ABBEY CAPITAL MULTI ASSET FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2023
(UNAUDITED)

                     
   
COUPON*
  
MATURITY DATE
  
PAR (000's)
    
VALUE
  
SHORT-TERM INVESTMENTS - 82.7%
                    
U.S. TREASURY OBLIGATIONS - 80.3%
                    
U.S. Treasury Bills
    
4.716
%
06/01/23
    
2,164
    
$
2,164,000
  
U.S. Treasury Bills
    
4.701
%
06/08/23
    
11,214
      
11,202,558
  
U.S. Treasury Bills
    
4.656
%
06/22/23
    
1,659
      
1,654,125
  
U.S. Treasury Bills
    
4.780
%
06/29/23
    
6,948
      
6,920,750
  
U.S. Treasury Bills
    
4.859
%
07/06/23
    
9,033
      
8,990,418
  
U.S. Treasury Bills
    
4.827
%
07/13/23
    
12,185
      
12,112,764
  
U.S. Treasury Bills
    
4.858
%
07/20/23
    
9,856
      
9,787,817
  
U.S. Treasury Bills
    
4.819
%
07/27/23
    
16,965
      
16,828,317
  
U.S. Treasury Bills
    
4.827
%
08/03/23
    
16,231
      
16,084,640
  
U.S. Treasury Bills
    
4.937
%
08/10/23
    
27,492
      
27,217,666
  
U.S. Treasury Bills
    
5.057
%
08/17/23
    
9,397
      
9,295,022
  
U.S. Treasury Bills
    
5.141
%
08/24/23
    
29,388
      
29,034,785
  
U.S. Treasury Bills
    
5.158
%
08/31/23
    
5,269
      
5,199,030
  
U.S. Treasury Bills
    
5.124
%
09/07/23
    
14,858
      
14,653,905
  
U.S. Treasury Bills
    
4.894
%
09/14/23
    
13,279
      
13,082,297
  
U.S. Treasury Bills
    
4.740
%
09/21/23
    
3,677
      
3,618,713
  
U.S. Treasury Bills
    
4.888
%
09/28/23
    
9,356
      
9,199,797
  
U.S. Treasury Bills
    
4.966
%
10/05/23
    
9,107
      
8,941,360
  
U.S. Treasury Bills
    
4.977
%
10/12/23
    
26,873
      
26,350,616
  
U.S. Treasury Bills
    
5.051
%
10/19/23
    
20,859
      
20,433,872
  
U.S. Treasury Bills
    
5.086
%
10/26/23
    
53,954
      
52,797,324
  
U.S. Treasury Bills
    
5.093
%
11/02/23
    
14,120
      
13,806,061
  
U.S. Treasury Bills
    
5.124
%
11/09/23
    
19,736
      
19,269,658
  
U.S. Treasury Bills
    
5.355
%
11/16/23
    
20,621
      
20,121,143
  
U.S. Treasury Bills
    
5.436
%
11/24/23
    
25,846
      
25,190,412
  
TOTAL U.S. TREASURY OBLIGATIONS ($384,371,149)
                      
383,957,050
  
               
NUMBER OF
          
               
SHARES
          
MONEY MARKET DEPOSIT ACCOUNT - 2.4%
             
(000's)
          
U.S. Bank Money Market Deposit Account, 5.00% (United States)(a)
              
11,367
      
11,636,667
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($11,636,667)
                      
11,636,667
  
                           
TOTAL SHORT-TERM INVESTMENTS
                          
(Cost $396,007,816)
                      
395,593,717
  
TOTAL INVESTMENTS - 82.7%
                          
(Cost $396,007,816)
                      
395,593,717
  
                           
OTHER ASSETS IN EXCESS OF LIABILITIES - 17.3%
                      
82,668,758
  
NET ASSETS - 100.0%
                    
$
478,262,475
  
 
                          
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
                
(a) The rate shown is as of May 31 2023.
                          
Futures contracts outstanding as of May 31, 2023 were as follows:
                    
