ASG Managed Futures Strategy Fund Investments as of May 31, 2018 (Unaudited)

Transcription

1 Investments as of May 31, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund Certificates of Deposit 26,500,000 Banco Del Estado de Chile (NY) /19/ ,512, % 75,000,000 Banco Del Estado de Chile (NY), 1-month LIBOR % /4/ ,050, % 125,000,000 Bank of Nova Scotia (TX), 1-month LIBOR % /15/ ,014, % 75,000,000 BNP Paribas (NY) /5/ ,002, % 60,000,000 Commonwealth Bank of Australia (NY), 1-month LIBOR % /3/ ,021, % 18,000,000 Credit Agricole Corporate & Investment Bank (NY) /5/ ,001, % 130,000,000 Credit Industriel et Commercial (NY) /20/ ,037, % 100,000,000 Dexia Credit Local S.A. (NY), 3-month LIBOR % /17/ ,990, % 25,000,000 DNB Nor Bank ASA (NY) /19/ ,011, % 100,000,000 DNB Nor Bank ASA (NY) /8/ ,041, % 100,000,000 DZ Bank (NY) /9/ ,021, % 50,000,000 Landesbank Hessen (NY) /6/ ,021, % 50,000,000 Landesbank Hessen (NY) /16/ ,025, % 50,000,000 Mizuho Bank Ltd. (NY) /4/ ,001, % 75,000,000 Mizuho Bank Ltd. (NY) /23/ ,001, % 30,000,000 Nordea Bank AB (NY) /10/ ,997, % 43,500,000 Nordea Bank AB (NY) /11/ ,501, % 35,000,000 Norinchukin Bank (NY) /20/ ,008, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /16/ ,003, % 16,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /14/ ,002, % 25,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /12/ ,002, % 50,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /10/ ,015, % 36,000,000 Royal Bank of Canada (NY), 3-month LIBOR % /27/ ,031, % 41,000,000 Skandinaviska Enskilda Banken AB (NY), 1-month LIBOR % /14/ ,019, % 45,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /5/ ,002, % 100,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /19/ ,020, % 90,000,000 Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR % /15/ ,012, % 25,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /6/ ,001, % 100,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /20/ ,005, % 25,000,000 Swedbank (NY), 1-month LIBOR % /4/ ,000, % 62,100,000 Swedbank (NY), 1-month LIBOR % /4/ ,102, % 40,500,000 Swedbank (NY), 1-month LIBOR % /11/ ,511, % 35,000,000 Toronto-Dominion Bank (NY) /29/ ,999, % 50,000,000 Wells Fargo Bank NA, 1-month LIBOR % /6/ ,014, % Total 1,959,006, % Time Deposits 146,000,000 Canadian Imperial Bank of Commerce /1/ ,000, % 146,000,000 National Bank of Kuwait /1/ ,000, % 72,500,000 Skandinaviska Enskilda Banken (NY) /1/ ,500, % Total 364,500, % Commercial Paper 4,600,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 6/12/2018 4,597, % 40,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 6/14/ ,971, % 27,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 6/19/ ,973, % 50,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 6/21/ ,945, % 100,000,000 ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 1-month LIBOR % ( ) 11/26/ ,007, % 100,000,000 Santander UK PLC ( ) 7/18/ ,728, % Total 321,223, % Other Notes 38,500,000 Bank of America NA /2/ ,495, % 50,000,000 Bank of America NA /16/ ,993, % Total 88,489, %

2 Investments as of May 31, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund Treasuries 48,000,000 U.S. Treasury Bills ( ) 6/7/ ,987, % 50,250,000 U.S. Treasury Bills ( ) 7/5/ ,166, % 18,600,000 U.S. Treasury Bills ( ) 8/2/ ,540, % 18,100,000 U.S. Treasury Bills ( ) 9/6/ ,007, % Total 134,702, % Total Investments 2,867,922, % Other assets less liabilities 215,731, % Net Assets 3,083,653, % Forward Foreign Currency Contracts Currency Bought/ Sold (B/S) Units of Currency In Exchange For Appreciation/ Counterparty Delivery UBS AG 06/20/2018 CHF B 168,875, ,867,525 $ 171,579,086 $ 1,711,561 UBS AG 06/20/2018 CHF B 153,125, ,565, ,576,892 (6,989,061) UBS AG 06/20/2018 CHF S 592,375, ,877, ,860,319 12,017,290 UBS AG 06/20/2018 CHF S 96,250,000 97,350,452 97,791,189 (440,737) UBS AG 06/20/2018 MXN B 6,697,500, ,389, ,860,873 (22,529,068) UBS AG 06/20/2018 MXN S 7,791,000, ,121, ,533,566 