | | | | | -1.87% | | |
Hexcel Corp | | | | | (253) | | | | | | (12) | | | | | | -1.84% | | |
Axalta Coating Systems Ltd | | | | | (427) | | | | | | (12) | | | | | | -1.83% | | |
TransDigm Group Inc | | | | | (20) | | | | | | (12) | | | | | | -1.83% | | |
Mosaic Co | | | | | (498) | | | | | | (11) | | | | | | -1.72% | | |
Targa Resources Corp | | | | | (404) | | | | | | (11) | | | | | | -1.60% | | |
Ovintiv Inc | | | | | (738) | | | | | | (11) | | | | | | -1.59% | | |
Alaska Air Group Inc | | | | | (200) | | | | | | (10) | | | | | | -1.56% | | |
Berry Global Group Inc | | | | | (182) | | | | | | (10) | | | | | | -1.53% | | |
Continental Resources Inc/OK | | | | | (585) | | | | | | (10) | | | | | | -1.43% | | |
JetBlue Airways Corp | | | | | (614) | | | | | | (9) | | | | | | -1.34% | | |
Prologis Inc | | | | | (81) | | | | | | (8) | | | | | | -1.21% | | |
Apache Corp | | | | | (540) | | | | | | (8) | | | | | | -1.15% | | |
American Airlines Group Inc | | | | | (473) | | | | | | (7) | | | | | | -1.12% | | |
AMETEK Inc | | | | | (58) | | | | | | (7) | | | | | | -1.05% | | |
Verisk Analytics Inc | | | | | (32) | | | | | | (7) | | | | | | -1.00% | | |
Summit Materials Inc | | | | | (322) | | | | | | (6) | | | | | | -0.97% | | |
Jacobs Engineering Group Inc | | | | | (59) | | | | | | (6) | | | | | | -0.96% | | |
HEICO Corp | | | | | (47) | | | | | | (6) | | | | | | -0.93% | | |
Wabtec Corp | | | | | (81) | | | | | | (6) | | | | | | -0.89% | | |
Concho Resources Inc | | | | | (99) | | | | | | (6) | | | | | | -0.87% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
NRG Energy Inc | | | | | 432 | | | | | | 16 | | | | | | 6.61% | | |
SVB Financial Group | | | | | 40 | | | | | | 16 | | | | | | 6.38% | | |
CSX Corp | | | | | 154 | | | | | | 14 | | | | | | 5.71% | | |
Vale SA | | | | | 760 | | | | | | 13 | | | | | | 5.19% | | |
Fastenal Co | | | | | 225 | | | | | | 11 | | | | | | 4.47% | | |
Canadian Pacific Railway Ltd | | | | | 31 | | | | | | 11 | | | | | | 4.38% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Freeport-McMoRan Inc | | | | | 404 | | | | | | 11 | | | | | | 4.29% | | |
Caterpillar Inc | | | | | 53 | | | | | | 10 | | | | | | 3.96% | | |
Rio Tinto PLC | | | | | 126 | | | | | | 9 | | | | | | 3.86% | | |
WW Grainger Inc | | | | | 21 | | | | | | 9 | | | | | | 3.50% | | |
Celanese Corp | | | | | 63 | | | | | | 8 | | | | | | 3.35% | | |
Regions Financial Corp | | | | | 462 | | | | | | 7 | | | | | | 3.03% | | |
Citizens Financial Group Inc | | | | | 186 | | | | | | 7 | | | | | | 2.71% | | |
Steel Dynamics Inc | | | | | 172 | | | | | | 6 | | | | | | 2.58% | | |
Reliance Steel & Aluminum Co | | | | | 47 | | | | | | 6 | | | | | | 2.31% | | |
Southern Copper Corp | | | | | 86 | | | | | | 6 | | | | | | 2.29% | | |
WESCO International Inc | | | | | 67 | | | | | | 5 | | | | | | 2.15% | | |
ArcelorMittal | | | | | 227 | | | | | | 5 | | | | | | 2.12% | | |
East West Bancorp Inc | | | | | 96 | | | | | | 5 | | | | | | 1.98% | | |
Nucor Corp | | | | | 87 | | | | | | 5 | | | | | | 1.88% | | |
MSC Industrial Direct Co Inc | | | | | 47 | | | | | | 4 | | | | | | 1.62% | | |
Allegheny Technologies Inc | | | | | 231 | | | | | | 4 | | | | | | 1.58% | | |
United States Steel Corp | | | | | 231 | | | | | | 4 | | | | | | 1.58% | | |
Arconic Inc | | | | | 132 | | | | | | 4 | | | | | | 1.53% | | |
Hess Corp | | | | | 71 | | | | | | 4 | | | | | | 1.53% | | |
Marathon Petroleum Corp | | | | | 89 | | | | | | 4 | | | | | | 1.51% | | |
Flowserve Corp | | | | | 91 | | | | | | 3 | | | | | | 1.36% | | |
Canadian Natural Resources Ltd | | | | | 117 | | | | | | 3 | | | | | | 1.14% | | |
Pioneer Natural Resources Co | | | | | 20 | | | | | | 2 | | | | | | 0.95% | | |
CNX Resources Corp | | | | | 212 | | | | | | 2 | | | | | | 0.93% | | |
Suncor Energy Inc | | | | | 135 | | | | | | 2 | | | | | | 0.93% | | |
POSCO | | | | | 34 | | | | | | 2 | | | | | | 0.87% | | |
Tenaris SA | | | | | 130 | | | | | | 2 | | | | | | 0.84% | | |
Compass Minerals International Inc | | | | | 31 | | | | | | 2 | | | | | | 0.79% | | |
Diamondback Energy Inc | | | | | 40 | | | | | | 2 | | | | | | 0.79% | | |
Century Aluminum Co | | | | | 162 | | | | | | 2 | | | | | | 0.73% | | |
Marathon Oil Corp | | | | | 236 | | | | | | 2 | | | | | | 0.64% | | |
Murphy Oil Corp | | | | | 128 | | | | | | 2 | | | | | | 0.63% | | |
Halliburton Co | | | | | 82 | | | | | | 2 | | | | | | 0.63% | | |
Baker Hughes a GE Co | | | | | 73 | | | | | | 2 | | | | | | 0.62% | | |
National Oilwell Varco Inc | | | | | 102 | | | | | | 1 | | | | | | 0.57% | | |
Devon Energy Corp | | | | | 87 | | | | | | 1 | | | | | | 0.56% | | |
Helmerich & Payne Inc | | | | | 55 | | | | | | 1 | | | | | | 0.52% | | |
TechnipFMC PLC | | | | | 122 | | | | | | 1 | | | | | | 0.47% | | |
Dril-Quip Inc | | | | | 38 | | | | | | 1 | | | | | | 0.46% | | |
Chevron Corp | | | | | 13 | | | | | | 1 | | | | | | 0.43% | | |
Schlumberger Ltd | | | | | 47 | | | | | | 1 | | | | | | 0.41% | | |
Alcoa Corp | | | | | 44 | | | | | | 1 | | | | | | 0.41% | | |
Arconic Corp | | | | | 33 | | | | | | 1 | | | | | | 0.40% | | |
Carpenter Technology Corp | | | | | 31 | | | | | | 1 | | | | | | 0.36% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
NVIDIA Corp | | | | | 31 | | | | | | 16 | | | | | | 7.12% | | |
Apple Inc | | | | | 98 | | | | | | 13 | | | | | | 5.77% | | |
ServiceNow Inc | | | | | 23 | | | | | | 12 | | | | | | 5.55% | | |
Netflix Inc | | | | | 21 | | | | | | 11 | | | | | | 4.99% | | |
Adobe Inc | | | | | 21 | | | | | | 10 | | | | | | 4.64% | | |
NIKE Inc | | | | | 69 | | | | | | 10 | | | | | | 4.31% | | |
Chipotle Mexican Grill Inc | | | | | 7 | | | | | | 9 | | | | | | 4.07% | | |
Broadcom Inc | | | | | 21 | | | | | | 9 | | | | | | 4.03% | | |
Charter Communications Inc | | | | | 12 | | | | | | 8 | | | | | | 3.66% | | |
Starbucks Corp | | | | | 74 | | | | | | 8 | | | | | | 3.55% | | |
Walt Disney Co | | | | | 42 | | | | | | 8 | | | | | | 3.42% | | |
Visa Inc | | | | | 35 | | | | | | 8 | | | | | | 3.38% | | |
Lululemon Athletica Inc | | | | | 19 | | | | | | 7 | | | | | | 2.97% | | |
Deere & Co | | | | | 24 | | | | | | 6 | | | | | | 2.88% | | |
Coca-Cola Co | | | | | 118 | | | | | | 6 | | | | | | 2.87% | | |
Pfizer Inc | | | | | 166 | | | | | | 6 | | | | | | 2.71% | | |
PepsiCo Inc | | | | | 37 | | | | | | 6 | | | | | | 2.47% | | |
Sherwin-Williams Co | | | | | 7 | | | | | | 5 | | | | | | 2.15% | | |
Atlassian Corp PLC | | | | | 19 | | | | | | 5 | | | | | | 2.02% | | |
American Tower Corp | | | | | 20 | | | | | | 5 | | | | | | 2.01% | | |
S&P Global Inc | | | | | 13 | | | | | | 4 | | | | | | 1.93% | | |
Altria Group Inc | | | | | 104 | | | | | | 4 | | | | | | 1.90% | | |
Philip Morris International Inc | | | | | 52 | | | | | | 4 | | | | | | 1.90% | | |
Crown Castle International Corp | | | | | 26 | | | | | | 4 | | | | | | 1.83% | | |
Blackstone Group LP | | | | | 60 | | | | | | 4 | | | | | | 1.72% | | |
Equinix Inc | | | | | 5 | | | | | | 4 | | | | | | 1.64% | | |
Constellation Brands Inc | | | | | 13 | | | | | | 3 | | | | | | 1.26% | | |
MSCI Inc | | | | | 6 | | | | | | 3 | | | | | | 1.23% | | |
O’Reilly Automotive Inc | | | | | 6 | | | | | | 3 | | | | | | 1.17% | | |
TRANE TECHNOLOGIES PLC | | | | | 17 | | | | | | 3 | | | | | | 1.11% | | |
Verisk Analytics Inc | | | | | 12 | | | | | | 2 | | | | | | 1.10% | | |
AutoZone Inc | | | | | 2 | | | | | | 2 | | | | | | 1.09% | | |
Moody’s Corp | | | | | 8 | | | | | | 2 | | | | | | 1.00% | | |
SBA Communications Corp | | | | | 7 | | | | | | 2 | | | | | | 0.93% | | |
Shake Shack Inc | | | | | 24 | | | | | | 2 | | | | | | 0.90% | | |
Advance Auto Parts Inc | | | | | 11 | | | | | | 2 | | | | | | 0.80% | | |
AMETEK Inc | | | | | 15 | | | | | | 2 | | | | | | 0.79% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Fortive Corp | | | | | 22 | | | | | | 2 | | | | | | 0.70% | | |
KKR & Co Inc | | | | | 33 | | | | | | 1 | | | | | | 0.60% | | |
Apollo Global Management LLC | | | | | 22 | | | | | | 1 | | | | | | 0.48% | | |
Ferrari NV | | | | | 4 | | | | | | 1 | | | | | | 0.38% | | |
INGERSOLL-RAND INC | | | | | 15 | | | | | | 1 | | | | | | 0.31% | | |
Bright Horizons Family Solutions, Inc | | | | | 3 | | | | | | 1 | | | | | | 0.25% | | |
Viatris Inc | | | | | 21 | | | | | | 0 | | | | | | 0.17% | | |
Vontier Corp | | | | | 9 | | | | | | 0 | | | | | | 0.13% | | |
Ares Management Corp | | | | | 5 | | | | | | 0 | | | | | | 0.10% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Portfolio Company(a) | | | Footnotes | | | Yield | | | Number of Shares | | | Cost | | | Fair Value(b) | | |||||||||
Short-Term Investments – 88.7% | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Institutional Liquid Reserves Fund – Premier Class | | | (c) | | | 0.10% | | | | | 24,031,645 | | | | | $ | 24,040 | | | | | $ | 24,036 | | |
Total Short-Term Investments | | | | | | | | | | | | | | | | | 24,040 | | | | | | 24,036 | | |
TOTAL INVESTMENTS – 88.7% | | | | | | | | | | | | | | | | $ | 24,040 | | | | | | 24,036 | | |
Other Assets in Excess of Liabilities – 11.3% | | | | | | | | | | | | | | | | | | | | | | | 3,067 | | |
Net Assets – 100.0% | | | | | | | | | | | | | | | | | | | | | | $ | 27,103 | | |
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(b) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
Barclays Bank PLC | | | Fixed Rate of 0.10% | | | Total return on Novus Barclays Public Ownership HF Conviction US Index ER(e) | | | USD 1,713 | | | | | 5/17/21 | | | | N/A | | | | $ | — | | | | | $ | 335 | | | | | $ | 335 | | | | | $ | — | | |
Barclays Bank PLC | | | Total return on Barclays US Momentum Pair Index(f) | | | Fixed Rate of – 0.27% | | | USD 1,592 | | | | | 8/23/21 | | | | Quarterly | | | | | 1 | | | | | | — | | | | | | — | | | | | | 1 | | |
Barclays Bank PLC | | | Fixed Rate of 0.35% | | | Total return on Barclays US Value Equity Market Hedged Index ER(g) | | | USD 4,150 | | | | | 1/10/22 | | | | N/A | | | | | — | | | | | | (77) | | | | | | — | | | | | | 77 | | |
Goldman Sachs International | | | Total return on Russell 1000 Total Return Index(h) | | | 3 Month LIBOR – 0.20% | | | USD 7,309 | | | | | 4/21/21 | | | | Quarterly | | | | | — | | | | | | (887) | | | | | | — | | | | | | 887 | | |
Barclays Bank PLC | | | Total return on Barlcays Short Interest Short Basket Total Return Index(i) | | | Fed Funds Rate – 1.05% | | | USD 818 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | (7) | | | | | | — | | | | | | 7 | | |
Barclays Bank PLC | | | Fixed Rate of 0.10% | | | Total return on Novus Barclays Public Ownership HF Conviction US Index ER(j) | | | USD 3,521 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | 805 | | | | | | 805 | | | | | | — | | |
Barclays Bank PLC | | | 1 Month LIBOR + 0.30% | | | Total return on Novus Barclays Adjustment Long Basket Index(k) | | | USD 12,302 | | | | | 5/24/21 | | | | Monthly | | | | | — | | | | | | 51 | | | | | | 51 | | | | | | — | | |
Barclays Bank PLC | | | Total return on Barclays US Volatility Pair Index(l) | | | Fixed Rate of – 0.27% | | | USD 1,564 | | | | | 8/23/21 | | | | Quarterly | | | | | — | | | | | | (59) | | | | | | — | | | | | | 59 | | |
Barclays Bank PLC | | | Fixed Rate of 0.10% | | | Total return on Novus Barclays Public Ownership HF Conviction US Index ER(m) | | | USD 1,803 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | 463 | | | | | | 463 | | | | | | — | | |
Barclays Bank PLC | | | Fixed Rate of 0.10% | | | Total return on Novus Barclays Public Ownership HF Conviction US Index ER(n) | | | USD 12,991 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | 5,381 | | | | | | 5,381 | | | | | | — | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Fund Pays | | | Fund Receives | | | Notional Amount | | | Expiration Date | | | Periodic Payment Frequency | | | Premium Paid (Received) | | | Fair Value(b) | | | Unrealized Appreciation | | | Unrealized Depreciation | | |||||||||||||||
Goldman Sachs International | | | 3 Month LIBOR | | | Total return on Russell 2000 Total Return Index(o) | | | USD 6,745 | | | | | 4/21/21 | | | | Quarterly | | | | $ | — | | | | | $ | 1,382 | | | | | $ | 1,382 | | | | | $ | — | | |
Barclays Bank PLC | | | Total return on Russell 1000 Total Return Index(p) | | | 3 Month LIBOR + 0.18% | | | USD 5,440 | | | | | 1/19/21 | | | | N/A | | | | | — | | | | | | (1,209) | | | | | | — | | | | | | 1,209 | | |
Barclays Bank PLC | | | Total return on Barlcays Short Interest Short Basket Total Return Index(q) | | | Fed Funds Rate – 1.05% | | | USD 5,550 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | (3,005) | | | | | | — | | | | | | 3,005 | | |
Barclays Bank PLC | | | Total return on Barlcays Short Interest Short Basket Total Return Index(r) | | | Fed Funds Rate – 1.05% | | | USD 1,037 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | (370) | | | | | | — | | | | | | 370 | | |
Barclays Bank PLC | | | Total return on Novus Barclays Adjustment Short Basket Index(s) | | | 1 Month LIBOR – 0.30% | | | USD 4,000 | | | | | 5/24/21 | | | | Monthly | | | | | — | | | | | | (110) | | | | | | — | | | | | | 110 | | |
Barclays Bank PLC | | | Total return on Barlcays Short Interest Short Basket Total Return Index(t) | | | Fed Funds Rate – 1.05% | | | USD 1,910 | | | | | 5/17/21 | | | | N/A | | | | | — | | | | | | (841) | | | | | | — | | | | | | 841 | | |
Total Total Return Index Swaps | | | | | | | | | | | | | | | | | | | | | | $ | 1 | | | | | $ | 1,852 | | | | | $ | 8,417 | | | | | $ | 6,566 | | |
|
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Tesla Inc | | | | | 76 | | | | | | 54 | | | | | | 2.63% | | |
Walt Disney Co | | | | | 271 | | | | | | 49 | | | | | | 2.40% | | |
PayPal Holdings Inc | | | | | 199 | | | | | | 47 | | | | | | 2.28% | | |
Zillow Group Inc | | | | | 356 | | | | | | 46 | | | | | | 2.25% | | |
Credit Acceptance Corp | | | | | 131 | | | | | | 45 | | | | | | 2.22% | | |
Interactive Brokers Group Inc | | | | | 743 | | | | | | 45 | | | | | | 2.21% | | |
Apple Inc | | | | | 338 | | | | | | 45 | | | | | | 2.19% | | |
Altice USA Inc | | | | | 1,177 | | | | | | 45 | | | | | | 2.18% | | |
Planet Fitness Inc | | | | | 569 | | | | | | 44 | | | | | | 2.16% | | |
Netflix Inc | | | | | 81 | | | | | | 44 | | | | | | 2.15% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Builders FirstSource Inc | | | | | 1,074 | | | | | | 44 | | | | | | 2.14% | | |
Caesars Entertainment Corp | | | | | 590 | | | | | | 44 | | | | | | 2.14% | | |
Bank of America Corp | | | | | 1,436 | | | | | | 44 | | | | | | 2.13% | | |
Charles Schwab Corp | | | | | 820 | | | | | | 43 | | | | | | 2.12% | | |
Square Inc | | | | | 197 | | | | | | 43 | | | | | | 2.09% | | |
GoDaddy Inc | | | | | 513 | | | | | | 43 | | | | | | 2.08% | | |
Adobe Inc | | | | | 85 | | | | | | 42 | | | | | | 2.07% | | |
Constellation Brands Inc | | | | | 193 | | | | | | 42 | | | | | | 2.06% | | |
Progressive Corp | | | | | 426 | | | | | | 42 | | | | | | 2.06% | | |
Mastercard Inc | | | | | 118 | | | | | | 42 | | | | | | 2.06% | | |
WillScot Corp | | | | | 1,815 | | | | | | 42 | | | | | | 2.05% | | |
Moody’s Corp | | | | | 144 | | | | | | 42 | | | | | | 2.05% | | |
ServiceNow Inc | | | | | 76 | | | | | | 42 | | | | | | 2.04% | | |
Dell Technologies Inc | | | | | 568 | | | | | | 42 | | | | | | 2.03% | | |
Visa Inc | | | | | 189 | | | | | | 41 | | | | | | 2.02% | | |
Microsoft Corp | | | | | 186 | | | | | | 41 | | | | | | 2.02% | | |
T-Mobile US Inc | | | | | 305 | | | | | | 41 | | | | | | 2.01% | | |
Amazon.com Inc | | | | | 13 | | | | | | 41 | | | | | | 2.01% | | |
Comcast Corp | | | | | 783 | | | | | | 41 | | | | | | 2.00% | | |
TransDigm Group Inc | | | | | 66 | | | | | | 41 | | | | | | 2.00% | | |
Crown Holdings Inc | | | | | 408 | | | | | | 41 | | | | | | 2.00% | | |
Aon PLC | | | | | 193 | | | | | | 41 | | | | | | 1.99% | | |
NextEra Energy Inc | | | | | 526 | | | | | | 41 | | | | | | 1.98% | | |
Uber Technologies Inc | | | | | 790 | | | | | | 40 | | | | | | 1.97% | | |
Carvana Co | | | | | 168 | | | | | | 40 | | | | | | 1.96% | | |
Charter Communications Inc | | | | | 60 | | | | | | 40 | | | | | | 1.95% | | |
Berkshire Hathaway Inc | | | | | 171 | | | | | | 40 | | | | | | 1.93% | | |
Fiserv Inc | | | | | 347 | | | | | | 39 | | | | | | 1.93% | | |
Facebook Inc | | | | | 144 | | | | | | 39 | | | | | | 1.93% | | |
Alphabet Inc | | | | | 23 | | | | | | 39 | | | | | | 1.92% | | |
STAAR Surgical Co | | | | | 497 | | | | | | 39 | | | | | | 1.92% | | |
Liberty Broadband Corp | | | | | 247 | | | | | | 39 | | | | | | 1.91% | | |
CarMax Inc | | | | | 412 | | | | | | 39 | | | | | | 1.90% | | |
PG&E Corp | | | | | 3,114 | | | | | | 39 | | | | | | 1.89% | | |
Williams Cos Inc | | | | | 1,912 | | | | | | 38 | | | | | | 1.87% | | |
American Tower Corp | | | | | 170 | | | | | | 38 | | | | | | 1.87% | | |
Fidelity National Information Services Inc | | | | | 269 | | | | | | 38 | | | | | | 1.86% | | |
