UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22027
FundVantage Trust
(Exact name of registrant as specified in charter)
103 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Joel L. Weiss
JW Fund Management LLC
1636 N Cedar Crest Blvd.
Suite #161
Allentown, PA 18104
(Name and address of agent for service)
Registrant’s telephone number, including area code: 856-528-3500
Date of fiscal year end: September 30
Date of reporting period: March 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
| | (a) | Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). |
| | | The Report to Shareholders is attached herewith. |
| Ambrus Core Bond Fund |
| Ambrus Tax-Conscious California Bond Fund |
| Ambrus Tax-Conscious National Bond Fund |
of
FundVantage Trust
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
IMPORTANT NOTICE – UPCOMING CHANGES TO AMBRUS FUNDS ANNUAL & SEMI-ANNUAL REPORTS
The Securities and Exchange Commission (the “SEC”) has adopted rule and form amendments that will result in changes to the design and delivery of annual and semi-annual shareholder reports (“Reports”). Beginning in July 2024, Reports will be streamlined to highlight key information (“Redesigned Reports”). Certain information currently included in the Reports, including financial statements, will no longer appear in the Reports but will be available online, delivered free of charge to shareholders upon request, and filed with the SEC.
If you previously elected to receive the Funds' Reports electronically, you will continue to receive the Redesigned Reports electronically. Otherwise, you will receive paper copies of the Funds' Redesigned Reports via USPS mail for all Reports transmitted after July 2024. If you would like to receive the Funds' Redesigned Reports (and/or other communications) electronically instead of by mail, please contact your financial advisor or, if you are a direct investor, please call (833) 996-2101.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
AMBRUS CORE BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | Since
Inception |
| Institutional Class | 5.14% | | 4.56% | | 3.78% * |
| Bloomberg U.S. Intermediate Government/Credit Bond Index | 4.40% | | 2.69% | | 2.76% ** |
| † | Not Annualized. |
| * | The Ambrus Core Bond Fund (the “Fund”) commenced operations on September 6, 2022. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.71% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg U.S. Intermediate Government/Credit Bond Index. The Bloomberg U.S. Intermediate Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized components of the U.S. Aggregate Index with less than 10 years to maturity. The index includes investment grade, USD-denominated, fixed-rate treasuries, government-related and corporate securities.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | Since
Inception |
| Institutional Class | 5.00% | | 3.84% | | 4.62% * |
| Bloomberg California Municipal Inter-Short (1-10 Year) Index | 4.55% | | 2.00% | | 4.41% ** |
| † | Not Annualized. |
| * | The Ambrus Tax-Conscious California Bond Fund (the “Fund”) commenced operations on October 3, 2022. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.66% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg California Municipal Inter-Short (1-10 Year) Index. The Bloomberg California Municipal Inter-Short (1-10 Year) Index measures the USD-denominated investment grade tax-exempt municipal bond market consisting of bonds with maturities between 1 and 10 years and issued by municipalities in California.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | Since
Inception |
| Institutional Class | 5.13% | | 3.64% | | 4.63% * |
| Bloomberg Municipal Inter-Short (1-10 Year) Index | 4.67% | | 2.07% | | 4.48% ** |
| † | Not Annualized. |
| * | The Ambrus Tax-Conscious National Bond Fund (the “Fund”) commenced operations on October 3, 2022. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.70% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg Municipal Inter-Short (1-10 Year) Index. The Bloomberg Municipal Inter-Short (1-10 Year) Index measures the USD-denominated investment grade tax-exempt municipal bond market consisting of bonds with maturities between 1 and 10 years.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
AMBRUS FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2023 | | Ending Account Value
March 31, 2024 | | Annualized
Expense Ratio | | Expenses Paid
During Period |
| Ambrus Core Bond Fund |
| Institutional Class* | | | | | | | |
| Actual | $1,000.00 | | $1,051.40 | | 0.50% | | $2.56 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.50 | | 0.50% | | 2.53 |
| Ambrus Tax-Conscious California Bond Fund |
| Institutional Class** | | | | | | | |
| Actual | $1,000.00 | | $1,050.00 | | 0.50% | | $2.56 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.50 | | 0.50% | | 2.53 |
| Ambrus Tax-Conscious National Bond Fund |
| Institutional Class*** | | | | | | | |
| Actual | $1,000.00 | | $1,051.30 | | 0.50% | | $2.56 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.50 | | 0.50% | | 2.53 |
| * | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.14% for Institutional Class shares. |
AMBRUS FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2024
(Unaudited)
| ** | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.00% for Institutional Class shares. |
| *** | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.13% for Institutional Class shares. |
Ambrus Core Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| U.S. Treasury Obligations | 45.4% | | $116,730,071 |
| CORPORATE BONDS: | | | |
| Financials | 13.8 | | 35,537,317 |
| Industrials | 5.0 | | 12,813,824 |
| Technology | 4.6 | | 11,889,692 |
| Consumer Discretionary | 4.2 | | 10,814,895 |
| Health Care | 3.5 | | 9,034,907 |
| Materials | 2.7 | | 6,774,725 |
| Utilities | 2.3 | | 5,979,469 |
| Energy | 2.0 | | 5,106,074 |
| Consumer Staple Products | 1.8 | | 4,715,781 |
| Communications | 1.0 | | 2,439,862 |
| Real Estate | 0.4 | | 1,004,598 |
| PREFERREDS: | | | |
| Financials | 6.3 | | 16,217,099 |
| Consumer Discretionary | 0.6 | | 1,466,809 |
| Energy | 0.4 | | 1,039,641 |
| MUNICIPAL BONDS: | | | |
| California | 0.3 | | 715,170 |
| Maryland | 0.1 | | 291,973 |
| Short-Term Investment | 4.7 | | 12,022,087 |
| Other Assets in Excess of Liabilities | 0.9 | | 2,359,570 |
| NET ASSETS | 100.0% | | $256,953,564 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
AMBRUS CORE BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| U.S. TREASURY OBLIGATIONS — 45.4% |
United States Treasury Bills,
5.288%, 6/13/24(a) | $ 6,650,000 | | $ 6,579,738 |
| United States Treasury Bonds, | | | |
| 3.875%, 5/15/43 | 2,250,000 | | 2,080,459 |
| 1.25%, 5/15/50 | 6,250,000 | | 3,206,055 |
| United States Treasury Notes, | | | |
| 5.469%, 4/30/25(b) | 9,000,000 | | 9,003,800 |
| 4.125%, 5/31/25 | 14,500,000 | | 14,385,019 |
| 4.125%, 6/15/26 | 23,000,000 | | 22,783,477 |
| 3.625%, 5/31/28 | 31,000,000 | | 30,234,082 |
| 3.75%, 5/31/30 | 21,500,000 | | 20,954,941 |
| 3.375%, 5/15/33 | 8,000,000 | | 7,502,500 |
U.S. TREASURY OBLIGATIONS
(Cost $116,846,685) | | 116,730,071 |
| CORPORATE BONDS — 41.3% |
| Communications — 1.0% |
| AT&T, Inc., 7.125%, 12/15/31 | 500,000 | | 544,805 |
| Paramount Global, 5.50%, 5/15/33 | 1,000,000 | | 883,921 |
| Verizon Communications, Inc., 6.669%, 5/15/25(b) | 1,000,000 | | 1,011,136 |
| | | | 2,439,862 |
| Consumer Discretionary — 4.2% |
| Advance Auto Parts, Inc., 3.50%, 3/15/32 | 1,150,000 | | 984,323 |
| Brunswick Corp., 2.40%, 8/18/31 | 1,000,000 | | 798,591 |
| Choice Hotels International, Inc., 3.70%, 12/1/29 | 1,500,000 | | 1,344,211 |
| Darden Restaurants, Inc., 6.30%, 10/10/33 | 1,900,000 | | 1,980,770 |
| Genuine Parts Co., 1.875%, 11/1/30 | 500,000 | | 406,519 |
| Hyatt Hotels Corp., 1.80%, 10/1/24 | 800,000 | | 783,303 |
| Masco Corp., 3.50%, 11/15/27 | 1,000,000 | | 945,826 |
| Mohawk Industries, Inc., 3.625%, 5/15/30 | 450,000 | | 416,011 |
| Polaris, Inc., 6.95%, 3/15/29 | 1,000,000 | | 1,064,156 |
| Tapestry, Inc., 3.05%, 3/15/32 | 1,650,000 | | 1,356,737 |
| VF Corp., 6.00%, 10/15/33 | 750,000 | | 734,448 |
| | | | 10,814,895 |
| Consumer Staple Products — 1.8% |
| Dollar General Corp., 4.15%, 11/1/25 | 750,000 | | 735,854 |
| J M Smucker Co. (The), 6.20%, 11/15/33 | 650,000 | | 693,503 |
| Kroger Co. (The), 7.70%, 6/1/29 | 2,064,000 | | 2,310,545 |
| Sysco Corp., 3.75%, 10/1/25 | 1,000,000 | | 975,879 |
| | | | 4,715,781 |
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Energy — 2.0% |
| Continental Resources, Inc., 3.80%, 6/1/24 | $ 400,000 | | $ 398,416 |
| Hess Corp., 3.50%, 7/15/24 | 500,000 | | 496,480 |
| Kinder Morgan, Inc., 7.80%, 8/1/31 | 1,500,000 | | 1,698,601 |
| Phillips 66 Co., 5.25%, 6/15/31 | 1,000,000 | | 1,009,277 |
| Tosco Corp., 7.80%, 1/1/27 | 500,000 | | 530,627 |
| Valero Energy Corp., 2.85%, 4/15/25 | 1,000,000 | | 972,673 |
| | | | 5,106,074 |
| Financials — 13.8% |
| Air Lease Corp., 3.25%, 3/1/25 | 1,300,000 | | 1,271,458 |
| American Express Co., 6.003%, 11/4/26(b) | 1,420,000 | | 1,421,989 |
| American Tower Corp., REIT, 2.95%, 1/15/25 | 1,000,000 | | 979,022 |
| AmSouth Bancorp, 6.75%, 11/1/25 | 600,000 | | 606,122 |
| Bank of America Corp., 4.20%, 8/26/24 | 1,000,000 | | 994,155 |
| Bank of America Corp., 0.981%, 9/25/25 | 1,000,000 | | 976,980 |
| Bank of New York Mellon (The), 5.224%, 11/21/25 | 500,000 | | 499,214 |
| Bank of New York Mellon Corp. (The), 4.543%, 2/1/29 | 2,000,000 | | 1,972,182 |
| Discover Financial Services, 3.95%, 11/6/24 | 1,000,000 | | 988,819 |
| Discover Financial Services, 7.964%, 11/2/34 | 2,000,000 | | 2,268,787 |
| Equitable Holdings, Inc., 5.594%, 1/11/33 | 1,000,000 | | 1,012,480 |
| Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25 | 300,000 | | 294,534 |
| Goldman Sachs Group, Inc. (The), 1.948%, 10/21/27 | 1,300,000 | | 1,196,054 |
| Goldman Sachs Group, Inc. (The), 7.213%, 3/15/28(b) | 500,000 | | 511,797 |
| Goldman Sachs Group, Inc. (The), 4.482%, 8/23/28 | 1,000,000 | | 978,389 |
| Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29 | 500,000 | | 426,407 |
| Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 1,300,000 | | 1,324,720 |
| Jefferies Financial Group, Inc., 2.625%, 10/15/31 | 1,000,000 | | 825,038 |
| Jones Lang LaSalle, Inc., 6.875%, 12/1/28 | 825,000 | | 874,623 |
The accompanying notes are an integral part of the financial statements.
AMBRUS CORE BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Financials — (Continued) |
| JPMorgan Chase & Co., 5.546%, 12/15/25 | $ 2,000,000 | | $ 1,998,248 |
| JPMorgan Chase & Co., 6.538%, 2/24/28(b) | 500,000 | | 505,913 |
| Kilroy Realty LP, REIT, 2.50%, 11/15/32 | 100,000 | | 75,416 |
| LPL Holdings, Inc., 6.75%, 11/17/28 | 1,000,000 | | 1,048,292 |
| Morgan Stanley, 4.35%, 9/8/26 | 800,000 | | 782,736 |
| Northern Trust Corp., 3.375%, 5/8/32 | 919,000 | | 857,454 |
| PNC Bank, 4.20%, 11/1/25 | 1,000,000 | | 979,631 |
| Prudential Financial, Inc., 6.50%, 3/15/54 | 2,000,000 | | 2,038,058 |
| Synchrony Financial, 3.70%, 8/4/26 | 1,050,000 | | 998,493 |
| Synchrony Financial, 2.875%, 10/28/31 | 2,325,000 | | 1,857,775 |
| US Bancorp, 4.653%, 2/1/29 | 1,000,000 | | 980,722 |
| Vornado Realty LP, REIT, 3.40%, 6/1/31 | 500,000 | | 394,892 |
| Wells Fargo & Co., 3.584%, 5/22/28 | 300,000 | | 285,414 |
| Wells Fargo Bank, 6.50%, 12/1/28 | 1,000,000 | | 1,038,383 |
| Weyerhaeuser Co., REIT, 7.375%, 3/15/32 | 1,050,000 | | 1,194,606 |
| Zions Bancorp, 3.25%, 10/29/29 | 1,315,000 | | 1,078,514 |
| | | | 35,537,317 |
| Health Care — 3.5% |
| AbbVie, Inc., 2.60%, 11/21/24 | 700,000 | | 687,588 |
| Bristol-Myers Squibb Co., 2.95%, 3/15/32 | 1,000,000 | | 874,477 |
| Cigna Group (The), 3.25%, 4/15/25 | 2,890,000 | | 2,826,673 |
| DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 1,600,000 | | 1,419,926 |
| Illumina, Inc., 5.80%, 12/12/25 | 750,000 | | 751,462 |
| Laboratory Corp. of America Holdings, 3.60%, 2/1/25 | 500,000 | | 491,597 |
| McKesson Corp., 5.25%, 2/15/26 | 1,000,000 | | 997,819 |
| Pfizer Investment Enterprises Pte Ltd., 4.75%, 5/19/33 | 1,000,000 | | 985,365 |
| | | | 9,034,907 |
| Industrials — 5.0% |
| 3M Co., 2.65%, 4/15/25 | 2,000,000 | | 1,941,237 |
| Jacobs Engineering Group, Inc., 5.90%, 3/1/33 | 1,300,000 | | 1,318,105 |
| Northrop Grumman Corp., 4.60%, 2/1/29 | 1,000,000 | | 989,946 |
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Industrials — (Continued) |
| Northrop Grumman Systems Corp., 7.75%, 2/15/31 | $ 2,000,000 | | $ 2,318,230 |
| PACCAR Financial Corp., 4.60%, 1/10/28 | 1,000,000 | | 997,521 |
| RTX Corp., 2.375%, 3/15/32 | 1,500,000 | | 1,238,786 |
| Ryder System, Inc., 1.75%, 9/1/26 | 1,000,000 | | 923,025 |
| Ryder System, Inc., 5.375%, 3/15/29 | 500,000 | | 504,367 |
| Trimble, Inc., 6.10%, 3/15/33 | 1,500,000 | | 1,569,166 |
| Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/34 | 1,000,000 | | 1,013,441 |
| | | | 12,813,824 |
| Materials — 2.7% |
| Albemarle Corp., 5.05%, 6/1/32 | 2,325,000 | | 2,234,556 |
| Huntsman International, LLC, 2.95%, 6/15/31 | 1,500,000 | | 1,250,546 |
| LYB International Finance III, LLC, 3.375%, 5/1/30 | 1,500,000 | | 1,286,393 |
| LYB International Finance III, LLC, 5.50%, 3/1/34 | 2,000,000 | | 2,003,230 |
| | | | 6,774,725 |
| Real Estate — 0.4% |
| Invitation Homes Operating Partnership LP, REIT, 5.45%, 8/15/30 | 1,000,000 | | 1,004,598 |
| Technology — 4.6% |
| Arrow Electronics, Inc., 6.125%, 3/1/26 | 1,265,000 | | 1,264,866 |
| Booz Allen Hamilton, Inc., 5.95%, 8/4/33 | 500,000 | | 518,151 |
| Broadridge Financial Solutions, Inc., 2.90%, 12/1/29 | 1,300,000 | | 1,152,538 |
| Equifax, Inc., 3.10%, 5/15/30 | 500,000 | | 447,008 |
| Fiserv, Inc., 5.45%, 3/15/34 | 500,000 | | 506,369 |
| Fortinet, Inc., 2.20%, 3/15/31 | 1,000,000 | | 836,126 |
| Leidos, Inc., 7.125%, 7/1/32 | 2,400,000 | | 2,601,737 |
| Microchip Technology, Inc., 0.983%, 9/1/24 | 1,000,000 | | 979,830 |
| Motorola Solutions, Inc., 2.30%, 11/15/30 | 1,500,000 | | 1,259,835 |
| Oracle Corp., 3.80%, 11/15/37 | 2,000,000 | | 1,680,422 |
| Teledyne Technologies, Inc., 2.75%, 4/1/31 | 750,000 | | 642,810 |
| | | | 11,889,692 |
The accompanying notes are an integral part of the financial statements.
AMBRUS CORE BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Utilities — 2.3% |
| Florida Power & Light Co., 5.05%, 4/1/28 | $ 1,850,000 | | $ 1,871,751 |
| NextEra Energy Capital Holdings, Inc., 6.051%, 3/1/25 | 500,000 | | 502,102 |
| PacifiCorp, 6.10%, 8/1/36 | 2,000,000 | | 2,089,156 |
| Southwestern Electric Power Co., 5.30%, 4/1/33 | 500,000 | | 494,717 |
| System Energy Resources, Inc., 6.00%, 4/15/28 | 1,000,000 | | 1,021,743 |
| | | | 5,979,469 |
TOTAL CORPORATE BONDS
(Cost $104,438,858) | | | 106,111,144 |
| | Par Value/
Shares | |
| PREFERREDS — 7.3% |
| Consumer Discretionary — 0.6% |
| General Motors Financial Co., Inc., 5.75%, 9/30/27 | 1,550,000 | 1,466,809 |
| Energy — 0.4% |
| BP Capital Markets PLC, 6.45%, 12/1/33 | 1,000,000 | 1,039,641 |
| Financials — 6.3% |
| Bank of America Corp., 6.25%, 9/5/24 | 700,000 | 702,627 |
| Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 250,000 | 245,958 |
| Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 740,000 | 700,721 |
| Bank of New York Mellon Corp. (The), 4.625%, 9/20/26 | 1,500,000 | 1,418,513 |
| Citigroup, Inc., 6.30%, 5/15/24 | 1,425,000 | 1,424,700 |
| Citigroup, Inc., 4.00%, 12/10/25 | 1,300,000 | 1,249,703 |
| Citigroup, Inc., 7.625%, 11/15/28 | 1,350,000 | 1,420,870 |
| JPMorgan Chase & Co., 9.348%, 5/1/24(b) | 625,000 | 626,101 |
| JPMorgan Chase & Co., 6.10%, 10/1/24 | 1,500,000 | 1,501,935 |
| JPMorgan Chase & Co., 6.875%, 6/1/29 | 2,000,000 | 2,075,227 |
| M&T Bank Corp., 9.179%, 5/15/24(b) | 475,000 | 477,075 |
| Morgan Stanley, 6.875%, 7/15/24 | 39,395 | 991,178 |
| Northern Trust Corp., 4.60%, 10/1/26 | 1,550,000 | 1,493,428 |
| State Street Corp., 8.13%, 6/15/24(b) | 1,050,000 | 1,051,381 |
| | Par Value/
Shares | | Value |
| PREFERREDS — (Continued) |
| Financials — (Continued) |
| State Street Corp., 5.35%, 3/15/26 | $ 20,000 | | $ 489,800 |
| Wells Fargo & Co., 7.625%, 9/15/28 | 325,000 | | 347,882 |
| | | | 16,217,099 |
TOTAL PREFERREDS
(Cost $17,813,437) | | | 18,723,549 |
| | Principal
Amount | |
| MUNICIPAL BONDS — 0.4% |
| California — 0.3% |
California Educational Facilities Authority Revenue, Series A, Callable 04/01/27 at 100,
3.561%, 4/1/31 | 500,000 | 454,980 |
State of California GO,
4.846%, 3/1/27 | 150,000 | 150,989 |
State of California GO,
6.00%, 3/1/33 | 100,000 | 109,201 |
| | | 715,170 |
| Maryland — 0.1% |
| Maryland Community Development Administration Revenue, Social Bonds, Series C, 4.177%, 3/1/29, (GNMA/FNMA/FHLMC Insured) | 300,000 | 291,973 |
TOTAL MUNICIPAL BONDS
(Cost $1,003,215) | | 1,007,143 |
| | Number
of Shares | |
| SHORT-TERM INVESTMENT — 4.7% |
| Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) | 12,022,087 | 12,022,087 |
|
| |
TOTAL SHORT-TERM INVESTMENT
(Cost $12,022,087) | | 12,022,087 |
|
| |
TOTAL INVESTMENTS - 99.1%
(Cost $252,124,282) | | 254,593,994 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | | 2,359,570 |
| NET ASSETS - 100.0% | | $ 256,953,564 |
The accompanying notes are an integral part of the financial statements.
AMBRUS CORE BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| (a) | Rate represents annualized yield at date of purchase. |
| (b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024. |
| (c) | Rate disclosed is the 7-day yield at March 31, 2024. |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| GO | General Obligation |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
The accompanying notes are an integral part of the financial statements.
Ambrus Tax-Conscious California Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| MUNICIPAL BONDS: | | | |
| California | 52.8% | | $118,502,804 |
| Connecticut | 3.2 | | 7,149,047 |
| Washington | 1.9 | | 4,301,714 |
| Texas | 1.8 | | 3,999,882 |
| New York | 1.1 | | 2,531,112 |
| Michigan | 1.1 | | 2,522,539 |
| South Carolina | 1.1 | | 2,382,235 |
| Pennsylvania | 0.8 | | 1,852,912 |
| Ohio | 0.7 | | 1,524,971 |
| Oregon | 0.6 | | 1,326,445 |
| Florida | 0.5 | | 1,118,045 |
| New Mexico | 0.5 | | 1,012,426 |
| Illinois | 0.4 | | 800,978 |
| New Jersey | 0.2 | | 502,625 |
| Iowa | 0.1 | | 150,753 |
| Minnesota | 0.0 | | 101,695 |
| U.S. Treasury Obligations | 10.7 | | 24,077,046 |
| PREFERREDS: | | | |
| Financials | 6.7 | | 15,164,981 |
| Consumer Discretionary | 0.4 | | 828,037 |
| Energy | 0.5 | | 1,039,641 |
| CORPORATE BONDS: | | | |
| Financials | 3.4 | | 7,620,469 |
| Consumer Discretionary | 1.5 | | 3,391,808 |
| Materials | 1.0 | | 2,336,120 |
| Technology | 0.7 | | 1,616,329 |
| Health Care | 0.3 | | 586,853 |
| Consumer Staple Products | 0.2 | | 490,569 |
| Communications | 0.2 | | 441,960 |
| Energy | 0.2 | | 398,416 |
| Short-Term Investment | 6.1 | | 13,664,995 |
| Other Assets in Excess of Liabilities | 1.3 | | 2,995,102 |
| NET ASSETS | 100.0% | | $224,432,509 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — 66.8% |
| California — 52.8% |
Albany Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/43 | $1,000,000 | | $ 1,038,411 |
Antioch Unified School District GO, OID, Callable 08/01/25 at 100,
4.00%, 8/1/40, (BAM Insured) | 575,000 | | 576,306 |
Berkeley Joint Powers Financing Authority Revenue, OID, Refunding, Callable 04/29/24 at 100,
3.00%, 10/1/27 | 25,000 | | 24,912 |
Beverly Hills Unified School District GO, CAB, OID, Refunding, Callable 08/01/26 at 68,
0.00%, 8/1/37(a) | 500,000 | | 312,215 |
Cabrillo Unified School District GO, Series A, Callable 08/01/26 at 100,
5.00%, 8/1/48 | 625,000 | | 642,145 |
California Community Choice Financing Authority Revenue, Callable 05/01/29 at 100,
5.00%, 7/1/53(b) | 2,080,000 | | 2,199,144 |
California Community Choice Financing Authority Revenue, Series A-1, Callable 05/01/28 at 100,
4.00%, 5/1/53(b) | 500,000 | | 502,424 |
California Community Choice Financing Authority Revenue, Series B-1, Callable 05/01/31 at 101,
4.00%, 2/1/52(b) | 1,400,000 | | 1,408,833 |
California Educational Facilities Authority Revenue, Series A, Callable 10/01/28 at 100,
5.00%, 10/1/48 | 70,000 | | 72,876 |
California Enterprise Development Authority Revenue, Callable 11/01/27 at 100,
5.00%, 11/1/34 | 215,000 | | 231,240 |
California Health Facilities Financing Authority Revenue, Callable 02/01/27 at 100,
5.00%, 2/1/29 | 40,000 | | 42,259 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
California Health Facilities Financing Authority Revenue, Callable 11/15/24 at 100,
5.00%, 11/15/35 | $ 365,000 | | $ 367,118 |
California Health Facilities Financing Authority Revenue, Refunding, Callable 04/01/26 at 100,
5.00%, 4/1/27, (CA MTG Insured) | 5,000 | | 5,205 |
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/38 | 250,000 | | 263,686 |
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/48 | 25,000 | | 25,839 |
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/24 at 100,
5.00%, 8/15/27 | 20,000 | | 20,129 |
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/26 at 100,
5.00%, 8/15/34 | 410,000 | | 429,159 |
California Health Facilities Financing Authority Revenue, Series A, Callable 10/01/24 at 100,
4.00%, 10/1/28 | 100,000 | | 100,074 |
California Health Facilities Financing Authority Revenue, Series A, Callable 11/15/27 at 100,
5.00%, 11/15/28 | 15,000 | | 16,164 |
California Health Facilities Financing Authority Revenue, Series A, Refunding,
4.00%, 10/1/26 | 65,000 | | 65,879 |
California Health Facilities Financing Authority Revenue, Series A, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/34 | 1,345,000 | | 1,449,743 |
California Health Facilities Financing Authority Revenue, Series A2, Callable 11/01/27 at 100,
4.00%, 11/1/44 | 4,000,000 | | 4,012,866 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
California Health Facilities Financing Authority Revenue, Series B-1, Callable 02/01/28 at 102,
5.00%, 11/15/61(b) | $ 800,000 | | $ 876,247 |
California Infrastructure & Economic Development Bank Revenue, Callable 05/15/28 at 100,
5.00%, 5/15/47 | 1,130,000 | | 1,188,941 |
California Infrastructure & Economic Development Bank Revenue, Callable 08/01/29 at 100,
5.00%, 8/1/44 | 1,650,000 | | 1,775,366 |
California Infrastructure & Economic Development Bank Revenue, OID, Refunding,
3.20%, 10/1/29 | 1,785,000 | | 1,641,100 |
California Infrastructure & Economic Development Bank Revenue, Refunding, Callable 11/01/26 at 100,
5.00%, 5/1/28 | 20,000 | | 21,055 |
California Municipal Finance Authority Revenue, Callable 11/15/28 at 100,
5.00%, 5/15/36, (BAM-TCRS Insured) | 500,000 | | 533,385 |
California Municipal Finance Authority Revenue, Series A, Callable 02/01/27 at 100,
3.20%, 9/1/45, (HUD SECT 8 Insured)(b) | 1,250,000 | | 1,244,609 |
California State University Revenue, Series A, Refunding, Callable 11/01/28 at 100,
5.00%, 11/1/43 | 1,900,000 | | 2,043,688 |
California Statewide Communities Development Authority Revenue, Callable 02/01/28 at 100,
5.00%, 8/1/29 | 300,000 | | 313,506 |
California Statewide Communities Development Authority Revenue, Refunding,
5.00%, 3/1/28 | 100,000 | | 105,412 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
California Statewide Communities Development Authority Revenue, Refunding, Callable 03/01/28 at 100,
5.00%, 3/1/33 | $ 160,000 | | $ 169,531 |
California Statewide Communities Development Authority Revenue, Series A,
5.00%, 4/1/28 | 20,000 | | 21,211 |
Cathedral City Redevelopment Agency Successor Agency, Series A, Refunding, Callable 08/01/24 at 100,
5.00%, 8/1/29, (AGM Insured) | 705,000 | | 708,824 |
Centinela Valley Union High School District GO, Series C, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/34, (AGM Insured) | 1,000,000 | | 1,013,363 |
Chino Community Facilities District,
5.00%, 9/1/24 | 180,000 | | 180,753 |
Chowchilla Elementary School District GO, Callable 08/01/26 at 100,
5.00%, 8/1/43 | 580,000 | | 597,147 |
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/27 | 145,000 | | 153,051 |
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/28 | 100,000 | | 107,417 |
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/29 | 100,000 | | 109,239 |
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/30 | 150,000 | | 165,984 |
Coachella Valley Unified School District, OID, Refunding, Callable 09/01/24 at 100,
3.50%, 9/1/28, (BAM Insured) | 50,000 | | 50,092 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Coachella Valley Unified School District GO, OID, Refunding, Callable 08/01/24 at 100,
4.00%, 8/1/27, (BAM Insured) | $ 5,000 | | $ 5,014 |
Colusa Unified School District GO, Callable 05/01/25 at 100,
4.00%, 5/1/34, (AGM Insured) | 510,000 | | 512,134 |
Compton Unified School District GO, Series B, Callable 06/01/27 at 100,
4.00%, 6/1/32, (BAM Insured) | 140,000 | | 143,914 |
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A,
0.75%, 12/1/24 | 300,000 | | 291,110 |
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A,
1.25%, 6/1/27 | 40,000 | | 36,129 |
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/1/44, (BAM Insured) | 100,000 | | 106,367 |
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/10/49, (BAM Insured) | 185,000 | | 193,113 |
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/1/54, (BAM Insured) | 425,000 | | 439,915 |
East Side Union High School District GO, Series A, OID, Refunding, Callable 08/01/26 at 100,
2.125%, 8/1/29 | 50,000 | | 46,478 |
East Side Union High School District GO, Series B, Refunding,
5.25%, 2/1/26, (NATL Insured) | 125,000 | | 127,618 |
Eastern Municipal Water District Financing Authority Revenue, Series B, Unrefunded portion, Callable 07/01/26 at 100,
4.00%, 7/1/35 | 250,000 | | 254,933 |
Escondido Union School District GO, Series B, Callable 08/01/27 at 100,
4.00%, 8/1/47 | 1,150,000 | | 1,137,671 |
Fairfield, Series A, OID,
0.00%, 4/1/24, (AGC Insured)(a) | 55,000 | | 55,000 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Fillmore Wastewater Revenue, Refunding, Callable 05/01/27 at 100,
5.00%, 5/1/47, (AGM Insured) | $ 1,175,000 | | $ 1,219,986 |
Folsom Cordova Unified School District GO, Series D, Callable 10/01/26 at 100,
4.00%, 10/1/44, (AGM Insured) | 550,000 | | 539,563 |
Folsom Cordova Unified School District School Facilities Improvement Dist No 5 GO, Series A, OID, Callable 10/01/25 at 100,
4.00%, 10/1/40 | 2,325,000 | | 2,304,991 |
Fontana Unified School District GO, Series A, OID,
0.00%, 8/1/29, (AGM Insured)(a) | 2,500,000 | | 2,113,142 |
Fresno County Financing Authority Revenue, Refunding, Callable 04/01/26 at 100,
3.00%, 4/1/29 | 375,000 | | 372,941 |
Fresno Unified School District GO, Series B, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/46 | 1,485,000 | | 1,450,874 |
Gardena Revenue, MWC,
2.663%, 4/1/28 | 815,000 | | 753,491 |
Glendale Unified School District GO, Series B, CAB, OID, Refunding, Callable 09/01/25 at 70,
0.00%, 9/1/33(a) | 800,000 | | 528,471 |
Grossmont Healthcare District GO, Series D, Refunding, Callable 07/15/25 at 100,
4.00%, 7/15/40 | 1,000,000 | | 993,214 |
Hayward Unified School District, Callable 08/01/27 at 100,
5.25%, 8/1/52 | 1,000,000 | | 1,037,970 |
Hayward Unified School District GO, Refunding, Callable 08/01/28 at 100,
4.00%, 8/1/43, (BAM Insured) | 1,000,000 | | 1,003,799 |
Imperial Community College District GO, Series A, Callable 08/01/33 at 100,
5.25%, 8/1/53, (AGM Insured) | 900,000 | | 1,004,945 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Imperial Community College District GO, Series B, Callable 08/01/34 at 100,
5.00%, 8/1/42, (AGM Insured) | $ 270,000 | | $ 310,810 |
Indian Wells Redevelopment Agency Successor Agency, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/28, (NATL Insured) | 20,000 | | 21,011 |
Inglewood Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/38, (BAM Insured) | 1,505,000 | | 1,554,020 |
Irvine Facilities Financing Authority Revenue, Callable 05/01/26 at 100,
5.25%, 5/1/43 | 1,710,000 | | 1,770,867 |
Irvine Ranch Water District, Callable 08/01/26 at 100,
5.25%, 2/1/46 | 2,000,000 | | 2,081,341 |
Kern High School District GO, Series E, OID,
2.00%, 8/1/27 | 100,000 | | 94,861 |
Local Public Schools Funding Authority School Improvement District No 2016-1 GO, Series A, Callable 08/01/27 at 100,
4.00%, 8/1/42, (BAM Insured) | 770,000 | | 771,427 |
Lodi Unified School District GO, Series 2020, Callable 08/01/27 at 100,
4.00%, 8/1/40 | 995,000 | | 1,001,641 |
Long Beach Unified School District GO, Series E, Callable 08/01/26 at 100,
4.00%, 8/1/44, (BAM-TCRS Insured) | 875,000 | | 860,537 |
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Series A, Callable 07/01/28 at 100,
5.00%, 7/1/44 | 825,000 | | 879,555 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Los Angeles County Public Works Financing Authority Revenue, Series A, Callable 12/01/30 at 100,
5.00%, 12/1/45 | $ 500,000 | | $ 547,770 |
Los Angeles County Public Works Financing Authority Revenue, Series D, Callable 12/01/25 at 100,
5.00%, 12/1/32 | 150,000 | | 155,087 |
Los Angeles County Public Works Financing Authority Revenue, Series E-1, Callable 12/01/29 at 100,
5.00%, 12/1/49 | 100,000 | | 106,983 |
Los Angeles County Schools Regionalized Business Services Corp., Series A3, OID, Refunding, Callable 04/29/24 at 100,
3.75%, 9/1/26, (AGM Insured) | 15,000 | | 15,006 |
Los Angeles Department of Airports Revenue, Refunding, Callable 05/15/29 at 100,
5.00%, 5/15/43 | 2,000,000 | | 2,163,176 |
Los Angeles Department of Water & Power Revenue, Callable 07/01/31 at 100,
5.00%, 7/1/51 | 85,000 | | 92,426 |
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/27 at 100,
5.00%, 7/1/47 | 1,000,000 | | 1,036,783 |
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/29 at 100,
5.00%, 7/1/45 | 600,000 | | 643,333 |
Los Angeles Department of Water & Power Revenue, Series A, Refunding, Callable 01/01/26 at 100,
5.00%, 7/1/40 | 1,580,000 | | 1,625,560 |
Los Angeles Department of Water & Power Revenue, Series D, Refunding, Callable 07/01/29 at 100,
5.00%, 7/1/44 | 640,000 | | 692,165 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/26 at 100,
5.00%, 7/1/46 | $ 1,755,000 | | $ 1,799,378 |
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/27 at 100,
5.00%, 7/1/44 | 250,000 | | 260,429 |
Los Angeles Housing Authority Revenue, Series A, Refunding, Callable 06/01/26 at 100,
4.00%, 6/1/27, (HUD SECT 8 Insured) | 5,000 | | 5,117 |
Los Angeles Solid Waste Resources Revenue, Series A, OID, Callable 04/29/24 at 100,
2.25%, 2/1/25 | 250,000 | | 245,285 |
Los Angeles Unified School District GO, Series A, Callable 07/01/25 at 100,
4.00%, 7/1/40 | 3,000,000 | | 2,942,174 |
Los Angeles Unified School District GO, Series B, Refunding, Callable 07/01/26 at 100,
3.00%, 7/1/32 | 1,220,000 | | 1,209,588 |
Lucia Mar Unified School District GO, Series A, OID, Callable 08/01/27 at 100,
4.00%, 8/1/46 | 1,500,000 | | 1,492,893 |
Lucia Mar Unified School District GO, Series B, Callable 08/01/28 at 100,
5.00%, 8/1/42 | 535,000 | | 569,871 |
Marin Healthcare District GO, Callable 08/01/25 at 100,
4.00%, 8/1/40 | 1,000,000 | | 983,450 |
Martinez Unified School District GO, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/28 | 20,000 | | 20,512 |
Metropolitan Water District of Southern California Revenue, Series B, Refunding,
3.00%, 7/1/28 | 1,800,000 | | 1,807,246 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Montebello Public Financing Authority Revenue, Series B, OID,
6.20%, 11/1/32 | $ 1,000,000 | | $ 1,053,745 |
Napa Valley Unified School District GO, Series C, Callable 08/01/26 at 100,
4.00%, 8/1/44, (AGM Insured) | 555,000 | | 548,841 |
Norman Y Mineta San Jose International Airport SJC Revenue, Series B, Refunding, Callable 03/01/27 at 100,
5.00%, 3/1/42 | 165,000 | | 172,055 |
Northern California Energy Authority Revenue, Series A, Callable 04/19/24 at 100,
4.00%, 7/1/49(b) | 1,000,000 | | 1,000,013 |
Oxnard Union High School District, OID, Callable 06/01/29 at 100,
2.25%, 6/1/39, (AGM Insured) | 330,000 | | 256,038 |
Oxnard Union High School District GO, Series B, Callable 08/01/28 at 100,
5.00%, 8/1/45 | 1,000,000 | | 1,060,630 |
Palomar Health GO, Series B, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/33 | 200,000 | | 201,735 |
Perris Public Financing Authority, Series B, OID, Refunding, Callable 10/01/25 at 100,
3.75%, 10/1/31 | 1,620,000 | | 1,623,144 |
Piedmont Unified School District GO, Series C, OID, Callable 08/01/31 at 100,
2.125%, 8/1/41 | 455,000 | | 331,571 |
Pittsburg Successor Agency Redevelopment Agency, Series A, Refunding,
5.00%, 9/1/26, (AGM Insured) | 100,000 | | 103,825 |
Rancho Santiago Community College District GO, Series C, OID,
0.00%, 9/1/27, (AGM Insured)(a) | 2,040,000 | | 1,840,067 |
Ravenswood City School District GO, Callable 08/01/26 at 100,
5.00%, 8/1/29 | 300,000 | | 316,216 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/37 | $ 210,000 | | $ 214,360 |
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/38 | 255,000 | | 259,851 |
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/39 | 325,000 | | 330,920 |
Riverside Community College District, Callable 06/01/25 at 100,
5.25%, 6/1/43 | 1,670,000 | | 1,700,386 |
Riverside Community College District, Callable 06/01/25 at 100,
5.25%, 6/1/49 | 2,000,000 | | 2,033,066 |
Riverside County Redevelopment Successor Agency, Series A, CAB, OID, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/31, (BAM Insured) | 500,000 | | 525,116 |
Riverside County Redevelopment Successor Agency, Series A, Refunding, Callable 10/01/27 at 100,
4.00%, 10/1/39, (BAM Insured) | 1,000,000 | | 1,007,972 |
Riverside County Transportation Commission Sales Tax Revenue, Series A, Callable 06/01/27 at 100,
5.00%, 6/1/39 | 440,000 | | 464,197 |
Sacramento Area Flood Control Agency, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/36 | 505,000 | | 530,168 |
Sacramento County Sanitation Districts Financing Authority Revenue, Series A, Refunding, Callable 06/01/24 at 100,
5.00%, 12/1/31 | 175,000 | | 175,309 |
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100,
5.00%, 6/1/48 | 800,000 | | 828,856 |
San Diego Community Facilities District No 2, Refunding,
4.00%, 9/1/27 | 535,000 | | 549,651 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
San Diego County,
5.00%, 10/1/29 | $ 310,000 | | $ 351,360 |
San Diego County Regional Airport Authority Revenue, Series A, Callable 07/01/31 at 100,
5.00%, 7/1/46 | 1,530,000 | | 1,671,370 |
San Diego County Regional Airport Authority Revenue, Series A, Refunding, Callable 07/01/29 at 100,
5.00%, 7/1/44 | 1,170,000 | | 1,257,191 |
San Diego Public Facilities Financing Authority Revenue, Series A, Callable 08/01/28 at 100,
5.00%, 8/1/43 | 2,655,000 | | 2,840,487 |
San Diego Unified School District GO, Series I, Callable 07/01/27 at 100,
5.00%, 7/1/47 | 2,020,000 | | 2,101,514 |
San Dieguito School Facilities Financing Authority, Refunding, Callable 03/01/28 at 100,
5.00%, 3/1/37 | 635,000 | | 684,134 |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series A, AMT, Unrefunded portion, Callable 05/01/27 at 100,
5.00%, 5/1/47 | 1,785,000 | | 1,816,500 |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series B, AMT, Callable 05/01/26 at 100,
5.00%, 5/1/41 | 1,100,000 | | 1,116,491 |
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series B, Refunding, Callable 05/01/33 at 100,
5.00%, 5/1/43 | 720,000 | | 813,772 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
San Francisco City & County Public Utilities Commission Power Revenue, Series A, Callable 05/01/25 at 100,
5.00%, 11/1/35 | $ 115,000 | | $ 117,410 |
San Jose Evergreen Community College District GO, Series B, Callable 09/01/28 at 100,
3.00%, 9/1/34 | 300,000 | | 295,575 |
San Marcos Public Facilities Authority, Refunding,
5.00%, 9/1/28, (BAM Insured) | 120,000 | | 130,083 |
San Marcos Public Facilities Authority, Series A, Refunding, Callable 09/01/24 at 100,
5.00%, 9/1/32, (AGM Insured) | 150,000 | | 150,850 |
San Marcos Unified School District GO, Refunding, Callable 08/01/27 at 100,
4.00%, 8/1/33 | 500,000 | | 516,680 |
Santa Clara Unified School District GO, Callable 07/01/26 at 100,
3.00%, 7/1/35 | 1,000,000 | | 963,596 |
Santa Clarita Public Finance Authority Revenue, Series B, OID, Refunding, Callable 10/01/26 at 100,
2.00%, 10/1/27 | 20,000 | | 18,890 |
Santa Cruz City Elementary School District GO, Series C, Callable 08/01/30 at 100,
2.00%, 8/1/36 | 695,000 | | 559,664 |
Selma Unified School District GO, Series A, Callable 08/01/31 at 100,
5.25%, 8/1/48, (BAM Insured) | 350,000 | | 387,523 |
Shasta Joint Powers Financing Authority Revenue, Series A, OID, Refunding, Callable 04/29/24 at 100,
3.00%, 4/1/26, (AGM Insured) | 10,000 | | 9,966 |
Simi Valley Unified School District GO, Series D, Callable 08/01/31 at 100,
5.00%, 8/1/43 | 500,000 | | 554,252 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
South San Francisco Unified School District GO, Series C, Callable 09/01/25 at 100,
4.00%, 9/1/33 | $ 2,000,000 | | $ 2,010,880 |
State of California Department of Water Resources Revenue, Series AR, Prerefunded, Callable 06/01/24 at 100,
4.00%, 12/1/33 | 830,000 | | 830,500 |
State of California GO,
4.846%, 3/1/27 | 350,000 | | 352,308 |
State of California GO,
6.00%, 3/1/33 | 150,000 | | 163,801 |
State of California GO, Callable 09/01/26 at 100,
5.00%, 9/1/45 | 250,000 | | 258,888 |
State of California GO, Callable 12/01/30 at 100,
5.00%, 12/1/46 | 1,500,000 | | 1,626,850 |
State of California GO, Refunding, Callable 04/01/29 at 100,
5.00%, 10/1/42 | 2,500,000 | | 2,679,551 |
State of California GO, Refunding, Callable 08/01/24 at 100,
5.00%, 8/1/31 | 890,000 | | 893,953 |
State of California GO, Refunding, Callable 11/01/24 at 100,
4.00%, 11/1/44 | 1,000,000 | | 986,887 |
Stockton Unified School District GO, Series D, OID,
0.00%, 8/1/27, (AGM Insured)(a) | 350,000 | | 314,993 |
Sweetwater Union High School District GO, Refunding, Callable 02/01/26 at 100,
4.00%, 8/1/42, (BAM-TCRS Insured) | 1,500,000 | | 1,502,685 |
Travis Unified School District, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/29, (AGM Insured) | 20,000 | | 20,653 |
University of California Revenue, Series B,,
4.693%, 5/15/33 | 400,000 | | 399,706 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Vacaville Unified School District GO, Series C, Callable 08/01/26 at 100,
5.00%, 8/1/42 | $ 785,000 | | $ 815,465 |
Victor Valley Transit Authority, Refunding, Callable 07/01/26 at 100,
5.00%, 7/1/30 | 20,000 | | 20,988 |
Washington Township Health Care District GO, Series DT, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/29 | 10,000 | | 10,191 |
Western Placer Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/43 | 355,000 | | 368,636 |
Whittier Union High School District GO, CAB, OID, Refunding, Callable 08/01/26 at 85,
0.00%, 8/1/31(a) | 570,000 | | 453,952 |
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/29, (BAM Insured) | 20,000 | | 20,987 |
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/30, (BAM Insured) | 25,000 | | 26,257 |
| | | | 118,502,804 |
| Connecticut — 3.2% |
Connecticut Housing Finance Authority Revenue, Series F-1, Refunding, Callable 11/15/28 at 100,
2.60%, 11/15/34 | 750,000 | | 659,746 |
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100,
5.00%, 7/1/45 | 650,000 | | 655,707 |
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100,
5.00%, 7/1/45 | 1,500,000 | | 1,514,441 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Connecticut — (Continued) |
State of Connecticut Special Tax Revenue, Series A, Callable 08/01/25 at 100,
4.00%, 8/1/35 | $ 1,800,000 | | $ 1,803,116 |
State of Connecticut Special Tax Revenue, Series A, Callable 09/01/26 at 100,
4.00%, 9/1/35 | 2,500,000 | | 2,516,037 |
| | | | 7,149,047 |
| Florida — 0.5% |
| Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100, 5.00%, 10/1/37 | 1,000,000 | | 1,118,045 |
| Illinois — 0.4% |
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100,
5.00%, 8/15/52 | 400,000 | | 418,064 |
Lake County School District No 1 Winthrop Harbor GO, Refunding, Callable 02/01/26 at 100,
4.00%, 2/1/32 | 380,000 | | 382,914 |
| | | | 800,978 |
| Iowa — 0.1% |
| Iowa Finance Authority Revenue, Series C, Refunding, Callable 04/19/24 at 100, 5.00%, 2/15/32 | 150,000 | | 150,753 |
| Michigan — 1.1% |
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100,
5.00%, 7/1/33 | 1,000,000 | | 1,001,629 |
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/25 at 100,
5.00%, 10/15/45 | 1,500,000 | | 1,520,910 |
| | | | 2,522,539 |
| Minnesota — 0.0% |
| Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100, 5.00%, 11/15/26 | 100,000 | | 101,695 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| New Jersey — 0.2% |
| New Brunswick Parking Authority Revenue, Series B, Refunding, 5.00%, 9/1/24, (BAM MUN GOVT GTD Insured) | $ 500,000 | | $ 502,625 |
| New Mexico — 0.5% |
| New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.00%, 11/1/39(b) | 1,000,000 | | 1,012,426 |
| New York — 1.1% |
Metropolitan Transportation Authority Revenue, Series D, Refunding, Callable 05/15/28 at 100,
5.00%, 11/15/32 | 785,000 | | 838,362 |
New York City Housing Development Corp. Revenue, Series 1,
3.45%, 11/1/28, (REMIC FHA 542c Insured) | 345,000 | | 346,277 |
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100,
3.40%, 11/1/62, (REMIC FHA 542c Insured)(b) | 350,000 | | 346,273 |
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100,
5.00%, 11/15/44 | 1,000,000 | | 1,000,200 |
| | | | 2,531,112 |
| Ohio — 0.7% |
| State of Ohio Revenue, Series A, Refunding, Callable 01/15/26 at 100, 5.00%, 1/15/41 | 1,500,000 | | 1,524,971 |
| Oregon — 0.6% |
| Seaside School District No 10 GO, Series A, CAB, OID, Callable 06/15/27 at 51, 0.00%, 6/15/42, (SCH BD GTY Insured)(a) | 3,000,000 | | 1,326,445 |
| Pennsylvania — 0.8% |
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100,
5.00%, 12/31/57, (AGM Insured) | 630,000 | | 665,592 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Pennsylvania — (Continued) |
Pennsylvania Higher Educational Facilities Authority Revenue, Refunding,
5.00%, 5/1/25 | $ 500,000 | | $ 506,220 |
Pennsylvania Turnpike Commission Revenue, Series B, Refunding, Callable 06/01/26 at 100,
5.00%, 6/1/36 | 660,000 | | 681,100 |
| | | | 1,852,912 |
| South Carolina — 1.1% |
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100,
5.00%, 7/1/54 | 1,250,000 | | 1,289,607 |
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/28 | 100,000 | | 101,503 |
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 04/19/24 at 100,
5.00%, 12/1/48 | 1,000,000 | | 991,125 |
| | | | 2,382,235 |
| Texas — 1.8% |
El Paso GO, Callable 08/15/26 at 100,
5.00%, 8/15/42 | 1,500,000 | | 1,522,063 |
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding,
5.00%, 12/15/27 | 500,000 | | 517,678 |
Texas Municipal Gas Acquisition & Supply Corp. IV Revenue, Series B, Callable 07/01/33 at 100,
5.50%, 1/1/54(b) | 1,750,000 | | 1,960,141 |
| | | | 3,999,882 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Washington — 1.9% |
Bellevue GO, Refunding, Callable 06/01/25 at 100,
4.00%, 12/1/31 | $ 2,315,000 | | $ 2,323,966 |
King County Sewer Revenue, Series A, Refunding, Callable 01/01/26 at 100,
4.00%, 7/1/40 | 2,000,000 | | 1,977,748 |
| | | | 4,301,714 |
TOTAL MUNICIPAL BONDS
(Cost $149,417,818) | | | 149,780,183 |
| | Par
Value | |
| U.S. TREASURY OBLIGATIONS — 10.7% |
| United States Treasury Notes, | | |
| 4.125%, 1/31/25 | 3,000,000 | 2,975,706 |
| 5.469%, 4/30/25(b) | 5,000,000 | 5,002,111 |
| 4.125%, 6/15/26 | 5,500,000 | 5,448,223 |
| 3.625%, 5/31/28 | 5,500,000 | 5,364,111 |
| 3.75%, 5/31/30 | 3,500,000 | 3,411,270 |
| 3.375%, 5/15/33 | 2,000,000 | 1,875,625 |
U.S. TREASURY OBLIGATIONS
(Cost $24,203,537) | 24,077,046 |
| | Par Value/
Shares | |
| PREFERREDS — 7.6% |
| Consumer Discretionary — 0.4% |
| General Motors Financial Co., Inc., 5.75%, 9/30/27 | 875,000 | 828,037 |
| Energy — 0.5% |
| BP Capital Markets PLC, 6.45%, 12/1/33 | 1,000,000 | 1,039,641 |
| Financials — 6.7% |
| Bank of America Corp., 6.25%, 9/5/24 | 1,000,000 | 1,003,753 |
| Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 300,000 | 295,149 |
| Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 850,000 | 804,883 |
| Bank of New York Mellon Corp. (The), 4.625%, 9/20/26 | 750,000 | 709,257 |
| Citigroup, Inc., 6.30%, 5/15/24 | 1,350,000 | 1,349,715 |
| Citigroup, Inc., 4.00%, 12/10/25 | 1,100,000 | 1,057,441 |
| Citigroup, Inc., 7.625%, 11/15/28 | 1,300,000 | 1,368,245 |
| | Par Value/
Shares | | Value |
| PREFERREDS — (Continued) |
| Financials — (Continued) |
| JPMorgan Chase & Co., 9.348%, 5/1/24 | $ 900,000 | | $ 901,586 |
| JPMorgan Chase & Co., 6.10%, 10/1/24 | 500,000 | | 500,645 |
| JPMorgan Chase & Co., 6.875%, 6/1/29 | 2,000,000 | | 2,075,227 |
| M&T Bank Corp., 9.179%, 5/15/24 | 575,000 | | 577,512 |
| Morgan Stanley, 6.875%, 7/15/24 | 41,519 | | 1,044,618 |
| Northern Trust Corp., 4.60%, 10/1/26 | 1,700,000 | | 1,637,953 |
| State Street Corp., 8.13%, 6/15/24 | 1,000,000 | | 1,001,315 |
| State Street Corp., 5.35%, 3/15/26 | 20,000 | | 489,800 |
| Wells Fargo & Co., 7.625%, 9/15/28 | 325,000 | | 347,882 |
| | | | 15,164,981 |
TOTAL PREFERREDS
(Cost $16,236,185) | | | 17,032,659 |
| | Par
Value | |
| CORPORATE BONDS — 7.5% |
| Communications — 0.2% |
| Paramount Global, 5.50%, 5/15/33 | 500,000 | 441,960 |
| Consumer Discretionary — 1.5% |
| Advance Auto Parts, Inc., 3.50%, 3/15/32 | 1,000,000 | 855,933 |
| Hyatt Hotels Corp., 1.80%, 10/1/24 | 750,000 | 734,346 |
| Tapestry, Inc., 3.05%, 3/15/32 | 1,000,000 | 822,265 |
| VF Corp., 6.00%, 10/15/33 | 1,000,000 | 979,264 |
| | | 3,391,808 |
| Consumer Staple Products — 0.2% |
| Dollar General Corp., 4.15%, 11/1/25 | 500,000 | 490,569 |
| Energy — 0.2% |
| Continental Resources, Inc., 3.80%, 6/1/24 | 400,000 | 398,416 |
| Financials — 3.4% |
| Air Lease Corp., 3.25%, 3/1/25 | 1,250,000 | 1,222,556 |
| American Express Co., 6.003%, 11/4/26(b) | 1,200,000 | 1,201,681 |
| AmSouth Bancorp, 6.75%, 11/1/25 | 700,000 | 707,142 |
| Discover Financial Services, 7.964%, 11/2/34 | 800,000 | 907,515 |
| Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29 | 500,000 | 426,407 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Financials — (Continued) |
| JPMorgan Chase & Co., 5.546%, 12/15/25 | $ 1,250,000 | | $ 1,248,905 |
| Synchrony Financial, 2.875%, 10/28/31 | 1,000,000 | | 799,043 |
| Zions Bancorp, 3.25%, 10/29/29 | 1,350,000 | | 1,107,220 |
| | | | 7,620,469 |
| Health Care — 0.3% |
| Cigna Group (The), 3.25%, 4/15/25 | 600,000 | | 586,853 |
| Materials — 1.0% |
| Huntsman International, LLC, 2.95%, 6/15/31 | 1,000,000 | | 833,698 |
| LYB International Finance III, LLC, 5.50%, 3/1/34 | 1,500,000 | | 1,502,422 |
| | | | 2,336,120 |
| Technology — 0.7% |
| Leidos, Inc., 7.125%, 7/1/32 | 1,491,000 | | 1,616,329 |
TOTAL CORPORATE BONDS
(Cost $16,692,306) | | | 16,882,524 |
| | Number
of Shares | |
| SHORT-TERM INVESTMENT — 6.1% |
| Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) | 13,664,995 | 13,664,995 |
|
| |
TOTAL SHORT-TERM INVESTMENT
(Cost $13,664,995) | | 13,664,995 |
|
| |
TOTAL INVESTMENTS - 98.7%
(Cost $220,214,841) | | 221,437,407 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% | | 2,995,102 |
| NET ASSETS - 100.0% | | $ 224,432,509 |
| (a) | Zero coupon bond. |
| (b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024. |
| (c) | Rate disclosed is the 7-day yield at March 31, 2024. |
| AGC | Assured Guaranty Corp. |
| AGM | Assured Guaranty Municipal Corp. |
| AMT | Alternative Minimum Tax |
| BAM | Build America Mutual |
| BAM MUN GOVT GTD | Build America Mutual Municipal Government Guaranteed |
| BAM-TCRS | Build America Mutual-Transferable Custodial Receipts |
| CA MTG | California Mortgage |
| CAB | Capital Appreciation Bond |
| GO | General Obligation |
| HUD SECT 8 | Housing and Urban Development Section 8 |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| MWC | Make Whole Callable |
| NATL | National Public Finance Guarantee Corp. |
| OID | Original Issue Discount |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
| REMIC FHA 542c | Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c |
| SCH BD GTY | School Board Guaranty |
The accompanying notes are an integral part of the financial statements.
Ambrus Tax-Conscious National Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| MUNICIPAL BONDS: | | | |
| Texas | 6.1% | | $ 14,886,451 |
| New York | 4.2 | | 10,149,646 |
| Washington | 3.4 | | 8,253,294 |
| Florida | 3.3 | | 7,924,870 |
| Colorado | 3.2 | | 7,877,257 |
| Michigan | 3.2 | | 7,774,857 |
| Connecticut | 3.1 | | 7,607,746 |
| Illinois | 2.8 | | 6,859,329 |
| California | 2.4 | | 5,783,559 |
| Pennsylvania | 2.2 | | 5,398,031 |
| District of Columbia | 2.1 | | 5,170,618 |
| Ohio | 2.1 | | 4,987,248 |
| New Hampshire | 2.0 | | 4,917,635 |
| Wisconsin | 2.0 | | 4,843,736 |
| Missouri | 1.9 | | 4,542,789 |
| South Carolina | 1.9 | | 4,497,090 |
| Utah | 1.7 | | 4,108,287 |
| Wyoming | 1.7 | | 4,094,860 |
| Nebraska | 1.5 | | 3,557,864 |
| Kansas | 1.3 | | 3,060,081 |
| Hawaii | 1.2 | | 2,986,652 |
| Indiana | 1.2 | | 2,974,675 |
| Maryland | 1.1 | | 2,707,587 |
| Virginia | 1.1 | | 2,704,141 |
| Alabama | 1.1 | | 2,569,652 |
| Minnesota | 1.0 | | 2,504,887 |
| Tennessee | 0.9 | | 2,115,800 |
| Oregon | 0.8 | | 1,985,769 |
| Mississippi | 0.8 | | 1,952,711 |
| Louisiana | 0.8 | | 1,860,663 |
| Iowa | 0.7 | | 1,742,377 |
| South Dakota | 0.7 | | 1,653,665 |
| New Mexico | 0.7 | | 1,584,447 |
| New Jersey | 0.6 | | 1,384,117 |
| Massachusetts | 0.4 | | 1,028,796 |
| Arizona | 0.4 | | 1,004,898 |
| Alaska | 0.3 | | 815,404 |
| Delaware | 0.3 | | 660,707 |
| Maine | 0.2 | | 513,560 |
| Vermont | 0.2 | | 486,969 |
| Oklahoma | 0.1 | | 318,196 |
| Kentucky | 0.0 | | 118,118 |
| Nevada | 0.0 | | 40,613 |
| Arkansas | 0.0 | | 19,943 |
| | | | |
The accompanying notes are an integral part of the financial statements.
