ABBEY CAPITAL FUTURES STRATEGY FUND
 
   
CONSOLIDATED PORTFOLIO OF INVESTMENTS
 
NOVEMBER 30, 2023
 
(UNAUDITED)
 
           
           
 
COUPON*
 
MATURITY DATE
PAR (000's)
VALUE
SHORT-TERM INVESTMENTS - 84.6%
         
U.S. TREASURY OBLIGATIONS - 81.5%
         
U.S. Treasury Bills
 
5.400%
 
12/07/23
77,759
 $         77,690,719
U.S. Treasury Bills
 
5.371%
 
12/14/23
18,752
18,716,451
U.S. Treasury Bills
 
5.454%
 
12/21/23
11,876
11,841,301
U.S. Treasury Bills
 
5.514%
 
12/28/23
62,129
            61,883,017
U.S. Treasury Bills
 
5.534%
 
01/04/24
25,932
            25,803,051
U.S. Treasury Bills
 
5.508%
 
01/11/24
18,910
18,796,476
U.S. Treasury Bills
 
5.515%
 
01/18/24
17,655
17,531,385
U.S. Treasury Bills
 
5.522%
 
01/25/24
17,133
16,994,987
U.S. Treasury Bills
 
5.511%
 
02/01/24
36,531
36,200,840
U.S. Treasury Bills
 
5.523%
 
02/08/24
110,300
109,194,333
U.S. Treasury Bills
 
5.532%
 
02/15/24
63,680
62,976,903
U.S. Treasury Bills
 
5.565%
 
02/22/24
251,849
          248,807,833
U.S. Treasury Bills
 
5.546%
 
02/29/24
148,565
146,622,510
U.S. Treasury Bills
 
5.563%
 
03/07/24
25,790
25,428,131
U.S. Treasury Bills
 
5.557%
 
03/14/24
77,668
76,499,009
U.S. Treasury Bills
 
5.576%
 
03/21/24
144,155
141,833,713
U.S. Treasury Bills
 
5.590%
 
03/28/24
118,157
          116,143,081
U.S. Treasury Bills
 
5.599%
 
04/04/24
96,387
94,638,982
U.S. Treasury Bills
 
5.608%
 
04/11/24
146,206
143,418,341
U.S. Treasury Bills
 
5.587%
 
04/18/24
224,532
220,045,570
U.S. Treasury Bills
 
5.584%
 
04/25/24
13,711
13,423,963
U.S. Treasury Bills
 
5.554%
 
05/02/24
146,612
143,397,734
U.S. Treasury Bills
 
5.504%
 
05/09/24
51,689
50,503,886
U.S. Treasury Bills
 
5.448%
 
05/16/24
37,903
36,996,038
U.S. Treasury Bills
 
5.469%
 
05/23/24
191,268
186,489,921
U.S. Treasury Bills
 
5.444%
 
05/30/24
21,466
20,908,363
TOTAL U.S. TREASURY OBLIGATIONS ($2,122,405,419)
       
2,122,786,538
         
NUMBER OF
 
         
SHARES
 
MONEY MARKET DEPOSIT ACCOUNT - 3.1%
     
(000's)
 
U.S. Bank Money Market Deposit Account, 5.20% (United States)(a)
     
80,148
80,147,981
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($80,147,981)
       
80,147,981
           
 
TOTAL SHORT-TERM INVESTMENTS
         
(Cost $2,202,553,400)
       
      2,202,934,519
TOTAL INVESTMENTS - 84.6%
         
(Cost $2,202,553,400)
       
2,202,934,519
             
OTHER ASSETS IN EXCESS OF LIABILITIES - 15.4%
       
402,403,121
NET ASSETS - 100.0%
       
$    2,605,337,640
 
           
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
           
(a) The rate shown is as of November 30, 2023.
           
Futures contracts outstanding as of November 30, 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
 
Dec-23
                           1
 $                          98,921
 $                                654
 
3-Month Euro Euribor
 
Sep-24
                    1,435
                    378,216,296
                            629,831
 
3-Month Euro Euribor
 
Dec-24
                           5
                        1,321,432
                                   844
 
3-Month Euro Euribor
 
Mar-25
                    1,103
                    292,093,297
                            641,055
 
3-Month Euro Euribor
 
Jun-25
                           2
                           530,342
                                 (245)
 
3-Month Euro Euribor
 
Sep-25
                         32
                        8,491,129
                              (1,633)
 
3-Month Euro Euribor
 
Dec-25
                           8
                        2,123,109
                                 (599)
 
3-Month Euro Euribor
 
Mar-26
                         10
                        2,653,614
                                 (544)
 
3-Month Euro Euribor
 
Jun-26
                       113
                      29,981,223
                            (16,940)
 
3-Month Euro Euribor
 
Sep-26
                       256
                      67,908,131
                            (35,403)
 
3-Month Euro Euribor
 
Dec-26
                           1
                           265,212
                                 (163)
 
3-Month Euro Euribor
 
Mar-27
                           2
                           530,287
                                   585
 
3-Month SARON Futures
 
Mar-24
                           3
                           842,712
                                   557
 
3-Month SARON Futures
 
Jun-24
                         31
                        8,718,197
                              14,645
 
3-Month SARON Futures
 
Sep-24
                         26
                        7,323,170
                              19,641
 
3-Month SOFR Futures
 
Jun-24
                    1,211
                    288,006,074
                            729,313
 
3-Month SOFR Futures
 
Sep-24
                    1,351
                    322,449,924
                         1,067,625
 
90-DAY Bank Bill
 
Jun-24
                       186
                    121,556,851
                                1,479
 
90-DAY Bank Bill
 
Sep-24
                       132
                      86,280,882
                                7,922
 
AUD/USD Currency Futures
 
Dec-23
                       125
                        8,265,000
                              27,187
 
Australian 10-Year Bond Futures
 
Dec-23
                         64
                        4,764,156
                              (7,665)
 
BIST 30 Index Futures
 
Dec-23
                       269
                           820,385
                                3,248
 
Brent Crude Futures
 
Feb-24
                         85
                        6,873,100
                            (67,863)
 
Brent Crude Futures
 
Mar-24
                           9
                           725,220
                            (12,340)
 
Brent Crude Futures
 
Apr-24
                           4
                           321,120
                                 (700)
 
Brent Crude Futures
 
Dec-24
                           2
                           155,600
                              (9,130)
 
Brent Crude Oil Last Day
 
Feb-24
                           4
                           323,440
                                2,070
 
CAC40 10 Euro Futures
 
Dec-23
                       551
                      43,872,483
                            202,070
 
CAD Currency Futures
 
Dec-23
                         70
                        5,160,750
                                 (893)
 
CHF Currency Futures
 
Dec-23
                       139
                      19,883,950
                            123,020
 
Cocoa Futures
 
Mar-24
                       646
                      27,629,420
                         2,251,680
 
Cocoa Futures
 
May-24
                       191
                        8,102,220
                            777,260
 
Cocoa Futures ICE
 
Mar-24
                       220
                        9,881,960
                            924,783
 
Cocoa Futures ICE
 
May-24
                         97
                        4,206,423
                            343,475
 
Cocoa Futures ICE
 
Jul-24
                           1
                             41,888
                                2,664
 
Coffee 'C' Futures
 
Mar-24
                         96
                        6,649,200
                            457,575
 
Coffee 'C' Futures
 
May-24
                           9
                           610,031
                              31,669
 
Coffee 'C' Futures
 
Jul-24
                           3
                           203,288
                                9,113
 
Coffee Robusta Futures
 
Mar-24
                       189
                        4,811,940
                            200,990
 
Coffee Robusta Futures
 
May-24
                         59
                        1,476,770
                              69,190
 
Copper Futures
 
Mar-24
                       189
                      18,193,613
                            138,216
 
Corn Futures
 
Mar-24
                    1,645
                      39,706,188
                          (722,375)
 
Cotton No.2 Futures
 
Mar-24
                       210
                        8,406,300
                            (54,014)
 
DAX Index Futures
 
Dec-23
                         64
                      28,316,534
                            501,883
 
DAX-Mini Futures
 
Dec-23
                           4
                           353,957
                                4,740
 
DJIA Mini E-CBOT
 
Dec-23
                       319
                      57,435,950
                         1,114,157
 
Dollar Index
 
Dec-23
                         56
                        5,791,968
                            (56,128)
 
E-Mini Consumer Discretionary Select Futures
 
Dec-23
                           1
                           170,670
                                8,760
 
E-Mini Industrial Select Futures
 
Dec-23
                           2
                           215,600
                                2,110
 
E-Mini S&P 500 ESG Futures
 
Dec-23
                         25
                        5,084,000
                              32,060
 
E-Mini Technology Select Futures
 
Dec-23
                           1
                           186,740
                                7,550
 
EUR Foreign Exchange Currency Futures
 
Dec-23
                       350
                      47,674,375
                              41,206
 
Euro E-Mini Futures
 
Dec-23
                           1
                             68,106
                                     69
 
