Consolidated Portfolio of Investments – as of March 31, 2020 (Unaudited)
ASG Global Alternatives Fund*
Shares | Description | Value (†) | ||||||
Common Stocks – 8.2% of Net Assets | ||||||||
Aerospace & Defense – 0.3% |
| |||||||
23,111 | Arconic, Inc. | $ | 371,162 | |||||
40,237 | Hexcel Corp. | 1,496,414 | ||||||
4,178 | United Technologies Corp. | 394,111 | ||||||
|
| |||||||
2,261,687 | ||||||||
|
| |||||||
Auto Components – 0.1% |
| |||||||
106,078 | Delphi Technologies PLC(a) | 853,928 | ||||||
|
| |||||||
Banks – 0.7% |
| |||||||
26,511 | Carolina Financial Corp. | 685,840 | ||||||
93,835 | CenterState Bank Corp. | 1,616,777 | ||||||
8,021 | Citigroup, Inc. | 337,844 | ||||||
33,208 | IBERIABANK Corp. | 1,200,801 | ||||||
84,772 | Opus Bank | 1,469,099 | ||||||
2,946 | U.S. Bancorp | 101,490 | ||||||
|
| |||||||
5,411,851 | ||||||||
|
| |||||||
Beverages – 0.0% |
| |||||||
4,026 | Coca-Cola European Partners PLC | 151,096 | ||||||
834 | PepsiCo, Inc. | 100,163 | ||||||
|
| |||||||
251,259 | ||||||||
|
| |||||||
Biotechnology – 0.0% |
| |||||||
3,016 | Exact Sciences Corp.(a) | 174,928 | ||||||
3,077 | Ionis Pharmaceuticals, Inc.(a) | 145,481 | ||||||
|
| |||||||
320,409 | ||||||||
|
| |||||||
Building Products – 0.1% |
| |||||||
11,758 | Apogee Enterprises, Inc. | 244,802 | ||||||
7,261 | Masonite International Corp.(a) | 344,534 | ||||||
|
| |||||||
589,336 | ||||||||
|
| |||||||
Capital Markets – 0.4% |
| |||||||
14,310 | Bank of New York Mellon Corp. (The) | 481,961 | ||||||
3,736 | Blackstone Group, Inc. (The), Class A | 170,249 | ||||||
3,095 | Brookfield Asset Management, Inc., Class A | 136,954 | ||||||
400 | MarketAxess Holdings, Inc. | 133,028 | ||||||
48,032 | TD Ameritrade Holding Corp. | 1,664,789 | ||||||
|
| |||||||
2,586,981 | ||||||||
|
| |||||||
Chemicals – 0.0% |
| |||||||
825 | Ecolab, Inc. | 128,560 | ||||||
|
| |||||||
Commercial Services & Supplies – 0.0% |
| |||||||
2,317 | Copart, Inc.(a) | 158,761 | ||||||
978 | Waste Management, Inc. | 90,524 | ||||||
|
| |||||||
249,285 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Communications Equipment – 0.0% |
| |||||||
996 | Ubiquiti, Inc. | $ | 141,014 | |||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
16,288 | AECOM(a) | 486,197 | ||||||
|
| |||||||
Construction Materials – 0.1% |
| |||||||
6,169 | Eagle Materials, Inc. | 360,393 | ||||||
|
| |||||||
Consumer Finance – 0.1% |
| |||||||
58,246 | SLM Corp. | 418,789 | ||||||
|
| |||||||
Containers & Packaging – 0.0% |
| |||||||
1,334 | AptarGroup, Inc. | 132,786 | ||||||
4,747 | Silgan Holdings, Inc. | 137,758 | ||||||
|
| |||||||
270,544 | ||||||||
|
| |||||||
Distributors – 0.1% |
| |||||||
17,096 | LKQ Corp.(a) | 350,639 | ||||||
|
| |||||||
Diversified Consumer Services – 0.0% |
| |||||||
10,031 | Vivint Smart Home, Inc.(a) | 125,789 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.0% |
| |||||||
2,889 | Verizon Communications, Inc. | 155,226 | ||||||
|
| |||||||
Electric Utilities – 0.2% |
| |||||||
1,586 | ALLETE, Inc. | 96,239 | ||||||
2,035 | Alliant Energy Corp. | 98,270 | ||||||
1,168 | American Electric Power Co., Inc. | 93,417 | ||||||
2,121 | Avangrid, Inc. | 92,857 | ||||||
1,239 | Duke Energy Corp. | 100,210 | ||||||
1,069 | Entergy Corp. | 100,454 | ||||||
1,222 | Eversource Energy | 95,573 | ||||||
2,960 | Exelon Corp. | 108,958 | ||||||
2,657 | FirstEnergy Corp. | 106,466 | ||||||
2,161 | Hawaiian Electric Industries, Inc. | 93,031 | ||||||
1,129 | IDACORP, Inc. | 99,115 | ||||||
333 | NextEra Energy, Inc. | 80,126 | ||||||
3,502 | OGE Energy Corp. | 107,616 | ||||||
1,424 | Pinnacle West Capital Corp. | 107,925 | ||||||
1,600 | Portland General Electric Co. | 76,704 | ||||||
1,884 | Southern Co. (The) | 102,000 | ||||||
1,641 | Xcel Energy, Inc. | 98,952 | ||||||
|
| |||||||
1,657,913 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% |
| |||||||
16,281 | Vertiv Holdings Co.(a) | 140,831 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.0% |
| |||||||
1,710 | Keysight Technologies, Inc.(a) | 143,093 | ||||||
|
| |||||||
Entertainment – 0.1% |
| |||||||
38,565 | Lions Gate Entertainment Corp., Class A(a) | 234,475 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Entertainment – continued |
| |||||||
2,227 | Madison Square Garden Co. (The), Class A(a) | $ | 470,810 | |||||
|
| |||||||
705,285 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.1% |
| |||||||
10,170 | Sysco Corp. | 464,057 | ||||||
17,544 | U.S. Foods Holding Corp.(a) | 310,704 | ||||||
1,114 | Walmart, Inc. | 126,573 | ||||||
|
| |||||||
901,334 | ||||||||
|
| |||||||
Food Products – 0.3% |
| |||||||
11,280 | Campbell Soup Co. | 520,685 | ||||||
16,340 | Conagra Brands, Inc. | 479,416 | ||||||
17,929 | Hain Celestial Group, Inc. (The)(a) | 465,616 | ||||||
14,063 | Mondelez International, Inc., Class A | 704,275 | ||||||
|
| |||||||
2,169,992 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
986 | Atmos Energy Corp. | 97,841 | ||||||
317 | Brookfield Infrastructure Corp., Class A(a) | 10,319 | ||||||
