Alphasimplex Managed Futures Strategy Fund Investments As of August 31, 2021 (Unaudited)

AlphaSimplex Managed Futures Strategy Fund Investments as of August 31, 2021 (Unaudited)

Interest Maturity Principal Amount Security Description Rate Date Market Value ($) % of Fund

Certificates of Deposit 50,000,000 Bank of Montreal (IL) 0.200 6/23/2022 50,006,539 3.26% 30,000,000 Bank of Nova Scotia (NY) 0.220 4/14/2022 30,013,147 1.95% 12,000,000 Canadian Imperial Bank of Commerce (NY) 0.140 2/24/2022 11,999,528 0.78% 20,000,000 Canadian Imperial Bank of Commerce (NY) 0.210 1/26/2022 20,006,648 1.30% 25,000,000 Cooperatieve Rabobank U.A. 0.120 2/15/2022 24,999,300 1.63% 15,000,000 Cooperatieve Rabobank U.A. 0.120 2/15/2022 14,999,579 0.98% 22,000,000 DNB Nor Bank ASA (NY) 0.135 10/27/2021 22,001,914 1.43% 55,000,000 DZ Bank (NY) 0.060 9/3/2021 54,999,908 3.58% 13,000,000 Mitsubishi UFJ Trust & Banking Corp. (NY) 0.080 9/7/2021 13,000,000 0.85% 60,000,000 Mizuho Bank Ltd. (NY) 0.160 11/16/2021 60,008,078 3.91% 13,000,000 Nordea Bank ABP (NY) 0.090 10/14/2021 13,000,159 0.85% 25,000,000 Nordea Bank ABP (NY) 0.150 11/8/2021 25,003,208 1.63% 30,000,000 Royal Bank of Canada (NY) 0.100 2/8/2022 29,998,522 1.95% 25,000,000 Royal Bank of Canada (NY) 0.180 6/8/2022 25,001,166 1.63% 40,000,000 Skandinaviska Enskilda Banken (NY) 0.110 11/17/2021 40,001,558 2.61% 18,500,000 Skandinaviska Enskilda Banken (NY) 0.130 12/2/2021 18,501,384 1.21% 15,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.120 1/18/2022 14,999,008 0.98% 40,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.190 9/8/2021 40,000,977 2.61% 18,000,000 Sumitomo Mitsui Trust (NY) 0.070 9/2/2021 17,999,990 1.17% 20,000,000 Sumitomo Mitsui Trust (NY) 0.110 12/3/2021 20,000,313 1.30% 20,000,000 Toronto-Dominion Bank (NY) 0.130 1/20/2022 20,001,024 1.30% 15,000,000 Toronto-Dominion Bank (NY) 0.140 2/17/2022 ______15,000,495 ______0.98% Total 581,542,445 37.89%

Commercial Paper 17,800,000 Credit Agricole Corporate & Investment Bank (NY) 0.030 (†) 9/1/2021 ______17,799,970 ______1.16%

Treasuries 44,000,000 U.S. Treasury Bills 0.010-0.015 (†) 9/9/2021 43,999,640 2.87% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/12/2021 19,997,700 1.30% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/18/2021 19,997,942 1.30% 30,000,000 U.S. Treasury Bills 0.025 (†) 9/23/2021 29,999,290 1.95% 20,000,000 U.S. Treasury Bills 0.025 (†) 9/28/2021 19,999,475 1.30% 54,000,000 U.S. Treasury Bills 0.025-0.045 (†) 10/7/2021 53,997,705 3.52% 20,000,000 U.S. Treasury Bills 0.025 (†) 10/28/2021 19,998,258 1.30% 52,000,000 U.S. Treasury Bills 0.025-0.045 (†) 11/4/2021 51,995,609 3.39% 25,000,000 U.S. Treasury Bills 0.030 (†) 9/16/2021 24,999,687 1.63% 40,000,000 U.S. Treasury Bills 0.030 (†) 9/30/2021 39,998,792 2.61% 10,000,000 U.S. Treasury Bills 0.030 (†) 12/2/2021 9,998,914 0.65% 10,000,000 U.S. Treasury Bills 0.035 (†) 12/9/2021 9,998,694 0.65% 25,000,000 U.S. Treasury Bills 0.040 (†) 11/9/2021 24,996,885 1.63% 10,000,000 U.S. Treasury Bills 0.040 (†) 1/13/2022 9,998,325 0.65% 25,000,000 U.S. Treasury Bills 0.043 (†) 12/23/2021 24,996,273 1.63% 31,600,000 U.S. Treasury Bills 0.045 (†) 9/7/2021 31,599,855 2.06% 20,000,000 U.S. Treasury Bills 0.045 (†) 11/30/2021 19,998,100 1.30% 25,000,000 U.S. Treasury Bills 0.045 (†) 12/16/2021 24,996,687 1.63% 40,000,000 U.S. Treasury Bills 0.045 (†) 12/30/2021 39,993,333 2.60% 44,000,000 U.S. Treasury Bills 0.045 (†) 1/6/2022 43,993,015 2.87% 40,000,000 U.S. Treasury Bills 0.045 (†) 2/3/2022 39,992,250 2.60% 15,000,000 U.S. Treasury Bills 0.050 (†) 11/23/2021 14,998,790 0.98% 40,000,000 U.S. Treasury Bills 0.055 (†) 1/27/2022 39,993,011 2.61% 10,000,000 U.S. Treasury Bills 0.060 (†) 2/24/2022 ______9,997,311 ______0.65% Total 670,535,541 43.68%

Total Investments 1,269,877,956 82.73% Other assets less liabilities 265,035,801 17.27% Net Assets 1,534,913,757 100.00%

Forward Foreign Currency Contracts

Currency Units In Unrealized Delivery Bought/ of Exchange Notional Appreciation/ Counterparty Date Sold (B/S) Currency For Value (Depreciation) UBS AG 09/15/2021 CHF B 26,500,000 $ 28,880,669 $ 28,947,487 $ 66,818 UBS AG 09/15/2021 CHF B 122,125,000 135,102,983 133,404,220 (1,698,763) UBS AG 09/15/2021 CHF S 7,500,000 8,199,596 8,192,685 6,911 UBS AG 09/15/2021 CHF S 207,000,000 224,847,972 226,118,104 (1,270,132) UBS AG 09/15/2021 CNH B 56,000,000 8,616,673 8,667,620 50,947 UBS AG 09/15/2021 CNH B 681,000,000 105,835,729 105,404,450 (431,279) UBS AG 09/15/2021 CNH S 80,000,000 12,222,933 12,382,314 (159,381) UBS AG 09/15/2021 MXN B 255,500,000 12,624,584 12,699,502 74,918 UBS AG 09/15/2021 MXN B 1,132,000,000 56,669,116 56,265,501 (403,615) AlphaSimplex Managed Futures Strategy Fund Investments as of August 31, 2021 (Unaudited)

