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James Alpha Funds Trust

Filed: 6 Aug 21, 11:53am

 

 

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 811-23611

 

James Alpha Funds Trust

(Exact name of registrant as specified in charter)

 

515 Madison Avenue, 24th Floor, New York, NY 10022

(Address of principal executive offices) (Zip code)

 

Emile R. Molineaux, Gemini Fund Services, LLC

80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 623-266-4567

 

Date of fiscal year end: 11/30

 

Date of reporting period: 5/31/2021

 

 

Item 1. Reports to Stockholders.

 

 

 

 

 

 

(JAMES ALPHA FUND TRUST LOGO)

 

 

Class A, C, I and R6 Shares

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT
As Of May 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS
AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.

 

 

 

 

 

 

 

 

James Alpha EHS Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   AnnualizedAnnualized
 6 Month Return1 Year Return3 Year ReturnSince Inception*
Class I12.68%37.83%10.41%10.71%
Class R612.94%38.39%10.67%10.94%
HFRI Equity Hedge Total Index(a)17.67%39.17%10.72%10.37%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 4.96% and 4.53% for the I and R6 Classes, respectively.

 

(a)HFRI Equity Hedge Total Index: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short.

 

*Inception date is August 18, 2017.

 

Top 10 Holdings by Industry % of Net Assets 
Equity  88.3%
Fixed Income  4.5%
Alternative  2.9%
Commodity  0.4%
Specialty Finance  0.1%
Other/Cash & Equivalents  3.8%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

1

 

James Alpha Event Driven Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   AnnualizedAnnualized
 6 Month Return1 Year Return3 Year ReturnSince Inception*
Class I10.08%27.12%6.19%5.78%
Class R610.51%27.78%6.57%6.07%
HFRI Event Driven Total Index(a)16.36%33.98%8.09%7.40%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 3.34% and 3.33% for the I and R6 Classes, respectively.

 

(a)HFRI Event-Driven Total Index: Investment Managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure.

 

*Inception date is August 18, 2017.

 

Top 10 Holdings by Industry % of Net Assets 
Equity  32.6%
Fixed Income  27.0%
Alternative  18.9%
Commodity  0.8%
Other/Cash & Equivalents  20.7%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

2

 

James Alpha Family Office Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   AnnualizedAnnualized
 6 Month Return1 Year Return3 Year ReturnSince Inception*
Class I14.54%33.03%9.07%8.56%
Class R614.67%33.40%9.42%8.99%
Dow Jones Moderate Portfolio Index(a)10.00%26.62%10.11%9.82%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 2.56% and 2.56% for the I and R6 Classes, respectively.

 

(a)The Dow Jones Moderate Portfolio Index is a member of the Relative Risk Index Series and designed to measure a total portfolio of stocks, bonds, and cash, allocated to represent an investor’s desired risk profile. The Dow Jones Moderate Portfolio Index risk level is set to 60% of the Dow Jones Global Stock CMAC Index’s downside risk (past 36 months).

 

*Inception date is June 30, 2017.

 

Top 10 Holdings by Industry % of Net Assets 
Equity  76.9%
Fixed Income  19.5%
Commodity  2.1%
Other/Cash & Equivalents  1.5%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

3

 

James Alpha Relative Value Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   AnnualizedAnnualized
 6 Month Return1 Year Return3 Year ReturnSince Inception*
Class I4.42%16.09%6.22%5.41%
Class R64.68%16.65%6.56%5.71%
HFRI Relative Value Total Index(a)8.02%16.61%4.77%4.62%

 

Performance data quoted above is historical. Past performance doe2.69s not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 3.27% and 3.26% for the I and R6 Classes, respectively.

 

(a)HFRI Relative Value Total Index: Investment Managers who maintain positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative or other security types. Fixed income strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. RV position may be involved in corporate transactions also, but as opposed to ED exposures, the investment thesis is predicated on realization of a pricing discrepancy between related securities, as opposed to the outcome of the corporate transaction.

 

*Inception date is August 18, 2017.

 

Top 10 Holdings by Industry % of Net Assets 
Fixed Income  68.7%
Equity  9.3%
Commodity  3.5%
Alternative  2.5%
Other/Cash & Equivalents  16.0%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

4

 

James Alpha Total Hedge Portfolio
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   AnnualizedAnnualized
 6 Month Return1 Year Return3 Year ReturnSince Inception*
Class I9.71%25.63%7.52%7.07%
Class R69.92%26.14%7.81%7.29%
HRFI Fund Weighted Composite Index(a)14.76%29.64%8.44%8.03%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 2.69% and 2.69% for the I and R6 Classes, respectively.

 

(a)The HFRI Fund Weighted Composite Index is a global, equal-weighted index of appx. 1,900 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

 

*Inception date is June 30, 2017.

 

Top 10 Holdings by Industry % of Net Assets 
Equity  52.9%
Fixed Income  30.3%
Alternative  7.1%
Commodity  2.0%
Mixed Allocation  0.5%
Other/Cash & Equivalents  7.2%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

5

 

James Alpha Structured Credit Value Fund
PORTFOLIO REVIEW (Unaudited)
May 31, 2021

 

The Fund’s performance figures* for each of the periods ended May 31, 2021, compared to its benchmarks:

 

   Annualized
 6 Month Return1 Year ReturnSince Inception*
Class A4.25%14.64%10.12%
Class A With Load(1.72)%8.07%7.80%
Class C3.88%13.74%8.79%
Class I4.39%14.84%9.60%
Class R64.63%15.33%10.03%
Bloomberg Barclays US Aggregate Bond Index(a)(2.16)%(0.40)%5.26%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 1.80%, 2.60%, 1.58%%, and 1.59% for the A, C, I and R6 Classes, respectively.

 

(a)The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investmen-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

 

*Inception date is August 21, 2018.

 

Top 10 Holdings by Industry % of Net Assets 
CMO  31.4%
Non Agency CMBS  12.5%
CLO  8.4%
CDO  6.9%
Banking  6.3%
Institutional Financial Services  6.1%
U.S. Treasury Bills  6.0%
Specialty Finance  4.5%
Home Equity  3.8%
Residential Mortgage  1.9%
Other/Cash & Equivalents  12.2%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

6

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 93.6%    
    ALTERNATIVE - 0.3%    
 209  AlphaClone Alternative Alpha ETF $16,163 
         
    COMMODITY - 0.4%    
 122  SPDR Gold Shares(a)  21,762 
         
    EQUITY - 88.3%    
 1,004  AdvisorShares Dorsey Wright ADR ETF  66,559 
 1  AdvisorShares STAR Global Buy-Write ETF  39 
 143  Alerian MLP ETF  4,911 
 449  ALPS Medical Breakthroughs ETF(a)  20,928 
 33  ARK Innovation ETF  3,699 
 384  Columbia India Consumer ETF  20,546 
 802  Consumer Discretionary Select Sector SPDR Fund  138,618 
 130  Energy Select Sector SPDR Fund  6,787 
 51  First Trust Dow Jones Internet Index Fund(a)  11,516 
 3,177  First Trust Financial AlphaDEX Fund  144,808 
 416  Global X MSCI China Consumer Discretionary ETF  13,815 
 254  Global X MSCI Nigeria ETF  3,068 
 9  Invesco DWA Consumer Cyclicals Momentum ETF  808 
 178  Invesco DWA Healthcare Momentum ETF(a)  27,629 
 524  Invesco S&P 500 Pure Value ETF  42,187 
 1,990  Invesco S&P SmallCap Energy ETF  14,209 
 456  Invesco S&P SmallCap Health Care ETF(a)  84,620 
 595  Invesco S&P SmallCap Information Technology ETF  80,914 
 20  Invesco S&P SmallCap Utilities & Communication  1,312 
 4  Invesco Water Resources ETF  212 
 155  iShares China Large-Cap ETF  7,167 
 377  iShares Edge MSCI Europe Momentum Factor UCITS ETF(a)  4,133 
 391  iShares Expanded Tech-Software Sector ETF  140,330 
 3  iShares Global Timber & Forestry ETF  274 
 454  iShares Latin America 40 ETF  13,906 
 1,504  iShares Micro-Cap ETF  224,968 
 195  iShares MSCI Brazil ETF  7,587 
 641  iShares MSCI China Small-Cap ETF  36,197 
         

See accompanying notes to financial statements.

7

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 93.6% (Continued)    
    EQUITY - 88.3% (Continued)    
 283  iShares MSCI EAFE ETF $22,875 
 265  iShares MSCI Emerging Markets ETF  14,541 
 834  iShares MSCI Emerging Markets Small-Cap ETF  51,174 
 1,424  iShares MSCI Frontier and Sele  45,767 
 1,844  iShares MSCI India Small-Cap ETF  96,911 
 34  iShares MSCI Ireland ETF  2,041 
 495  iShares MSCI Japan ETF  33,947 
 27  iShares MSCI Japan Small-Cap ETF  2,162 
 39  iShares MSCI Poland ETF  879 
 237  iShares MSCI South Africa ETF  12,582 
 195  iShares MSCI Taiwan ETF  12,160 
 176  iShares MSCI Thailand ETF  14,284 
 1,036  iShares MSCI UAE ETF  15,395 
 150  iShares MSCI United Kingdom ETF  5,069 
 1,426  iShares MSCI United Kingdom Small-Cap ETF  70,673 
 849  iShares Nasdaq Biotechnology ETF  129,006 
 1,084  iShares Russell 1000 Growth ETF  277,657 
 399  iShares Russell 1000 Value ETF  64,291 
 1,072  iShares Russell 2000 ETF  241,736 
 1,804  iShares Russell 2000 Growth ETF  537,846 
 1,704  iShares Russell 2000 Value ETF  285,472 
 2,370  iShares Russell Mid-Cap Growth ETF  251,410 
 1,625  iShares Russell Mid-Cap Value ETF  189,654 
 804  iShares S&P/TSX SmallCap Index ETF  13,258 
 92  iShares STOXX Europe 600 Utilities UCITS ETF DE  4,368 
 12  iShares U.S. Consumer Services ETF  920 
 123  iShares U.S. Financial Services ETF  23,166 
 38  iShares U.S. Healthcare Providers ETF  10,312 
 82  iShares US Financials ETF  6,759 
 124  iShares US Pharmaceuticals ETF  22,866 
 495  KraneShares CSI China Internet ETF  34,848 
 563  Materials Select Sector SPDR Fund  49,127 
 33  SPDR EURO STOXX 50 ETF  1,604 
 1,749  SPDR S&P Emerging Asia Pacific ETF  233,789 
         

See accompanying notes to financial statements.

8

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 93.6% (Continued)    
    EQUITY - 88.3% (Continued)    
 71  SPDR S&P Oil & Gas Exploration & Production ETF $6,324 
 87  SPDR S&P Regional Banking ETF  6,150 
 3,233  VanEck Vectors Africa Index ETF  73,001 
 1,494  VanEck Vectors Brazil Small-Cap ETF  34,885 
 2,004  VanEck Vectors ChinaAMC SME-Ch  104,375 
 38  VanEck Vectors Israel ETF  1,777 
 73  VanEck Vectors Low Carbon Energy ETF  10,955 
 1  VanEck Vectors Rare Earth/Strategic Metals ETF  84 
 1,051  VanEck Vectors Russia ETF  29,565 
 473  VanEck Vectors Russia Small-Cap ETF  17,625 
 197  VanEck Vectors Semiconductor ETF  49,090 
 75  VanEck Vectors Unconventional Oil & Gas ETF  9,026 
 1,177  VanEck Vectors Vietnam ETF  23,163 
 183  Vanguard FTSE Canadian High Dividend Yield Index  6,029 
 2,504  Vanguard FTSE Emerging Markets ETF  134,916 
 1,002  Vanguard Total World Stock ETF  103,116 
 629  WisdomTree Emerging Markets SmallCap Dividend Fund  33,972 
 211  WisdomTree Europe SmallCap Dividend Fund  16,120 
 1,583  WisdomTree Japan Hedged SmallCap Equity Fund  69,065 
 1,360  Xtrackers Harvest CSI 300 China A-Shares ETF  57,283 
 266  Xtrackers Harvest CSI 500 China A-Shares ETF  10,151 
 183  Xtrackers MSCI All China Equity ETF  8,498 
       4,705,466 
    FIXED INCOME - 4.5%    
 493  Invesco Financial Preferred ETF  9,362 
 1,096  iShares Preferred & Income Securities ETF  42,580 
 2,232  SPDR Bloomberg Barclays Convertible Securities ETF  188,090 
       240,032 
    SPECIALTY - 0.1%    
 47  ProShares Short VIX Short-Term Futures ETF(a)  2,437 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $4,581,092)  4,985,860 
         

See accompanying notes to financial statements.

9

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADEDNOTES — 0.0%    
    SPECIALTY - 0.0%    
 7  iPath Series B S&P 500 VIX Short-Term Futures ETN(a) $243 
         
    TOTAL EXCHANGE-TRADED NOTES (Cost $742)  243 
         
    OPEN END FUNDS — 2.6%    
    ALTERNATIVE - 2.6%    
 12,422  James Alpha Managed Risk Domestic Equity Portfolio, Class R6  140,124 
         
    TOTAL OPEN END FUNDS (Cost $140,000)  140,124 
         
    TOTAL INVESTMENTS - 96.2% (Cost $4,721,834) $5,126,227 
    OTHER ASSETS IN EXCESS OF LIABILITIES - 3.8%  204,769 
    NET ASSETS - 100.0% $5,330,966 

 

EAFE - Europe, Australasia and Far East

 

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Buy:                
Australian Dollar 06/24/2021 Brown Brothers Harriman  8,506  $6,558  $(78)
British Pound 06/24/2021 Brown Brothers Harriman  31,568   44,760   (36)
Mexican Peso 06/24/2021 Brown Brothers Harriman  72,148   3,606   (15)
          $54,924  $(129)
                 
To Sell:                
Canadian Dollar 06/24/2021 Brown Brothers Harriman  35,697  $29,550  $37 
Euro 06/24/2021 Brown Brothers Harriman  96,346   117,414   458 
Japanese Yen 06/24/2021 Brown Brothers Harriman  5,914,506   53,790   541 
          $200,754  $1,036 
                 
Total             $907 
                 

See accompanying notes to financial statements.

10

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

  TOTAL RETURN SWAPS - 0.0% 
              Unrealized 
              Appreciation/ 
Notional Amount Reference Entity Shares Counterparty Maturity Date Pay/Receive Fixed Rate Variable Rate (Depreciation) 
157,152 S&P 500 Equal Weighted Index 26 Goldman Sachs 5/20/2022 Pay 0.6053 $ 
330,615 S&P 500 Equal Weighted Index 55 Goldman Sachs 5/20/2022 Pay 0.5993   
              $ 

 

TOTAL RETURN SWAP - (0.0)%   
  Unrealized 
   Depreciation 
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 954 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $118,000) $ 
  $ 
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 1,019 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $117,473) $(227)
  $(227)
     
TOTAL RETURN SWAP - (0.0)%    
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10- delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left- tail events with very high realized volatility. The number of shares is 839 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $117,735) $(572)
  $(572)
     
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 872 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expired on February 4, 2022. (Notional Value $118,000) $ 
  $ 
     

See accompanying notes to financial statements.

11

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings

 

PURCHASED CALL OPTIONS
               
Number of Contracts Open Purchased Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
0 S&P 500 Index Goldman Sachs 1,977 6/18/2021 $3,910  $140 
1 S&P 500 Index Goldman Sachs 2,906 6/18/2021 $3,915   202 
1 S&P 500 Index Goldman Sachs 2,722 6/18/2021 $3,970   155 
1 S&P 500 Index Goldman Sachs 5,460 6/18/2021 $3,975   305 
1 S&P 500 Index Goldman Sachs 4,995 6/18/2021 $4,065   181 
0 S&P 500 Index Goldman Sachs 1,757 6/18/2021 $4,080   58 
0 S&P 500 Index Goldman Sachs 1,786 6/18/2021 $4,095   54 
3 S&P 500 Index Goldman Sachs 10,909 6/18/2021 $4,115   283 
1 S&P 500 Index Goldman Sachs 2,877 7/16/2021 $4,125   93 
0 S&P 500 Index Goldman Sachs 1,758 8/20/2021 $4,130   70 
2 S&P 500 Index Goldman Sachs 9,416 6/18/2021 $4,135   226 
0 S&P 500 Index Goldman Sachs 1,821 6/18/2021 $4,140   42 
1 S&P 500 Index Goldman Sachs 3,588 7/16/2021 $4,150   109 
1 S&P 500 Index Goldman Sachs 4,502 6/18/2021 $4,155   100 
0 S&P 500 Index Goldman Sachs 1,893 6/18/2021 $4,160   40 
1 S&P 500 Index Goldman Sachs 3,361 7/16/2021 $4,165   96 
1 S&P 500 Index Goldman Sachs 4,742 6/18/2021 $4,170   92 
2 S&P 500 Index Goldman Sachs 7,467 6/18/2021 $4,175   137 
4 S&P 500 Index Goldman Sachs 15,110 6/18/2021 $4,180   265 
2 S&P 500 Index Goldman Sachs 6,712 7/16/2021 $4,185   169 
1 S&P 500 Index Goldman Sachs 3,374 8/20/2021 $4,190   112 
2 S&P 500 Index Goldman Sachs 7,883 6/18/2021 $4,195   131 
1 S&P 500 Index Goldman Sachs 3,731 6/18/2021 $4,200   59 
1 S&P 500 Index Goldman Sachs 3,545 7/16/2021 $4,205   84 
0 S&P 500 Index Goldman Sachs 2,034 8/20/2021 $4,210   64 
1 S&P 500 Index Goldman Sachs 5,218 6/18/2021 $4,230   78 
1 S&P 500 Index Goldman Sachs 2,490 7/16/2021 $4,120   57 
2 S&P 500 Index Goldman Sachs 9,222 6/18/2021 $4,130   130 
1 S&P 500 Index Goldman Sachs 3,536 7/16/2021 $4,140   78 
4 S&P 500 Index Goldman Sachs 18,512 6/18/2021 $4,160   247 
1 S&P 500 Index Goldman Sachs 3,668 6/18/2021 $4,170   46 
2 S&P 500 Index Goldman Sachs 8,784 7/16/2021 $4,175   179 
1 S&P 500 Index Goldman Sachs 3,203 8/20/2021 $4,180   92 
3 S&P 500 Index Goldman Sachs 13,138 6/18/2021 $4,190   155 
2 S&P 500 Index Goldman Sachs 9,887 6/18/2021 $4,200   110 
3 S&P 500 Index Goldman Sachs 14,290 7/16/2021 $4,120   270 
2 S&P 500 Index Goldman Sachs 6,363 8/20/2021 $4,160   173 
1 S&P 500 Index Goldman Sachs 5,309 6/18/2021 $4,170   55 
1 S&P 500 Index Goldman Sachs 3,292 6/18/2021 $4,190   32 
1 S&P 500 Index Goldman Sachs 4,322 6/18/2021 $4,200   31 
               5,000 
                 
WRITTEN CALL OPTIONS
               
Number of Contracts Open Written Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
15 Apple, Inc. Goldman Sachs 1,916 6/18/2021 $125   3 
20 Apple, Inc. Goldman Sachs 2,500 6/18/2021 $135   43 
83 Cisco Systems, Inc. Goldman Sachs 4,374 6/18/2021 $53   75 
5 Deere & Co. Goldman Sachs 1,737 6/18/2021 $380   13 
35 Exxon Mobile Corp. Goldman Sachs 2,140 6/18/2021 $60   58 
24 NextEra Energy, Inc. Goldman Sachs 1,751 6/18/2021 $73   27 
12 PepsiCo, Inc. Goldman Sachs 1,806 6/18/2021 $145   36 
12 Target Corp. Goldman Sachs 2,821 6/18/2021 $210   219 
33 US Bancorp Goldman Sachs 1,984 6/18/2021 $60   58 
21 Walmart, Inc. Goldman Sachs 2,969 6/18/2021 $140   59 
               591 
                 

See accompanying notes to financial statements.

12

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

No Open Positions
 

See accompanying notes to financial statements.

13

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
      Notional Value at May        
Number of Contracts Open Long Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
3 S&P 500 Index Goldman Sachs 12,784 12/17/2021 $4,200.00  $56 
3 S&P 500 Index Goldman Sachs 11,342 3/18/2022 $4,200.00   69 
2 S&P 500 Index Goldman Sachs 10,454 6/17/2022 $4,200.00   87 
               212 
                 
PURCHASED PUT OPTIONS
               
      Notional Value at May        
Number of Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
2 S&P 500 Index Goldman Sachs 8,233 6/18/2021 $1,550  $ 
2 S&P 500 Index Goldman Sachs 10,205 6/18/2021 $1,575    
2 S&P 500 Index Goldman Sachs 8,992 6/18/2021 $1,675    
3 S&P 500 Index Goldman Sachs 10,957 6/18/2021 $1,750    
3 S&P 500 Index Goldman Sachs 14,264 6/18/2021 $1,775    
3 S&P 500 Index Goldman Sachs 10,511 6/18/2021 $1,825    
2 S&P 500 Index Goldman Sachs 9,671 6/18/2021 $1,900    
2 S&P 500 Index Goldman Sachs 8,887 6/18/2021 $1,950    
2 S&P 500 Index Goldman Sachs 8,891 6/18/2021 $1,975    
3 S&P 500 Index Goldman Sachs 12,027 6/18/2021 $2,000    
3 S&P 500 Index Goldman Sachs 12,201 6/18/2021 $2,025    
2 S&P 500 Index Goldman Sachs 10,318 6/18/2021 $2,050    
2 S&P 500 Index Goldman Sachs 9,158 6/18/2021 $2,075    
2 S&P 500 Index Goldman Sachs 9,481 6/18/2021 $2,125    
2 S&P 500 Index Goldman Sachs 10,120 6/18/2021 $2,150    
2 S&P 500 Index Goldman Sachs 8,235 6/18/2021 $2,175    
3 S&P 500 Index Goldman Sachs 10,920 6/18/2021 $2,250    
2 S&P 500 Index Goldman Sachs 9,178 6/18/2021 $2,400    
2 S&P 500 Index Goldman Sachs 8,664 6/18/2021 $2,425    
2 S&P 500 Index Goldman Sachs 9,472 9/17/2021 $1,800   3 
5 S&P 500 Index Goldman Sachs 21,072 9/17/2021 $1,850   9 
3 S&P 500 Index Goldman Sachs 14,073 9/17/2021 $1,900   6 
2 S&P 500 Index Goldman Sachs 9,092 9/17/2021 $1,950   5 
3 S&P 500 Index Goldman Sachs 12,188 9/17/2021 $2,225   10 
3 S&P 500 Index Goldman Sachs 14,286 9/17/2021 $2,250   12 
2 S&P 500 Index Goldman Sachs 9,496 9/17/2021 $2,275   9 
2 S&P 500 Index Goldman Sachs 9,660 9/17/2021 $2,325   9 
2 S&P 500 Index Goldman Sachs 8,800 9/17/2021 $2,400   10 
3 S&P 500 Index Goldman Sachs 11,852 9/17/2021 $2,500   16 
2 S&P 500 Index Goldman Sachs 8,093 9/17/2021 $2,525   11 
4 S&P 500 Index Goldman Sachs 14,974 12/17/2021 $2,125   29 
3 S&P 500 Index Goldman Sachs 12,075 12/17/2021 $2,150   24 
3 S&P 500 Index Goldman Sachs 11,535 12/17/2021 $2,175   24 
2 S&P 500 Index Goldman Sachs 9,142 12/17/2021 $2,200   20 
3 S&P 500 Index Goldman Sachs 10,953 12/17/2021 $2,250   26 
3 S&P 500 Index Goldman Sachs 10,583 12/17/2021 $2,450   34 
2 S&P 500 Index Goldman Sachs 10,102 12/17/2021 $2,500   35 
3 S&P 500 Index Goldman Sachs 14,348 12/17/2021 $2,525   51 
2 S&P 500 Index Goldman Sachs 10,177 12/17/2021 $2,550   38 
2 S&P 500 Index Goldman Sachs 9,483 12/17/2021 $2,575   36 
3 S&P 500 Index Goldman Sachs 13,340 12/17/2021 $2,800   73 
2 S&P 500 Index Goldman Sachs 9,973 3/18/2022 $2,050   29 
2 S&P 500 Index Goldman Sachs 10,354 3/18/2022 $2,100   33 
3 S&P 500 Index Goldman Sachs 13,936 3/18/2022 $2,150   48 
2 S&P 500 Index Goldman Sachs 8,320 3/18/2022 $2,500   48 
2 S&P 500 Index Goldman Sachs 8,732 3/18/2022 $2,600   58 
2 S&P 500 Index Goldman Sachs 9,137 4/14/2022 $2,500   60 
               766 
                 

See accompanying notes to financial statements.

