Form N-Q Trust for Advised Portfo For: Nov 30
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E-mailUNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act file number: 811-21422
Trust for Advised Portfolios
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, Wisconsin 53202
(Address of principal executive offices) (Zip code)
Christopher E. Kashmerick
Trust for Advised Portfolios
2020 East Financial Way, Suite 100
Glendora, CA 91741
(Name and address of agent for service)
(626) 914-7385
Registrant's telephone number, including area code
Date of fiscal year end: August 31
Date of reporting period: November 30,
2018
Item 1. Schedule of Investments.
|
Infinity Q Diversified Alpha Fund |
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Consolidated Schedule of Investments |
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November 30, 2018 (Unaudited) |
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COMMON STOCKS (2.6%) |
Shares |
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Value |
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Health Care Technology |
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||||||||||||
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NantHealth, Inc. (a) |
81,870 |
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$ |
72,938 |
|||||||||
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UroGen Pharma Ltd. (a) |
178,105 |
|
8,734,269 |
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Total Health Care Technology |
|
8,807,207 |
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TOTAL COMMON STOCKS (Cost $6,721,415) |
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$ |
8,807,207 |
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EXCHANGE TRADED NOTE (2.4%) |
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Barclays Bank plc iPath S&P 500 VIX Short-Term Futures (a) |
240,000 |
|
8,277,600 |
||||||||||
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TOTAL EXCHANGE TRADED NOTE (Cost $9,175,464) |
|
$ |
8,277,600 |
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OPTIONS PURCHASED (3.0%) (a) |
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Contracts |
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Notional ($) |
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Call Options Purchased (1.1%) |
|
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S&P 500 Index, Expires December 7, 2018 at $2,750.00 |
900 |
|
248,415,300 |
3,352,500 |
|||||||||
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S&P 500 Index, Expires December 7, 2018 at $2,830.00 |
900 |
|
248,415,300 |
553,500 |
|||||||||
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Total Call Options Purchased (Premiums paid $636,362) |
|
3,906,000 |
|||||||||||
|
|
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Put Options Purchased (0.7%) |
|
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S&P 500 Index, Expires December 21, 2018 at $2,510.00 |
1,000 |
|
276,017,000 |
420,000 |
|||||||||
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S&P 500 Index, Expires December 21, 2018 at $2,650.00 |
1,000 |
|
276,017,000 |
1,660,000 |
|||||||||
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SPX Volatility Index, Expires December 19, 2018 at $16.00 |
3,500 |
|
6,324,500 |
262,500 |
|||||||||
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Total Put Options Purchased (Premiums paid $2,941,189) |
|
2,342,500 |
|||||||||||
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Notional / |
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Counterparty |
Vega Notional |
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Over the Counter Options Purchased (0.7%) |
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Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020 (b) ^ |
- |
CITI |
25,000,000 USD |
462,075 |
|||||||||
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Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019 (b) ^ |
- |
MS |
80,000,000 USD |
837,520 |
|||||||||
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SX5E Index Put, Expires June 18, 2021 at at $2,800.00 (c) |
20,700 |
BAML |
57,860,000 USD |
610,370 |
|||||||||
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SX5E Index Put, Expires June 18, 2021 at at $2,800.00 (c) |
10,000 |
DB |
28,000,000 USD |
467,837 |
|||||||||
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Total Over the Counter Options Purchased (Premiums paid $1,855,000) |
|
2,377,802 |
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|
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Currency Options Purchased (0.5%) |
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CNH Call / USD Put, Expires January 31, 2019 at 6.85 CNH |
- |
DB |
65,000,000 USD |
332,800 |
|||||||||
|
EUR Call / SEK Put, Expires January 7, 2019 at 10.55 SEK |
- |
DB |
100,000,000 EUR |
186,005 |
|||||||||
|
TRY Call / EUR Put, Expires December 21, 2018 at 4.50 TRY |
- |
MS |
45,000,000 EUR |
- |
|||||||||
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USD Call / ILS Put, Expires May 1, 2019 at 3.60 ILS |
- |
MS |
20,000,000 USD |
537,180 |
|||||||||
|
USD Call / TWD Put, Expires June 18, 2019 at 30.50 TWD |
- |
DB |
60,000,000 USD |
811,020 |
|||||||||
|
Total Currency Options Purchased (Premiums paid $2,017,085) |
|
1,867,005 |
|||||||||||
|
|
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||||||||||||
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TOTAL OPTIONS PURCHASED (Premiums paid $7,449,636) |
|
$ |
10,493,307 |
||||||||||
|
|
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SHORT-TERM INVESTMENTS (57.0%) |
|
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Fidelity Investments Money Market Funds - Gvmt. Portfolio - Class I, 2.10% (d) |
182,889,785 |
|
182,889,785 |
||||||||||
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STIT Invesco Government & Agency Portfolio - Institutional Class, 2.11% (d) (e) |
14,709,337 |
|
14,709,337 |
||||||||||
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TOTAL SHORT-TERM INVESTMENTS (Cost $197,599,122) |
|
$ |
197,599,122 |
||||||||||
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TOTAL INVESTMENTS (65.0%) (Cost $220,945,637) |
|
$ |
225,177,236 |
||||||||||
|
|
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||||||||||||
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OTHER ASSETS IN EXCESS OF LIABILITIES (35.0%) |
|
121,429,589 |
|||||||||||
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TOTAL NET ASSETS (100.0%) |
|
$ |
346,606,825 |
||||||||||
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Counterparty abbreviations: BAML - Bank of America Merrill Lynch, CITI - Citigroup, DB - Deutsche Bank Securities, MS - Morgan Stanley |
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^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2. |
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(a) Non-income producing security. |
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(b) Terms and underlying basket components are listed on the following page. |
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(c) Forward volatility agreement on the Euro Stoxx 50 Index effective June 21, 2019. The premium paid will be determined based on the level of implied volatility for the June 18, 2021 option. |
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(d) Rate quoted is seven-day yield at period end. |
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(e) Position held in the Subsidiary. See Notes. |
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Infinity Q Diversified Alpha Fund
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Consolidated Schedule of Investments (continued)
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November 30, 2018 (Unaudited)
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The following tables provide information on the underlying components of each option on dispersion basket.
Underlying components are equally weighted. The payout will equal the notional amount multiplied by the average absolute difference between the return of each underlying security and the return of the basket in excess of the strike. If
the average difference is less than the strike, the option will expire worthless.
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Citi Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020
|
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Effective November 28, 2018 Notional: $25,000,000
|
||||
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Initial Price Level
|
||||
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Security
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at November 28,
2018
|
|||
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Bank of America Corp.
|
28.43
|
USD
|
||
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Wells Fargo & Co.
|
54.35
|
USD
|
||
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JPMorgan Chase & Co.
|
110.94
|
USD
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||
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Morgan Stanley
|
45.31
|
USD
|
||
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The Goldman Sachs Group, Inc.
|
198.35
|
USD
|
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Morgan Stanley Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019
|
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Effective January 10, 2018 Notional: $80,000,000
|
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Initial Price Level
|
||||
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Security
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at January 10,
2018
|
|||
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Alphabet, Inc. - Class A
|
1110.14
|
USD
|
||
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Analog Devices, Inc.
|
90.11
|
USD
|
||
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Apple, Inc.
|
174.29
|
USD
|
||
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Aptiv plc
|
90.46
|
USD
|
||
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Bayerische Motoren Werke AG
|
89.40
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EUR
|
||
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BP plc
|
530.50
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GBP
|
||
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Continental AG
|
242.40
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EUR
|
||
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Daimler AG-REG
|
74.15
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EUR
|
||
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Ford Motor Co.
|
13.03
|
USD
|
||
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General Motors Co.
|
43.00
|
USD
|
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Hitachi Ltd.
|
917.50
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JPY
|
||
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Honda Motor Corp
|
4102.00
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JPY
|
||
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Infineon Technologies AG
|
24.57
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EUR
|
||
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Michelin
|
128.85
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EUR
|
||
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Nidec Corp
|
16865.00
|
JPY
|
||
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Progressive Corp
|
55.68
|
USD
|
||
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Renault SA
|
88.09
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EUR
|
||
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Royal Dutch Shell plc - Class A
|
2557.00
|
GBP
|
||
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SKF AB - Class B
|
187.50
|
SEK
|
||
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Tesla, Inc.
|
334.80
|
USD
|
||
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The Allstate Corp
|
100.43
|
USD
|
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The Goodyear Tire & Rubber Co.