Ambrus Tax-Conscious National Bond Fund
Portfolio Holdings Summary Table (Concluded)
March 31, 2024
(Unaudited)
| | % of Net
Assets | | Value |
| CORPORATE BONDS: | | | |
| Financials | 6.0% | | $ 14,504,892 |
| Consumer Discretionary | 1.6 | | 3,802,410 |
| Materials | 1.3 | | 3,297,219 |
| Technology | 1.0 | | 2,439,128 |
| Industrials | 0.8 | | 1,984,545 |
| Health Care | 0.7 | | 1,667,855 |
| Communications | 0.6 | | 1,389,489 |
| Energy | 0.4 | | 1,028,647 |
| Consumer Staple Products | 0.3 | | 735,854 |
| PREFERREDS: | | | |
| Financials | 7.3 | | 17,704,247 |
| Consumer Discretionary | 0.5 | | 1,111,936 |
| Energy | 0.4 | | 1,039,641 |
| U.S. Treasury Obligations | 5.2 | | 12,750,271 |
| Short-Term Investment | 6.1 | | 14,949,723 |
| Other Assets in Excess of Liabilities | 1.1 | | 2,636,389 |
| NET ASSETS | 100.0% | | $243,071,841 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — 66.7% |
| Alabama — 1.1% |
Jefferson County Revenue, Refunding, Callable 03/15/27 at 100,
5.00%, 9/15/34 | $ 850,000 | | $ 892,722 |
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/37, (BAM Insured) | 360,000 | | 408,224 |
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/38, (BAM Insured) | 300,000 | | 338,028 |
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/39, (BAM Insured) | 365,000 | | 408,740 |
UAB Medicine Finance Authority Revenue, Series B2, Refunding, Callable 03/01/27 at 100,
5.00%, 9/1/34 | 500,000 | | 521,938 |
| | | | 2,569,652 |
| Alaska — 0.3% |
| Municipality of Anchorage GO, Series A, Callable 09/01/28 at 100, 5.00%, 9/1/37 | 760,000 | | 815,404 |
| Arizona — 0.4% |
| Graham County Jail District Revenue, Callable 07/01/25 at 100, 5.00%, 7/1/35 | 1,000,000 | | 1,004,898 |
| Arkansas — 0.0% |
| Arkansas Development Finance Authority Revenue, OID, Refunding, Callable 04/29/24 at 100, 2.625%, 6/1/24 | 20,000 | | 19,943 |
| California — 2.4% |
California Community Choice Financing Authority Revenue, Series B-1, Callable 05/01/31 at 101,
4.00%, 2/1/52(a) | 2,000,000 | | 2,012,619 |
Escondido Union School District GO, Series B, Callable 08/01/27 at 100,
4.00%, 8/1/47 | 1,000,000 | | 989,279 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| California — (Continued) |
Folsom Cordova Unified School District School Facilities Improvement Dist No 5 GO, Series A, OID, Callable 10/01/25 at 100,
4.00%, 10/1/40 | $ 1,100,000 | | $ 1,090,533 |
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100,
5.00%, 6/1/48 | 1,115,000 | | 1,155,218 |
State of California GO, Refunding, Callable 04/01/29 at 100,
5.00%, 10/1/42 | 500,000 | | 535,910 |
| | | | 5,783,559 |
| Colorado — 3.2% |
Boulder Valley School District No Re-2 Boulder GO, Callable 06/01/25 at 100,
5.00%, 12/1/38, (ST AID WITHHLDG Insured) | 785,000 | | 796,172 |
Bradburn Metropolitan District No 3 GO, Refunding, Callable 12/01/26 at 100,
4.50%, 12/1/36, (AGM Insured) | 700,000 | | 717,935 |
Colorado Health Facilities Authority Revenue, Series A, Refunding, Callable 11/01/29 at 100,
5.00%, 11/1/44 | 875,000 | | 922,201 |
Colorado School of Mines Revenue, Series A, Callable 12/01/27 at 100,
5.00%, 12/1/42 | 505,000 | | 525,472 |
Colorado School of Mines Revenue, Series B, Callable 12/01/27 at 100,
5.00%, 12/1/42 | 3,000,000 | | 3,121,616 |
Park Creek Metropolitan District Revenue, Series A, Senior Series, Callable 12/01/25 at 100,
5.00%, 12/1/34 | 255,000 | | 259,338 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Colorado — (Continued) |
State of Colorado, Callable 12/15/32 at 100,
6.00%, 12/15/39 | $ 1,000,000 | | $ 1,211,832 |
Town of Breckenridge, Callable 12/01/32 at 100,
5.00%, 12/1/42 | 300,000 | | 322,691 |
| | | | 7,877,257 |
| Connecticut — 3.1% |
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100,
5.00%, 7/1/45 | 500,000 | | 504,390 |
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100,
5.00%, 7/1/45 | 2,460,000 | | 2,483,684 |
State of Connecticut Special Tax Revenue, Series A, Callable 08/01/25 at 100,
4.00%, 8/1/35 | 2,100,000 | | 2,103,635 |
State of Connecticut Special Tax Revenue, Series A, Callable 09/01/26 at 100,
4.00%, 9/1/35 | 2,500,000 | | 2,516,037 |
| | | | 7,607,746 |
| Delaware — 0.3% |
Delaware State Housing Authority Revenue, Series A,
3.35%, 1/1/27, (GNMA/FNMA/FHLMC Insured) | 100,000 | | 99,145 |
Delaware State Housing Authority Revenue, Series A,
3.35%, 7/1/27, (GNMA/FNMA/FHLMC Insured) | 305,000 | | 303,162 |
Delaware State Housing Authority Revenue, Series A,
3.375%, 1/1/28, (GNMA/FNMA/FHLMC Insured) | 80,000 | | 79,518 |
Delaware State Housing Authority Revenue, Series A,
3.40%, 7/1/28, (GNMA/FNMA/FHLMC Insured) | 180,000 | | 178,882 |
| | | | 660,707 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| District of Columbia — 2.1% |
District of Columbia GO, Series A, Callable 06/01/25 at 100,
5.00%, 6/1/38 | $ 30,000 | | $ 30,459 |
District of Columbia Water & Sewer Authority Revenue, Series A, Callable 10/01/29 at 100,
5.00%, 10/1/44 | 75,000 | | 80,356 |
District of Columbia Water & Sewer Authority Revenue, Series C, Refunding, Callable 10/01/24 at 100,
4.00%, 10/1/33 | 2,195,000 | | 2,199,571 |
Washington Metropolitan Area Transit Authority Dedicated Revenue, Series A, Callable 07/15/30 at 100,
5.00%, 7/15/45 | 735,000 | | 787,845 |
Washington Metropolitan Area Transit Authority Revenue, Series B, Callable 07/01/27 at 100,
5.00%, 7/1/42 | 2,000,000 | | 2,072,387 |
| | | | 5,170,618 |
| Florida — 3.3% |
Central Florida Expressway Authority Revenue, Senior Series, Callable 07/01/28 at 100,
5.00%, 7/1/48 | 575,000 | | 599,705 |
Clearwater Water & Sewer Revenue, Refunding, Callable 12/01/26 at 100,
5.00%, 12/1/35 | 1,015,000 | | 1,057,135 |
Florida Housing Finance Corp. Revenue, Series 1,
2.95%, 7/1/27, (GNMA/FNMA/FHLMC Insured) | 455,000 | | 443,859 |
Florida Housing Finance Corp. Revenue, Series 1,
3.00%, 1/1/28, (GNMA/FNMA/FHLMC Insured) | 200,000 | | 194,814 |
Florida Housing Finance Corp. Revenue, Series 1,
3.00%, 7/1/28, (GNMA/FNMA/FHLMC Insured) | 235,000 | | 228,600 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Florida — (Continued) |
Florida Housing Finance Corp. Revenue, Series 1,
3.10%, 1/1/29, (GNMA/FNMA/FHLMC Insured) | $ 725,000 | | $ 700,170 |
Florida Housing Finance Corp. Revenue, Series 1,
3.125%, 7/1/29, (GNMA/FNMA/FHLMC Insured) | 415,000 | | 401,218 |
Lakeland Department of Electric Utilities Revenue, Refunding, Callable 04/01/26 at 100,
2.75%, 10/1/28 | 250,000 | | 240,704 |
Lakewood Ranch Stewardship District, Refunding,
5.00%, 5/1/25, (AGM Insured) | 250,000 | | 253,508 |
Miami-Dade County Educational Facilities Authority Revenue, Series A, Callable 04/01/28 at 100,
5.00%, 4/1/48 | 1,000,000 | | 1,029,038 |
Miami-Dade County Educational Facilities Authority Revenue, Series A, Refunding, Callable 04/01/25 at 100,
5.00%, 4/1/45 | 100,000 | | 100,307 |
Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100,
5.00%, 10/1/37 | 1,250,000 | | 1,397,557 |
Miami-Dade Transit System County Revenue, Refunding, Callable 07/01/26 at 100,
5.00%, 7/1/27 | 145,000 | | 150,360 |
Osceola Sales Tax Revenue County, Series A, Callable 04/01/25 at 100,
5.00%, 10/1/44 | 1,125,000 | | 1,127,895 |
| | | | 7,924,870 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Hawaii — 1.2% |
Hawaii State Highway Fund Revenue, Series A, Callable 01/01/29 at 100,
5.00%, 1/1/40 | $ 1,110,000 | | $ 1,188,565 |
Honolulu City & County GO, Series A, Callable 10/01/25 at 100,
5.00%, 10/1/37 | 1,770,000 | | 1,798,087 |
| | | | 2,986,652 |
| Illinois — 2.8% |
Chicago O'Hare International Airport Revenue, Series D, Senior Series, Callable 01/01/27 at 100,
5.00%, 1/1/47 | 100,000 | | 102,179 |
Chicago Waterworks Revenue, Series 2017-2, Refunding, Callable 11/01/27 at 100,
5.00%, 11/1/33, (AGM Insured) | 350,000 | | 372,111 |
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100,
5.00%, 8/15/52 | 600,000 | | 627,096 |
Illinois Finance Authority Revenue, Series A, Refunding, Callable 10/01/24 at 100,
5.00%, 10/1/35 | 520,000 | | 521,810 |
Illinois Housing Development Authority Revenue, Series A,
3.65%, 10/1/32, (GNMA/FNMA/FHLMC Insured) | 760,000 | | 753,362 |
Illinois Housing Development Authority Revenue, Series G, Callable 04/01/32 at 100,
5.00%, 10/1/46, (GNMA/FNMA/FHLMC COLL Insured) | 500,000 | | 520,156 |
Illinois State Toll Highway Authority Revenue, Series B, Senior Series, Callable 07/01/26 at 100,
5.00%, 1/1/41 | 600,000 | | 613,479 |
Macon County School District No 61 Decatur GO,
4.00%, 12/1/28, (AGM Insured) | 600,000 | | 622,862 |
State of Illinois GO, Callable 06/01/26 at 100,
4.00%, 6/1/32 | 830,000 | | 836,468 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Illinois — (Continued) |
State of Illinois GO, Series A, Callable 03/01/31 at 100,
4.00%, 3/1/38 | $ 1,000,000 | | $ 1,003,759 |
Western Illinois University Revenue, Refunding,
4.00%, 4/1/28, (BAM Insured) | 875,000 | | 886,047 |
| | | | 6,859,329 |
| Indiana — 1.2% |
Attica Multi-School Building Corp. Revenue,
5.00%, 7/15/28, (ST INTERCEPT Insured) | 150,000 | | 161,758 |
Indiana Finance Authority Revenue, Series A, Refunding, Callable 08/01/25 at 100,
5.00%, 2/1/31 | 305,000 | | 310,577 |
Indiana Housing & Community Development Authority Revenue, Series A-1, Callable 01/01/33 at 100,
3.65%, 7/1/34, (GNMA/FNMA/FHLMC Insured) | 465,000 | | 463,056 |
Indiana Municipal Power Agency Revenue, Series A, Refunding, Callable 01/01/25 at 100,
5.00%, 1/1/32 | 50,000 | | 50,448 |
Indiana Municipal Power Agency Revenue, Series C, Refunding, Callable 07/01/26 at 100,
5.00%, 1/1/37 | 500,000 | | 514,241 |
Indianapolis Local Public Improvement Bond Bank Revenue, Series A, Callable 02/01/29 at 100,
5.00%, 2/1/44 | 1,000,000 | | 1,053,109 |
Whitestown Redevelopment Authority Revenue, Series B, Refunding,
4.00%, 8/1/27 | 410,000 | | 421,486 |
| | | | 2,974,675 |
| Iowa — 0.7% |
Iowa Finance Authority Revenue, Series A, Refunding,
1.15%, 7/1/29, (GNMA/FNMA/FHLMC Insured) | 250,000 | | 215,834 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Iowa — (Continued) |
Iowa Finance Authority Revenue, Series C, Refunding, Callable 04/19/24 at 100,
5.00%, 2/15/32 | $ 500,000 | | $ 502,509 |
PEFA, Inc. Revenue, Callable 06/01/26 at 101,
5.00%, 9/1/49(a) | 1,000,000 | | 1,024,034 |
| | | | 1,742,377 |
| Kansas — 1.3% |
Topeka GO, Refunding, Callable 04/29/24 at 100,
2.00%, 8/15/24 | 25,000 | | 24,739 |
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/33 | 500,000 | | 509,233 |
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/45 | 2,500,000 | | 2,526,109 |
| | | | 3,060,081 |
| Kentucky — 0.0% |
| Kentucky Association of Counties Revenue, Series C, 5.00%, 2/1/28 | 110,000 | | 118,118 |
| Louisiana — 0.8% |
Shreveport Water & Sewer Revenue, Refunding, Callable 12/01/25 at 100,
5.00%, 12/1/35, (AGM Insured) | 815,000 | | 824,796 |
State of Louisiana Gasoline & Fuels Tax Revenue, Series C, Refunding, Callable 11/01/27 at 100,
5.00%, 5/1/45 | 1,000,000 | | 1,035,867 |
| | | | 1,860,663 |
| Maine — 0.2% |
Portland General Airport Revenue, Refunding,
5.00%, 7/1/27 | 150,000 | | 158,367 |
Portland General Airport Revenue, Refunding,
5.00%, 7/1/28 | 330,000 | | 355,193 |
| | | | 513,560 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Maryland — 1.1% |
| Baltimore Revenue, Series A, Callable 01/01/27 at 100, 5.00%, 7/1/46 | $ 2,650,000 | | $ 2,707,587 |
| Massachusetts — 0.4% |
| Massachusetts School Building Authority Revenue, Series B, Senior Series, Callable 11/15/26 at 100, 5.00%, 11/15/46 | 1,000,000 | | 1,028,796 |
| Michigan — 3.2% |
Karegnondi Water Authority Revenue, Refunding, Callable 11/01/27 at 100,
5.00%, 11/1/45 | 710,000 | | 729,356 |
Michigan Finance Authority Revenue, Callable 11/01/28 at 100,
5.00%, 11/1/38, (BAM Insured) | 1,450,000 | | 1,531,866 |
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100,
5.00%, 7/1/33 | 1,350,000 | | 1,352,199 |
Michigan Finance Authority Revenue, Series A, Refunding, Callable 12/01/29 at 100,
5.00%, 12/1/41 | 100,000 | | 105,576 |
Michigan Finance Authority Revenue, Series H-1, Refunding, Callable 10/01/24 at 100,
5.00%, 10/1/39 | 1,000,000 | | 1,002,748 |
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/25 at 100,
5.00%, 10/15/45 | 2,000,000 | | 2,027,880 |
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/26 at 100,
5.00%, 10/15/46 | 1,000,000 | | 1,025,232 |
| | | | 7,774,857 |
| Minnesota — 1.0% |
Edina Independent School District No 273 GO, Series A, Callable 02/01/28 at 100,
2.00%, 2/1/30, (SD CRED PROG Insured) | 150,000 | | 135,740 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Minnesota — (Continued) |
Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100,
5.00%, 11/15/26 | $ 100,000 | | $ 101,695 |
Minneapolis-St Paul Metropolitan Airports Commission Revenue, Series A, Refunding, Callable 07/01/29 at 100,
5.00%, 1/1/44 | 1,500,000 | | 1,596,952 |
Moorhead Public Utility Revenue, Series A, Callable 11/01/33 at 100,
4.00%, 11/1/40 | 660,000 | | 670,500 |
| | | | 2,504,887 |
| Mississippi — 0.8% |
Medical Center Educational Building Corp. Revenue, Refunding, Callable 06/01/27 at 100,
5.00%, 6/1/47 | 1,000,000 | | 1,024,432 |
State of Mississippi Gaming Tax Revenue, Series E, Callable 10/15/25 at 100,
5.00%, 10/15/34 | 915,000 | | 928,279 |
| | | | 1,952,711 |
| Missouri — 1.9% |
Health & Educational Facilities Authority of the State of Missouri Revenue, Callable 04/19/24 at 100,
4.50%, 1/1/39 | 2,000,000 | | 1,986,630 |
Jasper County Reorganized School District No R-IX Carthage, Refunding,
4.00%, 4/1/27 | 40,000 | | 40,648 |
Missouri Joint Municipal Electric Utility Commission Revenue, Refunding,
5.00%, 12/1/26 | 15,000 | | 15,684 |
Missouri Joint Municipal Electric Utility Commission Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/37 | 100,000 | | 100,866 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Missouri — (Continued) |
Missouri State Environmental Improvement & Energy Resources Authority Revenue, Series C, Refunding, Callable 06/12/27 at 102,
2.75%, 9/1/33 | $ 1,000,000 | | $ 900,628 |
St Louis County Reorganized School District No R-6 GO, Refunding, Callable 02/01/27 at 100,
2.00%, 2/1/32 | 505,000 | | 442,132 |
St Louis Municipal Finance Corp. Revenue, OID, Refunding, Callable 10/01/27 at 100,
3.50%, 10/1/37, (AGM Insured) | 555,000 | | 544,184 |
St Louis Municipal Finance Corp. Revenue, Refunding,
5.00%, 2/15/26 | 500,000 | | 512,017 |
| | | | 4,542,789 |
| Nebraska — 1.5% |
Central Plains Energy Project Revenue, Series A, Refunding, Callable 08/01/29 at 100,
5.00%, 5/1/54(a) | 1,000,000 | | 1,058,041 |
Nebraska Public Power District Revenue, Series D, Callable 01/01/26 at 100,
5.00%, 1/1/46 | 2,470,000 | | 2,499,823 |
| | | | 3,557,864 |
| Nevada — 0.0% |
| Clark County Revenue, Callable 07/01/25 at 100, 5.00%, 7/1/35 | 40,000 | | 40,613 |
| New Hampshire — 2.0% |
| New Hampshire Housing Finance Authority Revenue, Series 1, Callable 10/01/24 at 100, 2.95%, 10/1/25, (FHA 542c Insured) | 5,000,000 | | 4,917,635 |
| New Jersey — 0.6% |
Atlantic City GO, Series A, Refunding, Callable 03/01/27 at 100,
5.00%, 3/1/32, (BAM ST AID WITHHLDG Insured) | 250,000 | | 261,589 |
Garden State Preservation Trust Revenue, Series A,
5.75%, 11/1/28, (AGM Insured) | 230,000 | | 245,325 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| New Jersey — (Continued) |
New Jersey Transportation Trust Fund Authority Revenue, Series AA, OID, Callable 06/15/25 at 100,
5.00%, 6/15/45 | $ 525,000 | | $ 530,129 |
New Jersey Turnpike Authority Revenue, Series B, Refunding, Callable 01/01/28 at 100,
5.00%, 1/1/40 | 330,000 | | 347,074 |
| | | | 1,384,117 |
| New Mexico — 0.7% |
| New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.00%, 11/1/39(a) | 1,565,000 | | 1,584,447 |
| New York — 4.2% |
Long Island Power Authority Revenue, Series A, Refunding, Callable 09/01/24 at 100,
5.00%, 9/1/34 | 55,000 | | 55,235 |
Long Island Power Authority Revenue, Series B, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/46 | 1,000,000 | | 1,025,097 |
Metropolitan Transportation Authority Revenue, Series C-1,
5.00%, 11/15/25 | 15,000 | | 15,408 |
Metropolitan Transportation Authority Revenue, Series C-1, Refunding,
5.00%, 11/15/25 | 100,000 | | 102,722 |
Metropolitan Transportation Authority Revenue, Series C-1, Refunding,
5.00%, 11/15/26 | 85,000 | | 88,921 |
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100,
3.40%, 11/1/62, (REMIC FHA 542c Insured)(a) | 150,000 | | 148,403 |
New York City Municipal Water Finance Authority Revenue, Refunding, Callable 06/17/24 at 100,
5.00%, 6/15/45 | 25,000 | | 25,058 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| New York — (Continued) |
New York City Transitional Finance Authority Building Aid Revenue, Series S, Callable 07/15/25 at 100,
5.00%, 7/15/40, (ST AID WITHHLDG Insured) | $ 2,000,000 | | $ 2,021,795 |
New York City Transitional Finance Authority Future Tax Secured Revenue, Series 1, Callable 02/01/25 at 100,
5.00%, 2/1/41 | 105,000 | | 105,686 |
New York City Transitional Finance Authority Future Tax Secured Revenue, Series D-S, Callable 11/01/30 at 100,
4.00%, 11/1/45 | 850,000 | | 835,324 |
New York Convention Center Development Corp. Revenue, Refunding, Callable 11/15/25 at 100,
5.00%, 11/15/40 | 2,275,000 | | 2,304,968 |
New York GO, Series B-1, Callable 12/01/26 at 100,
5.00%, 12/1/38 | 100,000 | | 103,557 |
New York State Dormitory Authority Revenue, Series B, Unrefunded portion, Callable 02/15/25 at 100,
5.00%, 2/15/37 | 1,000,000 | | 1,008,547 |
New York State Housing Finance Agency Revenue, Series H, Refunding,
0.60%, 5/1/24 | 20,000 | | 19,935 |
New York State Thruway Authority Revenue, Series P, Refunding, Callable 01/01/34 at 100,
5.00%, 1/1/39 | 250,000 | | 288,590 |
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100,
5.00%, 11/15/44 | 2,000,000 | | 2,000,400 |
| | | | 10,149,646 |
| Ohio — 2.1% |
Greene County GO, Refunding, Callable 12/01/25 at 100,
1.25%, 12/1/31 | 1,245,000 | | 1,011,627 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Ohio — (Continued) |
Louisville City School District GO, Refunding,
1.00%, 12/1/25, (SD CRED PROG Insured) | $ 25,000 | | $ 23,586 |
State of Ohio Revenue, Series A, Refunding, Callable 01/15/26 at 100,
5.00%, 1/15/41 | 2,000,000 | | 2,033,295 |
Whitehall City School District GO, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) | 665,000 | | 651,001 |
Whitehall City School District GO, Series A, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) | 705,000 | | 690,159 |
Whitehall City School District GO, Series B, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) | 590,000 | | 577,580 |
| | | | 4,987,248 |
| Oklahoma — 0.1% |
Cleveland County Educational Facilities Authority Revenue, OID,
2.00%, 9/1/25 | 20,000 | | 19,373 |
Tulsa County Independent School District No 1 Tulsa GO, Series B,
2.50%, 8/1/25 | 305,000 | | 298,823 |
| | | | 318,196 |
| Oregon — 0.8% |
Josephine County School District No 7 GO, Series 7, Refunding, Callable 06/01/28 at 100,
4.00%, 6/1/40, (BAM Insured) | 880,000 | | 887,030 |
Seaside School District No 10 GO, Series A, CAB, OID, Callable 06/15/27 at 51,
0.00%, 6/15/42, (SCH BD GTY Insured)(b) | 2,485,000 | | 1,098,739 |
| | | | 1,985,769 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Pennsylvania — 2.2% |
Allegheny County Sanitary Authority Revenue, Callable 06/01/28 at 100,
5.00%, 6/1/43 | $ 815,000 | | $ 857,545 |
Allentown GO, Series A, OID, Callable 04/29/24 at 100,
3.125%, 10/1/27, (BAM Insured) | 5,000 | | 4,987 |
Cumberland County Municipal Authority Revenue, Callable 11/01/29 at 100,
4.00%, 11/1/37 | 700,000 | | 704,998 |
Lehigh County General Purpose Authority Revenue, Series A, Refunding,
4.00%, 11/1/25 | 150,000 | | 149,044 |
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100,
5.50%, 6/30/42, (AGM Insured) | 700,000 | | 791,317 |
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100,
6.00%, 6/30/61 | 500,000 | | 562,522 |
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100,
5.00%, 12/31/57, (AGM Insured) | 500,000 | | 528,248 |
Philadelphia Authority for Industrial Development Revenue, Callable 06/01/27 at 100,
5.00%, 12/1/34 | 100,000 | | 105,452 |
Philadelphia Housing Authority Revenue, Callable 05/01/27 at 100,
5.00%, 5/1/31 | 615,000 | | 644,938 |
Upper St Clair Township School District GO, Callable 10/01/28 at 100,
5.00%, 10/1/44, (BAM-ST AID WITHHLDG Insured) | 1,000,000 | | 1,048,980 |
| | | | 5,398,031 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| South Carolina — 1.9% |
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100,
5.00%, 7/1/54 | $ 1,250,000 | | $ 1,289,607 |
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/28 | 705,000 | | 715,593 |
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/26 at 100,
5.00%, 12/1/34 | 1,000,000 | | 1,029,048 |
South Carolina Public Service Authority Revenue, Series E,
5.00%, 12/1/27 | 125,000 | | 132,063 |
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 04/19/24 at 100,
5.00%, 12/1/48 | 1,000,000 | | 991,125 |
South Carolina Transportation Infrastructure Bank Revenue, Series A, Refunding, Callable 10/01/25 at 100,
2.00%, 10/1/26 | 355,000 | | 339,654 |
| | | | 4,497,090 |
| South Dakota — 0.7% |
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.00%, 11/1/28, (GNMA/FNMA/FHLMC COLL Insured) | 450,000 | | 437,014 |
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.05%, 5/1/29, (GNMA/FNMA/FHLMC COLL Insured) | 250,000 | | 243,394 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| South Dakota — (Continued) |
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.10%, 11/1/29, (GNMA/FNMA/FHLMC COLL Insured) | $ 250,000 | | $ 241,216 |
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.20%, 5/1/30, (GNMA/FNMA/FHLMC COLL Insured) | 250,000 | | 242,973 |
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.30%, 11/1/30, (GNMA/FNMA/FHLMC COLL Insured) | 500,000 | | 489,068 |
| | | | 1,653,665 |
| Tennessee — 0.9% |
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd Revenue, Callable 07/01/26 at 100,
5.00%, 7/1/35 | 490,000 | | 502,495 |
Metropolitan Government of Nashville & Davidson County Electric Revenue, Series A, Callable 05/15/27 at 100,
5.00%, 5/15/42 | 455,000 | | 471,658 |
Metropolitan Nashville Airport Authority/The Revenue, Series A, Callable 07/01/30 at 100,
5.00%, 7/1/54 | 1,000,000 | | 1,045,326 |
Putnam County GO, OID, Refunding, Callable 04/01/25 at 100,
2.00%, 4/1/26 | 100,000 | | 96,321 |
| | | | 2,115,800 |
| Texas — 6.1% |
Austin Community College District Public Facility Corp. Revenue, Refunding, Callable 08/01/25 at 100,
5.00%, 8/1/26 | 130,000 | | 132,702 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Texas — (Continued) |
Austin Water & Wastewater System Revenue, Refunding, Callable 11/15/26 at 100,
5.00%, 11/15/41 | $ 1,095,000 | | $ 1,129,811 |
Bexar County GO, Callable 06/15/27 at 100,
5.00%, 6/15/42 | 2,000,000 | | 2,076,933 |
Block House Municipal Utility District GO, Refunding, Callable 04/29/24 at 100,
3.00%, 4/1/25, (BAM Insured) | 25,000 | | 24,696 |
Central Texas Regional Mobility Authority Revenue, Series D, Senior Series, Refunding,
5.00%, 1/1/28 | 550,000 | | 581,937 |
Central Texas Turnpike System Revenue, Series C, Refunding, Callable 08/15/24 at 100,
5.00%, 8/15/34 | 260,000 | | 261,067 |
Corrigan-Camden Independent School District GO, Callable 08/15/32 at 100,
5.00%, 8/15/35, (BAM Insured) | 555,000 | | 632,851 |
Del Rio GO, Callable 06/01/26 at 100,
5.00%, 6/1/36, (AGM Insured) | 600,000 | | 620,980 |
Denton Utility System Revenue, Callable 12/01/26 at 100,
5.00%, 12/1/34 | 100,000 | | 103,941 |
El Paso County Hospital District GO, Callable 04/29/24 at 100,
5.00%, 8/15/43 | 100,000 | | 97,379 |
El Paso GO, Callable 08/15/26 at 100,
5.00%, 8/15/42 | 2,000,000 | | 2,029,418 |
El Paso GO, Refunding, Callable 08/15/26 at 100,
5.00%, 8/15/28 | 500,000 | | 521,367 |
Harris County Improvement District No 18 GO, OID, Callable 04/29/24 at 100,
3.00%, 9/1/25, (AGM Insured) | 10,000 | | 9,895 |
Harris County Municipal Utility District No 287 GO, Series A, OID, Callable 03/01/27 at 100,
1.50%, 3/1/31, (AGM Insured) | 100,000 | | 81,175 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Texas — (Continued) |
Houston Housing Finance Corp. Revenue, Callable 10/01/24 at 100,
4.00%, 10/1/25, (FHA HUD SECT 8 Insured)(a) | $ 500,000 | | $ 498,382 |
Kaufman County Municipal Utility District No 14 GO, Callable 03/01/25 at 100,
2.00%, 3/1/27, (BAM Insured) | 40,000 | | 36,981 |
Lower Colorado River Authority Revenue, OID, Refunding, Callable 05/15/25 at 100,
3.00%, 5/15/26 | 75,000 | | 73,295 |
Lower Colorado River Authority Revenue, Refunding, Callable 05/15/30 at 100,
5.00%, 5/15/41 | 100,000 | | 107,465 |
North Texas Tollway Authority Revenue, Series A, Refunding, Callable 01/01/25 at 100,
5.00%, 1/1/35 | 40,000 | | 40,392 |
Port Arthur Independent School District GO, Series B, OID, Refunding, Callable 02/15/25 at 100,
3.00%, 2/15/27 | 25,000 | | 24,808 |
Port Arthur Independent School District GO, Series E, Refunding, Callable 08/15/26 at 100,
4.00%, 2/15/35 | 2,000,000 | | 2,009,159 |
San Antonio Electric & Gas Systems Revenue, Refunding, Callable 08/01/26 at 100,
4.00%, 2/1/34 | 1,000,000 | | 1,012,030 |
San Antonio Water System Revenue, Series A, Junior Series, Refunding,
2.00%, 5/15/25 | 40,000 | | 39,016 |
Southwest Houston Redevelopment Authority, Series B, Refunding, Callable 09/01/27 at 100,
5.00%, 9/1/35, (AGM Insured) | 205,000 | | 218,186 |
Sugar Land Waterworks & Sewer System Revenue, Callable 04/29/24 at 100,
3.00%, 8/15/24 | 45,000 | | 44,767 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Texas — (Continued) |
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding,
5.00%, 12/15/27 | $ 500,000 | | $ 517,677 |
Texas Municipal Gas Acquisition & Supply Corp. IV Revenue, Series B, Callable 07/01/33 at 100,
5.50%, 1/1/54(a) | 1,750,000 | | 1,960,141 |
| | | | 14,886,451 |
| Utah — 1.7% |
| Utah Transit Authority Revenue, Refunding, Callable 06/15/26 at 100, 4.00%, 12/15/31 | 4,050,000 | | 4,108,287 |
| Vermont — 0.2% |
| University of Vermont and State Agricultural College Revenue, Refunding, Callable 10/01/27 at 100, 5.00%, 10/1/43 | 470,000 | | 486,969 |
| Virginia — 1.1% |
| Virginia Public Building Authority Revenue, Series A, Callable 08/01/25 at 100, 4.00%, 8/1/31 | 2,700,000 | | 2,704,141 |
| Washington — 3.4% |
Bellevue GO, Refunding, Callable 06/01/25 at 100,
4.00%, 12/1/31 | 2,500,000 | | 2,509,683 |
King County Public Hospital District No 1 GO, Refunding, Callable 12/01/28 at 100,
5.00%, 12/1/43 | 1,200,000 | | 1,244,035 |
King County Sewer Revenue, Series A, Refunding, Callable 01/01/26 at 100,
4.00%, 7/1/40 | 3,000,000 | | 2,966,621 |
State of Washington GO, Series A-1, Callable 08/01/25 at 100,
5.00%, 8/1/39 | 100,000 | | 101,473 |
Tacoma Electric System Revenue, Series A, Refunding, Callable 04/19/24 at 100,
4.00%, 1/1/42 | 1,000,000 | | 981,972 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Washington — (Continued) |
Tacoma Electric System Revenue, Series B, Refunding, Callable 01/01/34 at 100,
5.00%, 1/1/36 | $ 200,000 | | $ 236,626 |
Washington Health Care Facilities Authority Revenue, Series A, Callable 08/15/25 at 100,
5.00%, 8/15/35 | 210,000 | | 212,884 |
| | | | 8,253,294 |
| Wisconsin — 2.0% |
Central Brown County Water Authority Revenue, Series A, Refunding,
5.00%, 11/1/24 | 10,000 | | 10,072 |
Kenosha County GO, Series C,
2.00%, 8/1/25 | 95,000 | | 92,339 |
Milwaukee GO, Series N-4, Refunding,
5.00%, 4/1/28 | 390,000 | | 411,830 |
Milwaukee Sewerage System Revenue, Series S5, Callable 04/29/24 at 100,
4.00%, 6/1/29 | 330,000 | | 330,161 |
Public Finance Authority Revenue, Series A, Callable 06/01/25 at 100,
5.00%, 6/1/31 | 1,000,000 | | 1,011,938 |
Village of Mount Pleasant, Series A, Callable 04/01/28 at 100,
5.00%, 4/1/48, (MORAL OBLG Insured) | 650,000 | | 668,150 |
Wisconsin Health & Educational Facilities Authority Revenue, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/41 | 2,000,000 | | 2,054,671 |
Wisconsin Housing & Economic Development Authority Housing Revenue,
3.60%, 11/1/26, (HUD SECT 8 Insured) | 265,000 | | 264,575 |
| | | | 4,843,736 |
| | Principal
Amount | | Value |
| MUNICIPAL BONDS — (Continued) |
| Wyoming — 1.7% |
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.00%, 6/1/28 | $ 1,300,000 | | $ 1,263,120 |
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.05%, 12/1/28 | 1,430,000 | | 1,388,720 |
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.10%, 6/1/29 | 1,495,000 | | 1,443,020 |
| | | | 4,094,860 |
TOTAL MUNICIPAL BONDS
(Cost $162,053,228) | | | 162,029,595 |
| | Par
Value | |
| CORPORATE BONDS — 12.7% |
| Communications — 0.6% |
| Paramount Global, 5.50%, 5/15/33 | 1,000,000 | 883,921 |
| Verizon Communications, Inc., 6.669%, 5/15/25(a) | 500,000 | 505,568 |
| | | 1,389,489 |
| Consumer Discretionary — 1.6% |
| Advance Auto Parts, Inc., 3.50%, 3/15/32 | 1,000,000 | 855,933 |
| Hyatt Hotels Corp., 1.80%, 10/1/24 | 750,000 | 734,346 |
| Polaris, Inc., 6.95%, 3/15/29 | 500,000 | 532,078 |
| Tapestry, Inc., 3.05%, 3/15/32 | 1,150,000 | 945,605 |
| VF Corp., 6.00%, 10/15/33 | 750,000 | 734,448 |
| | | 3,802,410 |
| Consumer Staple Products — 0.3% |
| Dollar General Corp., 4.15%, 11/1/25 | 750,000 | 735,854 |
| Energy — 0.4% |
| Continental Resources, Inc., 3.80%, 6/1/24 | 500,000 | 498,020 |
| Tosco Corp., 7.80%, 1/1/27 | 500,000 | 530,627 |
| | | 1,028,647 |
| Financials — 6.0% |
| Air Lease Corp., 3.25%, 3/1/25 | 1,575,000 | 1,540,420 |
| American Express Co., 6.003%, 11/4/26(a) | 1,600,000 | 1,602,241 |
| AmSouth Bancorp, 6.75%, 11/1/25 | 700,000 | 707,142 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Financials — (Continued) |
| Discover Financial Services, 3.95%, 11/6/24 | $ 1,000,000 | | $ 988,819 |
| Discover Financial Services, 7.964%, 11/2/34 | 1,000,000 | | 1,134,394 |
| Goldman Sachs Group, Inc. (The), 5.866%, 9/10/24 | 200,000 | | 200,131 |
| Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29 | 500,000 | | 426,407 |
| Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 1,500,000 | | 1,528,523 |
| Jones Lang LaSalle, Inc., 6.875%, 12/1/28 | 1,000,000 | | 1,060,150 |
| JPMorgan Chase & Co., 5.546%, 12/15/25 | 1,800,000 | | 1,798,423 |
| Kilroy Realty LP, REIT, 2.50%, 11/15/32 | 150,000 | | 113,124 |
| Morgan Stanley, 4.35%, 9/8/26 | 200,000 | | 195,684 |
| Synchrony Financial, 2.875%, 10/28/31 | 1,550,000 | | 1,238,517 |
| Wells Fargo Bank, 6.50%, 12/1/28 | 425,000 | | 441,313 |
| Zions Bancorp, 3.25%, 10/29/29 | 1,865,000 | | 1,529,604 |
| | | | 14,504,892 |
| Health Care — 0.7% |
| Cigna Group (The), 3.25%, 4/15/25 | 700,000 | | 684,661 |
| Laboratory Corp. of America Holdings, 3.60%, 2/1/25 | 1,000,000 | | 983,194 |
| | | | 1,667,855 |
| Industrials — 0.8% |
| 3M Co., 2.65%, 4/15/25 | 1,000,000 | | 970,618 |
| Jacobs Engineering Group, Inc., 5.90%, 3/1/33 | 1,000,000 | | 1,013,927 |
| | | | 1,984,545 |
| Materials — 1.3% |
| Albemarle Corp., 5.05%, 6/1/32 | 1,000,000 | | 961,100 |
| Huntsman International, LLC, 2.95%, 6/15/31 | 1,000,000 | | 833,697 |
| LYB International Finance III, LLC, 5.50%, 3/1/34 | 1,500,000 | | 1,502,422 |
| | | | 3,297,219 |
| Technology — 1.0% |
| Leidos, Inc., 7.125%, 7/1/32 | 2,250,000 | | 2,439,128 |
TOTAL CORPORATE BONDS
(Cost $30,275,623) | | | 30,850,039 |
| | Par Value/
Shares | | Value |
| PREFERREDS — 8.2% |
| Consumer Discretionary — 0.5% |
| General Motors Financial Co., Inc., 5.75%, 9/30/27 | $1,175,000 | | $ 1,111,936 |
| Energy — 0.4% |
| BP Capital Markets PLC, 6.45%, 12/1/33 | 1,000,000 | | 1,039,641 |
| Financials — 7.3% |
| Bank of America Corp., 6.25%, 9/5/24 | 1,550,000 | | 1,555,817 |
| Bank of New York Mellon Corp. (The), 4.70%, 9/20/25 | 450,000 | | 442,724 |
| Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 | 1,410,000 | | 1,335,159 |
| Bank of New York Mellon Corp. (The), 4.625%, 9/20/26 | 500,000 | | 472,838 |
| Citigroup, Inc., 6.30%, 5/15/24 | 1,650,000 | | 1,649,652 |
| Citigroup, Inc., 4.00%, 12/10/25 | 1,200,000 | | 1,153,572 |
| Citigroup, Inc., 7.625%, 11/15/28 | 1,500,000 | | 1,578,744 |
| JPMorgan Chase & Co., 9.348%, 5/1/24 | 1,475,000 | | 1,477,599 |
| JPMorgan Chase & Co., 6.10%, 10/1/24 | 700,000 | | 700,903 |
| M&T Bank Corp., 9.179%, 5/15/24 | 950,000 | | 954,150 |
| Morgan Stanley, 6.875%, 7/15/24 | 64,395 | | 1,620,178 |
| Northern Trust Corp., 4.60%, 10/1/26 | 2,620,000 | | 2,524,375 |
| State Street Corp., 8.13%, 6/15/24 | 1,250,000 | | 1,251,644 |
| State Street Corp., 5.35%, 3/15/26 | 25,000 | | 612,250 |
| Wells Fargo & Co., 7.625%, 9/15/28 | 350,000 | | 374,642 |
| | | | 17,704,247 |
TOTAL PREFERREDS
(Cost $18,913,230) | | | 19,855,824 |
| | Par
Value | |
| U.S. TREASURY OBLIGATIONS — 5.2% |
| United States Treasury Notes, | | |
| 4.125%, 1/31/25 | 1,000,000 | 991,902 |
| 5.469%, 4/30/25(a) | 4,000,000 | 4,001,689 |
| 4.125%, 6/15/26 | 2,000,000 | 1,981,172 |
| 3.625%, 5/31/28 | 2,000,000 | 1,950,586 |
| 3.75%, 5/31/30 | 2,000,000 | 1,949,297 |
| 3.375%, 5/15/33 | 2,000,000 | 1,875,625 |
U.S. TREASURY OBLIGATIONS
(Cost $12,753,035) | 12,750,271 |
The accompanying notes are an integral part of the financial statements.
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| SHORT-TERM INVESTMENT — 6.1% |
| Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) | 14,949,723 | | $ 14,949,723 |
|
| |
TOTAL SHORT-TERM INVESTMENT
(Cost $14,949,723) | | | 14,949,723 |
|
| |
TOTAL INVESTMENTS - 98.9%
(Cost $238,944,839) | | | 240,435,452 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | | | 2,636,389 |
| NET ASSETS - 100.0% | | | $ 243,071,841 |
| (a) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024. |
| (b) | Zero coupon bond. |
| (c) | Rate disclosed is the 7-day yield at March 31, 2024. |
| AGM | Assured Guaranty Municipal Corp. |
| AMT | Alternative Minimum Tax |
| BAM | Build America Mutual |
| CAB | Capital Appreciation Bond |
| COLL | Collateral |
| FHA 542c | Federal Housing Administration Section 542c |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| GO | General Obligation |
| HUD SECT 8 | Housing and Urban Development Section 8 |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| MORAL OBLG | Moral Obligation |
| OID | Original Issue Discount |
| PLC | Public Limited Company |
| REIT | Real Estate Investment Trust |
| REMIC FHA 542c | Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c |
| SCH BD GTY | School Board Guaranty |
| SD CRED PROG | State School District Credit Enhancement Program |
| ST AID WITHHLDG | State Aid Withholding |
| ST INTERCEPT | State Intercept |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
| | Ambrus Core
Bond Fund | | Ambrus Tax-Conscious
California Bond Fund | | Ambrus Tax-Conscious
National Bond Fund |
| Assets | | | | | |
| Investments, at value | $254,593,994 | | $221,437,407 | | $240,435,452 |
| Receivables: | | | | | |
| Investments sold | — | | 2,082,681 | | — |
| Capital shares sold | 503,712 | | 650,004 | | 1,795,732 |
| Dividends and interest | 2,974,272 | | 2,526,007 | | 2,944,651 |
| Prepaid expenses and other assets | 16,008 | | 4,789 | | 14,468 |
| Total Assets | 258,087,986 | | 226,700,888 | | 245,190,303 |
| Liabilities | | | | | |
| Payables: | | | | | |
| Capital shares redeemed | 921,694 | | 658,781 | | 759,039 |
| Distributions to shareholders | 96,172 | | 68,011 | | 71,888 |
| Investment adviser | 70,651 | | 62,821 | | 66,884 |
| Administration and accounting fees | 12,840 | | 25,889 | | 22,881 |
| Investments purchased | — | | 1,417,933 | | 1,158,051 |
| Due to custodian | — | | — | | 2,925 |
| Accrued expenses | 33,065 | | 34,944 | | 36,794 |
| Total Liabilities | 1,134,422 | | 2,268,379 | | 2,118,462 |
| Contingencies and Commitments (Note 2) | — | | — | | — |
| Net Assets | $256,953,564 | | $224,432,509 | | $243,071,841 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 260,122 | | $ 221,391 | | $ 240,426 |
| Paid-in capital | 255,796,865 | | 223,613,428 | | 242,547,460 |
| Total distributable earnings | 896,577 | | 597,690 | | 283,955 |
| Net Assets | $256,953,564 | | $224,432,509 | | $243,071,841 |
| Institutional Class Shares: | | | | | |
| Net assets | $256,953,564 | | $224,432,509 | | $243,071,841 |
| Shares outstanding | 26,012,191 | | 22,139,063 | | 24,042,599 |
| Net asset value, offering and redemption price per share | $ 9.88 | | $ 10.14 | | $ 10.11 |
| Investments, at cost | $252,124,282 | | $220,214,841 | | $238,944,839 |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
| | Ambrus Core
Bond Fund | | Ambrus Tax-Conscious
California Bond Fund | | Ambrus Tax-Conscious
National Bond Fund |
| Investment income | | | | | |
| Interest | $5,394,818 | | $3,717,075 | | $4,535,067 |
| Dividends | 76,924 | | 82,449 | | 116,624 |
| Total investment income | 5,471,742 | | 3,799,524 | | 4,651,691 |
| Expenses | | | | | |
| Advisory fees(Note 2) | 420,564 | | 355,736 | | 413,818 |
| Administration and accounting fees(Note 2) | 24,884 | | 29,898 | | 30,548 |
| Trustees’ and officers’ fees(Note 2) | 21,328 | | 17,860 | | 23,379 |
| Audit fees | 16,131 | | 15,500 | | 15,500 |
| Transfer agent fees(Note 2) | 14,952 | | 15,153 | | 15,153 |
| Legal fees | 14,021 | | 13,078 | | 16,772 |
| Registration and filing fees | 12,551 | | 2,140 | | 11,147 |
| Shareholder reporting fees | 11,103 | | 10,881 | | 10,886 |
| Custodian fees(Note 2) | 6,315 | | 5,467 | | 7,071 |
| Other expenses | 8,383 | | 7,899 | | 8,823 |
| Total expenses before waivers and reimbursements | 550,232 | | 473,612 | | 553,097 |
| Less: waivers and reimbursements(Note 2) | (24,528) | | (28,942) | | (35,825) |
| Net expenses after waivers and reimbursements | 525,704 | | 444,670 | | 517,272 |
| Net investment income | 4,946,038 | | 3,354,854 | | 4,134,419 |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain/(loss) from investments | (18,774) | | 9,723 | | (102,544) |
| Net change in unrealized appreciation on investments | 4,938,146 | | 4,225,777 | | 5,932,611 |
| Net realized and unrealized gain on investments | 4,919,372 | | 4,235,500 | | 5,830,067 |
| Net increase in net assets resulting from operations | $9,865,410 | | $7,590,354 | | $9,964,486 |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Statements of Changes in Net Assets
| | Ambrus Core Bond Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income | $ 4,946,038 | | $ 3,643,462 |
| Net realized losses from investments | (18,774) | | (1,550,376) |
| Net change in unrealized appreciation/(depreciation) on investments | 4,938,146 | | (2,339,070) |
| Net increase/(decrease) in net assets resulting from operations | 9,865,410 | | (245,984) |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (4,945,463) | | (3,645,709) |
| Net decrease in net assets from dividends and distributions to shareholders | (4,945,463) | | (3,645,709) |
| Increase in net assets derived from capital share transactions (Note 4) | 92,101,800 | | 158,943,965 |
| Total increase in net assets | 97,021,747 | | 155,052,272 |
| Net assets | | | |
| Beginning of year/period | 159,931,817 | | 4,879,545 |
| End of year/period | $256,953,564 | | $159,931,817 |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Statements of Changes in Net Assets (Continued)
| | Ambrus Tax-Conscious California Bond Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Period from
October 3, 2022*
to September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income | $ 3,354,854 | | $ 2,811,445 |
| Net realized gains/(losses) from investments | 9,723 | | (634,817) |
| Net change in unrealized appreciation/(depreciation) on investments | 4,225,777 | | (3,003,211) |
| Net increase/(decrease) in net assets resulting from operations | 7,590,354 | | (826,583) |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (3,354,649) | | (2,811,432) |
| Net decrease in net assets from dividends and distributions to shareholders | (3,354,649) | | (2,811,432) |
| Increase in net assets derived from capital share transactions (Note 4) | 84,777,352 | | 139,057,467 |
| Total increase in net assets | 89,013,057 | | 135,419,452 |
| Net assets | | | |
| Beginning of period | 135,419,452 | | — |
| End of period | $224,432,509 | | $135,419,452 |
| * | The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022. |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Statements of Changes in Net Assets (Concluded)
| | Ambrus Tax-Conscious National Bond Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Period from
October 3, 2022*
to September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income | $ 4,134,419 | | $ 3,959,178 |
| Net realized losses from investments | (102,544) | | (1,111,166) |
| Net change in unrealized appreciation/(depreciation) on investments | 5,932,611 | | (4,441,998) |
| Net increase/(decrease) in net assets resulting from operations | 9,964,486 | | (1,593,986) |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (4,127,406) | | (3,959,139) |
| Net decrease in net assets from dividends and distributions to shareholders | (4,127,406) | | (3,959,139) |
| Increase in net assets derived from capital share transactions (Note 4) | 56,506,618 | | 186,281,268 |
| Total increase in net assets | 62,343,698 | | 180,728,143 |
| Net assets | | | |
| Beginning of period | 180,728,143 | | — |
| End of period | $243,071,841 | | $180,728,143 |
| * | The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022. |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
AMBRUS CORE BOND FUND Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the Period from
September 6, 2022*
to September 30,
2022 |
| Per Share Operating Performance | | | | | |
| Net asset value, beginning of period | $ 9.62 | | $ 9.74 | | $ 10.00 |
| Net investment income(1) | 0.23 | | 0.45 | | 0.02 |
| Net realized and unrealized gain/(loss) on investments | 0.26 | | (0.13) | | (0.26) |
| Total from investment operations | 0.49 | | 0.32 | | (0.24) |
| Dividends and distributions to shareholders from: | | | | | |
| Net investment income | (0.23) | | (0.44) | | (0.02) |
| Net asset value, end of period | $ 9.88 | | $ 9.62 | | $ 9.74 |
| Total investment return(2) | 5.14% | | 3.29% | | (2.38)% |
| Ratios/Supplemental Data | | | | | |
| Net assets, end of period (in 000s) | $256,954 | | $159,932 | | $ 4,880 |
| Ratio of expenses to average net assets | 0.50% (3) | | 0.50% | | 0.50% (3) |
| Ratio of expenses to average net assets without waivers and reimbursements(4) | 0.52% (3) | | 0.70% | | 10.81% (3) |
| Ratio of net investment income to average net assets | 4.70% (3) | | 4.63% | | 3.31% (3) |
| Portfolio turnover rate | 14% (5) | | 107% | | 1% (5) |
| * | The Ambrus Core Bond Fund commenced operations on September 6, 2022. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the Period from
October 3, 2022*
to September 30,
2023 |
| Per Share Operating Performance | | | |
| Net asset value, beginning of period | $ 9.84 | | $ 10.00 |
| Net investment income(1) | 0.19 | | 0.36 |
| Net realized and unrealized gain/(loss) on investments | 0.30 | | (0.17) |
| Total from investment operations | 0.49 | | 0.19 |
| Dividends and distributions to shareholders from: | | | |
| Net investment income | (0.19) | | (0.35) |
| Net asset value, end of period | $ 10.14 | | $ 9.84 |
| Total investment return(2) | 5.00% | | 1.90% |
| Ratios/Supplemental Data | | | |
| Net assets, end of period (in 000s) | $224,433 | | $135,419 |
| Ratio of expenses to average net assets | 0.50% (3) | | 0.50% (3) |
| Ratio of expenses to average net assets without waivers(4) | 0.53% (3) | | 0.69% (3) |
| Ratio of net investment income to average net assets | 3.77% (3) | | 3.58% (3) |
| Portfolio turnover rate | 11% (5) | | 28% (5) |
| * | The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the Period from
October 3, 2022*
to September 30,
2023 |
| Per Share Operating Performance | | | |
| Net asset value, beginning of period | $ 9.81 | | $ 10.00 |
| Net investment income(1) | 0.20 | | 0.38 |
| Net realized and unrealized gain/(loss) on investments | 0.30 | | (0.20) |
| Total from investment operations | 0.50 | | 0.18 |
| Dividends and distributions to shareholders from: | | | |
| Net investment income | (0.20) | | (0.37) |
| Net asset value, end of period | $ 10.11 | | $ 9.81 |
| Total investment return(2) | 5.13% | | 1.80% |
| Ratios/Supplemental Data | | | |
| Net assets, end of period (in 000s) | $243,072 | | $180,728 |
| Ratio of expenses to average net assets | 0.50% (3) | | 0.50% (3) |
| Ratio of expenses to average net assets without waivers(4) | 0.53% (3) | | 0.65% (3) |
| Ratio of net investment income to average net assets | 4.00% (3) | | 3.77% (3) |
| Portfolio turnover rate | 13% (5) | | 32% (5) |
| * | The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
AMBRUS FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund (each a "Fund" and together the “Funds”) are diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on September 6, 2022, October 3, 2022 and October 3, 2022, respectively. The Funds are separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Two separate classes of shares, Investor Class and Institutional Class, are offered for the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund. As of March 31, 2024, Investor Class shares have not been issued on the Funds.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation – Each Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Funds' equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Securities that do not have a readily available current market value are valued in good faith by the Adviser as "valuation designee" under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses).
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The fair value of a Fund’s bonds are generally based on quotes received from brokers or independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that each Fund calculates its NAV (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. As a result, each Fund fair values foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange traded funds and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The valuations for fixed income securities are typically the prices supplied by independent third-party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third-party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. To the extent that these inputs are observable, the fair value of fixed income securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
The following is a summary of the inputs used, as of March 31, 2024, in valuing each Fund's investments carried at fair value:
| Funds | | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Ambrus Core Bond Fund | | | | | | |
| Assets | | | | | | | | |
| U.S. Treasury Obligations | | $ 116,730,071 | | $ — | | $ 116,730,071 | | $ — |
| Corporate Bonds | | 106,111,144 | | — | | 106,111,144 | | — |
| Preferreds | | | | | | | | |
| Consumer Discretionary | | 1,466,809 | | — | | 1,466,809 | | — |
| Energy | | 1,039,641 | | — | | 1,039,641 | | — |
| Financials | | 16,217,099 | | 1,480,978 | | 14,736,121 | | — |
| Municipal Bonds | | 1,007,143 | | — | | 1,007,143 | | — |
| Short-Term Investment | | 12,022,087 | | 12,022,087 | | — | | — |
| Total Assets | | $ 254,593,994 | | $ 13,503,065 | | $ 241,090,929 | | $ — |
| Ambrus Tax-Conscious California Bond Fund | | | | | | |
| Assets | | | | | | | | |
| Municipal Bonds | | $ 149,780,183 | | $ — | | $ 149,780,183 | | $ — |
| U.S. Treasury Obligations | | 24,077,046 | | — | | 24,077,046 | | — |
| Preferreds | | | | | | | | |
| Consumer Discretionary | | 828,037 | | — | | 828,037 | | — |
| Energy | | 1,039,641 | | — | | 1,039,641 | | — |
| Financials | | 15,164,981 | | 1,534,418 | | 13,630,563 | | — |
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| Funds | | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Corporate Bonds | | $ 16,882,524 | | $ — | | $ 16,882,524 | | $ — |
| Short-Term Investment | | 13,664,995 | | 13,664,995 | | — | | — |
| Total Assets | | $ 221,437,407 | | $ 15,199,413 | | $ 206,237,994 | | $ — |
| Ambrus Tax-Conscious National Bond Fund | | | | | | |
| Assets | | | | | | | | |
| Municipal Bonds | | $ 162,029,595 | | $ — | | $ 162,029,595 | | $ — |
| Corporate Bonds | | 30,850,039 | | — | | 30,850,039 | | — |
| Preferreds | | | | | | | | |
| Consumer Discretionary | | 1,111,936 | | — | | 1,111,936 | | — |
| Energy | | 1,039,641 | | — | | 1,039,641 | | — |
| Financials | | 17,704,247 | | 2,232,428 | | 15,471,819 | | — |
| U.S. Treasury Obligations | | 12,750,271 | | — | | 12,750,271 | | — |
| Short-Term Investment | | 14,949,723 | | 14,949,723 | | — | | — |
| Total Assets | | $ 240,435,452 | | $ 17,182,151 | | $ 223,253,301 | | $ — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Gains and losses on principal paydowns from mortgage-backed securities are recorded as interest income on the Statements of Operations. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
daily basis using the effective yield method except for short term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund. The Funds’ investment income, expenses (other than class-specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by each Fund, after deducting any available capital loss carryovers are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Debt Investment Risk — Debt investments are affected primarily by the financial condition of the companies or other entities that have issued them and by changes in interest rates. There is a risk that an issuer of each Fund's debt investments may not be able to meet its financial obligations (e. g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or seek bankruptcy protection. Securities such as high-yield bonds, e.g., bonds with low credit ratings by Moody's (Ba or lower) or Standard & Poor's (BB and lower) or if unrated are of comparable quality as determined by the Adviser, are especially subject to credit risk during periods of economic uncertainty or during economic downturns and are more likely to default on their interest and/or principal payments than higher rated securities. Debt investments may be affected by changes in interest rates. With fixed rate securities, a rise in interest rates typically causes a fall in values. The yield earned by the Fund will vary with changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise.
Concentration of Credit Risk — The Ambrus Tax-Conscious California Bond Fund primarily invests in debt obligations issued by the state of California and its political subdivisions, agencies, and public authorities to obtain funds for various public purposes. The Fund is more susceptible to factors adversely affecting issues of California municipal securities than is a municipal bond fund that is not concentrated in these issuers.
2. Transactions with Related Parties and Other Service Providers
Whittier Advisors, LLC (“Whittier” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust. For its services, the Adviser is paid a monthly fee at the annual rate based on average daily net assets of the Fund as shown in the table below:
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| Ambrus Core Bond Fund | 0.40% |
| Ambrus Tax-Conscious California Bond Fund | 0.40% |
| Ambrus Tax-Conscious National Bond Fund | 0.40% |
The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Funds to the extent necessary to ensure that the Funds' total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by the Trust, interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed (on an annual basis) 0.50% through January 31, 2025 and thereafter, 0.60% through January 31, 2026, of each Fund's average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees approves their earlier termination.
The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for such Fund. The Adviser is permitted to seek reimbursement from a Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund's expenses are below the Expense Limitation amount.
For the six months ended March 31, 2024, the amount of advisory fees earned and waived and/or reimbursed was as follows:
| | Gross
Advisory Fee | | Waiver/
Reimbursements | | Net Advisory Fee/
(Reimbursement) |
| Ambrus Core Bond Fund | $420,564 | | $(24,528) | | $396,036 |
| Ambrus Tax-Conscious California Bond Fund | 355,736 | | (28,942) | | 326,794 |
| Ambrus Tax-Conscious National Bond Fund | 413,818 | | (35,825) | | 377,993 |
As of March 31, 2024, the amount of potential recovery was as follows:
| | 09/30/2025 | | 09/30/2026 | | 03/31/2027 | | Total |
| Ambrus Core Bond Fund | $26,682 | | $133,166 | | $24,528 | | $184,376 |
| Ambrus Tax-Conscious California Bond Fund | — | | 118,425 | | 28,942 | | 147,367 |
| Ambrus Tax-Conscious National Bond Fund | — | | 137,147 | | 35,825 | | 172,972 |
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon has the ability to recover fees waived in the prior fiscal year if a Fund terminates its agreements with BNY Mellon within three years of commencing operations. As of March 31, 2024, the amount of potential recovery was $28,039, $30,571 and $23,908 for the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund, respectively. The ability to recover such amounts previously waived expires on September 6, 2025 for the Ambrus Core Bond Fund and October 3, 2025 for the Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | U.S. Government Securities | | Other Securities |
| | Purchases | | Sales | | Purchases | | Sales |
| Ambrus Core Bond Fund | $54,646,376 | | $5,348,758 | | $61,244,375 | | $20,783,187 |
| Ambrus Tax-Conscious California Bond Fund | 16,717,335 | | — | | 77,445,307 | | 18,638,219 |
| Ambrus Tax-Conscious National Bond Fund | 7,755,918 | | 2,424,707 | | 66,990,390 | | 22,437,149 |
4. Capital Share Transactions
For the six months ended March 31, 2024 and the year/period ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year/Period Ended
September 30, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| Ambrus Core Bond Fund: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 10,853,615 | | $106,456,508 | | 16,205,906 | | $159,751,936 |
| Reinvestments | 495,956 | | 4,870,695 | | 369,814 | | 3,624,305 |
| Redemptions | (1,961,449) | | (19,225,403) | | (452,803) | | (4,432,276) |
| Net increase | 9,388,122 | | $ 92,101,800 | | 16,122,917 | | $158,943,965 |
| |
AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year/Period Ended
September 30, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| | | | | | | | |
| Ambrus Tax-Conscious California Bond Fund*: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 11,474,896 | | $115,391,148 | | 14,499,535 | | $146,431,424 |
| Reinvestments | 327,321 | | 3,299,775 | | 278,058 | | 2,798,295 |
| Redemptions | (3,429,190) | | (33,913,571) | | (1,011,557) | | (10,172,252) |
| Net increase | 8,373,027 | | $ 84,777,352 | | 13,766,036 | | $139,057,467 |
| |
| | | | | | | | |
| Ambrus Tax-Conscious National Bond Fund**: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 7,559,794 | | $ 75,738,652 | | 18,659,538 | | $188,714,274 |
| Reinvestments | 405,665 | | 4,074,484 | | 392,204 | | 3,940,173 |
| Redemptions | (2,340,263) | | (23,306,518) | | (634,339) | | (6,373,179) |
| Net increase | 5,625,196 | | $ 56,506,618 | | 18,417,403 | | $186,281,268 |
| |
| | | | | | | | |
| * | The Ambrus Tax-Conscious California Bond Fund's Institutional Class commenced operations on October 3, 2023. |
| ** | The Ambrus Tax-Conscious National Bond Fund's Institutional Class commenced operations on October 3, 2023. |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year/period ended September 30, 2023, the tax character of distributions paid by the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund were $3,645,709, $1,123,002 and $1,697,384 of ordinary income dividends and $0, $1,688,430 and $2,261,755 of tax-exempt income, respectively.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Undistributed
Tax Exempt | | Distributions
Payable | | Unrealized
Appreciation/
(Depreciation) |
| Ambrus Core Bond Fund | $(1,453,231) | | $19,157 | | $ — | | $(21,404) | | $(2,567,892) |
| Ambrus Tax-Conscious California Bond Fund | (513,363) | | — | | 13,149 | | (13,136) | | (3,124,665) |
| Ambrus Tax-Conscious National Bond Fund | (975,078) | | — | | 19,005 | | (18,966) | | (4,578,086) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
AMBRUS FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation |
| Ambrus Core Bond Fund | | $252,124,282 | | $2,907,409 | | $(437,697) | | $2,469,712 |
| Ambrus Tax-Conscious California Bond Fund | | 220,214,841 | | 1,868,873 | | (646,307) | | 1,222,566 |
| Ambrus Tax-Conscious National Bond Fund | | 238,944,839 | | 2,450,587 | | (959,974) | | 1,490,613 |
| * | Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report. |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Funds’ capital loss carryforwards, which were comprised of both short-term losses and long-term losses, and had an unlimited period of capital loss carryover were as follows:
| | Capital Loss Carryforward |
| | Short-Term | | Long-Term |
| Ambrus Core Bond Fund | $1,448,651 | | $4,580 |
| Ambrus Tax-Conscious California Bond Fund | 513,363 | | — |
| Ambrus Tax-Conscious National Bond Fund | 975,078 | | — |
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
AMBRUS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (833) 996-2101 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Funds' portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
AMBRUS FUNDS
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (833) 996-2101.
Investment Adviser
Whittier Advisors, LLC
4695 MacArthur Court
Suite 1500
Newport Beach, CA 92660
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTHAM FUNDS
of
FundVantage Trust
| Gotham Absolute Return Fund |
| Gotham Enhanced Return Fund |
| Gotham Neutral Fund |
| Gotham Index Plus Fund |
| Gotham Large Value Fund |
| Gotham Enhanced S&P 500 Index Fund |
| Gotham Hedged Core Fund |
| Gotham Defensive Long 500 Fund |
| Gotham Total Return Fund |
| Gotham Enhanced 500 Plus Fund |
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
IMPORTANT NOTICE – UPCOMING CHANGES TO GOTHAM FUNDS ANNUAL & SEMI-ANNUAL REPORTS
The Securities and Exchange Commission (the “SEC”) has adopted rule and form amendments that will result in changes to the design and delivery of annual and semi-annual shareholder reports (“Reports”). Beginning in July 2024, Reports will be streamlined to highlight key information (“Redesigned Reports”). Certain information currently included in the Reports, including financial statements, will no longer appear in the Reports but will be available online, delivered free of charge to shareholders upon request, and filed with the SEC.
If you previously elected to receive the Fund's Reports electronically, you will continue to receive the Redesigned Reports electronically. Otherwise, you will receive paper copies of the Fund's Redesigned Reports via USPS mail for all Reports transmitted after July 2024. If you would like to receive the Fund's Redesigned Reports (and/or other communications) electronically instead of by mail, please contact your financial advisor or, if you are a direct investor, please call (877) 974-6852.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
GOTHAM FUNDS
SEMI-ANNUAL REPORT
AS OF March 31, 2024
TABLE OF CONTENTS
[THIS PAGE INTENTIONALLY LEFT BLANK.]
GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a “Fund”) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund, Gotham Index Plus Fund and Gotham Defensive Long 500 Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investments. Gotham Total Return Fund will primarily engage in short sales, leverage and swaps through its investments in underlying funds. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
GOTHAM FUNDS
Gotham Absolute Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | 10 Years |
| Institutional Class Shares | 20.55% | | 28.50% | | 14.02% | | 9.73% | | 6.16% |
| HFRX Equity Hedge Index | 7.13% | | 9.66% | | 5.34% | | 5.57% | | 3.09% |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.73% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
GOTHAM FUNDS
Gotham Enhanced Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | 10 Years |
| Institutional Class Shares | 29.71% | | 41.36% | | 17.79% | | 12.85% | | 9.77% |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 12.96% |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Neutral Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | 10 Years |
| Institutional Class Shares | 13.00% | | 21.98% | | 13.65% | | 5.29% | | 2.23% |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 2.68% | | 5.24% | | 2.58% | | 2.02% | | 1.38% |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.96% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “BofA Index”). The BofA Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue.
GOTHAM FUNDS
Gotham Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 25.73% | | 37.28% | | 15.45% | | 15.26% | | 13.39% ** |
| Investor Class Shares | 25.54% | | 36.94% | | 15.17% | | 14.96% | | 12.19% ** |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 12.99% *** |
| * | Not Annualized. |
| ** | Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively. |
| *** | Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.24% and 1.15% for Institutional Class shares, respectively, and 1.49% and 1.40% for Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.15% with respect to Institutional Class shares (on an annual basis) and 0.15% with respect to Investor Class shares (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.00% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Large Value Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 19.38% | | 21.49% | | 9.99% | | 11.57% | | 12.19% ** |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 14.19% *** |
| * | Not Annualized. |
| ** | The Gotham Large Value Fund (the “Fund”) commenced operations on December 31, 2015. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.21% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.75% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 22.16% | | 29.09% | | 12.16% | | 14.23% | | 14.70% ** |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 14.54% *** |
| * | Not Annualized. |
| ** | The Gotham Enhanced S&P 500 Index Fund (the “Fund”) commenced operations on December 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 0.65% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.50% for Institutional Class shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 0.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Hedged Core Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 19.81% | | 21.31% | | 10.15% | | 9.97% | | 9.77% ** |
| HFRX Equity Hedge Index | 7.13% | | 9.66% | | 5.34% | | 5.57% | | 4.54% *** |
| * | Not Annualized. |
| ** | The Gotham Hedged Core Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” is 1.75% for Institutional Class Shares of the Fund’s average daily net assets. This ratio may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 20.33% | | 25.81% | | 12.32% | | 7.56% | | 9.41% ** |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 14.55% *** |
| * | Not Annualized. |
| ** | The Gotham Defensive Long 500 Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 2.09% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Gotham Total Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares** | 19.99% | | 25.29% | | 10.68% | | 6.80% | | 7.14% *** |
| HFRX Equity Hedge Index | 7.13% | | 9.66% | | 5.34% | | 5.57% | | 3.17% **** |
| * | Not Annualized. |
| ** | On January 30, 2023, Investor Class shares of the Fund were automatically converted to Institutional Class shares of the Fund and the Investor Class was terminated as a separately designated class of the Fund. |
| *** | The Gotham Total Return Fund (the “Fund”) commenced operations on March 31, 2015. |
| **** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of the shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.91% for the Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any) and brokerage commissions), do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The recoupment of fees waived or expenses reimbursed are limited to the lesser of (a) the Expense Limitation in effect at the time fees were waived or expenses were reimbursed, and (b) the Expense Limitation in effect at the time of recoupment.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
The Fund normally allocates the majority of its assets among investment companies advised or sub-advised by Gotham. Therefore, the Fund's shareholders will indirectly bear the Fund's proportionate share of fees and expenses of the underlying funds in addition to the Fund's own expenses. The Fund also is subject to the risks of the underlying funds, which may include any or all of the risks described in Important Information.