Wayfair Inc | | | | | 157 | | | | | | 36 | | | | | | 1.73% | | |
salesforce.com Inc | | | | | 151 | | | | | | 34 | | | | | | 1.64% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
LendingClub Corp | | | | | 963 | | | | | | 10 | | | | | | 0.64% | | |
Celsius Holdings Inc | | | | | (181) | | | | | | (9) | | | | | | -0.57% | | |
Western Digital Corp | | | | | 163 | | | | | | 9 | | | | | | 0.57% | | |
Maxar Technologies Inc | | | | | (230) | | | | | | (9) | | | | | | -0.56% | | |
DXC Technology Co | | | | | 331 | | | | | | 9 | | | | | | 0.54% | | |
Purple Innovation Inc | | | | | (258) | | | | | | (8) | | | | | | -0.53% | | |
Green Dot Corp | | | | | (151) | | | | | | (8) | | | | | | -0.53% | | |
Twin River Worldwide Holdings Inc | | | | | (167) | | | | | | (8) | | | | | | -0.53% | | |
Denny’s Corp | | | | | 571 | | | | | | 8 | | | | | | 0.53% | | |
Bausch Health Cos Inc | | | | | 403 | | | | | | 8 | | | | | | 0.52% | | |
Equitrans Midstream Corp | | | | | 1,036 | | | | | | 8 | | | | | | 0.52% | | |
Simply Good Foods Co | | | | | 265 | | | | | | 8 | | | | | | 0.52% | | |
Monro Inc | | | | | 156 | | | | | | 8 | | | | | | 0.52% | | |
SiTime Corp | | | | | (74) | | | | | | (8) | | | | | | -0.52% | | |
Sunrun Inc | | | | | (120) | | | | | | (8) | | | | | | -0.52% | | |
Arvinas Inc | | | | | 98 | | | | | | 8 | | | | | | 0.52% | | |
Smith & Wesson Brands Inc | | | | | (467) | | | | | | (8) | | | | | | -0.52% | | |
Ruth’s Hospitality Group Inc | | | | | 467 | | | | | | 8 | | | | | | 0.52% | | |
Goodyear Tire & Rubber Co | | | | | 758 | | | | | | 8 | | | | | | 0.52% | | |
GrafTech International Ltd | | | | | 776 | | | | | | 8 | | | | | | 0.52% | | |
Telephone & Data Systems Inc | | | | | 445 | | | | | | 8 | | | | | | 0.52% | | |
MEDNAX Inc | | | | | 336 | | | | | | 8 | | | | | | 0.52% | | |
Intel Corp | | | | | 165 | | | | | | 8 | | | | | | 0.52% | | |
Hartford Financial Services Group Inc | | | | | 168 | | | | | | 8 | | | | | | 0.52% | | |
MSCI Inc | | | | | (18) | | | | | | (8) | | | | | | -0.52% | | |
Rollins Inc | | | | | (211) | | | | | | (8) | | | | | | -0.52% | | |
Carpenter Technology Corp | | | | | 283 | | | | | | 8 | | | | | | 0.52% | | |
Summit Materials Inc | | | | | 410 | | | | | | 8 | | | | | | 0.52% | | |
Guess? Inc | | | | | 363 | | | | | | 8 | | | | | | 0.52% | | |
Sunnova Energy International Inc | | | | | (182) | | | | | | (8) | | | | | | -0.52% | | |
TechTarget Inc | | | | | (139) | | | | | | (8) | | | | | | -0.52% | | |
Ocular Therapeutix Inc | | | | | (397) | | | | | | (8) | | | | | | -0.52% | | |
Graham Holdings Co | | | | | 15 | | | | | | 8 | | | | | | 0.52% | | |
Radian Group Inc | | | | | 405 | | | | | | 8 | | | | | | 0.52% | | |
Live Oak Bancshares Inc | | | | | (173) | | | | | | (8) | | | | | | -0.52% | | |
Medifast Inc | | | | | (42) | | | | | | (8) | | | | | | -0.52% | | |
Sally Beauty Holdings Inc | | | | | 629 | | | | | | 8 | | | | | | 0.51% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Portland General Electric Co | | | | | 192 | | | | | | 8 | | | | | | 0.51% | | |
API Group Corp | | | | | (452) | | | | | | (8) | | | | | | -0.51% | | |
FirstEnergy Corp | | | | | 268 | | | | | | 8 | | | | | | 0.51% | | |
Assured Guaranty Ltd | | | | | 260 | | | | | | 8 | | | | | | 0.51% | | |
Goosehead Insurance Inc | | | | | (66) | | | | | | (8) | | | | | | -0.51% | | |
Steven Madden Ltd | | | | | 232 | | | | | | 8 | | | | | | 0.51% | | |
Mr Cooper Group Inc | | | | | (264) | | | | | | (8) | | | | | | -0.51% | | |
Tesla Inc | | | | | (12) | | | | | | (8) | | | | | | -0.51% | | |
Curo Group Holdings Corp | | | | | 571 | | | | | | 8 | | | | | | 0.51% | | |
Nielsen Holdings PLC | | | | | 392 | | | | | | 8 | | | | | | 0.51% | | |
Enphase Energy Inc | | | | | (47) | | | | | | (8) | | | | | | -0.51% | | |
Brady Corp | | | | | 155 | | | | | | 8 | | | | | | 0.51% | | |
Apergy Corp | | | | | 535 | | | | | | 8 | | | | | | 0.51% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Index | | | | | | | | | | | | | | | | | | | |
S&P 500 | | | | | (589) | | | | | | (4,543) | | | | | | -111.52% | | |
Common Stock | | | | | | | | | | | | | | | | | | | |
NetApp Inc | | | | | 1,519 | | | | | | 101 | | | | | | 2.47% | | |
NRG Energy Inc | | | | | 2,590 | | | | | | 97 | | | | | | 2.39% | | |
Credit Acceptance Corp | | | | | 274 | | | | | | 95 | | | | | | 2.32% | | |
HP Inc | | | | | 3,800 | | | | | | 93 | | | | | | 2.29% | | |
NortonLifelock Inc | | | | | 4,456 | | | | | | 93 | | | | | | 2.27% | | |
Oracle Corp | | | | | 1,431 | | | | | | 93 | | | | | | 2.27% | | |
Citigroup Inc | | | | | 1,488 | | | | | | 92 | | | | | | 2.25% | | |
Synchrony Financial | | | | | 2,631 | | | | | | 91 | | | | | | 2.24% | | |
PNC Financial Services Group Inc | | | | | 599 | | | | | | 89 | | | | | | 2.19% | | |
Seagate Technology PLC | | | | | 1,415 | | | | | | 88 | | | | | | 2.16% | | |
Bank of New York Mellon Corp | | | | | 2,062 | | | | | | 88 | | | | | | 2.15% | | |
Bunge Ltd | | | | | 1,335 | | | | | | 88 | | | | | | 2.15% | | |
Intel Corp | | | | | 1,748 | | | | | | 87 | | | | | | 2.14% | | |
Philip Morris International Inc | | | | | 1,052 | | | | | | 87 | | | | | | 2.14% | | |
Allstate Corp | | | | | 792 | | | | | | 87 | | | | | | 2.14% | | |
Cisco Systems Inc | | | | | 1,937 | | | | | | 87 | | | | | | 2.13% | | |
DaVita Inc | | | | | 738 | | | | | | 87 | | | | | | 2.13% | | |
M&T Bank Corp | | | | | 674 | | | | | | 86 | | | | | | 2.11% | | |
Lincoln National Corp | | | | | 1,698 | | | | | | 85 | | | | | | 2.10% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Interpublic Group of Cos Inc | | | | | 3,613 | | | | | | 85 | | | | | | 2.09% | | |
Vistra Energy Corp | | | | | 4,301 | | | | | | 85 | | | | | | 2.08% | | |
AbbVie Inc | | | | | 789 | | | | | | 85 | | | | | | 2.08% | | |
International Business Machine | | | | | 668 | | | | | | 84 | | | | | | 2.07% | | |
Molina Healthcare Inc | | | | | 396 | | | | | | 84 | | | | | | 2.07% | | |
Amgen Inc | | | | | 366 | | | | | | 84 | | | | | | 2.07% | | |
Huntington Ingalls Industries | | | | | 491 | | | | | | 84 | | | | | | 2.06% | | |
Juniper Networks Inc | | | | | 3,700 | | | | | | 83 | | | | | | 2.04% | | |
State Street Corp | | | | | 1,144 | | | | | | 83 | | | | | | 2.04% | | |
Tyson Foods Inc | | | | | 1,279 | | | | | | 82 | | | | | | 2.02% | | |
Fox Corp | | | | | 2,817 | | | | | | 82 | | | | | | 2.01% | | |
Cardinal Health Inc | | | | | 1,532 | | | | | | 82 | | | | | | 2.01% | | |
Biogen Inc | | | | | 335 | | | | | | 82 | | | | | | 2.01% | | |
Western Union Co | | | | | 3,719 | | | | | | 82 | | | | | | 2.00% | | |
eBay Inc | | | | | 1,624 | | | | | | 82 | | | | | | 2.00% | | |
Brunswick Corp/DE | | | | | 1,070 | | | | | | 82 | | | | | | 2.00% | | |
Steel Dynamics Inc | | | | | 2,202 | | | | | | 81 | | | | | | 1.99% | | |
Omnicom Group Inc | | | | | 1,302 | | | | | | 81 | | | | | | 1.99% | | |
Aflac Inc | | | | | 1,807 | | | | | | 80 | | | | | | 1.97% | | |
McKesson Corp | | | | | 462 | | | | | | 80 | | | | | | 1.97% | | |
Herbalife Nutrition Ltd | | | | | 1,663 | | | | | | 80 | | | | | | 1.96% | | |
General Dynamics Corp | | | | | 537 | | | | | | 80 | | | | | | 1.96% | | |
Kroger Co | | | | | 2,490 | | | | | | 79 | | | | | | 1.94% | | |
Verizon Communications Inc | | | | | 1,346 | | | | | | 79 | | | | | | 1.94% | | |
Snap-on Inc | | | | | 462 | | | | | | 79 | | | | | | 1.94% | | |
Lockheed Martin Corp | | | | | 217 | | | | | | 77 | | | | | | 1.89% | | |
Pinnacle West Capital Corp | | | | | 957 | | | | | | 77 | | | | | | 1.88% | | |
CenturyLink Inc | | | | | 7,719 | | | | | | 75 | | | | | | 1.85% | | |
Toll Brothers Inc | | | | | 1,712 | | | | | | 74 | | | | | | 1.83% | | |
Williams-Sonoma Inc | | | | | 731 | | | | | | 74 | | | | | | 1.83% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Russell 1000 Index Total Return | | | | | (6,667) | | | | | | -100.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
FuelCell Energy Inc | | | | | (412) | | | | | | (5) | | | | | | -0.56% | | |
Arvinas Inc | | | | | (53) | | | | | | (5) | | | | | | -0.55% | | |
Builders FirstSource Inc | | | | | (110) | | | | | | (4) | | | | | | -0.54% | | |
Editas Medicine Inc | | | | | (64) | | | | | | (4) | | | | | | -0.54% | | |
QUALYS INC | | | | | (37) | | | | | | (4) | | | | | | -0.54% | | |
Heron Therapeutics Inc | | | | | (210) | | | | | | (4) | | | | | | -0.54% | | |
Plug Power Inc | | | | | (131) | | | | | | (4) | | | | | | -0.54% | | |
Dave & Buster’s Entertainment Inc | | | | | (147) | | | | | | (4) | | | | | | -0.54% | | |
Ormat Technologies Inc | | | | | (49) | | | | | | (4) | | | | | | -0.54% | | |
PetIQ Inc | | | | | (115) | | | | | | (4) | | | | | | -0.54% | | |
Macy’s Inc | | | | | (392) | | | | | | (4) | | | | | | -0.53% | | |
ZoomInfo Technologies Inc | | | | | (91) | | | | | | (4) | | | | | | -0.53% | | |
Sinclair Broadcast Group Inc | | | | | (138) | | | | | | (4) | | | | | | -0.53% | | |
IAC/InterActiveCorp | | | | | (23) | | | | | | (4) | | | | | | -0.53% | | |
Antero Resources Corp | | | | | (807) | | | | | | (4) | | | | | | -0.53% | | |
8x8 Inc | | | | | (128) | | | | | | (4) | | | | | | -0.53% | | |
Seabridge Gold Inc | | | | | (208) | | | | | | (4) | | | | | | -0.53% | | |
CINEMARK HOLDINGS INC | | | | | (252) | | | | | | (4) | | | | | | -0.53% | | |
2U Inc | | | | | (109) | | | | | | (4) | | | | | | -0.53% | | |
Children’s Place Inc | | | | | (87) | | | | | | (4) | | | | | | -0.53% | | |
Revolve Group Inc | | | | | (140) | | | | | | (4) | | | | | | -0.53% | | |
MongoDB Inc | | | | | (12) | | | | | | (4) | | | | | | -0.53% | | |
Hibbett Sports Inc | | | | | (95) | | | | | | (4) | | | | | | -0.53% | | |
Lovesac | | | | | (101) | | | | | | (4) | | | | | | -0.53% | | |
Dick’s Sporting Goods Inc | | | | | (78) | | | | | | (4) | | | | | | -0.53% | | |
Bloom Energy Corp | | | | | (152) | | | | | | (4) | | | | | | -0.53% | | |
Altice USA Inc | | | | | (115) | | | | | | (4) | | | | | | -0.53% | | |
LivePerson Inc | | | | | (70) | | | | | | (4) | | | | | | -0.53% | | |
1-800-Flowers.com Inc | | | | | (168) | | | | | | (4) | | | | | | -0.53% | | |
TRUPANION INC | | | | | (36) | | | | | | (4) | | | | | | -0.53% | | |
Sally Beauty Holdings Inc | | | | | (333) | | | | | | (4) | | | | | | -0.53% | | |
Marcus Corp | | | | | (322) | | | | | | (4) | | | | | | -0.53% | | |
Livent Corp | | | | | (230) | | | | | | (4) | | | | | | -0.53% | | |
Infinera Corp | | | | | (414) | | | | | | (4) | | | | | | -0.53% | | |
iRobot Corp | | | | | (54) | | | | | | (4) | | | | | | -0.53% | | |
HealthEquity Inc | | | | | (62) | | | | | | (4) | | | | | | -0.53% | | |
Q2 Holdings Inc | | | | | (34) | | | | | | (4) | | | | | | -0.53% | | |
Anaplan Inc | | | | | (60) | | | | | | (4) | | | | | | -0.53% | | |
Navient Corp | | | | | (442) | | | | | | (4) | | | | | | -0.53% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Cardlytics Inc | | | | | (30) | | | | | | (4) | | | | | | -0.53% | | |
APPIAN CORP | | | | | (27) | | | | | | (4) | | | | | | -0.52% | | |
Everbridge Inc | | | | | (29) | | | | | | (4) | | | | | | -0.52% | | |
Sabre Corp | | | | | (360) | | | | | | (4) | | | | | | -0.52% | | |
Global Blood Therapeutics Inc | | | | | (100) | | | | | | (4) | | | | | | -0.52% | | |
II-VI Inc | | | | | (57) | | | | | | (4) | | | | | | -0.52% | | |
Sunrun Inc | | | | | (62) | | | | | | (4) | | | | | | -0.52% | | |
EverQuote Inc | | | | | (116) | | | | | | (4) | | | | | | -0.52% | | |
Discovery Inc | | | | | (143) | | | | | | (4) | | | | | | -0.52% | | |
Chart Industries Inc | | | | | (37) | | | | | | (4) | | | | | | -0.52% | | |
Tabula Rasa HealthCare Inc | | | | | (101) | | | | | | (4) | | | | | | -0.52% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Tesla Inc | | | | | 161 | | | | | | 114 | | | | | | 2.63% | | |
Walt Disney Co | | | | | 572 | | | | | | 104 | | | | | | 2.40% | | |
PayPal Holdings Inc | | | | | 420 | | | | | | 98 | | | | | | 2.28% | | |
Zillow Group Inc | | | | | 751 | | | | | | 97 | | | | | | 2.25% | | |
Credit Acceptance Corp | | | | | 277 | | | | | | 96 | | | | | | 2.22% | | |
Interactive Brokers Group Inc | | | | | 1,570 | | | | | | 96 | | | | | | 2.21% | | |
Apple Inc | | | | | 714 | | | | | | 95 | | | | | | 2.19% | | |
Altice USA Inc | | | | | 2,485 | | | | | | 94 | | | | | | 2.18% | | |
Planet Fitness Inc | | | | | 1,201 | | | | | | 93 | | | | | | 2.16% | | |
Netflix Inc | | | | | 172 | | | | | | 93 | | | | | | 2.15% | | |
Builders FirstSource Inc | | | | | 2,267 | | | | | | 93 | | | | | | 2.14% | | |
Caesars Entertainment Corp | | | | | 1,245 | | | | | | 92 | | | | | | 2.14% | | |
Bank of America Corp | | | | | 3,033 | | | | | | 92 | | | | | | 2.13% | | |
Charles Schwab Corp | | | | | 1,732 | | | | | | 92 | | | | | | 2.12% | | |
Square Inc | | | | | 416 | | | | | | 91 | | | | | | 2.09% | | |
GoDaddy Inc | | | | | 1,083 | | | | | | 90 | | | | | | 2.08% | | |
Adobe Inc | | | | | 179 | | | | | | 90 | | | | | | 2.07% | | |
Constellation Brands Inc | | | | | 408 | | | | | | 89 | | | | | | 2.06% | | |
Progressive Corp | | | | | 900 | | | | | | 89 | | | | | | 2.06% | | |
Mastercard Inc | | | | | 249 | | | | | | 89 | | | | | | 2.06% | | |
WILLSCOT CORP | | | | | 3,832 | | | | | | 89 | | | | | | 2.05% | | |
Moody’s Corp | | | | | 305 | | | | | | 88 | | | | | | 2.05% | | |
ServiceNow Inc | | | | | 160 | | | | | | 88 | | | | | | 2.04% | | |
Dell Technologies Inc | | | | | 1,200 | | | | | | 88 | | | | | | 2.03% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Visa Inc | | | | | 400 | | | | | | 88 | | | | | | 2.02% | | |
Microsoft Corp | | | | | 392 | | | | | | 87 | | | | | | 2.02% | | |
T-Mobile US Inc | | | | | 645 | | | | | | 87 | | | | | | 2.01% | | |
Amazon.com Inc | | | | | 27 | | | | | | 87 | | | | | | 2.01% | | |
Comcast Corp | | | | | 1,653 | | | | | | 87 | | | | | | 2.00% | | |
TransDigm Group Inc | | | | | 140 | | | | | | 86 | | | | | | 2.00% | | |
Crown Holdings Inc | | | | | 862 | | | | | | 86 | | | | | | 2.00% | | |
Aon PLC | | | | | 408 | | | | | | 86 | | | | | | 1.99% | | |
NextEra Energy Inc | | | | | 1,111 | | | | | | 86 | | | | | | 1.98% | | |
Uber Technologies Inc | | | | | 1,668 | | | | | | 85 | | | | | | 1.97% | | |
Carvana Co | | | | | 354 | | | | | | 85 | | | | | | 1.96% | | |
Charter Communications Inc | | | | | 128 | | | | | | 84 | | | | | | 1.95% | | |
Berkshire Hathaway Inc | | | | | 361 | | | | | | 84 | | | | | | 1.93% | | |
Fiserv Inc | | | | | 732 | | | | | | 83 | | | | | | 1.93% | | |
Facebook Inc | | | | | 305 | | | | | | 83 | | | | | | 1.93% | | |
Alphabet Inc | | | | | 48 | | | | | | 83 | | | | | | 1.92% | | |
STAAR SURGICAL Co | | | | | 1,049 | | | | | | 83 | | | | | | 1.92% | | |
Liberty Broadband Corp | | | | | 522 | | | | | | 83 | | | | | | 1.91% | | |
CarMax Inc | | | | | 870 | | | | | | 82 | | | | | | 1.90% | | |
PG&E Corp | | | | | 6,576 | | | | | | 82 | | | | | | 1.89% | | |
Williams Cos Inc | | | | | 4,039 | | | | | | 81 | | | | | | 1.87% | | |
American Tower Corp | | | | | 360 | | | | | | 81 | | | | | | 1.87% | | |
Fidelity National Information Services Inc | | | | | 568 | | | | | | 80 | | | | | | 1.86% | | |
Wayfair Inc | | | | | 332 | | | | | | 75 | | | | | | 1.73% | | |
salesforce.com Inc | | | | | 319 | | | | | | 71 | | | | | | 1.64% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Index | | | | | | | | | | | | | | | | | | | |
Apple Inc | | | | | 4,797 | | | | | | 637 | | | | | | 5.15% | | |
Zendesk Inc | | | | | 4,426 | | | | | | 633 | | | | | | 5.13% | | |
Expedia Group Inc | | | | | 4,506 | | | | | | 597 | | | | | | 4.83% | | |
NIKE Inc | | | | | 4,196 | | | | | | 594 | | | | | | 4.81% | | |
Ashland Global Holdings Inc | | | | | 6,941 | | | | | | 550 | | | | | | 4.45% | | |
Anthem Inc | | | | | 1,710 | | | | | | 549 | | | | | | 4.44% | | |
Booking Holdings Inc | | | | | 246 | | | | | | 548 | | | | | | 4.44% | | |
XPO Logistics Inc | | | | | 4,585 | | | | | | 547 | | | | | | 4.42% | | |
Morgan Stanley | | | | | 7,938 | | | | | | 544 | | | | | | 4.40% | | |
Vertiv Holdings Co | | | | | 29,054 | | | | | | 542 | | | | | | 4.39% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
TJX Cos Inc | | | | | 7,906 | | | | | | 540 | | | | | | 4.37% | | |
O’Reilly Automotive Inc | | | | | 1,188 | | | | | | 538 | | | | | | 4.35% | | |
Lam Research Corp | | | | | 1,136 | | | | | | 537 | | | | | | 4.34% | | |
Home Depot Inc | | | | | 2,019 | | | | | | 536 | | | | | | 4.34% | | |
BMC Stock Holdings Inc | | | | | 9,775 | | | | | | 525 | | | | | | 4.25% | | |
UnitedHealth Group Inc | | | | | 1,356 | | | | | | 476 | | | | | | 3.85% | | |
Microsoft Corp | | | | | 1,986 | | | | | | 442 | | | | | | 3.58% | | |
HCA Healthcare Inc | | | | | 2,658 | | | | | | 437 | | | | | | 3.54% | | |
Nuance Communications Inc | | | | | 9,240 | | | | | | 407 | | | | | | 3.30% | | |