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33.47
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USD
|
||
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Toyota Motor Corp
|
7706.00
|
JPY
|
||
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Umicore S.A.
|
43.62
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EUR
|
||
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Valeo S.A.
|
65.68
|
EUR
|
||
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Volkswagen AG-PREF
|
178.20
|
EUR
|
||
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Consolidated Schedule of Investments (continued) |
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November 30, 2018 (Unaudited) |
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SECURITIES SOLD SHORT (-1.1%) |
Shares |
Value |
||||||||||
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EXCHANGE TRADED FUND (-1.1%) |
||||||||||||
|
United States Natural Gas Fund LP |
(100,000 |
) |
$ |
(3,732,000 |
) |
|||||||
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TOTAL SECURITIES SOLD SHORT (Proceeds $2,882,043) |
$ |
(3,732,000 |
) |
|||||||||
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WRITTEN OPTIONS (-2.1%) |
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Contracts |
Notional ($) |
|||||||||||
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Call Options Written (-1.0%) |
||||||||||||
|
Invesco DB US Dollar Bullish Fund ETF, Expires December 21, 2018 at $25.50 |
(2,718 |
) |
(6,968,952 |
) |
(127,746 |
) |
||||||
|
S&P 500 Index, Expires December 7, 2018 at $2,790.00 |
(1,800 |
) |
(496,830,600 |
) |
(3,177,000 |
) |
||||||
|
Total Call Options Written (Premiums received $446,345) |
(3,304,746 |
) |
||||||||||
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Put Options Written (-0.9%) |
||||||||||||
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S&P 500 Index, Expires December 21, 2018 at $2,580.00 |
(2,000 |
) |
(552,034,000 |
) |
(1,650,000 |
) |
||||||
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S&P 500 Index, Expires June 21, 2019 at $2,600.00 |
(200 |
) |
(55,203,400 |
) |
(1,655,000 |
) |
||||||
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Total Put Options Written (Premiums received $4,260,745) |
(3,305,000 |
) |
||||||||||
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Counterparty |
Notional |
|||||||||||
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Currency Options Written (-0.1%) |
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ILS Call / USD Put, Expires May 1, 2019 at 3.50 ILS |
MS |
(10,000,000) USD |
(24,190 |
) |
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USD Call / ILS Put, Expires May 1, 2019 at 3.90 ILS |
MS |
(20,000,000) USD |
(44,160 |
) |
||||||||
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USD Call/ TWD Put, Expires June 18, 2019 at 32.50 TWD |
DB |
(60,000,000) USD |
(156,060 |
) |
||||||||
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Total Currency Options Written (Premiums received $526,210) |
(224,410 |
) |
||||||||||
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Over the Counter Options Written (-0.1%) |
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CNH Put / USD Call, Expires January 31, 2019 at 6.75 CNH (a) |
DB |
(65,000,000) USD |
(91,000 |
) |
||||||||
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USD Put / TWD Call, Expires June 18, 2019 at 30.00 TWD (b) |
DB |
(750,000) USD |
(326,688 |
) |
||||||||
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Total Over the Counter Options Written (Premiums received $601,442) |
(417,688 |
) |
||||||||||
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TOTAL WRITTEN OPTIONS (Premiums received $5,834,742) |
$ |
(7,251,844 |
) |
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Counterparty abbreviation: MS - Morgan Stanley, DB - Deutsche Bank Securities |
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(a) Option on USDCNH where payment of the notional amount will be made if the exchange rate is below 6.50 by January 31, 2019. |
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(b) Digital option on USDTWD where payment of the notional amount will be made if the exchange rate is below 30.00 on June 18, 2019. |
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Infinity Q Diversified Alpha Fund
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Consolidated Schedule of Investments (continued)
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November 30, 2018 (Unaudited)
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FORWARD CURRENCY CONTRACTS (0.0%) (a)
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|||||||||||||
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Delivered
|
Received
|
Unrealized
|
|||||||||||
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Settlement
|
Currency
|
Currency Value ($)
|
Currency
|
Currency Value ($)
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Appreciation /
|
||||||||
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Date
|
Delivered
|
November 30, 2018
|
Received
|
November 30, 2018
|
(Depreciation)
|
||||||||
|
12/20/2019
|
38,888,000
|
OMR
|
$
|
100,047,080 |
100,000,000
|
USD
|
$
|
100,000,000 |
$
|
(47,080) | |||
|
12/5/2018
|
187,540,000
|
SAR
|
49,985,103
|
49,999,334
|
USD
|
49,999,334
|
14,231
|
||||||
|
12/5/2018
|
49,994,002
|
USD
|
49,994,002
|
187,540,000
|
SAR
|
49,985,103
|
(8,899)
|
||||||
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TOTAL FORWARD CURRENCY CONTRACTS
|
$
|
(41,748) | |||||||||||
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CREDIT DEFAULT SWAP CONTRACTS
|
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Rate Paid /
|
Up Front
|
|||||||||||
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Buy / Sell
|
Reference
|
(Received)
|
Payment
|
Termination
|
Fair
|
Premium Paid /
|
Unrealized
|
|||||
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Counterparty
|
Protection
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Entity (b)
|
by the Fund
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Frequency
|
Date
|
Notional
|
Value
|
(Received)
|
Gain / (Loss)
|
|||
| BAML | Buy | CDX EM 25 | 1.00% | Quarterly | 6/20/2021 | $ 19,000,000 | $ | 176,415 |
$ | 734,289 |
$ |
(595,874) |
|
MS
|
Buy
|
NJ STATE
|
1.00%
|
Quarterly
|
6/20/2023
|
7,000,000
|
(116,569)
|
(75,862)
|
(40,707)
|
|||
|
MS
|
Buy
|
S KOREA
|
1.00%
|
Quarterly
|
9/20/2020
|
10,000,000
|
(167,483)
|
(70,401)
|
(97,082)
|
|||
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TOTAL OF CREDIT DEFAULT SWAP CONTRACTS
|
$
|
(107,637) |
$
|
588,026 | $ |
(733,663)
|
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Counterparty abbreviations: BAML - Bank of America Merrill Lynch, MS - Morgan Stanley
|
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(a) Morgan Stanley was the counterparty of all forward currency contracts held at November 30, 2018.
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(b) The following is a description of each reference entity:
|
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|
CDX EM 25 − CDX Emerging Markets S25 1.00% June 20, 2021
NJ STATE − State of New Jersey 5.250% July 1, 2019
S KOREA − Republic of Korea 7.125% April 16, 2019
|
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| Infinity Q Diversified Alpha Fund | |||||||||||||||
| Consolidated Schedule of Investments (continued) | |||||||||||||||
| November 30, 2018 (Unaudited) | |||||||||||||||
| TOTAL RETURN SWAP CONTRACTS |
|||||||||||||||
| Counterparty | Reference Entity (a) |
Rate Paid / (Received)
by the Fund
|
Payment
Frequency
|
Termination
Date
|
Notional |
Unrealized
Gain / (Loss)
|
|||||||||
| BAML | MLBX4SX6 (b) | 2.00% | Monthly | 3/13/2019 | 18,509,070 | USD | $ | - | |||||||
| BAML | MLBX4SX6 (b) | 1.40% | Monthly | 6/14/2019 | 28,744,586 | USD | - | ||||||||
| BAML | MLBX5HC1 (b) | - | Monthly | 2/22/2019 | 45,298,606 | USD | - | ||||||||
| SG | SGBVWEPH | 0.38% | Quarterly | 11/13/2018 | 45,500,000 | EUR | (2,184,657 | ) | |||||||
| SG | SGI Wildcat Top MLP Index | 3 Mo. LIBOR, 2.34% | Quarterly | 11/13/2018 | 20,700,000 | USD | (7,745 | ) | |||||||
| SG | Wildcat Ludician 2 USD ER Index | 0.50% | Monthly | 7/3/2019 | 16,000,000 | USD | - | ||||||||
| TOTAL OF TOTAL RETURN SWAP CONTRACTS | $ |
(2,192,402 |
) |
||||||||||||
| Counterparty abbreviations: BAML - Bank of America Merrill Lynch, SG - Societe Generale |
||||||||||
| (a) The tables on the following pages provide information on the underlying components of each total
return swap contract. |
||||||||||
| (b) Position held in Subsidiary. See Notes. | ||||||||||
|
Infinity Q Diversified Alpha Fund
|
||||||||
|
Consolidated Schedule of Investments (continued)
|
||||||||
|
November 30, 2018 (Unaudited)
|
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|
MLBX4SX6, MLBX5HC1 - Merrill Lynch Wildcat Commodity Relative Value Indices employ commodity
relative value strategies using commodity futures across agriculture, energy, industrial metals, precious metals, and livestock.