                     
LONG CONTRACTS
EXPIRATION DATE
  
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
  
10-Year Mini Japanese Government Bond Futures
Jun-23
    
171
    
$
18,239,590
    
$
28,423
  
3-Month Euro Euribor
Jun-24
    
1
      
258,527
      
374
  
3-Month SOFR Futures
Dec-24
    
22
      
5,321,525
      
(19,938
)
3-Month SOFR Futures
Dec-25
    
41
      
9,940,450
      
(19,888
)
90-DAY Bank Bill
Jun-23
    
3
      
1,932,005
      
(1,479
)
90-DAY Bank Bill
Dec-23
    
23
      
14,809,871
      
(7,062
)
Australian 10-Year Bond Futures
Jun-23
    
41
      
3,197,880
      
(53,453
)
Australian 3-Year Bond Futures
Jun-23
    
59
      
4,123,354
      
(30,563
)
CAC40 10 Euro Futures
Jun-23
    
148
      
11,231,225
      
(421,407
)
Cattle Feeder Futures
Aug-23
    
18
      
2,152,575
      
71,400
  
Cattle Feeder Futures
Sep-23
    
5
      
605,563
      
28,675
  
CHF Currency Futures
Jun-23
    
1
      
137,469
      
(2,725
)
Cocoa Futures
Jul-23
    
15
      
451,050
      
5,350
  
Cocoa Futures
Sep-23
    
92
      
2,777,480
      
51,340
  
Cocoa Futures
Dec-23
    
33
      
993,300
      
(1,830
)
Cocoa Futures ICE
Jul-23
    
28
      
817,127
      
33,052
  
Cocoa Futures ICE
Sep-23
    
47
      
1,355,235
      
70,047
  
Cocoa Futures ICE
Dec-23
    
10
      
283,123
      
(697
)
Coffee 'C' Futures
Sep-23
    
1
      
65,944
      
(6,244
)
Coffee Robusta Futures
Jul-23
    
4
      
102,240
      
6,610
  
Coffee Robusta Futures
Sep-23
    
12
      
302,400
      
6,980
  
DAX Index Futures
Jun-23
    
51
      
21,349,033
      
(436,972
)
DJIA Mini E-CBOT
Jun-23
    
53
      
8,739,435
      
(216,428
)
Dollar Index
Jun-23
    
172
      
17,930,140
      
114,510
  
E-Mini Consumer Discretionary Select Futures
Jun-23
    
1
      
153,350
      
(190
)
E-mini S&P 500 ESG Index
Jun-23
    
2
      
371,660
      
3,010
  
E-Mini Technology Select Futures
Jun-23
    
2
      
331,420
      
32,450
  
EUR Foreign Exchange Currency Futures
Jun-23
    
114
      
15,226,838
      
(43,378
)
Euro STOXX 50
Jun-23
    
199
      
8,970,039
      
148,428
  
Euro/JPY Futures
Jun-23
    
53
      
7,056,998
      
184,263
  
Euro-Bobl Futures
Jun-23
    
25
      
3,157,000
      
1,432
  
Euro-BTP Futures
Jun-23
    
17
      
2,107,147
      
19,219
  
Euro-Bund Futures
Jun-23
    
14
      
2,035,936
      
2,309
  
FTSE 100 Index Futures
Jun-23
    
142
      
13,163,294
      
(446,796
)
FTSE Taiwan Index
Jun-23
    
28
      
1,590,680
      
19,330
  
FTSE/JSE TOP 40
Jun-23
    
5
      
178,034
      
(8,022
)
FTSE/MIB Index Futures
Jun-23
    
41
      
5,717,623
      
(69,489
)
Gasoline RBOB Futures
Jun-23
    
25
      
2,565,990
      
(51,431
)
Gasoline RBOB Futures
Aug-23
    
3
      
299,326
      
(4,704
)
Gasoline RBOB Futures
Oct-23
    
1
      
89,048
      
(3,927
)
GBP Currency Futures
Jun-23
    
59
      
4,582,825
      
68,584
  
Gold 100 Oz Futures
Aug-23
    
61
      
12,090,810
      
12,370
  
Gold 100 Oz Futures
Dec-23
    
2
      
404,080
      
(1,980
)
Hang Seng Index Futures
Jun-23
    
6
      
697,278
      
(22,642
)
IBEX 35 Index Futures
Jun-23
    
6
      
579,586
      
(9,934
)
JPN 10-Year Bond (Osaka Securities Exchange)
Jun-23
    
4
      
4,266,284
      
(3,302
)
JPY Currency Futures
Jun-23
    
112
      
10,080,000
      
32,594
  
Live Cattle Futures
Aug-23
    
89
      
5,969,230
      
167,040
  
Live Cattle Futures
Oct-23
    
35
      
2,404,850
      
63,530
  
Live Cattle Futures
Dec-23
    
22
      
1,543,960
      
44,940
  
LME Aluminum Forward
Jun-23
    
2
      
112,576
      
(6,362
)
LME Aluminum Forward
Jun-23
    
945
      
52,979,062
      
(2,744,834
)
LME Aluminum Forward
Jun-23
    
4
      
224,300
      
(11,293
)
LME Aluminum Forward
Jul-23
    
4
      
224,563
      
(18,562
)
LME Aluminum Forward
Jul-23
    
2
      
112,475
      
(5,676
)
LME Aluminum Forward
Jul-23
    
4
      
224,850
      
(15,713
)
LME Aluminum Forward
Jul-23
    
2
      
112,375
      
(9,200
)
LME Aluminum Forward
Jul-23
    
1
      
56,113
      
668
  
LME Aluminum Forward
Jul-23
    
5
      
280,438
      
3,313
  
LME Aluminum Forward
Aug-23
    
1
      
56,086
      
(1,827
)
LME Aluminum Forward
Sep-23
    
83
      
4,678,046
      
(85,200
)
LME Copper Forward
Jun-23
    
2
      
403,600
      
(48,229
)
LME Copper Forward
Jun-23
    
1
      
201,813
      
(24,089
)
LME Copper Forward
Jun-23
    
2
      
403,905
      
(47,849
)
LME Copper Forward
Jun-23
    
1
      
201,991
      
(23,849
)
LME Copper Forward
Jun-23
    
314
      
63,427,999
      
(6,245,053
)
LME Copper Forward
Jun-23
    
1
      
202,006
      
(21,819
)
LME Copper Forward
Jun-23
    
1
      
202,073
      
(9,565
)
LME Copper Forward
Jul-23
    
1
      
202,140
      
(22,611
)
LME Copper Forward
Jul-23
    
1
      
202,043
      
(850
)
LME Copper Forward
Jul-23
    
1
      
202,098
      
(9,596
)
LME Copper Forward
Aug-23
    
1
      
202,166
      
(12,728
)
LME Copper Forward
Sep-23
    
34
      
6,878,200
      
(7,830
)
LME Lead Forward
Jun-23
    
1
      
50,288
      
(2,699
)
LME Lead Forward
Jun-23
    
1
      
50,353
      
(2,723
)
LME Lead Forward
Jun-23
    
1
      
50,369
      
(3,263
)
LME Lead Forward
Jun-23
    
66
      
3,333,858
      
(188,252
)
LME Lead Forward
Jun-23
    
1
      
50,463
      
(3,075
)
LME Lead Forward
Jun-23
    
1
      
50,444
      
(2,931
)
LME Lead Forward
Sep-23
    
52
      
2,617,875
      
(73,037
)
LME Nickel Forward
Jun-23
    
1
      
122,757
      
(21,123
)
LME Nickel Forward
Jun-23
    
2
      
245,676
      
(37,648
)
LME Nickel Forward
Jul-23
    
1
      
123,001
      
(31,379
)
LME Nickel Forward
Jul-23
    
1
      
123,014
      
(23,896
)
LME Nickel Forward
Jul-23
    
1
      
123,052
      
(2,658
)
LME Nickel Forward
Aug-23
    
2
      
246,366
      
(40,746
)
LME Nickel Forward
Aug-23
    
1
      
123,452
      
(4,349
)
LME Zinc Forward
Jun-23
    
1
      
55,931
      
(11,181
)
LME Zinc Forward
Jun-23
    
97
      
5,431,394
      
(1,031,230
)
LME Zinc Forward
Jun-23
    
2
      
112,085
      
(22,214
)
LME Zinc Forward
Jul-23
    
1
      
56,027
      
(1,416
)
LME Zinc Forward
Jul-23
    
1
      
56,031
      
(1,419
)
LME Zinc Forward
Jul-23
    
1
      
56,094
      
(12,519
)
LME Zinc Forward
Jul-23
    
1
      
56,113
      
(10,125
)
LME Zinc Forward
Aug-23
    
1
      
56,144
      
(5,806
)
LME Zinc Forward
Aug-23
    
1
      
56,169
      
94
  
Micro E-mini Nasdaq 100 Index Futures
Jun-23
    
1
      
28,601
      
2,517
  
Micro Gold Futures
Aug-23
    
1
      
19,821
      
(227
)
Mini TOPIX Index Futures
Jun-23
    
6
      
91,556
      
7,951
  
MSCI EAFE Index Futures
Jun-23
    
23
      
2,361,410
      
(92,735
)
MXN Currency Futures
Jun-23
    
205
      
5,774,850
      
136,310
  
Nasdaq 100 E-Mini
Jun-23
    
90
      
25,740,899
      
555,470
  
Nikkei 225 (Chicago Mercantile Exchange)
Jun-23
    
11
      
1,693,450
      
110,625
  
Nikkei 225 (Osaka Securities Exchange)
Jun-23
    
26
      
5,757,043
      
374,161
  
Nikkei 225 (Singapore Exchange)
Jun-23
    
267
      
29,569,782
      
94,258
  
Nikkei 225 Mini
Jun-23
    
114
      
2,524,242
      
198,579
  
Nikkei/Yen Futures
Jun-23
    
2
      
220,922
      
2,081
  
NZD Currency Futures
Jun-23
    
24
      
1,442,280
      
(29,280
)
OAT Futures
Jul-23
    
1
      
16,950
      
(150
)
OMX Helsinki All-Share Index Futures
Jun-23
    
4
      
78,318
      
(852
)
OMX Stockholm 30 Index Futures
Jun-23
    
529
      
10,915,823
      
(55,928
)
Orange Juice Futures
Jul-23
    
3
      
126,990
      
8,618
  
Palm Oil Futures
Jul-23
    
1
      
17,495
      
(1,712
)
Platinum Standard Futures
Apr-24
    
1
      
16,042
      
(373
)
S&P 500 E-Mini Futures
Jun-23
    
1,200
      
251,429,999
      
12,887,596
  
S&P/TSX 60 IX Futures
Jun-23
    
21
      
3,640,309
      
(192,530
)
SGX Nifty 50
Jun-23
    
78
      
2,911,584
      
25,865
  
Silver Futures
Jul-23
    
65
      
7,665,775
      
(427,171
)
SPI 200 Futures
Jun-23
    
79
      
9,120,918
      
(93,665
)
STOXX Dividend Futures
Dec-24
    
1
      
14,633
      
556
  
STOXX Europe 600 Banks Index
Jun-23
    
2
      
15,504
      
(323
)
STOXX Europe 600 Index
Jun-23
    
19
      
458,580
      
(6,258
)
STOXX Europe 600 Institutional Index
Jun-23
    
1
      
17,022
      
1,181
  
STOXX Europe 600 Utilities Index
Jun-23
    
1
      
20,432
      
978
  
STOXX Europe 600 ESG-X Index Futures
Jun-23
    
10
      
179,682
      
(3,314
)
Sugar No. 11 (World)
Jul-23
    
76
      
2,133,107
      
(28,668
)
Sugar No. 11 (World)
Oct-23
    
183
      
5,070,710
      
71,478
  
Sugar No. 11 (World)
Mar-24
    
42
      
1,151,539
      
(7,011
)
Sugar No. 11 (World)
May-24
    
1
      
25,659
      
(504
)
Topix Index Futures
Jun-23
    
69
      
10,528,907
      
445,193
  
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Sep-23
    
125
      
14,308,594
      
29,813
  
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-23
    
12
      
1,540,125
      
18,234
  
USD/CHN Futures
Jun-23
    
2
      
199,855
      
2,623
  
White Sugar ICE
Aug-23
    
9
      
313,245
      
25,410
  
                     
$
2,488,226
  
SHORT CONTRACTS
EXPIRATION DATE
  
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
  
1-Month SOFR Future
Oct-23
    
6
    
$
(2,369,440
)
  