Euro STOXX 50
 
Dec-23
                    1,694
                      80,966,083
                            882,441
 
Euro Stoxx 50 Index Futures
 
Dec-23
                           1
                             43,398
                                   337
 
Euro Stoxx Futures
 
Dec-23
                       112
                           710,134
                              27,011
 
Euro/JPY Futures
 
Dec-23
                       266
                      36,131,846
                         1,079,278
 
Euro-Bobl Futures
 
Dec-23
                       704
                      90,040,273
                            (60,132)
 
Euro-Bobl Futures
 
Mar-24
                       749
                      95,428,811
                            (62,588)
 
Euro-BTP Futures
 
Dec-23
                    1,230
                    153,927,397
                         4,482,356
 
Euro-Bund Futures
 
Dec-23
                       262
                      37,727,201
                              52,238
 
Euro-Bund Futures
 
Mar-24
                       323
                      46,637,586
                            (26,363)
 
Euro-Oat Futures
 
Dec-23
                         32
                        4,427,474
                              12,256
 
Euro-Schatz Futures
 
Dec-23
                       132
                      15,141,853
                              (1,235)
 
FTSE 100 Index Futures
 
Dec-23
                       353
                      33,247,358
                          (155,029)
 
FTSE KLCI Futures
 
Dec-23
                           7
                           108,992
                                     38
 
FTSE Taiwan Index
 
Dec-23
                       555
                      33,305,550
                            240,805
 
FTSE/JSE TOP 40
 
Dec-23
                           1
                             37,098
                                 (163)
 
FTSE/MIB Index Futures
 
Dec-23
                       359
                      58,197,311
                         1,243,575
 
Gasoline RBOB Futures
 
Jan-24
                       151
                      13,798,924
                          (127,585)
 
Gasoline RBOB Futures
 
Feb-24
                         19
                        1,737,884
                            (10,164)
 
Gasoline RBOB Futures
 
Mar-24
                           3
                           276,217
                                6,993
 
GBP Currency Futures
 
Dec-23
                       449
                      35,428,906
                            251,355
 
Gold 100 Oz Futures
 
Feb-24
                       869
                    178,770,679
                         1,207,810
 
Gold 100 Oz Futures
 
Apr-24
                           2
                           415,340
                                7,460
 
Hang Seng Index Futures
 
Dec-23
                         88
                        9,602,909
                          (261,250)
 
Hang Seng TECH Index Futures
 
Dec-23
                           2
                             49,966
                              (1,831)
 
IBEX 35 Index Futures
 
Dec-23
                         17
                        1,863,523
                              63,649
 
IBEX Mini Index Futures
 
Dec-23
                           3
                             32,886
                                1,229
 
Ice Three Miont SONIA Index Futures
 
Jun-24
                       631
                    189,184,093
                            260,049
 
Ice Three Miont SONIA Index Futures
 
Sep-24
                       372
                    111,831,058
                            271,601
 
Ice Three Miont SONIA Index Futures
 
Dec-24
                           5
                        1,507,209
                                 (931)
 
Ice Three Miont SONIA Index Futures
 
Mar-25
                       118
                      35,653,918
                              49,898
 
Ice Three Miont SONIA Index Futures
 
Jun-25
                       112
                      33,901,100
                              27,648
 
Ice Three Miont SONIA Index Futures
 
Sep-25
                           5
                        1,515,178
                                   (63)
 
Ice Three Miont SONIA Index Futures
 
Dec-25
                           7
                        2,122,795
                                 (631)
 
Ice Three Miont SONIA Index Futures
 
Mar-26
                         75
                      22,754,889
                                3,598
 
Ice Three Miont SONIA Index Futures
 
Jun-26
                           4
                        1,214,036
                                   142
 
Ice Three Miont SONIA Index Futures
 
Sep-26
                           3
                           910,764
                                 (237)
 
Ice Three Miont SONIA Index Futures
 
Dec-26
                           2
                           607,302
                                   (95)
 
IFSC Nifty 50 Futures
 
Dec-23
                       677
                      27,430,686
                            335,698
 
JPN 10-Year Bond (Osaka Securities Exchange)
 
Dec-23
                         63
                      62,235,128
                            455,146
 
JPX Nikkei Index 400 Futures
 
Dec-23
                           1
                             14,461
                                     47
 
Live Cattle Futures
 
Feb-24
                         25
                        1,718,250
                            (68,190)
 
Live Cattle Futures
 
Apr-24
                         11
                           767,470
                            (32,860)
 
Live Cattle Futures
 
Jun-24
                           6
                           408,480
                            (13,730)
 
Live Cattle Futures
 
Aug-24
                           4
                           272,640
                              (7,360)
 
LME Aluminum Forward
 
Dec-23
                           8
                           431,152
                              (9,298)
 
LME Aluminum Forward
 
Dec-23
                         17
                           916,517
                            (10,640)
 
LME Aluminum Forward
 
Dec-23
                           1
                             53,938
                              (1,200)
 
LME Aluminum Forward
 
Dec-23
                           1
                             53,963
                                 (612)
 
LME Aluminum Forward
 
Dec-23
                           8
                           432,502
                            (14,698)
 
LME Aluminum Forward
 
Dec-23
                           3
                           162,226
                              (2,687)
 
LME Aluminum Forward
 
Dec-23
                       142
                        7,689,336
                          (213,333)
 
LME Aluminum Forward
 
Dec-23
                    3,103
                    168,028,225
                       (5,670,185)
 
LME Aluminum Forward
 
Dec-23
                           9
                           488,504
                            (13,008)
 
LME Aluminum Forward
 
Dec-23
                           2
                           108,630
                              (8,021)
 
LME Aluminum Forward
 
Jan-24
                           9
                           489,492
                            (30,229)
 
LME Aluminum Forward
 
Jan-24
                           1
                             54,404
                                 (302)
 
LME Aluminum Forward
 
Jan-24
                           8
                           435,210
                              (2,826)
 
LME Aluminum Forward
 
Jan-24
                           8
                           435,276
                              (5,124)
 
LME Aluminum Forward
 
Jan-24
                           1
                             54,447
                                 (627)
 
LME Aluminum Forward
 
Jan-24
                       155
                        8,440,719
                          (191,633)
 
LME Aluminum Forward
 
Jan-24
                           8
                           435,750
                              (3,650)
 
LME Aluminum Forward
 
Jan-24
                           1
                             54,519
                                 (641)
 
LME Aluminum Forward
 
Jan-24
                           6
                           327,188
                              (3,867)
 
LME Aluminum Forward
 
Jan-24
                           1
                             54,546
                                 (905)
 
LME Aluminum Forward
 
Jan-24
                           8
                           436,650
                            (13,038)
 
LME Aluminum Forward
 
Feb-24
                           1
                             54,594
                              (1,656)
 
LME Aluminum Forward
 
Feb-24
                           1
                             54,646
                              (2,430)
 
LME Aluminum Forward
 
Feb-24
                           7
                           382,587
                            (13,538)
 
LME Aluminum Forward
 
Mar-24
                       901
                      49,583,156
                          (971,237)
 
LME Copper Forward
 
Dec-23
                           5
                        1,048,438
                              (5,475)
 
LME Copper Forward
 
Dec-23
                           1
                           209,725
                              (1,975)
 
LME Copper Forward
 
Dec-23
                           1
                           209,850
                                7,644
 
LME Copper Forward
 
Dec-23
                           2
                           419,988
                                9,038
 
LME Copper Forward
 
Dec-23
                           1
                           210,078
                                7,830
 
LME Copper Forward
 
Dec-23
                           5
                        1,050,601
                              39,320
 
LME Copper Forward
 
Dec-23
                         72
                      15,137,100
                            735,094
 
LME Copper Forward
 
Dec-23
                       862
                    181,224,724
                         5,231,929
 
LME Copper Forward
 
Dec-23
                           9
                        1,893,447
                              89,478
 
LME Copper Forward
 
Dec-23
                           1
                           210,417
                                6,917
 
LME Copper Forward
 
Dec-23
                           1
                           210,451
                                2,389
 
LME Copper Forward
 
Jan-24
                           1
                           210,588
                                9,738
 
LME Copper Forward
 
Jan-24
                           1
                           210,627
                                9,963
 
LME Copper Forward
 
Jan-24
                           6
                        1,265,295
                              14,614
 
LME Copper Forward
 
Jan-24
                           4
                           843,655
                              11,355
 
LME Copper Forward
 
Jan-24
                         85
                      17,924,481
                            547,818
 
LME Copper Forward
 
Jan-24
                           1
                           210,876
                              10,426
 
LME Copper Forward
 
Jan-24
                           1
                           211,000
                                   881
 
LME Copper Forward
 
Feb-24
                           7
                        1,478,195
                              46,583
 
LME Copper Forward
 
Feb-24
                           1
                           211,306
                                7,481
 
LME Copper Forward
 
Feb-24
                           4
                           845,392
                              31,017
 
LME Copper Forward
 
Feb-24
                           6
                        1,268,588
                              15,375
 