Cardlytics Inc | | | | | 2,853 | | | | | | 407 | | | | | | 3.30% | | |
New York Times Co | | | | | 7,832 | | | | | | 405 | | | | | | 3.28% | | |
Alphabet Inc | | | | | 160 | | | | | | 280 | | | | | | 2.27% | | |
Amazon.com Inc | | | | | 86 | | | | | | 280 | | | | | | 2.27% | | |
JPMorgan Chase & Co | | | | | 2,145 | | | | | | 273 | | | | | | 2.21% | | |
Wells Fargo & Co | | | | | 9,004 | | | | | | 272 | | | | | | 2.20% | | |
Twilio Inc | | | | | 765 | | | | | | 259 | | | | | | 2.10% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Luminar Technologies Inc | | | | | 637 | | | | | | 22 | | | | | | 1.34% | | |
Maxar Technologies Inc | | | | | (497) | | | | | | (19) | | | | | | -1.18% | | |
Coty Inc | | | | | (2,175) | | | | | | (15) | | | | | | -0.94% | | |
Plug Power Inc | | | | | (438) | | | | | | (15) | | | | | | -0.91% | | |
Celsius Holdings Inc | | | | | (291) | | | | | | (15) | | | | | | -0.90% | | |
Ocular Therapeutix Inc | | | | | (683) | | | | | | (14) | | | | | | -0.87% | | |
Welbilt Inc | | | | | (1,061) | | | | | | (14) | | | | | | -0.86% | | |
Lyft Inc | | | | | (283) | | | | | | (14) | | | | | | -0.86% | | |
Spirit AeroSystems Holdings Inc | | | | | (349) | | | | | | (14) | | | | | | -0.84% | | |
CINEMARK HOLDINGS INC | | | | | (770) | | | | | | (13) | | | | | | -0.83% | | |
International Game Technology | | | | | (785) | | | | | | (13) | | | | | | -0.82% | | |
BioCryst Pharmaceuticals Inc | | | | | (1,738) | | | | | | (13) | | | | | | -0.80% | | |
Children’s Place Inc | | | | | (255) | | | | | | (13) | | | | | | -0.79% | | |
Bloom Energy Corp | | | | | (440) | | | | | | (13) | | | | | | -0.78% | | |
Triumph Group Inc | | | | | (1,000) | | | | | | (13) | | | | | | -0.77% | | |
Apergy Corp | | | | | (810) | | | | | | (12) | | | | | | -0.76% | | |
Chefs’ Warehouse Inc | | | | | (479) | | | | | | (12) | | | | | | -0.76% | | |
WPX Energy Inc | | | | | (1,511) | | | | | | (12) | | | | | | -0.76% | | |
Occidental Petroleum Corp | | | | | (710) | | | | | | (12) | | | | | | -0.76% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Diamondback Energy Inc | | | | | (254) | | | | | | (12) | | | | | | -0.76% | | |
Michael Kors Holdings Ltd | | | | | (292) | | | | | | (12) | | | | | | -0.76% | | |
Cardlytics Inc | | | | | (86) | | | | | | (12) | | | | | | -0.75% | | |
Guess? Inc | | | | | (541) | | | | | | (12) | | | | | | -0.75% | | |
Domo Inc | | | | | (191) | | | | | | (12) | | | | | | -0.75% | | |
Devon Energy Corp | | | | | (767) | | | | | | (12) | | | | | | -0.75% | | |
Myovant Sciences Ltd | | | | | (436) | | | | | | (12) | | | | | | -0.74% | | |
NCR Corp | | | | | (319) | | | | | | (12) | | | | | | -0.74% | | |
Eventbrite Inc | | | | | (661) | | | | | | (12) | | | | | | -0.74% | | |
Sabre Corp | | | | | (991) | | | | | | (12) | | | | | | -0.73% | | |
Groupon Inc | | | | | (311) | | | | | | (12) | | | | | | -0.73% | | |
AerCap Holdings NV | | | | | (256) | | | | | | (12) | | | | | | -0.72% | | |
Allegheny Technologies Inc | | | | | (687) | | | | | | (12) | | | | | | -0.71% | | |
Digital Turbine Inc | | | | | (203) | | | | | | (11) | | | | | | -0.71% | | |
TechnipFMC PLC | | | | | (1,207) | | | | | | (11) | | | | | | -0.70% | | |
Matador Resources Co | | | | | (938) | | | | | | (11) | | | | | | -0.70% | | |
PDC Energy Inc | | | | | (551) | | | | | | (11) | | | | | | -0.70% | | |
Apache Corp | | | | | (791) | | | | | | (11) | | | | | | -0.69% | | |
Livent Corp | | | | | (595) | | | | | | (11) | | | | | | -0.69% | | |
Enphase Energy Inc | | | | | (63) | | | | | | (11) | | | | | | -0.68% | | |
National Oilwell Varco Inc | | | | | (800) | | | | | | (11) | | | | | | -0.68% | | |
Cerence Inc | | | | | (109) | | | | | | (11) | | | | | | -0.67% | | |
Designer Brands Inc | | | | | (1,421) | | | | | | (11) | | | | | | -0.67% | | |
Marathon Oil Corp | | | | | (1,625) | | | | | | (11) | | | | | | -0.67% | | |
Carnival Corp | | | | | (499) | | | | | | (11) | | | | | | -0.67% | | |
Social Capital Hedosophia Holdings | | | | | 644 | | | | | | 11 | | | | | | 0.67% | | |
Denny’s Corp | | | | | (732) | | | | | | (11) | | | | | | -0.66% | | |
Targa Resources Corp | | | | | (405) | | | | | | (11) | | | | | | -0.66% | | |
Delek US Holdings Inc | | | | | (664) | | | | | | (11) | | | | | | -0.66% | | |
G-III Apparel Group Ltd | | | | | (447) | | | | | | (11) | | | | | | -0.65% | | |
Halliburton Co | | | | | (558) | | | | | | (11) | | | | | | -0.65% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Tesla Inc | | | | | 84 | | | | | | 60 | | | | | | 2.63% | | |
Walt Disney Co | | | | | 300 | | | | | | 54 | | | | | | 2.40% | | |
PayPal Holdings Inc | | | | | 220 | | | | | | 52 | | | | | | 2.28% | | |
Zillow Group Inc | | | | | 393 | | | | | | 51 | | | | | | 2.25% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Credit Acceptance Corp | | | | | 145 | | | | | | 50 | | | | | | 2.22% | | |
Interactive Brokers Group Inc | | | | | 823 | | | | | | 50 | | | | | | 2.21% | | |
Apple Inc | | | | | 374 | | | | | | 50 | | | | | | 2.19% | | |
Altice USA Inc | | | | | 1,302 | | | | | | 49 | | | | | | 2.18% | | |
Planet Fitness Inc | | | | | 629 | | | | | | 49 | | | | | | 2.16% | | |
Netflix Inc | | | | | 90 | | | | | | 49 | | | | | | 2.15% | | |
Builders FirstSource Inc | | | | | 1,188 | | | | | | 48 | | | | | | 2.14% | | |
Caesars Entertainment Corp | | | | | 652 | | | | | | 48 | | | | | | 2.14% | | |
Bank of America Corp | | | | | 1,589 | | | | | | 48 | | | | | | 2.13% | | |
Charles Schwab Corp | | | | | 907 | | | | | | 48 | | | | | | 2.12% | | |
Square Inc | | | | | 218 | | | | | | 47 | | | | | | 2.09% | | |
GoDaddy Inc | | | | | 567 | | | | | | 47 | | | | | | 2.08% | | |
Adobe Inc | | | | | 94 | | | | | | 47 | | | | | | 2.07% | | |
Constellation Brands Inc | | | | | 214 | | | | | | 47 | | | | | | 2.06% | | |
Progressive Corp | | | | | 472 | | | | | | 47 | | | | | | 2.06% | | |
Mastercard Inc | | | | | 131 | | | | | | 47 | | | | | | 2.06% | | |
WILLSCOT CORP | | | | | 2,008 | | | | | | 47 | | | | | | 2.05% | | |
Moody’s Corp | | | | | 160 | | | | | | 46 | | | | | | 2.05% | | |
ServiceNow Inc | | | | | 84 | | | | | | 46 | | | | | | 2.04% | | |
Dell Technologies Inc | | | | | 629 | | | | | | 46 | | | | | | 2.03% | | |
Visa Inc | | | | | 210 | | | | | | 46 | | | | | | 2.02% | | |
Microsoft Corp | | | | | 205 | | | | | | 46 | | | | | | 2.02% | | |
T-Mobile US Inc | | | | | 338 | | | | | | 46 | | | | | | 2.01% | | |
Amazon.com Inc | | | | | 14 | | | | | | 46 | | | | | | 2.01% | | |
Comcast Corp | | | | | 866 | | | | | | 45 | | | | | | 2.00% | | |
TransDigm Group Inc | | | | | 73 | | | | | | 45 | | | | | | 2.00% | | |
Crown Holdings Inc | | | | | 452 | | | | | | 45 | | | | | | 2.00% | | |
Aon PLC | | | | | 214 | | | | | | 45 | | | | | | 1.99% | | |
NextEra Energy Inc | | | | | 582 | | | | | | 45 | | | | | | 1.98% | | |
Uber Technologies Inc | | | | | 874 | | | | | | 45 | | | | | | 1.97% | | |
Carvana Co | | | | | 185 | | | | | | 44 | | | | | | 1.96% | | |
Charter Communications Inc | | | | | 67 | | | | | | 44 | | | | | | 1.95% | | |
Berkshire Hathaway Inc | | | | | 189 | | | | | | 44 | | | | | | 1.93% | | |
Fiserv Inc | | | | | 384 | | | | | | 44 | | | | | | 1.93% | | |
Facebook Inc | | | | | 160 | | | | | | 44 | | | | | | 1.93% | | |
Alphabet Inc | | | | | 25 | | | | | | 44 | | | | | | 1.92% | | |
STAAR SURGICAL CO | | | | | 550 | | | | | | 44 | | | | | | 1.92% | | |
Liberty Broadband Corp | | | | | 274 | | | | | | 43 | | | | | | 1.91% | | |
CarMax Inc | | | | | 456 | | | | | | 43 | | | | | | 1.90% | | |
PG&E Corp | | | | | 3,446 | | | | | | 43 | | | | | | 1.89% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Williams Cos Inc | | | | | 2,116 | | | | | | 42 | | | | | | 1.87% | | |
American Tower Corp | | | | | 188 | | | | | | 42 | | | | | | 1.87% | | |
Fidelity National Information Services Inc | | | | | 297 | | | | | | 42 | | | | | | 1.86% | | |
Wayfair Inc | | | | | 174 | | | | | | 39 | | | | | | 1.73% | | |
salesforce.com Inc | | | | | 167 | | | | | | 37 | | | | | | 1.64% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Tesla Inc | | | | | 684 | | | | | | 482 | | | | | | 2.63% | | |
Walt Disney Co | | | | | 2,431 | | | | | | 441 | | | | | | 2.40% | | |
PayPal Holdings Inc | | | | | 1,785 | | | | | | 418 | | | | | | 2.28% | | |
Zillow Group Inc | | | | | 3,191 | | | | | | 414 | | | | | | 2.25% | | |
Credit Acceptance Corp | | | | | 1,179 | | | | | | 408 | | | | | | 2.22% | | |
Interactive Brokers Group Inc | | | | | 6,671 | | | | | | 406 | | | | | | 2.21% | | |
Apple Inc | | | | | 3,033 | | | | | | 402 | | | | | | 2.19% | | |
Altice USA Inc | | | | | 10,559 | | | | | | 400 | | | | | | 2.18% | | |
Planet Fitness Inc | | | | | 5,103 | | | | | | 396 | | | | | | 2.16% | | |
Netflix Inc | | | | | 730 | | | | | | 395 | | | | | | 2.15% | | |
Builders FirstSource Inc | | | | | 9,634 | | | | | | 393 | | | | | | 2.14% | | |
Caesars Entertainment Corp | | | | | 5,290 | | | | | | 393 | | | | | | 2.14% | | |
Bank of America Corp | | | | | 12,888 | | | | | | 391 | | | | | | 2.13% | | |
Charles Schwab Corp | | | | | 7,358 | | | | | | 390 | | | | | | 2.12% | | |
Square Inc | | | | | 1,768 | | | | | | 385 | | | | | | 2.09% | | |
GoDaddy Inc | | | | | 4,602 | | | | | | 382 | | | | | | 2.08% | | |
Adobe Inc | | | | | 761 | | | | | | 381 | | | | | | 2.07% | | |
Constellation Brands Inc | | | | | 1,732 | | | | | | 379 | | | | | | 2.06% | | |
Progressive Corp | | | | | 3,824 | | | | | | 378 | | | | | | 2.06% | | |
Mastercard Inc | | | | | 1,059 | | | | | | 378 | | | | | | 2.06% | | |
WILLSCOT CORP | | | | | 16,282 | | | | | | 377 | | | | | | 2.05% | | |
Moody’s Corp | | | | | 1,295 | | | | | | 376 | | | | | | 2.05% | | |
ServiceNow Inc | | | | | 681 | | | | | | 375 | | | | | | 2.04% | | |
Dell Technologies Inc | | | | | 5,099 | | | | | | 374 | | | | | | 2.03% | | |
Visa Inc | | | | | 1,700 | | | | | | 372 | | | | | | 2.02% | | |
Microsoft Corp | | | | | 1,665 | | | | | | 370 | | | | | | 2.02% | | |
T-Mobile US Inc | | | | | 2,739 | | | | | | 369 | | | | | | 2.01% | | |
Amazon.com Inc | | | | | 113 | | | | | | 369 | | | | | | 2.01% | | |
Comcast Corp | | | | | 7,025 | | | | | | 368 | | | | | | 2.00% | | |
TransDigm Group Inc | | | | | 594 | | | | | | 368 | | | | | | 2.00% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Crown Holdings Inc | | | | | 3,662 | | | | | | 367 | | | | | | 2.00% | | |
Aon PLC | | | | | 1,735 | | | | | | 367 | | | | | | 1.99% | | |
NextEra Energy Inc | | | | | 4,719 | | | | | | 364 | | | | | | 1.98% | | |
Uber Technologies Inc | | | | | 7,088 | | | | | | 361 | | | | | | 1.97% | | |
Carvana Co | | | | | 1,504 | | | | | | 360 | | | | | | 1.96% | | |
Charter Communications Inc | | | | | 542 | | | | | | 359 | | | | | | 1.95% | | |
Berkshire Hathaway Inc | | | | | 1,533 | | | | | | 355 | | | | | | 1.93% | | |
Fiserv Inc | | | | | 3,112 | | | | | | 354 | | | | | | 1.93% | | |
Facebook Inc | | | | | 1,296 | | | | | | 354 | | | | | | 1.93% | | |
Alphabet Inc | | | | | 202 | | | | | | 354 | | | | | | 1.92% | | |
STAAR SURGICAL CO | | | | | 4,459 | | | | | | 353 | | | | | | 1.92% | | |
Liberty Broadband Corp | | | | | 2,219 | | | | | | 352 | | | | | | 1.91% | | |
CarMax Inc | | | | | 3,695 | | | | | | 349 | | | | | | 1.90% | | |
PG&E Corp | | | | | 27,942 | | | | | | 348 | | | | | | 1.89% | | |
Williams Cos Inc | | | | | 17,159 | | | | | | 344 | | | | | | 1.87% | | |
American Tower Corp | | | | | 1,528 | | | | | | 343 | | | | | | 1.87% | | |
Fidelity National Information Services Inc | | | | | 2,412 | | | | | | 341 | | | | | | 1.86% | | |
Wayfair Inc | | | | | 1,412 | | | | | | 319 | | | | | | 1.73% | | |
salesforce.com Inc | | | | | 1,354 | | | | | | 301 | | | | | | 1.64% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Russell 2000 Index Total Return | | | | | 8,128 | | | | | | 100.00% | | |
Top Underlying Components | | | Notional | | | Percentage of Equity Notional | | ||||||
Index | | | | | | | | | | | | | |
Russell 1000 Index Total Return | | | | | (6,667) | | | | | | -100.00% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
FuelCell Energy Inc | | | | | (4,270) | | | | | | (48) | | | | | | -0.56% | | |
Arvinas Inc | | | | | (551) | | | | | | (47) | | | | | | -0.55% | | |
Builders FirstSource Inc | | | | | (1,136) | | | | | | (46) | | | | | | -0.54% | | |
Editas Medicine Inc | | | | | (661) | | | | | | (46) | | | | | | -0.54% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
QUALYS INC | | | | | (380) | | | | | | (46) | | | | | | -0.54% | | |
Heron Therapeutics Inc | | | | | (2,178) | | | | | | (46) | | | | | | -0.54% | | |
Plug Power Inc | | | | | (1,357) | | | | | | (46) | | | | | | -0.54% | | |
Dave & Buster’s Entertainment Inc | | | | | (1,528) | | | | | | (46) | | | | | | -0.54% | | |
Ormat Technologies Inc | | | | | (508) | | | | | | (46) | | | | | | -0.54% | | |
PetIQ Inc | | | | | (1,190) | | | | | | (46) | | | | | | -0.54% | | |
Macy’s Inc | | | | | (4,068) | | | | | | (46) | | | | | | -0.53% | | |
ZoomInfo Technologies Inc | | | | | (949) | | | | | | (46) | | | | | | -0.53% | | |
Sinclair Broadcast Group Inc | | | | | (1,435) | | | | | | (46) | | | | | | -0.53% | | |
IAC/InterActiveCorp | | | | | (241) | | | | | | (46) | | | | | | -0.53% | | |
Antero Resources Corp | | | | | (8,367) | | | | | | (46) | | | | | | -0.53% | | |
8x8 Inc | | | | | (1,322) | | | | | | (46) | | | | | | -0.53% | | |
Seabridge Gold Inc | | | | | (2,160) | | | | | | (46) | | | | | | -0.53% | | |
CINEMARK HOLDINGS INC | | | | | (2,610) | | | | | | (45) | | | | | | -0.53% | | |
2U Inc | | | | | (1,135) | | | | | | (45) | | | | | | -0.53% | | |
Children’s Place Inc | | | | | (906) | | | | | | (45) | | | | | | -0.53% | | |
Revolve Group Inc | | | | | (1,454) | | | | | | (45) | | | | | | -0.53% | | |
MongoDB Inc | | | | | (126) | | | | | | (45) | | | | | | -0.53% | | |
Hibbett Sports Inc | | | | | (981) | | | | | | (45) | | | | | | -0.53% | | |
Lovesac Co/The | | | | | (1,051) | | | | | | (45) | | | | | | -0.53% | | |
Dick’s Sporting Goods Inc | | | | | (805) | | | | | | (45) | | | | | | -0.53% | | |
Bloom Energy Corp | | | | | (1,579) | | | | | | (45) | | | | | | -0.53% | | |
Altice USA Inc | | | | | (1,195) | | | | | | (45) | | | | | | -0.53% | | |
LivePerson Inc | | | | | (726) | | | | | | (45) | | | | | | -0.53% | | |
1-800-Flowers.com Inc | | | | | (1,738) | | | | | | (45) | | | | | | -0.53% | | |
TRUPANION INC | | | | | (377) | | | | | | (45) | | | | | | -0.53% | | |
Sally Beauty Holdings Inc | | | | | (3,454) | | | | | | (45) | | | | | | -0.53% | | |
Marcus Corp | | | | | (3,340) | | | | | | (45) | | | | | | -0.53% | | |
Livent Corp | | | | | (2,389) | | | | | | (45) | | | | | | -0.53% | | |
Infinera Corp | | | | | (4,295) | | | | | | (45) | | | | | | -0.53% | | |
iRobot Corp | | | | | (560) | | | | | | (45) | | | | | | -0.53% | | |
HealthEquity Inc | | | | | (645) | | | | | | (45) | | | | | | -0.53% | | |
Q2 Holdings Inc | | | | | (355) | | | | | | (45) | | | | | | -0.53% | | |
Anaplan Inc | | | | | (626) | | | | | | (45) | | | | | | -0.53% | | |
Navient Corp | | | | | (4,578) | | | | | | (45) | | | | | | -0.53% | | |
Cardlytics Inc | | | | | (315) | | | | | | (45) | | | | | | -0.53% | | |
APPIAN CORP | | | | | (277) | | | | | | (45) | | | | | | -0.52% | | |
Everbridge Inc | | | | | (301) | | | | | | (45) | | | | | | -0.52% | | |
Sabre Corp | | | | | (3,732) | | | | | | (45) | | | | | | -0.52% | | |
Global Blood Therapeutics Inc | | | | | (1,035) | | | | | | (45) | | | | | | -0.52% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
II-VI Inc | | | | | (590) | | | | | | (45) | | | | | | -0.52% | | |
Sunrun Inc | | | | | (645) | | | | | | (45) | | | | | | -0.52% | | |
EverQuote Inc | | | | | (1,199) | | | | | | (45) | | | | | | -0.52% | | |
Discovery Inc | | | | | (1,488) | | | | | | (45) | | | | | | -0.52% | | |
Chart Industries Inc | | | | | (380) | | | | | | (45) | | | | | | -0.52% | | |
Tabula Rasa HealthCare Inc | | | | | (1,044) | | | | | | (45) | | | | | | -0.52% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
FuelCell Energy Inc | | | | | (702) | | | | | | (8) | | | | | | -0.56% | | |
Arvinas Inc | | | | | (91) | | | | | | (8) | | | | | | -0.55% | | |
Builders FirstSource Inc | | | | | (187) | | | | | | (8) | | | | | | -0.54% | | |
Editas Medicine Inc | | | | | (109) | | | | | | (8) | | | | | | -0.54% | | |
QUALYS INC | | | | | (62) | | | | | | (8) | | | | | | -0.54% | | |
Heron Therapeutics Inc | | | | | (358) | | | | | | (8) | | | | | | -0.54% | | |
Plug Power Inc | | | | | (223) | | | | | | (8) | | | | | | -0.54% | | |
Dave & Buster’s Entertainment | | | | | (251) | | | | | | (8) | | | | | | -0.54% | | |
Ormat Technologies Inc | | | | | (83) | | | | | | (8) | | | | | | -0.54% | | |
PetIQ Inc | | | | | (196) | | | | | | (8) | | | | | | -0.54% | | |
Macy’s Inc | | | | | (669) | | | | | | (8) | | | | | | -0.53% | | |