19,587,647 UBS AG 06/20/2018 MXN S 274,500,000 13,677,477 13,724,421 (46,944) UBS AG 06/20/2018 NOK B 2,084,000, ,436, ,840,159 (13,596,094) UBS AG 06/20/2018 NOK S 2,224,000, ,177, ,959,939 9,217,496 UBS AG 06/20/2018 NOK S 366,000,000 44,361,944 44,755,997 (394,053) UBS AG 06/20/2018 NZD B 432,900, ,790, ,939,217 (11,851,202) UBS AG 06/20/2018 NZD S 511,600, ,794, ,012,713 6,781,655 UBS AG 06/20/2018 NZD S 254,500, ,088, ,096,629 (2,008,082) UBS AG 06/20/2018 PLN B 849,000, ,290, ,844,138 (19,446,330) UBS AG 06/20/2018 PLN S 896,500, ,992, ,703,498 12,289,190 UBS AG 06/20/2018 PLN S 188,000,000 50,511,427 50,895,993 (384,566) UBS AG 06/20/2018 SEK B 188,000,000 21,333,970 21,343,636 9,666 UBS AG 06/20/2018 SEK B 2,964,000, ,246, ,502,854 (16,743,320) UBS AG 06/20/2018 SEK S 4,850,000, ,467, ,620,392 21,847,061 UBS AG 06/20/2018 SEK S 774,000,000 87,216,268 87,872,203 (655,935) UBS AG 06/20/2018 SGD B 703,125, ,685, ,310,634 (10,374,793) UBS AG 06/20/2018 SGD S 674,125, ,968, ,644,488 6,323,636 UBS AG 06/20/2018 SGD S 43,000,000 32,012,058 32,125,664 (113,606) UBS AG 06/20/2018 TRY B 603,000, ,996, ,190,025 (16,806,418) UBS AG 06/20/2018 TRY S 996,900, ,628, ,541,021 25,087,735 UBS AG 06/20/2018 ZAR B 2,916,000, ,253, ,581,216 (15,672,076) UBS AG 06/20/2018 ZAR S 2,576,000, ,583, ,929,085 6,654,846 Total $ (16,524,502) Financial Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: AEX-Index 6/15/ $ 130,112,264 $ 127,689,734 $ (2,422,530) ASX SPI 200 6/21/2018 1, ,819, ,710, ,768 CAC 40 6/15/2018 2, ,865, ,841,617 (3,024,365) DAX 6/15/ ,410,200 87,358,589 (2,051,611) E-mini Dow 6/15/ ,856,695 91,441,665 (1,415,030) E-mini NASDAQ 100 6/15/ ,408, ,585,340 (822,714) E-mini S&P 500 6/15/ ,206,175 89,687,325 (518,850) E-mini S&P MidCap 400 6/15/ ,792, ,715, ,795 Euribor 9/17/2018 3,635 1,065,660,689 1,065,189,985 (470,704) Euro-Buxl 30 Year Bond 6/7/2018 1, ,872, ,002,087 4,129,718 Euro Schatz 6/7/2018 7, ,418, ,280,128 2,861,614 Euro-OAT 6/7/2018 3, ,005, ,474,447 4,469,175 EURO STOXX 50 6/15/2018 2,383 97,403,456 94,913,823 (2,489,633) FTSE 100 Index 6/15/2018 1, ,256, ,965, ,418 FTSE MIB 6/15/ ,753,441 31,694,270 (2,059,171) FTSE/JSE Top 40 Index 6/21/ ,551,466 18,880,289 (671,177) German Euro BOBL 6/7/2018 3, ,255, ,199,218 4,943,436 German Euro Bund 6/7/2018 2, ,563, ,045,868 3,482,543 Hang Seng China Enterprises Index 6/28/ ,988,684 53,693,518 (295,166)

3 Investments as of May 31, 2018 (Unaudited) Hang Seng Index 6/28/ ,287,498 83,210,399 (77,099) Mini-Russell /15/2018 1, ,421, ,805,280 3,383,695 MSCI EAFE Index 6/15/2018 1, ,335, ,423,350 (1,912,310) MSCI Emerging Markets Index 6/15/ ,542,015 53,505,090 (4,036,925) MSCI Singapore 6/28/2018 1,317 39,571,010 38,511,073 (1,059,937) MSCI Taiwan Index 6/28/2018 1,248 49,746,605 49,283,520 (463,085) Nikkei 225 6/7/ ,022,981 98,114,538 1,091,557 OMXS30 6/15/2018 6, ,829, ,961,323 (3,868,411) Sterling 9/19/2018 6,318 1,042,205,951 1,042,295,682 89,731 S&P/TSX 60 Index 6/14/2018 1, ,948, ,361,453 5,412,926 Short-Term Euro-BTP 6/7/ ,004,699 79,823,707 (2,180,992) TOPIX 6/7/ ,436, ,952,521 (484,120) UK Long Gilt 9/26/ ,129,932 67,289, ,934 Total Long Position Contracts $ 2,222,480 Short Position Contracts: Australian Dollar 6/18/2018 (1,187) $ (88,719,130) $ (89,820,290) $ (1,101,160) British Pound 6/18/2018 (2,544) (212,496,156) (211,454,100) 1,042,056 Canadian Dollar 6/19/2018 (1,376) (106,353,265) (106,247,840) 105,425 Euro 6/18/2018 (2,468) (359,985,212) (360,960,425) (975,213) Euro-BTP 6/7/2018 (509) (75,005,792) (75,100,848) (95,056) Eurodollar 12/17/2018 (10,808) (2,630,937,400) (2,632,828,800) (1,891,400) IBEX 35 6/15/2018 (81) (9,049,772) (8,945,751) 104,021 Japanese Yen 6/18/2018 (1,382) (156,743,825) (159,189,125) (2,445,300) Ultra Long U.S. Treasury Bond 9/19/2018 (278) (42,947,469) (44,341,000) (1,393,531) 2 Year U.S. Treasury Note 9/28/2018 (3,099) (655,074,389) (657,714,331) (2,639,942) 