1,257 | ONE Gas, Inc. | 105,110 | ||||||
1,374 | Spire, Inc. | 102,336 | ||||||
8,467 | Suburban Propane Partners LP | 119,723 | ||||||
|
| |||||||
435,329 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.3% |
| |||||||
6,587 | Baxter International, Inc. | 534,799 | ||||||
5,100 | Danaher Corp. | 705,891 | ||||||
539 | DexCom, Inc.(a) | 145,137 | ||||||
927 | Insulet Corp.(a) | 153,585 | ||||||
5,204 | Zimmer Biomet Holdings, Inc. | 526,020 | ||||||
|
| |||||||
2,065,432 | ||||||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
8,522 | Magellan Health, Inc.(a) | 409,993 | ||||||
|
| |||||||
Health Care Technology – 0.1% |
| |||||||
12,296 | Cerner Corp. | 774,525 | ||||||
1,109 | Veeva Systems, Inc., Class A(a) | 173,414 | ||||||
|
| |||||||
947,939 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.4% |
| |||||||
14,353 | Accel Entertainment, Inc., Class A(a) | 107,648 | ||||||
34,444 | Bloomin’ Brands, Inc. | 245,930 | ||||||
910 | Chipotle Mexican Grill, Inc.(a) | 595,504 | ||||||
7,288 | Hilton Worldwide Holdings, Inc. | 497,333 | ||||||
6,858 | Jack in the Box, Inc. | 240,373 | ||||||
669 | McDonald’s Corp. | 110,619 | ||||||
19,943 | MGM Resorts International | 235,327 | ||||||
7,317 | Starbucks Corp. | 481,020 | ||||||
17,683 | Wendy’s Co. (The) | 263,123 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Hotels, Restaurants & Leisure – continued |
| |||||||
1,993 | Yum! Brands, Inc. | $ | 136,580 | |||||
|
| |||||||
2,913,457 | ||||||||
|
| |||||||
Household Durables – 0.0% |
| |||||||
63 | NVR, Inc.(a) | 161,854 | ||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
4,575 | Procter & Gamble Co. (The) | 503,250 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers – 0.0% |
| |||||||
5,011 | Atlantica Yield PLC | 111,745 | ||||||
|
| |||||||
Industrial Conglomerates – 0.1% |
| |||||||
48,025 | General Electric Co. | 381,318 | ||||||
|
| |||||||
Insurance – 0.2% |
| |||||||
3,954 | Aflac, Inc. | 135,385 | ||||||
1,250 | Allstate Corp. (The) | 114,663 | ||||||
1,937 | American Financial Group, Inc. | 135,745 | ||||||
1,526 | Arthur J. Gallagher & Co. | 124,384 | ||||||
3,621 | Axis Capital Holdings Ltd. | 139,952 | ||||||
3,510 | Brown & Brown, Inc. | 127,132 | ||||||
1,293 | Chubb Ltd. | 144,415 | ||||||
1,192 | Hanover Insurance Group, Inc. (The) | 107,971 | ||||||
163 | Markel Corp.(a) | 151,246 | ||||||
1,180 | Marsh & McLennan Cos., Inc. | 102,023 | ||||||
1,412 | Travelers Cos., Inc. (The) | 140,282 | ||||||
116 | White Mountains Insurance Group Ltd. | 105,560 | ||||||
|
| |||||||
1,528,758 | ||||||||
|
| |||||||
Interactive Media & Services – 0.1% |
| |||||||
13,746 | Snap, Inc., Class A(a) | 163,440 | ||||||
7,119 | Twitter, Inc.(a) | 174,843 | ||||||
|
| |||||||
338,283 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% |
| |||||||
20,170 | eBay, Inc. | 606,310 | ||||||
316 | MercadoLibre, Inc.(a) | 154,391 | ||||||
|
| |||||||
760,701 | ||||||||
|
| |||||||
IT Services – 0.1% |
| |||||||
2,503 | Amdocs Ltd. | 137,590 | ||||||
1,287 | Okta, Inc.(a) | 157,349 | ||||||
2,040 | Paychex, Inc. | 128,357 | ||||||
7,073 | Repay Holdings Corp.(a) | 101,497 | ||||||
|
| |||||||
524,793 | ||||||||
|
| |||||||
Leisure Products – 0.0% |
| |||||||
25,878 | Callaway Golf Co. | 264,473 | ||||||
|
| |||||||
Machinery – 0.1% |
| |||||||
9,810 | ITT, Inc. | 444,981 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Machinery – continued |
| |||||||
25,467 | Trinity Industries, Inc. | $ | 409,255 | |||||
|
| |||||||
854,236 | ||||||||
|
| |||||||
Media – 0.1% |
| |||||||
7,619 | Altice USA, Inc., Class A(a) | 169,828 | ||||||
24,816 | Loral Space & Communications, Inc.(a) | 403,260 | ||||||
|
| |||||||
573,088 | ||||||||
|
| |||||||
Metals & Mining – 0.0% |
| |||||||
3,621 | Agnico Eagle Mines Ltd. | 144,080 | ||||||
8,186 | Barrick Gold Corp. | 149,967 | ||||||
|
| |||||||
294,047 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% |
| |||||||
1,372 | Ameren Corp. | 99,923 | ||||||
2,854 | Brookfield Infrastructure Partners LP | 102,658 | ||||||
1,644 | CMS Energy Corp. | 96,585 | ||||||
1,135 | Consolidated Edison, Inc. | 88,530 | ||||||
1,324 | Dominion Energy, Inc. | 95,580 | ||||||
875 | DTE Energy Co. | 83,099 | ||||||
3,859 | MDU Resources Group, Inc. | 82,969 | ||||||
1,652 | NorthWestern Corp. | 98,839 | ||||||
2,474 | Public Service Enterprise Group, Inc. | 111,107 | ||||||
905 | Sempra Energy | 102,256 | ||||||
1,040 | WEC Energy Group, Inc. | 91,655 | ||||||
|
| |||||||
1,053,201 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.2% |
| |||||||
13,123 | Cheniere Energy, Inc.(a) | 439,621 | ||||||
15,489 | CVR Energy, Inc. | 256,033 | ||||||
9,948 | Diamondback Energy, Inc. | 260,638 | ||||||
4,427 | Magellan Midstream Partners LP | 161,541 | ||||||
14,976 | Marathon Petroleum Corp. | 353,733 | ||||||
|
| |||||||
1,471,566 | ||||||||
|
| |||||||
Personal Products – 0.0% |
| |||||||
4,322 | Medifast, Inc. | 270,125 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