LME Copper Forward
 
Feb-24
                           6
                        1,269,000
                              16,850
 
LME Copper Forward
 
Feb-24
                         31
                        6,555,338
                              42,631
 
LME Copper Forward
 
Feb-24
                           2
                           423,200
                                4,125
 
LME Copper Forward
 
Mar-24
                       255
                      54,052,031
                         1,164,742
 
LME Lead Forward
 
Dec-23
                           1
                             52,305
                              (1,594)
 
LME Lead Forward
 
Dec-23
                           1
                             52,364
                              (1,533)
 
LME Lead Forward
 
Dec-23
                           5
                           262,408
                              (7,061)
 
LME Lead Forward
 
Dec-23
                         42
                        2,209,988
                          (112,286)
 
LME Lead Forward
 
Dec-23
                       749
                      39,411,444
                       (1,262,882)
 
LME Lead Forward
 
Dec-23
                           1
                             52,678
                              (2,697)
 
LME Lead Forward
 
Jan-24
                           5
                           263,743
                              (2,699)
 
LME Lead Forward
 
Jan-24
                           1
                             52,761
                                   403
 
LME Lead Forward
 
Jan-24
                           3
                           158,317
                              (3,496)
 
LME Lead Forward
 
Jan-24
                           1
                             52,850
                              (1,163)
 
LME Lead Forward
 
Jan-24
                         32
                        1,691,800
                              23,263
 
LME Lead Forward
 
Jan-24
                           1
                             52,877
                                   365
 
LME Lead Forward
 
Feb-24
                           1
                             53,066
                                   453
 
LME Lead Forward
 
Feb-24
                           6
                           318,675
                              (7,025)
 
LME Lead Forward
 
Feb-24
                           6
                           318,608
                              (6,568)
 
LME Lead Forward
 
Feb-24
                           1
                             53,069
                              (3,831)
 
LME Lead Forward
 
Feb-24
                         35
                        1,856,969
                          (110,712)
 
LME Lead Forward
 
Mar-24
                       371
                      19,720,969
                       (1,231,251)
 
LME Nickel Forward
 
Dec-23
                           3
                           304,173
                            (75,417)
 
LME Nickel Forward
 
Dec-23
                           2
                           197,256
                            (52,434)
 
LME Nickel Forward
 
Dec-23
                           1
                             98,646
                            (27,324)
 
LME Nickel Forward
 
Dec-23
                           1
                             98,790
                              (9,581)
 
LME Nickel Forward
 
Dec-23
                           1
                             98,826
                            (10,763)
 
LME Nickel Forward
 
Dec-23
                         27
                        2,670,732
                          (346,926)
 
LME Nickel Forward
 
Dec-23
                         62
                        6,132,792
                          (612,645)
 
LME Nickel Forward
 
Dec-23
                           4
                           396,048
                            (43,728)
 
LME Nickel Forward
 
Dec-23
                           1
                             99,024
                            (10,761)
 
LME Nickel Forward
 
Jan-24
                           2
                           198,186
                            (21,624)
 
LME Nickel Forward
 
Jan-24
                           1
                             99,129
                            (11,541)
 
LME Nickel Forward
 
Jan-24
                           1
                             99,200
                            (10,799)
 
LME Nickel Forward
 
Jan-24
                           2
                           198,471
                                6,063
 
LME Nickel Forward
 
Jan-24
                           3
                           297,759
                            (13,890)
 
LME Nickel Forward
 
Jan-24
                         28
                        2,781,576
                          (122,820)
 
LME Nickel Forward
 
Jan-24
                           3
                           298,131
                            (21,710)
 
LME Nickel Forward
 
Jan-24
                           1
                             99,447
                                3,027
 
LME Nickel Forward
 
Jan-24
                           1
                             99,464
                                 (695)
 
LME Nickel Forward
 
Jan-24
                           2
                           198,964
                            (22,076)
 
LME Nickel Forward
 
Jan-24
                           1
                             99,499
                                 (698)
 
LME Nickel Forward
 
Jan-24
                           1
                             99,569
                            (10,621)
 
LME Nickel Forward
 
Feb-24
                           1
                             99,604
                              (8,786)
 
LME Nickel Forward
 
Feb-24
                           1
                             99,727
                              (8,573)
 
LME Nickel Forward
 
Feb-24
                           1
                             99,783
                              (3,897)
 
LME Nickel Forward
 
Feb-24
                           1
                             99,845
                                 (748)
 
LME Nickel Forward
 
Feb-24
                           1
                             99,858
                              (1,062)
 
LME Nickel Forward
 
Mar-24
                         22
                        2,205,588
                            (30,436)
 
LME Tin Forward
 
Dec-23
                           1
                           115,294
                            (15,806)
 
LME Tin Forward
 
Jan-24
                           1
                           115,429
                              (7,543)
 
LME Tin Forward
 
Jan-24
                           1
                           115,444
                              (3,276)
 
LME Zinc Forward
 
Dec-23
                           3
                           185,250
                                2,900
 
LME Zinc Forward
 
Dec-23
                           1
                             61,823
                              (2,727)
 
LME Zinc Forward
 
Dec-23
                           1
                             61,831
                              (3,957)
 
LME Zinc Forward
 
Dec-23
                           1
                             61,861
                              (3,722)
 
LME Zinc Forward
 
Dec-23
                         64
                        3,959,600
                              (8,426)
 
LME Zinc Forward
 
Dec-23
                       668
                      41,328,325
                       (1,093,485)
 
LME Zinc Forward
 
Dec-23
                           4
                           246,700
                            (15,350)
 
LME Zinc Forward
 
Dec-23
                           4
                           246,650
                            (16,100)
 
LME Zinc Forward
 
Dec-23
                           4
                           246,675
                                4,035
 
LME Zinc Forward
 
Jan-24
                           1
                             61,700
                              (1,556)
 
LME Zinc Forward
 
Jan-24
                           1
                             61,693
                                   986
 
LME Zinc Forward
 
Jan-24
                           2
                           123,370
                                   170
 
LME Zinc Forward
 
Jan-24
                           5
                           308,500
                              (7,719)
 
LME Zinc Forward
 
Jan-24
                         55
                        3,396,594
                          (119,657)
 
LME Zinc Forward
 
Jan-24
                         73
                        4,508,206
                              56,819
 
LME Zinc Forward
 
Jan-24
                           4
                           247,025
                                   575
 
LME Zinc Forward
 
Jan-24
                           4
                           246,825
                              (3,075)
 
LME Zinc Forward
 
Jan-24
                           1
                             61,713
                                 (299)
 
LME Zinc Forward
 
Jan-24
                           1
                             61,756
                                   618
 
LME Zinc Forward
 
Feb-24
                         10
                           617,625
                            (13,613)
 
LME Zinc Forward
 
Feb-24
                           5
                           309,014
                            (12,849)
 
LME Zinc Forward
 
Feb-24
                           1
                             61,819
                              (1,600)
 
LME Zinc Forward
 
Feb-24
                           5
                           309,094
                            (12,044)
 
LME Zinc Forward
 
Feb-24
                         19
                        1,175,031
                            (56,277)
 
LME Zinc Forward
 
Feb-24
                           5
                           309,219
                              (7,756)
 
LME Zinc Forward
 
Feb-24
                           1
                             61,874
                              (1,989)
 
LME Zinc Forward
 
Mar-24
                         53
                        3,283,019
                          (136,265)
 
Long Gilt Futures
 
Mar-24
                       322
                      39,301,309
                              80,519
 
Low Sulphur Gasoil G Futures
 
Jan-24
                       167
                      13,134,550
                          (220,255)
 
Low Sulphur Gasoil G Futures
 
Feb-24
                         26
                        2,031,250
                            (70,675)
 
Low Sulphur Gasoil G Futures
 
Mar-24
                           8
                           620,400
                            (16,500)
 
Low Sulphur Gasoil G Futures
 
Apr-24
                           1
                             76,775
                              (1,325)
 
Micro E-mini Dow Jones Industrial Index Futures
 
Dec-23
                           3
                             54,015
                                1,309
 
Micro E-mini Nasdaq 100 Index Futures
 
Dec-23
                           1
                             31,971
                                1,529
 
Micro E-mini S&P 500 Index Futures
 
Dec-23
                           2
                             45,768
                                   518
 
Micro EUR/USD Futures
 
Dec-23
                           2
                             27,243
                                   (49)
 
Micro Gold Futures
 
Feb-24
                         32
                           658,304
                              13,367
 
Mini FTSE/MIB Pound Futures
 
Dec-23
                           5
                           162,110
                                7,336
 
Mini TOPIX Index Futures
 
Dec-23
                         22
                           352,570
                                1,619
 
MSCI EAFE Index Futures
 
Dec-23
                         35
                        3,721,550
                                5,910
 
MXN Currency Futures
 
Dec-23
                       804
                      23,062,740
                                1,650
 
Nasdaq 100 E-Mini
 
Dec-23
                       498
                    159,215,579
                         2,076,357
 
