ASG Managed Futures Strategy Fund Investments as of June 30, 2017 (Unaudited)

Transcription

1 Investments as of June 30, 2017 (Unaudited) Principal Amount Security Description Interest Rate Maturity Date Market Value ($) % of Fund Certificates of Deposit 130,000,000 Banco Del Estado de Chile /5/ ,007, % 120,000,000 Bank of Montreal (IL) /8/ ,110, % 75,000,000 Bank of Nova Scotia (TX) /15/ ,991, % 30,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /6/ ,999, % 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /31/ ,025, % 60,000,000 Commonwealth Bank of Australia (NY) /23/ ,114, % 100,000,000 Credit Agricole Corporate & Investment Bank (NY) /13/ ,998, % 100,000,000 Credit Industriel et Commercial (NY) /21/ ,004, % 50,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg ) /2/ ,012, % 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg ) /11/ ,029, % 36,500,000 DG Bank (NY) /11/ ,498, % 50,000,000 DNB Bank ASA /27/ ,996, % 90,000,000 DZ Bank (NY) /20/ ,982, % 100,000,000 Landesbank Hessen (NY) /10/ ,995, % 45,000,000 Mizuho Bank Ltd. (NY) /17/ ,027, % 90,000,000 Mizuho Bank Ltd. (NY) /6/ ,008, % 75,000,000 National Australia Bank /8/ ,992, % 50,000,000 Norinchukin Bank (NY) /10/ ,026, % 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /10/ ,006, % 14,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /25/ ,000, % 27,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /2/ ,002, % 50,000,000 Rabobank Nederland NV /10/ ,004, % 25,000,000 Royal Bank of Canada (NY) /12/ ,995, % 75,000,000 Skandinaviska Enskilda Banken AB (NY) /11/ ,997, % 32,000,000 Societe Generale (NY) /31/ ,001, % 125,000,000 Sumitomo Mitsui Bank (NY) /6/ ,009, % 50,000,000 Sumitomo Mitsui Trust Bank (NY) /7/ ,007, % 25,000,000 Svenska Handelsbanken (NY) /6/ ,002, % 25,000,000 Svenska Handelsbanken (NY) /6/ ,000, % 75,000,000 Swedbank (NY) /3/ ,999, % 50,000,000 Toronto Dominion Bank (NY) /13/ ,059, % 50,000,000 Toronto Dominion Bank (NY) /10/ ,027, % 25,000,000 Westpac Banking Corp. (NY) /8/ ,030, % 50,000,000 Westpac Banking Corp. (NY) /10/ ,112, % Total 2,080,078, % Time Deposits 40,600,000 Canadian Imperial Bank of Commerce /3/ ,600, % 140,000,000 National Bank of Kuwait /3/ ,000, % Total 180,600, % Other Notes 69,000,000 Bank of America N.A /17/ ,998, % Commercial Paper 46,350,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 7/20/ ,318, % Treasuries 44,000,000 U.S. Treasury Bills ( ) 7/13/ ,990, % 55,000,000 U.S. Treasury Bills ( ) 7/6/ ,996, % 100,500,000 U.S. Treasury Bills ( ) 8/3/ ,426, % 65,000,000 U.S. Treasury Bills ( ) 9/7/ ,886, % 90,350,000 U.S. Treasury Bills ( ) 10/5/ ,110, % 48,400,000 U.S. Treasury Bills ( ) 11/2/ ,228, % Total 402,639, % Total Investments 2,778,634, % Other assets less liabilities 135,945, % Net Assets 2,914,579, % Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 9/20/2017 Mexican Peso 4,356,000, ,139,303 (1,726,354) Sell 9/20/2017 Mexican Peso 95,000,000 5,171,771 59,334 Buy 9/20/2017 New Zealand Dollar 806,400, ,099,202 3,661,792 Sell 9/20/2017 New Zealand Dollar 174,200, ,474,307 (1,131,682)