9,651 | Allergan PLC | 1,709,192 | ||||||
794 | Johnson & Johnson | 104,117 | ||||||
|
| |||||||
1,813,309 | ||||||||
|
| |||||||
Professional Services – 0.0% |
| |||||||
270 | CoStar Group, Inc.(a) | 158,547 | ||||||
719 | Verisk Analytics, Inc. | 100,214 | ||||||
|
| |||||||
258,761 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.1% |
| |||||||
9,898 | CBRE Group, Inc., Class A(a) | 373,254 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
REITs - Apartments – 0.1% |
| |||||||
3,900 | American Campus Communities, Inc. | $ | 108,225 | |||||
4,390 | American Homes 4 Rent, Class A | 101,848 | ||||||
2,853 | Apartment Investment & Management Co., Class A | 100,283 | ||||||
586 | AvalonBay Communities, Inc. | 86,242 | ||||||
1,236 | Camden Property Trust | 97,941 | ||||||
1,603 | Equity Residential | 98,921 | ||||||
451 | Essex Property Trust, Inc. | 99,328 | ||||||
4,823 | Invitation Homes, Inc. | 103,067 | ||||||
941 | Mid-America Apartment Communities, Inc. | 96,951 | ||||||
2,744 | UDR, Inc. | 100,266 | ||||||
|
| |||||||
993,072 | ||||||||
|
| |||||||
REITs - Diversified – 0.4% |
| |||||||
17,978 | Digital Realty Trust, Inc. | 2,497,324 | ||||||
3,661 | Duke Realty Corp. | 118,543 | ||||||
8,348 | Gaming & Leisure Properties, Inc. | 231,323 | ||||||
20,500 | New Residential Investment Corp. | 102,705 | ||||||
1,662 | W.P. Carey, Inc. | 96,529 | ||||||
|
| |||||||
3,046,424 | ||||||||
|
| |||||||
REITs - Health Care – 0.0% |
| |||||||
1,722 | National Health Investors, Inc. | 85,273 | ||||||
|
| |||||||
REITs - Hotels – 0.1% |
| |||||||
15,683 | Apple Hospitality REIT, Inc. | 143,813 | ||||||
15,273 | MGM Growth Properties LLC, Class A | 361,512 | ||||||
|
| |||||||
505,325 | ||||||||
|
| |||||||
REITs - Manufactured Homes – 0.0% |
| |||||||
1,898 | Equity LifeStyle Properties, Inc. | 109,097 | ||||||
820 | Sun Communities, Inc. | 102,377 | ||||||
|
| |||||||
211,474 | ||||||||
|
| |||||||
REITs - Mortgage – 0.2% |
| |||||||
8,324 | AGNC Investment Corp. | 88,068 | ||||||
36,318 | Annaly Capital Management, Inc. | 184,132 | ||||||
21,004 | Apollo Commercial Real Estate Finance, Inc. | 155,850 | ||||||
13,899 | ARMOUR Residential REIT, Inc. | 122,450 | ||||||
4,880 | Blackstone Mortgage Trust, Inc., Class A | 90,866 | ||||||
18,262 | Broadmark Realty Capital, Inc. | 137,330 | ||||||
11,570 | Chimera Investment Corp. | 105,287 | ||||||
14,770 | Invesco Mortgage Capital, Inc. | 50,366 | ||||||
9,110 | KKR Real Estate Finance Trust, Inc. | 136,741 | ||||||
58,733 | New York Mortgage Trust, Inc. | 91,036 | ||||||
10,845 | PennyMac Mortgage Investment Trust | 115,174 | ||||||
7,602 | Starwood Property Trust, Inc. | 77,920 | ||||||
24,662 | Two Harbors Investment Corp. | 93,962 | ||||||
|
| |||||||
1,449,182 | ||||||||
|
| |||||||
REITs - Office Property – 0.1% |
| |||||||
3,616 | Douglas Emmett, Inc. | 110,324 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
REITs - Office Property – continued |
| |||||||
3,337 | Easterly Government Properties, Inc. | $ | 82,223 | |||||
3,097 | Equity Commonwealth | 98,206 | ||||||
3,413 | JBG SMITH Properties | 108,636 | ||||||
1,770 | Kilroy Realty Corp. | 112,749 | ||||||
|
| |||||||
512,138 | ||||||||
|
| |||||||
REITs - Shopping Centers – 0.0% |
| |||||||
1,156 | Federal Realty Investment Trust | 86,249 | ||||||
2,235 | Regency Centers Corp. | 85,891 | ||||||
|
| |||||||
172,140 | ||||||||
|
| |||||||
REITs - Single Tenant – 0.0% |
| |||||||
3,411 | Getty Realty Corp. | 80,977 | ||||||
3,990 | STORE Capital Corp. | 72,299 | ||||||
|
| |||||||
153,276 | ||||||||
|
| |||||||
REITs - Storage – 0.0% |
| |||||||
462 | Public Storage | 91,758 | ||||||
|
| |||||||
REITs - Warehouse/Industrials – 0.0% |
| |||||||
1,066 | EastGroup Properties, Inc. | 111,376 | ||||||
2,322 | Terreno Realty Corp. | 120,163 | ||||||
|
| |||||||
231,539 | ||||||||
|
| |||||||
Road & Rail – 0.0% |
| |||||||
10,763 | Uber Technologies, Inc.(a) | 300,503 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.1% |
| |||||||
8,014 | Applied Materials, Inc. | 367,201 | ||||||
1,227 | KLA Corp. | 176,369 | ||||||
2,070 | Xilinx, Inc. | 161,336 | ||||||
|
| |||||||
704,906 | ||||||||
|
| |||||||
Software – 1.3% |
| |||||||
9,494 | 2U, Inc.(a) | 201,463 | ||||||
1,296 | Adobe, Inc.(a) | 412,439 | ||||||
1,155 | Atlassian Corp. PLC, Class A(a) | 158,535 | ||||||
19,683 | Box, Inc., Class A(a) | 276,349 | ||||||
5,565 | Citrix Systems, Inc. | 787,726 | ||||||
13,187 | Cornerstone OnDemand, Inc.(a) | 418,687 | ||||||
1,702 | DocuSign, Inc.(a) | 157,265 | ||||||
391 | Fair Isaac Corp.(a) | 120,307 | ||||||
4,249 | Fortinet, Inc.(a) | 429,871 | ||||||
27,590 | NortonLifeLock, Inc. | 516,209 | ||||||
15,114 | Open Text Corp. | 527,781 | ||||||
668 | Paycom Software, Inc.(a) | 134,943 | ||||||
7,573 | PTC, Inc.(a) | 463,543 | ||||||
816 | RingCentral, Inc., Class A(a) | 172,919 | ||||||
3,809 | salesforce.com, Inc.(a) | 548,420 | ||||||
2,135 | ServiceNow, Inc.(a) | 611,848 | ||||||