ZoomInfo Technologies Inc | | | | | (156) | | | | | | (8) | | | | | | -0.53% | | |
Sinclair Broadcast Group Inc | | | | | (236) | | | | | | (8) | | | | | | -0.53% | | |
IAC/InterActiveCorp | | | | | (40) | | | | | | (8) | | | | | | -0.53% | | |
Antero Resources Corp | | | | | (1,376) | | | | | | (7) | | | | | | -0.53% | | |
8x8 Inc | | | | | (217) | | | | | | (7) | | | | | | -0.53% | | |
Seabridge Gold Inc | | | | | (355) | | | | | | (7) | | | | | | -0.53% | | |
CINEMARK HOLDINGS INC | | | | | (429) | | | | | | (7) | | | | | | -0.53% | | |
2U Inc | | | | | (187) | | | | | | (7) | | | | | | -0.53% | | |
Children’s Place Inc | | | | | (149) | | | | | | (7) | | | | | | -0.53% | | |
Revolve Group Inc | | | | | (239) | | | | | | (7) | | | | | | -0.53% | | |
MongoDB Inc | | | | | (21) | | | | | | (7) | | | | | | -0.53% | | |
Hibbett Sports Inc | | | | | (161) | | | | | | (7) | | | | | | -0.53% | | |
Lovesac Co | | | | | (173) | | | | | | (7) | | | | | | -0.53% | | |
Dick’s Sporting Goods Inc | | | | | (132) | | | | | | (7) | | | | | | -0.53% | | |
Bloom Energy Corp | | | | | (260) | | | | | | (7) | | | | | | -0.53% | | |
Altice USA Inc | | | | | (196) | | | | | | (7) | | | | | | -0.53% | | |
LivePerson Inc | | | | | (119) | | | | | | (7) | | | | | | -0.53% | | |
1-800-Flowers.com Inc | | | | | (286) | | | | | | (7) | | | | | | -0.53% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
TRUPANION INC | | | | | (62) | | | | | | (7) | | | | | | -0.53% | | |
Sally Beauty Holdings Inc | | | | | (568) | | | | | | (7) | | | | | | -0.53% | | |
Marcus Corp | | | | | (549) | | | | | | (7) | | | | | | -0.53% | | |
Livent Corp | | | | | (393) | | | | | | (7) | | | | | | -0.53% | | |
Infinera Corp | | | | | (706) | | | | | | (7) | | | | | | -0.53% | | |
iRobot Corp | | | | | (92) | | | | | | (7) | | | | | | -0.53% | | |
HealthEquity Inc | | | | | (106) | | | | | | (7) | | | | | | -0.53% | | |
Q2 Holdings Inc | | | | | (58) | | | | | | (7) | | | | | | -0.53% | | |
Anaplan Inc | | | | | (103) | | | | | | (7) | | | | | | -0.53% | | |
Navient Corp | | | | | (753) | | | | | | (7) | | | | | | -0.53% | | |
Cardlytics Inc | | | | | (52) | | | | | | (7) | | | | | | -0.53% | | |
APPIAN CORP | | | | | (46) | | | | | | (7) | | | | | | -0.52% | | |
Everbridge Inc | | | | | (50) | | | | | | (7) | | | | | | -0.52% | | |
Sabre Corp | | | | | (614) | | | | | | (7) | | | | | | -0.52% | | |
Global Blood Therapeutics Inc | | | | | (170) | | | | | | (7) | | | | | | -0.52% | | |
II-VI Inc | | | | | (97) | | | | | | (7) | | | | | | -0.52% | | |
Sunrun Inc | | | | | (106) | | | | | | (7) | | | | | | -0.52% | | |
EverQuote Inc | | | | | (197) | | | | | | (7) | | | | | | -0.52% | | |
Discovery Inc | | | | | (245) | | | ��� | | | (7) | | | | | | -0.52% | | |
Chart Industries Inc | | | | | (63) | | | | | | (7) | | | | | | -0.52% | | |
Tabula Rasa HealthCare Inc | | | | | (172) | | | | | | (7) | | | | | | -0.52% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
Altice USA Inc | | | | | (16,792) | | | | | | (636) | | | | | | -15.48% | | |
Credit Acceptance Corp | | | | | (1,718) | | | | | | (595) | | | | | | -14.47% | | |
Builders FirstSource Inc | | | | | (13,095) | | | | | | (534) | | | | | | -13.01% | | |
Zillow Group Inc | | | | | (4,112) | | | | | | (534) | | | | | | -12.99% | | |
Aon PLC | | | | | (2,383) | | | | | | (503) | | | | | | -12.25% | | |
Carvana Co | | | | | (1,987) | | | | | | (476) | | | | | | -11.58% | | |
Berkshire Hathaway Inc | | | | | (1,827) | | | | | | (424) | | | | | | -10.31% | | |
Wayfair Inc | | | | | (1,803) | | | | | | (407) | | | | | | -9.91% | | |
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Common Stock | | | | | | | | | | | | | | | | | | | |
FuelCell Energy Inc | | | | | (1,373) | | | | | | (15) | | | | | | -0.56% | | |
Arvinas Inc | | | | | (177) | | | | | | (15) | | | | | | -0.55% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Builders FirstSource Inc | | | | | (365) | | | | | | (15) | | | | | | -0.54% | | |
Editas Medicine Inc | | | | | (212) | | | | | | (15) | | | | | | -0.54% | | |
QUALYS INC | | | | | (122) | | | | | | (15) | | | | | | -0.54% | | |
Heron Therapeutics Inc | | | | | (700) | | | | | | (15) | | | | | | -0.54% | | |
Plug Power Inc | | | | | (436) | | | | | | (15) | | | | | | -0.54% | | |
Dave & Buster’s Entertainment | | | | | (491) | | | | | | (15) | | | | | | -0.54% | | |
Ormat Technologies Inc | | | | | (163) | | | | | | (15) | | | | | | -0.54% | | |
PetIQ Inc | | | | | (383) | | | | | | (15) | | | | | | -0.54% | | |
Macy’s Inc | | | | | (1,308) | | | | | | (15) | | | | | | -0.53% | | |
ZoomInfo Technologies Inc | | | | | (305) | | | | | | (15) | | | | | | -0.53% | | |
Sinclair Broadcast Group Inc | | | | | (461) | | | | | | (15) | | | | | | -0.53% | | |
IAC/InterActiveCorp | | | | | (78) | | | | | | (15) | | | | | | -0.53% | | |
Antero Resources Corp | | | | | (2,690) | | | | | | (15) | | | | | | -0.53% | | |
8x8 Inc | | | | | (425) | | | | | | (15) | | | | | | -0.53% | | |
Seabridge Gold Inc | | | | | (694) | | | | | | (15) | | | | | | -0.53% | | |
CINEMARK HOLDINGS INC | | | | | (839) | | | | | | (15) | | | | | | -0.53% | | |
2U Inc | | | | | (365) | | | | | | (15) | | | | | | -0.53% | | |
Children’s Place Inc | | | | | (291) | | | | | | (15) | | | | | | -0.53% | | |
Revolve Group Inc | | | | | (468) | | | | | | (15) | | | | | | -0.53% | | |
MongoDB Inc | | | | | (41) | | | | | | (15) | | | | | | -0.53% | | |
Hibbett Sports Inc | | | | | (315) | | | | | | (15) | | | | | | -0.53% | | |
Lovesac Co/The | | | | | (338) | | | | | | (15) | | | | | | -0.53% | | |
Dick’s Sporting Goods Inc | | | | | (259) | | | | | | (15) | | | | | | -0.53% | | |
Bloom Energy Corp | | | | | (508) | | | | | | (15) | | | | | | -0.53% | | |
Altice USA Inc | | | | | (384) | | | | | | (15) | | | | | | -0.53% | | |
LivePerson Inc | | | | | (234) | | | | | | (15) | | | | | | -0.53% | | |
1-800-Flowers.com Inc | | | | | (559) | | | | | | (15) | | | | | | -0.53% | | |
TRUPANION INC | | | | | (121) | | | | | | (15) | | | | | | -0.53% | | |
Sally Beauty Holdings Inc | | | | | (1,110) | | | | | | (14) | | | | | | -0.53% | | |
Marcus Corp | | | | | (1,074) | | | | | | (14) | | | | | | -0.53% | | |
Livent Corp | | | | | (768) | | | | | | (14) | | | | | | -0.53% | | |
Infinera Corp | | | | | (1,381) | | | | | | (14) | | | | | | -0.53% | | |
iRobot Corp | | | | | (180) | | | | | | (14) | | | | | | -0.53% | | |
HealthEquity Inc | | | | | (208) | | | | | | (14) | | | | | | -0.53% | | |
Q2 Holdings Inc | | | | | (114) | | | | | | (14) | | | | | | -0.53% | | |
Anaplan Inc | | | | | (201) | | | | | | (14) | | | | | | -0.53% | | |
Navient Corp | | | | | (1,472) | | | | | | (14) | | | | | | -0.53% | | |
Cardlytics Inc | | | | | (101) | | | | | | (14) | | | | | | -0.53% | | |
APPIAN CORP | | | | | (89) | | | | | | (14) | | | | | | -0.52% | | |
Everbridge Inc | | | | | (97) | | | | | | (14) | | | | | | -0.52% | | |
As of December 31, 2020
(dollar values in thousands, except share and per share amounts)
Top Underlying Components | | | Shares | | | Notional | | | Percentage of Equity Notional | | |||||||||
Sabre Corp | | | | | (1,200) | | | | | | (14) | | | | | | -0.52% | | |
Global Blood Therapeutics Inc | | | | | (333) | | | | | | (14) | | | | | | -0.52% | | |
II-VI Inc | | | | | (190) | | | | | | (14) | | | | | | -0.52% | | |
Sunrun Inc | | | | | (207) | | | | | | (14) | | | | | | -0.52% | | |
EverQuote Inc | | | | | (385) | | | | | | (14) | | | | | | -0.52% | | |
Discovery Inc | | | | | (478) | | | | | | (14) | | | | | | -0.52% | | |
Chart Industries Inc | | | | | (122) | | | | | | (14) | | | | | | -0.52% | | |
Tabula Rasa HealthCare Inc | | | | | (336) | | | | | | (14) | | | | | | -0.52% | | |
(dollar values in thousands, except share and per share data)
| | | December 31, 2020 | | |||||||||||||||
| | | FS Multi-Strategy Alternatives Fund | | | FS Managed Futures Fund | | | FS Global Macro Fund | | |||||||||
Assets | | | | | | | | | | | | | | | | | | | |
Investments, at fair value | | | | $ | 124,887 | | | | | $ | 2,061 | | | | | $ | 6,649 | | |
Cash | | | | | 915 | | | | | | — | | | | | | — | | |
Foreign currency, at fair value | | | | | 128 | | | | | | — | | | | | | 9 | | |
Collateral held at broker(1) | | | | | 19,699 | | | | | | — | | | | | | 260 | | |
Receivable for investments sold | | | | | 321 | | | | | | — | | | | | | 8 | | |
Receivable from Fund shares sold | | | | | 64 | | | | | | — | | | | | | — | | |
Receivable due from investment manager | | | | | 273 | | | | | | 80 | | | | | | 187 | | |
Dividends receivable | | | | | 5 | | | | | | — | | | | | | — | | |
Interest receivable | | | | | 721 | | | | | | — | | | | | | 66 | | |
Unrealized appreciation on swap contracts(2) | | | | | 1,314 | | | | | | 81 | | | | | | 22 | | |
Payment due from broker | | | | | 81 | | | | | | 1 | | | | | | 38 | | |
Prepaid expenses and other assets | | | | | 614 | | | | | | — | | | | | | 26 | | |
Total assets | | | | $ | 149,022 | | | | | $ | 2,223 | | | | | $ | 7,265 | | |
Liabilities | | | | | | | | | | | | | | | | | | | |
Investments sold short, at fair value | | | | | 14,093 | | | | | | — | | | | | | — | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | | 2 | | | | | | — | | | | | | — | | |
Unrealized depreciation on swap contracts(2) | | | | | 1,492 | | | | | | 16 | | | | | | 96 | | |
Payable for investments purchased | | | | | 51 | | | | | | — | | | | | | 8 | | |
Payment due to broker | | | | | 1,263 | | | | | | 23 | | | | | | — | | |
Payable for Fund shares repurchased | | | | | 2,578 | | | | | | — | | | | | | — | | |
Dividends payable | | | | | 3 | | | | | | — | | | | | | — | | |
Management fees payable | | | | | 458 | | | | | | — | | | | | | — | | |
Administrative services expense payable | | | | | 24 | | | | | | 42 | | | | | | 136 | | |
Accounting and administrative fees payable | | | | | 50 | | | | | | 9 | | | | | | 9 | | |
Professional fees payable | | | | | 79 | | | | | | 42 | | | | | | 43 | | |
Trustees’ fees payable | | | | | 26 | | | | | | 1 | | | | | | 1 | | |
Interest payable for investment sold short | | | | | 116 | | | | | | — | | | | | | — | | |
Service fee – Class A | | | | | 2 | | | | | | — | | | | | | — | | |
Other accrued expenses and liabilities | | | | | 82 | | | | | | 12 | | | | | | 42 | | |
Total liabilities | | | | $ | 20,319 | | | | | $ | 145 | | | | | $ | 335 | | |
Net assets | | | | $ | 128,703 | | | | | $ | 2,078 | | | | | $ | 6,930 | | |
(dollar values in thousands, except share and per share data)
| | | December 31, 2020 | | |||||||||||||||
| | | FS Multi-Strategy Alternatives Fund | | | FS Managed Futures Fund | | | FS Global Macro Fund | | |||||||||
Composition of net assets | | | | | | | | | | | | | | | | | | | |
Common shares, $0.001 par value | | | | $ | 13 | | | | | $ | — | | | | | $ | 1 | | |
Capital in excess of par value | | | | | 135,442 | | | | | | 2,011 | | | | | | 7,020 | | |
Accumulated earnings (deficit) | | | | | (6,752) | | | | | | 67 | | | | | | (91) | | |
Net assets | | | | $ | 128,703 | | | | | $ | 2,078 | | | | | $ | 6,930 | | |
Investments, at amortized cost | | | | $ | 120,098 | | | | | $ | 2,061 | | | | | $ | 6,628 | | |
Foreign currency, at cost | | | | $ | 120 | | | | | $ | — | | | | | $ | 9 | | |
Investments sold short, at proceeds | | | | $ | 13,222 | | | | | $ | — | | | | | $ | — | | |
Commitments and contingencies(3) | | | | $ | 5,528 | | | | | $ | 419 | | | | | $ | 543 | | |
Class A Shares | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | $ | 7,036 | | | | | $ | 26 | | | | | $ | 24 | | |
Shares Outstanding | | | | | 720,143 | | | | | | 2,500 | | | | | | 2,500 | | |
Net Asset Value (“NAV”) and Redemption Price Per Share (net assets ÷ shares outstanding) | | | | $ | 9.77 | | | | | $ | 10.33 | | | | | $ | 9.73 | | |
Maximum Offering Price Per Share (NAV ÷ 94.25% of net asset value per share) | | | | $ | 10.37 | | | | | $ | 10.96 | | | | | $ | 10.32 | | |
Class I Shares | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | $ | 121,667 | | | | | $ | 2,052 | | | | | $ | 6,906 | | |
Shares Outstanding | | | | | 12,418,229 | | | | | | 198,693 | | | | | | 709,356 | | |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares outstanding) | | | | $ | 9.80 | | | | | $ | 10.33 | | | | | $ | 9.74 | | |
(dollar values in thousands, except share and per share data)
| | | December 31, 2020 | | |||||||||
| | | FS Real Asset Fund | | | FS Long/Short Equity Fund | | ||||||
Assets | | | | | | | | | | | | | |
Investments, at fair value | | | | $ | 1,611 | | | | | $ | 24,036 | | |
Collateral held at broker(1) | | | | | 540 | | | | | | 1,520 | | |
Receivable from Fund shares sold | | | | | — | | | | | | 1 | | |
Receivable due from investment manager | | | | | 66 | | | | | | 274 | | |
Unrealized appreciation on swap contracts(2) | | | | | 95 | | | | | | 8,417 | | |
Payment due from broker | | | | | — | | | | | | 23 | | |
Prepaid expenses and other assets | | | | | — | | | | | | 2 | | |
Total assets | | | | $ | 2,312 | | | | | $ | 34,273 | | |
Liabilities | | | | | | | | | | | | | |
Unrealized depreciation on swap contracts(2) | | | | | 13 | | | | | | 6,566 | | |
Payment due to broker | | | | | 1 | | | | | | — | | |
Management fees payable | | | | | — | | | | | | 42 | | |
Administrative services expense payable | | | | | 44 | | | | | | 40 | | |
Accounting and administrative fees payable | | | | | 8 | | | | | | 14 | | |
Professional fees payable | | | | | 40 | | | | | | 44 | | |
Trustees’ fees payable | | | | | 1 | | | | | | — | | |
Service fee – Class A | | | | | — | | | | | | — | | |
Other accrued expenses and liabilities | | | | | 11 | | | | | | 464 | | |
Total liabilities | | | | $ | 118 | | | | | $ | 7,170 | | |
Net assets | | | | $ | 2,194 | | | | | $ | 27,103 | | |
Composition of net assets | | | | | | | | | | | | | |
Common shares, $0.001 par value, unlimited shares authorized | | | | $ | — | | | | | $ | 3 | | |
Capital in excess of par value | | | | | 2,027 | | | | | | 25,993 | | |
Accumulated earnings (deficit) | | | | | 167 | | | | | | 1,107 | | |
Net assets | | | | $ | 2,194 | | | | | $ | 27,103 | | |
Investments, at amortized cost | | | | $ | 1,611 | | | | | $ | 24,040 | | |
Commitments and contingencies(3) | | | | $ | 495 | | | | | $ | 780 | | |
Class A Shares | | | | | | | | | | | | | |
Net Assets | | | | $ | 27 | | | | | $ | 1,515 | | |
Shares Outstanding | | | | | 2,500 | | | | | | 157,289 | | |
Net Asset Value (“NAV”) and Redemption Price Per Share (net assets ÷ shares outstanding) | | | | $ | 10.72 | | | | | $ | 9.63 | | |
Maximum Offering Price Per Share (NAV ÷ 94.25% of net asset value per share) | | | | $ | 11.37 | | | | | $ | 10.22 | | |
Class I Shares | | | | | | | | | | | | | |
Net Assets | | | | $ | 2,167 | | | | | $ | 25,588 | | |
Shares Outstanding | | | | | 202,227 | | | | | | 2,658,132 | | |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares outstanding) | | | | $ | 10.72 | | | | | $ | 9.63 | | |
(dollar values in thousands)
| | | Year Ended December 31, 2020 | | |||||||||||||||
| | | FS Multi-Strategy Alternatives Fund | | | FS Managed Futures Fund | | | FS Global Macro Fund | | |||||||||
Investment income | | | | | | | | | | | | | | | | | | | |
Interest income | | | | $ | 3,477 | | | | | $ | — | | | | | $ | 17 | | |
Dividend income* | | | | | 1,037 | | | | | | 11 | | | | | | 10 | | |
Other fee income | | | | | 5 | | | | | | — | | | | | | — | | |
Total investment income | | | | | 4,519 | | | | | | 11 | | | | | | 27 | | |
Operating expenses | | | | | | | | | | | | | | | | | | | |
Management fees | | | | | 2,157 | | | | | | 25 | | | | | | 30 | | |
Administrative services expenses | | | | | 788 | | | | | | 90 | | | | | | 187 | | |
Accounting and administrative fees | | | | | 346 | | | | | | 53 | | | | | | 50 | | |
Other professional fees | | | | | 835 | | | | | | 13 | | | | | | 13 | | |
Audit fees | | | | | 175 | | | | | | 28 | | | | | | 28 | | |
Legal fees | | | | | 135 | | | | | | 10 | | | | | | 21 | | |
Trustees’ fees | | | | | 37 | | | | | | 1 | | | | | | 1 | | |
Distribution and service fees – Class A | | | | | 25 | | | | | | — | | | | | | — | | |
Dividend and interest expense on securities sold short | | | | | 403 | | | | | | — | | | | | | — | | |
Other general and administrative expenses | | | | | 602 | | | | | | 59 | | | | | | 59 | | |
Total operating expenses | | | | | 5,503 | | | | | | 279 | | | | | | 389 | | |
Less: Expense reimbursement from sponsor(1) | | | | | (1,741) | | | | | | (248) | | | | | | (353) | | |
Less: Waiver from adviser(1) | | | | | — | | | | | | (25) | | | | | | (30) | | |
Net operating expenses | | | | | 3,762 | | | | | | 6 | | | | | | 6 | | |
Net investment income | | | | | 757 | | | | | | 5 | | | | | | 21 | | |
Realized and unrealized gain/loss | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on investments | | | | | 14,264 | | | | | | (1) | | | | | | (23) | | |
