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Natixis Funds Trust II

Filed: 4 Mar 21, 2:41pm

 

 

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: 811-00242

 

 

Natixis Funds Trust II

(Exact name of Registrant as specified in charter)

 

 

888 Boylston Street, Suite 800, Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: December 31

Date of reporting period: December 31, 2020

 

 

 


Item 1.

Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:


LOGO

 

LOGO

 

Annual Report

December 31, 2020

AlphaSimplex Global Alternatives Fund

AlphaSimplex Managed Futures Strategy Fund

AlphaSimplex Multi-Asset Fund

 

Table of Contents

Portfolio Review  1 
Portfolio of Investments  13 
Financial Statements  28 
Notes to Financial Statements  43 

 

LOGO


ALPHASIMPLEX GLOBAL ALTERNATIVES FUND

 

Managers Symbols
Alexander D. Healy, PhD Class A    GAFAX
David E. Kuenzi, CFA®* Class C    GAFCX
Peter A. Lee Class N    GAFNX
Philippe P. Lüdi, CFA®, PhD Class Y    GAFYX
Robert S. Rickard 
AlphaSimplex Group, LLC (Adviser) 

 

*

Effective December 31, 2020, David E. Kuenzi will no longer serve as a portfolio manager of the Fund. Additionally, effective December 31, 2020, Kathryn M. Kaminiski and Timothy J. Kang will join the portfolio management team of the Fund.

 

 

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indices.

 

 

Market Conditions

Given the onset of a global pandemic in 2020, the year was one with many different themes as the world sought to solve a global health crisis. The first quarter started off cautiously optimistic in equity markets. Equity markets surged to new highs while oil prices began to see the first signs of caution. Bond yields also began to fall as markets started to wonder how serious the Covid-19 crisis might be. In late February, volatility exploded across global markets in response to the global pandemic. Energy markets plummeted, as did yields, and equity markets spent over three weeks in crisis.

Towards the end of the first quarter, supported by fiscal and monetary intervention from central banks and policymakers around the world, the freefall halted and began to reverse. Over the rest of the year, equity markets rallied strongly, led by technology stocks and those businesses less fazed by a global health crisis. As risk-on sentiments entered the markets, the US dollar began to weaken against other global currencies. Commodities began to reflate.

The second quarter brought a continuation of the “V-shaped” (sharp) recovery, especially in domestic equities. A rise in longer yields and the Fed’s commitment to keep short-term rates near zero until 2022 led to a steepening of the yield curve. The dollar continued to fall, with some dispersion in both developed and emerging markets. In commodities, oil prices hit a historical low in April, with some futures prices even going to negative territory. Volatility remained high throughout the quarter.

Markets saw a strong reflationary theme in the third quarter, given continued economic recovery and impending fiscal stimulus. Global assets rose in response as the US dollar continued to weaken. Metals were in high demand, agricultural commodities strengthened significantly, and energies showed downward price pressure. Equity markets saw strong returns especially among the largest developed markets, with the Nasdaq strongly outpacing its peers due to technology stocks that continued to thrive during the pandemic. Volatility slowed slightly in comparison to the first and second quarter.

In the fourth quarter, unrest around the US presidential election, rising Covid-19 cases, and ongoing Brexit negotiations led to somewhat increased volatility in September and October. Markets weighed the balance between hope for a vaccine and fear of further lockdowns and restrictions. At the start of December hope seemed to prevail, with the election generally resolved and the development and testing of vaccines. Equity and commodity markets surged and the US dollar continued to weaken as risk-on themes dominated.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the AlphaSimplex Global Alternatives Fund returned -2.12% at net asset value. Although the Fund does not seek to track any particular index, the Barclay Fund of Funds Index may be used as a benchmark for performance analysis. This benchmark returned 7.46% for the same period. It is important to note that there are material differences between the Fund and this benchmark.

Explanation of Fund Performance

The Fund seeks to earn returns from sources like those that drive a typical diversified portfolio of hedge funds. Accordingly, the Fund employs two primary sets of strategies. The hedge fund consensus component seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as identified by a proprietary quantitative process. The Fund’s alternative risk premia1 (ARP) strategies, on the other hand, attempt to provide uncorrelated, alpha-like returns reflective of the diversifying and opportunistic trading strategies employed by hedge funds.

 

1 

Risk premia refers to the amount by which the return of a risky asset is expected to outperform the known return on a risk-free asset. Strategies that seek to replicate the premia of hedge fund strategies are known as alternative risk premia

 

1  |


 

When the Fund takes on a “long” exposure to a market, the long exposure generally profits as the price of the underlying security rises but incurs losses when the price falls. When the Fund takes on a “short” exposure, the short exposure generally experiences losses as the price of the underlying security rises but profits as the price falls. The Fund typically makes extensive use of futures and forward contracts on global stock indices, fixed income securities, currencies, and commodities, as well as long and short (through equity basket total return swaps and/or short sales) positions in single-name equities. As market events unfold, these exposures result in a profit or loss for the Fund.

During 2020, the Fund experienced a small loss while its benchmark earned positive returns. The pandemic was a driver of the Fund’s relative underperformance in two ways: First and foremost, the pandemic caused a very dramatic and volatile V-shaped collapse and rebound in stock indices. Because the Fund, which tends to have long exposure to equities, reduced the size of its positions as a risk management measure when volatility spiked, it participated more in the initial downside than in the subsequent upside. Second, the single-name equity portion of the portfolio had more exposure to stocks that underperformed amidst the initial shock of the pandemic than ones that outperformed, contributing to the Fund’s losses.

The ARP component of the portfolio includes a number of strategies designed to provide access to uncorrelated sources of return. In 2020, the ARP strategies overall contributed positively to performance despite the impact of the pandemic and the negative performance of the broader universe of ARP strategies.

The contribution from the Fund’s money market holdings was under 0.5%, as short-maturity interest rates fell due to actions from the Federal Reserve amidst the pandemic. The Fund’s portfolio is adjusted on a daily and monthly basis to incorporate new information about hedge funds’ exposures and changing market dynamics or to update risk premia positioning, and on a daily basis to control risk. The risk control mechanism is designed to target an average annual volatility of 9% or less – greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2020 was 7.5%, which is in line with our expectations and consistent with the long-run average level. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

Although 2020 ended on a strong economic note, the start of 2021 shows increased uncertainty. This is driven by increased Covid-19 cases, a slow start to the vaccine rollout, concerns around the US presidential transition, and other geopolitical questions such as the practical implications of the recent Brexit negotiations. After the run-up in risk assets in 2020, it remains to be seen how voracious investors’ risk appetite will be this year.

Fiscal and monetary policy will remain at the forefront of investors’ minds in 2021. Coordinated easing and market intervention of central banks around the world halted the correlated freefall in assets in the beginning of 2020, but the long-term implication of these interventions is yet to be felt.

Democratic leadership in the US may lead to a more globalist approach, including less friction on trade and more investment flow into emerging markets, particularly China. However, looser fiscal policy and the possibility of tax increases may lead to more risk on the inflationary front. There may also be a question as to whether expansionary fiscal and monetary policy can sustain the continued rally in risk assets.

 

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ALPHASIMPLEX GLOBAL ALTERNATIVES FUND

 

Hypothetical Growth of $100,000 Investment in Class Y Shares3

December 31, 2010 through December 31, 2020

 

LOGO

Average Annual Total Returns – December 31, 20203

 

      
                

Life of

Class N

   Expense Ratios4 
    1 Year   5 Years   10 Years   Gross   Net 
   
Class Y (Inception 9/30/08)             
NAV   -2.12   1.54   2.47      1.37   1.34
   
Class A (Inception 9/30/08)             
NAV   -2.38    1.30    2.21        1.62    1.59 
With 5.75% Maximum Sales Charge   -7.98    0.10    1.61          
   
Class C (Inception 9/30/08)             
NAV   -3.17    0.53    1.44        2.37    2.34 
With CDSC1   -4.12    0.53    1.44          
   
Class N (Inception 5/1/13)             
NAV   -2.06    1.59        2.22    1.31    1.29 
  
Comparative Performance             
Barclay Fund of Funds Index2   7.46    2.91    2.40    2.84           

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by BarclayHedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. The performance of the Index reflects the managed fees and other expenses of both the funds of funds in the Index and the hedge funds in which these fund of funds invest.

 

3

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/22. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND

 

Managers Symbols
Alexander D. Healy, PhD Class A    AMFAX
Kathryn M. Kaminski, PhD Class C    ASFCX
Philippe P. Lüdi, CFA®, PhD Class N    AMFNX
John C. Perry, PhD Class Y    ASFYX
Robert S. Rickard 
AlphaSimplex Group, LLC (Adviser) 

 

 

Investment Goal

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

 

 

Market Conditions

Given the onset of a global pandemic in 2020, the year was one with many different themes as the world sought to solve a global health crisis. The first quarter started off cautiously optimistic in equity markets. Equity markets surged to new highs while oil prices began to see the first signs of caution. Bond yields also began to fall as markets started to wonder how serious the Covid-19 crisis might be. In late February, volatility exploded across global markets in response to the global pandemic. Energy markets plummeted, as did yields, and equity markets spent over three weeks in crisis.

Towards the end of the first quarter, supported by fiscal and monetary intervention from central banks and policymakers around the world, the freefall halted and began to reverse. Over the rest of the year, equity markets rallied strongly, led by technology stocks and those businesses less fazed by a global health crisis. As risk-on sentiments entered the markets, the US dollar began to weaken against other global currencies. Commodities began to reflate.

The second quarter brought a continuation of the “V-shaped” recovery, especially in domestic equities. A rise in longer yields and the Fed’s commitment to keep short-term rates near zero until 2022 led to a steepening of the yield curve. The dollar continued to fall, with some dispersion in both developed and emerging markets. In commodities, oil prices hit a historical low in April, with some futures prices even going to negative territory. Volatility remained high throughout the quarter.

Markets saw a strong reflationary theme in the third quarter, given continued economic recovery and impending fiscal stimulus. Global assets rose in response as the US dollar continued to weaken. Metals were in high demand, agricultural commodities strengthened significantly, and energies showed downward price pressure. Equity markets saw strong returns especially among the largest developed markets, with the Nasdaq strongly outpacing its peers due to technology stocks that continued to thrive during the pandemic. Volatility slowed slightly in comparison to the first and second quarter.

In the fourth quarter, unrest around the US presidential election, rising Covid-19 cases, and ongoing Brexit negotiations led to somewhat increased volatility in September and October. Markets weighed the balance between hope for a vaccine and fear of further lockdowns and restrictions. At the start of December hope seemed to prevail, with the election generally resolved and the development and testing of vaccines. Equity and commodity markets surged and the US dollar continued to weaken as risk-on themes dominated.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of AlphaSimplex Managed Futures Strategy Fund returned 13.56% at net asset value. Although the Fund does not seek to track any particular index, the Credit Suisse Managed Futures Liquid Index may be used as a benchmark for performance analysis. This benchmark returned 1.81% over the same period. The SG Trend Index may also be used as a benchmark for performance analysis; this benchmark returned 6.28% over the same period. It is important to note that there are material differences between the Fund and these benchmarks.

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to identify trends in global stock, fixed income, currency, and commodity markets. When the Fund takes on a “long” exposure to a market, that exposure generally profits as the price of the underlying security rises but suffers losses when its price falls. When it takes on a “short” exposure, that exposure generally suffers losses as the price of the underlying security rises but profits as its price falls. The Fund uses derivative instruments, such as futures and forward contracts, to capture these exposures.

For the 12-month period that ended December 31, 2020, the Fund’s performance benefited from large moves in global markets. Gains came primarily from fixed income markets, commodity markets, and, to a lesser extent, currency markets. Losses came primarily from equity markets.

 

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ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND

 

In fixed income, the Fund saw gains in both US and international markets as global bond yields fell drastically during the height of the Covid-19 crisis in the first quarter. The Fund was able to retain most of these first-quarter gains as bond yields remained range bound for the remainder of the year.

Commodities provided gains across all sectors: energies, agricultural commodities, base metals, and precious metals. The Fund benefited from short positions in energies during the first quarter. The Fund also benefited from the strong reflationary theme in markets after equities began to recover, with strong gains from long positions in both base and precious metals. Agricultural commodities were also beneficial during the last quarter of 2020.

In currencies, the Fund benefited from short US dollar positions as the dollar weakened throughout the year. The gains were primarily driven by US dollar weakness versus European currencies, such as the euro and the Swedish krona, as well as other developed market currencies, such as the Australian dollar and New Zealand dollar. Losses came from positions in the Japanese yen and some emerging currencies such as the Mexican peso.

In equities, the Fund started the year with long positions and subsequently was caught in the drawdown stemming from the Covid-19 crisis. The Fund recovered some of these losses during the remainder of the year as equity markets rebounded from sharp losses in the first quarter. The largest losses were concentrated in international developed market equities, where the recovery was less pronounced than in North American and emerging market equities.

The contribution from the Fund’s money market holdings was approximately 0.6%, as short-maturity interest rates fell due to actions from the Federal Reserve amidst the pandemic. The Fund’s portfolio is adjusted on a daily basis to reflect market trends as well as to control risk.

The risk control mechanism is designed to target an annualized portfolio volatility of 17% or less. The Fund’s realized volatility in 2020 was 11.6%, which is consistent with our risk management objectives. We continue to scale the size of the Fund’s positions to keep total portfolio risk at or below its target.

Outlook

Although 2020 ended on a strong economic note, the start of 2021 shows increased uncertainty. This is driven by increased Covid-19 cases, a slow start to the vaccine rollout, concerns around the US presidential transition, and other geopolitical questions such as the practical implications of the recent Brexit negotiations. After the run-up in risk assets in 2020, it remains to be seen how voracious investors’ risk appetite will be this year.

Fiscal and monetary policy will remain at the forefront of investors’ minds in 2021. Coordinated easing and market intervention of central banks around the world halted the correlated freefall in assets in the beginning of 2020, but the long-term implication of these interventions is yet to be felt.

Democratic leadership in the US may lead to a more globalist approach, including less friction on trade and more investment flow into emerging markets, particularly China. However, looser fiscal policy and the possibility of tax increases may lead to more risk on the inflationary front. There may also be a question as to whether expansionary fiscal and monetary policy can sustain the continued rally in risk assets.

 

5  |


 

Hypothetical Growth of $100,000 Investment in Class Y Shares4

December 31, 2010 through December 31, 2020

 

LOGO

Average Annual Total Returns – December 31, 20204

 

      
    1 Year   5 Years   10 Years   

Life of

Class N

   Expense Ratios5 
  Gross   Net 
   
Class Y (Inception 7/30/10)             
NAV   13.56   1.65   2.85      1.53   1.45
   
Class A (Inception 7/30/10)             
NAV   13.27    1.39    2.58        1.79    1.70 
With 5.75% Maximum Sales Charge   6.81    0.21    1.98          
   
Class C (Inception 7/30/10)             
NAV   12.48    0.65    1.82        2.53    2.45 
With CDSC1   11.48    0.65    1.82          
   
Class N (Inception 5/01/17)             
NAV   13.77            4.03    1.36    1.36 
  
Comparative Performance             
Credit Suisse Managed Futures Liquid Index2   1.81    -1.11    0.66    -1.10      
SG Trend Index3   6.28    0.46    1.12    2.98           

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including equities, fixed-income, commodities and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index.

 

3

SG Trend Index is equal-weighted, reconstituted and rebalanced annually. The index calculates the net daily rate of return for a pool of Commodity Trading Advisors (CTAs) selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this index.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

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ALPHASIMPLEX MULTI-ASSET FUND

 

Managers Symbols
Alexander D. Healy, PhD Class A    DAAFX
John C. Perry* Class C    DACFX
Robert S. Rickard Class Y    DAYFX
Derek M. Schug, CFA® 
AlphaSimplex Group, LLC (Adviser) 

 

 

Investment Goal

The Fund seeks long-term capital appreciation. The secondary goal of the Fund is the protection of capital during unfavorable market conditions.

 

 

Market Conditions

Given the onset of a global pandemic in 2020, the year was one with many different themes as the world sought to solve a global health crisis. The first quarter started off cautiously optimistic in equity markets. Equity markets surged to new highs while oil prices began to see the first signs of caution. Bond yields also began to fall as markets started to wonder how serious the Covid-19 crisis might be. In late February, volatility exploded across global markets in response to the global pandemic. Energy markets plummeted, as did yields, and equity markets spent over three weeks in crisis.

Towards the end of the first quarter, supported by fiscal and monetary intervention from central banks and policymakers around the world, the freefall halted and began to reverse. Over the rest of the year, equity markets rallied strongly, led by technology stocks and those businesses less fazed by a global health crisis. As risk-on sentiments entered the markets, the US dollar began to weaken against other global currencies. Commodities began to reflate.

The second quarter brought a continuation of the “V-shaped” recovery, especially in domestic equities. A rise in longer yields and the Fed’s commitment to keep short-term rates near zero until 2022 led to a steepening of the yield curve. The dollar continued to fall, with some dispersion in both developed and emerging markets. In commodities, oil prices hit a historical low in April, with some futures prices even going to negative territory. Volatility remained high throughout the quarter.

Markets saw a strong reflationary theme in the third quarter, given continued economic recovery and impending fiscal stimulus. Global assets rose in response as the US dollar continued to weaken. Metals were in high demand, agricultural commodities strengthened significantly, and energies showed downward price pressure. Equity markets saw strong returns especially among the largest developed markets, with the Nasdaq strongly outpacing its peers due to technology stocks that continued to thrive during the pandemic. Volatility slowed slightly in comparison to the first and second quarter.

In the fourth quarter, unrest around the US presidential election, rising Covid-19 cases, and ongoing Brexit negotiations led to somewhat increased volatility in September and October. Markets weighed the balance between hope for a vaccine and fear of further lockdowns and restrictions. At the start of December hope seemed to prevail, with the election generally resolved and the development and testing of vaccines. Equity and commodity markets surged and the US dollar continued to weaken as risk-on themes dominated.

Performance Results

For the 12 months ended December 31, 2020, Class Y shares of the AlphaSimplex Multi-Asset Fund returned -7.03% at net asset value. Although the Fund does not seek to track any particular index, the Morningstar Global Allocation Index may be used as a benchmark for performance analysis. This benchmark returned 13.55% over the same period. It is important to note that there are material differences between the Fund and this benchmark.

Explanation of Fund Performance

The Fund uses a set of proprietary quantitative models to invest in global stock, fixed income, and currency markets. The Fund’s investment process was adjusted at the beginning of May while maintaining the overall investment objective. These changes were made to improve the Fund’s diversification potential when used as a component of an overall investment portfolio. The changes included enhancing the Fund’s risk management, expanding its investment universe, increasing the number of systematic models used, and allowing the Fund to take short positions. Our goal with these changes was for investors to consider the Fund as an alternative investment strategy as opposed to a more traditional asset allocation strategy.