UBS AG 09/15/2021 MXN S 528,000,000 25,831,823 26,243,980 (412,157) UBS AG 09/15/2021 NOK B 452,000,000 51,214,545 51,989,902 775,357 UBS AG 09/15/2021 NOK B 376,000,000 45,331,329 43,248,237 (2,083,092) UBS AG 09/15/2021 NOK S 330,000,000 38,172,846 37,957,229 215,617 UBS AG 09/15/2021 NOK S 968,000,000 108,751,060 111,341,206 (2,590,146) UBS AG 09/15/2021 NZD B 9,800,000 6,867,743 6,905,571 37,828 UBS AG 09/15/2021 NZD B 121,700,000 87,499,474 85,755,920 (1,743,554) UBS AG 09/15/2021 NZD S 16,900,000 12,029,178 11,908,587 120,591 UBS AG 09/15/2021 NZD S 162,800,000 113,008,755 114,717,041 (1,708,286) UBS AG 09/15/2021 PLN B 193,000,000 52,615,681 50,391,024 (2,224,657) UBS AG 09/15/2021 PLN S 156,000,000 40,971,438 40,730,569 240,869 UBS AG 09/15/2021 PLN S 459,500,000 118,303,657 119,972,412 (1,668,755) UBS AG 09/15/2021 SEK B 108,000,000 12,477,953 12,516,477 38,524 UBS AG 09/15/2021 SEK B 474,000,000 56,916,203 54,933,430 (1,982,773) UBS AG 09/15/2021 SEK S 558,000,000 65,075,228 64,668,468 406,760 UBS AG 09/15/2021 SEK S 808,000,000 92,731,984 93,641,796 (909,812) UBS AG 09/15/2021 SGD B 168,875,000 125,257,431 125,604,575 347,144 UBS AG 09/15/2021 SGD B 203,250,000 153,534,078 151,171,754 (2,362,324) UBS AG 09/15/2021 SGD S 70,875,000 52,827,237 52,714,873 112,364 UBS AG 09/15/2021 SGD S 546,375,000 402,783,746 406,378,682 (3,594,936) UBS AG 09/15/2021 TRY B 33,000,000 3,863,421 3,939,960 76,539 UBS AG 09/15/2021 TRY S 15,000,000 1,657,044 1,790,891 (133,847) UBS AG 09/15/2021 ZAR B 131,500,000 8,983,275 9,036,699 53,424 UBS AG 09/15/2021 ZAR B 846,500,000 61,602,764 58,171,605 (3,431,159) UBS AG 09/15/2021 ZAR S 170,500,000 11,819,433 11,716,785 102,648 UBS AG 09/15/2021 ZAR S 1,028,500,000 68,548,238 70,678,672 ______(2,130,434)

Total ______$ (28,211,843)

Financial and Currency Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: 2 Year U.S. Treasury Note 12/31/2021 4,479 $ 986,397,011 $ 986,849,676 $ 452,665 3 Year Australia Government Bond 9/15/2021 6,733 575,666,071 576,985,258 1,319,187 3-month SOFR Index 3/15/2022 374 93,452,200 93,453,250 1,050 5 Year U.S. Treasury Note 12/31/2021 1,262 155,990,538 156,133,062 142,524 10 Year Australia Government Bond 9/15/2021 4,138 439,692,862 441,386,051 1,693,189 10 Year Canada Government Bond 12/20/2021 1,332 154,867,990 154,278,254 (589,736) 10 Year U.S. Treasury Note 12/21/2021 1,415 189,112,538 188,836,172 (276,366) 30 Year U.S. Treasury Bond 12/21/2021 593 97,044,570 96,640,469 (404,101) AEX-Index® 9/17/2021 292 52,889,119 54,295,818 1,406,699 ASX SPI 200™ 9/16/2021 584 78,522,430 79,859,045 1,336,615 Brazilian Real 9/30/2021 112 2,131,360 2,158,800 27,440 CAC 40® 9/17/2021 534 42,921,754 42,106,175 (815,579) DAX 9/17/2021 70 32,544,346 32,647,750 103,404 E-mini Dow 9/17/2021 443 76,519,595 78,278,100 1,758,505 E-mini NASDAQ 100 9/17/2021 468 137,566,712 145,852,200 8,285,488 E-mini Russell 2000 9/17/2021 266 30,807,373 30,206,960 (600,413) E-mini S&P 500® 9/17/2021 645 138,995,863 145,786,125 6,790,262 E-mini S&P MidCap 400® 9/17/2021 165 45,221,110 45,408,000 186,890 Euribor 12/13/2021 1,408 417,864,386 417,868,533 4,147 Euro Schatz 9/8/2021 5,973 792,249,099 791,868,455 (380,644) EURO STOXX 50® 9/17/2021 768 37,571,905 37,918,526 346,621 Euro-BTP 9/8/2021 1,078 196,314,854 195,115,023 (1,199,831) Euro-Buxl® 30 Year Bond 9/8/2021 565 142,173,809 141,777,195 (396,614) Euro-OAT 9/8/2021 1,731 331,125,905 329,432,425 (1,693,480) Eurodollar 12/13/2021 4,105 1,024,259,300 1,024,454,062 194,762 FTSE 100 Index 9/17/2021 402 39,132,366 39,221,628 89,262 FTSE MIB 9/17/2021 228 34,738,824 35,010,904 272,080 FTSE Taiwan Index 9/29/2021 410 24,212,550 24,899,300 686,750 FTSE/JSE Top 40 Index 9/16/2021 156 6,654,908 6,490,115 (164,793) German Euro BOBL 9/8/2021 3,109 495,951,407 495,468,551 (482,856) German Euro Bund 9/8/2021 1,358 281,946,172 281,326,904 (619,268) IBEX 35 9/17/2021 175 18,309,083 18,239,348 (69,735) Indian Rupee 9/28/2021 688 18,426,704 18,804,416 377,712 MSCI EAFE Index 9/17/2021 610 71,818,650 71,720,750 (97,900) MSCI Emerging Markets Index 9/17/2021 159 10,876,025 10,328,640 (547,385) MSCI Singapore 9/29/2021 972 25,954,703 25,459,467 (495,236) Nikkei 225™ 9/9/2021 57 15,091,724 14,600,373 (491,351) OMXS30® 9/17/2021 1,351 37,130,693 36,849,582 (281,111) S&P/TSX 60 Index 9/16/2021 560 106,299,760 109,181,469 2,881,709 Short Sterling 12/15/2021 2,383 409,040,172 409,042,045 1,873 Short-Term Euro-BTP 9/8/2021 1,996 267,063,320 267,329,319 265,999 STOXX® Europe 600 9/17/2021 798 21,590,807 22,128,479 537,672 AlphaSimplex Managed Futures Strategy Fund Investments as of August 31, 2021 (Unaudited)