Net realized gain (loss) on forward foreign currency exchange contracts | | | | | 63 | | | | | | — | | | | | | — | | |
Net realized gain (loss) on total return swaps(2) | | | | | (12,364) | | | | | | 121 | | | | | | (3) | | |
Net realized gain (loss) on investments sold short | | | | | (7,987) | | | | | | — | | | | | | — | | |
Net realized gain (loss) on foreign currency | | | | | (105) | | | | | | — | | | | | | 1 | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | (3,088) | | | | | | — | | | | | | 14 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | | | | | 7 | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) on total return swaps(2) | | | | | 735 | | | | | | 87 | | | | | | (71) | | |
Net change in unrealized appreciation (depreciation) on investments sold short | | | | | (223) | | | | | | — | | | | | | — | | |
Net change in unrealized gain (loss) on foreign currency | | | | | 3 | | | | | | — | | | | | | — | | |
Total net realized gain (loss) and unrealized appreciation (depreciation) | | | | | (8,695) | | | | | | 207 | | | | | | (82) | | |
Net increase (decrease) in net assets resulting from operations | | | | $ | (7,938) | | | | | $ | 212 | | | | | $ | (61) | | |
* Net of tax withholding | | | | $ | 77 | | | | | $ | — | | | | | $ | — | | |
(dollar values in thousands)
| | | Year Ended December 31, 2020 | | |||||||||
| | | FS Real Asset Fund | | | FS Long/Short Equity Fund | | ||||||
Investment income | | | | | | | | | | | | | |
Dividend income* | | | | $ | 12 | | | | | $ | 47 | | |
Interest income | | | | | 1 | | | | | | — | | |
Total investment income | | | | | 13 | | | | | | 47 | | |
Operating expenses | | | | | | | | | | | | | |
Management fees | | | | | 32 | | | | | | 206 | | |
Administrative services expenses | | | | | 114 | | | | | | 376 | | |
Accounting and administrative fees | | | | | 46 | | | | | | 78 | | |
Other professional fees | | | | | 13 | | | | | | 13 | | |
Audit fees | | | | | 28 | | | | | | 28 | | |
Legal fees | | | | | 12 | | | | | | 28 | | |
Trustees’ fees | | | | | 1 | | | | | | 1 | | |
Distribution and service fees – Class A | | | | | — | | | | | | 4 | | |
Other general and administrative expenses | | | | | 57 | | | | | | 122 | | |
Total operating expenses | | | | | 303 | | | | | | 856 | | |
Less: Expense reimbursement from sponsor(1) | | | | | (265) | | | | | | (603) | | |
Less: Waiver from adviser(1) | | | | | (32) | | | | | | (93) | | |
Net operating expenses | | | | | 6 | | | | | | 160 | | |
Net investment income (loss) | | | | | 7 | | | | | | (113) | | |
Realized and unrealized gain/loss | | | | | | | | | | | | | |
Net realized gain (loss) on investments | | | | | (106) | | | | | | (3) | | |
Net realized gain (loss) on total return swaps(2) | | | | | 250 | | | | | | (167) | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | (28) | | | | | | (4) | | |
Net change in unrealized appreciation (depreciation) on total return swaps(2) | | | | | 55 | | | | | | 1,941 | | |
Total net realized gain (loss) and unrealized appreciation (depreciation) | | | | | 171 | | | | | | 1,767 | | |
Net increase (decrease) in net assets resulting from operations | | | | $ | 178 | | | | | $ | 1,654 | | |
* Net of tax withholding | | | | $ | — | | | | | $ | — | | |
(dollar values in thousands)
| | | FS Multi-Strategy Alternatives Fund | | | FS Managed Futures Fund | | ||||||||||||||||||
| | | Year Ended December 31, 2020 | | | Year ended December 31, 2019 | | | Year Ended December 31, 2020 | | | Year ended December 31, 2019 | | ||||||||||||
Operations | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 757 | | | | | $ | 2,202 | | | | | $ | 5 | | | | | $ | 41 | | |
Net realized gain (loss) | | | | | (6,129) | | | | | | (1,171) | | | | | | 120 | | | | | | (16) | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | (3,088) | | | | | | 9,568 | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | | | | | 7 | | | | | | (9) | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation) on total return swaps(1) | | | | | 735 | | | | | | (1,858) | | | | | | 87 | | | | | | (22) | | |
Net change in unrealized appreciation (depreciation) on investments sold short | | | | | (223) | | | | | | (1,124) | | | | | | — | | | | | | — | | |
Net change in unrealized gain (loss) on foreign currency | | | | | 3 | | | | | | 4 | | | | | | — | | | | | | — | | |
Net increase (decrease) in net assets resulting from operations | | | | | (7,938) | | | | | | 7,612 | | | | | | 212 | | | | | | 3 | | |
Shareholder distributions | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | (32) | | | | | | (214) | | | | | | (2) | | | | | | — | | |
Class I | | | | | (969) | | | | | | (3,959) | | | | | | (135) | | | | | | (12) | | |
Net decrease in net assets resulting from shareholder distributions | | | | | (1,001) | | | | | | (4,173) | | | | | | (137) | | | | | | (12) | | |
Capital share transactions(2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | | | (57,874) | | | | | | 94,757 | | | | | | 1 | | | | | | 11 | | |
Total increase (decrease) in net assets | | | | | (66,813) | | | | | | 98,196 | | | | | | 76 | | | | | | 2 | | |
Net assets at beginning of year | | | | | 195,516 | | | | | | 97,320 | | | | | | 2,002 | | | | | | 2,000 | | |
Net assets at end of year | | | | $ | 128,703 | | | | | $ | 195,516 | | | | | $ | 2,078 | | | | | $ | 2,002 | | |
(dollar values in thousands)
| | | FS Global Macro Fund | | | FS Real Asset Fund | | ||||||||||||||||||
| | | Year Ended December 31, 2020 | | | Year ended December 31, 2019 | | | Year Ended December 31, 2020 | | | Year ended December 31, 2019 | | ||||||||||||
Operations | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 21 | | | | | $ | 42 | | | | | $ | 7 | | | | | $ | 62 | | |
Net realized gain (loss) | | | | | (25) | | | | | | 49 | | | | | | 144 | | | | | | 184 | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | 14 | | | | | | 7 | | | | | | (28) | | | | | | 28 | | |
Net change in unrealized appreciation (depreciation) on total return swaps(1) | | | | | (71) | | | | | | (3) | | | | | | 55 | | | | | | 27 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (61) | | | | | | 95 | | | | | | 178 | | | | | | 301 | | |
Shareholder distributions | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | | | | | | | | | | | | | |
Income: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | — | | | | | | (1) | | | | | | (1) | | | | | | (2) | | |
Class I | | | | | (35) | | | | | | (87) | | | | | | (88) | | | | | | (221) | | |
Return of Capital: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Class I | | | | | (18) | | | | | | — | | | | | | — | | | | | | — | | |
Net decrease in net assets resulting from shareholder distributions | | | | | (53) | | | | | | (88) | | | | | | (89) | | | | | | (223) | | |
Capital share transactions(2) | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | | | 5,000 | | | | | | 37 | | | | | | (997) | | | | | | 24 | | |
Total increase (decrease) in net assets | | | | | 4,886 | | | | | | 44 | | | | | | (908) | | | | | | 102 | | |
Net assets at beginning of year | | | | | 2,044 | | | | | | 2,000 | | | | | | 3,102 | | | | | | 3,000 | | |
Net assets at end of year | | | | $ | 6,930 | | | | | $ | 2,044 | | | | | $ | 2,194 | | | | | $ | 3,102 | | |
(dollar values in thousands)
| | | FS Long/Short Equity Fund | | |||||||||
| | | Year Ended December 31, 2020 | | | Year ended December 31, 2019 | | ||||||
Operations | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | (113) | | | | | $ | 49 | | |
Net realized gain (loss) | | | | | (170) | | | | | | 402 | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | (4) | | | | | | — | | |
Net change in unrealized appreciation (depreciation) on total return swaps(1) | | | | | 1,941 | | | | | | (90) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 1,654 | | | | | | 361 | | |
Shareholder distributions | | | | | | | | | | | | | |
Distributions to shareholders | | | | | | | | | | | | | |
Class A | | | | | (24) | | | | | | (5) | | |
Class I | | | | | (463) | | | | | | (417) | | |
Net decrease in net assets resulting from shareholder distributions | | | | | (487) | | | | | | (422) | | |
Capital share transactions(2) | | | | | | | | | | | | | |
Net increase in net assets resulting from capital share transactions | | | | | 22,488 | | | | | | 1,509 | | |
Total increase in net assets | | | | | 23,655 | | | | | | 1,448 | | |
Net assets at beginning of year | | | | | 3,448 | | | | | | 2,000 | | |
Net assets at end of year | | | | $ | 27,103 | | | | | $ | 3,448 | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | | Period from May 16, 2017 (Commencement of Operations) through December 31, 2017 | | ||||||||||||
Per Share Data:(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | | $ | 10.22 | | | | | $ | 9.68 | | | | | $ | 10.18 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.15 | | | | | | 0.15 | | | | | | 0.05 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | (0.43) | | | | | | 0.59 | | | | | | (0.57) | | | | | | 0.13 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.41) | | | | | | 0.74 | | | | | | (0.42) | | | | | | 0.18 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.04) | | | | | | (0.20) | | | | | | — | | | | | | — | | |
Distributions from net realized gain on investments | | | | | — | | | | | | — | | | | | | (0.08) | | | | | | — | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.04) | | | | | | (0.20) | | | | | | (0.08) | | | | | | — | | |
Net asset value, end of period | | | | $ | 9.77 | | | | | $ | 10.22 | | | | | $ | 9.68 | | | | | $ | 10.18 | | |
Shares outstanding, end of period | | | | | 720,143 | | | | | | 1,073,885 | | | | | | 776,764 | | | | | | 281,056 | | |
Total return(4) | | | | | (3.99)% | | | | | | 7.68% | | | | | | (4.12)% | | | | | | 1.80%(5) | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period | | | | $ | 7,036 | | | | | $ | 10,973 | | | | | $ | 7,521 | | | | | $ | 2,860 | | |
Ratio of net investment income to average net assets(6)(7) | | | | | 0.22% | | | | | | 1.46% | | | | | | 1.55% | | | | | | 0.81% | | |
Ratio of total operating expenses to average net assets(6) | | | | | 3.42% | | | | | | 3.55% | | | | | | 3.63% | | | | | | 5.34% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(6) | | | | | (1.01)% | | | | | | (1.74)% | | | | | | (2.76)% | | | | | | (4.57)% | | |
Ratio of net operating expenses to average net assets(6) | | | | | 2.41% | | | | | | 1.81% | | | | | | 0.87% | | | | | | 0.77% | | |
Portfolio turnover rate(5) | | | | | 244% | | | | | | 178% | | | | | | 317% | | | | | | 133% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | | Period from May 16, 2017 (Commencement of Operations) through December 31, 2017 | | ||||||||||||
Per Share Data:(1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | | | $ | 10.25 | | | | | $ | 9.72 | | | | | $ | 10.19 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.04 | | | | | | 0.17 | | | | | | 0.18 | | | | | | 0.06 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | (0.41) | | | | | | 0.59 | | | | | | (0.57) | | | | | | 0.13 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.37) | | | | | | 0.76 | | | | | | (0.39) | | | | | | 0.19 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.08) | | | | | | (0.23) | | | | | | — | | | | | | — | | |
Distributions from net realized gain on investments | | | | | — | | | | | | — | | | | | | (0.08) | | | | | | — | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.08) | | | | | | (0.23) | | | | | | (0.08) | | | | | | — | | |
Net asset value, end of period | | | | $ | 9.80 | | | | | $ | 10.25 | | | | | $ | 9.72 | | | | | $ | 10.19 | | |
Shares outstanding, end of period | | | | | 12,418,229 | | | | | | 17,997,221 | | | | | | 9,241,564 | | | | | | 5,043,239 | | |
Total return(4) | | | | | (3.65)% | | | | | | 7.77% | | | | | | (3.82)% | | | | | | 1.90%(5) | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period | | | | $ | 121,667 | | | | | $ | 184,543 | | | | | $ | 89,799 | | | | | $ | 51,387 | | |
Ratio of net investment income to average net assets(6)(7) | | | | | 0.46% | | | | | | 1.65% | | | | | | 1.80% | | | | | | 0.88% | | |
Ratio of total operating expenses to average net assets(6) | | | | | 3.17% | | | | | | 3.28% | | | | | | 3.54% | | | | | | 4.62% | | |
Ratio of expense reimbursement from sponsor to average net assets(6) | | | | | (1.01)% | | | | | | (1.69)% | | | | | | (2.91)% | | | | | | (4.10)% | | |
Ratio of net operating expenses to average net assets(6) | | | | | 2.16% | | | | | | 1.59% | | | | | | 0.63% | | | | | | 0.52% | | |
Portfolio turnover rate(5) | | | | | 244% | | | | | | 178% | | | | | | 317% | | | | | | 133% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 9.96 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.00) | | | | | | 0.18 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | 1.02 | | | | | | (0.19) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 1.02 | | | | | | (0.01) | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.65) | | | | | | (0.03) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.65) | | | | | | (0.03) | | |
Net asset value, end of year | | | | $ | 10.33 | | | | | $ | 9.96 | | |
Shares outstanding, end of year | | | | | 2,500 | | | | | | 2,500 | | |
Total return(4) | | | | | 10.55% | | | | | | (0.15)% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 26 | | | | | $ | 25 | | |
Ratio of net investment income (loss) to average net assets(5)(6) | | | | | (0.03)% | | | | | | 1.77% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 13.13% | | | | | | 10.14% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (12.63)% | | | | | | (9.64)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.50% | | | | | | 0.50% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 9.96 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.20 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | 1.03 | | | | | | (0.18) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 1.05 | | | | | | 0.02 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.68) | | | | | | (0.06) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.68) | | | | | | (0.06) | | |
Net asset value, end of year | | | | $ | 10.33 | | | | | $ | 9.96 | | |
Shares outstanding, end of year | | | | | 198,693 | | | | | | 198,617 | | |
Total return(4) | | | | | 10.83% | | | | | | 0.10% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 2,052 | | | | | $ | 1,977 | | |
Ratio of net investment income to average net assets(5)(6) | | | | | 0.23% | | | | | | 2.02% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 12.88% | | | | | | 9.89% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (12.63)% | | | | | | (9.64)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.25% | | | | | | 0.25% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.01 | | | | | | 0.18 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | (0.17) | | | | | | 0.26 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.16) | | | | | | 0.44 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.10) | | | | | | (0.41) | | |
Distributions representing return of capital | | | | | (0.04) | | | | | | — | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.14) | | | | | | (0.41) | | |
Net asset value, end of year | | | | $ | 9.73 | | | | | $ | 10.03 | | |
Shares outstanding, end of year | | | | | 2,500 | | | | | | 2,500 | | |
Total return(4) | | | | | (1.65)% | | | | | | 4.42% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 24 | | | | | $ | 25 | | |
Ratio of net investment income to average net assets(5)(6) | | | | | 0.12% | | | | | | 1.73% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 14.77% | | | | | | 10.88% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (14.27)% | | | | | | (10.38)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.50% | | | | | | 0.50% | | |
Portfolio turnover rate(7) | | | | | 84% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.07 | | | | | | 0.20 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | (0.20) | | | | | | 0.27 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.13) | | | | | | 0.47 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.11) | | | | | | (0.44) | | |
Distributions representing return of capital | | | | | (0.05) | | | | | | — | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.16) | | | | | | (0.44) | | |
Net asset value, end of year | | | | $ | 9.74 | | | | | $ | 10.03 | | |
Shares outstanding, end of year | | | | | 709,356 | | | | | | 201,167 | | |
Total return(4) | | | | | (1.30)% | | | | | | 4.68% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 6,906 | | | | | $ | 2,019 | | |