The Fund’s strategy was to vary its asset class exposures according to three types of systematic investment models: core, trend, and diversifying. The core models provide risk-managed exposures to stocks and bonds through the use of exchange-traded funds and derivative instruments, such as futures contracts. The trend models look to capture momentum in prices by adjusting exposures based

 

7  |


 

on the performance and risk behavior of individual assets over multiple horizons using several different mathematical techniques. Finally, additional models that seek to identify opportunities with inputs other than trend make up the remainder of the strategy. The Fund’s strategy is to overweight and/or underweight global stocks, bonds and currencies, including the use of short exposures, within this universe based on these models.

Prior to the Fund’s strategy changes in May, the biggest detractor from performance came from its average overweight to global stocks during the Covid-19-induced equity drawdown in February and March. The Fund’s stock exposures contributed positively to absolute performance since May. However, due primarily to the elevated volatility and poor price trends over the prior months, the Fund maintained a significantly lower exposure to stocks than its benchmark throughout the period, leading to smaller relative gains.

The Fund’s bond exposure contributed positively to performance by being overweight relative to the benchmark for the majority of the year. Holding higher exposures to bonds during the first seven months of the year contributed the majority of the Fund’s bond-related gains. The Fund’s bond exposures peaked in early November as intermediate and longer-term yields were generally rising during the last several months of the year. Currencies detracted overall from performance.

Each of the three model sets generated positive returns for the Fund between May and year-end, although they all underperformed the benchmark during this period. Additionally, since May the Fund seeks to maintain an annualized volatility of 13% or less. The Fund’s realized volatility in 2020 was 20.1%; the realized volatility since May 1, 2020 was 7.3%, which was below the benchmark’s 9.5% over the same period. Because we use historical volatility to estimate future volatility, we will generally take smaller position sizes coming out of high-volatility periods like the first part of this year. This prevented the Fund from taking larger exposures, especially in stocks. While modest, the contribution from the Fund’s money market holdings was positive over the year.

The Fund closed as of January 14, 2021, and as it closed, primary consideration was given to clients and their interests. There was no unusual market action that affected our trading of the portfolio during liquidation. All Fund assets were subsequently redeemed or distributed to Fund shareholders.

Hypothetical Growth of $100,000 Investment in Class Y Shares4

November 30, 2015 (inception) through December 31, 2020

 

LOGO

See notes to chart on page 9.

 

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ALPHASIMPLEX MULTI-ASSET FUND

 

Average Annual Total Returns – December 31, 20204

 

     
                Expense Ratios5 
  
    1 Year   5 Years   Life of Fund   Gross   Net 
   
Class Y (Inception 11/30/15)           
NAV   -7.03   4.11   3.78   1.42   0.95
   
Class A (Inception 11/30/15)           
NAV   -7.28    3.86    3.53    1.67    1.20 
With 5.75% Maximum Sales Charge   -12.65    2.64    2.34      
   
Class C (Inception 11/30/15)           
NAV   -8.04    3.08    2.75    2.43    1.95 
With CDSC1   -8.93    3.08    2.75           
  
Comparative Performance           
Morningstar® Global Allocation IndexSM2   13.55    9.76    9.35      
Blended Index3   13.31    9.34    8.88           

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com/performance. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

 

1

Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase.

 

2

The Morningstar® Global Allocation IndexSM represents a diverse multi-asset-class portfolio of liquid global asset classes that reflects the global investment opportunities available to an investor with a moderate risk tolerance.

 

3

The Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI World Index (Net)/40% Bloomberg Barclays U.S. Aggregate Bond Index. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancing of the Fund’s investment portfolio, and the relative weightings of the asset classes in the Fund will generally differ to some extent from the weightings in the Blended Index.

 

4

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/21. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

9  |


ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Natixis Funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Natixis Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Natixis Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

|  10


UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from July 1, 2020 through December 31, 2020. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.

The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

 

ALPHASIMPLEX GLOBAL ALTERNATIVES FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,055.50    $7.70 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.65    $7.56 
Class C       
Actual   $1,000.00    $1,051.60    $11.55 
Hypothetical (5% return before expenses)   $1,000.00    $1,013.88    $11.34 
Class N       
Actual   $1,000.00    $1,056.70    $6.15 
Hypothetical (5% return before expenses)   $1,000.00    $1,019.15    $6.04 
Class Y       
Actual   $1,000.00    $1,057.00    $6.41 
Hypothetical (5% return before expenses)   $1,000.00    $1,018.90    $6.29 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.49%, 2.24%, 1.19% and 1.24% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

11  |


ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,105.20    $9.00 
Hypothetical (5% return before expenses)   $1,000.00    $1,016.59    $8.62 
Class C       
Actual   $1,000.00    $1,101.00    $12.94 
Hypothetical (5% return before expenses)   $1,000.00    $1,012.82    $12.40 
Class N       
Actual   $1,000.00    $1,107.00    $7.15 
Hypothetical (5% return before expenses)   $1,000.00    $1,018.35    $6.85 
Class Y       
Actual   $1,000.00    $1,107.30    $7.68 
Hypothetical (5% return before expenses)   $1,000.00    $1,017.85    $7.35 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.70%, 2.45%, 1.35% and 1.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period).

 

ALPHASIMPLEX MULTI-ASSET FUND  BEGINNING
ACCOUNT VALUE
7/1/2020
   ENDING
ACCOUNT VALUE
12/31/2020
   EXPENSES PAID
DURING PERIOD*
7/1/2020 – 12/31/2020
 
Class A       
Actual   $1,000.00    $1,093.20    $6.05 
Hypothetical (5% return before expenses)   $1,000.00    $1,019.36    $5.84 
Class C       
Actual   $1,000.00    $1,089.30    $9.98 
Hypothetical (5% return before expenses)   $1,000.00    $1,015.59    $9.63 
Class Y       
Actual   $1,000.00    $1,094.70    $4.74 
Hypothetical (5% return before expenses)   $1,000.00    $1,020.61    $4.57 

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90% and 0.90% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 366 (to reflect the half-year period). Expense ratios do not include the expenses of the underlying funds in which the Fund invests. The annualized expense ratios, as stated in the fee table of the Prospectus, may differ from the expense ratios disclosed in this report.

 

|  12


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund

 

Shares   Description      
Value (†)
 
 Common Stocks — 52.0% of Net Assets 
  Aerospace & Defense — 0.3%

 

 23,627   Howmet Aerospace, Inc.  $674,315 
 2,187   Lockheed Martin Corp.   776,341 
    

 

 

 
     1,450,656 
    

 

 

 
  Air Freight & Logistics — 0.7%

 

 8,685   C.H. Robinson Worldwide, Inc.   815,261 
 28,626   Expeditors International of Washington, Inc.   2,722,619 
    

 

 

 
     3,537,880 
    

 

 

 
  Auto Components — 0.2%

 

 22,561   Gentex Corp.   765,495 
    

 

 

 
  Automobiles — 0.3%

 

 78,559   Fisker, Inc.(a)   1,150,889 
 380   Tesla, Inc.(a)   268,155 
    

 

 

 
     1,419,044 
    

 

 

 
  Banks — 1.3%

 

 13,759   Citigroup, Inc.   848,380 
 5,520   Credicorp Ltd.   905,390 
 92,292   Dime Community Bancshares, Inc.   1,455,445 
 72,150   TCF Financial Corp.   2,670,993 
 14,456   Westamerica BanCorp.   799,272 
    

 

 

 
     6,679,480 
    

 

 

 
  Beverages — 1.2%

 

 5,413   Brown-Forman Corp., Class B   429,955 
 30,703   Coca-Cola Co. (The)   1,683,752 
 26,028   Keurig Dr Pepper, Inc.   832,896 
 16,462   PepsiCo, Inc.   2,441,315 
 50,849   Primo Water Corp.   797,312 
    

 

 

 
     6,185,230 
    

 

 

 
  Biotechnology — 0.3%

 

 1,980   Alnylam Pharmaceuticals, Inc.(a)   257,341 
 85,236   Immatics NV(a)   919,696 
 447   Regeneron Pharmaceuticals, Inc.(a)   215,950 
 1,280   Seagen, Inc.(a)   224,179 
    

 

 

 
     1,617,166 
    

 

 

 
  Building Products — 0.7%

 

 10,588   Allegion PLC   1,232,231 
 16,712   Johnson Controls International PLC   778,612 
 6,345   Masonite International Corp.(a)   623,967 
 25,845   Resideo Technologies, Inc.(a)   549,465 
 4,536   Trane Technologies PLC   658,446 
    

 

 

 
     3,842,721 
    

 

 

 
  Capital Markets — 2.3%

 

 5,116   Blackstone Group, Inc. (The), Class A   331,568 
 17,574   Freedom Holding Corp.(a)   901,722 
 33,773   Houlihan Lokey, Inc.   2,270,559 
 4,680   Intercontinental Exchange, Inc.   539,557 
 38,170   Invesco Ltd.   665,303 
 26,180   Janus Henderson Group PLC   851,112 
 3,920   Morningstar, Inc.   907,754 
 10,077   Nasdaq, Inc.   1,337,621 
 57,448   Open Lending Corp., Class A(a)   2,008,382 
 12,654   PJT Partners, Inc., Class A   952,214 
 22,274   SEI Investments Co.   1,280,087 
    

 

 

 
     12,045,879 
    

 

 

 
  Chemicals — 0.9%

 

 23,946   Corteva, Inc.   927,189 
 33,819   GCP Applied Technologies, Inc.(a)   799,819 
 3,699   NewMarket Corp.   1,473,275 
  Chemicals — continued

 

 73,800   Orion Engineered Carbons S.A.  $1,264,932 
    

 

 

 
     4,465,215 
    

 

 

 
  Commercial Services & Supplies — 1.1%

 

 3,259   Cintas Corp.   1,151,926 
 7,317   Copart, Inc.(a)   931,088 
 11,258   IAA, Inc.(a)   731,545 
 13,344   Republic Services, Inc.   1,285,027 
 9,219   Ritchie Bros. Auctioneers, Inc.   641,182 
 15,610   Rollins, Inc.   609,883 
 3,067   Waste Management, Inc.   361,691 
    

 

 

 
     5,712,342 
    

 

 

 
  Communications Equipment — 0.3%

 

 59,933   Radware Ltd.(a)   1,663,141 
    

 

 

 
  Construction & Engineering — 0.3%

 

 17,934   AECOM(a)   892,754 
 7,034   Jacobs Engineering Group, Inc.   766,425 
    

 

 

 
     1,659,179 
    

 

 

 
  Construction Materials — 0.1%

 

 7,548   Eagle Materials, Inc.   764,990 
    

 

 

 
  Consumer Finance — 0.9%

 

 3,982   Credit Acceptance Corp.(a)   1,378,330 
 15,451   FirstCash, Inc.   1,082,188 
 11,075   Green Dot Corp., Class A(a)   617,985 
 13,863   Nelnet, Inc., Class A   987,600 
 12,927   Synchrony Financial   448,696 
    

 

 

 
     4,514,799 
    

 

 

 
  Containers & Packaging — 0.4%

 

 2,851   AptarGroup, Inc.   390,273 
 6,335   Avery Dennison Corp.   982,622 
 22,473   Silgan Holdings, Inc.   833,299 
    

 

 

 
     2,206,194 
    

 

 

 
  Distributors — 0.1%

 

 19,992   LKQ Corp.(a)   704,518 
    

 

 

 
  Diversified Consumer Services — 0.2%

 

 15,853   Service Corp. International   778,382 
    

 

 

 
  Diversified Financial Services — 0.3%

 

 5   Berkshire Hathaway, Inc., Class A(a)   1,739,075 
    

 

 

 
  Diversified Telecommunication Services — 0.5%

 

 24,873   AT&T, Inc.   715,347 
 35,617   Verizon Communications, Inc.   2,092,499 
    

 

 

 
     2,807,846 
    

 

 

 
  Electric Utilities — 1.3%

 

 7,513   Alliant Energy Corp.   387,145 
 14,960   American Electric Power Co., Inc.   1,245,719 
 6,945   Avangrid, Inc.   315,650 
 10,921   Duke Energy Corp.   999,927 
 3,252   Entergy Corp.   324,680 
 3,783   Eversource Energy   327,267 
 19,432   Exelon Corp.   820,419 
 9,642   Hawaiian Electric Industries, Inc.   341,230 
 3,768   IDACORP, Inc.   361,841 
 4,692   NextEra Energy, Inc.   361,988 
 12,803   OGE Energy Corp.   407,903 
 3,987   Pinnacle West Capital Corp.   318,761 
 5,589   Southern Co. (The)   343,332 
 4,780   Xcel Energy, Inc.   318,683 
    

 

 

 
     6,874,545 
    

 

 

 

 

See accompanying notes to financial statements.

 

13  |


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund – (continued)

 

Shares   Description      
Value (†)
 
  Electrical Equipment — 0.6%

 

 7,041   AMETEK, Inc.  $851,539 
 14,084   Emerson Electric Co.   1,131,931 
 5,376   Generac Holdings, Inc.(a)   1,222,556 
    

 

 

 
     3,206,026 
    

 

 

 
  Electronic Equipment, Instruments & Components — 0.7%

 

 8,368   Amphenol Corp., Class A   1,094,283 
 8,618   CDW Corp.   1,135,766 
 8,642   Dolby Laboratories, Inc., Class A   839,398 
 37,090   Flex Ltd.(a)   666,878 
    

 

 

 
     3,736,325 
    

 

 

 
  Entertainment — 0.5%

 

 75,105   Lions Gate Entertainment Corp., Class A(a)   853,944 
 4,307   Madison Square Garden Sports Corp.(a)   792,919 
 5,647   Walt Disney Co. (The)(a)   1,023,123 
    

 

 

 
     2,669,986 
    

 

 

 
  Food & Staples Retailing — 0.4%

 

 1,695   Costco Wholesale Corp.   638,642 
 1,862   Sysco Corp.   138,272 
 1,885   U.S. Foods Holding Corp.(a)   62,790 
 9,348   Walmart, Inc.   1,347,514 
    

 

 

 
     2,187,218 
    

 

 

 
  Food Products — 2.1%

 

 7,398   Campbell Soup Co.   357,693 
 40,177   Conagra Brands, Inc.   1,456,818 
 14,492   Flowers Foods, Inc.   327,954 
 5,892   General Mills, Inc.   346,450 
 23,786   Hain Celestial Group, Inc. (The)(a)   955,008 
 2,326   Hershey Co. (The)   354,319 
 6,875   Hormel Foods Corp.   320,444 
 54,408   Hostess Brands, Inc.(a)   796,533 
 5,189   Kellogg Co.   322,911 
 3,822   McCormick & Co., Inc.   365,383 
 32,555   Mondelez International, Inc., Class A   1,903,491 
 25,140   Nomad Foods Ltd.(a)   639,059 
 7,790   Post Holdings, Inc.(a)   786,868 
 62,742   SunOpta, Inc.(a)   732,199 
 68,810   Utz Brands, Inc.   1,517,949 
    

 

 

 
     11,183,079 
    

 

 

 
  Gas Utilities — 0.3%

 

 12,982   Atmos Energy Corp.   1,238,872 
 6,753   Spire, Inc.   432,462 
    

 

 

 
     1,671,334 
    

 

 

 
  Health Care Equipment & Supplies — 1.3%

 

 9,553   Baxter International, Inc.   766,533 
 3,255   Becton Dickinson & Co.   814,466 
 12,000   Danaher Corp.   2,665,680 
 665   DexCom, Inc.(a)   245,864 
 1,072   Insulet Corp.(a)   274,035 
 6,648   Medtronic PLC   778,747 
 14,818   Merit Medical Systems, Inc.(a)   822,547 
 1,246   Quidel Corp.(a)   223,844 
 2,252   STERIS PLC   426,844 
    

 

 

 
     7,018,560 
    

 

 

 
  Health Care Providers & Services — 1.5%

 

 1,190   Chemed Corp.   633,806 
 10,134   DaVita, Inc.(a)   1,189,732 
 13,240   Encompass Health Corp.   1,094,816 
 2,572   Humana, Inc.   1,055,214 
 8,063   Magellan Health, Inc.(a)   667,939 
  Health Care Providers & Services — continued

 

 26,725   MEDNAX, Inc.(a)  655,831 
 12,699   Quest Diagnostics, Inc.   1,513,340 
 3,353   UnitedHealth Group, Inc.   1,175,830 
    

 

 

 
     7,986,508 
    

 

 

 
  Health Care Technology — 0.6%

 

 29,497   Cerner Corp.   2,314,924 
 35,535   Evolent Health, Inc., Class A(a)   569,626 
 1,161   Teladoc Health, Inc.(a)   232,154 
    

 

 

 
     3,116,704 
    

 

 

 
  Hotels, Restaurants & Leisure — 0.9%

 

 26,036   Bloomin’ Brands, Inc.   505,619 
 70   Chipotle Mexican Grill, Inc.(a)   97,070 
 9,135   Hilton Worldwide Holdings, Inc.   1,016,360 
 6,421   McDonald’s Corp.   1,377,818 
 10,169   Starbucks Corp.   1,087,880 
 7,083   Yum! Brands, Inc.   768,930 
    

 

 

 
     4,853,677 
    

 

 

 
  Household Durables — 0.5%

 

 12,945   Garmin Ltd.   1,548,999 
 8,774   Installed Building Products, Inc.(a)   894,334 
    

 

 

 
     2,443,333 
    

 

 

 
  Household Products — 1.4%

 

 15,004   Church & Dwight Co., Inc.   1,308,799 
 1,742   Clorox Co. (The)   351,745 
 11,831   Colgate-Palmolive Co.   1,011,669 
 2,592   Kimberly-Clark Corp.   349,479 
 19,598   Procter & Gamble Co. (The)   2,726,866 
 5,918   WD-40 Co.   1,572,294 
    

 

 

 
     7,320,852 
    

 

 

 
  Independent Power & Renewable Electricity Producers — 0.2%

 

 32,572   Atlantica Sustainable Infrastructure PLC   1,237,085 
    

 

 

 
  Industrial Conglomerates — 0.1%

 

 1,504   Roper Technologies, Inc.   648,359 
    

 

 

 
  Insurance — 1.3%

 

 19,355   AMERISAFE, Inc.   1,111,558 
 3,653   Aon PLC, Class A   771,769 
 3,129   Arthur J. Gallagher & Co.   387,088 
 7,606   Brown & Brown, Inc.   360,600 
 3,833   Erie Indemnity Co., Class A   941,385 
 13,487   Marsh & McLennan Cos., Inc.   1,577,979 
 10,593   Progressive Corp. (The)   1,047,436 
 754   White Mountains Insurance Group Ltd.   754,498 
    

 

 

 
     6,952,313 
    

 

 

 
  Interactive Media & Services — 0.3%

 

 409   Alphabet, Inc., Class A(a)   716,830 
 3,774   Facebook, Inc., Class A(a)   1,030,906 
    

 

 

 
     1,747,736 
    

 

 

 
  Internet & Direct Marketing Retail — 0.6%

 

 637   Amazon.com, Inc.(a)   2,074,665 
 23,505   eBay, Inc.   1,181,126 
    

 

 

 
     3,255,791 
    

 

 

 
  IT Services — 3.1%

 

 7,313   Accenture PLC, Class A   1,910,229 
 22,833   Amdocs Ltd.   1,619,545 
 6,928   Black Knight, Inc.(a)   612,089 
 21,289   Booz Allen Hamilton Holding Corp.   1,855,975 
 11,258   Broadridge Financial Solutions, Inc.   1,724,726 
 7,479   Fidelity National Information Services, Inc.   1,057,979 

 

See accompanying notes to financial statements.