$
3,584
  
3 Year Treasury Note
Sep-23
    
1
      
(211,297
)
    
(516
)
3-Month Euro Euribor
Sep-23
    
21
      
(5,399,048
)
    
(521
)
3-Month Euro Euribor
Dec-23
    
244
      
(62,787,213
)
    
1,523
  
3-Month Euro Euribor
Mar-24
    
209
      
(53,895,343
)
    
(93,823
)
3-Month Euro Euribor
Jun-24
    
17
      
(4,394,962
)
    
(5,572
)
3-Month Euro Euribor
Sep-24
    
68
      
(17,620,732
)
    
(18,532
)
3-Month Euro Euribor
Dec-24
    
16
      
(4,152,896
)
    
(8,003
)
3-Month Euro Euribor
Mar-25
    
26
      
(6,754,361
)
    
(13,802
)
3-Month Euro Euribor
Jun-25
    
18
      
(4,679,223
)
    
(9,567
)
3-Month Euro Euribor
Sep-25
    
14
      
(3,641,266
)
    
(6,961
)
3-Month Euro Euribor
Mar-26
    
38
      
(9,890,544
)
    
(16,635
)
3-Month SOFR Futures
Sep-23
    
121
      
(28,686,074
)
    
57,413
  
3-Month SOFR Futures
Dec-23
    
75
      
(17,841,563
)
    
55,025
  
3-Month SOFR Futures
Mar-24
    
23
      
(5,498,150
)
    
8,813
  
3-Month SOFR Futures
Jun-24
    
19
      
(4,564,513
)
    
5,438
  
3-Month SOFR Futures
Sep-24
    
160
      
(38,593,999
)
    
(29,276
)
3-Month SOFR Futures
Dec-24
    
14
      
(3,386,425
)
    
(1,988
)
3-Month SOFR Futures
Mar-25
    
12
      
(2,907,150
)
    
(2,625
)
3-Month SOFR Futures
Jun-25
    
8
      
(1,939,200
)
    
(2,300
)
3-Month SOFR Futures
Sep-25
    
8
      
(1,939,500
)
    
(2,350
)
3-Month SONIA  Index Futures
Sep-23
    
254
      
(74,804,388
)
    
(67,204
)
3-Month SONIA  Index Futures
Dec-23
    
55
      
(16,187,538
)
    
64,235
  
3-Month SONIA  Index Futures
Mar-24
    
39
      
(11,493,597
)
    
62,586
  
3-Month SONIA  Index Futures
Jun-24
    
22
      
(6,498,619
)
    
29,668
  
3-Month SONIA  Index Futures
Sep-24
    
64
      
(18,951,847
)
    
48,156
  
3-Month SONIA  Index Futures
Dec-24
    
41
      
(12,165,253
)
    
6,126
  
3-Month SONIA  Index Futures
Mar-25
    
17
      
(5,050,209
)
    
7,728
  
3-Month SONIA  Index Futures
Jun-25
    
15
      
(4,459,799
)
    
6,811
  
3-Month SONIA  Index Futures
Sep-25
    
11
      
(3,273,085
)
    
5,613
  
3-Month SONIA  Index Futures
Dec-25
    
30
      
(8,933,125
)
    
11,647
  
90-DAY Bank Bill
Sep-23
    
2
      
(1,287,752
)
    
189
  
90-DAY Bank Bill
Dec-23
    
8
      
(5,151,259
)
    
2,013
  
90-DAY Bank Bill
Mar-24
    
6
      
(3,864,576
)
    
850
  
90-DAY Bank Bill
Jun-24
    
3
      
(1,932,949
)
    
(205
)
90-DAY Bank Bill
Sep-24
    
2
      
(1,289,010
)
    
(16
)
90-DAY Bank Bill
Dec-24
    
1
      
(644,663
)
    
(63
)
AUD/USD Currency Futures
Jun-23
    
192
      
(12,475,200
)
    
213,116
  
Australian 10-Year Bond Futures
Jun-23
    
114
      
(8,891,667
)
    
(375
)
Australian 3-Year Bond Futures
Jun-23
    
641
      
(44,797,797
)
    
(35,115
)
Bank Acceptance Futures
Sep-23
    
24
      
(4,188,066
)
    
8,499
  
Bank Acceptance Futures
Dec-23
    
24
      
(4,189,171
)
    
14,116
  
Bank Acceptance Futures
Mar-24
    
18
      
(3,148,011
)
    
14,116
  
Bank Acceptance Futures
Jun-24
    
16
      
(2,806,335
)
    
12,302
  
Bank Acceptance Futures
Sep-24
    
8
      
(1,408,177
)
    
5,193
  
Bank Acceptance Futures
Dec-24
    
5
      
(883,149
)
    
2,007
  
Brent Crude Futures
Aug-23
    
25
      
(1,815,000
)
    
77,520
  
Brent Crude Futures
Sep-23
    
6
      
(434,940
)
    
16,660
  
Brent Crude Futures
Oct-23
    
4
      
(288,800
)
    
14,640
  
Brent Crude Futures
Dec-23
    
4
      
(286,520
)
    
11,740
  
Brent Crude Oil Last Day
Aug-23
    
4
      
(290,400
)
    
20,190
  
CAD Currency Futures
Jun-23
    
268
      
(19,750,260
)
    
(23,655
)
Canada 5-Year Bond Futures
Sep-23
    
1
      
(82,018
)
    
(155
)
Canadian 10-Year Bond Futures
Sep-23
    
103
      
(9,383,433
)
    
(47,433
)
Canola Futures (Winnipeg Commodity Exchange)
Jul-23
    
6
      
(57,414
)
    
7,268
  
Canola Futures (Winnipeg Commodity Exchange)
Nov-23
    
22
      
(202,514
)
    
18,399
  
CHF Currency Futures
Jun-23
    
56
      
(7,698,250
)
    
59,238
  
Coffee 'C' Futures
Jul-23
    
1
      
(66,994
)
    
1,669
  
Coffee 'C' Futures
Sep-23
    
4
      
(263,775
)
    
3,150
  
Coffee 'C' Futures
Dec-23
    
2
      
(130,200
)
    
1,931
  
Coffee 'C' Futures
Mar-24
    
1
      
(64,969
)
    
(206
)
Copper Futures
Jul-23
    
87
      
(7,910,475
)
    
255,908
  
Copper Futures
Sep-23
    
1
      
(91,338
)
    
1,613
  
Corn Futures
Jul-23
    
67
      
(1,989,900
)
    
(49,013
)
Corn Futures
Sep-23
    
13
      
(335,563
)
    
16,788
  
Corn Futures
Dec-23
    
132
      
(3,443,550
)
    
(62,813
)
Cotton No.2 Futures
Jul-23
    
1
      
(41,740
)
    
(575
)
Cotton No.2 Futures
Dec-23
    
49
      
(1,947,015
)
    