Ratio of net investment income to average net assets(5)(6) | | | | | 0.75% | | | | | | 1.98% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 14.82% | | | | | | 10.63% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (14.57)% | | | | | | (10.38)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.25% | | | | | | 0.25% | | |
Portfolio turnover rate(7) | | | | | 84% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 10.26 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.01) | | | | | | 0.18 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | 0.77 | | | | | | 0.79 | | |
Net increase (decrease) in net assets resulting from operations | | | | | 0.76 | | | | | | 0.97 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.30) | | | | | | (0.71) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.30) | | | | | | (0.71) | | |
Net asset value, end of year | | | | $ | 10.72 | | | | | $ | 10.26 | | |
Shares outstanding, end of year | | | | | 2,500 | | | | | | 2,500 | | |
Total return(4) | | | | | 7.69% | | | | | | 9.87% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 27 | | | | | $ | 26 | | |
Ratio of net investment income (loss) to average net assets(5)(6) | | | | | (0.06)% | | | | | | 1.72% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 11.21% | | | | | | 8.95% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (10.71)% | | | | | | (8.45)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.50% | | | | | | 0.50% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 10.26 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income(2) | | | | | 0.02 | | | | | | 0.21 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | 0.76 | | | | | | 0.79 | | |
Net increase (decrease) in net assets resulting from operations | | | | | 0.78 | | | | | | 1.00 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.32) | | | | | | (0.74) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.32) | | | | | | (0.74) | | |
Net asset value, end of year | | | | $ | 10.72 | | | | | $ | 10.26 | | |
Shares outstanding, end of year | | | | | 202,227 | | | | | | 299,740 | | |
Total return(4) | | | | | 8.07% | | | | | | 10.14% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 2,167 | | | | | $ | 3,076 | | |
Ratio of net investment income to average net assets(5)(6) | | | | | 0.22% | | | | | | 1.97% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 10.95% | | | | | | 8.71% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (10.70)% | | | | | | (8.46)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.25% | | | | | | 0.25% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 9.85 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.05) | | | | | | 0.16 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments(2) | | | | | (0.02) | | | | | | 1.77 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.07) | | | | | | 1.93 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.15) | | | | | | (2.08) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.15) | | | | | | (2.08) | | |
Net asset value, end of year | | | | $ | 9.63 | | | | | $ | 9.85 | | |
Shares outstanding, end of year | | | | | 157,289 | | | | | | 151,605 | | |
Total return(4) | | | | | (0.67)% | | | | | | 18.84% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 1,515 | | | | | $ | 1,494 | | |
Ratio of net investment income (loss) to average net assets(5)(6) | | | | | (0.58)% | | | | | | 1.50% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 4.75% | | | | | | 8.97% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (3.65)% | | | | | | (8.47)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 1.10% | | | | | | 0.50% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | ||||||
Per Share Data:(1) | | | | | | | | | | | | | |
Net asset value, beginning of year | | | | $ | 9.85 | | | | | $ | 10.00 | | |
Results of operations | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | | | (0.06) | | | | | | 0.24 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments | | | | | 0.01 | | | | | | 1.72 | | |
Net increase (decrease) in net assets resulting from operations | | | | | (0.05) | | | | | | 1.96 | | |
Shareholder Distributions:(3) | | | | | | | | | | | | | |
Distributions from net investment income | | | | | (0.17) | | | | | | (2.11) | | |
Net increase (decrease) in net assets resulting from shareholder distributions | | | | | (0.17) | | | | | | (2.11) | | |
Net asset value, end of year | | | | $ | 9.63 | | | | | $ | 9.85 | | |
Shares outstanding, end of year | | | | | 2,658,132 | | | | | | 198,299 | | |
Total return(4) | | | | | (0.33)% | | | | | | 18.99% | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of year | | | | $ | 25,588 | | | | | $ | 1,954 | | |
Ratio of net investment income (loss) to average net assets(5)(6) | | | | | (0.62)% | | | | | | 2.14% | | |
Ratio of total operating expenses to average net assets(5) | | | | | 4.58% | | | | | | 9.18% | | |
Ratio of expense reimbursement and waiver from sponsor to average net assets(5) | | | | | (3.73)% | | | | | | (8.93)% | | |
Ratio of net operating expenses to average net assets(5) | | | | | 0.85% | | | | | | 0.25% | | |
Portfolio turnover rate(7) | | | | | —% | | | | | | —% | | |
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
FS Multi-Strategy Alternatives Fund Class A Shares | | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
| Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||
Gross Proceeds from Issuance | | | | | 440,291 | | | | | $ | 4,373 | | | | | | 935,337 | | | | | $ | 9,699 | | |
Reinvestment of Distributions | | | | | 2,877 | | | | | | 28 | | | | | | 17,991 | | | | | | 184 | | |
Redemptions | | | | | (796,910) | | | | | | (7,834) | | | | | | (656,207) | | | | | | (6,792) | | |
Net Proceeds from Class A Share Transactions | | | | | (353,742) | | | | | $ | (3,433) | | | | | | 297,121 | | | | | $ | 3,091 | | |
(dollar values in thousands, except share and per share amounts)
| | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
Class I Shares | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||
Gross Proceeds from Issuance | | | | | 8,102,207 | | | | | $ | 80,649 | | | | | | 12,517,609 | | | | | $ | 130,515 | | |
Reinvestment of Distributions | | | | | 86,842 | | | | | | 848 | | | | | | 291,656 | | | | | | 2,987 | | |
Redemptions | | | | | (13,768,041) | | | | | | (135,938) | | | | | | (4,053,608) | | | | | | (41,836) | | |
Net Proceeds from Class I Share Transactions | | | | | (5,578,992) | | | | | $ | (54,441) | | | | | | 8,755,657 | | | | | $ | 91,666 | | |
Net Proceeds from Fund Share Transactions | | | | | (5,932,734) | | | | | $ | (57,874) | | | | | | 9,052,778 | | | | | $ | 94,757 | | |
FS Managed Futures Fund Class A Shares | | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
| Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||
Gross Proceeds from Issuance | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
Redemptions | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Proceeds from Class A Share Transactions | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
| | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
Class I Shares | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||
Gross Proceeds from Issuance | | | | | — | | | | | $ | — | | | | | | 1,110 | | | | | $ | 11 | | |
Reinvestment of Distributions | | | | | 76 | | | | | | 1 | | | | | | 7 | | | | | | — | | |
Redemptions | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Proceeds from Class I Share Transactions | | | | | 76 | | | | | $ | 1 | | | | | | 1,117 | | | | | $ | 11 | | |
Net Proceeds from Fund Share Transactions | | | | | 76 | | | | | $ | 1 | | | | | | 1,117 | | | | | $ | 11 | | |
FS Global Macro Fund Class A Shares | | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
| Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||
Gross Proceeds from Issuance | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
Redemptions | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Proceeds from Class A Share Transactions | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
| | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
Class I Shares | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||
Gross Proceeds from Issuance | | | | | 508,174 | | | | | $ | 5,000 | | | | | | 3,545 | | | | | $ | 36 | | |
Reinvestment of Distributions | | | | | 15 | | | | | | — | | | | | | 122 | | | | | | 1 | | |
Redemptions | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Proceeds from Class I Share Transactions | | | | | 508,189 | | | | | $ | 5,000 | | | | | | 3,667 | | | | | $ | 37 | | |
Net Proceeds from Fund Share Transactions | | | | | 508,189 | | | | | $ | 5,000 | | | | | | 3,667 | | | | | $ | 37 | | |
FS Real Asset Fund Class A Shares | | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
| Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||
Gross Proceeds from Issuance | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
Redemptions | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net Proceeds from Class A Share Transactions | | | | | — | | | | | $ | — | | | | | | — | | | | | $ | — | | |
(dollar values in thousands, except share and per share amounts)
| | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
Class I Shares | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||
Gross Proceeds from Issuance | | | | | 254 | | | | | $ | 2 | | | | | | 2,128 | | | | | $ | 23 | | |
Reinvestment of Distributions | | | | | 81 | | | | | | 1 | | | | | | 112 | | | | | | 1 | | |
Redemptions | | | | | (97,848) | | | | | | (1,000) | | | | | | — | | | | | | — | | |
Net Proceeds from Class I Share Transactions | | | | | (97,513) | | | | | $ | (997) | | | | | | 2,240 | | | | | $ | 24 | | |
Net Proceeds from Fund Share Transactions | | | | | (97,513) | | | | | $ | (997) | | | | | | 2,240 | | | | | $ | 24 | | |
FS Long/Short Equity Fund Class A Shares | | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
| Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||
Gross Proceeds from Issuance | | | | | 6,754 | | | | | $ | 63 | | | | | | 149,105 | | | | | $ | 1,500 | | |
Reinvestment of Distributions | | | | | 75 | | | | | | 1 | | | | | | — | | | | | | — | | |
Redemptions | | | | | (1,145) | | | | | | (11) | | | | | | — | | | | | | — | | |
Net Proceeds from Class A Share Transactions | | | | | 5,684 | | | | | $ | 53 | | | | | | 149,105 | | | | | $ | 1,500 | | |
| | | For the Year Ended December 31, 2020 | | | For the Year Ended December 31, 2019 | | ||||||||||||||||||
Class I Shares | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||
Gross Proceeds from Issuance | | | | | 2,703,433 | | | | | $ | 24,757 | | | | | | 661 | | | | | $ | 8 | | |
Reinvestment of Distributions | | | | | 7,819 | | | | | | 74 | | | | | | 138 | | | | | | 1 | | |
Redemptions | | | | | (251,419) | | | | | | (2,396) | | | | | | — | | | | | | — | | |
Net Proceeds from Class I Share Transactions | | | | | 2,459,833 | | | | | $ | 22,435 | | | | | | 799 | | | | | $ | 9 | | |
Net Proceeds from Fund Share Transactions | | | | | 2,465,517 | | | | | $ | 22,488 | | | | | | 149,904 | | | | | $ | 1,509 | | |
Fund | | | Period | | | Fee | | ||||||
FS Multi-Strategy Alternatives Fund | | | ��� | | Quarterly | | | | | | 1.25% | | |
FS Managed Futures Fund | | | | | Quarterly | | | | | | 1.15% | | |
FS Global Macro Fund | | | | | Quarterly | | | | | | 1.15% | | |
FS Real Asset Fund | | | | | Quarterly | | | | | | 1.15% | | |
FS Long/Short Equity Fund | | | | | Quarterly | | | | | | 1.10% | | |
(dollar values in thousands, except share and per share amounts)
FS Multi-Strategy Alternatives Fund Related Party | | | Source Agreement | | | Description | | | Amount | | |||
FS Fund Advisor, LLC | | | Management Agreement | | | Management Fee(1) | | | | $ | 2,157 | | |
FS Fund Advisor, LLC | | | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 788 | | |
FS Managed Futures Fund Related Party | | | Source Agreement | | | Description | | | Amount | | |||
FS Fund Advisor, LLC | | | Investment Advisory Agreement | | | Management Fee(1) | | | | $ | 25 | | |
FS Fund Advisor, LLC | | | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 90 | | |
(dollar values in thousands, except share and per share amounts)
FS Global Macro Fund Related Party | | | Source Agreement | | | Description | | | Amount | | |||
FS Fund Advisor, LLC | | | Investment Advisory Agreement | | | Management Fee(1) | | | | $ | 30 | | |
FS Fund Advisor, LLC | | | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 187 | | |
FS Real Asset Fund Related Party | | | Source Agreement | | | Description | | | Amount | | |||
FS Fund Advisor, LLC | | | Investment Advisory Agreement | | | Management Fee(1) | | | | $ | 32 | | |
FS Fund Advisor, LLC | | | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 114 | | |
FS Long/Short Equity Fund Related Party | | | Source Agreement | | | Description | | | Amount | | |||
FS Fund Advisor, LLC | | | Investment Advisory Agreement | | | Management Fee(1) | | | | $ | 206 | | |
FS Fund Advisor, LLC | | | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 376 | | |
(dollar values in thousands, except share and per share amounts)
Fund | | | Accrued Amount | | | Subject to Repayment As of December 31, 2020 | | | Related to Expense Reimbursement | | |||||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 1,741 | | | | | $ | 5,528 | | | | | $ | 5,528 | | |
FS Managed Futures Fund | | | | $ | 248 | | | | | $ | 419 | | | | | $ | 419 | | |
FS Global Macro Fund | | | | $ | 353 | | | | | $ | 543 | | | | | $ | 543 | | |
FS Real Asset Fund | | | | $ | 265 | | | | | $ | 495 | | | | | $ | 495 | | |
FS Long/Short Equity Fund | | | | $ | 603 | | | | | $ | 780 | | | | | $ | 780 | | |
Fund | | | Initial Sales Charges | | |||
FS Multi-Strategy Alternatives Fund | | | | $ | 10 | | |
FS Managed Futures Fund | | | | $ | — | | |
FS Global Macro Fund | | | | $ | — | | |
FS Real Asset Fund | | | | $ | — | | |
FS Long/Short Equity Fund | | | | $ | 0 | | |
(dollar values in thousands, except share and per share amounts)
| | | Distributions Per Share | | | | ||||||||||||||||
Fund | | | Class A | | | Class I | | | Total Distribution | | | | | |||||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 0.04 | | | | | $ | 0.08 | | | | | $ | 1,001 | | | | ||
FS Managed Futures Fund | | | | | 0.65 | | | | | | 0.68 | | | | | | 137 | | | | ||
FS Global Macro Fund | | | | | 0.14 | | | | | | 0.16 | | | | | | 53 | | | | ||
FS Real Asset Fund | | | | | 0.30 | | | | | | 0.32 | | | | | | 89 | | | | ||
FS Long/Short Equity Fund | | | | | 0.15 | | | | | | 0.17 | | | | | | 487 | | | |
| | | Year Ended December 31, 2020 | | |||||||||
Source of Distribution | | | Distribution Amount | | | Percentage | | ||||||
Net investment income(1) | | | | $ | 979 | | | | | | 98% | | |
Long-term capital gains | | | | | — | | | | | | —% | | |
Return of capital | | | | | 22 | | | | | | 2% | | |
Total | | | | $ | 1,001 | | | | | | 100% | | |
(dollar values in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | |||||||||
Source of Distribution | | | Distribution Amount | | | Percentage | | ||||||
Net investment income(1) | | | | $ | 137 | | | | | | 100% | | |
Long-term capital gains | | | | | — | | | | | | —% | | |
Return of capital | | | | | — | | | | | | —% | | |
Total | | | | $ | 137 | | | | | | 100% | | |
| | | Year Ended December 31, 2020 | | |||||||||
Source of Distribution | | | Distribution Amount | | | Percentage | | ||||||
Net investment income(1) | | | | $ | 35 | | | | | | 66% | | |
Long-term capital gains | | | | | — | | | | | | —% | | |
Return of capital | | | | | 18 | | | | | | 34% | | |
Total | | | | $ | 53 | | | | | | 100% | | |
| | | Year Ended December 31, 2020 | | |||||||||
Source of Distribution | | | Distribution Amount | | | Percentage | | ||||||
Net investment income(1) | | | | $ | 89 | | | | | | 100% | | |
Long-term capital gains | | | | | — | | | | | | —% | | |
Return of capital | | | | | — | | | | | | —% | | |
Total | | | | $ | 89 | | | | | | 100% | | |
(dollar values in thousands, except share and per share amounts)
| | | Year Ended December 31, 2020 | | |||||||||
Source of Distribution | | | Distribution Amount | | | Percentage | | ||||||
Net investment income(1) | | | | $ | 487 | | | | | | 100% | | |
Long-term capital gains | | | | | — | | | | | | —% | | |
Return of capital | | | | | — | | | | | | —% | | |
Total | | | | $ | 487 | | | | | | 100% | | |
Fund | | | Net Investment Income (Loss) | | | Undistributed Net Investment Income | | ||||||
FS Multi-Strategy Alternatives Fund | | | | $ | (2,654) | | | | | $ | — | | |
FS Managed Futures Fund | | | | $ | 204 | | | | | $ | 67 | | |
FS Global Macro Fund | | | | $ | 31 | | | | | $ | — | | |
FS Real Asset Fund | | | | $ | 216 | | | | | $ | 178 | | |
FS Long/Short Equity Fund | | | | $ | 657 | | | | | $ | 170 | | |
Fund | | | Accumulated earnings (deficit) | | | Capital in excess of par value | | ||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 2,662 | | | | | $ | (2,662) | | |