|
||||||||
|
Swap Reference Entity:
|
MLBX4SX6
|
Swap Reference Entity:
|
MLBX5HC1
|
|||||
|
% of Total
|
% of Total
|
|||||||
|
Underlying
Instrument
|
Quantity
|
Value
|
Basket Value ^
|
Underlying
Instrument
|
Quantity
|
Value
|
Basket Value ^
|
|
|
Natural Gas Futures Jan 2019
|
(418)
|
$ (19,259,162)
|
8.8%
|
Natural Gas Futures Jan 2019
|
(420)
|
$ (19,361,941)
|
6.4%
|
|
|
Natural Gas Futures Mar 2019
|
469
|
18,798,679
|
8.6%
|
Natural Gas Futures May 2019
|
692
|
19,111,346
|
6.3%
|
|
|
Brent Crude Futures Apr 2019
|
164
|
9,775,691
|
4.5%
|
Brent Crude Futures Jul 2019
|
238
|
14,286,272
|
4.7%
|
|
|
Brent Crude Futures Mar 2019
|
(163)
|
(9,683,865)
|
4.4%
|
Brent Crude Futures May 2019
|
(239)
|
(14,269,458)
|
4.7%
|
|
|
Corn Futures Mar 2019
|
(500)
|
(9,440,309)
|
4.3%
|
WTI Crude Futures Jan 2019
|
(260)
|
(13,256,484)
|
4.4%
|
|
|
Corn Futures May 2019
|
477
|
9,183,044
|
4.2%
|
WTI Crude Futures May 2019
|
257
|
13,218,705
|
4.3%
|
|
|
WTI Crude Futures Mar 2019
|
172
|
8,791,028
|
4.0%
|
Corn Futures Mar 2019
|
(620)
|
(11,714,984)
|
3.8%
|
|
|
WTI Crude Futures Jan 2019
|
(171)
|
(8,686,206)
|
4.0%
|
Corn Futures May 2019
|
608
|
11,699,051
|
3.8%
|
|
|
Soybean Futures May 2019
|
172
|
7,903,117
|
3.6%
|
Copper Futures Mar 2019
|
(161)
|
(11,188,919)
|
3.7%
|
|
|
Soybean Futures Jan 2019
|
(176)
|
(7,860,362)
|
3.6%
|
Copper Futures May 2019
|
160
|
11,180,794
|
3.7%
|
|
|
Live Cattle Futures Feb 2019
|
(129)
|
(6,234,218)
|
2.9%
|
Soybean Futures Jan 2019
|
(218)
|
(9,742,546)
|
3.2%
|
|
|
Lme Pri Alum Futures Mar 2019
|
118
|
5,770,939
|
2.6%
|
Soybean Futures May 2019
|
211
|
9,727,452
|
3.2%
|
|
|
Lme Pri Alum Futures Jan 2019
|
(117)
|
(5,714,759)
|
2.6%
|
Live Cattle Futures Apr 2019
|
(161)
|
(7,854,616)
|
2.6%
|
|
|
Live Cattle Futures Jun 2019
|
124
|
5,620,985
|
2.6%
|
Live Cattle Futures Jun 2019
|
172
|
7,800,080
|
2.6%
|
|
|
Wheat Futures (CBT) Mar 2019
|
(217)
|
(5,583,576)
|
2.6%
|
LME Pri Alum Futures Jan 2019
|
(153)
|
(7,477,939)
|
2.5%
|
|
|
Wheat Futures (CBT) Jul 2019
|
205
|
5,394,355
|
2.5%
|
LME Pri Alum Futures May 2019
|
151
|
7,449,955
|
2.5%
|
|
|
NY Harbor ULSD Futures Mar 2019
|
62
|
4,710,353
|
2.2%
|
Wheat Futures (CBT) Mar 2019
|
(269)
|
(6,926,435)
|
2.3%
|
|
|
NY Harbor ULSD Futures Jan 2019
|
(61)
|
(4,695,960)
|
2.1%
|
Wheat Futures (CBT) May 2019
|
264
|
6,892,817
|
2.3%
|
|
|
Sugar #11 Futures (World) May 2019
|
301
|
4,363,080
|
2.0%
|
NY Harbor ULSD Futures May 2019
|
88
|
6,655,977
|
2.2%
|
|
|
Sugar #11 Futures (World) Mar 2019
|
(301)
|
(4,326,217)
|
2.0%
|
NY Harbor ULSD Futures Jan 2019
|
(86)
|
(6,626,030)
|
2.2%
|
|
|
Soybean Meal Futures May 2019
|
135
|
4,274,467
|
2.0%
|
Gasoline RBOB Futures May 2019
|
93
|
6,379,360
|
2.1%
|
|
|
Gasoline RBOB Futures Mar 2019
|
71
|
4,243,080
|
1.9%
|
Gasoline RBOB Futures Jan 2019
|
(107)
|
(6,294,550)
|
2.1%
|
|
|
Soybean Meal Futures Jan 2019
|
(135)
|
(4,189,877)
|
1.9%
|
Sugar #11 Futures (World) Mar 2019
|
(407)
|
(5,849,663)
|
1.9%
|
|
|
Gasoline RBOB Futures Jan 2019
|
(71)
|
(4,162,197)
|
1.9%
|
Sugar #11 Futures (World) May 2019
|
402
|
5,833,506
|
1.9%
|
|
|
LME Nickel Futures Mar 2019
|
53
|
3,564,583
|
1.6%
|
Soybean Meal Futures Jan 2019
|
(174)
|
(5,407,646)
|
1.8%
|
|
|
LME Nickel Futures Jan 2019
|
(53)
|
(3,527,212)
|
1.6%
|
Soybean Meal Futures May 2019
|
171
|
5,407,547
|
1.8%
|
|
|
LME Zinc Futures Jan 2019
|
(53)
|
(3,382,773)
|
1.5%
|
LME Nickel Futures Jan 2019
|
(70)
|
(4,707,709)
|
1.5%
|
|
|
LME Zinc Futures Mar 2019
|
53
|
3,382,109
|
1.5%
|
LME Nickel Futures May 2019
|
70
|
4,705,989
|
1.5%
|
|
|
Soybean Oil Futures May 2019
|
192
|
3,292,514
|
1.5%
|
LME Zinc Futures Jan 2019
|
(69)
|
(4,450,244)
|
1.4%
|
|
|
Soybean Oil Futures Jan 2019
|
(194)
|
(3,268,476)
|
1.5%
|
LME Zinc Futures May 2019
|
70
|
4,404,604
|
1.4%
|
|
|
Coffee 'C' Futures Mar 2019
|
(77)
|
(3,121,151)
|
1.4%
|
Soybean Oil Futures Jan 2019
|
(254)
|
(4,274,814)
|
1.4%
|
|
|
Coffee 'C' Futures May 2019
|
74
|
3,060,793
|
1.4%
|
Soybean Oil Futures May 2019
|
249
|
4,259,677
|
1.4%
|
|
|
Lean Hogs Futures Feb 2019
|
(104)
|
(2,809,533)
|
1.3%
|
Coffee 'C' Futures May 2019
|
97
|
4,008,402
|
1.3%
|
|
|
Lean Hogs Futures Apr 2019
|
87
|
2,508,546
|
1.1%
|
Coffee 'C' Futures Mar 2019
|
(99)
|
(3,998,796)
|
1.3%
|
|
|
KC HRW Wheat Futures Mar 2019
|
(85)
|
(2,134,987)
|
1.0%
|
Lean Hogs Futures Apr 2019
|
(116)
|
(3,351,415)
|
1.1%
|
|
|
Cotton No.2 Futures Mar 2019
|
(53)
|
(2,104,186)
|
1.0%
|
Lean Hogs Futures Jun 2019
|
97
|
3,264,173
|
1.1%
|
|
|
Cotton No.2 Futures May 2019
|
52
|
2,078,478
|
0.9%
|
Cotton No.2 Futures Mar 2019
|
(68)
|
(2,677,798)
|
0.9%
|
|