5 Year U.S. Treasury Note 9/28/2018 (2,091) (235,818,257) (238,145,297) (2,327,040) 10 Year U.S. Treasury Note 9/19/2018 (1,179) (139,766,766) (141,995,813) (2,229,047) 30 Year U.S. Treasury Bond 9/19/2018 (538) (76,055,867) (78,077,250) (2,021,383) 10 Year Australia Government Bond 6/15/2018 (179) (17,111,044) (17,463,296) (352,252) 10 Year Canada Government Bond 9/19/2018 (1,259) (129,104,882) (131,997,887) (2,893,005) 3 Year Australia Government Bond 6/15/2018 (2,468) (206,672,172) (207,526,385) (854,213) Total Short Position Contracts $ (19,967,040) Total Futures Contracts $ (17,744,560) Commodity Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: Aluminum LME 6/20/2018 4,303 $ 245,412,073 $ 247,234,244 $ 1,822,171 Aluminum LME 9/19/ ,603,504 39,717, ,059 Brent Crude Oil 6/29/2018 1,115 86,896,950 86,479,400 (417,550) Cocoa 7/16/ ,858,320 16,760,820 (1,097,500) Copper 7/27/ ,811,062 45,975,000 (836,062) Copper LME 6/20/ ,132, ,484,062 (2,648,012) Copper LME 9/19/ ,040,700 63,098,200 57,500 Cotton 12/6/2018 1,316 59,749,410 60,299, ,710 Gasoline 6/29/ ,415,888 73,227, ,099 Gold 8/29/ ,678,320 23,876, ,690 Low Sulfur Gasoil 7/12/2018 1,257 84,389,875 85,695,975 1,306,100 New York Harbor ULSD 6/29/ ,375,872 84,722,778 1,346,906 Nickel LME 6/20/ ,232,923 42,675,717 3,442,794 Nickel LME 9/19/ ,331,840 35,110,656 (221,184) Soybean 7/13/ ,190,125 42,573,300 (1,616,825) Soybean Meal 7/13/2018 1,248 48,781,600 46,837,440 (1,944,160) Wheat 12/14/ , ,550 1,050 WTI Crude Oil 6/20/ ,474,150 55,173,920 (3,300,230) Zinc LME 6/20/ ,646,000 43,632,275 (3,013,725) Zinc LME 9/19/ ,791,500 23,715,000 (76,500) Total Long Position Contracts $ (5,521,669) Short Position Contracts: Aluminum LME 6/20/2018 (4,303) $ (226,571,110) $ (247,234,243) $ (20,663,133) Coffee 7/19/2018 (1,212) (54,839,550) (56,221,650) (1,382,100) Copper LME 6/20/2018 (955) (162,521,128) (163,484,063) (962,935) Corn 12/14/2018 (804) (17,125,200) (16,632,750) 492,450 Live Cattle 8/31/2018 (1,669) (69,461,110) (69,397,020) 64,090 Natural Gas 6/27/2018 (274) (7,562,400) (8,088,480) (526,080) Nickel LME 6/20/2018 (469) (42,138,450) (42,675,717) (537,267) Silver 7/27/2018 (485) (40,329,440) (39,910,650) 418,790 Soybean Oil 7/13/2018 (1,961) (37,150,272) (36,615,792) 534,480 Sugar 6/29/2018 (3,151) (42,621,835) (45,137,445) (2,515,610)

4 Investments as of May 31, 2018 (Unaudited) Zinc LME 6/20/2018 (562) (43,933,870) (43,632,275) 301,595 Total Short Position Contracts $ (24,775,720) Total Futures Contracts $ (30,297,389) ( ) Interest rate represents discount rate at time of purchase; not a coupon rate. The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly owned subsidiary (the "Subsidiary"). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

5 Investments as of April 30, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund Certificates of Deposit 40,000,000 Abbey National Treasury Services PLC /1/ ,000, % 75,000,000 Banco Del Estado de Chile (NY), 1-month LIBOR % /4/ ,010, % 26,500,000 Banco Del Estado de Chile (NY) /19/ ,507, % 120,000,000 Bank of Montreal (IL), 1-month LIBOR % /8/ ,011, % 125,000,000 Bank of Nova Scotia (TX), 1-month LIBOR % /15/ ,023, % 75,000,000 BNP Paribas (NY) /5/ ,013, % 60,000,000 Commonwealth Bank of Australia (NY), 1-month LIBOR % /3/ ,968, % 50,000,000 Credit Agricole Corporate & Investment Bank (NY) /17/ ,002, % 130,000,000 Credit Industriel et Commercial (NY) /20/ ,095, % 25,000,000 DNB Nor Bank ASA (NY) /19/ ,005, % 100,000,000 DZ Bank (NY) /2/ ,999, % 57,000,000 KBC Bank NV (NY) /4/ ,999, % 50,000,000 Landesbank Hessen (NY) /6/ ,026, % 50,000,000 Landesbank Hessen (NY) /16/ ,021, % 90,000,000 Mitsubishi UFJ Trust & Banking Corp. (NY), 1-month LIBOR % /1/ ,000, % 80,000,000 Mizuho Bank Ltd. (NY) /24/ ,001, % 50,000,000 Mizuho Bank Ltd. (NY) /4/ ,003, % 40,000,000 MUFG Bank Ltd. (NY) /24/ ,000, % 30,000,000 Nordea Bank AB (NY) /10/ ,987, % 