 

|  14


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund – (continued)

 

Shares   Description      
Value (†)
 
  IT Services — continued

 

 3,856   Jack Henry & Associates, Inc.  $624,633 
 25,006   KBR, Inc.   773,435 
 2,209   Leidos Holdings, Inc.   232,210 
 8,412   MAXIMUS, Inc.   615,674 
 114,719   Paya Holdings, Inc., Class A(a)   1,557,884 
 12,178   Paychex, Inc.   1,134,746 
 34,234   Perspecta, Inc.   824,355 
 5,659   Visa, Inc., Class A   1,237,793 
 2,107   Wix.com Ltd.(a)   526,666 
    

 

 

 
     16,307,939 
    

 

 

 
  Leisure Products — 0.3%

 

 18,446   Acushnet Holdings Corp.   747,801 
 23,114   Callaway Golf Co.   554,967 
    

 

 

 
     1,302,768 
    

 

 

 
  Life Sciences Tools & Services — 0.4%

 

 15,751   Agilent Technologies, Inc.   1,866,336 
    

 

 

 
  Machinery — 1.0%

 

 18,618   Donaldson Co., Inc.   1,040,374 
 9,479   Lincoln Electric Holdings, Inc.   1,101,934 
 9,116   PACCAR, Inc.   786,528 
 16,670   Toro Co. (The)   1,580,983 
 34,784   Trinity Industries, Inc.   917,950 
    

 

 

 
     5,427,769 
    

 

 

 
  Media — 1.1%

 

 29,224   Altice USA, Inc., Class A(a)   1,106,713 
 3,652   Charter Communications, Inc., Class A(a)   2,415,980 
 39,229   Comcast Corp., Class A   2,055,600 
    

 

 

 
     5,578,293 
    

 

 

 
  Metals & Mining — 0.2%

 

 6,417   Reliance Steel & Aluminum Co.   768,436 
    

 

 

 
  Multi-Utilities — 0.9%

 

 4,337   Ameren Corp.   338,546 
 17,132   CMS Energy Corp.   1,045,223 
 17,543   Consolidated Edison, Inc.   1,267,833 
 4,169   Dominion Energy, Inc.   313,509 
 3,623   DTE Energy Co.   439,868 
 14,499   NiSource, Inc.   332,607 
 5,868   Public Service Enterprise Group, Inc.   342,104 
 3,500   Sempra Energy   445,935 
 3,618   WEC Energy Group, Inc.   332,965 
    

 

 

 
     4,858,590 
    

 

 

 
  Multiline Retail — 0.2%

 

 6,030   Dollar General Corp.   1,268,109 
    

 

 

 
  Oil, Gas & Consumable Fuels — 2.2%

 

 15,974   Cheniere Energy, Inc.(a)   958,919 
 43,071   Concho Resources, Inc.   2,513,193 
 34,441   CVR Energy, Inc.   513,171 
 32,727   Enviva Partners LP   1,486,460 
 84,867   Holly Energy Partners LP   1,205,112 
 25,109   Magellan Midstream Partners LP   1,065,626 
 153,331   Parsley Energy, Inc., Class A   2,177,300 
 700,524   QEP Resources, Inc.   1,674,252 
    

 

 

 
     11,594,033 
    

 

 

 
  Personal Products — 0.5%

 

 7,333   Estee Lauder Cos., Inc. (The), Class A   1,951,971 
 3,399   Medifast, Inc.   667,360 
    

 

 

 
     2,619,331 
    

 

 

 
  Pharmaceuticals — 1.0%

 

 12,156   Bristol-Myers Squibb Co.  754,036 
 29,076   Elanco Animal Health, Inc.(a)   891,761 
 4,442   Eli Lilly & Co.   749,987 
 3,301   Horizon Therapeutics PLC(a)   241,468 
 5,023   Johnson & Johnson   790,520 
 5,376   Merck & Co., Inc.   439,757 
 19,649   Pfizer, Inc.   723,280 
 5,004   Zoetis, Inc.   828,162 
    

 

 

 
     5,418,971 
    

 

 

 
  Professional Services — 0.9%

 

 12,968   Exponent, Inc.   1,167,509 
 42,212   Nielsen Holdings PLC   880,965 
 11,787   Verisk Analytics, Inc.   2,446,863 
    

 

 

 
     4,495,337 
    

 

 

 
  Real Estate Management & Development — 0.4%

 

 11,647   CBRE Group, Inc., Class A(a)   730,500 
 5,786   Howard Hughes Corp. (The)(a)   456,689 
 46,618   Kennedy-Wilson Holdings, Inc.   833,996 
    

 

 

 
     2,021,185 
    

 

 

 
  REITs – Apartments — 0.1%

 

 3,790   Camden Property Trust   378,697 
 3,028   Mid-America Apartment Communities, Inc.   383,617 
    

 

 

 
     762,314 
    

 

 

 
  REITs – Diversified — 0.2%

 

 3,838   CoreSite Realty Corp.   480,824 
 53,001   Uniti Group, Inc.   621,702 
    

 

 

 
     1,102,526 
    

 

 

 
  REITs – Mortgage — 0.7%

 

 115,143   AGNC Investment Corp.   1,796,231 
 77,508   Broadmark Realty Capital, Inc.   790,581 
 48,187   KKR Real Estate Finance Trust, Inc.   863,511 
    

 

 

 
     3,450,323 
    

 

 

 
  REITs – Office Property — 0.4%

 

 2,161   Alexandria Real Estate Equities, Inc.   385,133 
 21,666   Easterly Government Properties, Inc.   490,735 
 47,889   Equity Commonwealth   1,306,412 
    

 

 

 
     2,182,280 
    

 

 

 
  REITs – Storage — 0.3%

 

 10,601   CubeSmart   356,300 
 3,027   Extra Space Storage, Inc.   350,708 
 3,116   Life Storage, Inc.   372,019 
 1,514   Public Storage   349,628 
    

 

 

 
     1,428,655 
    

 

 

 
  REITs – Warehouse/Industrials — 0.1%

 

 5,865   Terreno Realty Corp.   343,161 
    

 

 

 
  Road & Rail — 0.9%

 

 9,687   CSX Corp.   879,095 
 41,669   Heartland Express, Inc.   754,209 
 7,198   Landstar System, Inc.   969,283 
 5,851   Old Dominion Freight Line, Inc.   1,141,998 
 4,903   Union Pacific Corp.   1,020,903 
    

 

 

 
     4,765,488 
    

 

 

 
  Semiconductors & Semiconductor Equipment — 1.8%

 

 16,548   Inphi Corp.(a)   2,655,458 
 26,865   Maxim Integrated Products, Inc.   2,381,582 
 173   Monolithic Power Systems, Inc.   63,358 
 1,839   Qorvo, Inc.(a)   305,770 

 

See accompanying notes to financial statements.

 

15  |


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund – (continued)

 

Shares   Description      
Value (†)
 
  Semiconductors & Semiconductor Equipment — continued

 

 817   SolarEdge Technologies, Inc.(a)  $260,721 
 2,286   Teradyne, Inc.   274,069 
 4,818   Texas Instruments, Inc.   790,778 
 17,608   Xilinx, Inc.   2,496,286 
    

 

 

 
     9,228,022 
    

 

 

 
  Software — 3.7%

 

 49,054   Box, Inc., Class A(a)   885,425 
 21,750   Check Point Software Technologies Ltd.(a)   2,890,792 
 5,912   Citrix Systems, Inc.   769,151 
 19,373   CommVault Systems, Inc.(a)   1,072,683 
 753   Coupa Software, Inc.(a)   255,199 
 1,478   Crowdstrike Holdings, Inc., Class A(a)   313,070 
 2,290   Datadog, Inc., Class A(a)   225,428 
 994   DocuSign, Inc.(a)   220,966 
 61,312   NortonLifeLock, Inc.   1,274,063 
 23,246   Nuance Communications, Inc.(a)   1,024,916 
 43,497   Open Text Corp.   1,977,374 
 12,295   Oracle Corp.   795,363 
 7,164   Pegasystems, Inc.   954,675 
 9,319   PTC, Inc.(a)   1,114,646 
 761   RingCentral, Inc., Class A(a)   288,396 
 1,414   ServiceNow, Inc.(a)   778,308 
 43,197   Slack Technologies, Inc., Class A(a)   1,824,641 
 251   Trade Desk, Inc. (The), Class A(a)   201,051 
 4,884   Tyler Technologies, Inc.(a)   2,131,964 
 503   Zoom Video Communications, Inc., Class A(a)   169,672 
    

 

 

 
     19,167,783 
    

 

 

 
  Specialty Retail — 1.4%

 

 5,434   Advance Auto Parts, Inc.   855,909 
 7,906   Asbury Automotive Group, Inc.(a)   1,152,220 
 1,184   AutoZone, Inc.(a)   1,403,561 
 9,167   Best Buy Co., Inc.   914,775 
 34,663   Buckle, Inc. (The)   1,012,160 
 2,311   Home Depot, Inc. (The)   613,848 
 4,697   Lowe’s Cos., Inc.   753,916 
 21,624   Rent-A-Center, Inc.   827,983 
    

 

 

 
     7,534,372 
    

 

 

 
  Technology Hardware, Storage & Peripherals — 0.2%

 

 16,824   Seagate Technology PLC   1,045,780 
    

 

 

 
  Textiles, Apparel & Luxury Goods — 0.2%

 

 5,612   NIKE, Inc., Class B   793,930 
    

 

 

 
  Thrifts & Mortgage Finance — 0.9%

 

 124,574   Columbia Financial, Inc.(a)   1,938,371 
 109,286   MGIC Investment Corp.   1,371,539 
 14,483   Walker & Dunlop, Inc.   1,332,726 
    

 

 

 
     4,642,636 
    

 

 

 
  Tobacco — 0.2%

 

 9,364   Philip Morris International, Inc.   775,246 
    

 

 

 
  Trading Companies & Distributors — 1.2%

 

 52,197   BMC Stock Holdings, Inc.(a)   2,801,935 
 4,906   United Rentals, Inc.(a)   1,137,750 
 2,290   W.W. Grainger, Inc.   935,099 
 5,556   Watsco, Inc.   1,258,712 
    

 

 

 
     6,133,496 
    

 

 

 
  Water Utilities — 0.2%

 

 6,465   American Water Works Co., Inc.   992,184 
    

 

 

 
  Wireless Telecommunication Services — 0.3%

 

 12,966   T-Mobile US, Inc.(a)   1,748,465 
    

 

 

 
  Total Common Stocks
(Identified Cost $241,815,002)
   272,292,421 
    

 

 

 
 Exchange-Traded Funds — 0.7% 
 41,081   iShares® iBoxx $ High Yield Corporate Bond ETF
(Identified Cost $3,383,798)
  3,586,371 
    

 

 

 
    
Principal
Amount
          
 Short-Term Investments — 35.4% 
  Certificates of Deposit — 26.3%

 

$15,000,000   National Bank of Kuwait (NY), 0.210%, 1/04/2021   15,000,167 
 10,000,000   KBC Bank NV (NY), 0.110%, 1/07/2021   10,000,000 
 19,000,000   Mizuho Bank Ltd. (NY), 0.150%, 2/02/2021   19,000,122 
 8,500,000   Landesbank Baden-Wuerttemberg (NY), 0.250%, 2/08/2021(b)   8,500,349 
 10,000,000   Oversea-Chinese Banking Corp. Ltd. (NY), 0.190%, 2/16/2021(b)   9,999,516 
 15,000,000   Sumitomo Mitsui Banking Corp. (NY), 0.200%, 2/16/2021(b)   15,000,899 
 10,000,000   Landesbank Hessen-Thueringen Girozentrale (NY), 0.210%, 2/18/2021(b)   10,000,693 
 15,000,000   Toronto-Dominion Bank (NY), 0.200%, 2/19/2021   14,999,791 
 10,000,000   DZ Bank (NY), 0.190%, 3/03/2021   10,000,120 
 5,000,000   Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.331%, 6/11/2021(b)(c)   5,002,366 
 10,000,000   Bank of Montreal (IL), 0.240%, 6/23/2021   9,999,130 
 10,000,000   Cooperatieve Rabobank UA, 0.230%, 7/20/2021(b)   10,000,050 
    

 

 

 
     137,503,203 
    

 

 

 
  Time Deposits — 5.3%

 

 13,400,000   Skandinaviska Enskilda Banken (NY), 0.040%, 1/04/2021   13,400,000 
 14,200,000   Canadian Imperial Bank of Commerce, 0.080%, 1/04/2021   14,200,000 
    

 

 

 
     27,600,000 
    

 

 

 
  Treasuries — 3.8%

 

 8,300,000   U.S. Treasury Bills, 0.065%-0.090%, 1/07/2021(d)(e)(f)(g)   8,299,979 
 9,800,000   U.S. Treasury Bills, 0.090%, 2/04/2021(d)(f)(g)   9,799,536 
 2,000,000   U.S. Treasury Bills, 0.075%, 3/04/2021(d)(f)   1,999,771 
    

 

 

 
     20,099,286 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $185,199,327)
   185,202,489 
    

 

 

 
    
  Total Investments — 88.1%
(Identified Cost $430,398,127)
   461,081,281 
  Other assets less liabilities — 11.9%   62,208,334 
    

 

 

 
  Net Assets — 100.0%  $523,289,615 
    

 

 

 
    
 (†)   See Note 2 of Notes to Financial Statements.

 

 (a)   Non-income producing security.

 

 (b)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

 (c)   Variable rate security. Rate as of December 31, 2020 is disclosed.

 

 (d)   Interest rate represents discount rate at time of purchase; not a coupon rate.

 

 (e)   The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

 (f)   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

 (g)   A portion of the security is held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

 

 

See accompanying notes to financial statements.

 

|  16


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Global Alternatives Fund – (continued)

 

 ETF   Exchange-Traded Fund
 LIBOR   London Interbank Offered Rate
 REITs   Real Estate Investment Trusts
  
 CHF   Swiss Franc
 NOK   Norwegian Krone
 NZD   New Zealand Dollar
 PLN   Polish Zloty
 SEK   Swedish Krona
 SGD   Singapore Dollar
 ZAR   South African Rand

At December 31, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty  Delivery
Date
   Currency
Bought/
Sold (B/S)
   Units
of
Currency
   In Exchange
for
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 
UBS AG   3/17/2021    CHF    B    7,250,000   $8,179,951   $8,206,626   $26,675 
UBS AG   3/17/2021    CHF    B    24,250,000    27,515,239    27,449,749    (65,490
UBS AG   3/17/2021    CHF    S    11,750,000    13,331,800    13,300,394    31,406 
UBS AG   3/17/2021    CHF    S    57,250,000    64,696,054    64,804,046    (107,992
UBS AG   3/17/2021    NOK    B    14,000,000    1,607,722    1,632,391    24,669 
UBS AG   3/17/2021    NOK    S    6,000,000    684,217    699,596    (15,379
UBS AG   3/17/2021    NZD    B    50,900,000    36,184,575    36,633,873    449,298 
UBS AG   3/17/2021    NZD    S    31,300,000    22,050,727    22,527,313    (476,586
UBS AG   3/17/2021    PLN    B    3,000,000    815,621    803,324    (12,297
UBS AG   3/17/2021    SEK    B    228,000,000    27,053,320    27,733,173    679,853 
UBS AG   3/17/2021    SEK    S    158,000,000    19,302,416    19,218,603    83,813 
UBS AG   3/17/2021    SEK    S    46,000,000    5,565,488    5,595,289    (29,801
UBS AG   3/17/2021    SGD    B    5,250,000    3,923,999    3,972,743    48,744 
UBS AG   3/17/2021    ZAR    B    10,500,000    712,134    708,041    (4,093
              

 

 

 
Total

 

  $632,820 
              

 

 

 

At December 31, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

2 Year U.S. Treasury Note

   3/31/2021    3,423   $755,578,239   $756,402,772   $824,533 

3 Year Australia Government Bond

   3/15/2021    230    20,812,884    20,823,949    11,065 

5 Year U.S. Treasury Note

   3/31/2021    669    84,179,461    84,403,758    224,297 

10 Year Australia Government Bond

   3/15/2021    927    104,923,885    105,221,015    297,130 

10 Year Canada Government Bond

   3/22/2021    464    54,155,283    54,350,224    194,941 

10 Year U.S. Treasury Note

   3/22/2021    521    71,813,187    71,938,703    125,516 

AEX-Index®

   1/15/2021    7    1,053,808    1,068,140    14,332 

ASX SPI 200

   3/18/2021    5    632,083    629,963    (2,120

British Pound

   3/15/2021    199    16,707,875    16,988,381    280,506 

Canadian Dollar

   3/16/2021    577    45,244,270    45,202,180    (42,090

DAX

   3/19/2021    62    25,130,350    26,028,843    898,493 

E-mini NASDAQ 100

   3/19/2021    5    1,236,567    1,288,550    51,983 

E-mini Russell 2000

   3/19/2021    654    62,466,777    64,575,960    2,109,183 

E-mini S&P MidCap 400®

   3/19/2021    7    1,569,495    1,612,450    42,955 

Euribor

   3/15/2021    49    15,045,965    15,046,774    809 

Euro

   3/15/2021    571    86,804,836    87,405,825    600,989 

Euro Schatz

   3/08/2021    97    13,309,334    13,304,594    (4,740

EURO STOXX 50®

   3/19/2021    128    5,481,593    5,551,178    69,585 

Euro-BTP

   3/08/2021    29    5,385,779    5,385,388    (391

Euro-Buxl® 30 Year Bond

   3/08/2021    9    2,460,647    2,476,480    15,833 

FTSE 100 Index

   3/19/2021    142    12,596,768    12,466,684    (130,084

FTSE Taiwan Index

   1/28/2021    24    1,179,660    1,224,720    45,060 

FTSE/JSE Top 40 Index

   3/18/2021    26    969,237    966,450    (2,787

German Euro BOBL

   3/08/2021    50    8,256,522    8,257,133    611 

Hang Seng Index®

   1/28/2021    8    1,350,231    1,404,407    54,176 

Indian Rupee

   1/27/2021    136    3,663,400    3,714,160    50,760 

Japanese Yen

   3/15/2021    334    40,308,770    40,451,575    142,805 

 

See accompanying notes to financial statements.