2 Investments as of June 30, 2017 (Unaudited) Buy 9/20/2017 Norwegian Krone 1,176,000, ,070, ,518 Sell 9/20/2017 Norwegian Krone 158,000,000 18,953,400 (358,750) Buy 9/20/2017 Polish Zloty 1,155,000, ,579,004 1,296,316 Sell 9/20/2017 Polish Zloty 58,000,000 15,646,392 (404,894) Buy 9/20/2017 Singapore Dollar 308,000, ,982,896 (563,200) Sell 9/20/2017 Singapore Dollar 78,250,000 56,904,745 (522,680) Buy 9/20/2017 South African Rand 2,113,000, ,446,127 (5,063,228) Sell 9/20/2017 South African Rand 95,000,000 7,168,662 49,077 Sell 9/20/2017 South African Rand 41,000,000 3,093,843 (3,055) Buy 9/20/2017 Swedish Krona 504,000,000 60,083,867 1,088,472 Sell 9/20/2017 Swedish Krona 208,000,000 24,796,517 (899,395) Buy 9/20/2017 Swiss Franc 73,375,000 76,894, ,540 Buy 9/20/2017 Swiss Franc 33,500,000 35,107,024 (44,261) Sell 9/20/2017 Swiss Franc 25,375,000 26,592,261 (356,880) Buy 9/20/2017 Turkish Lira 45,000,000 12,510,192 50,598 Buy 9/20/2017 Turkish Lira 20,100,000 5,587,886 (12,214) Buy 9/20/2017 Turkish Lira 237,300,000 65,970,412 (198,493) Total (4,211,439) Financial Futures Expiration Date Contracts Notional Value ($) AEX-Index 7/21/2017 1, ,577,181 (4,476,422) ASX SPI 200 9/21/2017 1, ,301,303 (1,111,864) Australian Dollar 9/18/2017 3, ,992,750 1,801,520 British Pound 9/18/ ,917, ,431 CAC 40 7/21/2017 1, ,296,438 (2,776,771) Canadian Dollar 9/19/2017 1,206 93,151,440 82,485 DAX 9/15/ ,562,134 (4,346,576) E-mini Dow 9/15/2017 1, ,633, ,290 E-mini MSCI EAFE Index 9/15/2017 1, ,768,800 (344,135) E-mini MSCI Emerging Markets Index 9/15/2017 2, ,321,545 (492,815) E-mini NASDAQ 100 9/15/2017 1, ,225,840 (7,165,202) E-mini S&P MidCap 400 9/15/ ,006,450 (343,770) E-mini S&P 500 9/15/2017 1, ,390,140 (489,500) Euribor 9/18/2017 5,087 1,457,104, ,325 Euro 9/18/2017 1, ,917,963 2,884,175 Euro Schatz 9/7/2017 4, ,934,242 (1,431,753) EURO STOXX 50 9/15/2017 3, ,500,924 (4,168,015) Euro-BTP 9/7/2017 1, ,334,383 (6,590,649) Euro-OAT 9/7/2017 1, ,336,754 (4,099,141) FTSE 100 Index 9/15/2017 1, ,972,813 (3,503,863) FTSE MIB 9/15/ ,138,978 (2,073,836) German Euro BOBL 9/7/2017 4, ,947,945 (6,634,062) German Euro Bund 9/7/2017 1, ,052,998 (6,800,314) Hang Seng China Enterprises Index 7/28/2017 1,262 82,396,237 (362,423) Hang Seng Index 7/28/ ,282,862 (271,730) IBEX 35 7/21/ ,524,648 (3,885,562) Mini-Russell /15/2017 2, ,058,800 62,990 MSCI Singapore 7/28/2017 1,983 51,605, ,454 MSCI Taiwan Index 7/28/2017 3, ,240,097 52,166 Nikkei 225 9/7/ ,380,965 (16,145) OMXS30 7/21/2017 8, ,252,800 (4,135,379) S&P CNX Nifty Futures Index 7/27/2017 5,170 98,377,650 (1,128,576) S&P/TSX 60 Index 9/14/ ,835,225 (1,820,794) -Term Euro-BTP 9/7/2017 