50,000,000 Norinchukin Bank (NY) /24/ ,000, % 35,000,000 Norinchukin Bank (NY) /20/ ,016, % 16,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /14/ ,003, % 25,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /12/ ,005, % 50,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /10/ ,007, % 36,000,000 Royal Bank of Canada (NY), 3-month LIBOR % /27/ ,022, % 41,000,000 Skandinaviska Enskilda Banken AB (NY), 1-month LIBOR % /14/ ,001, % 45,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /5/ ,002, % 100,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /19/ ,990, % 50,000,000 Sumitomo Mitsui Trust Bank (NY) /21/ ,004, % 90,000,000 Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR % /15/ ,999, % 75,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /21/ ,008, % 25,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /6/ ,003, % 62,100,000 Swedbank (NY), 1-month LIBOR % /4/ ,111, % 25,000,000 Swedbank (NY), 1-month LIBOR % /4/ ,003, % 40,500,000 Swedbank (NY), 1-month LIBOR % /11/ ,503, % 15,600,000 Toronto-Dominion Bank (NY) /22/ ,601, % 50,000,000 Wells Fargo Bank NA, 1-month LIBOR % /6/ ,982, % Total 2,104,950, % Time Deposits 50,000,000 Canadian Imperial Bank of Commerce /1/ ,000, % 30,000,000 DNB Nor Bank ASA (NY) /1/ ,000, % 150,150,000 National Bank of Kuwait /1/ ,150, % 100,000,000 Skandinaviska Enskilda Banken (NY) /1/ ,000, % Total 330,150, % Commercial Paper 4,600,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.953( ) 5/15/2018 4,596, % 40,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.953( ) 5/17/ ,964, % 27,100,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.953( ) 5/22/ ,068, % 49,900,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.953( ) 5/24/ ,836, % 100,000,000 ING (U.S.) Funding LLC, 1-month LIBOR % 2.026( ) 5/17/ ,011, % 100,000,000 Santander UK PLC 2.335( ) 7/18/ ,524, % Total 321,002, % Other Notes 38,500,000 Bank of America NA /2/ ,484, %

6 Investments as of April 30, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund 50,000,000 Bank of America NA /16/ ,978, % Total 88,462, % Treasuries 29,400,000 U.S. Treasury Bills ( ) 5/3/ ,397, % 48,000,000 U.S. Treasury Bills ( ) 6/7/ ,919, % 50,250,000 U.S. Treasury Bills 1.673( ) 7/5/ ,091, % Total 127,407, % Total Investments 2,971,973, % Other assets less liabilities 202,643, % Net Assets 3,174,617, % Foreign Currency Exchange Contracts Currency Bought/ Sold (B/S) Units of Currency In Exchange For Appreciation/ Counterparty Delivery UBS AG 06/20/2018 MXN B 3,028,000, ,796,388 $ 160,693,207 $ 896,819 UBS AG 06/20/2018 MXN B 3,669,500, ,593, ,737,028 (2,856,526) UBS AG 06/20/2018 MXN S 2,537,500, ,855, ,662,818 3,193,129 UBS AG 06/20/2018 MXN S 1,882,500,000 99,185,148 99,902,563 (717,415) UBS AG 06/20/2018 NZD B 403,800, ,361, ,079,597 (10,281,720) UBS AG 06/20/2018 NZD S 403,800, ,134, ,079,597 5,055,155 UBS AG 06/20/2018 NOK B 1,850,000, ,404, ,002,131 (8,401,876) UBS AG 06/20/2018 NOK S 1,850,000, ,725, ,002,131 3,723,228 UBS AG 06/20/2018 PLN B 849,000, ,290, ,054,748 (7,235,720) UBS AG 06/20/2018 PLN S 467,000, ,727, ,144,366 2,583,506 UBS AG 06/20/2018 SGD B 661,125, ,154, ,104,364 (5,049,730) UBS AG 06/20/2018 SGD S 311,375, ,627, ,066,926 1,560,508 UBS AG 06/20/2018 SGD S 268,250, ,363, ,510,487 (147,012) UBS AG 06/20/2018 ZAR B 2,859,500, ,692, ,950,358 (11,741,747) UBS AG 06/20/2018 ZAR S 2,130,000, ,414, ,796,909 3,617,357 UBS AG 06/20/2018 SEK B 1,878,000, ,484, ,259,351 (12,225,593) UBS AG 06/20/2018 SEK S 4,392,000, ,366, ,418,036 16,948,189 UBS AG 06/20/2018 CHF B 153,125, ,565, ,160,980 (7,404,973) UBS AG 06/20/2018 CHF S 592,375, ,877, ,251,332 13,626,277 UBS AG 06/20/2018 CHF S 39,875,000 40,386,773 40,405,186 (18,413) UBS AG 06/20/2018 TRY B 66,900,000 16,041,510 16,223, ,116 UBS AG 06/20/2018 TRY B 451,800, ,760, ,564,041 (4,196,771) UBS AG 06/20/2018 TRY S 678,600, ,010, ,564,316 2,446,025 UBS AG 06/20/2018 TRY