New Zealand 3-Month Bank Bill Futures
 
Mar-24
                         12
                                  697
                                       1
 
Nikkei 225 (Chicago Mercantile Exchange)
 
Dec-23
                         30
                        5,031,750
                              90,725
 
Nikkei 225 (Osaka Securities Exchange)
 
Dec-23
                       194
                      43,835,154
                            710,749
 
Nikkei 225 (Osaka Securities Exchange)
 
Mar-24
                           1
                           225,347
                                   944
 
Nikkei 225 (Singapore Exchange)
 
Dec-23
                       798
                      90,088,526
                            739,934
 
Nikkei 225 Mini
 
Dec-23
                         65
                        1,468,704
                              47,356
 
Nikkei/Yen Futures
 
Dec-23
                         32
                        3,619,587
                            134,369
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Jan-24
                       396
                      45,807,854
                          (741,171)
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Feb-24
                         28
                        3,194,251
                            (33,911)
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Mar-24
                         16
                        1,798,138
                            (22,596)
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Apr-24
                           3
                           331,481
                                5,355
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Dec-24
                           2
                           214,410
                              (3,007)
 
NZD Currency Futures
 
Dec-23
                           1
                             61,605
                                   170
 
OMX Stockholm 30 ESG Responsible Index
 
Dec-23
                           6
                           123,015
                                   280
 
OMX Stockholm 30 Index Futures
 
Dec-23
                    1,212
                      25,788,707
                              77,029
 
Orange Juice Futures
 
Jan-24
                         21
                        1,263,150
                              27,870
 
Palm Oil Futures
 
Jan-24
                           2
                             41,260
                                 (628)
 
Palm Oil Futures
 
Feb-24
                         34
                           710,538
                              (8,569)
 
Palm Oil Futures
 
Mar-24
                           9
                           189,242
                              (2,822)
 
Palm Oil Futures
 
Apr-24
                           2
                             42,043
                                 (413)
 
Platinum Futures
 
Jan-24
                         94
                        4,398,730
                              87,875
 
Rough Rice Futures
 
Jan-24
                         13
                           450,970
                                2,860
 
S&P 500 E-Mini Futures
 
Dec-23
                       683
                    156,296,012
                         1,124,803
 
S&P/TSX 60 IX Futures
 
Dec-23
                       182
                      32,723,652
                            214,864
 
SGX Iron Ore 62% Futures
 
Jan-24
                       886
                      11,480,788
                              43,063
 
SGX Iron Ore 62% Futures
 
Feb-24
                         82
                        1,047,960
                                3,000
 
SGX Iron Ore 62% Futures
 
Mar-24
                         55
                           693,330
                                 (780)
 
Short BTP Future
 
Dec-23
                       180
                      20,637,205
                              38,990
 
Short BTP Future
 
Mar-24
                           1
                           114,901
                                   (33)
 
Silver Futures
 
Mar-24
                       374
                      47,984,200
                            784,189
 
Soybean Futures
 
Jan-24
                       701
                      47,063,388
                              95,075
 
Soybean Futures
 
Mar-24
                       367
                      24,997,288
                            273,438
 
Soybean Futures
 
May-24
                         22
                        1,512,775
                            (14,513)
 
Soybean Futures
 
Nov-24
                         44
                        2,846,800
                                4,788
 
Soybean Meal Futures
 
Jan-24
                       183
                        7,759,200
                          (262,018)
 
Soybean Meal Futures
 
Mar-24
                       248
                      10,272,160
                          (325,070)
 
Soybean Meal Futures
 
May-24
                         24
                           979,200
                            (29,240)
 
Soybean Oil Futures
 
Jan-24
                           7
                           219,492
                                 (693)
 
STOXX Dividend Futures
 
Dec-24
                           5
                             83,215
                              11,549
 
STOXX Europe 600 Banks Index
 
Dec-23
                           5
                             44,451
                                   (27)
 
STOXX Europe 600 ESG-X Index
 
Dec-23
                         29
                           542,941
                                4,158
 
STOXX Europe 600 Index
 
Dec-23
                         61
                        1,534,130
                              17,296
 
STOXX Europe 600 Institutional Index
 
Dec-23
                           1
                             18,597
                                 (103)
 
STOXX Europe 600 Utilities Index
 
Dec-23
                           2
                             41,787
                                   833
 
Sugar No. 11 (World)
 
Mar-24
                    1,488
                      43,397,222
                          (617,834)
 
Sugar No. 11 (World)
 
May-24
                       281
                        7,880,589
                            (15,288)
 
Sugar No. 11 (World)
 
Jul-24
                           4
                           108,595
                                5,107
 
Sugar No. 11 (World)
 
Oct-24
                           5
                           134,064
                                 (963)
 
Three-Month CORRA Futures
 
Jun-24
                         45
                        7,918,402
                              10,962
 
Topix Index Futures
 
Dec-23
                       407
                      65,225,414
                            645,748
 
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
 
Mar-24
                    1,420
                    155,911,562
                            591,250
 
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
 
Mar-24
                       276
                      29,491,031
                            (36,055)
 
USD/BRL Futures
 
Jan-24
                           4
                             81,020
                                 (820)
 
USD/CNH Futures
 
Dec-23
                           3
                           299,465
                                   600
 
USD/NOK Futures
 
Dec-23
                         10
                           997,754
                                7,486
 
USD/SEK Futures
 
Dec-23
                           5
                           498,915
                            (28,104)
 
USD/TRY Futures
 
Dec-23
                       126
                           129,102
                                 (628)
 
Wheat (Chicago Board of Trade)
 
Mar-24
                       696
                      20,810,400
                            861,038
 
White Sugar ICE
 
Mar-24
                       104
                        3,728,920
                              (7,025)
 
White Sugar ICE
 
May-24
                         28
                           978,460
                                1,100
 
WTI Crude Futures
 
Jan-24
                         81
                        6,152,760
                          (101,620)
 
WTI Crude Futures
 
Feb-24
                         10
                           760,500
                              (9,850)
 
WTI Crude Futures
 
Mar-24
                           4
                           303,960
                              (4,280)
 
WTI Crude Futures
 
Apr-24
                           1
                             75,850
                              (2,770)
 
WTI Crude Futures IPE
 
Jan-24
                           3
                           227,880
                              (5,300)
 
         
 $                    20,997,151
 
             
SHORT CONTRACTS
EXPIRATION DATE
NUMBER OF CONTRACTS
NOTIONAL AMOUNT
VALUE AND
UNREALIZED APPRECIATION/ (DEPRECIATION)
 
10-Year Mini Japanese Government Bond Futures
 
Dec-23
                         16
 $                   (1,582,733)
 $                           (6,489)
 
1-Month SOFR Future
 
Apr-24
                           7
                      (2,764,200)
                              (1,479)
 
3-Month Euro Euribor
 
Mar-24
                       117
                    (30,638,157)
                              (6,871)
 
3-Month Euro Euribor
 
Jun-24
                         71
                    (18,651,314)
                            (47,404)
 
3-Month Euro Euribor
 
Sep-24
                         56
                    (14,759,660)
                            (51,268)
 
3-Month Euro Euribor
 
Dec-24
                       607
                  (160,421,899)
                          (623,626)
 
3-Month Euro Euribor
 
Mar-25
                         15
                      (3,972,257)
                            (14,300)
 
3-Month Euro Euribor
 
Jun-25
                         15
                      (3,977,563)
                            (18,627)
 
3-Month Euro Euribor
 
Dec-26
                           4
                      (1,060,847)
                              (1,157)
 
3-Month SOFR Futures
 
Mar-24
                       622
                  (147,445,100)
                          (129,575)
 
3-Month SOFR Futures
 
Jun-24
                       574
                  (136,511,550)
                          (317,338)
 
3-Month SOFR Futures
 
Sep-24
                       116
                    (27,686,300)
                            (56,900)
 
3-Month SOFR Futures
 
Dec-24
                       725
                  (173,628,437)
                          (412,450)
 
3-Month SOFR Futures
 
Mar-25
                       118
                    (28,343,600)
                            (62,563)
 
3-Month SOFR Futures
 
Jun-25
                       370
                    (89,059,000)
                          (316,100)
 
3-Month SOFR Futures
 
Sep-25
                       114
                    (27,471,150)
                            (88,000)
 
3-Month SOFR Futures
 
Dec-25
                       104
                    (25,069,200)
                            (82,088)
 
3-Month SOFR Futures
 
Mar-26
                       102
                    (24,584,550)
                            (73,238)
 
3-Month SOFR Futures
 
Jun-26
                       493
                  (118,800,675)
                          (223,650)
 
3-Month SOFR Futures
 
Sep-26
                         72
                    (17,347,500)
                            (58,250)
 
3-Month SOFR Futures
 
Dec-26
                         50
                    (12,045,000)
                            (49,750)
 
3-Month SOFR Futures
 
Mar-27
                         14
                      (3,371,900)
                            (14,925)
 
3-Month SOFR Futures
 
Jun-27
                         14
                      (3,370,850)
                            (16,838)
 
