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 1.556 7/5/2017 130,007,150 4.46% 120,000,000 Bank of Montreal (IL) 1.369 5/8/2018 120,110,280 4.12% 75,000,000 Bank of Nova Scotia (TX) 1.330 12/15/2017 74,991,392 2.57% 30,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 1.180 7/6/2017 29,999,978 1.03% 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 1.400 10/31/2017 90,025,310 3.09% 60,000,000 Commonwealth Bank of Australia (NY) 1.606 2/23/2018 60,114,480 2.06% 100,000,000 Credit Agricole Corporate & Investment Bank (NY) 1.150 7/13/2017 99,998,401 3.43% 100,000,000 Credit Industriel et Commercial (NY) 1.250 9/21/2017 100,004,950 3.43% 50,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg ) 1.309 2/2/2018 50,012,300 1.72% 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg ) 1.517 8/11/2017 65,029,640 2.23% 36,500,000 DG Bank (NY) 1.040 7/11/2017 36,498,107 1.25% 50,000,000 DNB Bank ASA 1.060 7/27/2017 49,996,248 1.71% 90,000,000 DZ Bank (NY) 1.320 11/20/2017 89,982,043 3.09% 100,000,000 Landesbank Hessen (NY) 1.040 7/10/2017 99,995,573 3.43% 45,000,000 Mizuho Bank Ltd. (NY) 1.659 8/17/2017 45,027,180 1.54% 90,000,000 Mizuho Bank Ltd. (NY) 1.696 7/6/2017 90,008,010 3.09% 75,000,000 National Australia Bank 1.080 8/8/2017 74,992,863 2.57% 50,000,000 Norinchukin Bank (NY) 1.387 10/10/2017 50,026,200 1.72% 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.277 10/10/2017 25,006,175 0.86% 14,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.280 9/25/2017 14,000,821 0.48% 27,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.300 10/2/2017 27,002,494 0.93% 50,000,000 Rabobank Nederland NV 1.487 7/10/2017 50,004,500 1.71% 25,000,000 Royal Bank of Canada (NY) 1.297 6/12/2018 24,995,725 0.86% 75,000,000 Skandinaviska Enskilda Banken AB (NY) 1.070 7/11/2017 74,997,897 2.57% 32,000,000 Societe Generale (NY) 1.240 7/31/2017 32,001,373 1.10% 125,000,000 Sumitomo Mitsui Bank (NY) 1.686 7/6/2017 125,009,875 4.29% 50,000,000 Sumitomo Mitsui Trust Bank (NY) 1.284 8/7/2017 50,007,700 1.72% 25,000,000 Svenska Handelsbanken (NY) 1.176 11/6/2017 25,002,175 0.86% 25,000,000 Svenska Handelsbanken (NY) 1.176 12/6/2017 25,000,400 0.86% 75,000,000 Swedbank (NY) 1.120 7/3/2017 74,999,806 2.57% 50,000,000 Toronto Dominion Bank (NY) 1.467 3/13/2018 50,059,200 1.72% 50,000,000 Toronto Dominion Bank (NY) 1.685 8/10/2017 50,027,100 1.72% 25,000,000 Westpac Banking Corp. (NY) 1.409 3/8/2018 25,030,250 0.86% 50,000,000 Westpac Banking Corp. (NY) 1.637 1/10/2018 50,112,800 1.72% Total 2,080,078,396 71.37% Time Deposits 40,600,000 Canadian Imperial Bank of Commerce 1.050 7/3/2017 40,600,000 1.39% 140,000,000 National Bank of Kuwait 1.080 7/3/2017 140,000,000 4.81% Total 180,600,000 6.20% Other Notes 69,000,000 Bank of America N.A. 1.136 10/17/2017 68,998,068 2.37% Commercial Paper 46,350,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.251 ( ) 7/20/2017 46,318,765 1.59% Treasuries 44,000,000 U.S. Treasury Bills 0.580 ( ) 7/13/2017 43,990,540 1.51% 55,000,000 U.S. Treasury Bills 0.705-0.798 ( ) 7/6/2017 54,996,535 1.89% 100,500,000 U.S. Treasury Bills 0.773-0.925 ( ) 8/3/2017 100,426,233 3.44% 65,000,000 