S 253,500,000 61,083,861 61,475,176 (391,315) Total $ (16,836,502) Financial Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: AEX-Index 5/18/ $ 117,546,138 $ 118,991,666 $ 1,445,528 ASX SPI 200 6/21/ ,161, ,160, ,314 Australian Dollar 6/18/ ,613,810 20,933,400 (680,410) British Pound 6/18/ ,730,500 64,833,300 (2,897,200) CAC 40 5/18/2018 1, ,461, ,818,924 2,357,379 DAX 6/15/ ,111,159 17,132,669 21,510 E-mini Dow 6/15/ ,397,615 74,323,480 (2,074,135) E-mini NASDAQ 100 6/15/ ,472,714 71,552,660 (4,920,054) E-mini S&P 500 6/15/ ,072,800 63,263,300 (1,809,500) E-mini S&P MidCap 400 6/15/ ,582,655 92,856,160 (2,726,495) Euro 6/18/2018 1, ,525, ,553,725 (6,971,544) Euribor 9/17/2018 3,838 1,162,283,825 1,162,399, ,869 Euro-Buxl 30 Year Bond 6/7/ ,958, ,651,122 (1,307,516) Euro Schatz 6/7/2018 7,740 1,045,348,519 1,046,049, ,000 Euro-BTP 6/7/2018 3, ,907, ,787,578 1,879,641 Euro-OAT 6/7/2018 2, ,359, ,331,570 (1,027,595) EURO STOXX 50 6/15/ ,526,605 26,807, ,731 FTSE 100 Index 6/15/ ,388,856 75,280, ,544 FTSE MIB 6/15/ ,967,209 63,263,200 2,295,991 FTSE/JSE Top 40 Index 6/21/ ,161,003 13,263, ,385 German Euro BOBL 6/7/2018 2, ,173, ,884, ,035

7 Investments as of April 30, 2018 (Unaudited) German Euro Bund 6/7/2018 1, ,996, ,036,570 (959,667) Hang Seng China Enterprises Index 5/30/ ,882,795 57,038,153 1,155,358 Hang Seng Index 5/30/ ,364,859 67,591,815 1,226,956 Mini-Russell /15/2018 1, ,371, ,427,660 (2,944,060) MSCI EAFE Index 6/15/2018 1, ,321, ,532, ,065 MSCI Emerging Markets Index 6/15/ ,080,090 51,445,730 (2,634,360) MSCI Singapore 5/30/2018 1,270 38,793,518 39,397, ,257 MSCI Taiwan Index 5/30/ ,878,720 35,218, ,530 Nikkei 225 6/7/ ,281,959 65,479,144 3,197,185 OMXS30 5/18/2018 1,950 35,058,644 34,850,656 (207,988) S&P CNX Nifty Futures Index 5/31/2018 2,857 60,670,076 61,625, ,414 S&P/TSX 60 Index 6/14/ ,085, ,039, ,417 Short-Term Euro-BTP 6/7/2018 4, ,260, ,445,950 2,185,647 TOPIX 6/7/ ,545,051 77,320,024 2,774,973 Total Long Position Contracts $ (5,754,795) Short Position Contracts: Canadian Dollar 6/19/2018 (644) $ (50,130,220) $ (50,193,360) $ (63,140) Eurodollar 9/17/2018 (17,972) (4,385,528,475) (4,381,124,300) 4,404,175 IBEX 35 5/18/2018 (234) (27,666,277) (28,182,666) (516,389) Japanese Yen 6/18/2018 (2,463) (286,134,506) (282,567,675) 3,566,831 Sterling 9/19/2018 (8,733) (1,487,811,048) (1,490,065,307) (2,254,259) UK Long Gilt 6/27/2018 (1,565) (261,652,838) (263,413,388) (1,760,551) Ultra Long U.S. Treasury Bond 6/20/2018 (582) (90,477,750) (91,446,750) (969,000) 2 Year U.S. Treasury Note 6/29/2018 (8,188) (1,739,421,604) (1,736,239,821) 3,181,784 3 Year Australia Government Bond 6/15/2018 (6,966) (581,037,324) (581,662,463) (625,140) 5 Year U.S. Treasury Note 6/29/2018 (7,975) (905,861,045) (905,224,809) 636, Year Australia Government Bond 6/15/2018 (1,492) (142,636,809) (143,656,403) (1,019,594) 10 Year Canada Government Bond 6/20/2018 (2,793) (284,958,612) (285,945,598) (986,985) 10 Year U.S. Treasury Note 6/20/2018 (4,151) (496,783,438) (496,563,375) 220, Year U.S. Treasury Bond 6/20/2018 (1,182) (169,819,969) (170,023,313) (203,344) Total Short Position Contracts $ 3,610,687 Total Futures Contracts $ (2,144,108) Commodity Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: Aluminum LME 6/20/2018 4,303 $ 245,412,072 $ 243,657,375 $ (1,754,698) Brent Crude Oil 5/31/2018 1,234 87,379,540 92,167,460 4,787,920 Cocoa 7/16/ ,172,890 20,198,750 2,025,860 Copper 7/27/ ,001,863 62,171,650 (830,212) Copper LME 6/20/ ,346, ,427,775 (3,918,610) Cotton 7/9/2018 1,006 41,694,520 42,171, ,000 Gasoline 5/31/ ,371,246 78,038,419 5,667,173 Gold 6/27/ ,201,910 92,080,160 (1,121,750) Low Sulfur Gasoil 6/12/2018 1,462 92,434,275 95,103,100 2,668,825 New York Harbor ULSD 5/31/ ,796,962 73,209,457 4,412,495 Nickel LME 6/20/ ,968,701 29,911,716 (56,985) Soybean 7/13/2018 1,355 71,259,263 71,035,875 (223,387) Soybean Meal 7/13/2018 1,536 