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months* | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 22.20% | | 31.07% | | 13.37% | | 13.20% | | 13.56% ** |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.49% | | 15.05% | | 14.55% *** |
| * | Not Annualized. |
| ** | The Gotham Enhanced 500 Plus Fund (the “Fund”) commenced operations on September 30, 2016. |
| *** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 5.23% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.15% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2023 | | Ending Account Value
March 31, 2024 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham Absolute Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,205.50 | | 1.50% | | $ 8.27 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.50 | | 1.50% | | 7.57 |
| Gotham Enhanced Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,297.10 | | 1.28% | | $ 7.35 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,018.60 | | 1.28% | | 6.46 |
| Gotham Neutral Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,130.00 | | 1.50% | | $ 7.99 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.50 | | 1.50% | | 7.57 |
GOTHAM FUNDS
Fund Expense Disclosure (Continued)
March 31, 2024
(Unaudited)
| | Beginning Account Value
October 1, 2023 | | Ending Account Value
March 31, 2024 | | Annualized
Expense Ratio* | | Expenses Paid
During Period** |
| Gotham Index Plus Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,257.30 | | 0.93% | | $ 5.25 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,020.35 | | 0.93% | | 4.70 |
| Investor Class | | | | | | | |
| Actual | $1,000.00 | | $1,255.40 | | 1.18% | | $ 6.65 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,019.10 | | 1.18% | | 5.96 |
| Gotham Large Value Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,193.80 | | 0.75% | | $ 4.11 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.25 | | 0.75% | | 3.79 |
| Gotham Enhanced S&P 500 Index Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,221.60 | | 0.50% | | $ 2.78 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.50 | | 0.50% | | 2.53 |
| Gotham Hedged Core Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,198.10 | | 1.72% | | $ 9.45 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,016.40 | | 1.72% | | 8.67 |
| Gotham Defensive Long 500 Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,203.30 | | 1.35% | | $ 7.44 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,018.25 | | 1.35% | | 6.81 |
| Gotham Total Return Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,199.90 | | 0.00% | | $ — |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,025.00 | | 0.00% | | — |
| Gotham Enhanced 500 Plus Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,222.00 | | 2.08% | | $11.55 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,014.60 | | 2.08% | | 10.48 |
GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2024
(Unaudited)
| * | Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, which do not short securities or use leverage. |
| ** | Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended March 31, 2024, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 366 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 366 to reflect the period. |
Gotham Absolute Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 11.8% | | $ 77,678,435 |
| Software & Services | 10.4 | | 68,141,874 |
| Semiconductors & Semiconductor Equipment | 7.5 | | 49,500,738 |
| Health Care Equipment & Services | 6.1 | | 40,059,197 |
| Technology Hardware & Equipment | 6.0 | | 39,636,890 |
| Energy | 5.8 | | 37,953,312 |
| Media & Entertainment | 5.6 | | 36,478,916 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.4 | | 35,388,674 |
| Consumer Discretionary Distribution & Retail | 5.0 | | 33,105,926 |
| Materials | 4.5 | | 29,508,986 |
| Financial Services | 3.9 | | 25,354,928 |
| Food, Beverage & Tobacco | 3.6 | | 23,822,356 |
| Consumer Services | 3.5 | | 22,716,427 |
| Consumer Durables & Apparel | 2.6 | | 16,789,131 |
| Commercial & Professional Services | 2.5 | | 16,290,667 |
| Utilities | 2.5 | | 16,163,950 |
| Consumer Staples Distribution & Retail | 2.4 | | 15,489,565 |
| Transportation | 1.8 | | 12,120,146 |
| Household & Personal Products | 1.6 | | 10,473,391 |
| Automobiles & Components | 1.4 | | 9,181,845 |
| Telecommunication Services | 1.0 | | 6,759,313 |
| Total Common Stocks | 94.9 | | 622,614,667 |
| Other Assets in Excess of Liabilities | 5.1 | | 33,383,782 |
| NET ASSETS | 100.0% | | $655,998,449 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Enhanced Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 6.4% | | $ 15,028,022 |
| Software & Services | 6.1 | | 14,417,392 |
| Semiconductors & Semiconductor Equipment | 3.8 | | 9,077,227 |
| Energy | 3.3 | | 7,852,310 |
| Health Care Equipment & Services | 3.2 | | 7,434,552 |
| Media & Entertainment | 3.1 | | 7,220,323 |
| Technology Hardware & Equipment | 2.5 | | 5,831,563 |
| Pharmaceuticals, Biotechnology & Life Sciences | 2.5 | | 5,784,674 |
| Materials | 2.4 | | 5,734,484 |
| Financial Services | 2.2 | | 5,275,618 |
| Food, Beverage & Tobacco | 2.1 | | 4,995,012 |
| Consumer Discretionary Distribution & Retail | 2.0 | | 4,634,827 |
| Consumer Services | 1.9 | | 4,421,603 |
| Consumer Durables & Apparel | 1.7 | | 4,024,816 |
| Consumer Staples Distribution & Retail | 1.4 | | 3,354,722 |
| Commercial & Professional Services | 1.3 | | 3,020,293 |
| Utilities | 1.3 | | 2,973,823 |
| Transportation | 1.0 | | 2,458,797 |
| Household & Personal Products | 0.8 | | 1,884,447 |
| Telecommunication Services | 0.7 | | 1,633,738 |
| Automobiles & Components | 0.7 | | 1,561,629 |
| Exchange Traded Funds | 0.5 | | 1,210,384 |
| Affiliated Equity Registered Investment Companies | 44.2 | | 104,030,580 |
| Total Investments | 95.1 | | 223,860,836 |
| Other Assets in Excess of Liabilities | 4.9 | | 11,590,903 |
| NET ASSETS | 100.0% | | $235,451,739 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Neutral Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 12.3% | | $ 9,394,055 |
| Software & Services | 9.5 | | 7,279,753 |
| Energy | 7.1 | | 5,392,563 |
| Health Care Equipment & Services | 6.8 | | 5,163,581 |
| Materials | 6.2 | | 4,748,774 |
| Semiconductors & Semiconductor Equipment | 6.0 | | 4,593,569 |
| Media & Entertainment | 5.4 | | 4,103,500 |
| Technology Hardware & Equipment | 5.2 | | 3,977,817 |
| Pharmaceuticals, Biotechnology & Life Sciences | 4.3 | | 3,314,999 |
| Food, Beverage & Tobacco | 4.0 | | 3,087,689 |
| Consumer Discretionary Distribution & Retail | 3.9 | | 2,985,300 |
| Consumer Services | 3.9 | | 2,971,651 |
| Financial Services | 3.3 | | 2,481,534 |
| Consumer Durables & Apparel | 3.1 | | 2,338,198 |
| Commercial & Professional Services | 3.0 | | 2,324,524 |
| Utilities | 2.9 | | 2,195,270 |
| Consumer Staples Distribution & Retail | 2.8 | | 2,118,994 |
| Household & Personal Products | 1.8 | | 1,360,129 |
| Transportation | 1.3 | | 1,022,339 |
| Automobiles & Components | 1.2 | | 912,212 |
| Telecommunication Services | 1.0 | | 741,378 |
| Total Common Stocks | 95.0 | | 72,507,829 |
| Other Assets in Excess of Liabilities | 5.0 | | 3,838,104 |
| NET ASSETS | 100.0% | | $76,345,933 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Index Plus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 5.7% | | $ 40,102,691 |
| Semiconductors & Semiconductor Equipment | 4.0 | | 27,910,943 |
| Health Care Equipment & Services | 3.3 | | 23,172,753 |
| Pharmaceuticals, Biotechnology & Life Sciences | 3.2 | | 22,632,522 |
| Food, Beverage & Tobacco | 3.2 | | 22,362,788 |
| Software & Services | 3.0 | | 21,494,654 |
| Financial Services | 2.6 | | 18,532,809 |
| Energy | 2.5 | | 17,380,790 |
| Technology Hardware & Equipment | 2.4 | | 17,235,809 |
| Materials | 2.4 | | 17,038,403 |
| Media & Entertainment | 2.3 | | 16,126,363 |
| Consumer Services | 2.0 | | 13,800,777 |
| Commercial & Professional Services | 1.6 | | 11,403,972 |
| Insurance | 1.6 | | 10,979,237 |
| Utilities | 1.5 | | 10,567,122 |
| Consumer Discretionary Distribution & Retail | 1.5 | | 10,456,141 |
| Consumer Durables & Apparel | 1.5 | | 10,410,808 |
| Equity Real Estate Investment Trusts (REITs) | 1.4 | | 10,028,530 |
| Transportation | 1.1 | | 8,072,127 |
| Household & Personal Products | 1.0 | | 7,126,844 |
| Consumer Staples Distribution & Retail | 0.7 | | 5,080,909 |
| Banks | 0.7 | | 4,890,624 |
| Telecommunication Services | 0.5 | | 3,526,640 |
| Automobiles & Components | 0.4 | | 2,551,119 |
| Real Estate Management & Development | 0.2 | | 1,458,211 |
| Exchange Traded Funds | 0.7 | | 4,983,288 |
| Affiliated Equity Registered Investment Company | 43.4 | | 306,003,106 |
| Total Investments | 94.4 | | 665,329,980 |
| Other Assets in Excess of Liabilities | 5.6 | | 39,300,668 |
| NET ASSETS | 100.0% | | $704,630,648 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Large Value Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Capital Goods | 16.8% | | $ 9,149,696 |
| Energy | 7.9 | | 4,319,075 |
| Food, Beverage & Tobacco | 7.4 | | 4,023,174 |
| Materials | 5.8 | | 3,137,365 |
| Health Care Equipment & Services | 5.6 | | 3,038,807 |
| Insurance | 5.3 | | 2,880,953 |
| Consumer Discretionary Distribution & Retail | 5.2 | | 2,826,537 |
| Technology Hardware & Equipment | 5.0 | | 2,745,069 |
| Pharmaceuticals, Biotechnology & Life Sciences | 4.5 | | 2,429,576 |
| Semiconductors & Semiconductor Equipment | 4.4 | | 2,379,965 |
| Telecommunication Services | 3.9 | | 2,112,337 |
| Financial Services | 3.8 | | 2,071,808 |
| Consumer Services | 3.2 | | 1,740,614 |
| Media & Entertainment | 3.0 | | 1,607,215 |
| Transportation | 2.9 | | 1,588,710 |
| Software & Services | 2.6 | | 1,421,318 |
| Consumer Durables & Apparel | 2.5 | | 1,370,299 |
| Household & Personal Products | 2.4 | | 1,297,857 |
| Banks | 1.6 | | 894,689 |
| Consumer Staples Distribution & Retail | 1.4 | | 788,354 |
| Commercial & Professional Services | 1.3 | | 706,372 |
| Equity Real Estate Investment Trusts (REITs) | 1.2 | | 663,540 |
| Utilities | 1.0 | | 526,045 |
| Automobiles & Components | 0.3 | | 183,106 |
| Real Estate Management & Development | 0.3 | | 167,642 |
| Total Common Stocks | 99.3 | | 54,070,123 |
| Other Assets in Excess of Liabilities | 0.7 | | 369,252 |
| NET ASSETS | 100.0% | | $54,439,375 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Enhanced S&P 500 Index Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Software & Services | 10.9% | | $ 2,189,141 |
| Capital Goods | 10.0 | | 1,993,382 |
| Media & Entertainment | 9.8 | | 1,958,023 |
| Semiconductors & Semiconductor Equipment | 8.9 | | 1,776,759 |
| Consumer Discretionary Distribution & Retail | 8.7 | | 1,739,848 |
| Technology Hardware & Equipment | 8.4 | | 1,677,599 |
| Financial Services | 6.9 | | 1,389,095 |
| Food, Beverage & Tobacco | 5.5 | | 1,105,616 |
| Pharmaceuticals, Biotechnology & Life Sciences | 3.9 | | 770,846 |
| Health Care Equipment & Services | 3.5 | | 705,024 |
| Energy | 3.3 | | 665,344 |
| Telecommunication Services | 3.1 | | 624,418 |
| Consumer Services | 2.7 | | 538,387 |
| Household & Personal Products | 2.2 | | 443,887 |
| Banks | 2.2 | | 433,991 |
| Insurance | 2.1 | | 428,202 |
| Materials | 1.8 | | 358,452 |
| Consumer Durables & Apparel | 1.5 | | 292,091 |
| Transportation | 1.1 | | 221,350 |
| Automobiles & Components | 0.9 | | 175,323 |
| Consumer Staples Distribution & Retail | 0.7 | | 132,880 |
| Commercial & Professional Services | 0.5 | | 105,512 |
| Utilities | 0.5 | | 93,902 |
| Equity Real Estate Investment Trusts (REITs) | 0.3 | | 54,699 |
| Real Estate Management & Development | 0.0 | | 3,683 |
| Total Common Stocks | 99.4 | | 19,877,454 |
| Other Assets in Excess of Liabilities | 0.6 | | 125,684 |
| NET ASSETS | 100.0% | | $20,003,138 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Hedged Core Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| Common Stocks: | | | |
| Technology Hardware & Equipment | 17.5% | | $ 1,004,177 |
| Food, Beverage & Tobacco | 15.2 | | 871,607 |
| Health Care Equipment & Services | 12.1 | | 694,407 |
| Software & Services | 10.0 | | 576,050 |
| Financial Services | 8.9 | | 513,981 |
| Media & Entertainment | 8.9 | | 510,680 |
| Semiconductors & Semiconductor Equipment | 8.7 | | 502,646 |
| Capital Goods | 7.8 | | 449,274 |
| Consumer Discretionary Distribution & Retail | 7.7 | | 440,518 |
| Household & Personal Products | 7.3 | | 416,929 |
| Insurance | 6.7 | | 385,720 |
| Pharmaceuticals, Biotechnology & Life Sciences | 4.8 | | 273,501 |
| Consumer Durables & Apparel | 4.7 | | 269,026 |
| Telecommunication Services | 3.8 | | 220,043 |
| Consumer Services | 3.7 | | 210,843 |
| Commercial & Professional Services | 3.2 | | 185,750 |
| Transportation | 2.1 | | 121,991 |
| Consumer Staples Distribution & Retail | 1.9 | | 110,113 |
| Energy | 1.7 | | 100,287 |
| Utilities | 1.0 | | 55,370 |
| Materials | 0.2 | | 8,949 |
| Automobiles & Components | 0.1 | | 3,543 |
| Total Long Positions | 138.0 | | 7,925,405 |
| | % of Net
Assets | | Value |
| SHORT POSITIONS: | | | |
| Common Stocks : | | | |
| Household & Personal Products | (0.1)% | | $ (5,549) |
| Media & Entertainment | (0.1) | | (7,567) |
| Consumer Discretionary Distribution & Retail | (0.2) | | (8,824) |
| Insurance | (0.3) | | (17,093) |
| Automobiles & Components | (0.3) | | (19,152) |
| Real Estate Management & Development | (0.5) | | (30,332) |
| Food, Beverage & Tobacco | (0.5) | | (31,018) |
| Financial Services | (0.6) | | (31,878) |
| Energy | (0.6) | | (32,443) |
| Consumer Durables & Apparel | (0.7) | | (42,943) |
| Capital Goods | (0.7) | | (43,011) |
| Commercial & Professional Services | (0.8) | | (44,074) |
| Equity Real Estate Investment Trusts (REITs) | (1.3) | | (71,789) |
| Materials | (1.5) | | (87,259) |
| Consumer Services | (1.6) | | (91,995) |
| Transportation | (1.9) | | (108,601) |
| Technology Hardware & Equipment | (2.3) | | (133,945) |
| Pharmaceuticals, Biotechnology & Life Sciences | (3.5) | | (202,524) |
| Software & Services | (3.7) | | (212,004) |
| Health Care Equipment & Services | (4.0) | | (230,302) |
| Semiconductors & Semiconductor Equipment | (5.0) | | (287,875) |
| Utilities | (9.5) | | (543,348) |
| Total Short Positions | (39.7) | | (2,283,526) |
| Other Assets in Excess of Liabilities | 1.7 | | 100,452 |
| NET ASSETS | 100.0% | | $ 5,742,331 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Defensive Long 500 Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Common Stocks: | | | |
| Technology Hardware & Equipment | 12.5% | | $ 2,156,581 |
| Food, Beverage & Tobacco | 10.7 | | 1,842,690 |
| Health Care Equipment & Services | 7.9 | | 1,363,068 |
| Capital Goods | 7.8 | | 1,340,227 |
| Semiconductors & Semiconductor Equipment | 6.9 | | 1,192,631 |
| Media & Entertainment | 6.0 | | 1,028,275 |
| Software & Services | 5.9 | | 1,009,152 |
| Financial Services | 5.9 | | 1,004,390 |
| Household & Personal Products | 4.7 | | 811,513 |
| Insurance | 4.1 | | 696,893 |
| Pharmaceuticals, Biotechnology & Life Sciences | 3.6 | | 621,911 |
| Consumer Discretionary Distribution & Retail | 3.6 | | 614,775 |
| Consumer Durables & Apparel | 3.1 | | 525,852 |
| Consumer Services | 2.8 | | 475,906 |
| Telecommunication Services | 2.3 | | 401,189 |
| Commercial & Professional Services | 2.0 | | 348,691 |
| Transportation | 1.5 | | 262,249 |
| Consumer Staples Distribution & Retail | 1.0 | | 177,752 |
| Energy | 0.8 | | 140,749 |
| Materials | 0.8 | | 139,140 |
| Utilities | 0.7 | | 123,263 |
| Automobiles & Components | 0.4 | | 61,003 |
| Total Common Stocks | 95.0 | | 16,337,900 |
| Other Assets in Excess of Liabilities | 5.0 | | 867,648 |
| NET ASSETS | 100.0% | | $17,205,548 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Total Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| Affiliated Equity Registered Investment Companies | 99.1% | | $14,255,234 |
| Other Assets in Excess of Liabilities | 0.9 | | 134,934 |
| NET ASSETS | 100.0% | | $14,390,168 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Gotham Enhanced 500 Plus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| Common Stocks: | | | |
| Capital Goods | 18.2% | | $ 801,447 |
| Software & Services | 12.3 | | 541,983 |
| Technology Hardware & Equipment | 11.6 | | 510,406 |
| Media & Entertainment | 11.5 | | 509,147 |
| Consumer Discretionary Distribution & Retail | 11.1 | | 491,423 |
| Semiconductors & Semiconductor Equipment | 10.7 | | 472,328 |
| Food, Beverage & Tobacco | 9.0 | | 396,143 |
| Financial Services | 8.6 | | 380,035 |
| Health Care Equipment & Services | 5.5 | | 241,392 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.0 | | 222,518 |
| Telecommunication Services | 4.9 | | 216,878 |
| Energy | 4.7 | | 205,744 |
| Consumer Services | 4.5 | | 200,179 |
| Insurance | 4.0 | | 175,967 |
| Materials | 3.9 | | 172,994 |
| Household & Personal Products | 3.5 | | 154,134 |
| Consumer Durables & Apparel | 2.6 | | 115,906 |
| Banks | 2.2 | | 95,854 |
| Transportation | 1.8 | | 80,319 |
| Commercial & Professional Services | 1.1 | | 47,985 |
| Consumer Staples Distribution & Retail | 0.7 | | 32,037 |
| Utilities | 0.6 | | 27,082 |
| Automobiles & Components | 0.4 | | 17,105 |
| Equity Real Estate Investment Trusts (REITs) | 0.2 | | 9,648 |
| Real Estate Management & Development | 0.0 | | 583 |
| Total Long Positions | 138.6 | | 6,119,237 |
| | % of Net
Assets | | Value |
| SHORT POSITIONS: | | | |
| Common Stocks : | | | |
| Banks | (0.0)% | | $ (42) |
| Consumer Durables & Apparel | (0.2) | | (8,100) |
| Real Estate Management & Development | (0.2) | | (8,501) |
| Automobiles & Components | (0.2) | | (10,717) |
| Media & Entertainment | (0.3) | | (11,049) |
| Household & Personal Products | (0.4) | | (17,344) |
| Consumer Discretionary Distribution & Retail | (0.7) | | (31,118) |
| Insurance | (0.7) | | (32,445) |
| Technology Hardware & Equipment | (0.8) | | (34,977) |
| Food, Beverage & Tobacco | (1.0) | | (45,347) |
| Financial Services | (1.3) | | (57,223) |
| Transportation | (1.4) | | (59,742) |
| Consumer Staples Distribution & Retail | (1.4) | | (63,125) |
| Consumer Services | (1.5) | | (66,462) |
| Commercial & Professional Services | (1.6) | | (69,505) |
| Materials | (1.8) | | (77,575) |
| Energy | (1.9) | | (84,803) |
| Capital Goods | (2.2) | | (97,728) |
| Semiconductors & Semiconductor Equipment | (3.0) | | (132,769) |
| Software & Services | (3.1) | | (136,871) |
| Equity Real Estate Investment Trusts (REITs) | (3.3) | | (146,135) |
| Utilities | (4.2) | | (184,601) |
| Health Care Equipment & Services | (4.5) | | (196,983) |
| Pharmaceuticals, Biotechnology & Life Sciences | (4.8) | | (213,160) |
| Total Short Positions | (40.5) | | (1,786,322) |
| Other Assets in Excess of Liabilities | 1.9 | | 82,710 |
| NET ASSETS | 100.0% | | $ 4,415,625 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 94.9% |
| Automobiles & Components — 1.4% |
| American Axle & Manufacturing Holdings, Inc.* | 34,413 | | $ 253,280 |
| Aptiv PLC (Jersey)* | 2,938 | | 234,012 |
| BorgWarner, Inc. | 36,188 | | 1,257,171 |
| Dorman Products, Inc.* | 1,362 | | 131,283 |
| Ford Motor Co.(a) | 217,698 | | 2,891,030 |
| Garrett Motion, Inc.* | 739 | | 7,346 |
| General Motors Co.(a) | 63,272 | | 2,869,385 |
| Gentherm, Inc.* | 1,486 | | 85,564 |
| Goodyear Tire & Rubber Co. (The)* | 14,017 | | 192,453 |
| LCI Industries | 6,122 | | 753,373 |
| Lear Corp. | 1,307 | | 189,358 |
| Modine Manufacturing Co.* | 402 | | 38,266 |
| Visteon Corp.* | 2,375 | | 279,324 |
| | | | 9,181,845 |
| Capital Goods — 11.8% |
| 3M Co. | 1,584 | | 168,015 |
| A. O. Smith Corp. | 12,657 | | 1,132,295 |
| AAR Corp.* | 489 | | 29,276 |
| Acuity Brands, Inc. | 1,455 | | 391,002 |
| AECOM | 6,126 | | 600,838 |
| American Woodmark Corp.* | 4,211 | | 428,090 |
| AMETEK, Inc. | 779 | | 142,479 |
| Apogee Enterprises, Inc. | 7 | | 414 |
| Applied Industrial Technologies, Inc. | 1,559 | | 307,980 |
| Array Technologies, Inc.* | 84,611 | | 1,261,550 |
| AZEK Co., Inc. (The)* | 42,709 | | 2,144,846 |
| Beacon Roofing Supply, Inc.* | 2,932 | | 287,395 |
| Blue Bird Corp.* | 4,772 | | 182,958 |
| Boeing Co. (The)* | 2,276 | | 439,245 |
| Boise Cascade Co. | 758 | | 116,254 |
| Builders FirstSource, Inc.* | 6,921 | | 1,443,375 |
| BWX Technologies, Inc. | 9,283 | | 952,621 |
| Cadre Holdings, Inc. | 1,124 | | 40,689 |
| Carlisle Cos., Inc. | 1,555 | | 609,327 |
| Carrier Global Corp. | 6,053 | | 351,861 |
| Caterpillar, Inc.(a) | 6,118 | | 2,241,819 |
| Chart Industries, Inc.* | 1,638 | | 269,811 |
| Comfort Systems USA, Inc. | 5,037 | | 1,600,305 |
| Core & Main, Inc., Class A* | 7,285 | | 417,066 |
| Crane Co. | 10,872 | | 1,469,133 |
| CSW Industrials, Inc. | 679 | | 159,293 |
| Cummins, Inc. | 4,710 | | 1,387,802 |
| Curtiss-Wright Corp. | 1,533 | | 392,356 |
| Deere & Co. | 2,253 | | 925,397 |
| DNOW, Inc.* | 13,428 | | 204,106 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Donaldson Co., Inc. | 8,093 | | $ 604,385 |
| Dover Corp. | 2,892 | | 512,434 |
| Eaton Corp. PLC (Ireland) | 5,423 | | 1,695,664 |
| EMCOR Group, Inc. | 3,003 | | 1,051,651 |
| Emerson Electric Co.(a) | 5,319 | | 603,281 |
| Enerpac Tool Group Corp. | 9,477 | | 337,950 |
| EnerSys | 7,433 | | 702,121 |
| Enpro, Inc. | 1,668 | | 281,508 |
| Esab Corp. | 2,318 | | 256,301 |
| Fastenal Co. | 3,628 | | 279,864 |
| Flowserve Corp. | 12,459 | | 569,127 |
| Fluence Energy, Inc.* | 33,778 | | 585,711 |
| Fortune Brands Innovations, Inc. | 3,910 | | 331,060 |
| Gates Industrial Corp. PLC (United Kingdom)* | 14,296 | | 253,182 |
| Generac Holdings, Inc.* | 13,860 | | 1,748,300 |
| General Dynamics Corp.(a) | 6,574 | | 1,857,089 |
| General Electric Co.(a) | 15,009 | | 2,634,530 |
| Gibraltar Industries, Inc.* | 4,055 | | 326,549 |
| Gorman-Rupp Co. (The) | 13 | | 514 |
| Griffon Corp. | 19,222 | | 1,409,742 |
| Hillman Solutions Corp.* | 41,767 | | 444,401 |
| Honeywell International, Inc.(a) | 14,919 | | 3,062,125 |
| Howmet Aerospace, Inc. | 4,484 | | 306,840 |
| Hubbell, Inc. | 1,423 | | 590,616 |
| Huntington Ingalls Industries, Inc. | 2,247 | | 654,933 |
| Illinois Tool Works, Inc. | 4,915 | | 1,318,842 |
| Ingersoll Rand, Inc. | 16,204 | | 1,538,570 |
| ITT, Inc. | 1,374 | | 186,905 |
| Kadant, Inc. | 697 | | 228,686 |
| Kaman Corp. | 472 | | 21,651 |
| Kennametal, Inc. | 7,986 | | 199,171 |
| Kratos Defense & Security Solutions, Inc.* | 6,498 | | 119,433 |
| L3Harris Technologies, Inc. | 1,256 | | 267,654 |
| Leonardo DRS, Inc.* | 3,782 | | 83,544 |
| Lincoln Electric Holdings, Inc. | 3,948 | | 1,008,477 |
| Lindsay Corp. | 3,008 | | 353,921 |
| Lockheed Martin Corp.(a) | 8,528 | | 3,879,131 |
| Masco Corp. | 20,407 | | 1,609,704 |
| MDU Resources Group, Inc. | 47,570 | | 1,198,764 |
| Middleby Corp. (The)* | 3,212 | | 516,458 |
| MSC Industrial Direct Co., Inc., Class A | 12,497 | | 1,212,709 |
| Mueller Industries, Inc. | 5,715 | | 308,210 |
| Nikola Corp.* | 11,815 | | 12,288 |
| Otis Worldwide Corp. | 8,758 | | 869,407 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| PACCAR, Inc. | 4,428 | | $ 548,585 |
| Parker-Hannifin Corp.(a) | 2,389 | | 1,327,782 |
| Powell Industries, Inc. | 8,094 | | 1,151,776 |
| Proto Labs, Inc.* | 799 | | 28,564 |
| Quanex Building Products Corp. | 378 | | 14,527 |
| Quanta Services, Inc.(a) | 10,392 | | 2,699,842 |
| Regal Rexnord Corp. | 2,270 | | 408,827 |
| Resideo Technologies, Inc.* | 11,134 | | 249,624 |
| RTX Corp. | 12,401 | | 1,209,470 |
| Snap-on, Inc. | 4,447 | | 1,317,290 |
| SPX Technologies, Inc.* | 2,854 | | 351,413 |
| Stanley Black & Decker, Inc. | 16,832 | | 1,648,358 |
| Stantec, Inc. (Canada) | 194 | | 16,110 |
| Sterling Infrastructure, Inc.* | 4,539 | | 500,697 |
| Tennant Co. | 3,853 | | 468,563 |
| Terex Corp. | 9,932 | | 639,621 |
| Textron, Inc. | 20,291 | | 1,946,516 |
| Trane Technologies PLC (Ireland) | 2,480 | | 744,496 |
| Trex Co., Inc.* | 4,762 | | 475,010 |
| Tutor Perini Corp.* | 418 | | 6,044 |
| UFP Industries, Inc. | 4,594 | | 565,108 |
| United Rentals, Inc.(a) | 2,015 | | 1,453,037 |
| Wabash National Corp. | 21,965 | | 657,632 |
| Watts Water Technologies, Inc., Class A | 2,244 | | 476,962 |
| Woodward, Inc. | 4,849 | | 747,328 |
| WW Grainger, Inc. | 1,188 | | 1,208,552 |
| Zurn Elkay Water Solutions Corp. | 20,487 | | 685,700 |
| | | | 77,678,435 |
| Commercial & Professional Services — 2.5% |
| ACV Auctions, Inc., Class A* | 40,003 | | 750,856 |
| Alight, Inc., Class A* | 14,603 | | 143,840 |
| ASGN, Inc.* | 3,051 | | 319,623 |
| Automatic Data Processing, Inc. | 6,367 | | 1,590,095 |
| Booz Allen Hamilton Holding Corp. | 5,803 | | 861,397 |
| Brink's Co. (The) | 823 | | 76,029 |
| Broadridge Financial Solutions, Inc. | 1,433 | | 293,564 |
| Cimpress PLC (Ireland)* | 720 | | 63,727 |
| Cintas Corp. | 1,043 | | 716,572 |
| Conduent, Inc.* | 771 | | 2,606 |
| Copart, Inc.* | 4,671 | | 270,544 |
| CSG Systems International, Inc. | 5,195 | | 267,750 |
| Enviri Corp.* | 1,915 | | 17,522 |
| Healthcare Services Group, Inc.* | 6,668 | | 83,217 |
| Heidrick & Struggles International, Inc. | 29 | | 976 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| HireRight Holdings Corp.* | 184 | | $ 2,626 |
| Jacobs Solutions, Inc. | 9,608 | | 1,477,038 |
| Leidos Holdings, Inc. | 10,033 | | 1,315,226 |
| ManpowerGroup, Inc. | 6,027 | | 467,936 |
| Maximus, Inc. | 2,802 | | 235,088 |
| MillerKnoll, Inc. | 6,001 | | 148,585 |
| MSA Safety, Inc. | 1,145 | | 221,661 |
| OPENLANE, Inc.* | 8,894 | | 153,866 |
| Parsons Corp.* | 8,216 | | 681,517 |
| Republic Services, Inc. | 7,372 | | 1,411,296 |
| Robert Half, Inc. | 9,709 | | 769,729 |
| Science Applications International Corp. | 855 | | 111,483 |
| SS&C Technologies Holdings, Inc. | 342 | | 22,015 |
| Steelcase, Inc., Class A | 20,433 | | 267,264 |
| Sterling Check Corp.* | 669 | | 10,757 |
| TaskUS, Inc., Class A* | 728 | | 8,481 |
| TELUS International CDA, Inc. (Canada)* | 662 | | 5,601 |
| Tetra Tech, Inc. | 5,333 | | 985,058 |
| Veralto Corp. | 15,645 | | 1,387,086 |
| Verisk Analytics, Inc. | 703 | | 165,718 |
| Waste Connections, Inc. (Canada) | 4,171 | | 717,454 |
| Waste Management, Inc. | 1,252 | | 266,864 |
| | | | 16,290,667 |
| Consumer Discretionary Distribution & Retail — 5.0% |
| Abercrombie & Fitch Co., Class A* | 7,430 | | 931,202 |
| Amazon.com, Inc.(a)* | 51,250 | | 9,244,475 |
| AutoZone, Inc.* | 406 | | 1,279,570 |
| Bath & Body Works, Inc. | 7,034 | | 351,841 |
| Best Buy Co., Inc. | 1,750 | | 143,552 |
| Carvana Co.(a)* | 42,093 | | 3,700,396 |
| eBay, Inc. | 41,446 | | 2,187,520 |
| Etsy, Inc.* | 16,426 | | 1,128,795 |
| Gap, Inc. (The) | 63,931 | | 1,761,299 |
| Genuine Parts Co. | 2,735 | | 423,734 |
| Hibbett, Inc. | 941 | | 72,278 |
| Home Depot, Inc. (The)(a) | 10,640 | | 4,081,504 |
| Kohl's Corp. | 22,919 | | 668,089 |
| LKQ Corp. | 4,198 | | 224,215 |
| Monro, Inc. | 9,002 | | 283,923 |
| ODP Corp. (The)* | 14,666 | | 778,031 |
| Pool Corp. | 1,846 | | 744,861 |
| Ross Stores, Inc. | 1,907 | | 279,871 |
| Signet Jewelers Ltd. (Bermuda) | 12,434 | | 1,244,270 |
| TJX Cos., Inc. (The) | 12,808 | | 1,298,987 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Discretionary Distribution & Retail — (Continued) |
| Ulta Beauty, Inc.* | 2,251 | | $ 1,177,003 |
| Urban Outfitters, Inc.* | 11,447 | | 497,029 |
| Wayfair, Inc., Class A* | 2,116 | | 143,634 |
| Williams-Sonoma, Inc. | 685 | | 217,508 |
| Winmark Corp. | 670 | | 242,339 |
| | | | 33,105,926 |
| Consumer Durables & Apparel — 2.6% |
| BRP, Inc., sub-voting shares (Canada) | 45 | | 3,019 |
| Carter's, Inc. | 6,426 | | 544,154 |
| Columbia Sportswear Co. | 5,034 | | 408,660 |
| Cricut, Inc., Class A | 422 | | 2,009 |
| Deckers Outdoor Corp.* | 1,205 | | 1,134,218 |
| DR Horton, Inc. | 53 | | 8,721 |
| Figs, Inc., Class A* | 92,819 | | 462,239 |
| Garmin Ltd. (Switzerland) | 10,307 | | 1,534,403 |
| G-III Apparel Group Ltd.* | 18,210 | | 528,272 |
| Hasbro, Inc. | 11,582 | | 654,615 |
| Helen of Troy Ltd. (Bermuda)* | 4,738 | | 546,007 |
| La-Z-Boy, Inc. | 3,111 | | 117,036 |
| Leggett & Platt, Inc. | 11,338 | | 217,123 |
| Lululemon Athletica, Inc.* | 47 | | 18,360 |
| Mattel, Inc.* | 74,118 | | 1,468,278 |
| Mohawk Industries, Inc.* | 6,704 | | 877,487 |
| Newell Brands, Inc. | 1,348 | | 10,824 |
| NIKE, Inc., Class B | 5,214 | | 490,012 |
| NVR, Inc.* | 42 | | 340,198 |
| Polaris, Inc. | 2,060 | | 206,247 |
| PulteGroup, Inc. | 15,388 | | 1,856,101 |
| PVH Corp. | 2,325 | | 326,918 |
| Ralph Lauren Corp. | 7,751 | | 1,455,328 |
| Smith & Wesson Brands, Inc. | 198 | | 3,437 |
| Sonos, Inc.* | 15,322 | | 292,037 |
| Tapestry, Inc. | 14,610 | | 693,683 |
| TopBuild Corp.* | 1,412 | | 622,311 |
| Vista Outdoor, Inc.* | 11,849 | | 388,410 |
| Worthington Enterprises, Inc. | 7,543 | | 469,401 |
| YETI Holdings, Inc.* | 28,784 | | 1,109,623 |
| | | | 16,789,131 |
| Consumer Services — 3.5% |
| ADT, Inc. | 79,465 | | 534,005 |
| Adtalem Global Education, Inc.* | 2,237 | | 114,982 |
| Aramark | 51,660 | | 1,679,983 |
| Booking Holdings, Inc.(a) | 990 | | 3,591,601 |
| Bright Horizons Family Solutions, Inc.* | 2,489 | | 282,153 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| Brinker International, Inc.* | 19,413 | | $ 964,438 |
| Caesars Entertainment, Inc.* | 23,279 | | 1,018,223 |
| Dine Brands Global, Inc. | 3,381 | | 157,149 |
| DoorDash, Inc., Class A* | 2,054 | | 282,877 |
| DraftKings, Inc., Class A* | 3,874 | | 175,918 |
| European Wax Center, Inc., Class A* | 3,042 | | 39,485 |
| Expedia Group, Inc.* | 8,048 | | 1,108,612 |
| Frontdoor, Inc.* | 27,427 | | 893,572 |
| Grand Canyon Education, Inc.* | 1,546 | | 210,581 |
| International Game Technology PLC (United Kingdom) | 3,048 | | 68,854 |
| Las Vegas Sands Corp. | 14,818 | | 766,091 |
| Marriott International, Inc., Class A | 2,034 | | 513,199 |
| McDonald's Corp. | 9,593 | | 2,704,746 |
| MGM Resorts International* | 10,523 | | 496,791 |
| Royal Caribbean Cruises Ltd. (Liberia)* | 15,025 | | 2,088,625 |
| Shake Shack, Inc., Class A* | 1,500 | | 156,045 |
| Starbucks Corp. | 6,121 | | 559,398 |
| Strategic Education, Inc. | 1,052 | | 109,534 |
| Sweetgreen, Inc., Class A* | 8,152 | | 205,920 |
| Vail Resorts, Inc. | 1,510 | | 336,473 |
| Wyndham Hotels & Resorts, Inc. | 7,988 | | 613,079 |
| Wynn Resorts Ltd. | 7,575 | | 774,392 |
| Yum! Brands, Inc. | 16,370 | | 2,269,701 |
| | | | 22,716,427 |
| Consumer Staples Distribution & Retail — 2.4% |
| Albertsons Cos., Inc., Class A | 21,789 | | 467,156 |
| Costco Wholesale Corp.(a) | 3,287 | | 2,408,155 |
| Dollar General Corp. | 5,074 | | 791,848 |
| Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 50,715 | | — |
| Grocery Outlet Holding Corp.* | 5,884 | | 169,341 |
| Kroger Co. (The) | 55,806 | | 3,188,197 |
| Performance Food Group Co.* | 729 | | 54,413 |
| Sysco Corp. | 9,574 | | 777,217 |
| Target Corp.(a) | 27,123 | | 4,806,467 |
| US Foods Holding Corp.* | 7,537 | | 406,772 |
| Walgreens Boots Alliance, Inc. | 16,852 | | 365,520 |
| Walmart, Inc.(a) | 33,466 | | 2,013,649 |
| Weis Markets, Inc. | 634 | | 40,830 |
| | | | 15,489,565 |
| Energy — 5.8% |
| Antero Midstream Corp. | 62,608 | | 880,268 |
| APA Corp. | 5,669 | | 194,900 |
| Archrock, Inc. | 25,842 | | 508,312 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Baker Hughes Co. | 54,739 | | $ 1,833,757 |
| Berry Corp. | 5,647 | | 45,458 |
| Borr Drilling Ltd. (Bermuda) | 17,649 | | 120,896 |
| California Resources Corp. | 17,146 | | 944,745 |
| Canadian Natural Resources Ltd. (Canada) | 26,074 | | 1,989,968 |
| Cheniere Energy, Inc. | 5,043 | | 813,335 |
| Chesapeake Energy Corp. | 6,585 | | 584,946 |
| ConocoPhillips | 4,748 | | 604,325 |
| CONSOL Energy, Inc. | 8,982 | | 752,332 |
| Coterra Energy, Inc. | 25,874 | | 721,367 |
| Delek US Holdings, Inc. | 7,790 | | 239,465 |
| Devon Energy Corp. | 45,941 | | 2,305,319 |
| DHT Holdings, Inc. (Marshall Islands) | 45,246 | | 520,329 |
| Diamondback Energy, Inc. | 5,117 | | 1,014,036 |
| Dorian LPG Ltd. (Marshall Islands) | 35,785 | | 1,376,291 |
| Enbridge, Inc. (Canada) | 12,502 | | 452,322 |
| Enerplus Corp. (Canada) | 17,476 | | 343,578 |
| EOG Resources, Inc. | 3,186 | | 407,298 |
| Equitrans Midstream Corp. | 22,310 | | 278,652 |
| Exxon Mobil Corp.(a) | 31,744 | | 3,689,923 |
| Gulfport Energy Corp.* | 2,321 | | 371,639 |
| Halliburton Co. | 11,145 | | 439,336 |
| Helix Energy Solutions Group, Inc.* | 30,888 | | 334,826 |
| Helmerich & Payne, Inc. | 32,466 | | 1,365,520 |
| Kinder Morgan, Inc. | 44,649 | | 818,863 |
| Liberty Energy, Inc. | 7,585 | | 157,161 |
| Marathon Oil Corp. | 84,243 | | 2,387,447 |
| Marathon Petroleum Corp. | 8,536 | | 1,720,004 |
| Murphy Oil Corp. | 9,860 | | 450,602 |
| Nabors Industries Ltd. (Bermuda)* | 3,133 | | 269,845 |
| Nordic American Tankers Ltd. (Bermuda) | 88,859 | | 348,327 |
| Occidental Petroleum Corp.(a) | 40,757 | | 2,648,797 |
| Pembina Pipeline Corp. (Canada) | 4,068 | | 143,763 |
| Phillips 66 | 7,364 | | 1,202,836 |
| Pioneer Natural Resources Co. | 8,587 | | 2,254,088 |
| REX American Resources Corp.* | 41 | | 2,407 |
| Schlumberger NV (Curacao) | 6,973 | | 382,190 |
| Select Water Solutions, Inc. | 1,489 | | 13,743 |
| Targa Resources Corp. | 612 | | 68,538 |
| TC Energy Corp. (Canada) | 189 | | 7,598 |
| TechnipFMC PLC (United Kingdom) | 46,795 | | 1,175,022 |
| Transocean Ltd. (Switzerland)* | 31,007 | | 194,724 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| US Silica Holdings, Inc.* | 29,105 | | $ 361,193 |
| Valero Energy Corp. | 1,248 | | 213,021 |
| | | | 37,953,312 |
| Financial Services — 3.9% |
| AvidXchange Holdings, Inc.* | 40,821 | | 536,796 |
| Berkshire Hathaway, Inc., Class B* | 4,956 | | 2,084,097 |
| BlackRock, Inc. | 987 | | 822,862 |
| Cboe Global Markets, Inc. | 7,046 | | 1,294,562 |
| CME Group, Inc. | 6,980 | | 1,502,724 |
| Coinbase Global, Inc., Class A(a)* | 1,170 | | 310,190 |
| Corpay, Inc.* | 3,693 | | 1,139,438 |
| Donnelley Financial Solutions, Inc.* | 910 | | 56,429 |
| Fiserv, Inc.(a)* | 29,168 | | 4,661,630 |
| Franklin Resources, Inc. | 42,379 | | 1,191,274 |
| Intercontinental Exchange, Inc. | 12,429 | | 1,708,117 |
| Mastercard, Inc., Class A | 1,555 | | 748,841 |
| Morningstar, Inc. | 2,037 | | 628,150 |
| NCR Atleos Corp.* | 13,742 | | 271,405 |
| Open Lending Corp.* | 280 | | 1,753 |
| Payoneer Global, Inc.* | 81,961 | | 398,330 |
| PayPal Holdings, Inc.(a)* | 49,036 | | 3,284,922 |
| S&P Global, Inc. | 1,365 | | 580,739 |
| Shift4 Payments, Inc., Class A* | 6,281 | | 414,986 |
| T Rowe Price Group, Inc.(a) | 13,824 | | 1,685,422 |
| Visa, Inc., Class A | 7,282 | | 2,032,261 |
| | | | 25,354,928 |
| Food, Beverage & Tobacco — 3.6% |
| Altria Group, Inc. | 46,645 | | 2,034,655 |
| Archer-Daniels-Midland Co. | 19,244 | | 1,208,716 |
| B&G Foods, Inc. | 48,342 | | 553,032 |
| Bunge Global SA (Switzerland) | 6,109 | | 626,295 |
| Campbell Soup Co. | 5,966 | | 265,189 |
| Celsius Holdings, Inc.* | 5,030 | | 417,088 |
| Coca-Cola Co. (The)(a) | 52,793 | | 3,229,876 |
| Conagra Brands, Inc. | 27,248 | | 807,631 |
| Constellation Brands, Inc., Class A | 4,584 | | 1,245,748 |
| Dole PLC (Ireland) | 3,033 | | 36,184 |
| General Mills, Inc. | 12,179 | | 852,165 |
| Hormel Foods Corp. | 24,005 | | 837,534 |
| Ingredion, Inc. | 5,184 | | 605,750 |
| J & J Snack Foods Corp. | 1,263 | | 182,579 |
| Kellanova | 36,439 | | 2,087,590 |
| Keurig Dr Pepper, Inc.(a) | 69,042 | | 2,117,518 |
| Kraft Heinz Co. (The) | 42,114 | | 1,554,007 |
| Lancaster Colony Corp. | 695 | | 144,303 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| McCormick & Co., Inc., non-voting shares | 11,029 | | $ 847,138 |
| Molson Coors Beverage Co., Class B | 7,973 | | 536,184 |
| Mondelez International, Inc., Class A | 15,041 | | 1,052,870 |
| Philip Morris International, Inc. | 9,504 | | 870,756 |
| Primo Water Corp. (Canada) | 18,669 | | 339,962 |
| Simply Good Foods Co. (The)* | 21,106 | | 718,237 |
| SunOpta, Inc. (Canada)* | 5,344 | | 36,713 |
| Tootsie Roll Industries, Inc. | 21 | | 673 |
| Vector Group Ltd. | 3,144 | | 34,458 |
| Vita Coco Co., Inc. (The)* | 22,579 | | 551,605 |
| Vital Farms, Inc.* | 1,200 | | 27,900 |
| | | | 23,822,356 |
| Health Care Equipment & Services — 6.1% |
| Align Technology, Inc.* | 2,096 | | 687,320 |
| Astrana Health, Inc.* | 1,624 | | 68,192 |
| Avanos Medical, Inc.* | 8,952 | | 178,234 |
| Baxter International, Inc. | 42,076 | | 1,798,328 |
| Becton Dickinson & Co.(a) | 7,333 | | 1,814,551 |
| Cardinal Health, Inc. | 13,346 | | 1,493,417 |
| Cencora, Inc. | 2,224 | | 540,410 |
| Centene Corp.(a)* | 20,921 | | 1,641,880 |
| Cigna Group (The) | 4,289 | | 1,557,722 |
| CONMED Corp. | 15,573 | | 1,247,086 |
| Cross Country Healthcare, Inc.* | 11,901 | | 222,787 |
| CVS Health Corp. | 16,346 | | 1,303,757 |
| DaVita, Inc.* | 18,771 | | 2,591,337 |
| Definitive Healthcare Corp.* | 17,380 | | 140,257 |
| Evolent Health, Inc., Class A* | 21,096 | | 691,738 |
| GE HealthCare Technologies, Inc.(a) | 26,508 | | 2,409,842 |
| Haemonetics Corp.* | 1,590 | | 135,707 |
| HCA Healthcare, Inc. | 4,651 | | 1,551,248 |
| HealthEquity, Inc.* | 1 | | 82 |
| HealthStream, Inc. | 85 | | 2,266 |
| Hologic, Inc.(a)* | 8,616 | | 671,703 |
| Humana, Inc. | 6,142 | | 2,129,554 |
| IDEXX Laboratories, Inc.* | 4,096 | | 2,211,553 |
| Lantheus Holdings, Inc.* | 11,667 | | 726,154 |
| LeMaitre Vascular, Inc. | 730 | | 48,443 |
| McKesson Corp. | 893 | | 479,407 |
| Medtronic PLC (Ireland) | 39,245 | | 3,420,202 |
| Molina Healthcare, Inc.* | 3,674 | | 1,509,389 |
| National HealthCare Corp. | 396 | | 37,426 |
| Omnicell, Inc.* | 5,433 | | 158,807 |
| Owens & Minor, Inc.* | 27,152 | | 752,382 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Penumbra, Inc.* | 1,066 | | $ 237,910 |
| Phreesia, Inc.* | 17,451 | | 417,602 |
| Privia Health Group, Inc.* | 27,561 | | 539,920 |
| Quest Diagnostics, Inc. | 5,352 | | 712,405 |
| ResMed, Inc. | 10,415 | | 2,062,483 |
| Teleflex, Inc. | 1,120 | | 253,310 |
| Tenet Healthcare Corp.* | 5,520 | | 580,207 |
| UFP Technologies, Inc.* | 847 | | 213,613 |
| UnitedHealth Group, Inc. | 2,983 | | 1,475,690 |
| Zimmer Biomet Holdings, Inc. | 10,190 | | 1,344,876 |
| | | | 40,059,197 |
| Household & Personal Products — 1.6% |
| BellRing Brands, Inc.* | 21,104 | | 1,245,769 |
| Clorox Co. (The) | 4,688 | | 717,780 |
| Colgate-Palmolive Co. | 19,631 | | 1,767,771 |
| Coty, Inc., Class A* | 15,007 | | 179,484 |
| Estee Lauder Cos., Inc. (The), Class A | 794 | | 122,395 |
| Kenvue, Inc. | 79,210 | | 1,699,847 |
| Kimberly-Clark Corp.(a) | 17,750 | | 2,295,962 |
| Procter & Gamble Co. (The)(a) | 10,781 | | 1,749,217 |
| Reynolds Consumer Products, Inc. | 4,819 | | 137,631 |
| WD-40 Co. | 2,201 | | 557,535 |
| | | | 10,473,391 |
| Materials — 4.5% |
| Alamos Gold, Inc., Class A (Canada) | 44,026 | | 649,384 |
| Alpha Metallurgical Resources, Inc. | 1,377 | | 456,021 |
| Amcor PLC (Jersey) | 43,962 | | 418,079 |
| AptarGroup, Inc. | 1,875 | | 269,794 |
| Arch Resources, Inc. | 300 | | 48,237 |
| Avient Corp. | 2,933 | | 127,292 |
| Axalta Coating Systems Ltd. (Bermuda)* | 5,496 | | 189,007 |
| Balchem Corp. | 248 | | 38,428 |
| Ball Corp. | 11,926 | | 803,335 |
| Berry Global Group, Inc. | 6,603 | | 399,349 |
| Cabot Corp. | 2,933 | | 270,423 |
| Carpenter Technology Corp. | 10,564 | | 754,481 |
| Celanese Corp. | 6,218 | | 1,068,625 |
| CF Industries Holdings, Inc. | 12,171 | | 1,012,749 |
| Cleveland-Cliffs, Inc.(a)* | 109,342 | | 2,486,437 |
| Crown Holdings, Inc. | 2,416 | | 191,492 |
| Eastman Chemical Co. | 7,110 | | 712,564 |
| Fortuna Silver Mines, Inc. (Canada)* | 126,491 | | 471,811 |
| Freeport-McMoRan, Inc. | 14,767 | | 694,344 |
| HB Fuller Co. | 5,341 | | 425,891 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Innospec, Inc. | 1,930 | | $ 248,854 |
| International Flavors & Fragrances, Inc. | 9,214 | | 792,312 |
| International Paper Co. | 6,540 | | 255,191 |
| Knife River Corp.* | 4,384 | | 355,455 |
| Koppers Holdings, Inc. | 1,106 | | 61,018 |
| Linde PLC (Ireland) | 5,655 | | 2,625,730 |
| LyondellBasell Industries NV, Class A (Netherlands) | 14,073 | | 1,439,386 |
| Martin Marietta Materials, Inc. | 1,104 | | 677,790 |
| Metallus, Inc.* | 126 | | 2,804 |
| Minerals Technologies, Inc. | 5,126 | | 385,885 |
| NewMarket Corp. | 1,784 | | 1,132,162 |
| Nucor Corp. | 5,398 | | 1,068,264 |
| Packaging Corp. of America | 3,798 | | 720,784 |
| PPG Industries, Inc. | 8,030 | | 1,163,547 |
| Quaker Chemical Corp. | 5,178 | | 1,062,784 |
| Royal Gold, Inc. | 7,867 | | 958,279 |
| RPM International, Inc. | 4,325 | | 514,459 |
| Scotts Miracle-Gro Co. (The) | 21,261 | | 1,585,858 |
| Sealed Air Corp. | 3,818 | | 142,030 |
| Sherwin-Williams Co. (The) | 4,003 | | 1,390,362 |
| SilverCrest Metals, Inc. (Canada)* | 309 | | 2,058 |
| Sonoco Products Co. | 301 | | 17,410 |
| Vulcan Materials Co. | 2,855 | | 779,187 |
| Warrior Met Coal, Inc. | 2,571 | | 156,060 |
| Westrock Co. | 9,708 | | 480,061 |
| Worthington Steel, Inc. | 98 | | 3,513 |
| | | | 29,508,986 |
| Media & Entertainment — 5.6% |
| Alphabet, Inc., Class A(a)* | 58,463 | | 8,823,821 |
| Cargurus, Inc.* | 6,243 | | 144,088 |
| Cinemark Holdings, Inc.* | 42,565 | | 764,893 |
| Clear Channel Outdoor Holdings, Inc.* | 10,510 | | 17,341 |
| Comcast Corp., Class A(a) | 56,408 | | 2,445,287 |
| Electronic Arts, Inc. | 13,595 | | 1,803,649 |
| Getty Images Holdings, Inc.* | 126 | | 523 |
| Grindr, Inc.* | 166 | | 1,681 |
| Interpublic Group of Cos., Inc. (The) | 33,237 | | 1,084,523 |
| Match Group, Inc.* | 21,242 | | 770,660 |
| Meta Platforms, Inc., Class A(a) | 17,857 | | 8,671,002 |
| Netflix, Inc.(a)* | 5,205 | | 3,161,153 |
| News Corp., Class A | 16,716 | | 437,625 |
| Omnicom Group, Inc. | 3,445 | | 333,338 |
| Sirius XM Holdings, Inc. | 130,795 | | 507,485 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Spotify Technology SA (Luxembourg)* | 5,685 | | $ 1,500,271 |
| TripAdvisor, Inc.* | 41,931 | | 1,165,262 |
| Vimeo, Inc.* | 71,596 | | 292,828 |
| Walt Disney Co. (The)(a) | 22,738 | | 2,782,222 |
| Warner Music Group Corp., Class A | 8,237 | | 271,986 |
| Yelp, Inc.* | 18,862 | | 743,163 |
| ZipRecruiter, Inc., Class A* | 14,608 | | 167,846 |
| ZoomInfo Technologies, Inc.* | 36,698 | | 588,269 |
| | | | 36,478,916 |
| Pharmaceuticals, Biotechnology & Life Sciences — 5.4% |
| AbbVie, Inc. | 12,684 | | 2,309,756 |
| ADMA Biologics, Inc.* | 16,253 | | 107,270 |
| Agilent Technologies, Inc. | 10,231 | | 1,488,713 |
| Alkermes PLC (Ireland)* | 36,491 | | 987,811 |
| Alpine Immune Sciences, Inc.* | 3,592 | | 142,387 |
| Amgen, Inc. | 369 | | 104,914 |
| Amneal Pharmaceuticals, Inc.* | 12,640 | | 76,598 |
| Amphastar Pharmaceuticals, Inc.* | 9,185 | | 403,313 |
| ANI Pharmaceuticals, Inc.* | 3,545 | | 245,066 |
| Ardelyx, Inc.* | 39,907 | | 291,321 |
| Azenta, Inc.* | 5,412 | | 326,235 |
| Beam Therapeutics, Inc.* | 5,217 | | 172,370 |
| Bio-Rad Laboratories, Inc., Class A* | 1,501 | | 519,151 |
| Bristol-Myers Squibb Co.(a) | 86,372 | | 4,683,954 |
| Collegium Pharmaceutical, Inc.* | 21,729 | | 843,520 |
| Corcept Therapeutics, Inc.* | 4,501 | | 113,380 |
| EyePoint Pharmaceuticals, Inc.* | 15,191 | | 313,998 |
| Gilead Sciences, Inc. | 34,060 | | 2,494,895 |
| Halozyme Therapeutics, Inc.* | 7,040 | | 286,387 |
| Harmony Biosciences Holdings, Inc.* | 38,779 | | 1,302,199 |
| ImmunityBio, Inc.* | 12,913 | | 69,343 |
| Incyte Corp.* | 35,507 | | 2,022,834 |
| IQVIA Holdings, Inc.* | 6,488 | | 1,640,750 |
| Ironwood Pharmaceuticals, Inc.* | 2,797 | | 24,362 |
| Johnson & Johnson(a) | 30,400 | | 4,808,976 |
| Merck & Co., Inc.(a) | 30,954 | | 4,084,380 |
| Mettler-Toledo International, Inc.* | 1,270 | | 1,690,738 |
| Natera, Inc.* | 793 | | 72,528 |
| Nurix Therapeutics, Inc.* | 390 | | 5,733 |
| Nuvation Bio, Inc.* | 63 | | 229 |
| QIAGEN NV (Netherlands) | 1,075 | | 46,214 |
| Rhythm Pharmaceuticals, Inc.* | 4,985 | | 216,000 |
| Scholar Rock Holding Corp.* | 162 | | 2,877 |
| Spyre Therapeutics, Inc.* | 48 | | 1,821 |
| Taysha Gene Therapies, Inc.* | 200 | | 574 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Thermo Fisher Scientific, Inc. | 2,449 | | $ 1,423,383 |
| Twist Bioscience Corp.* | 26,322 | | 903,108 |
| United Therapeutics Corp.* | 683 | | 156,899 |
| Vera Therapeutics, Inc.* | 55 | | 2,372 |
| Viatris, Inc. | 64,374 | | 768,626 |
| Waters Corp.* | 665 | | 228,913 |
| WaVe Life Sciences Ltd. (Singapore)* | 774 | | 4,776 |
| | | | 35,388,674 |
| Semiconductors & Semiconductor Equipment — 7.5% |
| Advanced Micro Devices, Inc.(a)* | 21,173 | | 3,821,515 |
| Amkor Technology, Inc. | 9,153 | | 295,093 |
| Applied Materials, Inc.(a) | 15,232 | | 3,141,295 |
| Broadcom, Inc.(a) | 2,042 | | 2,706,487 |
| Entegris, Inc. | 5,722 | | 804,170 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 15,097 | | 786,705 |
| KLA Corp. | 2,421 | | 1,691,238 |
| Lam Research Corp. | 1,679 | | 1,631,266 |
| Microchip Technology, Inc.(a) | 27,830 | | 2,496,629 |
| Micron Technology, Inc. | 17,266 | | 2,035,489 |
| Monolithic Power Systems, Inc.(a) | 5,693 | | 3,856,552 |
| NVIDIA Corp.(a) | 5,822 | | 5,260,526 |
| NXP Semiconductors NV (Netherlands) | 12,863 | | 3,187,066 |
| ON Semiconductor Corp.* | 21,620 | | 1,590,151 |
| Onto Innovation, Inc.* | 51 | | 9,235 |
| Photronics, Inc.* | 27,554 | | 780,329 |
| Qorvo, Inc.(a)* | 26,418 | | 3,033,579 |
| QUALCOMM, Inc.(a) | 50,574 | | 8,562,178 |
| Skyworks Solutions, Inc.(a) | 27,781 | | 3,009,238 |
| SMART Global Holdings, Inc. (Cayman Islands)* | 30,471 | | 801,997 |
| | | | 49,500,738 |
| Software & Services — 10.4% |
| Accenture PLC, Class A (Ireland) | 7,786 | | 2,698,705 |
| Adobe, Inc.(a)* | 6,994 | | 3,529,172 |
| Amdocs Ltd. (Guernsey) | 2,167 | | 195,832 |
| Appfolio, Inc., Class A* | 1,835 | | 452,768 |
| Bitfarms Ltd. (Canada)* | 388,516 | | 866,391 |
| Blackbaud, Inc.* | 3,063 | | 227,091 |
| Box, Inc., Class A* | 8,563 | | 242,504 |
| Cadence Design Systems, Inc.* | 2,396 | | 745,827 |
| CGI, Inc. (Canada)* | 313 | | 34,583 |
| Docebo, Inc. (Canada)* | 502 | | 24,588 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| DXC Technology Co.* | 19,230 | | $ 407,868 |
| Enfusion, Inc., Class A* | 962 | | 8,898 |
| EverCommerce, Inc.* | 80 | | 754 |
| Fortinet, Inc.* | 36,471 | | 2,491,334 |
| Gen Digital, Inc. | 65,272 | | 1,462,093 |
| Globant SA (Luxembourg)* | 1,702 | | 343,634 |
| GoDaddy, Inc., Class A* | 919 | | 109,067 |
| Guidewire Software, Inc.* | 3,666 | | 427,859 |
| Hackett Group, Inc. (The) | 18 | | 437 |
| Informatica, Inc., Class A* | 15,362 | | 537,670 |
| InterDigital, Inc. | 11,938 | | 1,270,919 |
| International Business Machines Corp. | 11,294 | | 2,156,702 |
| JFrog Ltd. (Israel)* | 21,713 | | 960,149 |
| Kyndryl Holdings, Inc.* | 9,126 | | 198,582 |
| LiveRamp Holdings, Inc.* | 19,646 | | 677,787 |
| Manhattan Associates, Inc.* | 472 | | 118,109 |
| MeridianLink, Inc.* | 683 | | 12,772 |
| Microsoft Corp.(a) | 17,948 | | 7,551,083 |
| N-able, Inc.* | 309 | | 4,039 |
| NCR Voyix Corp.* | 63,717 | | 804,746 |
| NextNav, Inc.* | 755 | | 4,968 |
| Nutanix, Inc., Class A* | 25,079 | | 1,547,876 |
| Okta, Inc.* | 19,582 | | 2,048,669 |
| Oracle Corp.(a) | 54,921 | | 6,898,627 |
| Palantir Technologies, Inc., Class A(a)* | 105,142 | | 2,419,317 |
| Palo Alto Networks, Inc.(a)* | 16,782 | | 4,768,270 |
| Pegasystems, Inc. | 9,662 | | 624,552 |
| Q2 Holdings, Inc.* | 12,802 | | 672,873 |
| Qualys, Inc.* | 4,919 | | 820,834 |
| Roper Technologies, Inc. | 1,716 | | 962,401 |
| Salesforce, Inc.(a) | 14,278 | | 4,300,248 |
| Samsara, Inc., Class A* | 34,599 | | 1,307,496 |
| ServiceNow, Inc.(a)* | 9,675 | | 7,376,220 |
| SolarWinds Corp.* | 216 | | 2,726 |
| SPS Commerce, Inc.* | 6 | | 1,109 |
| Squarespace, Inc., Class A* | 979 | | 35,675 |
| Synopsys, Inc.* | 786 | | 449,199 |
| UiPath, Inc., Class A* | 32,021 | | 725,916 |
| Verint Systems, Inc.* | 402 | | 13,326 |
| VeriSign, Inc.* | 6,967 | | 1,320,316 |
| Workday, Inc., Class A* | 2,207 | | 601,959 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Yext, Inc.* | 45,061 | | $ 271,718 |
| Zoom Video Communications, Inc., Class A* | 36,800 | | 2,405,616 |
| | | | 68,141,874 |
| Technology Hardware & Equipment — 6.0% |
| Amphenol Corp., Class A | 9,219 | | 1,063,412 |
| Apple, Inc.(a) | 56,112 | | 9,622,086 |
| Arlo Technologies, Inc.* | 11,184 | | 141,478 |
| Arrow Electronics, Inc.* | 2,896 | | 374,916 |
| Bel Fuse, Inc., Class B | 4,325 | | 260,841 |
| CDW Corp. | 3,117 | | 797,266 |
| Ciena Corp.* | 26,463 | | 1,308,595 |
| Cisco Systems, Inc.(a) | 61,394 | | 3,064,175 |
| Crane NXT Co. | 496 | | 30,702 |
| Extreme Networks, Inc.* | 57,434 | | 662,788 |
| F5, Inc.* | 8,394 | | 1,591,419 |
| Fabrinet (Cayman Islands)* | 923 | | 174,465 |
| Hewlett Packard Enterprise Co.(a) | 107,814 | | 1,911,542 |
| HP, Inc. | 73,231 | | 2,213,041 |
| Insight Enterprises, Inc.* | 3,849 | | 714,067 |
| IonQ, Inc.* | 4,820 | | 48,152 |
| Itron, Inc.* | 9,937 | | 919,371 |
| Jabil, Inc. | 11,822 | | 1,583,557 |
| Keysight Technologies, Inc.* | 7,060 | | 1,104,043 |
| Littelfuse, Inc. | 2,329 | | 564,433 |
| Motorola Solutions, Inc. | 2,044 | | 725,579 |
| Napco Security Technologies, Inc. | 10,808 | | 434,049 |
| NetApp, Inc. | 17,410 | | 1,827,528 |
| NetScout Systems, Inc.* | 10,738 | | 234,518 |
| PC Connection, Inc. | 428 | | 28,218 |
| Seagate Technology Holdings PLC (Ireland) | 21,721 | | 2,021,139 |
| Super Micro Computer, Inc.(a)* | 3,407 | | 3,441,172 |
| TD SYNNEX Corp. | 804 | | 90,932 |
| TE Connectivity Ltd. (Switzerland) | 4,581 | | 665,344 |
| Vontier Corp. | 9,597 | | 435,320 |
| Western Digital Corp.* | 23,151 | | 1,579,824 |
| Xerox Holdings Corp. | 163 | | 2,918 |
| | | | 39,636,890 |
| Telecommunication Services — 1.0% |
| Anterix, Inc.* | 701 | | 23,561 |
| AT&T, Inc.(a) | 76,889 | | 1,353,246 |
| Iridium Communications, Inc. | 14,991 | | 392,165 |
| Lumen Technologies, Inc.* | 1,317 | | 2,054 |
| TELUS Corp. (Canada) | 18,206 | | 291,478 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Telecommunication Services — (Continued) |
| T-Mobile US, Inc. | 16,072 | | $ 2,623,272 |
| Verizon Communications, Inc. | 49,417 | | 2,073,537 |
| | | | 6,759,313 |
| Transportation — 1.8% |
| ArcBest Corp. | 2 | | 285 |
| CH Robinson Worldwide, Inc. | 2,865 | | 218,141 |
| CSX Corp. | 58,173 | | 2,156,473 |
| Delta Air Lines, Inc.(a) | 38,190 | | 1,828,155 |
| FedEx Corp.(a) | 7,391 | | 2,141,468 |
| Forward Air Corp. | 17,905 | | 557,025 |
| FTAI Infrastructure, Inc. | 173 | | 1,086 |
| GXO Logistics, Inc.* | 7,145 | | 384,115 |
| Old Dominion Freight Line, Inc. | 4,874 | | 1,068,917 |
| Ryder System, Inc. | 164 | | 19,711 |
| Saia, Inc.* | 296 | | 173,160 |
| SkyWest, Inc.* | 16,908 | | 1,168,005 |
| Uber Technologies, Inc.* | 22,635 | | 1,742,669 |
| Union Pacific Corp. | 2,687 | | 660,814 |
| XPO, Inc.* | 1 | | 122 |
| | | | 12,120,146 |
| Utilities — 2.5% |
| ALLETE, Inc. | 16,931 | | 1,009,765 |
| American Water Works Co., Inc. | 2,841 | | 347,199 |
| Atmos Energy Corp. | 751 | | 89,271 |
| Black Hills Corp. | 17,400 | | 950,040 |
| Consolidated Edison, Inc. | 6,804 | | 617,871 |
| Constellation Energy Corp. | 9,494 | | 1,754,966 |
| Duke Energy Corp.(a) | 42,221 | | 4,083,193 |
| Fortis, Inc. (Canada) | 6,686 | | 264,164 |
| New Jersey Resources Corp. | 4,547 | | 195,112 |
| NRG Energy, Inc.(a) | 44,171 | | 2,989,935 |
| ONE Gas, Inc. | 3,273 | | 211,207 |
| Public Service Enterprise Group, Inc. | 21,856 | | 1,459,544 |
| Southwest Gas Holdings, Inc. | 8,032 | | 611,476 |
| Spire, Inc. | 1,752 | | 107,520 |
| TransAlta Corp. (Canada) | 8,526 | | 54,822 |
| Vistra Corp. | 20,357 | | 1,417,865 |
| | | | 16,163,950 |
TOTAL COMMON STOCKS
(Cost $513,520,322) | | | 622,614,667 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% | | | 33,383,782 |
| NET ASSETS - 100.0% | | | $ 655,998,449 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| (b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between July 23, 2025 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (34.9)% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| American Axle & Manufacturing Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,713 | | $ 67,194 | | $ 64,128 | | $ 1,227 |
| Aptiv PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 775 | | 60,408 | | 61,729 | | 5,179 |
| BorgWarner, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 9,378 | | 306,815 | | 325,792 | | 40,857 |
| Dorman Products, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 358 | | 33,033 | | 34,508 | | 3,579 |
| Ford Motor Co. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 56,245 | | 652,623 | | 746,934 | | 231,341 |
| Garrett Motion, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 192 | | 1,913 | | 1,908 | | 107 |
| General Motors Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 18,552 | | 625,645 | | 841,333 | | 261,677 |
| Gentherm, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 388 | | 21,344 | | 22,341 | | 2,354 |
| Goodyear Tire & Rubber Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,679 | | 50,272 | | 50,513 | | 3,398 |
| LCI Industries | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,612 | | 191,201 | | 198,373 | | 20,216 |
| Lear Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 316 | | 41,503 | | 45,782 | | 7,273 |
| Modine Manufacturing Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 106 | | 2,209 | | 10,090 | | 8,011 |
| Visteon Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 626 | | 72,274 | | 73,624 | | 5,945 |
| | | | | | | | | | | 100,940 | | 2,126,434 | | 2,477,055 | | 591,164 |
| Capital Goods | | | | | | | | | | | | | | |
| 3M Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 310 | | 29,444 | | 32,882 | | 614 |
| A. O. Smith Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,178 | | 209,469 | | 284,304 | | 93,145 |
| AAR Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 130 | | 7,805 | | 7,783 | | 467 |
| Acuity Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 369 | | 60,026 | | 99,161 | | 43,061 |
| AECOM | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,547 | | 136,542 | | 151,730 | | 25,559 |
| American Woodmark Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,089 | | 82,244 | | 110,708 | | 33,879 |
| AMETEK, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 204 | | 27,746 | | 37,312 | | 11,888 |
| Apogee Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 59 | | 59 | | 32 |
| Applied Industrial Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 372 | | 55,540 | | 73,489 | | 21,778 |
| Array Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 21,045 | | 264,643 | | 313,781 | | 68,036 |
| AZEK Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,037 | | 359,181 | | 554,278 | | 218,093 |
| Beacon Roofing Supply, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 671 | | 57,151 | | 65,771 | | 14,012 |
| Blue Bird Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,451 | | 29,207 | | 55,631 | | 28,284 |
| Boeing Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 471 | | 84,741 | | 90,898 | | 13,872 |
| Boise Cascade Co. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 186 | | 15,458 | | 28,527 | | 18,257 |
| Builders FirstSource, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,663 | | 277,529 | | 346,819 | | 87,055 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| BWX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,437 | | $247,880 | | $250,085 | | $ 18,276 |
| Cadre Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 295 | | 10,702 | | 10,679 | | 651 |
| Carlisle Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 398 | | 139,403 | | 155,956 | | 25,472 |
| Carrier Global Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,172 | | 54,862 | | 68,128 | | 18,078 |
| Caterpillar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,154 | | 273,256 | | 422,860 | | 172,625 |
| Chart Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 399 | | 59,592 | | 65,723 | | 10,401 |
| Comfort Systems USA, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,244 | | 178,016 | | 395,231 | | 240,709 |
| Core & Main, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,875 | | 55,257 | | 107,344 | | 55,615 |
| Crane Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,729 | | 229,213 | | 368,770 | | 155,810 |
| CSW Industrials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 181 | | 31,862 | | 42,463 | | 12,698 |
| Cummins, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,220 | | 301,672 | | 359,473 | | 79,087 |
| Curtiss-Wright Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 322 | | 54,541 | | 82,413 | | 34,038 |
| Deere & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 589 | | 223,216 | | 241,926 | | 33,838 |
| Donaldson Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,049 | | 124,923 | | 153,019 | | 37,541 |
| Dover Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 741 | | 117,921 | | 131,298 | | 21,297 |
| Eaton Corp. PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,401 | | 385,423 | | 438,065 | | 80,167 |
| EMCOR Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 776 | | 158,960 | | 271,755 | | 124,967 |
| Emerson Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,251 | | 100,231 | | 141,888 | | 50,052 |
| Enerpac Tool Group Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,426 | | 62,681 | | 86,511 | | 27,930 |
| EnerSys | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,922 | | 179,509 | | 181,552 | | 14,333 |
| Enpro, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 429 | | 41,557 | | 72,402 | | 34,982 |
| Esab Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 600 | | 59,974 | | 66,342 | | 10,298 |
| Fastenal Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 718 | | 45,938 | | 55,387 | | 13,319 |
| Flowserve Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,200 | | 131,280 | | 146,176 | | 24,160 |
| Fluence Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,718 | | 181,974 | | 151,170 | | (19,159) |
| Fortune Brands Innovations, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 978 | | 55,697 | | 82,807 | | 34,494 |
| Gates Industrial Corp. PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,739 | | 44,231 | | 66,218 | | 24,809 |
| Generac Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,586 | | 409,531 | | 452,338 | | 69,605 |
| General Dynamics Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,565 | | 349,671 | | 442,097 | | 122,358 |
| General Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,879 | | 304,776 | | 505,351 | | 220,903 |
| Gibraltar Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,087 | | 72,637 | | 87,536 | | 19,927 |
| Gorman-Rupp Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4 | | 155 | | 158 | | 4 |
| Griffon Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,001 | | 183,334 | | 366,773 | | 202,696 |
| Hillman Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 11,028 | | 91,393 | | 117,338 | | 31,806 |
| Honeywell International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,933 | | 775,756 | | 807,248 | | 85,286 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Howmet Aerospace, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,127 | | $ 71,733 | | $ 77,121 | | $ 10,112 |
| Hubbell, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 373 | | 147,858 | | 154,814 | | 16,481 |
| Huntington Ingalls Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 585 | | 135,959 | | 170,510 | | 44,729 |
| Illinois Tool Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,267 | | 306,955 | | 339,974 | | 60,067 |
| Ingersoll Rand, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,262 | | 382,664 | | 404,677 | | 46,587 |
| ITT, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 351 | | 33,602 | | 47,747 | | 16,560 |
| Kadant, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 183 | | 58,951 | | 60,042 | | 4,857 |
| Kaman Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 124 | | 2,560 | | 5,688 | | 3,328 |
| Kennametal, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,992 | | 49,573 | | 49,680 | | 4,040 |
| Kratos Defense & Security Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,709 | | 29,834 | | 31,411 | | 3,477 |
| L3Harris Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 317 | | 65,335 | | 67,553 | | 6,866 |
| Leonardo DRS, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 997 | | 21,857 | | 22,024 | | 1,556 |
| Lincoln Electric Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,035 | | 260,488 | | 264,380 | | 21,252 |
| Lindsay Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 788 | | 98,221 | | 92,716 | | 974 |
| Lockheed Martin Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 1,989 | | 854,746 | | 904,736 | | 127,541 |
| Masco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,362 | | 296,231 | | 422,955 | | 154,904 |
| MDU Resources Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 12,269 | | 234,110 | | 309,179 | | 95,101 |
| Middleby Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 784 | | 119,409 | | 126,059 | | 14,528 |
| MSC Industrial Direct Co., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,270 | | 306,579 | | 317,321 | | 35,137 |
| Mueller Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 1,510 | | 48,026 | | 81,434 | | 40,706 |
| Nikola Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,103 | | 3,181 | | 3,227 | | 239 |
| NOW, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,516 | | 51,752 | | 53,443 | | 4,995 |
| Otis Worldwide Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,490 | | 214,356 | | 247,182 | | 48,510 |
| PACCAR, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,147 | | 76,858 | | 142,102 | | 74,173 |
| Parker-Hannifin Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 661 | | 268,041 | | 367,377 | | 118,801 |
| Pentair PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2 | | 111 | | 171 | | 56 |
| Powell Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,139 | | 217,708 | | 304,380 | | 101,329 |
| Proto Labs, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 206 | | 7,146 | | 7,365 | | 666 |
| Quanex Building Products Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 100 | | 3,715 | | 3,843 | | 355 |
| Quanta Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 2,770 | | 635,147 | | 719,646 | | 129,037 |
| Regal Rexnord Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 580 | | 89,654 | | 104,458 | | 20,739 |
| Resideo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,922 | | 64,459 | | 65,511 | | 5,170 |
| RTX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,427 | | 301,409 | | 334,235 | | 56,037 |
| Snap-on, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,161 | | 290,555 | | 343,911 | | 80,086 |
| SPX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 753 | | 57,088 | | 92,717 | | 39,274 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Stanley Black & Decker, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,484 | | $ 387,237 | | $ 439,118 | | $ 81,758 |
| Stantec, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 50 | | 4,214 | | 4,152 | | 200 |
| Sterling Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,243 | | 49,537 | | 137,115 | | 91,768 |
| Tennant Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,014 | | 90,063 | | 123,313 | | 39,454 |
| Terex Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,640 | | 121,733 | | 170,016 | | 59,553 |
| Textron, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,366 | | 399,680 | | 514,760 | | 146,889 |
| Trane Technologies PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 695 | | 188,848 | | 208,639 | | 32,460 |
| Trex Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,262 | | 119,349 | | 125,885 | | 14,185 |
| Tutor Perini Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 120 | | 1,643 | | 1,735 | | 186 |
| UFP Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,211 | | 103,144 | | 148,965 | | 54,203 |
| United Rentals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 562 | | 357,953 | | 405,264 | | 71,248 |
| Wabash National Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,856 | | 128,891 | | 175,329 | | 56,345 |
| Watts Water Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 604 | | 98,132 | | 128,380 | | 38,758 |
| Woodward, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,306 | | 169,633 | | 201,281 | | 44,333 |
| WW Grainger, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 338 | | 182,906 | | 343,847 | | 177,110 |
| Zurn Elkay Water Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,462 | | 157,063 | | 182,813 | | 36,688 |
| | | | | | | | | | | 213,254 | | 15,799,706 | | 19,697,814 | | 5,100,513 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| ACV Auctions, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,864 | | 151,410 | | 185,147 | | 43,425 |
| Alight, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,807 | | 33,752 | | 37,499 | | 6,695 |
| ASGN, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 773 | | 74,611 | | 80,979 | | 11,137 |
| Automatic Data Processing, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 1,268 | | 275,750 | | 316,670 | | 70,226 |
| Booz Allen Hamilton Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,507 | | 215,113 | | 223,699 | | 22,668 |
| Brink's Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 214 | | 18,216 | | 19,769 | | 2,741 |
| Broadridge Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 367 | | 72,107 | | 75,184 | | 8,052 |
| Cimpress PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 188 | | 16,824 | | 16,640 | | 883 |
| Cintas Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 273 | | 174,078 | | 187,559 | | 24,735 |
| Conduent, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 187 | | 613 | | 632 | | 47 |
| Copart, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,198 | | 46,293 | | 69,388 | | 26,029 |
| CSG Systems International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,363 | | 70,543 | | 70,249 | | 4,493 |
| Enviri Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,129 | | 9,281 | | 10,330 | | 1,632 |
| Healthcare Services Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,776 | | 22,012 | | 22,164 | | 1,552 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Heidrick & Struggles International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8 | | $ 268 | | $ 269 | | $ 10 |
| HireRight Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 65 | | 928 | | 928 | | 48 |
| Jacobs Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,506 | | 333,842 | | 385,247 | | 73,494 |
| Leidos Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,631 | | 276,258 | | 344,898 | | 88,132 |
| ManpowerGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,507 | | 110,217 | | 117,003 | | 14,297 |
| Maximus, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 737 | | 61,216 | | 61,834 | | 4,785 |
| MillerKnoll, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,603 | | 38,759 | | 39,690 | | 3,968 |
| MSA Safety, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 308 | | 51,881 | | 59,626 | | 11,289 |
| OPENLANE, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,314 | | 33,066 | | 40,032 | | 9,479 |
| Parsons Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,162 | | 155,254 | | 179,338 | | 34,018 |
| Republic Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,970 | | 270,644 | | 377,137 | | 131,599 |
| Robert Half, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,557 | | 196,865 | | 202,719 | | 20,631 |
| Science Applications International Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 235 | | 24,707 | | 30,642 | | 10,098 |
| SS&C Technologies Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 91 | | 5,894 | | 5,858 | | 466 |
| Steelcase, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,385 | | 65,659 | | 70,436 | | 9,280 |
| Sterling Check Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 187 | | 2,995 | | 3,007 | | 193 |
| TaskUS, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 194 | | 2,343 | | 2,260 | | 56 |
| TELUS International CDA, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 178 | | 1,547 | | 1,506 | | 47 |
| Tetra Tech, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,400 | | 228,389 | | 258,594 | | 46,384 |
| Veralto Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,314 | | 314,118 | | 382,479 | | 88,859 |
| Verisk Analytics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 186 | | 37,293 | | 43,846 | | 9,381 |
| Waste Connections, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,100 | | 184,279 | | 189,211 | | 16,639 |
| Waste Management, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 352 | | 69,665 | | 75,029 | | 10,237 |
| | | | | | | | | | | 55,904 | | 3,646,690 | | 4,187,498 | | 807,705 |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Abercrombie & Fitch Co., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,853 | | 63,475 | | 232,236 | | 172,815 |
| Amazon.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 12,065 | | 1,546,550 | | 2,176,285 | | 805,194 |
| AutoZone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 89 | | 263,312 | | 280,497 | | 34,040 |
| Bath & Body Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,551 | | 69,799 | | 77,581 | | 12,357 |
| Best Buy Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 101 | | 6,910 | | 8,285 | | 2,115 |
| Carvana Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,917 | | 361,358 | | 959,713 | | 621,491 |
| eBay, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 10,731 | | 444,337 | | 566,382 | | 159,161 |
| Etsy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,176 | | 300,155 | | 286,975 | | 5,411 |
| Gap, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 16,403 | | 143,808 | | 451,903 | | 321,609 |
| Genuine Parts Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 692 | | 96,735 | | 107,212 | | 17,947 |
| Hibbett, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 248 | | 18,003 | | 19,049 | | 2,249 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Home Depot, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,612 | | $ 891,621 | | $1,001,963 | | $ 175,549 |
| Kohl's Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,014 | | 157,361 | | 175,308 | | 29,383 |
| LKQ Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,056 | | 54,869 | | 56,401 | | 5,281 |
| Monro, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,370 | | 67,999 | | 74,750 | | 11,640 |
| ODP Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 3,726 | | 154,593 | | 197,664 | | 52,962 |
| Pool Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 493 | | 158,068 | | 198,926 | | 52,469 |
| Ross Stores, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 501 | | 72,879 | | 73,527 | | 5,305 |
| Signet Jewelers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,297 | | 318,085 | | 329,931 | | 32,143 |
| TJX Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,499 | | 314,561 | | 354,869 | | 62,512 |
| Ulta Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 591 | | 308,788 | | 309,022 | | 20,003 |
| Urban Outfitters, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,991 | | 125,687 | | 129,869 | | 12,222 |
| Wayfair, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 556 | | 38,123 | | 37,741 | | 2,049 |
| Williams-Sonoma, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 190 | | 37,149 | | 60,331 | | 31,479 |
| Winmark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 174 | | 67,609 | | 62,936 | | (565) |
| | | | | | | | | | | 86,896 | | 6,081,834 | | 8,229,356 | | 2,646,821 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| BRP, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 806 | | 805 | | 67 |
| Carter's, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,592 | | 105,212 | | 134,811 | | 40,606 |
| Columbia Sportswear Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,252 | | 94,446 | | 101,637 | | 13,707 |
| Cricut, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 108 | | 506 | | 514 | | 30 |
| Deckers Outdoor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 303 | | 272,045 | | 285,202 | | 30,572 |
| DR Horton, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 14 | | 1,344 | | 2,304 | | 1,532 |
| Figs, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 24,084 | | 152,275 | | 119,938 | | (22,593) |
| Garmin Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,597 | | 270,572 | | 386,615 | | 139,781 |
| G-III Apparel Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,730 | | 126,798 | | 137,217 | | 18,530 |
| Hasbro, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,048 | | 151,091 | | 172,273 | | 31,759 |
| Helen of Troy Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,226 | | 143,746 | | 141,284 | | 6,735 |
| La-Z-Boy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 848 | | 23,147 | | 31,902 | | 10,819 |
| Leggett & Platt, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,970 | | 66,840 | | 56,876 | | (4,463) |
| Lululemon Athletica, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 4,694 | | 4,688 | | 283 |
| Mattel, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 19,600 | | 375,206 | | 388,276 | | 37,093 |
| Mohawk Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,767 | | 151,604 | | 231,283 | | 89,379 |
| Newell Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 353 | | 2,720 | | 2,835 | | 278 |
| NIKE, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,274 | | 118,639 | | 119,731 | | 11,197 |
| NVR, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 9 | | 44,285 | | 72,900 | | 31,440 |
| Polaris, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 525 | | 47,250 | | 52,563 | | 8,950 |
| PulteGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,995 | | 253,661 | | 481,877 | | 248,121 |
| PVH Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 654 | | 47,700 | | 91,959 | | 47,353 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Durables & Apparel —
(continued) | | | | | | | | | | | | | | |
| Ralph Lauren Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,051 | | $ 237,399 | | $ 385,096 | | $ 167,837 |
| Smith & Wesson Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 845 | | 833 | | 31 |
| Sonos, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,035 | | 76,017 | | 76,907 | | 5,749 |
| Tapestry, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,872 | | 135,332 | | 183,843 | | 59,309 |
| TopBuild Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 354 | | 129,947 | | 156,018 | | 35,601 |
| Vista Outdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,110 | | 86,618 | | 101,946 | | 20,865 |
| Worthington Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,999 | | 95,149 | | 124,398 | | 36,250 |
| YETI Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,578 | | 315,207 | | 292,132 | | (3,679) |
| | | | | | | | | | | 94,020 | | 3,531,101 | | 4,338,663 | | 1,063,139 |
| Consumer Services | | | | | | | | | | | | | | |
| ADT, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 21,093 | | 136,705 | | 141,745 | | 15,021 |
| Adtalem Global Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 552 | | 21,383 | | 28,373 | | 9,172 |
| Aramark | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 12,633 | | 357,464 | | 410,825 | | 77,646 |
| Booking Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 212 | | 664,142 | | 769,111 | | 149,357 |
| Bright Horizons Family Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 607 | | 66,927 | | 68,810 | | 6,159 |
| Brinker International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,586 | | 186,922 | | 227,832 | | 53,580 |
| Caesars Entertainment, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,937 | | 236,306 | | 259,684 | | 38,503 |
| Dine Brands Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 883 | | 42,118 | | 41,042 | | 1,895 |
| DoorDash, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 344 | | 30,320 | | 47,376 | | 21,487 |
| DraftKings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 623 | | 18,143 | | 28,290 | | 11,258 |
| European Wax Center, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 794 | | 10,315 | | 10,306 | | 641 |
| Expedia Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,064 | | 289,730 | | 284,316 | | 13,133 |
| Frontdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,181 | | 231,832 | | 233,957 | | 16,721 |
| Grand Canyon Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 397 | | 49,493 | | 54,075 | | 7,881 |
| International Game Technology PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 776 | | 16,789 | | 17,530 | | 1,920 |
| Las Vegas Sands Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,101 | | 196,976 | | 212,022 | | 27,928 |
| Marriott International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 536 | | 90,761 | | 135,238 | | 51,280 |
| McDonald's Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 2,458 | | 656,761 | | 693,033 | | 88,101 |
| MGM Resorts International | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,759 | | 105,522 | | 130,252 | | 31,494 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Royal Caribbean Cruises Ltd. (Liberia) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,944 | | $ 305,147 | | $ 548,255 | | $ 262,643 |
| Shake Shack, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 396 | | 38,739 | | 41,196 | | 4,962 |
| Starbucks Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,810 | | 168,408 | | 165,416 | | 8,890 |
| Strategic Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 279 | | 28,987 | | 29,049 | | 1,950 |
| Sweetgreen, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,140 | | 50,122 | | 54,056 | | 7,134 |
| Vail Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 394 | | 88,176 | | 87,795 | | 6,124 |
| Wyndham Hotels & Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,102 | | 162,241 | | 161,329 | | 10,057 |
| Wynn Resorts Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,989 | | 205,654 | | 203,335 | | 11,049 |
| Yum! Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,224 | | 536,853 | | 585,658 | | 91,944 |
| | | | | | | | | | | 85,814 | | 4,992,936 | | 5,669,906 | | 1,027,930 |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Albertsons Cos., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,446 | | 116,739 | | 116,762 | | 7,277 |
| Costco Wholesale Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 783 | | 443,636 | | 573,649 | | 172,873 |
| Dollar General Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,334 | | 205,014 | | 208,184 | | 16,291 |
| Grocery Outlet Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,463 | | 38,832 | | 42,105 | | 6,493 |
| Kroger Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 14,407 | | 757,422 | | 823,072 | | 116,793 |
| Performance Food Group Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 186 | | 14,057 | | 13,883 | | 715 |
| Sysco Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,538 | | 175,718 | | 206,035 | | 43,136 |
| Target Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,221 | | 1,064,379 | | 1,279,633 | | 292,308 |
| US Foods Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,123 | | 75,283 | | 114,578 | | 45,032 |
| Walgreens Boots Alliance, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 4,383 | | 144,068 | | 95,067 | | (22,095) |
| Walmart, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 9,017 | | 475,795 | | 542,553 | | 108,067 |
| Weis Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 170 | | 10,922 | | 10,948 | | 714 |
| | | | | | | | | | | 49,071 | | 3,521,865 | | 4,026,469 | | 787,604 |
| Energy | | | | | | | | | | | | | | |
| Antero Midstream Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 15,845 | | 201,629 | | 222,781 | | 35,689 |
| APA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 566 | | 17,769 | | 19,459 | | 4,547 |
| Archrock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,780 | | 125,759 | | 133,363 | | 16,192 |
| Baker Hughes Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 13,290 | | 358,667 | | 445,215 | | 121,852 |
| Berry Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,481 | | 11,617 | | 11,922 | | 1,038 |
| Borr Drilling Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,567 | | 28,801 | | 31,284 | | 4,411 |
| California Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,415 | | 205,906 | | 243,267 | | 53,449 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Canadian Natural Resources Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,456 | | $407,419 | | $ 492,722 | | $118,531 |
| Cheniere Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,327 | | 210,143 | | 214,019 | | 17,424 |
| Chesapeake Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,569 | | 117,198 | | 139,374 | | 31,017 |
| ConocoPhillips | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,243 | | 127,690 | | 158,209 | | 43,523 |
| CONSOL Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,278 | | 150,341 | | 190,805 | | 49,211 |
| Coterra Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,831 | | 181,838 | | 190,448 | | 21,028 |
| Delek US Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,000 | | 54,201 | | 61,480 | | 10,830 |
| Devon Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,946 | | 528,505 | | 599,450 | | 116,920 |
| DHT Holdings, Inc. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 11,846 | | 104,258 | | 136,229 | | 51,413 |
| Diamondback Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 932 | | 164,710 | | 184,694 | | 35,867 |
| Dorian LPG Ltd. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,321 | | 296,281 | | 358,486 | | 97,469 |
| Enbridge, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,088 | | 104,601 | | 111,724 | | 13,534 |
| Enerplus Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,513 | | 63,615 | | 88,726 | | 29,812 |
| EOG Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 730 | | 80,197 | | 93,323 | | 25,293 |
| Equitrans Midstream Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,853 | | 28,252 | | 73,104 | | 48,406 |
| Exxon Mobil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 8,909 | | 913,553 | | 1,035,582 | | 219,758 |
| Gulfport Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 591 | | 58,703 | | 94,631 | | 41,040 |