U.S. Treasury Bills 0.795-0.980 ( ) 9/7/2017 64,886,770 2.23% 90,350,000 U.S. Treasury Bills 0.880-1.013 ( ) 10/5/2017 90,110,573 3.09% 48,400,000 U.S. Treasury Bills 1.033 ( ) 11/2/2017 48,228,954 1.65% Total 402,639,605 13.81% Total Investments 2,778,634,834 95.34% Other assets less liabilities 135,945,055 4.66% Net Assets 2,914,579,889 100.00% Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 9/20/2017 Mexican Peso 4,356,000,000 237,139,303 (1,726,354) Sell 9/20/2017 Mexican Peso 95,000,000 5,171,771 59,334 Buy 9/20/2017 New Zealand Dollar 806,400,000 590,099,202 3,661,792 Sell 9/20/2017 New Zealand Dollar 174,200,000 127,474,307 (1,131,682)
Investments as of June 30, 2017 (Unaudited) Buy 9/20/2017 Norwegian Krone 1,176,000,000 141,070,879 362,518 Sell 9/20/2017 Norwegian Krone 158,000,000 18,953,400 (358,750) Buy 9/20/2017 Polish Zloty 1,155,000,000 311,579,004 1,296,316 Sell 9/20/2017 Polish Zloty 58,000,000 15,646,392 (404,894) Buy 9/20/2017 Singapore Dollar 308,000,000 223,982,896 (563,200) Sell 9/20/2017 Singapore Dollar 78,250,000 56,904,745 (522,680) Buy 9/20/2017 South African Rand 2,113,000,000 159,446,127 (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 76,894,862 505,540 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 1,206 139,577,181 (4,476,422) ASX SPI 200 9/21/2017 1,155 125,301,303 (1,111,864) Australian Dollar 9/18/2017 3,153 241,992,750 1,801,520 British Pound 9/18/2017 416 33,917,000 399,431 CAC 40 7/21/2017 1,732 101,296,438 (2,776,771) Canadian Dollar 9/19/2017 1,206 93,151,440 82,485 DAX 9/15/2017 376 132,562,134 (4,346,576) E-mini Dow 9/15/2017 1,959 208,633,500 809,290 E-mini MSCI EAFE Index 9/15/2017 1,310 123,768,800 (344,135) E-mini MSCI Emerging Markets Index 9/15/2017 2,823 142,321,545 (492,815) E-mini NASDAQ 100 9/15/2017 1,488 168,225,840 (7,165,202) E-mini S&P MidCap 400 9/15/2017 945 165,006,450 (343,770) E-mini S&P 500 9/15/2017 1,292 156,390,140 (489,500) Euribor 9/18/2017 5,087 1,457,104,299 513,325 Euro 9/18/2017 1,911 273,917,963 2,884,175 Euro Schatz 9/7/2017 4,477 571,934,242 (1,431,753) EURO STOXX 50 9/15/2017 3,172 124,500,924 (4,168,015) Euro-BTP 9/7/2017 1,732 267,334,383 (6,590,649) Euro-OAT 9/7/2017 1,942 329,336,754 (4,099,141) FTSE 100 Index 9/15/2017 1,280 120,972,813 (3,503,863) FTSE MIB 9/15/2017 760 89,138,978 (2,073,836) German Euro BOBL 9/7/2017 4,507 677,947,945 (6,634,062) German Euro Bund 9/7/2017 1,888 349,052,998 (6,800,314) Hang Seng China Enterprises Index 7/28/2017 1,262 82,396,237 (362,423) Hang Seng Index 7/28/2017 966 158,282,862 (271,730) IBEX 35 7/21/2017 903 107,524,648 (3,885,562) Mini-Russell 2000 9/15/2017 2,320 164,058,800 62,990 MSCI Singapore 7/28/2017 1,983 51,605,878 275,454 MSCI Taiwan Index 7/28/2017 3,878 149,240,097 52,166 Nikkei 225 9/7/2017 780 139,380,965 (16,145) OMXS30 7/21/2017 8,518 162,252,800 (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 9/14/2017 903 123,835,225 (1,820,794) -Term Euro-BTP 9/7/2017 2,470 317,882,637 (344,541) Sterling 9/20/2017 2,806 454,984,035 (385,900) TOPIX 9/7/2017 1,302 187,277,708 2,124,652 UK Gilt 9/27/2017 1,856 303,546,206 (5,653,439) 5 Year U.S. Treasury Note 9/29/2017 