2, ,882,637 (344,541) Sterling 9/20/2017 2, ,984,035 (385,900) TOPIX 9/7/2017 1, ,277,708 2,124,652 UK Gilt 9/27/2017 1, ,546,206 (5,653,439) 5 Year U.S. Treasury Note 9/29/ ,278,383 (360,047) 10 Year Australia Government Bond 9/15/ ,052,384 (780,372) 10 Year Canada Government Bond 9/20/ ,260,487 (1,961,521) 10 Year U.S. Treasury Note 9/20/ ,888,875 (387,531) 30 Year U.S. Treasury Bond 9/20/ ,593,625 (1,285,406) Sub Total (70,622,566) Eurodollar 12/18/2017 6,816 1,678,866, ,238 FTSE/JSE Top 40 Index 9/21/2017 2, ,813,501 (1,004,921) Japanese Yen 9/18/2017 4, ,306,000 12,048,069

3 Investments as of June 30, 2017 (Unaudited) Ultra U.S. Treasury Bond 9/20/ ,962,000 20,094 2 Year U.S. Treasury Note 9/29/ ,883,548 89,999 3 Year Australia Government Bond 9/15/2017 1,118 95,942, ,475 Sub Total 11,902,954 Total (58,719,612) Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 9/20/2017 2, ,227,288 (344,550) Copper 9/27/2017 1,319 89,395,225 1,971,525 Copper LME 9/20/ ,004,457 2,482,953 Cotton 12/6/ ,717,430 (2,626,555) Live Cattle 8/31/2017 1,504 69,966,080 (3,707,460) Nickel LME 9/20/ ,601, ,802 Zinc LME 9/20/ ,090,000 3,286,376 Sub Total 1,224,091 Aluminum LME 9/20/2017 1,324 63,535,450 (1,318,375) Brent Crude Oil 7/31/2017 2, ,562,880 (4,179,590) Cocoa 9/14/2017 1,596 30,962, ,610 Coffee 9/19/2017 1,117 52,652, ,556 Corn 12/14/2017 2,931 57,447,600 (953,738) Gasoline 7/31/ ,815,407 (1,041,928) Gold 8/29/ ,493, ,050 Low Sulfur Gasoil 8/10/2017 2,113 92,126,800 (2,025,450) Natural Gas 7/27/2017 2,705 82,096, ,600 New York Harbor ULSD 7/31/2017 1,070 66,650,514 (1,917,577) Nickel LME 9/20/2017 1,287 72,490,275 (3,094,041) Silver 9/27/ ,861,960 (554,800) Soybean 11/14/2017 2, ,034,938 (2,114,650) Soybean Meal 12/14/2017 2,776 86,389,120 (628,050) Soybean Oil 12/14/2017 1,590 31,806,360 (1,024,824) Sugar 9/29/2017 9, ,684,283 (86,621) Wheat 9/14/2017 2,071 54,467,300 (7,877,850) WTI Crude Oil 7/20/2017 2, ,963,800 (2,143,350) Sub Total (26,985,028) Total (25,760,937) ( ) 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.

4 Investments as of May 31, 2017 (Unaudited) Principal Amount Security Description Interest Rate Maturity Date Market Value ($) % of Fund Certificates of Deposit 7,000,000 Banco Del Estado de Chile /20/2017 7,001, % 130,000,000 Banco Del Estado de Chile /5/ ,071, % 120,000,000 Bank of Montreal (IL) /8/ ,076, % 100,000,000 Bank of Nova Scotia (TX) /14/ ,017, % 35,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /15/ ,999, % 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /31/ ,038, % 60,000,000 Commonwealth Bank of Australia (NY) /23/ ,131, % 100,000,000 Credit Agricole Corporate & Investment Bank (NY) /15/ ,998, % 75,000,000 Credit Industriel et Commercial (NY) /20/ ,005, % 50,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) /2/ ,003, % 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) /11/ ,054, % 36,500,000 DG Bank (NY) /11/ ,496, % 50,000,000 DNB Bank ASA /27/ ,002, % 100,000,000 Landesbank Hessen (NY) /10/ ,010, % 45,000,000 Mizuho Bank Ltd. (NY) /17/ ,044, % 90,000,000 Mizuho Bank Ltd. (NY) /6/ ,062, % 75,000,000 National Australia Bank /8/ ,003, % 50,000,000 Norinchukin Bank (NY) /10/ ,031, % 75,000,000 Norinchukin Bank (NY) /19/ ,013, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /15/ ,003, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /15/ ,005, % 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /10/ ,007, % 50,000,000 Rabobank Nederland NV /10/ ,024, % 39,300,000 Royal Bank of Canada (NY) /12/ ,305, % 75,000,000 Skandinaviska Enskilda Banken AB (NY) /11/ ,013, % 125,000,000 Sumitomo Mitsui Bank (NY) /6/ ,079, % 50,000,000 Sumitomo Mitsui Trust Bank (NY) /7/ ,015, % 25,000,000 Svenska Handelsbanken (NY) /6/ ,001, % 50,000,000 Toronto Dominion Bank (NY) /13/ ,065, % 50,000,000 Toronto Dominion Bank (NY) /10/ ,064, % 25,000,000 Westpac Banking Corp. (NY) /8/ ,033, % 50,000,000 Westpac Banking Corp. (NY) /10/ ,121, % Total 2,018,803, % Time Deposits 49,000,000 Canadian Imperial Bank of Commerce /1/ ,000, % 89,000,000 DNB Bank ASA /1/ ,000, % 139,650,000 National Bank of Kuwait /1/ ,650, % Total 277,650, % Commercial Paper 46,250,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) ( ) 6/22/ ,221, % 53,000,000 Swedbank (NY) ( ) 6/6/ ,999, % Total 99,221, % Other Notes 75,000,000 Bank of America N.A /9/ ,996, % Treasuries 61,000,000 U.S. Treasury Bills ( ) 6/8/ ,991, % 62,000,000 U.S. Treasury Bills ( ) 6/15/ ,982, % 44,000,000 U.S. Treasury Bills ( ) 7/13/ ,957, % 40,000,000 U.S. Treasury Bills ( ) 7/6/ ,971, % 85,500,000 U.S. Treasury Bills ( ) 8/3/ ,364, % 40,000,000 U.S. Treasury Bills ( ) 9/7/ ,898, % 44,000,000 U.S. Treasury Bills ( ) 10/5/ ,848, % Total 376,014, % Total Investments 2,846,684, % Other assets less liabilities 117,188, % Net Assets 2,963,873, % Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 6/21/2017 Mexican Peso 3,949,500, ,137,158 4,096,818 Buy 6/21/2017 Mexican Peso 414,000,000 22,132,114 (113,232)

5 Investments as of May 31, 2017 (Unaudited) Sell 6/21/2017 Mexican Peso 719,500,000 38,463,903 (1,874,817) Buy 6/21/2017 New Zealand Dollar 604,800, ,328,288 5,385,434 Buy 6/21/2017 New Zealand Dollar 11,700,000 8,286,113 (907) Sell 6/21/2017 New Zealand Dollar 399,800, ,144,262 (7,405,735) Buy 6/21/2017 Norwegian Krone 1,026,000, ,466, ,044 Buy 6/21/2017 Norwegian Krone 1,844,000, ,307,654 (2,085,389) Sell 6/21/2017 Norwegian Krone 2,090,000, ,431,126 (3,903,712) Buy 6/21/2017 Polish Zloty 1,404,000, ,346,320 14,756,094 Sell 6/21/2017 Polish Zloty 347,500,000 93,395,902 (7,735,776) Buy 6/21/2017 Singapore Dollar 982,750, ,413,128 5,296,827 Sell 6/21/2017 Singapore Dollar 652,375, ,590,704 (8,439,105) Buy 6/21/2017 South African Rand 2,342,500, ,987,995 