14

 

JAMES ALPHA EHS FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
Number of     Notional Value at May        
Contracts Open Short Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
34 S&P 500 Index Goldman Sachs 143,154 6/18/2021 $4,205.00  $197 
27 S&P 500 Index Goldman Sachs 111,615 7/16/2021 $4,200.00   80 
14 S&P 500 Index Goldman Sachs 60,380 8/20/2021 $4,200.00   99 
5 S&P 500 Index Goldman Sachs 21,408 9/17/2021 $4,200.00   55 
               431 
                 
PURCHASED PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
8 S&P 500 Index Goldman Sachs 33,752 6/18/2021 $1,925  $ 
5 S&P 500 Index Goldman Sachs 22,862 6/18/2021 $1,950    
14 S&P 500 Index Goldman Sachs 58,707 6/18/2021 $1,975    
7 S&P 500 Index Goldman Sachs 30,804 6/18/2021 $2,150    
5 S&P 500 Index Goldman Sachs 20,768 6/18/2021 $2,175    
6 S&P 500 Index Goldman Sachs 27,140 6/18/2021 $2,275    
5 S&P 500 Index Goldman Sachs 22,468 6/18/2021 $2,475   1 
5 S&P 500 Index Goldman Sachs 21,411 6/18/2021 $2,700   1 
6 S&P 500 Index Goldman Sachs 25,824 6/18/2021 $2,950   2 
6 S&P 500 Index Goldman Sachs 25,461 6/18/2021 $3,060   3 
5 S&P 500 Index Goldman Sachs 21,623 6/18/2021 $3,070   3 
8 S&P 500 Index Goldman Sachs 35,195 6/18/2021 $3,220   7 
6 S&P 500 Index Goldman Sachs 24,652 7/16/2021 $1,950   2 
10 S&P 500 Index Goldman Sachs 40,504 7/16/2021 $2,000   3 
5 S&P 500 Index Goldman Sachs 22,078 7/16/2021 $2,400   4 
7 S&P 500 Index Goldman Sachs 30,410 7/16/2021 $2,450   7 
8 S&P 500 Index Goldman Sachs 33,936 7/16/2021 $2,550   10 
8 S&P 500 Index Goldman Sachs 34,040 7/16/2021 $2,600   11 
6 S&P 500 Index Goldman Sachs 25,671 7/16/2021 $2,640   9 
9 S&P 500 Index Goldman Sachs 38,654 7/16/2021 $2,790   18 
5 S&P 500 Index Goldman Sachs 20,647 7/16/2021 $2,870   11 
10 S&P 500 Index Goldman Sachs 41,815 7/16/2021 $2,910   24 
9 S&P 500 Index Goldman Sachs 37,950 8/20/2021 $2,200   17 
14 S&P 500 Index Goldman Sachs 58,881 8/20/2021 $2,300   33 
10 S&P 500 Index Goldman Sachs 40,333 8/20/2021 $2,350   25 
8 S&P 500 Index Goldman Sachs 33,518 8/20/2021 $2,450   25 
7 S&P 500 Index Goldman Sachs 30,420 8/20/2021 $2,550   27 
               243 
                 
WRITTEN PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Written Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
5 S&P 500 Index Goldman Sachs 20,647 6/18/2021 $3,410   112 
5 S&P 500 Index Goldman Sachs 20,701 6/18/2021 $3,450   26 
5 S&P 500 Index Goldman Sachs 20,790 6/18/2021 $3,610   168 
5 S&P 500 Index Goldman Sachs 20,854 6/18/2021 $3,825   50 
5 S&P 500 Index Goldman Sachs 21,623 6/18/2021 $3,840   32 
5 S&P 500 Index Goldman Sachs 22,133 6/18/2021 $3,875   7 
5 S&P 500 Index Goldman Sachs 22,468 6/18/2021 $3,885   11 
5 S&P 500 Index Goldman Sachs 22,511 6/18/2021 $3,965   156 
6 S&P 500 Index Goldman Sachs 24,775 7/16/2021 $3,660   29 
6 S&P 500 Index Goldman Sachs 24,958 7/16/2021 $3,710   93 
6 S&P 500 Index Goldman Sachs 26,396 7/16/2021 $3,740   179 
6 S&P 500 Index Goldman Sachs 26,923 7/16/2021 $3,750   92 
6 S&P 500 Index Goldman Sachs 27,186 7/16/2021 $3,770   111 
7 S&P 500 Index Goldman Sachs 29,431 7/16/2021 $3,830   113 
8 S&P 500 Index Goldman Sachs 31,637 7/16/2021 $3,860   9 
8 S&P 500 Index Goldman Sachs 33,617 7/16/2021 $3,890   52 
9 S&P 500 Index Goldman Sachs 38,654 8/20/2021 $3,630   190 
9 S&P 500 Index Goldman Sachs 39,614 8/20/2021 $3,640   117 
10 S&P 500 Index Goldman Sachs 41,815 8/20/2021 $3,710   250 
               1,797 
                 

See accompanying notes to financial statements.

15

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 74.9%    
    ALTERNATIVE - 18.4%    
 57  AlphaClone Alternative Alpha ETF $4,408 
 12,027  IQ Merger Arbitrage ETF  402,665 
 9,848  ProShares Merger ETF  402,635 
       809,708 
    COMMODITY - 0.8%    
 1,064  iShares GSCI Commodity Dynamic  35,314 
         
    EQUITY - 32.6%    
 890  First Trust Financial AlphaDEX Fund  40,566 
 23,003  Global SuperDividend US ETF  462,359 
 14  Global X MSCI China Consumer Discretionary ETF  465 
 10,553  Global X SuperDividend ETF  151,330 
 427  Invesco DWA Energy Momentum ETF  11,602 
 13  Invesco KBW Property & Casualty ETF  1,034 
 63  Invesco S&P SmallCap 600 Pure Growth ETF  10,013 
 15,028  Invesco S&P SmallCap Energy ETF  107,300 
 231  IQ US Real Estate Small Cap ETF  5,874 
 1  iShares China Large-Cap ETF  46 
 259  iShares Dow Jones Asia Pacific Select Dividend 50  7,850 
 6  iShares Edge MSCI Europe Momentum Factor UCITS ETF(a)  66 
 227  iShares Micro-Cap ETF  33,955 
 400  iShares MSCI China Small-Cap ETF  22,588 
 1,260  iShares MSCI Hong Kong ETF  35,406 
 466  iShares MSCI Ireland ETF  27,975 
 314  iShares MSCI United Kingdom ETF  10,610 
 2,209  iShares MSCI United Kingdom Small-Cap ETF  109,478 
 1,010  iShares Russell 2000 Value ETF  169,205 
 755  iShares Russell Mid-Cap Value ETF  88,116 
 121  iShares STOXX Europe 600 Insurance UCITS ETF DE  4,653 
 11  ProShares UltraPro S&P 500  1,170 
 86  SPDR Dow Jones Global Real Estate ETF  4,407 
 20  SPDR S&P Insurance ETF  796 
 13  SPDR S&P Regional Banking ETF  919 
 1,837  VanEck Vectors Russia ETF  51,675 
         

See accompanying notes to financial statements.

16

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 74.9% (Continued)    
    EQUITY - 32.6% (Continued)    
 774  VanEck Vectors Russia Small-Cap ETF $28,841 
 43  Vanguard Real Estate ETF  4,295 
 861  WisdomTree Japan Hedged SmallCap Equity Fund  37,565 
 155  Xtrackers Harvest CSI 500 China A-Shares ETF  5,915 
       1,436,074 
    FIXED INCOME - 23.1%    
 10,214  High Yield ETF  330,831 
 274  Invesco Financial Preferred ETF  5,203 
 13,342  Invesco Global Short Term High Yield Bond ETF  294,992 
 569  Invesco Senior Loan ETF  12,632 
 5,448  iShares Barclays USD Asia High Yield Bond Index  56,986 
 314  iShares JP Morgan USD Emerging Markets Bond ETF  35,124 
 254  SPDR Blackstone Senior Loan ET  11,730 
 1,593  SPDR Bloomberg Barclays Convertible Securities ETF  134,242 
 578  SPDR Bloomberg Barclays Euro High Yield Bond UCITS  40,671 
 2,868  VanEck Vectors Emerging Markets High Yield Bond  68,488 
 872  VanEck Vectors Fallen Angel High Yield Bond ETF  28,087 
       1,018,986 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $3,241,717)  3,300,082 
         
    OPEN END FUNDS — 4.4%    
    ALTERNATIVE - 0.5%    
 930  Kellner Merger Fund, Institutional Class  10,065 
 564  Merger Fund (The), Class V  10,068 
       20,133 
    FIXED INCOME - 3.9%    
 15,428  James Alpha Structured Credit Value Portfolio, Class R6  172,636 
         
    TOTAL OPEN END FUNDS (Cost $186,578)  192,769 
         
    TOTAL INVESTMENTS - 79.3% (Cost $3,428,295) $3,492,851 
    OTHER ASSETS IN EXCESS OF LIABILITIES - 20.7%  910,214 
    NET ASSETS - 100.0% $4,403,065 
         

See accompanying notes to financial statements.

17

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Buy:                
Japanese Yen 06/24/2021 Brown Brothers Harriman  5,591,782  $50,855  $(512)
          $50,855  $(512)
                 
To Sell:                
Australian Dollar 06/24/2021 Brown Brothers Harriman  22,921  $17,673  $208 
British Pound 06/24/2021 Brown Brothers Harriman  67,539   95,764   77 
Canadian Dollar 06/24/2021 Brown Brothers Harriman  136,918   113,339   144 
Euro 06/24/2021 Brown Brothers Harriman  162,880   198,496   774 
          $425,272  $1,203 
                 
Total             $691 
                 

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

18

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

  TOTAL RETURN SWAPS - (0.1)% 
                 
          Pay/Receive    Unrealized 
Notional Amount Reference Entity Shares Counterparty Maturity Date Fixed Rate Variable Rate  Depreciation 
116,682 MSCI AC World Daily Total Return 77 Goldman Sachs 4/22/2022 Pay 0.5501  $(48)
722,129 Russell 2000 Total Return Index 62 Goldman Sachs 4/21/2022 Pay 0.5256   (300)
147,865 Russell 2000 Total Return Index 13 Goldman Sachs 4/21/2022 Pay 0.5053   (16)
34,713 S&P 500 Total Return Index 4 Goldman Sachs 12/21/2021 Pay 0.3943   (7)
               $(371)
                  
          Pay/Receive    Unrealized 
Notional Amount Reference Entity Shares Counterparty Maturity Date Fixed Rate Variable Rate  Appreciation 
2,068,286 Goldman Sachs HY Synthetic Corporate 5Y Total Return 11,928 Goldman Sachs 2/4/2022 Pay 0.2856   6,343 
               $6,343 
                  
  TOTAL            $5,972 

 

TOTAL RETURN SWAP - 0.0%   
  Unrealized
Depreciation
 
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 1,059 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $131,000) $ 
  $ 
TOTAL RETURN SWAP - 0.0%    
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 1,139 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $131,362) $(257)
  $(257)
TOTAL RETURN SWAP - (0.0)%    
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The number of shares is 938 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $131,571) $(640)
  $(640)
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 969 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expired on February 4, 2022. (Notional Value $131,000) $ 
  $ 
TOTAL RETURN SWAP - (0.0)%    
The MSCI Pacific Index captures large and mid cap representation across 5 Developed Markets (DM) countries in the Pacific region. With 430 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The number of shares is 24 and requires the fund to pay interest at the rate of 0.5763 on the Notional Value outstanding. The swap became effective on May 4, 2021 and expired on April 21, 2022. (Notional Value $188,579) $(86)
  $(86)
     

See accompanying notes to financial statements.

19

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings

 

PURCHASED CALL OPTIONS
               
Number of
Contracts
 Open Purchased Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
1 S&P 500 Index Goldman Sachs 2,194 6/18/2021 $3,910  $155 
1 S&P 500 Index Goldman Sachs 3,226 6/18/2021 $3,915   224 
1 S&P 500 Index Goldman Sachs 3,021 6/18/2021 $3,970   172 
1 S&P 500 Index Goldman Sachs 6,061 6/18/2021 $3,975   339 
1 S&P 500 Index Goldman Sachs 5,546 6/18/2021 $4,065   201 
0 S&P 500 Index Goldman Sachs 1,950 6/18/2021 $4,080   65 
0 S&P 500 Index Goldman Sachs 1,983 6/18/2021 $4,095   59 
3 S&P 500 Index Goldman Sachs 12,111 6/18/2021 $4,115   315 
2 S&P 500 Index Goldman Sachs 10,454 6/18/2021 $4,125   251 
0 S&P 500 Index Goldman Sachs 2,022 6/18/2021 $4,130   47 
1 S&P 500 Index Goldman Sachs 4,999 6/18/2021 $4,135   110 
1 S&P 500 Index Goldman Sachs 2,102 6/18/2021 $4,140   44 
1 S&P 500 Index Goldman Sachs 5,265 6/18/2021 $4,150   102 
2 S&P 500 Index Goldman Sachs 8,289 6/18/2021 $4,155   153 
4 S&P 500 Index Goldman Sachs 16,775 6/18/2021 $4,160   294 
2 S&P 500 Index Goldman Sachs 8,751 6/18/2021 $4,165   146 
1 S&P 500 Index Goldman Sachs 4,143 6/18/2021 $4,170   65 
1 S&P 500 Index Goldman Sachs 5,793 6/18/2021 $4,175   87 
2 S&P 500 Index Goldman Sachs 10,237 6/18/2021 $4,180   145 
5 S&P 500 Index Goldman Sachs 20,551 6/18/2021 $4,185   274 
1 S&P 500 Index Goldman Sachs 4,072 6/18/2021 $4,190   51 
3 S&P 500 Index Goldman Sachs 14,586 6/18/2021 $4,195   172 
3 S&P 500 Index Goldman Sachs 10,977 6/18/2021 $4,200   122 
1 S&P 500 Index Goldman Sachs 5,894 6/18/2021 $4,205   61 
1 S&P 500 Index Goldman Sachs 3,655 6/18/2021 $4,210   35 
1 S&P 500 Index Goldman Sachs 4,798 6/18/2021 $4,230   35 
1 S&P 500 Index Goldman Sachs 3,194 7/16/2021 $4,120   103 
1 S&P 500 Index Goldman Sachs 3,983 7/16/2021 $4,130   121 
1 S&P 500 Index Goldman Sachs 3,731 7/16/2021 $4,140   107 
2 S&P 500 Index Goldman Sachs 7,452 7/16/2021 $4,160   188 
1 S&P 500 Index Goldman Sachs 3,936 7/16/2021 $4,170   93 
1 S&P 500 Index Goldman Sachs 2,765 7/16/2021 $4,175   63 
1 S&P 500 Index Goldman Sachs 3,926 7/16/2021 $4,180   86 
2 S&P 500 Index Goldman Sachs 9,751 7/16/2021 $4,190   199 
4 S&P 500 Index Goldman Sachs 15,864 7/16/2021 $4,200   300 
0 S&P 500 Index Goldman Sachs 1,952 8/20/2021 $4,120   78 
1 S&P 500 Index Goldman Sachs 3,746 8/20/2021 $4,160   125 
1 S&P 500 Index Goldman Sachs 2,259 8/20/2021 $4,170   72 
1 S&P 500 Index Goldman Sachs 3,556 8/20/2021 $4,190   102 
2 S&P 500 Index Goldman Sachs 7,064 8/20/2021 $4,200   192 
               5,553 
                 
WRITTEN CALL OPTIONS
               
Number of
Contracts
 Open Written Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
22 Apple, Inc. Goldman Sachs 2,775 6/18/2021 $125   47 
17 Apple, Inc. Goldman Sachs 2,127 6/18/2021 $135   4 
92 Cisco Systems, Inc. Goldman Sachs 4,856 6/18/2021 $53   83 
5 Deere & Co. Goldman Sachs 1,928 6/18/2021 $380   14 
39 Exxon Mobile Corp. Goldman Sachs 2,375 6/18/2021 $60   65 
27 NextEra Energy, Inc. Goldman Sachs 1,944 6/18/2021 $73   30 
14 PepsiCo, Inc. Goldman Sachs 2,005 6/18/2021 $145   40 
14 Target Corp. Goldman Sachs 3,132 6/18/2021 $210   243 
36 US Bancorp Goldman Sachs 2,202 6/18/2021 $60   65 
23 Walmart, Inc. Goldman Sachs 3,296 6/18/2021 $140   65 
               656 
                 

See accompanying notes to financial statements.

20

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2021

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

No Open Positions
 

See accompanying notes to financial statements.

21

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
Number of     Notional Value at May        
Contracts Open Long Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
3 S&P 500 Index Goldman Sachs 14,287 12/17/2021 $4,200.00  $62 
3 S&P 500 Index Goldman Sachs 12,675 3/18/2022 $4,200.00   77 
3 S&P 500 Index Goldman Sachs 11,683 6/17/2022 $4,200.00   97 
               236 
                 
PURCHASED PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
2 S&P 500 Index Goldman Sachs 9,201 6/18/2021 $1,550  $ 
3 S&P 500 Index Goldman Sachs 11,404 6/18/2021 $1,575    
2 S&P 500 Index Goldman Sachs 10,048 6/18/2021 $1,675    
3 S&P 500 Index Goldman Sachs 12,244 6/18/2021 $1,750    
4 S&P 500 Index Goldman Sachs 15,941 6/18/2021 $1,775    
3 S&P 500 Index Goldman Sachs 11,747 6/18/2021 $1,825    
3 S&P 500 Index Goldman Sachs 10,808 6/18/2021 $1,900    
2 S&P 500 Index Goldman Sachs 9,931 6/18/2021 $1,950    
2 S&P 500 Index Goldman Sachs 9,936 6/18/2021 $1,975    
3 S&P 500 Index Goldman Sachs 13,441 6/18/2021 $2,000    
3 S&P 500 Index Goldman Sachs 13,635 6/18/2021 $2,025    
3 S&P 500 Index Goldman Sachs 11,530 6/18/2021 $2,050    
2 S&P 500 Index Goldman Sachs 10,234 6/18/2021 $2,075    
3 S&P 500 Index Goldman Sachs 10,595 6/18/2021 $2,125    
3 S&P 500 Index Goldman Sachs 11,309 6/18/2021 $2,150    
2 S&P 500 Index Goldman Sachs 9,203 6/18/2021 $2,175    
3 S&P 500 Index Goldman Sachs 12,203 6/18/2021 $2,250    
2 S&P 500 Index Goldman Sachs 10,257 6/18/2021 $2,400    
2 S&P 500 Index Goldman Sachs 9,682 6/18/2021 $2,425    
3 S&P 500 Index Goldman Sachs 10,586 9/17/2021 $1,800   4 
6 S&P 500 Index Goldman Sachs 23,548 9/17/2021 $1,850   10 
4 S&P 500 Index Goldman Sachs 15,727 9/17/2021 $1,900   7 
2 S&P 500 Index Goldman Sachs 10,160 9/17/2021 $1,950   5 
3 S&P 500 Index Goldman Sachs 13,621 9/17/2021 $2,225   11 
4 S&P 500 Index Goldman Sachs 15,965 9/17/2021 $2,250   14 
3 S&P 500 Index Goldman Sachs 10,612 9/17/2021 $2,275   10 
3 S&P 500 Index Goldman Sachs 10,795 9/17/2021 $2,325   11 
2 S&P 500 Index Goldman Sachs 9,834 9/17/2021 $2,400   11 
3 S&P 500 Index Goldman Sachs 13,245 9/17/2021 $2,500   17 
2 S&P 500 Index Goldman Sachs 9,044 9/17/2021 $2,525   12 
4 S&P 500 Index Goldman Sachs 16,734 12/17/2021 $2,125   33 
3 S&P 500 Index Goldman Sachs 13,494 12/17/2021 $2,150   27 
3 S&P 500 Index Goldman Sachs 12,890 12/17/2021 $2,175   27 
2 S&P 500 Index Goldman Sachs 10,216 12/17/2021 $2,200   22 
3 S&P 500 Index Goldman Sachs 12,240 12/17/2021 $2,250   29 
3 S&P 500 Index Goldman Sachs 11,826 12/17/2021 $2,450   38 
3 S&P 500 Index Goldman Sachs 11,289 12/17/2021 $2,500   39 
4 S&P 500 Index Goldman Sachs 16,034 12/17/2021 $2,525   57 
3 S&P 500 Index Goldman Sachs 11,373 12/17/2021 $2,550   42 
3 S&P 500 Index Goldman Sachs 10,598 12/17/2021 $2,575   41 
4 S&P 500 Index Goldman Sachs 14,908 12/17/2021 $2,800   81 
3 S&P 500 Index Goldman Sachs 11,145 3/18/2022 $2,050   33 
3 S&P 500 Index Goldman Sachs 11,571 3/18/2022 $2,100   37 
4 S&P 500 Index Goldman Sachs 15,574 3/18/2022 $2,150   53 
2 S&P 500 Index Goldman Sachs 9,298 3/18/2022 $2,500   54 
2 S&P 500 Index Goldman Sachs 9,758 3/18/2022 $2,600   65 
2 S&P 500 Index Goldman Sachs 10,211 4/14/2022 $2,500   67 
               857 
                 

See accompanying notes to financial statements.