73,850
  
DAX Index Futures
Jun-23
    
1
      
(418,609
)
    
3,046
  
DAX-Mini Futures
Jun-23
    
1
      
(83,722
)
    
657
  
DJIA Mini E-CBOT
Jun-23
    
7
      
(1,154,265
)
    
11,135
  
Dutch TTF Gas Futures
Jul-23
    
25
      
(533,860
)
    
86,234
  
E-Mini Crude Oil
Jul-23
    
7
      
(238,315
)
    
9,448
  
E-Mini Health Care Select Futures
Jun-23
    
1
      
(129,100
)
    
3,770
  
E-Mini Industrial Select Futures
Jun-23
    
1
      
(97,550
)
    
810
  
E-Mini Materials Select Futures
Jun-23
    
1
      
(79,450
)
    
5,410
  
E-Mini Natural Gas
Jul-23
    
1
      
(5,665
)
    
98
  
EUR Foreign Exchange Currency Futures
Jun-23
    
43
      
(5,743,456
)
    
44,169
  
Euro BUXL 30-Year Bond Futures
Jun-23
    
23
      
(3,409,902
)
    
(68,217
)
Euro STOXX 50
Jun-23
    
114
      
(5,138,615
)
    
130,353
  
Euro-Bobl Futures
Jun-23
    
273
      
(34,474,442
)
    
(321,226
)
Euro-BTP Futures
Jun-23
    
26
      
(3,222,695
)
    
(89,104
)
Euro-Bund Futures
Jun-23
    
148
      
(21,522,757
)
    
(330,313
)
Euro-Oat Futures
Jun-23
    
51
      
(7,116,254
)
    
(151,602
)
European Climate Exchange Futures
Dec-23
    
7
      
(606,217
)
    
20,266
  
Euro-Schatz Futures
Jun-23
    
158
      
(17,837,783
)
    
(40,629
)
FTSE 100 Index Futures
Jun-23
    
112
      
(10,382,316
)
    
412,188
  
FTSE China A50 Index
Jun-23
    
114
      
(1,397,754
)
    
24,458
  
FTSE KLCI Futures
Jun-23
    
6
      
(90,283
)
    
872
  
FTSE/JSE TOP 40
Jun-23
    
1
      
(35,607
)
    
1,010
  
FTSE/MIB Index Futures
Jun-23
    
1
      
(139,454
)
    
2,255
  
Gasoline RBOB Futures
Jul-23
    
18
      
(1,847,513
)
    
111,947
  
GBP Currency Futures
Jun-23
    
3
      
(233,025
)
    
(1,475
)
Gold 100 Oz Futures
Aug-23
    
5
      
(991,050
)
    
1,950
  
Hang Seng China Enterprises Index Futures
Jun-23
    
29
      
(1,137,157
)
    
28,479
  
Hang Seng Index Futures
Jun-23
    
55
      
(6,391,714
)
    
206,367
  
INR/USD Futures
Jun-23
    
1
      
(60,410
)
    
(1
)
JPY Currency Futures
Jun-23
    
383
      
(34,469,999
)
    
200,313
  
Kansas City Hard Red Winter Wheat Futures
Jul-23
    
13
      
(513,825
)
    
8,225
  
Kansas City Hard Red Winter Wheat Futures
Sep-23
    
1
      
(39,263
)
    
1,325
  
Lean Hogs Futures
Jul-23
    
72
      
(2,399,760
)
    
69,070
  
Lean Hogs Futures
Aug-23
    
99
      
(3,241,260
)
    
79,320
  
Lean Hogs Futures
Oct-23
    
2
      
(60,160
)
    
750
  
LME Aluminum Forward
Jun-23
    
2
      
(112,576
)
    
8,087
  
LME Aluminum Forward
Jun-23
    
945
      
(52,979,062
)
    
2,622,773
  
LME Aluminum Forward
Jun-23
    
4
      
(224,300
)
    
9,408
  
LME Aluminum Forward
Jul-23
    
2
      
(112,282
)
    
5,638
  
LME Aluminum Forward
Jul-23
    
2
      
(112,475
)
    
5,863
  
LME Aluminum Forward
Jul-23
    
2
      
(112,425
)
    
5,788
  
LME Aluminum Forward
Jul-23
    
2
      
(112,375
)
    
5,800
  
LME Aluminum Forward
Jul-23
    
1
      
(56,113
)
    
2,150
  
LME Aluminum Forward
Jul-23
    
5
      
(280,438
)
    
11,350
  
LME Aluminum Forward
Aug-23
    
2
      
(112,224
)
    
1,951
  
LME Aluminum Forward
Aug-23
    
2
      
(112,224
)
    
(224
)
LME Aluminum Forward
Aug-23
    
1
      
(56,106
)
    
(1,294
)
LME Aluminum Forward
Aug-23
    
6
      
(336,900
)
    
(3,573
)
LME Aluminum Forward
Sep-23
    
318
      
(17,923,116
)
    
96,324
  
LME Copper Forward
Jun-23
    
2
      
(403,600
)
    
37,950
  
LME Copper Forward
Jun-23
    
1
      
(201,813
)
    
19,875
  
LME Copper Forward
Jun-23
    
2
      
(403,905
)
    
28,645
  
LME Copper Forward
Jun-23
    
1
      
(201,991
)
    
10,422
  
LME Copper Forward
Jun-23
    
314
      
(63,427,999
)
    
5,479,266
  
LME Copper Forward
Jun-23
    
1
      
(202,006
)
    
9,594
  
LME Copper Forward
Jun-23
    
1
      
(202,073
)
    
20,932
  
LME Copper Forward
Jul-23
    
1
      
(202,140
)
    
9,521
  
LME Copper Forward
Jul-23
    
1
      
(202,043
)
    
17,283
  
LME Copper Forward
Jul-23
    
1
      
(202,098
)
    
12,953
  
LME Copper Forward
Aug-23
    
1
      
(202,204
)
    
4,421
  
LME Copper Forward
Aug-23
    
1
      
(202,088
)
    
3,225
  
LME Copper Forward
Aug-23
    
1
      
(202,156
)
    
844
  
LME Copper Forward
Aug-23
    
1
      
(202,225
)
    
780
  
LME Copper Forward
Sep-23
    
90
      
(18,207,000
)
    
226,041
  
LME Lead Forward
Jun-23
    
1
      
(50,288
)
    
2,837
  
LME Lead Forward
Jun-23
    
1
      
(50,353
)
    
3,198
  
LME Lead Forward
Jun-23
    
1
      
(50,369
)
    
1,932
  
LME Lead Forward
Jun-23
    
66
      
(3,333,858
)
    
83,731
  
LME Lead Forward
Jun-23
    
1
      
(50,463
)
    
2,700
  
LME Lead Forward
Jun-23
    
1
      
(50,444
)
    
3,000
  
LME Lead Forward
Aug-23
    
1
      
(50,368
)
    
2,508
  
LME Lead Forward
Aug-23
    
1
      
(50,278
)
    
1,109
  
LME Lead Forward
Sep-23
    
57
      
(2,869,594
)
    
62,889
  
LME Nickel Forward
Jun-23
    
1
      
(122,757
)
    
18,153
  
LME Nickel Forward
Jun-23
    
2
      
(245,676
)
    
38,332
  
LME Nickel Forward
Jul-23
    
1
      
(123,001
)
    
20,981
  
LME Nickel Forward
Jul-23
    
2
      
(246,027
)
    
44,976
  
LME Nickel Forward
Jul-23
    
1
      
(123,052
)
    
21,968
  
LME Nickel Forward
Jul-23
    
1
      
(123,078
)
    
18,522
  
LME Nickel Forward
Aug-23
    
1
      
(123,183
)
    
26,937
  
LME Nickel Forward
Aug-23
    
1
      
(123,345
)
    