2,166,381 Buy 6/21/2017 South African Rand 1,210,500,000 91,976,294 (1,907,383) Sell 6/21/2017 South African Rand 1,756,000, ,424,512 (5,969,454) Buy 6/21/2017 Swedish Krona 2,810,000, ,657,770 2,739,747 Buy 6/21/2017 Swedish Krona 344,000,000 39,622,161 (65,777) Sell 6/21/2017 Swedish Krona 3,660,000, ,561,367 (13,915,769) Buy 6/21/2017 Swiss Franc 318,750, ,511,857 4,569,568 Sell 6/21/2017 Swiss Franc 258,750, ,486,096 (10,184,349) Buy 6/21/2017 Turkish Lira 770,100, ,024,188 6,641,902 Sell 6/21/2017 Turkish Lira 599,400, ,918,709 (11,696,192) Total (28,840,782) Financial Futures Expiration Date Contracts Notional Value ($) AEX-Index 6/16/2017 1, ,406,088 (2,713,867) ASX SPI 200 6/15/2017 1, ,778,306 (1,848,535) Australian Dollar 6/19/2017 2, ,313,600 (3,811,370) British Pound 6/19/ ,518,125 (395,631) CAC 40 6/16/2017 1, ,597,919 (1,712,260) DAX 6/16/ ,282,753 7,013,882 E-mini Dow 6/16/2017 1, ,266,500 1,433,420 E-mini NASDAQ 100 6/16/2017 2, ,279,030 14,827,399 E-mini S&P 500 6/16/2017 1, ,829,925 2,210,412 Euribor 9/18/2017 5,087 1,433,262, ,737 Euro 6/19/2017 1, ,430, ,475 Eurodollar 12/18/2017 5,195 1,280,632, ,412 Euro Schatz 6/8/2017 9,846 1,241,762,108 (1,036,166) EURO STOXX 50 6/16/2017 3, ,287,037 8,491,262 Euro-BTP 6/8/2017 1, ,203,287 (696,364) Euro-OAT 6/8/2017 1, ,400,047 1,993,114 FTSE 100 Index 6/16/2017 2, ,025,302 3,910,340 FTSE MIB 6/16/ ,909,466 6,199,138 FTSE/JSE Top 40 Index 6/15/2017 1,366 49,322,611 (836,670) German Euro BOBL 6/8/2017 4, ,692,292 (267,851) German Euro Bund 6/8/2017 2, ,970,214 (2,892,759) Hang Seng Index 6/29/2017 1, ,437,396 2,848,687 IBEX 35 6/16/2017 1, ,177,930 (553,266) Mini-Russell /16/2017 1, ,129,290 (2,716,015) MSCI Singapore 6/29/2017 1,983 51,001,817 (509,749) MSCI Taiwan Index 6/29/2017 4, ,017, ,016 Nikkei 225 6/8/ ,372,125 2,285,262 OMXS30 6/16/2017 9, ,668,976 (1,403,396) S&P CNX Nifty Futures Index 6/29/2017 5, ,599,962 2,393,306 S&P/TSX 60 Index 6/15/2017 1, ,332,931 (1,266,105) Sterling 9/20/ ,906 5,282,760,273 5,395,145 TOPIX 6/8/2017 1, ,446,200 2,440,800 UK Gilt 9/27/2017 3, ,117, ,099 2 Year U.S. Treasury Note 9/29/2017 3, ,002, ,222 3 Year Australia Government Bond 6/15/ ,377 1,035,723, ,654 5 Year U.S. Treasury Note 9/29/2017 1, ,001, , Year Australia Government Bond 6/15/ ,264, , Year Canada Government Bond 9/20/2017 2, ,677,522 1,450, Year U.S. Treasury Note 9/20/ ,838, , Year U.S. Treasury Bond 9/20/ ,610,000 34,781 Sub Total 45,338,576 Canadian Dollar 6/20/2017 2, ,899, ,290 Japanese Yen 6/19/2017 2, ,872,000 (8,352,294)