FS Managed Futures Fund | | | | $ | — | | | | | $ | — | | |
FS Global Macro Fund | | | | $ | — | | | | | $ | — | | |
FS Real Asset Fund | | | | $ | — | | | | | $ | — | | |
FS Long/Short Equity Fund | | | | $ | — | | | | | $ | — | | |
(dollar values in thousands, except share and per share amounts)
Fund | | | Distributable ordinary income and short term capital gains | | | Late year and post-october losses | | | Distributable capital gains/accumulated capital (losses) | | | Net unrealized appreciation (depreciation) | | | Total | | |||||||||||||||
FS Multi-Strategy Alternatives Fund | | | | $ | — | | | | | $ | — | | | | | $ | (9,686) | | | | | $ | 2,934 | | | | | $ | (6,752) | | |
FS Managed Futures Fund | | | | $ | 67 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 67 | | |
FS Global Macro Fund | | | | $ | — | | | | | $ | (104) | | | | | $ | — | | | | | $ | 13 | | | | | $ | (91) | | |
FS Real Asset Fund | | | | $ | 178 | | | | | $ | — | | | | | $ | — | | | | | $ | (11) | | | | | $ | 167 | | |
FS Long/Short Equity Fund | | | | $ | 170 | | | | | $ | — | | | | | $ | (525) | | | | | $ | 1,462 | | | | | $ | 1,107 | | |
Fund | | | Late Year Ordinary Loss | | | Post-October Capital Losses | | ||||||
FS Multi-Strategy Alternatives Fund | | | | $ | — | | | | | $ | — | | |
FS Managed Futures Fund | | | | $ | — | | | | | $ | — | | |
FS Global Macro Fund | | | | $ | (104) | | | | | $ | — | | |
FS Real Asset Fund | | | | $ | — | | | | | $ | — | | |
FS Long/Short Equity Fund | | | | $ | — | | | | | $ | — | | |
Fund | | | Tax cost | | | Gross unrealized appreciation | | | Gross unrealized depreciation | | | Net unrealized appreciation (depreciation) | | ||||||||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 120,452 | | | | | $ | 5,131 | | | | | $ | 2,195 | | | | | $ | 2,936 | | |
FS Managed Futures Fund | | | | $ | 2,061 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
FS Global Macro Fund | | | | $ | 6,631 | | | | | $ | 26 | | | | | $ | 13 | | | | | $ | 13 | | |
FS Real Asset Fund | | | | $ | 1,611 | | | | | $ | 2 | | | | | $ | 13 | | | | | $ | (11) | | |
FS Long/Short Equity Fund | | | | $ | 24,040 | | | | | $ | 6,990 | | | | | $ | 5,528 | | | | | $ | 1,462 | | |
(dollar values in thousands, except share and per share amounts)
| | | Fair Value | | |||||||||
| | | Asset Derivative | | | Liability Derivative | | ||||||
Foreign Currency Risk | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | $ | — | | | | | $ | 2(1) | | |
Total return swaps | | | | | 317(2) | | | | | | — | | |
Equity Risk | | | | | | | | | | | | | |
Total return swaps | | | | $ | 989(2) | | | | | $ | 1,392(3) | | |
Commodity Risk | | | | | | | | | | | | | |
Total return swaps | | | | | — | | | | | | 91(3) | | |
Interest Rate Risk | | | | | | | | | | | | | |
Total return swaps | | | | | 8(2) | | | | | | 9(3) | | |
| | | Fair Value | | |||||||||
| | | Asset Derivative | | | Liability Derivative | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swaps | | | | $ | 19(1) | | | | | $ | 9(2) | | |
Foreign Currency Risk | | | | | | | | | | | | | |
Total return swaps | | | | | 62(1) | | | | | | 7(2) | | |
(dollar values in thousands, except share and per share amounts)
| | | Fair Value | | |||||||||
| | | Asset Derivative | | | Liability Derivative | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swaps | | | | $ | 22(1) | | | | | $ | 14(2) | | |
Foreign Currency Risk | | | | | | | | | | | | | |
Total return swaps | | | | | — | | | | | | 3(2) | | |
Interest Rate Risk | | | | | | | | | | | | | |
Total return swaps | | | | | — | | | | | | 79(2) | | |
| | | Fair Value | | |||||||||
| | | Asset Derivative | | | Liability Derivative | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swaps | | | | $ | 95(1) | | | | | $ | 13(2) | | |
| | | Fair Value | | |||||||||
| | | Asset Derivative | | | Liability Derivative | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swaps | | | | $ | 8,417(1) | | | | | $ | 6,566(2) | | |
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Derivative Assets Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Received(1) | | | Cash Collateral Received(1) | | | Net Amount of Derivative Assets(2) | | |||||||||||||||
Bank of America, N.A. | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Barclays Bank PLC | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
BNP Paribas | | | | $ | 753 | | | | | $ | 358 | | | | | $ | — | | | | | $ | — | | | | | $ | 395 | | |
Credit Suisse International | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Deutsche Bank | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Goldman Sachs International | | | | $ | 447 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 447 | | |
JP Morgan Chase Bank, N.A. | | | | $ | 56 | | | | | $ | 56 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Morgan Stanley & Co. International PLC | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Nomura Securities Co., Ltd | | | | $ | 50 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 50 | | |
Societe Generale | | | | $ | 8 | | | | | $ | 8 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
State Street Bank and Trust Co. | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Derivative Liabilities Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Pledged(1) | | | Cash Collateral Pledged(1) | | | Net Amount of Derivative Liabilities(3) | | |||||||||||||||
Bank of America, N.A. | | | | $ | 91 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 91 | | |
Barclays Bank PLC | | | | $ | 181 | | | | | $ | — | | | | | $ | — | | | | | $ | 181 | | | | | $ | — | | |
BNP Paribas | | | | $ | 358 | | | | | $ | 358 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Credit Suisse International | | | | $ | 23 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 23 | | |
Deutsche Bank | | | | $ | 9 | | | | | $ | — | | | | | $ | — | | | | | $ | 9 | | | | | $ | — | | |
Goldman Sachs International | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
JP Morgan Chase Bank, N.A. | | | | $ | 731 | | | | | $ | 56 | | | | | $ | — | | | | | $ | 675 | | | | | $ | — | | |
Morgan Stanley & Co. International PLC | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | 2 | | | | | $ | — | | |
Nomura Securities Co., Ltd | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Societe Generale | | | | $ | 99 | | | | | $ | 8 | | | | | $ | — | | | | | $ | 91 | | | | | $ | — | | |
State Street Bank and Trust Co. | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Derivative Assets Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Received(1) | | | Cash Collateral Received(1) | | | Net Amount of Derivative Assets(2) | | |||||||||||||||
Barclays Bank PLC | | | | $ | 3 | | | | | $ | 3 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
BNP Paribas | | | | $ | 16 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 16 | | |
Deutsche Bank | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Goldman Sachs International | | | | $ | 59 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 59 | | |
JP Morgan Chase Bank, N.A. | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Nomura Securities Co., Ltd | | | | $ | 3 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 3 | | |
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Derivative Liabilities Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Pledged(1) | | | Cash Collateral Pledged(1) | | | Net Amount of Derivative Liabilities(3) | | |||||||||||||||
Barclays Bank PLC | | | | $ | 5 | | | | | $ | 3 | | | | | $ | — | | | | | $ | — | | | | | $ | 2 | | |
BNP Paribas | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Deutsche Bank | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Goldman Sachs International | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
JP Morgan Chase Bank, N.A. | | | | $ | 11 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11 | | |
Nomura Securities Co., Ltd | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Derivative Assets Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Received(1) | | | Cash Collateral Received(1) | | | Net Amount of Derivative Assets(2) | | |||||||||||||||
BNP Paribas | | | | $ | 7 | | | | | $ | 7 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Deutsche Bank | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Goldman Sachs International | | | | $ | 13 | | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | 11 | | |
JP Morgan Chase Bank, N.A. | | | | $ | 2 | | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Nomura Securities Co., Ltd | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Counterparty | | | Derivative Liabilities Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Pledged(1) | | | Cash Collateral Pledged(1) | | | Net Amount of Derivative Liabilities(3) | | |||||||||||||||
BNP Paribas | | | | $ | 7 | | | | | $ | 7 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Deutsche Bank | | | | $ | 1 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1 | | |
Goldman Sachs International | | | | $ | 2 | | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
JP Morgan Chase Bank, N.A. | | | | $ | 7 | | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | 5 | | |
Nomura Securities Co., Ltd | | | | $ | 79 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 79 | | |
Counterparty | | | Derivative Assets Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Received(1) | | | Cash Collateral Received(1) | | | Net Amount of Derivative Assets(2) | | |||||||||||||||
Bank of America, N.A. | | | | $ | 7 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 7 | | |
JP Morgan Chase Bank, N.A. | | | | $ | 2 | | | | | $ | 2 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Morgan Stanley Capital Services LLC | | | | $ | 86 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 86 | | |
Counterparty | | | Derivative Liabilities Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Pledged(1) | | | Cash Collateral Pledged(1) | | | Net Amount of Derivative Liabilities(3) | | |||||||||||||||
Bank of America, N.A. | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
JP Morgan Chase Bank, N.A. | | | | $ | 13 | | | | | $ | 2 | | | | | $ | — | | | | | $ | 11 | | | | | $ | — | | |
Morgan Stanley Capital Services LLC | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(dollar values in thousands, except share and per share amounts)
Counterparty | | | Derivative Assets Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Received(1) | | | Cash Collateral Received(1) | | | Net Amount of Derivative Assets(2) | | |||||||||||||||
Barclays Bank PLC | | | | $ | 7,035 | | | | | $ | 5,679 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,356 | | |
Goldman Sachs International | | | | $ | 1,382 | | | | | $ | 887 | | | | | $ | — | | | | | $ | — | | | | | $ | 495 | | |
Counterparty | | | Derivative Liabilities Subject to Master Netting Agreement | | | Derivatives Available for Offset | | | Non-cash Collateral Pledged(1) | | | Cash Collateral Pledged(1) | | | Net Amount of Derivative Liabilities(3) | | |||||||||||||||
Barclays Bank PLC | | | | $ | 5,679 | | | | | $ | 5,679 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Goldman Sachs International | | | | $ | 887 | | | | | $ | 887 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | | ||||||
Foreign Currency Risk | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | $ | 63(1) | | | | | $ | 7(2) | | |
Foreign Currency, Equity, Commodity and Interest Rate Risk | | | | | | | | | | | | | |
Total return swap contracts | | | | $ | (12,364)(3) | | | | | $ | 735(4) | | |
(dollar values in thousands, except share and per share amounts)
| | | Realized Gain (Loss) on Derivatives Recognized in Income | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | | ||||||
Equity and Foreign Currency Risk | | | | | | | | | | | | | |
Total return swap contracts | | | | $ | 121(1) | | | | | $ | 87(2) | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | | ||||||
Equity, Foreign Currency and Interest Rate Risk | | | | | | | | | | | | | |
Total return swap contracts | | | | $ | (3)(1) | | | | | $ | (71)(2) | | |
| | | Realized Gain (Loss) on Derivatives Recognized in Income | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swap contracts | | | | $ | 250(1) | | | | | $ | 55(2) | | |
(dollar values in thousands, except share and per share amounts)
| | | Realized Gain (Loss) on Derivatives Recognized in Income | | | Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | | ||||||
Equity Risk | | | | | | | | | | | | | |
Total return swap contracts | | | | $ | (167)(1) | | | | | $ | 1,941(2) | | |
Fund | | | Purchased swaptions | | | Forward foreign exchange contracts | | | Total return debt swap contracts | | | Total return equity swap contracts | | | Total return index swap contracts | | |||||||||||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 7,077 | | | | | $ | 2,583 | | | | | $ | 16,438 | | | | | $ | — | | | | | $ | 66,940 | | |
FS Managed Futures Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 32 | | |
FS Global Macro Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 408 | | |
FS Real Asset Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,072 | | |
FS Long/Short Equity Fund | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 217 | | | | | $ | 30,653 | | |
| | | Amortized Cost(1) | | | Fair Value | | | Percentage of Portfolio | | |||||||||
Corporate Bonds | | | | $ | 44,021 | | | | | $ | 45,536 | | | | | | 37% | | |
Common Stock | | | | | 9,550 | | | | | | 12,829 | | | | | | 10% | | |
Short-Term Investments | | | | | 66,527 | | | | | | 66,522 | | | | | | 53% | | |
Total | | | | $ | 120,098 | | | | | $ | 124,887 | | | | | | 100% | | |
| | | Amortized Cost(1) | | | Fair Value | | | Percentage of Portfolio | | |||||||||
Short-Term Investments | | | | $ | 2,061 | | | | | $ | 2,061 | | | | | | 100% | | |
Total | | | | $ | 2,061 | | | | | $ | 2,061 | | | | | | 100% | | |
(dollar values in thousands, except share and per share amounts)
| | | Amortized Cost(1) | | | Fair Value | | | Percentage of Portfolio | | |||||||||
Corporate Bonds | | | | $ | 4,707 | | | | | $ | 4,728 | | | | | | 71% | | |
Short-Term Investments | | | | | 1,921 | | | | | | 1,921 | | | | | | 29% | | |
Total | | | | $ | 6,628 | | | | | $ | 6,649 | | | | | | 100% | | |
| | | Amortized Cost(1) | | | Fair Value | | | Percentage of Portfolio | | |||||||||
Short-Term Investments | | | | $ | 1,611 | | | | | $ | 1,611 | | | | | | 100% | | |
Total | | | | $ | 1,611 | | | | | $ | 1,611 | | | | | | 100% | | |
| | | Amortized Cost(1) | | | Fair Value | | | Percentage of Portfolio | | |||||||||
Short-Term Investments | | | | $ | 24,040 | | | | | $ | 24,036 | | | | | | 100% | | |
Total | | | | $ | 24,040 | | | | | $ | 24,036 | | | | | | 100% | | |
Industry Classification | | | Fair Value | | | Percentage of Portfolio | | ||||||
Short-Term Investments | | | | $ | 66,522 | | | | | | 53.3% | | |
Commercial Services | | | | | 5,679 | | | | | | 4.6% | | |
Retail | | | | | 4,564 | | | | | | 3.7% | | |
Auto Manufacturers | | | | | 3,906 | | | | | | 3.1% | | |
Packaging & Containers | | | | | 3,325 | | | | | | 2.7% | | |
Real Estate Investment Trusts | | | | | 3,265 | | | | | | 2.6% | | |
Transportation | | | | | 3,144 | | | | | | 2.5% | | |
Healthcare-Services | | | | | 2,968 | | | | | | 2.4% | | |
Telecommunications | | | | | 2,705 | | | | | | 2.2% | | |
Diversified Financial Services | | | | | 1,778 | | | | | | 1.4% | | |
Oil & Gas | | | | | 1,721 | | | | | | 1.4% | | |
(dollar values in thousands, except share and per share amounts)
Industry Classification | | | Fair Value | | | Percentage of Portfolio | | ||||||
Airlines | | | | | 1,684 | | | | | | 1.3% | | |
Auto Parts & Equipment | | | | | 1,680 | | | | | | 1.3% | | |
Media Entertainment | | | | | 1,586 | | | | | | 1.3% | | |
Entertainment | | | | | 1,545 | | | | | | 1.2% | | |
Chemicals | | | | | 1,525 | | | | | | 1.2% | | |
Machinery-Diversified | | | | | 1,412 | | | | | | 1.1% | | |
Environmental Control | | | | | 1,388 | | | | | | 1.1% | | |
Software | | | | | 1,222 | | | | | | 1.0% | | |
Lodging | | | | | 1,221 | | | | | | 1.0% | | |
Home Builders | | | | | 1,184 | | | | | | 0.9% | | |
Agriculture | | | | | 1,161 | | | | | | 0.9% | | |
Engineering & Construction | | | | | 994 | | | | | | 0.8% | | |
Household Products/Wares | | | | | 941 | | | | | | 0.8% | | |
Real Estate | | | | | 882 | | | | | | 0.7% | | |
Food | | | | | 784 | | | | | | 0.6% | | |
Healthcare-Products | | | | | 778 | | | | | | 0.6% | | |
Electrical Components & Equipment | | | | | 705 | | | | | | 0.6% | | |
Leisure Time | | | | | 679 | | | | | | 0.5% | | |
Electronics | | | | | 609 | | | | | | 0.5% | | |
Miscellaneous Manufacturing | | | | | 608 | | | | | | 0.5% | | |