253,973 | TiVo Corp. | 1,798,129 | ||||||
2,174 | Tyler Technologies, Inc.(a) | 644,721 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Software – continued |
| |||||||
1,075 | Workday, Inc., Class A(a) | $ | 139,987 | |||||
8,435 | Zendesk, Inc.(a) | 539,924 | ||||||
2,569 | Zscaler, Inc.(a) | 156,349 | ||||||
|
| |||||||
9,217,415 | ||||||||
|
| |||||||
Specialty Retail – 0.2% |
| |||||||
5,049 | Advance Auto Parts, Inc. | 471,173 | ||||||
206 | AutoZone, Inc.(a) | 174,276 | ||||||
4,829 | Lowe’s Cos., Inc. | 415,535 | ||||||
25,955 | Rent-A-Center, Inc. | 367,004 | ||||||
|
| |||||||
1,427,988 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.1% |
| |||||||
23,818 | HP, Inc. | 413,480 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.0% |
| |||||||
762 | Lululemon Athletica, Inc.(a) | 144,437 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.1% |
| |||||||
10,897 | Capitol Federal Financial, Inc. | 126,514 | ||||||
7,448 | Columbia Financial, Inc.(a) | 107,251 | ||||||
11,239 | Northwest Bancshares, Inc. | 130,035 | ||||||
8,091 | TFS Financial Corp. | 123,550 | ||||||
|
| |||||||
487,350 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.1% |
| |||||||
15,231 | HD Supply Holdings, Inc.(a) | 433,017 | ||||||
12,777 | WESCO International, Inc.(a) | 291,955 | ||||||
|
| |||||||
724,972 | ||||||||
|
| |||||||
Water Utilities – 0.0% |
| |||||||
769 | American Water Works Co., Inc. | 91,942 | ||||||
|
| |||||||
Total Common Stocks | 59,953,841 | |||||||
|
| |||||||
Exchange-Traded Funds – 0.6% | ||||||||
52,871 | iShares® iBoxx $ High Yield Corporate Bond ETF | 4,074,768 | ||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 89.3% | ||||||||
Certificates of Deposit – 57.3% |
| |||||||
$ 5,000,000 | Bank of Montreal (IL), | 5,000,479 | ||||||
31,000,000 | Landesbank Baden Wurttemberg (NY), | 30,999,876 | ||||||
25,000,000 | Mizuho Bank Ltd. (NY), | 25,003,579 | ||||||
10,000,000 | Landesbank Hessen (NY), | 10,002,862 |
Principal Amount | Description | Value (†) | ||||||
Certificates of Deposit – continued |
| |||||||
$ 15,000,000 | Landesbank Hessen (NY), | $ | 15,008,952 | |||||
20,000,000 | DNB Nor Bank ASA (NY), | 20,019,074 | ||||||
20,000,000 | Credit Industriel et Commercial (NY), | 20,013,936 | ||||||
16,500,000 | Sumitomo Mitsui Trust Bank (NY), | 16,490,900 | ||||||
30,000,000 | National Australia Bank (NY), | 29,998,989 | ||||||
25,000,000 | Sumitomo Mitsui Banking Corp. (NY), | 24,993,671 | ||||||
25,000,000 | Mitsubishi UFJ Trust & Banking Corp. (NY), | 24,994,999 | ||||||
30,000,000 | Nordea Bank ABP (NY), | 29,974,326 | ||||||
20,000,000 | Royal Bank of Canada (NY), | 19,993,559 | ||||||
20,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), | 19,982,098 | ||||||
25,000,000 | Norinchukin Bank (NY), | 25,024,395 | ||||||
25,000,000 | DZ Bank (NY), | 25,001,240 | ||||||
20,000,000 | Royal Bank of Canada (NY), | 19,984,955 | ||||||
5,000,000 | MUFG Bank Ltd. (NY), | 4,991,073 | ||||||
20,000,000 | Bank of Montreal (IL), | 19,937,281 | ||||||
5,000,000 | Toronto-Dominion Bank (NY), | 4,989,867 | ||||||
25,000,000 | Toronto-Dominion Bank (NY), | 24,970,968 | ||||||
|
| |||||||
417,377,079 | ||||||||
|
| |||||||
Commercial Paper – 15.1% |
| |||||||
31,000,000 | Credit Agricole Corporate & Investment Bank (NY), | 30,999,969 | ||||||
3,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), | 2,999,229 | ||||||
9,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), | 8,994,188 | ||||||
25,000,000 | Santander UK PLC, | 24,983,958 | ||||||
25,000,000 | ING U.S. Funding LLC, (Credit Support: ING Bank NV), | 24,969,500 | ||||||
17,000,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), | 16,952,400 | ||||||
|
| |||||||
109,899,244 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Time Deposits – 10.6% |
| |||||||
$ 9,000,000 | Canadian Imperial Bank of Commerce, | $ | 9,000,000 | |||||
34,000,000 | Skandinaviska Enskilda Banken (NY), | 34,000,000 | ||||||
34,000,000 | National Bank of Kuwait (NY), | 34,000,000 | ||||||
|
| |||||||
77,000,000 | ||||||||
|
| |||||||
Other Notes – 4.1% |
| |||||||
30,000,000 | Bank of America NA, | 30,110,132 | ||||||
Treasuries – 2.1% |
| |||||||
8,350,000 | U.S. Treasury Bills, | 8,350,000 | ||||||
7,250,000 | U.S. Treasury Bills, | 7,249,538 | ||||||
|
| |||||||
15,599,538 | ||||||||
|
| |||||||
Repurchase Agreements – 0.1% |
| |||||||
377,889 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $377,889 on 4/01/2020 collateralized by $370,000 U.S. Treasury Note, 2.875% due 10/15/2021 valued at $390,031 including accrued interest(g) | 377,889 | ||||||
|
| |||||||
Total Short-Term Investments | 650,363,882 | |||||||
|
| |||||||
Total Investments – 98.1% | 714,392,491 | |||||||
Other assets less liabilities – 1.9% | 13,779,073 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 728,171,564 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2020, the value of the Fund’s investment in the Subsidiary was $8,328,871, representing 1.14% of the Fund’s net assets.