851 100,278,383 (360,047) 10 Year Australia Government Bond 9/15/2017 534 53,052,384 (780,372) 10 Year Canada Government Bond 9/20/2017 556 60,260,487 (1,961,521) 10 Year U.S. Treasury Note 9/20/2017 732 91,888,875 (387,531) 30 Year U.S. Treasury Bond 9/20/2017 622 95,593,625 (1,285,406) Sub Total (70,622,566) Eurodollar 12/18/2017 6,816 1,678,866,000 551,238 FTSE/JSE Top 40 Index 9/21/2017 2,878 100,813,501 (1,004,921) Japanese Yen 9/18/2017 4,528 504,306,000 12,048,069
Investments as of June 30, 2017 (Unaudited) Ultra U.S. Treasury Bond 9/20/2017 48 7,962,000 20,094 2 Year U.S. Treasury Note 9/29/2017 837 180,883,548 89,999 3 Year Australia Government Bond 9/15/2017 1,118 95,942,756 198,475 Sub Total 11,902,954 Total (58,719,612) Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 9/20/2017 2,297 110,227,288 (344,550) Copper 9/27/2017 1,319 89,395,225 1,971,525 Copper LME 9/20/2017 633 94,004,457 2,482,953 Cotton 12/6/2017 954 32,717,430 (2,626,555) Live Cattle 8/31/2017 1,504 69,966,080 (3,707,460) Nickel LME 9/20/2017 348 19,601,100 161,802 Zinc LME 9/20/2017 610 42,090,000 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 2,144 104,562,880 (4,179,590) Cocoa 9/14/2017 1,596 30,962,400 727,610 Coffee 9/19/2017 1,117 52,652,588 523,556 Corn 12/14/2017 2,931 57,447,600 (953,738) Gasoline 7/31/2017 642 40,815,407 (1,041,928) Gold 8/29/2017 495 61,493,850 465,050 Low Sulfur Gasoil 8/10/2017 2,113 92,126,800 (2,025,450) Natural Gas 7/27/2017 2,705 82,096,750 259,600 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 9/27/2017 696 57,861,960 (554,800) Soybean 11/14/2017 2,305 110,034,938 (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 9,031 139,684,283 (86,621) Wheat 9/14/2017 2,071 54,467,300 (7,877,850) WTI Crude Oil 7/20/2017 2,345 107,963,800 (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.
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 1.402 6/20/2017 7,001,813 0.24% 130,000,000 Banco Del Estado de Chile 1.472 7/5/2017 130,071,760 4.39% 120,000,000 Bank of Montreal (IL) 1.273 5/8/2018 120,076,920 4.05% 100,000,000 Bank of Nova Scotia (TX) 1.369 6/14/2017 100,017,300 3.37% 35,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 0.950 6/15/2017 34,999,119 1.18% 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 1.400 10/31/2017 90,038,510 3.04% 60,000,000 Commonwealth Bank of Australia (NY) 1.407 2/23/2018 60,131,820 2.03% 100,000,000 Credit Agricole Corporate & Investment Bank (NY) 1.000 6/15/2017 99,998,120 3.37% 75,000,000 Credit Industriel et Commercial (NY) 1.050 6/20/2017 75,005,044 2.53% 50,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) 1.213 2/2/2018 50,003,800 1.69% 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) 1.389 8/11/2017 65,054,275 2.19% 36,500,000 DG Bank (NY) 1.040 7/11/2017 36,496,403 1.23% 50,000,000 DNB Bank ASA 1.060 7/27/2017 50,002,925 1.69% 100,000,000 Landesbank Hessen (NY) 1.040 7/10/2017 100,010,201 3.37% 45,000,000 Mizuho Bank Ltd. (NY). 1.451 8/17/2017 45,044,325 1.52% 90,000,000 Mizuho Bank Ltd. (NY). 