|
KC HRW Wheat Futures Jul 2019
|
79
|
2,051,753
|
0.9%
|
Cotton No.2 Futures May 2019
|
67
|
2,669,346
|
0.9%
|
|
|
LME Copper Futures Mar 2019
|
1
|
91,996
|
0.0%
|
KC HRW Wheat Futures Mar 2019
|
(107)
|
(2,664,414)
|
0.9%
|
|
|
KC HRW Wheat Futures May 2019
|
104
|
2,657,388
|
0.9%
|
|||||
|
$ (1,325,436)
|
100.0%
|
Natural Gas Futures Mar 2019
|
(4)
|
(145,677)
|
0.0%
|
|||
|
NY Harbor ULSD Futures Mar 2019
|
0 *
|
17,446
|
0.0%
|
|||||
|
Gasoline RBOB Futures Mar 2019
|
(0) *
|
(15,576)
|
0.0%
|
|||||
|
WTI Crude Futures Mar 2019
|
0 *
|
13,712
|
0.0%
|
|||||
|
LME Zinc Futures Mar 2019
|
0 *
|
8,450
|
0.0%
|
|||||
|
LME Pri Alum Futures Mar 2019
|
(0) *
|
(4,643)
|
0.0%
|
|||||
|
Soybean Meal Futures Mar 2019
|
0 *
|
4,177
|
0.0%
|
|||||
|
LME Nickel Futures Mar 2019
|
0 *
|
2,140
|
0.0%
|
|||||
|
Soybean Futures Mar 2019
|
0 *
|
838
|
0.0%
|
|||||
|
Soybean Oil Futures Mar 2019
|
0 *
|
247
|
0.0%
|
|||||
|
^ Presented as percentage of absolute value.
|
||||||||
|
$ (602,846)
|
100.0%
|
|||||||
|
* Amount held in basket is less than one contract.
|
||||||||
|
Infinity Q Diversified Alpha Fund
|
||||||||
|
Consolidated Schedule of Investments (continued)
|
||||||||
|
November 30, 2018 (Unaudited)
|
||||||||
|
Swap Reference Entity:
|
SGBVWEPH *
|
|||||||
|
SGBVWEPH Index aims to generate positive performance by trading constituents of the STOXX Europe
600 Price Index on a market neutral basis.
|
||||||||
|
% of Total
|
||||||||
|
Underlying
Instrument
|
Quantity
|
Value
|
Basket Value ^
|
|||||
|
Spirax-Sarco Engineering plc
|
7,553
|
$ 46,336,758
|
1.8%
|
|||||
|
Segro plc
|
72,308
|
43,616,240
|
1.7%
|
|||||
|
OMXS30 IND FUTURE Dec 2018
|
(270)
|
(40,822,624)
|
1.6%
|
|||||
|
Evraz plc
|
89,211
|
40,510,807
|
1.5%
|
|||||
|
Anglo American plc
|
25,768
|
40,358,564
|
1.5%
|
|||||
|
BHP Group plc
|
26,151
|
39,268,662
|
1.5%
|
|||||
|
Experian plc
|
20,582
|
39,239,079
|
1.5%
|
|||||
|
Lloyds Banking Group plc
|
683,690
|
37,849,098
|
1.4%
|
|||||
|
Ferguson plc
|
7,473
|
37,512,459
|
1.4%
|
|||||
|
Croda International plc
|
7,485
|
36,496,837
|
1.4%
|
|||||
|
Victrex plc
|
14,692
|
35,994,328
|
1.4%
|
|||||
|
Diageo plc
|
12,050
|
34,024,033
|
1.3%
|
|||||
|
Glencore plc
|
115,840
|
33,610,993
|
1.3%
|
|||||
|
Persimmon plc
|
17,513
|
33,273,915
|
1.3%
|
|||||
|
Howden Joinery Group plc
|
74,429
|
33,143,353
|
1.3%
|
|||||
|
Rightmove plc
|
75,529
|
33,051,650
|
1.3%
|
|||||
|
Intercontinental Hotels Grou
|
7,707
|
32,369,569
|
1.2%
|
|||||
|
Aviva plc
|
78,952
|
32,133,484
|
1.2%
|
|||||
|
GlaxoSmithKline plc
|
19,582
|
31,753,512
|
1.2%
|
|||||
|
Halma plc
|
22,773
|
31,244,033
|
1.2%
|
|||||
|
Rio Tinto plc
|
8,778
|
31,241,512
|
1.2%
|
|||||
|
BAE Systems plc
|
59,017
|
28,995,038
|
1.1%
|
|||||
|
Relx plc
|
17,608
|
28,744,412
|
1.1%
|
|||||
|
British Land Co. plc
|
49,367
|
27,872,809
|
1.1%
|
|||||
|
B&M European Value Retail SA
|
79,295
|
27,697,678
|
1.1%
|
|||||
|
WM Morrison Supermarkets plc
|
116,096
|
27,584,371
|
1.1%
|
|||||
|
Unilever plc
|
6,497
|
27,570,404
|
1.1%
|
|||||
|
Phoenix Group Holdings plc
|
45,664
|
27,375,501
|
1.0%
|
|||||
|
London Stock Exchange Group
|
6,704
|
27,035,482
|
1.0%
|
|||||
|
Tullow Oil plc
|
146,302
|
26,978,164
|
1.0%
|
|||||
|
Legal & General Group plc
|
109,756
|
26,879,274
|
1.0%
|
|||||
|
Rotork plc
|
100,334
|
26,307,499
|
1.0%
|
|||||
|
Close Brothers Group plc
|
17,258
|
25,955,774
|
1.0%
|
|||||
|
Informa plc
|
35,979
|
24,868,621
|
0.9%
|
|||||
|
Great Portland Estates plc
|
35,050
|
24,338,729
|
0.9%
|
|||||
|
Bunzl plc
|
10,034
|
24,242,664
|
0.9%
|
|||||
|
Derwent London plc
|
8,366
|
23,926,946
|
0.9%
|
|||||
|
Polymetal International plc
|
30,413
|
23,868,385
|
0.9%
|
|||||
|
International Consolidated Airlines Group SA
|
37,039
|
23,171,757
|
0.9%
|
|||||
|
Direct Line Insurance Group
|
69,182
|
22,691,715
|
0.9%
|
|||||
|
Auto Trader Group plc
|
51,412
|
22,539,171
|
0.9%
|
|||||
|
Royal Mail plc
|
70,161
|
22,437,442
|
0.9%
|
|||||
|
The Berkeley Group Holdings
|
6,792
|
21,909,553
|
0.8%
|
|||||
|
J Sainsbury plc
|
71,487
|
21,803,508
|
0.8%
|
|||||
|
WH Smith plc
|
11,226
|
21,397,192
|
0.8%
|
|||||
|
The Sage Group plc
|
(36,797)
|
(21,393,785)
|
0.8%
|
|||||
|
HSBC Holdings plc
|
32,055
|
21,293,862
|
0.8%
|
|||||
|
Reckitt Benckiser Group plc
|
(3,234)
|
(21,062,702)
|
0.8%
|
|||||
|
Balfour Beatty plc
|
81,205
|
20,382,575
|
0.8%
|
|||||
|
Imperial Brands plc
|
(8,378)
|
(20,191,636)
|
0.8%
|
|||||
|
Other Underlying Index Components *
|
149,798,704
|
43.7%
|
||||||
|
$ 1,417,225,369
|
100.0%
|
|||||||
|
* Largest 50 underlying components by market value at November 30, 2018 are listed.