3-Month SOFR Futures
 
Sep-27
                         15
                      (3,610,313)
                            (19,150)
 
90-DAY Bank Bill
 
Dec-23
                           8
                      (5,229,527)
                                 (367)
 
90-DAY Bank Bill
 
Mar-24
                       210
                  (137,244,954)
                            (31,503)
 
90-DAY Bank Bill
 
Jun-24
                    1,241
                  (811,032,541)
                          (232,582)
 
90-DAY Bank Bill
 
Sep-24
                       149
                    (97,392,814)
                            (28,638)
 
90-DAY Bank Bill
 
Dec-24
                         65
                    (42,497,164)
                            (12,229)
 
90-DAY Bank Bill
 
Mar-25
                         27
                    (17,656,976)
                              (4,291)
 
90-DAY Bank Bill
 
Jun-25
                         15
                      (9,811,586)
                              (4,261)
 
AUD/USD Currency Futures
 
Dec-23
                    2,649
                  (175,151,879)
                       (3,345,354)
 
Australian 10-Year Bond Futures
 
Dec-23
                    1,262
                    (93,943,196)
                            170,601
 
Australian 3-Year Bond Futures
 
Dec-23
                    4,220
                  (294,294,261)
                          (915,976)
 
Bank Acceptance Futures
 
Mar-24
                         40
                      (6,986,993)
                            (23,140)
 
Bank Acceptance Futures
 
Jun-24
                         42
                      (7,359,943)
                            (27,700)
 
Bank Acceptance Futures
 
Sep-24
                         23
                      (4,044,852)
                            (23,389)
 
Bank Acceptance Futures
 
Dec-24
                         14
                      (2,468,146)
                            (17,429)
 
Bank Acceptance Futures
 
Mar-25
                         11
                      (1,943,918)
                            (13,283)
 
Bank Acceptance Futures
 
Jun-25
                           5
                         (885,257)
                              (5,638)
 
Brent Crude Futures
 
Feb-24
                         58
                      (4,689,880)
                              16,500
 
CAC40 10 Euro Futures
 
Dec-23
                         43
                      (3,423,805)
                            (16,665)
 
CAD Currency Futures
 
Dec-23
                    2,424
                  (178,709,399)
                       (1,073,824)
 
Canadian 10-Year Bond Futures
 
Mar-24
                    2,001
                  (176,601,760)
                       (2,133,321)
 
Canadian 5-Year Bond Futures
 
Mar-24
                           3
                         (244,364)
                              (1,680)
 
Canola Futures (Winnipeg Commodity Exchange)
 
Jan-24
                       140
                      (1,445,035)
                              14,412
 
Canola Futures (Winnipeg Commodity Exchange)
 
Mar-24
                         77
                         (800,557)
                              10,014
 
Cattle Feeder Futures
 
Jan-24
                         45
                      (4,948,875)
                            134,863
 
Cattle Feeder Futures
 
Mar-24
                           4
                         (445,150)
                                8,925
 
Cattle Feeder Futures
 
Apr-24
                           1
                         (113,338)
                                 (963)
 
CHF Currency Futures
 
Dec-23
                       201
                    (28,753,050)
                          (155,464)
 
Coffee 'C' Futures
 
Mar-24
                         16
                      (1,108,200)
                          (198,788)
 
Copper Futures
 
Mar-24
                         65
                      (6,257,063)
                          (238,775)
 
Copper Futures
 
May-24
                           4
                         (387,350)
                              (5,000)
 
Corn Futures
 
Mar-24
                    2,481
                    (59,885,138)
                            718,409
 
Corn Futures
 
May-24
                       199
                      (4,925,250)
                              75,700
 
Corn Futures
 
Jul-24
                           8
                         (201,700)
                                2,750
 
Corn Futures
 
Dec-24
                         85
                      (2,177,063)
                                 (813)
 
Cotton No.2 Futures
 
Mar-24
                       256
                    (10,247,680)
                            (51,788)
 
Cotton No.2 Futures
 
May-24
                         26
                      (1,049,100)
                                3,110
 
DAX Index Futures
 
Dec-23
                         98
                    (43,359,693)
                       (2,129,953)
 
DJIA Mini E-CBOT
 
Dec-23
                         79
                    (14,223,950)
                          (476,674)
 
Dollar Index
 
Dec-23
                       112
                    (11,583,936)
                            (79,856)
 
Dutch TTF Gas Futures
 
Jan-24
                         45
                      (1,533,914)
                            210,623
 
Dutch TTF Gas Futures
 
Feb-24
                           5
                         (161,284)
                              13,474
 
E-Mini Consumer Staples Select Futures
 
Dec-23
                           4
                         (284,680)
                              (1,220)
 
E-Mini Crude Oil
 
Jan-24
                           1
                           (37,980)
                                 (505)
 
E-Mini Energy Select Futures
 
Dec-23
                           1
                           (88,440)
                                   430
 
E-Mini Natural Gas
 
Jan-24
                         12
                           (84,060)
                                4,378
 
EUR Foreign Exchange Currency Futures
 
Dec-23
                    1,551
                  (211,265,587)
                       (2,120,957)
 
Euro BUXL 30-Year Bond Futures
 
Dec-23
                         97
                    (13,736,476)
                          (515,438)
 
Euro STOXX 50
 
Dec-23
                       210
                    (10,037,118)
                            (19,266)
 
Euro/GBP Futures
 
Dec-23
                           2
                         (272,421)
                                   884
 
Euro-Bobl Futures
 
Dec-23
                       688
                    (87,993,905)
                       (1,158,343)
 
Euro-BTP Futures
 
Dec-23
                           9
                      (1,126,298)
                                2,115
 
Euro-BTP Futures
 
Mar-24
                           1
                         (124,524)
                                   762
 
Euro-Bund Futures
 
Dec-23
                       482
                    (69,406,530)
                       (1,498,350)
 
Euro-Oat Futures
 
Dec-23
                       175
                    (24,212,746)
                          (557,287)
 
European Climate Exchange Futures
 
Dec-23
                         67
                      (5,164,112)
                            531,762
 
European Climate Exchange Futures
 
Dec-24
                         80
                      (6,445,630)
                            449,853
 
Euro-Schatz Futures
 
Dec-23
                    3,075
                  (352,736,336)
                       (1,271,498)
 
Euro-Schatz Futures
 
Mar-24
                       251
                    (28,901,747)
                                4,544
 
FTSE 100 Index Futures
 
Dec-23
                       594
                    (55,945,979)
                          (334,246)
 
FTSE China A50 Index
 
Dec-23
                    3,953
                    (46,487,280)
                            190,246
 
FTSE KLCI Futures
 
Dec-23
                         10
                         (155,703)
                                   306
 
FTSE/JSE TOP 40
 
Dec-23
                       258
                      (9,571,372)
                          (389,604)
 
Gasoline RBOB Futures
 
Jan-24
                       112
                    (10,234,963)
                          (345,793)
 
Gasoline RBOB Futures
 
Feb-24
                           2
                         (182,935)
                              (3,532)
 
Gasoline RBOB Futures
 
Mar-24
                           2
                         (184,145)
                                 (281)
 
Gasoline RBOB Futures
 
Apr-24
                           2
                         (200,147)
                                 (265)
 
GBP Currency Futures
 
Dec-23
                       954
                    (75,276,563)
                       (1,651,685)
 
Gold 100 Oz Futures
 
Feb-24
                       570
                  (117,260,400)
                       (1,278,100)
 
Hang Seng China Enterprises Index Futures
 
Dec-23
                       494
                    (18,529,822)
                            488,026
 
Hang Seng Index Futures
 
Dec-23
                       431
                    (47,032,427)
                            986,112
 
Hang Seng TECH Index Futures
 
Dec-23
                         30
                         (749,491)
                              17,263
 
ICE Rotterdam Coal Futures
 
Jan-24
                           2
                         (680,100)
                            (41,100)
 
Ice Three Miont SONIA Index Futures
 
Sep-24
                         44
                    (13,227,330)
                            (25,691)
 
Ice Three Miont SONIA Index Futures
 
Dec-24
                       124
                    (37,378,773)
                          (281,700)
 
Ice Three Miont SONIA Index Futures
 
Mar-25
                         11
                      (3,323,670)
                                   252
 
Ice Three Miont SONIA Index Futures
 
Jun-25
                           3
                         (908,065)
                                 (142)
 
Ice Three Miont SONIA Index Futures
 
Jun-26
                         31
                      (9,408,778)
                            (27,048)
 
INR/USD Futures
 
Dec-23
                           5
                         (119,850)
                                   (20)
 
INR/USD Standard Futures
 
Dec-23
                           1
                           (59,945)
                                   (55)
 
JPN 10-Year Bond (Osaka Securities Exchange)
 
Dec-23
                         51
                    (50,380,818)
                          (634,291)
 
JPY Currency Futures
 
Dec-23
                    3,585
                  (303,089,343)
                         1,173,526
 