22

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
Number of     Notional Value at May        
Contracts Open Short Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
38 S&P 500 Index Goldman Sachs 158,925 6/18/2021 $4,205.00  $218 
29 S&P 500 Index Goldman Sachs 123,912 7/16/2021 $4,200.00   88 
16 S&P 500 Index Goldman Sachs 67,032 8/20/2021 $4,200.00   110 
6 S&P 500 Index Goldman Sachs 23,766 9/17/2021 $4,200.00   61 
               477 
                 
PURCHASED PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
9 S&P 500 Index Goldman Sachs 37,470 6/18/2021 $1,925  $ 
6 S&P 500 Index Goldman Sachs 25,380 6/18/2021 $1,950    
16 S&P 500 Index Goldman Sachs 65,175 6/18/2021 $1,975    
8 S&P 500 Index Goldman Sachs 34,197 6/18/2021 $2,150    
5 S&P 500 Index Goldman Sachs 23,055 6/18/2021 $2,175    
7 S&P 500 Index Goldman Sachs 30,130 6/18/2021 $2,275    
6 S&P 500 Index Goldman Sachs 24,943 6/18/2021 $2,475   1 
6 S&P 500 Index Goldman Sachs 23,770 6/18/2021 $2,700   1 
7 S&P 500 Index Goldman Sachs 28,669 6/18/2021 $2,950   3 
7 S&P 500 Index Goldman Sachs 28,266 6/18/2021 $3,060   4 
6 S&P 500 Index Goldman Sachs 24,005 6/18/2021 $3,070   3 
9 S&P 500 Index Goldman Sachs 39,073 6/18/2021 $3,220   8 
7 S&P 500 Index Goldman Sachs 27,368 7/16/2021 $1,950   2 
11 S&P 500 Index Goldman Sachs 44,967 7/16/2021 $2,000   4 
6 S&P 500 Index Goldman Sachs 24,510 7/16/2021 $2,400   5 
8 S&P 500 Index Goldman Sachs 33,760 7/16/2021 $2,450   8 
9 S&P 500 Index Goldman Sachs 37,675 7/16/2021 $2,550   11 
9 S&P 500 Index Goldman Sachs 37,790 7/16/2021 $2,600   12 
7 S&P 500 Index Goldman Sachs 28,499 7/16/2021 $2,640   10 
10 S&P 500 Index Goldman Sachs 42,913 7/16/2021 $2,790   20 
5 S&P 500 Index Goldman Sachs 22,922 7/16/2021 $2,870   12 
11 S&P 500 Index Goldman Sachs 46,421 7/16/2021 $2,910   27 
10 S&P 500 Index Goldman Sachs 42,130 8/20/2021 $2,200   19 
16 S&P 500 Index Goldman Sachs 65,368 8/20/2021 $2,300   37 
11 S&P 500 Index Goldman Sachs 44,776 8/20/2021 $2,350   27 
9 S&P 500 Index Goldman Sachs 37,211 8/20/2021 $2,450   28 
8 S&P 500 Index Goldman Sachs 33,771 8/20/2021 $2,550   30 
               272 
                 
WRITTEN PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Written Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
8 S&P 500 Index Goldman Sachs 35,122 6/18/2021 $3,410   10 
6 S&P 500 Index Goldman Sachs 24,571 6/18/2021 $3,450   8 
6 S&P 500 Index Goldman Sachs 24,943 6/18/2021 $3,610   13 
7 S&P 500 Index Goldman Sachs 27,505 6/18/2021 $3,825   32 
5 S&P 500 Index Goldman Sachs 22,981 6/18/2021 $3,840   28 
6 S&P 500 Index Goldman Sachs 24,005 6/18/2021 $3,875   35 
9 S&P 500 Index Goldman Sachs 37,320 6/18/2021 $3,885   58 
6 S&P 500 Index Goldman Sachs 23,151 6/18/2021 $3,965   55 
10 S&P 500 Index Goldman Sachs 43,978 7/16/2021 $3,660   130 
7 S&P 500 Index Goldman Sachs 29,889 7/16/2021 $3,710   102 
7 S&P 500 Index Goldman Sachs 27,707 7/16/2021 $3,740   103 
8 S&P 500 Index Goldman Sachs 32,673 7/16/2021 $3,750   125 
7 S&P 500 Index Goldman Sachs 30,182 7/16/2021 $3,770   123 
10 S&P 500 Index Goldman Sachs 42,913 7/16/2021 $3,830   211 
5 S&P 500 Index Goldman Sachs 22,922 7/16/2021 $3,860   124 
11 S&P 500 Index Goldman Sachs 46,421 7/16/2021 $3,890   277 
7 S&P 500 Index Goldman Sachs 29,304 8/20/2021 $3,630   199 
6 S&P 500 Index Goldman Sachs 24,991 8/20/2021 $3,640   173 
5 S&P 500 Index Goldman Sachs 23,080 8/20/2021 $3,710   187 
               1,993 
                 

See accompanying notes to financial statements.

23

 

JAMES ALPHA EVENT DRIVEN FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

MSCI Pacific Total Return Top 50 Holdings

 

COMMON STOCK
       
Shares  Description Notional (a) 
382  AIA Group Ltd. $4,883 
59  Astellas Pharma, Inc.  966 
90  Aust And Nz Banking Group  1,998 
93  Bhp Group Ltd.  3,447 
56  Commonwealth Bank of Australia  4,326 
14  Csl Ltd.  3,229 
54  Daiichi Sankyo Co. Ltd.  1,243 
8  Daikin Industries Ltd.  1,554 
57  Dbs Group Holdings Ltd.  1,295 
14  Denso Corp.  939 
6  Fanuc Corp.  1,457 
2  Fast Retailing Co. Ltd.  1,502 
6  Fujitsu Ltd.  1,010 
31  Hitachi Ltd.  1,603 
52  Honda Motor Co. Ltd.  1,578 
38  Hong Kong Exchanges & Clear  2,382 
12  Hoya Corp.  1,545 
38  Itochu Corp.  1,115 
15  Kao Corp.  932 
51  Kddi Corp.  1,731 
6  Keyence Corp.  3,027 
14  M3, Inc.  944 
11  Macquarie Group Ltd.  1,277 
40  Mitsubishi Corp.  1,088 
388  Mitsubishi Ufj Financial Group  2,188 
49  Mitsui & Co Ltd.  1,077 
77  Mizuho Financial Group Inc.  1,165 
18  Murata Manufacturing Co. Ltd.  1,373 
105  National Australia Bank Ltd.  2,173 
14  Nidec Corp.  1,618 
4  Nintendo Co Ltd.  2,188 
41  Nippon Telegraph & Telephone  1,090 
6  Oriental Land Co. Ltd.  942 
106  Oversea-Chinese Banking Corp.  992 
43  Recruit Holdings Co. Ltd.  2,176 
12  Rio Tinto Ltd.  1,123 
24  Seven & I Holdings Co. Ltd.  1,030 
11  Shin-Etsu Chemical Co. Ltd.  1,928 
2  SMC Corp.  1,083 
91  Softbank Corp.  1,167 
40  Softbank Group Corp.  2,989 
40  Sony Group Corp.  3,927 
41  Sumitomo Mitsui Financial Group  1,489 
50  Takeda Pharmaceutical Co. Ltd.  1,693 
20  Tokio Marine Holdings Inc.  945 
5  Tokyo Electron Ltd.  2,099 
67  Toyota Motor Corp.  5,583 
36  Wesfarmers Ltd.  1,536 
116  Westpac Banking Corp.  2,370 
40  Woolworths Group Ltd.  1,288 
      92,303 
        
(a)Notional value represents the market value of the positions.

 

See accompanying notes to financial statements.

24

 

JAMES ALPHA FAMILY OFFICE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 96.5%    
    COMMODITY - 0.1%    
 94  Invesco DB Commodity Index Tracking Fund $1,749 
 33  iShares S&P GSCI Commodity Indexed Trust(a)  510 
       2,259 
    EQUITY - 76.9%    
 1,327  FlexShares Quality Dividend Index Fund  74,378 
 763  Invesco BuyBack Achievers ETF  67,960 
 1,845  Invesco DWA Momentum ETF  159,712 
 11,163  Invesco Global Listed Private Equity ETF  177,603 
 9  Invesco S&P 500 Equal Weight ETF, N  1,360 
 1,911  Invesco S&P 500 Revenue ETF  141,414 
 2,230  Invesco S&P MidCap 400 Equal Weight ETF  208,235 
 1,396  Invesco S&P Spin-Off ETF  91,931 
 2,384  iShares Micro-Cap ETF  356,598 
 1,234  iShares MSCI Emerging Markets ETF  67,710 
 115  iShares MSCI Emerging Markets Min Vol Factor ETF  7,452 
 885  iShares MSCI Global Min Vol Factor ETF  91,553 
 2,664  iShares MSCI USA Min Vol Factor ETF  193,353 
 46  iShares MSCI USA Momentum Factor ETF  7,838 
 1,998  iShares MSCI USA Quality Factor ETF  257,582 
 420  SPDR S&P 500 ETF Trust  176,417 
 103  SPDR S&P 600 Small CapETF  10,061 
 4,391  SPDR S&P International Small Cap ETF  172,610 
 13,000  VanEck Vectors BDC Income ETF  222,170 
 738  VanEck Vectors Natural Resource ETF  35,092 
 1,806  Vanguard FTSE All World ex-US Small-Cap ETF  247,801 
 74  Vanguard FTSE All-World ex-US ETF  4,752 
 1,517  Vanguard FTSE Emerging Markets ETF  81,736 
 3,179  Vanguard Global ex-U.S. Real Estate ETF  187,180 
 2,287  Vanguard Real Estate ETF  228,426 
 464  Vanguard Russell 2000 ETF  42,270 
 72  Vanguard Total International Stock ETF  4,782 
 913  Vanguard Total World Stock ETF  93,957 
 94  WisdomTree International SmallCap Dividend Fund  7,197 
       3,419,130 
         

See accompanying notes to financial statements.

25

 

JAMES ALPHA FAMILY OFFICE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 96.5%    
    FIXED INCOME - 19.5%    
 2,282  High Yield ETF $73,914 
 5,824  Invesco Global Short Term High Yield Bond ETF  128,769 
 333  iShares 7-10 Year Treasury Bond ETF  38,095 
 341  iShares Core U.S. Aggregate Bond ETF  39,062 
 856  iShares iBoxx High Yield Corporate Bond ETF  74,626 
 208  iShares JP Morgan USD Emerging Markets Bond ETF  23,267 
 140  iShares Short Treasury Bond ETF  15,471 
 1,775  PIMCO Active Bond ETF  195,799 
 461  PIMCO Enhanced Short Maturity Active ETF  47,027 
 290  SPDR Blackstone Senior Loan ET  13,392 
 124  SPDR Bloomberg Barclays 1-3 Month T-Bill ETF  11,345 
 691  SPDR Bloomberg Barclays High Yield Bond ETF  75,257 
 1,690  SPDR Doubleline Total Return Tactical ETF  81,728 
 222  Vanguard Total Bond Market ETF  18,928 
 531  Vanguard Total International Bond ETF, ETF SHARES  30,230 
       866,910 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $3,575,268)  4,288,299 
         
    EXCHANGE-TRADED NOTES — 2.0%    
    COMMODITY - 2.0%    
 3,547  ELEMENTS Linked to the Rogers International(a)  21,708 
 2,573  iPath Bloomberg Commodity Index Total Return ETN(a)  68,879 
    TOTAL EXCHANGE-TRADED NOTES (Cost $72,692)  90,587 
         
    TOTAL INVESTMENTS - 98.5% (Cost $3,647,960) $4,378,886 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 1.5%  64,898 
    NET ASSETS - 100.0% $4,443,784 
         

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

26

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 53.8%    
    COMMODITY - 3.5%    
 10,860  iShares S&P GSCI Commodity Indexed Trust(a) $167,895 
 404  SPDR Gold Shares(a)  72,066 
       239,961 
    EQUITY - 9.3%    
 627  AdvisorShares STAR Global Buy-Write ETF  24,503 
 2,587  Alerian Energy Infrastructure ETF  49,800 
 2,413  Alerian MLP ETF  82,862 
 511  Energy Select Sector SPDR Fund  26,679 
 664  First Trust BICK Index Fund  26,142 
 644  First Trust Emerging Markets AlphaDEX Fund  18,230 
 2,189  Global SuperDividend US ETF  43,999 
 1,197  Global X MSCI China Financials ETF  19,918 
 11,806  Global X SuperDividend ETF  169,299 
 1,224  Global X SuperDividend REIT ETF  12,191 
 124  Invesco KBW Property & Casualty ETF  9,864 
 1,449  Invesco S&P 500 BuyWrite ETF  32,037 
 1  iShares China Large-Cap ETF  46 
 200  iShares Micro-Cap ETF  29,916 
 479  iShares Mortgage Real Estate ETF  17,718 
 123  iShares MSCI France ETF  4,795 
 107  SPDR S&P Insurance ETF  4,258 
 460  VanEck Vectors Mortgage REIT Income ETF  8,965 
 441  Vanguard Real Estate ETF  44,047 
 134  Xtrackers Harvest CSI 500 China A-Shares ETF  5,114 
       630,383 
    FIXED INCOME - 41.0%    
 5,627  First Trust Senior Loan ETF  270,040 
 11,001  High Yield ETF  356,321 
 11,240  Highland/iBoxx Senior Loan ETF  181,076 
 10,578  Invesco Global Short Term High Yield Bond ETF  233,880 
 2,292  Invesco Senior Loan ETF  50,882 
 478  Invesco Variable Rate Preferred ETF  12,481 
 18,370  iShares Barclays USD Asia High Yield Bond Index  192,150 
 92  iShares Core U.S. Aggregate Bond ETF  10,539 
         

See accompanying notes to financial statements.

27

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 53.8% (Continued)    
    FIXED INCOME - 41.0% (Continued)    
 16  iShares JP Morgan USD Emerging Markets Bond ETF $1,790 
 613  iShares National Muni Bond ETF  71,703 
 312  iShares Preferred & Income Securities ETF  12,121 
 10  Kraneshares CCBS China Corporate High Yield Bond  394 
 1,350  PIMCO Enhanced Short Maturity Active ETF  137,714 
 2,103  SPDR Blackstone Senior Loan ET  97,117 
 3,462  SPDR Bloomberg Barclays Convertible Securities ETF  291,742 
 333  SPDR Bloomberg Barclays Euro High Yield Bond UCITS  23,432 
 5,880  SPDR Doubleline Total Return Tactical ETF  284,357 
 2,198  SPDR Nuveen Bloomberg Barclays High Yield  132,715 
 8,550  VanEck Vectors Emerging Markets High Yield Bond  204,174 
 2,451  VanEck Vectors Fallen Angel High Yield Bond ETF  78,947 
 183  VanEck Vectors International High Yield Bond ETF  4,774 
 2,239  Vanguard Mortgage-Backed Securities ETF  119,686 
       2,768,035 
    SPECIALTY - 0.0%    
 22  Invesco DB G10 Currency Harvest Fund(a)  557 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $3,655,955)  3,638,936 
         
    OPEN END FUNDS — 30.2%    
    ALTERNATIVE - 2.5%    
 15,084  James Alpha Managed Risk Domestic Equity Portfolio, Class R6  170,151 
         
    FIXED INCOME - 27.7%    
 167,475  James Alpha Structured Credit Value Portfolio, Class R6  1,874,046 
         
    TOTAL OPEN END FUNDS (Cost $1,901,583)  2,044,197 
         
    TOTAL INVESTMENTS - 84.0% (Cost $5,557,538) $5,683,133 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 16.0%  1,083,692 
    NET ASSETS - 100.0% $6,766,825 
         

See accompanying notes to financial statements.

28

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Buy:             
Japanese Yen 06/24/2021 Brown Brothers Harriman  7,235,540  $65,804  $(662)
          $65,804  $(662)
                 
            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Sell:                
Euro 06/24/2021 Brown Brothers Harriman  23,860  $29,077  $113 
          $29,077  $113 
                 
Total             $(549)
                 

ETF - Exchange-Traded Fund

 

MSCI - Morgan Stanley Capital International

 

REIT - Real Estate Investment Trust

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

29

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

  TOTAL RETURN SWAPS - 0.2% 
                
              Unrealized 
          Pay/Receive   Appreciation/ 
Notional Amount Reference Entity Shares Counterparty Maturity Date Fixed Rate Variable Rate (Depreciation) 
158,684 MSCI AC World Daily Total Return 106 Goldman Sachs 2/8/2022 Pay 0.5993 $(32)
147,865 Russell 2000 Total Return 13 Goldman Sachs 5/20/2022 Pay 0.5053  (16)
(199,598) S&P 500 Total Return Index (23) Goldman Sachs 11/22/2021 Pay (0.1400)   
              $(48)
                 
          Pay/Receive   Unrealized 
Notional Amount Reference Entity Shares Counterparty Maturity Date Fixed Rate Variable Rate Appreciation 
3,039,685 Goldman Sachs HY Synthetic Corporate 5Y Total Return 17,530 Goldman Sachs 2/4/2022 Pay 0.2856  9,246 
300,000 Goldman Sachs HY Synthetic Corporate 5Y Total Return 1,736 Goldman Sachs 2/4/2022 Pay 0.2651  1,971 
              $11,217 
                 
  TOTAL           $11,169 

 

TOTAL RETURN SWAP - (0.0)%   
  Unrealized
Depreciation
 
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 1,553 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. (Notional Value $192,000) $ 
  $ 
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 1,676 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $193,278) $(382)
  $(382)
TOTAL RETURN SWAP - (0.0)%    
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The number of shares is 1,374 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expired on February 4, 2022. (Notional Value $192,825) $(938)
  $(938)
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 1,420 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expired on February 4, 2022. (Notional Value $192,000) $ 
  $ 
     

See accompanying notes to financial statements.

30

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings

 

PURCHASED CALL OPTIONS
               
Number of
Contracts
 Open Purchased Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
1 S&P 500 Index Goldman Sachs 4,891 6/18/2021 $3,910  $346 
2 S&P 500 Index Goldman Sachs 7,191 6/18/2021 $3,915   500 
2 S&P 500 Index Goldman Sachs 6,735 6/18/2021 $3,970   384 
3 S&P 500 Index Goldman Sachs 13,510 6/18/2021 $3,975   756 
3 S&P 500 Index Goldman Sachs 12,362 6/18/2021 $4,065   448 
1 S&P 500 Index Goldman Sachs 4,347 6/18/2021 $4,080   144 
1 S&P 500 Index Goldman Sachs 4,419 6/18/2021 $4,095   133 
6 S&P 500 Index Goldman Sachs 26,996 6/18/2021 $4,115   701 
6 S&P 500 Index Goldman Sachs 23,301 6/18/2021 $4,125   560 
1 S&P 500 Index Goldman Sachs 4,507 6/18/2021 $4,130   104 
3 S&P 500 Index Goldman Sachs 11,142 6/18/2021 $4,135   246 
1 S&P 500 Index Goldman Sachs 4,685 6/18/2021 $4,140   99 
3 S&P 500 Index Goldman Sachs 11,736 6/18/2021 $4,150   227 
4 S&P 500 Index Goldman Sachs 18,476 6/18/2021 $4,155   340 
9 S&P 500 Index Goldman Sachs 37,391 6/18/2021 $4,160   655 
5 S&P 500 Index Goldman Sachs 19,507 6/18/2021 $4,165   325 
2 S&P 500 Index Goldman Sachs 9,234 6/18/2021 $4,170   146 
3 S&P 500 Index Goldman Sachs 12,913 6/18/2021 $4,175   193 
5 S&P 500 Index Goldman Sachs 22,819 6/18/2021 $4,180   323 
11 S&P 500 Index Goldman Sachs 45,808 6/18/2021 $4,185   612 
2 S&P 500 Index Goldman Sachs 9,076 6/18/2021 $4,190   114 
8 S&P 500 Index Goldman Sachs 32,512 6/18/2021 $4,195   384 
6 S&P 500 Index Goldman Sachs 24,467 6/18/2021 $4,200   271 
3 S&P 500 Index Goldman Sachs 13,138 6/18/2021 $4,205   136 
2 S&P 500 Index Goldman Sachs 8,146 6/18/2021 $4,210   79 
3 S&P 500 Index Goldman Sachs 10,695 6/18/2021 $4,230   77 
2 S&P 500 Index Goldman Sachs 7,120 7/16/2021 $4,120   229 
2 S&P 500 Index Goldman Sachs 8,878 7/16/2021 $4,130   270 
2 S&P 500 Index Goldman Sachs 8,316 7/16/2021 $4,140   238 
4 S&P 500 Index Goldman Sachs 16,610 7/16/2021 $4,160   419 
2 S&P 500 Index Goldman Sachs 8,773 7/16/2021 $4,170   207 
1 S&P 500 Index Goldman Sachs 6,163 7/16/2021 $4,175   140 
2 S&P 500 Index Goldman Sachs 8,751 7/16/2021 $4,180   192 
5 S&P 500 Index Goldman Sachs 21,736 7/16/2021 $4,190   444 
8 S&P 500 Index Goldman Sachs 35,360 7/16/2021 $4,200   669 
1 S&P 500 Index Goldman Sachs 4,351 8/20/2021 $4,120   174 
2 S&P 500 Index Goldman Sachs 8,350 8/20/2021 $4,160   278 
1 S&P 500 Index Goldman Sachs 5,034 8/20/2021 $4,170   160 
2 S&P 500 Index Goldman Sachs 7,926 8/20/2021 $4,190   227 
4 S&P 500 Index Goldman Sachs 15,746 8/20/2021 $4,200   427 
               12,377 
                 
WRITTEN CALL OPTIONS
               
Number of
Contracts
 Open Written Call Options Counterparty Notional Value at May
31, 2021
 Expiration Exercise Price  Market Value 
38 Apple, Inc. Goldman Sachs 4,740 6/18/2021 $125   8 
50 Apple, Inc. Goldman Sachs 6,185 6/18/2021 $135   106 
206 Cisco Systems, Inc. Goldman Sachs 10,825 6/18/2021 $53   186 
12 Deere & Co. Goldman Sachs 4,298 6/18/2021 $380   32 
88 Exxon Mobile Corp. Goldman Sachs 5,295 6/18/2021 $60   145 
60 NextEra Energy, Inc. Goldman Sachs 4,333 6/18/2021 $73   66 
30 PepsiCo, Inc. Goldman Sachs 4,470 6/18/2021 $145   88 
31 Target Corp. Goldman Sachs 6,981 6/18/2021 $210   542 
80 US Bancorp Goldman Sachs 4,908 6/18/2021 $60   144 
52 Walmart, Inc. Goldman Sachs 7,347 6/18/2021 $140   145 
               1,462 
                 

See accompanying notes to financial statements.

31

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2021

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

No Open Positions
 

See accompanying notes to financial statements.