 

17  |


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Global Alternatives Fund – (continued)

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

MSCI EAFE Index

   3/19/2021    8   $838,720   $852,320   $13,600 

MSCI Emerging Markets Index

   3/19/2021    145    9,021,900    9,339,450    317,550 

Nikkei 225

   3/11/2021    8    2,040,482    2,125,999    85,517 

OMXS30®

   1/15/2021    80    1,839,516    1,826,292    (13,224

S&P/TSX 60 Index

   3/18/2021    13    2,125,958    2,101,611    (24,347

Short Sterling

   3/17/2021    148    25,294,748    25,296,235    1,487 

Short-Term Euro-BTP

   3/08/2021    50    6,907,210    6,916,983    9,773 

TOPIX

   3/11/2021    27    4,593,773    4,718,561    124,788 

U.S. Dollar Index

   3/15/2021    467    42,355,261    41,980,498    (374,763
          

 

 

 

Total

 

  $6,013,731 
  

 

 

 
Commodity Futures1  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

   3/17/2021    263   $12,782,240   $13,002,062   $219,822 

Brent Crude Oil

   1/29/2021    42    2,074,110    2,175,600    101,490 

Cocoa

   3/16/2021    40    1,009,860    1,041,200    31,340 

Copper

   3/29/2021    25    2,007,425    2,199,375    191,950 

Copper LME

   3/17/2021    226    40,194,406    43,882,137    3,687,731 

Cotton

   3/09/2021    260    9,834,470    10,155,600    321,130 

Gold

   2/24/2021    75    14,148,210    14,213,250    65,040 

New York Harbor ULSD

   1/29/2021    185    11,449,007    11,530,680    81,673 

Nickel LME

   3/17/2021    41    3,975,768    4,085,568    109,800 

Soybean

   3/12/2021    38    2,451,962    2,490,900    38,938 

Soybean Oil

   3/12/2021    684    15,316,086    17,400,960    2,084,874 

Sugar

   2/26/2021    1,062    17,531,651    18,424,425    892,774 

Wheat

   3/12/2021    470    14,034,775    15,051,750    1,016,975 

Zinc LME

   3/17/2021    73    4,881,444    5,017,528    136,084 
          

 

 

 

Total

 

  $8,979,621 
  

 

 

 

At December 31, 2020, open short futures contracts were as follows:

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

30 Year U.S. Treasury Bond

   3/22/2021    279   $48,473,914   $48,319,313   $154,601 

Australian Dollar

   3/15/2021    232    17,494,290    17,864,000    (369,710

Brazilian Real

   1/29/2021    52    1,016,340    999,700    16,640 

E-mini S&P 500®

   3/19/2021    549    101,394,813    102,904,560    (1,509,747

Euro-OAT

   3/08/2021    313    63,918,980    64,185,715    (266,735

Eurodollar

   6/14/2021    87    21,707,588    21,714,113    (6,525

German Euro Bund

   3/08/2021    660    143,165,075    143,229,187    (64,112

Mexican Peso

   3/15/2021    1,058    26,217,110    26,312,460    (95,350

UK Long Gilt

   3/29/2021    19    3,522,969    3,521,670    1,299 
          

 

 

 

Total

 

  $(2,139,639
  

 

 

 
Commodity Futures1  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

   3/17/2021    302   $14,989,943   $14,930,125   $59,818 

Coffee

   3/19/2021    11    524,550    529,031    (4,481

Copper LME

   3/17/2021    46    8,459,089    8,931,763    (472,674

Corn

   3/12/2021    501    11,073,587    12,124,200    (1,050,613

Gasoline

   1/29/2021    56    3,079,070    3,316,555    (237,485

Live Cattle

   2/26/2021    201    9,026,950    9,248,010    (221,060

Low Sulfur Gasoil

   2/11/2021    366    15,035,700    15,481,800    (446,100

Natural Gas

   1/27/2021    210    5,297,860    5,331,900    (34,040

Nickel LME

   3/17/2021    9    932,337    896,832    35,505 

Silver

   3/29/2021    18    2,213,000    2,377,080    (164,080

Soybean Meal

   3/12/2021    114    4,749,030    4,895,160    (146,130

WTI Crude Oil

   1/20/2021    140    6,547,960    6,792,800    (244,840

Zinc LME

   3/17/2021    133    9,172,816    9,141,522    31,294 
          

 

 

 

Total

 

  $(2,894,886
  

 

 

 

1 Commodity futures are held by AlphaSimplex Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  18


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Global Alternatives Fund – (continued)

 

Bilateral Equity Basket Total Return Swaps (a)

 

Reference Entity Counterparty Expiration
Date
  Notional
Amount
  Unrealized
Appreciation
(Depreciation)
  Value of
Reference
Entities
  Notional
Amount
Net Asset
Percentage
 

Equity Securities Short

 Morgan Stanley Capital Services LLC  5/19/2021  $(135,849,616 $  $(135,849,616  (26.0%) 
   

 

 

  

 

 

  

 

 

  

 

(a)

The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.59% as calculated on the notional amount. See Note 2 of Notes to Financial Statements.

The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of December 31, 2020:

 

Common Stocks — Short  Shares  Value  % of Basket Value 

Aerospace & Defense

    
Axon Enterprise, Inc.   (3,535 $(433,144  (0.3%) 
Boeing Co. (The)   (1,106  (236,750  (0.2%) 
Hexcel Corp.   (4,482  (217,332  (0.2%) 
TransDigm Group, Inc.   (790  (488,892  (0.4%) 
   

 

 

  
  (1,376,118 
   

 

 

  

Air Freight & Logistics

    
XPO Logistics, Inc.   (3,534  (421,253  (0.3%) 
   

 

 

  

Airlines

    
Alaska Air Group, Inc.   (14,084  (732,368  (0.5%) 
Delta Air Lines, Inc.   (21,655  (870,747  (0.6%) 
JetBlue Airways Corp.   (89,924  (1,307,495  (1.0%) 
Southwest Airlines Co.   (14,923  (695,561  (0.5%) 
United Airlines Holdings, Inc.   (14,867  (642,998  (0.5%) 
   

 

 

  
  (4,249,169 
   

 

 

  

Auto Components

    
Goodyear Tire & Rubber Co. (The)   (23,582  (257,280  (0.2%) 
   

 

 

  

Automobiles

    
General Motors Co.   (15,794  (657,662  (0.5%) 
Harley-Davidson, Inc.   (9,402  (345,054  (0.3%) 
   

 

 

  
  (1,002,716 
   

 

 

  

Banks

    
Banc of California, Inc.   (74,499  (1,095,880  (0.8%) 
Bridge Bancorp, Inc.   (59,169  (1,430,706  (1.1%) 
Huntington Bancshares, Inc.   (216,671  (2,736,555  (2.0%) 
Live Oak Bancshares, Inc.   (22,649  (1,074,922  (0.8%) 
Wells Fargo & Co.   (6,937  (209,359  (0.2%) 
   

 

 

  
  (6,547,422 
   

 

 

  

Biotechnology

    
Alexion Pharmaceuticals, Inc.   (5,300  (828,072  (0.6%) 
Allakos, Inc.   (3,008  (421,120  (0.3%) 
Biogen, Inc.   (1,708  (418,221  (0.3%) 
Insmed, Inc.   (19,606  (652,684  (0.5%) 
TG Therapeutics, Inc.   (12,503  (650,406  (0.5%) 
   

 

 

  
  (2,970,503 
   

 

 

  

Building Products

    
Advanced Drainage Systems, Inc.   (15,144  (1,265,736  (0.9%) 
Builders FirstSource, Inc.   (68,508  (2,795,811  (2.1%) 
   

 

 

  
  (4,061,547 
   

 

 

  

Capital Markets

    
Ares Management Corp., Class A   (21,019  (988,944  (0.7%) 
Blucora, Inc.   (17,012  (270,661  (0.2%) 
Carlyle Group, Inc. (The)   (28,854  (907,170  (0.7%) 
Virtus Investment Partners, Inc.   (5,366  (1,164,422  (0.9%) 
   

 

 

  
  (3,331,197 
   

 

 

  

Chemicals

    
Chemours Co. (The)   (28,150 (697,838  (0.5%) 
DuPont de Nemours, Inc.   (3,767  (267,871  (0.2%) 
Mosaic Co. (The)   (67,925  (1,562,954  (1.2%) 
Olin Corp.   (21,794  (535,261  (0.4%) 
Scotts Miracle-Gro Co. (The)   (4,241  (844,553  (0.6%) 
Trinseo S.A.   (24,113  (1,234,827  (0.9%) 
   

 

 

  
  (5,143,304 
   

 

 

  

Commercial Services & Supplies

    
Brink’s Co. (The)   (3,723  (268,056  (0.2%) 
Clean Harbors, Inc.   (6,367  (484,529  (0.4%) 
KAR Auction Services, Inc.   (13,632  (253,691  (0.2%) 
   

 

 

  
  (1,006,276 
   

 

 

  

Communications Equipment

    
ViaSat, Inc.   (6,472  (211,311  (0.2%) 
   

 

 

  

Construction & Engineering

    
APi Group Corp.   (64,748  (1,175,176  (0.9%) 
Fluor Corp.   (55,786  (890,902  (0.7%) 
Granite Construction, Inc.   (39,132  (1,045,216  (0.8%) 
   

 

 

  
  (3,111,294 
   

 

 

  

Consumer Finance

    
Capital One Financial Corp.   (19,247  (1,902,566  (1.4%) 
PROG Holdings, Inc.   (7,786  (419,432  (0.3%) 
   

 

 

  
  (2,321,998 
   

 

 

  

Diversified Consumer Services

    
H&R Block, Inc.   (12,938  (205,197  (0.2%) 
Terminix Global Holdings, Inc.   (5,544  (282,799  (0.2%) 
   

 

 

  
  (487,996 
   

 

 

  

Diversified Financial Services

    
Cannae Holdings, Inc.   (23,799  (1,053,582  (0.8%) 
   

 

 

  

Diversified Telecommunication Services

    
Anterix, Inc.   (32,260  (1,212,976  (0.9%) 
   

 

 

  

Electric Utilities

    
FirstEnergy Corp.   (26,910  (823,715  (0.6%) 
Portland General Electric Co.   (6,578  (281,341  (0.2%) 
   

 

 

  
  (1,105,056 
   

 

 

  

Electrical Equipment

    
GrafTech International Ltd.   (26,200  (279,292  (0.2%) 
Sunrun, Inc.   (17,636  (1,223,586  (0.9%) 
   

 

 

  
  (1,502,878 
   

 

 

  

Energy Equipment & Services

    
Helmerich & Payne, Inc.   (8,943  (207,120  (0.2%) 
Schlumberger Ltd.   (29,299  (639,597  (0.5%) 
TechnipFMC PLC   (66,486  (624,968  (0.5%) 
   

 

 

  
  (1,471,685 
   

 

 

  

 

See accompanying notes to financial statements.

 

19  |


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund – (continued)

 

Common Stocks — Short  Shares  Value  % of Basket Value 

Entertainment

    
Liberty Media Corp. – Liberty Formula One, Class A   (29,755 $(1,130,393  (0.8%) 
Live Nation Entertainment, Inc.   (9,907  (727,966  (0.5%) 
   

 

 

  
  (1,858,359 
   

 

 

  

Equity Real Estate Investment Trusts

    
Colony Capital, Inc.   (235,542  (1,132,957  (0.8%) 
Cousins Properties, Inc.   (31,869  (1,067,612  (0.8%) 
iStar, Inc.   (76,985  (1,143,227  (0.8%) 
NexPoint Residential Trust, Inc.   (21,274  (900,103  (0.7%) 
Pebblebrook Hotel Trust   (12,936  (243,197  (0.2%) 
SITE Centers Corp.   (24,371  (246,635  (0.2%) 
SL Green Realty Corp.   (3,857  (229,800  (0.2%) 
Vornado Realty Trust   (6,607  (246,705  (0.2%) 
Welltower, Inc.   (4,297  (277,672  (0.2%) 
   

 

 

  
  (5,487,908 
   

 

 

  

Food & Staples Retailing

    
Andersons, Inc. (The)   (45,407  (1,112,926  (0.8%) 
   

 

 

  

Food Products

    
Beyond Meat, Inc.   (3,067  (383,375  (0.3%) 
Bunge Ltd.   (16,333  (1,071,118  (0.8%) 
Pilgrim’s Pride Corp.   (48,343  (948,006  (0.7%) 
   

 

 

  
  (2,402,499 
   

 

 

  

Health Care Equipment & Supplies

    
ABIOMED, Inc.   (750  (243,150  (0.2%) 
Align Technology, Inc.   (1,324  (707,519  (0.5%) 
Tandem Diabetes Care, Inc.   (3,296  (315,361  (0.2%) 
   

 

 

  
  (1,266,030 
   

 

 

  

Health Care Providers & Services

    
Tenet Healthcare Corp.   (10,464  (417,828  (0.3%) 
Universal Health Services, Inc., Class B   (6,224  (855,800  (0.6%) 
   

 

 

  
  (1,273,628 
   

 

 

  

Hotels, Restaurants & Leisure

    
Darden Restaurants, Inc.   (3,640  (433,597  (0.3%) 
Golden Entertainment, Inc.   (34,272  (681,670  (0.5%) 
Hyatt Hotels Corp., Class A   (13,386  (993,910  (0.7%) 
Marriott Vacations Worldwide Corp.   (3,209  (440,339  (0.3%) 
MGM Resorts International   (38,902  (1,225,802  (0.9%) 
Royal Caribbean Cruises Ltd.   (8,317  (621,197  (0.5%) 
Scientific Games Corp.   (15,783  (654,837  (0.5%) 
SeaWorld Entertainment, Inc.   (8,872  (280,266  (0.2%) 
Shake Shack, Inc., Class A   (3,410  (289,100  (0.2%) 
Wendy’s Co. (The)   (7,199  (157,802  (0.1%) 
Wynn Resorts Ltd.   (5,935  (669,646  (0.5%) 
   

 

 

  
  (6,448,166 
   

 

 

  

Household Durables

    
Toll Brothers, Inc.   (10,364  (450,523  (0.3%) 
   

 

 

  

Independent Power & Renewable Electricity Producers

    
AES Corp. (The)   (38,064  (894,504  (0.7%) 
Sunnova Energy International, Inc.   (24,408  (1,101,533  (0.8%) 
   

 

 

  
  (1,996,037 
   

 

 

  

Industrial Conglomerates

    
General Electric Co.   (104,734  (1,131,127  (0.8%) 
   

 

 

  

Insurance

    
American International Group, Inc.   (7,476 (283,041  (0.2%) 
Assured Guaranty Ltd.   (9,197  (289,614  (0.2%) 
BRP Group, Inc., Class A   (37,218  (1,115,424  (0.8%) 
Cincinnati Financial Corp.   (3,272  (285,875  (0.2%) 
First American Financial Corp.   (16,607  (857,419  (0.6%) 
Lincoln National Corp.   (4,094  (205,969  (0.2%) 
Reinsurance Group of America, Inc.   (1,698  (196,798  (0.1%) 
Third Point Reinsurance Ltd.   (106,552  (1,014,375  (0.7%) 
   

 

 

  
  (4,248,515 
   

 

 

  

Interactive Media & Entertainment

    
Snap, Inc., Class A   (3,309  (165,682  (0.1%) 
TripAdvisor, Inc.   (7,529  (216,684  (0.2%) 
Twitter, Inc.   (15,572  (843,224  (0.6%) 
   

 

 

  
  (1,225,590 
   

 

 

  

Internet & Direct Marketing Retail

    
Etsy, Inc.   (1,088  (193,566  (0.1%) 
Expedia Group, Inc.   (5,443  (720,653  (0.5%) 
Farfetch Ltd., Class A   (18,794  (1,199,245  (0.9%) 
Overstock.com, Inc.   (13,420  (643,757  (0.5%) 
Realreal, Inc. (The)   (62,863  (1,228,343  (0.9%) 
Wayfair, Inc.   (2,807  (633,849  (0.5%) 
   

 

 

  
  (4,619,413 
   

 

 

  

IT Services

    
DXC Technology Co.   (18,391  (473,568  (0.3%) 
Euronet Worldwide, Inc.   (1,685  (244,190  (0.2%) 
LiveRamp Holdings, Inc.   (3,686  (269,778  (0.2%) 
MongoDB, Inc.   (1,142  (410,024  (0.3%) 
   

 

 

  
  (1,397,560 
   

 

 

  

Leisure Products

    
Mattel, Inc.   (46,405  (809,767  (0.6%) 
Peloton Interactive, Inc., Class A   (8,850  (1,342,722  (1.0%) 
   

 

 

  
  (2,152,489 
   

 

 

  

Machinery

    
Kornit Digital Ltd.   (12,505  (1,114,571  (0.8%) 
Middleby Corp. (The)   (1,757  (226,512  (0.2%) 
   

 

 

  
  (1,341,083 
   

 

 

  

Marine

    
Kirby Corp.   (4,275  (221,573  (0.2%) 
   

 

 

  

Media

    
Boston Omaha Corp., Class A   (44,756  (1,237,503  (0.9%) 
Liberty Broadband Corp., Class A   (1,727  (272,141  (0.2%) 
ViacomCBS, Inc., Class B   (27,793  (1,035,567  (0.8%) 
   

 

 

  
  (2,545,211 
   

 

 

  

Metals & Mining

    
Agnico Eagle Mines Ltd.   (5,938  (418,688  (0.3%) 
Alcoa Corp.   (9,531  (219,690  (0.2%) 
Allegheny Technologies, Inc.   (15,277  (256,195  (0.2%) 
Barrick Gold Corp.   (26,217  (597,223  (0.4%) 
Century Aluminum Co.   (84,595  (933,083  (0.7%) 
Coeur Mining, Inc.   (89,648  (927,857  (0.7%) 
Hecla Mining Co.   (66,531  (431,121  (0.3%) 
Kinross Gold Corp.   (21,559  (158,243  (0.1%) 
Newmont Corp.   (11,706  (701,072  (0.5%) 
Pan American Silver Corp.   (13,725  (473,650  (0.3%) 
   

 

 

  
  (5,116,822 
   

 

 

  

Mortgage Real Estate Investment Trusts (REITs)

    
Capstead Mortgage Corp.   (172,505  (1,002,254  (0.7%) 
   

 

 

  

 

See accompanying notes to financial statements.