|
||||||||
|
^ Presented as percentage of absolute value.
|
||||||||
|
Infinity Q Diversified Alpha Fund
|
||||||||
|
Consolidated Schedule of Investments (continued)
|
||||||||
|
November 30, 2018 (Unaudited)
|
||||||||
|
Swap Reference Entity:
|
SGI Wildcat Top MLP Index
|
|||||||
|
SGI Wildcat Top MLP Index aims to generate positive performance from dynamically trading listed
MLP equities.
|
||||||||
|
% of Total
|
||||||||
|
Underlying
Instrument
|
Quantity
|
Value
|
Basket Value ^
|
|||||
|
US Dollars
|
20,700,000
|
$ 20,700,000
|
100.0%
|
|||||
|
Swap Reference Entity:
|
Wildcat Ludician 2 USD ER Index
|
|||||||
|
Wildcat Ludician 2 USD ER Index aims to generate positive performance from trading VIX Index
futures.
|
||||||||
|
% of Total
|
||||||||
|
Underlying
Instrument
|
Quantity
|
Value
|
Basket Value ^
|
|||||
|
CBOE VIX Futures Dec 2018
|
(25)
|
$ (440,865)
|
77.7%
|
|||||
|
CBOE VIX Futures Jan 2019
|
(7)
|
(126,342)
|
22.3%
|
|||||
|
$ (567,207)
|
100.0%
|
|||||||
|
^ Presented as percentage of absolute value.
|
||||||||
|
Infinity Q Diversified Alpha Fund
|
||||||||
|
Consolidated Schedule of Investments (continued)
|
||||||||
|
November 30, 2018 (Unaudited)
|
||||||||
|
CORRELATION SWAP CONTRACTS ^
|
||||||||
|
Correlation
|
Effective
|
Termination
|
Vega
|
Unrealized
|
||||
|
Counterparty
|
Underlying Positions (a)
|
Strike
|
Date
|
Date
|
Notional
|
Gain / (Loss)
|
||
|
CITI
|
SX5E & EUR/GBP FX
|
-32.00%
|
4/26/2017
|
12/20/2019
|
50,000 EUR
|
$
|
595,693 | |
|
CITI
|
SX5E & EUR/JPY FX
|
12.00%
|
2/2/2017
|
12/21/2018
|
25,000 EUR
|
540,178 | ||
|
CITI
|
SX5E & EUR/JPY FX
|
16.00%
|
2/3/2017
|
12/21/2018
|
15,000 EUR
|
324,107 | ||
|
CITI
|
SX5E & EUR/KRW FX
|
-55.00%
|
4/26/2018
|
12/24/2019
|
33,000 EUR
|
1,067,837
|
||
|
CITI
|
SX5E & EUR/USD FX
|
-24.00%
|
4/26/2017
|
12/21/2018
|
60,000 EUR
|
904,935
|
||
|
CITI
|
SX5E & EUR/USD FX
|
-29.00%
|
10/14/2016
|
12/21/2018
|
100,000 EUR
|
2,005,962 | ||
|
CITI
|
SX5E & EUR/USD FX
|
-24.50%
|
2/16/2018
|
12/20/2019
|
50,000 EUR
|
760,119
|
||
|
CITI
|
SX5E & EUR/USD FX
|
-27.00%
|
3/23/2018
|
12/20/2019
|
40,000 EUR
|
750,249
|
||
|
DB
|
EUR/CNH FX & USD/CNH FX
|
34.50%
|
10/22/2018
|
10/21/2019
|
(25,000) USD
|
120,514
|
||
|
DB
|
SX5E & EUR/USD FX
|
-20.00%
|
10/2/2018
|
12/18/2020
|
25,000 USD
|
553,026
|
||
|
DB
|
SX5E & EUR/USD FX
|
-21.50%
|
10/30/2018
|
12/18/2020
|
25,000 USD
|
157,883
|
||
|
MS
|
EUR/MXN FX & USD/MXN FX
|
79.25%
|
1/12/2018
|
1/15/2019
|
(100,000) USD
|
(353,859)
|
||
|
MS
|
EUR/USD FX & EUR/GBP FX
|
30.00%
|
2/28/2018
|
2/28/2019
|
90,000 EUR
|
(178,340)
|
||
|
MS
|
SX5E & EUR/GBP FX
|
-30.50%
|
4/30/2018
|
12/20/2019
|
33,000 EUR
|
420,159
|
||
|
MS
|
SX5E & EUR/GBP FX
|
-25.00%
|
1/31/2018
|
12/18/2020
|
30,000 EUR
|
245,137
|
||
|
MS
|
SX5E & EUR/JPY FX
|
7.00%
|
1/5/2017
|
12/20/2019
|
25,000 EUR
|
646,751
|
||
|
MS
|
SX5E & EUR/JPY FX
|
18.00%
|
3/16/2017
|
12/21/2018
|
30,000 EUR
|
452,960
|
||
|
MS
|
SX5E & EUR/JPY FX
|
6.00%
|
12/19/2016
|
12/21/2018
|
40,000 EUR
|
1,354,916 | ||
|
MS
|
SX5E & EUR/JPY FX
|
10.00%
|
1/5/2017
|
12/21/2018
|
50,000 EUR
|
1,258,321 | ||
|
MS
|
SX5E & EUR/KRW FX
|
-47.00%
|
5/25/2017
|
12/21/2018
|
40,000 EUR
|
970,412
|
||
|
MS
|
SX5E & EUR/USD FX
|
-24.50%
|
2/8/2017
|
12/21/2018
|
40,000 EUR
|
759,602 | ||
|
MS
|
SX5E & EUR/USD FX
|
-29.00%
|
10/6/2017
|
12/20/2019
|
30,000 EUR
|
656,107
|
||
|
MS
|
USD/KRW FX & EUR/KRW FX
|
59.00%
|
9/6/2018
|
9/8/2020
|
(105,000) USD
|
1,125,695
|
||
|
MS
|
USD/KRW FX & EUR/KRW FX
|
61.75%
|
7/12/2018
|
7/14/2020
|
(95,000) USD
|
1,516,452
|
||
|
SG
|
SX5E & EUR/KRW FX
|
-48.00%
|
3/7/2018
|
9/20/2019
|
35,000 EUR
|
763,238
|
||
|
SG
|
SX5E & EUR/USD FX
|
-28.00%
|
4/3/2018
|
6/19/2020
|
50,000 EUR
|
728,285
|
||
|
TOTAL OF CORRELATION SWAP CONTRACTS
|
$
|
18,146,339 | ||||||
|
DISPERSION SWAP CONTRACT ^
|
|||||||
|
Effective
|
Termination
|
Vega
|
Unrealized
|
||||
|
Counterparty
|
Reference Entity (b)
|
Date
|
Date
|
Notional
|
Gain / (Loss)
|
||
|
CITI
|
SX5E Custom Basket
|
6/14/2018
|
12/20/2019
|
500,000 EUR
|
$ 2,353,753
|
||
|
Counterparty abbreviations: CITI - Citigroup, DB - Deutsche Bank, MS - Morgan Stanley, SG - Societe Generale
|
|||||||
|
Reference entity abbreviation: SX5E - Euro Stoxx 50 Index
|
|||||||
|
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs.
See Note 2.
|
|||||||
|
(a) Payment to or from counterparty is based on the realized correlation between each pair of
underlying positions listed in
each swap's description from effective date until termination date. Payment occurs at termination
date.
|
|||||||
|
(b) The table on the following page provides information on the underlying components of the dispersion
swap contract.