TOPIX 9/9/2021 130 23,140,390 23,213,653 73,263 UK Long Gilt 12/29/2021 904 160,539,395 159,384,947 (1,154,448) Ultra 10 Year U.S. Treasury Note 12/21/2021 848 125,914,750 125,517,250 (397,500) Ultra Long U.S. Treasury Bond 12/21/2021 288 57,035,812 56,817,000 ______(218,812) Total Long Position Contracts $______17,858,609

Short Position Contracts: 3-month SONIA Index 3/15/2022 (543) $ (186,476,046) $ (186,458,603) $ 17,443 Australian Dollar 9/13/2021 (2,305) (166,327,900) (168,749,050) (2,421,150) British Pound 9/13/2021 (208) (17,730,881) (17,885,400) (154,519) Canadian Dollar 9/14/2021 (1,219) (95,072,165) (96,691,080) (1,618,915) Euro 9/13/2021 (2,487) (365,617,325) (367,314,356) (1,697,031) FTSE China A50 Index 9/29/2021 (384) (5,767,096) (5,665,536) 101,560 Hang Seng China Enterprises Index 9/29/2021 (491) (28,377,405) (28,837,023) (459,618) Hang Seng Index® 9/29/2021 (60) (9,775,485) (9,934,104) (158,619) Japanese Yen 9/13/2021 (2,504) (283,266,969) (284,579,600) ______(1,312,631) Total Short Position Contracts $______(7,703,480) Total Futures Contracts $______10,155,129

Commodity Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: Aluminum LME 9/15/2021 696 $ 41,705,972 $ 47,206,200 $ 5,500,228 Aluminum LME 12/15/2021 583 36,668,017 39,596,631 2,928,614 Brent Crude Oil 9/30/2021 798 55,862,570 57,160,740 1,298,170 Cocoa 12/15/2021 52 1,363,710 1,320,800 (42,910) Coffee 12/20/2021 302 20,402,137 22,185,675 1,783,538 Copper 12/29/2021 437 47,958,363 47,796,875 (161,488) Copper LME 9/15/2021 192 45,881,499 45,721,200 (160,299) Copper LME 12/15/2021 114 27,630,750 27,135,562 (495,188) Corn 12/14/2021 627 18,297,575 16,748,737 (1,548,838) Cotton 12/8/2021 702 31,138,455 32,478,030 1,339,575 EUA Emissions 12/20/2021 325 21,391,573 23,316,279 1,924,706 Gasoline 9/30/2021 431 38,139,251 38,772,674 633,423 Iron Ore 10/29/2021 267 4,103,000 4,010,340 (92,660) Lean Hog 12/14/2021 271 8,878,150 8,883,380 5,230 Live Cattle 12/31/2021 130 6,944,270 6,940,700 (3,570) Low Sulfur Gasoil 10/12/2021 679 38,858,275 40,858,825 2,000,550 Natural Gas 9/28/2021 1,275 52,482,050 55,806,750 3,324,700 New York Harbor ULSD 9/30/2021 433 37,544,703 38,739,817 1,195,114 Nickel LME 9/15/2021 204 21,571,186 23,950,620 2,379,434 Nickel LME 12/15/2021 222 25,839,216 26,035,272 196,056 Soybean 11/12/2021 387 27,666,413 25,009,875 (2,656,538) Soybean Oil 12/14/2021 589 21,448,746 20,762,250 (686,496) Sugar 9/30/2021 2,270 48,032,936 50,441,216 2,408,280 Wheat 12/14/2021 603 22,507,350 21,775,837 (731,513) WTI Crude Oil 9/21/2021 611 42,009,660 41,853,500 (156,160) Zinc LME 9/15/2021 217 15,539,701 16,269,575 729,874 Zinc LME 12/15/2021 252 18,818,472 18,936,225 ______117,753 Total Long Position Contracts $______21,029,585

Short Position Contracts: Aluminum LME 9/15/2021 (696) $ (43,599,620) $ (47,206,200) $ (3,606,580) Copper LME 9/15/2021 (192) (46,936,353) (45,721,200) 1,215,153 Gold 12/29/2021 (300) (52,709,200) (54,543,000) (1,833,800) Nickel LME 9/15/2021 (204) (23,806,800) (23,950,620) (143,820) Nickel LME 12/15/2021 (16) (1,876,320) (1,876,416) (96) Palladium 12/29/2021 (4) (956,050) (988,400) (32,350) Platinum 10/27/2021 (67) (3,249,030) (3,397,235) (148,205) Silver 12/29/2021 (345) (40,755,790) (41,410,350) (654,560) Soybean Meal 12/14/2021 (56) (1,947,740) (1,935,360) 12,380 Zinc LME 9/15/2021 (217) (16,166,500) (16,269,575) ______(103,075) Total Short Position Contracts $______(5,294,953) Total Futures Contracts $______15,734,632

(†) Interest rate represents discount rate at time of purchase; not a coupon rate.

Key to abbreviations CHF Swiss Franc CNH Chinese Yuan Renminbi Offshore MXN Mexican Peso AlphaSimplex Managed Futures Strategy Fund Investments as of August 31, 2021 (Unaudited)

NOK Norwegian Krone NZD New Zealand Dollar PLN Polish Zloty SEK Swedish Krona SGD Singapore Dollar TRY Turkish Lira ZAR South African Rand

The Fund invests in commodity-related derivatives through its investment in the AlphaSimplex 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.

This report is provided for informational purposes only and should not be considered a recommendation to buy or sell any particular security.

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

Before investing, consider the fund's investment objectives, risks, charges, and expenses. You may obtain a prospectus or a summary prospectus on our website containing this and other information. Read it carefully.

Natixis Distribution, LLC is a limited purpose broker-dealer and the distributor of various registered investment companies for which advisory services are provided by affiliates of Natixis Investment Managers.

This report is not presented in accordance with Regulation S-X of the U.S. Securities and Exchange Commission.