 

|  20


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Global Alternatives Fund – (continued)

 

Common Stocks — Short  Shares  Value  % of Basket Value 

Multi-Utilities

    
CenterPoint Energy, Inc.   (9,857 $(213,305  (0.2%) 
   

 

 

  

Multiline Retail

    
Dollar Tree, Inc.   (7,516  (812,028  (0.6%) 
Kohl’s Corp.   (14,117  (574,421  (0.4%) 
   

 

 

  
  (1,386,449 
   

 

 

  

Oil, Gas & Consumable Fuels

    
Cabot Oil & Gas Corp.   (12,085  (196,744  (0.1%) 
Chevron Corp.   (11,051  (933,257  (0.7%) 
CNX Resources Corp.   (83,839  (905,461  (0.7%) 
ConocoPhillips   (65,957  (2,637,620  (1.9%) 
Devon Energy Corp.   (34,587  (546,821  (0.4%) 
Diamondback Energy, Inc.   (34,103  (1,650,585  (1.2%) 
Energy Transfer LP   (129,491  (800,254  (0.6%) 
EOG Resources, Inc.   (12,698  (633,249  (0.5%) 
EQT Corp.   (93,720  (1,191,181  (0.9%) 
Equitrans Midstream Corp.   (40,208  (323,272  (0.2%) 
Exxon Mobil Corp   (4,706  (193,981  (0.1%) 
HollyFrontier Corp.   (21,528  (556,499  (0.4%) 
Marathon Oil Corp.   (62,329  (415,734  (0.3%) 
Marathon Petroleum Corp.   (2,312  (95,624  (0.1%) 
MPLX LP   (18,479  (400,070  (0.3%) 
New Fortress Energy, Inc.   (19,479  (1,043,880  (0.8%) 
Occidental Petroleum Corp.   (17,253  (298,650  (0.2%) 
PDC Energy, Inc.   (60,278  (1,237,507  (0.9%) 
Phillips 66   (3,440  (240,594  (0.2%) 
Pioneer Natural Resources Co.   (21,171  (2,411,165  (1.8%) 
Plains All American Pipeline LP   (51,203  (421,913  (0.3%) 
REX American Resources Corp.   (10,323  (758,431  (0.6%) 
Targa Resources Corp.   (15,283  (403,166  (0.3%) 
Valero Energy Corp.   (15,629  (884,133  (0.7%) 
WPX Energy, Inc.   (50,799  (414,012  (0.3%) 
   

 

 

  
  (19,593,803 
   

 

 

  

Personal Products

    
Coty, Inc.   (32,569  (228,634  (0.2%) 
Herbalife Nutrition Ltd.   (3,314  (159,238  (0.1%) 
   

 

 

  
  (387,872 
   

 

 

  

Professional Services

    
Clarivate PLC   (33,734  (1,002,237  (0.7%) 
   

 

 

  

Road & Rail

    
ArcBest Corp.   (22,988  (980,898  (0.7%) 
Lyft, Inc., Class A   (17,139  (842,039  (0.6%) 
   

 

 

  
  (1,822,937 
   

 

 

  

Semiconductors & Semiconductor Equipment

    
Advanced Micro Devices, Inc.   (27,429  (2,515,514  (1.9%) 
Analog Devices, Inc.   (16,716  (2,469,455  (1.8%) 
Applied Materials, Inc.   (8,625  (744,338  (0.5%) 
Enphase Energy, Inc.   (2,596  (455,520  (0.3%) 
Lam Research Corp.   (609  (287,613  (0.2%) 
Marvell Technology Group Ltd.   (38,441  (1,827,485  (1.3%) 
Microchip Technology, Inc.   (831  (114,769  (0.1%) 
MKS Instruments, Inc.   (2,492  (374,921  (0.3%) 
NVIDIA Corp.   (777  (405,749  (0.3%) 
Ultra Clean Holdings, Inc.   (9,029  (281,253  (0.2%) 
Veeco Instruments, Inc.   (27,885  (484,084  (0.4%) 
   

 

 

  
  (9,960,701 
   

 

 

  

Software

    
Blackbaud, Inc.   (12,609  (725,774  (0.5%) 
Cloudflare, Inc., Class A   (5,184  (393,932  (0.3%) 
Nutanix, Inc., Class A   (9,015  (287,308  (0.2%) 

Software — continued

    
PROS Holdings, Inc.   (5,826 (295,786  (0.2%) 
salesforce.com, Inc.   (3,269  (727,451  (0.5%) 
Teradata Corp.   (11,043  (248,136  (0.2%) 
   

 

 

  
  (2,678,387 
   

 

 

  

Specialty Retail

    
At Home Group, Inc.   (13,382  (206,886  (0.2%) 
Carvana Co.   (4,386  (1,050,623  (0.8%) 
Foot Locker, Inc.   (5,861  (237,019  (0.2%) 
Gap, Inc. (The)   (33,439  (675,133  (0.5%) 
L Brands, Inc.   (10,958  (407,528  (0.3%) 
RH   (964  (431,409  (0.3%) 
   

 

 

  
  (3,008,598 
   

 

 

  

Technology Hardware, Storage & Peripherals

    
Western Digital Corp.   (5,337  (295,617  (0.2%) 
Xerox Holdings Corp.   (10,902  (252,817  (0.2%) 
   

 

 

  
  (548,434 
   

 

 

  

Textiles, Apparel & Luxury Goods

    
PVH Corp.   (7,180  (674,130  (0.5%) 
Ralph Lauren Corp.   (6,873  (713,005  (0.5%) 
Steven Madden Ltd.   (7,200  (254,304  (0.2%) 
Tapestry, Inc.   (22,826  (709,432  (0.5%) 
   

 

 

  
  (2,350,871 
   

 

 

  

Thrifts & Mortgage Finance

    
Mr. Cooper Group, Inc.   (37,107  (1,151,430  (0.8%) 
NMI Holdings, Inc., Class A   (10,993  (248,992  (0.1%) 
   

 

 

  
  (1,400,422 
   

 

 

  

Trading Companies & Distributors

    
Beacon Roofing Supply, Inc.   (26,946  (1,082,960  (0.7%) 
   

 

 

  

Wireless Telecommunication Services

    
Millicom International Cellular S.A.   (6,946  (269,366  (0.1%) 
   

 

 

  
Total Common Stocks – Short

 

 $(135,849,616 
   

 

 

  

Investment Summary at December 31, 2020

 

Common Stocks

   52.0

Certificates of Deposit

   26.3 

Time Deposits

   5.3 

Treasuries

   3.8 

Exchange-Traded Funds

   0.7 
  

 

 

 

Total Investments

   88.1 

Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)

   11.9 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

21  |


Consolidated Portfolio of Investments – as of December 31, 2020

AlphaSimplex Managed Futures Strategy Fund

 

Principal
Amount
   Description  Value (†) 
 Short-Term Investments — 93.0% of Net Assets 
  Certificates of Deposit — 56.6%

 

$60,000,000   National Bank of Kuwait (NY), 0.210%, 1/04/2021  $60,000,667 
 50,000,000   Svenska Handelsbanken (NY), 1-month LIBOR + 0.250%, 0.402%, 1/04/2021(a)   50,001,462 
 60,000,000   KBC Bank NV (NY), 0.110%, 1/07/2021   60,000,000 
 26,000,000   Royal Bank of Canada (NY), 0.140%, 1/13/2021   26,000,310 
 50,000,000   Sumitomo Mitsui Trust Bank (NY), 0.210%, 1/15/2021   50,002,019 
 30,000,000   Sumitomo Mitsui Banking Corp. (NY), 0.110%, 1/19/2021   29,999,921 
 20,000,000   Landesbank Hessen-Thueringen Girozentrale (NY), 0.170%, 1/27/2021   20,000,509 
 60,000,000   Mizuho Bank Ltd. (NY), 0.150%, 2/02/2021   60,000,384 
 60,000,000   Landesbank Baden-Wuerttemberg (NY), 0.250%, 2/08/2021(b)   60,002,461 
 58,000,000   Mitsubishi UFJ Trust & Banking Corp. (NY), 0.230%, 2/10/2021   58,005,673 
 31,000,000   Oversea-Chinese Banking Corp. Ltd. (NY), 0.190%, 2/16/2021   30,998,499 
 30,000,000   Sumitomo Mitsui Banking Corp. (NY), 0.200%, 2/16/2021(b)   30,001,799 
 25,000,000   Landesbank Hessen-Thueringen Girozentrale (NY), 0.210%, 2/18/2021   25,001,734 
 25,000,000   Toronto-Dominion Bank (NY), 0.200%, 2/19/2021   24,999,651 
 50,000,000   DZ Bank (NY), 0.190%, 3/03/2021   50,000,601 
 60,000,000   Westpac Banking Corp. (NY), 0.190%, 3/10/2021   60,000,917 
 37,000,000   Toronto-Dominion Bank (NY), 0.250%, 3/23/2021   37,001,936 
 30,000,000   Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.331%, 6/11/2021(a)(b)   30,014,195 
 50,000,000   Bank of Montreal (IL), 0.240%, 6/23/2021   49,995,652 
 30,000,000   Cooperatieve Rabobank UA, 0.230%, 7/20/2021(b)   30,000,150 
    

 

 

 
     842,028,540 
    

 

 

 
  Treasuries — 22.9%

 

 25,000,000   U.S. Treasury Bills, 0.060%, 1/05/2021(c)   24,999,997 
 25,700,000   U.S. Treasury Bills, 0.090%, 1/07/2021(c)(d)(f)   25,699,936 
 25,000,000   U.S. Treasury Bills, 0.065%, 1/26/2021(c)   24,999,274 
 47,700,000   U.S. Treasury Bills, 0.070%-0.100%, 2/04/2021(c)(d)(e)(f)   47,697,741 
 11,700,000   U.S. Treasury Bills, 0.075%, 2/18/2021(c)   11,699,049 
 25,000,000   U.S. Treasury Bills, 0.070%, 2/23/2021(c)   24,997,830 
 19,400,000   U.S. Treasury Bills, 0.090%, 3/04/2021(c)(d)   19,397,774 
 3,000,000   U.S. Treasury Bills, 0.060%, 3/11/2021(c)   2,999,588 
 50,000,000   U.S. Treasury Bills, 0.085%, 4/01/2021(c)   49,990,334 
 25,000,000   U.S. Treasury Cash Management Bills, 0.075%, 4/20/2021(c)   24,994,111 
 20,000,000   U.S. Treasury Cash Management Bills, 0.080%, 5/04/2021(c)   19,994,333 
 34,000,000   U.S. Treasury Cash Management Bills, 0.080%, 5/18/2021(c)   33,989,875 
 29,000,000   U.S. Treasury Bills, 0.070%, 6/17/2021(c)   28,989,101 
    

 

 

 
     340,448,943 
    

 

 

 
  Time Deposits — 8.8%

 

 61,000,000   Skandinaviska Enskilda Banken (NY), 0.040%, 1/04/2021   61,000,000 
 70,000,000   Canadian Imperial Bank of Commerce, 0.080%, 1/04/2021   70,000,000 
    

 

 

 
     131,000,000 
    

 

 

 
  Commercial Paper — 4.6%

 

 8,250,000   Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.200%, 1/05/2021(c)   8,249,843 
  Commercial Paper — continued

 

$60,000,000   Santander UK PLC, 0.180%, 2/09/2021(c)  $59,988,200 
    

 

 

 
     68,238,043 
    

 

 

 
  Repurchase Agreements — 0.1%

 

 826,932   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $826,932 on 1/04/2021 collateralized by $844,500 U.S. Treasury Bill, Zero Coupon due 12/30/2021 valued at $843,518 including accrued interest (Note 2 of Notes to Financial Statements)   826,932 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $1,382,514,102)
   1,382,542,458 
    

 

 

 
    
  Total Investments — 93.0%
(Identified Cost $1,382,514,102)
   1,382,542,458 
  Other assets less liabilities — 7.0%   103,544,217 
    

 

 

 
  Net Assets — 100.0%  $1,486,086,675 
    

 

 

 
    
 (†)   See Note 2 of Notes to Financial Statements.

 

 (a)   Variable rate security. Rate as of December 31, 2020 is disclosed.

 

 (b)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

 (c)   Interest rate represents discount rate at time of purchase; not a coupon rate.

 

 (d)   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

 (e)   The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

 (f)   A portion of the security is held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

 

  
 LIBOR   London Interbank Offered Rate

 

  
 CHF   Swiss Franc

 

 CNH   Chinese Yuan Renminbi Offshore

 

 MXN   Mexican Peso

 

 NOK   Norwegian Krone

 

 NZD   New Zealand Dollar

 

 PLN   Polish Zloty

 

 SEK   Swedish Krona

 

 SGD   Singapore Dollar

 

 TRY   Turkish Lira

 

 ZAR   South African Rand

 

 

See accompanying notes to financial statements.

 

|  22


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Managed Futures Strategy Fund – (continued)

 

At December 31, 2020, the Fund had the following open forward foreign currency contracts:

 

Counterparty  Delivery
Date
   Currency
Bought/
Sold (B/S)
  Units
of
Currency
   In Exchange
for
   Notional
Value
   Unrealized
Appreciation
(Depreciation)
 
UBS AG   3/17/2021   CHF   B    70,250,000   $79,275,688   $79,519,375   $243,687 
UBS AG   3/17/2021   CHF   B    6,125,000    6,937,829    6,933,184    (4,645
UBS AG   3/17/2021   CHF   S    4,375,000    4,940,466    4,952,274    (11,808
UBS AG   3/17/2021   CNH   B    732,000,000    111,567,117    112,035,308    468,191 
UBS AG   3/17/2021   CNH   S    62,000,000    9,462,514    9,489,329    (26,815
UBS AG   3/17/2021   MXN   B    664,000,000    33,067,097    33,097,324    30,227 
UBS AG   3/17/2021   MXN   S    35,000,000    1,737,908    1,744,588    (6,680
UBS AG   3/17/2021   NOK   B    286,000,000    32,688,794    33,347,422    658,628 
UBS AG   3/17/2021   NZD   B    211,100,000    148,760,270    151,933,408    3,173,138 
UBS AG   3/17/2021   NZD   S    46,400,000    32,779,508    33,395,121    (615,613
UBS AG   3/17/2021   PLN   B    143,500,000    39,142,684    38,425,646    (717,038
UBS AG   3/17/2021   SEK   B    536,000,000    63,599,034    65,197,285    1,598,251 
UBS AG   3/17/2021   SEK   B    70,000,000    8,556,823    8,514,570    (42,253
UBS AG   3/17/2021   SGD   B    263,625,000    197,040,782    199,488,438    2,447,656 
UBS AG   3/17/2021   SGD   S    8,000,000    6,008,008    6,053,703    (45,695
UBS AG   3/17/2021   TRY   B    41,100,000    5,132,566    5,375,849    243,283 
UBS AG   3/17/2021   TRY   B    59,100,000    7,832,957    7,730,236    (102,721
UBS AG   3/17/2021   TRY   S    148,500,000    18,207,917    19,423,689    (1,215,772
UBS AG   3/17/2021   ZAR   B    423,000,000    27,784,981    28,523,946    738,965 
              

 

 

 
Total

 

  $6,812,986 
              

 

 

 

At December 31, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

2 Year U.S. Treasury Note

   3/31/2021    2,827   $623,955,567   $624,700,741   $745,174 

3 Year Australia Government Bond

   3/15/2021    2,484    224,782,876    224,898,651    115,775 

5 Year U.S. Treasury Note

   3/31/2021    1,701    214,007,062    214,605,071    598,009 

10 Year Australia Government Bond

   3/15/2021    343    38,819,724    38,932,910    113,186 

10 Year Canada Government Bond

   3/22/2021    409    47,721,486    47,907,848    186,362��

10 Year U.S. Treasury Note

   3/22/2021    612    84,336,468    84,503,812    167,344 

30 Year U.S. Treasury Bond

   3/22/2021    128    22,253,000    22,168,000    (85,000

AEX-Index®

   1/15/2021    77    11,591,883    11,749,539    157,656 

ASX SPI 200

   3/18/2021    215    27,179,553    27,088,388    (91,165

Australian Dollar

   3/15/2021    1,657    124,363,070    127,589,000    3,225,930 

Brazilian Real

   1/29/2021    10    195,500    192,250    (3,250

British Pound

   3/15/2021    743    62,321,472    63,428,981    1,107,509 

CAC 40®

   1/15/2021    102    6,901,431    6,905,792    4,361 

Canadian Dollar

   3/16/2021    1,570    122,793,522    122,993,800    200,278 

DAX

   3/19/2021    32    13,086,911    13,434,241    347,330 

E-mini Dow

   3/19/2021    198    29,608,360    30,192,030    583,670 

E-mini NASDAQ 100

   3/19/2021    151    37,344,321    38,914,210    1,569,889 

E-mini Russell 2000

   3/19/2021    375    35,787,492    37,027,500    1,240,008 

E-mini S&P 500®

   3/19/2021    238    43,956,817    44,610,720    653,903 

E-mini S&P MidCap 400®

   3/19/2021    187    42,125,615    43,075,450    949,835 

Euribor

   3/15/2021    1,203    369,402,674    369,413,654    10,980 

Euro

   3/15/2021    1,335    203,237,870    204,355,125    1,117,255 

Euro Schatz

   3/08/2021    674    92,479,290    92,446,354    (32,936

EURO STOXX 50®

   3/19/2021    348    14,918,791    15,092,265    173,474 

Euro-BTP

   3/08/2021    385    70,807,425    71,495,666    688,241 

Euro-Buxl® 30 Year Bond

   3/08/2021    116    31,715,013    31,919,077    204,064 

Euro-OAT

   3/08/2021    604    123,215,981    123,859,974    643,993 

Eurodollar

   6/14/2021    4,316    1,076,842,000    1,077,219,650    377,650 

FTSE 100 Index

   3/19/2021    56    4,967,747    4,916,438    (51,309

FTSE China A50 Index

   1/28/2021    1,601    27,097,694    28,356,912    1,259,218 

FTSE MIB

   3/19/2021    63    8,352,513    8,515,677    163,164 

FTSE Taiwan Index

   1/28/2021    348    17,105,040    17,758,440    653,400 

FTSE/JSE Top 40 Index

   3/18/2021    84    3,131,381    3,122,376    (9,005

German Euro BOBL

   3/08/2021    564    93,133,569    93,140,459    6,890 

 

See accompanying notes to financial statements.