Kansas City Hard Red Winter Wheat Futures
 
Mar-24
                       488
                    (15,689,200)
                            125,205
 
Kansas City Hard Red Winter Wheat Futures
 
May-24
                         31
                      (1,003,625)
                              45,125
 
Lean Hogs Futures
 
Feb-24
                       351
                    (10,035,090)
                            (25,250)
 
Lean Hogs Futures
 
Apr-24
                       166
                      (5,136,040)
                              72,330
 
Lean Hogs Futures
 
Jun-24
                           1
                           (37,000)
                                 (620)
 
Live Cattle Futures
 
Feb-24
                         66
                      (4,536,180)
                              13,160
 
Live Cattle Futures
 
Apr-24
                         21
                      (1,465,170)
                              11,400
 
Live Cattle Futures
 
Jun-24
                           3
                         (204,240)
                                   780
 
LME Aluminum Forward
 
Dec-23
                           8
                         (431,152)
                                5,348
 
LME Aluminum Forward
 
Dec-23
                         17
                         (916,517)
                              32,083
 
LME Aluminum Forward
 
Dec-23
                           1
                           (53,938)
                                1,875
 
LME Aluminum Forward
 
Dec-23
                           1
                           (53,963)
                                1,862
 
LME Aluminum Forward
 
Dec-23
                           8
                         (432,502)
                                7,261
 
LME Aluminum Forward
 
Dec-23
                           3
                         (162,226)
                                5,474
 
LME Aluminum Forward
 
Dec-23
                    3,103
                  (168,028,225)
                         3,306,450
 
LME Aluminum Forward
 
Dec-23
                       142
                      (7,689,336)
                            247,877
 
LME Aluminum Forward
 
Dec-23
                           9
                         (488,504)
                              12,433
 
LME Aluminum Forward
 
Dec-23
                           2
                         (108,630)
                                   646
 
LME Aluminum Forward
 
Jan-24
                           9
                         (489,492)
                                6,146
 
LME Aluminum Forward
 
Jan-24
                           1
                           (54,404)
                                1,383
 
LME Aluminum Forward
 
Jan-24
                           8
                         (435,210)
                              10,990
 
LME Aluminum Forward
 
Jan-24
                           8
                         (435,276)
                                5,174
 
LME Aluminum Forward
 
Jan-24
                           1
                           (54,447)
                                   216
 
LME Aluminum Forward
 
Jan-24
                       155
                      (8,440,719)
                            111,467
 
LME Aluminum Forward
 
Jan-24
                           8
                         (435,750)
                                1,200
 
LME Aluminum Forward
 
Jan-24
                           1
                           (54,519)
                                 (144)
 
LME Aluminum Forward
 
Jan-24
                           6
                         (327,188)
                                 (735)
 
LME Aluminum Forward
 
Jan-24
                           1
                           (54,546)
                                   805
 
LME Aluminum Forward
 
Jan-24
                           8
                         (436,650)
                                5,450
 
LME Aluminum Forward
 
Feb-24
                           1
                           (54,594)
                                   690
 
LME Aluminum Forward
 
Feb-24
                           1
                           (54,646)
                                   680
 
LME Aluminum Forward
 
Feb-24
                           7
                         (382,587)
                                4,750
 
LME Aluminum Forward
 
Feb-24
                       128
                      (7,015,200)
                            141,129
 
LME Aluminum Forward
 
Feb-24
                           1
                           (54,750)
                                   725
 
LME Aluminum Forward
 
Feb-24
                         15
                         (822,375)
                                3,738
 
LME Aluminum Forward
 
Mar-24
                    1,137
                    (62,570,531)
                         1,161,488
 
LME Copper Forward
 
Dec-23
                           5
                      (1,048,438)
                            (37,594)
 
LME Copper Forward
 
Dec-23
                           1
                         (209,725)
                              (7,519)
 
LME Copper Forward
 
Dec-23
                           1
                         (209,850)
                              (3,000)
 
LME Copper Forward
 
Dec-23
                           2
                         (419,988)
                              (1,825)
 
LME Copper Forward
 
Dec-23
                           1
                         (210,078)
                                 (753)
 
LME Copper Forward
 
Dec-23
                           5
                      (1,050,601)
                                2,124
 
LME Copper Forward
 
Dec-23
                       862
                  (181,224,724)
                       (5,806,486)
 
LME Copper Forward
 
Dec-23
                         72
                    (15,137,100)
                          (386,884)
 
LME Copper Forward
 
Dec-23
                           9
                      (1,893,447)
                            (50,122)
 
LME Copper Forward
 
Dec-23
                           1
                         (210,417)
                              (9,953)
 
LME Copper Forward
 
Dec-23
                           1
                         (210,451)
                              (9,964)
 
LME Copper Forward
 
Jan-24
                           1
                         (210,588)
                              (9,350)
 
LME Copper Forward
 
Jan-24
                           1
                         (210,627)
                            (10,239)
 
LME Copper Forward
 
Jan-24
                           6
                      (1,265,295)
                            (60,751)
 
LME Copper Forward
 
Jan-24
                           4
                         (843,655)
                            (40,480)
 
LME Copper Forward
 
Jan-24
                         85
                    (17,924,481)
                          (930,561)
 
LME Copper Forward
 
Jan-24
                           1
                         (210,876)
                            (10,139)
 
LME Copper Forward
 
Jan-24
                           1
                         (211,000)
                            (10,375)
 
LME Copper Forward
 
Feb-24
                           1
                         (211,306)
                              (2,513)
 
LME Copper Forward
 
Feb-24
                           4
                         (845,392)
                            (10,117)
 
LME Copper Forward
 
Feb-24
                           6
                      (1,268,588)
                            (50,150)
 
LME Copper Forward
 
Feb-24
                           6
                      (1,269,000)
                            (15,075)
 
LME Copper Forward
 
Feb-24
                         34
                      (7,189,725)
                          (225,232)
 
LME Copper Forward
 
Feb-24
                           1
                         (211,450)
                              (1,150)
 
LME Copper Forward
 
Feb-24
                           6
                      (1,269,450)
                              (5,288)
 
LME Copper Forward
 
Mar-24
                       279
                    (59,139,281)
                       (1,675,328)
 
LME Lead Forward
 
Dec-23
                           1
                           (52,305)
                                2,858
 
LME Lead Forward
 
Dec-23
                           1
                           (52,364)
                                3,361
 
LME Lead Forward
 
Dec-23
                           5
                         (262,408)
                                 (654)
 
LME Lead Forward
 
Dec-23
                       749
                    (39,411,444)
                            169,461
 
LME Lead Forward
 
Dec-23
                         42
                      (2,209,988)
                            (30,721)
 
LME Lead Forward
 
Dec-23
                           1
                           (52,678)
                                1,235
 
LME Lead Forward
 
Jan-24
                           5
                         (263,743)
                                7,133
 
LME Lead Forward
 
Jan-24
                           1
                           (52,761)
                                   227
 
LME Lead Forward
 
Jan-24
                           3
                         (158,317)
                                1,521
 
LME Lead Forward
 
Jan-24
                           1
                           (52,850)
                                 (388)
 
LME Lead Forward
 
Jan-24
                         32
                      (1,691,800)
                            (13,537)
 
LME Lead Forward
 
Jan-24
                           1
                           (52,877)
                                 (527)
 
LME Lead Forward
 
Feb-24
                           1
                           (53,066)
                                   997
 
LME Lead Forward
 
Feb-24
                           6
                         (318,608)
                                5,805
 
LME Lead Forward
 
Feb-24
                           6
                         (318,338)
                                8,790
 
LME Lead Forward
 
Mar-24
                         53
                      (2,817,281)
                              35,056
 
LME Nickel Forward
 
Dec-23
                           3
                         (304,173)
                              36,653
 
LME Nickel Forward
 
Dec-23
                           2
                         (197,256)
                              30,051
 
LME Nickel Forward
 
Dec-23
                           1
                           (98,646)
                              15,023
 
LME Nickel Forward
 
Dec-23
                           1
                           (98,790)
                              14,993
 
LME Nickel Forward
 
Dec-23
                           1
                           (98,826)
                              22,104
 
LME Nickel Forward
 
Dec-23
                         62
                      (6,132,792)
                         1,313,510
 
LME Nickel Forward
 
Dec-23
                         27
                      (2,670,732)
                            563,699
 
LME Nickel Forward
 
Dec-23
                           4
                         (396,048)
                              70,032
 
LME Nickel Forward
 
Dec-23
                           1
                           (99,024)
                              14,286
 
LME Nickel Forward
 
Jan-24
                           2
                         (198,186)
                              26,664
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,129)
                              10,808
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,200)
                              13,900
 
LME Nickel Forward
 
Jan-24
                           2
                         (198,471)
                              22,320
 
LME Nickel Forward
 
Jan-24
                           3
                         (297,759)
                              36,567
 
LME Nickel Forward
 
Jan-24
                         28
                      (2,781,576)
                            328,392
 
LME Nickel Forward
 
Jan-24
                           3
                         (298,131)
                              32,304
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,447)
                              10,953
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,464)
                                9,616
 