3392610.1.1

AlphaSimplex Managed Futures Strategy Fund Investments as of July 31, 2021 (Unaudited)

Interest Maturity Principal Amount Security Description Rate Date Market Value ($) % of Fund

Certificates of Deposit 50,000,000 Bank of Montreal (IL) 0.200 6/23/2022 50,004,985 3.27% 30,000,000 Bank of Nova Scotia (NY) 0.220 4/14/2022 30,012,003 1.96% 30,000,000 Canadian Imperial Bank of Commerce (NY) 0.150 8/24/2021 30,001,457 1.96% 20,000,000 Canadian Imperial Bank of Commerce (NY) 0.210 1/26/2022 20,007,987 1.31% 15,000,000 Cooperatieve Rabobank U.A. 0.120 2/15/2022 14,999,084 0.98% 22,000,000 DNB Nor Bank ASA (NY) 0.135 10/27/2021 22,002,445 1.44% 55,000,000 DZ Bank (NY) 0.060 9/3/2021 54,998,930 3.60% 13,000,000 Mitsubishi UFJ Trust & Banking Corp. (NY) 0.080 9/7/2021 12,999,859 0.85% 60,000,000 Mizuho Bank Ltd. (NY) 0.160 11/16/2021 60,008,529 3.92% 13,000,000 Nordea Bank ABP (NY) 0.090 10/14/2021 12,999,835 0.85% 25,000,000 Nordea Bank ABP (NY) 0.150 11/8/2021 25,002,521 1.63% 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 0.150 8/16/2021 25,000,590 1.63% 30,000,000 Royal Bank of Canada (NY) 0.100 2/8/2022 29,994,693 1.96% 20,000,000 Royal Bank of Canada (NY) 0.140 8/11/2021 20,000,400 1.31% 40,000,000 Skandinaviska Enskilda Banken (NY) 0.110 11/17/2021 40,000,366 2.62% 18,500,000 Skandinaviska Enskilda Banken (NY) 0.130 12/2/2021 18,501,154 1.21% 15,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.180 8/17/2021 15,000,674 0.98% 40,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.190 9/8/2021 40,004,308 2.62% 18,000,000 Sumitomo Mitsui Trust (NY) 0.070 9/2/2021 17,999,643 1.18% 25,000,000 Sumitomo Mitsui Trust (NY) 0.150 8/20/2021 25,000,875 1.63% 15,000,000 Svenska Handelsbanken (NY) 0.150 8/17/2021 15,000,525 0.98% 20,000,000 Toronto-Dominion Bank (NY) 0.130 1/20/2022 ______20,000,193 ______1.31% Total 599,541,056 39.20%

Treasuries 55,000,000 U.S. Treasury Bills 0.010-0.040 (†) 8/5/2021 54,999,862 3.60% 44,000,000 U.S. Treasury Bills 0.010-0.015 (†) 9/9/2021 43,997,910 2.88% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/12/2021 19,997,152 1.31% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/18/2021 19,996,985 1.31% 40,000,000 U.S. Treasury Bills 0.020 (†) 8/3/2021 39,999,975 2.62% 10,000,000 U.S. Treasury Bills 0.025 (†) 8/17/2021 9,999,854 0.65% 30,000,000 U.S. Treasury Bills 0.025 (†) 9/23/2021 29,998,050 1.96% 54,000,000 U.S. Treasury Bills 0.025-0.045 (†) 10/7/2021 53,995,050 3.53% 20,000,000 U.S. Treasury Bills 0.025 (†) 10/28/2021 19,997,342 1.31% 30,000,000 U.S. Treasury Bills 0.025 (†) 11/4/2021 29,996,083 1.96% 25,000,000 U.S. Treasury Bills 0.030 (†) 9/16/2021 24,998,672 1.63% 40,000,000 U.S. Treasury Bills 0.030 (†) 9/30/2021 39,996,886 2.62% 10,000,000 U.S. Treasury Bills 0.030 (†) 12/2/2021 9,998,306 0.65% 10,000,000 U.S. Treasury Bills 0.035 (†) 12/9/2021 9,998,119 0.65% 10,000,000 U.S. Treasury Bills 0.040 (†) 8/24/2021 9,999,725 0.65% 20,000,000 U.S. Treasury Bills 0.040 (†) 8/26/2021 19,999,500 1.31% 10,000,000 U.S. Treasury Bills 0.040 (†) 8/31/2021 9,999,617 0.65% 25,000,000 U.S. Treasury Bills 0.040 (†) 11/9/2021 24,996,562 1.63% 10,000,000 U.S. Treasury Bills 0.040 (†) 1/13/2022 9,997,608 0.65% 25,000,000 U.S. Treasury Bills 0.043 (†) 12/23/2021 24,994,787 1.63% 31,600,000 U.S. Treasury Bills 0.045 (†) 9/7/2021 31,598,657 2.07% 25,000,000 U.S. Treasury Bills 0.045 (†) 12/16/2021 24,995,042 1.63% 40,000,000 U.S. Treasury Bills 0.045 (†) 12/30/2021 39,990,833 2.62% 44,000,000 U.S. Treasury Bills 0.045 (†) 1/6/2022 43,989,446 2.88% 25,000,000 U.S. Treasury Bills 0.050 (†) 8/12/2021 24,999,757 1.64% 40,000,000 U.S. Treasury Bills 0.055 (†) 1/27/2022 39,988,628 2.61% 10,000,000 U.S. Treasury Bills 0.060 (†) 2/24/2022 ______9,997,139 ______0.65% Total 723,517,547 47.30%

Repurchase Agreements 55,741,888 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation 0.000 8/2/2021 ______55,741,888 ______3.64%

Total Investments 1,378,800,491 90.14% Other assets less liabilities 150,855,631 9.86% Net Assets 1,529,656,122 100.00%

Forward Foreign Currency Contracts

Currency Units In Unrealized Delivery Bought/ of Exchange Notional Appreciation/ Counterparty Date Sold (B/S) Currency For Value (Depreciation) UBS AG 09/15/2021 CHF B 58,875,000 $ 64,578,046 $ 65,065,499 $ 487,453 UBS AG 09/15/2021 CHF B 39,875,000 44,619,000 44,067,717 (551,283) UBS AG 09/15/2021 CHF S 162,125,000 176,056,234 179,171,875 (3,115,641) UBS AG 09/15/2021 CNH B 681,000,000 105,835,729 104,971,466 (864,263) UBS AG 09/15/2021 CNH S 80,000,000 12,222,933 12,331,450 (108,517) AlphaSimplex Managed Futures Strategy Fund Investments as of July 31, 2021 (Unaudited)

UBS AG 09/15/2021 MXN B 95,000,000 4,705,282 4,744,929 39,647 UBS AG 09/15/2021 MXN B 932,000,000 46,661,329 46,550,247 (111,082) UBS AG 09/15/2021 MXN S 184,500,000 8,897,188 9,215,151 (317,963) UBS AG 09/15/2021 NOK B 248,000,000 27,952,709 28,074,140 121,431 UBS AG 09/15/2021 NOK B 388,000,000 46,630,435 43,922,445 (2,707,990) UBS AG 09/15/2021 NOK S 724,000,000 83,026,868 81,958,377 1,068,491 UBS AG 09/15/2021 NOK S 378,000,000 42,165,120 42,790,423 (625,303) UBS AG 09/15/2021 NZD B 105,700,000 76,222,173 73,628,473 (2,593,700) UBS AG 09/15/2021 NZD S 60,300,000 42,433,988 42,003,755 430,233 UBS AG 09/15/2021 NZD S 78,300,000 54,347,910 54,542,189 (194,279) UBS AG 09/15/2021 PLN B 193,000,000 52,615,681 50,104,535 (2,511,146) UBS AG 09/15/2021 PLN S 271,000,000 70,921,380 70,354,035 567,345 UBS AG 09/15/2021 PLN S 208,000,000 53,436,002 53,998,669 (562,667) UBS AG 09/15/2021 SEK B 416,000,000 50,163,003 48,341,300 (1,821,703) UBS AG 09/15/2021 SEK S 426,000,000 49,753,038 49,503,351 249,687 UBS AG 09/15/2021 SEK S 598,000,000 68,999,945 69,490,619 (490,674) UBS AG 09/15/2021 SGD B 218,750,000 164,988,351 161,435,886 (3,552,465) UBS AG 09/15/2021 SGD S 307,875,000 228,505,800 227,209,478 1,296,322 UBS AG 09/15/2021 SGD S 213,750,000 156,857,928 157,745,923 (887,995) UBS AG 09/15/2021 TRY S 15,000,000 1,657,044 1,741,096 (84,052) UBS AG 09/15/2021 ZAR B 791,500,000 57,767,364 53,730,824 (4,036,540) UBS AG 09/15/2021 ZAR S 242,500,000 16,765,829 16,462,065 303,764 UBS AG 09/15/2021 ZAR S 323,000,000 21,662,343 21,926,792 ______(264,449)