| Halliburton Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,916 | | 105,630 | | 114,949 | | 16,664 |
| Helix Energy Solutions Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,084 | | 80,561 | | 87,631 | | 12,218 |
| Helmerich & Payne, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,397 | | 298,008 | | 353,178 | | 78,100 |
| Kinder Morgan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11,702 | | 206,554 | | 214,615 | | 21,280 |
| Liberty Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,016 | | 24,514 | | 41,772 | | 19,300 |
| Marathon Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 21,857 | | 550,497 | | 619,427 | | 104,181 |
| Marathon Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 2,060 | | 297,358 | | 415,090 | | 155,907 |
| Murphy Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,430 | | 87,704 | | 111,051 | | 31,874 |
| Nabors Industries Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 824 | | 65,574 | | 70,971 | | 9,587 |
| Nordic American Tankers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 23,238 | | 83,453 | | 91,093 | | 23,503 |
| Occidental Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 14,087 | | 575,634 | | 915,514 | | 392,745 |
| Pembina Pipeline Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 965 | | 30,657 | | 34,103 | | 6,270 |
| Phillips 66 | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,964 | | 275,428 | | 320,800 | | 64,243 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Pioneer Natural Resources Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,275 | | $ 508,489 | | $ 597,188 | | $ 129,728 |
| REX American Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11 | | 613 | | 646 | | 61 |
| Schlumberger NV (Curacao) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,915 | | 92,286 | | 104,961 | | 18,843 |
| Select Water Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 394 | | 3,611 | | 3,637 | | (3,030) |
| Targa Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 162 | | 17,820 | | 18,142 | | 1,453 |
| TC Energy Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 1,892 | | 1,930 | | (2,647) |
| TechnipFMC PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,964 | | 246,818 | | 300,416 | | 72,887 |
| Transocean Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,650 | | 31,282 | | 41,762 | | 12,641 |
| US Silica Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 7,642 | | 93,719 | | 94,837 | | 6,759 |
| Valero Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 329 | | 55,627 | | 56,157 | | 4,082 |
| | | | | | | | | | | 258,307 | | 8,275,382 | | 9,940,167 | | 2,384,903 |
| Financial Services | | | | | | | | | | | | | | |
| AvidXchange Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,603 | | 132,472 | | 152,579 | | 28,582 |
| Berkshire Hathaway, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 11,792 | | 2,658,122 | | 4,958,772 | | 2,470,902 |
| BlackRock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 261 | | 186,044 | | 217,596 | | 49,809 |
| Cboe Global Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,782 | | 288,334 | | 327,407 | | 59,556 |
| CME Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,684 | | 341,806 | | 362,548 | | 49,823 |
| Coinbase Global, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,781 | | 293,084 | | 472,179 | | 197,857 |
| Corpay, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 968 | | 266,775 | | 298,667 | | 48,969 |
| Donnelley Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 257 | | 15,841 | | 15,937 | | 1,100 |
| Fiserv, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,598 | | 932,855 | | 1,214,312 | | 342,071 |
| Franklin Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 10,895 | | 253,990 | | 306,258 | | 91,464 |
| Intercontinental Exchange, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,260 | | 422,512 | | 448,022 | | 54,893 |
| Mastercard, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 402 | | 160,027 | | 193,591 | | 44,174 |
| Morningstar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 549 | | 153,723 | | 169,295 | | 25,410 |
| NCR Atleos Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,564 | | 67,461 | | 70,389 | | 7,238 |
| Open Lending Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 85 | | 524 | | 532 | | 31 |
| Payoneer Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 21,199 | | 104,082 | | 103,027 | | 5,229 |
| PayPal Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 13,048 | | 691,363 | | 874,086 | | 238,953 |
| S&P Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 366 | | 158,748 | | 155,715 | | 6,232 |
| Shift4 Payments, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,649 | | 113,374 | | 108,949 | | 2,826 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Financial Services — (continued) | | | | | | | | | | | | | | |
| T Rowe Price Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 3,787 | | $ 417,740 | | $ 461,711 | | $ 105,958 |
| Visa, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,128 | | 524,152 | | 593,882 | | 104,998 |
| | | | | | | | | | | 98,658 | | 8,183,029 | | 11,505,454 | | 3,936,075 |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Altria Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 12,286 | | 537,123 | | 535,915 | | 81,936 |
| Archer-Daniels-Midland Co. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 4,619 | | 307,481 | | 290,119 | | 5,955 |
| B&G Foods, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 12,344 | | 126,307 | | 141,215 | | 25,284 |
| Bunge Global SA (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,564 | | 154,503 | | 160,341 | | 17,194 |
| Campbell Soup Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,572 | | 67,589 | | 69,875 | | 6,605 |
| Celsius Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,320 | | 38,389 | | 109,454 | | 73,514 |
| Coca-Cola Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 13,797 | | 795,163 | | 844,100 | | 132,624 |
| Conagra Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,030 | | 201,961 | | 208,369 | | 21,733 |
| Constellation Brands, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,208 | | 295,551 | | 328,286 | | 53,514 |
| Dole PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 795 | | 9,378 | | 9,484 | | 742 |
| General Mills, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 3,142 | | 200,158 | | 219,846 | | 38,054 |
| Hormel Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,245 | | 208,625 | | 217,888 | | 23,486 |
| Ingredion, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,366 | | 147,871 | | 159,617 | | 22,770 |
| J & J Snack Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 328 | | 52,935 | | 47,416 | | (1,923) |
| Kellanova | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,541 | | 539,718 | | 546,604 | | 52,073 |
| Keurig Dr Pepper, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 18,056 | | 617,112 | | 553,778 | | (7,090) |
| Kraft Heinz Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 10,965 | | 389,214 | | 404,609 | | 52,605 |
| Lancaster Colony Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 185 | | 35,397 | | 38,412 | | 5,469 |
| McCormick & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,846 | | 187,956 | | 218,601 | | 43,223 |
| Molson Coors Beverage Co., Class B | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,085 | | 114,761 | | 140,216 | | 35,906 |
| Mondelez International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,879 | | 262,976 | | 271,530 | | 27,397 |
| Philip Morris International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,498 | | 231,530 | | 228,867 | | 17,773 |
| Primo Water Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,898 | | 77,208 | | 89,193 | | 17,214 |
| Simply Good Foods Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,548 | | 209,906 | | 188,798 | | (7,673) |
| SunOpta, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,403 | | 9,548 | | 9,639 | | 691 |
| Tootsie Roll Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 192 | | 192 | | 2 |
| Vector Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 852 | | 9,240 | | 9,338 | | 678 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Vita Coco Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,819 | | $ 147,960 | | $ 142,158 | | $ 3,664 |
| Vital Farms, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 314 | | 6,984 | | 7,301 | | 752 |
| | | | | | | | | | | 136,511 | | 5,982,736 | | 6,191,161 | | 744,172 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Align Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 551 | | 158,399 | | 180,684 | | 32,420 |
| Astrana Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 427 | | 17,923 | | 17,930 | | 1,144 |
| Avanos Medical, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,359 | | 47,748 | | 46,968 | | 2,267 |
| Baxter International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,696 | | 359,772 | | 457,147 | | 123,676 |
| Becton Dickinson & Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,831 | | 430,963 | | 453,081 | | 53,385 |
| Cardinal Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,361 | | 344,705 | | 376,096 | | 56,457 |
| Cencora, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 572 | | 106,726 | | 138,990 | | 39,893 |
| Centene Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,390 | | 372,152 | | 423,007 | | 75,032 |
| Cigna Group (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,124 | | 387,933 | | 408,226 | | 45,711 |
| CONMED Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,998 | | 383,413 | | 320,160 | | (37,554) |
| Cross Country Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,018 | | 73,225 | | 56,497 | | (12,079) |
| CVS Health Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,137 | | 291,807 | | 329,967 | | 58,039 |
| DaVita, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,855 | | 441,198 | | 670,233 | | 259,064 |
| Definitive Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,482 | | 38,830 | | 36,170 | | (184) |
| Evolent Health, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,404 | | 177,177 | | 177,197 | | 11,358 |
| GE HealthCare Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 6,807 | | 438,470 | | 618,824 | | 208,908 |
| Haemonetics Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 375 | | 29,811 | | 32,006 | | 4,339 |
| HCA Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,021 | | 270,230 | | 340,534 | | 89,082 |
| HealthStream, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 20 | | 527 | | 533 | | 29 |
| Hologic, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 2,241 | | 164,505 | | 174,708 | | 20,730 |
| Humana, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,625 | | 655,751 | | 563,420 | | (47,598) |
| IDEXX Laboratories, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,064 | | 569,039 | | 574,486 | | 41,885 |
| Lantheus Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,104 | | 171,359 | | 193,193 | | 32,799 |
| LeMaitre Vascular, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 201 | | 13,431 | | 13,338 | | 786 |
| McKesson Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 233 | | 120,212 | | 125,086 | | 12,670 |
| Medtronic PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,073 | | 765,711 | | 790,712 | | 81,486 |
| Molina Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 954 | | 312,039 | | 391,932 | | 101,291 |
| National HealthCare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 116 | | 10,795 | | 10,963 | | 907 |
| Omnicell, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,389 | | 42,812 | | 40,600 | | 159 |
| Owens & Minor, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,089 | | 144,884 | | 196,436 | | 60,908 |
| Penumbra, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 281 | | 63,959 | | 62,714 | | 2,841 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Phreesia, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,578 | | $ 107,667 | | $ 109,552 | | $ 8,770 |
| Privia Health Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,267 | | 161,652 | | 142,361 | | (8,948) |
| Quest Diagnostics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,377 | | 174,701 | | 183,292 | | 19,990 |
| ResMed, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,710 | | 502,747 | | 536,661 | | 66,918 |
| Teleflex, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 281 | | 63,087 | | 63,554 | | 4,519 |
| Tenet Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,452 | | 129,942 | | 152,620 | | 31,841 |
| UFP Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 255 | | 32,141 | | 64,311 | | 35,448 |
| UnitedHealth Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 798 | | 404,650 | | 394,771 | | 14,899 |
| Zimmer Biomet Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,677 | | 318,160 | | 353,310 | | 57,488 |
| | | | | | | | | | | 109,193 | | 9,300,253 | | 10,222,270 | | 1,550,776 |
| Household & Personal Products | | | | | | | | | | | | | | |
| BellRing Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,512 | | 293,259 | | 325,373 | | 50,888 |
| Clorox Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,064 | | 163,608 | | 162,909 | | 9,770 |
| Colgate-Palmolive Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,993 | | 397,695 | | 449,620 | | 78,626 |
| Coty, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,938 | | 46,540 | | 47,098 | | 3,528 |
| Estee Lauder Cos., Inc. (The), Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 147 | | 20,644 | | 22,660 | | 3,977 |
| Kenvue, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 20,655 | | 410,245 | | 443,256 | | 64,585 |
| Kimberly-Clark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,589 | | 586,413 | | 593,587 | | 77,739 |
| Procter & Gamble Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 2,906 | | 417,959 | | 471,499 | | 97,637 |
| Reynolds Consumer Products, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,265 | | 36,540 | | 36,128 | | 1,963 |
| WD-40 Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 578 | | 140,821 | | 146,413 | | 14,601 |
| | | | | | | | | | | 45,647 | | 2,513,724 | | 2,698,543 | | 403,314 |
| Materials | | | | | | | | | | | | | | |
| Alamos Gold, Inc., Class A (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 11,177 | | 133,562 | | 164,861 | | 42,152 |
| Alpha Metallurgical Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 362 | | 111,005 | | 119,884 | | 16,005 |
| Amcor PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,417 | | 102,711 | | 108,576 | | 15,462 |
| AptarGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 491 | | 68,647 | | 70,650 | | 6,389 |
| Arch Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 78 | | 12,523 | | 12,542 | | 810 |
| Avient Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 744 | | 24,533 | | 32,290 | | 10,426 |
| Axalta Coating Systems Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,049 | | 30,532 | | 36,075 | | 9,474 |
| Balchem Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 66 | | 10,211 | | 10,227 | | 659 |
| Ball Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,061 | | 154,891 | | 206,189 | | 63,490 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Berry Global Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,679 | | $ 96,951 | | $101,546 | | $ 11,692 |
| Cabot Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 755 | | 55,512 | | 69,611 | | 18,694 |
| Carpenter Technology Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,697 | | 173,073 | | 192,620 | | 31,813 |
| Celanese Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,633 | | 254,040 | | 280,647 | | 42,869 |
| CF Industries Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 3,195 | | 199,987 | | 265,856 | | 87,253 |
| Cleveland-Cliffs, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 27,662 | | 441,927 | | 629,034 | | 218,787 |
| Crown Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 632 | | 50,918 | | 50,092 | | 2,629 |
| Eastman Chemical Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,847 | | 141,896 | | 185,106 | | 55,454 |
| Fortuna Silver Mines, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 32,810 | | 104,975 | | 122,381 | | 24,120 |
| Freeport-McMoRan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,871 | | 151,173 | | 182,014 | | 40,514 |
| HB Fuller Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,398 | | 96,763 | | 111,477 | | 20,822 |
| Innospec, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 503 | | 49,392 | | 64,857 | | 19,121 |
| International Flavors & Fragrances, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,397 | | 185,054 | | 206,118 | | 35,904 |
| International Paper Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,663 | | 57,840 | | 64,890 | | 11,583 |
| Knife River Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,153 | | 76,520 | | 93,485 | | 21,856 |
| Koppers Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 291 | | 15,598 | | 16,054 | | 1,450 |
| Linde PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 1,189 | | 418,646 | | 552,076 | | 187,093 |
| LyondellBasell Industries N.V., Class A (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,509 | | 318,056 | | 358,901 | | 68,186 |
| Martin Marietta Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 289 | | 122,750 | | 177,429 | | 71,461 |
| Metallus, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 23 | | 505 | | 512 | | 28 |
| Minerals Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,382 | | 81,150 | | 104,037 | | 28,192 |
| NewMarket Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 459 | | 222,762 | | 291,291 | | 85,254 |
| Nucor Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 1,510 | | 214,749 | | 298,829 | | 105,379 |
| Packaging Corp. of America | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,030 | | 149,757 | | 195,473 | | 59,867 |
| PPG Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,153 | | 294,433 | | 311,970 | | 37,813 |
| Quaker Chemical Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,347 | | 252,378 | | 276,472 | | 41,038 |
| Royal Gold, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,076 | | 225,556 | | 252,878 | | 41,951 |
| RPM International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,117 | | 105,255 | | 132,867 | | 34,575 |
| Scotts Miracle-Gro Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,544 | | 301,418 | | 413,527 | | 138,970 |
| Sealed Air Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,004 | | 33,045 | | 37,349 | | 8,050 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Sherwin-Williams Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,079 | | $ 297,885 | | $ 374,769 | | $ 99,163 |
| SilverCrest Metals, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 80 | | 525 | | 533 | | 30 |
| Sonoco Products Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 79 | | 4,502 | | 4,569 | | 344 |
| Vulcan Materials Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 765 | | 175,413 | | 208,784 | | 45,313 |
| Warrior Met Coal, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 675 | | 22,516 | | 40,973 | | 20,697 |
| Westrock Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,550 | | 111,007 | | 126,098 | | 22,396 |
| Worthington Steel, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 26 | | 935 | | 932 | | 46 |
| | | | | | | | | | | 140,517 | | 6,153,477 | | 7,557,351 | | 1,905,274 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Alphabet, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 15,261 | | 1,635,462 | | 2,303,343 | | 774,060 |
| Cargurus, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,635 | | 28,198 | | 37,736 | | 11,863 |
| Cinemark Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 9,599 | | 105,983 | | 172,494 | | 73,288 |
| Clear Channel Outdoor Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,745 | | 4,668 | | 4,529 | | 149 |
| Comcast Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 14,176 | | 492,872 | | 614,530 | | 174,403 |
| Electronic Arts, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,408 | | 429,571 | | 452,139 | | 51,080 |
| Getty Images Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 29 | | 120 | | 120 | | (3) |
| Grindr, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 51 | | 504 | | 517 | | 34 |
| Interpublic Group of Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 8,495 | | 247,132 | | 277,192 | | 55,848 |
| Match Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,583 | | 194,977 | | 202,551 | | 20,052 |
| Meta Platforms, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,728 | | 904,827 | | 2,295,822 | | 1,451,143 |
| Netflix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,374 | | 632,813 | | 834,471 | | 242,181 |
| News Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,525 | | 107,445 | | 118,465 | | 18,384 |
| Omnicom Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 828 | | 71,812 | | 80,117 | | 16,644 |
| Sirius XM Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 34,382 | | 138,746 | | 133,402 | | 3,533 |
| Spotify Technology SA (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,538 | | 388,679 | | 405,878 | | 41,528 |
| TripAdvisor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11,004 | | 295,751 | | 305,801 | | 29,085 |
| Vimeo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 18,793 | | 75,397 | | 76,863 | | 6,284 |
| Walt Disney Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,644 | | 311,132 | | 445,880 | | 156,644 |
| Warner Music Group Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,159 | | 70,696 | | 71,290 | | 5,218 |
| Yelp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,994 | | 214,072 | | 196,764 | | (4,080) |
| ZipRecruiter, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,906 | | 49,986 | | 44,880 | | (1,916) |
| ZoomInfo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,632 | | 152,148 | | 154,401 | | 11,988 |
| | | | | | | | | | | 162,489 | | 6,552,991 | | 9,229,185 | | 3,137,410 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbbVie, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,333 | | $ 593,638 | | $ 606,939 | | $ 51,314 |
| ADMA Biologics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,968 | | 24,518 | | 26,189 | | 3,263 |
| Agilent Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,227 | | 261,360 | | 324,051 | | 80,629 |
| Alkermes PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,583 | | 278,226 | | 259,412 | | (1,004) |
| Alpine Immune Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 943 | | 36,206 | | 37,381 | | 3,483 |
| Amgen, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 59 | | 12,784 | | 16,775 | | 5,183 |
| Amneal Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,237 | | 18,340 | | 19,616 | | 2,440 |
| Amphastar Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,407 | | 129,998 | | 105,691 | | (15,990) |
| ANI Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 980 | | 56,962 | | 67,747 | | 14,423 |
| Ardelyx, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,980 | | 38,924 | | 72,854 | | 36,413 |
| Azenta, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,315 | | 83,853 | | 79,268 | | 304 |
| Beam Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,383 | | 51,870 | | 45,694 | | (2,864) |
| Bio-Rad Laboratories, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 392 | | 118,803 | | 135,581 | | 24,377 |
| Bristol-Myers Squibb Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 20,075 | | 1,058,106 | | 1,088,667 | | 99,483 |
| Collegium Pharmaceutical, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,776 | | 151,648 | | 224,224 | | 82,279 |
| Corcept Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,019 | | 22,553 | | 25,669 | | 5,292 |
| EyePoint Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,797 | | 82,539 | | 78,484 | | (167) |
| Gilead Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8,920 | | 673,941 | | 653,390 | | 29,176 |
| Halozyme Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,625 | | 55,381 | | 66,105 | | 16,359 |
| Harmony Biosciences Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 10,142 | | 325,140 | | 340,568 | | 36,181 |
| ImmunityBio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,449 | | 19,899 | | 18,521 | | (114) |
| Incyte Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,247 | | 509,830 | | 526,802 | | 49,617 |
| IQVIA Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,691 | | 361,414 | | 427,637 | | 89,362 |
| Ironwood Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 699 | | 6,002 | | 6,088 | | 462 |
| Johnson & Johnson | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 7,888 | | 1,219,465 | | 1,247,803 | | 139,308 |
| Merck & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 7,941 | | 878,522 | | 1,047,815 | | 242,648 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Mettler-Toledo International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 326 | | $ 355,210 | | $ 434,001 | | $ 104,776 |
| Natera, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 177 | | 15,817 | | 16,188 | | 1,377 |
| Nurix Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 101 | | 1,394 | | 1,485 | | 169 |
| Nuvation Bio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 41 | | 153 | | 149 | | (5) |
| QIAGEN NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 284 | | 12,129 | | 12,209 | | 846 |
| Rhythm Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,335 | | 32,661 | | 57,846 | | 27,265 |
| Scholar Rock Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 776 | | 852 | | 115 |
| Spyre Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 519 | | 531 | | 36 |
| Taysha Gene Therapies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 55 | | 167 | | 158 | | (24) |
| Thermo Fisher Scientific, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 714 | | 391,742 | | 414,984 | | 48,602 |
| Twist Bioscience Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,951 | | 195,241 | | 238,489 | | 55,609 |
| United Therapeutics Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 200 | | 43,284 | | 45,944 | | 7,032 |
| Vera Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 16 | | 286 | | 690 | | 411 |
| Viatris, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 17,352 | | 182,953 | | 207,183 | | 45,268 |
| Waters Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 175 | | 60,650 | | 60,240 | | 3,464 |
| WaVe Life Sciences Ltd. (Singapore) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 207 | | 1,201 | | 1,277 | | 142 |
| | | | | | | | | | | 150,072 | | 8,364,105 | | 9,041,197 | | 1,286,940 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,419 | | 524,352 | | 797,585 | | 306,810 |
| Amkor Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,387 | | 72,878 | | 76,957 | | 8,890 |
| Applied Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,948 | | 367,782 | | 607,966 | | 268,844 |
| Broadcom, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 395 | | 291,612 | | 523,537 | | 273,386 |
| Entegris, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,448 | | 193,791 | | 203,502 | | 22,313 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,697 | | 197,671 | | 192,651 | | 7,630 |
| KLA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 620 | | 342,774 | | 433,113 | | 113,270 |
| Lam Research Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 455 | | 248,648 | | 442,064 | | 213,950 |
| Microchip Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 7,391 | | 481,250 | | 663,047 | | 230,259 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| Micron Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,533 | | $ 523,292 | | $ 534,395 | | $ 45,107 |
| Monolithic Power Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,499 | | 885,559 | | 1,015,453 | | 189,606 |
| NVIDIA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,411 | | 606,842 | | 1,274,923 | | 707,162 |
| NXP Semiconductors NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 3,456 | | 544,210 | | 856,293 | | 362,483 |
| ON Semiconductor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,677 | | 446,991 | | 417,543 | | (827) |
| Onto Innovation, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 2,528 | | 2,535 | | 158 |
| Photronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 7,292 | | 125,061 | | 206,509 | | 89,448 |
| Qorvo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,941 | | 788,289 | | 797,035 | | 59,228 |
| QUALCOMM, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 13,099 | | 1,708,846 | | 2,217,661 | | 637,919 |
| Skyworks Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 7,329 | | 723,762 | | 793,877 | | 125,219 |
| SMART Global Holdings, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,048 | | 173,816 | | 211,823 | | 49,213 |
| | | | | | | | | | | 83,059 | | 9,249,954 | | 12,268,469 | | 3,710,068 |
| Software & Services | | | | | | | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,983 | | 616,961 | | 687,328 | | 114,511 |
| Adobe, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,460 | | 713,000 | | 736,716 | | 69,376 |
| Amdocs Ltd. (Guernsey) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 569 | | 51,416 | | 51,421 | | 3,530 |
| Appfolio, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 480 | | 108,505 | | 118,435 | | 17,075 |
| Bitfarms Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 101,984 | | 239,059 | | 227,424 | | 3,667 |
| Blackbaud, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 865 | | 65,410 | | 64,131 | | 2,726 |
| Box, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,247 | | 63,811 | | 63,635 | | 3,900 |
| Cadence Design Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 608 | | 131,710 | | 189,258 | | 65,974 |
| CGI, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 83 | | 9,164 | | 9,171 | | 583 |
| Docebo, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 129 | | 6,687 | | 6,318 | | 48 |
| DXC Technology Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,940 | | 109,259 | | 104,777 | | 2,506 |
| Enfusion, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 268 | | 2,461 | | 2,479 | | 164 |
| EverCommerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 51 | | 462 | | 480 | | 37 |
| Fortinet, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,580 | | 656,447 | | 654,410 | | 40,000 |
| Gen Digital, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 17,000 | | 310,370 | | 380,800 | | 98,046 |
| Globant S.A. (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 447 | | 94,369 | | 90,249 | | 1,914 |
| GoDaddy, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 192 | | 20,922 | | 22,787 | | 5,712 |
| Guidewire Software, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 962 | | 110,646 | | 112,275 | | 8,705 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Hackett Group, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3 | | $ 72 | | $ 73 | | $ 2 |
| Informatica, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,992 | | 129,048 | | 139,720 | | 18,927 |
| InterDigital, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,083 | | 253,823 | | 328,216 | | 96,152 |
| International Business Machines Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,858 | | 388,004 | | 545,764 | | 197,738 |
| JFrog Ltd. (Israel) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,722 | | 209,854 | | 253,027 | | 56,604 |
| Kyndryl Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 2,391 | | 36,680 | | 52,028 | | 17,687 |
| LiveRamp Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,147 | | 178,735 | | 177,572 | | 10,274 |
| Manhattan Associates, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 106 | | 21,648 | | 26,524 | | 6,252 |
| MeridianLink, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 185 | | 3,352 | | 3,460 | | 311 |
| Microsoft Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,611 | | 1,187,614 | | 1,939,940 | | 846,503 |
| N-able, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 89 | | 1,163 | | 1,163 | | 64 |
| NCR Voyix Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 16,869 | | 247,199 | | 213,055 | | (19,161) |
| NextNav, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 196 | | 1,316 | | 1,290 | | 46 |
| Nutanix, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,659 | | 211,136 | | 410,993 | | 213,370 |
| Okta, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,143 | | 552,947 | | 538,061 | | 20,522 |
| Oracle Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 14,630 | | 1,417,272 | | 1,837,674 | | 535,340 |
| Palantir Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 23,338 | | 492,149 | | 537,007 | | 77,640 |
| Palo Alto Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,440 | | 948,697 | | 1,261,537 | | 373,104 |
| Pegasystems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,541 | | 163,502 | | 164,250 | | 11,285 |
| Q2 Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,414 | | 137,513 | | 179,440 | | 50,724 |
| Qualys, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,307 | | 219,114 | | 218,099 | | 13,009 |
| Roper Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 455 | | 249,552 | | 255,182 | | 21,604 |
| Salesforce, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,577 | | 603,538 | | 1,077,321 | | 513,782 |
| Samsara, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,990 | | 232,683 | | 339,732 | | 121,942 |
| ServiceNow, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,986 | | 1,197,682 | | 1,514,126 | | 393,150 |
| SolarWinds Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 56 | | 695 | | 707 | | 45 |
| SPS Commerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 185 | | 185 | | 4 |
| Squarespace, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 319 | | 8,569 | | 11,624 | | 3,593 |
| Synopsys, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 215 | | 120,612 | | 122,873 | | 9,975 |
| UiPath, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,414 | | 136,893 | | 190,745 | | 62,644 |
| Verint Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 106 | | 3,534 | | 3,514 | | 195 |
| VeriSign, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,894 | | 360,324 | | 358,932 | | 21,677 |
| Workday, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 592 | | 159,199 | | 161,468 | | 9,453 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Yext, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 11,913 | | $ 96,988 | | $ 71,835 | | $ (18,951) |
| Zoom Video Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,678 | | 635,866 | | 632,651 | | 37,503 |
| | | | | | | | | | | 298,768 | | 13,917,817 | | 17,091,882 | | 4,141,483 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Amphenol Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,423 | | 250,688 | | 279,493 | | 45,370 |
| Apple, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 14,985 | | 2,500,617 | | 2,569,628 | | 238,928 |
| Arlo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,941 | | 35,301 | | 37,204 | | 4,153 |
| Arrow Electronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 924 | | 109,757 | | 119,621 | | 17,419 |
| Bel Fuse, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,128 | | 56,181 | | 68,030 | | 15,487 |
| CDW Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 769 | | 133,227 | | 196,695 | | 74,448 |
| Ciena Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,962 | | 356,387 | | 344,271 | | 10,701 |
| Cisco Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 14,767 | | 673,137 | | 737,021 | | 135,888 |
| Crane NXT Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 71 | | 2,672 | | 4,395 | | 3,232 |
| Extreme Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 14,860 | | 310,807 | | 171,484 | | (119,425) |
| F5, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,123 | | 357,313 | | 402,500 | | 68,063 |
| Fabrinet (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 215 | | 35,134 | | 40,639 | | 7,745 |
| Hewlett Packard Enterprise Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 27,864 | | 414,571 | | 494,029 | | 120,115 |
| HP, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 10,245 | | 281,431 | | 309,604 | | 58,920 |
| Insight Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,040 | | 128,738 | | 192,941 | | 72,437 |
| IonQ, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,235 | | 7,939 | | 12,338 | | 4,896 |
| Itron, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,611 | | 214,156 | | 241,570 | | 41,120 |
| Jabil, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,002 | | 359,293 | | 402,118 | | 66,019 |
| Keysight Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,843 | | 281,863 | | 288,208 | | 24,389 |
| Littelfuse, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 608 | | 146,109 | | 147,349 | | 10,858 |
| Motorola Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 549 | | 171,786 | | 194,884 | | 34,781 |
| Napco Security Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,892 | | 72,316 | | 116,143 | | 48,982 |
| NetApp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 4,205 | | 318,973 | | 441,399 | | 166,533 |
| NetScout Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,859 | | 83,229 | | 62,441 | | (15,540) |
| PC Connection, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 118 | | 7,693 | | 7,780 | | 568 |
| Seagate Technology Holdings PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,759 | | 361,074 | | 535,875 | | 213,527 |
| Super Micro Computer, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 972 | | 106,407 | | 981,749 | | 882,147 |
| TD SYNNEX Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 213 | | 23,947 | | 24,090 | | 1,666 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| TE Connectivity Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,203 | | $ 147,779 | | $ 174,724 | | $ 38,566 |
| Vontier Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,551 | | 85,229 | | 115,713 | | 36,708 |
| Western Digital Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,067 | | 272,315 | | 414,012 | | 159,129 |
| Xerox Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 43 | | 766 | | 770 | | 255 |
| | | | | | | | | | | 138,047 | | 8,306,835 | | 10,128,718 | | 2,468,085 |
| Telecommunication Services | | | | | | | | | | | | | | |
| Anterix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 187 | | 6,828 | | 6,285 | | (117) |
| AT&T, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 21,211 | | 323,690 | | 373,314 | | 74,455 |
| Iridium Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,896 | | 129,678 | | 101,919 | | (19,106) |
| Lumen Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 346 | | 546 | | 540 | | 18 |
| TELUS Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,798 | | 83,383 | | 76,816 | | (375) |
| T-Mobile US, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,284 | | 603,419 | | 699,234 | | 138,695 |
| Verizon Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 13,500 | | 492,668 | | 566,460 | | 117,904 |
| | | | | | | | | | | 48,222 | | 1,640,212 | | 1,824,568 | | 311,474 |
| Transportation | | | | | | | | | | | | | | |
| CH Robinson Worldwide, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 755 | | 55,789 | | 57,486 | | 5,259 |
| CSX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 14,446 | | 460,608 | | 535,513 | | 112,456 |
| Delta Air Lines, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,342 | | 273,813 | | 399,332 | | 143,858 |
| FedEx Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,967 | | 454,001 | | 569,919 | | 157,757 |
| Forward Air Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,702 | | 170,120 | | 146,279 | | (12,955) |
| FTAI Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 46 | | 281 | | 289 | | 15 |
| GXO Logistics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,853 | | 101,654 | | 99,617 | | 3,524 |
| Old Dominion Freight Line, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 1,278 | | 254,832 | | 280,278 | | 42,688 |
| Ryder System, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 43 | | 3,379 | | 5,168 | | 2,415 |
| Saia, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 77 | | 43,264 | | 45,045 | | 4,557 |
| SkyWest, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,474 | | 193,158 | | 309,064 | | 128,878 |
| Uber Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,007 | | 381,158 | | 462,479 | | 105,725 |
| Union Pacific Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 734 | | 175,726 | | 180,513 | | 17,172 |
| XPO, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1 | | 79 | | 122 | | 37 |
| | | | | | | | | | | 44,725 | | 2,567,862 | | 3,091,104 | | 711,386 |
| Utilities | | | | | | | | | | | | | | |
| ALLETE, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,431 | | 247,756 | | 264,265 | | 38,904 |
| American Water Works Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 731 | | 100,461 | | 89,336 | | (2,909) |
| Atmos Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 197 | | 22,570 | | 23,417 | | 2,391 |
| Black Hills Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,426 | | 230,109 | | 241,660 | | 30,442 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Consolidated Edison, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,784 | | $ 159,399 | | $ 162,005 | | $ 12,806 |
| Constellation Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/23/25 | | 2,404 | | 230,731 | | 444,379 | | 232,993 |
| Duke Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10,327 | | 946,660 | | 998,724 | | 119,103 |
| Fortis, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,661 | | 66,882 | | 65,626 | | 3,952 |
| New Jersey Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,142 | | 47,287 | | 49,003 | | 5,240 |
| NRG Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,180 | | 531,176 | | 756,774 | | 263,915 |
| ONE Gas, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 859 | | 51,208 | | 55,431 | | 8,123 |
| Public Service Enterprise Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,897 | | 360,372 | | 393,802 | | 60,293 |
| Southwest Gas Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,107 | | 150,076 | | 160,406 | | 19,931 |
| Spire, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 469 | | 28,335 | | 28,783 | | 2,982 |
| TransAlta Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,236 | | 16,608 | | 14,377 | | (1,107) |
| Vistra Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,441 | | 142,557 | | 378,966 | | 250,365 |
| | | | | | | | | | | 55,292 | | 3,332,187 | | 4,126,954 | | 1,047,424 |
|
|
| Total Reference Entity — Long | | | | | | 134,041,130 | | 163,543,784 | | 39,763,660 |
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Short | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Dana, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,395) | | $ (244,380) | | $ (233,617) | | $ 6,296 |
| Fox Factory Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,707) | | (632,237) | | (661,653) | | (34,990) |
| Mobileye Global, Inc., Class A | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (30,826) | | (923,942) | | (991,056) | | (93,069) |
| Phinia, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,696) | | (490,076) | | (526,337) | | (40,878) |
| QuantumScape Corp. | | USFF -0.830% | | Weekly | | MS | | 01/12/29 | | (95,469) | | (616,225) | | (600,500) | | 9,544 |
| Rivian Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (61,706) | | (669,364) | | (675,681) | | (12,217) |
| Standard Motor Products, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (172) | | (5,736) | | (5,771) | | (96) |
| Tesla, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,058) | | (942,586) | | (889,146) | | 54,926 |
| Thor Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,476) | | (595,911) | | (642,554) | | (51,897) |
| Winnebago Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,532) | | (177,026) | | (187,368) | | (17,123) |
| XPEL, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (542) | | (29,303) | | (29,279) | | (245) |
| | | | | | | | | | | (246,579) | | (5,326,786) | | (5,442,962) | | (179,749) |
| Capital Goods | | | | | | | | | | | | | | |
| 3D Systems Corp. | | USFF -0.267% | | Weekly | | MS | | 01/07/27 | | (140,331) | | (1,055,035) | | (623,070) | | 422,671 |
| AAON, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,461) | | (1,068,307) | | (1,274,014) | | (221,239) |
| AeroVironment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,029) | | (1,012,453) | | (1,230,685) | | (239,650) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| AGCO Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,316) | | $ (720,203) | | $ (776,994) | | $ (63,783) |
| Albany International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (14,302) | | (1,325,889) | | (1,337,380) | | (34,862) |
| Allison Transmission Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,742) | | (107,661) | | (141,381) | | (37,963) |
| Ameresco, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (42,764) | | (1,656,618) | | (1,031,895) | | 609,170 |
| Archer Aviation, Inc., Class A | | USFF -10.639% | | Weekly | | MS | | 07/11/28 | | (87,906) | | (453,582) | | (406,126) | | 43,454 |
| Arcosa, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,979) | | (1,184,663) | | (1,286,097) | | (111,869) |
| Argan, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (249) | | (12,536) | | (12,584) | | (170) |
| Astronics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (86) | | (1,593) | | (1,637) | | (69) |
| Atkore, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,973) | | (583,329) | | (756,300) | | (179,386) |
| Ballard Power Systems, Inc. (Canada) | | USFF -1.244% | | Weekly | | MS | | 01/05/26 | | (209,955) | | (1,922,875) | | (583,675) | | 1,322,382 |
| Barnes Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,767) | | (470,545) | | (548,594) | | (85,925) |
| Bloom Energy Corp., Class A | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (39,149) | | (369,340) | | (440,035) | | (73,955) |
| CAE, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,971) | | (119,746) | | (123,241) | | (4,560) |
| ChargePoint Holdings, Inc. | | USFF -16.768% | | Weekly | | MS | | 01/10/28 | | (297,610) | | (1,332,336) | | (565,459) | | 754,896 |
| Construction Partners, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,526) | | (288,271) | | (310,285) | | (24,561) |
| Dycom Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,138) | | (464,318) | | (593,927) | | (143,193) |
| Encore Wire Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,486) | | (347,761) | | (390,491) | | (45,801) |
| Energy Recovery, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,155) | | (168,109) | | (97,187) | | 69,431 |
| Enovix Corp. | | USFF -1.330% | | Weekly | | MS | | 07/11/28 | | (50,575) | | (563,758) | | (405,106) | | 153,680 |
| ESCO Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (150) | | (15,824) | | (16,058) | | (391) |
| Fluor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (40,087) | | (1,525,843) | | (1,694,878) | | (182,472) |
| GATX Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,844) | | (708,335) | | (783,271) | | (91,468) |
| Granite Construction, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,294) | | (259,732) | | (359,576) | | (106,475) |
| Hayward Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,950) | | (216,827) | | (244,195) | | (29,286) |
| Helios Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,115) | | (835,183) | | (675,489) | | 149,409 |
| Herc Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (5,629) | | (697,062) | | (947,361) | | (284,436) |
| Hexcel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,760) | | (416,489) | | (419,616) | | (7,749) |
| Hillenbrand, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,952) | | (151,017) | | (148,456) | | (3,011) |
| JELD-WEN Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (8,394) | | (217,596) | | (178,205) | | 37,743 |
| John Bean Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,758) | | (207,677) | | (184,397) | | 20,876 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Johnson Controls International PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,946) | | $ (761,971) | | $ (780,313) | | $ (28,520) |
| Masonite International Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,638) | | (994,417) | | (1,004,015) | | (18,892) |
| MasTec, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (923) | | (98,256) | | (86,070) | | 11,710 |
| Mercury Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (33,785) | | (1,850,400) | | (996,657) | | 837,450 |
| Moog, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,407) | | (391,454) | | (543,928) | | (160,166) |
| MRC Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (22,248) | | (246,658) | | (279,657) | | (36,620) |
| Mueller Water Products, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (10,792) | | (147,966) | | (173,643) | | (34,637) |
| MYR Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,135) | | (1,362,363) | | (1,614,611) | | (264,247) |
| Nordson Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (848) | | (224,046) | | (232,810) | | (15,131) |
| Northrop Grumman Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,535) | | (2,491,072) | | (2,649,383) | | (187,375) |
| nVent Electric PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,362) | | (251,002) | | (253,495) | | (4,712) |
| Plug Power, Inc. | | USFF -2.972% | | Weekly | | MS | | 01/10/28 | | (188,403) | | (1,339,048) | | (648,106) | | 675,257 |
| Primoris Services Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,752) | | (156,627) | | (244,863) | | (92,948) |
| Rocket Lab USA, Inc. | | USFF -0.718% | | Weekly | | MS | | 07/11/28 | | (143,634) | | (617,337) | | (590,336) | | 21,559 |
| Rockwell Automation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,930) | | (2,778,304) | | (2,892,907) | | (149,004) |
| Rush Enterprises, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (29,401) | | (1,277,074) | | (1,573,542) | | (315,865) |
| Sensata Technologies Holding PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (65,113) | | (2,227,702) | | (2,392,252) | | (185,624) |
| Simpson Manufacturing Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,429) | | (886,309) | | (908,742) | | (33,151) |
| SiteOne Landscape Supply, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,634) | | (847,864) | | (983,415) | | (148,389) |
| Standex International Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,254) | | (221,852) | | (228,504) | | (8,615) |
| Stratasys Ltd. (Israel) | | USFF -1.080% | | Weekly | | MS | | 07/11/28 | | (25,540) | | (315,607) | | (296,775) | | 16,036 |
| Sunrun, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (66,436) | | (1,111,644) | | (875,626) | | 225,976 |
| Symbotic, Inc. | | USFF -3.980% | | Weekly | | MS | | 01/12/29 | | (6,258) | | (253,238) | | (281,610) | | (31,878) |
| Thermon Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,938) | | (140,450) | | (161,571) | | (22,369) |
| Timken Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (23,535) | | (1,956,197) | | (2,057,665) | | (122,963) |
| Titan Machinery, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (14,607) | | (455,366) | | (362,400) | | 89,099 |
| Toro Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,060) | | (1,691,094) | | (1,746,468) | | (79,801) |
| Triumph Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (437) | | (6,633) | | (6,572) | | (12) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| WESCO International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,720) | | $ (1,407,428) | | $ (1,493,562) | | $ (100,414) |
| WillScot Mobile Mini Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (55,635) | | (2,377,069) | | (2,587,027) | | (253,129) |
| Xometry, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (20,006) | | (567,438) | | (337,901) | | 224,533 |
| | | | | | | | | | | (1,886,744) | | (49,934,399) | | (47,872,091) | | 1,418,596 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| Brady Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (889) | | (52,890) | | (52,700) | | (287) |
| CACI International, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,227) | | (1,170,266) | | (1,222,484) | | (63,921) |
| Casella Waste Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,647) | | (1,031,371) | | (1,250,409) | | (230,334) |
| CBIZ, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,214) | | (290,978) | | (409,299) | | (124,042) |
| Clarivate PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (44,290) | | (371,365) | | (329,075) | | 38,723 |
| Clean Harbors, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,727) | | (316,940) | | (347,662) | | (33,658) |
| Concentrix Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,258) | | (1,088,417) | | (877,945) | | 200,423 |
| Dayforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,457) | | (680,021) | | (626,148) | | 48,046 |
| Driven Brands Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (43,854) | | (896,684) | | (692,455) | | 196,329 |
| Exponent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,360) | | (1,562,460) | | (1,435,498) | | 102,345 |
| GFL Environmental, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (40,093) | | (1,292,738) | | (1,383,208) | | (106,764) |
| Insperity, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,124) | | (226,524) | | (232,812) | | (8,292) |
| Kforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,897) | | (180,493) | | (204,296) | | (30,597) |
| Matthews International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (53) | | (1,638) | | (1,647) | | (89) |
| NV5 Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (660) | | (64,891) | | (64,687) | | (377) |
| Paychex, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,604) | | (565,082) | | (565,371) | | (11,249) |
| Paycom Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,932) | | (1,219,654) | | (1,180,527) | | 27,626 |
| Paylocity Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,359) | | (1,233,377) | | (1,092,858) | | 129,302 |
| Pitney Bowes, Inc. | | USFF -0.260% | | Weekly | | MS | | 01/12/29 | | (3,877) | | (16,744) | | (16,787) | | (202) |
| RB Global, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,934) | | (1,037,615) | | (1,213,693) | | (213,146) |
| Rollins, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,809) | | (454,093) | | (453,862) | | (3,683) |
| Stericycle, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,174) | | (874,407) | | (905,928) | | (39,342) |
| Thomson Reuters Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,736) | | (273,869) | | (270,521) | | (582) |
| TransUnion | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,201) | | (502,001) | | (574,640) | | (94,300) |
| UniFirst Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,157) | | (235,625) | | (200,659) | | 32,138 |
| Upwork, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (26,267) | | (327,467) | | (322,033) | | 2,541 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Verra Mobility Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (31,597) | | $ (717,373) | | $ (788,977) | | $ (77,927) |
| Viad Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (18) | | (715) | | (711) | | (13) |
| | | | | | | | | | | (329,415) | | (16,685,698) | | (16,716,892) | | (261,332) |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Advance Auto Parts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,808) | | (725,886) | | (324,023) | | 409,593 |
| Asbury Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,949) | | (876,237) | | (931,095) | | (68,079) |
| AutoNation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,679) | | (836,138) | | (940,329) | | (113,824) |
| Boot Barn Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,859) | | (340,406) | | (367,184) | | (32,585) |
| Buckle, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,180) | | (372,675) | | (329,409) | | 16,017 |
| Burlington Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,185) | | (2,029,530) | | (2,132,665) | | (121,003) |
| Caleres, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (8,239) | | (218,135) | | (338,046) | | (125,519) |
| CarMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,608) | | (138,540) | | (140,073) | | (2,763) |
| Chewy, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (71,413) | | (1,128,699) | | (1,136,181) | | (17,424) |
| Designer Brands, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,236) | | (35,301) | | (35,369) | | (503) |
| Dollar Tree, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,344) | | (810,728) | | (844,704) | | (62,138) |
| Five Below, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,808) | | (1,197,100) | | (1,053,455) | | 152,445 |
| Floor & Decor Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,197) | | (626,155) | | (673,635) | | (53,000) |
| Foot Locker, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (28,957) | | (1,082,320) | | (825,274) | | 217,776 |
| Group 1 Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (201) | | (57,447) | | (58,738) | | (1,694) |
| Leslie's, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (15,287) | | (265,145) | | (99,366) | | 180,590 |
| MarineMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (20,972) | | (627,250) | | (697,529) | | (75,809) |
| Ollie's Bargain Outlet Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,550) | | (363,619) | | (362,044) | | (2,506) |
| O'Reilly Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,479) | | (1,650,209) | | (1,669,614) | | (39,866) |
| Penske Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,097) | | (998,802) | | (987,653) | | (5,695) |
| Petco Health & Wellness Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,610) | | (5,811) | | (5,951) | | (202) |
| RH | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,421) | | (430,094) | | (494,877) | | (68,959) |
| Shoe Carnival, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,958) | | (160,923) | | (218,301) | | (62,993) |
| Sonic Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,766) | | (517,923) | | (556,076) | | (48,698) |
| Tractor Supply Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,396) | | (820,974) | | (888,801) | | (77,358) |
| Victoria's Secret & Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (19,143) | | (839,646) | | (370,991) | | 506,261 |
| Warby Parker, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (30,261) | | (382,029) | | (411,852) | | (33,196) |
| | | | | | | | | | | (286,603) | | (17,537,722) | | (16,893,235) | | 468,868 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Acushnet Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,383) | | $ (600,698) | | $ (618,809) | | $ (23,924) |
| Amer Sports, Inc. (Cayman Islands) | | USFF -1.680% | | Weekly | | MS | | 01/12/29 | | (14,160) | | (224,759) | | (230,808) | | (8,037) |
| Capri Holdings Ltd. (British Virgin Islands) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (51,117) | | (2,507,676) | | (2,315,600) | | 171,425 |
| Cavco Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (563) | | (204,714) | | (224,671) | | (21,769) |
| Gildan Activewear, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (9,179) | | (293,629) | | (340,816) | | (57,119) |
| Levi Strauss & Co., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (83,288) | | (1,350,346) | | (1,664,927) | | (366,090) |
| Oxford Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (772) | | (85,384) | | (86,773) | | (2,151) |
| SharkNinja, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,040) | | (609,091) | | (625,392) | | (21,671) |
| Skyline Champion Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,833) | | (639,080) | | (665,883) | | (32,950) |
| Steven Madden Ltd. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,827) | | (623,432) | | (626,886) | | (10,396) |
| Sturm Ruger & Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,377) | | (106,118) | | (109,699) | | (4,824) |
| Tempur Sealy International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,474) | | (180,199) | | (197,393) | | (21,468) |
| Topgolf Callaway Brands Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (57,769) | | (1,437,034) | | (934,125) | | 500,912 |
| Under Armour, Inc., Class C | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (35,696) | | (295,695) | | (254,869) | | 38,213 |
| Whirlpool Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,023) | | (161,409) | | (122,381) | | 32,569 |
| | | | | | | | | | | (301,501) | | (9,319,264) | | (9,019,032) | | 172,720 |
| Consumer Services | | | | | | | | | | | | | | |
| Airbnb, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,591) | | (1,945,631) | | (2,077,011) | | (221,889) |
| Carnival Corp. (Panama) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (48,290) | | (814,088) | | (789,059) | | 17,855 |
| Chegg, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (75,410) | | (1,099,263) | | (570,854) | | 518,726 |
| Chipotle Mexican Grill, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (383) | | (1,117,427) | | (1,113,293) | | (5,709) |
| Choice Hotels International, Inc. | | USFF -0.980% | | Weekly | | MS | | 01/12/29 | | (4,976) | | (611,377) | | (628,718) | | (22,730) |
| Churchill Downs, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (8,955) | | (1,084,903) | | (1,108,181) | | (36,506) |
| Coursera, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (24,230) | | (356,470) | | (339,705) | | 13,618 |
| Dave & Buster's Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,389) | | (129,630) | | (149,551) | | (22,229) |
| First Watch Restaurant Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,675) | | (285,087) | | (336,679) | | (54,111) |
| Hilton Worldwide Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,881) | | (1,528,673) | | (1,681,096) | | (169,699) |
| Hyatt Hotels Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,453) | | (677,579) | | (870,408) | | (230,065) |
| Krispy Kreme, Inc. | | USFF -0.880% | | Weekly | | MS | | 07/08/27 | | (102,972) | | (1,415,656) | | (1,568,778) | | (174,284) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Mister Car Wash, Inc. | | USFF -0.630% | | Weekly | | MS | | 01/07/27 | | (98,862) | | $ (936,183) | | $ (766,180) | | $ 161,754 |
| Papa John's International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,347) | | (366,838) | | (289,510) | | 67,090 |
| Penn Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (37,668) | | (671,471) | | (685,934) | | (20,382) |
| Portillo's, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (56,638) | | (1,140,476) | | (803,127) | | 327,318 |
| Red Rock Resorts, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (28,128) | | (1,264,043) | | (1,682,617) | | (509,859) |
| Restaurant Brands International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,456) | | (515,302) | | (512,929) | | (10,102) |
| Texas Roadhouse, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,600) | | (475,494) | | (556,092) | | (98,132) |
| United Parks & Resorts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,776) | | (249,171) | | (268,459) | | (21,839) |
| Wingstop, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,992) | | (1,746,376) | | (2,195,469) | | (493,960) |
| | | | | | | | | | | (553,672) | | (18,431,138) | | (18,993,650) | | (985,135) |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| BJ's Wholesale Club Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,174) | | (1,050,774) | | (1,072,263) | | (34,831) |
| Casey's General Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,564) | | (2,213,196) | | (2,408,756) | | (216,950) |
| Chefs' Warehouse, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,835) | | (600,881) | | (671,666) | | (77,125) |
| Maplebear, Inc. | | USFF -1.080% | | Weekly | | MS | | 01/12/29 | | (17,996) | | (662,081) | | (671,071) | | (14,826) |
| PriceSmart, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,373) | | (532,343) | | (619,332) | | (96,989) |
| SpartanNash Co. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (18,936) | | (576,000) | | (382,697) | | 167,392 |
| Sprouts Farmers Market, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,189) | | (419,579) | | (656,987) | | (249,464) |
| United Natural Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (15,973) | | (439,133) | | (183,530) | | 251,728 |
| | | | | | | | | | | (110,040) | | (6,493,987) | | (6,666,302) | | (271,065) |
| Energy | | | | | | | | | | | | | | |
| Antero Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,615) | | (150,104) | | (162,835) | | (19,710) |
| Atlas Energy Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (24,606) | | (428,434) | | (556,588) | | (138,233) |
| Baytex Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (326,703) | | (1,071,447) | | (1,185,932) | | (140,821) |
| Bristow Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (783) | | (20,382) | | (21,298) | | (1,106) |
| Cactus, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (9,086) | | (448,000) | | (455,118) | | (20,196) |
| Civitas Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,751) | | (1,225,747) | | (1,347,478) | | (204,857) |
| Clean Energy Fuels Corp. | | USFF -0.256% | | Weekly | | MS | | 07/11/28 | | (130,650) | | (477,297) | | (350,142) | | 122,945 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Comstock Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (163,256) | | $(1,620,468) | | $(1,515,016) | | $ 60,808 |
| Core Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (16,325) | | (467,649) | | (278,831) | | 184,628 |
| Crescent Energy Co., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (25,551) | | (296,912) | | (304,057) | | (12,893) |
| Crescent Point Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (144,600) | | (983,651) | | (1,184,274) | | (227,384) |
| CVR Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,969) | | (250,130) | | (248,515) | | (597) |
| Diamond Offshore Drilling, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (40,718) | | (605,625) | | (555,394) | | 45,445 |
| Dril-Quip, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,872) | | (219,113) | | (222,416) | | (5,835) |
| DT Midstream, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,141) | | (672,948) | | (802,915) | | (190,364) |
| Energy Fuels, Inc. (Canada) | | USFF -1.480% | | Weekly | | MS | | 07/11/28 | | (50,544) | | (369,160) | | (317,922) | | 48,382 |
| EQT Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (31,241) | | (1,115,999) | | (1,158,104) | | (53,017) |
| Expro Group Holdings NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (44,942) | | (823,618) | | (897,492) | | (81,131) |
| Green Plains, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,914) | | (286,704) | | (206,092) | | 78,079 |
| Hess Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,337) | | (658,758) | | (662,000) | | (19,756) |
| HF Sinclair Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,845) | | (847,556) | | (896,193) | | (61,066) |
| Kinetik Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (23,314) | | (866,053) | | (929,529) | | (185,606) |
| Kosmos Energy Ltd. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (55,792) | | (420,665) | | (332,520) | | 84,433 |
| New Fortress Energy, Inc. | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (26,908) | | (1,236,896) | | (823,116) | | 317,185 |
| NexGen Energy Ltd. (Canada) | | USFF -0.830% | | Weekly | | MS | | 07/11/28 | | (36,773) | | (255,888) | | (285,726) | | (39,240) |
| NextDecade Corp. | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (8,483) | | (45,854) | | (48,183) | | (2,744) |
| North American Construction Group Ltd. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (1,501) | | (35,347) | | (33,442) | | 1,496 |
| Northern Oil and Gas, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (16,558) | | (619,163) | | (657,021) | | (53,942) |
| NOV, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (44,867) | | (835,491) | | (875,804) | | (58,576) |
| Oceaneering International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,681) | | (326,282) | | (320,135) | | 2,331 |
| ONEOK, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,379) | | (1,484,532) | | (1,713,954) | | (256,767) |
| Ovintiv, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,662) | | (466,368) | | (501,458) | | (73,447) |
| Par Pacific Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,349) | | (433,998) | | (420,594) | | 9,571 |
| Patterson-UTI Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (107,032) | | (1,215,819) | | (1,277,962) | | (92,479) |
| Permian Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (69,751) | | (1,092,127) | | (1,231,803) | | (173,778) |
| ProFrac Holding Corp., Class A | | USFF -0.930% | | Weekly | | MS | | 07/08/27 | | (55,742) | | (637,908) | | (466,003) | | 165,669 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| ProPetro Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (132,112) | | $ (1,194,025) | | $ (1,067,465) | | $ 115,933 |
| Range Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,484) | | (472,647) | | (498,684) | | (34,206) |
| RPC, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,855) | | (159,501) | | (138,198) | | 19,169 |
| Seadrill Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (224) | | (11,141) | | (11,267) | | (235) |
| SFL Corp. Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,262) | | (148,603) | | (174,793) | | (39,923) |
| SilverBow Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (16,475) | | (651,832) | | (562,456) | | 83,629 |
| Southwestern Energy Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (152,481) | | (1,065,710) | | (1,155,806) | | (105,184) |
| Suncor Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (40,409) | | (1,392,290) | | (1,491,496) | | (119,487) |
| Talos Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (72,279) | | (1,017,666) | | (1,006,846) | | 511 |
| Uranium Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (51,913) | | (339,740) | | (350,413) | | (13,673) |
| Valaris Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,625) | | (588,791) | | (649,117) | | (66,741) |
| Vermilion Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (35,770) | | (470,111) | | (444,979) | | 10,047 |
| Vital Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,295) | | (657,039) | | (698,519) | | (49,099) |
| Williams Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (36,008) | | (1,311,517) | | (1,403,232) | | (140,884) |
| World Kinect Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (15,674) | | (424,619) | | (414,577) | | (8,980) |
| | | | | | | | | | | (2,214,107) | | (32,917,325) | | (33,313,710) | | (1,341,696) |
| Financial Services | | | | | | | | | | | | | | |
| I3 Verticals, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (71) | | (1,624) | | (1,625) | | (831) |
| Jack Henry & Associates, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (822) | | (137,549) | | (142,806) | | (7,513) |
| MarketAxess Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (620) | | (134,407) | | (135,935) | | (2,722) |
| Marqeta, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (96,865) | | (576,167) | | (577,315) | | (6,229) |
| Nasdaq, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (42,847) | | (2,540,730) | | (2,703,646) | | (190,626) |
| Remitly Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (76,734) | | (1,497,950) | | (1,591,463) | | (111,979) |
| WEX, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,910) | | (991,044) | | (1,166,272) | | (191,939) |
| | | | | | | | | | | (222,869) | | (5,879,471) | | (6,319,062) | | (511,839) |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Brown-Forman Corp., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,522) | | (297,295) | | (233,426) | | 58,797 |
| Cal-Maine Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (31,341) | | (1,750,978) | | (1,844,418) | | (115,093) |
| Darling Ingredients, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (45,815) | | (3,021,543) | | (2,130,856) | | 862,886 |
| Duckhorn Portfolio, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (22,358) | | (205,818) | | (208,153) | | (4,157) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Flowers Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,169) | | $ (443,601) | | $ (407,764) | | $ 16,274 |
| Hain Celestial Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (22,637) | | (468,484) | | (177,927) | | 299,206 |
| Hershey Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,648) | | (1,518,446) | | (1,487,536) | | 19,312 |
| J M Smucker Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (26,875) | | (3,306,290) | | (3,382,756) | | (105,568) |
| John B Sanfilippo & Son, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,420) | | (145,654) | | (150,406) | | (6,045) |
| Lamb Weston Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,616) | | (1,897,819) | | (1,876,632) | | (1,651) |
| Mission Produce, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,038) | | (35,012) | | (24,191) | | 11,132 |
| Monster Beverage Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,827) | | (172,139) | | (167,585) | | 6,162 |
| PepsiCo, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (22,436) | | (3,860,965) | | (3,926,524) | | (99,227) |
| Pilgrim's Pride Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (31,419) | | (791,400) | | (1,078,300) | | (304,800) |
| Post Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,438) | | (990,733) | | (1,003,071) | | (21,761) |
| TreeHouse Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17,731) | | (656,142) | | (690,622) | | (40,265) |
| Universal Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,222) | | (62,133) | | (63,202) | | (1,627) |
| | | | | | | | | | | (284,512) | | (19,624,452) | | (18,853,369) | | 573,575 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Acadia Healthcare Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,855) | | (1,124,422) | | (1,097,593) | | 14,682 |
| AdaptHealth Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (4,436) | | (124,247) | | (51,058) | | 89,820 |
| Agiliti, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,120) | | (132,151) | | (72,054) | | 58,892 |
| agilon health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (105,306) | | (822,291) | | (642,367) | | 172,678 |
| Alcon, Inc. (Switzerland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,754) | | (1,174,470) | | (1,145,571) | | 15,459 |
| Alphatec Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (33,867) | | (453,204) | | (467,026) | | (17,821) |
| Amedisys, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,009) | | (281,497) | | (277,309) | | 1,788 |
| AMN Healthcare Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,791) | | (404,596) | | (424,505) | | (23,546) |
| Cooper Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,827) | | (844,752) | | (895,587) | | (62,272) |
| CorVel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (154) | | (39,498) | | (40,496) | | (1,357) |
| DENTSPLY SIRONA, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (14,605) | | (581,322) | | (484,740) | | 89,600 |
| Dexcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (25,961) | | (3,405,562) | | (3,600,791) | | (225,205) |
| Doximity, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,892) | | (497,780) | | (373,834) | | 125,126 |
| Edwards Lifesciences Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (28,532) | | (2,483,939) | | (2,726,518) | | (272,379) |
| Ensign Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,401) | | (340,231) | | (423,152) | | (87,613) |
| Envista Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (131) | | (5,383) | | (2,801) | | 2,543 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Globus Medical, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (23,242) | | $(1,199,657) | | $(1,246,701) | | $ (61,465) |
| GoodRx Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (24,198) | | (175,257) | | (171,806) | | 1,661 |
| Guardant Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,743) | | (137,885) | | (159,738) | | (23,077) |
| Henry Schein, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32,674) | | (2,462,091) | | (2,467,540) | | (27,124) |
| ICU Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7) | | (1,299) | | (751) | | 525 |
| Inspire Medical Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,285) | | (502,637) | | (705,585) | | (212,539) |
| Insulet Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,268) | | (296,265) | | (217,335) | | 76,312 |
| Integer Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,576) | | (1,047,276) | | (1,117,328) | | (79,277) |
| Integra LifeSciences Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,869) | | (323,692) | | (278,956) | | 43,353 |
| Intuitive Surgical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,523) | | (1,349,667) | | (1,405,994) | | (73,462) |
| iRhythm Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,934) | | (753,648) | | (804,344) | | (57,339) |
| Laboratory Corp. of America Holdings | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,019) | | (659,623) | | (659,531) | | (5,370) |
| LifeStance Health Group, Inc. | | USFF -0.680% | | Weekly | | MS | | 07/11/28 | | (25,275) | | (182,081) | | (155,947) | | 24,884 |
| LivaNova PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,186) | | (318,878) | | (346,045) | | (33,945) |
| Masimo Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,536) | | (931,901) | | (959,812) | | (40,962) |
| Multiplan Corp. | | USFF -0.308% | | Weekly | | MS | | 07/11/28 | | (41,838) | | (69,237) | | (33,939) | | 34,702 |
| Neogen Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (33,986) | | (617,909) | | (536,299) | | 76,135 |
| Nevro Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (38,448) | | (1,010,903) | | (555,189) | | 447,278 |
| Novocure Ltd. (Jersey) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (102,635) | | (2,441,505) | | (1,604,185) | | 815,453 |
| Option Care Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,112) | | (478,284) | | (473,316) | | 688 |
| Patterson Cos., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,906) | | (551,355) | | (522,751) | | 21,628 |
| PROCEPT BioRobotics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,866) | | (285,407) | | (388,738) | | (107,303) |
| Progyny, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,968) | | (73,924) | | (75,079) | | (1,817) |
| QuidelOrtho Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (19,891) | | (1,433,415) | | (953,575) | | 467,217 |
| RadNet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,860) | | (87,618) | | (139,168) | | (63,215) |
| Schrodinger, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (26,925) | | (954,112) | | (726,975) | | 218,731 |
| Shockwave Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,911) | | (1,823,874) | | (2,576,059) | | (768,244) |
| SI-BONE, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,483) | | (38,957) | | (40,647) | | (2,044) |
| STAAR Surgical Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (14,088) | | (816,618) | | (539,289) | | 272,331 |
| STERIS PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,549) | | (585,308) | | (573,066) | | 5,896 |
| Tandem Diabetes Care, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (29,718) | | (1,468,230) | | (1,052,314) | | 386,889 |
| Teladoc Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,813) | | (376,573) | | (329,376) | | 43,872 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Treace Medical Concepts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (34,056) | | $ (544,529) | | $ (444,431) | | $ 95,296 |
| US Physical Therapy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,730) | | (199,936) | | (195,265) | | (2,463) |
| Veeva Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,270) | | (1,139,441) | | (1,221,006) | | (101,045) |
| | | | | | | | | | | (874,029) | | (38,054,337) | | (36,403,482) | | 1,252,555 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Beauty Health Co. (The) | | USFF -0.653% | | Weekly | | MS | | 01/12/29 | | (2,835) | | (12,673) | | (12,587) | | (37) |
| Church & Dwight Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (25,415) | | (2,574,887) | | (2,651,039) | | (109,158) |
| Edgewell Personal Care Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (906) | | (40,379) | | (35,008) | | 5,005 |
| elf Beauty, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,217) | | (2,322,657) | | (2,590,929) | | (341,101) |
| Inter Parfums, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,328) | | (763,940) | | (748,637) | | 5,754 |
| | | | | | | | | | | (47,701) | | (5,714,536) | | (6,038,200) | | (439,537) |
| Materials | | | | | | | | | | | | | | |
| AdvanSix, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (46) | | (1,303) | | (1,316) | | (35) |
| Air Products and Chemicals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,666) | | (2,109,466) | | (1,857,242) | | 204,261 |
| Albemarle Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (10,009) | | (1,538,675) | | (1,318,586) | | 99,229 |
| Alcoa Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,796) | | (145,554) | | (162,057) | | (18,767) |
| Algoma Steel Group, Inc. (Canada) | | USFF -2.380% | | Weekly | | MS | | 01/10/28 | | (42,733) | | (343,082) | | (362,803) | | (32,397) |
| Ashland, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,737) | | (724,666) | | (655,982) | | 50,966 |
| Century Aluminum Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,411) | | (124,603) | | (160,225) | | (40,409) |
| Coeur Mining, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (588,762) | | (2,885,594) | | (2,219,633) | | 632,873 |
| Commercial Metals Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,562) | | (606,534) | | (679,499) | | (80,393) |
| Compass Minerals International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,850) | | (98,549) | | (76,339) | | 21,087 |
| Corteva, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,371) | | (342,468) | | (309,746) | | 26,394 |
| DuPont de Nemours, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,584) | | (992,041) | | (1,041,485) | | (62,447) |