59,942,820 60,487, ,860 WTI Crude Oil 5/22/2018 1,037 65,776,910 71,107,090 5,330,180 Zinc LME 6/20/ ,646,000 43,962,450 (2,683,550) Total Long Position Contracts $ 15,325,121 Short Position Contracts: Aluminum LME 6/20/2018 (3,491) $ (180,148,165) $ (197,677,875) $ (17,529,710) Coffee 7/19/2018 (1,286) (58,183,256) (59,220,300) (1,037,044) Copper LME 6/20/2018 (401) (68,012,601) (68,099,825) (87,224) Corn 7/13/2018 (1,869) (35,842,838) (37,450,088) (1,607,250) Live Cattle 6/29/2018 (1,739) (73,057,150) (73,803,160) (746,010) Natural Gas 5/29/2018 (672) (18,260,870) (18,567,360) (306,490) Nickel LME 6/20/2018 (85) (6,979,410) (6,946,710) 32,700 Silver 7/27/2018 (217) (18,519,790) (17,795,085) 724,705 Soybean Oil 7/13/2018 (2,129) (40,524,648) (39,113,988) 1,410,660 Sugar 6/29/2018 (7,629) (104,956,242) (100,397,640) 4,558,602 Wheat 7/13/2018 (866) (20,231,738) (22,104,650) (1,872,913) Zinc LME 6/20/2018 (160) (12,871,794) (12,516,000) 355,794 Total Short Position Contracts $ (16,104,180) Total Futures Contracts $ (779,059)

8 Investments as of April 30, 2018 (Unaudited) ( ) Interest rate represents discount rate at time of purchase; not a coupon rate. The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly owned subsidiary (the "Subsidiary"). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

9 Investments as of March 31, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund Certificates of Deposit 100,000,000 Abbey National Treasury Services PLC /25/ ,994, % 40,000,000 Abbey National Treasury Services PLC /1/ ,005, % 21,500,000 Banco Del Estado de Chile (NY) /5/ ,500, % 75,000,000 Banco Del Estado de Chile (NY), 1-month LIBOR % /4/ ,986, % 120,000,000 Bank of Montreal (IL), 1-month LIBOR % /8/ ,036, % 125,000,000 Bank of Nova Scotia (TX), 1-month LIBOR % /15/ ,003, % 40,000,000 Bank of Tokyo-Mitsubishi UFJ (NY) /25/ ,995, % 75,000,000 BNP Paribas (NY) /5/ ,005, % 60,000,000 Commonwealth Bank of Australia (NY), 1-month LIBOR % /3/ ,933, % 50,000,000 Cooperatieve Rabobank U.A. (NY), 1-month LIBOR % /6/ ,000, % 75,000,000 Credit Agricole Corporate & Investment Bank (NY) /2/ ,999, % 130,000,000 Credit Industriel et Commercial (NY) /20/ ,012, % 55,000,000 DNB Nor Bank ASA (NY) /24/ ,000, % 90,000,000 DZ Bank (NY) /24/ ,992, % 10,000,000 KBC Bank NV (NY) /27/ ,000, % 100,000,000 Landesbank Hessen (NY) /3/ ,001, % 40,000,000 Landesbank Hessen (NY) /16/ ,002, % 90,000,000 Mitsubishi UFJ Trust & Banking Corp. (NY), 1-month LIBOR % /1/ ,020, % 23,000,000 Mizuho Bank Ltd. (NY) /3/ ,999, % 50,000,000 Mizuho Bank Ltd. (NY) /4/ ,989, % 80,000,000 Mizuho Bank Ltd. (NY), 1-month LIBOR % /25/ ,001, % 30,000,000 Nordea Bank AB (NY) /10/ ,965, % 50,000,000 Norinchukin Bank (NY) /24/ ,994, % 35,000,000 Norinchukin Bank (NY) /20/ ,007, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /4/ ,000, % 16,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /14/ ,000, % 25,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /12/ ,002, % 50,000,000 Royal Bank of Canada (NY), 1-month LIBOR % /10/ ,993, % 36,000,000 Royal Bank of Canada (NY), 3-month LIBOR % /27/ ,996, % 41,000,000 Skandinaviska Enskilda Banken AB (NY), 1-month LIBOR % /14/ ,992, % 45,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /5/ ,992, % 100,000,000 Sumitomo Mitsui Bank (NY), 1-month LIBOR % /19/ ,972, % 90,000,000 Sumitomo Mitsui Trust Bank (NY), 1-month LIBOR % /15/ ,982, % 50,000,000 Sumitomo Mitsui Trust Bank (NY) /21/ ,000, % 25,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /6/ ,000, % 75,000,000 Svenska Handelsbanken (NY), 1-month LIBOR % /21/ ,008, % 25,000,000 Swedbank (NY), 1-month LIBOR % /4/ ,001, % 62,100,000 Swedbank (NY), 1-month LIBOR % /4/ ,107, % 40,500,000 Swedbank (NY), 1-month LIBOR % /11/ ,490, % 15,600,000 Toronto-Dominion Bank (NY) /22/ ,601, % 50,000,000 Wells Fargo Bank NA, 1-month LIBOR % /6/ ,950, % Total 2,360,540, % Time Deposits 128,000,000 Canadian Imperial Bank of Commerce /2/ ,000, % 129,350,000 National Bank of Kuwait /2/ ,350, % Total 257,350, % Commercial Paper 9,500,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.903( ) 4/17/2018 9,490, % 40,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.903( ) 4/19/ ,956, % 27,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.933( ) 4/24/ ,966, % 50,000,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.933( ) 4/26/ ,934, % 100,000,000 ING (U.S.) Funding LLC, 1-month LIBOR % 1.938( ) 5/17/ ,013, % Total 226,361, %