Payment occurs at termination date.
|
|||||||
|
Infinity Q Diversified Alpha Fund
|
|||||||||
|
Consolidated Schedule of Investments (continued)
|
|||||||||
|
November 30, 2018 (Unaudited)
|
|||||||||
|
Citgroup SX5E Custom Basket
|
|||||||||
|
Effective date: June 14, 2018 Termination Date: December 20, 2019
|
|||||||||
|
Swap has two legs. The first leg's underlying reference is the SX5E Index. The second leg references a basket of
underlying securities listed below. Payment to or from Citigroup is based on the comparative variance of the underlying components of each leg.
|
|||||||||
|
Volatility
|
Vega
|
||||||||
|
Underlying
Security
|
Strike (GBP)
|
Notional
|
|||||||
|
SX5E Index
|
18.31
|
%
|
(500,000
|
)
|
EUR
|
||||
|
Crédit Agricole SA
|
23.26
|
25,000
|
EUR
|
||||||
|
Allianz SE-Reg
|
20.12
|
25,000
|
EUR
|
||||||
|
Bank of America Corp.
|
24.80
|
28,571
|
USD
|
||||||
|
Julius Baer Group Ltd.
|
24.12
|
28,918
|
CHF
|
||||||
|
Banco Bilbao Vizcaya Argentaria SA
|
26.37
|
25,000
|
EUR
|
||||||
|
BNP Paribas SA
|
23.00
|
25,000
|
EUR
|
||||||
|
Muenchener Rueckver AG-Reg
|
19.88
|
25,000
|
EUR
|
||||||
|
Continental AG
|
23.92
|
25,000
|
EUR
|
||||||
|
AXA SA
|
21.73
|
25,000
|
EUR
|
||||||
|
Credit Suisse Group AG
|
25.30
|
28,918
|
CHF
|
||||||
|
Societe Generale SA
|
24.55
|
25,000
|
EUR
|
||||||
|
The Goldman Sachs Group Inc.
|
24.40
|
28,571
|
USD
|
||||||
|
ING Groep NV
|
23.53
|
25,000
|
EUR
|
||||||
|
Morgan Stanley
|
25.90
|
28,571
|
USD
|
||||||
|
Novartis AG-Reg
|
17.73
|
28,918
|
CHF
|
||||||
|
Renault SA
|
24.14
|
25,000
|
EUR
|
||||||
|
Roche Holding AG
|
16.55
|
28,918
|
CHF
|
||||||
|
Banco Santander SA
|
26.27
|
25,000
|
EUR
|
||||||
|
UBS Group AG
|
21.81
|
28,918
|
CHF
|
||||||
|
Peugeot SA
|
28.19
|
25,000
|
EUR
|
||||||
|
Infinity Q Diversified Alpha Fund
|
|||||||||
|
Consolidated Schedule of Investments (continued)
|
|||||||||
|
November 30, 2018 (Unaudited)
|
|||||||||
|
VARIANCE SWAP CONTRACTS *
|
|||||||||
|
Volatility or
|
Effective
|
Termination
|
Vega
|
Unrealized
|
|||||
|
Counterparty
|
Swap Type & Reference Entity
|
Correlation Strike #
|
Date
|
Date
|
Notional
|
Gain / (Loss)
|
|||
|
BAML
|
NKY Up Variance Swap (a) ^
|
21.65%
|
2/17/2017
|
12/11/2020
|
56,375,000 JPY
|
$ (585,415)
|
|||
|
BAML
|
RTY Variance Swap
|
21.70%
|
10/16/2018
|
12/20/2019
|
(300,000) USD
|
(119,560)
|
|||
|
BAML
|
SPX Variance Swap
|
20.90%
|
2/17/2017
|
12/18/2020
|
(500,000) USD
|
1,576,149
|
|||
|
CITI
|
SPX Variance Swap
|
16.51%
|
12/12/2017
|
1/18/2019
|
(1,000,000) USD
|
2,037,781
|
|||
|
CS
|
SPX Up Variance Swap (b) ^
|
12.50%
|
10/9/2018
|
6/21/2019
|
400,000 USD
|
1,756,948
|
|||
|
CS
|
SPX Down Variance Swap (c) ^
|
19.50%
|
10/9/2018
|
6/21/2019
|
(400,000) USD
|
(118,635)
|
|||
|
DB
|
EUR / HUF Volatility Swap
|
6.90%
|
9/5/2018
|
3/5/2019
|
200,000 EUR
|
(421,926)
|
|||
|
DB
|
EUR / USD Volatility Swap
|
7.50%
|
9/13/2018
|
3/14/2019
|
1,000,000 USD
|
(131,576)
|
|||
|
DB
|
GBP / USD Volatility Swap
|
8.03%
|
6/6/2018
|
12/6/2018
|
400,000 USD
|
220,446
|
|||
|
DB
|
GBP / USD Volatility Swap
|
12.23%
|
11/13/2018
|
2/13/2019
|
150,000 GBP
|
478,137
|
|||
|
DB
|
HSCEI / SPX Variance Swap (d) ^
|
20.00% and 22.90%
|
6/28/2018
|
12/30/2020
|
150,000 USD
|
307,629
|
|||
|
DB
|
HSCEI Up Variance Swap (e) ^
|
22.40%
|
6/25/2018
|
6/29/2020
|
250,000 USD
|
429,016
|
|||
|
DB
|
KOSPI / SPX Variance Swap (f) ^
|
16.90% and 19.70%
|
10/19/2018
|
12/10/2020
|
250,000 USD
|
225,875
|
|||
|
DB
|
NZD / USD Volatility Swap
|
8.75%
|
6/6/2018
|
12/6/2018
|
350,000 USD
|
(98,791)
|
|||
|
DB
|
XAU / USD Volatility Swap
|
10.25%
|
11/8/2018
|
12/11/2018
|
150,000 USD
|
(131,056)
|
|||
|
DB
|
USD / CAD Volatility Swap
|
6.98%
|
11/9/2018
|
2/12/2019
|
450,000 USD
|
28,351
|
|||
|
DB
|
USD / CNH Volatility Swap
|
4.64%
|
6/6/2018
|
12/6/2018
|
500,000 USD
|
769,083
|
|||
|
DB
|
USD / TRY Volatility Swap
|
22.90%
|
10/18/2018
|
4/18/2019
|
150,000 USD
|
(470,192)
|
|||
|
MS
|
EUR / USD Volatility Swap
|
7.95%
|
2/21/2018
|
2/21/2019
|
400,000 EUR
|
(198,100)
|
|||
|
MS
|
GBP / USD Volatility Swap
|
10.15%
|
11/8/2018
|
12/20/2018
|
(120,000) GBP
|
(71,622)
|
|||
|
MS
|
SPX Variance Swap
|
15.80%
|
1/22/2018
|
12/21/2018
|
(400,000) USD
|
(127,462)
|
|||
|
MS
|
SX5E Up Variance Swap (g) ^
|
17.05%
|
10/26/2018
|
12/17/2021
|
300,000 EUR
|
759,461
|
|||
|
MS
|
SX5E Up Variance Swap (h) ^
|
18.10%
|
2/26/2018
|
12/20/2019
|
300,000 EUR
|
(809,934)
|
|||
|
MS
|
SX5E Variance Swap (i) ^
|
18.28%
|
3/29/2018
|
12/18/2020
|
300,000 EUR
|
(33,853)
|
|||
|
MS
|
SX5E Variance Swap
|
18.15%
|
2/27/2018
|
12/20/2019
|
(300,000) EUR
|
919,837
|
|||
|
MS
|
SX5E Volatility Swap
|
17.75%
|
10/26/2018
|
12/17/2021
|
(300,000) EUR
|
(58,986)
|
|||
|
MS
|
SX5E / SPX Variance Swap Agreement (j) ^
|
20.55% and 22.20%
|
6/1/2018
|
12/18/2020
|
450,000 USD
|
(192,974)
|
|||
|
MS
|
SX5E / SPX Variance Swap Agreement (k) ^
|
0.00% and 0.00%
|
3/13/2018
|
12/20/2019
|
600,000 USD
|
4,348,048
|
|||
|
MS
|
UKX FTSE 100 Up Variance Swap (l) ^
|
14.50%
|
1/22/2018
|
12/21/2018
|
270,000 GBP
|
(141,189)
|
|||
|
MS
|
USD / CAD Volatility Swap
|
6.95%
|
11/14/2018
|
2/14/2019
|
250,000 USD
|
(4,962)
|
|||
|
MS
|
USD / CAD Volatility Swap
|
7.00%
|
11/9/2018
|
2/12/2019
|
150,000 USD
|
5,711
|
|||
|
MS
|
USD / CAD Volatility Swap
|
7.58%
|
8/17/2018
|
2/19/2018
|
650,000 USD
|
(285,437)
|
|||
|
MS
|
USD / CAD Volatility Swap
|
7.60%
|
9/5/2018
|
3/5/2019
|
250,000 USD
|
(209,897)
|
|||
|
SG
|
AS51 Variance Swap
|
14.51%
|
9/13/2018
|
3/21/2019
|
(420,000) AUD
|
246,826
|
|||
|
SG
|
FTSE 100 Up Variance Swap (m) ^
|
14.75%
|
1/26/2018
|
12/21/2018
|
140,000 GBP
|
(104,957)
|
|||
|
SG
|
HSI Up Variance Swap (n) ^
|
18.85%
|
7/21/2017
|
12/20/2019
|
600,000 USD
|
1,887,313
|
|||
|
SG
|
HSI Variance Swap
|
24.30%
|
2/7/2018
|
12/30/2019
|
(3,510,000) HKD
|
1,783,937
|
|||
|
SG
|
KOSPI Corridor Variance Swap (o) ^
|
16.65%
|
8/17/2017
|
12/13/2018
|
340,950,000 KRW
|
(670,595)
|
|||
|
SG
|
KOSPI / SPX Corridor Variance Swap (p) ^
|
15.90% and 18.05%
|
10/10/2018
|
12/18/2020
|
250,000 USD
|
252,357
|
|||
|
SG
|
KOSPI Variance Swap
|
19.35%
|
10/31/2018
|
12/10/2020
|
456,000,000 KRW