32

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
Number of     Notional Value at May        
Contracts Open Long Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
5 S&P 500 Index Goldman Sachs 20,938 12/17/2021 $4,200.00  $91 
4 S&P 500 Index Goldman Sachs 18,577 3/18/2022 $4,200.00   113 
4 S&P 500 Index Goldman Sachs 17,122 6/17/2022 $4,200.00   142 
               346 
                 
PURCHASED PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
3 S&P 500 Index Goldman Sachs 13,485 6/18/2021 $1,550  $ 
4 S&P 500 Index Goldman Sachs 16,714 6/18/2021 $1,575    
4 S&P 500 Index Goldman Sachs 14,726 6/18/2021 $1,675    
4 S&P 500 Index Goldman Sachs 17,945 6/18/2021 $1,750    
6 S&P 500 Index Goldman Sachs 23,362 6/18/2021 $1,775    
4 S&P 500 Index Goldman Sachs 17,215 6/18/2021 $1,825    
4 S&P 500 Index Goldman Sachs 15,840 6/18/2021 $1,900    
3 S&P 500 Index Goldman Sachs 14,554 6/18/2021 $1,950    
3 S&P 500 Index Goldman Sachs 14,561 6/18/2021 $1,975    
5 S&P 500 Index Goldman Sachs 19,698 6/18/2021 $2,000    
5 S&P 500 Index Goldman Sachs 19,983 6/18/2021 $2,025    
4 S&P 500 Index Goldman Sachs 16,898 6/18/2021 $2,050    
4 S&P 500 Index Goldman Sachs 14,999 6/18/2021 $2,075    
4 S&P 500 Index Goldman Sachs 15,528 6/18/2021 $2,125    
4 S&P 500 Index Goldman Sachs 16,574 6/18/2021 $2,150    
3 S&P 500 Index Goldman Sachs 13,487 6/18/2021 $2,175    
4 S&P 500 Index Goldman Sachs 17,884 6/18/2021 $2,250    
4 S&P 500 Index Goldman Sachs 15,032 6/18/2021 $2,400    
3 S&P 500 Index Goldman Sachs 14,190 6/18/2021 $2,425    
4 S&P 500 Index Goldman Sachs 15,514 9/17/2021 $1,800   6 
8 S&P 500 Index Goldman Sachs 34,511 9/17/2021 $1,850   14 
5 S&P 500 Index Goldman Sachs 23,048 9/17/2021 $1,900   10 
4 S&P 500 Index Goldman Sachs 14,891 9/17/2021 $1,950   8 
5 S&P 500 Index Goldman Sachs 19,962 9/17/2021 $2,225   17 
6 S&P 500 Index Goldman Sachs 23,398 9/17/2021 $2,250   20 
4 S&P 500 Index Goldman Sachs 15,552 9/17/2021 $2,275   14 
4 S&P 500 Index Goldman Sachs 15,821 9/17/2021 $2,325   16 
3 S&P 500 Index Goldman Sachs 14,413 9/17/2021 $2,400   16 
5 S&P 500 Index Goldman Sachs 19,411 9/17/2021 $2,500   26 
3 S&P 500 Index Goldman Sachs 13,255 9/17/2021 $2,525   18 
6 S&P 500 Index Goldman Sachs 24,525 12/17/2021 $2,125   48 
5 S&P 500 Index Goldman Sachs 19,777 12/17/2021 $2,150   40 
4 S&P 500 Index Goldman Sachs 18,892 12/17/2021 $2,175   40 
4 S&P 500 Index Goldman Sachs 14,972 12/17/2021 $2,200   33 
4 S&P 500 Index Goldman Sachs 17,938 12/17/2021 $2,250   42 
4 S&P 500 Index Goldman Sachs 17,332 12/17/2021 $2,450   55 
4 S&P 500 Index Goldman Sachs 16,544 12/17/2021 $2,500   57 
6 S&P 500 Index Goldman Sachs 23,499 12/17/2021 $2,525   84 
4 S&P 500 Index Goldman Sachs 16,668 12/17/2021 $2,550   62 
4 S&P 500 Index Goldman Sachs 15,531 12/17/2021 $2,575   60 
5 S&P 500 Index Goldman Sachs 21,849 12/17/2021 $2,800   119 
4 S&P 500 Index Goldman Sachs 16,334 3/18/2022 $2,050   48 
4 S&P 500 Index Goldman Sachs 16,958 3/18/2022 $2,100   54 
5 S&P 500 Index Goldman Sachs 22,825 3/18/2022 $2,150   78 
3 S&P 500 Index Goldman Sachs 13,627 3/18/2022 $2,500   79 
3 S&P 500 Index Goldman Sachs 14,302 3/18/2022 $2,600   96 
4 S&P 500 Index Goldman Sachs 14,964 4/14/2022 $2,500   98 
               1,258 
                 

See accompanying notes to financial statements.

33

 

JAMES ALPHA RELATIVE VALUE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS
               
Number of     Notional Value at May        
Contracts Open Short Equity Forwards Counterparty 31, 2021 Expiration Exercise Price  Market Value 
55 S&P 500 Index Goldman Sachs 232,928 6/18/2021 $4,205.00  $320 
43 S&P 500 Index Goldman Sachs 181,611 7/16/2021 $4,200.00   130 
23 S&P 500 Index Goldman Sachs 98,245 8/20/2021 $4,200.00   162 
8 S&P 500 Index Goldman Sachs 34,833 9/17/2021 $4,200.00   89 
               701 
                 
PURCHASED PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Purchased Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
13 S&P 500 Index Goldman Sachs 54,919 6/18/2021 $1,925  $ 
9 S&P 500 Index Goldman Sachs 37,199 6/18/2021 $1,950    
23 S&P 500 Index Goldman Sachs 95,524 6/18/2021 $1,975   1 
12 S&P 500 Index Goldman Sachs 50,121 6/18/2021 $2,150   1 
8 S&P 500 Index Goldman Sachs 33,791 6/18/2021 $2,175    
11 S&P 500 Index Goldman Sachs 44,160 6/18/2021 $2,275   1 
9 S&P 500 Index Goldman Sachs 36,558 6/18/2021 $2,475   1 
8 S&P 500 Index Goldman Sachs 34,839 6/18/2021 $2,700   2 
10 S&P 500 Index Goldman Sachs 42,019 6/18/2021 $2,950   4 
10 S&P 500 Index Goldman Sachs 41,429 6/18/2021 $3,060   5 
8 S&P 500 Index Goldman Sachs 35,183 6/18/2021 $3,070   5 
14 S&P 500 Index Goldman Sachs 57,267 6/18/2021 $3,220   11 
10 S&P 500 Index Goldman Sachs 40,112 7/16/2021 $1,950   3 
16 S&P 500 Index Goldman Sachs 65,905 7/16/2021 $2,000   5 
9 S&P 500 Index Goldman Sachs 35,923 7/16/2021 $2,400   7 
12 S&P 500 Index Goldman Sachs 49,481 7/16/2021 $2,450   11 
13 S&P 500 Index Goldman Sachs 55,219 7/16/2021 $2,550   15 
13 S&P 500 Index Goldman Sachs 55,386 7/16/2021 $2,600   17 
10 S&P 500 Index Goldman Sachs 41,770 7/16/2021 $2,640   14 
15 S&P 500 Index Goldman Sachs 62,895 7/16/2021 $2,790   29 
8 S&P 500 Index Goldman Sachs 33,596 7/16/2021 $2,870   18 
16 S&P 500 Index Goldman Sachs 68,037 7/16/2021 $2,910   39 
15 S&P 500 Index Goldman Sachs 61,748 8/20/2021 $2,200   28 
23 S&P 500 Index Goldman Sachs 95,807 8/20/2021 $2,300   53 
16 S&P 500 Index Goldman Sachs 65,626 8/20/2021 $2,350   40 
13 S&P 500 Index Goldman Sachs 54,539 8/20/2021 $2,450   40 
12 S&P 500 Index Goldman Sachs 49,496 8/20/2021 $2,550   44 
               394 
                 
WRITTEN PUT OPTIONS
               
Number of     Notional Value at May        
Contracts Open Written Put Options Counterparty 31, 2021 Expiration Exercise Price  Market Value 
12 S&P 500 Index Goldman Sachs 51,476 6/18/2021 $3,410   15 
9 S&P 500 Index Goldman Sachs 36,012 6/18/2021 $3,450   12 
9 S&P 500 Index Goldman Sachs 36,558 6/18/2021 $3,610   19 
10 S&P 500 Index Goldman Sachs 40,312 6/18/2021 $3,825   47 
8 S&P 500 Index Goldman Sachs 33,683 6/18/2021 $3,840   42 
8 S&P 500 Index Goldman Sachs 35,183 6/18/2021 $3,875   52 
13 S&P 500 Index Goldman Sachs 54,698 6/18/2021 $3,885   85 
8 S&P 500 Index Goldman Sachs 33,932 6/18/2021 $3,965   81 
15 S&P 500 Index Goldman Sachs 64,456 7/16/2021 $3,660   191 
10 S&P 500 Index Goldman Sachs 43,806 7/16/2021 $3,710   149 
10 S&P 500 Index Goldman Sachs 40,609 7/16/2021 $3,740   151 
11 S&P 500 Index Goldman Sachs 47,887 7/16/2021 $3,750   184 
11 S&P 500 Index Goldman Sachs 44,236 7/16/2021 $3,770   180 
15 S&P 500 Index Goldman Sachs 62,895 7/16/2021 $3,830   309 
8 S&P 500 Index Goldman Sachs 33,596 7/16/2021 $3,860   182 
16 S&P 500 Index Goldman Sachs 68,037 7/16/2021 $3,890   406 
10 S&P 500 Index Goldman Sachs 42,950 8/20/2021 $3,630   291 
9 S&P 500 Index Goldman Sachs 36,629 8/20/2021 $3,640   254 
8 S&P 500 Index Goldman Sachs 33,827 8/20/2021 $3,710   274 
               2,924 
                 

See accompanying notes to financial statements.

34

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4%    
    ALTERNATIVE - 3.2%    
 306  AlphaClone Alternative Alpha ETF $23,665 
 1,457  IQ Merger Arbitrage ETF  48,780 
 8,213  ProShares Merger ETF  335,789 
       408,234 
    COMMODITY - 2.0%    
 13  Invesco DB Agriculture Fund  242 
 8,769  iShares S&P GSCI Commodity Indexed Trust(a)  135,568 
 210  ProShares UltraShort Bloomberg Crude Oil(a)  4,583 
 283  SPDR Gold Shares(a)  50,482 
 789  United States Commodity Index Fund(a)  31,947 
 3,315  United States Natural Gas Fund, L.P.(a)  34,874 
       257,696 
    EQUITY - 52.9%    
 1,201  AdvisorShares Dorsey Wright ADR ETF  79,619 
 923  AdvisorShares STAR Global Buy-Write ETF  36,071 
 1,732  Alerian MLP ETF  59,477 
 537  ALPS Medical Breakthroughs ETF(a)  25,030 
 40  ARK Innovation ETF  4,484 
 1  CI Active Utility & Infrastructure ETF  11 
 459  Columbia India Consumer ETF  24,559 
 960  Consumer Discretionary Select Sector SPDR Fund  165,926 
 181  Core Alternative ETF  5,480 
 42  Direxion NASDAQ-100 Equal Weighted Index Shares  3,342 
 346  Energy Select Sector SPDR Fund  18,065 
 65  First Trust Dow Jones Internet Index Fund(a)  14,678 
 4,194  First Trust Financial AlphaDEX Fund  191,163 
 575  Global SuperDividend US ETF  11,558 
 60  Global X MSCI Argentina ETF  1,841 
 498  Global X MSCI China Consumer Discretionary ETF  16,539 
 304  Global X MSCI Nigeria ETF  3,672 
 452  Global X MSCI Norway ETF  6,712 
 2,477  Global X SuperDividend ETF  35,520 
 11  Invesco DWA Consumer Cyclicals Momentum ETF  987 
 93  Invesco DWA Energy Momentum ETF  2,527 
         

See accompanying notes to financial statements.

35

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4% (Continued)    
    EQUITY - 52.9% (Continued)    
 188  Invesco DWA Healthcare Momentum ETF(a) $29,181 
 183  Invesco KBW High Dividend Yield Financial ETF  3,821 
 84  Invesco KBW Property & Casualty ETF  6,682 
 598  Invesco S&P 500 BuyWrite ETF  13,222 
 627  Invesco S&P 500 Pure Value ETF  50,480 
 6,414  Invesco S&P SmallCap Energy ETF  45,796 
 569  Invesco S&P SmallCap Health Care ETF(a)  105,589 
 696  Invesco S&P SmallCap Information Technology ETF  94,649 
 46  Invesco S&P SmallCap Utilities & Communication  3,019 
 4  Invesco Water Resources ETF  212 
 72  IQ US Real Estate Small Cap ETF  1,831 
 174  iShares China Large-Cap ETF  8,046 
 31  iShares Core S&P/TSX Capped Composite Index ETF  813 
 126  iShares Currency Hedged MSCI EAFE ETF  4,309 
 49  iShares Dow Jones Asia Pacific Select Dividend 50  1,485 
 471  iShares Edge MSCI Europe Momentum Factor UCITS ETF(a)  5,164 
 66  iShares EURO STOXX Mid UCITS ETF  5,618 
 474  iShares Expanded Tech-Software Sector ETF  170,119 
 25  iShares Exponential Technologies ETF  1,544 
 6  iShares Global Financials ETF  487 
 131  iShares Global Materials ETF  12,508 
 606  iShares Latin America 40 ETF  18,562 
 1,945  iShares Micro-Cap ETF  290,933 
 256  iShares Mortgage Real Estate ETF  9,469 
 810  iShares MSCI All Country Asia ex Japan ETF  76,407 
 106  iShares MSCI Australia ETF  2,834 
 242  iShares MSCI Brazil ETF  9,416 
 1,077  iShares MSCI China Small-Cap ETF  60,818 
 548  iShares MSCI EAFE ETF  44,295 
 947  iShares MSCI Emerging Markets ETF  51,962 
 998  iShares MSCI Emerging Markets Small-Cap ETF  61,237 
 1,727  iShares MSCI Frontier and Sele  55,506 
 452  iShares MSCI Hong Kong ETF  12,701 
 2,206  iShares MSCI India Small-Cap ETF  115,936 
         

See accompanying notes to financial statements.

36

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4% (Continued)    
    EQUITY - 52.9% (Continued)    
 192  iShares MSCI Ireland ETF $11,526 
 910  iShares MSCI Japan ETF  62,408 
 307  iShares MSCI Japan Small-Cap ETF  24,581 
 141  iShares MSCI Mexico ETF  6,784 
 46  iShares MSCI Poland ETF  1,037 
 284  iShares MSCI South Africa ETF  15,078 
 253  iShares MSCI Taiwan ETF  15,777 
 211  iShares MSCI Thailand ETF  17,125 
 1,239  iShares MSCI UAE ETF  18,412 
 287  iShares MSCI United Kingdom ETF  9,698 
 2,459  iShares MSCI United Kingdom Small-Cap ETF  121,868 
 1,006  iShares Nasdaq Biotechnology ETF  152,862 
 1,297  iShares Russell 1000 Growth ETF  332,214 
 478  iShares Russell 1000 Value ETF  77,020 
 1,713  iShares Russell 2000 ETF  386,282 
 2,322  iShares Russell 2000 Growth ETF  692,280 
 2,962  iShares Russell 2000 Value ETF  496,224 
 2,863  iShares Russell Mid-Cap Growth ETF  303,707 
 2,303  iShares Russell Mid-Cap Value ETF  268,783 
 552  iShares S&P Mid-Cap 400 Growth ETF  44,254 
 5  iShares S&P/TSX Global Gold Index ETF  86 
 963  iShares S&P/TSX SmallCap Index ETF  15,880 
 224  iShares STOXX Europe 600 Banks UCITS ETF DE  3,812 
 158  iShares STOXX Europe 600 Basic Resources UCITS ETF  11,854 
 66  iShares STOXX Europe 600 Insurance UCITS ETF DE  2,538 
 115  iShares STOXX Europe 600 Utilities UCITS ETF DE  5,460 
 148  iShares U.S. Financial Services ETF  27,874 
 45  iShares U.S. Healthcare Providers ETF  12,212 
 68  iShares US Financials ETF  5,605 
 156  iShares US Pharmaceuticals ETF  28,766 
 595  KraneShares CSI China Internet ETF  41,888 
 644  Materials Select Sector SPDR Fund  56,195 
 22  SPDR Dow Jones Global Real Estate ETF  1,127 
 40  SPDR EURO STOXX 50 ETF  1,944 
         

See accompanying notes to financial statements.

37

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4% (Continued)    
    EQUITY - 52.9% (Continued)    
 2,093  SPDR S&P Emerging Asia Pacific ETF $279,771 
 216  SPDR S&P Insurance ETF  8,595 
 432  SPDR S&P Metals & Mining ETF  20,079 
 89  SPDR S&P Oil & Gas Exploration & Production ETF  7,927 
 109  SPDR S&P Regional Banking ETF  7,705 
 3,973  VanEck Vectors Africa Index ETF  89,710 
 1,877  VanEck Vectors Brazil Small-Cap ETF  43,828 
 2,400  VanEck Vectors ChinaAMC SME-Ch  125,000 
 45  VanEck Vectors Israel ETF  2,104 
 92  VanEck Vectors Low Carbon Energy ETF  13,806 
 180  VanEck Vectors Mortgage REIT Income ETF  3,508 
 2  VanEck Vectors Rare Earth/Strategic Metals ETF  167 
 1,987  VanEck Vectors Russia ETF  55,894 
 829  VanEck Vectors Russia Small-Cap ETF  30,891 
 219  VanEck Vectors Semiconductor ETF  54,573 
 94  VanEck Vectors Unconventional Oil & Gas ETF  11,312 
 1,409  VanEck Vectors Vietnam ETF  27,729 
 230  Vanguard FTSE Canadian High Dividend Yield Index  7,578 
 3,584  Vanguard FTSE Emerging Markets ETF  193,106 
 115  Vanguard Real Estate ETF  11,486 
 1,607  Vanguard Total World Stock ETF  165,376 
 752  WisdomTree Emerging Markets SmallCap Dividend Fund  40,616 
 466  WisdomTree Europe SmallCap Dividend Fund  35,602 
 316  WisdomTree International SmallCap Dividend Fund  24,193 
 2,034  WisdomTree Japan Hedged SmallCap Equity Fund  88,741 
 1,631  Xtrackers Harvest CSI 300 China A-Shares ETF  68,698 
 353  Xtrackers Harvest CSI 500 China A-Shares ETF  13,472 
 252  Xtrackers MSCI All China Equity ETF  11,702 
       6,798,242 
    FIXED INCOME - 28.8%    
 66  Direxion Daily 20 Year Plus Treasury Bull 3x  1,542 
 31  First Trust Emerging Markets Local Currency Bond  1,102 
 14,265  First Trust Senior Loan ETF  684,578 
 787  Global X SuperIncome Preferred ETF  9,436 
         

See accompanying notes to financial statements.

38

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4% (Continued)    
    FIXED INCOME - 28.8% (Continued)    
 13,984  High Yield ETF $452,942 
 3,727  Highland/iBoxx Senior Loan ETF  60,042 
 698  Invesco Financial Preferred ETF  13,255 
 10,054  Invesco Global Short Term High Yield Bond ETF  222,294 
 457  Invesco Senior Loan ETF  10,145 
 1,035  Invesco Variable Rate Preferred ETF  27,024 
 109  iShares 7-10 Year Treasury Bond ETF  12,470 
 15,085  iShares Barclays USD Asia High Yield Bond Index  157,789 
 14  iShares Convertible Bond ETF  1,377 
 42  iShares Core U.S. Aggregate Bond ETF  4,811 
 353  iShares Floating Rate Bond ETF  17,932 
 1,474  iShares iBoxx High Yield Corporate Bond ETF  128,503 
 225  iShares JP Morgan USD Emerging Markets Bond ETF  25,169 
 12  iShares MBS ETF  1,300 
 246  iShares National Muni Bond ETF  28,775 
 1,539  iShares Preferred & Income Securities ETF  59,790 
 565  PIMCO Enhanced Short Maturity Active ETF  57,636 
 6,446  SPDR Blackstone Senior Loan ET  297,676 
 4,707  SPDR Bloomberg Barclays Convertible Securities ETF  396,659 
 1,357  SPDR Bloomberg Barclays Euro High Yield Bond UCITS  95,486 
 362  SPDR Bloomberg Barclays High Yield Bond ETF  39,425 
 5,912  SPDR Doubleline Total Return Tactical ETF  285,904 
 1,465  SPDR Nuveen Bloomberg Barclays High Yield  88,457 
 8,273  VanEck Vectors Emerging Markets High Yield Bond  197,559 
 4,189  VanEck Vectors Fallen Angel High Yield Bond ETF  134,928 
 2,514  VanEck Vectors International High Yield Bond ETF  65,590 
 76  VanEck Vectors J.P. Morgan EM Local Currency Bond  2,422 
 924  Vanguard Mortgage-Backed Securities ETF  49,392 
 915  Vanguard Total International Bond ETF, ETF SHARES  52,091 
 657  WisdomTree Emerging Markets Local Debt Fund  21,734 
 41  WisdomTree Interest Rate Hedged High Yield Bond  905 
       3,706,140 
         

See accompanying notes to financial statements.

39

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 87.4% (Continued)    
    MIXED ALLOCATION - 0.5%    
 2,462  iShares Morningstar Multi-Asset Income ETF $59,039 
         
    SPECIALTY - 0.0%    
 61  Invesco DB US Dollar Index Bullish Fund(a)  1,477 
 75  ProShares Short VIX Short-Term Futures ETF(a)  3,889 
       5,366 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $10,702,680)  11,234,717 
         
    EXCHANGE-TRADED NOTES — 0.0%    
    COMMODITY - 0.0%    
 41  iPath Series B Bloomberg Coffee Subindex Total(a)  1,892 
 20  iPath Series B Bloomberg Grains Subindex Total(a)  1,321 
       3,213 
    SPECIALTY - 0.0%    
 8  iPath Series B S&P 500 VIX Short-Term Futures ETN(a)  278 
         
    TOTAL EXCHANGE-TRADED NOTES (Cost $3,202)  3,491 
         
    OPEN END FUNDS — 5.4%    
    ALTERNATIVE - 3.9%    
 44,366  James Alpha Managed Risk Domestic Equity Portfolio, Class R6  500,444 
         
    FIXED INCOME - 1.5%    
 17,637  James Alpha Structured Credit Value Portfolio, Class R6  197,362 
         
    TOTAL OPEN END FUNDS (Cost $685,298)  697,806 

 

See accompanying notes to financial statements.