4,395
  
LME Nickel Forward
Aug-23
    
1
      
(123,452
)
    
4,589
  
LME Nickel Forward
Aug-23
    
1
      
(123,528
)
    
2,530
  
LME Nickel Forward
Sep-23
    
3
      
(371,466
)
    
16,966
  
LME Zinc Forward
Jun-23
    
1
      
(55,931
)
    
15,144
  
LME Zinc Forward
Jun-23
    
97
      
(5,431,394
)
    
1,402,618
  
LME Zinc Forward
Jun-23
    
2
      
(112,085
)
    
32,421
  
LME Zinc Forward
Jul-23
    
1
      
(56,027
)
    
11,130
  
LME Zinc Forward
Jul-23
    
1
      
(56,031
)
    
11,006
  
LME Zinc Forward
Jul-23
    
1
      
(56,094
)
    
13,119
  
LME Zinc Forward
Jul-23
    
1
      
(56,094
)
    
11,069
  
LME Zinc Forward
Jul-23
    
1
      
(56,113
)
    
9,263
  
LME Zinc Forward
Aug-23
    
1
      
(56,144
)
    
5,444
  
LME Zinc Forward
Aug-23
    
1
      
(56,205
)
    
2,420
  
LME Zinc Forward
Aug-23
    
2
      
(112,425
)
    
2,655
  
LME Zinc Forward
Sep-23
    
97
      
(5,457,463
)
    
682,896
  
Long Gilt Futures
Sep-23
    
320
      
(38,528,654
)
    
(492,469
)
Low Sulphur Gasoil G Futures
Jul-23
    
38
      
(2,495,650
)
    
120,125
  
Low Sulphur Gasoil G Futures
Aug-23
    
10
      
(656,250
)
    
21,075
  
Low Sulphur Gasoil G Futures
Sep-23
    
2
      
(131,800
)
    
4,650
  
Low Sulphur Gasoil G Futures
Oct-23
    
2
      
(132,350
)
    
3,800
  
Micro E-mini Dow Jones Index Futures
Jun-23
    
1
      
(16,490
)
    
217
  
Micro E-mini S&P 500 Index
Jun-23
    
2
      
(41,905
)
    
(538
)
Micro EUR/USD Futures
Jun-23
    
2
      
(26,714
)
    
143
  
Milk Futures
Jun-23
    
1
      
(30,820
)
    
360
  
Mill Wheat Euro
Sep-23
    
92
      
(1,073,124
)
    
139,692
  
Mill Wheat Euro
Dec-23
    
3
      
(35,955
)
    
3,968
  
Mill Wheat Euro
Mar-24
    
3
      
(36,717
)
    
3,674
  
Mini H-Shares Index Futures
Jun-23
    
2
      
(15,685
)
    
46
  
Mini HSI Index Futures
Jun-23
    
4
      
(92,970
)
    
2,280
  
MSCI Emerging Markets Index Futures
Jun-23
    
34
      
(1,626,560
)
    
32,150
  
MSCI Singapore Exchange ETS
Jun-23
    
9
      
(189,244
)
    
3,017
  
Nasdaq 100 E-Mini
Jun-23
    
1
      
(286,010
)
    
(6,310
)
Natural Gas Futures
Jul-23
    
186
      
(4,214,760
)
    
394,125
  
Natural Gas Futures
Aug-23
    
98
      
(2,310,840
)
    
143,620
  
Natural Gas Futures
Sep-23
    
2
      
(47,160
)
    
9,500
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Jul-23
    
118
      
(11,155,460
)
    
602,817
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Aug-23
    
7
      
(662,647
)
    
34,243
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Sep-23
    
3
      
(285,025
)
    
24,809
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Oct-23
    
1
      
(95,290
)
    
5,355
  
NZD Currency Futures
Jun-23
    
2
      
(120,190
)
    
175
  
Palladium Futures
Sep-23
    
4
      
(543,600
)
    
33,900
  
Palm Oil Futures
Aug-23
    
7
      
(121,368
)
    
8,065
  
Palm Oil Futures
Sep-23
    
1
      
(17,398
)
    
856
  
Phelix-DE Base Futures
Jul-23
    
1
      
(203,042
)
    
30,021
  
Platinum Futures
Jul-23
    
1
      
(49,950
)
    
375
  
Rapeseed Euro
Aug-23
    
18
      
(380,235
)
    
51,735
  
Rapeseed Euro
Nov-23
    
1
      
(21,538
)
    
2,365
  
Red Wheat Futures (Minneapolis Grain Exchange)
Jul-23
    
1
      
(39,000
)
    
1,150
  
Rough Rice Futures
Jul-23
    
2
      
(69,160
)
    
(870
)
Russell 2000 E-Mini
Jun-23
    
10
      
(875,900
)
    
5,585
  
S&P 500 E-Mini Futures
Jun-23
    
34
      
(7,123,850
)
    
2,200
  
S&P Mid 400 E-Mini
Jun-23
    
3
      
(722,700
)
    
7,370
  
S&P/TSX 60 IX Futures
Jun-23
    
7
      
(1,213,436
)
    
1,326
  
SET50 Index Futures
Jun-23
    
64
      
(339,016
)
    
1,362
  
SGX Iron Ore 62% Futures
Jul-23
    
16
      
(157,440
)
    
200
  
Short BTP Future
Jun-23
    
66
      
(7,437,822
)
    
(34,376
)
Silver Futures
Jul-23
    
3
      
(353,805
)
    
(4,730
)
South African Rand Futures
Jun-23
    
1
      
(25,288
)
    
150
  
Soybean Futures
Jul-23
    
62
      
(4,029,225
)
    
197,922
  
Soybean Futures
Nov-23
    
56
      
(3,210,200
)
    
140,138
  
Soybean Futures
Jan-24
    
3
      
(173,550
)
    
6,938
  
Soybean Meal Futures
Jul-23
    
11
      
(432,740
)
    
17,160
  
Soybean Meal Futures
Dec-23
    
17
      
(620,500
)
    
11,870
  
Soybean Oil Futures
Jul-23
    
14
      
(388,080
)
    
44,694
  
Soybean Oil Futures
Dec-23
    
47
      
(1,301,430
)
    
53,190
  
Soybean Oil Futures
Jan-24
    
2
      
(55,380
)
    
7,902
  
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Sep-23
    
319
      
(36,515,530
)
    
(234,307
)
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
Sep-23
    
137
      
(28,198,452
)
    
(1,391
)
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
Sep-23
    
674
      
(73,518,656
)
    
(219,016
)
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-23
    
170
      
(21,818,438
)
    
(242,102
)
U.S. Treasury Ultra 10-Year Notes
Sep-23
    
34
      
(4,095,406
)
    
(40,547
)
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Sep-23
    
27
      
(3,695,625
)
    
(59,867
)
UK Natural Gas Futures
Jul-23
    
10
      
(244,988
)
    
42,515
  
Wheat (Chicago Board of Trade)
Jul-23
    
72
      
(2,139,300
)
    
209,575
  
Wheat (Chicago Board of Trade)
Sep-23
    
35
      
(1,064,000
)
    
115,813
  
Wheat (Chicago Board of Trade)
Dec-23
    
115
      
(3,603,813
)
    
207,363
  
White Maize Futures
Jul-23
    
3
      
(56,018
)
    
2,256
  
WTI Crude Futures
Jul-23
    
86
      
(5,855,740
)
    
358,409
  
WTI Crude Futures
Aug-23
    
9
      
(614,160
)
    
30,950
  
WTI Crude Futures
Sep-23
    
21
      
(1,430,940
)
    
89,250
  
WTI Crude Futures
Dec-23
    
2
      
(134,680
)
    
5,830
  
WTI Crude Futures IPE
Jun-23
    
3
      
(204,270
)
    