|
113,300
|
|||
|
SG
|
KOSPI Volatility Swap
|
16.65%
|
8/17/2017
|
12/13/2018
|
(340,950,000) KRW
|
754,363
|
|||
|
SG
|
NDX Volatility Swap
|
20.63%
|
9/5/2018
|
12/21/2018
|
(150,000) USD
|
(989,212)
|
|||
|
SG
|
SPX Variance Swap
|
16.05%
|
1/26/2018
|
12/21/2018
|
(200,000) USD
|
(35,799)
|
|||
|
SG
|
SPX Variance Swap
|
16.10%
|
1/26/2018
|
12/21/2018
|
(200,000) USD
|
(25,719)
|
|||
|
SG
|
SX5E Variance Swap
|
23.95%
|
4/7/2017
|
12/18/2020
|
(325,000) EUR
|
2,105,693
|
|||
|
UBS
|
AS51 Variance Swap
|
15.50%
|
1/17/2018
|
12/20/2018
|
(753,000) AUD
|
2,556,472
|
|||
|
|
|||||||||
|
TOTAL OF VARIANCE SWAP CONTRACTS
|
$ 17,524,884
|
||||||||
|
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, CITI - Citigroup, CS - Credit Suisse, DB -
Deutsche Bank, MS - Morgan Stanley, SG - Societe Generale
|
|||||||||
|
Reference entity abbreviations: AS51 - S&P / ASX 200 Index, FTSE 100 - Financial Times Stock Exchange 100
Index, HSI - Hang Seng Index,
|
|||||||||
|
HSCEI - Hang Seng China Enterprises Index, KOSPI - KOSPI 200 Index, NKY - Nikkei 225 Index,
|
|||||||||
|
RTY - Russell 2000 Index, SPX - S&P 500 Index, SX5E - Euro Stoxx 50 Index
|
|||||||||
|
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See
Note 2.
|
|||||||||
|
* Payment is based on variance or volatility realized during the observation period. Payment is made at termination
date.
|
|||||||||
|
# If two strikes listed, first strike is for long leg and second rate is short leg of agreement.
|
|||||||||
|
(a) Payment from counterparty is based on the volatility of the Nikkei 225 Index until the maturity date while the
index price remains above 9,615.
|
|||||||||
|
(b) Payment from counterparty is based on the volatility of the SPX Index until the maturity date while the index price
remains above 2,736.32.
|
|||||||||
|
(c) Payment from counterparty is based on the volatility of the SPX Index until the maturity date while the index price
remains below 3,024.36.
|
|||||||||
|
(d) The variance swap consists of one long variance leg and one short variance leg. The long leg is a corridor variance
swap with changes in the HSCEI Index only included
|
|||||||||
|
if closing level is between 7,607.91 and 11,955.29. The short leg is a corridor variance swap with changes in the
SPX Index only included if the closing level of the
|
|||||||||
|
HSCEI Index is between 7,607.91 and 11,955.29.
|
|||||||||
|
(e) Change in the underlying index is only included if current and prior closing levels are above 7,846.23.
|
|||||||||
|
(f) The variance swap consists of a long variance leg and a short variance leg. The long leg is a corridor variance swap
with changes in the KOSPI Index only included
|
|||||||||
|
if closing level is between 195.041 and 306.493. The short leg is a corridor variance swap with changes in the SPX
Index only included if the closing level of the
|
|||||||||
|
KOSPI Index is between 195.041 and 306.493.
|
|||||||||
|
(g) Change in underlying index is only included if current and prior day closing levels are greater than 1,567.45.
|
|||||||||
|
(h) Change in underlying index is only included if current and prior day closing levels are above 2,077.908.
|
|||||||||
|
(i) Change in underlying index is only included if current and prior day closing levels are above 2,016.90.
|
|||||||||
|
(j) The variance swap consists of one long variance leg and one short variance leg. The long leg is a corridor variance swap with changes in
the SX5E Index only included
|
|||||||||
|
if current and prior close is between 2,072.12 and 3,453.54. The short leg is corridor variance swap with changes in the SPX Index only
included if current and
|
|||||||||
|
prior close of the SX5E Index is between 2,072.12 and 3,453.54.
|
|||||||||
|
(k) The variance swap consists of one long variance leg and one short variance leg. The long leg is a variance swap with the daily changes
of the SPX Index only included if
|
|||||||||
|
the current value of the SX5E Index is less than 2,514.04. The short leg is a variance swap with daily change of the SX5E Index only
included if the current value
|
|||||||||
|
is less than 1,698.68.
|
|||||||||
|
(l) Change in underlying index is only included if current and prior day closing levels are greater than 5,400.81.
|
|||||||||
|
(m) Change in underlying index is only included if current and prior day closing levels are above 5,358.50.
|
|||||||||
|
(n) Change in underlying index is only included if current and prior day closing levels are above 18,694.263.
|
|||||||||
|
(o) Change in underlying index is only included if current and prior day closing levels are between 188.40 and 386.06.
|
|||||||||
|
(p) The variance swap consists of a long variance and a short variance leg. The long leg is a corridor variance swap
with changes in the KOSPI Index only included if closing level
|
|||||||||
|
is between 201 and 316. The short leg is a corridor variance swap with changes in the SPX Index only included if
the closing level of the KOSPI Index is between 201 and 316.
|
|||||||||
|
Infinity Q Diversified Alpha Fund
|
||||||
|
Consolidated Schedule of Investments (continued)
|
||||||
|
November 30, 2018 (Unaudited)
|
||||||
|
* As a percent of total investments.
|
||||||
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments (continued)
November 30, 2018 (Unaudited)
Consolidation of Subsidiary:
The Consolidated Schedule of Investments of the Infinity Q Diversified Alpha Fund (the “Fund”) includes the holdings of the Infinity Q
Commodity Fund Ltd. (the “Subsidiary”). The Subsidiary, a Cayman Islands Exempted Company, was incorporated on July 15, 2014, and is wholly-owned and controlled by the Fund. The Subsidiary invests primarily in commodity index swaps and other
commodity-linked derivative instruments, and the Fund may invest up to 25% of its totals assets in the Subsidiary. The Fund’s policy is to consolidate entities when it is the sole or principal owner of such entity. All inter-fund balances and
transactions have been eliminated in consolidation. The net assets of the Subsidiary at November 30, 2018, were $23,058,383, which represented 6.65% of the Fund’s net assets.