40

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

    TOTAL INVESTMENTS - 92.8% (Cost $11,391,180) $11,936,014 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 7.2%  925,044 
    NET ASSETS - 100.0% $12,861,058 

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/
(Depreciation)
 
To Buy:                
British Pound 06/24/2021 Brown Brothers Harriman  7,577  $10,743  $(9)
Swiss Franc 06/24/2021 Brown Brothers Harriman  17,737   19,718   (81)
          $30,461  $(90)
                 
To Sell:                
Australian Dollar 06/24/2021 Brown Brothers Harriman  9,787  $7,546  $89 
Canadian Dollar 06/24/2021 Brown Brothers Harriman  79,068   65,451   84 
Euro 06/24/2021 Brown Brothers Harriman  194,982   237,619   925 
Japanese Yen 06/24/2021 Brown Brothers Harriman  23,141,775   210,465   2,117 
Mexican Peso 06/24/2021 Brown Brothers Harriman  20,192   1,009   5 
          $522,090  $3,220 
                 
Total             $3,130 

 

EAFE - Europe, Australasia and Far East

 

ETF - Exchange-Traded Fund

 

LP - Limited Partnership

 

MSCI - Morgan Stanley Capital International

 

REIT - Real Estate Investment Trust

 

SPDR - Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

41

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

   TOTAL RETURN SWAP - 0.0% 
                   
                 Unrealized 
                 Appreciation/ 
Notional Amount  Reference Entity Shares  Counterparty Maturity Date Pay/Receive Fixed Rate Variable Rate  (Depreciation) 
 846,201  S&P 500 Equal Weighted Index  140  Goldman Sachs 5/20/2022 Pay  0.5053  $ 
                    $ 

 

  Unrealized 
  Appreciation/ 
  (Depreciation) 
TOTAL RETURN SWAP - 1.2%    
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the James Alpha Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 14,608 and requires the fund to pay interest at the rate of 0.38% on the Notional Value outstanding. The James Alpha Index features a basket of commodity trading advisor (“CTA”) programs selected by James Alpha Advisors, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The James Alpha Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, James Alpha Advisors, LLC can modify the James Alpha Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the James Alpha Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on August 2, 2018, and has a term of three years there from unless terminated earlier. (Notional Value $1,000,000) $170,343 
  $170,343 
     
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 2,361 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $292,000) $ 
  $ 
     
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs i -Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i-Select Index includes strategies of the GS Risk Premia Universe that were selected by James Alpha. The GS i-Select Index is actively managed by James Alpha. The Index features 15 Portfolio Constituents that James Alpha Advisors, LLC determines the daily waiting of each constituent within the GS i -Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, James Alpha Advisors, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The swap became effective on May 19, 2020, and has a term of one year there from unless terminated earlier. The number of shares is 5,106 and requires the fund to pay interest at the rate of 0.25% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 9, 2022. (Notional Value $513,969) $252 
  $252 
     
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 2,543 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expires on February 4, 2022. (Notional Value $293,200) $(537)
  $(537)
     
TOTAL RETURN SWAP - (0.0)%    
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left -tail events with very high realized volatility. The number of shares is 2,086 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 3, 2021 and expires on February 4, 2022. (Notional Value $300,704) $(1,379)
  $(1,379)
     
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 2,160 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $292,000) $ 
  $ 
     

See accompanying notes to financial statements.

42

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021
 

James Alpha Deutsche Bank Swap Top 50 Holdings

 

FUTURES CONTRACTS*

 

            Unrealized  Percentage of Total
Number of      Notional Value at    Appreciation/  Return Swap
Contracts  Open Long Future Contracts Counterparty May 31, 2021  Expiration (Depreciation)  Unrealized Gain/Loss
 0  10 year Italian Bond Deutsche Bank  57,018  6/8/2021 $(4,839) (2.84)%
 0  10 year US Treasury Notes Deutsche Bank  43,418  9/21/2021  (988) (0.58)%
 1  2 year Euro-Schatz Deutsche Bank  168,094  6/8/2021  (130) (0.08)%
 0  3 month Sterling Deutsche Bank  65,371  9/15/2021    0.00%
 2  3 month Sterling Deutsche Bank  317,629  12/15/2021  (19) (0.01)%
 2  3 month Sterling Deutsche Bank  312,484  3/16/2022  (71) (0.04)%
 1  3 month Sterling Deutsche Bank  177,060  6/15/2022  (32) (0.02)%
 0  3 month Sterling Deutsche Bank  59,150  9/21/2022  (49) (0.03)%
 1  3 month Sterling Deutsche Bank  107,619  12/21/2022  (1) (0.00)%
 1  90 Day Bank Accepted Bill Future Deutsche Bank  128,279  3/10/2022  11  0.01%
 1  Brent Crude Monthly Future Deutsche Bank  51,700  7/30/2021  1,406  0.83%
 1  CAD/USD Deutsche Bank  102,227  6/15/2021  2,473  1.45%
 0  Copper Future Deutsche Bank  41,192  7/28/2021  2,829  1.66%
 0  DAX Index Future Deutsche Bank  86,077  6/18/2021  1,578  0.93%
 7  DJ EURO STOXX Banks Future Deutsche Bank  42,718  6/18/2021  168,503  98.92%
 0  E-Mini Nasdaq-100 Deutsche Bank  110,979  6/18/2021  2,986  1.75%
 1  E-Mini S&P 500 Deutsche Bank  109,492  6/18/2021  (27,314) (16.03)%
 1  Eurodollar Deutsche Bank  216,768  12/13/2021  128  0.08%
 0  Eurodollar Deutsche Bank  63,243  3/14/2022  23  0.01%
 0  Eurodollar Deutsche Bank  56,815  6/13/2022  24  0.01%
 0  Eurodollar Deutsche Bank  49,232  9/19/2022    0.00%
 0  Eurodollar Deutsche Bank  66,279  12/19/2022  19  0.01%
 1  Eurodollar Deutsche Bank  348,661  3/13/2023  29  0.02%
 1  Eurodollar Deutsche Bank  140,751  9/18/2023  (30) (0.02)%
 0  FTSE 100 Index Future Deutsche Bank  44,710  6/18/2021  11,743  6.89%
 1  FTSE Taiwan Index Future Deutsche Bank  45,341  6/29/2021  906  0.53%
 1  Gold Deutsche Bank  136,688  8/27/2021  351  0.21%
 0  Hang Seng Index Deutsche Bank  73,694  6/29/2021  443  0.26%
 0  Mini Japanese Goverment Bond Future Deutsche Bank  44,007  6/11/2021  3  0.00%
 0  S&P Canada 60 Index Future Deutsche Bank  66,007  6/17/2021  1,247  0.73%
 1  Three Month Canadian Bankers Acceptance Future Deutsche Bank  111,600  3/14/2022  (52) (0.03)%
               161,177   
                   
            Unrealized  Percentage of Total
Number of      Notional Value at    Appreciation/  Return Swap
Contracts  Open Short Future Contracts Counterparty May 31, 2021  Expiration (Depreciation)  Unrealized Gain
 (1) 10 year Australian Treasury Bond Future Deutsche Bank  107,748  6/15/2021  (900) (0.53)%
 (1) 10 year Canadian Govt Bond Deutsche Bank  92,314  9/21/2021  (340) (0.20)%
 (0) 10 year Japanese Government Bond Deutsche Bank  93,652  6/14/2021  (163) (0.10)%
 (0) 3 month Euro (EURIBOR) Deutsche Bank  73,572  9/19/2022  3  0.00%
 (0) 3 month Euro (EURIBOR) Deutsche Bank  73,550  12/19/2022  6  0.00%
 (2) 3 month Euro (EURIBOR) Deutsche Bank  572,618  3/13/2023  (20) (0.01)%
 (0) 3 month Euro (EURIBOR) Deutsche Bank  127,806  9/18/2023  70  0.04%
 (1) 3 month Sterling Deutsche Bank  213,575  3/15/2023  (31) (0.02)%
 (1) 5 year US Treasury Notes Deutsche Bank  108,247  9/30/2021  (3,434) (2.02)%
 (1) CHF/USD Deutsche Bank  86,509  6/14/2021  (2,728) (1.60)%
 (2) Euro-BOBL Deutsche Bank  321,329  6/8/2021  (233) (0.14)%
 (1) Euro-BUND Deutsche Bank  280,227  6/8/2021  6,452  3.79%
 (0) Eurodollar Deutsche Bank  69,804  12/18/2023  (117) (0.07)%
 (1) Euro-OAT Future Deutsche Bank  159,775  6/8/2021  (17) (0.01)%
 (2) JPY/USD Deutsche Bank  196,731  6/14/2021  1,081  0.63%
 (0) Long Gilt Future Deutsche Bank  70,203  9/28/2021  (2,942) (1.73)%
               (3,313)  
                   
    TOTAL FUTURES CONTRACTS         $157,864   

 

PURCHASED PUT OPTION*
 
                  Percentage of Total
       Notional Value at May       Unrealized  Return Swap
   Description Counterparty 31, 2021  Expiration Strike Price  Appreciation  Unrealized Gain
    CNH/USD Deutsche Bank  245,786  11/17/2021  6.00  $164  0.10%

 

FORWARD CURRENCY CONTRACTS +*
 
                Unrealized  Percentage of Total
Settlement               Appreciation /  Return Swap
Date Units to Receive/Deliver  Counterparty   In Exchange For   US Dollar Value   (Depreciation)  Unrealized Gain/Loss
To Buy:                       
6/11/2021  61,350  Deutsche Bank CHF  67,537 USD  66,880   (657) (0.39)%
6/11/2021  70,488  Deutsche Bank USD  58,468 EUR  59,229   761  0.45%
TOTAL FORWARD CURRENCY CONTRACTS   104   
        
All Other Investments   12,211   
Total Unrealized Appreciation of Swap  $170,343   
                        
+Foreign currency transactions are done by notional and not by contracts

 

*Non-income producing securities

 

Currency Abbreviations:

 

CAD - Canadian Dollar

 

CHF - Swiss Franc

 

CNH - Chinese Yuan Renminbi

 

EUR - Euro

 

JPY - Japanese Yen

 

USD - U.S. Dollar

 

See accompanying notes to financial statements.

43

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021
 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings

 

PURCHASED CALL OPTIONS

 

Number of
Contracts
  Open Purchased Call Options Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 1  S&P 500 Index Goldman Sachs  4,891  6/18/2021 $3,910  $346 
 2  S&P 500 Index Goldman Sachs  7,191  6/18/2021 $3,915   500 
 2  S&P 500 Index Goldman Sachs  6,735  6/18/2021 $3,970   384 
 3  S&P 500 Index Goldman Sachs  13,510  6/18/2021 $3,975   756 
 3  S&P 500 Index Goldman Sachs  12,362  6/18/2021 $4,065   448 
 1  S&P 500 Index Goldman Sachs  4,347  6/18/2021 $4,080   144 
 1  S&P 500 Index Goldman Sachs  4,419  6/18/2021 $4,095   133 
 6  S&P 500 Index Goldman Sachs  26,996  6/18/2021 $4,115   701 
 6  S&P 500 Index Goldman Sachs  23,301  6/18/2021 $4,125   560 
 1  S&P 500 Index Goldman Sachs  4,507  6/18/2021 $4,130   104 
 3  S&P 500 Index Goldman Sachs  11,142  6/18/2021 $4,135   246 
 1  S&P 500 Index Goldman Sachs  4,685  6/18/2021 $4,140   99 
 3  S&P 500 Index Goldman Sachs  11,736  6/18/2021 $4,150   227 
 4  S&P 500 Index Goldman Sachs  18,476  6/18/2021 $4,155   340 
 9  S&P 500 Index Goldman Sachs  37,391  6/18/2021 $4,160   655 
 5  S&P 500 Index Goldman Sachs  19,507  6/18/2021 $4,165   325 
 2  S&P 500 Index Goldman Sachs  9,234  6/18/2021 $4,170   146 
 3  S&P 500 Index Goldman Sachs  12,913  6/18/2021 $4,175   193 
 5  S&P 500 Index Goldman Sachs  22,819  6/18/2021 $4,180   323 
 11  S&P 500 Index Goldman Sachs  45,808  6/18/2021 $4,185   612 
 2  S&P 500 Index Goldman Sachs  9,076  6/18/2021 $4,190   114 
 8  S&P 500 Index Goldman Sachs  32,512  6/18/2021 $4,195   384 
 6  S&P 500 Index Goldman Sachs  24,467  6/18/2021 $4,200   271 
 3  S&P 500 Index Goldman Sachs  13,138  6/18/2021 $4,205   136 
 2  S&P 500 Index Goldman Sachs  8,146  6/18/2021 $4,210   79 
 3  S&P 500 Index Goldman Sachs  10,695  6/18/2021 $4,230   77 
 2  S&P 500 Index Goldman Sachs  7,120  7/16/2021 $4,120   229 
 2  S&P 500 Index Goldman Sachs  8,878  7/16/2021 $4,130   270 
 2  S&P 500 Index Goldman Sachs  8,316  7/16/2021 $4,140   238 
 4  S&P 500 Index Goldman Sachs  16,610  7/16/2021 $4,160   419 
 2  S&P 500 Index Goldman Sachs  8,773  7/16/2021 $4,170   207 
 1  S&P 500 Index Goldman Sachs  6,163  7/16/2021 $4,175   140 
 2  S&P 500 Index Goldman Sachs  8,751  7/16/2021 $4,180   192 
 5  S&P 500 Index Goldman Sachs  21,736  7/16/2021 $4,190   444 
 8  S&P 500 Index Goldman Sachs  35,360  7/16/2021 $4,200   669 
 1  S&P 500 Index Goldman Sachs  4,351  8/20/2021 $4,120   174 
 2  S&P 500 Index Goldman Sachs  8,350  8/20/2021 $4,160   278 
 1  S&P 500 Index Goldman Sachs  5,034  8/20/2021 $4,170   160 
 2  S&P 500 Index Goldman Sachs  7,926  8/20/2021 $4,190   227 
 4  S&P 500 Index Goldman Sachs  15,746  8/20/2021 $4,200   427 
                   12,377 
                     
WRITTEN CALL OPTIONS
              
Number of
Contracts
  Open Written Call Options Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 50  Apple, Inc. Goldman Sachs  6,185  6/18/2021 $125   106 
 38  Apple, Inc. Goldman Sachs  4,740  6/18/2021 $135   8 
 206  Cisco Systems, Inc. Goldman Sachs  10,825  6/18/2021 $53   186 
 12  Deere & Co. Goldman Sachs  4,298  6/18/2021 $380   32 
 88  Exxon Mobile Corp. Goldman Sachs  5,295  6/18/2021 $60   145 
 60  NextEra Energy, Inc. Goldman Sachs  4,333  6/18/2021 $73   66 
 30  PepsiCo, Inc. Goldman Sachs  4,470  6/18/2021 $145   88 
 31  Target Corp. Goldman Sachs  6,981  6/18/2021 $210   542 
 80  US Bancorp Goldman Sachs  4,908  6/18/2021 $60   144 
 52  Walmart, Inc. Goldman Sachs  7,347  6/18/2021 $140   145 
                   1,462 

See accompanying notes to financial statements.

44

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021
 

Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings

 

FUTURES CONTRACTS*

 

Number of      Notional Value at May      
Contracts  Open Long Future Contracts Counterparty 31, 2021    Expiration 
 0  3 Month Euro Euribor Future Goldman Sachs $26,730    9/13/2021 
 0  3 Month Euro Euribor Future Goldman Sachs  26,729    12/13/2021 
 0  3 Month Euro Euribor Future Goldman Sachs  26,726    3/14/2022 
 0  3 Month Euro Euribor Future Goldman Sachs  26,724    6/13/2022 
 0  3 Month Euro Euribor Future Goldman Sachs  26,722    9/19/2022 
 0  90 Day Sterling Future Goldman Sachs  42,562    9/15/2021 
 0  90 Day Sterling Future Goldman Sachs  42,555    12/15/2021 
 0  90 Day Sterling Future Goldman Sachs  42,517    3/16/2022 
 0  90 Day Sterling Future Goldman Sachs  42,500    6/15/2022 
 0  90 Day Sterling Future Goldman Sachs  42,477    9/21/2022 
 0  CBOT 2 Year US Treasury Note Future Goldman Sachs  63,889    9/30/2021 
 1  CBOT 5 Year US Treasury Note Goldman Sachs  73,557    9/30/2021 
 0  CBOT 5 Year US Treasury Note Goldman Sachs  40,846    9/30/2021 
 0  CBOT Soybean Future Goldman Sachs  4,057    11/12/2021 
 0  CBOT Wheat Future Goldman Sachs  6,834    12/14/2021 
 0  CME 3 Month Eurodollar Future Goldman Sachs  63,787    9/13/2021 
 0  CME 3 Month Eurodollar Future Goldman Sachs  63,759    12/13/2021 
 0  CME 3 Month Eurodollar Future Goldman Sachs  63,768    3/14/2022 
 0  CME 3 Month Eurodollar Future Goldman Sachs  63,738    6/13/2022 
 0  CME 3 Month Eurodollar Future Goldman Sachs  63,687    9/19/2022 
 0  CME E-Mini NASDAQ 100 Index Future Goldman Sachs  4,976    6/18/2021 
 1  CME E-Mini Standard & Poor’s 500 Index Future Goldman Sachs  5,120    6/18/2021 
 0  Eurex 2 Year Euro SCHATZ Future Goldman Sachs  6,810    9/8/2021 
 0  Eurex 2 Year Euro SCHATZ Future Goldman Sachs  3,405    6/8/2021 
 0  Eurex 5 Year Euro BOBL Future Goldman Sachs  70,997    6/8/2021 
 0  Eurex Swiss Market New Index Future Goldman Sachs  3,010    6/18/2021 
 4  Euronext Amsterdam Index Future Goldman Sachs  3,758    6/18/2021 
 0  ICE Brent Crude Oil Future Goldman Sachs  3,199    9/30/2021 
 0  ICE Brent Crude Oil Future Goldman Sachs  3,530    10/29/2021 
 16,254  Korea Stock Exchange KOSPI 200 Index Future Goldman Sachs  6,257    6/10/2021 
 0  LME Copper Future Goldman Sachs  3,891    10/18/2021 
 0  LME Copper Future Goldman Sachs  4,323    11/15/2021 
 0  LME Nickel Future Goldman Sachs  2,745    10/18/2021 
 0  LME Nickel Future Goldman Sachs  3,052    11/15/2021 
 0  LME Primary Aluminum Future Goldman Sachs  3,877    10/18/2021 
 0  LME Primary Aluminum Future Goldman Sachs  4,313    11/15/2021 
 0  LME Zinc Future Goldman Sachs  3,873    10/18/2021 
 0  LME Zinc Future Goldman Sachs  4,308    11/15/2021 
 4  Montreal Exchange S&P/TSX 60 Index Future Goldman Sachs  3,820    6/18/2021 
 0  NYBOT CSC C Coffee Future Goldman Sachs  8,536    12/20/2021 
 0  NYBOT CSC C Coffee Future Goldman Sachs  2,844    3/21/2022 
 0  NYBOT CSC Number 11 World Sugar Future Goldman Sachs  4,108    9/30/2021 
 0  NYBOT CSC Number 11 World Sugar Future Goldman Sachs  4,591    2/28/2022 
 0  NYBOT CTN Number 2 Cotton Future Goldman Sachs  4,056    12/8/2021 
 28  OML Stockholm OMXS30 Index Future Goldman Sachs  7,668    6/18/2021 
 1  SFE S&P ASX Share Price Index 200 Future Goldman Sachs  2,839    6/17/2021 
                
CREDIT DEFAULT SWAPS 
              
Number of      Notional Value at May      
Contracts  Open Credit Default Swaps Counterparty 31, 2021  Expiration Value 
 24,213  Markit CDX North America High Yield Index Goldman Sachs  24,213  6/20/2026 637 
 4,286  Markit CDX North America Investment Grade Index Goldman Sachs  4,286  6/20/2026 457 
 2,366  Markit iTraxx Europe Crossover Index Goldman Sachs  2,882  6/20/2026 369 
 9,756  Markit iTraxx Europe Index    11,884  6/20/2026 324 
              1,787 

 

*The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses.

 

See accompanying notes to financial statements.

45

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021
 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

No Open Positions
 

See accompanying notes to financial statements.

46

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021
 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS

 

Number of
Contracts
  Open Long Equity Forwards Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
8  S&P 500 Index Goldman Sachs  31,786  12/17/2021 $4,200.00  $138 
7  S&P 500 Index Goldman Sachs  28,202  3/18/2022 $4,200.00   171 
6  S&P 500 Index Goldman Sachs  25,993  6/17/2022 $4,200.00   216 
                  525 

 

PURCHASED PUT OPTIONS

 

Number of
Contracts
  Open Purchased Put Options Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 5  S&P 500 Index Goldman Sachs  20,471  6/18/2021 $1,550  $ 
 6  S&P 500 Index Goldman Sachs  25,373  6/18/2021 $1,575    
 5  S&P 500 Index Goldman Sachs  22,357  6/18/2021 $1,675    
 6  S&P 500 Index Goldman Sachs  27,243  6/18/2021 $1,750    
 8  S&P 500 Index Goldman Sachs  35,466  6/18/2021 $1,775    
 6  S&P 500 Index Goldman Sachs  26,135  6/18/2021 $1,825    
 6  S&P 500 Index Goldman Sachs  24,046  6/18/2021 $1,900    
 5  S&P 500 Index Goldman Sachs  22,095  6/18/2021 $1,950    
 5  S&P 500 Index Goldman Sachs  22,106  6/18/2021 $1,975    
 7  S&P 500 Index Goldman Sachs  29,905  6/18/2021 $2,000    
 7  S&P 500 Index Goldman Sachs  30,337  6/18/2021 $2,025    
 6  S&P 500 Index Goldman Sachs  25,654  6/18/2021 $2,050    
 5  S&P 500 Index Goldman Sachs  22,771  6/18/2021 $2,075    
 6  S&P 500 Index Goldman Sachs  23,574  6/18/2021 $2,125    
 6  S&P 500 Index Goldman Sachs  25,162  6/18/2021 $2,150    
 5  S&P 500 Index Goldman Sachs  20,475  6/18/2021 $2,175    
 6  S&P 500 Index Goldman Sachs  27,150  6/18/2021 $2,250   1 
 5  S&P 500 Index Goldman Sachs  22,820  6/18/2021 $2,400   1 
 5  S&P 500 Index Goldman Sachs  21,542  6/18/2021 $2,425   1 
 6  S&P 500 Index Goldman Sachs  23,552  9/17/2021 $1,800   9 
 12  S&P 500 Index Goldman Sachs  52,393  9/17/2021 $1,850   22 
 8  S&P 500 Index Goldman Sachs  34,990  9/17/2021 $1,900   16 
 5  S&P 500 Index Goldman Sachs  22,606  9/17/2021 $1,950   11 
 7  S&P 500 Index Goldman Sachs  30,305  9/17/2021 $2,225   25 
 8  S&P 500 Index Goldman Sachs  35,521  9/17/2021 $2,250   31 
 6  S&P 500 Index Goldman Sachs  23,610  9/17/2021 $2,275   21 
 6  S&P 500 Index Goldman Sachs  24,018  9/17/2021 $2,325   24 
 5  S&P 500 Index Goldman Sachs  21,880  9/17/2021 $2,400   25 
 7  S&P 500 Index Goldman Sachs  29,468  9/17/2021 $2,500   39 
 5  S&P 500 Index Goldman Sachs  20,123  9/17/2021 $2,525   28 
 9  S&P 500 Index Goldman Sachs  37,232  12/17/2021 $2,125   72 
 7  S&P 500 Index Goldman Sachs  30,024  12/17/2021 $2,150   61 
 7  S&P 500 Index Goldman Sachs  28,680  12/17/2021 $2,175   60 
 5  S&P 500 Index Goldman Sachs  22,730  12/17/2021 $2,200   49 
 6  S&P 500 Index Goldman Sachs  27,233  12/17/2021 $2,250   64 
 6  S&P 500 Index Goldman Sachs  26,312  12/17/2021 $2,450   84 
 6  S&P 500 Index Goldman Sachs  25,116  12/17/2021 $2,500   86 
 8  S&P 500 Index Goldman Sachs  35,675  12/17/2021 $2,525   127 
 6  S&P 500 Index Goldman Sachs  25,305  12/17/2021 $2,550   94 
 6  S&P 500 Index Goldman Sachs  23,579  12/17/2021 $2,575   91 
 8  S&P 500 Index Goldman Sachs  33,169  12/17/2021 $2,800   180 
 6  S&P 500 Index Goldman Sachs  24,797  3/18/2022 $2,050   73 
 6  S&P 500 Index Goldman Sachs  25,745  3/18/2022 $2,100   82 
 8  S&P 500 Index Goldman Sachs  34,651  3/18/2022 $2,150   118 
 5  S&P 500 Index Goldman Sachs  20,688  3/18/2022 $2,500   119 
 5  S&P 500 Index Goldman Sachs  21,712  3/18/2022 $2,600   145 
 5  S&P 500 Index Goldman Sachs  22,718  4/14/2022 $2,500   149 
                   1,908 

See accompanying notes to financial statements.