Total ______$ (20,837,339)

Financial and Currency Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: 2 Year U.S. Treasury Note 9/30/2021 2,048 $ 451,707,967 $ 451,904,000 $ 196,033 3 Year Australia Government Bond 9/15/2021 6,311 541,233,285 542,218,325 985,040 3-month SOFR Index 3/15/2022 537 134,179,788 134,189,588 9,800 5 Year U.S. Treasury Note 9/30/2021 1,427 177,386,140 177,583,461 197,321 10 Year Australia Government Bond 9/15/2021 2,889 304,630,645 308,256,514 3,625,869 10 Year Canada Government Bond 9/20/2021 1,052 124,830,025 124,804,841 (25,184) 10 Year U.S. Treasury Note 9/21/2021 1,405 188,429,203 188,906,640 477,437 30 Year U.S. Treasury Bond 9/21/2021 592 96,995,969 97,513,500 517,531 AEX-Index® 8/20/2021 211 36,876,076 37,606,870 730,794 ASX SPI 200™ 9/16/2021 395 52,817,452 52,901,423 83,971 Brazilian Real 8/31/2021 255 4,900,490 4,892,175 (8,315) British Pound 9/13/2021 176 15,348,938 15,282,300 (66,638) CAC 40® 8/20/2021 410 31,824,386 32,146,115 321,729 Canadian Dollar 9/14/2021 44 3,537,570 3,525,720 (11,850) DAX 9/17/2021 52 24,271,969 23,978,491 (293,478) E-mini Dow 9/17/2021 343 59,027,235 59,736,880 709,645 E-mini NASDAQ 100 9/17/2021 323 92,805,003 96,614,145 3,809,142 E-mini Russell 2000 9/17/2021 248 28,866,497 27,547,840 (1,318,657) E-mini S&P 500® 9/17/2021 568 121,740,700 124,661,800 2,921,100 E-mini S&P MidCap 400® 9/17/2021 122 33,498,620 32,924,140 (574,480) Euribor 12/13/2021 621 185,147,237 185,159,722 12,485 Euro Schatz 9/8/2021 3,399 452,846,880 453,022,320 175,440 EURO STOXX 50® 9/17/2021 584 28,647,142 28,320,425 (326,717) Euro-BTP 9/8/2021 781 141,434,413 142,934,378 1,499,965 Euro-Buxl® 30 Year Bond 9/8/2021 365 91,348,753 93,108,246 1,759,493 Euro-OAT 9/8/2021 1,442 275,729,715 277,249,467 1,519,752 Eurodollar 12/13/2021 3,792 946,162,150 946,341,000 178,850 FTSE 100 Index 9/17/2021 285 28,054,214 27,597,807 (456,407) FTSE MIB 9/17/2021 155 23,469,258 23,311,789 (157,469) FTSE Taiwan Index 8/30/2021 366 22,020,390 21,875,820 (144,570) FTSE/JSE Top 40 Index 9/16/2021 99 4,162,579 4,212,783 50,204 German Euro BOBL 9/8/2021 2,038 325,985,518 327,243,144 1,257,626 German Euro Bund 9/8/2021 1,013 210,040,273 212,178,998 2,138,725 Hang Seng Index® 8/30/2021 31 5,300,078 5,165,304 (134,774) IBEX 35 8/20/2021 175 18,205,964 18,008,127 (197,837) Indian Rupee 8/27/2021 486 13,009,410 13,030,632 21,222 MSCI EAFE Index 9/17/2021 485 57,156,190 56,245,450 (910,740) MSCI Emerging Markets Index 9/17/2021 302 20,678,860 19,293,270 (1,385,590) MSCI Singapore 8/30/2021 637 16,716,181 16,964,570 248,389 Nikkei 225™ 9/9/2021 57 15,134,369 14,210,382 (923,987) OMXS30® 8/20/2021 1,105 30,105,750 30,425,239 319,489 S&P/TSX 60 Index 9/16/2021 500 95,790,423 97,178,583 1,388,160 Short-Term Euro-BTP 9/8/2021 1,399 187,927,029 188,144,658 217,629 STOXX® Europe 600 9/17/2021 598 16,100,134 16,336,957 236,823 TOPIX 9/9/2021 130 23,205,779 22,574,176 (631,603) AlphaSimplex Managed Futures Strategy Fund Investments as of July 31, 2021 (Unaudited)

UK Long Gilt 9/28/2021 513 92,461,163 92,549,414 88,251 Ultra 10 Year U.S. Treasury Note 9/21/2021 802 120,057,078 120,500,500 443,422 Ultra Long U.S. Treasury Bond 9/21/2021 281 55,949,937 56,068,281 ______118,344 Total Long Position Contracts $______18,691,385

Short Position Contracts: 3-month SONIA Index 3/15/2022 (386) $ (134,026,110) $ (134,027,778) $ (1,668) Australian Dollar 9/13/2021 (1,010) (74,677,340) (74,093,600) 583,740 Euro 9/13/2021 (1,570) (231,874,437) (232,870,250) (995,813) Hang Seng China Enterprises Index 8/30/2021 (145) (8,703,474) (8,597,022) 106,452 Japanese Yen 9/13/2021 (2,348) (265,327,300) (267,481,225) (2,153,925) Short Sterling 12/15/2021 (861) (149,383,204) (149,426,807) ______(43,603) Total Short Position Contracts $______(2,504,817) Total Futures Contracts $______16,186,568