| Ecovyst, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,479) | | (36,145) | | (38,791) | | (2,975) |
| Equinox Gold Corp. (Canada) | | USFF -0.830% | | Weekly | | MS | | 07/23/25 | | (254,737) | | (1,902,587) | | (1,533,517) | | 351,249 |
| ERO Copper Corp. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (399) | | (7,498) | | (7,693) | | (272) |
| First Majestic Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (102,013) | | (601,462) | | (599,836) | | (10,419) |
| FMC Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (60,876) | | (3,888,773) | | (3,877,801) | | (101,956) |
| Ginkgo Bioworks Holdings, Inc. | | USFF -6.197% | | Weekly | | MS | | 07/11/28 | | (391,094) | | (519,467) | | (453,669) | | 61,216 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Graphic Packaging Holding Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,211) | | $ (344,692) | | $ (385,497) | | $ (45,158) |
| Hawkins, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (546) | | (41,717) | | (41,933) | | (594) |
| Hecla Mining Co. | | USFF -0.247% | | Weekly | | MS | | 07/08/27 | | (194,668) | | (933,335) | | (936,353) | | (13,300) |
| Hudbay Minerals, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (44,569) | | (218,647) | | (311,983) | | (100,237) |
| IAMGOLD Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (164,358) | | (414,433) | | (547,312) | | (141,591) |
| Ingevity Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,745) | | (1,072,035) | | (751,036) | | 313,903 |
| Louisiana-Pacific Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,985) | | (132,433) | | (166,561) | | (42,087) |
| LSB Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,385) | | (11,286) | | (12,160) | | (984) |
| MAG Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (22,589) | | (216,756) | | (238,992) | | (24,155) |
| Mativ Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (137) | | (5,338) | | (2,569) | | 2,209 |
| Methanex Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (17,631) | | (752,094) | | (786,872) | | (58,039) |
| Mosaic Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (15,637) | | (495,568) | | (507,577) | | (16,702) |
| MP Materials Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (47,853) | | (963,083) | | (684,298) | | 270,300 |
| Newmont Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (103,970) | | (3,470,881) | | (3,726,285) | | (304,526) |
| Nutrien Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,358) | | (742,236) | | (616,853) | | 100,063 |
| O-I Glass, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,907) | | (406,829) | | (363,437) | | 39,603 |
| Pan American Silver Corp. (Canada) | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (18,213) | | (303,227) | | (274,652) | | 19,317 |
| Radius Recycling, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (11,557) | | (517,672) | | (244,199) | | 255,387 |
| Ryerson Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,844) | | (89,676) | | (95,274) | | (6,496) |
| Sandstorm Gold Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (92,729) | | (527,315) | | (486,827) | | 31,661 |
| Sensient Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (8,714) | | (643,004) | | (602,922) | | 17,558 |
| Silgan Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,245) | | (505,391) | | (546,057) | | (53,596) |
| Southern Copper Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,438) | | (450,809) | | (472,736) | | (25,904) |
| SSR Mining, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (121,563) | | (1,693,139) | | (542,171) | | 1,137,304 |
| Stepan Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (4,673) | | (544,589) | | (420,757) | | 104,760 |
| Sylvamo Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (6,325) | | (329,743) | | (390,506) | | (66,933) |
| Teck Resources Ltd., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,371) | | (479,562) | | (520,564) | | (51,687) |
| TriMas Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,360) | | (84,250) | | (89,813) | | (6,315) |
| Tronox Holdings PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (98,754) | | (1,320,902) | | (1,713,382) | | (434,263) |
| United States Lime & Minerals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (96) | | (28,572) | | (28,621) | | (312) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| United States Steel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (70,111) | | $ (3,197,156) | | $ (2,859,127) | | $ 305,386 |
| Wheaton Precious Metals Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,020) | | (404,768) | | (425,113) | | (23,918) |
| | | | | | | | | | | (2,671,687) | | (38,209,605) | | (35,148,659) | | 2,277,859 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Altice USA, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (54,844) | | (380,860) | | (143,143) | | 242,685 |
| Angi, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/23/25 | | (63,960) | | (924,856) | | (167,575) | | 757,705 |
| Bumble, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,616) | | (63,028) | | (63,742) | | (1,280) |
| EchoStar Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (72,587) | | (2,517,359) | | (1,034,365) | | 1,460,834 |
| Endeavor Group Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (100,189) | | (2,456,179) | | (2,577,863) | | (154,027) |
| Fox Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (19,630) | | (591,136) | | (613,830) | | (29,867) |
| IAC, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (4,012) | | (290,033) | | (214,000) | | 74,967 |
| Integral Ad Science Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,012) | | (236,424) | | (169,610) | | 64,723 |
| Lions Gate Entertainment Corp., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (31,138) | | (367,781) | | (289,895) | | 74,639 |
| Madison Square Garden Entertainment Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,421) | | (183,633) | | (212,557) | | (33,662) |
| Madison Square Garden Sports Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,070) | | (751,477) | | (750,996) | | (6,477) |
| Magnite, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (38,867) | | (384,419) | | (417,820) | | (39,471) |
| Nexstar Media Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,283) | | (719,816) | | (737,918) | | (28,634) |
| Paramount Global, Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (35,275) | | (542,623) | | (415,187) | | 115,701 |
| Scholastic Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,156) | | (130,236) | | (119,013) | | 7,906 |
| Shutterstock, Inc. | | USFF -0.680% | | Weekly | | MS | | 01/12/29 | | (2,921) | | (146,435) | | (133,811) | | 11,783 |
| Snap, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (184,257) | | (2,068,073) | | (2,115,270) | | (65,405) |
| Stagwell, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,963) | | (28,155) | | (30,870) | | (2,974) |
| Taboola.com Ltd. (Israel) | | USFF -0.730% | | Weekly | | MS | | 01/12/29 | | (12,670) | | (55,179) | | (56,255) | | (1,572) |
| Take-Two Interactive Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,519) | | (1,822,861) | | (1,858,946) | | (52,135) |
| TKO Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (22,492) | | (1,874,185) | | (1,943,534) | | (85,851) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Vivid Seats, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (16,618) | | $ (94,651) | | $ (99,542) | | $ (5,735) |
| Ziff Davis, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,100) | | (155,038) | | (132,384) | | 22,832 |
| | | | | | | | | | | (718,600) | | (16,784,437) | | (14,298,126) | | 2,326,685 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbCellera Biologics, Inc. (Canada) | | USFF -1.688% | | Weekly | | MS | | 07/11/28 | | (62,923) | | (329,869) | | (285,041) | | 41,914 |
| Arcturus Therapeutics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,119) | | (74,660) | | (71,559) | | 2,434 |
| Arcus Biosciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,724) | | (29,379) | | (32,549) | | (3,440) |
| Arrowhead Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (37,126) | | (1,060,660) | | (1,061,804) | | (10,487) |
| Aurinia Pharmaceuticals, Inc. (Canada) | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (29,297) | | (155,100) | | (146,778) | | 6,946 |
| Avantor, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (20,750) | | (487,199) | | (530,577) | | (56,542) |
| Axsome Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,955) | | (202,507) | | (235,809) | | (35,095) |
| Bausch Health Cos., Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (138,522) | | (1,176,000) | | (1,469,718) | | (304,077) |
| Biogen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,310) | | (970,213) | | (929,365) | | 32,945 |
| BioMarin Pharmaceutical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,613) | | (234,099) | | (228,219) | | 4,033 |
| Bio-Techne Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,433) | | (1,251,237) | | (1,156,719) | | 80,695 |
| Bridgebio Pharma, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,649) | | (306,884) | | (329,267) | | (26,595) |
| Cabaletta Bio, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,500) | | (25,738) | | (25,590) | | (90) |
| Catalent, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (12,627) | | (1,391,181) | | (712,794) | | 667,424 |
| Charles River Laboratories International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,251) | | (814,793) | | (880,858) | | (75,206) |
| Cytek Biosciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (51,123) | | (562,978) | | (343,035) | | 214,978 |
| Denali Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,998) | | (140,356) | | (164,119) | | (28,068) |
| Disc Medicine, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (747) | | (44,784) | | (46,508) | | (2,130) |
| Fortrea Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,471) | | (213,399) | | (219,606) | | (10,047) |
| Geron Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (219,478) | | (473,337) | | (724,277) | | (260,772) |
| HilleVax, Inc. | | USFF -0.580% | | Weekly | | MS | | 01/12/29 | | (141) | | (2,273) | | (2,345) | | (103) |
| Immatics NV (Netherlands) | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (6,397) | | (76,186) | | (67,232) | | 8,272 |
| Intellia Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (20,005) | | (558,637) | | (550,338) | | 3,373 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Jazz Pharmaceuticals PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,173) | | $(1,723,449) | | $(1,706,713) | | $ 14 |
| MacroGenics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,822) | | (41,243) | | (41,540) | | (671) |
| Maravai LifeSciences Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (152,786) | | (1,197,935) | | (1,324,655) | | (137,949) |
| Mesa Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/23/25 | | (1,257) | | (324,107) | | (137,931) | | 182,992 |
| Mirum Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (383) | | (9,680) | | (9,621) | | (37) |
| Morphic Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (682) | | (22,651) | | (24,006) | | (1,566) |
| Olema Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (172) | | (1,938) | | (1,947) | | (55) |
| Organon & Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (35,247) | | (596,450) | | (662,644) | | (93,379) |
| Pacific Biosciences of California, Inc. | | USFF -0.266% | | Weekly | | MS | | 01/12/29 | | (6,393) | | (22,967) | | (23,974) | | (1,220) |
| Pacira BioSciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,518) | | (341,838) | | (336,556) | | 2,253 |
| Pfizer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (120,386) | | (3,301,656) | | (3,340,711) | | (69,806) |
| Phathom Pharmaceuticals, Inc. | | USFF -5.230% | | Weekly | | MS | | 01/12/29 | | (1,445) | | (15,584) | | (15,346) | | 90 |
| Pliant Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (29,779) | | (593,930) | | (443,707) | | 144,986 |
| Prothena Corp. PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,502) | | (348,732) | | (185,825) | | 159,828 |
| PTC Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,471) | | (147,530) | | (159,151) | | (17,187) |
| Relay Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,925) | | (46,537) | | (49,178) | | (3,061) |
| Repligen Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,093) | | (1,348,077) | | (1,304,545) | | 28,416 |
| Revance Therapeutics, Inc. | | USFF -0.267% | | Weekly | | MS | | 07/11/28 | | (47,745) | | (598,156) | | (234,905) | | 357,977 |
| Revvity, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,708) | | (838,442) | | (809,340) | | 20,771 |
| SIGA Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,004) | | (8,449) | | (8,594) | | (462) |
| Sotera Health Co. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (44,241) | | (837,376) | | (531,334) | | 304,216 |
| Supernus Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,686) | | (179,982) | | (193,949) | | (15,922) |
| Tango Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,133) | | (17,146) | | (16,936) | | 48 |
| Tilray Brands, Inc. | | USFF -7.350% | | Weekly | | MS | | 07/11/28 | | (311,822) | | (567,532) | | (770,200) | | (207,673) |
| Travere Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (870) | | (12,218) | | (6,708) | | 5,392 |
| Vaxcyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,343) | | (158,628) | | (160,050) | | (2,829) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Veracyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,046) | | $ (22,231) | | $ (23,179) | | $ (1,155) |
| Vericel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,990) | | (179,118) | | (207,560) | | (30,476) |
| Viridian Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,415) | | (199,566) | | (129,837) | | 67,963 |
| West Pharmaceutical Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,615) | | (1,418,430) | | (1,430,492) | | (24,553) |
| Xencor, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,946) | | (200,426) | | (131,585) | | 68,401 |
| Xenon Pharmaceuticals, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (641) | | (27,398) | | (27,595) | | (449) |
| Zymeworks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,291) | | (70,819) | | (66,181) | | 4,003 |
| | | | | | | | | | | (1,513,689) | | (26,001,690) | | (24,730,602) | | 989,262 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Allegro MicroSystems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,008) | | (342,051) | | (296,776) | | 46,031 |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (9,236) | | (233,693) | | (203,561) | | 28,064 |
| Ambarella, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,529) | | (592,048) | | (382,247) | | 207,939 |
| Analog Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,873) | | (963,764) | | (963,831) | | (21,287) |
| Diodes, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,218) | | (358,082) | | (367,869) | | (12,949) |
| Enphase Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,911) | | (1,417,662) | | (1,320,013) | | 88,686 |
| First Solar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,067) | | (893,315) | | (1,024,110) | | (151,869) |
| FormFactor, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (13,781) | | (505,040) | | (628,827) | | (131,997) |
| Ichor Holdings Ltd. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (6,159) | | (211,557) | | (237,861) | | (30,753) |
| Impinj, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,443) | | (238,086) | | (313,706) | | (80,345) |
| indie Semiconductor, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,258) | | (27,187) | | (30,147) | | (3,210) |
| Kulicke & Soffa Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,154) | | (155,186) | | (158,678) | | (5,074) |
| Lattice Semiconductor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,280) | | (1,075,156) | | (1,117,124) | | (59,561) |
| MACOM Technology Solutions Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (24,823) | | (2,143,205) | | (2,374,072) | | (249,736) |
| Marvell Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,693) | | (238,437) | | (261,760) | | (35,686) |
| MaxLinear, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (78,139) | | (1,663,305) | | (1,458,855) | | 189,804 |
| Power Integrations, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (19,317) | | (1,582,632) | | (1,382,131) | | 175,705 |
| Semtech Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (20,173) | | (456,863) | | (554,556) | | (108,170) |
| Silicon Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,697) | | (1,103,990) | | (1,106,213) | | (12,510) |
| SiTime Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,835) | | (476,056) | | (450,767) | | 21,090 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| Teradyne, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (657) | | $ (73,924) | | $ (74,129) | | $ (867) |
| Texas Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,621) | | (3,030,908) | | (3,069,754) | | (95,792) |
| Ultra Clean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,241) | | (146,463) | | (194,832) | | (54,558) |
| Universal Display Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,676) | | (812,191) | | (787,672) | | 14,792 |
| Veeco Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,916) | | (139,063) | | (137,726) | | (47) |
| Wolfspeed, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (26,232) | | (893,516) | | (773,844) | | 111,799 |
| | | | | | | | | | | (314,937) | | (19,773,380) | | (19,671,061) | | (170,501) |
| Software & Services | | | | | | | | | | | | | | |
| A10 Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,037) | | (138,259) | | (137,407) | | (376) |
| ACI Worldwide, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,076) | | (368,819) | | (434,254) | | (70,638) |
| Agilysys, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,388) | | (180,278) | | (201,213) | | (22,832) |
| Akamai Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,322) | | (390,338) | | (361,301) | | 27,663 |
| Amplitude, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,948) | | (43,816) | | (42,954) | | 465 |
| Appian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,899) | | (259,386) | | (275,615) | | (21,860) |
| AppLovin Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,250) | | (677,526) | | (778,725) | | (127,845) |
| Asana, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (34,673) | | (615,018) | | (537,085) | | 72,668 |
| Aspen Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,580) | | (513,444) | | (550,262) | | (41,347) |
| Atlassian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,179) | | (837,458) | | (815,365) | | 14,714 |
| Bentley Systems, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,593) | | (289,057) | | (292,066) | | (5,563) |
| BigCommerce Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (17,847) | | (157,380) | | (122,966) | | 33,251 |
| BILL Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,566) | | (1,309,044) | | (1,275,856) | | 17,476 |
| Braze, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (599) | | (27,320) | | (26,536) | | 533 |
| Cerence, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,174) | | (373,105) | | (254,741) | | 115,070 |
| Cipher Mining, Inc. | | USFF -3.680% | | Weekly | | MS | | 01/12/29 | | (54,495) | | (185,638) | | (280,649) | | (131,573) |
| Clearwater Analytics Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32,788) | | (558,116) | | (580,020) | | (26,825) |
| DigitalOcean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,030) | | (151,445) | | (153,865) | | (4,088) |
| Dolby Laboratories, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,490) | | (376,042) | | (376,127) | | (3,427) |
| DoubleVerify Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (16,957) | | (693,223) | | (596,208) | | 94,016 |
| Elastic NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,900) | | (796,269) | | (791,896) | | (2,644) |
| Envestnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (7,174) | | (584,868) | | (415,446) | | 171,695 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Fair Isaac Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (158) | | $ (209,642) | | $ (197,438) | | $ 14,960 |
| Fastly, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (45,217) | | (608,474) | | (586,464) | | 16,645 |
| Five9, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (33,023) | | (2,010,687) | | (2,051,059) | | (58,074) |
| Freshworks, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (547) | | (9,934) | | (9,961) | | (126) |
| Gartner, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,811) | | (856,478) | | (863,249) | | (14,931) |
| Grid Dynamics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (722) | | (8,862) | | (8,873) | | (101) |
| HashiCorp., Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,849) | | (386,763) | | (373,231) | | 9,797 |
| Intapp, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,614) | | (335,871) | | (329,760) | | 3,145 |
| Jamf Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (8,123) | | (295,597) | | (149,057) | | 144,893 |
| Lightspeed Commerce, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (52,296) | | (1,409,847) | | (735,282) | | 662,150 |
| Matterport, Inc. | | USFF -0.256% | | Weekly | | MS | | 01/12/29 | | (479) | | (1,074) | | (1,083) | | (29) |
| Model N, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,602) | | (170,048) | | (187,959) | | (19,418) |
| nCino, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,501) | | (223,663) | | (280,387) | | (65,695) |
| Olo, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (59,013) | | (430,388) | | (323,981) | | 102,589 |
| Open Text Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,690) | | (200,525) | | (182,113) | | 13,594 |
| PowerSchool Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,156) | | (489,827) | | (450,411) | | 35,537 |
| RingCentral, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,495) | | (197,081) | | (225,636) | | (31,499) |
| SentinelOne, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (29,528) | | (671,505) | | (688,298) | | (22,713) |
| Snowflake, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,161) | | (2,292,924) | | (2,126,818) | | 143,708 |
| Sprinklr, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (44,764) | | (601,633) | | (549,254) | | 47,494 |
| Sprout Social, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,123) | | (179,745) | | (186,474) | | (8,322) |
| Workiva, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,471) | | (659,685) | | (633,541) | | 20,328 |
| Zscaler, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,002) | | (2,021,534) | | (1,926,685) | | 77,051 |
| | | | | | | | | | | (658,310) | | (23,797,636) | | (22,367,571) | | 1,159,516 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| ADTRAN Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (41,040) | | (791,913) | | (223,258) | | 598,046 |
| Advanced Energy Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,267) | | (942,924) | | (843,069) | | 90,130 |
| Avnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (13,931) | | (639,041) | | (690,699) | | (75,303) |
| Belden, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,060) | | (626,040) | | (653,827) | | (34,255) |
| Benchmark Electronics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (7,680) | | (204,858) | | (230,477) | | (38,397) |
| Calix, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,084) | | (565,703) | | (467,025) | | 93,962 |
| Celestica, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,781) | | (536,092) | | (619,318) | | (107,733) |
| Cognex Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (45,897) | | (1,858,212) | | (1,946,951) | | (106,206) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| Coherent Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,294) | | $ (303,550) | | $ (320,922) | | $ (38,720) |
| Harmonic, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (99,744) | | (1,055,937) | | (1,340,559) | | (298,210) |
| Infinera Corp. | | USFF -0.580% | | Weekly | | MS | | 01/12/29 | | (19,213) | | (95,417) | | (115,854) | | (21,288) |
| Juniper Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (20,882) | | (773,970) | | (773,887) | | (12,313) |
| Lumentum Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (19,435) | | (1,143,047) | | (920,247) | | 212,732 |
| Novanta, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,870) | | (301,570) | | (326,820) | | (28,752) |
| OSI Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (190) | | (26,769) | | (27,136) | | (613) |
| Sanmina Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,238) | | (665,980) | | (760,959) | | (108,130) |
| Teledyne Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,183) | | (520,178) | | (507,886) | | 7,908 |
| Ubiquiti, Inc. | | USFF -0.580% | | Weekly | | MS | | 01/07/27 | | (4,847) | | (1,252,693) | | (561,525) | | 666,724 |
| Viasat, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (31,062) | | (937,704) | | (561,912) | | 367,530 |
| Viavi Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (52,434) | | (514,182) | | (476,625) | | 32,829 |
| Vishay Intertechnology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (36,381) | | (806,567) | | (825,121) | | (29,096) |
| Zebra Technologies Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,253) | | (2,523,256) | | (3,090,664) | | (606,347) |
| | | | | | | | | | | (466,766) | | (17,085,603) | | (16,284,741) | | 564,498 |
| Telecommunication Services | | | | | | | | | | | | | | |
| Cogent Communications Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (28,593) | | (1,929,193) | | (1,867,981) | | (30,780) |
| Frontier Communications Parent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (31,623) | | (877,164) | | (774,763) | | 96,868 |
| Globalstar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,362) | | (18,531) | | (19,642) | | (1,285) |
| Gogo, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (10,107) | | (172,493) | | (88,739) | | 84,736 |
| Rogers Communications, Inc., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,403) | | (486,954) | | (467,523) | | 4,930 |
| Shenandoah Telecommunications Co. | | USFF -0.250% | | Weekly | | MS | | 07/23/25 | | (10,430) | | (314,172) | | (181,169) | | 68,992 |
| United States Cellular Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,413) | | (119,808) | | (124,575) | | (5,832) |
| | | | | | | | | | | (108,931) | | (3,918,315) | | (3,524,392) | | 217,629 |
| Transportation | | | | | | | | | | | | | | |
| Air Transport Services Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (54,349) | | (1,107,611) | | (747,842) | | 350,013 |
| Alaska Air Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,403) | | (450,703) | | (404,235) | | 41,335 |
| Allegiant Travel Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,536) | | (567,170) | | (566,783) | | (6,641) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Transportation — (continued) | | | | | | | | | | | | | | |
| Canadian Pacific Kansas City Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,495) | | $ (293,528) | | $ (308,154) | | $ (21,414) |
| Expeditors International of Washington, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,925) | | (354,489) | | (355,592) | | (6,110) |
| Genco Shipping & Trading Ltd. (Marshall Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,607) | | (153,478) | | (154,650) | | (4,018) |
| Golden Ocean Group Ltd. (Bermuda) | | USFF -0.980% | | Weekly | | MS | | 07/11/28 | | (25,694) | | (209,540) | | (332,994) | | (146,470) |
| Hawaiian Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17,642) | | (246,991) | | (235,168) | | 9,639 |
| Heartland Express, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,057) | | (149,079) | | (108,141) | | 40,084 |
| JetBlue Airways Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (108,164) | | (540,280) | | (802,577) | | (269,843) |
| Joby Aviation, Inc. | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (229) | | (1,232) | | (1,227) | | (18) |
| Matson, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,562) | | (317,943) | | (400,369) | | (86,720) |
| Norfolk Southern Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,386) | | (602,949) | | (608,120) | | (11,694) |
| RXO, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,260) | | (259,000) | | (268,126) | | (11,416) |
| Schneider National, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (30,933) | | (772,868) | | (700,323) | | 61,495 |
| Southwest Airlines Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (20,475) | | (755,695) | | (597,665) | | 140,313 |
| Spirit Airlines, Inc. | | USFF -5.680% | | Weekly | | MS | | 07/11/28 | | (43,939) | | (516,136) | | (212,665) | | 290,991 |
| Sun Country Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (16,906) | | (319,176) | | (255,112) | | 61,245 |
| TFI International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,441) | | (196,816) | | (229,782) | | (37,524) |
| United Parcel Service, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,708) | | (1,665,168) | | (1,591,530) | | 107,757 |
| Universal Logistics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13) | | (481) | | (479) | | (14) |
| Werner Enterprises, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (17,149) | | (814,482) | | (670,869) | | 128,819 |
| | | | | | | | | | | (405,873) | | (10,294,815) | | (9,552,403) | | 629,809 |
| Utilities | | | | | | | | | | | | | | |
| AES Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (81,400) | | (1,375,684) | | (1,459,502) | | (103,704) |
| Algonquin Power & Utilities Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (171,900) | | (1,191,153) | | (1,086,408) | | 48,478 |
| Alliant Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (19,123) | | (973,265) | | (963,799) | | (13,463) |
| Altus Power, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,587) | | (17,264) | | (17,146) | | (45) |
| Ameren Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (22,737) | | (1,620,811) | | (1,681,629) | | (91,187) |
| American Electric Power Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,536) | | (230,682) | | (218,350) | | 1,109 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| American States Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,518) | | $ (180,595) | | $ (181,900) | | $ (2,905) |
| Avista Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (5,442) | | (240,448) | | (190,579) | | 36,490 |
| California Water Service Group | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,146) | | (700,487) | | (611,026) | | 73,496 |
| Chesapeake Utilities Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,701) | | (485,635) | | (504,417) | | (24,828) |
| Clearway Energy, Inc., Class C | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,141) | | (286,082) | | (302,900) | | (20,288) |
| Dominion Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (20,523) | | (965,501) | | (1,009,526) | | (59,625) |
| Edison International | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,986) | | (129,282) | | (140,470) | | (13,885) |
| Entergy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,133) | | (517,166) | | (542,455) | | (31,151) |
| Evergy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (31,629) | | (1,788,727) | | (1,688,356) | | 30,102 |
| Exelon Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,118) | | (500,716) | | (492,843) | | (7,779) |
| FirstEnergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (24,689) | | (990,263) | | (953,489) | | 29,333 |
| IDACORP, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,071) | | (1,267,963) | | (1,214,165) | | 25,902 |
| MGE Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,692) | | (286,141) | | (290,634) | | (7,022) |
| Middlesex Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,002) | | (355,391) | | (262,605) | | 86,298 |
| National Fuel Gas Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,236) | | (932,738) | | (979,638) | | (74,057) |
| NextEra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,350) | | (315,287) | | (341,919) | | (32,172) |
| NiSource, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (39,832) | | (1,074,311) | | (1,101,753) | | (75,749) |
| Northwest Natural Holding Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (10,710) | | (540,469) | | (398,626) | | 105,767 |
| Northwestern Energy Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (8,199) | | (501,334) | | (417,575) | | 32,405 |
| Ormat Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,808) | | (1,271,626) | | (1,046,332) | | 207,859 |
| Otter Tail Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,937) | | (170,932) | | (167,357) | | 2,061 |
| Pinnacle West Capital Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,338) | | (894,498) | | (922,019) | | (50,068) |
| PNM Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (29,153) | | (1,179,493) | | (1,097,319) | | 62,419 |
| Portland General Electric Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (28,644) | | (1,246,936) | | (1,203,048) | | 3,365 |
| PPL Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (27,916) | | (745,094) | | (768,527) | | (36,660) |
| Sempra | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (20,427) | | (1,512,400) | | (1,467,271) | | (10,434) |
| SJW Group | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,588) | | (89,791) | | (89,865) | | (875) |
| Southern Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,576) | | (394,464) | | (400,022) | | (16,973) |
| Sunnova Energy International, Inc. | | USFF -0.730% | | Weekly | | MS | | 07/11/28 | | (46,632) | | (553,531) | | (285,854) | | 262,648 |
| | | | | | | | | | | (731,420) | | (25,526,160) | | (24,499,324) | | 334,862 |
|
|
| Total Reference Entity — Short | | | | | | (407,310,756) | | (392,608,866) | | 8,225,580 |
| Net Value of Reference Entity | | | | | | $(273,269,626) | | $(229,065,082) | | $47,989,240 |
| * | Includes $3,784,696 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| MS | Morgan Stanley |
| USFF | U.S. Fed Funds |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 50.4% |
| Automobiles & Components — 0.7% |
| Adient PLC (Ireland)* | 229 | | $ 7,539 |
| American Axle & Manufacturing Holdings, Inc.* | 381 | | 2,804 |
| Aptiv PLC (Jersey)* | 23 | | 1,832 |
| BorgWarner, Inc.(a) | 2,974 | | 103,317 |
| Ford Motor Co.(a) | 35,036 | | 465,278 |
| Garrett Motion, Inc.* | 101 | | 1,004 |
| General Motors Co.(a) | 12,334 | | 559,347 |
| Gentherm, Inc.* | 377 | | 21,708 |
| Goodyear Tire & Rubber Co. (The)* | 3,946 | | 54,179 |
| LCI Industries | 1,299 | | 159,855 |
| Lear Corp. | 446 | | 64,616 |
| Modine Manufacturing Co.* | 107 | | 10,185 |
| Visteon Corp.(a)* | 935 | | 109,965 |
| | | | 1,561,629 |
| Capital Goods — 6.4% |
| 3M Co. | 161 | | 17,077 |
| A. O. Smith Corp. | 533 | | 47,682 |
| AAR Corp.* | 72 | | 4,311 |
| Acuity Brands, Inc. | 174 | | 46,759 |
| AMETEK, Inc. | 15 | | 2,744 |
| Array Technologies, Inc.* | 4,938 | | 73,626 |
| AZEK Co., Inc. (The)* | 2,131 | | 107,019 |
| Beacon Roofing Supply, Inc.* | 420 | | 41,168 |
| Blue Bird Corp.* | 207 | | 7,936 |
| Boise Cascade Co. | 125 | | 19,171 |
| Builders FirstSource, Inc.* | 303 | | 63,191 |
| BWX Technologies, Inc. | 1,134 | | 116,371 |
| Cadre Holdings, Inc. | 107 | | 3,873 |
| Carlisle Cos., Inc. | 320 | | 125,392 |
| Carrier Global Corp. | 1,095 | | 63,652 |
| Caterpillar, Inc.(a) | 125 | | 45,804 |
| Chart Industries, Inc.* | 274 | | 45,133 |
| Comfort Systems USA, Inc.(a) | 924 | | 293,564 |
| Core & Main, Inc., Class A* | 1,002 | | 57,365 |
| Crane Co. | 1,236 | | 167,021 |
| CSW Industrials, Inc. | 78 | | 18,299 |
| Cummins, Inc. | 286 | | 84,270 |
| Curtiss-Wright Corp. | 168 | | 42,998 |
| Deere & Co. | 371 | | 152,385 |
| DNOW, Inc.* | 1,368 | | 20,794 |
| Donaldson Co., Inc. | 1,352 | | 100,967 |
| Dover Corp. | 396 | | 70,167 |
| Eaton Corp. PLC (Ireland) | 969 | | 302,987 |
| EMCOR Group, Inc.(a) | 709 | | 248,292 |
| Emerson Electric Co.(a) | 674 | | 76,445 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Enerpac Tool Group Corp. | 1,081 | | $ 38,548 |
| EnerSys (a) | 1,403 | | 132,527 |
| Enpro, Inc. | 357 | | 60,251 |
| Esab Corp. | 446 | | 49,314 |
| Fastenal Co.(a) | 846 | | 65,260 |
| Federal Signal Corp. | 262 | | 22,236 |
| Flowserve Corp. | 3,016 | | 137,771 |
| Fluence Energy, Inc.* | 7,153 | | 124,033 |
| Fortune Brands Innovations, Inc.(a) | 832 | | 70,445 |
| Gates Industrial Corp. PLC (United Kingdom)* | 3,189 | | 56,477 |
| Generac Holdings, Inc.(a)* | 3,219 | | 406,045 |
| General Dynamics Corp.(a) | 1,365 | | 385,599 |
| General Electric Co.(a) | 1,612 | | 282,954 |
| Gibraltar Industries, Inc.* | 1,089 | | 87,697 |
| Gorman-Rupp Co. (The) | 2 | | 79 |
| Graco, Inc. | 434 | | 40,562 |
| Griffon Corp.(a) | 4,581 | | 335,971 |
| Hillman Solutions Corp.* | 8,446 | | 89,865 |
| Honeywell International, Inc.(a) | 3,089 | | 634,017 |
| Howmet Aerospace, Inc. | 1,143 | | 78,216 |
| Hubbell, Inc. | 270 | | 112,064 |
| Huntington Ingalls Industries, Inc.(a) | 689 | | 200,823 |
| Illinois Tool Works, Inc.(a) | 1,119 | | 300,261 |
| Ingersoll Rand, Inc.(a) | 3,865 | | 366,982 |
| ITT, Inc. | 460 | | 62,574 |
| Kadant, Inc. | 148 | | 48,559 |
| Kaman Corp. | 147 | | 6,743 |
| Kennametal, Inc. | 2,241 | | 55,891 |
| L3Harris Technologies, Inc. | 190 | | 40,489 |
| Leonardo DRS, Inc.* | 650 | | 14,359 |
| Lincoln Electric Holdings, Inc.(a) | 1,118 | | 285,582 |
| Lindsay Corp. | 781 | | 91,892 |
| Lockheed Martin Corp.(a) | 1,743 | | 792,838 |
| Masco Corp.(a) | 5,175 | | 408,204 |
| MDU Resources Group, Inc.(a) | 12,101 | | 304,945 |
| Middleby Corp. (The)* | 1,035 | | 166,418 |
| MSC Industrial Direct Co., Inc., Class A(a) | 3,275 | | 317,806 |
| Mueller Industries, Inc.(a) | 1,737 | | 93,676 |
| NEXTracker, Inc., Class A* | 818 | | 46,029 |
| Nikola Corp.* | 4,052 | | 4,214 |
| Otis Worldwide Corp.(a) | 2,026 | | 201,121 |
| PACCAR, Inc. | 305 | | 37,786 |
| Parker-Hannifin Corp.(a) | 590 | | 327,916 |
| Powell Industries, Inc. | 2,153 | | 306,372 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Proto Labs, Inc.* | 203 | | $ 7,257 |
| Quanex Building Products Corp. | 118 | | 4,535 |
| Quanta Services, Inc.(a) | 3,085 | | 801,483 |
| Regal Rexnord Corp. | 199 | | 35,840 |
| Resideo Technologies, Inc.* | 3,527 | | 79,075 |
| RTX Corp.(a) | 1,908 | | 186,087 |
| Snap-on, Inc.(a) | 984 | | 291,480 |
| SPX Technologies, Inc.* | 641 | | 78,926 |
| Stanley Black & Decker, Inc.(a) | 4,495 | | 440,195 |
| Stantec, Inc. (Canada) | 62 | | 5,148 |
| Sterling Infrastructure, Inc.(a)* | 1,439 | | 158,736 |
| Tennant Co. | 1,024 | | 124,529 |
| Terex Corp.(a) | 2,839 | | 182,832 |
| Textron, Inc.(a) | 5,376 | | 515,720 |
| Trane Technologies PLC (Ireland) | 664 | | 199,333 |
| Trex Co., Inc.* | 1,519 | | 151,520 |
| Tutor Perini Corp.* | 132 | | 1,909 |
| UFP Industries, Inc.(a) | 1,085 | | 133,466 |
| United Rentals, Inc.(a) | 558 | | 402,379 |
| Wabash National Corp. | 5,538 | | 165,808 |
| Watts Water Technologies, Inc., Class A(a) | 664 | | 141,133 |
| Woodward, Inc.(a) | 1,528 | | 235,495 |
| WW Grainger, Inc.(a) | 260 | | 264,498 |
| Xylem, Inc. | 269 | | 34,766 |
| Zurn Elkay Water Solutions Corp.(a) | 6,812 | | 227,998 |
| | | | 15,028,022 |
| Commercial & Professional Services — 1.3% |
| ACV Auctions, Inc., Class A* | 1,311 | | 24,607 |
| ASGN, Inc.* | 155 | | 16,238 |
| Automatic Data Processing, Inc. | 31 | | 7,742 |
| Booz Allen Hamilton Holding Corp. | 196 | | 29,094 |
| Brady Corp., Class A | 213 | | 12,627 |
| Brink's Co. (The) | 84 | | 7,760 |
| Broadridge Financial Solutions, Inc. | 108 | | 22,125 |
| Cimpress PLC (Ireland)* | 81 | | 7,169 |
| Cintas Corp. | 153 | | 105,116 |
| Conduent, Inc.* | 67 | | 226 |
| Copart, Inc.(a)* | 10 | | 579 |
| CSG Systems International, Inc. | 769 | | 39,634 |
| Enviri Corp.* | 581 | | 5,316 |
| Healthcare Services Group, Inc.* | 1,379 | | 17,210 |
| HireRight Holdings Corp.* | 36 | | 514 |
| Jacobs Solutions, Inc.(a) | 2,167 | | 333,133 |
| Leidos Holdings, Inc.(a) | 2,493 | | 326,807 |
| ManpowerGroup, Inc. | 1,751 | | 135,948 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Maximus, Inc. | 585 | | $ 49,082 |
| MillerKnoll, Inc. | 1,656 | | 41,003 |
| MSA Safety, Inc. | 320 | | 61,949 |
| OPENLANE, Inc.* | 2,597 | | 44,928 |
| Parsons Corp.* | 2,520 | | 209,034 |
| Republic Services, Inc.(a) | 1,476 | | 282,565 |
| Robert Half, Inc.(a) | 2,522 | | 199,944 |
| Science Applications International Corp. | 405 | | 52,808 |
| SS&C Technologies Holdings, Inc. | 141 | | 9,076 |
| Steelcase, Inc., Class A | 6,188 | | 80,939 |
| Sterling Check Corp.* | 145 | | 2,332 |
| TaskUS, Inc., Class A* | 188 | | 2,190 |
| TELUS International CDA, Inc. (Canada)* | 171 | | 1,447 |
| Tetra Tech, Inc.(a) | 1,516 | | 280,020 |
| Veralto Corp.(a) | 3,598 | | 318,999 |
| Verisk Analytics, Inc.(a) | 77 | | 18,151 |
| Waste Connections, Inc. (Canada) | 1,086 | | 186,803 |
| Waste Management, Inc. | 409 | | 87,178 |
| | | | 3,020,293 |
| Consumer Discretionary Distribution & Retail — 2.0% |
| Abercrombie & Fitch Co., Class A* | 129 | | 16,168 |
| Amazon.com, Inc.(a)* | 1,765 | | 318,371 |
| AutoZone, Inc.* | 17 | | 53,578 |
| Bath & Body Works, Inc. | 774 | | 38,715 |
| Best Buy Co., Inc. | 3 | | 246 |
| CarMax, Inc.* | 118 | | 10,279 |
| Carvana Co.(a)* | 3,509 | | 308,476 |
| eBay, Inc.(a) | 5,643 | | 297,837 |
| Etsy, Inc.(a)* | 3,604 | | 247,667 |
| Gap, Inc. (The)(a) | 12,207 | | 336,303 |
| Genuine Parts Co. | 71 | | 11,000 |
| Hibbett, Inc. | 199 | | 15,285 |
| Home Depot, Inc. (The)(a) | 2,250 | | 863,100 |
| Kohl's Corp. | 6,351 | | 185,132 |
| LKQ Corp. | 1,382 | | 73,813 |
| Monro, Inc. | 2,159 | | 68,095 |
| ODP Corp. (The)(a)* | 3,490 | | 185,144 |
| Pool Corp.(a) | 457 | | 184,399 |
| Ross Stores, Inc. | 891 | | 130,763 |
| Signet Jewelers Ltd. (Bermuda) | 3,994 | | 399,680 |
| TJX Cos., Inc. (The)(a) | 3,635 | | 368,662 |
| Ulta Beauty, Inc.* | 694 | | 362,879 |
| Wayfair, Inc., Class A* | 510 | | 34,619 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Discretionary Distribution & Retail — (Continued) |
| Williams-Sonoma, Inc. | 184 | | $ 58,425 |
| Winmark Corp. | 183 | | 66,191 |
| | | | 4,634,827 |
| Consumer Durables & Apparel — 1.7% |
| Carter's, Inc. | 841 | | 71,216 |
| Cricut, Inc., Class A | 52 | | 247 |
| Deckers Outdoor Corp.* | 258 | | 242,845 |
| Figs, Inc., Class A* | 20,097 | | 100,083 |
| Garmin Ltd. (Switzerland) | 2,200 | | 327,514 |
| G-III Apparel Group Ltd.* | 3,889 | | 112,820 |
| Hasbro, Inc. | 1,981 | | 111,966 |
| Helen of Troy Ltd. (Bermuda)* | 1,230 | | 141,745 |
| Leggett & Platt, Inc. | 3,853 | | 73,785 |
| Lululemon Athletica, Inc.* | 49 | | 19,142 |
| Mattel, Inc.(a)* | 21,869 | | 433,225 |
| Mohawk Industries, Inc.(a)* | 1,866 | | 244,241 |
| Newell Brands, Inc. | 466 | | 3,742 |
| NIKE, Inc., Class B(a) | 1,400 | | 131,572 |
| NVR, Inc.(a)* | 14 | | 113,399 |
| Polaris, Inc. | 496 | | 49,659 |
| PulteGroup, Inc.(a) | 3,487 | | 420,602 |
| PVH Corp.(a) | 988 | | 138,923 |
| Ralph Lauren Corp.(a) | 2,013 | | 377,961 |
| Smith & Wesson Brands, Inc. | 64 | | 1,111 |
| Sonos, Inc.* | 4,395 | | 83,769 |
| Tapestry, Inc.(a) | 3,472 | | 164,851 |
| TopBuild Corp.* | 200 | | 88,146 |
| Under Armour, Inc., Class C* | 754 | | 5,384 |
| Vista Outdoor, Inc.* | 3,531 | | 115,746 |
| Worthington Enterprises, Inc. | 1,954 | | 121,597 |
| YETI Holdings, Inc.(a)* | 8,548 | | 329,525 |
| | | | 4,024,816 |
| Consumer Services — 1.9% |
| ADT, Inc. | 2,480 | | 16,666 |
| Aramark | 1,984 | | 64,520 |
| Booking Holdings, Inc.(a) | 61 | | 221,301 |
| Bright Horizons Family Solutions, Inc.* | 191 | | 21,652 |
| Brinker International, Inc.* | 3,893 | | 193,404 |
| Caesars Entertainment, Inc.(a)* | 4,614 | | 201,816 |
| Dine Brands Global, Inc. | 438 | | 20,358 |
| DoorDash, Inc., Class A* | 129 | | 17,766 |
| DraftKings, Inc., Class A* | 1,471 | | 66,798 |
| European Wax Center, Inc., Class A* | 520 | | 6,750 |
| Expedia Group, Inc.* | 1,490 | | 205,247 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| Frontdoor, Inc.(a)* | 5,975 | | $ 194,665 |
| Grand Canyon Education, Inc.* | 434 | | 59,115 |
| International Game Technology PLC (United Kingdom) | 718 | | 16,220 |
| Las Vegas Sands Corp.(a) | 3,793 | | 196,098 |
| McDonald's Corp.(a) | 2,160 | | 609,012 |
| MGM Resorts International(a)* | 2,245 | | 105,986 |
| Papa John's International, Inc. | 890 | | 59,274 |
| Royal Caribbean Cruises Ltd. (Liberia)* | 5,660 | | 786,797 |
| Shake Shack, Inc., Class A* | 470 | | 48,894 |
| Six Flags Entertainment Corp.* | 2,946 | | 77,539 |
| Starbucks Corp.(a) | 1,749 | | 159,841 |
| Strategic Education, Inc. | 246 | | 25,613 |
| Sweetgreen, Inc., Class A* | 2,155 | | 54,435 |
| Vail Resorts, Inc. | 253 | | 56,376 |
| Wyndham Hotels & Resorts, Inc. | 2,665 | | 204,539 |
| Wynn Resorts Ltd. | 2,095 | | 214,172 |
| Yum! Brands, Inc.(a) | 3,727 | | 516,749 |
| | | | 4,421,603 |
| Consumer Staples Distribution & Retail — 1.4% |
| Albertsons Cos., Inc., Class A | 916 | | 19,639 |
| Costco Wholesale Corp.(a) | 402 | | 294,517 |
| Dollar General Corp. | 728 | | 113,612 |
| Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 45,368 | | — |
| Grocery Outlet Holding Corp.* | 2,157 | | 62,078 |
| Kroger Co. (The)(a) | 13,880 | | 792,964 |
| Performance Food Group Co.* | 207 | | 15,451 |
| Sysco Corp.(a) | 2,435 | | 197,673 |
| Target Corp.(a) | 6,755 | | 1,197,054 |
| US Foods Holding Corp.(a)* | 1,802 | | 97,254 |
| Walgreens Boots Alliance, Inc. | 3,648 | | 79,125 |
| Walmart, Inc.(a) | 7,893 | | 474,922 |
| Weis Markets, Inc. | 162 | | 10,433 |
| | | | 3,354,722 |
| Energy — 3.3% |
| Antero Midstream Corp. | 1,271 | | 17,870 |
| APA Corp. | 19 | | 653 |
| Archrock, Inc. | 1,669 | | 32,829 |
| Baker Hughes Co.(a) | 4,354 | | 145,859 |
| Berry Corp. | 813 | | 6,545 |
| Borr Drilling Ltd. (Bermuda) | 2,196 | | 15,043 |
| California Resources Corp. | 1,444 | | 79,564 |
| Cameco Corp. (Canada) | 530 | | 22,960 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Canadian Natural Resources Ltd. (Canada) | 4,599 | | $ 350,996 |
| Cheniere Energy, Inc.(a) | 1,385 | | 223,373 |
| Chesapeake Energy Corp.(a) | 754 | | 66,978 |
| Chord Energy Corp. | 81 | | 14,437 |
| ConocoPhillips | 528 | | 67,204 |
| CONSOL Energy, Inc. | 575 | | 48,162 |
| Coterra Energy, Inc. | 5,239 | | 146,063 |
| CVR Energy, Inc. | 433 | | 15,441 |
| Delek US Holdings, Inc. | 1,521 | | 46,756 |
| Devon Energy Corp.(a) | 9,412 | | 472,294 |
| DHT Holdings, Inc. (Marshall Islands) | 3,919 | | 45,068 |
| Diamondback Energy, Inc.(a) | 1,316 | | 260,792 |
| Dorian LPG Ltd. (Marshall Islands) | 9,976 | | 383,677 |
| Enbridge, Inc. (Canada) | 3,767 | | 136,290 |
| Enerplus Corp. (Canada) | 3,624 | | 71,248 |
| EOG Resources, Inc. | 637 | | 81,434 |
| Equitrans Midstream Corp. | 7,242 | | 90,453 |
| Exxon Mobil Corp.(a) | 7,490 | | 870,638 |
| Gulfport Energy Corp.* | 473 | | 75,737 |
| Halliburton Co. | 3,506 | | 138,206 |
| Helix Energy Solutions Group, Inc.* | 7,782 | | 84,357 |
| Helmerich & Payne, Inc.(a) | 8,680 | | 365,081 |
| Kinder Morgan, Inc. | 8,651 | | 158,659 |
| Marathon Oil Corp.(a) | 14,451 | | 409,541 |
| Marathon Petroleum Corp.(a) | 1,885 | | 379,827 |
| Murphy Oil Corp.(a) | 3,146 | | 143,772 |
| Nabors Industries Ltd. (Bermuda)* | 1,215 | | 104,648 |
| Nordic American Tankers Ltd. (Bermuda) | 18,752 | | 73,508 |
| Occidental Petroleum Corp.(a) | 9,535 | | 619,680 |
| Pembina Pipeline Corp. (Canada) | 1,951 | | 68,948 |
| Phillips 66(a) | 1,758 | | 287,152 |
| Pioneer Natural Resources Co.(a) | 2,120 | | 556,500 |
| REX American Resources Corp.* | 10 | | 587 |
| Schlumberger NV (Curacao) | 2,234 | | 122,446 |
| Targa Resources Corp. | 229 | | 25,646 |
| TC Energy Corp. (Canada) | 62 | | 2,492 |
| TechnipFMC PLC (United Kingdom) | 12,347 | | 310,033 |
| Transocean Ltd. (Switzerland)* | 10,307 | | 64,728 |
| US Silica Holdings, Inc.(a)* | 7,728 | | 95,904 |
| Valero Energy Corp. | 306 | | 52,231 |
| | | | 7,852,310 |
| Financial Services — 2.2% |
| AvidXchange Holdings, Inc.* | 814 | | 10,704 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — (Continued) |
| Berkshire Hathaway, Inc., Class B(a)* | 2,436 | | $ 1,024,387 |
| Cboe Global Markets, Inc. | 481 | | 88,374 |
| CME Group, Inc.(a) | 749 | | 161,252 |
| Corpay, Inc.* | 625 | | 192,837 |
| Donnelley Financial Solutions, Inc.* | 145 | | 8,991 |
| FactSet Research Systems, Inc. | 30 | | 13,632 |
| Fiserv, Inc.(a)* | 5,679 | | 907,618 |
| Franklin Resources, Inc.(a) | 6,645 | | 186,791 |
| Intercontinental Exchange, Inc.(a) | 2,438 | | 335,054 |
| International Money Express, Inc.* | 1,190 | | 27,168 |
| Mastercard, Inc., Class A | 353 | | 169,994 |
| Morningstar, Inc. | 628 | | 193,656 |
| NCR Atleos Corp.(a)* | 3,714 | | 73,352 |
| Open Lending Corp.* | 52 | | 326 |
| Paymentus Holdings, Inc., Class A* | 2 | | 46 |
| Payoneer Global, Inc.* | 21,247 | | 103,260 |
| PayPal Holdings, Inc.(a)* | 10,094 | | 676,197 |
| S&P Global, Inc. | 339 | | 144,228 |
| Shift4 Payments, Inc., Class A* | 1,528 | | 100,955 |
| T Rowe Price Group, Inc.(a) | 3,127 | | 381,244 |
| Visa, Inc., Class A(a) | 1,704 | | 475,552 |
| | | | 5,275,618 |
| Food, Beverage & Tobacco — 2.1% |
| Altria Group, Inc.(a) | 11,143 | | 486,058 |
| Archer-Daniels-Midland Co. | 251 | | 15,765 |
| B&G Foods, Inc. | 2,426 | | 27,753 |
| Bunge Global SA (Switzerland) | 94 | | 9,637 |
| Campbell Soup Co. | 939 | | 41,739 |
| Celsius Holdings, Inc.(a)* | 489 | | 40,548 |
| Coca-Cola Co. (The)(a) | 12,198 | | 746,274 |
| Conagra Brands, Inc. | 2,409 | | 71,403 |
| Constellation Brands, Inc., Class A(a) | 1,111 | | 301,925 |
| Dole PLC (Ireland) | 503 | | 6,001 |
| General Mills, Inc.(a) | 2,865 | | 200,464 |
| Hormel Foods Corp. | 5,889 | | 205,467 |
| Ingredion, Inc. | 1,791 | | 209,278 |
| Kellanova (a) | 9,955 | | 570,322 |
| Keurig Dr Pepper, Inc.(a) | 14,427 | | 442,476 |
| Kraft Heinz Co. (The)(a) | 9,318 | | 343,834 |
| Lancaster Colony Corp. | 204 | | 42,357 |
| McCormick & Co., Inc., non-voting shares | 2,955 | | 226,974 |
| Molson Coors Beverage Co., Class B | 1,704 | | 114,594 |
| Mondelez International, Inc., Class A(a) | 3,759 | | 263,130 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Philip Morris International, Inc.(a) | 2,315 | | $ 212,100 |
| Primo Water Corp. (Canada) | 4,939 | | 89,939 |
| Simply Good Foods Co. (The)* | 6,350 | | 216,090 |
| SunOpta, Inc. (Canada)* | 1,349 | | 9,268 |
| Tootsie Roll Industries, Inc. | 8 | | 256 |
| Vector Group Ltd. | 2,045 | | 22,413 |
| Vita Coco Co., Inc. (The)* | 2,927 | | 71,507 |
| Vital Farms, Inc.* | 320 | | 7,440 |
| | | | 4,995,012 |
| Health Care Equipment & Services — 3.2% |
| Align Technology, Inc.* | 25 | | 8,198 |
| Astrana Health, Inc.* | 519 | | 21,793 |
| Avanos Medical, Inc.* | 199 | | 3,962 |
| Baxter International, Inc. | 2,105 | | 89,968 |
| Becton Dickinson & Co.(a) | 442 | | 109,373 |
| Cardinal Health, Inc. | 980 | | 109,662 |
| Cencora, Inc. | 111 | | 26,972 |
| Centene Corp.* | 1,393 | | 109,323 |
| Cigna Group (The) | 480 | | 174,331 |
| CONMED Corp. | 2,149 | | 172,092 |
| Cross Country Healthcare, Inc.* | 368 | | 6,889 |
| CVS Health Corp.(a) | 950 | | 75,772 |
| DaVita, Inc.(a)* | 2,838 | | 391,786 |
| Definitive Healthcare Corp.* | 2,406 | | 19,416 |
| Evolent Health, Inc., Class A* | 4,735 | | 155,261 |
| Fulgent Genetics, Inc.* | 1,971 | | 42,771 |
| GE HealthCare Technologies, Inc.(a) | 4,829 | | 439,004 |
| Haemonetics Corp.* | 528 | | 45,065 |
| HCA Healthcare, Inc.(a) | 1,011 | | 337,199 |
| HealthStream, Inc. | 43 | | 1,146 |
| Hologic, Inc.(a)* | 1,558 | | 121,462 |
| Humana, Inc.(a) | 1,461 | | 506,558 |
| IDEXX Laboratories, Inc.(a)* | 1,155 | | 623,619 |
| Lantheus Holdings, Inc.(a)* | 3,648 | | 227,051 |
| LeMaitre Vascular, Inc. | 158 | | 10,485 |
| McKesson Corp. | 219 | | 117,570 |
| Medtronic PLC (Ireland) | 10,327 | | 899,998 |
| Molina Healthcare, Inc.(a)* | 895 | | 367,693 |
| National HealthCare Corp. | 124 | | 11,719 |
| Omnicell, Inc.* | 928 | | 27,125 |
| Owens & Minor, Inc.* | 8,229 | | 228,026 |
| Penumbra, Inc.* | 376 | | 83,916 |
| Phreesia, Inc.* | 4,739 | | 113,404 |
| Privia Health Group, Inc.* | 7,784 | | 152,489 |
| Quest Diagnostics, Inc. | 783 | | 104,225 |
| ResMed, Inc.(a) | 2,524 | | 499,828 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Select Medical Holdings Corp. | 1,038 | | $ 31,296 |
| Teleflex, Inc. | 263 | | 59,483 |
| Tenet Healthcare Corp.* | 1,740 | | 182,891 |
| UFP Technologies, Inc.* | 210 | | 52,962 |
| UnitedHealth Group, Inc.(a) | 725 | | 358,657 |
| Zimmer Biomet Holdings, Inc.(a) | 2,380 | | 314,112 |
| | | | 7,434,552 |
| Household & Personal Products — 0.8% |
| BellRing Brands, Inc.* | 1,202 | | 70,954 |
| Clorox Co. (The) | 352 | | 53,895 |
| Colgate-Palmolive Co. | 2,045 | | 184,152 |
| Coty, Inc., Class A* | 3,762 | | 44,994 |
| Estee Lauder Cos., Inc. (The), Class A | 70 | | 10,790 |
| Kenvue, Inc.(a) | 20,039 | | 430,037 |
| Kimberly-Clark Corp.(a) | 3,683 | | 476,396 |
| Procter & Gamble Co. (The)(a) | 2,528 | | 410,168 |
| Reynolds Consumer Products, Inc. | 1,521 | | 43,440 |
| Spectrum Brands Holdings, Inc.(a) | 248 | | 22,074 |
| WD-40 Co. | 543 | | 137,547 |
| | | | 1,884,447 |
| Materials — 2.4% |
| Alamos Gold, Inc., Class A (Canada) | 485 | | 7,154 |
| Alpha Metallurgical Resources, Inc. | 150 | | 49,676 |
| Amcor PLC (Jersey) | 738 | | 7,018 |
| AptarGroup, Inc. | 119 | | 17,123 |
| Arch Resources, Inc. | 43 | | 6,914 |
| Avient Corp. | 52 | | 2,257 |
| Balchem Corp. | 32 | | 4,958 |
| Ball Corp. | 846 | | 56,987 |
| Berry Global Group, Inc. | 517 | | 31,268 |
| Cabot Corp. | 176 | | 16,227 |
| Carpenter Technology Corp. | 1,778 | | 126,985 |
| Celanese Corp. | 723 | | 124,255 |
| CF Industries Holdings, Inc. | 1,263 | | 105,094 |
| Cleveland-Cliffs, Inc.(a)* | 10,805 | | 245,706 |
| Eastman Chemical Co. | 1,804 | | 180,797 |
| Fortuna Silver Mines, Inc. (Canada)* | 28,656 | | 106,887 |
| Freeport-McMoRan, Inc. | 2,681 | | 126,061 |
| Hawkins, Inc. | 166 | | 12,749 |
| HB Fuller Co. | 1,145 | | 91,302 |
| Innospec, Inc. | 320 | | 41,261 |
| International Flavors & Fragrances, Inc. | 2,023 | | 173,958 |
| International Paper Co.(a) | 1,814 | | 70,782 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Knife River Corp.* | 1,410 | | $ 114,323 |
| Koppers Holdings, Inc. | 235 | | 12,965 |
| Linde PLC (Ireland) | 942 | | 437,389 |
| LyondellBasell Industries NV, Class A (Netherlands) | 3,552 | | 363,299 |
| Martin Marietta Materials, Inc.(a) | 300 | | 184,182 |
| Metallus, Inc.* | 40 | | 890 |
| Minerals Technologies, Inc. | 1,239 | | 93,272 |
| NewMarket Corp.(a) | 442 | | 280,502 |
| Nucor Corp.(a) | 1,225 | | 242,427 |
| Packaging Corp. of America | 965 | | 183,138 |
| PPG Industries, Inc.(a) | 1,803 | | 261,255 |
| Quaker Chemical Corp.(a) | 1,155 | | 237,064 |
| Royal Gold, Inc.(a) | 2,545 | | 310,006 |
| RPM International, Inc.(a) | 1,270 | | 151,066 |
| Scotts Miracle-Gro Co. (The)(a) | 6,594 | | 491,846 |
| Sealed Air Corp.(a) | 1,426 | | 53,047 |
| Sherwin-Williams Co. (The)(a) | 927 | | 321,975 |
| SilverCrest Metals, Inc. (Canada)* | 129 | | 859 |
| Sonoco Products Co. | 129 | | 7,461 |
| Summit Materials, Inc., Class A* | 672 | | 29,951 |
| Taseko Mines Ltd. (Canada)* | 370 | | 803 |
| Vulcan Materials Co.(a) | 735 | | 200,596 |
| Warrior Met Coal, Inc. | 393 | | 23,855 |
| Westrock Co. | 2,540 | | 125,603 |
| Worthington Steel, Inc. | 36 | | 1,291 |
| | | | 5,734,484 |
| Media & Entertainment — 3.1% |
| Alphabet, Inc., Class A(a)* | 10,073 | | 1,520,318 |
| Angi, Inc.* | 25 | | 66 |
| Bumble, Inc., Class A* | 386 | | 4,381 |
| Cable One, Inc. | 10 | | 4,231 |
| Cinemark Holdings, Inc.(a)* | 9,232 | | 165,899 |
| Clear Channel Outdoor Holdings, Inc.* | 1,186 | | 1,957 |
| Comcast Corp., Class A(a) | 5,973 | | 258,930 |
| Electronic Arts, Inc.(a) | 2,050 | | 271,974 |
| Getty Images Holdings, Inc.* | 19 | | 79 |
| Grindr, Inc.* | 24 | | 243 |
| Interpublic Group of Cos., Inc. (The)(a) | 8,326 | | 271,677 |
| Match Group, Inc.* | 5,667 | | 205,599 |
| Meta Platforms, Inc., Class A(a) | 3,757 | | 1,824,324 |
| Netflix, Inc.(a)* | 900 | | 546,597 |
| News Corp., Class A | 4,665 | | 122,130 |
| Omnicom Group, Inc.(a) | 830 | | 80,311 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Sirius XM Holdings, Inc. | 43,021 | | $ 166,921 |
| Spotify Technology SA (Luxembourg)* | 1,809 | | 477,395 |
| TripAdvisor, Inc.(a)* | 13,651 | | 379,361 |
| Vimeo, Inc.* | 16,566 | | 67,755 |
| Walt Disney Co. (The)(a) | 2,565 | | 313,853 |
| Warner Music Group Corp., Class A | 2,695 | | 88,989 |
| Yelp, Inc.(a)* | 6,329 | | 249,363 |
| ZipRecruiter, Inc., Class A* | 4,011 | | 46,086 |
| ZoomInfo Technologies, Inc.* | 9,475 | | 151,884 |
| | | | 7,220,323 |
| Pharmaceuticals, Biotechnology & Life Sciences — 2.5% |
| AbbVie, Inc. | 370 | | 67,377 |
| ADMA Biologics, Inc.* | 707 | | 4,666 |
| Agilent Technologies, Inc. | 40 | | 5,820 |
| Alkermes PLC (Ireland)* | 2,210 | | 59,825 |
| Alpine Immune Sciences, Inc.* | 552 | | 21,881 |
| Amgen, Inc. | 41 | | 11,657 |
| Amneal Pharmaceuticals, Inc.* | 747 | | 4,527 |
| Amphastar Pharmaceuticals, Inc.* | 45 | | 1,976 |
| ANI Pharmaceuticals, Inc.* | 120 | | 8,296 |
| Ardelyx, Inc.* | 1,566 | | 11,432 |
| Azenta, Inc.* | 65 | | 3,918 |
| Beam Therapeutics, Inc.* | 506 | | 16,718 |
| Bio-Rad Laboratories, Inc., Class A* | 69 | | 23,865 |
| Bristol-Myers Squibb Co.(a) | 9,565 | | 518,710 |
| Collegium Pharmaceutical, Inc.* | 2,073 | | 80,474 |
| Corcept Therapeutics, Inc.* | 777 | | 19,573 |
| EyePoint Pharmaceuticals, Inc.* | 2,857 | | 59,054 |
| Gilead Sciences, Inc.(a) | 6,947 | | 508,868 |
| Halozyme Therapeutics, Inc.(a)* | 2,286 | | 92,995 |
| Harmony Biosciences Holdings, Inc.(a)* | 8,730 | | 293,153 |
| ImmunityBio, Inc.* | 3,299 | | 17,716 |
| Incyte Corp.(a)* | 9,953 | | 567,022 |
| IQVIA Holdings, Inc.(a)* | 1,566 | | 396,026 |
| Ironwood Pharmaceuticals, Inc.* | 1,128 | | 9,825 |
| Johnson & Johnson(a) | 5,096 | | 806,136 |
| Merck & Co., Inc.(a) | 6,335 | | 835,903 |
| Mettler-Toledo International, Inc.(a)* | 276 | | 367,436 |
| Natera, Inc.* | 253 | | 23,139 |
| Nurix Therapeutics, Inc.* | 90 | | 1,323 |
| Nuvation Bio, Inc.* | 18 | | 66 |
| QIAGEN NV (Netherlands) | 390 | | 16,766 |
| Rhythm Pharmaceuticals, Inc.* | 1,548 | | 67,075 |
| Scholar Rock Holding Corp.* | 73 | | 1,296 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Spyre Therapeutics, Inc.* | 9 | | $ 341 |
| Taysha Gene Therapies, Inc.* | 38 | | 109 |
| Thermo Fisher Scientific, Inc.(a) | 538 | | 312,691 |
| Twist Bioscience Corp.(a)* | 7,602 | | 260,825 |
| United Therapeutics Corp.(a)* | 221 | | 50,768 |
| Vera Therapeutics, Inc.* | 25 | | 1,078 |
| Viatris, Inc.(a) | 15,503 | | 185,106 |
| Waters Corp.* | 139 | | 47,848 |
| WaVe Life Sciences Ltd. (Singapore)* | 226 | | 1,394 |
| | | | 5,784,674 |
| Semiconductors & Semiconductor Equipment — 3.8% |
| Advanced Micro Devices, Inc.(a)* | 804 | | 145,114 |
| Amkor Technology, Inc. | 479 | | 15,443 |
| Broadcom, Inc.(a) | 44 | | 58,318 |
| Entegris, Inc. | 1,361 | | 191,275 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 3,731 | | 194,422 |
| KLA Corp.(a) | 530 | | 370,242 |
| Lam Research Corp.(a) | 356 | | 345,879 |
| Microchip Technology, Inc.(a) | 5,744 | | 515,294 |
| Micron Technology, Inc.(a) | 5,482 | | 646,273 |
| Monolithic Power Systems, Inc.(a) | 1,542 | | 1,044,582 |
| NVIDIA Corp.(a) | 807 | | 729,173 |
| NXP Semiconductors NV (Netherlands) | 2,664 | | 660,059 |
| ON Semiconductor Corp.(a)* | 4,492 | | 330,387 |
| Photronics, Inc.* | 2,645 | | 74,906 |
| Qorvo, Inc.(a)* | 7,856 | | 902,105 |
| QUALCOMM, Inc.(a) | 10,718 | | 1,814,557 |
| Skyworks Solutions, Inc.(a) | 8,140 | | 881,725 |
| SMART Global Holdings, Inc. (Cayman Islands)* | 5,983 | | 157,473 |
| | | | 9,077,227 |
| Software & Services — 6.1% |
| Accenture PLC, Class A (Ireland) | 47 | | 16,291 |
| Adobe, Inc.(a)* | 463 | | 233,630 |
| Amdocs Ltd. (Guernsey) | 536 | | 48,438 |
| Appfolio, Inc., Class A* | 67 | | 16,532 |
| Bitfarms Ltd. (Canada)* | 46,406 | | 103,485 |
| Blackbaud, Inc.* | 142 | | 10,528 |
| Box, Inc., Class A* | 1,548 | | 43,839 |
| Cadence Design Systems, Inc.* | 105 | | 32,684 |
| CGI, Inc. (Canada)* | 64 | | 7,071 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Docebo, Inc. (Canada)* | 70 | | $ 3,429 |
| DXC Technology Co.* | 3,743 | | 79,389 |
| Enfusion, Inc., Class A* | 171 | | 1,582 |
| EverCommerce, Inc.* | 16 | | 151 |
| Fortinet, Inc.(a)* | 7,085 | | 483,976 |
| Gen Digital, Inc.(a) | 12,566 | | 281,478 |
| Gitlab, Inc., Class A(a)* | 415 | | 24,203 |
| Globant SA (Luxembourg)* | 377 | | 76,116 |
| GoDaddy, Inc., Class A* | 108 | | 12,817 |
| Guidewire Software, Inc.(a)* | 1,035 | | 120,795 |
| Hackett Group, Inc. (The) | 3 | | 73 |
| Informatica, Inc., Class A* | 3,984 | | 139,440 |
| InterDigital, Inc.(a) | 3,281 | | 349,295 |
| International Business Machines Corp.(a) | 2,458 | | 469,380 |
| JFrog Ltd. (Israel)* | 5,182 | | 229,148 |
| Kyndryl Holdings, Inc.* | 2,659 | | 57,860 |
| LiveRamp Holdings, Inc.* | 5,222 | | 180,159 |
| Manhattan Associates, Inc.* | 190 | | 47,544 |
| MeridianLink, Inc.* | 151 | | 2,824 |
| Microsoft Corp.(a) | 3,978 | | 1,673,624 |
| N-able, Inc.* | 92 | | 1,202 |
| NCR Voyix Corp.(a)* | 18,027 | | 227,681 |
| NextNav, Inc.* | 265 | | 1,744 |
| Nutanix, Inc., Class A(a)* | 6,651 | | 410,500 |
| Okta, Inc.(a)* | 5,819 | | 608,784 |
| Oracle Corp.(a) | 11,673 | | 1,466,245 |
| Palantir Technologies, Inc., Class A(a)* | 29,685 | | 683,052 |
| Palo Alto Networks, Inc.(a)* | 3,784 | | 1,075,148 |
| Pegasystems, Inc. | 2,911 | | 188,167 |
| Q2 Holdings, Inc.* | 4,039 | | 212,290 |
| Qualys, Inc.* | 1,229 | | 205,083 |
| Roper Technologies, Inc. | 420 | | 235,553 |
| Salesforce, Inc.(a) | 2,286 | | 688,497 |
| Samsara, Inc., Class A(a)* | 7,354 | | 277,908 |
| ServiceNow, Inc.(a)* | 2,057 | | 1,568,257 |
| SolarWinds Corp.* | 61 | | 770 |
| SPS Commerce, Inc.* | 492 | | 90,971 |
| Squarespace, Inc., Class A* | 1,031 | | 37,570 |
| Synopsys, Inc.* | 186 | | 106,299 |
| UiPath, Inc., Class A(a)* | 8,454 | | 191,652 |
| Verint Systems, Inc.* | 104 | | 3,448 |
| VeriSign, Inc.(a)* | 1,937 | | 367,081 |
| Workday, Inc., Class A(a)* | 701 | | 191,198 |
| Yext, Inc.* | 7,448 | | 44,911 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Zoom Video Communications, Inc., Class A(a)* | 11,455 | | $ 748,813 |
| Zuora, Inc., Class A* | 4,253 | | 38,787 |
| | | | 14,417,392 |
| Technology Hardware & Equipment — 2.5% |
| Amphenol Corp., Class A | 46 | | 5,306 |
| Apple, Inc.(a) | 1,672 | | 286,714 |
| Arlo Technologies, Inc.* | 691 | | 8,741 |
| Arrow Electronics, Inc.* | 73 | | 9,451 |
| Badger Meter, Inc. | 71 | | 11,488 |
| Bel Fuse, Inc., Class B | 231 | | 13,932 |
| CDW Corp.(a) | 282 | | 72,130 |
| Ciena Corp.* | 2,967 | | 146,718 |
| Cisco Systems, Inc.(a) | 6,268 | | 312,836 |
| Crane NXT Co. | 152 | | 9,409 |
| Extreme Networks, Inc.(a)* | 11,432 | | 131,925 |
| F5, Inc.(a)* | 1,459 | | 276,612 |
| Fabrinet (Cayman Islands)* | 187 | | 35,347 |
| Hewlett Packard Enterprise Co.(a) | 20,051 | | 355,504 |
| HP, Inc.(a) | 9,949 | | 300,659 |
| Insight Enterprises, Inc.(a)* | 829 | | 153,796 |
| Itron, Inc.* | 2,419 | | 223,806 |
| Jabil, Inc.(a) | 2,792 | | 373,988 |
| Keysight Technologies, Inc.* | 1,568 | | 245,204 |
| Littelfuse, Inc. | 675 | | 163,586 |
| Motorola Solutions, Inc.(a) | 534 | | 189,559 |
| Napco Security Technologies, Inc. | 2,723 | | 109,356 |
| NetApp, Inc.(a) | 4,194 | | 440,244 |
| NetScout Systems, Inc.* | 1,055 | | 23,041 |
| PC Connection, Inc. | 62 | | 4,088 |
| Rogers Corp.* | 223 | | 26,468 |
| Seagate Technology Holdings PLC (Ireland) | 4,739 | | 440,964 |
| Super Micro Computer, Inc.(a)* | 692 | | 698,941 |
| TD SYNNEX Corp. | 625 | | 70,687 |
| TE Connectivity Ltd. (Switzerland) | 1,273 | | 184,890 |
| Vontier Corp. | 2,861 | | 129,775 |
| Western Digital Corp.(a)* | 5,499 | | 375,252 |
| Xerox Holdings Corp. | 64 | | 1,146 |
| | | | 5,831,563 |
| Telecommunication Services — 0.7% |
| Anterix, Inc.* | 35 | | 1,176 |
| AT&T, Inc.(a) | 19,549 | | 344,063 |
| Iridium Communications, Inc. | 4,361 | | 114,084 |
| TELUS Corp. (Canada) | 5,619 | | 89,960 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Telecommunication Services — (Continued) |
| T-Mobile US, Inc.(a) | 3,624 | | $ 591,509 |
| Verizon Communications, Inc.(a) | 11,748 | | 492,946 |
| | | | 1,633,738 |
| Transportation — 1.0% |
| CH Robinson Worldwide, Inc. | 272 | | 20,710 |
| CSX Corp.(a) | 9,681 | | 358,875 |
| Delta Air Lines, Inc.(a) | 6,807 | | 325,851 |
| FedEx Corp.(a) | 1,088 | | 315,237 |
| Forward Air Corp. | 3,352 | | 104,281 |
| FTAI Infrastructure, Inc. | 85 | | 534 |
| GXO Logistics, Inc.* | 2,146 | | 115,369 |
| Old Dominion Freight Line, Inc.(a) | 1,210 | | 265,365 |
| Saia, Inc.* | 103 | | 60,255 |
| SkyWest, Inc.(a)* | 4,649 | | 321,153 |
| Uber Technologies, Inc.(a)* | 5,352 | | 412,050 |
| Union Pacific Corp.(a) | 647 | | 159,117 |
| | | | 2,458,797 |
| Utilities — 1.3% |
| ALLETE, Inc. | 235 | | 14,015 |
| American Water Works Co., Inc. | 122 | | 14,910 |
| Atmos Energy Corp. | 21 | | 2,496 |
| Black Hills Corp. | 722 | | 39,421 |
| Consolidated Edison, Inc. | 916 | | 83,182 |
| Constellation Energy Corp.(a) | 756 | | 139,747 |
| Duke Energy Corp.(a) | 6,142 | | 593,993 |
| Fortis, Inc. (Canada) | 1,878 | | 74,200 |
| New Jersey Resources Corp. | 1,383 | | 59,344 |
| NRG Energy, Inc.(a) | 11,132 | | 753,525 |
| ONE Gas, Inc. | 1,167 | | 75,306 |
| Public Service Enterprise Group, Inc.(a) | 6,897 | | 460,582 |
| Southwest Gas Holdings, Inc. | 2,405 | | 183,093 |
| Spire, Inc. | 735 | | 45,107 |
| TransAlta Corp. (Canada) | 2,395 | | 15,400 |
| Vistra Corp.(a) | 6,023 | | 419,502 |
| | | | 2,973,823 |
TOTAL COMMON STOCKS
(Cost $99,654,455) | | | 118,619,872 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANIES(c) — 44.2% | | |
| Gotham 1000 Value ETF | 2,190,000 | | $ 52,240,260 |
| Gotham Enhanced 500 ETF | 1,800,000 | | 51,790,320 |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES
(Cost $81,422,989) | | | 104,030,580 |
| EXCHANGE TRADED FUNDS — 0.5% |
| SPDR S&P 500 ETF Trust | 2,314 | | 1,210,384 |
TOTAL EXCHANGE TRADED FUNDS
(Cost $1,171,911) | | | 1,210,384 |
|
| |
TOTAL INVESTMENTS - 95.1%
(Cost $182,249,355) | | | 223,860,836 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9% | | | 11,590,903 |
| NET ASSETS - 100.0% | | | $ 235,451,739 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| (b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
| (c) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
| * | Non-income producing. |
| ETF | Exchange-Traded Fund |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 27, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.0% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Adient PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,819 | | $ 62,251 | | $ 59,881 | | $ (840) |
| American Axle & Manufacturing Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 16,690 | | 129,625 | | 122,838 | | (3,728) |
| Aptiv PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,458 | | 113,565 | | 116,130 | | 5,344 |
| BorgWarner, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 15,271 | | 502,952 | | 530,515 | | 39,202 |
| Ford Motor Co. | | USFF +0.250% | | Weekly | | MS | | 11/03/25 | | 56,873 | | 652,982 | | 755,273 | | 190,277 |
| Garrett Motion, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 309 | | 3,076 | | 3,071 | | 87 |
| General Motors Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 15,223 | | 527,391 | | 690,363 | | 180,541 |
| Gentherm, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 306 | | 16,835 | | 17,619 | | 1,210 |
| Goodyear Tire & Rubber Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,500 | | 62,029 | | 61,785 | | 1,243 |
| LCI Industries | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,493 | | 176,184 | | 183,729 | | 12,436 |
| Lear Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 405 | | 53,300 | | 58,676 | | 7,061 |
| Modine Manufacturing Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 138 | | 2,999 | | 13,136 | | 13,893 |
| Visteon Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 772 | | 89,295 | | 90,795 | | 3,565 |
| | | | | | | | | | | 115,257 | | 2,392,484 | | 2,703,811 | | 450,291 |
| Capital Goods | | | | | | | | | | | | | | |
| 3M Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 130 | | 13,460 | | 13,789 | | (1,476) |
| A. O. Smith Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,934 | | 328,350 | | 441,396 | | 127,799 |
| AAR Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 236 | | 14,150 | | 14,129 | | 340 |
| Acuity Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 933 | | 155,502 | | 250,725 | | 99,297 |
| AECOM | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,751 | | 331,342 | | 367,898 | | 47,596 |
| AMETEK, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 368 | | 54,257 | | 67,307 | | 20,119 |
| Apogee Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8 | | 474 | | 474 | | 31 |
| Applied Industrial Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,147 | | 166,231 | | 226,590 | | 66,841 |
| Array Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 42,716 | | 538,337 | | 636,896 | | 113,867 |
| AZEK Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 20,463 | | 676,223 | | 1,027,652 | | 370,735 |
| Beacon Roofing Supply, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | 1,543 | | 131,614 | | 151,245 | | 25,074 |
| Blue Bird Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,815 | | 36,483 | | 69,587 | | 34,008 |
| Boeing Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,388 | | 249,919 | | 267,870 | | 32,400 |
| Boise Cascade Co. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 737 | | 63,934 | | 113,034 | | 65,640 |
| Builders FirstSource, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,514 | | 418,968 | | 524,295 | | 115,534 |
| BWX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,910 | | 399,619 | | 401,244 | | 11,610 |
| Cadre Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 414 | | 14,977 | | 14,987 | | 391 |
| Carlisle Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 602 | | 211,273 | | 235,894 | | 30,541 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Carrier Global Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,013 | | $ 94,825 | | $117,016 | | $ 25,017 |
| Caterpillar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,452 | | 636,187 | | 898,486 | | 290,961 |
| Chart Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 460 | | 70,069 | | 75,771 | | 7,595 |
| Comfort Systems USA, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,523 | | 216,660 | | 483,872 | | 276,906 |
| Core & Main, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,471 | | 105,258 | | 198,715 | | 102,118 |
| Crane Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,402 | | 368,440 | | 594,842 | | 238,020 |
| CSW Industrials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 248 | | 45,062 | | 58,181 | | 14,313 |
| Cummins, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,043 | | 499,724 | | 601,970 | | 118,315 |
| Curtiss-Wright Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 685 | | 118,955 | | 175,319 | | 63,695 |
| Deere & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 572 | | 220,510 | | 234,943 | | 20,652 |
| DNOW, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,521 | | 37,360 | | 38,319 | | 1,885 |
| Donaldson Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,216 | | 196,007 | | 240,171 | | 51,704 |
| Dover Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 714 | | 114,363 | | 126,514 | | 15,313 |
| Eaton Corp. PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,404 | | 384,012 | | 439,003 | | 66,712 |
| EMCOR Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,127 | | 237,135 | | 394,675 | | 164,652 |
| Emerson Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,203 | | 96,219 | | 136,444 | | 44,471 |
| Enerpac Tool Group Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,623 | | 93,498 | | 129,196 | | 38,143 |
| EnerSys | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,303 | | 212,490 | | 217,541 | | 11,207 |
| Enpro, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 356 | | 34,624 | | 60,082 | | 28,166 |
| Esab Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 903 | | 90,479 | | 99,845 | | 11,640 |
| Fastenal Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,480 | | 88,461 | | 114,167 | | 29,828 |
| Federal Signal Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 426 | | 34,451 | | 36,155 | | 2,558 |
| Flowserve Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,154 | | 172,254 | | 189,755 | | 22,848 |
| Fluence Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,956 | | 251,376 | | 207,317 | | (37,929) |
| Fortune Brands Innovations, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,332 | | 76,302 | | 112,780 | | 42,491 |
| Gates Industrial Corp. PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,083 | | 48,376 | | 72,310 | | 25,127 |
| Generac Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,185 | | 477,890 | | 527,896 | | 62,517 |
| General Dynamics Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,429 | | 325,727 | | 403,678 | | 89,670 |
| General Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 3,323 | | 366,826 | | 583,286 | | 226,344 |
| Gibraltar Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 912 | | 61,061 | | 73,443 | | 14,303 |
| Gorman-Rupp Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4 | | 157 | | 158 | | 24 |
| Graco, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 394 | | 33,868 | | 36,823 | | 4,149 |
| Griffon Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,908 | | 230,642 | | 433,293 | | 216,968 |
| Hillman Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 10,466 | | 87,560 | | 111,358 | | 25,945 |
| Honeywell International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,273 | | 642,869 | | 671,783 | | 48,601 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Howmet Aerospace, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,040 | | $ 66,630 | | $ 71,167 | | $ 6,327 |
| Hubbell, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 328 | | 131,024 | | 136,136 | | 8,334 |
| Huntington Ingalls Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 560 | | 130,015 | | 163,223 | | 37,926 |
| Illinois Tool Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,168 | | 285,280 | | 313,409 | | 43,849 |
| Ingersoll Rand, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,358 | | 300,873 | | 318,842 | | 25,364 |
| ITT, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 408 | | 39,226 | | 55,500 | | 17,575 |
| Kadant, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 170 | | 55,010 | | 55,777 | | 2,122 |
| Kaman Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 135 | | 2,838 | | 6,192 | | 3,490 |
| Kennametal, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,017 | | 50,582 | | 50,304 | | 1,745 |
| L3Harris Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 458 | | 94,422 | | 97,600 | | 6,022 |
| Leonardo DRS, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,318 | | 28,880 | | 29,115 | | 954 |
| Lincoln Electric Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,206 | | 304,091 | | 308,061 | | 12,169 |
| Lindsay Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 757 | | 94,041 | | 89,069 | | (2,446) |
| Lockheed Martin Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,791 | | 752,583 | | 814,672 | | 107,265 |
| Masco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,373 | | 254,222 | | 344,942 | | 104,673 |
| MDU Resources Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,845 | | 206,860 | | 273,294 | | 75,610 |
| Middleby Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,059 | | 155,758 | | 170,277 | | 18,324 |
| MSC Industrial Direct Co., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,685 | | 347,824 | | 357,592 | | 23,467 |
| Mueller Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,614 | | 48,337 | | 87,043 | | 45,208 |
| NEXTracker, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 733 | | 30,189 | | 41,246 | | 11,807 |
| Nikola Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,251 | | 3,332 | | 3,381 | | 146 |
| Otis Worldwide Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,857 | | 159,371 | | 184,344 | | 30,455 |
| PACCAR, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,822 | | 127,153 | | 225,728 | | 104,935 |
| Parker-Hannifin Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 508 | | 207,883 | | 282,341 | | 81,414 |
| Pentair PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2 | | 111 | | 171 | | 79 |
| Powell Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,876 | | 207,308 | | 266,955 | | 65,205 |
| Proto Labs, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 164 | | 5,694 | | 5,863 | | 324 |
| Quanex Building Products Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 119 | | 4,349 | | 4,573 | | 349 |
| Quanta Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,817 | | 653,546 | | 731,857 | | 98,016 |
| Regal Rexnord Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 186 | | 31,205 | | 33,499 | | 3,033 |
| Resideo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,873 | | 63,465 | | 64,413 | | 2,507 |
| RTX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,808 | | 326,775 | | 371,394 | | 55,671 |
| Snap-on, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 814 | | 203,483 | | 241,123 | | 47,298 |
| SPX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 541 | | 41,258 | | 66,613 | | 26,479 |
| Stanley Black & Decker, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,905 | | 334,715 | | 382,417 | | 61,051 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Stantec, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 52 | | $ 4,405 | | $ 4,318 | | $ 41 |
| Sterling Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,230 | | 53,396 | | 135,681 | | 85,077 |
| Tennant Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 848 | | 77,142 | | 103,125 | | 28,203 |
| Terex Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,538 | | 116,992 | | 163,447 | | 54,458 |
| Textron, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 4,423 | | 347,343 | | 424,298 | | 94,321 |
| Trane Technologies PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 548 | | 148,638 | | 164,510 | | 19,968 |
| Trex Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,262 | | 119,327 | | 125,885 | | 9,457 |
| Tutor Perini Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 73 | | 999 | | 1,056 | | 97 |
| UFP Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 898 | | 79,263 | | 110,463 | | 35,243 |
| United Rentals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 522 | | 332,663 | | 376,419 | | 52,784 |
| Wabash National Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,675 | | 102,193 | | 139,970 | | 41,636 |
| Watts Water Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 555 | | 90,088 | | 117,965 | | 33,185 |
| Woodward, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,272 | | 167,172 | | 196,041 | | 34,921 |
| WW Grainger, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 237 | | 154,806 | | 241,100 | | 93,417 |
| Xylem, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 233 | | 28,673 | | 30,113 | | 2,423 |
| Zurn Water Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,601 | | 161,206 | | 187,465 | | 31,307 |
| | | | | | | | | | | 262,706 | | 18,307,449 | | 22,890,108 | | 5,268,561 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| ACV Auctions, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 19,597 | | 299,632 | | 367,836 | | 75,509 |
| Alight, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 13,217 | | 117,927 | | 130,187 | | 17,223 |
| ASGN, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,655 | | 159,590 | | 173,378 | | 17,686 |
| Automatic Data Processing, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,613 | | 565,370 | | 652,571 | | 124,331 |
| Booz Allen Hamilton Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,006 | | 429,133 | | 446,211 | | 29,208 |
| Brady Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,182 | | 58,118 | | 70,069 | | 13,628 |
| Brink's Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 394 | | 33,511 | | 36,398 | | 3,733 |
| Broadridge Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 557 | | 112,696 | | 114,107 | | 4,571 |
| Cimpress PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 302 | | 26,998 | | 26,730 | | 405 |
| Cintas Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 335 | | 213,456 | | 230,155 | | 22,051 |
| Conduent, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 290 | | 953 | | 980 | | 66 |
| Copart, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 697 | | 27,832 | | 40,370 | | 13,232 |
| CSG Systems International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,784 | | 93,692 | | 91,947 | | 927 |
| Enviri Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 552 | | 4,570 | | 5,051 | | 608 |
| Healthcare Services Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,748 | | 21,694 | | 21,815 | | 909 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Heidrick & Struggles International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 15 | | $ 503 | | $ 505 | | $ 33 |
| HireRight Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 56 | | 799 | | 799 | | 36 |
| Jacobs Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,558 | | 338,020 | | 393,241 | | 64,741 |
| Leidos Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,057 | | 219,133 | | 269,652 | | 58,470 |
| ManpowerGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,655 | | 121,376 | | 128,494 | | 10,556 |
| Maximus, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 480 | | 39,930 | | 40,272 | | 1,594 |
| MillerKnoll, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,521 | | 37,136 | | 37,660 | | 1,966 |
| MSA Safety, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 267 | | 45,053 | | 51,689 | | 7,926 |