47

 

JAMES ALPHA TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS

 

Number of
Contracts
  Open Short Equity Forwards Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 84  S&P 500 Index Goldman Sachs  354,245  6/18/2021 $4,205.00  $487 
 66  S&P 500 Index Goldman Sachs  276,200  7/16/2021 $4,200.00   197 
 36  S&P 500 Index Goldman Sachs  149,414  8/20/2021 $4,200.00   246 
 13  S&P 500 Index Goldman Sachs  52,976  9/17/2021 $4,200.00   135 
                   1,065 

 

PURCHASED PUT OPTIONS

 

Number of
Contracts
  Open Purchased Put Options Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 20  S&P 500 Index Goldman Sachs  83,522  6/18/2021 $1,925  $1 
 13  S&P 500 Index Goldman Sachs  56,573  6/18/2021 $1,950    
 35  S&P 500 Index Goldman Sachs  145,276  6/18/2021 $1,975   1 
 18  S&P 500 Index Goldman Sachs  76,226  6/18/2021 $2,150   1 
 12  S&P 500 Index Goldman Sachs  51,391  6/18/2021 $2,175   1 
 16  S&P 500 Index Goldman Sachs  67,161  6/18/2021 $2,275   1 
 13  S&P 500 Index Goldman Sachs  55,599  6/18/2021 $2,475   1 
 13  S&P 500 Index Goldman Sachs  52,984  6/18/2021 $2,700   2 
 15  S&P 500 Index Goldman Sachs  63,904  6/18/2021 $2,950   6 
 15  S&P 500 Index Goldman Sachs  63,006  6/18/2021 $3,060   8 
 13  S&P 500 Index Goldman Sachs  53,508  6/18/2021 $3,070   7 
 21  S&P 500 Index Goldman Sachs  87,093  6/18/2021 $3,220   17 
 15  S&P 500 Index Goldman Sachs  61,003  7/16/2021 $1,950   4 
 24  S&P 500 Index Goldman Sachs  100,231  7/16/2021 $2,000   8 
 13  S&P 500 Index Goldman Sachs  54,633  7/16/2021 $2,400   11 
 18  S&P 500 Index Goldman Sachs  75,252  7/16/2021 $2,450   17 
 20  S&P 500 Index Goldman Sachs  83,978  7/16/2021 $2,550   24 
 20  S&P 500 Index Goldman Sachs  84,233  7/16/2021 $2,600   26 
 15  S&P 500 Index Goldman Sachs  63,525  7/16/2021 $2,640   21 
 23  S&P 500 Index Goldman Sachs  95,653  7/16/2021 $2,790   44 
 12  S&P 500 Index Goldman Sachs  51,093  7/16/2021 $2,870   27 
 25  S&P 500 Index Goldman Sachs  103,474  7/16/2021 $2,910   59 
 22  S&P 500 Index Goldman Sachs  93,909  8/20/2021 $2,200   43 
 35  S&P 500 Index Goldman Sachs  145,707  8/20/2021 $2,300   81 
 24  S&P 500 Index Goldman Sachs  99,806  8/20/2021 $2,350   61 
 20  S&P 500 Index Goldman Sachs  82,944  8/20/2021 $2,450   61 
 18  S&P 500 Index Goldman Sachs  75,275  8/20/2021 $2,550   67 
                   600 

 

WRITTEN PUT OPTIONS

 

Number of
Contracts
  Open Written Put Options Counterparty Notional Value at May
31, 2021
  Expiration Exercise Price  Market Value 
 19  S&P 500 Index Goldman Sachs  78,287  6/18/2021 $3,410   23 
 13  S&P 500 Index Goldman Sachs  54,769  6/18/2021 $3,450   18 
 13  S&P 500 Index Goldman Sachs  55,599  6/18/2021 $3,610   28 
 15  S&P 500 Index Goldman Sachs  61,308  6/18/2021 $3,825   71 
 12  S&P 500 Index Goldman Sachs  51,226  6/18/2021 $3,840   63 
 13  S&P 500 Index Goldman Sachs  53,508  6/18/2021 $3,875   79 
 20  S&P 500 Index Goldman Sachs  83,187  6/18/2021 $3,885   129 
 12  S&P 500 Index Goldman Sachs  51,604  6/18/2021 $3,965   123 
 23  S&P 500 Index Goldman Sachs  98,027  7/16/2021 $3,660   290 
 16  S&P 500 Index Goldman Sachs  66,622  7/16/2021 $3,710   227 
 15  S&P 500 Index Goldman Sachs  61,759  7/16/2021 $3,740   230 
 17  S&P 500 Index Goldman Sachs  72,828  7/16/2021 $3,750   280 
 16  S&P 500 Index Goldman Sachs  67,275  7/16/2021 $3,770   274 
 23  S&P 500 Index Goldman Sachs  95,653  7/16/2021 $3,830   470 
 12  S&P 500 Index Goldman Sachs  51,093  7/16/2021 $3,860   276 
 25  S&P 500 Index Goldman Sachs  103,474  7/16/2021 $3,890   618 
 16  S&P 500 Index Goldman Sachs  65,320  8/20/2021 $3,630   443 
 13  S&P 500 Index Goldman Sachs  55,706  8/20/2021 $3,640   386 
 12  S&P 500 Index Goldman Sachs  51,446  8/20/2021 $3,710   417 
                   4,445 

 

See accompanying notes to financial statements.

48

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND

SCHEDULE OF INVESTMENTS (Unaudited) 

May 31, 2021

  

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3%          
    AUTO LOAN — 0.5%          
 1,400,000  Foursight Capital Automobile Receivables Trust Series 2020-1 Class F(a)   4.6200 06/15/27    $1,421,155 
              
    CDO — 6.9%          
 109,993  ARCap 2003-1 Resecuritization Trust(a)   7.1100 08/20/38  109,993 
 1,120,879  Aspen Funding I Ltd.   9.0600 07/10/37  1,182,236 
 7,806,566  DWRS 2016-1(a),(b)   1.0440 04/23/32  2,576,167 
 4,434,350  Galleria CDO V Ltd.(a),(c) US0003M + 2.400% 2.5900 09/19/37  4,213,369 
 3,873,710  Mid Ocean CBO 2001-1 Ltd.(c) US0003M + 0.500% 2.3910 11/05/36  1,148,396 
 5,396,000  Trapeza Cdo Xii Ltd.(a),(c) US0003M + 0.460% 0.6540 04/06/42  4,208,880 
 3,000,000  Trapeza Cdo Xiii Ltd.(a),(c) US0003M + 0.430% 0.5920 11/09/42  2,340,000 
 3,000,000  Tropic CDO IV Ltd.(a),(c) US0003M + 1.000% 1.1840 04/15/35  2,400,000 
             18,179,041 
    CLO — 8.4%          
 750,000  BlueMountain CLO 2013-2 Ltd.(a),(c) US0003M + 1.300% 1.4840 10/22/30  732,341 
 1,500,000  Cutwater 2014-I Ltd.(a),(c) US0003M + 1.700% 1.8840 07/15/26  1,501,557 
 1,000,000  Deerpath Capital CLO 2018-1 LTD(a),(c) US0003M + 3.500% 3.6840 01/15/31  1,004,670 
 1,000,000  Deerpath Capital CLO 2020-1 LTD(a),(c) US0003M + 3.900% 4.0900 04/17/32  997,689 
 500,000  Ellington Clo III Ltd.(a),(c) US0003M + 3.740% 3.9280 07/20/30  481,917 
 200,000  GC FTPYME Pastor 4 FTA EUR003M + 2.400% 1.8590 07/15/45  125,663 
 750,000  Halcyon Loan Advisors Funding 2013-1 Ltd.(a),(c) US0003M + 3.500% 3.6840 04/15/25  728,556 
 3,210,000  Halcyon Loan Advisors Funding 2013-2 Ltd.(a),(c) US0003M + 3.800% 3.9760 08/01/25  2,745,741 
 4,000,000  Halcyon Loan Advisors Funding 2014-2 Ltd.(a),(c) US0003M + 2.700% 2.8840 04/28/25  4,004,039 
 1,500,000  Halcyon Loan Advisors Funding 2014-3 Ltd.(a),(c) US0003M + 3.650% 3.8340 10/22/25  1,283,222 
 1,000,000  JFIN CLO 2014-II Ltd.(a),(c) US0003M + 3.250% 3.4380 07/20/26  1,004,279 
 250,000  Nassau 2018-I Ltd.(a),(c) US0003M + 5.850% 6.0340 07/15/31  216,187 
 500,000  Peaks CLO 2 Ltd.(a),(c) US0003M + 3.600% 3.7880 07/20/31  500,122 
 500,000  Steele Creek Clo 2018-2 Ltd.(a),(c) US0003M + 3.400% 3.5550 08/18/31  485,668 
 1,000,000  Z Capital Credit Partners CLO 2018-1 Ltd.(a),(c) US0003M + 2.450% 2.6340 01/16/31  1,000,860 
 1,000,000  Z Capital Credit Partners CLO 2019-1 Ltd.(a),(c) US0003M + 5.250% 5.4340 07/15/31  1,003,960 
 800,000  Z Capital Credit Partners CLO 2019-1 Ltd.(a),(c) US0003M + 4.000% 4.1840 07/16/31  801,026 
 1,000,000  Zais Clo 11 Ltd.(a),(c) US0003M + 2.900% 3.0880 01/20/32  962,219 

  

See accompanying notes to financial statements. 

49

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CLO — 8.4% (Continued)          
 500,000  Zais Clo 13 Ltd.(a),(c) US0003M + 4.520% 4.7040 07/15/32 $484,197 
 2,000,000  Zais CLO 2 Ltd(a),(c) US0003M + 3.650% 3.8260 07/25/26  2,006,900 
             22,070,813 
    CMO — 31.2%          
 38,087  Adjustable Rate Mortgage Trust 2005-10(d)   2.8820 01/25/36  36,071 
 643,539  Adjustable Rate Mortgage Trust 2005-6A(c) US0001M + 0.840% 0.9320 11/25/35  248,018 
 113,684  Agate Bay Mortgage Trust 2014-3(a),(d)   3.8340 11/25/44  115,264 
 61,327  Alternative Loan Trust 1998-4(e)   6.5510 08/25/28  63,326 
 26,580  Alternative Loan Trust 2003-22CB(d)   5.7500 12/25/33  27,515 
 149,657  Alternative Loan Trust 2003-J2 Series 2003-J2 Class A1(d)   6.0000 10/25/33  153,140 
 183,670  Alternative Loan Trust 2003-J3(d)   5.2500 11/25/33  187,431 
 108,712  Alternative Loan Trust 2004-15(d)   2.9220 09/25/34  104,845 
 16,525  Alternative Loan Trust 2004-16CB(d)   5.5000 07/25/34  16,996 
 9,907,940  Alternative Loan Trust 2004-24CB(d)   6.0000 11/25/34  10,497,263 
 579,129  Alternative Loan Trust 2004-28CB(d)   5.7500 01/25/35  584,360 
 105,785  Alternative Loan Trust 2004-28CB(d)   6.0000 01/25/35  107,346 
 148,583  Alternative Loan Trust 2004-J10(d)   6.0000 09/25/34  154,588 
 713,091  Alternative Loan Trust 2004-J10(d)   5.5000 11/25/34  723,869 
 114,232  Alternative Loan Trust 2004-J10(d)   5.0000 10/25/53  114,999 
 78,548  Alternative Loan Trust 2004-J11(d)   7.2500 08/25/32  84,052 
 164,605  Alternative Loan Trust 2004-J8(d)   7.0000 08/25/34  159,655 
 71,674  Alternative Loan Trust 2005-14(c) US0001M + 0.420% 0.5120 05/25/35  69,802 
 250,822  Alternative Loan Trust 2005-27(c) 12MTA + 1.350% 1.4920 08/25/35  226,566 
 46,573  Alternative Loan Trust 2005-3CB(d)   5.0000 03/25/35  42,190 
 51,234  Alternative Loan Trust 2005-54CB(d)   5.5000 11/25/35  48,593 
 133,794  Alternative Loan Trust 2005-61(c) US0001M + 0.560% 0.6520 12/25/35  133,159 
 191,064  Alternative Loan Trust 2005-6CB(d)   5.5000 04/25/35  190,147 
 212,223  Alternative Loan Trust 2005-72(c) US0001M + 0.600% 0.6920 01/25/36  187,275 
 50,967  Alternative Loan Trust 2005-J11(d)   6.0000 10/25/35  36,399 
 66,192  Alternative Loan Trust 2005-J11(d)   5.5000 11/25/35  52,190 
 178,736  Alternative Loan Trust 2005-J8(d)   5.5000 07/25/35  167,958 
 107,706  Alternative Loan Trust 2006-40T1(d)   6.0000 12/25/36  51,159 
 50,000  Alternative Loan Trust Resecuritization 2005-12R(d)   6.0000 11/25/34  49,721 
 118,897  American Home Mortgage Investment Trust 2004-1(c) US0006M + 2.000% 2.2060 04/25/44  110,813 

  

See accompanying notes to financial statements. 

50

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 3,000,000  Angel Oak Mortgage Trust I, LLC 2019-2(d)   6.2860 03/25/49 $3,094,095 
 339,495  Banc of America Alternative Loan Trust 2003-8(d)   5.5000 10/25/33  350,308 
 294,843  Banc of America Alternative Loan Trust 2004-6(d)   6.0000 07/25/34  303,428 
 70,634  Banc of America Funding 2004-C Trust(c) US0001M + 0.660% 0.7590 12/20/34  70,125 
 53,065  Banc of America Funding 2005-E Trust(c) COF 11 + 1.430% 1.8070 06/20/35  45,477 
 1,084,641  Banc of America Funding 2006-I Trust(d)   3.2170 10/20/46  952,771 
 126,511  Banc of America Funding 2007-2 Trust(f)   6.0000 03/25/37  25,710 
 28,082  Banc of America Mortgage 2002-L Trust(d)   3.0680 12/25/32  24,613 
 57,818  Banc of America Mortgage 2005-F Trust(d)   2.7380 07/25/35  52,200 
 209,273  BCAP, LLC 2010-RR2 Trust(a),(d)   5.0000 12/26/36  209,773 
 8,151  Bear Stearns ALT-A Trust 2004-11(d)   2.5460 11/25/34  8,080 
 79,564  Bear Stearns ARM Trust 2003-5(d)   2.8650 08/25/33  79,304 
 8,127  Bear Stearns ARM Trust 2003-7(d)   2.6460 10/25/33  8,367 
 167,494  Bear Stearns ARM Trust 2004-1(d)   2.7390 04/25/34  164,212 
 63,342  Bear Stearns ARM Trust 2004-10(d)   2.9110 01/25/35  64,370 
 151,949  Bear Stearns ARM Trust 2004-6(d)   2.6820 09/25/34  140,293 
 606,877  Bear Stearns Asset Backed Securities I Trust(d)   6.0000 03/25/36  298,338 
 767,981  Bear Stearns Asset Backed Securities Trust(e)   5.5000 01/25/34  779,889 
 69,762  Bear Stearns Structured Products Inc Trust 2007-R6(d)   2.3030 01/26/36  57,099 
 57,609  Bella Vista Mortgage Trust 2004-1(c) US0001M + 0.700% 0.7980 11/20/34  53,720 
 1,000,000  Capital Funding Mortgage Trust 2021-15(a),(c) US0001M + 3.150% 4.1500 03/15/24  1,012,370 
 552,632  Cascade Funding Mortgage Trust 2018-RM2(a),(g)    10/25/68  556,665 
 269,796  Cascade Funding Mortgage Trust 2019-RM3(a),(d)   4.0000 06/25/69  270,558 
 105,606  CDMC Mortgage Pass-Through Certificates Series(d)   5.4850 09/25/34  105,677 
 232,756  Chase Mortgage Finance Trust Series 2004-S2(d)   5.5000 02/25/34  236,816 
 562,013  Chase Mortgage Finance Trust Series 2007-S3(g)    05/25/37  206,094 
 311,740  Chase Mortgage Finance Trust Series 2007-S3(f)   6.0000 05/25/37  77,017 
 128,142  CHL Mortgage Pass-Through Trust 2002-19(d)   6.2500 11/25/32  130,287 
 48,763  CHL Mortgage Pass-Through Trust 2003-60(d)   2.2410 02/25/34  47,198 
 172,864  CHL Mortgage Pass-Through Trust 2003-HYB1(d)   2.9040 05/19/33  167,215 
 50,510  CHL Mortgage Pass-Through Trust 2004-14(d)   2.6620 08/25/34  49,551 
 195,084  CHL Mortgage Pass-Through Trust 2004-23(d)   2.0580 11/25/34  167,686 
 44,183  CHL Mortgage Pass-Through Trust 2004-3(d)   5.7500 04/25/34  44,935 
 150,264  CHL Mortgage Pass-Through Trust 2004-5(d)   5.5000 05/25/34  151,397 

  

See accompanying notes to financial statements. 

51

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 145,137  CHL Mortgage Pass-Through Trust 2004-6(d)   2.3070 05/25/34 $148,914 
 116,923  CHL Mortgage Pass-Through Trust 2004-9(d)   5.2500 06/25/34  117,608 
 97,702  CHL Mortgage Pass-Through Trust 2004-HYB2(d)   2.3660 07/20/34  94,691 
 86,183  CHL Mortgage Pass-Through Trust 2004-HYB5(d)   2.7410 04/20/35  82,038 
 238,572  CHL Mortgage Pass-Through Trust 2004-J5(d)   5.5000 07/25/34  238,579 
 94,098  CHL Mortgage Pass-Through Trust 2004-J9(d)   5.5000 01/25/35  95,803 
 629,003  CHL Mortgage Pass-Through Trust 2005-J2(d)   5.0000 08/25/35  477,440 
 145,872  CHL Mortgage Pass-Through Trust 2006-J1(d)   6.0000 02/25/36  96,980 
 54,498  CHL Mortgage Pass-Through Trust 2007-15(d)   6.5000 09/25/37  31,738 
 39,228  Citicorp Mortgage Securities Trust Series 2005-7(d)   5.0000 10/25/21  39,695 
 149,928  Citicorp Mortgage Securities Trust Series 2007-2(g)    02/25/37  100,740 
 246,913  Citicorp Mortgage Securities Trust Series 2007-4(d)   6.0000 05/25/37  245,316 
 118,288  Citigroup Global Markets Mortgage Securities VII, Inc.(b),(d)   5.9310 07/25/24  33,491 
 4,765  Citigroup Global Markets Mortgage Securities VII, Inc.(d)   2.4820 09/25/32  4,264 
 467,990  Citigroup Mortgage Loan Trust 2009-4(a),(d)   5.4710 05/25/35  471,000 
 292,781  Citigroup Mortgage Loan Trust 2010-7(a),(d)   4.9290 07/25/36  291,537 
 27,263  Citigroup Mortgage Loan Trust 2010-9(a),(e)   5.7020 03/25/37  26,983 
 631,955  Citigroup Mortgage Loan Trust, Inc.(a),(c) US0001M + 0.400% 0.4920 01/25/29  590,953 
 70,681  Citigroup Mortgage Loan Trust, Inc.(d)   6.7500 08/25/34  75,466 
 223,508  Citigroup Mortgage Loan Trust, Inc.(d)   2.7580 10/25/35  156,176 
 81,804  CitiMortgage Alternative Loan Trust Series 2007-A6(d)   6.0000 06/25/37  82,550 
 2,001,000  COLT 2019-4 Mortgage Loan Trust(a),(d)   3.9400 11/25/49  2,016,287 
 300,000  COLT 2020-2 Mortgage Loan Trust(a),(d)   5.2500 03/25/65  314,588 
 156,321  Credit Suisse First Boston Mortgage Securities(d)   4.4070 11/25/31  162,886 
 549,994  Credit Suisse First Boston Mortgage Securities(d)   7.1970 01/25/32  546,603 
 115,762  Credit Suisse First Boston Mortgage Securities Series 2003-11-1A31(d)   5.5000 06/25/33  117,485 
 959,684  Credit Suisse First Boston Mortgage Securities(d)   5.2500 07/25/33  989,126 
 27,084  Credit Suisse First Boston Mortgage Securities(d)   5.2500 09/25/33  27,869 
 97,354  Credit Suisse First Boston Mortgage Securities(d)   5.5000 10/25/33  101,341 
 292,062  Credit Suisse First Boston Mortgage Securities(d)   5.5000 10/25/33  304,492 
 302,790  Credit Suisse First Boston Mortgage Securities(d)   5.5000 10/25/34  304,851 
 141,207  Credit Suisse First Boston Mortgage Securities(c) US0001M + 0.650% 0.7420 09/25/35  102,209 
 8,052  CSFB Mortgage-Backed Pass-Through Certificates(d)   5.2500 11/25/22  2,972 

  

See accompanying notes to financial statements. 