LME Nickel Forward
 
Jan-24
                           2
                         (198,964)
                              21,494
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,499)
                                9,491
 
LME Nickel Forward
 
Jan-24
                           1
                           (99,569)
                              10,752
 
LME Nickel Forward
 
Feb-24
                           1
                           (99,604)
                                   678
 
LME Nickel Forward
 
Feb-24
                           1
                           (99,727)
                                   683
 
LME Nickel Forward
 
Feb-24
                           1
                           (99,783)
                                   702
 
LME Nickel Forward
 
Feb-24
                           2
                         (199,572)
                                1,404
 
LME Nickel Forward
 
Feb-24
                         24
                      (2,395,440)
                              94,320
 
LME Nickel Forward
 
Feb-24
                           4
                         (399,380)
                            (12,116)
 
LME Nickel Forward
 
Feb-24
                           2
                         (199,715)
                                   499
 
LME Nickel Forward
 
Mar-24
                         79
                      (7,920,066)
                            579,385
 
LME Tin Forward
 
Dec-23
                           1
                         (115,294)
                                7,536
 
LME Tin Forward
 
Jan-24
                           1
                         (115,429)
                                5,271
 
LME Tin Forward
 
Jan-24
                           1
                         (115,444)
                                6,831
 
LME Tin Forward
 
Feb-24
                           1
                         (116,230)
                                3,165
 
LME Tin Forward Spot
 
Mar-24
                           1
                         (116,480)
                                1,366
 
LME Zinc Forward
 
Dec-23
                           3
                         (185,250)
                              11,306
 
LME Zinc Forward
 
Dec-23
                           1
                           (61,823)
                                3,765
 
LME Zinc Forward
 
Dec-23
                           1
                           (61,831)
                                1,082
 
LME Zinc Forward
 
Dec-23
                           1
                           (61,861)
                                   914
 
LME Zinc Forward
 
Dec-23
                       668
                    (41,328,325)
                          (663,861)
 
LME Zinc Forward
 
Dec-23
                         64
                      (3,959,600)
                            142,182
 
LME Zinc Forward
 
Dec-23
                           4
                         (246,700)
                                 (450)
 
LME Zinc Forward
 
Dec-23
                           4
                         (246,650)
                              15,400
 
LME Zinc Forward
 
Dec-23
                           4
                         (246,675)
                              18,225
 
LME Zinc Forward
 
Jan-24
                           1
                           (61,700)
                                1,775
 
LME Zinc Forward
 
Jan-24
                           1
                           (61,693)
                                   608
 
LME Zinc Forward
 
Jan-24
                           2
                         (123,370)
                                2,493
 
LME Zinc Forward
 
Jan-24
                           5
                         (308,500)
                              (2,613)
 
LME Zinc Forward
 
Jan-24
                         73
                      (4,508,206)
                              44,348
 
LME Zinc Forward
 
Jan-24
                         55
                      (3,396,594)
                            (48,020)
 
LME Zinc Forward
 
Jan-24
                           4
                         (247,025)
                              (5,700)
 
LME Zinc Forward
 
Jan-24
                           4
                         (246,825)
                              (4,809)
 
LME Zinc Forward
 
Jan-24
                           1
                           (61,713)
                                 (997)
 
LME Zinc Forward
 
Jan-24
                           1
                           (61,756)
                                1,574
 
LME Zinc Forward
 
Feb-24
                         10
                         (617,625)
                              11,550
 
LME Zinc Forward
 
Feb-24
                           5
                         (308,853)
                                2,110
 
LME Zinc Forward
 
Feb-24
                           1
                           (61,819)
                                2,106
 
LME Zinc Forward
 
Feb-24
                           5
                         (309,094)
                                9,544
 
LME Zinc Forward
 
Feb-24
                         41
                      (2,535,594)
                              76,505
 
LME Zinc Forward
 
Feb-24
                           4
                         (247,375)
                                7,000
 
LME Zinc Forward
 
Mar-24
                       192
                    (11,893,200)
                            481,182
 
Long Gilt Futures
 
Mar-24
                       561
                    (68,472,157)
                          (301,510)
 
MAIZE Futures
 
Mar-24
                           6
                           (65,065)
                                2,449
 
Milk Futures
 
Dec-23
                           8
                         (257,600)
                                9,100
 
Mill Wheat Euro
 
Dec-23
                         12
                         (144,334)
                                8,477
 
Mill Wheat Euro
 
Mar-24
                       419
                      (5,159,397)
                            163,397
 
Mill Wheat Euro
 
May-24
                         15
                         (188,378)
                                5,048
 
Mill Wheat Euro
 
Sep-24
                           7
                           (88,100)
                                1,538
 
Mini H-Shares Index Futures
 
Dec-23
                           1
                             (7,502)
                                   131
 
Mini HSI Index Futures
 
Dec-23
                         28
                         (611,094)
                              19,013
 
MSCI China A 50 Connect Index
 
Dec-23
                           1
                           (45,940)
                                1,900
 
MSCI EAFE Index Futures
 
Dec-23
                         15
                      (1,594,950)
                            (92,430)
 
MSCI Emerging Markets Index Futures
 
Dec-23
                       182
                      (8,982,610)
                          (237,445)
 
MSCI Singapore Exchange ETS
 
Dec-23
                       678
                    (13,725,230)
                              71,070
 
MXN Currency Futures
 
Dec-23
                         51
                      (1,462,935)
                              (3,487)
 
Nasdaq 100 E-Mini
 
Dec-23
                           6
                      (1,918,260)
                              (4,909)
 
Natural Gas Futures
 
Jan-24
                       882
                    (24,713,640)
                         2,316,540
 
Natural Gas Futures
 
Feb-24
                       519
                    (14,339,970)
                         1,467,860
 
Natural Gas Futures
 
Mar-24
                       157
                      (4,140,090)
                            734,590
 
Natural Gas Futures
 
Apr-24
                       116
                      (3,010,200)
                            512,150
 
Natural Gas Futures
 
Oct-24
                         22
                         (675,840)
                              23,890
 
Nikkei 225 (Singapore Exchange)
 
Dec-23
                           5
                         (564,464)
                                 (287)
 
NY Harbor Ultra-Low Sulfur Diesel Futures
 
Jan-24
                           4
                         (462,706)
                              (2,037)
 
NZD Currency Futures
 
Dec-23
                       142
                      (8,747,910)
                          (331,095)
 
OAT Futures
 
Mar-24
                           3
                           (55,500)
                                2,213
 
OMX Stockholm 30 Index Futures
 
Dec-23
                    1,058
                    (22,511,924)
                          (282,714)
 
Palladium Futures
 
Mar-24
                         54
                      (5,510,160)
                            288,400
 
Phelix DE Baseload Futures
 
Apr-24
                           2
                         (425,769)
                                8,463
 
Phelix DE Baseload Futures
 
Jan-25
                           2
                      (1,961,584)
                            115,662
 
Platinum Futures
 
Jan-24
                       170
                      (7,955,150)
                          (383,005)
 
Rapeseed Euro
 
Feb-24
                         69
                      (1,692,705)
                            (47,268)
 
Rapeseed Euro
 
May-24
                           8
                         (196,909)
                              (3,919)
 
Red Wheat Futures (Minneapolis Grain Exchange)
 
Mar-24
                         79
                      (2,881,525)
                              38,625
 
Red Wheat Futures (Minneapolis Grain Exchange)
 
May-24
                         11
                         (406,588)
                                   650
 
Rubber TSR20 Futures
 
Jan-24
                           1
                             (7,275)
                                     55
 
Russell 2000 E-Mini
 
Dec-23
                       201
                    (18,212,610)
                          (745,990)
 
S&P 500 E-Mini Futures
 
Dec-23
                       132
                    (30,206,550)
                       (1,172,342)
 
S&P Mid 400 E-Mini
 
Dec-23
                         22
                      (5,648,720)
                          (213,180)
 
S&P/TSX 60 IX Futures
 
Dec-23
                           2
                         (359,601)
                                 (516)
 
SA Rand Currency Futures
 
Dec-23
                           2
                           (52,950)
                                   600
 
Short BTP Future
 
Dec-23
                       232
                    (26,599,064)
                          (215,555)
 
Silver Futures
 
Mar-24
                         16
                      (2,052,800)
                          (118,930)
 
Soybean Futures
 
Mar-24
                         18
                      (1,226,025)
                            (38,925)
 
Soybean Oil Futures
 
Jan-24
                       253
                      (7,933,068)
                          (276,478)
 
Soybean Oil Futures
 
Mar-24
                       781
                    (24,390,630)
                              82,452
 
Soybean Oil Futures
 
May-24
                         23
                         (717,324)
                                5,970
 
Soybean Oil Futures
 
Dec-24
                         15
                         (453,330)
                              (4,074)
 
SPI 200 Futures
 
Dec-23
                       625
                    (73,240,090)
                       (1,824,498)
 