6 Investments as of May 31, 2017 (Unaudited) Ultra U.S. Treasury Bond 9/20/ ,997,250 (385,953) Sub Total (8,532,957) Total 36,805,619 Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 6/21/2017 2, ,986,226 (1,627,547) Copper 7/27/ ,118,000 (465,037) Copper LME 6/21/ ,598,288 (5,554,995) Cotton 12/6/2017 1,730 62,963,350 (1,678,665) Live Cattle 8/31/2017 1,980 96,386,400 (376,780) Low Sulfur Gasoil 7/12/ ,299,250 (1,748,275) Nickel LME 6/21/ ,011,424 (9,915,435) Nickel LME 9/20/ ,929,440 (190,527) Zinc LME 6/21/ ,534,000 (5,969,971) Sub Total (27,527,232) Aluminum LME 6/21/ ,715,869 (411,618) Brent Crude Oil 6/30/ ,872, ,670 Cocoa 9/14/2017 1,543 31,724,080 (420,930) Coffee 7/19/ ,319, ,394 Copper LME 6/21/ ,090,925 (838,568) Corn 12/14/2017 4,639 90,692,450 (311,250) Gasoline 6/30/ ,581,963 (1,078,472) Gold 8/29/ ,363,600 (638,380) Natural Gas 6/28/ ,454, ,910 New York Harbor ULSD 6/30/ ,034,429 (296,558) Nickel LME 6/21/ ,011,424 3,914,808 Nickel LME 9/20/ ,979, ,541 Silver 7/27/ ,777,780 (3,062,480) Soybean 7/14/2017 2, ,256,200 9,244,700 Soybean Meal 7/14/2017 2,489 74,197,090 3,935,070 Soybean Oil 7/14/2017 2,836 53,328,144 3,151,398 Sugar 6/30/2017 3,546 59,056,502 4,994,326 Wheat 7/14/2017 3,119 66,941,538 1,204,438 WTI Crude Oil 6/20/ ,637,120 (521,420) Zinc LME 6/21/ ,036,500 (188,773) Sub Total 20,822,806 Total (6,704,426) ( ) 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.

7 Investments as of April 30, 2017 (Unaudited) Principal Amount Security Description Interest Rate Maturity Date Market Value ($) % of Fund Certificates of Deposit 50,000,000 Abbey National Treasury Services PLC /1/ ,000, % 130,000,000 Banco Del Estado de Chile /5/ ,107, % 120,000,000 Bank of Montreal (IL) /8/ ,976, % 100,000,000 Bank of Nova Scotia (TX) /14/ ,050, % 35,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /15/ ,000, % 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) /31/ ,009, % 60,000,000 Commonwealth Bank of Australia (NY) /23/ ,099, % 100,000,000 Credit Agricole Corporate & Investment Bank /25/ ,999, % 75,000,000 Credit Industriel et Commercial (NY) /20/ ,009, % 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) /11/ ,053, % 50,000,000 DNB Bank ASA /27/ ,000, % 100,000,000 Landesbank Hessen (NY) /10/ ,013, % 45,000,000 Mizuho Bank Ltd. (NY) /17/ ,040, % 90,000,000 Mizuho Bank Ltd. (NY) /6/ ,097, % 75,000,000 National Australia Bank /8/ ,009, % 50,000,000 Norinchukin Bank (NY) /10/ ,007, % 75,000,000 Norinchukin Bank (NY) /19/ ,031, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /15/ ,002, % 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /10/ ,000, % 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) /15/ ,010, % 50,000,000 Rabobank Nederland NV /10/ ,032, % 39,300,000 Royal Bank of Canada (NY) /12/ ,318, % 34,000,000 Royal Bank of Canada (NY) /8/ ,004, % 75,000,000 Skandinaviska Enskilda Banken AB (NY) /11/ ,017, % 125,000,000 Sumitomo Mitsui Bank (NY) /6/ ,115, % 50,000,000 Sumitomo Mitsui Trust Bank (NY) /7/ ,997, % 50,000,000 Toronto Dominion Bank (NY) /13/ ,035, % 50,000,000 Toronto Dominion Bank (NY) /10/ ,079, % 25,000,000 Westpac Banking Corp. (NY) /8/ ,017, % 50,000,000 Westpac Banking Corp. (NY) /10/ ,109, % Total 1,984,249, % Time Deposits 57,000,000 Canadian Imperial Bank of Commerce /1/ ,000, % 66,900,000 DNB Bank ASA /1/ ,900, % 140,550,000 National Bank of Kuwait /1/ ,550, % Total 264,450, % Commercial Paper 100,000,000 BNP Paribas (NY) 0.870( ) 5/3/ ,987, % 46,250,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.055( ) 5/25/ ,217, % 50,000,000 Swedbank (NY) 1.017( ) 5/30/ ,959, % Total 196,164, % Other Notes 75,000,000 Bank of America N.A /9/ ,992, % Treasuries 56,000,000 U.S. Treasury Bills 0.515( ) 6/8/ ,959, % 76,000,000 U.S. Treasury Bills ( ) 8/3/ ,844, % 44,000,000 U.S. Treasury Bills 0.580( ) 7/13/ ,933, % 40,000,000 U.S. Treasury Bills 0.705( ) 7/6/ ,945, % 21,000,000 U.S. Treasury Bills 0.795( ) 9/7/ ,935, % 44,000,000 U.S. Treasury Bills 0.880( ) 10/5/ ,824, % Total 280,444, % Total Investments 2,800,300, % Other assets less liabilities 183,840, % Net Assets 2,984,141, % Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 6/21/2017 Mexican Peso 2,105,000, ,912,269 1,486,189 Buy 6/21/2017 Mexican Peso 1,238,000,000 65,230,114 (411,946) Sell 6/21/2017 Mexican Peso 517,500,000 27,267,031 (1,273,595) Buy 6/21/2017 New Zealand Dollar 546,100, ,481,177 (7,283,186) Sell 6/21/2017 New Zealand Dollar 278,900, ,252,152 1,060,183

8 Investments as of April 30, 2017 (Unaudited) Buy 6/21/2017 Norwegian Krone 756,000,000 88,100,867 (1,167,588) Sell 6/21/2017 Norwegian Krone 1,094,000, ,489, ,224 Sell 6/21/2017 Norwegian Krone 996,000, ,069,396 (349,085) Buy 6/21/2017 Polish Zloty 621,000, ,011,433 2,645,138 Buy 6/21/2017 Polish Zloty 161,500,000 41,613,279 (78,609) Sell 6/21/2017 Polish Zloty 347,500,000 89,539,409 (3,879,284) Buy 6/21/2017 Singapore Dollar 247,625, ,325, ,796 Buy 6/21/2017 Singapore Dollar 269,875, ,259,090 (356,736) Sell 6/21/2017 Singapore Dollar 340,125, ,565,532 (1,998,702) Buy 6/21/2017 South African Rand 113,000,000 8,385,082 7,247 Buy 6/21/2017 South African Rand 3,005,000, ,983,817 (5,399,280) Sell 6/21/2017 South African Rand 100,000,000 7,420,427 40,730 Sell 6/21/2017 South African Rand 1,240,500,000 92,050,391 (2,436,335) Buy 6/21/2017 Swedish Krona 1,812,000, ,098,718 (1,870,404) Sell 6/21/2017 Swedish Krona 3,660,000, ,272,245 (6,626,647) Buy 6/21/2017 Swiss Franc 11,500,000 11,592,833 3,642 Buy 6/21/2017 Swiss Franc 127,500, ,529,234 (639,332) Sell 6/21/2017 Swiss Franc 241,375, ,323,480 (3,337,899) Buy 6/21/2017 Turkish Lira 546,600, ,705,892 3,506,277 Sell 6/21/2017 Turkish Lira 525,000, ,710,928 (8,923,539) Total (36,546,741) Financial Futures Expiration Date Contracts Notional Value ($) AEX-Index 5/19/2017 1, ,979,223 3,893,607 ASX SPI 200 6/15/2017 1, ,960,520 4,989,117 Australian Dollar 6/19/2017 2, ,963,120 (4,187,480) British Pound 6/19/2017 1,219 98,769, ,781 CAC 40 5/19/2017 2, ,652,665 6,542,118 DAX 6/16/ ,793,244 5,881,244 E-mini Dow 6/16/2017 1, ,572, ,955 E-mini