* | Subsequent Event. The Board of Trustees approved a change in the name of the Fund to AlphaSimplex Global Alternatives Fund. This change will be effective at the close of business on April 30, 2020. |
(†) | 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: |
Listed equity securities (including shares ofclosed-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.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
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 Fund 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 Fund 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 the 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 the Fund.
As of March 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 | ||
$ 20,810,857 | $2,623,517 | 0.36% |
* | Amount represents gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Non-income producing security. |
(b) | Variable rate security. Rate as of March 31, 2020 is disclosed. |
(c) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | 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. |
(g) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the 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 aretri-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 the Fund’s ability to dispose of the underlying securities. As of March 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
REITs | Real Estate Investment Trusts | |
SLM | Sallie Mae | |
CHF | Swiss Franc | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
ZAR | South African Rand |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s 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). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the 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 tradedover-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 the 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 Fund may pledge additional collateral to the counterparty to the extent ofmark-to-market losses on open contracts.
At March 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 | 6/17/2020 | CHF | B | 2,125,000 | $ | 2,174,600 | $ | 2,215,803 | $ | 41,203 | ||||||||||||||||
UBS AG | 6/17/2020 | CHF | B | 4,500,000 | 4,835,366 | 4,692,290 | (143,076 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | NOK | B | 86,000,000 | 7,676,803 | 8,274,458 | 597,655 | |||||||||||||||||||
UBS AG | 6/17/2020 | NOK | B | 134,000,000 | 13,459,125 | 12,892,760 | (566,365 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | NOK | S | 198,000,000 | 20,713,388 | 19,050,497 | 1,662,891 | |||||||||||||||||||
UBS AG | 6/17/2020 | NZD | B | 74,300,000 | 46,860,861 | 44,308,062 | (2,552,799 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | NZD | S | 46,700,000 | 28,177,796 | 27,849,078 | 328,718 | |||||||||||||||||||
UBS AG | 6/17/2020 | NZD | S | 15,400,000 | 8,908,857 | 9,183,636 | (274,779 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | SEK | B | 78,000,000 | 8,231,374 | 7,897,906 | (333,468 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | SEK | S | 36,000,000 | 3,577,397 | 3,645,187 | (67,790 | ) | ||||||||||||||||||
UBS AG | 6/17/2020 | SGD | S | 6,125,000 | 4,410,473 | 4,314,307 | 96,166 | |||||||||||||||||||
UBS AG | 6/17/2020 | ZAR | S | 19,500,000 | 1,203,107 | 1,079,370 | 123,737 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $ | (1,087,907 | ) | |||||||||||||||||||||||
|
|
Futures Contracts
The Fund and the Subsidiary 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 the Fund or the 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 the 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. 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 the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the 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 Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 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 | 6/30/2020 | 592 | $ | 128,089,374 | $ | 130,466,625 | $ | 2,377,251 | ||||||||||||
3 Year Australia Government Bond | 6/15/2020 | 123 | 8,838,428 | 8,860,156 | 21,728 | |||||||||||||||
5 Year U.S. Treasury Note | 6/30/2020 | 475 | 58,445,781 | 59,545,703 | 1,099,922 | |||||||||||||||
10 Year Australia Government Bond | 6/15/2020 | 307 | 27,886,345 | 28,440,688 | 554,343 | |||||||||||||||
10 Year Canada Government Bond | 6/19/2020 | 27 | 2,824,493 | 2,822,980 | (1,513 | ) | ||||||||||||||
10 Year U.S. Treasury Note | 6/19/2020 | 590 | 79,768,305 | 81,825,625 | 2,057,320 | |||||||||||||||
ASX SPI 200™ | 6/18/2020 | 5 | 395,586 | 392,818 | (2,768 | ) | ||||||||||||||
Australian Dollar | 6/15/2020 | 105 | 6,928,810 | 6,450,150 | (478,660 | ) | ||||||||||||||
DAX | 6/19/2020 | 25 | 5,811,935 | 6,829,360 | 1,017,425 | |||||||||||||||
E-mini NASDAQ 100 | 6/19/2020 | 6 | 958,967 | 934,350 | (24,617 | ) | ||||||||||||||
E-mini Russell 2000 | 6/19/2020 | 120 | 5,926,360 | 6,885,600 | 959,240 | |||||||||||||||
E-mini S&P MidCap 400® | 6/19/2020 | 3 | 470,725 | 431,340 | (39,385 | ) | ||||||||||||||
Euro Schatz | 6/08/2020 | 139 | 17,221,902 | 17,199,066 | (22,836 | ) | ||||||||||||||
EURO STOXX 50® | 6/19/2020 | 137 | 3,500,923 | 4,150,641 | 649,718 | |||||||||||||||