10 Investments as of March 31, 2018 (Unaudited) Principal Amount Security Description Interest Rate Maturity Market ($) % of Fund Other Notes 38,500,000 Bank of America NA /2/ ,498, % 50,000,000 Bank of America NA /16/ ,998, % Total 88,496, % Treasuries 61,000,000 U.S. Treasury Bills ( ) 4/5/ ,991, % 29,400,000 U.S. Treasury Bills ( ) 5/3/ ,358, % 16,000,000 U.S. Treasury Bills 1.648( ) 6/7/ ,951, % Total 106,301, % Total Investments 3,039,050, % Other assets less liabilities 273,682, % Net Assets 3,312,732, % Forward Foreign Currency Contracts Currency Bought/ Sold (B/S) Units of Currency In Exchange For Appreciation/ Counterparty Delivery UBS AG 06/20/2018 MXN B 5,444,000, ,318,413 $ 295,847,388 $ 6,528,975 UBS AG 06/20/2018 NZD B 373,600, ,271, ,931,607 (2,339,837) UBS AG 06/20/2018 NZD S 54,000,000 38,899,910 39,015,810 (115,900) UBS AG 06/20/2018 NOK B 1,738,000, ,975, ,254,389 (2,721,403) UBS AG 06/20/2018 NOK S 246,000,000 31,363,321 31,458,331 (95,010) UBS AG 06/20/2018 PLN B 802,500, ,681, ,768,788 (912,636) UBS AG 06/20/2018 PLN S 30,500,000 8,884,047 8,922,677 (38,629) UBS AG 06/20/2018 SGD B 599,875, ,332, ,341,391 1,008,396 UBS AG 06/20/2018 SGD B 25,625,000 19,615,888 19,579,076 (36,812) UBS AG 06/20/2018 SGD S 33,750,000 25,626,171 25,787,076 (160,905) UBS AG 06/20/2018 ZAR B 1,619,000, ,844, ,342, ,842 UBS AG 06/20/2018 ZAR B 946,000,000 80,195,649 79,081,957 (1,113,692) UBS AG 06/20/2018 ZAR S 192,500,000 15,827,992 16,092,259 (264,267) UBS AG 06/20/2018 SEK B 772,000,000 94,509,540 92,986,722 (1,522,818) UBS AG 06/20/2018 SEK S 126,000,000 15,383,792 15,176, ,203 UBS AG 06/20/2018 SEK S 354,000,000 42,587,339 42,638,989 (51,650) UBS AG 06/20/2018 CHF B 132,875, ,317, ,894,975 (1,422,134) UBS AG 06/20/2018 CHF S 54,375,000 57,434,473 57,247, ,764 UBS AG 06/20/2018 CHF S 17,250,000 18,129,254 18,161,342 (32,088) UBS AG 06/20/2018 TRY B 386,700,000 97,874,823 95,773,667 (2,101,156) UBS AG 06/20/2018 TRY S 150,900,000 37,605,893 37,373, ,616 UBS AG 06/20/2018 TRY S 327,300,000 80,322,115 81,062,119 (740,004) Total $ (5,007,145) Financial Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: AEX-Index 4/20/ $ 30,164,592 $ 29,803,725 $ (360,867) ASX SPI 200 6/21/ ,437,173 72,004,166 (2,433,007) Australian Dollar 6/18/2018 1, ,470, ,479,280 (2,991,540) British Pound 6/18/2018 3, ,727, ,856,662 (870,738) CAC 40 4/20/ ,296,188 5,211,752 (84,436) E-mini Dow 6/15/ ,324,510 74,855,700 (2,468,810) E-mini NASDAQ 100 6/15/ ,856,691 86,908,920 (6,947,771) E-mini S&P 500 6/15/ ,241,485 64,885,650 (2,355,835) E-mini S&P MidCap 400 6/15/ ,844,855 80,784,990 (2,059,865) Euro 6/18/2018 4, ,939, ,406,150 (3,532,981) Euribor 6/18/2018 3,288 1,014,655,856 1,014,666,222 10,367 Euro-Buxl 30 Year Bond 6/7/2018 1, ,966, ,778,295 2,811,700 Euro Schatz 6/7/2018 6, ,440, ,701,638 1,261,020 Euro-BTP 6/7/2018 3, ,691, ,348,418 10,656,802 Euro-OAT 6/7/2018 5,728 1,079,831,182 1,089,552,768 9,721,586 FTSE MIB 6/15/ ,168,257 20,822,417 (345,840) German Euro BOBL 6/7/2018 3, ,490, ,864,637 2,374,214 German Euro Bund 6/7/2018 2, ,708, ,751,294 3,042,398 Hang Seng China Enterprises Index 4/27/ ,451,081 65,105, ,712 Hang Seng Index 4/27/ ,571,925 76,928, ,900