| OPENLANE, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,406 | | 34,424 | | 41,624 | | 8,470 |
| Parsons Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,311 | | 164,749 | | 191,697 | | 30,972 |
| Republic Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,318 | | 180,918 | | 252,318 | | 79,204 |
| Robert Half, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,158 | | 167,079 | | 171,086 | | 11,455 |
| Science Applications International Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 329 | | 34,724 | | 42,898 | | 11,289 |
| SS&C Technologies Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 114 | | 7,384 | | 7,338 | | 311 |
| Steelcase, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,144 | | 63,081 | | 67,284 | | 6,031 |
| Sterling Check Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 175 | | 2,799 | | 2,814 | | 99 |
| TaskUS, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 158 | | 1,910 | | 1,841 | | (6) |
| TELUS International CDA, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 152 | | 1,344 | | 1,286 | | (9) |
| Tetra Tech, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,251 | | 203,859 | | 231,072 | | 33,414 |
| Veralto Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,561 | | 257,890 | | 315,718 | | 64,438 |
| Verisk Analytics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 64 | | 13,057 | | 15,087 | | 2,519 |
| Waste Connections, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 905 | | 152,932 | | 155,669 | | 6,474 |
| Waste Management, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 388 | | 76,809 | | 82,702 | | 8,068 |
| | | | | | | | | | | 76,972 | | 4,330,081 | | 4,910,551 | | 732,138 |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Abercrombie & Fitch Co., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,902 | | 145,183 | | 489,038 | | 347,403 |
| Amazon.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 18,881 | | 2,439,575 | | 3,405,755 | | 1,072,670 |
| AutoZone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 155 | | 471,065 | | 488,506 | | 28,915 |
| Bath & Body Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,461 | | 66,884 | | 73,079 | | 7,838 |
| Best Buy Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 589 | | 34,774 | | 48,316 | | 20,707 |
| CarMax, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 98 | | 5,957 | | 8,537 | | 2,741 |
| Carvana Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 20,240 | | 658,791 | | 1,779,298 | | 1,136,549 |
| eBay, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 11,216 | | 456,572 | | 591,980 | | 165,295 |
| Etsy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,792 | | 268,342 | | 260,586 | | (2,037) |
| Gap, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 24,953 | | 247,010 | | 687,455 | | 453,688 |
| Genuine Parts Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 126 | | 19,520 | | 19,521 | | 647 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Hibbett, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 328 | | $ 23,760 | | $ 25,194 | | $ 2,152 |
| Home Depot, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,529 | | 859,521 | | 970,124 | | 138,599 |
| Kohl's Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,850 | | 154,298 | | 170,528 | | 21,197 |
| LKQ Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,371 | | 71,240 | | 73,225 | | 4,019 |
| Monro, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,101 | | 60,229 | | 66,266 | | 8,053 |
| ODP Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 3,361 | | 135,137 | | 178,301 | | 46,467 |
| Pool Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 384 | | 121,804 | | 154,944 | | 37,185 |
| Ross Stores, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 721 | | 104,964 | | 105,814 | | 3,420 |
| Signet Jewelers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,362 | | 324,610 | | 336,435 | | 19,673 |
| TJX Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,075 | | 283,096 | | 311,867 | | 37,110 |
| Ulta Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 564 | | 294,705 | | 294,904 | | 7,385 |
| Wayfair, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 418 | | 28,670 | | 28,374 | | 417 |
| Williams-Sonoma, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 187 | | 36,559 | | 59,378 | | 26,460 |
| Winmark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 146 | | 56,841 | | 52,808 | | (2,599) |
| | | | | | | | | | | 109,810 | | 7,369,107 | | 10,680,233 | | 3,583,954 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| BRP, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 1,477 | | 1,476 | | 51 |
| Carter's, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,823 | | 186,996 | | 239,052 | | 62,733 |
| Cricut, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 175 | | 820 | | 833 | | 49 |
| Deckers Outdoor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 395 | | 350,789 | | 371,798 | | 29,720 |
| Figs, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 33,159 | | 210,848 | | 165,132 | | (40,572) |
| Garmin Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,675 | | 283,198 | | 398,227 | | 128,207 |
| G-III Apparel Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,595 | | 154,318 | | 162,311 | | 11,763 |
| Hasbro, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,000 | | 201,196 | | 226,080 | | 30,386 |
| Helen of Troy Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,364 | | 162,467 | | 157,187 | | (1,311) |
| Leggett & Platt, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,503 | | 80,225 | | 67,082 | | (9,565) |
| Lululemon Athletica, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 40 | | 15,812 | | 15,626 | | 215 |
| Mattel, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 19,738 | | 378,279 | | 391,010 | | 21,949 |
| Mohawk Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,602 | | 138,293 | | 209,686 | | 74,773 |
| Newell Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 380 | | 2,925 | | 3,051 | | 214 |
| NIKE, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,138 | | 103,677 | | 106,949 | | 7,577 |
| NVR, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 6 | | 23,426 | | 48,600 | | 25,760 |
| Polaris, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 468 | | 42,521 | | 46,856 | | 5,695 |
| PulteGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,971 | | 198,815 | | 358,362 | | 166,515 |
| PVH Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 830 | | 61,867 | | 116,706 | | 56,423 |
| Ralph Lauren Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,813 | | 215,670 | | 340,409 | | 134,019 |
| Smith & Wesson Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 53 | | 934 | | 920 | | 25 |
| Sonos, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,567 | | 67,210 | | 67,987 | | 2,428 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Durables & Apparel —
(continued) | | | | | | | | | | | | | | |
| Tapestry, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,032 | | $ 115,446 | | $ 143,959 | | $ 32,756 |
| TopBuild Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 682 | | 244,374 | | 300,578 | | 63,340 |
| Under Armour, Inc., Class C | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 611 | | 4,247 | | 4,363 | | 235 |
| Vista Outdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,014 | | 82,884 | | 98,799 | | 17,947 |
| Worthington Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,614 | | 79,676 | | 100,439 | | 23,357 |
| YETI Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,001 | | 291,658 | | 269,889 | | (15,259) |
| | | | | | | | | | | 102,271 | | 3,700,048 | | 4,413,367 | | 829,430 |
| Consumer Services | | | | | | | | | | | | | | |
| ADT, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 39,513 | | 255,868 | | 265,527 | | 18,227 |
| Adtalem Global Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,789 | | 106,080 | | 143,355 | | 41,748 |
| Aramark | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 26,638 | | 756,161 | | 866,268 | | 130,947 |
| Booking Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 346 | | 1,090,549 | | 1,255,246 | | 194,032 |
| Bright Horizons Family Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 990 | | 109,404 | | 112,226 | | 5,500 |
| Brinker International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,993 | | 289,105 | | 347,412 | | 65,835 |
| Caesars Entertainment, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,518 | | 210,936 | | 241,357 | | 35,571 |
| Dine Brands Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 836 | | 39,673 | | 38,857 | | 390 |
| DoorDash, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,037 | | 95,168 | | 142,816 | | 53,591 |
| DraftKings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,290 | | 69,551 | | 103,989 | | 36,146 |
| Duolingo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 62 | | 13,709 | | 13,676 | | 86 |
| European Wax Center, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 941 | | 12,270 | | 12,214 | | 259 |
| Expedia Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,087 | | 296,191 | | 287,484 | | (1,486) |
| Frontdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,200 | | 267,040 | | 267,156 | | 6,272 |
| Grand Canyon Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 364 | | 45,429 | | 49,580 | | 5,328 |
| International Game Technology PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 681 | | 14,817 | | 15,384 | | 1,031 |
| Las Vegas Sands Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,434 | | 163,950 | | 177,538 | | 17,833 |
| McDonald's Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,995 | | 538,740 | | 562,490 | | 53,341 |
| MGM Resorts International | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,246 | | 85,352 | | 106,034 | | 22,785 |
| Papa John's International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 875 | | 60,261 | | 58,275 | | (504) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Royal Caribbean Cruises Ltd. (Liberia) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,712 | | $ 378,232 | | $ 655,015 | | $ 286,000 |
| Shake Shack, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 401 | | 39,247 | | 41,716 | | 3,440 |
| Six Flags Entertainment Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,596 | | 52,485 | | 68,327 | | 17,134 |
| Starbucks Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,600 | | 147,701 | | 146,224 | | 2,483 |
| Strategic Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 205 | | 21,287 | | 21,345 | | 623 |
| Sweetgreen, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,756 | | 41,791 | | 44,357 | | 3,599 |
| Vail Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 211 | | 47,058 | | 47,017 | | 1,531 |
| Wyndham Hotels & Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,218 | | 171,375 | | 170,232 | | 3,652 |
| Wynn Resorts Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,715 | | 178,132 | | 175,324 | | 1,740 |
| Yum! Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,369 | | 425,757 | | 467,112 | | 58,485 |
| | | | | | | | | | | 126,618 | | 6,023,319 | | 6,903,553 | | 1,065,619 |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Albertsons Cos., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11,238 | | 242,385 | | 240,943 | | 4,492 |
| Costco Wholesale Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 1,165 | | 668,787 | | 853,514 | | 219,829 |
| Dollar General Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,026 | | 156,943 | | 160,118 | | 7,009 |
| Grocery Outlet Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,188 | | 58,393 | | 62,971 | | 6,855 |
| Kroger Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 18,082 | | 957,266 | | 1,033,025 | | 101,330 |
| Performance Food Group Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 166 | | 12,536 | | 12,390 | | 175 |
| Sysco Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,011 | | 137,451 | | 163,253 | | 30,524 |
| Target Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,605 | | 992,424 | | 1,170,472 | | 208,881 |
| US Foods Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,916 | | 67,251 | | 103,407 | | 40,343 |
| Walgreens Boots Alliance, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,969 | | 65,343 | | 64,398 | | 1,205 |
| Walmart, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,604 | | 377,841 | | 397,363 | | 30,589 |
| Weis Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 133 | | 8,536 | | 8,565 | | 253 |
| | | | | | | | | | | 54,103 | | 3,745,156 | | 4,270,419 | | 651,485 |
| Energy | | | | | | | | | | | | | | |
| Antero Midstream Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 34,565 | | 438,935 | | 485,984 | | 61,409 |
| APA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,716 | | 87,648 | | 93,376 | | 9,625 |
| Archrock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 13,564 | | 251,453 | | 266,804 | | 21,748 |
| Baker Hughes Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 19,984 | | 547,124 | | 669,464 | | 151,943 |
| Berry Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,925 | | 15,129 | | 15,496 | | 751 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Borr Drilling Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,943 | | $ 43,827 | | $ 47,560 | | $ 4,943 |
| California Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,091 | | 254,351 | | 280,514 | | 34,095 |
| Cameco Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,542 | | 65,346 | | 66,799 | | 3,095 |
| Canadian Natural Resources Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,135 | | 634,525 | | 773,503 | | 167,965 |
| Cheniere Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,546 | | 245,013 | | 249,339 | | 10,187 |
| Chesapeake Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,468 | | 259,405 | | 308,062 | | 57,571 |
| Chord Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 247 | | 37,082 | | 44,025 | | 11,342 |
| ConocoPhillips | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,182 | | 326,424 | | 405,005 | | 100,481 |
| CONSOL Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,064 | | 269,568 | | 340,401 | | 76,995 |
| Coterra Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,016 | | 211,704 | | 223,486 | | 17,988 |
| CVR Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 923 | | 27,845 | | 32,914 | | 8,303 |
| Delek US Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,418 | | 93,254 | | 105,069 | | 14,263 |
| Devon Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,453 | | 505,578 | | 574,712 | | 92,656 |
| DHT Holdings, Inc. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 10,989 | | 98,457 | | 126,374 | | 41,813 |
| Diamondback Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,492 | | 263,853 | | 295,670 | | 44,078 |
| Dorian LPG Ltd. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,764 | | 312,562 | | 375,523 | | 87,062 |
| Enbridge, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,388 | | 114,989 | | 122,578 | | 10,120 |
| Enerplus Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 6,898 | | 98,359 | | 135,615 | | 40,880 |
| EOG Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,001 | | 109,947 | | 127,968 | | 26,421 |
| Equitrans Midstream Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 11,857 | | 57,891 | | 148,094 | | 95,185 |
| Exxon Mobil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 6,214 | | 638,494 | | 722,315 | | 130,303 |
| Gulfport Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 628 | | 62,734 | | 100,555 | | 40,198 |
| Halliburton Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,426 | | 123,950 | | 135,053 | | 14,726 |
| Helix Energy Solutions Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,187 | | 90,833 | | 99,587 | | 10,980 |
| Helmerich & Payne, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,400 | | 334,648 | | 395,364 | | 73,204 |
| Kinder Morgan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10,520 | | 187,068 | | 192,937 | | 16,259 |
| Marathon Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 27,263 | | 685,029 | | 772,633 | | 104,499 |
| Marathon Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,697 | | 254,023 | | 341,946 | | 115,342 |
| Murphy Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,944 | | 109,612 | | 134,541 | | 30,512 |
| Nabors Industries Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,006 | | 86,512 | | 86,647 | | 2,256 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Nordic American Tankers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 20,238 | | $ 72,887 | | $ 79,333 | | $ 16,963 |
| Occidental Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 9,003 | | 518,397 | | 585,105 | | 87,343 |
| Pembina Pipeline Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,662 | | 53,020 | | 58,735 | | 9,131 |
| Phillips 66 | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,527 | | 214,544 | | 249,420 | | 40,999 |
| Pioneer Natural Resources Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,755 | | 393,659 | | 460,688 | | 82,516 |
| REX American Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9 | | 502 | | 528 | | 55 |
| Schlumberger NV (Curacao) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,888 | | 90,913 | | 103,481 | | 14,968 |
| SPDR S&P 500 ETF Trust | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,291 | | 2,140,971 | | 2,244,493 | | 163,485 |
| Targa Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 185 | | 20,343 | | 20,718 | | 887 |
| TC Energy Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 51 | | 2,023 | | 2,050 | | 167 |
| TechnipFMC PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 16,995 | | 342,774 | | 426,744 | | 97,598 |
| Transocean Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8,787 | | 41,655 | | 55,182 | | 15,805 |
| US Silica Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 6,608 | | 79,466 | | 82,005 | | 4,346 |
| Valero Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 249 | | 42,150 | | 42,502 | | 1,394 |
| | | | | | | | | | | 323,704 | | 11,956,476 | | 13,706,897 | | 2,264,855 |
| Financial Services | | | | | | | | | | | | | | |
| AvidXchange Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 24,953 | | 285,735 | | 328,132 | | 49,363 |
| Berkshire Hathaway, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,916 | | 783,653 | | 1,226,236 | | 461,662 |
| BlackRock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 185 | | 127,065 | | 154,235 | | 34,695 |
| Cboe Global Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,954 | | 471,765 | | 542,738 | | 86,014 |
| CME Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,470 | | 501,883 | | 531,766 | | 44,362 |
| Coinbase Global, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,241 | | 204,221 | | 329,014 | | 129,777 |
| Corpay, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 942 | | 258,368 | | 290,645 | | 38,577 |
| Donnelley Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 315 | | 19,439 | | 19,533 | | 583 |
| FactSet Research Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 39 | | 17,365 | | 17,721 | | 795 |
| Fiserv, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,792 | | 843,250 | | 1,085,497 | | 263,410 |
| Franklin Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 12,526 | | 287,408 | | 352,106 | | 96,140 |
| Intercontinental Exchange, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,956 | | 388,793 | | 406,243 | | 29,722 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Financial Services — (continued) | | | | | | | | | | | | | | |
| International Money Express, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,250 | | $ 26,262 | | $ 28,538 | | $ 2,955 |
| Mastercard, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 339 | | 133,650 | | 163,252 | | 33,271 |
| Morningstar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 581 | | 163,043 | | 179,163 | | 20,106 |
| NCR Atleos Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,674 | | 70,230 | | 72,562 | | 4,050 |
| Open Lending Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 81 | | 501 | | 507 | | 34 |
| Paymentus Holdings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 23 | | 23 | | 17 |
| Payoneer Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 18,571 | | 91,646 | | 90,255 | | 661 |
| PayPal Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,801 | | 572,013 | | 723,559 | | 165,477 |
| S&P Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 356 | | 155,608 | | 151,460 | | (1,069) |
| Shift4 Payments, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,566 | | 171,834 | | 169,536 | | 1,897 |
| T Rowe Price Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,736 | | 296,857 | | 333,573 | | 69,067 |
| Visa, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,459 | | 356,583 | | 407,178 | | 60,601 |
| | | | | | | | | | | 100,704 | | 6,227,195 | | 7,603,472 | | 1,592,167 |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Altria Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 9,586 | | 385,210 | | 418,141 | | 130,966 |
| Archer-Daniels-Midland Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,663 | | 568,288 | | 544,123 | | (4,861) |
| B&G Foods, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 25,034 | | 248,575 | | 286,389 | | 48,580 |
| Bunge Global SA (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,093 | | 305,896 | | 317,094 | | 20,924 |
| Campbell Soup Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,835 | | 78,987 | | 81,566 | | 4,516 |
| Celsius Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,519 | | 73,185 | | 208,875 | | 137,487 |
| Coca-Cola Co. (The) | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 10,476 | | 600,791 | | 640,922 | | 90,373 |
| Conagra Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,466 | | 329,144 | | 339,852 | | 23,829 |
| Constellation Brands, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 962 | | 234,322 | | 261,433 | | 33,918 |
| Dole PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 915 | | 10,803 | | 10,916 | | 444 |
| General Mills, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 2,676 | | 170,892 | | 187,240 | | 25,974 |
| Hormel Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,202 | | 207,904 | | 216,388 | | 14,311 |
| Ingredion, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,673 | | 179,915 | | 195,490 | | 22,483 |
| Kellogg Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,926 | | 490,121 | | 511,371 | | 39,886 |
| Keurig Dr Pepper, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 15,575 | | 522,066 | | 477,685 | | (18,018) |
| Kraft Heinz Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,914 | | 308,563 | | 328,927 | | 30,380 |
| Lancaster Colony Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 169 | | 32,363 | | 35,089 | | 3,672 |
| McCormick & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,967 | | 197,190 | | 227,895 | | 36,095 |
| Molson Coors Beverage Co., Class B | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,547 | | 88,975 | | 104,036 | | 19,161 |
| Mondelez International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,046 | | 274,474 | | 283,220 | | 17,452 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Philip Morris International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,893 | | $ 175,542 | | $ 173,437 | | $ 5,478 |
| Primo Water Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,145 | | 66,506 | | 75,480 | | 10,830 |
| Simply Good Foods Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,403 | | 202,954 | | 183,864 | | (14,137) |
| SunOpta, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,150 | | 7,823 | | 7,901 | | 284 |
| Tootsie Roll Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7 | | 224 | | 224 | | 22 |
| Vector Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,734 | | 19,005 | | 19,005 | | 561 |
| Vita Coco Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,357 | | 239,998 | | 228,592 | | (5,552) |
| Vital Farms, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 259 | | 5,773 | | 6,022 | | 406 |
| | | | | | | | | | | 151,192 | | 6,025,489 | | 6,371,177 | | 675,464 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Align Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 934 | | 271,130 | | 306,277 | | 41,758 |
| Astrana Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,809 | | 69,487 | | 75,960 | | 8,180 |
| Avanos Medical, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,080 | | 82,909 | | 81,233 | | 357 |
| Baxter International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 17,714 | | 597,328 | | 757,096 | | 179,194 |
| Becton Dickinson & Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,978 | | 701,731 | | 736,906 | | 59,659 |
| Cardinal Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,943 | | 511,982 | | 553,122 | | 57,932 |
| Cencora, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 779 | | 147,964 | | 189,289 | | 46,209 |
| Centene Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 7,597 | | 523,557 | | 596,213 | | 85,453 |
| Cigna Group (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,389 | | 480,285 | | 504,471 | | 36,839 |
| CONMED Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,671 | | 641,024 | | 534,214 | | (89,377) |
| Cross Country Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,910 | | 144,880 | | 110,635 | | (30,713) |
| CVS Health Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 4,066 | | 281,449 | | 324,304 | | 51,003 |
| DaVita, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,291 | | 570,618 | | 868,473 | | 311,763 |
| Definitive Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,056 | | 52,418 | | 48,872 | | (2,254) |
| Evolent Health, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8,223 | | 267,803 | | 269,632 | | 8,360 |
| Fulgent Genetics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,988 | | 117,299 | | 43,140 | | (73,938) |
| GE HealthCare Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 6,703 | | 438,213 | | 609,370 | | 184,492 |
| Haemonetics Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 757 | | 61,093 | | 64,610 | | 5,130 |
| HCA Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 999 | | 265,641 | | 333,196 | | 76,726 |
| HealthStream, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 54 | | 1,419 | | 1,440 | | 72 |
| Hologic, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,320 | | 167,924 | | 180,867 | | 17,044 |
| Humana, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,223 | | 488,898 | | 424,039 | | (50,846) |
| IDEXX Laboratories, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,275 | | 683,082 | | 688,411 | | 21,961 |
| Lantheus Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,874 | | 209,198 | | 241,118 | | 37,025 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| LeMaitre Vascular, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 191 | | $ 12,789 | | $ 12,675 | | $ 245 |
| McKesson Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 201 | | 104,617 | | 107,907 | | 5,926 |
| Medtronic PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,335 | | 787,776 | | 813,545 | | 51,537 |
| Molina Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 743 | | 259,427 | | 305,247 | | 52,278 |
| National HealthCare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 116 | | 10,796 | | 10,963 | | 507 |
| Omnicell, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 942 | | 30,342 | | 27,535 | | (2,515) |
| Owens & Minor, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,193 | | 149,484 | | 199,318 | | 53,487 |
| Penumbra, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 305 | | 69,431 | | 68,070 | | 344 |
| Phreesia, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,112 | | 96,990 | | 98,400 | | 3,681 |
| Privia Health Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,556 | | 145,686 | | 128,432 | | (13,694) |
| Quest Diagnostics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,950 | | 248,044 | | 259,565 | | 17,949 |
| ResMed, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,302 | | 426,058 | | 455,865 | | 41,315 |
| Select Medical Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 827 | | 23,135 | | 24,934 | | 2,378 |
| Teleflex, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 236 | | 53,117 | | 53,376 | | 1,587 |
| Tenet Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,435 | | 128,122 | | 150,833 | | 28,022 |
| UFP Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 201 | | 25,166 | | 50,692 | | 27,416 |
| UnitedHealth Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 611 | | 310,074 | | 302,262 | | (1,042) |
| Zimmer Biomet Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,160 | | 260,920 | | 285,077 | | 31,508 |
| | | | | | | | | | | 138,049 | | 10,919,306 | | 11,897,584 | | 1,282,958 |
| Household & Personal Products | | | | | | | | | | | | | | |
| BellRing Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,913 | | 590,934 | | 644,194 | | 67,651 |
| Clorox Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,179 | | 334,517 | | 333,627 | | 6,798 |
| Colgate-Palmolive Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,519 | | 517,983 | | 587,036 | | 84,365 |
| Coty, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8,473 | | 99,179 | | 101,337 | | 4,587 |
| elf Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2 | | 177 | | 392 | | 236 |
| Estee Lauder Cos., Inc. (The), Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 440 | | 61,858 | | 67,826 | | 7,322 |
| Kenvue, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 16,723 | | 326,408 | | 358,876 | | 45,533 |
| Kimberly-Clark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,861 | | 482,379 | | 499,420 | | 52,324 |
| Procter & Gamble Co. (The) | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 2,155 | | 303,686 | | 349,649 | | 85,619 |
| Reynolds Consumer Products, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,245 | | 35,954 | | 35,557 | | 528 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Household & Personal Products —
(continued) | | | | | | | | | | | | | | |
| Spectrum Brands Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 261 | | $ 15,947 | | $ 23,232 | | $ 7,792 |
| WD-40 Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 442 | | 114,457 | | 111,963 | | 324 |
| | | | | | | | | | | 53,213 | | 2,883,479 | | 3,113,109 | | 363,079 |
| Materials | | | | | | | | | | | | | | |
| Alamos Gold, Inc., Class A (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 24,910 | | 295,670 | | 367,423 | | 83,870 |
| Alpha Metallurgical Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 649 | | 203,939 | | 214,929 | | 15,977 |
| Amcor PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 19,565 | | 176,344 | | 186,063 | | 19,171 |
| AptarGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 975 | | 136,205 | | 140,293 | | 7,417 |
| Arch Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 148 | | 23,694 | | 23,797 | | 696 |
| Avient Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,913 | | 64,091 | | 83,024 | | 22,962 |
| Axalta Coating Systems Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,681 | | 107,862 | | 126,590 | | 23,293 |
| Balchem Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 113 | | 17,487 | | 17,509 | | 464 |
| Ball Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,221 | | 261,857 | | 351,687 | | 100,137 |
| Berry Global Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,043 | | 178,100 | | 184,041 | | 11,890 |
| Cabot Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,366 | | 100,827 | | 125,945 | | 28,529 |
| Carpenter Technology Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,621 | | 298,694 | | 330,032 | | 40,282 |
| Celanese Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,309 | | 361,206 | | 396,825 | | 44,422 |
| CF Industries Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 4,266 | | 266,997 | | 354,974 | | 107,234 |
| Cleveland-Cliffs, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 50,456 | | 807,611 | | 1,147,369 | | 365,051 |
| Crown Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,220 | | 97,939 | | 96,697 | | 1,524 |
| Dow, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 58 | | 3,363 | | 3,360 | | 95 |
| Eastman Chemical Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,223 | | 170,456 | | 222,789 | | 60,293 |
| Ecolab, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 230 | | 37,844 | | 53,107 | | 16,435 |
| Fortuna Silver Mines, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 43,889 | | 143,008 | | 163,706 | | 24,193 |
| Freeport-McMoRan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,926 | | 153,153 | | 184,601 | | 36,843 |
| Hawkins, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 154 | | 7,789 | | 11,827 | | 4,313 |
| HB Fuller Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,501 | | 104,302 | | 119,690 | | 18,253 |
| Innospec, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 399 | | 39,324 | | 51,447 | | 13,494 |
| International Flavors & Fragrances, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,704 | | 209,410 | | 232,517 | | 31,134 |
| International Paper Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,129 | | 71,266 | | 83,074 | | 15,592 |
| Knife River Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,260 | | 82,880 | | 102,161 | | 21,313 |
| Koppers Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 278 | | 14,899 | | 15,337 | | 820 |
| Linde PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,379 | | 525,293 | | 640,297 | | 142,884 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| LyondellBasell Industries NV, Class A (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,903 | | $ 262,049 | | $ 296,919 | | $ 46,766 |
| Martin Marietta Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 260 | | 106,524 | | 159,624 | | 63,349 |
| Metallus, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 264 | | 267 | | 26 |
| Minerals Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,158 | | 69,191 | | 87,174 | | 19,784 |
| NewMarket Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 379 | | 196,171 | | 240,521 | | 50,788 |
| Nucor Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,245 | | 179,015 | | 246,386 | | 79,027 |
| Packaging Corp. of America | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 913 | | 129,110 | | 173,269 | | 51,958 |
| PPG Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,770 | | 239,538 | | 256,473 | | 24,008 |
| Quaker Chemical Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,186 | | 223,375 | | 243,427 | | 26,080 |
| Royal Gold, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,174 | | 236,489 | | 264,815 | | 34,238 |
| RPM International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,063 | | 99,640 | | 126,444 | | 30,525 |
| Scotts Miracle-Gro Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,653 | | 308,728 | | 421,657 | | 128,171 |
| Sealed Air Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,197 | | 42,141 | | 44,528 | | 4,418 |
| Sherwin-Williams Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 850 | | 228,373 | | 295,231 | | 73,274 |
| SilverCrest Metals, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 98 | | 645 | | 653 | | 39 |
| Sonoco Products Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 107 | | 6,099 | | 6,189 | | 255 |
| Summit Materials, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 542 | | 22,735 | | 24,157 | | 1,991 |
| Taseko Mines Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 141 | | 304 | | 306 | | 25 |
| Vulcan Materials Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 600 | | 135,205 | | 163,752 | | 32,473 |
| Warrior Met Coal, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 474 | | 15,803 | | 28,772 | | 13,946 |
| West Fraser Timber Co. Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 85 | | 86 | | 27 |
| Westrock Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,071 | | 89,702 | | 102,411 | | 15,106 |
| Worthington Steel, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 30 | | 1,080 | | 1,076 | | 38 |
| | | | | | | | | | | 209,413 | | 7,553,776 | | 9,215,248 | | 1,954,893 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Alphabet, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 14,192 | | 1,632,547 | | 2,141,999 | | 592,195 |
| Angi, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 66 | | 173 | | 173 | | 21 |
| Bumble, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,815 | | 117,956 | | 77,350 | | (41,765) |
| Cable One, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 137 | | 73,028 | | 57,969 | | (12,765) |
| Charter Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 191 | | 58,356 | | 55,510 | | (1,410) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Cinemark Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 14,979 | | $ 175,959 | | $ 269,173 | | $ 97,510 |
| Clear Channel Outdoor Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,858 | | 6,604 | | 6,366 | | (61) |
| Comcast Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 19,415 | | 753,508 | | 841,640 | | 134,134 |
| Electronic Arts, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,262 | | 668,258 | | 698,110 | | 47,502 |
| Getty Images Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 41 | | 168 | | 170 | | 23 |
| Grindr, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 55 | | 545 | | 557 | | 42 |
| Interpublic Group of Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 7,055 | | 204,319 | | 230,205 | | 42,252 |
| Match Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,043 | | 176,014 | | 182,960 | | 11,244 |
| Meta Platforms, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,879 | | 599,364 | | 1,883,565 | | 1,300,639 |
| Netflix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,556 | | 743,320 | | 945,005 | | 219,782 |
| News Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3,925 | | 94,423 | | 102,757 | | 11,454 |
| Omnicom Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 711 | | 62,073 | | 68,796 | | 10,093 |
| Sirius XM Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 35,033 | | 141,390 | | 135,928 | | (2,006) |
| Spotify Technology SA (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,514 | | 382,216 | | 399,545 | | 25,983 |
| TripAdvisor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11,111 | | 298,684 | | 308,775 | | 17,459 |
| Vimeo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 13,302 | | 53,617 | | 54,405 | | 2,109 |
| Walt Disney Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 6,418 | | 556,636 | | 785,306 | | 245,356 |
| Warner Music Group Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,218 | | 72,683 | | 73,238 | | 2,340 |
| Yelp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,212 | | 223,580 | | 205,353 | | (13,309) |
| ZipRecruiter, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,369 | | 44,460 | | 38,710 | | (4,652) |
| ZoomInfo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7,704 | | 121,465 | | 123,495 | | 5,001 |
| | | | | | | | | | | 173,061 | | 7,261,346 | | 9,687,060 | | 2,689,171 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbbVie, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,393 | | 785,549 | | 799,965 | | 33,642 |
| ADMA Biologics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,351 | | 39,175 | | 41,917 | | 3,745 |
| Agilent Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,778 | | 565,282 | | 695,247 | | 145,776 |
| Alkermes PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 19,449 | | 566,049 | | 526,484 | | (25,781) |
| Alpine Immune Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,468 | | 56,447 | | 58,192 | | 3,134 |
| Amgen, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 143 | | 31,129 | | 40,658 | | 11,233 |
| Amneal Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,050 | | 28,527 | | 30,603 | | 2,786 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Amphastar Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,680 | | $ 193,490 | | $ 161,589 | | $ (27,232) |
| ANI Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,439 | | 83,476 | | 99,478 | | 18,049 |
| Ardelyx, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 22,487 | | 88,865 | | 164,155 | | 85,277 |
| Azenta, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,267 | | 208,727 | | 196,935 | | (7,255) |
| Beam Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,547 | | 96,320 | | 84,153 | | (9,807) |
| Bio-Rad Laboratories, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 626 | | 185,924 | | 216,515 | | 35,130 |
| Bristol-Myers Squibb Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 25,897 | | 1,345,712 | | 1,404,394 | | 91,215 |
| Collegium Pharmaceutical, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,237 | | 193,147 | | 280,940 | | 92,508 |
| Corcept Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,584 | | 58,213 | | 65,091 | | 8,611 |
| Danaher Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 78 | | 19,485 | | 19,478 | | 591 |
| EyePoint Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,163 | | 115,949 | | 106,719 | | (8,511) |
| Gilead Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,125 | | 461,674 | | 448,656 | | 1,397 |
| Halozyme Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,320 | | 79,187 | | 94,378 | | 18,927 |
| Harmony Biosciences Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,683 | | 313,587 | | 325,155 | | 19,123 |
| ImmunityBio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,763 | | 21,699 | | 20,207 | | (948) |
| Incyte Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,941 | | 494,394 | | 509,369 | | 27,017 |
| IQVIA Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,429 | | 303,838 | | 361,380 | | 65,340 |
| Ironwood Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 933 | | 8,065 | | 8,126 | | 274 |
| Johnson & Johnson | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 7,660 | | 1,179,918 | | 1,211,735 | | 120,727 |
| Merck & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,950 | | 660,114 | | 785,103 | | 151,950 |
| Mettler-Toledo International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 278 | | 302,164 | | 370,099 | | 75,301 |
| Natera, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 210 | | 18,886 | | 19,207 | | 794 |
| Nurix Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 74 | | 1,023 | | 1,088 | | 106 |
| Nuvation Bio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 41 | | 154 | | 149 | | 15 |
| QIAGEN NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 318 | | 13,574 | | 13,671 | | 444 |
| Rhythm Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,285 | | 31,551 | | 55,679 | | 24,912 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Scholar Rock Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 92 | | $ 1,491 | | $ 1,634 | | $ 195 |
| Spyre Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7 | | 259 | | 266 | | 29 |
| Taysha Gene Therapies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 24 | | 73 | | 69 | | 3 |
| Thermo Fisher Scientific, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 538 | | 295,002 | | 312,691 | | 25,236 |
| Twist Bioscience Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,363 | | 173,498 | | 218,315 | | 48,927 |
| United Therapeutics Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 199 | | 42,995 | | 45,714 | | 5,225 |
| Vera Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 25 | | 443 | | 1,078 | | 662 |
| Viatris, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 12,828 | | 142,021 | | 153,166 | | 19,251 |
| Waters Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 115 | | 39,773 | | 39,586 | | 797 |
| WaVe Life Sciences Ltd. (Singapore) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 173 | | 1,005 | | 1,067 | | 103 |
| | | | | | | | | | | 186,011 | | 9,247,854 | | 9,990,101 | | 1,058,918 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,724 | | 1,108,936 | | 1,394,105 | | 312,159 |
| Amkor Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,986 | | 152,043 | | 160,749 | | 12,759 |
| Applied Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 5,981 | | 801,793 | | 1,233,462 | | 465,464 |
| Axcelis Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 841 | | 97,307 | | 93,788 | | (1,215) |
| Broadcom, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 432 | | 385,529 | | 572,577 | | 220,100 |
| Entegris, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,711 | | 229,720 | | 240,464 | | 16,546 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,284 | | 282,836 | | 275,349 | | (591) |
| Ichor Holdings Ltd. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 464 | | 463 | | 27 |
| KLA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 523 | | 283,540 | | 365,352 | | 90,160 |
| Lam Research Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 386 | | 193,065 | | 375,026 | | 190,468 |
| Microchip Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,616 | | 355,923 | | 503,811 | | 170,758 |
| Micron Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,470 | | 515,542 | | 526,968 | | 24,457 |
| Monolithic Power Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,335 | | 793,511 | | 904,356 | | 132,324 |
| NVIDIA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,903 | | 996,228 | | 2,623,035 | | 1,651,444 |
| NXP Semiconductors NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,787 | | 445,292 | | 690,535 | | 268,166 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| ON Semiconductor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,632 | | $ 367,234 | | $ 340,684 | | $ (17,601) |
| Photronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 11,385 | | 202,374 | | 322,423 | | 124,988 |
| Qorvo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,520 | | 742,175 | | 748,692 | | 24,586 |
| QUALCOMM, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 10,198 | | 1,351,861 | | 1,726,521 | | 425,450 |
| Skyworks Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,725 | | 663,220 | | 728,452 | | 87,958 |
| SMART Global Holdings, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,094 | | 111,306 | | 134,074 | | 25,491 |
| | | | | | | | | | | 89,545 | | 10,079,899 | | 13,960,886 | | 4,223,898 |
| Software & Services | | | | | | | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,302 | | 1,044,582 | | 1,144,506 | | 132,763 |
| Adobe, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,644 | | 1,185,716 | | 1,334,162 | | 177,304 |
| Amdocs Ltd. (Guernsey) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 813 | | 73,442 | | 73,471 | | 2,167 |
| Appfolio, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,022 | | 231,040 | | 252,168 | | 27,245 |
| Bitfarms Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 173,299 | | 407,824 | | 386,457 | | (11,431) |
| Blackbaud, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,571 | | 119,848 | | 116,474 | | (589) |
| Box, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,567 | | 101,338 | | 101,017 | | 2,161 |
| Cadence Design Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 861 | | 185,743 | | 268,012 | | 86,374 |
| CGI, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 124 | | 13,686 | | 13,701 | | 364 |
| Crowdstrike Holdings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 188 | | 31,248 | | 60,271 | | 29,799 |
| Docebo, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 154 | | 7,974 | | 7,543 | | (221) |
| DXC Technology Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,253 | | 160,794 | | 153,836 | | (3,108) |
| Enfusion, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 306 | | 2,809 | | 2,831 | | 106 |
| EverCommerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 36 | | 322 | | 339 | | 41 |
| Fortinet, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 8,059 | | 553,796 | | 550,510 | | 10,201 |
| Gen Digital, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 17,300 | | 323,300 | | 387,520 | | 79,364 |
| Gitlab, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 948 | | 45,199 | | 55,287 | | 11,204 |
| Globant SA (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 658 | | 139,065 | | 132,850 | | (2,815) |
| GoDaddy, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 820 | | 89,573 | | 97,318 | | 12,206 |
| Guidewire Software, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,619 | | 177,309 | | 188,953 | | 15,974 |
| Hackett Group, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4 | | 97 | | 97 | | 28 |
| Informatica, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,776 | | 154,070 | | 167,160 | | 16,966 |
| InterDigital, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3,403 | | 282,852 | | 362,283 | | 92,051 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| International Business Machines Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,422 | | $ 334,677 | | $ 462,505 | | $ 148,452 |
| JFrog Ltd. (Israel) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,481 | | 275,864 | | 330,810 | | 61,672 |
| Kyndryl Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 2,551 | | 39,446 | | 55,510 | | 17,040 |
| LiveRamp Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,515 | | 163,814 | | 155,768 | | (4,045) |
| Manhattan Associates, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 199 | | 40,624 | | 49,796 | | 10,176 |
| MeridianLink, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 174 | | 3,160 | | 3,254 | | 187 |
| Microsoft Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3,517 | | 885,857 | | 1,479,672 | | 637,880 |
| N-able, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 98 | | 1,281 | | 1,281 | | 47 |
| NCR Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 16,121 | | 234,153 | | 203,608 | | (25,474) |
| NextNav, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 211 | | 1,409 | | 1,388 | | 30 |
| Nutanix, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,522 | | 212,421 | | 402,538 | | 195,300 |
| Okta, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,802 | | 624,607 | | 607,005 | | (2,392) |
| Oracle Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 11,383 | | 1,131,387 | | 1,429,819 | | 360,754 |
| Palantir Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 26,919 | | 580,669 | | 619,406 | | 53,380 |
| Palo Alto Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,242 | | 701,248 | | 921,149 | | 236,975 |
| Pegasystems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,617 | | 168,476 | | 169,163 | | 4,878 |
| Q2 Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,365 | | 135,759 | | 176,864 | | 44,424 |
| Qualys, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,739 | | 263,916 | | 290,187 | | 32,707 |
| Roper Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 344 | | 188,812 | | 192,929 | | 8,726 |
| Salesforce, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,911 | | 734,426 | | 1,177,915 | | 462,736 |
| Samsara, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 11,150 | | 300,302 | | 421,359 | | 130,406 |
| ServiceNow, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 1,799 | | 1,091,018 | | 1,371,558 | | 307,094 |
| SolarWinds Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 596 | | 606 | | 41 |
| SPS Commerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 404 | | 74,815 | | 74,700 | | 1,721 |
| Squarespace, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 849 | | 23,653 | | 30,938 | | 7,876 |
| Synopsys, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 181 | | 101,671 | | 103,442 | | 4,260 |
| UiPath, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,705 | | 129,235 | | 174,672 | | 48,372 |
| Verint Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 85 | | 2,834 | | 2,818 | | 69 |
| VeriSign, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 1,606 | | 310,406 | | 304,353 | | 1,514 |
| Workday, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 638 | | 170,722 | | 174,015 | | 5,199 |
| Yext, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 13,271 | | 100,375 | | 80,024 | | (17,893) |
| Zoom Video Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,888 | | 648,713 | | 646,379 | | 13,462 |
| Zuora, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,884 | | 34,653 | | 35,422 | | 1,591 |
| | | | | | | | | | | 387,368 | | 15,042,626 | | 18,007,619 | | 3,425,319 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Amphenol Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,974 | | 411,305 | | 458,401 | | 57,959 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| Apple, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 22,591 | | $ 3,799,975 | | $ 3,873,905 | | $ 199,400 |
| Arlo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,413 | | 52,742 | | 55,824 | | 4,382 |
| Arrow Electronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,571 | | 185,585 | | 203,382 | | 23,205 |
| Badger Meter, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 464 | | 64,403 | | 75,080 | | 13,341 |
| Bel Fuse, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,728 | | 88,168 | | 104,216 | | 18,219 |
| CDW Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,012 | | 193,365 | | 258,849 | | 72,007 |
| Ciena Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12,248 | | 628,723 | | 605,664 | | (7,750) |
| Cisco Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 19,614 | | 905,354 | | 978,935 | | 153,003 |
| Crane NXT Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 297 | | 11,849 | | 18,384 | | 8,914 |
| Extreme Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 17,520 | | 366,106 | | 202,181 | | (156,608) |
| F5, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,773 | | 469,753 | | 525,733 | | 67,423 |
| Fabrinet (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 468 | | 76,801 | | 88,461 | | 13,545 |
| Hewlett Packard Enterprise Co. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 26,439 | | 402,327 | | 468,763 | | 94,123 |
| HP, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 19,297 | | 403,106 | | 583,155 | | 263,162 |
| Insight Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 902 | | 112,040 | | 167,339 | | 58,040 |
| Itron, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,692 | | 232,722 | | 249,064 | | 22,019 |
| Jabil, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,856 | | 339,811 | | 382,561 | | 51,189 |
| Keysight Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,413 | | 214,831 | | 220,965 | | 11,376 |
| Littelfuse, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 649 | | 155,724 | | 157,285 | | 5,630 |
| Motorola Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 505 | | 157,880 | | 179,265 | | 27,928 |
| Napco Security Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,312 | | 59,940 | | 92,850 | | 34,806 |
| NetApp, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3,614 | | 294,912 | | 379,362 | | 115,957 |
| NetScout Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,331 | | 130,782 | | 94,589 | | (33,003) |
| PC Connection, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 144 | | 9,380 | | 9,494 | | 358 |
| Rogers Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 195 | | 21,777 | | 23,145 | | 1,979 |
| Seagate Technology Holdings PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,275 | | 273,810 | | 397,789 | | 140,788 |
| Super Micro Computer, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 588 | | 228,667 | | 593,898 | | 370,809 |
| TD SYNNEX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 506 | | 54,187 | | 57,229 | | 4,664 |
| TE Connectivity Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,071 | | 132,303 | | 155,552 | | 28,400 |
| Vontier Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,415 | | 81,421 | | 109,544 | | 30,530 |
| Western Digital Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,494 | | 204,641 | | 306,671 | | 107,024 |
| Xerox Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 52 | | 927 | | 931 | | 43 |
| | | | | | | | | | | 167,423 | | 10,765,317 | | 12,078,466 | | 1,802,862 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Telecommunication Services | | | | | | | | | | | | | | |
| Anterix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 307 | | $ 11,248 | | $ 10,318 | | $ (640) |
| AT&T, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 17,256 | | 264,228 | | 303,706 | | 50,016 |
| Iridium Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,473 | | 147,967 | | 117,014 | | (26,940) |
| Lumen Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 906 | | 1,429 | | 1,413 | | (1,491) |
| TELUS Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,631 | | 80,434 | | 74,142 | | (3,494) |
| T-Mobile US, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,788 | | 532,762 | | 618,277 | | 102,300 |
| Verizon Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 10,099 | | 370,446 | | 423,754 | | 77,812 |
| | | | | | | | | | | 41,460 | | 1,408,514 | | 1,548,624 | | 197,563 |
| Transportation | | | | | | | | | | | | | | |
| ArcBest Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3 | | 279 | | 428 | | 176 |
| CH Robinson Worldwide, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,015 | | 75,368 | | 77,282 | | 3,764 |
| CSX Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 15,020 | | 481,580 | | 556,791 | | 95,246 |
| Delta Air Lines, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,857 | | 390,318 | | 567,595 | | 187,929 |
| FedEx Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,149 | | 497,692 | | 622,651 | | 159,925 |
| Forward Air Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,376 | | 183,146 | | 167,247 | | (11,427) |
| FTAI Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 179 | | 1,077 | | 1,124 | | 94 |
| GXO Logistics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,290 | | 126,318 | | 123,110 | | (970) |
| Old Dominion Freight Line, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 1,020 | | 200,767 | | 223,696 | | 28,431 |
| Ryder System, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 8 | | 624 | | 962 | | 392 |
| Saia, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 98 | | 55,397 | | 57,330 | | 3,295 |
| SkyWest, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,813 | | 165,618 | | 263,402 | | 102,574 |
| Uber Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,489 | | 278,355 | | 345,608 | | 74,041 |
| Union Pacific Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 616 | | 148,152 | | 151,493 | | 8,290 |
| XPO, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2 | | 101 | | 244 | | 162 |
| | | | | | | | | | | 47,935 | | 2,604,792 | | 3,158,963 | | 651,922 |
| Utilities | | | | | | | | | | | | | | |
| ALLETE, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,267 | | 406,789 | | 433,404 | | 46,581 |
| American Water Works Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,251 | | 170,108 | | 152,885 | | (10,619) |
| Atmos Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 418 | | 47,890 | | 49,688 | | 2,998 |
| Black Hills Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,212 | | 479,070 | | 502,975 | | 43,674 |
| Consolidated Edison, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,869 | | 166,991 | | 169,724 | | 6,811 |
| Constellation Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 08/27/24 | | 3,971 | | 386,223 | | 734,039 | | 370,108 |
| Duke Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12,049 | | 1,103,587 | | 1,165,259 | | 94,459 |
| Fortis, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,500 | | 101,003 | | 98,775 | | 1,253 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| New Jersey Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,154 | | $ 47,844 | | $ 49,518 | | $ 3,339 |
| NRG Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 11,856 | | 601,908 | | 802,533 | | 219,032 |
| ONE Gas, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 957 | | 57,258 | | 61,755 | | 6,738 |
| Public Service Enterprise Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,800 | | 355,249 | | 387,324 | | 45,052 |
| Southwest Gas Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,953 | | 139,124 | | 148,682 | | 13,049 |
| Spire, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 593 | | 35,924 | | 36,392 | | 2,225 |
| TransAlta Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,941 | | 14,448 | | 12,481 | | (1,536) |
| Vistra Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,333 | | 149,092 | | 371,443 | | 229,891 |
| | | | | | | | | | | 68,124 | | 4,262,508 | | 5,176,877 | | 1,073,055 |
|
|
| Total Reference Entity — Long | | | | | | 152,106,221 | | 182,288,125 | | 35,837,602 |
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Short | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Dana, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,269) | | $ (109,925) | | $ (105,016) | | $ 1,683 |
| Dorman Products, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (510) | | (55,705) | | (49,159) | | 5,872 |
| Fox Factory Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,606) | | (229,085) | | (239,834) | | (15,146) |
| Mobileye Global, Inc., Class A | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (14,447) | | (439,768) | | (464,471) | | (40,962) |
| Phinia, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,718) | | (205,447) | | (219,743) | | (18,344) |
| QuantumScape Corp. | | USFF -0.830% | | Weekly | | MS | | 07/11/28 | | (40,373) | | (254,872) | | (253,946) | | (3,990) |
| Rivian Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (22,216) | | (244,480) | | (243,265) | | (3,477) |
| Standard Motor Products, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (62) | | (2,067) | | (2,080) | | (29) |
| Tesla, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,376) | | (439,239) | | (417,677) | | 14,199 |
| Thor Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,499) | | (272,416) | | (293,233) | | (26,048) |
| Winnebago Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (759) | | (53,662) | | (56,166) | | (5,003) |
| XPEL, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (207) | | (11,179) | | (11,182) | | (202) |
| | | | | | | | | | | (102,042) | | (2,317,845) | | (2,355,772) | | (91,447) |
| Capital Goods | | | | | | | | | | | | | | |
| 3D Systems Corp. | | USFF -0.267% | | Weekly | | MS | | 07/08/27 | | (47,970) | | (345,073) | | (212,987) | | 125,456 |
| AAON, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,567) | | (488,005) | | (578,553) | | (102,950) |
| AeroVironment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,803) | | (479,792) | | (582,924) | | (117,569) |
| AGCO Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,831) | | (208,583) | | (225,250) | | (20,667) |
| Albany International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,992) | | (461,791) | | (466,802) | | (17,777) |
| Allegion PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (634) | | (82,325) | | (85,406) | | (7,678) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Allison Transmission Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,090) | | $ (67,314) | | $ (88,464) | | $ (23,738) |
| Ameresco, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (14,819) | | (580,465) | | (357,582) | | 211,383 |
| Archer Aviation, Inc., Class A | | USFF -10.639% | | Weekly | | MS | | 07/11/28 | | (32,642) | | (168,368) | | (150,806) | | 14,336 |
| Arcosa, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,904) | | (467,677) | | (506,917) | | (48,232) |
| Argan, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (91) | | (4,585) | | (4,599) | | (87) |
| Astronics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (33) | | (613) | | (628) | | (11) |
| Atkore, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,418) | | (207,594) | | (269,930) | | (66,772) |
| Axon Enterprise, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (168) | | (50,110) | | (52,564) | | (3,402) |
| Ballard Power Systems, Inc. (Canada) | | USFF -1.244% | | Weekly | | MS | | 01/05/26 | | (78,971) | | (869,052) | | (219,539) | | 632,818 |
| Barnes Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,619) | | (177,917) | | (208,746) | | (35,687) |
| Bloom Energy Corp., Class A | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (16,453) | | (155,309) | | (184,932) | | (32,598) |
| CAE, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,222) | | (44,564) | | (45,862) | | (2,141) |
| ChargePoint Holdings, Inc. | | USFF -16.768% | | Weekly | | MS | | 01/10/28 | | (108,785) | | (444,404) | | (206,692) | | 229,148 |
| Construction Partners, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (3,923) | | (175,223) | | (220,276) | | (48,412) |
| Dycom Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,103) | | (235,001) | | (301,844) | | (75,457) |
| Encore Wire Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (592) | | (138,301) | | (155,566) | | (19,912) |
| Energy Recovery, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,261) | | (60,421) | | (35,701) | | 23,572 |
| Enovix Corp. | | USFF -1.330% | | Weekly | | MS | | 07/11/28 | | (18,572) | | (197,034) | | (148,762) | | 44,494 |
| ESCO Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (566) | | (62,173) | | (60,590) | | 323 |
| Fluor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (18,567) | | (706,846) | | (785,013) | | (91,765) |
| GATX Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,595) | | (312,111) | | (347,808) | | (46,120) |
| GMS, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (716) | | (62,908) | | (69,695) | | (7,983) |
| Granite Construction, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,912) | | (78,928) | | (109,233) | | (32,982) |
| Hayward Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,389) | | (87,482) | | (97,816) | | (12,002) |
| Helios Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,030) | | (273,498) | | (224,791) | | 42,505 |
| Herc Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,249) | | (280,426) | | (378,507) | | (114,774) |
| Hexcel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,968) | | (213,928) | | (216,219) | | (6,902) |
| Hillenbrand, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,384) | | (70,456) | | (69,601) | | (2,406) |
| JELD-WEN Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (4,747) | | (126,122) | | (100,779) | | 23,045 |
| John Bean Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (699) | | (81,087) | | (73,318) | | 5,997 |
| Johnson Controls International PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,880) | | (375,133) | | (384,082) | | (17,906) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Kratos Defense & Security Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (4,225) | | $ (104,967) | | $ (77,656) | | $ 27,754 |
| Masonite International Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,589) | | (467,250) | | (471,774) | | (13,749) |
| MasTec, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (332) | | (35,240) | | (30,959) | | 5,452 |
| Mercury Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (13,857) | | (774,626) | | (408,782) | | 350,941 |
| Moog, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,169) | | (134,570) | | (186,631) | | (56,077) |
| MRC Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (7,757) | | (86,578) | | (97,505) | | (13,061) |
| Mueller Water Products, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (6,793) | | (91,269) | | (109,299) | | (23,982) |
| MYR Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,549) | | (528,815) | | (627,286) | | (108,640) |
| Nordson Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (680) | | (178,680) | | (186,687) | | (13,700) |
| Northrop Grumman Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,512) | | (1,131,819) | | (1,202,394) | | (93,438) |
| nVent Electric PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,742) | | (130,033) | | (131,347) | | (3,802) |
| Plug Power, Inc. | | USFF -2.972% | | Weekly | | MS | | 01/10/28 | | (67,483) | | (443,779) | | (232,142) | | 202,372 |
| Primoris Services Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,617) | | (98,167) | | (153,976) | | (59,820) |
| Rocket Lab USA, Inc. | | USFF -0.718% | | Weekly | | MS | | 07/11/28 | | (64,506) | | (276,670) | | (265,120) | | 6,238 |
| Rockwell Automation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,664) | | (1,305,663) | | (1,358,763) | | (83,071) |
| Rush Enterprises, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (11,974) | | (518,576) | | (640,848) | | (135,662) |
| Sensata Technologies Holding PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (31,550) | | (1,083,983) | | (1,159,147) | | (96,843) |
| Simpson Manufacturing Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,166) | | (244,208) | | (239,240) | | 142 |
| SiteOne Landscape Supply, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | (2,750) | | (413,054) | | (480,013) | | (77,220) |
| Standex International Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (481) | | (85,125) | | (87,648) | | (4,146) |
| Stratasys Ltd. (Israel) | | USFF -1.080% | | Weekly | | MS | | 07/11/28 | | (9,977) | | (122,323) | | (115,933) | | 4,047 |
| Sunrun, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (23,532) | | (372,916) | | (310,152) | | 55,598 |
| Symbotic, Inc. | | USFF -3.980% | | Weekly | | MS | | 01/12/29 | | (2,906) | | (118,162) | | (130,770) | | (15,247) |
| Thermon Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,828) | | (51,989) | | (59,812) | | (8,808) |
| Timken Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,011) | | (915,204) | | (962,692) | | (67,027) |
| Titan Machinery, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,314) | | (134,056) | | (107,030) | | 24,506 |
| Toro Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,092) | | (716,260) | | (741,470) | | (43,176) |
| Triumph Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (244) | | (3,704) | | (3,670) | | (21) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| WESCO International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,628) | | $ (590,211) | | $ (621,404) | | $ (43,183) |
| WillScot Mobile Mini Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (25,276) | | (1,076,683) | | (1,175,334) | | (130,631) |
| Xometry, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (7,691) | | (220,389) | | (129,901) | | 86,259 |
| | | | | | | | | | | (748,060) | | (21,295,588) | | (20,734,169) | | 69,152 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| ABM Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,786) | | (84,996) | | (79,691) | | 3,549 |
| CACI International, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,617) | | (581,833) | | (612,568) | | (42,530) |
| Casella Waste Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,480) | | (449,916) | | (541,808) | | (101,479) |
| CBIZ, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,221) | | (124,197) | | (174,349) | | (53,661) |
| Clarivate PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (22,708) | | (187,687) | | (168,720) | | 15,223 |
| Clean Harbors, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (970) | | (177,134) | | (195,271) | | (21,671) |
| Concentrix Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,354) | | (435,995) | | (354,542) | | 73,072 |
| Dayforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,442) | | (319,424) | | (294,105) | | 19,287 |
| Driven Brands Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (14,135) | | (267,258) | | (223,192) | | 38,935 |
| Exponent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,678) | | (598,099) | | (552,204) | | 30,387 |
| FTI Consulting, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (411) | | (82,646) | | (86,429) | | (6,454) |
| GFL Environmental, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,001) | | (580,894) | | (621,034) | | (53,617) |
| Insperity, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (970) | | (103,461) | | (106,322) | | (4,838) |
| KBR, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (53) | | (3,381) | | (3,374) | | (42) |
| Kforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (826) | | (51,547) | | (58,250) | | (9,247) |
| Matthews International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (80) | | (2,378) | | (2,486) | | (138) |
| NV5 Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (241) | | (23,705) | | (23,620) | | (356) |
| Paychex, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,174) | | (266,938) | | (266,967) | | (7,696) |
| Paycom Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,720) | | (563,607) | | (541,307) | | 11,093 |
| Paylocity Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,710) | | (519,250) | | (465,741) | | 43,352 |
| Pitney Bowes, Inc. | | USFF -0.260% | | Weekly | | MS | | 01/12/29 | | (1,587) | | (6,851) | | (6,872) | | (136) |
| RB Global, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,278) | | (479,331) | | (554,365) | | (94,889) |
| Rollins, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,643) | | (169,236) | | (168,562) | | (2,264) |
| Stericycle, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,836) | | (397,567) | | (413,349) | | (23,480) |
| Thomson Reuters Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (880) | | (138,800) | | (137,130) | | (1,711) |
| TransUnion | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,366) | | (235,057) | | (268,607) | | (44,903) |
| UniFirst Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (658) | | (134,438) | | (114,117) | | 16,976 |
| Upwork, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17,334) | | (220,277) | | (212,515) | | 3,536 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Verra Mobility Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,338) | | $ (325,236) | | $ (358,020) | | $ (39,032) |
| Viad Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7) | | (278) | | (276) | | 13 |
| | | | | | | | | | | (150,504) | | (7,531,417) | | (7,605,793) | | (252,721) |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Advance Auto Parts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,378) | | (263,211) | | (117,254) | | 142,362 |
| Asbury Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,436) | | (323,078) | | (338,580) | | (23,110) |
| AutoNation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,627) | | (387,781) | | (434,979) | | (55,634) |
| Boot Barn Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (863) | | (78,069) | | (82,114) | | (5,929) |
| Buckle, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,783) | | (128,037) | | (112,071) | | 5,187 |
| Burlington Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,948) | | (873,900) | | (916,686) | | (59,601) |
| Caleres, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,867) | | (102,519) | | (158,663) | | (59,883) |
| Chewy, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (34,112) | | (539,707) | | (542,722) | | (13,393) |
| Designer Brands, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,075) | | (11,732) | | (11,750) | | (266) |
| Dillard's, Inc., Class A | | USFF -0.680% | | Weekly | | MS | | 07/11/28 | | (211) | | (87,556) | | (99,516) | | (14,490) |
| Five Below, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,768) | | (570,172) | | (502,060) | | 65,626 |
| Floor & Decor Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,635) | | (194,747) | | (211,929) | | (20,916) |
| Foot Locker, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (10,246) | | (368,297) | | (292,011) | | 59,858 |
| Group 1 Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (106) | | (30,270) | | (30,976) | | (1,095) |
| Leslie's, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (990) | | (30,133) | | (6,435) | | 42,330 |
| Lithia Motors, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (241) | | (71,245) | | (72,507) | | (2,722) |
| Lowe's Cos., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (843) | | (207,638) | | (214,737) | | (12,164) |
| MarineMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,886) | | (203,864) | | (229,028) | | (29,075) |
| Ollie's Bargain Outlet Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,040) | | (239,918) | | (241,893) | | (7,848) |
| O'Reilly Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (711) | | (793,319) | | (802,634) | | (27,679) |
| Penske Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,783) | | (453,501) | | (450,818) | | (9,507) |
| Petco Health & Wellness Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (976) | | (2,173) | | (2,225) | | (78) |
| RH | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (556) | | (168,368) | | (193,633) | | (28,491) |
| Shoe Carnival, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,896) | | (51,482) | | (69,469) | | (20,510) |
| Sonic Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,259) | | (226,688) | | (242,507) | | (22,596) |
| Tractor Supply Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,581) | | (382,002) | | (413,779) | | (40,213) |
| Urban Outfitters, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,403) | | (265,372) | | (278,018) | | (21,410) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Victoria's Secret & Co. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (4,397) | | $ (198,420) | | $ (85,214) | | $ 128,139 |
| Warby Parker, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,193) | | (142,622) | | (152,337) | | (12,446) |
| | | | | | | | | | | (113,810) | | (7,395,821) | | (7,306,545) | | (45,554) |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Acushnet Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,567) | | (228,184) | | (235,244) | | (11,637) |
| Amer Sports, Inc. (Cayman Islands) | | USFF -1.680% | | Weekly | | MS | | 01/12/29 | | (5,241) | | (83,340) | | (85,428) | | (3,677) |
| Capri Holdings Ltd. (British Virgin Islands) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (22,859) | | (1,118,704) | | (1,035,513) | | 62,296 |
| Cavco Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (267) | | (97,323) | | (106,549) | | (11,084) |
| Columbia Sportswear Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (35) | | (3,219) | | (2,841) | | 290 |
| Gildan Activewear, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,348) | | (75,349) | | (87,181) | | (15,062) |
| La-Z-Boy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,965) | | (72,434) | | (73,923) | | (3,004) |
| Levi Strauss & Co., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (33,840) | | (555,162) | | (676,462) | | (147,200) |
| Oxford Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (548) | | (62,729) | | (61,595) | | (691) |
| SharkNinja, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,854) | | (294,100) | | (302,356) | | (13,904) |
| Skyline Champion Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,241) | | (471,255) | | (530,547) | | (69,238) |
| Steven Madden Ltd. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,747) | | (283,617) | | (285,263) | | (7,729) |
| Sturm Ruger & Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (880) | | (39,249) | | (40,612) | | (2,216) |
| Tempur Sealy International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,150) | | (111,250) | | (122,163) | | (14,275) |
| Topgolf Callaway Brands Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (18,839) | | (507,813) | | (304,627) | | 197,768 |
| Whirlpool Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (429) | | (67,714) | | (51,321) | | 13,341 |
| Wolverine World Wide, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (10,657) | | (320,515) | | (119,465) | | 182,447 |
| | | | | | | | | | | (121,467) | | (4,391,957) | | (4,121,090) | | 156,425 |
| Consumer Services | | | | | | | | | | | | | | |
| Airbnb, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,509) | | (856,549) | | (908,765) | | (103,884) |
| Bloomin' Brands, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,759) | | (77,222) | | (79,128) | | (5,604) |
| Carnival Corp. (Panama) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (23,269) | | (391,960) | | (380,215) | | 4,211 |
| Cheesecake Factory, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,382) | | (49,898) | | (49,959) | | (1,308) |
| Chegg, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (33,417) | | (511,924) | | (252,967) | | 249,113 |
| Chipotle Mexican Grill, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (192) | | (560,211) | | (558,100) | | (8,663) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Choice Hotels International, Inc. | | USFF -0.980% | | Weekly | | MS | | 01/12/29 | | (1,856) | | $ (227,798) | | $ (234,506) | | $ (11,079) |
| Churchill Downs, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,987) | | (485,131) | | (493,391) | | (19,200) |
| Coursera, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,338) | | (216,779) | | (201,019) | | 11,601 |
| Dave & Buster's Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,534) | | (82,837) | | (96,028) | | (14,819) |
| First Watch Restaurant Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,705) | | (118,209) | | (140,457) | | (24,509) |
| Hilton Worldwide Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,403) | | (672,516) | | (725,894) | | (67,530) |
| Hyatt Hotels Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,132) | | (265,130) | | (340,310) | | (92,122) |
| Krispy Kreme, Inc. | | USFF -0.880% | | Weekly | | MS | | 07/08/27 | | (39,831) | | (549,719) | | (606,825) | | (71,031) |
| Mister Car Wash, Inc. | | USFF -0.630% | | Weekly | | MS | | 01/07/27 | | (39,189) | | (377,220) | | (303,715) | | 66,256 |
| Penn Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,519) | | (239,719) | | (246,181) | | (11,063) |
| Portillo's, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,176) | | (342,157) | | (243,556) | | 92,035 |
| Red Rock Resorts, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (11,092) | | (494,962) | | (663,523) | | (210,817) |
| Restaurant Brands International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,149) | | (250,688) | | (250,188) | | (7,899) |
| Texas Roadhouse, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,780) | | (233,526) | | (274,957) | | (52,754) |
| United Parks & Resorts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,668) | | (139,002) | | (149,968) | | (13,627) |