 

23  |


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Managed Futures Strategy Fund – (continued)

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

German Euro Bund

   3/08/2021    275   $59,399,986   $59,678,828   $278,842 

Hang Seng China Enterprises Index

   1/28/2021    194    13,049,462    13,389,277    339,815 

Hang Seng Index®

   1/28/2021    73    12,320,860    12,815,220    494,360 

IBEX 35

   1/15/2021    58    5,727,602    5,718,551    (9,051

Indian Rupee

   1/27/2021    758    20,418,066    20,700,980    282,914 

Japanese Yen

   3/15/2021    826    99,348,769    100,038,925    690,156 

MSCI EAFE Index

   3/19/2021    445    46,937,295    47,410,300    473,005 

MSCI Emerging Markets Index

   3/19/2021    679    42,247,380    43,734,390    1,487,010 

MSCI Singapore

   1/28/2021    78    1,888,029    1,908,096    20,067 

Nikkei 225

   3/11/2021    121    30,862,428    32,155,731    1,293,303 

OMXS30®

   1/15/2021    690    15,865,709    15,751,768    (113,941

S&P/TSX 60 Index

   3/18/2021    238    38,923,172    38,475,638    (447,534

Short Sterling

   3/17/2021    2,169    370,714,620    370,726,577    11,957 

Short-Term Euro-BTP

   3/08/2021    422    58,296,849    58,379,335    82,486 

TOPIX

   3/11/2021    134    22,798,702    23,418,042    619,340 

UK Long Gilt

   3/29/2021    415    76,332,335    76,920,689    588,354 

Ultra 10 Year U.S. Treasury Note

   3/22/2021    196    30,768,938    30,646,438    (122,500

Ultra Long U.S. Treasury Bond

   3/22/2021    59    12,645,359    12,600,187    (45,172
          

 

 

 

Total

 

  $22,915,294 
  

 

 

 
Commodity Futures1  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

   3/17/2021    670   $31,200,225   $33,123,125   $1,922,900 

Brent Crude Oil

   1/29/2021    141    7,188,520    7,303,800    115,280 

Cocoa

   3/16/2021    123    3,379,880    3,201,690    (178,190

Coffee

   3/19/2021    27    1,267,950    1,298,531    30,581 

Copper

   3/29/2021    770    63,083,100    67,740,750    4,657,650 

Copper LME

   3/17/2021    275    48,153,531    53,396,406    5,242,875 

Corn

   3/12/2021    1,280    26,918,575    30,976,000    4,057,425 

Cotton

   3/09/2021    355    12,657,835    13,866,300    1,208,465 

Gasoline

   1/29/2021    74    4,200,437    4,382,591    182,154 

Gold

   2/24/2021    142    26,843,460    26,910,420    66,960 

Low Sulfur Gasoil

   2/11/2021    27    1,132,725    1,142,100    9,375 

New York Harbor ULSD

   1/29/2021    119    7,417,372    7,417,032    (340

Nickel LME

   3/17/2021    257    24,646,611    25,609,536    962,925 

Palladium

   3/29/2021    8    1,864,790    1,963,040    98,250 

Platinum

   4/28/2021    61    3,175,580    3,291,560    115,980 

Silver

   3/29/2021    107    13,247,985    14,130,420    882,435 

Soybean

   3/12/2021    651    33,936,350    42,673,050    8,736,700 

Soybean Meal

   3/12/2021    748    28,172,300    32,119,120    3,946,820 

Soybean Oil

   3/12/2021    607    12,749,526    15,442,080    2,692,554 

Sugar

   2/26/2021    680    11,230,139    11,797,184    567,045 

Wheat

   3/12/2021    445    13,689,712    14,251,125    561,413 

WTI Crude Oil

   1/20/2021    33    1,585,060    1,601,160    16,100 

Zinc LME

   3/17/2021    295    18,999,471    20,276,308    1,276,837 
          

 

 

 

Total

 

  $37,172,194 
  

 

 

 

At December 31, 2020, open short futures contracts were as follows:

 

Commodity Futures1  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

Copper LME

   3/17/2021    89   $15,663,080   $17,281,019   $(1,617,939

Lean Hog

   2/12/2021    29    745,920    815,190    (69,270

Live Cattle

   2/26/2021    185    8,243,020    8,511,850    (268,830

Natural Gas

   1/27/2021    401    9,750,150    10,181,390    (431,240

Nickel LME

   3/17/2021    102    9,834,046    10,164,096    (330,050

Zinc LME

   3/17/2021    40    2,829,938    2,749,330    80,608 
          

 

 

 

Total

 

  $(2,636,721
  

 

 

 

1 Commodity futures are held by AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  24


Consolidated Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Managed Futures Strategy Fund – (continued)

 

Investment Summary at December 31, 2020

 

Certificates of Deposit

   56.6

Treasuries

   22.9 

Time Deposits

   8.8 

Commercial Paper

   4.6 

Repurchase Agreements

   0.1 
  

 

 

 

Total Investments

   93.0 

Other assets less liabilities (including forward foreign currency and futures contracts)

   7.0 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Multi-Asset Fund

 

    
Shares
   Description  Value (†) 
 Exchange-Traded Funds — 32.2% of Net Assets 
 13,272   iShares® Core U.S. Aggregate Bond ETF  $1,568,618 
 4,958   iShares® JP Morgan USD Emerging Markets Bond ETF   574,682 
 6,965   iShares® MSCI Emerging Markets Minimum Volatility Factor ETF   425,422 
 11,425   SPDR® Bloomberg Barclays International Treasury Bond ETF   356,803 
 3,312   Vanguard FTSE All World ex-U.S. Small-Cap ETF   403,534 
 14,957   Vanguard FTSE Developed Markets ETF   706,120 
 9,818   Vanguard FTSE Emerging Markets ETF   491,980 
 12,387   Vanguard FTSE Europe ETF   746,193 
 9,489   Vanguard FTSE Pacific ETF   755,229 
 7,960   Vanguard Intermediate-Term Corporate Bond ETF   773,234 
 5,453   Vanguard Mid-Cap ETF   1,127,517 
 13,202   Vanguard Total International Bond ETF   772,977 
 5,812   Vanguard Total Stock Market ETF   1,131,248 
 9,362   Vanguard Value ETF   1,113,704 
    

 

 

 
  Total Exchange-Traded Funds
(Identified Cost $8,946,876)
   10,947,261 
    

 

 

 
    
Principal
Amount
   Description  Value (†) 
 Short-Term Investments — 62.9% 
  Treasuries — 28.0%

 

$8,900,000   U.S. Treasury Bills, 0.055%-0.060%, 1/05/2021(a)(b)   8,899,999 
 300,000   U.S. Treasury Bills, 0.065%, 1/07/2021(a)(c)   299,999 
 300,000   U.S. Treasury Bills, 0.090%, 2/04/2021(a)(c)   299,986 
    

 

 

 
     9,499,984 
    

 

 

 
  Certificates of Deposit — 14.7%

 

 1,500,000   Svenska Handelsbanken (NY), 1-month LIBOR + 0.250%, 0.402%, 1/04/2021(d)   1,500,044 
 1,000,000   Landesbank Hessen-Thueringen Girozentrale (NY), 0.170%, 1/27/2021(e)   1,000,025 
 1,000,000   Mitsubishi UFJ Trust & Banking Corp. (NY), 0.230%, 2/10/2021(e)   1,000,098 
 1,000,000   Landesbank Hessen-Thueringen Girozentrale (NY), 0.210%, 2/18/2021(e)   1,000,069 
 500,000   Royal Bank of Canada (NY), 3-month LIBOR + 0.110%, 0.331%, 6/11/2021(d)(e)   500,237 
    

 

 

 
     5,000,473 
    

 

 

 
  Time Deposits — 9.4%

 

$1,600,000   Skandinaviska Enskilda Banken (NY), 0.040%, 1/04/2021  $1,600,000 
 1,600,000   Canadian Imperial Bank of Commerce, 0.080%, 1/04/2021   1,600,000 
    

 

 

 
     3,200,000 
    

 

 

 
  Commercial Paper — 3.5%

 

 1,200,000   Santander UK PLC, 0.180%, 2/09/2021(a)(e)   1,199,764 
    

 

 

 
  Repurchase Agreements — 7.3%

 

 2,466,749   Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $2,466,749 on 1/04/2021 collateralized by $2,519,100 U.S. Treasury Bill, Zero Coupon due 12/30/2021 valued at $2,516,170 including accrued interest (Note 2 of Notes to Financial Statements)   2,466,749 
    

 

 

 
  Total Short-Term Investments
(Identified Cost $21,366,459)
   21,366,970 
    

 

 

 
    
  Total Investments — 95.1%
(Identified Cost $30,313,335)
   32,314,231 
  Other assets less liabilities — 4.9%   1,681,165 
    

 

 

 
  Net Assets — 100.0%  $33,995,396 
    

 

 

 
    
 (†)   See Note 2 of Notes to Financial Statements.

 

 (a)   Interest rate represents discount rate at time of purchase; not a coupon rate.

 

 (b)   The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

 (c)   Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

 

 (d)   Variable rate security. Rate as of December 31, 2020 is disclosed.

 

 (e)   Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  
 ETF   Exchange-Traded Fund

 

 LIBOR   London Interbank Offered Rate

 

 SPDR®   Standard & Poor’s Depositary Receipt

 

 

At December 31, 2020, open long futures contracts were as follows:

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

10 Year Australia Government Bond

   3/15/2021    78   $8,827,809   $8,853,548   $25,739 

10 Year Canada Government Bond

   3/22/2021    75    8,750,884    8,785,058    34,174 

10 Year U.S. Treasury Note

   3/22/2021    89    12,267,851    12,288,953    21,102 

30 Year U.S. Treasury Bond

   3/22/2021    15    2,592,938    2,597,813    4,875 

ASX SPI 200

   3/18/2021    11    1,390,582    1,385,918    (4,664

Australian Dollar

   3/15/2021    4    304,880    308,000    3,120 

Canadian Dollar

   3/16/2021    18    1,409,351    1,410,120    769 

E-mini Dow

   3/19/2021    7    1,046,965    1,067,395    20,430 

E-mini NASDAQ 100

   3/19/2021    3    756,051    773,130    17,079 

E-mini Russell 2000

   3/19/2021    8    767,968    789,920    21,952 

E-mini S&P 500®

   3/19/2021    5    922,927    937,200    14,273 

EURO STOXX 50®

   3/19/2021    28    1,199,098    1,214,320    15,222 

Euro-BTP

   3/08/2021    26    4,788,844    4,828,279    39,435 

Euro-OAT

   3/08/2021    23    4,695,522    4,716,522    21,000 

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of December 31, 2020

 

AlphaSimplex Multi-Asset Fund – (continued)

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

FTSE 100 Index

   3/19/2021    11   $976,792   $965,729   $(11,063

Hang Seng Index®

   1/28/2021    2    337,558    351,102    13,544 

MSCI EAFE Index

   3/19/2021    13    1,362,920    1,385,020    22,100 

MSCI Emerging Markets Index

   3/19/2021    22    1,368,840    1,417,020    48,180 

New Zealand Dollar

   3/15/2021    29    2,050,900    2,084,520    33,620 

S&P/TSX 60 Index

   3/18/2021    7    1,145,042    1,131,636    (13,406

TOPIX

   3/11/2021    9    1,531,161    1,572,854    41,693 

UK Long Gilt

   3/29/2021    34    6,235,913    6,301,936    66,023 
          

 

 

 

Total

 

  $435,197 
  

 

 

 

At December 31, 2020, open short futures contracts were as follows:

 

Financial and Currency Futures  Expiration
Date
   Contracts   Notional
Amount
   Value   Unrealized
Appreciation
(Depreciation)
 

Euro

   3/15/2021    13   $1,974,689   $1,989,975   $(15,286

German Euro Bund

   3/08/2021    4    867,921    868,056    (135

U.S. Dollar Index

   3/15/2021    36    3,264,984    3,236,184    28,800 
          

 

 

 

Total

 

  $13,379 
  

 

 

 

Investment Summary at December 31, 2020

 

Exchange-Traded Funds

   32.2

Treasuries

   28.0 

Certificates of Deposit

   14.7 

Time Deposits

   9.4 

Repurchase Agreements

   7.3 

Commercial Paper

   3.5 
  

 

 

 

Total Investments

   95.1 

Other assets less liabilities (including futures contracts)

   4.9 
  

 

 

 

Net Assets

   100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

27  |


Statements of Assets and Liabilities

 

December 31, 2020

 

   AlphaSimplex
Global
Alternatives
Fund
(Consolidated*)
  AlphaSimplex
Managed
Futures Strategy
Fund
(Consolidated*)
  AlphaSimplex
Multi-Asset
Fund
 

ASSETS

    

Investments at cost

  $430,398,127  $1,382,514,102  $30,313,335 

Net unrealized appreciation

   30,683,154   28,356   2,000,896 
  

 

 

  

 

 

  

 

 

 

Investments at value

   461,081,281   1,382,542,458   32,314,231 

Cash

   8,816,364   14,816,630    

Due from brokers (including variation margin on futures contracts) (Note 2)

   42,907,715   59,477,421   983,533 

Receivable for Fund shares sold

   1,392,616   6,224,470   787 

Receivable for securities sold

   210,436      422,891 

Dividends and interest receivable

   308,659   238,629   3,512 

Unrealized appreciation on forward foreign currency contracts (Note 2)

   1,344,458   9,602,026    

Unrealized appreciation on futures contracts (Note 2)

   15,887,055   61,357,489   493,130 

Prepaid expenses (Note 8)

   48   100   2 
  

 

 

  

 

 

  

 

 

 

TOTAL ASSETS

   531,948,632   1,534,259,223   34,218,086 
  

 

 

  

 

 

  

 

 

 

LIABILITIES

    

Payable for Fund shares redeemed

   699,147   1,306,300   9,881 

Unrealized depreciation on forward foreign currency contracts (Note 2)

   711,638   2,789,040    

Due to brokers (including variation margin on futures contracts) (Note 2)

   336,160   37,879,994   64,656 

Unrealized depreciation on futures contracts (Note 2)

   5,928,228   3,906,722   44,554 

Management fees payable (Note 6)

   462,881   1,494,668   3,987 

Deferred Trustees’ fees (Note 6)

   309,566   295,965   30,878 

Administrative fees payable (Note 6)

   33,058   74,285   1,389 

Payable to distributor (Note 6d)

   4,515   18,119   1,063 

Other accounts payable and accrued expenses

   173,824   407,455   66,282 
  

 

 

  

 

 

  

 

 

 

TOTAL LIABILITIES

   8,659,017   48,172,548   222,690 
  

 

 

  

 

 

  

 

 

 

NET ASSETS

  $523,289,615  $1,486,086,675  $33,995,396 
  

 

 

  

 

 

  

 

 

 

NET ASSETS CONSIST OF:

    

Paid-in capital

  $607,757,357  $1,509,991,114  $34,860,038 

Accumulated loss

   (84,467,742  (23,904,439  (864,642
  

 

 

  

 

 

  

 

 

 

NET ASSETS

  $523,289,615  $1,486,086,675  $33,995,396 
  

 

 

  

 

 

  

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

    

Class A shares:

    

Net assets

  $15,583,964  $170,441,782  $341,182 
  

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

   1,461,045   16,755,533   34,019 
  

 

 

  

 

 

  

 

 

 

Net asset value and redemption price per share

  $10.67  $10.17  $10.03 
  

 

 

  

 

 

  

 

 

 

Offering price per share (100/94.25 of net asset value) (Note 1)

  $11.32  $10.79  $10.64 
  

 

 

  

 

 

  

 

 

 

Class 81C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)

    

Net assets

  $5,058,541  $19,792,691  $21,692 
  

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

   504,790   2,055,859   2,195 
  

 

 

  

 

 

  

 

 

 

Net asset value and offering price per share

  $10.02  $9.63  $9.88 
  

 

 

  

 

 

  

 

 

 

Class N shares:

 

Net assets

  $130,516  $133,730,527  $ 
  

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

   12,066   12,986,680    
  

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

  $10.82  $10.30  $ 
  

 

 

  

 

 

  

 

 

 

Class Y shares:

 

Net assets

  $502,516,594  $1,162,121,675  $33,632,522 
  

 

 

  

 

 

  

 

 

 

Shares of beneficial interest

   46,375,193   113,069,089   3,346,665 
  

 

 

  

 

 

  

 

 

 

Net asset value, offering and redemption price per share

  $10.84  $10.28  $10.05 
  

 

 

  

 

 

  

 

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  28


Statements of Operations

 

For the Year Ended December 31, 2020

 

   AlphaSimplex
Global
Alternatives
Fund
(Consolidated*)
  AlphaSimplex
Managed
Futures Strategy
Fund
(Consolidated*)
  AlphaSimplex
Multi-Asset
Fund
 

INVESTMENT INCOME

    

Interest

  $3,674,016  $10,275,169  $133,214 

Dividends

   4,043,649      302,318 

Less net foreign taxes withheld

   (6,142      
  

 

 

  

 

 

  

 

 

 
   7,711,523   10,275,169   435,532 
  

 

 

  

 

 

  

 

 

 

Expenses

    

Management fees (Note 6)

   7,490,248   19,498,755   282,566 

Service and distribution fees (Note 6)

   125,875   703,113   1,380 

Administrative fees (Note 6)

   370,585   814,248   17,766 

Trustees’ and directors’ fees and expenses (Note 6)

   95,786   125,506   21,034 

Transfer agent fees and expenses (Notes 6 and 7)

   460,948   2,769,677   63,619 

Audit and tax services fees

   87,423   75,978   59,615 

Custodian fees and expenses

   102,543   181,982   12,276 

Legal fees (Note 8)

   22,183   44,198   1,293 

Registration fees

   75,946   103,508   45,657 

Shareholder reporting expenses

   33,400   137,769   16,070 

Miscellaneous expenses (Note 8)

   76,281   102,147   32,546 
  

 

 

  

 

 

  

 

 

 

Total expenses

   8,941,218   24,556,881   553,822 

Less waiver and/or expense reimbursement (Note 6)

   (395,129  (1,355,795  (189,097
  

 

 

  

 

 

  

 

 

 

Net expenses

   8,546,089   23,201,086   364,725 
  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (834,566  (12,925,917  70,807 
  

 

 

  

 

 

  

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAP AGREEMENTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS

    

Net realized gain (loss) on:

    

Investments

   (8,957,549  132   137,540 

Futures contracts

   (20,920,384  150,604,650   (2,767,109

Swap agreements

   (27,001,268      

Forward foreign currency contracts (Note 2e)

   711,523   (2,679,889   

Foreign currency transactions (Note 2d)

   843,188   (1,131,483  70,668 

Distributions of capital gains received from investments

         2,765 

Net change in unrealized appreciation (depreciation) on:

    

Investments

   16,501,325   (58,702  (236,163

Futures contracts

   5,354,406   46,907,372   (97,136

Forward foreign currency contracts (Note 2e)

   1,890,310   9,986,341    

Foreign currency translations (Note 2d)

   (10,673  (22,808  (2,632
  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions

   (31,589,122  203,605,613   (2,892,067
  

 

 

  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $(32,423,688 $190,679,696  $(2,821,260
  

 

 

  

 

 

  

 

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

29  |


Statements of Changes in Net Assets

 

 

   AlphaSimplex Global
Alternatives Fund
(Consolidated*)
  AlphaSimplex Managed
Futures Strategy Fund
(Consolidated*)
 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2020
  Year Ended
December 31,
2019
 

FROM OPERATIONS:

     

Net investment income (loss)

  $(834,566 $12,779,334  $(12,925,917 $12,884,018 

Net realized gain (loss) on investments, futures contracts, swap agreements, forward foreign currency contracts and foreign currency transactions

   (55,324,490  46,725,936   146,793,410   172,692,001 

Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations

   23,735,368   44,540,700   56,812,203   (46,336,670
  

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   (32,423,688  104,045,970   190,679,696   139,239,349 
  

 

 

  

 

 

  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

     

Class A

   (350,065  (228,062  (5,200,492  (10,061,550

Class C

   (63,850  (8,948  (498,058  (839,596

Class N

   (3,354  (6,327  (4,653,921  (5,760,322

Class Y

   (12,812,860  (9,035,275  (38,834,778  (57,921,320
  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

   (13,230,129  (9,278,612  (49,187,249  (74,582,788
  

 

 

  

 

 

  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

   (252,979,174  (468,465,733  (229,316,445  (559,082,083
  

 

 

  

 

 

  

 

 

  

 

 

 

Net decrease in net assets

   (298,632,991  (373,698,375  (87,823,998  (494,425,522

NET ASSETS

     

Beginning of the year

   821,922,606   1,195,620,981   1,573,910,673   2,068,336,195 
  

 

 

  

 

 

  

 

 

  

 

 

 

End of the year

  $523,289,615  $821,922,606  $1,486,086,675  $1,573,910,673 
  

 

 

  

 

 

  

 

 

  

 

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

 

See accompanying notes to financial statements.