8,370
  
WTI Crude Futures IPE
Oct-23
    
1
      
(67,920
)
    
3,360
  
                     
$
14,336,104
  
Total Futures Contracts
                    
$
16,824,330
  
Forward foreign currency contracts outstanding as of May 31, 2023 were as follows:
  
                         
CURRENCY PURCHASED
  
CURRENCY SOLD
  
EXPIRATION DATE
COUNTERPARTY
  
UNREALIZED APPRECIATION/ (DEPRECIATION)
  
AUD
    
200,000
  
JPY
    
18,083,664
  
Jun 01 2023
 SOCIETE GENERALE
  
$
280
  
AUD
    
17,644,779
  
USD
    
11,465,577
  
Jun 01 2023
 SOCIETE GENERALE
    
11,864
  
AUD
    
2,000,000
  
USD
    
1,352,870
  
Jun 21 2023
 SOCIETE GENERALE
    
(50,916
)
AUD
    
4,200,000
  
JPY
    
382,416,468
  
Jul 12 2023
 SOCIETE GENERALE
    
(26,802
)
BRL
    
25,875,328
  
USD
    
5,150,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(66,634
)
CAD
    
30,501,628
  
USD
    
22,370,550
  
Jun 01 2023
 SOCIETE GENERALE
    
98,929
  
CAD
    
2,408,312
  
USD
    
1,800,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(24,918
)
CAD
    
5,860,564
  
AUD
    
6,600,000
  
Jul 12 2023
 SOCIETE GENERALE
    
21,874
  
CAD
    
2,200,000
  
JPY
    
225,700,222
  
Jul 12 2023
 SOCIETE GENERALE
    
(8,416
)
CHF
    
19,201,724
  
USD
    
21,196,295
  
Jun 01 2023
 SOCIETE GENERALE
    
(110,558
)
CHF
    
566,132
  
GBP
    
500,000
  
Jun 02 2023
 SOCIETE GENERALE
    
(253
)
CHF
    
19,201,724
  
USD
    
21,135,635
  
Jun 02 2023
 SOCIETE GENERALE
    
(47,578
)
CHF
    
4,179,729
  
EUR
    
4,300,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(1,171
)
CHF
    
5,123,881
  
USD
    
5,800,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(159,917
)
CHF
    
4,715,735
  
EUR
    
4,875,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(20,481
)
CHF
    
976,168
  
GBP
    
875,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(12,327
)
CHF
    
2,250,000
  
JPY
    
347,288,895
  
Jul 12 2023
 SOCIETE GENERALE
    
(26,675
)
CHF
    
2,750,000
  
USD
    
3,048,350
  
Jul 12 2023
 SOCIETE GENERALE
    
(14,072
)
CLP
    
80,965,856
  
USD
    
100,000
  
Jun 05 2023
 SOCIETE GENERALE
    
(109
)
CLP
    
30,870,011
  
USD
    
39,133
  
Jun 16 2023
 SOCIETE GENERALE
    
(1,108
)
CLP
    
157,897,726
  
USD
    
200,000
  
Jun 20 2023
 SOCIETE GENERALE
    
(5,619
)
CLP
    
1,641,507,476
  
USD
    
2,050,000
  
Jun 22 2023
 SOCIETE GENERALE
    
(29,804
)
CLP
    
163,264,000
  
USD
    
200,000
  
Jul 03 2023
 SOCIETE GENERALE
    
612
  
CNH
    
6,234,698
  
USD
    
900,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(22,311
)
COP
    
2,286,292,668
  
USD
    
500,000
  
Jun 21 2023
 SOCIETE GENERALE
    
10,882
  
CZK
    
52,040,986
  
EUR
    
2,200,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(11,932
)
EUR
    
200,000
  
GBP
    
172,611
  
Jun 01 2023
 SOCIETE GENERALE
    
(932
)
EUR
    
4,864,797
  
USD
    
5,200,468
  
Jun 01 2023
 SOCIETE GENERALE
    
(194
)
EUR
    
1,000,000
  
CHF
    
978,781
  
Jun 21 2023
 SOCIETE GENERALE
    
(7,159
)
EUR
    
600,000
  
CZK
    
14,250,081
  
Jun 21 2023
 SOCIETE GENERALE
    
684
  
EUR
    
2,100,000
  
GBP
    
1,851,547
  
Jun 21 2023
 SOCIETE GENERALE
    
(56,810
)
EUR
    
100,000
  
HUF
    
37,897,933
  
Jun 21 2023
 SOCIETE GENERALE
    
(1,642
)
EUR
    
11,050,000
  
JPY
    
1,644,337,727
  
Jun 21 2023
 SOCIETE GENERALE
    
(15,334
)
EUR
    
14,100,000
  
NOK
    
166,865,404
  
Jun 21 2023
 SOCIETE GENERALE
    
41,728
  
EUR
    
650,000
  
PLN
    
2,972,433
  
Jun 21 2023
 SOCIETE GENERALE
    
(5,350
)
EUR
    
19,800,000
  
SEK
    
225,398,339
  
Jun 21 2023
 SOCIETE GENERALE
    
395,516
  
EUR
    
3,300,000
  
USD
    
3,630,147
  
Jun 21 2023
 SOCIETE GENERALE
    
(98,392
)
EUR
    
3,875,000
  
AUD
    
6,347,353
  
Jul 12 2023
 SOCIETE GENERALE
    
16,914
  
EUR
    
4,500,000
  
CAD
    
6,544,177
  
Jul 12 2023
 SOCIETE GENERALE
    
(3,967
)
EUR
    
4,400,000
  
GBP
    
3,810,836
  
Jul 12 2023
 SOCIETE GENERALE
    
(29,898
)
EUR
    
2,100,000
  
JPY
    
313,415,550
  
Jul 12 2023
 SOCIETE GENERALE
    
(14,313
)
EUR
    
3,000,000
  
NOK
    
35,734,909
  
Jul 12 2023
 SOCIETE GENERALE
    
(11,302
)
EUR
    
5,875,000
  
SEK
    
68,115,151
  
Jul 12 2023
 SOCIETE GENERALE
    
3,775
  
GBP
    
172,683
  
EUR
    
200,000
  
Jun 01 2023
 SOCIETE GENERALE
    
1,021
  
GBP
    
19,572,236
  
USD
    
24,142,891
  
Jun 01 2023
 SOCIETE GENERALE
    
204,493
  
GBP
    
500,000
  
CHF
    
563,018
  
Jun 02 2023
 SOCIETE GENERALE
    
3,672
  
GBP
    
257,764
  
EUR
    
300,000
  
Jun 02 2023
 SOCIETE GENERALE
    
(47
)
GBP
    
19,572,236
  
USD
    
24,240,747
  
Jun 02 2023
 SOCIETE GENERALE
    
107,113
  
GBP
    
8,577,882
  
EUR
    
9,850,000
  
Jun 21 2023
 SOCIETE GENERALE
    
133,611
  
GBP
    
2,300,000
  
USD
    
2,886,185
  
Jun 21 2023
 SOCIETE GENERALE
    
(23,785
)
GBP
    
3,125,000
  
AUD
    
5,907,770
  
Jul 12 2023
 SOCIETE GENERALE
    
41,860
  
GBP
    
172,878
  
EUR
    
200,000
  
Jul 12 2023
 SOCIETE GENERALE
    
933
  
GBP
    
1,875,000
  
JPY
    
322,857,675
  
Jul 12 2023
 SOCIETE GENERALE
    
1,696
  
GBP
    
750,000
  
USD
    
926,333
  
Jul 12 2023
 SOCIETE GENERALE
    
7,443
  
HUF
    
1,101,658,554
  
EUR
    
2,900,000
  
Jun 21 2023
 SOCIETE GENERALE
    
55,112
  
HUF
    
112,875,405
  
EUR
    
300,000
  
Jul 12 2023
 SOCIETE GENERALE
    
306
  
IDR
    
738,286,376
  
USD
    
50,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(759
)
ILS
    
1,091,388
  
USD
    
300,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(7,234
)
INR
    
49,674,600
  
USD
    
600,000
  
Jun 05 2023
 SOCIETE GENERALE
    
325
  
INR
    
16,571,400
  
USD
    
200,000
  
Jun 09 2023
 SOCIETE GENERALE
    
240
  
INR
    
613,067,593
  
USD
    
7,400,000
  
Jun 12 2023
 SOCIETE GENERALE
    
7,188
  
INR
    
49,309,181
  
USD
    
600,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(4,428
)
JPY
    
18,241,682
  
AUD
    
200,000
  
Jun 01 2023
 SOCIETE GENERALE
    
854
  
JPY
    
16,930,576
  