Valuation
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market
assumptions (unobservable inputs). The inputs or methodology used in determining the value of each Fund’s investments are not necessarily an indication of the risk associated with investing in those securities.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad categories as defined below:
|
Level 1-
|
Quoted prices in active markets for identical securities. An active market for a security is a market in which transactions occur with sufficient
frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value.
|
|
Level 2-
|
Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These
inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
|
|
Level 3-
|
Significant unobservable inputs, including the Fund's own assumptions in determining fair value of investments
|
Equity securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation.
To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Debt securities including corporate, convertible, U.S. government agencies, U.S. treasury obligations, and sovereign issues are normally
valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield
curves, prepayment speeds, credit risk/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Short-term investments classified as money market instruments are valued at net asset value price. These investments are categorized as
Level 1 of the fair value hierarchy.
Other financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their
value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by the Adviser
or a pricing service using model pricing tailored to the type of security held. The pricing models use various inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, implied
volatility and exchange rates.
The liquidity of individual options is dynamic and changes as a function of the market environment for the underlying security. The Fund
values exchange traded options at mean price. For currency and barrier options, valuation models are employed using available market data. These option positions are categorized as Level 2 in the fair value hierarchy.
Credit Default Swaps (CDS) are valued using the ISDA Standard Upfront Model and available market data. These positions are categorized as
Level 2 in the fair value hierarchy.
The Fund makes investments in various types of volatility and variance swaps. The Adviser deems vanilla volatility and variance swaps as
Level 2 positions and corridor variance swaps as Level 3 positions in the fair value hierarchy. The Adviser uses model pricing to calculate the fair volatility level for each corridor variance swap trade. The Adviser uses quotes from a pricing
service and brokers to estimate implied volatility levels as an input to these models. A significant change in implied volatility could have a significant impact on the value of a position.
The Fund makes dispersion investments using volatility and variance swaps and options on dispersion. With the exception of dispersion
trades, single stock volatility and variance swaps rarely trade. As a result, the Adviser deems these positions to be illiquid and classifies these positions as Level 3 in the fair value hierarchy. The Adviser uses model pricing to calculate
the fair volatility level for each leg of the dispersion trade. The Adviser uses quotes from a pricing service and brokers to estimate implied volatility levels as an input to these models. A significant change in implied volatility could have
a significant impact on the value of a position, and depending on the direction of the change, could either increase or decrease a position’s value.
The Fund makes cross-asset correlation investments using correlation and covariance swaps. The Adviser deems these positions to be
illiquid and classifies these positions as Level 3 in the fair value hierarchy. The Adviser uses a third party calculation agent to value these positions. The local volatility model is used to calculate the fair correlation level for
correlation swaps. Quotes from a pricing service are used to estimate the implied correlation levels as an input to these models. A significant change in implied volatility could have a significant impact on the value of a position, and
depending on the direction of the change, could either increase or decrease a position’s value.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those
securities.
The following is a summary of the fair values of the Fund’s consolidated investments in each investment type as of November 30, 2018:
|
Quoted Prices
(Level 1)
|
Other Significant Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|||||||||||||
|
Assets
|
||||||||||||||||
|
Common Stocks
|
$
|
8,807,207
|
$
|
-
|
$
|
-
|
$
|
8,807,207
|
||||||||
|
Exchange Traded Note
|
8,277,600
|
-
|
-
|
8,277,600
|
||||||||||||
|
Options Purchased
|
-
|
9,193,712
|
1,299,595
|
10,493,307
|
||||||||||||
|
Short-Term Investments
|
197,599,122
|
-
|
-
|
197,599,122
|
||||||||||||
|
Total Assets
|
214,683,929
|
9,193,712
|
1,299,595
|
225,177,236
|
||||||||||||
|
Liabilities
|
||||||||||||||||
|
Securities Sold Short
|
$
|
(3,732,000
|
)
|
$
|
-
|
$
|
-
|
$
|
(3,732,000
|
)
|
||||||
|
Total
|
210,951,929
|
9,193,712
|
1,299,595
|
221,445,236
|
||||||||||||
|
Other Financial Instruments *
|
||||||||||||||||
|
Written Options
|
$
|
-
|
$
|
(7,251,844
|
)
|
$
|
-
|
$
|
(7,251,844
|
)
|
||||||
|
Forward Currency Contracts
|
-
|
(41,748
|
)
|
-
|
(41,748
|
)
|
||||||||||
|
Credit Default Swaps
|
-
|
(733,663
|
)
|
-
|
(733,663
|
)
|
||||||||||
|
Total Return Swap Contracts
|
-
|
(2,192,402
|
)
|
-
|
(2,192,402
|
)
|
||||||||||
|
Correlation Swap Contracts
|
-
|
-
|
18,146,339
|
18,146,339
|
||||||||||||
|
Dispersion Swap Contracts
|
-
|
-
|
2,353,753
|
2,353,753
|
||||||||||||
|
Variance Swap Contracts
|
-
|
10,215,789
|
7,309,095
|
17,524,884
|
||||||||||||
|
Total
|
$
|
-
|
$
|
(3,868
|
)
|
$
|
27,809,187
|
$
|
27,805,319
|
|||||||
* Other financial instruments are derivative instruments,
including swap contracts, foreign currency contracts, and written options. Total return swap contracts, credit default swap contracts, other swap contracts, and foreign currency contracts are valued at the unrealized appreciation
(depreciation) on the instrument, while written options are valued at fair value.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
|
Purchased Options
|
Other Financial
Instruments
|
||||||
|
Balance at August 31, 2018
|
$
|
903,760
|
$
|
10,185,190
|
|||
|
Purchased
|
375,000
|
-
|
|||||
|
Realized Gain (Loss)
|
-
|
-
|
|||||
|
Change in unrealized
appreciation/depreciation
|
20,835
|
17,623,997
|
|||||
|
Balance at November 30, 2018
|
$
|
1,299,595
|
$
|
27,809,187
|
|||
|
Change in unrealized appreciation/depreciation for Level 3 instruments held at November 30, 2018
|
$
|
20,835
|
$
|
17,623,997
|
|||
Item 2. Controls and Procedures.
|
(a)
|
The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of
1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
(17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to
materially affect, the Registrant's internal control over financial reporting.
|
Item 3. Exhibits.
Separate certifications for each principal
executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant
has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Trust for Advised Portfolios
By/s/ Christopher E. Kashmerick
Christopher E. Kashmerick, President and Principal Executive Officer
Date January 28, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By/s/ Russell B. Simon
Russell B. Simon, Treasurer and Principal Financial Officer
Date January 28, 2019
Exhibit 99.CERT
CERTIFICATION
I, Christopher E. Kashmerick certify that:
|
1.
|
I have reviewed this report on Form N-Q of Trust for Advised Portfolios;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact
necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments
of the registrant as of the end of the fiscal quarter for which the report is filed;
|
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being
prepared;
|
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;
|
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of directors (or persons performing the equivalent functions):
|
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
|
(b)
|
Any fraud, whether or not material, that involves
management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
|
Date: _ January 28, 2019
|
/s/ Christopher E. Kashmerick |
|
Christopher E. Kashmerick
President and Principal Executive Officer
|
Exhibit 99.CERT
CERTIFICATION
I, Russell B. Simon certify that:
|
1.
|
I have reviewed this report on Form N-Q of Trust for Advised Portfolios;
|
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact
necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
|
3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments
of the registrant as of the end of the fiscal quarter for which the report is filed;
|
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being
prepared;
|
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation;
|
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of directors (or persons performing the equivalent functions):
|
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.
|
|
Date: _ January 28, 2019
|
/s/ Russell B. Simon
|
|
Russell B. Simon
Treasurer and Principal Financial Officer
|
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