1.603 7/6/2017 90,062,460 3.04% 75,000,000 National Australia Bank 1.080 8/8/2017 75,003,510 2.53% 50,000,000 Norinchukin Bank (NY) 1.264 10/10/2017 50,031,700 1.69% 75,000,000 Norinchukin Bank (NY) 1.300 6/19/2017 75,013,307 2.53% 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.030 6/15/2017 50,003,069 1.69% 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.150 6/15/2017 50,005,579 1.69% 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.154 10/10/2017 25,007,250 0.84% 50,000,000 Rabobank Nederland NV 1.364 7/10/2017 50,024,500 1.69% 39,300,000 Royal Bank of Canada (NY) 1.369 6/12/2017 39,305,895 1.33% 75,000,000 Skandinaviska Enskilda Banken AB (NY) 1.070 7/11/2017 75,013,056 2.53% 125,000,000 Sumitomo Mitsui Bank (NY) 1.593 7/6/2017 125,079,250 4.22% 50,000,000 Sumitomo Mitsui Trust Bank (NY) 1.193 8/7/2017 50,015,200 1.69% 25,000,000 Svenska Handelsbanken (NY) 1.084 11/6/2017 25,001,075 0.84% 50,000,000 Toronto Dominion Bank (NY) 1.329 3/13/2018 50,065,600 1.69% 50,000,000 Toronto Dominion Bank (NY) 1.685 8/10/2017 50,064,450 1.69% 25,000,000 Westpac Banking Corp. (NY) 1.313 3/8/2018 25,033,075 0.84% 50,000,000 Westpac Banking Corp. (NY) 1.514 1/10/2018 50,121,850 1.69% Total 2,018,803,161 68.11% Time Deposits 49,000,000 Canadian Imperial Bank of Commerce 0.830 6/1/2017 49,000,000 1.66% 89,000,000 DNB Bank ASA 0.820 6/1/2017 89,000,000 3.00% 139,650,000 National Bank of Kuwait 0.850 6/1/2017 139,650,000 4.71% Total 277,650,000 9.37% Commercial Paper 46,250,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.051 ( ) 6/22/2017 46,221,652 1.56% 53,000,000 Swedbank (NY) 0.910 ( ) 6/6/2017 52,999,982 1.79% Total 99,221,634 3.35% Other Notes 75,000,000 Bank of America N.A. 1.060 6/9/2017 74,996,100 2.53% Treasuries 61,000,000 U.S. Treasury Bills 0.515-0.675 ( ) 6/8/2017 60,991,948 2.06% 62,000,000 U.S. Treasury Bills 0.530 ( ) 6/15/2017 61,982,268 2.09% 44,000,000 U.S. Treasury Bills 0.580 ( ) 7/13/2017 43,957,540 1.48% 40,000,000 U.S. Treasury Bills 0.705 ( ) 7/6/2017 39,971,040 1.35% 85,500,000 U.S. Treasury Bills 0.773-0.860 ( ) 8/3/2017 85,364,140 2.88% 40,000,000 U.S. Treasury Bills 0.795-0.890 ( ) 9/7/2017 39,898,200 1.35% 44,000,000 U.S. Treasury Bills 0.880 ( ) 10/5/2017 43,848,904 1.48% Total 376,014,040 12.69% Total Investments 2,846,684,935 96.05% Other assets less liabilities 117,188,221 3.95% Net Assets 2,963,873,156 100.00% Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 6/21/2017 Mexican Peso 3,949,500,000 211,137,158 4,096,818 Buy 6/21/2017 Mexican Peso 414,000,000 22,132,114 (113,232)
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 604,800,000 428,328,288 5,385,434 Buy 6/21/2017 New Zealand Dollar 11,700,000 8,286,113 (907) Sell 6/21/2017 New Zealand Dollar 399,800,000 283,144,262 (7,405,735) Buy 6/21/2017 Norwegian Krone 1,026,000,000 121,466,189 804,044 Buy 6/21/2017 Norwegian Krone 1,844,000,000 218,307,654 (2,085,389) Sell 6/21/2017 Norwegian Krone 2,090,000,000 247,431,126 (3,903,712) Buy 6/21/2017 Polish Zloty 1,404,000,000 377,346,320 14,756,094 Sell 6/21/2017 Polish Zloty 347,500,000 93,395,902 (7,735,776) Buy 6/21/2017 Singapore Dollar 982,750,000 710,413,128 5,296,827 Sell 6/21/2017 Singapore Dollar 652,375,000 471,590,704 (8,439,105) Buy 6/21/2017 South African Rand 2,342,500,000 