NZD
    
200,000
  
Jun 01 2023
 SOCIETE GENERALE
    
1,077
  
JPY
    
5,460,206,330
  
USD
    
39,057,270
  
Jun 01 2023
 SOCIETE GENERALE
    
138,993
  
JPY
    
279,796,495
  
EUR
    
1,900,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(18,537
)
JPY
    
93,579,515
  
USD
    
700,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(26,106
)
JPY
    
17,995,858
  
AUD
    
200,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(273
)
JPY
    
16,651,000
  
NZD
    
200,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(126
)
KRW
    
2,878,501,198
  
USD
    
2,200,000
  
Jun 05 2023
 SOCIETE GENERALE
    
(30,785
)
KRW
    
1,978,567,525
  
USD
    
1,500,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(7,566
)
MXN
    
120,498,431
  
USD
    
6,650,000
  
Jun 21 2023
 SOCIETE GENERALE
    
130,444
  
MXN
    
86,000,000
  
USD
    
4,834,777
  
Jul 12 2023
 SOCIETE GENERALE
    
(16,278
)
NOK
    
1,500,000
  
SEK
    
1,457,301
  
Jun 01 2023
 SOCIETE GENERALE
    
841
  
NOK
    
38,232,317
  
EUR
    
3,300,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(83,832
)
NZD
    
200,000
  
JPY
    
16,761,044
  
Jun 01 2023
 SOCIETE GENERALE
    
140
  
NZD
    
1,400,000
  
USD
    
884,643
  
Jun 21 2023
 SOCIETE GENERALE
    
(41,509
)
NZD
    
9,082,686
  
AUD
    
8,400,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(3,211
)
NZD
    
4,000,000
  
JPY
    
337,015,640
  
Jul 12 2023
 SOCIETE GENERALE
    
(26,355
)
PEN
    
741,995
  
USD
    
200,000
  
Jun 21 2023
 SOCIETE GENERALE
    
1,726
  
PHP
    
2,765,287
  
USD
    
50,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(796
)
PLN
    
40,045,112
  
EUR
    
8,700,000
  
Jun 21 2023
 SOCIETE GENERALE
    
132,974
  
PLN
    
2,723,292
  
EUR
    
600,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(1,418
)
PLN
    
17,379,388
  
USD
    
4,100,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(6,114
)
SEK
    
1,466,250
  
NOK
    
1,500,000
  
Jun 01 2023
 SOCIETE GENERALE
    
(17
)
SEK
    
52,697,290
  
EUR
    
4,700,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(168,277
)
SEK
    
39,420,351
  
NOK
    
40,500,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(14,985
)
SGD
    
3,588,287
  
USD
    
2,700,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(44,607
)
SGD
    
9,043,107
  
USD
    
6,700,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(2,435
)
THB
    
8,390,617
  
USD
    
250,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(8,371
)
TRY
    
501,647
  
USD
    
22,567
  
Jun 20 2023
 SOCIETE GENERALE
    
(101
)
TWD
    
52,329,777
  
USD
    
1,700,000
  
Jun 05 2023
 SOCIETE GENERALE
    
3,820
  
TWD
    
29,099,734
  
USD
    
950,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(777
)
USD
    
11,547,140
  
AUD
    
17,644,779
  
Jun 01 2023
 SOCIETE GENERALE
    
69,699
  
USD
    
11,465,969
  
AUD
    
17,644,779
  
Jun 02 2023
 SOCIETE GENERALE
    
(11,888
)
USD
    
5,102,650
  
AUD
    
7,700,000
  
Jun 21 2023
 SOCIETE GENERALE
    
90,124
  
USD
    
2,287,916
  
AUD
    
3,500,000
  
Jul 12 2023
 SOCIETE GENERALE
    
7,691
  
USD
    
450,000
  
BRL
    
2,271,928
  
Jun 21 2023
 SOCIETE GENERALE
    
3,666
  
USD
    
8,200,000
  
CAD
    
11,133,630
  
Jun 21 2023
 SOCIETE GENERALE
    
(6,206
)
USD
    
4,257,371
  
CAD
    
5,800,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(19,696
)
USD
    
21,133,308
  
CHF
    
19,201,724
  
Jun 01 2023
 SOCIETE GENERALE
    
47,571
  
USD
    
4,800,000
  
CHF
    
4,306,779
  
Jun 21 2023
 SOCIETE GENERALE
    
59,338
  
USD
    
100,000
  
CLP
    
78,492,144
  
Jun 05 2023
 SOCIETE GENERALE
    
3,161
  
USD
    
39,133
  
CLP
    
31,430,903
  
Jun 16 2023
 SOCIETE GENERALE
    
417
  
USD
    
200,000
  
CLP
    
162,952,288
  
Jun 20 2023
 SOCIETE GENERALE
    
(604
)
USD
    
500,000
  
CLP
    
403,942,436
  
Jun 22 2023
 SOCIETE GENERALE
    
2,870
  
USD
    
100,000
  
CLP
    
81,688,144
  
Jun 27 2023
 SOCIETE GENERALE
    
(459
)
USD
    
100,000
  
CLP
    
80,950,404
  
Jul 03 2023
 SOCIETE GENERALE
    
532
  
USD
    
7,000,000
  
CNH
    
48,514,077
  
Jun 21 2023
 SOCIETE GENERALE
    
170,434
  
USD
    
5,200,000
  
CNH
    
36,709,244
  
Jul 12 2023
 SOCIETE GENERALE
    
22,611
  
USD
    
50,000
  
COP
    
227,279,920
  
Jun 21 2023
 SOCIETE GENERALE
    
(787
)
USD
    
5,200,772
  
EUR
    
4,864,797
  
Jun 01 2023
 SOCIETE GENERALE
    
498
  
USD
    
5,200,768
  
EUR
    
4,864,797
  
Jun 02 2023
 SOCIETE GENERALE
    
208
  
USD
    
3,143,254
  
EUR
    
2,900,000
  
Jun 21 2023
 SOCIETE GENERALE
    
39,590
  
USD
    
669,441
  
EUR
    
625,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(264
)
USD
    
24,240,303
  
GBP
    
19,572,307
  
Jun 01 2023
 SOCIETE GENERALE
    
(107,170
)
USD
    
1,615,277
  
GBP
    
1,300,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(2,602
)
USD
    
100,000
  
IDR
    
1,494,112,249
  
Jun 21 2023
 SOCIETE GENERALE
    
349
  
USD
    
4,200,000
  
ILS
    
15,356,583
  
Jun 21 2023
 SOCIETE GENERALE
    
80,584
  
USD
    
1,800,000
  
ILS
    
6,693,201
  
Jul 12 2023
 SOCIETE GENERALE
    
2,632
  
USD
    
600,000
  
INR
    
49,140,477
  
Jun 05 2023
 SOCIETE GENERALE
    
6,130
  
USD
    
200,000
  
INR
    
16,369,600
  
Jun 09 2023
 SOCIETE GENERALE
    
2,199
  
USD
    
7,400,000
  
INR
    
608,446,500
  
Jun 12 2023
 SOCIETE GENERALE
    
48,645
  
USD
    
2,050,000
  
INR
    
169,227,267
  
Jun 21 2023
 SOCIETE GENERALE
    
6,019
  
USD
    
600,000
  
INR
    
49,715,100
  
Jun 23 2023
 SOCIETE GENERALE
    
(432
)
USD
    
8,000,000
  
INR
    
663,256,859
  
Jun 26 2023
 SOCIETE GENERALE
    
(9,607
)
USD
    
38,987,590
  
JPY
    
5,460,533,880
  
Jun 01 2023
 SOCIETE GENERALE
    
(211,026
)
USD
    
39,063,196
  
JPY
    
5,460,206,330
  
Jun 02 2023
 SOCIETE GENERALE
    
(138,904
)
USD
    
10,500,000
  
JPY
    
1,427,599,748
  
Jun 21 2023
 SOCIETE GENERALE
    
219,430
  
USD
    
1,436,025
  
JPY
    
200,000,000
  
Jul 12 2023
 SOCIETE GENERALE
    