| Wingstop, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,782) | | (832,594) | | (1,019,325) | | (216,211) |
| | | | | | | | | | | (230,669) | | (7,975,751) | | (8,218,977) | | (508,904) |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| BJ's Wholesale Club Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,371) | | (472,653) | | (481,966) | | (20,522) |
| Casey's General Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,387) | | (990,406) | | (1,078,590) | | (108,098) |
| Chefs' Warehouse, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,890) | | (199,684) | | (221,817) | | (26,229) |
| Dollar Tree, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,372) | | (430,718) | | (448,982) | | (35,621) |
| Maplebear, Inc. | | USFF -1.080% | | Weekly | | MS | | 01/12/29 | | (8,323) | | (306,898) | | (310,365) | | (9,361) |
| PriceSmart, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,057) | | (219,581) | | (256,788) | | (43,521) |
| SpartanNash Co. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (7,724) | | (234,480) | | (156,102) | | 65,772 |
| Sprouts Farmers Market, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,892) | | (157,778) | | (250,956) | | (99,117) |
| United Natural Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,009) | | (279,268) | | (103,513) | | 170,392 |
| | | | | | | | | | | (51,025) | | (3,291,466) | | (3,309,079) | | (106,305) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy | | | | | | | | | | | | | | |
| Antero Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,544) | | $ (67,946) | | $ (73,776) | | $ (9,303) |
| Atlas Energy Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,984) | | (209,360) | | (271,078) | | (68,737) |
| Baytex Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (145,266) | | (476,483) | | (527,316) | | (67,275) |
| Bristow Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (265) | | (6,902) | | (7,208) | | (423) |
| Cactus, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,363) | | (168,023) | | (168,453) | | (6,425) |
| Civitas Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,052) | | (556,448) | | (611,227) | | (98,246) |
| Clean Energy Fuels Corp. | | USFF -0.256% | | Weekly | | MS | | 07/11/28 | | (47,822) | | (173,012) | | (128,163) | | 41,533 |
| Comstock Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (71,681) | | (711,603) | | (665,200) | | 21,186 |
| Core Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (8,196) | | (242,875) | | (139,988) | | 98,178 |
| Crescent Energy Co., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,351) | | (108,445) | | (111,277) | | (6,045) |
| Crescent Point Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (66,579) | | (454,398) | | (545,282) | | (106,991) |
| Diamond Offshore Drilling, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,447) | | (254,263) | | (237,977) | | 10,893 |
| Dril-Quip, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,968) | | (88,051) | | (89,399) | | (3,262) |
| DT Midstream, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,284) | | (271,076) | | (322,852) | | (79,210) |
| Energy Fuels, Inc. (Canada) | | USFF -1.480% | | Weekly | | MS | | 07/11/28 | | (19,799) | | (143,828) | | (124,536) | | 16,550 |
| EQT Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (15,424) | | (548,121) | | (571,768) | | (34,383) |
| Expro Group Holdings NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17,164) | | (314,998) | | (342,765) | | (33,818) |
| Green Plains, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,630) | | (84,236) | | (60,806) | | 21,824 |
| Hess Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,839) | | (280,397) | | (280,705) | | (10,253) |
| HF Sinclair Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,721) | | (383,669) | | (405,747) | | (31,439) |
| Kinetik Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (9,148) | | (340,559) | | (364,731) | | (75,624) |
| Kosmos Energy Ltd. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (24,700) | | (186,009) | | (147,212) | | 35,230 |
| Laredo Petroleum, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,719) | | (227,714) | | (247,936) | | (25,246) |
| New Fortress Energy, Inc. | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (9,418) | | (451,545) | | (288,097) | | 121,283 |
| NexGen Energy Ltd. (Canada) | | USFF -0.830% | | Weekly | | MS | | 07/11/28 | | (22,366) | | (155,049) | | (173,784) | | (23,773) |
| NextDecade Corp. | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (3,171) | | (17,154) | | (18,011) | | (1,171) |
| North American Construction Group Ltd. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (540) | | (12,701) | | (12,031) | | 410 |
| Northern Oil & Gas, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,012) | | (226,153) | | (238,556) | | (20,378) |
| NOV, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (18,676) | | (357,362) | | (364,556) | | (18,238) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Oceaneering International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,881) | | $ (142,079) | | $ (137,615) | | $ 1,311 |
| ONEOK, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,662) | | (605,071) | | (694,433) | | (108,033) |
| Ovintiv, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,265) | | (252,023) | | (273,254) | | (43,486) |
| Par Pacific Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,038) | | (193,086) | | (186,708) | | 2,675 |
| Patterson-UTI Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (48,485) | | (546,066) | | (578,911) | | (51,804) |
| Permian Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32,696) | | (514,799) | | (577,411) | | (82,745) |
| ProFrac Holding Corp., Class A | | USFF -0.930% | | Weekly | | MS | | 07/08/27 | | (22,155) | | (269,829) | | (185,216) | | 79,162 |
| ProPetro Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (47,593) | | (429,043) | | (384,551) | | 36,245 |
| Range Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,349) | | (207,679) | | (218,596) | | (17,546) |
| RPC, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,113) | | (54,352) | | (47,315) | | 5,825 |
| Seadrill Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (124) | | (6,169) | | (6,237) | | (170) |
| Select Water Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,727) | | (47,609) | | (52,860) | | (8,404) |
| SFL Corp. Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,710) | | (52,770) | | (62,078) | | (14,581) |
| SilverBow Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,512) | | (256,784) | | (222,320) | | 29,535 |
| Southwestern Energy Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (72,172) | | (504,656) | | (547,064) | | (54,936) |
| Suncor Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (18,020) | | (619,589) | | (665,118) | | (60,818) |
| Talos Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (26,942) | | (376,665) | | (375,302) | | (6,452) |
| Tidewater, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,437) | | (102,417) | | (132,204) | | (34,333) |
| Uranium Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (27,501) | | (180,856) | | (185,632) | | (8,243) |
| Valaris Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,398) | | (300,743) | | (330,993) | | (36,434) |
| Vermilion Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,544) | | (179,206) | | (168,487) | | 3,431 |
| Williams Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (23,884) | | (865,212) | | (930,759) | | (96,899) |
| World Kinect Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (8,559) | | (232,371) | | (226,386) | | (6,881) |
| | | | | | | | | | | (965,896) | | (14,457,454) | | (14,729,887) | | (826,734) |
| Financial Services | | | | | | | | | | | | | | |
| I3 Verticals, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (28) | | (640) | | (641) | | (289) |
| Jack Henry & Associates, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (488) | | (81,371) | | (84,780) | | (5,518) |
| MarketAxess Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (407) | | (88,761) | | (89,235) | | (2,167) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Financial Services — (continued) | | | | | | | | | | | | | | |
| Marqeta, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (44,650) | | $ (265,875) | | $ (266,114) | | $ (5,344) |
| Nasdaq, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (19,663) | | (1,165,207) | | (1,240,735) | | (100,427) |
| Remitly Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (31,899) | | (624,438) | | (661,585) | | (51,327) |
| WEX, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,056) | | (415,333) | | (488,362) | | (84,396) |
| | | | | | | | | | | (99,191) | | (2,641,625) | | (2,831,452) | | (249,468) |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Brown-Forman Corp., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,736) | | (114,071) | | (89,612) | | 26,228 |
| Cal-Maine Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,750) | | (710,879) | | (750,337) | | (55,595) |
| Darling Ingredients, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (20,634) | | (1,355,549) | | (959,687) | | 369,499 |
| Duckhorn Portfolio, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,790) | | (81,003) | | (81,835) | | (2,376) |
| Flowers Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,003) | | (205,593) | | (190,071) | | 4,663 |
| Hain Celestial Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (12,414) | | (255,962) | | (97,574) | | 158,406 |
| Hershey Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,733) | | (740,546) | | (726,068) | | 1,141 |
| J M Smucker Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,504) | | (1,418,156) | | (1,448,008) | | (57,151) |
| John B Sanfilippo & Son, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (519) | | (53,195) | | (54,972) | | (2,786) |
| Lamb Weston Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,990) | | (858,358) | | (851,175) | | (12,084) |
| Mission Produce, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,206) | | (20,208) | | (14,315) | | 5,699 |
| Monster Beverage Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,561) | | (94,967) | | (92,536) | | 1,893 |
| PepsiCo, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,208) | | (1,756,909) | | (1,786,502) | | (63,009) |
| Pilgrim's Pride Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,945) | | (250,786) | | (341,312) | | (99,090) |
| Post Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,519) | | (474,278) | | (480,279) | | (15,550) |
| TreeHouse Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,446) | | (238,549) | | (251,072) | | (17,101) |
| Universal Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,429) | | (71,389) | | (73,908) | | (3,877) |
| Utz Brands, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (3,116) | | (74,504) | | (57,459) | | 14,440 |
| WK Kellogg Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,677) | | (36,542) | | (50,328) | | (15,682) |
| | | | | | | | | | | (129,180) | | (8,811,444) | | (8,397,050) | | 237,668 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Acadia Healthcare Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,667) | | (538,170) | | (528,160) | | (1,554) |
| AdaptHealth Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,519) | | (43,165) | | (17,484) | | 31,148 |
| Agiliti, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,179) | | (40,728) | | (22,051) | | 17,899 |
| agilon health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (41,502) | | (373,351) | | (253,162) | | 113,014 |
| Alcon, Inc. (Switzerland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,213) | | (530,475) | | (517,481) | | 1,534 |
| Alphatec Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,390) | | (247,347) | | (253,598) | | (10,999) |
| Amedisys, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,674) | | (155,999) | | (154,276) | | (1,285) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| AMN Healthcare Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,571) | | $ (153,197) | | $ (160,713) | | $ (10,450) |
| Cooper Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,563) | | (342,003) | | (361,502) | | (27,442) |
| CorVel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (55) | | (14,105) | | (14,463) | | (614) |
| DENTSPLY SIRONA, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,261) | | (249,575) | | (207,803) | | 35,736 |
| Dexcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,701) | | (1,535,748) | | (1,622,929) | | (116,744) |
| Doximity, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,637) | | (245,228) | | (178,602) | | 63,141 |
| Edwards Lifesciences Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,784) | | (1,115,439) | | (1,221,639) | | (130,977) |
| Ensign Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,613) | | (160,972) | | (200,689) | | (43,482) |
| Glaukos Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (692) | | (34,282) | | (65,249) | | (32,293) |
| Globus Medical, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (10,279) | | (534,626) | | (551,366) | | (28,960) |
| GoodRx Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,359) | | (67,519) | | (66,449) | | (287) |
| Guardant Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,186) | | (74,675) | | (86,357) | | (13,104) |
| HealthEquity, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (628) | | (48,540) | | (51,264) | | (4,592) |
| Henry Schein, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,297) | | (1,077,520) | | (1,079,709) | | (22,927) |
| ICU Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (362) | | (65,070) | | (38,850) | | 33,070 |
| Inari Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,175) | | (67,935) | | (56,377) | | 10,266 |
| Inspire Medical Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,461) | | (224,482) | | (313,808) | | (95,739) |
| Insulet Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (495) | | (115,597) | | (84,843) | | 28,544 |
| Integer Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,187) | | (459,225) | | (488,539) | | (38,143) |
| Integra LifeSciences Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,276) | | (174,759) | | (151,584) | | 20,340 |
| Intuitive Surgical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,494) | | (574,864) | | (596,240) | | (34,149) |
| iRhythm Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,162) | | (343,941) | | (366,792) | | (29,459) |
| Laboratory Corp. of America Holdings | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,283) | | (280,433) | | (280,284) | | (5,016) |
| LifeStance Health Group, Inc. | | USFF -0.680% | | Weekly | | MS | | 01/07/27 | | (14,454) | | (119,387) | | (89,181) | | 28,079 |
| LivaNova PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,299) | | (169,408) | | (184,546) | | (20,001) |
| Masimo Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,069) | | (422,786) | | (450,683) | | (38,881) |
| Merit Medical Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (691) | | (51,018) | | (52,343) | | (2,699) |
| Multiplan Corp. | | USFF -0.308% | | Weekly | | MS | | 07/11/28 | | (14,396) | | (23,267) | | (11,678) | | 11,162 |
| Neogen Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,761) | | (301,963) | | (264,489) | | 31,628 |
| Nevro Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (13,106) | | (401,189) | | (189,251) | | 204,345 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Novocure Ltd. (Jersey) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (41,585) | | $ (955,993) | | $ (649,974) | | $ 287,441 |
| Option Care Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,156) | | (242,355) | | (240,012) | | (2,337) |
| OrthoPediatrics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (2,193) | | (103,701) | | (63,948) | | 37,760 |
| Patterson Cos., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,791) | | (227,490) | | (215,421) | | 7,114 |
| PROCEPT BioRobotics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,752) | | (99,891) | | (136,004) | | (38,435) |
| Progyny, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (916) | | (34,426) | | (34,945) | | (1,167) |
| QuidelOrtho Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (9,049) | | (652,370) | | (433,809) | | 206,012 |
| RadNet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,103) | | (63,524) | | (102,332) | | (44,347) |
| Schrodinger, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (11,836) | | (453,785) | | (319,572) | | 125,489 |
| Shockwave Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,484) | | (808,564) | | (1,134,495) | | (341,488) |
| SI-BONE, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (977) | | (15,342) | | (15,993) | | (931) |
| STAAR Surgical Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,069) | | (287,371) | | (194,041) | | 87,023 |
| STERIS PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,189) | | (273,199) | | (267,311) | | 120 |
| Tandem Diabetes Care, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (11,395) | | (569,983) | | (403,497) | | 149,147 |
| Teladoc Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,897) | | (171,166) | | (149,445) | | 18,440 |
| Treace Medical Concepts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (11,933) | | (179,942) | | (155,726) | | 20,767 |
| US Physical Therapy, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (1,573) | | (206,967) | | (177,545) | | 16,295 |
| Veeva Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,282) | | (494,920) | | (528,717) | | (47,097) |
| | | | | | | | | | | (379,621) | | (17,218,977) | | (16,457,221) | | 399,915 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Beauty Health Co. (The) | | USFF -0.653% | | Weekly | | MS | | 01/12/29 | | (1,025) | | (4,585) | | (4,551) | | (38) |
| Central Garden & Pet Co., Class A | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (2,970) | | (119,432) | | (109,652) | | 7,492 |
| Church & Dwight Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,641) | | (1,178,126) | | (1,214,273) | | (64,131) |
| Edgewell Personal Care Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (262) | | (11,666) | | (10,124) | | 1,177 |
| Inter Parfums, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,807) | | (400,494) | | (394,412) | | (4,029) |
| | | | | | | | | | | (18,705) | | (1,714,303) | | (1,733,012) | | (59,529) |
| Materials | | | | | | | | | | | | | | |
| AdvanSix, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (18) | | (510) | | (515) | | 1 |
| Agnico Eagle Mines Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,086) | | (107,635) | | (124,430) | | (23,479) |
| Air Products and Chemicals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,214) | | (881,152) | | (778,656) | | 73,006 |
| Albemarle Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,595) | | (548,307) | | (473,605) | | 14,476 |
| Alcoa Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,259) | | (68,592) | | (76,332) | | (9,154) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Algoma Steel Group, Inc. (Canada) | | USFF -2.380% | | Weekly | | MS | | 01/10/28 | | (15,448) | | $ (124,594) | | $ (131,154) | | $ (12,407) |
| Ashland, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,562) | | (384,449) | | (346,832) | | 23,912 |
| Century Aluminum Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,675) | | (56,018) | | (71,948) | | (18,287) |
| Coeur Mining, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (231,754) | | (1,238,522) | | (873,713) | | 337,953 |
| Commercial Metals Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,097) | | (269,177) | | (299,551) | | (36,460) |
| Compass Minerals International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,407) | | (48,544) | | (37,886) | | 9,879 |
| Corteva, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,147) | | (137,521) | | (123,817) | | 9,955 |
| DuPont de Nemours, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,830) | | (507,603) | | (523,656) | | (26,775) |
| Eagle Materials, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (209) | | (43,085) | | (56,796) | | (14,556) |
| Ecovyst, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,329) | | (13,798) | | (14,818) | | (1,270) |
| Equinox Gold Corp. (Canada) | | USFF -0.830% | | Weekly | | MS | | 08/27/24 | | (97,461) | | (773,666) | | (586,715) | | 171,676 |
| ERO Copper Corp. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (175) | | (3,288) | | (3,374) | | (133) |
| First Majestic Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (41,199) | | (235,314) | | (242,250) | | (14,101) |
| FMC Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (27,448) | | (1,715,699) | | (1,748,438) | | (100,638) |
| Ginkgo Bioworks Holdings, Inc. | | USFF -6.197% | | Weekly | | MS | | 07/11/28 | | (151,248) | | (199,831) | | (175,448) | | 20,551 |
| Graphic Packaging Holding Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,610) | | (197,189) | | (222,060) | | (29,639) |
| Hecla Mining Co. | | USFF -0.247% | | Weekly | | MS | | 07/08/27 | | (78,368) | | (365,384) | | (376,950) | | (19,355) |
| IAMGOLD Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (66,564) | | (167,839) | | (221,658) | | (58,984) |
| Ingevity Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,134) | | (351,467) | | (244,892) | | 100,666 |
| Louisiana-Pacific Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,120) | | (74,020) | | (93,979) | | (24,129) |
| LSB Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (621) | | (5,057) | | (5,452) | | (476) |
| MAG Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,848) | | (96,303) | | (104,192) | | (9,727) |
| Mativ Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (79) | | (3,076) | | (1,481) | | 1,248 |
| Methanex Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,750) | | (292,605) | | (301,253) | | (20,720) |
| Mosaic Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,032) | | (223,018) | | (228,259) | | (9,522) |
| MP Materials Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,222) | | (339,758) | | (246,275) | | 86,956 |
| Newmont Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (46,398) | | (1,566,496) | | (1,662,904) | | (131,085) |
| Novagold Resources, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (22,719) | | (95,627) | | (68,157) | | 25,645 |
| Nutrien Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,409) | | (347,579) | | (293,763) | | 38,751 |
| O-I Glass, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,601) | | (194,706) | | (175,871) | | 15,028 |
| Olin Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,296) | | (69,839) | | (76,205) | | (9,717) |
| Pan American Silver Corp. (Canada) | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (7,928) | | (130,855) | | (119,554) | | 6,663 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Radius Recycling, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (4,267) | | $ (194,306) | | $ (90,162) | | $ 95,224 |
| Ryerson Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,038) | | (32,764) | | (34,773) | | (2,660) |
| Sandstorm Gold Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (29,577) | | (169,261) | | (155,279) | | 9,375 |
| Sensient Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,115) | | (230,451) | | (215,527) | | 4,473 |
| Silgan Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,760) | | (213,688) | | (231,146) | | (24,959) |
| Southern Copper Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,994) | | (202,782) | | (212,401) | | (13,508) |
| SSR Mining, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (49,699) | | (665,409) | | (221,658) | | 431,084 |
| Stepan Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,734) | | (212,391) | | (156,129) | | 45,977 |
| Sylvamo Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,515) | | (130,741) | | (155,276) | | (28,242) |
| Teck Resources Ltd., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,381) | | (226,781) | | (246,342) | | (26,628) |
| TriMas Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,233) | | (30,940) | | (32,958) | | (2,598) |
| Tronox Holdings PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (37,202) | | (499,796) | | (645,455) | | (165,385) |
| United States Lime & Minerals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32) | | (9,530) | | (9,540) | | (178) |
| United States Steel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32,176) | | (1,465,398) | | (1,312,137) | | 123,244 |
| Wheaton Precious Metals Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,621) | | (163,309) | | (170,658) | | (10,478) |
| | | | | | | | | | | (1,075,204) | | (16,325,670) | | (15,022,280) | | 800,493 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Altice USA, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (29,978) | | (213,636) | | (78,243) | | 134,199 |
| Cargurus, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,951) | | (114,254) | | (114,269) | | (2,200) |
| EchoStar Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (30,632) | | (970,364) | | (436,506) | | 515,185 |
| Endeavor Group Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (44,632) | | (1,095,268) | | (1,148,381) | | (78,904) |
| Fox Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,832) | | (295,916) | | (307,447) | | (18,360) |
| IAC, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,138) | | (154,153) | | (114,041) | | 37,660 |
| Integral Ad Science Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,305) | | (87,229) | | (62,861) | | 22,705 |
| Lions Gate Entertainment Corp., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (16,823) | | (212,003) | | (156,622) | | 51,314 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Madison Square Garden Entertainment Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,610) | | $ (88,089) | | $ (102,338) | | $ (17,399) |
| Madison Square Garden Sports Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,827) | | (337,094) | | (337,118) | | (6,661) |
| Magnite, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,021) | | (149,208) | | (161,476) | | (16,098) |
| Nexstar Media Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,166) | | (363,205) | | (373,180) | | (19,175) |
| Paramount Global, Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (14,432) | | (223,444) | | (169,865) | | 46,708 |
| Scholastic Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,401) | | (57,193) | | (52,832) | | 2,269 |
| Snap, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (83,045) | | (933,156) | | (953,357) | | (38,158) |
| Stagwell, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,853) | | (10,531) | | (11,526) | | (1,181) |
| Taboola.com Ltd. (Israel) | | USFF -0.730% | | Weekly | | MS | | 01/12/29 | | (4,754) | | (20,696) | | (21,108) | | (794) |
| Take-Two Interactive Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,871) | | (855,714) | | (871,785) | | (32,536) |
| TKO Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,614) | | (808,168) | | (830,746) | | (38,127) |
| Vivid Seats, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,815) | | (33,106) | | (34,832) | | (2,347) |
| Ziff Davis, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,363) | | (99,040) | | (85,924) | | 11,781 |
| | | | | | | | | | | (295,063) | | (7,121,467) | | (6,424,457) | | 549,881 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbCellera Biologics, Inc. (Canada) | | USFF -1.688% | | Weekly | | MS | | 07/11/28 | | (21,370) | | (110,406) | | (96,806) | | 11,490 |
| Arcturus Therapeutics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (683) | | (23,999) | | (23,065) | | 488 |
| Arcus Biosciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,281) | | (52,050) | | (61,945) | | (10,882) |
| Arrowhead Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (16,210) | | (465,400) | | (463,606) | | (7,153) |
| Aurinia Pharmaceuticals, Inc. (Canada) | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (10,146) | | (53,791) | | (50,831) | | 1,940 |
| Avantor, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,270) | | (217,716) | | (237,034) | | (27,281) |
| Axsome Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,558) | | (105,922) | | (124,328) | | (20,430) |
| Bausch Health Cos., Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (50,606) | | (431,765) | | (536,930) | | (113,464) |
| Biogen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,830) | | (412,255) | | (394,603) | | 10,672 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| BioMarin Pharmaceutical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,440) | | $(128,886) | | $(125,770) | | $ 737 |
| Bio-Techne Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,071) | | (538,159) | | (497,728) | | 28,865 |
| Bridgebio Pharma, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,068) | | (145,834) | | (156,703) | | (14,255) |
| Bruker Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (800) | | (58,956) | | (75,152) | | (21,944) |
| Cabaletta Bio, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (486) | | (8,372) | | (8,291) | | (64) |
| Catalent, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,011) | | (602,352) | | (282,871) | | 308,186 |
| Charles River Laboratories International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,522) | | (381,432) | | (412,386) | | (39,362) |
| Crinetics Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,593) | | (59,823) | | (74,568) | | (17,460) |
| Cytek Biosciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (17,277) | | (197,229) | | (115,929) | | 77,517 |
| Cytokinetics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,717) | | (113,579) | | (120,379) | | (10,076) |
| Denali Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,212) | | (56,053) | | (65,910) | | (12,332) |
| Disc Medicine, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (368) | | (22,037) | | (22,912) | | (1,282) |
| Eli Lilly & Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (66) | | (52,372) | | (51,345) | | 36 |
| Fortrea Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,608) | | (101,632) | | (104,685) | | (5,758) |
| Geron Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (74,870) | | (161,921) | | (247,071) | | (90,841) |
| HilleVax, Inc. | | USFF -0.580% | | Weekly | | MS | | 01/12/29 | | (41) | | (661) | | (682) | | (17) |
| Immatics NV (Netherlands) | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (2,186) | | (25,970) | | (22,975) | | 2,511 |
| Insmed, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,803) | | (47,760) | | (48,915) | | (2,109) |
| Intellia Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,518) | | (177,295) | | (179,310) | | (5,414) |
| Jazz Pharmaceuticals PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,409) | | (779,516) | | (771,772) | | (8,032) |
| MacroGenics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,538) | | (22,618) | | (22,639) | | (441) |
| Maravai LifeSciences Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (57,517) | | (407,593) | | (498,672) | | (98,914) |
| Mesa Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (543) | | (144,938) | | (59,583) | | 82,210 |
| Mirum Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (87) | | (2,199) | | (2,185) | | (13) |
| Morphic Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (380) | | (12,744) | | (13,376) | | (861) |
| Olema Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (235) | | (2,628) | | (2,660) | | (67) |
| Organon & Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,560) | | (313,488) | | (348,928) | | (51,677) |
| Pacific Biosciences of California, Inc. | | USFF -0.267% | | Weekly | | MS | | 01/12/29 | | (3,456) | | (12,463) | | (12,960) | | (721) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Pacira BioSciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,222) | | $ (125,214) | | $ (123,367) | | $ (549) |
| Perrigo Co. PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (2,188) | | (121,694) | | (70,432) | | 41,537 |
| Pfizer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (53,108) | | (1,456,146) | | (1,473,747) | | (44,441) |
| Phathom Pharmaceuticals, Inc. | | USFF -5.230% | | Weekly | | MS | | 01/12/29 | | (549) | | (5,923) | | (5,830) | | (5) |
| Pliant Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,789) | | (192,440) | | (145,856) | | 42,893 |
| Prothena Corp. PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,954) | | (139,912) | | (73,171) | | 64,063 |
| PTC Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,751) | | (47,375) | | (50,937) | | (6,110) |
| Relay Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,071) | | (16,276) | | (17,189) | | (1,211) |
| Repligen Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,948) | | (558,787) | | (542,196) | | 4,115 |
| Revance Therapeutics, Inc. | | USFF -0.267% | | Weekly | | MS | | 07/11/28 | | (17,077) | | (201,835) | | (84,019) | | 113,945 |
| Revvity, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,492) | | (379,549) | | (366,660) | | 5,337 |
| SIGA Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (397) | | (3,343) | | (3,398) | | (200) |
| Sotera Health Co. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (18,992) | | (363,046) | | (228,094) | | 130,171 |
| Supernus Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,810) | | (57,220) | | (61,739) | | (5,731) |
| Tango Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (668) | | (5,381) | | (5,304) | | (11) |
| Tilray Brands, Inc. | | USFF -7.350% | | Weekly | | MS | | 07/11/28 | | (113,947) | | (207,683) | | (281,449) | | (77,750) |
| Travere Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (289) | | (4,024) | | (2,228) | | 1,735 |
| Vaxcyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,070) | | (72,442) | | (73,092) | | (2,028) |
| Veracyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,278) | | (51,045) | | (50,480) | | (402) |
| Vericel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,859) | | (83,516) | | (96,705) | | (14,968) |
| Viridian Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,291) | | (61,182) | | (40,115) | | 19,904 |
| West Pharmaceutical Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,699) | | (666,847) | | (672,311) | | (18,292) |
| Xencor, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,604) | | (49,670) | | (35,497) | | 13,586 |
| Xenon Pharmaceuticals, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (360) | | (15,478) | | (15,498) | | (302) |
| Zymeworks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,197) | | (24,730) | | (23,112) | | 1,157 |
| | | | | | | | | | | (586,946) | | (11,362,572) | | (10,877,931) | | 230,245 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Allegro MicroSystems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,507) | | (170,564) | | (148,469) | | 20,139 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (351) | | $ (7,697) | | $ (7,736) | | $ (171) |
| Ambarella, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,970) | | (236,409) | | (150,787) | | 82,451 |
| Analog Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,389) | | (472,195) | | (472,520) | | (15,315) |
| Cirrus Logic, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (852) | | (69,584) | | (78,861) | | (12,531) |
| Diodes, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (122) | | (8,555) | | (8,601) | | (371) |
| Enphase Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,893) | | (642,073) | | (591,955) | | 39,364 |
| First Solar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,400) | | (353,553) | | (405,120) | | (63,065) |
| FormFactor, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,366) | | (204,611) | | (244,851) | | (45,404) |
| Impinj, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (900) | | (86,912) | | (115,569) | | (31,149) |
| indie Semiconductor, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,740) | | (11,116) | | (12,319) | | (1,401) |
| Kulicke & Soffa Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,562) | | (76,844) | | (78,584) | | (3,311) |
| Lattice Semiconductor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,376) | | (478,792) | | (498,794) | | (33,032) |
| MACOM Technology Solutions Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,119) | | (970,929) | | (1,063,421) | | (111,177) |
| Marvell Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,400) | | (88,847) | | (99,232) | | (13,509) |
| MaxLinear, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (26,346) | | (543,143) | | (491,880) | | 40,818 |
| MKS Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (566) | | (58,380) | | (75,278) | | (21,071) |
| Power Integrations, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,040) | | (651,154) | | (575,262) | | 59,424 |
| Semtech Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,962) | | (162,829) | | (191,385) | | (33,850) |
| Silicon Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,063) | | (439,738) | | (440,214) | | (9,116) |
| SiTime Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,147) | | (210,746) | | (200,165) | | 6,539 |
| Teradyne, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,715) | | (187,245) | | (193,503) | | (9,949) |
| Texas Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,079) | | (1,371,642) | | (1,407,443) | | (74,338) |
| Ultra Clean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,424) | | (48,760) | | (65,419) | | (19,270) |
| Universal Display Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,215) | | (384,729) | | (373,117) | | 3,004 |
| Veeco Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,544) | | (54,675) | | (54,302) | | (710) |
| Wolfspeed, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,330) | | (322,933) | | (275,235) | | 41,494 |
| | | | | | | | | | | (119,378) | | (8,314,655) | | (8,320,022) | | (205,507) |
| Software & Services | | | | | | | | | | | | | | |
| A10 Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,836) | | (52,774) | | (52,515) | | (741) |
| ACI Worldwide, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,991) | | (169,363) | | (198,961) | | (33,588) |
| Agilysys, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (767) | | (59,281) | | (64,627) | | (6,538) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Akamai Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,738) | | $(205,281) | | $(189,025) | | $ 13,279 |
| Amplitude, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,522) | | (16,920) | | (16,559) | | 51 |
| Appian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,049) | | (203,541) | | (201,708) | | (3,162) |
| AppLovin Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,566) | | (347,651) | | (385,279) | | (54,036) |
| Asana, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (15,231) | | (271,147) | | (235,928) | | 30,012 |
| Aspen Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,854) | | (375,649) | | (395,421) | | (26,991) |
| Atlassian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,205) | | (443,114) | | (430,218) | | 4,378 |
| Bentley Systems, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,251) | | (221,787) | | (221,987) | | (4,606) |
| BigCommerce Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (9,486) | | (127,307) | | (65,359) | | 59,590 |
| BILL Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,158) | | (573,333) | | (560,618) | | 36 |
| Braze, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (317) | | (14,458) | | (14,043) | | 153 |
| Cerence, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,294) | | (117,599) | | (83,381) | | 31,970 |
| Cipher Mining, Inc. | | USFF -3.680% | | Weekly | | MS | | 01/12/29 | | (32,220) | | (108,797) | | (165,933) | | (72,732) |
| Clearwater Analytics Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,520) | | (213,128) | | (221,479) | | (12,440) |
| Confluent, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,646) | | (40,956) | | (50,236) | | (16,474) |
| DigitalOcean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,874) | | (70,402) | | (71,549) | | (2,572) |
| Dolby Laboratories, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,065) | | (172,961) | | (172,985) | | (3,347) |
| DoubleVerify Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,711) | | (353,937) | | (306,279) | | 40,578 |
| Dropbox, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,333) | | (141,982) | | (105,292) | | 40,559 |
| Elastic NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,345) | | (336,634) | | (335,303) | | (5,137) |
| Envestnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,517) | | (286,937) | | (203,669) | | 80,730 |
| Fair Isaac Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (215) | | (283,523) | | (268,666) | | 10,894 |
| Fastly, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (21,539) | | (288,888) | | (279,361) | | 3,980 |
| Five9, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (15,555) | | (947,692) | | (966,121) | | (36,666) |
| Freshworks, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (370) | | (6,719) | | (6,738) | | (131) |
| Gartner, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (866) | | (409,606) | | (412,796) | | (11,705) |
| Grid Dynamics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (307) | | (3,783) | | (3,773) | | (46) |
| HashiCorp., Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,924) | | (192,534) | | (186,602) | | 1,766 |
| Intapp, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,183) | | (146,542) | | (143,477) | | 259 |
| Jamf Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,803) | | (208,255) | | (106,485) | | 98,128 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Lightspeed Commerce, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (21,151) | | $ (661,813) | | $ (297,383) | | $351,699 |
| Matterport, Inc. | | USFF -0.256% | | Weekly | | MS | | 01/12/29 | | (211) | | (473) | | (477) | | 4 |
| Model N, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,467) | | (63,594) | | (70,235) | | (7,850) |
| nCino, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,724) | | (111,036) | | (139,203) | | (32,879) |
| Olo, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (23,882) | | (181,109) | | (131,112) | | 46,525 |
| Open Text Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,346) | | (99,796) | | (91,095) | | 5,187 |
| PowerSchool Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,182) | | (165,899) | | (152,905) | | 9,955 |
| RingCentral, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,968) | | (119,805) | | (137,848) | | (20,788) |
| SentinelOne, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,856) | | (338,268) | | (346,293) | | (14,525) |
| Smartsheet, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,310) | | (51,410) | | (50,435) | | 1 |
| Snowflake, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,018) | | (1,045,073) | | (972,509) | | 51,782 |
| Sprinklr, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (18,539) | | (248,837) | | (227,474) | | 16,722 |
| Sprout Social, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,213) | | (69,832) | | (72,428) | | (3,925) |
| Unity Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,084) | | (127,304) | | (109,043) | | 18,420 |
| Workiva, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,574) | | (314,992) | | (303,075) | | 5,866 |
| Zscaler, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,907) | | (989,970) | | (945,235) | | 25,683 |
| | | | | | | | | | | (316,690) | | (12,001,692) | | (11,169,123) | | 577,328 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| ADTRAN Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (17,075) | | (336,358) | | (92,888) | | 257,968 |
| Advanced Energy Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,616) | | (409,133) | | (368,760) | | 31,901 |
| Avnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,874) | | (269,604) | | (291,233) | | (33,872) |
| Belden, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,083) | | (273,309) | | (285,517) | | (17,852) |
| Benchmark Electronics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,097) | | (82,607) | | (92,941) | | (16,211) |
| Calix, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,462) | | (300,140) | | (247,440) | | 47,030 |
| Celestica, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,284) | | (267,046) | | (327,343) | | (73,729) |
| Cognex Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,215) | | (857,682) | | (899,940) | | (59,305) |
| Coherent Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,016) | | (164,016) | | (182,830) | | (30,082) |
| Harmonic, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (38,642) | | (436,198) | | (519,348) | | (93,025) |
| Infinera Corp. | | USFF -0.580% | | Weekly | | MS | | 01/12/29 | | (7,297) | | (36,399) | | (44,001) | | (8,287) |
| IonQ, Inc. | | USFF -6.830% | | Weekly | | MS | | 01/12/29 | | (18,591) | | (182,672) | | (185,724) | | (6,554) |
| Juniper Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,973) | | (332,636) | | (332,539) | | (8,680) |
| Lumentum Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,288) | | (376,998) | | (297,737) | | 72,017 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| Novanta, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (939) | | $ (156,515) | | $ (164,109) | | $ (10,872) |
| OSI Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (78) | | (10,992) | | (11,140) | | (343) |
| Sanmina Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,722) | | (252,715) | | (293,614) | | (48,612) |
| Teledyne Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (546) | | (239,871) | | (234,409) | | 929 |
| TTM Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (21) | | (331) | | (329) | | (10) |
| Ubiquiti, Inc. | | USFF -0.580% | | Weekly | | MS | | 01/07/27 | | (1,747) | | (470,575) | | (202,390) | | 254,170 |
| Viasat, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (13,228) | | (420,621) | | (239,295) | | 173,242 |
| Viavi Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (24,096) | | (239,505) | | (219,033) | | 15,803 |
| Vishay Intertechnology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (16,351) | | (363,015) | | (370,841) | | (16,334) |
| Zebra Technologies Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,543) | | (1,120,863) | | (1,369,442) | | (277,704) |
| | | | | | | | | | | (217,784) | | (7,599,801) | | (7,272,843) | | 151,588 |
| Telecommunication Services | | | | | | | | | | | | | | |
| Cogent Communications Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (11,508) | | (779,057) | | (751,818) | | (16,437) |
| Frontier Communications Parent, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (12,769) | | (359,929) | | (312,841) | | 41,309 |
| Globalstar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (75,779) | | (126,290) | | (111,395) | | 12,478 |
| Gogo, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,861) | | (82,328) | | (42,680) | | 39,060 |
| Rogers Communications, Inc., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,705) | | (201,138) | | (192,905) | | 201 |
| Shenandoah Telecommunications Co. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (5,179) | | (170,626) | | (89,959) | | 36,859 |
| United States Cellular Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,431) | | (50,128) | | (52,232) | | (3,053) |
| | | | | | | | | | | (116,232) | | (1,769,496) | | (1,553,830) | | 110,417 |
| Transportation | | | | | | | | | | | | | | |
| Air Transport Services Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (20,746) | | (444,358) | | (285,465) | | 150,351 |
| Alaska Air Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,933) | | (232,022) | | (212,070) | | 14,658 |
| Allegiant Travel Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,202) | | (241,487) | | (240,822) | | (4,895) |
| Canadian Pacific Kansas City Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,665) | | (139,806) | | (146,803) | | (11,167) |
| Covenant Logistics Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1) | | (46) | | (46) | | 15 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Transportation — (continued) | | | | | | | | | | | | | | |
| Expeditors International of Washington, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,731) | | $ (209,047) | | $ (210,438) | | $ (6,523) |
| Frontier Group Holdings, Inc. | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (6,560) | | (31,835) | | (53,202) | | (23,686) |
| Genco Shipping & Trading Ltd. (Marshall Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,412) | | (68,816) | | (69,366) | | (2,538) |
| Golden Ocean Group Ltd. (Bermuda) | | USFF -0.980% | | Weekly | | MS | | 07/11/28 | | (9,552) | | (79,203) | | (123,794) | | (53,771) |
| Hawaiian Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,521) | | (91,178) | | (86,925) | | 2,513 |
| Heartland Express, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,638) | | (59,909) | | (43,438) | | 15,459 |
| Hub Group, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,306) | | (60,384) | | (56,445) | | 2,834 |
| JB Hunt Transport Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (369) | | (74,832) | | (73,523) | | (501) |
| JetBlue Airways Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (37,056) | | (179,478) | | (274,956) | | (99,552) |
| Joby Aviation, Inc. | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (212) | | (1,140) | | (1,136) | | (2) |
| Knight-Swift Transportation Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (445) | | (23,839) | | (24,484) | | (1,088) |
| Matson, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,002) | | (101,091) | | (112,625) | | (13,714) |
| Norfolk Southern Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (950) | | (240,222) | | (242,127) | | (6,584) |
| RXO, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,614) | | (97,491) | | (100,908) | | (5,279) |
| Schneider National, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,849) | | (344,490) | | (313,541) | | 22,460 |
| Southwest Airlines Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,922) | | (183,804) | | (143,673) | | 33,949 |
| Spirit Airlines, Inc. | | USFF -5.680% | | Weekly | | MS | | 07/11/28 | | (15,661) | | (180,019) | | (75,799) | | 97,734 |
| Sun Country Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (6,662) | | (123,756) | | (100,530) | | 20,859 |
| TFI International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (871) | | (118,454) | | (138,890) | | (24,055) |
| United Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,884) | | (73,139) | | (90,206) | | (18,459) |
| United Parcel Service, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,311) | | (825,093) | | (789,374) | | 36,778 |
| Universal Logistics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17) | | (615) | | (627) | | (7) |
| Werner Enterprises, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (6,950) | | (331,374) | | (271,884) | | 49,210 |
| | | | | | | | | | | (164,042) | | (4,556,928) | | (4,283,097) | | 174,999 |
| Utilities | | | | | | | | | | | | | | |
| AES Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (36,473) | | (631,210) | | (653,961) | | (40,086) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Algonquin Power & Utilities Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (75,056) | | $(513,319) | | $(474,354) | | $ 9,666 |
| Alliant Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (8,014) | | (412,547) | | (403,906) | | (6,393) |
| Altus Power, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,571) | | (67,319) | | (55,309) | | 10,730 |
| Ameren Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,338) | | (736,794) | | (764,598) | | (50,261) |
| American Electric Power Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (796) | | (72,522) | | (68,536) | | 101 |
| American States Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,077) | | (77,244) | | (77,802) | | (2,030) |
| Avista Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,176) | | (96,418) | | (76,204) | | 13,317 |
| California Water Service Group | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,876) | | (257,351) | | (226,636) | | 22,207 |
| Chesapeake Utilities Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,706) | | (176,197) | | (183,054) | | (10,874) |
| Clearway Energy, Inc., Class C | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,661) | | (123,257) | | (130,486) | | (10,019) |
| Dominion Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,272) | | (437,357) | | (456,090) | | (30,099) |
| Edison International | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (940) | | (61,344) | | (66,486) | | (7,040) |
| Entergy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,359) | | (237,673) | | (249,299) | | (16,768) |
| Evergy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,884) | | (721,679) | | (687,748) | | (2,558) |
| Exelon Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,874) | | (230,355) | | (220,686) | | (1,012) |
| FirstEnergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,703) | | (274,598) | | (258,870) | | 12,450 |
| IDACORP, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,579) | | (532,439) | | (518,233) | | (1,863) |
| MGE Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,387) | | (107,434) | | (109,185) | | (3,803) |
| Middlesex Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,728) | | (120,403) | | (90,720) | | 26,295 |
| National Fuel Gas Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,763) | | (393,610) | | (417,028) | | (38,163) |
| NextEra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,160) | | (127,197) | | (138,046) | | (13,917) |
| NiSource, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (15,994) | | (430,663) | | (442,394) | | (33,210) |
| Northwest Natural Holding Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (4,984) | | (255,469) | | (185,504) | | 47,615 |
| Northwestern Energy Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/27/24 | | (3,634) | | (245,696) | | (185,080) | | 27,760 |
| Ormat Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,971) | | (473,275) | | (395,220) | | 66,702 |
| Pinnacle West Capital Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,415) | | (392,906) | | (404,663) | | (25,994) |
| PNM Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,085) | | (532,147) | | (492,519) | | 25,116 |
| Portland General Electric Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,686) | | (547,894) | | (532,812) | | (7,848) |
| PPL Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,916) | | (344,795) | | (355,577) | | (20,553) |
| Sempra | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,214) | | (608,977) | | (590,012) | | (8,239) |
| SJW Group | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (661) | | (37,354) | | (37,406) | | (756) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Southern Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,501) | | $ (175,985) | | $ (179,422) | | $ (10,038) |
| Sunnova Energy International, Inc. | | USFF -0.730% | | Weekly | | MS | | 07/11/28 | | (19,740) | | (213,908) | | (121,006) | | 88,799 |
| | | | | | | | | | | (320,194) | | (10,667,336) | | (10,248,852) | | 9,234 |
|
|
| Total Reference Entity — Short | | | | | | (178,763,265) | | (172,972,482) | | 1,121,176 |
| Net Value of Reference Entity | | | | | | $ (26,657,044) | | $ 9,315,643 | | $36,958,778 |
| * | Includes $986,091 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| MS | Morgan Stanley |
| USFF | U.S. Fed Funds |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 95.0% |
| Automobiles & Components — 1.2% |
| Adient PLC (Ireland)* | 1,334 | | $ 43,915 |
| American Axle & Manufacturing Holdings, Inc.* | 4,352 | | 32,031 |
| Aptiv PLC (Jersey)* | 314 | | 25,010 |
| BorgWarner, Inc.(a) | 5,572 | | 193,571 |
| Dorman Products, Inc.* | 154 | | 14,844 |
| Ford Motor Co.(a) | 15,123 | | 200,833 |
| Garrett Motion, Inc.* | 115 | | 1,143 |
| General Motors Co.(a) | 4,333 | | 196,501 |
| Gentherm, Inc.* | 253 | | 14,568 |
| Goodyear Tire & Rubber Co. (The)* | 2,115 | | 29,039 |
| LCI Industries | 195 | | 23,997 |
| Lear Corp. | 327 | | 47,376 |
| Visteon Corp.(a)* | 760 | | 89,384 |
| | | | 912,212 |
| Capital Goods — 12.3% |
| 3M Co. | 49 | | 5,197 |
| A. O. Smith Corp.(a) | 1,323 | | 118,356 |
| AAR Corp.* | 118 | | 7,065 |
| Acuity Brands, Inc.(a) | 242 | | 65,033 |
| AECOM (a) | 2,050 | | 201,064 |
| American Woodmark Corp.* | 503 | | 51,135 |
| Apogee Enterprises, Inc. | 4 | | 237 |
| Applied Industrial Technologies, Inc.(a) | 443 | | 87,515 |
| Array Technologies, Inc.(a)* | 19,045 | | 283,961 |
| AZEK Co., Inc. (The)(a)* | 5,919 | | 297,252 |
| Beacon Roofing Supply, Inc.* | 922 | | 90,374 |
| Blue Bird Corp.* | 472 | | 18,096 |
| Boeing Co. (The)(a)* | 390 | | 75,266 |
| Boise Cascade Co.(a) | 333 | | 51,072 |
| Builders FirstSource, Inc.* | 45 | | 9,385 |
| BWX Technologies, Inc.(a) | 1,956 | | 200,725 |
| Cadre Holdings, Inc. | 140 | | 5,068 |
| Carlisle Cos., Inc.(a) | 354 | | 138,715 |
| Carrier Global Corp.(a) | 851 | | 49,469 |
| Caterpillar, Inc. | 212 | | 77,683 |
| Chart Industries, Inc.* | 254 | | 41,839 |
| Comfort Systems USA, Inc.(a) | 98 | | 31,136 |
| Core & Main, Inc., Class A(a)* | 152 | | 8,702 |
| Crane Co.(a) | 1,429 | | 193,101 |
| Cummins, Inc.(a) | 589 | | 173,549 |
| Curtiss-Wright Corp.(a) | 265 | | 67,824 |
| Deere & Co. | 164 | | 67,361 |
| DNOW, Inc.* | 458 | | 6,962 |
| Donaldson Co., Inc.(a) | 1,487 | | 111,049 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Dover Corp. | 318 | | $ 56,346 |
| Eaton Corp. PLC (Ireland) | 386 | | 120,694 |
| EMCOR Group, Inc.(a) | 407 | | 142,531 |
| Enerpac Tool Group Corp. | 1,406 | | 50,138 |
| EnerSys (a) | 1,290 | | 121,853 |
| Enpro, Inc. | 143 | | 24,134 |
| Esab Corp. | 409 | | 45,223 |
| Fastenal Co.(a) | 436 | | 33,633 |
| Federal Signal Corp. | 137 | | 11,627 |
| Flowserve Corp. | 2,641 | | 120,641 |
| Fluence Energy, Inc.* | 6,076 | | 105,358 |
| Generac Holdings, Inc.(a)* | 2,408 | | 303,745 |
| General Dynamics Corp.(a) | 347 | | 98,024 |
| General Electric Co. | 281 | | 49,324 |
| Gibraltar Industries, Inc.* | 716 | | 57,659 |
| Gorman-Rupp Co. (The) | 4 | | 158 |
| Graco, Inc. | 370 | | 34,580 |
| Griffon Corp.(a) | 3,496 | | 256,397 |
| Hillman Solutions Corp.* | 4,908 | | 52,221 |
| Honeywell International, Inc.(a) | 1,061 | | 217,770 |
| Howmet Aerospace, Inc. | 429 | | 29,356 |
| Hubbell, Inc. | 26 | | 10,791 |
| Huntington Ingalls Industries, Inc.(a) | 407 | | 118,628 |
| Illinois Tool Works, Inc.(a) | 475 | | 127,457 |
| Ingersoll Rand, Inc.(a) | 1,626 | | 154,389 |
| Kadant, Inc. | 29 | | 9,515 |
| Kennametal, Inc. | 1,630 | | 40,652 |
| L3Harris Technologies, Inc. | 223 | | 47,521 |
| Leonardo DRS, Inc.* | 504 | | 11,133 |
| Lincoln Electric Holdings, Inc.(a) | 962 | | 245,733 |
| Lindsay Corp. | 417 | | 49,064 |
| Lockheed Martin Corp.(a) | 610 | | 277,471 |
| Masco Corp.(a) | 2,445 | | 192,862 |
| MasTec, Inc.* | 268 | | 24,991 |
| MDU Resources Group, Inc.(a) | 6,918 | | 174,334 |
| Middleby Corp. (The)* | 819 | | 131,687 |
| MSC Industrial Direct Co., Inc., Class A(a) | 2,652 | | 257,350 |
| Mueller Industries, Inc.(a) | 1,164 | | 62,775 |
| Nikola Corp.* | 830 | | 863 |
| Otis Worldwide Corp.(a) | 561 | | 55,690 |
| Owens Corning | 91 | | 15,179 |
| PACCAR, Inc. | 504 | | 62,441 |
| Parker-Hannifin Corp.(a) | 77 | | 42,796 |
| Powell Industries, Inc.(a) | 1,210 | | 172,183 |
| Proto Labs, Inc.* | 89 | | 3,182 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Quanex Building Products Corp. | 64 | | $ 2,460 |
| Quanta Services, Inc.(a) | 2,247 | | 583,771 |
| Regal Rexnord Corp. | 6 | | 1,081 |
| Resideo Technologies, Inc.* | 241 | | 5,403 |
| RTX Corp.(a) | 1,258 | | 122,693 |
| Snap-on, Inc.(a) | 444 | | 131,522 |
| SPX Technologies, Inc.* | 278 | | 34,230 |
| Stanley Black & Decker, Inc.(a) | 2,381 | | 233,171 |
| Stantec, Inc. (Canada) | 31 | | 2,574 |
| Sterling Infrastructure, Inc.(a)* | 561 | | 61,884 |
| Tennant Co. | 536 | | 65,183 |
| Terex Corp.(a) | 476 | | 30,654 |
| Textron, Inc.(a) | 2,776 | | 266,302 |
| Trane Technologies PLC (Ireland) | 303 | | 90,961 |
| Trex Co., Inc.* | 1,077 | | 107,431 |
| Tutor Perini Corp.* | 38 | | 549 |
| UFP Industries, Inc.(a) | 656 | | 80,695 |
| United Rentals, Inc.(a) | 362 | | 261,042 |
| Wabash National Corp. | 2,909 | | 87,095 |
| Watts Water Technologies, Inc., Class A(a) | 277 | | 58,876 |
| Woodward, Inc.(a) | 1,058 | | 163,059 |
| WW Grainger, Inc.(a) | 80 | | 81,384 |
| Xylem, Inc. | 254 | | 32,827 |
| Zurn Elkay Water Solutions Corp.(a) | 4,031 | | 134,918 |
| | | | 9,394,055 |
| Commercial & Professional Services — 3.0% |
| ACV Auctions, Inc., Class A(a)* | 5,701 | | 107,008 |
| Alight, Inc., Class A* | 7,575 | | 74,614 |
| ASGN, Inc.* | 635 | | 66,523 |
| Automatic Data Processing, Inc.(a) | 493 | | 123,122 |
| Booz Allen Hamilton Holding Corp.(a) | 1,247 | | 185,105 |
| Brady Corp., Class A | 525 | | 31,122 |
| Brink's Co. (The) | 362 | | 33,442 |
| Broadridge Financial Solutions, Inc.(a) | 167 | | 34,212 |
| Cimpress PLC (Ireland)* | 111 | | 9,825 |
| Cintas Corp. | 114 | | 78,321 |
| CSG Systems International, Inc. | 874 | | 45,046 |
| Enviri Corp.* | 277 | | 2,534 |
| Healthcare Services Group, Inc.* | 830 | | 10,358 |
| Heidrick & Struggles International, Inc. | 3 | | 101 |
| HireRight Holdings Corp.* | 42 | | 599 |
| Jacobs Solutions, Inc.(a) | 1,245 | | 191,394 |
| Legalzoom.com, Inc.* | 1,643 | | 21,918 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Leidos Holdings, Inc.(a) | 1,128 | | $ 147,869 |
| ManpowerGroup, Inc. | 1,165 | | 90,451 |
| Maximus, Inc. | 215 | | 18,038 |
| MillerKnoll, Inc. | 1,023 | | 25,329 |
| MSA Safety, Inc. | 222 | | 42,977 |
| OPENLANE, Inc.* | 1,488 | | 25,742 |
| Parsons Corp.(a)* | 2,147 | | 178,094 |
| Republic Services, Inc.(a) | 264 | | 50,540 |
| Robert Half, Inc.(a) | 1,221 | | 96,801 |
| Science Applications International Corp.(a) | 365 | | 47,592 |
| SS&C Technologies Holdings, Inc. | 365 | | 23,495 |
| Steelcase, Inc., Class A | 3,871 | | 50,633 |
| Sterling Check Corp.* | 75 | | 1,206 |
| TaskUS, Inc., Class A* | 71 | | 827 |
| TELUS International CDA, Inc. (Canada)* | 71 | | 601 |
| Tetra Tech, Inc.(a) | 1,143 | | 211,123 |
| Veralto Corp.(a) | 1,192 | | 105,683 |
| Waste Connections, Inc. (Canada) | 756 | | 130,039 |
| Waste Management, Inc. | 292 | | 62,240 |
| | | | 2,324,524 |
| Consumer Discretionary Distribution & Retail — 3.9% |
| Amazon.com, Inc.(a)* | 2,946 | | 531,399 |
| AutoZone, Inc.(a)* | 78 | | 245,829 |
| Best Buy Co., Inc. | 67 | | 5,496 |
| Camping World Holdings, Inc., Class A | 1,683 | | 46,871 |
| Carvana Co.(a)* | 959 | | 84,306 |
| eBay, Inc.(a) | 2,525 | | 133,269 |
| Etsy, Inc.* | 1,065 | | 73,187 |
| Gap, Inc. (The)(a) | 8,669 | | 238,831 |
| Hibbett, Inc. | 123 | | 9,448 |
| Home Depot, Inc. (The)(a) | 744 | | 285,398 |
| Kohl's Corp. | 3,594 | | 104,765 |
| Leslie's, Inc.* | 6,408 | | 41,652 |
| LKQ Corp. | 1,349 | | 72,050 |
| Monro, Inc. | 2,300 | | 72,542 |
| Murphy USA, Inc. | 83 | | 34,794 |
| ODP Corp. (The)(a)* | 2,201 | | 116,763 |
| Ross Stores, Inc. | 934 | | 137,074 |
| Signet Jewelers Ltd. (Bermuda) | 2,758 | | 275,993 |
| TJX Cos., Inc. (The)(a) | 1,738 | | 176,268 |
| Ulta Beauty, Inc.(a)* | 412 | | 215,426 |
| Wayfair, Inc., Class A* | 211 | | 14,323 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Discretionary Distribution & Retail — (Continued) |
| Williams-Sonoma, Inc. | 119 | | $ 37,786 |
| Winmark Corp. | 88 | | 31,830 |
| | | | 2,985,300 |
| Consumer Durables & Apparel — 3.1% |
| Carter's, Inc.(a) | 1,392 | | 117,875 |
| Columbia Sportswear Co. | 487 | | 39,535 |
| Cricut, Inc., Class A | 57 | | 271 |
| Deckers Outdoor Corp.(a)* | 155 | | 145,895 |
| Figs, Inc., Class A* | 14,021 | | 69,825 |
| Garmin Ltd. (Switzerland) | 1,030 | | 153,336 |
| G-III Apparel Group Ltd.* | 2,917 | | 84,622 |
| Hanesbrands, Inc.(a)* | 17,425 | | 101,065 |
| Hasbro, Inc. | 1,545 | | 87,323 |
| Helen of Troy Ltd. (Bermuda)* | 874 | | 100,720 |
| Leggett & Platt, Inc. | 3,179 | | 60,878 |
| Lululemon Athletica, Inc.* | 52 | | 20,314 |
| Mattel, Inc.(a)* | 15,296 | | 303,014 |
| Mohawk Industries, Inc.* | 679 | | 88,874 |
| Newell Brands, Inc. | 176 | | 1,413 |
| NIKE, Inc., Class B | 575 | | 54,039 |
| PulteGroup, Inc.(a) | 1,226 | | 147,880 |
| Ralph Lauren Corp.(a) | 961 | | 180,437 |
| Smith & Wesson Brands, Inc. | 16 | | 278 |
| Sonos, Inc.* | 2,609 | | 49,728 |
| Tapestry, Inc. | 1,523 | | 72,312 |
| TopBuild Corp.* | 287 | | 126,490 |
| Vista Outdoor, Inc.(a)* | 2,117 | | 69,395 |
| Worthington Enterprises, Inc. | 967 | | 60,176 |
| YETI Holdings, Inc.(a)* | 5,253 | | 202,503 |
| | | | 2,338,198 |
| Consumer Services — 3.9% |
| ADT, Inc. | 15,059 | | 101,196 |
| Adtalem Global Education, Inc.* | 431 | | 22,153 |
| Aramark (a) | 11,482 | | 373,395 |
| BJ's Restaurants, Inc.* | 564 | | 20,405 |
| Booking Holdings, Inc.(a) | 91 | | 330,137 |
| Bright Horizons Family Solutions, Inc.* | 401 | | 45,457 |
| Brinker International, Inc.(a)* | 3,875 | | 192,510 |
| Caesars Entertainment, Inc.(a)* | 2,186 | | 95,616 |
| Dine Brands Global, Inc. | 309 | | 14,362 |
| DoorDash, Inc., Class A* | 125 | | 17,215 |
| DraftKings, Inc., Class A* | 587 | | 26,656 |
| Duolingo, Inc.* | 98 | | 21,617 |
| European Wax Center, Inc., Class A* | 386 | | 5,010 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| Expedia Group, Inc.(a)* | 1,239 | | $ 170,672 |
| Frontdoor, Inc.(a)* | 4,820 | | 157,036 |
| Grand Canyon Education, Inc.* | 290 | | 39,501 |
| International Game Technology PLC (United Kingdom) | 693 | | 15,655 |
| Las Vegas Sands Corp.(a) | 3,468 | | 179,296 |
| Marriott International, Inc., Class A | 260 | | 65,601 |
| McDonald's Corp.(a) | 731 | | 206,105 |
| Papa John's International, Inc. | 300 | | 19,980 |
| Sabre Corp.* | 8,893 | | 21,521 |
| Shake Shack, Inc., Class A* | 286 | | 29,753 |
| Six Flags Entertainment Corp.* | 999 | | 26,294 |
| Starbucks Corp.(a) | 1,004 | | 91,755 |
| Strategic Education, Inc. | 99 | | 10,308 |
| Sweetgreen, Inc., Class A* | 608 | | 15,358 |
| Vail Resorts, Inc. | 301 | | 67,072 |
| Wendy's Co. (The) | 968 | | 18,237 |
| Wyndham Hotels & Resorts, Inc.(a) | 2,660 | | 204,155 |
| Wynn Resorts Ltd.(a) | 1,799 | | 183,912 |
| Yum! Brands, Inc.(a) | 1,325 | | 183,711 |
| | | | 2,971,651 |
| Consumer Staples Distribution & Retail — 2.8% |
| Albertsons Cos., Inc., Class A | 5,476 | | 117,405 |
| Costco Wholesale Corp.(a) | 229 | | 167,772 |
| Dollar General Corp. | 42 | | 6,555 |
| Fresh Market Holdings, Inc. (The), Escrow Shares(b)* | 14,027 | | — |
| Grocery Outlet Holding Corp.(a)* | 2,617 | | 75,317 |
| Kroger Co. (The)(a) | 12,778 | | 730,007 |
| Performance Food Group Co.* | 102 | | 7,613 |
| Sysco Corp.(a) | 981 | | 79,638 |
| Target Corp.(a) | 3,869 | | 685,625 |
| US Foods Holding Corp.(a)* | 1,050 | | 56,669 |
| Walgreens Boots Alliance, Inc. | 1,608 | | 34,878 |
| Walmart, Inc.(a) | 2,529 | | 152,170 |
| Weis Markets, Inc. | 83 | | 5,345 |
| | | | 2,118,994 |
| Energy — 7.1% |
| Antero Midstream Corp.(a) | 13,828 | | 194,422 |
| APA Corp.(a) | 694 | | 23,860 |
| Archrock, Inc. | 5,259 | | 103,445 |
| Baker Hughes Co.(a) | 4,809 | | 161,101 |
| Berry Corp. | 760 | | 6,118 |
| Borr Drilling Ltd. (Bermuda) | 2,670 | | 18,290 |
| California Resources Corp.(a) | 2,403 | | 132,405 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Cameco Corp. (Canada) | 753 | | $ 32,620 |
| Canadian Natural Resources Ltd. (Canada) | 5,818 | | 444,030 |
| Cheniere Energy, Inc.(a) | 1,160 | | 187,085 |
| Chesapeake Energy Corp.(a) | 1,196 | | 106,241 |
| Chord Energy Corp. | 205 | | 36,539 |
| ConocoPhillips (a) | 406 | | 51,676 |
| CONSOL Energy, Inc.(a) | 2,122 | | 177,739 |
| Coterra Energy, Inc. | 3,468 | | 96,688 |
| CVR Energy, Inc.(a) | 837 | | 29,847 |
| Delek US Holdings, Inc. | 2,207 | | 67,843 |
| Devon Energy Corp.(a) | 4,645 | | 233,086 |
| DHT Holdings, Inc. (Marshall Islands) | 3,587 | | 41,250 |
| Diamondback Energy, Inc.(a) | 1,038 | | 205,700 |
| Dorian LPG Ltd. (Marshall Islands) | 6,491 | | 249,644 |
| Enbridge, Inc. (Canada) | 2,642 | | 95,588 |
| Enerplus Corp. (Canada) | 1,666 | | 32,754 |
| Exxon Mobil Corp.(a) | 2,227 | | 258,866 |
| FLEX LNG Ltd. (Bermuda) | 983 | | 24,998 |
| Green Plains, Inc.* | 393 | | 9,086 |
| Gulfport Energy Corp.* | 358 | | 57,323 |
| Halliburton Co. | 2,190 | | 86,330 |
| Helix Energy Solutions Group, Inc.* | 5,765 | | 62,493 |
| Helmerich & Payne, Inc.(a) | 6,344 | | 266,829 |
| Kinder Morgan, Inc. | 3,044 | | 55,827 |
| Marathon Oil Corp.(a) | 15,186 | | 430,371 |
| Marathon Petroleum Corp.(a) | 672 | | 135,408 |
| Murphy Oil Corp.(a) | 1,988 | | 90,852 |
| Nabors Industries Ltd. (Bermuda)* | 634 | | 54,606 |
| Nordic American Tankers Ltd. (Bermuda) | 14,194 | | 55,640 |
| Occidental Petroleum Corp.(a) | 3,152 | | 204,848 |
| Pembina Pipeline Corp. (Canada) | 1,527 | | 53,964 |
| Phillips 66 | 729 | | 119,075 |
| Pioneer Natural Resources Co.(a) | 901 | | 236,512 |
| REX American Resources Corp.* | 4 | | 235 |
| Schlumberger NV (Curacao) | 1,269 | | 69,554 |
| Targa Resources Corp. | 95 | | 10,639 |
| TC Energy Corp. (Canada) | 65 | | 2,613 |
| TechnipFMC PLC (United Kingdom) | 10,759 | | 270,158 |
| Transocean Ltd. (Switzerland)* | 7,512 | | 47,175 |
| US Silica Holdings, Inc.* | 3,624 | | 44,974 |
| Valero Energy Corp. | 95 | | 16,216 |
| | | | 5,392,563 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — 3.3% |
| AvidXchange Holdings, Inc.* | 8,762 | | $ 115,220 |
| Berkshire Hathaway, Inc., Class B(a)* | 658 | | 276,702 |
| BlackRock, Inc. | 93 | | 77,534 |
| Cboe Global Markets, Inc. | 955 | | 175,462 |
| CME Group, Inc.(a) | 862 | | 185,580 |
| Coinbase Global, Inc., Class A(a)* | 66 | | 17,498 |
| Corpay, Inc.* | 153 | | 47,207 |
| Donnelley Financial Solutions, Inc.* | 126 | | 7,813 |
| Euronet Worldwide, Inc.* | 115 | | 12,642 |
| FactSet Research Systems, Inc. | 35 | | 15,904 |
| Fiserv, Inc.(a)* | 2,062 | | 329,549 |
| Franklin Resources, Inc.(a) | 3,789 | | 106,509 |
| Intercontinental Exchange, Inc. | 895 | | 123,000 |
| International Money Express, Inc.* | 674 | | 15,387 |
| Mastercard, Inc., Class A | 153 | | 73,680 |
| Morningstar, Inc.(a) | 480 | | 148,018 |
| NCR Atleos Corp.(a)* | 2,526 | | 49,888 |
| Open Lending Corp.* | 25 | | 156 |
| Paymentus Holdings, Inc., Class A* | 1 | | 23 |
| Payoneer Global, Inc.* | 10,834 | | 52,653 |
| PayPal Holdings, Inc.(a)* | 3,234 | | 216,646 |
| S&P Global, Inc. | 158 | | 67,221 |
| Shift4 Payments, Inc., Class A* | 1,486 | | 98,180 |
| T Rowe Price Group, Inc.(a) | 892 | | 108,753 |
| Visa, Inc., Class A(a) | 510 | | 142,331 |
| Western Union Co. (The) | 1,286 | | 17,978 |
| | | | 2,481,534 |
| Food, Beverage & Tobacco — 4.0% |
| Altria Group, Inc.(a) | 4,015 | | 175,134 |
| Archer-Daniels-Midland Co.(a) | 2,158 | | 135,544 |
| B&G Foods, Inc. | 8,135 | | 93,064 |
| Boston Beer Co., Inc. (The), Class A* | 36 | | 10,959 |
| Bunge Global SA (Switzerland) | 947 | | 97,087 |
| Campbell Soup Co. | 840 | | 37,338 |
| Coca-Cola Co. (The)(a) | 3,825 | | 234,014 |
| Coca-Cola Consolidated, Inc. | 35 | | 29,624 |
| Conagra Brands, Inc.(a) | 3,939 | | 116,752 |
| Constellation Brands, Inc., Class A(a) | 446 | | 121,205 |
| Dole PLC (Ireland) | 384 | | 4,581 |
| General Mills, Inc.(a) | 1,497 | | 104,745 |
| Hormel Foods Corp.(a) | 4,075 | | 142,177 |
| Ingredion, Inc.(a) | 1,519 | | 177,495 |
| J & J Snack Foods Corp. | 137 | | 19,805 |
| Kellanova (a) | 6,531 | | 374,161 |
| Keurig Dr Pepper, Inc.(a) | 5,960 | | 182,793 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Kraft Heinz Co. (The)(a) | 3,563 | | $ 131,475 |
| Lancaster Colony Corp.(a) | 380 | | 78,899 |
| McCormick & Co., Inc., non-voting shares | 2,111 | | 162,146 |
| Mission Produce, Inc.* | 47 | | 558 |
| Molson Coors Beverage Co., Class B | 1,147 | | 77,136 |
| Mondelez International, Inc., Class A(a) | 2,530 | | 177,100 |
| Philip Morris International, Inc. | 939 | | 86,031 |
| Primo Water Corp. (Canada) | 2,708 | | 49,313 |
| Simply Good Foods Co. (The)* | 4,408 | | 150,004 |
| SunOpta, Inc. (Canada)* | 669 | | 4,596 |
| Tootsie Roll Industries, Inc. | 5 | | 160 |
| Vector Group Ltd. | 1,227 | | 13,448 |
| Vita Coco Co., Inc. (The)* | 3,959 | | 96,718 |
| Vital Farms, Inc.* | 156 | | 3,627 |
| | | | 3,087,689 |
| Health Care Equipment & Services — 6.8% |
| Addus HomeCare Corp.* | 318 | | 32,862 |
| Align Technology, Inc.* | 149 | | 48,860 |
| Astrana Health, Inc.* | 178 | | 7,474 |
| Avanos Medical, Inc.* | 1,080 | | 21,503 |
| Baxter International, Inc.(a) | 5,290 | | 226,095 |
| Becton Dickinson & Co.(a) | 938 | | 232,108 |
| Cardinal Health, Inc.(a) | 1,256 | | 140,546 |
| Cencora, Inc. | 215 | | 52,243 |
| Centene Corp.(a)* | 1,611 | | 126,431 |
| Cigna Group (The)(a) | 333 | | 120,942 |
| CONMED Corp.(a) | 3,181 | | 254,734 |
| Cross Country Healthcare, Inc.* | 2,573 | | 48,167 |
| CVS Health Corp.(a) | 936 | | 74,655 |
| DaVita, Inc.(a)* | 2,217 | | 306,057 |
| Definitive Healthcare Corp.* | 1,933 | | 15,599 |
| Enovis Corp.(a)* | 320 | | 19,984 |
| Evolent Health, Inc., Class A(a)* | 5,405 | | 177,230 |
| Fulgent Genetics, Inc.(a)* | 823 | | 17,859 |
| GE HealthCare Technologies, Inc.(a) | 2,138 | | 194,366 |
| Haemonetics Corp.(a)* | 651 | | 55,563 |
| HCA Healthcare, Inc.(a) | 413 | | 137,748 |
| HealthEquity, Inc.* | 27 | | 2,204 |
| HealthStream, Inc. | 32 | | 853 |
| Hologic, Inc.(a)* | 698 | | 54,416 |
| Humana, Inc.(a) | 499 | | 173,013 |
| IDEXX Laboratories, Inc.(a)* | 1,013 | | 546,949 |
| Lantheus Holdings, Inc.(a)* | 3,203 | | 199,355 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| LeMaitre Vascular, Inc. | 85 | | $ 5,641 |
| McKesson Corp. | 114 | | 61,201 |
| Medtronic PLC (Ireland) | 6,341 | | 552,618 |
| Molina Healthcare, Inc.(a)* | 357 | | 146,666 |
| National HealthCare Corp. | 75 | | 7,088 |
| Owens & Minor, Inc.* | 4,422 | | 122,534 |
| Penumbra, Inc.* | 297 | | 66,284 |
| Phreesia, Inc.* | 2,263 | | 54,154 |
| Privia Health Group, Inc.(a)* | 4,525 | | 88,645 |
| Quest Diagnostics, Inc.(a) | 921 | | 122,594 |
| ResMed, Inc.(a) | 1,160 | | 229,715 |
| Teleflex, Inc. | 80 | | 18,094 |
| Tenet Healthcare Corp.(a)* | 1,123 | | 118,039 |
| UFP Technologies, Inc.* | 69 | | 17,402 |
| UnitedHealth Group, Inc.(a) | 247 | | 122,191 |
| Varex Imaging Corp.* | 771 | | 13,955 |
| Zimmer Biomet Holdings, Inc.(a) | 977 | | 128,944 |
| | | | 5,163,581 |
| Household & Personal Products — 1.8% |
| BellRing Brands, Inc.(a)* | 4,660 | | 275,080 |
| Clorox Co. (The)(a) | 985 | | 150,813 |
| Colgate-Palmolive Co.(a) | 1,705 | | 153,535 |
| Coty, Inc., Class A* | 4,719 | | 56,439 |
| Edgewell Personal Care Co. | 867 | | 33,501 |
| Energizer Holdings, Inc. | 620 | | 18,253 |
| Estee Lauder Cos., Inc. (The), Class A | 146 | | 22,506 |
| Kenvue, Inc.(a) | 8,422 | | 180,736 |
| Kimberly-Clark Corp.(a) | 1,391 | | 179,926 |
| Procter & Gamble Co. (The)(a) | 845 | | 137,101 |
| Reynolds Consumer Products, Inc. | 964 | | 27,532 |
| Spectrum Brands Holdings, Inc.(a) | 257 | | 22,876 |
| WD-40 Co. | 402 | | 101,831 |
| | | | 1,360,129 |
| Materials — 6.2% |
| Alamos Gold, Inc., Class A (Canada) | 11,995 | | 176,926 |
| Alpha Metallurgical Resources, Inc. | 336 | | 111,273 |
| Amcor PLC (Jersey) | 4,662 | | 44,336 |
| AptarGroup, Inc. | 420 | | 60,434 |
| Arch Resources, Inc. | 81 | | 13,024 |
| Avient Corp. | 599 | | 25,997 |
| Axalta Coating Systems Ltd. (Bermuda)* | 1,337 | | 45,979 |
| Balchem Corp. | 45 | | 6,973 |
| Ball Corp.(a) | 1,527 | | 102,859 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Barrick Gold Corp. (Canada) | 502 | | $ 8,353 |
| Berry Global Group, Inc.(a) | 1,213 | | 73,362 |
| Cabot Corp. | 250 | | 23,050 |
| Carpenter Technology Corp.(a) | 2,178 | | 155,553 |
| Celanese Corp. | 835 | | 143,503 |
| Cleveland-Cliffs, Inc.(a)* | 18,887 | | 429,490 |
| Corteva, Inc.(a) | 11,530 | | 664,935 |
| Crown Holdings, Inc. | 354 | | 28,058 |
| Eastman Chemical Co.(a) | 1,153 | | 115,554 |
| Ecolab, Inc.(a) | 83 | | 19,165 |
| Fortuna Silver Mines, Inc. (Canada)* | 21,474 | | 80,098 |
| Freeport-McMoRan, Inc. | 1,179 | | 55,437 |
| HB Fuller Co. | 800 | | 63,792 |
| Innospec, Inc. | 94 | | 12,120 |
| International Flavors & Fragrances, Inc.(a) | 1,467 | | 126,147 |
| International Paper Co.(a) | 979 | | 38,201 |
| Kinross Gold Corp. (Canada) | 4,187 | | 25,666 |
| Knife River Corp.* | 1,020 | | 82,702 |
| Koppers Holdings, Inc. | 124 | | 6,841 |
| Linde PLC (Ireland) | 392 | | 182,013 |
| LyondellBasell Industries NV, Class A (Netherlands) | 1,510 | | 154,443 |
| Martin Marietta Materials, Inc.(a) | 90 | | 55,255 |
| Mativ Holdings, Inc. | 922 | | 17,288 |
| Minerals Technologies, Inc. | 650 | | 48,932 |
| NewMarket Corp.(a) | 370 | | 234,809 |
| Nucor Corp.(a) | 429 | | 84,899 |
| Packaging Corp. of America(a) | 416 | | 78,948 |
| PPG Industries, Inc.(a) | 739 | | 107,081 |
| Quaker Chemical Corp. | 621 | | 127,460 |
| Royal Gold, Inc.(a) | 2,072 | | 252,390 |
| RPM International, Inc.(a) | 776 | | 92,305 |
| Scotts Miracle-Gro Co. (The)(a) | 3,793 | | 282,920 |
| Sealed Air Corp.(a) | 1,028 | | 38,242 |
| Sherwin-Williams Co. (The)(a) | 333 | | 115,661 |
| SilverCrest Metals, Inc. (Canada)* | 69 | | 460 |
| Sonoco Products Co. | 108 | | 6,247 |
| Summit Materials, Inc., Class A* | 385 | | 17,159 |
| Taseko Mines Ltd. (Canada)* | 120 | | 260 |
| Vulcan Materials Co. | 216 | | 58,951 |
| Westrock Co. | 1,056 | | 52,219 |
| Worthington Steel, Inc. | 28 | | 1,004 |
| | | | 4,748,774 |
| Media & Entertainment — 5.4% |
| Alphabet, Inc., Class A(a)* | 3,552 | | 536,103 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Bumble, Inc., Class A(a)* | 2,840 | | $ 32,234 |
| Cable One, Inc. | 44 | | 18,618 |
| Cinemark Holdings, Inc.(a)* | 8,100 | | 145,557 |
| Clear Channel Outdoor Holdings, Inc.* | 913 | | 1,507 |
| Comcast Corp., Class A(a) | 5,948 | | 257,846 |
| Electronic Arts, Inc.(a) | 2,613 | | 346,667 |
| Getty Images Holdings, Inc.* | 11 | | 46 |
| Grindr, Inc.* | 14 | | 142 |
| Interpublic Group of Cos., Inc. (The)(a) | 3,648 | | 119,034 |
| Match Group, Inc.* | 2,848 | | 103,325 |
| Meta Platforms, Inc., Class A(a) | 1,268 | | 615,715 |
| Netflix, Inc.(a)* | 543 | | 329,780 |
| News Corp., Class A(a) | 2,701 | | 70,712 |
| Omnicom Group, Inc.(a) | 453 | | 43,832 |
| Paramount Global, Class B(a) | 24,087 | | 283,504 |
| Sirius XM Holdings, Inc. | 32,956 | | 127,869 |
| Spotify Technology SA (Luxembourg)* | 1,262 | | 333,042 |
| TripAdvisor, Inc.(a)* | 9,343 | | 259,642 |
| Vimeo, Inc.* | 6,958 | | 28,458 |
| Walt Disney Co. (The)(a) | 1,506 | | 184,274 |
| Warner Music Group Corp., Class A | 708 | | 23,378 |
| Yelp, Inc.(a)* | 4,197 | | 165,362 |
| ZipRecruiter, Inc., Class A* | 1,595 | | 18,327 |
| ZoomInfo Technologies, Inc.* | 3,651 | | 58,526 |
| | | | 4,103,500 |
| Pharmaceuticals, Biotechnology & Life Sciences — 4.3% |
| AbbVie, Inc. | 327 | | 59,547 |
| Agilent Technologies, Inc.(a) | 1,709 | | 248,677 |
| Alkermes PLC (Ireland)* | 9,347 | | 253,023 |
| Alpine Immune Sciences, Inc.* | 700 | | 27,748 |
| Amneal Pharmaceuticals, Inc.* | 1,295 | | 7,848 |
| Amphastar Pharmaceuticals, Inc.* | 1,950 | | 85,624 |
| ANI Pharmaceuticals, Inc.* | 472 | | 32,629 |
| Azenta, Inc.(a)* | 1,274 | | 76,797 |
| Beam Therapeutics, Inc.* | 1,416 | | 46,785 |
| Bio-Rad Laboratories, Inc., Class A(a)* | 149 | | 51,535 |
| Bristol-Myers Squibb Co.(a) | 5,871 | | 318,384 |
| Collegium Pharmaceutical, Inc.* | 2,534 | | 98,370 |
| Corcept Therapeutics, Inc.* | 1,536 | | 38,692 |
| Danaher Corp. | 43 | | 10,738 |
| EyePoint Pharmaceuticals, Inc.* | 2,697 | | 55,747 |
| Gilead Sciences, Inc.(a) | 1,192 | | 87,314 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| Halozyme Therapeutics, Inc.(a)* | 1,396 | | $ 56,789 |
| Harmony Biosciences Holdings, Inc.(a)* | 5,468 | | 183,615 |
| ImmunityBio, Inc.* | 1,508 | | 8,098 |
| Incyte Corp.(a)* | 7,226 | | 411,665 |
| Innoviva, Inc.* | 2,053 | | 31,288 |
| IQVIA Holdings, Inc.(a)* | 581 | | 146,929 |
| Ironwood Pharmaceuticals, Inc.* | 1,403 | | 12,220 |
| Johnson & Johnson(a) | 2,059 | | 325,713 |
| Merck & Co., Inc.(a) | 942 | | 124,297 |
| Mettler-Toledo International, Inc.(a)* | 84 | | 111,828 |
| Natera, Inc.* | 375 | | 34,297 |
| Nurix Therapeutics, Inc.* | 6 | | 88 |
| Nuvation Bio, Inc.* | 9 | | 33 |
| Scholar Rock Holding Corp.* | 61 | | 1,083 |
| Spyre Therapeutics, Inc.* | 5 | | 190 |
| Thermo Fisher Scientific, Inc.(a) | 208 | | 120,892 |
| Twist Bioscience Corp.(a)* | 3,297 | | 113,120 |
| United Therapeutics Corp.(a)* | 216 | | 49,620 |
| Viatris, Inc.(a) | 6,157 | | 73,515 |
| Waters Corp.* | 28 | | 9,638 |
| WaVe Life Sciences Ltd. (Singapore)* | 101 | | 623 |
| | | | 3,314,999 |
| Semiconductors & Semiconductor Equipment — 6.0% |
| Advanced Micro Devices, Inc.(a)* | 1,196 | | 215,866 |
| Amkor Technology, Inc. | 1,942 | | 62,610 |
| Applied Materials, Inc.(a) | 715 | | 147,454 |
| Entegris, Inc.(a) | 1,029 | | 144,616 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands)* | 3,747 | | 195,256 |
| KLA Corp. | 168 | | 117,360 |
| Lam Research Corp.(a) | 120 | | 116,588 |
| Microchip Technology, Inc.(a) | 841 | | 75,446 |
| Micron Technology, Inc.(a) | 3,895 | | 459,181 |
| Monolithic Power Systems, Inc.(a) | 885 | | 599,517 |
| NVIDIA Corp.(a) | 331 | | 299,078 |
| NXP Semiconductors NV (Netherlands) | 836 | | 207,136 |
| ON Semiconductor Corp.* | 1,327 | | 97,601 |
| Photronics, Inc.* | 3,643 | | 103,170 |
| Qorvo, Inc.(a)* | 5,420 | | 622,379 |
| QUALCOMM, Inc.(a) | 3,099 | | 524,661 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Semiconductors & Semiconductor Equipment — (Continued) |
| Skyworks Solutions, Inc.(a) | 4,892 | | $ 529,901 |
| SMART Global Holdings, Inc. (Cayman Islands)* | 2,878 | | 75,749 |
| | | | 4,593,569 |
| Software & Services — 9.5% |
| Accenture PLC, Class A (Ireland) | 605 | | 209,699 |
| Adobe, Inc.(a)* | 751 | | 378,955 |
| Amdocs Ltd. (Guernsey) | 768 | | 69,404 |
| Appfolio, Inc., Class A* | 419 | | 103,384 |
| Bitfarms Ltd. (Canada)* | 84,982 | | 189,510 |
| Blackbaud, Inc.* | 471 | | 34,920 |
| Box, Inc., Class A* | 2,057 | | 58,254 |
| CGI, Inc. (Canada)* | 61 | | 6,740 |
| Docebo, Inc. (Canada)* | 52 | | 2,547 |
| DXC Technology Co.* | 3,715 | | 78,795 |