52

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 404,851  CSFB Mortgage-Backed Pass-Through Certificates(d)   7.5000 03/25/32 $411,990 
 259,057  CSFB Mortgage-Backed Pass-Through Certificates(d)   2.0080 07/25/33  264,275 
 113,654  CSFB Mortgage-Backed Pass-Through Certificates(d)   1.8020 10/25/33  114,190 
 650,927  CSFB Mortgage-Backed Pass-Through Certificates(d)   6.0000 08/25/34  677,649 
 43,829  CSFB Mortgage-Backed Pass-Through Certificates(d)   5.7500 07/25/35  45,709 
 95,911  CSMC Series 2010-18R(a),(d)   2.5780 04/26/38  96,378 
 313,863  CSMC Trust 2007-5R(d)   6.5000 07/26/36  120,710 
 1,346,980  CSMC Trust 2010-16(a),(d)   3.7430 06/25/50  1,170,340 
 1,803,339  CSMC Trust 2013-IVR5(a),(d)   3.6080 10/25/43  1,825,129 
 38,542  Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1(d)   5.5000 09/25/33  39,450 
 1,727,098  Deutsche Mortgage Securities Inc REMIC Trust(a),(d)   3.1260 04/28/37  1,744,248 
 2,672  DLJ Mortgage Acceptance Corporation(d)   6.7500 01/25/24  2,350 
 65,648  DSLA Mortgage Loan Trust 2004-AR4(c) US0001M + 0.720% 0.8170 01/19/45  59,560 
 322,069  Fannie Mae Trust 2005-W3(d)   3.5650 04/25/45  340,533 
 91,054  First Horizon Alternative Mortgage Securities(d)   6.2500 08/25/37  61,795 
 84,146  First Horizon Mortgage Pass-Through Trust 2005-AR5(d)   2.6250 10/25/35  50,088 
 68,987  First Horizon Mortgage Pass-Through Trust 2005-AR5(d)   2.6250 11/25/35  66,863 
 167,744  First Horizon Mortgage Pass-Through Trust 2006-AR3(d)   2.6160 11/25/36  131,365 
 31,844  Freddie Mac Structured Pass-Through Certificates(c) 12 Month TA + 1.400% 1.5420 07/25/44  32,119 
 140,152  GMACM Mortgage Loan Trust 2004-J2(d)   5.7500 06/25/34  142,545 
 22,034  GMACM Mortgage Loan Trust 2005-AR3(d)   2.8340 06/19/35  20,855 
 1,976,706  GMACM Mortgage Loan Trust 2005-AR4(d)   3.6560 07/19/35  1,934,149 
 271,303  GS Mortgage Securities Corporation II(a),(c) US0001M + 0.350% 0.4490 03/20/23  255,785 
 1,711,193  GSMPS Mortgage Loan Trust(a),(d)   8.5000 06/19/29  1,651,482 
 767,689  GSMPS Mortgage Loan Trust 2004-4(a),(d)   7.5000 06/25/34  819,084 
 430,844  GSMPS Mortgage Loan Trust 2004-4(a),(d)   8.0000 06/25/34  468,423 
 44,136  GSMPS Mortgage Loan Trust 2005-RP2(a),(c) US0001M + 0.350% 0.4420 03/25/35  41,267 
 144,443  GSMPS Mortgage Loan Trust 2005-RP3(a),(c) US0001M + 0.350% 0.4420 09/25/35  123,961 
 210,933  GSR Mortgage Loan Trust 2004-13F(d)   4.2500 11/25/34  213,257 
 54,631  GSR Mortgage Loan Trust 2005-4F(d)   6.5000 02/25/35  55,899 
 12,153  GSR Mortgage Loan Trust 2005-6F(d)   5.2500 07/25/35  12,430 
 30,074  GSR Mortgage Loan Trust 2005-8F(d)   6.0000 11/25/35  18,343 
 14,985  GSR Mortgage Loan Trust 2005-AR3(c) US0001M + 0.440% 0.5320 05/25/35  14,294 

  

See accompanying notes to financial statements. 

53

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 36,611  GSR Mortgage Loan Trust 2005-AR6(d)   2.9890 09/25/35 $36,385 
 154,956  GSR Mortgage Loan Trust 2006-1F(d)   6.0000 02/25/36  112,053 
 96,068  GSR Mortgage Loan Trust 2007-AR2(d)   3.0520 05/25/37  75,749 
 991,884  Harvest SBA Loan Trust 2021-1(a),(c) US0001M + 2.000% 2.1010 04/25/48  977,507 
 5,900,000  Headlands Residential 2019-RPL1, LLC(a),(e)   3.9670 06/25/24  5,931,051 
 85,000  HomeBanc Mortgage Trust 2005-3(c) US0001M + 0.765% 0.8570 07/25/35  85,325 
 239,704  HSI Asset Loan Obligation Trust 2007-1(d)   6.5000 06/25/37  132,296 
 316,940  HSI Asset Loan Obligation Trust 2007-AR2(d)   2.9530 09/25/37  288,438 
 102,868  Impac CMB Trust Series 2003-2F(e)   6.5700 01/25/33  105,382 
 95,240  Impac CMB Trust Series 2003-4(e)   5.7290 07/25/33  96,140 
 51,660  Impac CMB Trust Series 2004-7(c) US0001M + 1.800% 1.8920 11/25/34  51,345 
 296,171  Impac Secured Assets CMN Owner Trust(d)   6.0000 08/25/33  297,879 
 123,546  Impac Secured Assets Trust 2006-1 Series 2006-1-2A1(c) US0001M + 0.700% 0.7920 05/25/36  119,518 
 12,355  IndyMac INDX Mortgage Loan Trust 2004-AR11(d)   2.8910 12/25/34  12,797 
 56,165  IndyMac INDX Mortgage Loan Trust 2005-AR15(d)   2.9710 09/25/35  53,857 
 262,136  JP Morgan Alternative Loan Trust(c),(f) US0001M + 7.150% 7.0580 12/25/35  85,782 
 35,583  JP Morgan Mortgage Trust 2004-S2(d)   6.0000 11/25/34  35,600 
 46,959  JP Morgan Mortgage Trust 2005-A7(d)   3.0970 10/25/35  49,130 
 22,830  JP Morgan Mortgage Trust 2006-A4(d)   3.2180 06/25/36  19,231 
 1,028,668  JP Morgan Mortgage Trust 2014-IVR3(a),(d)   2.4560 09/25/44  1,032,847 
 4,130,359  JP Morgan Mortgage Trust 2014-IVR3(a),(d)   2.4560 09/25/44  4,147,139 
 1,179,481  Legacy Mortgage Asset Trust 2019-SL3(a),(e)   3.4740 11/25/61  1,191,226 
 969,484  Legacy Mortgage Asset Trust 2021-GS1(a),(e)   1.8920 10/25/66  973,328 
 306,005  Lehman Mortgage Trust 2006-2(d)   5.7500 04/25/36  306,886 
 40,227  MASTR Adjustable Rate Mortgages Trust 2003-1(d)   2.7500 12/25/32  37,592 
 30,009  MASTR Adjustable Rate Mortgages Trust 2003-2(d)   2.2780 07/25/33  30,565 
 24,771  MASTR Adjustable Rate Mortgages Trust 2003-6(d)   2.2500 12/25/33  24,355 
 88,900  MASTR Adjustable Rate Mortgages Trust 2003-6(d)   2.3430 12/25/33  88,028 
 224,725  MASTR Alternative Loan Trust 2003-3(d)   6.1510 05/25/33  221,238 
 55,561  MASTR Alternative Loan Trust 2003-5(d)   5.5000 06/25/33  56,872 
 65,364  MASTR Alternative Loan Trust 2003-7(d)   6.5000 12/25/33  68,928 
 234,748  MASTR Alternative Loan Trust 2004-1(d)   5.5000 02/25/34  242,915 
 532,862  MASTR Alternative Loan Trust 2004-3(d)   6.5000 04/25/34  556,630 

  

See accompanying notes to financial statements. 

54

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 47,874  MASTR Alternative Loan Trust 2004-4(d)   5.5000 05/25/34 $49,396 
 117,776  MASTR Alternative Loan Trust 2004-6(d)   6.0000 07/25/34  120,796 
 1,571,774  MASTR Alternative Loan Trust 2004-6(d)   6.2500 07/25/34  1,637,658 
 611,753  MASTR Alternative Loan Trust 2004-6(d)   6.5000 07/25/34  604,392 
 63,159  MASTR Alternative Loan Trust 2004-7(d)   6.0000 06/25/34  66,435 
 1,762,763  MASTR Alternative Loan Trust 2004-7(d)   6.0000 08/25/34  1,863,955 
 2,370  MASTR Alternative Loan Trust 2005-1(d)   5.5000 01/25/23  2,305 
 300,341  MASTR Alternative Loan Trust 2005-2(d)   5.0000 03/25/43  278,660 
 55,943  MASTR Alternative Loan Trust 2007-1(g)    10/25/36  36,432 
 866,103  MASTR Alternative Loan Trust 2007-HF1(g)    10/25/47  80,616 
 21,511  MASTR Asset Securitization Trust 2003-12(d)   5.0000 12/25/33  21,702 
 23,360  MASTR Asset Securitization Trust 2004-1(d)   5.5000 02/25/34  23,447 
 91,336  MASTR Asset Securitization Trust 2005-1(d)   5.5000 05/25/35  81,997 
 56,459  MASTR Reperforming Loan Trust 2005-1(a),(d)   8.0000 08/25/34  53,465 
 22,054  MASTR Reperforming Loan Trust 2005-2(a),(d)   8.0000 05/25/35  21,496 
 267,108  MASTR Reperforming Loan Trust 2006-2(a),(d)   3.7300 05/25/36  267,027 
 655,253  MASTR Seasoned Securitization Trust 2003-1(d)   6.0000 02/25/33  675,277 
 39,384  Merrill Lynch Mortgage Investors Trust Series(d)   2.6600 09/25/33  39,237 
 95,858  Merrill Lynch Mortgage Investors Trust Series MLCC(d)   1.9000 05/25/36  90,469 
 30,761  Morgan Stanley Dean Witter Capital I Inc Trust(d)   1.6110 03/25/33  31,521 
 38,770  Morgan Stanley Mortgage Loan Trust 2004-8AR(d)   1.0530 10/25/34  35,915 
 46,580  Morgan Stanley Mortgage Loan Trust 2004-8AR(d)   2.5490 10/25/34  47,586 
 96,265  Morgan Stanley Mortgage Loan Trust 2005-10(d)   6.0000 12/25/35  62,546 
 35,894  Morgan Stanley Mortgage Loan Trust 2006-8AR(d)   2.0000 06/25/36  36,082 
 240,456  MortgageIT Trust 2004-2(c) US0001M + 3.225% 3.3170 12/25/34  248,785 
 514,987  MortgageIT Trust 2005-3(c) US0001M + 0.795% 0.8870 08/25/35  506,753 
 1,380,599  National City Mortgage Capital Trust(d)   6.0000 03/25/38  1,437,227 
 67,329  National City Mortgage Capital Trust(d)   6.0000 03/25/38  70,090 
 143,418  New Residential Mortgage Loan Trust 2020-1(a)   3.5000 10/25/59  152,320 
 203,025  Nomura Asset Acceptance Corp Alternative Loan(a),(d)   7.5000 03/25/34  209,999 
 119,802  Nomura Asset Acceptance Corp Alternative Loan(e)   5.9570 03/25/47  124,507 
 43,467  OBX 2018-EXP1 Trust(a),(d)   4.5000 04/25/48  43,667 
 2,976  PHH Mortgage Trust Series 2008-CIM1(c) US0001M + 2.250% 2.3600 05/25/38  2,974 

   

See accompanying notes to financial statements. 

55

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

May 31, 2021

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 547,505  PHH Mortgage Trust Series 2008-CIM1(d)   6.0000 05/25/38 $569,309 
 679,626  PHHMC Series 2005-4 Trust(d)   5.3150 07/18/35  684,583 
 52,945  RAAC Series 2005-SP1 Trust(d)   7.0000 09/25/34  54,733 
 223,485  Radnor RE 2019-1 Ltd.(a),(c) US0001M + 1.950% 2.0420 02/25/29  224,331 
 130,853  RALI Series 2005-QA12 Trust(d)   3.5270 12/25/35  78,711 
 26,967  RBSGC Mortgage Loan Trust 2007-B(d)   4.1630 07/25/35  25,183 
 530,904  RBSGC Structured Trust 2008-A(a),(d)   5.5000 11/25/35  519,460 
 59,846  RBSSP Resecuritization Trust 2009-10(a),(d)   18.3310 01/26/37  74,857 
 208,360  Resecuritization Pass-Through Trust 2005-8R(d)   6.0000 10/25/34  212,431 
 11,000  Residential Asset Securitization Trust 2002-A12(d)   5.7500 11/25/32  11,185 
 176,000  Residential Asset Securitization Trust 2003-A10(d)   5.2000 09/25/33  177,813 
 208,027  Residential Asset Securitization Trust 2003-A15(d)   5.6070 02/25/34  184,296 
 34,118  RFMSI Series 2005-SA4 Trust(d)   2.9520 09/25/35  30,912 
 200,000  RMF Buyout Issuance Trust 2020-1(a),(d)   4.1910 02/25/30  197,960 
 4,529  Ryland Mortgage Securities Corporation(d)    04/29/30  4,552 
 1,999,064  Saluda Grade Alternative Mortgage Trust 2020-FIG1(a),(d)   3.3210 09/25/50  2,044,269 
 47,643  Seasoned Credit Risk Transfer Trust Series 2017-3(g)    07/25/56  7,962 
 250,000  Seasoned Credit Risk Transfer Trust Series 2020-2(d)   4.2500 11/25/59  262,644 
 57,415  Sequoia Mortgage Trust 2004-10(c) US0001M + 0.620% 0.7190 11/20/34  56,789 
 83,492  Sequoia Mortgage Trust 2005-2(c) US0001M + 0.440% 0.5390 03/20/35  82,608 
 58,751  Sequoia Mortgage Trust 2013-12(a),(d)   4.0000 12/25/43  60,020 
 100,000  Spruce Hill Mortgage Loan Trust 2020-SH1(a),(d)   4.6760 01/28/50  101,000 
 449,619  Structured Adjustable Rate Mortgage Loan Trust(d)   3.0160 07/25/35  338,531 
 10,729  Structured Adjustable Rate Mortgage Loan Trust(c) US0001M + 0.380% 0.4720 09/25/36  10,118 
 62,109  Structured Asset Sec Corp Mort Passthr Certs Ser 2003 40A(d)   2.6930 01/25/34  63,204 
 23,885  Structured Asset Securities Corporation(c) US0001M + 0.780% 0.8950 12/25/33  22,010 
 19,026  Structured Asset Securities Corporation(e)   5.1420 02/25/34  19,205 
 106,245  Structured Asset Securities Corporation(a),(c) US0001M + 0.350% 0.4420 04/25/35  98,320 
 593,000  Verus Securitization Trust 2020-INV1(a),(d)   5.5000 04/25/60  635,130 
 538,000  Vista Point Securitization Trust 2020-1(a),(d)   4.1510 03/25/65  564,844 
 65,826  WaMu Mortgage Pass-Through Certificates Series 2002-AR18(d)   2.5650 01/25/33  67,692 
 82,668  WaMu Mortgage Pass-Through Certificates Series 2003-S5(d)   5.5000 06/25/33  83,598 

  

See accompanying notes to financial statements. 

56

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    CMO — 31.2% (Continued)          
 48,403  WaMu Mortgage Pass-Through Certificates Series 2003-S3(d)   5.5000 06/25/33 $49,576 
 602,601  WaMu Mortgage Pass-Through Certificates Series 2003-S4(d)   5.6340 06/25/33  618,356 
 31,139  WaMu Mortgage Pass-Through Certificates Series 2002-AR2-A(c) COF 11 + 1.250% 1.6270 02/27/34  31,844 
 76,597  WaMu Mortgage Pass-Through Certificates Series 2006-AR2(d)   2.9290 03/25/36  76,651 
 65,223  WaMu Mortgage Pass-Through Certificates Series 2005-AR1(c) US0001M + 0.320% 0.7320 01/25/45  64,891 
 169,327  WaMu Mortgage Pass-Through Certificates Series 2006-AR8(d)   3.1030 08/25/46  121,781 
 62,494  WaMu Mortgage Pass-Through Certificates Series 2006-AR11(c) COF 11 + 1.500% 1.9080 09/02/46  64,730 
 106,090  Washington Mutual MSC Mortgage Pass-Through Series 2003-MS2(d)   5.7500 02/25/33  107,182 
 100,561  Washington Mutual MSC Mortgage Pass-Through Series 2003-MS9(d)   7.5000 04/25/33  104,150 
 15,081  Washington Mutual MSC Mortgage Pass-Through Series 2005-RA1(a),(d)   2.8730 01/25/35  13,010 
             81,658,713 
    HOME EQUITY — 3.8%          
 68,106  ABFC 2004-OPT2 Trust(c) US0001M + 0.560% 0.6520 10/25/33  63,796 
 102,319  American Residential Home Equity Loan Trust 1998-1(c) US0001M + 2.175% 2.2670 05/25/29  105,163 
 571,948  Argent Securities Inc Asset-Backed Pass-Through(c) US0001M + 5.625% 4.3850 09/25/33  571,875 
 35,080  Argent Securities Inc Asset-Backed Pass-Through(e)   4.4030 04/25/34  36,772 
 695,984  Bayview Financial Asset Trust 2007-SSR1(a),(c) US0001M + 0.450% 0.5420 03/25/37  678,538 
 607,117  Bayview Financial Mortgage Pass-Through Trust(a),(c) US0001M + 1.000% 1.0920 05/28/39  524,880 
 1,994,956  Bayview Financial Mortgage Pass-Through Trust(a),(c) US0001M + 1.500% 1.5920 02/28/40  1,840,336 
 177,898  Bear Stearns Asset Backed Securities I Trust(c) US0001M + 2.100% 2.1920 06/25/34  179,889 
 272,675  Bear Stearns Home Loan Owner Trust 2001-A(e)   10.5000 02/15/31  284,334 
 663,071  CDC Mortgage Capital Trust 2004-HE1(c) US0001M + 0.855% 0.9470 06/25/34  746,276 
 50,185  Chase Funding Loan Acquisition Trust Series(d)   4.7500 12/25/34  50,032 
 220,029  Delta Funding Home Equity Loan Trust 1999-2(c) US0001M + 0.320% 0.7410 08/15/30  202,799 
 180,214  Delta Funding Home Equity Loan Trust 1999-3(e)   8.0610 09/15/29  183,577 
 91,117  First Alliance Mortgage Loan Trust 1999-1(e)   7.1800 06/20/30  92,801 
 123,303  GE Capital Mortgage Services Inc 1999-HE1 Trust(d)   6.7000 04/25/29  128,432 
 1,057,763  Imc Home Equity Loan Trust 1997-5(d)   7.3100 11/20/28  1,091,852 
 318,825  Mastr Asset Backed Securities Trust 2005-NC1(c) US0001M + 0.750% 0.8420 12/25/34  314,005 
 319,154  Morgan Stanley A.B.S Capital I Inc Trust Series(c) US0001M + 3.900% 3.9920 03/25/33  321,860 
 12,025  Morgan Stanley Dean Witter Capital I Inc Trust(c) US0001M + 1.275% 1.3670 02/25/32  12,975 
 314,044  New Century Home Equity Loan Trust Series 2003-B(c) US0001M + 0.975% 1.0670 10/25/33  296,904 

  

See accompanying notes to financial statements. 

57

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)          
    HOME EQUITY — 3.8% (Continued)          
 67,338  NovaStar Mortgage Funding Trust Series 2003-2(c) US0001M + 4.725% 4.8170 09/25/33 $70,197 
 185,927  Renaissance Home Equity Loan Trust 2002-3(c) US0001M + 2.550% 2.6420 12/25/32  187,853 
 50,541  Saxon Asset Securities Trust 2001-2(e)   7.1700 03/25/29  56,079 
 66,981  Saxon Asset Securities Trust 2003-3(c) US0001M + 2.400% 2.4920 12/25/33  67,172 
 308,831  Saxon Asset Securities Trust 2003-3(e)   4.4940 12/25/33  310,680 
 546,810  Security National Mortgage Loan Trust 2005-2(a),(d)   6.2130 02/25/36  571,738 
 362,548  Security National Mortgage Loan Trust 2006-3(a)   5.8300 01/25/37  361,797 
 213,328  Southern Pacific Secured Asset Corporation(d)   7.3200 05/25/27  225,083 
             9,577,695 
    MANUFACTURED HOUSING — 0.6%          
 1,000,000  Cascade MH Asset Trust 2019-MH1 Series 2019-MH1 M(a),(d)   5.9850 11/01/44  1,052,367 
 597,888  Mid-State Capital Corp 2004-1 Trust(d)   8.1140 08/15/37  646,474 
             1,698,841 
    NON AGENCY CMBS — 12.5%          
 723,000  Arbor Multifamily Mortgage Securities Trust(a),(d)   1.7500 05/15/53  621,843 
 1,000,000  Arbor Multifamily Mortgage Securities Trust(a),(d)   1.7500 05/15/53  827,271 
 381,000  BAMLL Re-REMIC Trust 2016-FRR13(a),(d)   1.5520 08/27/45  376,935 
 175,000  Bancorp Commercial Mortgage 2018-CRE3 Trust Series 2018-CR3 D(a),(c) US0001M + 2.700% 2.8010 01/15/33  174,258 
 315,711  Bayview Commercial Asset Trust 2004-1(a),(c) US0001M + 0.540% 0.6320 04/25/34  311,748 
 188,973  Bayview Commercial Asset Trust 2004-2(a),(c) US0001M + 1.770% 1.8620 08/25/34  188,608 
 75,834  Bayview Commercial Asset Trust 2005-2(a),(c) US0001M + 1.725% 1.8170 08/25/35  70,812 
 1,316,478  Bayview Commercial Asset Trust 2007-2(a),(c) US0001M + 0.370% 0.4620 07/25/37  1,164,884 
 585,903  Bayview Commercial Asset Trust 2007-3(a),(c) US0001M + 0.340% 0.4320 07/25/37  538,523 
 1,427,345  Bayview Commercial Asset Trust 2007-3(a),(c) US0001M + 0.500% 0.5920 07/25/37  1,283,378 
 330,000  BMD2 Re-Remic Trust 2019-FRR1(a),(d)   3.4970 05/25/52  330,627 
 150,000  CFCRE Commercial Mortgage Trust 2011-C2(a),(d)   5.7480 12/15/47  147,671 
 1,990,236  CG-CCRE Commercial Mortgage Trust 2014-FL1(a),(c) US0001M + 1.150% 1.2510 06/15/31  1,930,529 
 748,566  CG-CCRE Commercial Mortgage Trust 2014-FL2(a),(c) US0001M + 1.854% 1.9550 11/15/31  718,036 
 175,000  COMM 2012-LC4 Mortgage Trust(d)   4.9340 12/10/44  176,478 
 1,846,823  COMM 2013-GAM Mortgage Trust(a),(d)   3.3670 02/10/28  1,843,957 
 1,000,000  CSAIL 2017-CX10 Commercial Mortgage Trust(a),(d)   3.9440 11/15/37  971,732 
 120,000  CSMC 2014-USA OA, LLC(a),(d)   4.3730 09/15/37  115,975 

  

See accompanying notes to financial statements. 