(9,034
)
USD
    
2,200,000
  
KRW
    
2,944,739,050
  
Jun 05 2023
 SOCIETE GENERALE
    
(19,131
)
USD
    
3,750,000
  
KRW
    
4,992,762,926
  
Jun 21 2023
 SOCIETE GENERALE
    
(16,043
)
USD
    
2,200,000
  
KRW
    
2,875,790,126
  
Jun 23 2023
 SOCIETE GENERALE
    
30,524
  
USD
    
800,000
  
MXN
    
14,337,738
  
Jun 21 2023
 SOCIETE GENERALE
    
(6,784
)
USD
    
3,300,000
  
NOK
    
36,672,803
  
Jul 12 2023
 SOCIETE GENERALE
    
(10,551
)
USD
    
2,085,818
  
NZD
    
3,400,000
  
Jun 21 2023
 SOCIETE GENERALE
    
38,206
  
USD
    
2,055,382
  
NZD
    
3,400,000
  
Jul 12 2023
 SOCIETE GENERALE
    
8,000
  
USD
    
100,000
  
PHP
    
5,573,796
  
Jun 21 2023
 SOCIETE GENERALE
    
823
  
USD
    
824
  
SEK
    
8,949
  
Jun 01 2023
 SOCIETE GENERALE
    
(1
)
USD
    
2,600,000
  
SEK
    
28,121,246
  
Jul 12 2023
 SOCIETE GENERALE
    
2,583
  
USD
    
2,750,000
  
SGD
    
3,691,537
  
Jun 21 2023
 SOCIETE GENERALE
    
18,200
  
USD
    
700,000
  
THB
    
24,097,766
  
Jun 21 2023
 SOCIETE GENERALE
    
6,043
  
USD
    
2,600,000
  
TRY
    
57,931,518
  
Jun 20 2023
 SOCIETE GENERALE
    
5,522
  
USD
    
1,700,000
  
TWD
    
51,980,490
  
Jun 05 2023
 SOCIETE GENERALE
    
7,553
  
USD
    
4,200,000
  
TWD
    
128,478,470
  
Jun 21 2023
 SOCIETE GENERALE
    
9,077
  
USD
    
1,700,000
  
TWD
    
52,230,832
  
Jun 26 2023
 SOCIETE GENERALE
    
(4,767
)
USD
    
4,250,000
  
ZAR
    
80,346,031
  
Jun 21 2023
 SOCIETE GENERALE
    
183,842
  
USD
    
2,700,000
  
ZAR
    
53,602,414
  
Jul 12 2023
 SOCIETE GENERALE
    
(6,934
)
ZAR
    
4,671,086
  
USD
    
250,000
  
Jun 21 2023
 SOCIETE GENERALE
    
(13,605
)
Total Forward Foreign Currency Contracts
    
$
751,593
  

AUD
Australian Dollar
  
LME
London Mercantile Exchange
  
BRL
Brazilian Real
  
MIB
Milano Indice di Borsa
    
CAD
Canadian Dollar
  
MXN
Mexican Peso
    
CHF
Swiss Franc
  
NOK
Norwegian Krone
    
CLP
Chilean Peso
  
NZD
New Zealand Dollar
    
CNH
Chinese Yuan Renminbi
OMX
Stockholm Stock Exchange
  
COP
Colombian Peso
  
PHP
Philippine Peso
    
CZK
Czech Koruna
  
PLN
Polish Zloty
    
DAX
Deutscher Aktienindex
RBOB
Reformulated Blendstock for Oxygenate Blending
  
DJIA
Dow Jones Industrial Average
RUB
Russian Ruble
    
EUR
Euro
  
SEK
Swedish Krona
    
FTSE
Financial Times Stock Exchange
SGD
Singapore Dollar
    
GBP
British Pound
  
THB
Thai Baht
    
HUF
Hungarian Forint
  
TRY
Turkish Lira
    
ILS
Israeli New Shekel
  
TWD
Taiwan Dollar
    
INR
Indian Rupee
  
USD
United States Dollar
    
JPY
Japanese Yen
  
WTI
West Texas Intermediate
    
KRW
Korean Won
  
ZAR
South African Rand
    
             
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
ABBEY CAPITAL MULTI ASSET FUND
 
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2023 (UNAUDITED)

   CONSOLIDATION OF SUBSIDIARIES –  The Abbey Capital Mulit-Asset Fund (the "Fund") strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets. Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another whollyowned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company. The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2023, the net assets of the Cayman Subsidiary and SPC were $97,276,754, which represented 20.34% of the Fund’s net assets. As of May 31, 2023, the net assets of the Onshore Subsidiary were $66,192,838, which represented 13.84% of the Fund’s net assets.

   PORTFOLIO VALUATION — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

   FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund's investments are summarized into three levels as described in the hierarchy below:
                 
•  Level 1 – Prices are determined using quoted prices in active markets for identical securities.
    
•  Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
•  Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
                 
The inputs or methodologies 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, as of May 31, 2023, in valuing the Fund's investments carried at fair value:

ASSETS
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
Short-Term Investments
  
$
395,593,717
    
$
395,593,717
    
$
-
    
$
-
Commodity Contracts
                              
Futures Contracts
    
16,013,181
      
16,013,181
      
-
      
-
Equity Contracts
                              
Futures Contracts
    
15,796,592
      
15,796,592
      
-
      
-
Foreign Currency Contracts
                              
Forward Foreign Currency Contracts
    
2,773,711
      
-
      
2,773,711
      
-
Futures Contracts
    
1,056,188
      
1,056,188
      
-
      
-
Interest Rate Contracts
                              
Futures Contracts
    
533,455
      
533,455
      
-
      
-
Total Assets
  
$
431,766,844
    
$
428,993,133
    
$
2,773,711
    
$
-
                               
                               
LIABILITIES
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
Commodity Contracts
                              
Futures Contracts
  
$
(11,566,351
)
  
$
(11,566,351
)
  
$
-
    
$
-
Equity Contracts
                              
Futures Contracts
    
(2,084,333
)
    
(2,084,333
)
    
-
      
-
Foreign Currency Contracts
                              
Forward Foreign Currency Contracts
    
(2,022,118
)
    
-
      
(2,022,118
)
    
-
Futures Contracts
    
(100,514
)
    
(100,514
)
    
-
      
-
Interest Rate Contracts
                              
Futures Contracts
    
(2,823,888
)
    
(2,823,888
)
    
-
      
-
Total Liabilities
  
$
(18,597,204
)
  
$
(16,575,086
)
  
$
(2,022,118
)
  
$
-

   At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
                               
   Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
                               
   For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                               
   For the period ended May 31, 2023, the Fund had no Level 3 transfers.
                              
                               
  For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.