Euro-Buxl® 30 Year Bond | 6/08/2020 | 5 | 1,192,455 | 1,157,493 | (34,962 | ) | ||||||||||||||
Euro-OAT | 6/08/2020 | 32 | 5,860,697 | 5,901,306 | 40,609 | |||||||||||||||
Eurodollar | 6/15/2020 | 49 | 12,058,287 | 12,185,687 | 127,400 | |||||||||||||||
Eurodollar | 9/14/2020 | 94 | 23,406,837 | 23,416,575 | 9,738 | |||||||||||||||
FTSE 100 Index | 6/19/2020 | 87 | 5,335,057 | 6,089,875 | 754,818 | |||||||||||||||
German Euro BOBL | 6/08/2020 | 29 | 4,346,582 | 4,324,568 | (22,014 | ) | ||||||||||||||
Hang Seng Index® | 4/28/2020 | 10 | 1,500,952 | 1,529,780 | 28,828 | |||||||||||||||
Mexican Peso | 6/15/2020 | 234 | 5,214,345 | 4,903,470 | (310,875 | ) | ||||||||||||||
MSCI Emerging Markets Index | 6/19/2020 | 110 | 5,266,760 | 4,635,950 | (630,810 | ) | ||||||||||||||
S&P/TSX 60 Index | 6/18/2020 | 6 | 721,126 | 694,266 | (26,860 | ) | ||||||||||||||
Sterling | 6/17/2020 | 167 | 25,748,637 | 25,814,756 | 66,119 | |||||||||||||||
TOPIX | 6/11/2020 | 34 | 4,266,404 | 4,436,364 | 169,960 | |||||||||||||||
U.S. Dollar Index | 6/15/2020 | 12 | 1,199,335 | 1,189,104 | (10,231 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 8,328,888 | |||||||||||||||||
|
|
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Brent Crude Oil | 5/29/2020 | 97 | $ | 2,995,590 | $ | 2,877,020 | $ | (118,570 | ) | |||||||||||
Coffee | 7/21/2020 | 25 | 1,122,656 | 1,128,281 | 5,625 | |||||||||||||||
Copper LME | 6/17/2020 | 192 | 27,186,000 | 23,763,600 | (3,422,400 | ) | ||||||||||||||
Gasoline | 4/30/2020 | 67 | 4,284,597 | 1,667,858 | (2,616,739 | ) | ||||||||||||||
Gold | 6/26/2020 | 70 | 10,950,190 | 11,176,200 | 226,010 | |||||||||||||||
Live Cattle | 6/30/2020 | 95 | 3,802,180 | 3,498,850 | (303,330 | ) | ||||||||||||||
New York Harbor ULSD | 4/30/2020 | 1 | 58,048 | 42,063 | (15,985 | ) | ||||||||||||||
Nickel LME | 6/17/2020 | 74 | 5,717,832 | 5,096,898 | (620,934 | ) | ||||||||||||||
Soybean Meal | 7/14/2020 | 66 | 2,008,040 | 2,104,740 | 96,700 | |||||||||||||||
Sugar | 6/30/2020 | 207 | 2,532,712 | 2,434,320 | (98,392 | ) | ||||||||||||||
Wheat | 7/14/2020 | 287 | 7,735,450 | 8,071,875 | 336,425 | |||||||||||||||
Zinc LME | 6/17/2020 | 189 | 10,129,455 | 8,999,944 | (1,129,511 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (7,661,101) | |||||||||||||||||
|
|
At March 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 | 6/19/2020 | 95 | $ | 15,766,172 | $ | 17,010,938 | $ | (1,244,766 | ) | |||||||||||
Brazilian Real | 4/30/2020 | 52 | 1,010,270 | 1,000,480 | 9,790 | |||||||||||||||
British Pound | 6/15/2020 | 10 | 787,044 | 778,500 | 8,544 | |||||||||||||||
Canadian Dollar | 6/16/2020 | 98 | 6,830,760 | 6,962,410 | (131,650 | ) | ||||||||||||||
E-mini S&P 500® | 6/19/2020 | 38 | 4,777,712 | 4,882,430 | (104,718 | ) | ||||||||||||||
Euro | 6/15/2020 | 392 | 55,367,956 | 54,142,550 | 1,225,406 | |||||||||||||||
Euro-BTP | 6/08/2020 | 19 | 2,819,331 | 2,963,259 | (143,928 | ) | ||||||||||||||
German Euro Bund | 6/08/2020 | 156 | 29,540,863 | 29,680,744 | (139,881 | ) | ||||||||||||||
Indian Rupee | 4/28/2020 | 132 | 3,413,256 | 3,469,488 | (56,232 | ) | ||||||||||||||
Japanese Yen | 6/15/2020 | 58 | 6,795,526 | 6,756,638 | 38,888 | |||||||||||||||
UK Long Gilt | 6/26/2020 | 40 | 6,753,175 | 6,766,465 | (13,290 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (551,837) | |||||||||||||||||
|
|
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Aluminum LME | 6/17/2020 | 62 | $ | 2,682,732 | $ | 2,359,875 | $ | 322,857 | ||||||||||||
Cocoa | 7/16/2020 | 93 | 2,074,830 | 2,100,870 | (26,040 | ) | ||||||||||||||
Copper | 5/27/2020 | 15 | 931,512 | 835,500 | 96,012 | |||||||||||||||
Copper LME | 6/17/2020 | 205 | 27,232,667 | 25,372,594 | 1,860,073 | |||||||||||||||
Corn | 7/14/2020 | 574 | 10,941,638 | 9,930,200 | 1,011,438 | |||||||||||||||
Cotton | 7/09/2020 | 41 | 1,101,670 | 1,043,450 | 58,220 | |||||||||||||||
Low Sulfur Gasoil | 5/12/2020 | 15 | 517,225 | 442,125 | 75,100 | |||||||||||||||
Natural Gas | 4/28/2020 | 67 | 1,270,610 | 1,098,800 | 171,810 | |||||||||||||||
Nickel LME | 6/17/2020 | 34 | 2,464,257 | 2,341,818 | 122,439 | |||||||||||||||
Silver | 5/27/2020 | 13 | 1,142,505 | 920,140 | 222,365 | |||||||||||||||
Soybean | 7/14/2020 | 73 | 3,270,550 | 3,246,675 | 23,875 | |||||||||||||||
Soybean Oil | 7/14/2020 | 50 | 840,228 | 820,800 | 19,428 | |||||||||||||||
WTI Crude Oil | 5/19/2020 | 226 | 5,466,980 | 5,539,260 | (72,280 | ) |
Commodity Futures1 | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Zinc LME | 6/17/2020 | 90 | $ | 4,338,076 | $ | 4,285,688 | $ | 52,388 | ||||||||||||||
|
| |||||||||||||||||||||
Total | $ | 3,937,685 | ||||||||||||||||||||
|
|
1 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Swap Agreements.
The 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 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.
Equity basket total return swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement. 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.
Equity basket total return swap agreements are privately negotiated in theover-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.