Commodity Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: Aluminum LME 9/15/2021 696 $ 41,705,973 $ 45,153,000 $ 3,447,027 Aluminum LME 12/15/2021 555 34,863,712 35,859,937 996,225 Brent Crude Oil 8/31/2021 617 46,213,920 46,527,970 314,050 Coffee 9/20/2021 245 14,657,306 16,496,156 1,838,850 Copper 9/28/2021 538 60,714,588 60,289,625 (424,963) Copper LME 9/15/2021 192 45,881,499 46,645,200 763,701 Copper LME 12/15/2021 114 27,630,750 27,755,438 124,688 Corn 12/14/2021 498 14,697,725 13,576,725 (1,121,000) Cotton 12/8/2021 379 16,210,515 16,939,405 728,890 EUA Emissions 12/20/2021 179 11,772,790 11,324,020 (448,770) Gasoline 9/30/2021 263 23,715,716 24,254,807 539,091 Iron Ore 9/30/2021 584 11,709,245 10,325,120 (1,384,125) Lean Hog 10/14/2021 273 9,565,900 9,612,330 46,430 Low Sulfur Gasoil 9/10/2021 610 35,920,050 37,469,250 1,549,200 Natural Gas 8/27/2021 672 24,163,990 26,302,080 2,138,090 New York Harbor ULSD 8/31/2021 320 28,294,237 29,508,864 1,214,627 Nickel LME 9/15/2021 204 21,571,186 23,930,424 2,359,238 Nickel LME 12/15/2021 204 23,818,428 23,928,588 110,160 Palladium 9/28/2021 10 2,901,540 2,656,200 (245,340) Platinum 10/27/2021 41 2,237,835 2,149,220 (88,615) Soybean 11/12/2021 355 25,489,438 23,949,188 (1,540,250) Soybean Meal 12/14/2021 41 1,512,580 1,450,990 (61,590) Soybean Oil 12/14/2021 618 22,489,038 23,375,232 886,194 Sugar 9/30/2021 1,066 20,515,376 21,383,107 867,731 Wheat 12/14/2021 173 6,139,887 6,167,450 27,563 WTI Crude Oil 8/20/2021 393 28,491,810 29,062,350 570,540 Zinc LME 9/15/2021 217 15,539,701 16,464,875 925,174 Zinc LME 12/15/2021 232 17,321,385 17,574,000 ______252,615 Total Long Position Contracts $______14,385,431

Short Position Contracts: Aluminum LME 9/15/2021 (696) $ (43,599,620) $ (45,153,000) $ (1,553,380) Cocoa 9/15/2021 (311) (7,074,330) (7,358,260) (283,930) Copper LME 9/15/2021 (192) (46,936,353) (46,645,200) 291,153 Gold 12/29/2021 (189) (34,304,960) (34,345,080) (40,120) Live Cattle 10/29/2021 (1) (50,090) (50,880) (790) Nickel LME 9/15/2021 (204) (23,806,800) (23,930,424) (123,624) Silver 9/28/2021 (29) (3,597,125) (3,704,315) (107,190) Zinc LME 9/15/2021 (217) (16,166,500) (16,464,875) ______(298,375) Total Short Position Contracts $______(2,116,256) Total Futures Contracts $______12,269,175

(†) Interest rate represents discount rate at time of purchase; not a coupon rate.

Key to abbreviations CHF Swiss Franc CNH Chinese Yuan Renminbi Offshore MXN Mexican Peso NOK Norwegian Krone NZD New Zealand Dollar PLN Polish Zloty SEK Swedish Krona SGD Singapore Dollar AlphaSimplex Managed Futures Strategy Fund Investments as of July 31, 2021 (Unaudited)

TRY Turkish Lira ZAR South African Rand

This report is provided for informational purposes only and should not be considered a recommendation to buy or sell any particular security.

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

This report is not presented in accordance with Regulation S-X of the U.S. Securities and Exchange Commission.

3392610.1.1

AlphaSimplex Managed Futures Strategy Fund Investments as of June 30, 2021 (Unaudited)

Interest Maturity Principal Amount Security Description Rate Date Market Value ($) % of Fund

Certificates of Deposit 50,000,000 Bank of Montreal (IL) 0.200 6/23/2022 49,991,561 3.30% 30,000,000 Bank of Nova Scotia (NY) 0.220 4/14/2022 30,010,046 1.98% 30,000,000 Canadian Imperial Bank of Commerce (NY) 0.150 8/24/2021 30,002,747 1.98% 20,000,000 Canadian Imperial Bank of Commerce (NY) 0.210 1/26/2022 20,007,804 1.32% 30,000,000 Cooperatieve Rabobank U.A. 0.230 7/20/2021 30,002,331 1.98% 22,000,000 DNB Nor Bank ASA (NY) 0.135 10/27/2021 22,001,888 1.46% 55,000,000 DZ Bank (NY) 0.060 9/3/2021 54,997,319 3.64% 13,000,000 Mitsubishi UFJ Trust & Banking Corp. (NY) 0.080 9/7/2021 12,999,751 0.86% 60,000,000 Mizuho Bank Ltd. (NY) 0.160 11/16/2021 60,008,562 3.97% 25,000,000 Nordea Bank ABP (NY) 0.150 11/8/2021 25,005,728 1.65% 25,000,000 Oversea-Chinese Banking Corp. Ltd. (NY) 0.150 8/16/2021 25,001,435 1.65% 30,000,000 Royal Bank of Canada (NY) 0.100 2/8/2022 29,991,829 1.98% 20,000,000 Royal Bank of Canada (NY) 0.140 8/11/2021 20,001,632 1.32% 18,500,000 Skandinaviska Enskilda Banken (NY) 0.130 12/2/2021 18,500,556 1.22% 50,000,000 Skandinaviska Enskilda Banken (NY) 0.180 7/15/2021 50,002,290 3.31% 15,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.180 8/17/2021 15,001,999 0.99% 40,000,000 Sumitomo Mitsui Banking Corp. (NY) 0.190 9/8/2021 40,008,317 2.65% 18,000,000 Sumitomo Mitsui Trust (NY) 0.070 9/2/2021 17,999,648 1.19% 25,000,000 Sumitomo Mitsui Trust (NY) 0.150 8/20/2021 25,002,478 1.65% 15,000,000 Svenska Handelsbanken (NY) 0.150 8/17/2021 15,001,399 0.99% 30,000,000 Toronto-Dominion Bank (NY) 0.150 7/22/2021 ______30,000,989 ______1.98% Total 621,540,309 41.07%