177,987,995 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 1,756,000,000 133,424,512 (5,969,454) Buy 6/21/2017 Swedish Krona 2,810,000,000 323,657,770 2,739,747 Buy 6/21/2017 Swedish Krona 344,000,000 39,622,161 (65,777) Sell 6/21/2017 Swedish Krona 3,660,000,000 421,561,367 (13,915,769) Buy 6/21/2017 Swiss Franc 318,750,000 329,511,857 4,569,568 Sell 6/21/2017 Swiss Franc 258,750,000 267,486,096 (10,184,349) Buy 6/21/2017 Turkish Lira 770,100,000 217,024,188 6,641,902 Sell 6/21/2017 Turkish Lira 599,400,000 168,918,709 (11,696,192) Total (28,840,782) Financial Futures Expiration Date Contracts Notional Value ($) AEX-Index 6/16/2017 1,363 160,406,088 (2,713,867) ASX SPI 200 6/15/2017 1,444 153,778,306 (1,848,535) Australian Dollar 6/19/2017 2,480 184,313,600 (3,811,370) British Pound 6/19/2017 701 56,518,125 (395,631) CAC 40 6/16/2017 1,886 111,597,919 (1,712,260) DAX 6/16/2017 448 159,282,753 7,013,882 E-mini Dow 6/16/2017 1,650 173,266,500 1,433,420 E-mini NASDAQ 100 6/16/2017 2,022 234,279,030 14,827,399 E-mini S&P 500 6/16/2017 1,135 136,829,925 2,210,412 Euribor 9/18/2017 5,087 1,433,262,586 647,737 Euro 6/19/2017 1,787 251,430,900 756,475 Eurodollar 12/18/2017 5,195 1,280,632,438 388,412 Euro Schatz 6/8/2017 9,846 1,241,762,108 (1,036,166) EURO STOXX 50 6/16/2017 3,761 150,287,037 8,491,262 Euro-BTP 6/8/2017 1,479 221,203,287 (696,364) Euro-OAT 6/8/2017 1,917 326,400,047 1,993,114 FTSE 100 Index 6/16/2017 2,312 224,025,302 3,910,340 FTSE MIB 6/16/2017 924 107,909,466 6,199,138 FTSE/JSE Top 40 Index 6/15/2017 1,366 49,322,611 (836,670) German Euro BOBL 6/8/2017 4,658 691,692,292 (267,851) German Euro Bund 6/8/2017 2,199 400,970,214 (2,892,759) Hang Seng Index 6/29/2017 1,527 249,437,396 2,848,687 IBEX 35 6/16/2017 1,147 140,177,930 (553,266) Mini-Russell 2000 6/16/2017 1,638 112,129,290 (2,716,015) MSCI Singapore 6/29/2017 1,983 51,001,817 (509,749) MSCI Taiwan Index 6/29/2017 4,021 150,017,286 242,016 Nikkei 225 6/8/2017 785 139,372,125 2,285,262 OMXS30 6/16/2017 9,330 175,668,976 (1,403,396) S&P CNX Nifty Futures Index 6/29/2017 5,633 108,599,962 2,393,306 S&P/TSX 60 Index 6/15/2017 1,092 146,332,931 (1,266,105) Sterling 9/20/2017 32,906 5,282,760,273 5,395,145 TOPIX 6/8/2017 1,047 148,446,200 2,440,800 UK Gilt 9/27/2017 3,228 532,117,620 647,099 2 Year U.S. Treasury Note 9/29/2017 3,737 809,002,113 238,222 3 Year Australia Government Bond 6/15/2017 12,377 1,035,723,742 948,654 5 Year U.S. Treasury Note 9/29/2017 1,682 199,001,625 540,226 10 Year Australia Government Bond 6/15/2017 759 74,264,664 329,598 10 Year Canada Government Bond 9/20/2017 2,523 271,677,522 1,450,420 10 Year U.S. Treasury Note 9/20/2017 743 93,838,578 332,773 30 Year U.S. Treasury Bond 9/20/2017 160 24,610,000 34,781 Sub Total 45,338,576 Canadian Dollar 6/20/2017 2,942 217,899,230 205,290 Japanese Yen 6/19/2017 2,880 325,872,000 (8,352,294)