11 Investments as of March 31, 2018 (Unaudited) Japanese Yen 6/18/ ,574,781 33,052,250 (522,531) Mini-Russell /15/ ,309,298 65,611,920 (2,697,378) MSCI EAFE Index 6/15/ ,335,660 82,624,780 (710,880) MSCI Emerging Markets Index 6/15/ ,297,870 53,154,050 (1,143,820) MSCI Singapore 4/27/ ,252,731 15,453, ,787 MSCI Taiwan Index 4/27/2018 1,242 50,071,230 50,636, ,110 Nikkei 225 6/7/ ,945,997 34,891, ,033 S&P CNX Nifty Futures Index 4/26/ ,375,851 11,614, ,144 S&P/TSX 60 Index 6/14/ ,479,062 23,909,652 (569,410) Short-Term Euro-BTP 6/7/2018 4, ,322, ,880,201 2,558,093 TOPIX 6/7/ ,828,110 34,521, ,858 Ultra Long U.S. Treasury Bond 6/20/ ,753,500 27,921, ,062 3 Year Australia Government Bond 6/15/ ,426,606 76,421,393 (5,212) 10 Year Australia Government Bond 6/15/2018 3, ,941, ,342,198 1,400,597 Total Contracts $ 7,559,462 Short Position Contracts: 5 Year U.S. Treasury Note 6/29/2018 (3,628) $ (413,330,009) $ (415,264,283) $ (1,934,274) Canadian Dollar 6/19/2018 (694) (53,479,755) (53,871,750) (391,995) DAX 6/15/2018 (120) (44,090,335) (44,817,170) (726,835) Eurodollar 6/18/2018 (19,486) (4,770,282,188) (4,759,455,500) 10,826,688 EURO STOXX 50 6/15/2018 (1,091) (43,295,218) (44,139,433) (844,215) FTSE 100 Index 6/15/2018 (1,183) (113,937,080) (116,203,682) (2,266,603) FTSE/JSE Top 40 Index 6/21/2018 (183) (7,600,904) (7,641,321) (40,417) IBEX 35 4/20/2018 (1,078) (126,337,013) (127,245,935) (908,922) OMXS30 4/20/2018 (1,889) (33,969,412) (34,596,859) (627,447) Sterling 6/20/2018 (8,457) (1,470,812,841) (1,469,650,516) 1,162,325 UK Long Gilt 6/27/2018 (398) (67,554,542) (68,581,987) (1,027,446) 2 Year U.S. Treasury Note 6/29/2018 (5,563) (1,181,746,214) (1,182,745,959) (999,745) 10 Year Canada Government Bond 6/20/2018 (992) (100,759,204) (102,614,848) (1,855,645) 10 Year U.S. Treasury Note 6/20/2018 (1,867) (224,067,188) (226,169,547) (2,102,359) 30 Year U.S. Treasury Bond 6/20/2018 (528) (75,180,625) (77,418,000) (2,237,375) Total Contracts $ (3,974,265) Total Futures Contracts $ 3,585,197 Commodity Futures Description Expiration Contracts Amount Appreciation Long Position Contracts: Aluminum LME 6/20/2018 1,203 $ 64,601,100 $ 60,247,744 $ (4,353,356) Brent Crude Oil 4/30/2018 1,472 97,971, ,068,480 4,097,350 Cocoa 5/15/ ,736,840 13,725, ,880 Copper 5/29/ ,779,725 28,288,425 (1,491,300) Copper LME 6/20/ ,708,125 83,915,625 (3,792,500) Cotton 5/8/2018 1,100 43,530,650 44,803,000 1,272,350 Gasoline 4/30/ ,070,984 82,319,244 2,248,260 Gold 6/27/2018 1, ,399, ,171,930 (227,090) Low Sulfur Gasoil 5/10/2018 1,451 85,822,150 89,671,800 3,849,650 New York Harbor ULSD 4/30/ ,520,321 66,462,606 2,942,285 Nickel LME 6/20/ ,616,120 20,103,552 (512,568) Soybean 5/14/2018 1,540 81,225,750 80,445,750 (780,000) Soybean Meal 5/14/2018 1,715 63,644,930 65,856,000 2,211,070 WTI Crude Oil 4/20/2018 1,318 83,276,800 85,590,920 2,314,120 Zinc LME 6/20/ ,646,000 46,041,850 (604,150) Total Long Position Contracts $ 8,163,001 Short Position Contracts: Aluminum LME 6/20/2018 (2,147) $ (110,535,059) $ (107,524,444) $ 3,010,615 Coffee 5/18/2018 (1,661) (76,570,481) (73,592,681) 2,977,800 Copper LME 6/20/2018 (371) (62,918,001) (62,265,394) 652,608 Corn 7/13/2018 (3,028) (57,966,475) (59,992,250) (2,025,775) Live Cattle 6/29/2018 (1,572) (67,095,860) (64,499,160) 2,596,700 Natural Gas 4/26/2018 (1,507) (42,012,320) (41,186,310) 826,010 Nickel LME 6/20/2018 (85) (6,979,410) (6,780,960) 198,450 Silver 5/29/2018 (712) (59,251,030) (57,914,080) 1,336,950 Soybean Oil 5/14/2018 (2,308) (43,993,200) (44,133,576) (140,376) Sugar 4/30/2018 (5,881) (84,812,101) (81,345,992) 3,466,109 Wheat 7/13/2018 (1,683) (39,389,388) (39,424,275) (34,888) Zinc LME 6/20/2018 (123) (9,980,891) (10,076,775) (95,884) Total Short Position Contracts $ 12,768,319 Total Futures Contracts $ 20,931,320

12 Investments as of March 31, 2018 (Unaudited) ( ) Interest rate represents discount rate at time of purchase; not a coupon rate. The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly owned subsidiary (the "Subsidiary"). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.