Treasuries 55,000,000 U.S. Treasury Bills 0.010-0.040 (†) 8/5/2021 54,997,496 3.64% 44,000,000 U.S. Treasury Bills 0.010-0.015 (†) 9/9/2021 43,995,936 2.91% 44,000,000 U.S. Treasury Bills 0.014-0.085 (†) 7/15/2021 43,999,230 2.91% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/12/2021 19,996,427 1.32% 20,000,000 U.S. Treasury Bills 0.015 (†) 11/18/2021 19,996,228 1.32% 40,000,000 U.S. Treasury Bills 0.020 (†) 8/3/2021 39,998,284 2.64% 32,000,000 U.S. Treasury Bills 0.025 (†) 7/27/2021 31,998,931 2.12% 30,000,000 U.S. Treasury Bills 0.025 (†) 9/23/2021 29,996,500 1.98% 30,000,000 U.S. Treasury Bills 0.025 (†) 10/7/2021 29,995,917 1.98% 20,000,000 U.S. Treasury Bills 0.025 (†) 10/28/2021 19,996,364 1.32% 30,000,000 U.S. Treasury Bills 0.025 (†) 11/4/2021 29,994,400 1.98% 25,000,000 U.S. Treasury Bills 0.030 (†) 9/16/2021 24,997,594 1.65% 40,000,000 U.S. Treasury Bills 0.030 (†) 9/30/2021 39,994,691 2.64% 10,000,000 U.S. Treasury Bills 0.030 (†) 12/2/2021 9,997,790 0.66% 10,000,000 U.S. Treasury Bills 0.035 (†) 12/9/2021 9,997,689 0.66% 20,000,000 U.S. Treasury Bills 0.040 (†) 8/26/2021 19,998,615 1.32% 25,000,000 U.S. Treasury Bills 0.043 (†) 12/23/2021 24,993,397 1.65% 25,000,000 U.S. Treasury Bills 0.045 (†) 7/13/2021 24,999,646 1.65% 25,000,000 U.S. Treasury Bills 0.045 (†) 12/16/2021 24,993,875 1.65% 25,000,000 U.S. Treasury Bills 0.050 (†) 8/12/2021 24,998,323 1.65% 40,000,000 U.S. Treasury Bills 0.055 (†) 1/27/2022 39,987,400 2.64% 10,000,000 U.S. Treasury Bills 0.060 (†) 2/24/2022 9,996,364 0.66% 50,000,000 U.S. Treasury Bills 0.070 (†) 7/1/2021 50,000,000 3.31% 50,000,000 U.S. Treasury Bills 0.080 (†) 7/8/2021 ______49,999,623 ______3.31% Total 719,920,720 47.57%

Repurchase Agreements 48,243,012 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation 0.000 7/1/2021 ______48,243,012 ______3.19%

Total Investments 1,389,704,041 91.83% Other assets less liabilities 123,630,170 8.17% Net Assets 1,513,334,211 100.00%

Forward Foreign Currency Contracts

Currency Units In Unrealized Delivery Bought/ of Exchange Notional Appreciation/ Counterparty Date Sold (B/S) Currency For Value (Depreciation) UBS AG 09/15/2021 CHF B 52,125,000 $ 57,971,953 $ 56,446,605 $ (1,525,348) UBS AG 09/15/2021 CHF S 87,750,000 95,471,469 95,025,220 446,249 UBS AG 09/15/2021 CNH B 681,000,000 105,835,729 104,764,034 (1,071,695) UBS AG 09/15/2021 MXN B 932,000,000 46,661,329 46,321,319 (340,010) UBS AG 09/15/2021 MXN S 184,500,000 8,897,188 9,169,832 (272,644) UBS AG 09/15/2021 NOK B 330,000,000 40,008,540 38,338,744 (1,669,796) UBS AG 09/15/2021 NOK S 62,000,000 7,272,503 7,203,037 69,466 UBS AG 09/15/2021 NOK S 156,000,000 17,987,752 18,123,770 (136,018) UBS AG 09/15/2021 NZD B 105,700,000 76,222,173 73,867,760 (2,354,413)

AlphaSimplex Managed Futures Strategy Fund Investments as of June 30, 2021 (Unaudited)

UBS AG 09/15/2021 NZD S 30,800,000 21,781,598 21,524,380 257,218 UBS AG 09/15/2021 NZD S 20,100,000 13,960,785 14,046,755 (85,970) UBS AG 09/15/2021 PLN B 193,000,000 52,615,681 50,627,777 (1,987,904) UBS AG 09/15/2021 PLN S 51,000,000 13,469,355 13,378,324 91,031 UBS AG 09/15/2021 PLN S 64,000,000 16,726,065 16,788,485 (62,420) UBS AG 09/15/2021 SEK B 372,000,000 45,032,490 43,497,554 (1,534,936) UBS AG 09/15/2021 SEK S 84,000,000 9,864,465 9,822,028 42,437 UBS AG 09/15/2021 SEK S 168,000,000 19,560,348 19,644,057 (83,709) UBS AG 09/15/2021 SGD B 203,250,000 153,534,078 151,147,374 (2,386,704) UBS AG 09/15/2021 SGD S 89,875,000 66,957,606 66,835,770 121,836 UBS AG 09/15/2021 SGD S 45,750,000 33,992,093 34,022,103 (30,010) UBS AG 09/15/2021 TRY S 15,000,000 1,657,044 1,658,206 (1,162) UBS AG 09/15/2021 ZAR B 791,500,000 57,767,364 54,907,499 (2,859,865) UBS AG 09/15/2021 ZAR S 83,500,000 5,826,054 5,792,516 33,538 UBS AG 09/15/2021 ZAR S 72,000,000 4,946,396 4,994,744 ______(48,348)

Total ______$ (15,389,177)

Financial and Currency Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: 3 Year Australia Government Bond 9/15/2021 823 $ 72,170,396 $ 71,896,832 $ (273,564) 3-month SOFR Index 3/15/2022 139 34,730,888 34,732,625 1,737 AEX-Index® 7/16/2021 154 26,746,563 26,635,937 (110,626) ASX SPI 200™ 9/16/2021 416 56,810,166 56,335,654 (474,512) Australian Dollar 9/13/2021 99 7,535,878 7,423,020 (112,858) Brazilian Real 7/30/2021 375 7,547,390 7,503,750 (43,640) British Pound 9/13/2021 899 79,704,778 77,566,844 (2,137,934) CAC 40® 7/16/2021 539 42,376,487 41,574,712 (801,775) Canadian Dollar 9/14/2021 1,640 135,856,946 132,216,800 (3,640,146) DAX 9/17/2021 60 27,996,865 27,618,492 (378,373) E-mini Dow 9/17/2021 293 50,332,505 50,394,535 62,030 E-mini NASDAQ 100 9/17/2021 245 69,588,435 71,290,100 1,701,665 E-mini Russell 2000 9/17/2021 268 31,197,197 30,924,520 (272,677) E-mini S&P 500® 9/17/2021 363 76,472,312 77,838,090 1,365,778 E-mini S&P MidCap 400® 9/17/2021 122 33,498,620 32,847,280 (651,340) Euribor 9/13/2021 421 125,455,402 125,467,882 12,480 EURO STOXX 50® 9/17/2021 713 34,966,171 34,286,813 (679,358) Euro-BTP 9/8/2021 171 30,734,371 30,700,387 (33,984) Eurodollar 9/13/2021 2,739 683,930,238 683,791,350 (138,888) FTSE 100 Index 9/17/2021 401 39,303,806 38,721,063 (582,743) FTSE China A50 Index 7/29/2021 853 14,571,305 14,756,900 185,595 FTSE MIB 9/17/2021 186 28,150,467 27,573,102 (577,365) FTSE Taiwan Index 7/29/2021 254 15,354,490 15,496,540 142,050 FTSE/JSE Top 40 Index 9/16/2021 99 4,270,797 4,151,067 (119,730) Hang Seng China Enterprises Index 7/29/2021 114 7,798,089 7,760,481 (37,608) Hang Seng Index® 7/29/2021 89 16,571,339 16,408,884 (162,455) IBEX 35 7/16/2021 199 21,622,586 20,737,248 (885,338) Indian Rupee 7/28/2021 562 15,086,890 15,079,584 (7,306) MSCI EAFE Index 9/17/2021 546 64,344,735 62,901,930 (1,442,805) MSCI Emerging Markets Index 9/17/2021 430 29,453,260 29,343,200 (110,060) MSCI Singapore 7/29/2021 476 12,571,197 12,582,301 11,104 Nikkei 225™ 9/9/2021 70 18,353,481 18,134,029 (219,452) OMXS30® 7/16/2021 753 20,188,091 19,937,813 (250,278) S&P/TSX 60 Index 9/16/2021 559 107,762,828 108,471,974 709,146 Short-Term Euro-BTP 9/8/2021 260 34,874,334 34,886,666 12,332 STOXX® Europe 600 9/17/2021 523 14,114,025 13,990,523 (123,502) TOPIX 9/9/2021 130 22,915,433 22,736,397 ______(179,036) Total Long Position Contracts $______(10,243,436)