 

|  30


Statements of Changes in Net Assets (continued)

 

 

       
AlphaSimplex Multi-Asset
Fund
 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
 

FROM OPERATIONS:

   

Net investment income

  $70,807  $712,436 

Net realized gain (loss) on investments, futures contracts and foreign currency transactions

   (2,556,136  3,192,731 

Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations

   (335,931  2,576,585 
  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   (2,821,260  6,481,752 
  

 

 

  

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

   

Class A

   (8,048  (8,974

Class C

   (3,365  (421

Class Y

   (888,624  (1,018,840
  

 

 

  

 

 

 

Total distributions

   (900,037  (1,028,235
  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)

   (6,444,168  415,711 
  

 

 

  

 

 

 

Net increase (decrease) in net assets

   (10,165,465  5,869,228 

NET ASSETS

   

Beginning of the year

   44,160,861   38,291,633 
  

 

 

  

 

 

 

End of the year

  $33,995,396  $44,160,861 
  

 

 

  

 

 

 

 

See accompanying notes to financial statements.

 

31  |


Financial Highlights

 

For a share outstanding throughout each period

 

   AlphaSimplex Global Alternatives Fund (Consolidated*)—Class A 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.18  $10.24  $11.04  $10.02  $10.48 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

   (0.03  0.11   0.06   (0.03  (0.09

Net realized and unrealized gain (loss)

   (0.24  0.93   (0.75  1.10   (0.37
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

   (0.27  1.04   (0.69  1.07   (0.46
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

   (0.24  (0.10  (0.11  (0.05   
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

  $10.67  $11.18  $10.24  $11.04  $10.02 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

   (2.38)%(c)   10.26%(c)   (6.35)%(c)   10.66  (4.39)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

  $15,584  $25,341  $33,649  $49,904  $76,207 

Net expenses

   1.52%(d)(e)   1.54%(d)   1.54%(d)   1.57%(f)(g)   1.56%(h) 

Gross expenses

   1.58  1.57  1.55  1.57%(f)   1.56%(h) 

Net investment income (loss)

   (0.33)%   0.97  0.58  (0.26)%   (0.93)% 

Portfolio turnover rate(i)

   232%(j)   125  59    

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Effective July 1, 2020, the expense limit decreased from 1.54% to 1.49%. See Note 6 of Notes to Financial Statements.

(f)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.55% and the ratio of gross expenses would have been 1.56%.

(g)

Effective July 1, 2017, the expense limit decreased from 1.60% to 1.54%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.54% and the ratio of gross expenses would have been 1.54%.

(i)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

 

See accompanying notes to financial statements.

 

|  32


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Global Alternatives Fund (Consolidated*)—Class C 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $10.48  $9.59  $10.33  $9.40  $9.91 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

   (0.11  0.02   (0.02  (0.10  (0.15

Net realized and unrealized gain (loss)

   (0.22  0.88   (0.70  1.03   (0.36
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

   (0.33  0.90   (0.72  0.93   (0.51
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

   (0.13  (0.01  (0.02      
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

  $10.02  $10.48  $9.59  $10.33  $9.40 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return(b)

   (3.17)%(c)   9.48%(c)   (7.09)%(c)   9.89  (5.15)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

  $5,059  $11,171  $15,537  $24,521  $38,412 

Net expenses

   2.27%(d)(e)   2.29%(d)   2.29%(d)   2.32%(f)(g)   2.31%(h) 

Gross expenses

   2.33  2.32  2.30  2.32%(g)   2.31%(h) 

Net investment income (loss)

   (1.08)%   0.23  (0.17)%   (1.00)%   (1.68)% 

Portfolio turnover rate(i)

   232%(j)   125  59    

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Effective July 1, 2020, the expense limit decreased from 2.29% to 2.24%. See Note 6 of Notes to Financial Statements.

(f)

Effective July 1, 2017, the expense limit decreased from 2.35% to 2.29%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.30% and the ratio of gross expenses would have been 2.31%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.29% and the ratio of gross expenses would have been 2.29%.

(i)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

 

See accompanying notes to financial statements.

 

33  |


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Global Alternatives Fund (Consolidated*)—Class N 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.35  $10.40  $11.22  $10.19  $10.63 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

   0.00(b)   0.15   0.10   0.01   (0.06

Net realized and unrealized gain (loss)

   (0.24  0.94   (0.77  1.11   (0.38
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

   (0.24  1.09   (0.67  1.12   (0.44
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

   (0.29  (0.14  (0.15  (0.09   
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

  $10.82  $11.35  $10.40  $11.22  $10.19 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

   (2.06)%(c)   10.48%(c)   (6.08)%(c)   10.98  (4.05)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

  $131  $526  $14,377  $10,376  $9,639 

Net expenses

   1.22%(d)(e)   1.24%(d)   1.24%(d)   1.26%(f)(g)   1.24%(h) 

Gross expenses

   1.68  1.26  1.25  1.26%(g)   1.24%(h) 

Net investment income (loss)

   0.02  1.38  0.94  0.09  (0.56)% 

Portfolio turnover rate(i)

   232%(j)   125  59    

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Effective July 1, 2020, the expense limit decreased from 1.24% to 1.19%. See Note 6 of Notes to Financial Statements.

(f)

Effective July 1, 2017, the expense limit decreased from 1.30% to 1.24%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.24% and the ratio of gross expenses would have been 1.24%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.22% and the ratio of gross expenses would have been 1.22%.

(i)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

 

See accompanying notes to financial statements.

 

|  34


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Global Alternatives Fund (Consolidated*)—Class Y 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.36  $10.40  $11.22  $10.19  $10.64 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

      

Net investment income (loss)(a)

   (0.01  0.14   0.09   0.00(b)   (0.07

Net realized and unrealized gain (loss)

   (0.23  0.95   (0.77  1.11   (0.38
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total from Investment Operations

   (0.24  1.09   (0.68  1.11   (0.45
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

      

Net investment income

   (0.28  (0.13  (0.14  (0.08   
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

  $10.84  $11.36  $10.40  $11.22  $10.19 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total return

   (2.12)%(c)   10.49%(c)   (6.04)%(c)   10.93  (4.23)% 

RATIOS TO AVERAGE NET ASSETS:

      

Net assets, end of the period (000’s)

  $502,517  $784,884  $1,132,058  $1,559,650  $1,504,641 

Net expenses

   1.27%(d)(e)   1.29%(d)   1.29%(d)   1.32%(f)(g)   1.31%(h) 

Gross expenses

   1.33  1.32  1.30  1.32%(g)   1.31%(h) 

Net investment income (loss)

   (0.11)%   1.23  0.85  0.02  (0.67)% 

Portfolio turnover rate(i)

   232%(j)   125  59    

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Effective July 1, 2020, the expense limit decreased from 1.29% to 1.24%. See Note 6 of Notes to Financial Statements.

(f)

Effective July 1, 2017, the expense limit decreased from 1.35% to 1.29%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.30% and the ratio of gross expenses would have been 1.31%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 1.29%.

(i)

Prior to 2018, the portfolio turnover rate was not reported due to the short term nature of the portfolio of investments.

(j)

The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to an increase in shareholder activity and reallocations in investment models resulting in increased equity security transactions.

 

See accompanying notes to financial statements.

 

35  |


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class A 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
   Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $9.26  $8.97  $10.38   $9.78  $10.37 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss)(a)

   (0.10  0.04   0.02    (0.06  (0.12

Net realized and unrealized gain (loss)

   1.33   0.69   (1.31   0.66   (0.47
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total from Investment Operations

   1.23   0.73   (1.29   0.60   (0.59
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

   (0.32  (0.44          

Net realized capital gains

         (0.12       
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total Distributions

   (0.32  (0.44  (0.12       
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Net asset value, end of the period

  $10.17  $9.26  $8.97   $10.38  $9.78 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total return(b)

   13.27%(c)   8.09%(c)   (12.55)%    6.13  (5.69)%(c) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $170,442  $222,059  $133,996   $299,505  $463,235 

Net expenses

   1.70%(d)   1.70%(d)   1.70   1.75%(e)(f)   1.74%(d)(g) 

Gross expenses

   1.80  1.79  1.70   1.75%(e)(f)   1.75%(g) 

Net investment income (loss)

   (0.99)%   0.47  0.21   (0.61)%   (1.11)% 

Portfolio turnover rate(h)

            

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

A sales charge for Class A shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.70%.

(f)

Includes fee/expense recovery of 0.01%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.70% and the ratio of gross expenses would have been 1.71%.

(h)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

See accompanying notes to financial statements.

 

|  36


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class C 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
   Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $8.78  $8.51  $9.93   $9.42  $10.07 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment loss(a)

   (0.16  (0.02  (0.05   (0.13  (0.19

Net realized and unrealized gain (loss)

   1.26   0.64   (1.25   0.64   (0.46
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total from Investment Operations

   1.10   0.62   (1.30   0.51   (0.65
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

       

Net investment income

   (0.25  (0.35          

Net realized capital gains

         (0.12       
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total Distributions

   (0.25  (0.35  (0.12       
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Net asset value, end of the period

  $9.63  $8.78  $8.51   $9.93  $9.42 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total return(b)

   12.48%(c)   7.30%(c)   (13.22)%    5.41  (6.45)%(c) 

RATIOS TO AVERAGE NET ASSETS:

       

Net assets, end of the period (000’s)

  $19,793  $21,621  $29,421   $53,661  $71,184 

Net expenses

   2.45%(d)   2.45%(d)   2.45   2.50%(e)(f)   2.49%(d)(g) 

Gross expenses

   2.54  2.53  2.45   2.50%(e)(f)   2.50%(g) 

Net investment loss

   (1.78)%   (0.24)%   (0.52)%    (1.36)%   (1.86)% 

Portfolio turnover rate(h)

            

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(e)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.45%.

(f)

Includes fee/expense recovery of 0.01%.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 2.45% and the ratio of gross expenses would have been 2.46%.

(h)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

See accompanying notes to financial statements.

 

37  |


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class N 
   Year Ended
December 31,
2020
   Year Ended
December 31,
2019
   Year Ended
December 31,
2018
   Period Ended
December 31,
2017**
 

Net asset value, beginning of the period

  $9.38   $9.07   $10.46   $9.81 
  

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income (loss)(a)

   (0.07   0.08    0.08    (0.01

Net realized and unrealized gain (loss)

   1.35    0.70    (1.35   0.67 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

   1.28    0.78    (1.27   0.66 
  

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

        

Net investment income

   (0.36   (0.47       (0.01

Net realized capital gains

           (0.12    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

   (0.36   (0.47   (0.12   (0.01
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $10.30   $9.38   $9.07   $10.46 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return

   13.77   8.45   (12.26)%    6.76%(b)(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $133,731   $117,258   $67,957   $1,017 

Net expenses

   1.35   1.36   1.36   1.34%(d)(e)(f) 

Gross expenses

   1.35   1.36   1.36   14.83%(d)(f) 

Net investment income (loss)

   (0.73)%    0.79   0.83   (0.17)%(d) 

Portfolio turnover rate(g)

            

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

**

From commencement of Class operations on May 1, 2017 through December 31, 2017.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Periods less than one year are not annualized.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Computed on an annualized basis for periods less than one year.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.29% and the ratio of gross expenses would have been 14.78%.

(g)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

See accompanying notes to financial statements.

 

|  38


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Managed Futures Strategy Fund (Consolidated*)—Class Y 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
  Year Ended
December 31,
2018
   Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $9.36  $9.06  $10.46   $9.83  $10.40 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

       

Net investment income (loss)(a)

   (0.08  0.07   0.05    (0.03  (0.09

Net realized and unrealized gain (loss)

   1.35   0.69   (1.33   0.67   (0.48
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total from Investment Operations

   1.27   0.76   (1.28   0.64   (0.57
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

   (0.35  (0.46      (0.01   

Net realized capital gains

         (0.12       
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total Distributions

   (0.35  (0.46  (0.12   (0.01   
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Net asset value, end of the period

  $10.28  $9.36  $9.06   $10.46  $9.83 
  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total return

   13.56%(b)   8.35%(b)   (12.35)%    6.48  (5.47)%(b) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $1,162,122  $1,212,973  $1,836,962   $3,102,626  $2,629,920 

Net expenses

   1.45%(c)   1.45%(c)   1.45   1.50%(d)(e)   1.49%(c)(f) 

Gross expenses

   1.54  1.53  1.45   1.50%(d)(e)   1.50%(f) 

Net investment income (loss)

   (0.80)%   0.77  0.49   (0.34)%   (0.85)% 

Portfolio turnover rate(g)

            

 

 

 

*

See Notes 1 and 2 of the Notes to Financial Statements.

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(d)

Includes fee/expense recovery of 0.01%.

(e)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.45%.

(f)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.45% and the ratio of gross expenses would have been 1.46%.

(g)

Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation.

 

See accompanying notes to financial statements.

 

39  |


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Multi-Asset Fund—Class A 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
   Year Ended
December 31,
2018
   Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.08  $9.71   $11.10   $10.08  $9.86 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

   (0.00)(b)   0.16    0.14    0.10   0.03 

Net realized and unrealized gain (loss)

   (0.83  1.45    (1.19   1.99   0.21 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total from Investment Operations

   (0.83  1.61    (1.05   2.09   0.24 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

   (0.01  (0.24   (0.13   (0.07  (0.02

Net realized capital gains

   (0.21      (0.21   (1.00   
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total Distributions

   (0.22  (0.24   (0.34   (1.07  (0.02
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Net asset value, end of the period

  $10.03  $11.08   $9.71   $11.10  $10.08 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total return(c)(d)

   (7.28)%   16.59   (9.61)%    20.79  2.41

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $341  $423   $323   $134  $29 

Net expenses(e)

   1.15%(f)   1.15   1.15   1.17%(g)   1.17%(h) 

Gross expenses

   1.62%(f)   1.62   1.62   1.74%(g)   1.80%(h) 

Net investment income (loss)

   (0.05)%   1.50   1.31   0.90  0.31

Portfolio turnover rate

   49  23   46   8  115%(i) 

 

 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A sales charge for Class A shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.19% and 1.66%, respectively.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.72%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.15% and the ratio of gross expenses would have been 1.78%.

(i)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

See accompanying notes to financial statements.

 

|  40


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Multi-Asset Fund—Class C 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
   Year Ended
December 31,
2018
  Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.00  $9.66   $10.99  $10.01  $9.85 
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

   (0.08  0.08    0.04   (0.00)(b)   (0.07

Net realized and unrealized gain (loss)

   (0.83  1.44    (1.16  1.99   0.23 
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

Total from Investment Operations

   (0.91  1.52    (1.12  1.99   0.16 
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

      (0.18   (0.00)(b)   (0.01  (0.00)(b) 

Net realized capital gains

   (0.21      (0.21  (1.00   
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

Total Distributions

   (0.21  (0.18   (0.21  (1.01  (0.00
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

Net asset value, end of the period

  $9.88  $11.00   $9.66  $10.99  $10.01 
  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

 

Total return(c)(d)

   (8.04)%   15.75   (10.30)%   19.92  1.63

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $22  $27   $14  $15  $9 

Net expenses(e)

   1.90%(f)   1.90   1.90  1.92%(g)   1.91%(h) 

Gross expenses

   2.38%(f)   2.38   2.34  2.49%(g)   2.51%(h) 

Net investment income (loss)

   (0.85)%   0.81   0.37  (0.02)%   (0.75)% 

Portfolio turnover rate

   49  23   46  8  115%(i) 

 

 

 

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 1.94% and 2.42%, respectively.

(g)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.47%.

(h)

Includes interest expense. Without this expense the ratio of net expenses would have been 1.90% and the ratio of gross expenses would have been 2.50%.

(i)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

See accompanying notes to financial statements.

 

41  |


Financial Highlights (continued)

 

For a share outstanding throughout each period

 

   AlphaSimplex Multi-Asset Fund— Class Y 
   Year Ended
December 31,
2020
  Year Ended
December 31,
2019
   Year Ended
December 31,
2018
   Year Ended
December 31,
2017
  Year Ended
December 31,
2016
 

Net asset value, beginning of the period

  $11.11  $9.73   $11.12   $10.09  $9.86 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

   0.02   0.18    0.15    0.11   0.03 

Net realized and unrealized gain (loss)

   (0.84  1.46    (1.18   2.01   0.23 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total from Investment Operations

   (0.82  1.64    (1.03   2.12   0.26 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

   (0.03  (0.26   (0.15   (0.09  (0.03

Net realized capital gains

   (0.21      (0.21   (1.00   
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total Distributions

   (0.24  (0.26   (0.36   (1.09  (0.03
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Net asset value, end of the period

  $10.05  $11.11   $9.73   $11.12  $10.09 
  

 

 

  

 

 

   

 

 

   

 

 

  

 

 

 

Total return(b)

   (7.03)%   16.82   (9.39)%    21.19  2.57

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

  $33,633  $43,712   $37,955   $39,571  $22,334 

Net expenses(c)

   0.90%(d)   0.90   0.90   0.92%(e)   0.91%(f) 

Gross expenses

   1.37%(d)   1.37   1.35   1.50%(e)   1.54%(f) 

Net investment income

   0.18  1.74   1.41   0.95  0.32

Portfolio turnover rate

   49  23   46   8  115%(g) 

 

 

 

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(c)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(d)

Does not include expenses of the underlying funds in which the Fund invests. Had underlying fund expenses been included, the net and gross expense ratios to average net assets would have been 0.94% and 1.41%, respectively.