NASDAQ 100 6/16/2017 1, ,867,210 8,226,652 E-mini S&P 500 6/16/2017 1, ,304, ,740 Euribor 9/18/2017 5,087 1,389,749, ,838 Euro Schatz 6/8/ ,729 1,311,759,709 (1,432,320) Euro-OAT 6/8/ ,450, ,415 EURO STOXX 50 6/16/2017 4, ,568,919 7,542,723 FTSE 100 Index 6/16/2017 1, ,810,353 (2,276,910) FTSE MIB 6/16/ ,016,206 4,648,198 German Euro BOBL 6/8/2017 4, ,751,887 (2,004,235) German Euro Bund 6/8/2017 5, ,261,043 (6,207,233) Hang Seng Index 5/29/2017 1, ,698,144 4,352,048 IBEX 35 5/19/2017 1, ,783,396 7,928,286 Japanese Yen 6/19/2017 1, ,708,625 (3,205,456) Mini-Russell /16/2017 3, ,912,960 2,022,685 MSCI Singapore 5/30/2017 2,314 57,499, ,192 MSCI Taiwan Index 5/26/2017 3, ,593,584 1,264,514 Nikkei 225 6/8/ ,844,740 (94,528) OMXS30 5/19/ , ,530,880 7,830,362 S&P CNX Nifty Futures Index 5/25/2017 6, ,379, ,826 S&P/TSX 60 Index 6/15/2017 1, ,143, ,491 Sterling 9/20/ ,145 5,346,317,409 3,697,438 TOPIX 6/8/ ,253,887 (566,279) UK Gilt 6/28/2017 4, ,889,983 5,537,015 2 Year U.S. Treasury Note 6/30/2017 9,101 1,971,361,931 (1,510,699) 3 Year Australia Government Bond 6/15/ , ,344,554 (427,643) 5 Year U.S. Treasury Note 6/30/2017 1, ,566,156 (257,891) 10 Year Australia Government Bond 6/15/2017 2, ,323,152 (1,076,502) 10 Year Canada Government Bond 6/21/2017 4, ,802,498 2,909, Year U.S. Treasury Note 6/21/ ,974,375 (197,625) Sub Total 57,784,458 Canadian Dollar 6/20/2017 4, ,709,200 4,022,780 Euro 6/19/2017 2, ,299,063 (9,502,600) Euro-BTP 6/8/ ,871,967 (2,604,123) Eurodollar 9/18/2017 5,372 1,324,198,000 (809,450) FTSE/JSE Top 40 Index 6/15/ ,888,009 (1,440,174) Ultra U.S. Treasury Bond 6/21/ ,114,750 (1,027,969)

9 Investments as of April 30, 2017 (Unaudited) 30 Year U.S. Treasury Bond 6/21/ ,790,000 (42,219) Sub Total (11,403,755) Total 46,380,703 Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 6/21/2017 2, ,817,757 (2,126,551) Copper 7/27/ ,647,938 7,388 Copper LME 6/21/ ,088,525 (4,604,607) Cotton 7/7/2017 1,292 50,950,020 1,271,205 Gold 6/28/ ,815,060 (793,160) Live Cattle 6/30/2017 2, ,568,530 13,628,070 Low Sulfur Gasoil 6/12/ ,123,250 (3,067,250) Nickel LME 6/21/ ,346,960 (7,579,899) Silver 7/27/ ,663,970 (2,388,885) Zinc LME 6/21/ ,217,650 (5,286,321) Sub Total (10,940,010) Brent Crude Oil 5/31/ ,138,700 54,240 Cocoa 7/14/2017 1,748 32,180,680 5,205,940 Coffee 7/19/ ,002,500 (146,250) Copper LME 6/21/ ,530,100 (768,674) Corn 7/14/2017 4,846 88,802, ,175 Gasoline 5/31/ ,296, ,405 Nickel LME 6/21/ ,346,960 1,579,272 Nickel LME 9/20/ ,813,573 (76,179) Soybean 7/14/2017 2, ,180,313 5,463,025 Soybean Meal 7/14/2017 2,333 73,676, ,390 Soybean Oil 7/14/2017 3,544 67,428,144 3,137,766 Sugar 6/30/2017 4,425 79,940, ,571 Wheat 7/14/2017 3,994 86,320, ,138 WTI Crude Oil 5/22/ ,432,340 (144,790) Zinc LME 6/21/ ,843,344 (207,313) Sub Total 17,433,716 Total 6,493,706 ( ) 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.