Short Position Contracts: 2 Year U.S. Treasury Note 9/30/2021 (4,412) $ (971,798,950) $ (972,053,217) $ (254,267) 3-month SONIA Index 3/15/2022 (208) (71,874,053) (71,874,053) — 5 Year U.S. Treasury Note 9/30/2021 (383) (47,234,883) (47,273,570) (38,687) 10 Year Canada Government Bond 9/21/2021 (349) (40,496,789) (40,970,055) (473,266) 10 Year Canada Government Bond 9/15/2021 (53) (5,595,902) (5,611,889) (15,987) 10 Year U.S. Treasury Note 9/21/2021 (254) (33,462,515) (33,655,000) (192,485) 30 Year U.S. Treasury Bond 9/21/2021 (85) (13,232,453) (13,663,750) (431,297) Euro 9/13/2021 (298) (44,422,994) (44,197,125) 225,869 Euro Schatz 9/8/2021 (6,700) (890,852,454) (890,899,131) (46,677) Euro-Buxl® 30 Year Bond 9/8/2021 (114) (26,997,254) (27,473,072) (475,818) Euro-OAT 9/8/2021 (402) (75,447,573) (75,809,843) (362,270) German Euro BOBL 9/8/2021 (384) (61,010,058) (61,082,258) (72,200)

AlphaSimplex Managed Futures Strategy Fund Investments as of June 30, 2021 (Unaudited)

German Euro Bund 9/8/2021 (238) (48,404,407) (48,712,014) (307,607) Japanese Yen 9/13/2021 (2,455) (278,653,955) (276,402,312) 2,251,643 Short Sterling 9/15/2021 (2,234) (385,912,775) (385,919,545) (6,770) UK Long Gilt 9/28/2021 (404) (70,978,699) (71,589,094) (610,395) Ultra 10 Year U.S. Treasury Note 9/21/2021 (192) (27,715,500) (28,263,000) (547,500) Ultra Long U.S. Treasury Bond 9/21/2021 (52) (9,531,437) (10,019,750) ______(488,313) Total Short Position Contracts $______(1,846,027) Total Futures Contracts $______(12,089,463)

Commodity Futures

Unrealized Expiration Notional Appreciation Description Date Contracts Amount Value (Depreciation)

Long Position Contracts: Aluminum LME 9/15/2021 537 $ 31,913,910 $ 33,891,413 $ 1,977,503 Brent Crude Oil 7/30/2021 734 52,399,400 54,771,080 2,371,680 Coffee 9/20/2021 199 11,852,063 11,921,344 69,281 Copper 9/28/2021 427 48,704,688 45,785,075 (2,919,613) Copper LME 9/15/2021 192 45,881,499 45,009,600 (871,899) Corn 12/14/2021 553 16,343,388 16,272,025 (71,363) Cotton 12/8/2021 189 7,752,430 8,023,050 270,620 EUA Emissions 12/20/2021 156 10,195,578 10,427,155 231,577 Gasoline 7/30/2021 209 19,192,660 19,678,520 485,860 Iron Ore 8/31/2021 141 2,844,355 2,864,133 19,778 Lean Hog 8/13/2021 158 6,776,030 6,525,400 (250,630) Live Cattle 8/31/2021 29 1,423,140 1,423,610 470 Low Sulfur Gasoil 8/12/2021 634 37,656,000 37,929,050 273,050 Natural Gas 8/27/2021 504 18,084,190 18,264,960 180,770 New York Harbor ULSD 7/30/2021 262 23,451,935 23,419,813 (32,122) Nickel LME 9/15/2021 112 11,280,763 12,239,808 959,045 Palladium 9/28/2021 10 2,901,540 2,779,200 (122,340) Platinum 10/27/2021 61 3,324,375 3,272,345 (52,030) Silver 9/28/2021 90 12,395,255 11,787,300 (607,955) Soybean 11/12/2021 342 24,666,850 23,922,900 (743,950) Soybean Oil 12/14/2021 478 17,117,526 17,999,568 882,042 Sugar 9/30/2021 752 14,276,225 15,067,674 791,449 Wheat 12/14/2021 220 7,699,025 7,535,000 (164,025) WTI Crude Oil 8/20/2021 476 34,490,510 34,638,520 148,010 Zinc LME 9/15/2021 169 11,972,129 12,577,825 ______605,696 Total Long Position Contracts $______3,430,904

Short Position Contracts: Aluminum LME 9/15/2021 (141) $ (8,690,120) $ (8,898,862) $ (208,742) Cocoa 9/15/2021 (45) (1,073,230) (1,075,050) (1,820) Copper LME 9/15/2021 (70) (17,468,243) (16,409,750) 1,058,493 Gold 8/27/2021 (24) (4,223,400) (4,251,840) (28,440) Soybean Meal 12/14/2021 (239) (8,402,600) (9,122,630) ______(720,030) Total Short Position Contracts $______99,461 Total Futures Contracts $______3,530,365

(†) Interest rate represents discount rate at time of purchase; not a coupon rate.

This report is provided for informational purposes only and should not be considered a recommendation to buy or sell any particular security.

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced.

AlphaSimplex Managed Futures Strategy Fund Investments as of June 30, 2021 (Unaudited)

This report is not presented in accordance with Regulation S-X of the U.S. Securities and Exchange Commission.

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