58

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

May 31, 2021

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)       
    NON AGENCY CMBS — 12.5% (Continued)       
 100,000  CSMC 2018-SITE(a),(d)   4.5350 04/15/36 $101,000 
 128,092  FREMF 2018-KF52 Mortgage Trust(a),(c) US0001M + 1.950% 2.0570 09/25/28  123,130 
 595,000  GS Mortgage Securities Trust 2014-GC18(d)   4.8850 01/10/47  567,915 
 26,000  GS Mortgage Securities Trust 2014-GC20(d)   4.9560 04/10/47  25,742 
 500,000  Harvest Commercial Capital Loan Trust 2019-1(a),(d)   5.7300 11/25/31  438,865 
 2,366,000  Hudsons Bay Simon JV Trust 2015-HBS(a),(d)   3.9140 08/05/34  2,173,925 
 128,833  JP Morgan Chase Commercial Mortgage Securities(a),(c) US0001M + 3.750% 3.8510 05/15/28  119,795 
 331,786  JP Morgan Chase Commercial Mortgage Securities(a),(d)   3.9770 10/15/45  332,597 
 500,000  JP Morgan Chase Commercial Mortgage Securities(a),(d)   3.2500 04/15/46  305,823 
 137,582  JP Morgan Chase Commercial Mortgage Securities(a),(d)   5.3840 07/15/46  137,434 
 1,169,536  JP Morgan Chase Commercial Mortgage Securities Series 2006-LDP9 Class A-MS(d)   5.3370 05/15/47  947,324 
 692,531  JP Morgan Chase Commercial Mortgage Securities(d)   5.8750 06/15/49  308,001 
 193,000  JP Morgan Chase Commercial Mortgage Securities(a),(d)   5.5230 02/15/46  83,109 
 177,000  LB-UBS Commercial Mortgage Trust 2007-C6(d)   6.2600 07/15/40  118,823 
 273,000  Morgan Stanley Bank of America Merrill Lynch Trust(d)   3.7080 05/15/46  284,713 
 4,315,000  Morgan Stanley Bank of America Merrill Lynch Trust(d)   4.3510 08/15/46  4,258,422 
 200,000  Morgan Stanley Capital I Trust 2015-MS1(a),(d)   4.0310 05/15/48  181,485 
 49,424  Multi Security Asset Trust, L.P. Commercial(a),(d)   4.7800 11/28/35  16,116 
 2,000,000  ReadyCap Commercial Mortgage Trust 2015-SBC2(a),(d)   5.1370 06/25/55  2,027,038 
 445,000  UBS-Barclays Commercial Mortgage Trust 2012-C2 Series 2012-C2 D(a),(d)   4.8870 05/10/63  277,144 
 171,000  UBS-Barclays Commercial Mortgage Trust 2012-C4(a),(d)   4.4670 12/10/45  124,196 
 3,010,583  Velocity Commercial Capital Loan Trust 2015-1(a),(d)   7.2170 06/25/45  3,065,018 
 2,144,000  Velocity Commercial Capital Loan Trust 2016-2(a),(d)   8.2400 10/25/46  2,235,701 
 2,445,932  Wachovia Bank Commercial Mortgage Trust Series(a),(f)   0.6210 07/15/41  5,445 
 220,000  WFRBS Commercial Mortgage Trust 2011-C4(a),(d)   5.1340 06/15/44  215,158 
 260,000  WFRBS Commercial Mortgage Trust 2011-C5(a),(d)   5.7090 11/15/44  261,374 
 2,322,000  WFRBS Commercial Mortgage Trust 2012-C7(d)   4.7380 06/15/45  2,165,777 
 100,000  WFRBS Commercial Mortgage Trust 2014-C24(d)   4.2040 11/15/47  102,124 
             32,796,459 
    OTHER ABS— 0.7%          
 300,000  Finance of America HECM Buyout 2021-HB1 Series 2021-HB1 M3(a),(d)   3.6400 02/25/31  299,718 
 5,424,000  LendingClub Issuance Trust Series 2016-NP1(a),(g)    06/15/22   
 98,019  Longtrain Leasing III, LLC 2015-1 Series 2015-1A Class A2(a),(d)   4.0600 01/15/45  99,892 

  

See accompanying notes to financial statements. 

59

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    ASSET BACKED SECURITIES — 67.3% (Continued)      
    OTHER ABS — 0.7%          
 750,000  Mercury Financial Credit Card Master Trust Series 2021-1AB(a),(d)   2.3300 03/20/26 $751,290 
 317,984  Sprite 2017-1 Ltd.(a),(d)   4.2500 12/15/37  319,227 
 474,285  TRIP Rail Master Funding, LLC Series 2011-1A Class A2(a),(d)   6.0240 07/15/41  476,560 
             1,946,687 
    RESIDENTIAL MORTGAGE — 1.9%          
 1,705,842  Belvedere SPV Srl(c) EUR006M + 3.250% 2.7270 12/31/38  1,920,211 
 300,000  CFMT 2020-HB3, LLC(a),(d)   6.2840 05/25/30  312,612 
 10,725  Chase Funding Trust Series 2002-4(c) US0001M + 0.740% 0.8320 10/25/32  10,666 
 123,909  Credit-Based Asset Servicing and Securitization, LLC(c) US0001M + 2.775% 2.8670 03/25/34  129,404 
 81,941  GE-WMC Asset-Backed Pass-Through Certificates Series 2005-2(c) US0001M + 0.660% 0.7520 12/25/35  80,690 
 99,508  GSAMP Trust 2002-WF(c) US0001M + 1.100% 1.1990 10/20/32  99,627 
 286,763  Interstar Millennium Series 2004-4E Trust(c) EUR003M + 0.400%  11/14/36  331,412 
 178,349  Long Beach Mortgage Loan Trust 2003-2(c) US0001M + 2.850% 2.9420 06/25/33  183,608 
 100,000  Mastr Specialized Loan Trust(a),(c) US0001M + 0.750% 0.8420 11/25/35  99,918 
 3,635  Mastr Specialized Loan Trust(a),(e)   5.7040 11/25/35  3,632 
 628,565  RAAC Series 2005-SP2 Trust(c) US0001M + 0.600% 0.6920 06/25/44  544,019 
 781,530  RAAC Series 2007-RP3 Trust(a),(c) US0001M + 0.380% 0.4720 10/25/46  768,639 
 527,273  Structured Asset Investment Loan Trust 2003-BC9(c) US0001M + 3.150% 3.2420 08/25/33  547,133 
             5,031,571 
    STUDENT LOANS — 0.7%          
 39,172  AccessLex Institute(c) US0003M + 0.700% 0.8760 01/25/43  34,705 
 132,717  Collegiate Funding Services Education Loan Trust(c) US0003M + 0.300% 0.4930 12/28/37  119,784 
 760,000  EdLinc Student Loan Funding Trust 2012-1(a),(c) US0001M + 4.240% 4.3320 11/26/40  880,961 
 579,078  EdLinc Student Loan Funding Trust 2017-A(a),(c) Prime Rate - 1.150% 2.1000 12/01/47  545,214 
 63,132  National Collegiate Trust 2005-GATE (The)(a),(c) US0001M + 0.450% 0.5410 04/26/23  55,748 
 38,222  PHEAA Student Loan Trust 2015-1(a),(c) US0001M + 0.600% 0.6920 10/25/41  38,124 
 37,935  SLM Student Loan Trust 2005-8(c) US0003M + 0.310% 0.4860 01/25/55  35,762 
             1,710,298 
    WHOLE BUSINESS — 0.1%          
 186,639  Business Loan Express Business Loan Trust 2007-A(a),(c) US0001M + 0.400% 0.4990 10/20/40  173,775 
         
    TOTAL ASSET BACKED SECURITIES (Cost $171,072,307)  176,265,048 

  

See accompanying notes to financial statements. 

60

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021

  

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
   COLLATERALIZED MORTGAGE OBLIGATIONS — 1.0%   
   CMBS — 0.8%       
 847,054  Freddie Mac Multifamily Structured Pass Through(f)   2.3230 05/25/47 $131,196 
 192,532  FREMF 2018-KF46(a),(c) US0001M + 1.950% 2.0570 03/25/28  187,113 
 915,566  Government National Mortgage Association   3.0000 11/16/31  932,554 
 183,495  Government National Mortgage Association(f)   0.8840 04/16/53  3,516 
 1,000,000  Multifamily Connecticut Avenue Securities Trust Series 2019-01 M10(a),(c) US0001M + 3.250% 3.3420 10/15/49  1,011,369 
             2,265,748 
    CMO — 0.2%          
 30,774  Freddie Mac Structured Pass-Through Certificates(c) 12 Month TA + 1.200% 1.3420 10/25/44  31,488 
 790,291  Government National Mortgage Association(f)   1.7540 10/20/62  34,110 
 1,947,218  Government National Mortgage Association(f)   2.1480 11/20/66  164,419 
 186,716  JP Morgan Tax-Emept Pass-Through Trust Series(a),(d)   3.0000 10/27/42  188,452 
             418,469 
               
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,359,128)   2,684,217 
               
    CORPORATE BONDS — 17.2%      
    ASSET MANAGEMENT — 0.3%    
 70,000  Morgan Stanley & Company, LLC(c) (5*(USISDA30*USISDA02)) 1.1250 01/21/26  70,700 
 274,000  Nomura America Finance, LLC(d)   7.5960 12/31/33  270,575 
 65,000  Nomura America Finance, LLC(c) (4*(USISDA30-USISDA02)) 4.1200 02/28/34  64,103 
 355,000  Nomura America Finance, LLC(d)   4.3560 07/29/34  339,912 
             745,290 
    BANKING — 6.3%        
 190,000  Bank of Nova Scotia (The)(c) (4*(USISDA30-USISDA02)) 1.7960 06/27/33  161,975 
 120,000  Bank of Nova Scotia (The)(c) 4*(CMS30-CMS2) 5.8800 01/30/34  115,200 
 100,000  Bank of Nova Scotia (The)(d)   4.8800 08/28/34  88,500 
 75,000  Barclays Bank plc(g)    01/23/26  75,254 
 525,000  Barclays Bank plc(d)   7.3690 09/13/28  519,750 
 50,000  Barclays Bank plc(d)   5.4920 10/18/28  49,375 
 75,000  Barclays Bank plc(d)   4.4880 08/15/33  66,375 
 58,000  Barclays Bank plc(d)   4.8120 04/25/34  51,330 
 70,000  Barclays Bank plc(d)   6.5840 07/31/34  67,900 
 177,000  BNP Paribas S.A.(c) 4*(CMS30-CMS5) 4.1400 04/30/33  171,690 

  

See accompanying notes to financial statements. 

61

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

  

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
   CORPORATE BONDS — 17.2% (Continued)    
   BANKING — 6.3% (Continued)     
 430,000  Citigroup, Inc.(d)   3.2840 06/11/33 $371,950 
 1,037,000  Citigroup, Inc.(d)   4.9950 11/26/33  1,011,075 
 507,000  Citigroup, Inc.(d)   6.2720 12/29/34  490,523 
 55,000  Citigroup, Inc.(d)   10.0000 08/31/35  54,038 
 49,000  Credit Agricole Corporate & Investment Bank S.A.(c) 10*(CMS30-CMS2) 4.2900 09/29/32  49,191 
 74,000  Credit Agricole Corporate & Investment Bank S.A.(d)   10.0000 12/28/32  73,630 
 300,000  Credit Suisse A.G.(d)   1.7100 09/30/30  300,000 
 655,000  Credit Suisse A.G.(d)   9.8640 04/29/31  693,481 
 869,000  Credit Suisse A.G.(d)   8.0000 10/31/31  921,140 
 120,000  Deutsche Bank A.G.(d)   1.9400 01/31/33  98,400 
 245,000  Deutsche Bank A.G.(d)   5.9960 06/30/34  211,925 
 1,163,000  Deutsche Bank A.G.(c) (4*(USISDA30-USISDA02)) 4.8800 08/28/34  1,000,180 
 3,900,000  Deutsche Bank A.G.(d)   6.7640 10/31/34  3,802,499 
 961,000  Deutsche Bank A.G.(d)   6.0440 11/26/34  912,950 
 633,000  Deutsche Bank A.G.(d)   9.4300 03/27/35  595,020 
 75,000  Deutsche Bank A.G.(d)   3.9000 12/23/35  71,250 
 100,000  HSBC USA, Inc.(d)   7.3310 05/21/29  100,500 
 964,000  International Bank for Reconstruction & Development(d)   1.9320 06/30/34  889,290 
 200,000  Lloyds Bank plc(d)   2.4640 01/31/33  168,000 
 136,000  Lloyds Bank plc(d)   5.8120 10/25/33  130,900 
 655,000  Lloyds Bank plc(d)   5.5720 11/27/33  614,858 
 177,000  Natixis US Medium-Term Note Program, LLC(d)   1.0800 04/30/34  174,566 
 1,414,000  Natixis US Medium-Term Note Program, LLC(c) (7.5*(USISDA30-USISDA05)) 6.1720 07/31/34  1,378,650 
 194,000  Natixis US Medium-Term Note Program, LLC(d)   10.0000 03/31/36  194,000 
 125,000  NatWest Markets plc(d)   6.1080 08/18/31  121,875 
 100,000  NatWest Markets plc(d)   5.0440 08/26/31  90,000 
 185,000  SG Structured Products, Inc. (g)    07/29/31  174,363 
 644,000  Societe Generale S.A.(d)   2.4920 10/29/32  635,950 
 33,000  Societe Generale S.A.(d)   12.5000 01/31/35  32,340 
             16,729,893 
    INSTITUTIONAL FINANCIAL SERVICES — 6.1%    
 41,000  Citigroup Global Markets Holdings, Inc.(d)   2.1040 04/25/32  40,427 
 50,000  Citigroup Global Markets Holdings, Inc.(d)   10.0000 07/29/32  49,500 
 35,000  Citigroup Global Markets Holdings, Inc.(d)   1.7850 11/22/32  33,600 

  

See accompanying notes to financial statements. 

62

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

May 31, 2021

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
    CORPORATE BONDS — 17.2% (Continued)    
    INSTITUTIONAL FINANCIAL SERVICES — 6.1% (Continued)    
 30,000  Citigroup Global Markets Holdings, Inc.(d)   10.0000 01/31/34    $29,850 
 150,000  Citigroup Global Markets Holdings, Inc.(d)   10.0000 03/29/34  145,500 
 800,000  Citigroup Global Markets Holdings, Inc.(d)   7.5000 07/31/34  780,000 
 50,000  Citigroup Global Markets Holdings, Inc.   7.4200 12/14/36  49,188 
 365,000  Goldman Sachs Group, Inc. (The)(d)   5.8950 03/19/29  354,963 
 30,000  Jefferies Group, LLC / Jefferies Group Capital(d)   10.0000 06/30/37  31,800 
 229,000  Jefferies Group, LLC / Jefferies Group Capital(c) (9*(USISDA10-USISDA02)) 8.0000 08/31/37  239,305 
 150,000  Jefferies Group, LLC / Jefferies Group Capital(d)   10.0000 08/31/37  159,000 
 248,000  Jefferies Group, LLC / Jefferies Group Capital(d)   8.0000 09/30/37  254,510 
 110,000  Jefferies Group, LLC / Jefferies Group Capital(d)   9.0000 01/31/38  112,888 
 762,000  Jefferies Group, LLC / Jefferies Group Capital(c) (7.5*(USISDA30-USISDA02)) 2.7510 02/28/38  641,985 
 280,000  Jefferies Group, LLC / Jefferies Group Capital(c) US0003M + 4.000% 5.0000 03/20/40  282,063 
 115,000  Morgan Stanley(d)   8.0000 03/21/27  124,775 
 1,015,000  Morgan Stanley(d)   3.8960 09/27/28  1,017,537 
 3,588,000  Morgan Stanley(c) (10*(USISDA30-USISDA02)) 10.0000 04/30/30  3,740,489 
 1,388,000  Morgan Stanley(c) (10*(USISDA30-USISDA02)) 10.0000 05/29/30  1,446,989 
 363,000  Morgan Stanley(d)   10.0000 06/30/30  375,705 
 182,000  Morgan Stanley(c) (8*(USISDA30-USISDA02)) 10.0000 07/31/30  187,460 
 290,000  Morgan Stanley(c) (8.5*(USISDA30-USISDA02)) 10.0000 08/19/30  299,063 
 216,000  Morgan Stanley(c) (8*(USISDA30-USISDA02)) 10.0000 08/31/30  222,480 
 285,000  Morgan Stanley(d)   10.0000 09/30/30  291,769 
 171,000  Morgan Stanley(d)   8.7650 10/30/30  173,286 
 151,000  Morgan Stanley(c) (5*(USISDA30-USISDA02)) 12.0000 10/30/30  154,586 
 50,000  Morgan Stanley(d)   8.7650 11/30/30  49,500 
 20,000  Morgan Stanley(d)   8.0000 03/31/31  21,400 
 89,000  Morgan Stanley(d)   8.5000 05/31/31  96,120 
 100,000  Morgan Stanley(d)   9.0000 06/30/31  109,250 
 114,000  Morgan Stanley(d)   8.5000 07/29/31  121,980 
 228,200  Morgan Stanley(d)   5.8250 09/16/31  245,315 
 117,000  Morgan Stanley(d)   10.0000 01/30/34  112,905 
 220,000  Morgan Stanley(d)   7.0120 07/31/34  209,275 
 121,000  Morgan Stanley(d)   8.5350 08/29/34  116,911 
 120,000  Morgan Stanley(d)   8.7650 09/30/34  115,800 

  

See accompanying notes to financial statements. 

63

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021 

 

Principal      Coupon Rate     
Amount ($)    Spread (%) Maturity Fair Value 
   CORPORATE BONDS — 17.2% (Continued)     
   INSTITUTIONAL FINANCIAL SERVICES — 6.1% (Continued)     
 238,000  Morgan Stanley(c) (5*(USISDA30-USISDA02)) 8.8400 10/08/34 $229,075 
 233,000  Morgan Stanley(d)   10.0000 10/31/34  228,923 
 30,000  Morgan Stanley(c) (7*(USISDA30-USISDA02)) 8.4500 11/28/34  28,875 
 304,000  Morgan Stanley(c) (4.5*(USISDA30-USISDA02)) 10.0000 01/30/35  317,680 
 438,000  Morgan Stanley(c) (6*(USISDA30-USISDA02)) 10.0000 03/31/35  425,955 
 532,000  Morgan Stanley(c) (9*(USISDA30-USISDA02)) 9.0000 04/30/35  578,550 
 73,000  Morgan Stanley(d)   9.0000 05/29/35  79,205 
 120,000  Morgan Stanley(d)   9.0000 06/30/35  130,800 
 268,000  Morgan Stanley(d)   9.0000 07/31/35  290,780 
 79,000  Morgan Stanley(d)   9.0000 09/30/35  83,740 
 109,000  Morgan Stanley(d)   9.0000 11/30/35  118,810 
 134,000  Morgan Stanley(c) (9*(USISDA30-USISDA02)) 9.0000 12/23/35  145,725 
 816,000  Morgan Stanley(c) (10*(USISDA30-USISDA02)) 10.0000 02/29/36  834,360 
             15,929,652 
    SPECIALTY FINANCE — 4.5%        
 498,000  Morgan Stanley Finance, LLC(d)   14.0000 04/30/33  521,655 
 541,000  Morgan Stanley Finance, LLC(c) (10*(USISDA30-USISDA02)) 10.0000 06/30/36  559,935 
 215,000  Morgan Stanley Finance, LLC(c) (15*(USISDA30-USISDA02)) 10.0000 07/29/36  226,825 
 2,136,000  Morgan Stanley Finance, LLC(c) (20*(USISDA30-USISDA02)) 9.0000 08/31/36  2,274,840 
 289,000  Morgan Stanley Finance, LLC(d)   9.0000 09/30/36  307,785 
 3,642,000  Morgan Stanley Finance, LLC(c) (20*(USISDA30-USISDA02)) 9.0000 11/29/36  3,878,729 
 975,000  Morgan Stanley Finance, LLC(c) (20*(USISDA30-USISDA02)) 9.0000 01/31/37  1,038,375 
 199,000  Morgan Stanley Finance, LLC(c) (20*(USISDA30-USISDA02)) 8.8760 04/28/37  200,188 
 267,000  Morgan Stanley Finance, LLC(d)   8.0000 07/31/37  284,355 
 158,000  Morgan Stanley Finance, LLC(d)   8.0000 09/29/37  168,270 
 996,000  Morgan Stanley Finance, LLC(c) 10*(CMS30-CMS5) 9.8630 09/29/37  1,030,860 
 600,908  Select Notes Trust LT 2003-1(d)   5.9100 02/22/33  645,291 
 585,028  US Capital Funding II Ltd. Capital Funding II(a),(c) US0003M + 0.750% 0.9260 08/01/34  557,240 
             11,694,348 
               
    TOTAL CORPORATE BONDS (Cost $41,845,258)    45,099,183 

  

See accompanying notes to financial statements. 

64

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021

  

Principal    Coupon Rate     
Amount ($)    (%) Maturity Fair Value 
   NON U.S. GOVERNMENT & AGENCIES — 0.1%      
   SOVEREIGN — 0.1%       
 24,086  Argentine Republic Government International Bond 1.0000 07/09/29 $9,393 
 485,000  Argentine Republic Government International Bond(e) 0.1250 07/09/35  161,025 
    TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $295,745)  170,418 
           
    U.S. GOVERNMENT & AGENCIES — 7.5%        
             
    AGENCY MBS OTHER — 0.0%        
 39,449  Fannie Mae Pool 257064 4.5000 11/01/37  40,883 
             
    U.S. TREASURY BILLS — 5.0%        
 10,000,000  United States Treasury Bill 0.0036 08/26/21  9,999,821 
 3,000,000  United States Treasury Bill 0.0181 11/26/21  2,999,592 
           12,999,413  
            
    U.S. TREASURY NOTES — 2.5%        
 4,000,000  United States Treasury Note 0.7500 03/31/26  3,997,500 
 3,000,000  United States Treasury Note 1.6250 11/15/50  2,571,797 
           6,569,297 
             
    TOTAL U.S. GOVERNMENT & AGENCIES (Cost $20,038,207)  19,609,593 
         
    TOTAL INVESTMENTS - 93.1% (Cost $235,610,645) $243,828,459 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 6.9% 18,025,784 
    NET ASSETS – 100.0%      $261,854,243 

  

CREDIT DEFAULT SWAP AGREEMENTS
               Amortized Upfront Unrealized 
Description Counterparty Fixed Deal (Pay) Rate  Maturity Date Notional Value  Fair Value  Payments Paid Depreciation 
MS CDS USD SR 5Y D14 Goldman Sachs  1.00%  6/20/2025 $20,000,000   (432,186) (318,844) $(152,786)

 

LLC - Limited Liability Company

 

LTD - Limited Company

 

PLC - Public Limited Company

 

REMIC - Real Estate Mortgage Investment Conduit

 

S/A - Société Anonyme

   

See accompanying notes to financial statements.

65

 

JAMES ALPHA STRUCTURED CREDIT VALUE FUND 

SCHEDULE OF INVESTMENTS (Unaudited) (Continued) 

May 31, 2021

 

12 Month TAFederal Reserve US 12 Month Cumulative Avg 1 Year CMT
  
CMS22 Year Constant Maturity Swap Rate
  
CMS55 Year Constant Maturity Swap Rate
  
CMS3030 Year Constant Maturity Swap Rate
  
COF 11Cost of Funds for the 11th District of San Francisco
  
EUR003MEuribor 3 Month ACT/360
  
EUR006MEuribor 6 Month ACT/360
  
US0001MICE LIBOR USD 1 Month
  
US0003MICE LIBOR USD 3 Month
  
US0006MICE LIBOR USD 6 Month
  
Prime RatePrime Lending Rate by Country United Sta