Investments as of May 31, 2017 (Unaudited) Ultra U.S. Treasury Bond 9/20/2017 218 35,997,250 (385,953) Sub Total (8,532,957) Total 36,805,619 Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 6/21/2017 2,916 139,986,226 (1,627,547) Copper 7/27/2017 684 44,118,000 (465,037) Copper LME 6/21/2017 802 113,598,288 (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 7/12/2017 590 26,299,250 (1,748,275) Nickel LME 6/21/2017 784 42,011,424 (9,915,435) Nickel LME 9/20/2017 110 5,929,440 (190,527) Zinc LME 6/21/2017 904 58,534,000 (5,969,971) Sub Total (27,527,232) Aluminum LME 6/21/2017 619 29,715,869 (411,618) Brent Crude Oil 6/30/2017 293 14,872,680 558,670 Cocoa 9/14/2017 1,543 31,724,080 (420,930) Coffee 7/19/2017 790 38,319,938 801,394 Copper LME 6/21/2017 396 56,090,925 (838,568) Corn 12/14/2017 4,639 90,692,450 (311,250) Gasoline 6/30/2017 471 31,581,963 (1,078,472) Gold 8/29/2017 340 43,363,600 (638,380) Natural Gas 6/28/2017 373 11,454,830 264,910 New York Harbor ULSD 6/30/2017 377 24,034,429 (296,558) Nickel LME 6/21/2017 784 42,011,424 3,914,808 Nickel LME 9/20/2017 315 16,979,760 521,541 Silver 7/27/2017 526 45,777,780 (3,062,480) Soybean 7/14/2017 2,189 100,256,200 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 6/20/2017 841 40,637,120 (521,420) Zinc LME 6/21/2017 294 19,036,500 (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.
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 0.910 5/1/2017 50,000,225 1.67% 130,000,000 Banco Del Estado de Chile 1.463 7/5/2017 130,107,770 4.36% 120,000,000 Bank of Montreal (IL) 1.266 5/8/2018 119,976,120 4.02% 100,000,000 Bank of Nova Scotia (TX) 1.374 6/14/2017 100,050,000 3.35% 35,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 0.940 5/15/2017 35,000,027 1.17% 90,000,000 Bank of Tokyo-Mitsubishi UJF (NY) 1.400 10/31/2017 90,009,646 3.02% 60,000,000 Commonwealth Bank of Australia (NY) 1.378 2/23/2018 60,099,000 2.01% 100,000,000 Credit Agricole Corporate & Investment Bank 0.930 5/25/2017 99,999,547 3.35% 75,000,000 Credit Industriel et Commercial (NY) 1.050 6/20/2017 75,009,478 2.51% 65,000,000 Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg) 1.390 8/11/2017 65,053,820 2.18% 50,000,000 DNB Bank ASA 1.060 7/27/2017 50,000,000 1.67% 100,000,000 Landesbank Hessen (NY) 1.040 7/10/2017 100,013,722 3.35% 45,000,000 Mizuho Bank Ltd. (NY) 1.444 8/17/2017 45,040,815 1.51% 90,000,000 Mizuho Bank Ltd. (NY) 1.596 7/6/2017 90,097,830 3.02% 75,000,000 National Australia Bank 1.080 8/8/2017 75,009,439 2.51% 50,000,000 Norinchukin Bank (NY) 1.259 10/10/2017 50,007,900 1.68% 75,000,000 Norinchukin Bank (NY) 1.300 6/19/2017 75,031,837 2.51% 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.030 6/15/2017 50,002,927 1.68% 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.149 10/10/2017 25,000,525 0.84% 50,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 1.150 6/15/2017 50,010,964 1.68% 50,000,000 Rabobank Nederland NV 1.359 7/10/2017 50,032,400 1.68% 39,300,000 Royal Bank of Canada (NY) 1.368 6/12/2017 39,318,943 1.32% 34,000,000 Royal Bank of Canada (NY) 1.389 5/8/2017 34,004,454 1.14% 75,000,000 Skandinaviska Enskilda Banken AB (NY) 1.070 7/11/2017 75,017,050 2.51% 125,000,000 Sumitomo Mitsui Bank (NY) 1.586 7/6/2017 125,115,750 4.19% 50,000,000 Sumitomo Mitsui Trust Bank (NY) 1.186 8/7/2017 49,997,900 1.68% 50,000,000 Toronto Dominion Bank (NY) 1.330 3/13/2018 50,035,100 1.68% 50,000,000 Toronto Dominion