At March 31, 2020, the Fund had the following open swap agreements:
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 | 5/19/2020 | $(21,831,067) | $— | $(21,831,067) | (3.0%) | ||||||||||||||||
|
|
|
|
|
|
(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 of0.45%-0.75% as calculated on the notional amount. |
The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of March 31, 2020:
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Aerospace & Defense | ||||||||||||
AeroVironment, Inc. | (2,495 | ) | $ | (152,095 | ) | (0.7 | %) | |||||
Spirit AeroSystems Holdings, Inc. | (4,301 | ) | (102,923 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(255,018 | ) | |||||||||||
Auto Components | ||||||||||||
BorgWarner, Inc. | (48,480 | ) | (1,181,458 | ) | (5.4 | %) | ||||||
Goodyear Tire & Rubber Co. (The) | (27,894 | ) | (162,343 | ) | (0.7 | %) | ||||||
|
| |||||||||||
(1,343,801 | ) | |||||||||||
Banks | ||||||||||||
First Horizon National Corp. | (154,130 | ) | (1,242,288 | ) | (5.7 | %) | ||||||
Pacific Premier Bancorp, Inc. | (77,312 | ) | (1,456,558 | ) | (6.7 | %) | ||||||
South State Corp. | (28,159 | ) | (1,653,778 | ) | (7.6 | %) | ||||||
United Bankshares, Inc. | (29,558 | ) | (682,199 | ) | (3.1 | %) | ||||||
|
| |||||||||||
(5,034,823 | ) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Biotechnology | ||||||||||||
AbbVie, Inc. | (8,357 | ) | (636,720 | ) | (2.9 | %) | ||||||
Agios Pharmaceuticals, Inc. | (4,132 | ) | (146,603 | ) | (0.7 | %) | ||||||
Alkermes PLC | (12,378 | ) | (178,491 | ) | (0.8 | %) | ||||||
Bluebird Bio, Inc. | (3,393 | ) | (155,942 | ) | (0.7 | %) | ||||||
Heron Therapeutics, Inc. | (14,741 | ) | (173,059 | ) | (0.8 | %) | ||||||
Intercept Pharmaceuticals, Inc. | (2,344 | ) | (147,578 | ) | (0.7 | %) | ||||||
Madrigal Pharmaceuticals, Inc. | (2,618 | ) | (174,778 | ) | (0.8 | %) | ||||||
Sarepta Therapeutics, Inc. | (1,884 | ) | (184,293 | ) | (0.8 | %) | ||||||
Vericel Corp. | (2,215 | ) | (20,312 | ) | (0.1 | %) | ||||||
|
| |||||||||||
(1,817,776 | ) | |||||||||||
Capital Markets | ||||||||||||
Charles Schwab Corp. (The) | (52,052 | ) | (1,749,988 | ) | (8.0 | %) | ||||||
|
| |||||||||||
Chemicals | ||||||||||||
Chemours Co. (The) | (14,175 | ) | (125,732 | ) | (0.6 | %) | ||||||
Ferro Corp. | (15,625 | ) | (146,250 | ) | (0.7 | %) | ||||||
Mosaic Co. (The) | (15,409 | ) | (166,725 | ) | (0.8 | %) | ||||||
Olin Corp. | (13,618 | ) | (158,922 | ) | (0.7 | %) | ||||||
Westlake Chemical Corp. | (4,715 | ) | (179,972 | ) | (0.8 | %) | ||||||
|
| |||||||||||
(777,601 | ) | |||||||||||
Communications Equipment | ||||||||||||
CommScope Holding Co., Inc. | (17,165 | ) | (156,373 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Diversified Telecommunication Services | ||||||||||||
CenturyLink, Inc. | (16,984 | ) | (160,669 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
TTM Technologies, Inc. | (16,229 | ) | (167,808 | ) | (0.8 | %) | ||||||
|
| |||||||||||
Energy Equipment & Services | ||||||||||||
Halliburton Co. | (14,842 | ) | (101,668 | ) | (0.5 | %) | ||||||
National Oilwell Varco, Inc. | (14,629 | ) | (143,803 | ) | (0.7 | %)�� | ||||||
Schlumberger Ltd. | (9,616 | ) | (129,720 | ) | (0.6 | %) | ||||||
Transocean Ltd. | (47,209 | ) | (54,762 | ) | (0.3 | %) | ||||||
|
| |||||||||||
(429,953 | ) | |||||||||||
Equity Real Estate Investment Trusts | ||||||||||||
Digital Realty Trust, Inc. | (17,978 | ) | (2,497,324 | ) | (11.4 | %) | ||||||
|
| |||||||||||
Health Care Equipment & Supplies | ||||||||||||
STAAR Surgical Co. | (4,665 | ) | (150,493 | ) | (0.7 | %) | ||||||
Tandem Diabetes Care, Inc. | (1,810 | ) | (116,473 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(266,966 | ) | |||||||||||
Health Care Providers & Services | ||||||||||||
BioTelemetry, Inc. | (4,048 | ) | (155,888 | ) | (0.7 | %) | ||||||
MEDNAX, Inc. | (13,579 | ) | (158,060 | ) | (0.7 | %) | ||||||
|
| |||||||||||
(313,948 | ) | |||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
International Game Technology PLC | (23,823 | ) | (141,747 | ) | (0.6 | %) | ||||||
Penn National Gaming, Inc. | (8,237 | ) | (104,198 | ) | (0.5 | %) | ||||||
|
| |||||||||||
(245,945 | ) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Household Durables | ||||||||||||
Newell Brands, Inc. | (12,149 | ) | (161,339 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Interactive Media & Entertainment | ||||||||||||
SINA Corp. | (5,010 | ) | (159,518 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Internet & Direct Marketing Retail | ||||||||||||
Grubhub, Inc. | (3,038 | ) | (123,738 | ) | (0.6 | %) | ||||||
|
| |||||||||||
Machinery | ||||||||||||
Greenbrier Cos., Inc. (The) | (8,626 | ) | (153,025 | ) | (0.7 | %) | ||||||
Woodward, Inc. | (25,148 | ) | (1,494,797 | ) | (6.8 | %) | ||||||
|
| |||||||||||
(1,647,822 | ) | |||||||||||
Media | ||||||||||||
AMC Networks, Inc. | (6,824 | ) | (165,891 | ) | (0.8 | %) | ||||||
|
| |||||||||||
Metals & Mining | ||||||||||||
Alcoa Corp. | (15,914 | ) | (98,030 | ) | (0.4 | %) | ||||||
Freeport-McMoRan, Inc. | (23,326 | ) | (157,451 | ) | (0.7 | %) | ||||||
Steel Dynamics, Inc. | (7,649 | ) | (172,409 | ) | (0.8 | %) | ||||||
|
| |||||||||||
(427,889 | ) | |||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Apache Corp. | (17,136 | ) | (71,629 | ) | (0.3 | %) | ||||||
Cimarex Energy Co. | (8,982 | ) | (151,167 | ) | (0.7 | %) | ||||||
CNX Resources Corp. | (17,900 | ) | (95,228 | ) | (0.4 | %) | ||||||
Golar LNG Ltd. | (22,248 | ) | (175,314 | ) | (0.8 | %) | ||||||
Occidental Petroleum Corp. | (9,330 | ) | (108,041 | ) | (0.5 | %) | ||||||
Parsley Energy, Inc. | (20,162 | ) | (115,528 | ) | (0.5 | %) | ||||||
PBF Energy, Inc. | (13,539 | ) | (95,856 | ) | (0.4 | %) | ||||||
Western Midstream Operating LP | (23,662 | ) | (76,665 | ) | (0.4 | %) | ||||||
|
| |||||||||||
(889,428 | ) | |||||||||||
Paper & Forest Products | ||||||||||||
Boise Cascade LLC | (6,384 | ) | (151,812 | ) | (0.7 | %) | ||||||
|
| |||||||||||
Pharmaceuticals | ||||||||||||