STOXX Europe 600 ESG-X Index
 
Dec-23
                           7
                         (131,055)
                              (3,494)
 
Sugar No. 11 (World)
 
Mar-24
                       570
                    (16,623,936)
                            695,397
 
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
 
Mar-24
                    1,798
                  (197,414,781)
                          (376,437)
 
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
 
Mar-24
                    1,550
                  (316,914,453)
                          (794,180)
 
U.S. Treasury 3-Year Notes (Chicago Board of Trade)
 
Mar-24
                           4
                         (834,750)
                              (4,672)
 
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
 
Mar-24
                    1,766
                  (188,699,859)
                          (468,743)
 
U.S. Treasury Long Bond (Chicago Board of Trade)
 
Mar-24
                       931
                  (108,403,313)
                          (224,086)
 
U.S. Treasury Ultra 10-Year Notes
 
Mar-24
                       205
                    (23,270,703)
                            (99,462)
 
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
 
Mar-24
                       144
                    (17,712,000)
                          (101,735)
 
UK Natural Gas Futures
 
Jan-24
                         45
                      (1,886,687)
                            237,360
 
UK Natural Gas Futures
 
Feb-24
                           5
                         (199,494)
                              15,578
 
Wheat (Chicago Board of Trade)
 
Mar-24
                    1,100
                    (32,890,000)
                            (17,561)
 
Wheat (Chicago Board of Trade)
 
May-24
                       111
                      (3,400,763)
                              11,125
 
Wheat (Chicago Board of Trade)
 
Jul-24
                           3
                           (93,713)
                                 (313)
 
Wheat (Chicago Board of Trade)
 
Dec-24
                         43
                      (1,407,713)
                            (40,013)
 
WTI Crude Futures
 
Jan-24
                       191
                    (14,508,360)
                            (93,609)
 
WTI Crude Futures
 
Feb-24
                           1
                           (76,050)
                              (1,680)
 
WTI Crude Futures
 
Mar-24
                         26
                      (1,975,740)
                              37,290
 
WTI Crude Futures
 
Dec-24
                           3
                         (219,960)
                                5,750
 
WTI Crude Futures IPE
 
Jan-24
                           2
                         (151,920)
                              (4,010)
 
WTI Crude Futures IPE
 
Feb-24
                           1
                           (76,050)
                              (1,170)
 
WTI Crude Futures IPE
 
Mar-24
                           1
                           (75,990)
                                 (300)
 
       
 $                  (22,966,234)
 
Total Futures Contracts
     
 $                    (1,969,083)
 
Forward foreign currency contracts outstanding as of November 30, 2023 were as follows:
         

CURRENCY PURCHASED
 
CURRENCY SOLD
EXPIRATION DATE
COUNTERPARTY
UNREALIZED APPRECIATION/ (DEPRECIATION)
AUD
20,232,554
 
NZD
21,736,719
Dec 01 2023
 BOA
 $               (16,448)
AUD
141,576,287
 
USD
94,079,301
Dec 01 2023
 BOA
(529,839)
AUD
61,520,563
 
USD
40,708,990
Dec 04 2023
 BOA
(54,320)
AUD
53,800,000
 
CAD
48,067,932
Dec 06 2023
 BOA
128,885
AUD
22,000,000
 
JPY
2,118,448,200
Dec 06 2023
 BOA
237,300
AUD
209,727,000
 
USD
134,192,102
Dec 20 2023
 BOA
4,479,486
AUD
31,165,000
 
USD
20,199,799
Dec 22 2023
 BOA
408,000
AUD
3,300,000
 
USD
2,191,679
Jan 17 2024
 BOA
(7,743)
BRL
38,187,230
 
USD
7,672,787
Dec 04 2023
 BOA
81,021
BRL
90,109,149
 
USD
18,300,000
Dec 20 2023
 BOA
(38,315)
BRL
17,693,280
 
USD
3,600,000
Dec 22 2023
 BOA
(15,050)
BRL
489,472
 
USD
100,000
Jan 03 2024
 BOA
(958)
CAD
600,000
 
JPY
64,983,833
Dec 01 2023
 BOA
3,796
CAD
3,806,799
 
USD
2,800,000
Dec 01 2023
 BOA
5,440
CAD
400,000
 
JPY
43,366,800
Dec 04 2023
 BOA
2,108
CAD
46,722,727
 
AUD
52,800,000
Dec 06 2023
 BOA
(459,428)
CAD
20,800,000
 
JPY
2,276,381,290
Dec 06 2023
 BOA
(38,523)
CAD
54,220,082
 
USD
39,701,414
Dec 20 2023
 BOA
269,520
CAD
34,542,000
 
USD
25,324,571
Dec 22 2023
 BOA
140,741
CHF
28,688,635
 
USD
32,669,006
Dec 01 2023
 BOA
95,180
CHF
1,519,577
 
GBP
1,375,000
Dec 04 2023
 BOA
81
CHF
46,770,283
 
USD
53,555,524
Dec 04 2023
 BOA
(124,429)
CHF
23,130,077
 
EUR
24,000,000
Dec 06 2023
 BOA
299,531
CHF
4,005,809
 
GBP
3,625,000
Dec 06 2023
 BOA
711
CHF
11,500,000
 
JPY
1,933,113,063
Dec 06 2023
 BOA
89,858
CHF
11,500,000
 
USD
12,784,583
Dec 06 2023
 BOA
355,909
CHF
19,181,682
 
EUR
19,950,000
Dec 20 2023
 BOA
220,298
CHF
33,093,898
 
USD
37,290,375
Dec 20 2023
 BOA
590,548
CHF
31,775,000
 
USD
35,841,492
Dec 22 2023
 BOA
538,964
CLP
554,214,864
 
USD
600,000
Dec 04 2023
 BOA
35,292
CLP
619,213,169
 
USD
700,000
Dec 11 2023
 BOA
9,443
CLP
525,173,736
 
USD
600,000
Dec 15 2023
 BOA
1,517
CLP
659,300,137
 
USD
750,000
Dec 20 2023
 BOA
4,853
CLP
262,616,000
 
USD
300,000
Dec 22 2023
 BOA
632
CLP
438,881,280
 
USD
500,000
Dec 26 2023
 BOA
2,259
CNH
3,500,000
 
USD
491,173
Dec 01 2023
 BOA
(1,360)
CNH
2,500,000
 
USD
350,459
Dec 04 2023
 BOA
(509)
CNH
12,290,798
 
USD
1,707,271
Dec 06 2023
 BOA
13,473
CNH
90,602,493
 
USD
12,612,372
Dec 20 2023
 BOA
86,499
COP
1,235,894,241
 
USD
300,000
Dec 04 2023
 BOA
7,528
COP
1,196,217,713
 
USD
300,000
Dec 18 2023
 BOA
(3,330)
COP
24,092,958,652
 
USD
5,950,000
Dec 20 2023
 BOA
22,208
COP
811,854,000
 
USD
200,000
Jan 04 2024
 BOA
540
CZK
52,428,568
 
EUR
2,150,000
Dec 20 2023
 BOA
3,750
EUR
300,000
 
GBP
258,640
Dec 01 2023
 BOA
39
EUR
171,081
 
NOK
2,000,000
Dec 01 2023
 BOA
1,378
EUR
439,661
 
SEK
5,000,000
Dec 01 2023
 BOA
2,556
EUR
153,728,184
 
USD
168,868,327
Dec 01 2023
 BOA
(1,529,392)
EUR
800,000
 
GBP
691,378
Dec 04 2023
 BOA
(1,915)
EUR
263,006
 
SEK
3,000,000
Dec 04 2023
 BOA
674
EUR
168,789,615
 
USD
184,786,830
Dec 04 2023
 BOA
(1,031,098)
EUR
11,000,000
 
AUD
18,491,201
Dec 06 2023
 BOA
(243,999)
EUR
14,125,000
 
CAD
20,909,264
Dec 06 2023
 BOA
(31,432)
EUR
17,800,000
 
GBP
15,521,607
Dec 06 2023
 BOA
(216,089)
EUR
11,800,000
 
JPY
1,912,063,268
Dec 06 2023
 BOA
(61,233)
EUR
11,125,000
 
NOK
132,263,860
Dec 06 2023
 BOA
(114,075)
EUR
21,000,000
 
SEK
243,981,562
Dec 06 2023
 BOA
(369,217)
EUR
13,125,000
 
USD
14,315,275
Dec 06 2023
 BOA
(25,383)
EUR
7,950,000
 
CHF
7,655,734
Dec 20 2023
 BOA
(101,415)
EUR
3,050,000
 
CZK
74,942,631
Dec 20 2023
 BOA
(30,703)
EUR
5,350,000
 
GBP
4,679,914
Dec 20 2023
 BOA
(80,316)
EUR
2,050,000
 
HUF
782,143,983
Dec 20 2023
 BOA
(1,250)
EUR
56,450,000
 
JPY
9,076,313,564
Dec 20 2023
 BOA
79,550
EUR
47,660,544
 
NOK
562,782,532
Dec 20 2023