Bank (NY) 1.534 8/10/2017 50,079,650 1.68% 25,000,000 Westpac Banking Corp. (NY) 1.309 3/8/2018 25,017,725 0.84% 50,000,000 Westpac Banking Corp. (NY) 1.509 1/10/2018 50,109,300 1.68% Total 1,984,249,864 66.49% Time Deposits 57,000,000 Canadian Imperial Bank of Commerce 0.820 5/1/2017 57,000,000 1.91% 66,900,000 DNB Bank ASA 0.820 5/1/2017 66,900,000 2.24% 140,550,000 National Bank of Kuwait 0.850 5/1/2017 140,550,000 4.71% Total 264,450,000 8.86% Commercial Paper 100,000,000 BNP Paribas (NY) 0.870( ) 5/3/2017 99,987,167 3.35% 46,250,000 Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.) 1.055( ) 5/25/2017 46,217,933 1.55% 50,000,000 Swedbank (NY) 1.017( ) 5/30/2017 49,959,067 1.68% Total 196,164,167 6.58% Other Notes 75,000,000 Bank of America N.A. 1.060 6/9/2017 74,992,275 2.51% Treasuries 56,000,000 U.S. Treasury Bills 0.515( ) 6/8/2017 55,959,568 1.88% 76,000,000 U.S. Treasury Bills 0.773-0.778( ) 8/3/2017 75,844,732 2.54% 44,000,000 U.S. Treasury Bills 0.580( ) 7/13/2017 43,933,736 1.47% 40,000,000 U.S. Treasury Bills 0.705( ) 7/6/2017 39,945,720 1.34% 21,000,000 U.S. Treasury Bills 0.795( ) 9/7/2017 20,935,593 0.70% 44,000,000 U.S. Treasury Bills 0.880( ) 10/5/2017 43,824,880 1.47% Total 280,444,229 9.40% Total Investments 2,800,300,535 93.84% Other assets less liabilities 183,840,562 6.16% Net Assets 2,984,141,097 100.00% Forward Foreign Currency Contracts Contract to Buy/Sell Delivery Date Currency Units of Currency Notional Value ($) Buy 6/21/2017 Mexican Peso 2,105,000,000 110,912,269 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 546,100,000 374,481,177 (7,283,186) Sell 6/21/2017 New Zealand Dollar 278,900,000 191,252,152 1,060,183
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 1,094,000,000 127,489,879 317,224 Sell 6/21/2017 Norwegian Krone 996,000,000 116,069,396 (349,085) Buy 6/21/2017 Polish Zloty 621,000,000 160,011,433 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 247,625,000 177,325,733 418,796 Buy 6/21/2017 Singapore Dollar 269,875,000 193,259,090 (356,736) Sell 6/21/2017 Singapore Dollar 340,125,000 243,565,532 (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 3,005,000,000 222,983,817 (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 1,812,000,000 205,098,718 (1,870,404) Sell 6/21/2017 Swedish Krona 3,660,000,000 414,272,245 (6,626,647) Buy 6/21/2017 Swiss Franc 11,500,000 11,592,833 3,642 Buy 6/21/2017 Swiss Franc 127,500,000 128,529,234 (639,332) Sell 6/21/2017 Swiss Franc 241,375,000 243,323,480 (3,337,899) Buy 6/21/2017 Turkish Lira 546,600,000 151,705,892 3,506,277 Sell 6/21/2017 Turkish Lira 525,000,000 145,710,928 (8,923,539) Total (36,546,741) Financial Futures Expiration Date Contracts Notional Value ($) AEX-Index 5/19/2017 1,475 165,979,223 3,893,607 ASX SPI 200 6/15/2017 1,736 191,960,520 4,989,117 Australian Dollar 6/19/2017 2,862 213,963,120 (4,187,480) British Pound 6/19/2017 1,219 98,769,475 336,781 CAC 40 5/19/2017 2,229 126,652,665 6,542,118 DAX 6/16/2017 506 171,793,244 5,881,244 E-mini Dow 6/16/2017 1,893 197,572,410 436,955 E-mini NASDAQ 100 6/16/2017 1,961 218,867,210 8,226,652 E-mini S&P 500 6/16/2017 1,288 153,304,200 537,740 