(e)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.48%.

(f)

Includes interest expense. Without this expense the ratio of net expenses would have been 0.90% and the ratio of gross expenses would have been 1.53%.

(g)

The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to sales of equity securities in early 2016 in an effort to reduce risk. By mid-2016, in an effort to gain more exposure, the Fund returned to its normal investment strategy.

 

See accompanying notes to financial statements.

 

|  42


Notes to Financial Statements

 

December 31, 2020

 

1.  Organization.  Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

AlphaSimplex Global Alternatives Fund (the “Global Alternatives Fund”)

AlphaSimplex Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)

AlphaSimplex Multi-Asset Fund (the “Multi-Asset Fund”)

At close of business on April 30, 2020, Multi-Asset Fund adjusted its investment process, which included changes to enhance the Fund’s risk management and to allow the Fund to take short positions, among other items.

Each Fund is a diversified investment company, except for Multi-Asset Fund, which is a non-diversified investment company.

Each Fund offers Class A, Class C and Class Y shares. Global Alternatives Fund and Managed Futures Strategy Fund also offer Class N shares.

Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, pay higher Rule 12b-1 fees than Class A shares for ten years (at which point they automatically convert to Class A shares) and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are offered with an initial minimum investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Fund’s prospectus.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Natixis ETF Trust and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Class A and Class C), and transfer agent fees are borne collectively for Class A, Class C, Class Y, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through AlphaSimplex Global Alternatives Cayman Fund Ltd. and AlphaSimplex Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.

As of December 31, 2020, the value of each Fund’s investment in its respective Subsidiary was as follows:

 

Fund

  

Investment in

Subsidiary

   

Percentage of

Net Assets

 

Global Alternatives Fund

  $16,914,689    3.23

Managed Futures Strategy Fund

   46,532,942    3.13

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Consolidation.  The accompanying financial statements of Global Alternatives Fund and Managed Futures Strategy Fund present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.

 

43  |


Notes to Financial Statements (continued)

 

December 31, 2020

 

b.  Valuation.  Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Equity basket total return swaps are valued based on the value of the underlying listed equity securities as reported by an independent pricing service. If prices from an independent pricing service are not available, prices from a broker-dealer may be used.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

As of December 31, 2020, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:

 

   

Notional Value

   

Unrealized

Appreciation/

Depreciation*

   

Unrealized as a

Percentage of

Net Assets

 

Global Alternatives Fund

  $55,687,841   $1,395,106    0.27

Managed Futures Strategy Fund

   219,740,696    5,146,559    0.35

Multi-Asset Fund

   5,435,191    86,186    0.25

 

*

Amounts represent gross unrealized appreciation/(depreciation) at absolute value.

c.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, is recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

 

|  44


Notes to Financial Statements (continued)

 

December 31, 2020

 

d.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

e.  Forward Foreign Currency Contracts.  The Funds may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

f.  Futures Contracts.  The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Gross unrealized appreciation (depreciation) on futures contracts is recorded in the Statements of Assets and Liabilities as an asset (liability). The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

g.  Swap Agreements.  Global Alternatives Fund may enter into equity basket total return swap agreements. An equity basket total return swap is an agreement between two parties to exchange, for a specified period and based on the notional amount, the total return on an underlying basket of equity securities for, typically, fixed or floating interest payments. When a Fund pays interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may be required to pay the change in value to the counterparty in addition to the interest payment; conversely, when a Fund receives interest in exchange for the total return of an underlying asset and the value of the underlying asset decreases, the Fund may receive the change in value in

 

45  |


Notes to Financial Statements (continued)

 

December 31, 2020

 

addition to the interest payment. The Fund receives net interest or pays net total return depending on whether the values of the underlying assets decrease or increase. Dividends declared on short reference entity common stocks are accrued and paid to the counterparty. Equity basket total return swap agreements typically reset on a monthly basis.

The notional amounts of equity basket total return swap agreements are not recorded in the financial statements. Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements in the Consolidated Statement of Operations. Fees are accrued in accordance with the terms of the agreement and are included in due to/from brokers on the Consolidated Statement of Assets and Liabilities. Payments made or received by the Fund as a result of a reset or termination of the agreement are recorded as realized gain or loss on the Consolidated Statement of Operations.

Equity basket total return swap agreements are privately negotiated in the over-the-counter market and are entered into as bilateral contracts. Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Bilateral swap agreements may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. The Fund covers its net obligations under outstanding equity basket total return swap agreements by segregating or earmarking cash or securities.

h.  Due to/from Brokers.  Transactions and positions in certain futures, forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. The due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash and foreign currency on deposit with brokers for open futures contracts and cash pledged as collateral for forward foreign currency contracts and swap agreements (including accrued interest receivable on equity basket total return swap agreements and net dividends payable on short reference entity common stocks). The due to brokers’ balances in the Statements of Assets and Liabilities for the Funds represent net cash and foreign currency debit balances related to futures contracts. In certain circumstances the Funds’ or Subsidiaries’ use of cash, and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.

i.  Federal and Foreign Income Taxes.  The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2020 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

j.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as capital gain and return of capital distributions received, foreign currency gains and losses, partnership basis adjustments, deferred Trustees’ fees, distribution re-designations, futures and forward foreign currency contract mark-to-market, swap adjustments, passive foreign investment company adjustments, and Cayman blocker adjustments. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, partnership basis adjustments, wash sales, return of capital distributions received, futures and forward foreign currency contract mark-to-market and foreign currency gains and

 

|  46


Notes to Financial Statements (continued)

 

December 31, 2020

 

losses, passive foreign investment company adjustments, capital gain distributions received and Cayman blocker adjustments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2020 and 2019 were as follows:

 

   2020 Distributions   2019 Distributions 

Fund

  

Ordinary
Income

   

Long-Term
Capital
Gains

   

Total

   

Ordinary
Income

   

Long-Term
Capital
Gains

   

Total

 

Global Alternatives Fund

  $13,230,129   $   $13,230,129   $9,278,612   $  —   $9,278,612 

Managed Futures Strategy Fund

   49,187,249        49,187,249    74,582,788        74,582,788 

Multi-Asset Fund

   107,076    792,961    900,037    1,028,235        1,028,235 

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2020, the components of distributable earnings on a tax basis were as follows:

 

   

Global
Alternatives
Fund

   

Managed
Futures
Strategy
Fund

   

Multi-Asset
Fund

 

Capital loss carryforward:

      

Short-term:

      

No expiration date

  $(88,477,554  $(66,108,457  $(1,496,019

Long-term:

 

No expiration date

   (6,554,643       (601,980
  

 

 

   

 

 

   

 

 

 

Total capital loss carryforward

   (95,032,197   (66,108,457   (2,097,999
  

 

 

   

 

 

   

 

 

 

Late-year ordinary and post-October capital loss deferrals*

   (29,680,113       (285,593
  

 

 

   

 

 

   

 

 

 

Unrealized appreciation

   40,554,134    42,499,983    1,549,828 
  

 

 

   

 

 

   

 

 

 

Total accumulated losses

  $(84,158,176  $(23,608,474  $(833,764
  

 

 

   

 

 

   

 

 

 

Capital loss carryforward utilized in the current year

  $   $88,460,757   $ 
  

 

 

   

 

 

   

 

 

 

 

*

Under current tax law, capital losses, foreign currency losses, losses on passive foreign investment companies, total return swap resets and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Managed Futures Strategy Fund and Multi-Asset Fund are deferring foreign currency losses. Global Alternatives Fund is deferring foreign currency losses and losses on total return swap resets.

As of December 31, 2020, the tax cost of investments (including derivatives) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

   

Global
Alternatives
Fund

   

Managed
Futures
Strategy
Fund

   

Multi-Asset
Fund

 

Federal tax cost

  $427,498,929   $1,382,452,448   $30,858,076 
  

 

 

   

 

 

   

 

 

 

Gross tax appreciation

  $42,360,220   $49,119,331   $1,553,237 

Gross tax depreciation

   (1,809,098   (6,705,499   (1
  

 

 

   

 

 

   

 

 

 

Net tax appreciation

  $40,551,122   $42,413,832   $1,553,236 
  

 

 

   

 

 

   

 

 

 

 

47  |


Notes to Financial Statements (continued)

 

December 31, 2020

 

The difference between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market.

k.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of December 31, 2020, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

l.  Indemnifications.  Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

m.  New Accounting Pronouncement.  In March 2020, the Financial Accounting Standards Board issued Accounting Standard Update 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”). In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which is expected to occur no later than December 31, 2021, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2020-04 amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. No Fund contracts have yet been impacted by reference rate reform. Management expects to apply the optional expedients when appropriate.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

|  48


Notes to Financial Statements (continued)

 

December 31, 2020

 

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2020, at value:

Global Alternatives Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Common Stocks(a)

  $272,292,421   $   $  —   $272,292,421 

Exchange-Traded Funds

   3,586,371            3,586,371 

Short-Term Investments(a)

       185,202,489        185,202,489 

Forward Foreign Currency Contracts (unrealized appreciation)

       1,344,458        1,344,458 

Futures Contracts (unrealized appreciation)

   14,640,164    1,246,891        15,887,055 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $290,518,956   $187,793,838   $  —   $478,312,794 
  

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

 

Description

  

Level 1

  

Level 2

   

Level 3

   

Total

 

Equity Basket Total return Swap

  $(b)  $   $  —   $ 

Forward Foreign Currency Contracts (unrealized depreciation)

      (711,638       (711,638

Futures Contracts (unrealized depreciation)

   (5,780,013  (148,215       (5,928,228
  

 

 

  

 

 

   

 

 

   

 

 

 

Total

  $(5,780,013 $(859,853  $  —   $(6,639,866
  

 

 

  

 

 

   

 

 

   

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

(b)

Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments.

Managed Futures Strategy Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Short-Term Investments(a)

  $   $1,382,542,458   $  —   $1,382,542,458 

Forward Foreign Currency Contracts (unrealized appreciation)

       9,602,026        9,602,026 

Futures Contracts (unrealized appreciation)

   56,485,401    4,872,088        61,357,489 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $56,485,401   $1,397,016,572   $  —   $1,453,501,973 
  

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Forward Foreign Currency Contracts (unrealized depreciation)

  $   $(2,789,040  $  —   $(2,789,040

Futures Contracts (unrealized depreciation)

   (3,632,251   (274,471       (3,906,722
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $(3,632,251  $(3,063,511  $  —   $(6,695,762
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

Multi-Asset Fund

Asset Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Exchange-Traded Funds

  $10,947,261   $   $  —   $10,947,261 

Short-Term Investments(a)

       21,366,970        21,366,970 

Futures Contracts (unrealized appreciation)

   422,671    70,459        493,130 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $11,369,932   $21,437,429   $  —   $32,807,361 
  

 

 

   

 

 

   

 

 

   

 

 

 

Liability Valuation Inputs

 

Description

  

Level 1

   

Level 2

   

Level 3

   

Total

 

Futures Contracts (unrealized depreciation)

  $(28,827  $(15,727  $  —   $(44,554
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

 

49  |


Notes to Financial Statements (continued)

 

December 31, 2020

 

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts, futures contracts and swap agreements.

Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. The Fund may also use various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments and equity basket total return swap agreements. During the year ended December 31, 2020, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, and commodities (through investments in the Subsidiary), long contracts on short-term interest rates, and short contracts on equity basket total return swaps in accordance with these objectives.

Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the year ended December 31, 2020, the Fund used long and short contracts on U.S. and foreign equity market indices, short-term interest rates, foreign currencies and commodities (through investments in the Subsidiary), and long contracts on U.S. and foreign government bonds to capture the exposures suggested by the quantitative investment models.

Multi-Asset Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes . During the year ended December 31, 2020, the Fund used long and short contracts on foreign government bonds, U.S. dollar index and foreign currency, and long contracts on U.S. and foreign equity market indices and U.S. government bonds, to gain investment exposures in accordance with its objectives.

The following is a summary of derivative instruments for Global Alternatives Fund as of December 31, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation
on forward
foreign
currency
contracts

   

Unrealized
appreciation
on futures
contracts

 

Over-the-counter asset derivatives

    

Foreign exchange contracts

  $1,344,458   $ 
  

 

 

   

 

 

 

Exchange-traded asset derivatives

 

Interest rate contracts

  $   $1,861,895 

Foreign exchange contracts

       1,091,700 

Commodity contracts

       9,106,238 

Equity contracts

       3,827,222 
  

 

 

   

 

 

 

Total exchange-traded asset derivatives

  $   $15,887,055 
  

 

 

   

 

 

 

Total asset derivatives

  $1,344,458   $15,887,055 
  

 

 

   

 

 

 

 

|  50


Notes to Financial Statements (continued)

 

December 31, 2020

 

Liabilities

  

Unrealized
depreciation
on forward
foreign
currency
contracts

  

Unrealized
depreciation
on futures
contracts

  

Swap
agreements
at value
1

 

Over-the-counter liability derivatives

    

Foreign exchange contracts

  $(711,638 $  $ 

Equity contracts

         (135,849,616
  

 

 

  

 

 

  

 

 

 

Total over-the counter liability derivatives

  $(711,638 $  $(135,849,616
  

 

 

  

 

 

  

 

 

 

Exchange-traded liability derivatives

 

Interest rate contracts

  $  $(342,503 $ 

Foreign exchange contracts

      (881,913   

Commodity contracts

      (3,021,503   

Equity contracts

      (1,682,309   
  

 

 

  

 

 

  

 

 

 

Total exchange-traded liability derivatives

  $  $(5,928,228 $ 
  

 

 

  

 

 

  

 

 

 

Total liability derivatives

  $(711,638 $(5,928,228 $(135,849,616
  

 

 

  

 

 

  

 

 

 
1  

Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments.

Transactions in derivative instruments for Global Alternatives Fund during the year ended December 31, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

  

Forward foreign
currency
transactions

   

Swap
agreements

 

Interest rate contracts

  $19,099,670  $   $ 

Foreign exchange contracts

   (7,450,520  711,523     

Commodity contracts

   (21,388,176       

Equity contracts

   (11,181,358      (27,001,268
  

 

 

  

 

 

   

 

 

 

Total

  $(20,920,384 $711,523   $(27,001,268
  

 

 

  

 

 

   

 

 

 

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures
contracts

  

Forward foreign
currency
transactions

     

Interest rate contracts

  $2,126,547  $   

Foreign exchange contracts

   477,488   1,890,310   

Commodity contracts

   2,961,919      

Equity contracts

   (211,548     
  

 

 

  

 

 

   

Total

  $5,354,406  $1,890,310   
  

 

 

  

 

 

   

 

51  |


Notes to Financial Statements (continued)

 

December 31, 2020

 

The following is a summary of derivative instruments for Managed Futures Strategy Fund as of December 31, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation
on forward
foreign
currency
contracts

  

Unrealized
appreciation
on futures
contracts

 

Over-the-counter asset derivatives

 

Foreign exchange contracts

  $9,602,026  $  — 
  

 

 

  

 

 

 

Exchange-traded asset derivatives

 

Interest rate contracts

  $  $4,819,307 

Foreign exchange contracts

      6,624,042 

Commodity contracts

      37,431,332 

Equity contracts

      12,482,808 
  

 

 

  

 

 

 

Total exchange-traded asset derivatives

  $  $61,357,489 
  

 

 

  

 

 

 

Total asset derivatives

  $9,602,026  $61,357,489 
  

 

 

  

 

 

 

Liabilities

  

Unrealized
depreciation
on forward
foreign
currency
contracts

  

Unrealized
depreciation
on futures
contracts

 

Over-the-counter liability derivatives

 

Foreign exchange contracts

  $(2,789,040 $ 
  

 

 

  

 

 

 

Exchange-traded liability derivatives

 

Interest rate contracts

  $  $(285,608

Foreign exchange contracts

      (3,250

Commodity contracts

      (2,895,859

Equity contracts

      (722,005
  

 

 

  

 

 

 

Total exchange-traded liability derivatives

  $  $(3,906,722
  

 

 

  

 

 

 

Total liability derivatives

  $(2,789,040 $(3,906,722
  

 

 

  

 

 

 

Transactions in derivative instruments for Managed Futures Strategy Fund during the year ended December 31, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

  

Forward foreign
currency
transactions

 

Interest rate contracts

  $202,824,015  $ 

Foreign exchange contracts

   (1,406,969  (2,679,889

Commodity contracts

   (103,840,882   

Equity contracts

   53,028,486    
  

 

 

  

 

 

 

Total

  $150,604,650  $(2,679,889
  

 

 

  

 

 

 

 

|  52


Notes to Financial Statements (continued)

 

December 31, 2020

 

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures
contracts

  

Forward foreign
currency
transactions

 

Interest rate contracts

  $20,499,021  $ 

Foreign exchange contracts

   8,812,472   9,986,341 

Commodity contracts

   27,210,989    

Equity contracts

   (9,615,110   
  

 

 

  

 

 

 

Total

  $46,907,372  $9,986,341 
  

 

 

  

 

 

 

The following is a summary of derivative instruments for Multi-Asset Fund as of December 31, 2020, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation on
futures contracts

 

Exchange-traded asset derivatives

 

Interest rate contracts

  $212,348 

Foreign exchange contracts

   66,309 

Equity contracts

   214,473 
  

 

 

 

Total exchange-traded asset derivatives

  $493,130 
  

 

 

 

Liabilities

  

Unrealized
depreciation on
futures contracts

 

Exchange-traded liability derivatives

 

Interest rate contracts

  $(135

Foreign exchange contracts

   (15,286

Equity contracts

   (29,133
  

 

 

 

Total exchange-traded liability derivatives

  $(44,554
  

 

 

 

Transactions in derivative instruments for Multi-Asset Fund during the year ended December 31, 2020, as reflected within the Statements of Operations were as follows:

 

Net Realized Gain (Loss) on:

  

Futures contracts

 

Interest rate contracts

  $984,826 

Foreign exchange contracts

   (672,054

Equity contracts

   (3,079,881
  

 

 

 

Total

  $(2,767,109
  

 

 

 

Net Change in Unrealized
Appreciation (Depreciation) on:

  

Futures contracts

 

Interest rate contracts

  $324,422 

Foreign exchange contracts

   (75,558

Equity contracts

   (346,000
  

 

 

 

Total

  $(97,136
  

 

 

 

The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2020:

 

Global Alternatives Fund

  

Forwards

  

Futures

  

Total
Return
Swaps

 

Average Notional Amount Outstanding

   34.52  262.11  9.14

Highest Notional Amount Outstanding

   118.72  526.83  25.96

Lowest Notional Amount Outstanding

   9.51  98.48  2.44

Notional Amount Outstanding as of December 31, 2020

   44.58  425.59  25.96

 

53  |


Notes to Financial Statements (continu