Supernus Pharmaceuticals, Inc. | (9,844 | ) | (177,094 | ) | (0.8 | %) | ||||||
Theravance Biopharma, Inc. | (7,501 | ) | (173,348 | ) | (0.8 | %) | ||||||
|
| |||||||||||
(350,442 | ) | |||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Xperi Corp. | (115,557 | ) | (1,607,398 | ) | (7.4 | %) | ||||||
|
| |||||||||||
Software | ||||||||||||
Nutanix, Inc., Class A | (4,813 | ) | (76,045 | ) | (0.3 | %) | ||||||
|
| |||||||||||
Specialty Retail | ||||||||||||
L Brands, Inc. | (10,125 | ) | (117,045 | ) | (0.5 | %) | ||||||
National Vision Holdings, Inc. | (6,665 | ) | (129,434 | ) | (0.6 | %) | ||||||
|
| |||||||||||
(246,479 | ) | |||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Western Digital Corp. | (4,137 | ) | (172,182 | ) | (0.8 | %) | ||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Capri Holdings Ltd. | (10,296 | ) | (111,094 | ) | (0.5 | %) |
Common Stocks - Short | Shares | Value | % of Basket Value | |||||||||
Tapestry, Inc. | (11,027 | ) | (142,800 | ) | (0.7 | %) | ||||||
|
| |||||||||||
(253,894 | ) | |||||||||||
Wireless Telecommunication Services | ||||||||||||
U.S. Cellular Corp. | (6,118 | ) | (179,196 | ) | (0.8 | %) | ||||||
|
| |||||||||||
Total Common Stocks - Short |
| $ | (21,831,067 | ) | ||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the 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 the 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.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 59,953,841 | $ | — | $ | — | $ | 59,953,841 | ||||||||
Exchange-Traded Funds | 4,074,768 | — | — | 4,074,768 | ||||||||||||
Short-Term Investments* | — | 650,363,882 | — | 650,363,882 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 2,850,370 | — | 2,850,370 | ||||||||||||
Futures Contracts (unrealized appreciation) | 13,297,063 | 2,620,749 | — | 15,917,812 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 77,325,672 | $ | 655,835,001 | $ | — | $ | 733,160,673 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Basket Total Return Swap | $ | —(a) | $ | — | $ | — | $ | — | ||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (3,938,277 | ) | — | (3,938,277 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (11,861,409 | ) | (2,768 | ) | — | (11,864,177 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (11,861,409 | ) | $ | (3,941,045 | ) | $ | — | $ | (15,802,454 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
(a) | Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of and underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swaps agreements.
The 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 period ended March 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, commodities (through investments in the Subsidiary) and short-term interest rates, and short contracts on equity basket total return swaps in accordance with these objectives.
The following is a summary of derivative instruments for the Fund, as of March 31, 2020:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 2,850,370 | $ | — | ||||
|
|
|
| |||||
Exchange-traded asset derivatives | ||||||||
Interest rate contracts | $ | — | $ | 6,354,429 | ||||
Foreign exchange contracts | — | 1,282,628 | ||||||
Commodity contracts | — | 4,700,765 | ||||||
Equity contracts | — | 3,579,990 | ||||||
|
|
|
| |||||
Total exchange-traded asset derivatives | $ | — | $ | 15,917,812 | ||||
|
|
|
| |||||
Total asset derivatives | $ | 2,850,370 | $ | 15,917,812 | ||||
|
|
|
|
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | Swap agreements at value1 | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | (3,938,277 | ) | $ | — | $ | — | |||||
Equity Contracts | — | — | (21,831,067 | ) | ||||||||
|
|
|
|
|
| |||||||
Totalover-the-counter liability derivatives | $ | (3,938,277 | ) | $ | — | $ | (21,831,067 | ) | ||||
|
|
|
|
|
| |||||||
Exchange-traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | (1,623,190 | ) | $ | — | |||||
Foreign exchange contracts | — | (987,648 | ) | — | ||||||||
Commodity contracts | — | (8,424,181 | ) | — | ||||||||
Equity contracts | — | (829,158 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total exchange-traded liability derivatives | $ | — | $ | (11,864,177 | ) | $ | — | |||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | (3,938,277 | ) | $ | (11,864,177 | ) | $ | (21,831,067 | ) | |||
|
|
|
|
|
|
1 | Represents swap agreements, at value. Market value of swap agreements is reported in the Consolidated Portfolio of Investments. |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of this disclosure.
Over-the-counter (“OTC”) derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the netmark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a
counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2020, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty | Derivatives | Collateral Pledged | ||||||
UBS AG | $ | (1,087,907 | ) | $ | 12,044,161 |
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements atpre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2020:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 2,850,370 | $ | — | ||||
Collateral pledged to UBS AG | 12 044 161 | 12,044,161 | ||||||
Collateral pledged to Morgan Stanley | 9,878,233 | 9,878,233 | ||||||
|
|
|
| |||||
Totalover-the-counter counterparty credit risk | 24,772,764 | 21,922,394 | ||||||
|
|
|
| |||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts | 15,917,812 | 15,917,812 | ||||||
Margin with brokers | 45,602,050 | 45,602,050 | ||||||
|
|
|
| |||||
Total exchange-traded counterparty credit risk | 61,519,862 | 61,519,862 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 86,292,626 | $ | 83,442,256 | ||||
|
|
|
|
Investment Summary at March 31, 2020 (Unaudited)
Certificates of Deposit | 57.3 | % | ||
Commercial Paper | 15.1 | |||
Time Deposits | 10.6 | |||
Common Stocks | 8.2 | |||
Other Notes | 4.1 | |||
Treasuries | 2.1 | |||
Other Investments, less than 2% each | 0.7 | |||
|
| |||
Total Investments | 98.1 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 1.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|