Pharmaceuticals | | | | | 583 | | | | | | 0.5% | | |
Internet | | | | | 446 | | | | | | 0.4% | | |
Distribution/Wholesale | | | | | 423 | | | | | | 0.3% | | |
Beverages | | | | | 408 | | | | | | 0.3% | | |
Building Materials | | | | | 344 | | | | | | 0.3% | | |
Computers | | | | | 189 | | | | | | 0.2% | | |
Pipelines | | | | | 183 | | | | | | 0.1% | | |
Trucking & Leasing | | | | | 146 | | | | | | 0.1% | | |
Total | | | | $ | 124,887 | | | | | | 100.0% | | |
|
Industry Classification | | | Fair Value | | | Percentage of Portfolio | | ||||||
Short-Term Investments | | | | $ | 1,921 | | | | | | 28.9% | | |
Commercial Services | | | | | 619 | | | | | | 9.3% | | |
Auto Manufacturers | | | | | 470 | | | | | | 7.1% | | |
Retail | | | | | 401 | | | | | | 6.0% | | |
(dollar values in thousands, except share and per share amounts)
Industry Classification | | | Fair Value | | | Percentage of Portfolio | | ||||||
Healthcare-Services | | | | | 281 | | | | | | 4.2% | | |
Transportation | | | | | 251 | | | | | | 3.8% | | |
Home Builders | | | | | 238 | | | | | | 3.6% | | |
Telecommunications | | | | | 238 | | | | | | 3.6% | | |
Real Estate Investment Trusts | | | | | 225 | | | | | | 3.4% | | |
Oil & Gas | | | | | 199 | | | | | | 3.0% | | |
Media Entertainment | | | | | 163 | | | | | | 2.5% | | |
Machinery-Diversified | | | | | 161 | | | | | | 2.4% | | |
Real Estate | | | | | 159 | | | | | | 2.4% | | |
Lodging | | | | | 154 | | | | | | 2.3% | | |
Diversified Financial Services | | | | | 152 | | | | | | 2.3% | | |
Airlines | | | | | 141 | | | | | | 2.1% | | |
Entertainment | | | | | 133 | | | | | | 2.0% | | |
Auto Parts & Equipment | | | | | 128 | | | | | | 1.9% | | |
Internet | | | | | 126 | | | | | | 1.9% | | |
Agriculture | | | | | 102 | | | | | | 1.5% | | |
Engineering & Construction | | | | | 101 | | | | | | 1.5% | | |
Miscellaneous Manufacturing | | | | | 98 | | | | | | 1.5% | | |
Household Products/Wares | | | | | 92 | | | | | | 1.4% | | |
Packaging & Containers | | | | | 86 | | | | | | 1.3% | | |
Electrical Components & Equipment | | | | | 10 | | | | | | 0.1% | | |
Total | | | | $ | 6,649 | | | | | | 100.0% | | |
|
Fund | | | Purchases | | | Sales | | ||||||
FS Multi-Strategy Alternatives Fund | | | | $ | 252,062 | | | | | $ | 283,916 | | |
FS Managed Futures Fund | | | | $ | — | | | | | $ | — | | |
FS Global Macro Fund | | | | $ | 5,169 | | | | | $ | 482 | | |
FS Real Asset Fund | | | | $ | — | | | | | $ | — | | |
FS Long/Short Equity Fund | | | | $ | — | | | | | $ | — | | |
(dollar values in thousands, except share and per share amounts)
Asset Description | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Corporate Bonds | | | | $ | — | | | | | $ | 45,536 | | | | | $ | — | | | | | $ | 45,536 | | |
Common Stock | | | | | 12,829 | | | | | | — | | | | | | — | | | | | | 12,829 | | |
Short-Term Investments | | | | | 66,522 | | | | | | — | | | | | | — | | | | | | 66,522 | | |
Forward Foreign Currency Exchange Contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total Return Index Swaps | | | | | — | | | | | | 1,314 | | | | | | — | | | | | | 1,314 | | |
Total Assets | | | | $ | 79,351 | | | | | $ | 46,850 | | | | | $ | — | | | | | $ | 126,201 | | |
Liability Description | | | | | | | | | | | | | | | | | | | | | | | | | |
Mutual Funds Sold Short | | | | $ | (3,293) | | | | | $ | — | | | | | $ | — | | | | | $ | (3,293) | | |
Corporate Bonds Sold Short | | | | | — | | | | | | (8,142) | | | | | | — | | | | | | (8,142) | | |
Common Stocks Sold Short | | | | | (2,658) | | | | | | — | | | | | | — | | | | | | (2,658) | | |
Forward Foreign Currency Exchange Contracts | | | | | — | | | | | | (2) | | | | | | — | | | | | | (2) | | |
Total Return Index Swaps | | | | | — | | | | | | (1,492) | | | | | | — | | | | | | (1,492) | | |
Total Liabilities | | | | $ | (5,951) | | | | | $ | (9,636) | | | | | $ | — | | | | | $ | (15,587) | | |
Asset Description | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Short-Term Investments | | | | $ | 2,061 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,061 | | |
Total Return Index Swaps | | | | | — | | | | | | 81 | | | | | | — | | | | | | 81 | | |
Total Assets | | | | $ | 2,061 | | | | | $ | 81 | | | | | $ | — | | | | | $ | 2,142 | | |
Liability Description | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Index Swaps | | | | $ | — | | | | | $ | (16) | | | | | $ | — | | | | | $ | (16) | | |
(dollar values in thousands, except share and per share amounts)
Asset Description | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Corporate Bonds | | | | $ | — | | | | | $ | 4,728 | | | | | $ | — | | | | | $ | 4,728 | | |
Short-Term Investments | | | | | 1,921 | | | | | | — | | | | | | — | | | | | | 1,921 | | |
Total Return Index Swaps | | | | | — | | | | | | 22 | | | | | | — | | | | | | 22 | | |
Total Assets | | | | $ | 1,921 | | | | | $ | 4,750 | | | | | $ | — | | | | | $ | 6,671 | | |
Liability Description | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Index Swaps | | | | $ | — | | | | | $ | (96) | | | | | $ | — | | | | | $ | (96) | | |
Asset Description | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Short-Term Investments | | | | $ | 1,611 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,611 | | |
Total Return Index Swaps | | | | | — | | | | | | 95 | | | | | | — | | | | | | 95 | | |
Total Assets | | | | $ | 1,611 | | | | | $ | 95 | | | | | $ | — | | | | | $ | 1,706 | | |
Liability Description | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Index Swaps | | | | $ | — | | | | | $ | (13) | | | | | $ | — | | | | | $ | (13) | | |
Asset Description | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Short-Term Investments | | | | $ | 24,036 | | | | | $ | — | | | | | $ | — | | | | | $ | 24,036 | | |
Total Return Index Swaps | | | | | — | | | | | | 8,417 | | | | | | — | | | | | | 8,417 | | |
Total Assets | | | | $ | 24,036 | | | | | $ | 8,417 | | | | | $ | — | | | | | $ | 32,453 | | |
Liability Description | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return Index Swaps | | | | $ | — | | | | | $ | (6,566) | | | | | $ | — | | | | | $ | (6,566) | | |
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
(dollar values in thousands, except share and per share amounts)
Name | | | Age | | | Trustee Since | | | Title | | | Principal Occupation(s) During the Past Five Years | | | Number of Registered Investment Companies in Fund Complex* Overseen by Trustee | | | Other Directorships Held by Trustee | |
Interested Trustees | | | | | | | | | | | | | | | | | | | |
Michael C. Forman(1) | | | 59 | | | November 2016 | | | Chairman | | | Chairman and Chief Executive Officer of FS Investments | | | 8 | | | FS Credit Real Estate Income Trust (since 2016); FS KKR Capital Corp. II (formerly FS Investment Corporation II) (since 2011); FS Energy and Power Fund (since 2010); and FS KKR Capital Corp. (formerly FS Investment Corporation) (since 2007) | |
David J. Adelman(2) | | | 48 | | | August 2017 | | | Vice-Chairman | | | Chief Executive Officer of Campus Technologies, Inc. (since 2001); and President and Chief Executive Officer of Campus Apartments, Inc. (since 1997) | | | 6 | | | FS Credit Real Estate Income Trust (since 2018); and Actua Corporation (since 2011) | |
Independent Trustees | | | | | | | | | | | | | | | | | | | |
Philip E. Hughes, Jr. | | | 71 | | | March 2017 | | | Trustee | | | Vice-chairman of Keystone Industries. (since 2000) | | | 6 | | | FS Global Credit Opportunities Fund (since 2013) | |
Scott J. Tarte | | | 58 | | | March 2017 | | | Trustee | | | Chief executive officer of Sparks Marketing Group, Inc. (since 2000) | | | 5 | | | N/A | |
James W. Brown | | | 69 | | | August 2017 | | | Trustee | | | Chief of Staff to United States Senator Robert P. Casey, Jr (2007 — 2016) | | | 5 | | | The Hershey Company (since 2017) | |
Name | | | Age | | | Position HeId with Registrant | | | Length of Time Served | | | Principal Occupation(s) During the Past Five Years | |
Michael C. Forman | | | 59 | | | President | | | Since 2016 | | | Chairman and Chief Executive Officer, FS Investments | |
William Goebel | | | 46 | | | Chief Financial Officer | | | Since 2017 | | | Managing Director, Fund Finance, FS Investments | |
Stephen S. Sypherd | | | 43 | | | Vice President, Treasurer & Secretary | | | Since 2016 | | | General Counsel, FS Investments | |
James F. Volk | | | 59 | | | Chief Compliance Officer | | | Since 2017 | | | Managing Director, Fund Compliance, FS Investments | |
www.fsinvestments.com | AR20-ST |
© 2021 FS Investments | TM |
Item 1. Reports to Stockholders.
(b) | The following is a copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule: |
FS INVESTMENTS
201 ROUSE BLVD
PHILADELPHIA, PA 19112
Notice of Internet Availability of Shareholder Report(s)
BROADRIDGE FINANCIAL SOLUTIONS, INC. TEST PRINT 5l MERCEDES WAY 11717 |
FS INVESTMENTS®
Important Shareholder Report(s) Available Online and in Print by Request.
Reports contain important information about your fund, including its portfolio holdings and financial statements. We encourage you to review your shareholder report(s) at the website(s) below:
www.fsinvestments.com/series-trust-reports
FS Series Trust Annual Report
You can request a mailed or emailed copy, or elect to receive paper reports in the future by calling or emailing (otherwise you will not receive a paper or email copy): 1-877-628-8575 service@fsinvestments.com | |
Go paperless! Receive communications electronically at | |
www.fsinvestments.com/edelivery |
Item 2. Code of Ethics.
(a) | On May 20, 2020, the Trust’s board of trustees (the “Board”) adopted an amended Code of Business Conduct and Ethics (“Code of Ethics”) that applies to all officers, trustees, directors and employees of the Trust and FS Fund Advisor, LLC (the “Adviser”), the investment adviser to the Funds, including the Trust’s principal executive officer, principal financial officer, principal accounting officer or controller and persons performing similar functions. |
(b) | Not applicable. |
(c) | On May 20, 2020, the Board approved the amended Code of Ethics, which was amended to reflect a change to FS Investment’s personal securities transactions policy. A copy of the Code of Ethics is included herein as Exhibit (a)(1) and also is available on the Funds’ “Corporate Governance” page on FS Investments’ website at www.fsinvestments.com. |
(d) | During the period covered by the Annual Report included in Item 1 of this Form N-CSR, the Trust did not grant any waiver, explicit or implicit, from a provision of the Code of Ethics to its principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The amendments reflected in the Code of Ethics and discussed above did not relate to or result in any waiver, explicit or implicit, of any provision of the Trust’s previous Code of Business Conduct and Ethics. |
(e) | Not applicable. |
(f) | A copy of the Code of Ethics is included herein as Exhibit (a)(1) and also is available on the Funds’ “Corporate Governance” page on FS Investments’ website at www.fsinvestments.com. |
Item 3. Audit Committee Financial Expert.
(a)(1) | The Board has determined that the Trust has at least one “audit committee financial expert” serving on the audit committee of the Board (the “Audit Committee”), as such term is defined for purposes of Item 3 of Form N-CSR. |
(a)(2) | The Board has determined that Philip E. Hughes, Jr. is an “audit committee financial expert” and is “independent,” as such terms are defined for purposes of Item 3 of Form N-CSR. |
(a)(3) | Not applicable. |
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees. The aggregate fees billed for the fiscal years ended December 31, 2020 and 2019 for professional services rendered by Ernst & Young LLP, the Trust’s independent registered public accounting firm (“Ernst & Young”), for the audit of the Funds’ annual financial statements and services that are normally provided by Ernst & Young in connection with statutory and regulatory filings or engagements for each year were $256,850 and $188,000, respectively. |
(b) | Audit-Related Fees. The aggregate fees billed for the fiscal years ended December 31, 2020 and 2019 for assurance and related services by Ernst & Young that were reasonably related to the performance of the audit of the Funds’ financial statements and not reported in Item 4(a) above were $0 and $0, respectively. Audit-related fees for the fiscal years ended December 31, 2020 and 2019 represent fees billed for services provided in connection with consents issued by Ernst & Young. |
(c) | Tax Fees. The aggregate fees billed for the fiscal years ended December 31, 2020 and 2019 for professional services rendered by Ernst & Young for tax compliance, tax advice and tax planning were $112,541 and $127,251, respectively. Tax fees for the fiscal years ended December 31, 2020 and 2019 represent fees billed for tax compliance services provided in connection with the review of the Funds’ tax returns. |
(d) | All Other Fees. No fees were billed for the fiscal years ended December 31, 2020 and 2019 for products and services provided by Ernst & Young, other than the services reported in Items 4(a) through (c) above. |
(e) | Audit Committee Pre-Approval Policies and Procedures. |
(1) | The Audit Committee has adopted, and the Board has approved, a Policy on Pre-Approval of Audit and |
Non-Audit Services (the “Policy”), which is intended to comply with Rule 2-01 of Regulation S-X and sets forth guidelines and procedures to be followed by the Funds when retaining an auditor to perform audit, audit-related, tax and other services for the Funds. The Policy permits such services to be pre-approved by the Audit Committee pursuant to either a general pre-approval or specific pre-approval. Unless a type of service provided by the auditor has received general pre-approval, it requires specific pre-approval by the Audit Committee. Any proposed services exceeding pre-approved cost levels require specific pre- approval by the Audit Committee. |
(2) | All services described in paragraphs (b) and (c) of this Item 4 were pre-approved before the engagement by the Audit Committee pursuant to paragraph (c)(7)(i)(A) of Rule 2-01 of Regulation S-X. Consequently, none of such services were required to be approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by Ernst & Young for services rendered to the Funds, the Adviser and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Funds for the fiscal years ended December 31, 2020 and 2019 were $112,541 and $127,251, respectively. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | Not applicable. The Funds are not listed issuers as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). |
(b) | Not applicable. The Funds are not listed issuers as defined in Rule 10A-3 under the Exchange Act. |
Item 6. Investments.
(a) | The Funds’ schedules of investments as of December 31, 2020 are included as part of the Annual Report included in Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Trust.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Trust.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Trust.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which the Funds’ shareholders may recommend nominees to the Board during the period covered by the Annual Report included in Item 1 of this Form N-CSR.
Item 11. Controls and Procedures
(a) | The Trust’s principal executive officer and principal financial officer have evaluated the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing date of this report on Form N-CSR and have concluded that the Trust’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Trust in this report on Form N-CSR was recorded, processed, summarized and reported timely. |
(b) | There was no change in the Trust’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 on Form N-CSR that has |
materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Trust.
Item 13. Exhibits.
(a)(1) | The Trust’s Code of Ethics is attached hereto in response to Item 2(f). |
(a)(2) | The certifications of the Trust’s Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | The certifications of the Trust’s Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(b) under the 1940 Act are 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.
FS Series Trust | |||
By: | /s/ MICHAEL C. FORMAN | ||
Name: | Michael C. Forman | ||
Title: | President (Principal Executive Officer) | ||
Date: | March 1, 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/ MICHAEL C. FORMAN | ||
Name: | Michael C. Forman | ||
Title: | President (Principal Executive Officer) | ||
Date: | March 1, 2021 | ||
By: | /s/ WILLIAM GOEBEL | ||
Name: | William Goebel | ||
Title: | Chief Financial Officer (Principal Financial Officer) | ||
Date: | March 1, 2021 |