Euribor 9/18/2017 5,087 1,389,749,908 558,838 Euro Schatz 6/8/2017 10,729 1,311,759,709 (1,432,320) Euro-OAT 6/8/2017 885 144,450,290 127,415 EURO STOXX 50 6/16/2017 4,437 169,568,919 7,542,723 FTSE 100 Index 6/16/2017 1,356 125,810,353 (2,276,910) FTSE MIB 6/16/2017 869 96,016,206 4,648,198 German Euro BOBL 6/8/2017 4,823 692,751,887 (2,004,235) German Euro Bund 6/8/2017 5,205 917,261,043 (6,207,233) Hang Seng Index 5/29/2017 1,006 158,698,144 4,352,048 IBEX 35 5/19/2017 1,582 184,783,396 7,928,286 Japanese Yen 6/19/2017 1,385 155,708,625 (3,205,456) Mini-Russell 2000 6/16/2017 3,088 215,912,960 2,022,685 MSCI Singapore 5/30/2017 2,314 57,499,321 529,192 MSCI Taiwan Index 5/26/2017 3,806 139,593,584 1,264,514 Nikkei 225 6/8/2017 602 103,844,740 (94,528) OMXS30 5/19/2017 10,105 184,530,880 7,830,362 S&P CNX Nifty Futures Index 5/25/2017 6,506 121,379,484 560,826 S&P/TSX 60 Index 6/15/2017 1,490 200,143,878 876,491 Sterling 9/20/2017 33,145 5,346,317,409 3,697,438 TOPIX 6/8/2017 853 117,253,887 (566,279) UK Gilt 6/28/2017 4,911 815,889,983 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 6/15/2017 11,284 947,344,554 (427,643) 5 Year U.S. Treasury Note 6/30/2017 1,753 207,566,156 (257,891) 10 Year Australia Government Bond 6/15/2017 2,155 209,323,152 (1,076,502) 10 Year Canada Government Bond 6/21/2017 4,380 447,802,498 2,909,014 10 Year U.S. Treasury Note 6/21/2017 660 82,974,375 (197,625) Sub Total 57,784,458 Canadian Dollar 6/20/2017 4,231 309,709,200 4,022,780 Euro 6/19/2017 2,925 399,299,063 (9,502,600) Euro-BTP 6/8/2017 954 136,871,967 (2,604,123) Eurodollar 9/18/2017 5,372 1,324,198,000 (809,450) FTSE/JSE Top 40 Index 6/15/2017 868 30,888,009 (1,440,174) Ultra U.S. Treasury Bond 6/21/2017 148 24,114,750 (1,027,969)
Investments as of April 30, 2017 (Unaudited) 30 Year U.S. Treasury Bond 6/21/2017 64 9,790,000 (42,219) Sub Total (11,403,755) Total 46,380,703 Commodity Futures Expiration Date Contracts Notional Value ($) Aluminum LME 6/21/2017 2,429 115,817,757 (2,126,551) Copper 7/27/2017 869 56,647,938 7,388 Copper LME 6/21/2017 629 90,088,525 (4,604,607) Cotton 7/7/2017 1,292 50,950,020 1,271,205 Gold 6/28/2017 582 73,815,060 (793,160) Live Cattle 6/30/2017 2,773 137,568,530 13,628,070 Low Sulfur Gasoil 6/12/2017 815 37,123,250 (3,067,250) Nickel LME 6/21/2017 784 44,346,960 (7,579,899) Silver 7/27/2017 587 50,663,970 (2,388,885) Zinc LME 6/21/2017 904 59,217,650 (5,286,321) Sub Total (10,940,010) Brent Crude Oil 5/31/2017 214 11,138,700 54,240 Cocoa 7/14/2017 1,748 32,180,680 5,205,940 Coffee 7/19/2017 100 5,002,500 (146,250) Copper LME 6/21/2017 276 39,530,100 (768,674) Corn 7/14/2017 4,846 88,802,950 500,175 Gasoline 5/31/2017 589 38,296,898 908,405 Nickel LME 6/21/2017 784 44,346,960 1,579,272 Nickel LME 9/20/2017 67 3,813,573 (76,179) Soybean 7/14/2017 2,409 115,180,313 5,463,025 Soybean Meal 7/14/2017 2,333 73,676,140 238,390 Soybean Oil 7/14/2017 3,544 67,428,144 3,137,766 Sugar 6/30/2017 4,425 79,940,280 728,571 Wheat 7/14/2017 3,994 86,320,325 961,138 WTI Crude Oil 5/22/2017 698 34,432,340 (144,790) Zinc LME 6/21/2017 135 8,843,344 (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.