| Enfusion, Inc., Class A* | 105 | | 971 |
| EverCommerce, Inc.* | 8 | | 75 |
| Fortinet, Inc.* | 2,003 | | 136,825 |
| Gen Digital, Inc.(a) | 6,027 | | 135,005 |
| Globant SA (Luxembourg)* | 394 | | 79,549 |
| GoDaddy, Inc., Class A(a)* | 517 | | 61,358 |
| Guidewire Software, Inc.(a)* | 1,102 | | 128,614 |
| Hackett Group, Inc. (The) | 1 | | 24 |
| Informatica, Inc., Class A* | 2,378 | | 83,230 |
| InterDigital, Inc.(a) | 1,853 | | 197,270 |
| International Business Machines Corp.(a) | 844 | | 161,170 |
| JFrog Ltd. (Israel)* | 4,796 | | 212,079 |
| Kyndryl Holdings, Inc.* | 601 | | 13,078 |
| LiveRamp Holdings, Inc.* | 2,727 | | 94,082 |
| Manhattan Associates, Inc.(a)* | 135 | | 33,781 |
| MeridianLink, Inc.* | 66 | | 1,234 |
| Microsoft Corp.(a) | 1,080 | | 454,378 |
| N-able, Inc.* | 59 | | 771 |
| NCR Voyix Corp.(a)* | 11,045 | | 139,498 |
| NextNav, Inc.* | 129 | | 849 |
| Nutanix, Inc., Class A(a)* | 1,394 | | 86,038 |
| Okta, Inc.(a)* | 4,920 | | 514,730 |
| Oracle Corp.(a) | 3,482 | | 437,374 |
| Palantir Technologies, Inc., Class A(a)* | 19,104 | | 439,583 |
| Palo Alto Networks, Inc.(a)* | 1,073 | | 304,872 |
| Pegasystems, Inc. | 1,605 | | 103,747 |
| Q2 Holdings, Inc.* | 2,231 | | 117,261 |
| Qualys, Inc.(a)* | 1,250 | | 208,588 |
| Roper Technologies, Inc. | 137 | | 76,835 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Salesforce, Inc.(a) | 1,188 | | $ 357,802 |
| Samsara, Inc., Class A(a)* | 2,493 | | 94,211 |
| ServiceNow, Inc.(a)* | 581 | | 442,954 |
| SolarWinds Corp.* | 24 | | 303 |
| SPS Commerce, Inc.* | 2 | | 370 |
| Synopsys, Inc.* | 62 | | 35,433 |
| UiPath, Inc., Class A(a)* | 787 | | 17,841 |
| Varonis Systems, Inc.* | 479 | | 22,594 |
| Verint Systems, Inc.* | 43 | | 1,426 |
| VeriSign, Inc.(a)* | 1,151 | | 218,126 |
| Workday, Inc., Class A(a)* | 497 | | 135,557 |
| Yext, Inc.* | 5,733 | | 34,570 |
| Zoom Video Communications, Inc., Class A(a)* | 8,620 | | 563,489 |
| | | | 7,279,753 |
| Technology Hardware & Equipment — 5.2% |
| Amphenol Corp., Class A | 506 | | 58,367 |
| Apple, Inc.(a) | 4,956 | | 849,855 |
| Arlo Technologies, Inc.* | 1,246 | | 15,762 |
| Arrow Electronics, Inc.* | 501 | | 64,859 |
| Badger Meter, Inc. | 214 | | 34,627 |
| Bel Fuse, Inc., Class B | 514 | | 30,999 |
| CDW Corp.(a) | 345 | | 88,244 |
| Ciena Corp.(a)* | 5,259 | | 260,057 |
| Cisco Systems, Inc.(a) | 4,475 | | 223,347 |
| Crane NXT Co.(a) | 339 | | 20,984 |
| Extreme Networks, Inc.(a)* | 9,924 | | 114,523 |
| F5, Inc.(a)* | 1,288 | | 244,192 |
| Fabrinet (Cayman Islands)* | 254 | | 48,011 |
| Hewlett Packard Enterprise Co.(a) | 7,954 | | 141,024 |
| HP, Inc.(a) | 5,669 | | 171,317 |
| Insight Enterprises, Inc.(a)* | 250 | | 46,380 |
| Itron, Inc.* | 1,416 | | 131,008 |
| Jabil, Inc.(a) | 1,504 | | 201,461 |
| Keysight Technologies, Inc.* | 445 | | 69,589 |
| Littelfuse, Inc. | 494 | | 119,721 |
| Motorola Solutions, Inc.(a) | 271 | | 96,200 |
| Napco Security Technologies, Inc. | 1,510 | | 60,642 |
| NetApp, Inc.(a) | 1,771 | | 185,902 |
| NetScout Systems, Inc.(a)* | 1,934 | | 42,239 |
| PC Connection, Inc. | 49 | | 3,231 |
| Rogers Corp.* | 111 | | 13,175 |
| Seagate Technology Holdings PLC (Ireland) | 1,308 | | 121,709 |
| Super Micro Computer, Inc.(a)* | 188 | | 189,886 |
| TD SYNNEX Corp. | 436 | | 49,312 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| TE Connectivity Ltd. (Switzerland) | 656 | | $ 95,277 |
| Vontier Corp. | 1,205 | | 54,659 |
| Western Digital Corp.* | 1,679 | | 114,575 |
| Xerox Holdings Corp. | 932 | | 16,683 |
| | | | 3,977,817 |
| Telecommunication Services — 1.0% |
| Anterix, Inc.* | 82 | | 2,756 |
| AT&T, Inc.(a) | 6,546 | | 115,210 |
| BCE, Inc. (Canada) | 371 | | 12,606 |
| Iridium Communications, Inc. | 3,781 | | 98,911 |
| Lumen Technologies, Inc.* | 49 | | 76 |
| TELUS Corp. (Canada) | 3,880 | | 62,119 |
| T-Mobile US, Inc.(a) | 1,668 | | 272,251 |
| Verizon Communications, Inc.(a) | 4,229 | | 177,449 |
| | | | 741,378 |
| Transportation — 1.3% |
| CH Robinson Worldwide, Inc. | 274 | | 20,862 |
| CSX Corp.(a) | 4,199 | | 155,657 |
| Delta Air Lines, Inc.(a) | 3,626 | | 173,577 |
| FedEx Corp.(a) | 128 | | 37,087 |
| Forward Air Corp. | 2,318 | | 72,113 |
| FTAI Infrastructure, Inc. | 54 | | 339 |
| GXO Logistics, Inc.* | 981 | | 52,739 |
| Heartland Express, Inc. | 125 | | 1,492 |
| Old Dominion Freight Line, Inc.(a) | 498 | | 109,216 |
| Saia, Inc.* | 55 | | 32,175 |
| SkyWest, Inc.(a)* | 2,351 | | 162,407 |
| Uber Technologies, Inc.(a)* | 1,796 | | 138,274 |
| Union Pacific Corp. | 270 | | 66,401 |
| | | | 1,022,339 |
| Utilities — 2.9% |
| ALLETE, Inc.(a) | 2,379 | | 141,884 |
| American Water Works Co., Inc. | 446 | | 54,506 |
| Atmos Energy Corp. | 163 | | 19,376 |
| Black Hills Corp.(a) | 3,689 | | 201,419 |
| Consolidated Edison, Inc. | 513 | | 46,586 |
| Constellation Energy Corp.(a) | 581 | | 107,398 |
| Duke Energy Corp.(a) | 3,499 | | 338,388 |
| Fortis, Inc. (Canada) | 2,037 | | 80,482 |
| New Jersey Resources Corp. | 809 | | 34,714 |
| NRG Energy, Inc.(a) | 8,161 | | 552,418 |
| ONE Gas, Inc. | 797 | | 51,431 |
| Public Service Enterprise Group, Inc.(a) | 5,222 | | 348,725 |
| Southwest Gas Holdings, Inc. | 1,477 | | 112,444 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Spire, Inc. | 573 | | $ 35,165 |
| TransAlta Corp. (Canada) | 1,233 | | 7,928 |
| Vistra Corp.(a) | 896 | | 62,406 |
| | | | 2,195,270 |
TOTAL COMMON STOCKS
(Cost $64,173,586) | | | 72,507,829 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0% | | | 3,838,104 |
| NET ASSETS - 100.0% | | | $ 76,345,933 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| (b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 29, 2025 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (70.0)% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Adient PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 188 | | $ 6,409 | | $ 6,189 | | $ 308 |
| American Axle & Manufacturing Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,259 | | 9,767 | | 9,266 | | 279 |
| Aptiv PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 85 | | 6,634 | | 6,770 | | 681 |
| BorgWarner, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,480 | | 46,211 | | 51,415 | | 9,540 |
| Dorman Products, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 45 | | 4,155 | | 4,338 | | 523 |
| Ford Motor Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,139 | | 49,692 | | 54,966 | | 10,832 |
| Garrett Motion, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 29 | | 288 | | 288 | | 21 |
| General Motors Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,221 | | 35,369 | | 55,372 | | 23,412 |
| Gentherm, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 71 | | 3,943 | | 4,088 | | 468 |
| Goodyear Tire & Rubber Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 564 | | 7,746 | | 7,744 | | 600 |
| LCI Industries | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 53 | | 6,242 | | 6,522 | | 793 |
| Lear Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 92 | | 12,109 | | 13,329 | | 2,389 |
| Visteon Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 216 | | 25,102 | | 25,404 | | 2,337 |
| | | | | | | | | | | 9,442 | | 213,667 | | 245,691 | | 52,183 |
| Capital Goods | | | | | | | | | | | | | | |
| 3M Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 1,448 | | 1,485 | | (75) |
| A. O. Smith Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 398 | | 28,549 | | 35,605 | | 10,387 |
| AAR Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 33 | | 1,980 | | 1,976 | | 157 |
| Acuity Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 64 | | 10,073 | | 17,199 | | 8,405 |
| AECOM | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 75 | | 5,788 | | 7,356 | | 3,090 |
| American Woodmark Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 126 | | 9,476 | | 12,809 | | 4,137 |
| Apogee Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 59 | | 59 | | 2 |
| Applied Industrial Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 59 | | 7,822 | | 11,655 | | 5,682 |
| Array Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 5,239 | | 66,176 | | 78,113 | | 17,847 |
| AZEK Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,762 | | 56,687 | | 88,488 | | 37,471 |
| Beacon Roofing Supply, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 252 | | 21,509 | | 24,701 | | 5,211 |
| Blue Bird Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 180 | | 3,711 | | 6,901 | | 3,529 |
| Boeing Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 240 | | 43,349 | | 46,318 | | 7,159 |
| Boise Cascade Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 57 | | 4,707 | | 8,742 | | 6,159 |
| Builders FirstSource, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 2,515 | | 2,503 | | 192 |
| BWX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 535 | | 54,581 | | 54,902 | | 4,849 |
| Cadre Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 35 | | 1,260 | | 1,267 | | 109 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Carlisle Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 94 | | $32,885 | | $36,834 | | $ 6,878 |
| Carrier Global Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 151 | | 7,085 | | 8,778 | | 2,512 |
| Caterpillar, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 57 | | 20,439 | | 20,887 | | 2,469 |
| Chart Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 71 | | 10,838 | | 11,695 | | 1,820 |
| Comfort Systems USA, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 36 | | 4,723 | | 11,438 | | 8,640 |
| Core & Main, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 154 | | 4,352 | | 8,817 | | 6,862 |
| Crane Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 393 | | 31,321 | | 53,106 | | 25,392 |
| Cummins, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 158 | | 38,223 | | 46,555 | | 11,750 |
| Curtiss-Wright Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 68 | | 11,467 | | 17,404 | | 7,449 |
| Deere & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 43 | | 16,578 | | 17,662 | | 2,525 |
| Donaldson Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 416 | | 25,471 | | 31,067 | | 8,160 |
| Dover Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 89 | | 14,257 | | 15,770 | | 2,782 |
| Eaton Corp. PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 108 | | 29,332 | | 33,769 | | 7,028 |
| EMCOR Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 119 | | 24,181 | | 41,674 | | 21,729 |
| Enerpac Tool Group Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 379 | | 9,885 | | 13,515 | | 4,490 |
| EnerSys | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 352 | | 32,898 | | 33,250 | | 3,199 |
| Enpro, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 34 | | 3,282 | | 5,738 | | 3,242 |
| Esab Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 113 | | 11,335 | | 12,494 | | 2,102 |
| Fastenal Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 166 | | 10,304 | | 12,805 | | 3,550 |
| Federal Signal Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 38 | | 3,136 | | 3,225 | | 286 |
| Flowserve Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 735 | | 30,762 | | 33,575 | | 5,545 |
| Fluence Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,678 | | 34,607 | | 29,097 | | (2,656) |
| Generac Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 662 | | 75,027 | | 83,505 | | 14,995 |
| General Dynamics Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 98 | | 22,689 | | 27,684 | | 7,285 |
| General Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 75 | | 12,640 | | 13,165 | | 1,568 |
| Gibraltar Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 192 | | 12,312 | | 15,462 | | 4,242 |
| Gorman-Rupp Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 39 | | 40 | | 2 |
| Graco, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 99 | | 8,510 | | 9,253 | | 1,535 |
| Griffon Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 955 | | 40,962 | | 70,040 | | 33,779 |
| Hillman Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,367 | | 11,337 | | 14,545 | | 4,163 |
| Honeywell International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 292 | | 56,849 | | 59,933 | | 8,104 |
| Howmet Aerospace, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 112 | | 7,143 | | 7,664 | | 1,108 |
| Hubbell, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 2,484 | | 2,490 | | 208 |
| Huntington Ingalls Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 112 | | 25,909 | | 32,645 | | 9,289 |
| Illinois Tool Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 135 | | 32,841 | | 36,225 | | 6,991 |
| Ingersoll Rand, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 445 | | 39,682 | | 42,253 | | 5,870 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Kadant, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8 | | $ 2,620 | | $ 2,625 | | $ 219 |
| Kennametal, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 456 | | 11,514 | | 11,373 | | 978 |
| L3Harris Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 64 | | 13,166 | | 13,638 | | 1,638 |
| Leonardo DRS, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 151 | | 3,311 | | 3,336 | | 296 |
| Lincoln Electric Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 261 | | 65,704 | | 66,670 | | 6,561 |
| Lindsay Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 109 | | 13,621 | | 12,825 | | 362 |
| Lockheed Martin Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 161 | | 67,083 | | 73,234 | | 13,676 |
| Masco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 672 | | 43,166 | | 53,007 | | 15,142 |
| MasTec, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 72 | | 6,751 | | 6,714 | | 2,652 |
| MDU Resources Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,953 | | 37,053 | | 49,216 | | 15,941 |
| Middleby Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 225 | | 32,754 | | 36,178 | | 6,160 |
| MSC Industrial Direct Co., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 745 | | 71,072 | | 72,295 | | 8,011 |
| Mueller Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 330 | | 11,265 | | 17,797 | | 8,479 |
| Nikola Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 262 | | 269 | | 272 | | 23 |
| NOW, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 128 | | 1,932 | | 1,946 | | 170 |
| Otis Worldwide Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 174 | | 15,028 | | 17,273 | | 3,640 |
| Owens Corning | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 3,081 | | 3,670 | | 1,215 |
| PACCAR, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 144 | | 10,349 | | 17,840 | | 8,881 |
| Parker-Hannifin Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 27 | | 10,605 | | 15,006 | | 6,099 |
| Powell Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 333 | | 39,714 | | 47,386 | | 11,019 |
| Proto Labs, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 17 | | 591 | | 608 | | 63 |
| Quanex Building Products Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 15 | | 554 | | 576 | | 66 |
| Quanta Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 636 | | 147,747 | | 165,233 | | 30,757 |
| Regal Rexnord Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2 | | 359 | | 360 | | 28 |
| Resideo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 66 | | 1,488 | | 1,480 | | 112 |
| RTX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 342 | | 28,274 | | 33,355 | | 8,179 |
| Snap-on, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 124 | | 31,142 | | 36,731 | | 8,949 |
| SPX Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 82 | | 6,258 | | 10,097 | | 4,524 |
| Stanley Black & Decker, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 651 | | 55,656 | | 63,752 | | 13,732 |
| Stantec, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9 | | 764 | | 747 | | 45 |
| Sterling Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 142 | | 5,697 | | 15,664 | | 11,098 |
| Tennant Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 141 | | 12,753 | | 17,147 | | 5,524 |
| Terex Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 137 | | 5,987 | | 8,823 | | 4,117 |
| Textron, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 766 | | 65,485 | | 73,482 | | 13,811 |
| Trane Technologies PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 84 | | 22,672 | | 25,217 | | 4,541 |
| Trex Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 297 | | 28,059 | | 29,626 | | 3,918 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Tutor Perini Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 13 | | $ 180 | | $ 188 | | $ 20 |
| UFP Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 190 | | 15,452 | | 23,372 | | 9,967 |
| United Rentals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 103 | | 65,893 | | 74,274 | | 13,994 |
| Wabash National Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 829 | | 17,924 | | 24,820 | | 8,659 |
| Watts Water Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 90 | | 14,515 | | 19,130 | | 6,248 |
| Woodward, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 287 | | 38,410 | | 44,232 | | 9,367 |
| WW Grainger, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 20 | | 16,061 | | 20,346 | | 5,783 |
| Xylem, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 67 | | 8,185 | | 8,659 | | 1,268 |
| Zurn Water Solutions Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,102 | | 31,832 | | 36,884 | | 7,877 |
| | | | | | | | | | | 31,594 | | 2,157,471 | | 2,571,242 | | 633,013 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| ACV Auctions, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,625 | | 24,464 | | 30,501 | | 8,054 |
| Alight, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,651 | | 14,719 | | 16,262 | | 3,311 |
| ASGN, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 175 | | 16,936 | | 18,333 | | 2,793 |
| Automatic Data Processing, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 125 | | 27,247 | | 31,218 | | 7,070 |
| Booz Allen Hamilton Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 336 | | 47,901 | | 49,876 | | 6,137 |
| Brady Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 132 | | 6,533 | | 7,825 | | 1,955 |
| Brink's Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 122 | | 9,995 | | 11,270 | | 2,116 |
| Broadridge Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 48 | | 8,719 | | 9,833 | | 1,917 |
| Cimpress PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 30 | | 2,698 | | 2,655 | | 178 |
| Cintas Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | 29 | | 18,599 | | 19,924 | | 2,870 |
| CSG Systems International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 233 | | 12,132 | | 12,009 | | 926 |
| Enviri Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 54 | | 446 | | 494 | | 82 |
| Healthcare Services Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 209 | | 2,591 | | 2,608 | | 229 |
| Heidrick & Struggles International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 34 | | 34 | | 21 |
| HireRight Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8 | | 114 | | 114 | | 7 |
| Jacobs Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 346 | | 45,199 | | 53,191 | | 11,945 |
| Legalzoom.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 374 | | 3,981 | | 4,989 | | 1,357 |
| Leidos Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 309 | | 32,825 | | 40,507 | | 10,802 |
| ManpowerGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 349 | | 25,626 | | 27,096 | | 3,682 |
| Maximus, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 56 | | 4,656 | | 4,698 | | 425 |
| MillerKnoll, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 283 | | 6,836 | | 7,007 | | 837 |
| MSA Safety, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 72 | | 12,173 | | 13,938 | | 2,812 |
| OPENLANE, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 365 | | 5,212 | | 6,315 | | 1,592 |
| Parsons Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 599 | | 42,016 | | 49,687 | | 11,137 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Republic Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 93 | | $ 13,419 | | $ 17,804 | | $ 5,632 |
| Robert Half, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 356 | | 27,947 | | 28,224 | | 2,820 |
| Science Applications International Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 93 | | 9,821 | | 12,126 | | 3,533 |
| SS&C Technologies Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 103 | | 6,619 | | 6,630 | | 570 |
| Steelcase, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,021 | | 12,526 | | 13,355 | | 1,918 |
| Sterling Check Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 17 | | 272 | | 273 | | 21 |
| TaskUS, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 266 | | 256 | | 10 |
| TELUS International CDA, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 198 | | 186 | | 2 |
| Tetra Tech, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 300 | | 48,785 | | 55,413 | | 10,926 |
| Veralto Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 359 | | 25,268 | | 31,829 | | 8,677 |
| Waste Connections, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 206 | | 35,019 | | 35,434 | | 3,304 |
| Waste Management, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 77 | | 15,233 | | 16,413 | | 2,589 |
| | | | | | | | | | | 10,200 | | 567,025 | | 638,327 | | 122,257 |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Amazon.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 717 | | 94,092 | | 129,332 | | 47,328 |
| AutoZone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 16 | | 43,793 | | 50,426 | | 10,281 |
| Best Buy Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 24 | | 1,788 | | 1,969 | | 369 |
| Camping World Holdings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 452 | | 11,676 | | 12,588 | | 1,849 |
| Carvana Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 461 | | 12,405 | | 40,527 | | 33,697 |
| eBay, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 710 | | 30,335 | | 37,474 | | 10,048 |
| Etsy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 293 | | 20,620 | | 20,135 | | 1,159 |
| Gap, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,464 | | 21,438 | | 67,883 | | 52,036 |
| Hibbett, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 33 | | 2,391 | | 2,535 | | 341 |
| Home Depot, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 213 | | 71,983 | | 81,707 | | 16,399 |
| Kohl's Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 993 | | 25,995 | | 28,946 | | 5,337 |
| Leslie's, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,731 | | 12,869 | | 11,252 | | (558) |
| LKQ Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 373 | | 19,389 | | 19,922 | | 2,215 |
| Monro, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 626 | | 18,310 | | 19,744 | | 3,109 |
| Murphy USA, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 9,043 | | 9,222 | | 923 |
| ODP Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 597 | | 24,022 | | 31,671 | | 9,641 |
| Ross Stores, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 260 | | 37,908 | | 38,158 | | 3,376 |
| Signet Jewelers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 758 | | 73,163 | | 75,853 | | 8,732 |
| TJX Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 481 | | 46,482 | | 48,783 | | 6,214 |
| Ulta Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 113 | | 59,023 | | 59,085 | | 4,933 |
| Wayfair, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 57 | | 3,908 | | 3,869 | | 281 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Williams-Sonoma, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 29 | | $ 5,724 | | $ 9,208 | | $ 4,882 |
| Winmark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 27 | | 10,435 | | 9,766 | | 213 |
| | | | | | | | | | | 11,450 | | 656,792 | | 810,055 | | 222,805 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Carter's, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 352 | | 23,296 | | 29,807 | | 9,295 |
| Columbia Sportswear Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 140 | | 11,245 | | 11,365 | | 1,076 |
| Cricut, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 19 | | 89 | | 90 | | 6 |
| Deckers Outdoor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 44 | | 38,611 | | 41,415 | | 6,124 |
| Figs, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,872 | | 23,024 | | 19,283 | | (1,844) |
| Garmin Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 288 | | 29,362 | | 42,875 | | 17,287 |
| G-III Apparel Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 802 | | 22,331 | | 23,266 | | 2,776 |
| Hanesbrands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,930 | | 18,760 | | 28,594 | | 11,749 |
| Hasbro, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 464 | | 23,822 | | 26,225 | | 4,399 |
| Helen of Troy Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 239 | | 27,759 | | 27,542 | | 2,073 |
| Leggett & Platt, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 901 | | 20,769 | | 17,254 | | (1,357) |
| Lululemon Athletica, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 5,545 | | 5,469 | | 379 |
| Mattel, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,175 | | 79,932 | | 82,707 | | 9,371 |
| Mohawk Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 184 | | 14,928 | | 24,084 | | 10,521 |
| Newell Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 44 | | 337 | | 353 | | 41 |
| NIKE, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 153 | | 14,283 | | 14,379 | | 1,272 |
| PulteGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 335 | | 21,895 | | 40,408 | | 21,145 |
| Ralph Lauren Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 268 | | 33,018 | | 50,320 | | 20,698 |
| Smith & Wesson Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 105 | | 104 | | 5 |
| Sonos, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 715 | | 13,467 | | 13,628 | | 1,270 |
| Tapestry, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 415 | | 18,214 | | 19,704 | | 3,130 |
| TopBuild Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 95 | | 38,547 | | 41,869 | | 6,724 |
| Vista Outdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 594 | | 16,279 | | 19,471 | | 4,539 |
| Worthington Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 255 | | 12,632 | | 15,869 | | 4,351 |
| YETI Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,444 | | 59,538 | | 55,666 | | 840 |
| | | | | | | | | | | 20,748 | | 567,788 | | 651,747 | | 135,870 |
| Consumer Services | | | | | | | | | | | | | | |
| ADT, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,977 | | 25,610 | | 26,725 | | 3,534 |
| Adtalem Global Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 111 | | 4,508 | | 5,705 | | 1,671 |
| Aramark | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,929 | | 83,854 | | 95,251 | | 18,590 |
| BJ's Restaurants, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 159 | | 5,645 | | 5,753 | | 571 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Booking Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 19 | | $65,476 | | $68,930 | | $ 8,992 |
| Bright Horizons Family Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 119 | | 13,078 | | 13,490 | | 1,489 |
| Brinker International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,044 | | 42,570 | | 51,866 | | 12,888 |
| Caesars Entertainment, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 609 | | 25,725 | | 26,638 | | 3,034 |
| Dine Brands Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 75 | | 3,499 | | 3,486 | | 289 |
| DoorDash, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 46 | | 4,730 | | 6,335 | | 2,444 |
| DraftKings, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 160 | | 7,358 | | 7,266 | | 512 |
| Duolingo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 27 | | 6,112 | | 5,956 | | 346 |
| European Wax Center, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 101 | | 1,323 | | 1,311 | | 95 |
| Expedia Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 338 | | 47,503 | | 46,559 | | 2,891 |
| Frontdoor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,317 | | 42,537 | | 42,908 | | 3,794 |
| Grand Canyon Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 82 | | 10,248 | | 11,169 | | 1,788 |
| International Game Technology PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 206 | | 4,508 | | 4,654 | | 537 |
| Las Vegas Sands Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 993 | | 47,927 | | 51,338 | | 7,435 |
| Marriott International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 72 | | 17,542 | | 18,166 | | 2,086 |
| McDonald's Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 226 | | 62,352 | | 63,721 | | 6,710 |
| Papa John's International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 87 | | 5,768 | | 5,794 | | 500 |
| Sabre Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,472 | | 9,240 | | 5,982 | | (2,497) |
| Shake Shack, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 78 | | 7,613 | | 8,114 | | 1,147 |
| Six Flags Entertainment Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 264 | | 5,013 | | 6,948 | | 2,508 |
| Starbucks Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 287 | | 26,380 | | 26,229 | | 2,106 |
| Strategic Education, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 24 | | 2,497 | | 2,499 | | 209 |
| Sweetgreen, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 167 | | 4,215 | | 4,218 | | 348 |
| Vail Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 82 | | 18,320 | | 18,272 | | 1,637 |
| Wendy's Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 266 | | 5,061 | | 5,011 | | 428 |
| Wyndham Hotels & Resorts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 730 | | 56,462 | | 56,027 | | 4,428 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Wynn Resorts Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 495 | | $ 51,110 | | $ 50,604 | | $ 3,754 |
| Yum! Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 363 | | 45,801 | | 50,330 | | 8,825 |
| | | | | | | | | | | 17,925 | | 759,585 | | 797,255 | | 103,089 |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Albertsons Cos., Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,086 | | 22,928 | | 23,284 | | 2,175 |
| Costco Wholesale Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 60 | | 39,891 | | 43,958 | | 7,562 |
| Dollar General Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 1,866 | | 1,873 | | 1,342 |
| Grocery Outlet Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 723 | | 19,671 | | 20,808 | | 2,776 |
| Kroger Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,508 | | 189,658 | | 200,412 | | 26,588 |
| Performance Food Group Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 30 | | 2,265 | | 2,239 | | 159 |
| Sysco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 276 | | 18,731 | | 22,406 | | 5,473 |
| Target Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,081 | | 165,641 | | 191,564 | | 41,383 |
| US Foods Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 296 | | 11,179 | | 15,975 | | 6,158 |
| Walgreens Boots Alliance, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 444 | | 9,522 | | 9,630 | | 922 |
| Walmart, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 694 | | 40,311 | | 41,758 | | 5,133 |
| Weis Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 18 | | 1,157 | | 1,159 | | 97 |
| | | | | | | | | | | 8,228 | | 522,820 | | 575,066 | | 99,768 |
| Energy | | | | | | | | | | | | | | |
| Antero Midstream Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,837 | | 49,102 | | 53,948 | | 9,249 |
| APA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 448 | | 14,551 | | 15,402 | | 2,217 |
| Archrock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,438 | | 26,763 | | 28,285 | | 3,729 |
| Baker Hughes Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,594 | | 47,484 | | 53,399 | | 10,631 |
| Berry Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 216 | | 1,694 | | 1,739 | | 182 |
| Borr Drilling Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 785 | | 5,004 | | 5,377 | | 799 |
| California Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 641 | | 32,140 | | 35,319 | | 6,084 |
| Cameco Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 154 | | 6,491 | | 6,671 | | 726 |
| Canadian Natural Resources Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,633 | | 103,370 | | 124,631 | | 32,131 |
| Cheniere Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 318 | | 50,047 | | 51,287 | | 5,378 |
| Chesapeake Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 290 | | 21,623 | | 25,761 | | 6,567 |
| Chord Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 45 | | 6,775 | | 8,021 | | 2,145 |
| ConocoPhillips | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 125 | | 12,457 | | 15,910 | | 5,074 |
| CONSOL Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 578 | | 37,298 | | 48,413 | | 13,963 |
| Coterra Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 995 | | 26,055 | | 27,741 | | 3,981 |
| CVR Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 268 | | 8,203 | | 9,557 | | 2,502 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Delek US Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 594 | | $ 16,133 | | $ 18,260 | | $ 3,476 |
| Devon Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,255 | | 55,126 | | 62,976 | | 13,534 |
| DHT Holdings, Inc. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 906 | | 7,695 | | 10,419 | | 4,564 |
| Diamondback Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 286 | | 50,578 | | 56,677 | | 12,155 |
| Dorian LPG Ltd. (Marshall Islands) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,778 | | 57,335 | | 68,382 | | 18,573 |
| Enbridge, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 719 | | 24,310 | | 26,013 | | 3,741 |
| Enerplus Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 463 | | 6,449 | | 9,103 | | 3,322 |
| Exxon Mobil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 608 | | 63,692 | | 70,674 | | 12,387 |
| FLEX LNG Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 263 | | 7,508 | | 6,688 | | 1,084 |
| Green Plains, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 101 | | 2,221 | | 2,335 | | 295 |
| Gulfport Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 103 | | 10,312 | | 16,492 | | 7,277 |
| Halliburton Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 629 | | 22,518 | | 24,795 | | 4,245 |
| Helix Energy Solutions Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,599 | | 15,814 | | 17,333 | | 2,823 |
| Helmerich & Payne, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,731 | | 61,189 | | 72,806 | | 17,488 |
| Kinder Morgan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 873 | | 15,554 | | 16,011 | | 1,738 |
| Marathon Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,170 | | 102,609 | | 118,178 | | 24,838 |
| Marathon Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 219 | | 31,338 | | 44,128 | | 16,196 |
| Murphy Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 486 | | 17,525 | | 22,210 | | 6,830 |
| Nabors Industries Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 178 | | 14,672 | | 15,331 | | 1,868 |
| Nordic American Tankers Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,113 | | 14,625 | | 16,123 | | 4,695 |
| Occidental Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 844 | | 48,771 | | 54,852 | | 10,290 |
| Pembina Pipeline Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 429 | | 13,738 | | 15,161 | | 2,985 |
| Phillips 66 | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 202 | | 24,379 | | 32,995 | | 11,042 |
| Pioneer Natural Resources Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 246 | | 54,525 | | 64,575 | | 15,434 |
| REX American Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 56 | | 59 | | 5 |
| Schlumberger NV (Curacao) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 347 | | 16,545 | | 19,019 | | 3,869 |
| Targa Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 24 | | 2,637 | | 2,688 | | 266 |
| TC Energy Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 19 | | 758 | | 764 | | (956) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| TechnipFMC PLC (United Kingdom) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,004 | | $ 60,261 | | $ 75,430 | | $ 21,285 |
| Transocean Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,055 | | 9,725 | | 12,905 | | 4,276 |
| US Silica Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,003 | | 12,064 | | 12,447 | | 1,348 |
| Valero Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 25 | | 4,237 | | 4,267 | | 378 |
| | | | | | | | | | | 42,638 | | 1,293,956 | | 1,501,557 | | 336,709 |
| Financial Services | | | | | | | | | | | | | | |
| AvidXchange Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,713 | | 30,863 | | 35,676 | | 7,358 |
| Berkshire Hathaway, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 181 | | 51,335 | | 76,114 | | 29,014 |
| BlackRock, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 33 | | 23,433 | | 27,512 | | 6,837 |
| Cboe Global Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 297 | | 46,931 | | 54,568 | | 11,969 |
| CME Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 204 | | 41,301 | | 43,919 | | 6,793 |
| Coinbase Global, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 267 | | 43,938 | | 70,787 | | 30,884 |
| Corpay, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 39 | | 11,566 | | 12,033 | | 1,419 |
| Donnelley Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 26 | | 1,604 | | 1,612 | | 138 |
| Euronet Worldwide, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 32 | | 3,465 | | 3,518 | | 336 |
| FactSet Research Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9 | | 4,006 | | 4,090 | | 412 |
| Fiserv, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 559 | | 69,349 | | 89,339 | | 25,991 |
| Franklin Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,079 | | 24,019 | | 30,331 | | 10,470 |
| Intercontinental Exchange, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 247 | | 33,137 | | 33,945 | | 3,625 |
| International Money Express, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 204 | | 4,282 | | 4,657 | | 730 |
| Mastercard, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 39 | | 15,310 | | 18,781 | | 4,761 |
| Morningstar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 127 | | 35,742 | | 39,163 | | 6,373 |
| NCR Atleos Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 691 | | 13,201 | | 13,647 | | 1,531 |
| Open Lending Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 37 | | 38 | | 1 |
| Payoneer Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,889 | | 14,244 | | 14,041 | | 937 |
| PayPal Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 960 | | 50,268 | | 64,310 | | 19,792 |
| S&P Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 42 | | 18,134 | | 17,869 | | 1,181 |
| Shift4 Payments, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 418 | | 28,150 | | 27,617 | | 1,789 |
| T Rowe Price Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 251 | | 25,214 | | 30,602 | | 9,687 |
| Visa, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 158 | | 38,645 | | 44,095 | | 8,770 |
| Western Union Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 440 | | 5,149 | | 6,151 | | 1,633 |
| | | | | | | | | | | 11,911 | | 633,323 | | 764,415 | | 192,431 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Altria Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 1,072 | | $ 43,410 | | $ 46,761 | | $ 10,177 |
| Archer-Daniels-Midland Co. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 364 | | 20,057 | | 22,863 | | 4,340 |
| B&G Foods, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,289 | | 22,684 | | 26,186 | | 5,803 |
| Boston Beer Co., Inc. (The), Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 4,154 | | 4,262 | | 448 |
| Bunge Global SA (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 297 | | 28,973 | | 30,448 | | 4,107 |
| Campbell Soup Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 225 | | 9,743 | | 10,001 | | 1,060 |
| Coca-Cola Co. (The) | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 1,091 | | 63,137 | | 66,747 | | 11,225 |
| Coca-Cola Consolidated, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 11 | | 6,023 | | 9,311 | | 4,067 |
| Conagra Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,091 | | 31,256 | | 32,337 | | 4,089 |
| Constellation Brands, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 119 | | 28,678 | | 32,339 | | 6,177 |
| Dole PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 105 | | 1,239 | | 1,253 | | 120 |
| General Mills, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 431 | | 27,303 | | 30,157 | | 5,124 |
| Hormel Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,133 | | 37,400 | | 39,530 | | 5,311 |
| Ingredion, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 418 | | 44,853 | | 48,843 | | 8,294 |
| J & J Snack Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 37 | | 5,851 | | 5,349 | | 5 |
| Kellanova | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 1,802 | | 97,821 | | 103,237 | | 15,101 |
| Keurig Dr Pepper, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,634 | | 51,738 | | 50,115 | | 3,437 |
| Kraft Heinz Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,048 | | 35,175 | | 38,671 | | 7,456 |
| Lancaster Colony Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 107 | | 20,176 | | 22,216 | | 3,966 |
| McCormick & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 580 | | 39,548 | | 44,550 | | 8,350 |
| Mission Produce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 15 | | 178 | | 178 | | 12 |
| Molson Coors Beverage Co., Class B | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 308 | | 17,282 | | 20,713 | | 5,376 |
| Mondelez International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 697 | | 47,064 | | 48,790 | | 5,947 |
| Philip Morris International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 260 | | 23,838 | | 23,821 | | 2,348 |
| Primo Water Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 754 | | 12,291 | | 13,730 | | 2,486 |
| Simply Good Foods Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,190 | | 44,109 | | 40,496 | | 25 |
| SunOpta, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 153 | | 1,044 | | 1,051 | | 91 |
| Vector Group Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 291 | | 3,187 | | 3,189 | | 275 |
| Vita Coco Co., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,082 | | 27,610 | | 26,433 | | 1,100 |
| Vital Farms, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 40 | | 887 | | 930 | | 113 |
| | | | | | | | | | | 18,658 | | 796,709 | | 844,507 | | 126,430 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Addus HomeCare Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 96 | | $ 8,465 | | $ 9,921 | | $ 2,163 |
| Align Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 42 | | 12,821 | | 13,773 | | 2,007 |
| Apollo Medical Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 2,018 | | 2,016 | | 161 |
| Avanos Medical, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 339 | | 6,868 | | 6,749 | | 446 |
| Baxter International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,324 | | 44,661 | | 56,588 | | 16,032 |
| Becton Dickinson & Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 191 | | 44,925 | | 47,263 | | 6,729 |
| Cardinal Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 335 | | 34,675 | | 37,487 | | 5,957 |
| Cencora, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 71 | | 12,970 | | 17,252 | | 5,435 |
| Centene Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 497 | | 32,734 | | 39,005 | | 8,960 |
| Cigna Group (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 77 | | 25,710 | | 27,966 | | 4,416 |
| CONMED Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 877 | | 83,134 | | 70,230 | | (5,814) |
| Cross Country Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 685 | | 16,831 | | 12,823 | | (2,636) |
| CVS Health Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 262 | | 18,725 | | 20,897 | | 4,052 |
| DaVita, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 611 | | 48,420 | | 84,349 | | 40,040 |
| Definitive Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 546 | | 4,748 | | 4,406 | | 48 |
| Enovis Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 97 | | 4,458 | | 6,058 | | 2,011 |
| Evolent Health, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,463 | | 47,810 | | 47,972 | | 4,106 |
| Fulgent Genetics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 188 | | 10,530 | | 4,080 | | (5,962) |
| GE HealthCare Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 591 | | 39,529 | | 53,728 | | 18,154 |
| Haemonetics Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 186 | | 15,084 | | 15,875 | | 2,048 |
| HCA Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 116 | | 32,363 | | 38,689 | | 9,363 |
| HealthEquity, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7 | | 571 | | 571 | | 45 |
| HealthStream, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10 | | 264 | | 267 | | 21 |
| Hologic, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 232 | | 16,388 | | 18,087 | | 3,049 |
| Humana, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 137 | | 52,033 | | 47,501 | | (363) |
| IDEXX Laboratories, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 276 | | 147,883 | | 149,021 | | 13,344 |
| Lantheus Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 884 | | 47,841 | | 55,020 | | 11,127 |
| LeMaitre Vascular, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 31 | | 2,072 | | 2,057 | | 156 |
| McKesson Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 32 | | 16,643 | | 17,179 | | 1,921 |
| Medtronic PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,733 | | 146,632 | | 151,031 | | 18,091 |
| Molina Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 96 | | 33,666 | | 39,440 | | 8,756 |
| National HealthCare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 26 | | 2,432 | | 2,457 | | 238 |
| Owens & Minor, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,203 | | 25,113 | | 33,335 | | 10,312 |
| Penumbra, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 80 | | 18,236 | | 17,854 | | 1,121 |
| Phreesia, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 655 | | 15,571 | | 15,674 | | 1,381 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Privia Health Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,230 | | $ 27,630 | | $ 24,096 | | $ (1,256) |
| Quest Diagnostics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 253 | | 32,030 | | 33,677 | | 4,326 |
| ResMed, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 320 | | 58,417 | | 63,370 | | 9,949 |
| Teleflex, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 41 | | 9,203 | | 9,273 | | 830 |
| Tenet Healthcare Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 300 | | 26,661 | | 31,533 | | 7,466 |
| UFP Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 18 | | 2,225 | | 4,540 | | 2,753 |
| UnitedHealth Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 66 | | 33,412 | | 32,650 | | 1,914 |
| Varex Imaging Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 197 | | 3,812 | | 3,566 | | 66 |
| Zimmer Biomet Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 320 | | 38,976 | | 42,234 | | 6,650 |
| | | | | | | | | | | 16,789 | | 1,305,190 | | 1,411,560 | | 219,613 |
| Household & Personal Products | | | | | | | | | | | | | | |
| BellRing Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,236 | | 66,843 | | 72,961 | | 11,733 |
| Clorox Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 271 | | 41,473 | | 41,493 | | 3,394 |
| Colgate-Palmolive Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 434 | | 34,302 | | 39,082 | | 7,909 |
| Coty, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,246 | | 14,599 | | 14,902 | | 1,506 |
| Edgewell Personal Care Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 240 | | 9,089 | | 9,274 | | 946 |
| Energizer Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 170 | | 5,284 | | 5,005 | | 211 |
| Estee Lauder Cos., Inc. (The), Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | 49 | | 6,893 | | 7,553 | | 1,182 |
| Kenvue, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,324 | | 44,091 | | 49,873 | | 10,347 |
| Kimberly-Clark Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 385 | | 46,976 | | 49,800 | | 8,322 |
| Procter & Gamble Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 244 | | 35,523 | | 39,589 | | 8,072 |
| Reynolds Consumer Products, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 268 | | 7,736 | | 7,654 | | 559 |
| Spectrum Brands Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 77 | | 4,728 | | 6,854 | | 2,622 |
| WD-40 Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 113 | | 29,218 | | 28,624 | | 1,816 |
| | | | | | | | | | | 7,057 | | 346,755 | | 372,664 | | 58,619 |
| Materials | | | | | | | | | | | | | | |
| Alamos Gold, Inc., Class A (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,759 | | 20,602 | | 25,945 | | 8,252 |
| Alpha Metallurgical Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 90 | | 28,384 | | 29,805 | | 3,762 |
| Amcor PLC (Jersey) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,153 | | 10,296 | | 10,965 | | 1,828 |
| AptarGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 115 | | 16,055 | | 16,547 | | 1,815 |
| Arch Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 3,531 | | 3,537 | | 295 |
| Avient Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 158 | | 5,313 | | 6,857 | | 2,178 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Axalta Coating Systems Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 249 | | $ 7,320 | | $ 8,563 | | $ 2,047 |
| Balchem Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 2,169 | | 2,169 | | 177 |
| Ball Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 471 | | 24,389 | | 31,727 | | 9,939 |
| Barrick Gold Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 490 | | 7,098 | | 8,154 | | 2,096 |
| Berry Global Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 314 | | 18,319 | | 18,991 | | 2,344 |
| Cabot Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 71 | | 5,214 | | 6,546 | | 1,871 |
| Carpenter Technology Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 562 | | 36,109 | | 40,138 | | 7,202 |
| Celanese Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 224 | | 35,079 | | 38,497 | | 6,360 |
| Cleveland-Cliffs, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,090 | | 79,191 | | 115,747 | | 45,976 |
| Corteva, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,170 | | 172,636 | | 182,814 | | 25,343 |
| Crown Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 56 | | 4,642 | | 4,439 | | 184 |
| Eastman Chemical Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 299 | | 22,553 | | 29,966 | | 9,936 |
| Ecolab, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 18 | | 2,963 | | 4,156 | | 1,456 |
| Fortuna Silver Mines, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,874 | | 19,057 | | 21,910 | | 4,423 |
| Freeport-McMoRan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 330 | | 13,143 | | 15,517 | | 3,456 |
| HB Fuller Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 223 | | 15,298 | | 17,782 | | 3,761 |
| Innospec, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 31 | | 2,996 | | 3,997 | | 1,409 |
| International Flavors & Fragrances, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 392 | | 30,373 | | 33,708 | | 6,208 |
| International Paper Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 271 | | 8,786 | | 10,574 | | 2,918 |
| Kinross Gold Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,055 | | 5,245 | | 6,467 | | 2,141 |
| Knife River Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 282 | | 18,288 | | 22,865 | | 6,083 |
| Koppers Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 36 | | 1,931 | | 1,986 | | 213 |
| Linde PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 117 | | 45,951 | | 54,325 | | 13,142 |
| LyondellBasell Industries NV, Class A (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 440 | | 39,546 | | 45,003 | | 9,511 |
| Martin Marietta Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 22 | | 10,043 | | 13,507 | | 4,955 |
| Mativ Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 257 | | 4,377 | | 4,819 | | 811 |
| Minerals Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 188 | | 11,297 | | 14,153 | | 3,805 |
| NewMarket Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 86 | | 39,446 | | 54,577 | | 19,049 |
| Nucor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 121 | | 16,959 | | 23,946 | | 8,879 |
| Packaging Corp. of America | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 112 | | 15,447 | | 21,255 | | 7,682 |
| PPG Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 209 | | 28,089 | | 30,284 | | 4,728 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| Quaker Chemical Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 171 | | $ 31,890 | | $ 35,098 | | $ 5,900 |
| Royal Gold, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 570 | | 62,810 | | 69,432 | | 11,830 |
| RPM International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 205 | | 19,019 | | 24,385 | | 7,227 |
| Scotts Miracle-Gro Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,050 | | 56,377 | | 78,319 | | 28,497 |
| Sealed Air Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | 271 | | 9,533 | | 10,081 | | 1,493 |
| Sherwin-Williams Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 90 | | 22,897 | | 31,260 | | 10,745 |
| SilverCrest Metals, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 20 | | 132 | | 133 | | 10 |
| Sonoco Products Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 29 | | 1,653 | | 1,677 | | 158 |
| Summit Materials, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 107 | | 4,475 | | 4,769 | | 660 |
| Taseko Mines Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 28 | | 60 | | 61 | | 3 |
| Vulcan Materials Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 60 | | 16,101 | | 16,375 | | 1,606 |
| Westrock Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 290 | | 12,171 | | 14,341 | | 3,214 |
| Worthington Steel, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7 | | 252 | | 251 | | 17 |
| | | | | | | | | | | 27,269 | | 1,065,505 | | 1,268,420 | | 307,595 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Alphabet, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 982 | | 108,878 | | 148,213 | | 52,582 |
| Bumble, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 791 | | 12,038 | | 8,978 | | (2,379) |
| Cable One, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 13 | | 6,915 | | 5,501 | | (801) |
| Cinemark Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,674 | | 28,669 | | 48,052 | | 21,747 |
| Clear Channel Outdoor Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 524 | | 881 | | 865 | | 54 |
| Comcast Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,025 | | 42,844 | | 44,434 | | 7,280 |
| Electronic Arts, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 713 | | 92,740 | | 94,594 | | 9,614 |
| Getty Images Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 4 | | 4 | | (2) |
| Grindr, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 7 | | 69 | | 71 | | 5 |
| Interpublic Group of Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,016 | | 28,718 | | 33,152 | | 7,549 |
| Match Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 781 | | 26,439 | | 28,335 | | 4,051 |
| Meta Platforms, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 353 | | 114,950 | | 171,410 | | 66,074 |
| Netflix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 171 | | 77,370 | | 103,853 | | 32,869 |
| News Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 698 | | 16,288 | | 18,274 | | 3,405 |
| Omnicom Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 123 | | 10,525 | | 11,901 | | 2,614 |
| Paramount Global, Class B | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,606 | | 73,514 | | 77,753 | | 10,523 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Sirius XM Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 9,067 | | $ 36,658 | | $ 35,180 | | $ 1,546 |
| Spotify Technology SA (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 345 | | 87,043 | | 91,045 | | 11,119 |
| TripAdvisor, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,555 | | 68,628 | | 71,003 | | 8,053 |
| Vimeo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,157 | | 8,650 | | 8,822 | | 884 |
| Walt Disney Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 457 | | 42,195 | | 55,919 | | 19,025 |
| Warner Music Group Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 190 | | 6,190 | | 6,274 | | 431 |
| Yelp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,153 | | 48,984 | | 45,428 | | 359 |
| ZipRecruiter, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 421 | | 5,238 | | 4,837 | | 29 |
| ZoomInfo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 995 | | 15,549 | | 15,950 | | 1,682 |
| | | | | | | | | | | 33,818 | | 959,977 | | 1,129,848 | | 258,313 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbbVie, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 92 | | 16,518 | | 16,753 | | 1,595 |
| Agilent Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 20 | | 2,914 | | 2,910 | | 235 |
| Alkermes PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,544 | | 74,211 | | 68,866 | | 779 |
| Alpine Immune Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 191 | | 7,349 | | 7,571 | | 827 |
| Amneal Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 513 | | 2,905 | | 3,109 | | 441 |
| Amphastar Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 566 | | 29,728 | | 24,853 | | (2,463) |
| ANI Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 123 | | 7,138 | | 8,503 | | 1,952 |
| Beam Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 395 | | 14,981 | | 13,051 | | (696) |
| Bio-Rad Laboratories, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 72 | | 20,954 | | 24,903 | | 5,676 |
| Bristol-Myers Squibb Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,535 | | 75,907 | | 83,243 | | 13,704 |
| Brooks Automation, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 265 | | 16,855 | | 15,974 | | 415 |
| Collegium Pharmaceutical, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 822 | | 21,270 | | 31,910 | | 12,393 |
| Corcept Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 386 | | 8,629 | | 9,723 | | 1,880 |
| Danaher Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11 | | 2,748 | | 2,747 | | 229 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| EyePoint Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 740 | | $ 17,177 | | $ 15,296 | | $ (690) |
| Gilead Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 326 | | 23,951 | | 23,880 | | 2,158 |
| Halozyme Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 397 | | 13,501 | | 16,150 | | 4,140 |
| Harmony Biosciences Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,485 | | 48,981 | | 49,866 | | 4,880 |
| ImmunityBio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 546 | | 3,160 | | 2,932 | | 31 |
| Incyte Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,990 | | 111,493 | | 113,370 | | 11,079 |
| Innoviva, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 559 | | 8,454 | | 8,519 | | 761 |
| IQVIA Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 165 | | 34,682 | | 41,727 | | 10,216 |
| Ironwood Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 379 | | 3,304 | | 3,301 | | 267 |
| Johnson & Johnson | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 576 | | 87,815 | | 91,117 | | 11,725 |
| Merck & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 472 | | 48,973 | | 62,280 | | 19,613 |
| Mettler-Toledo International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 26 | | 27,779 | | 34,614 | | 9,125 |
| Natera, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 102 | | 9,131 | | 9,329 | | 948 |
| Nurix Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2 | | 28 | | 29 | | 1 |
| Nuvation Bio, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 13 | | 49 | | 47 | | — |
| Scholar Rock Holding Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 24 | | 390 | | 426 | | 59 |
| Spyre Therapeutics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 37 | | 38 | | 1 |
| Thermo Fisher Scientific, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 58 | | 31,791 | | 33,710 | | 4,620 |
| Twist Bioscience Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 906 | | 29,090 | | 31,085 | | 4,283 |
| United Therapeutics Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 56 | | 12,107 | | 12,864 | | 2,149 |
| Viatris, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,690 | | 19,595 | | 20,179 | | 2,754 |
| Waters Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 2,060 | | 2,065 | | 172 |
| WaVe Life Sciences Ltd. (Singapore) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 22 | | 127 | | 136 | | 16 |
| | | | | | | | | | | 18,076 | | 835,782 | | 887,076 | | 125,275 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 327 | | 57,212 | | 59,020 | | 6,156 |
| Amkor Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 501 | | 15,317 | | 16,152 | | 2,129 |
| Applied Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 30 | | 5,398 | | 6,187 | | 1,242 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| Entegris, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 280 | | $ 37,482 | | $ 39,351 | | $ 4,994 |
| GLOBALFOUNDRIES, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,023 | | 54,843 | | 53,309 | | 2,991 |
| KLA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 44 | | 24,631 | | 30,737 | | 8,354 |
| Lam Research Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 34 | | 19,479 | | 33,033 | | 16,477 |
| Microchip Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 495 | | 40,039 | | 44,406 | | 8,329 |
| Micron Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,067 | | 123,205 | | 125,789 | | 12,865 |
| Monolithic Power Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 252 | | 166,509 | | 170,710 | | 18,246 |
| NVIDIA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 133 | | 48,156 | | 120,173 | | 76,008 |
| NXP Semiconductors NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 249 | | 43,006 | | 61,695 | | 23,073 |
| ON Semiconductor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 363 | | 28,400 | | 26,699 | | 640 |
| Photronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,020 | | 19,044 | | 28,886 | | 11,412 |
| Qorvo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,475 | | 168,221 | | 169,374 | | 15,039 |
| QUALCOMM, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 873 | | 117,616 | | 147,799 | | 40,938 |
| Skyworks Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,371 | | 135,561 | | 148,507 | | 25,273 |
| SMART Global Holdings, Inc. (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 788 | | 17,249 | | 20,740 | | 4,911 |
| | | | | | | | | | | 10,325 | | 1,121,368 | | 1,302,567 | | 279,077 |
| Software & Services | | | | | | | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 54 | | 19,708 | | 18,717 | | 596 |
| Adobe, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 177 | | 88,131 | | 89,314 | | 7,376 |
| Amdocs Ltd. (Guernsey) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 209 | | 17,853 | | 18,887 | | 2,643 |
| Appfolio, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 113 | | 25,512 | | 27,882 | | 4,564 |
| Bitfarms Ltd. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 23,477 | | 55,231 | | 52,354 | | 1,680 |
| Blackbaud, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 204 | | 15,527 | | 15,125 | | 840 |
| Box, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 567 | | 16,102 | | 16,057 | | 1,282 |
| CGI, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 16 | | 1,766 | | 1,768 | | 145 |
| Docebo, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 728 | | 686 | | 15 |
| DXC Technology Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 995 | | 21,895 | | 21,104 | | 958 |
| Enfusion, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 39 | | 359 | | 361 | | 28 |
| EverCommerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3 | | 26 | | 28 | | 2 |
| Fortinet, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 548 | | 37,820 | | 37,434 | | 2,733 |
| Gen Digital, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,698 | | 28,514 | | 38,035 | | 12,826 |
| Globant SA (Luxembourg) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 106 | | 22,331 | | 21,401 | | 867 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| GoDaddy, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 148 | | $ 16,181 | | $ 17,565 | | $ 3,210 |
| Guidewire Software, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 314 | | 33,692 | | 36,647 | | 5,734 |
| Informatica, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 651 | | 21,021 | | 22,785 | | 3,513 |
| InterDigital, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 510 | | 43,451 | | 54,295 | | 15,646 |
| International Business Machines Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 241 | | 31,744 | | 46,021 | | 18,260 |
| JFrog Ltd. (Israel) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,322 | | 49,488 | | 58,459 | | 13,054 |
| Kyndryl Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 158 | | 2,380 | | 3,438 | | 1,472 |
| LiveRamp Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 755 | | 27,861 | | 26,048 | | 484 |
| Manhattan Associates, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 41 | | 8,409 | | 10,259 | | 2,542 |
| MeridianLink, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 31 | | 564 | | 580 | | 60 |
| Microsoft Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 322 | | 101,719 | | 135,472 | | 46,163 |
| N-able, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 31 | | 405 | | 405 | | 31 |
| NCR Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,075 | | 43,363 | | 38,837 | | (1,163) |
| NextNav, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 47 | | 312 | | 309 | | 20 |
| Nutanix, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 384 | | 10,665 | | 23,700 | | 15,231 |
| Okta, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,346 | | 144,856 | | 140,819 | | 7,919 |
| Oracle Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 952 | | 103,699 | | 119,581 | | 25,162 |
| Palantir Technologies, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,024 | | 144,983 | | 161,622 | | 28,808 |
| Palo Alto Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 294 | | 88,401 | | 83,534 | | 2,316 |
| Pegasystems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 440 | | 28,325 | | 28,442 | | 2,465 |
| Q2 Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 617 | | 26,475 | | 32,430 | | 8,137 |
| Qualys, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 348 | | 50,810 | | 58,071 | | 11,453 |
| Roper Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 35 | | 19,141 | | 19,629 | | 2,066 |
| Salesforce, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 217 | | 55,672 | | 65,356 | | 14,342 |
| Samsara, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 669 | | 15,496 | | 25,282 | | 11,326 |
| ServiceNow, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 165 | | 117,357 | | 125,796 | | 18,089 |
| SolarWinds Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6 | | 74 | | 76 | | 5 |
| SPS Commerce, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1 | | 185 | | 185 | | 9 |
| Synopsys, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 23 | | 12,841 | | 13,145 | | 1,361 |
| UiPath, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 231 | | 5,303 | | 5,237 | | 245 |
| Varonis Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 131 | | 3,352 | | 6,179 | | 3,510 |
| Verint Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12 | | 400 | | 398 | | 28 |
| VeriSign, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 312 | | 60,354 | | 59,127 | | 3,753 |
| Workday, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 138 | | 36,846 | | 37,639 | | 3,408 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Yext, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,537 | | $ 12,370 | | $ 9,268 | | $ (2,083) |
| Zoom Video Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,417 | | 159,090 | | 157,999 | | 12,041 |
| | | | | | | | | | | 53,165 | | 1,828,788 | | 1,983,788 | | 315,172 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Amphenol Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 202 | | 20,737 | | 23,301 | | 4,315 |
| Apple, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 632 | | 107,581 | | 108,375 | | 10,233 |
| Arlo Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 345 | | 4,141 | | 4,364 | | 562 |
| Arrow Electronics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 150 | | 17,525 | | 19,419 | | 3,444 |
| Badger Meter, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 78 | | 10,906 | | 12,621 | | 2,704 |
| Bel Fuse, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 194 | | 9,804 | | 11,700 | | 2,712 |
| CDW Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 97 | | 17,407 | | 24,811 | | 9,204 |
| Ciena Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,436 | | 72,760 | | 71,010 | | 4,255 |
| Cisco Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,084 | | 51,726 | | 54,102 | | 8,441 |
| Crane NXT Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 98 | | 4,152 | | 6,066 | | 2,479 |
| Extreme Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 2,731 | | 58,127 | | 31,516 | | (22,332) |
| F5, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 358 | | 59,364 | | 67,873 | | 13,408 |
| Fabrinet (Cayman Islands) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 68 | | 11,143 | | 12,853 | | 2,628 |
| Hewlett Packard Enterprise Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,188 | | 32,499 | | 38,793 | | 9,872 |
| HP, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 1,579 | | 42,219 | | 47,717 | | 10,832 |
| Insight Enterprises, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 75 | | 9,047 | | 13,914 | | 5,735 |
| Itron, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 392 | | 34,680 | | 36,268 | | 4,448 |
| Jabil, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 425 | | 49,933 | | 56,929 | | 11,124 |
| Keysight Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 132 | | 20,029 | | 20,642 | | 2,264 |
| Littelfuse, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 132 | | 31,604 | | 31,990 | | 3,038 |
| Motorola Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 81 | | 25,130 | | 28,753 | | 6,122 |
| Napco Security Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 416 | | 10,889 | | 16,707 | | 6,791 |
| NetApp, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 500 | | 38,888 | | 52,485 | | 18,025 |
| NetScout Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 527 | | 15,409 | | 11,510 | | (2,634) |
| PC Connection, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 14 | | 915 | | 923 | | 81 |
| Rogers Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 26 | | 2,903 | | 3,086 | | 432 |
| Seagate Technology Holdings PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 369 | | 22,368 | | 34,335 | | 15,105 |
| Super Micro Computer, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 52 | | 48,446 | | 52,522 | | 8,072 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| TD SYNNEX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 121 | | $ 12,999 | | $ 13,685 | | $ 1,775 |
| TE Connectivity Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 176 | | 22,146 | | 25,562 | | 5,669 |
| Vontier Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 329 | | 11,130 | | 14,923 | | 4,844 |
| Western Digital Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 462 | | 21,213 | | 31,527 | | 12,124 |
| Xerox Holdings Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 266 | | 4,490 | | 4,761 | | 704 |
| | | | | | | | | | | 15,735 | | 902,310 | | 985,043 | | 166,476 |
| Telecommunication Services | | | | | | | | | | | | | | |
| Anterix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 20 | | 734 | | 672 | | (4) |
| AT&T, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,053 | | 30,634 | | 36,133 | | 8,617 |
| BCE, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 101 | | 3,797 | | 3,432 | | (9) |
| Iridium Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/25 | | 1,007 | | 34,099 | | 26,343 | | (4,849) |
| TELUS Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,058 | | 18,351 | | 16,939 | | 286 |
| T-Mobile US, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 505 | | 72,282 | | 82,426 | | 16,507 |
| Verizon Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,193 | | 41,516 | | 50,058 | | 13,530 |
| | | | | | | | | | | 5,937 | | 201,413 | | 216,003 | | 34,078 |
| Transportation | | | | | | | | | | | | | | |
| CH Robinson Worldwide, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 74 | | 5,478 | | 5,634 | | 606 |
| CSX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,128 | | 35,342 | | 41,815 | | 9,748 |
| Delta Air Lines, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 981 | | 31,114 | | 46,960 | | 18,861 |
| FedEx Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 106 | | 24,148 | | 30,712 | | 12,375 |
| Forward Air Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 641 | | 21,633 | | 19,942 | | 92 |
| FTAI Infrastructure, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 13 | | 78 | | 82 | | 8 |
| GXO Logistics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 274 | | 15,215 | | 14,730 | | 600 |
| Heartland Express, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 38 | | 447 | | 454 | | 41 |
| Old Dominion Freight Line, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 126 | | 24,291 | | 27,633 | | 5,443 |
| Saia, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 16 | | 9,107 | | 9,360 | | 1,002 |
| SkyWest, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 656 | | 27,772 | | 45,316 | | 20,198 |
| Uber Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 508 | | 30,942 | | 39,111 | | 10,721 |
| Union Pacific Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 79 | | 18,975 | | 19,428 | | 2,109 |
| | | | | | | | | | | 4,640 | | 244,542 | | 301,177 | | 81,804 |
| Utilities | | | | | | | | | | | | | | |
| ALLETE, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 586 | | 32,810 | | 34,949 | | 5,655 |
| American Water Works Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 114 | | 15,344 | | 13,932 | | 94 |
| Atmos Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 43 | | 4,923 | | 5,111 | | 595 |
| Black Hills Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 984 | | 51,593 | | 53,726 | | 7,329 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Consolidated Edison, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 140 | | $ 12,495 | | $ 12,713 | | $ 1,247 |
| Constellation Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 152 | | 16,833 | | 28,097 | | 13,931 |
| Duke Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 956 | | 87,353 | | 92,455 | | 13,015 |
| Fortis, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 559 | | 22,522 | | 22,086 | | 1,649 |
| New Jersey Resources Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 214 | | 8,882 | | 9,183 | | 1,122 |
| NRG Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,345 | | 121,877 | | 158,733 | | 47,603 |
| ONE Gas, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 215 | | 12,858 | | 13,874 | | 2,251 |
| Public Service Enterprise Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,427 | | 87,687 | | 95,295 | | 15,826 |
| Southwest Gas Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 407 | | 29,078 | | 30,985 | | 4,305 |
| Spire, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 168 | | 10,198 | | 10,310 | | 1,178 |
| TransAlta Corp. (Canada) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 361 | | 2,709 | | 2,321 | | (154) |
| Vistra Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 242 | | 10,291 | | 16,855 | | 8,312 |
| | | | | | | | | | | 8,913 | | 527,453 | | 600,625 | | 123,958 |
|
|
| Total Reference Entity — Long | | | | | | 17,508,219 | | 19,858,633 | | 3,994,535 |
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Short | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Dana, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,459) | | $ (45,843) | | $ (43,929) | | $ 1,234 |
| Fox Factory Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,531) | | (76,125) | | (79,719) | | (3,902) |
| Magna International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (698) | | (42,858) | | (38,027) | | 4,068 |
| Mobileye Global, Inc., Class A | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (5,922) | | (188,774) | | (190,392) | | (5,956) |
| Phinia, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,022) | | (72,803) | | (77,705) | | (5,232) |
| QuantumScape Corp. | | USFF -0.830% | | Weekly | | MS | | 07/11/28 | | (13,460) | | (82,868) | | (84,663) | | (2,130) |
| Rivian Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,250) | | (87,412) | | (79,388) | | 7,672 |
| Standard Motor Products, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (35) | | (1,158) | | (1,174) | | (24) |
| Tesla, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (852) | | (157,076) | | (149,773) | | 6,698 |
| Thor Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,091) | | (118,811) | | (128,018) | | (9,686) |
| Winnebago Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (463) | | (31,877) | | (34,262) | | (3,406) |
| XPEL, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | (61) | | (3,292) | | (3,295) | | (19) |
| | | | | | | | | | | (36,844) | | (908,897) | | (910,345) | | (10,683) |
| Capital Goods | | | | | | | | | | | | | | |
| 3D Systems Corp. | | USFF -0.267% | | Weekly | | MS | | 01/07/27 | | (21,382) | | (168,257) | | (94,936) | | 72,644 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| AAON, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,521) | | $(188,037) | | $(222,100) | | $ (35,942) |
| AeroVironment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,598) | | (201,273) | | (244,941) | | (46,673) |
| AGCO Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (408) | | (47,555) | | (50,192) | | (2,831) |
| Albany International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,777) | | (163,580) | | (166,167) | | (4,682) |
| Allegion PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (589) | | (75,516) | | (79,344) | | (5,767) |
| Allison Transmission Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (397) | | (24,529) | | (32,221) | | (8,275) |
| Ameresco, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,736) | | (234,219) | | (138,410) | | 94,748 |
| AMETEK, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (858) | | (152,698) | | (156,928) | | (6,768) |
| Archer Aviation, Inc., Class A | | USFF -10.639% | | Weekly | | MS | | 07/11/28 | | (13,750) | | (71,162) | | (63,525) | | 7,350 |
| Arcosa, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,105) | | (166,725) | | (180,735) | | (14,681) |
| Argan, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (45) | | (2,228) | | (2,274) | | (57) |
| Astronics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9) | | (167) | | (171) | | (7) |
| Atkore, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (446) | | (70,464) | | (84,901) | | (14,800) |
| Axon Enterprise, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (78) | | (23,266) | | (24,405) | | (1,281) |
| Ballard Power Systems, Inc. (Canada) | | USFF -1.244% | | Weekly | | MS | | 01/05/26 | | (32,360) | | (269,382) | | (89,961) | | 178,355 |
| Barnes Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,957) | | (61,575) | | (72,703) | | (11,920) |
| Bloom Energy Corp., Class A | | USFF -0.780% | | Weekly | | MS | | 01/10/28 | | (8,298) | | (105,865) | | (93,270) | | 12,169 |
| CAE, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (722) | | (14,465) | | (14,902) | | (498) |
| ChargePoint Holdings, Inc. | | USFF -16.768% | | Weekly | | MS | | 01/10/28 | | (42,691) | | (170,965) | | (81,113) | | 89,143 |
| Construction Partners, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,240) | | (58,010) | | (69,626) | | (11,851) |
| Dycom Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,029) | | (114,906) | | (147,692) | | (35,120) |
| Emerson Electric Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (257) | | (27,249) | | (29,149) | | (2,532) |
| Encore Wire Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (197) | | (45,684) | | (51,768) | | (6,269) |
| Enovix Corp. | | USFF -1.330% | | Weekly | | MS | | 01/12/29 | | (6,657) | | (60,130) | | (53,323) | | 6,564 |
| ESCO Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (187) | | (20,482) | | (20,018) | | 354 |
| Fluor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,638) | | (327,985) | | (365,215) | | (38,546) |
| FuelCell Energy, Inc. | | USFF -1.082% | | Weekly | | MS | | 01/10/28 | | (28,977) | | (56,567) | | (34,483) | | 21,872 |
| Gates Industrial Corp. PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,678) | | (47,325) | | (47,427) | | (295) |
| GATX Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,085) | | (129,900) | | (145,423) | | (17,967) |
| GMS, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (646) | | (54,616) | | (62,882) | | (8,522) |
| Granite Construction, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (684) | | (28,142) | | (39,077) | | (11,504) |
| Hayward Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,303) | | (44,401) | | (50,569) | | (6,349) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Helios Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,701) | | $ (92,157) | | $ (76,018) | | $ 15,429 |
| Herc Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,161) | | (183,135) | | (195,396) | | (19,477) |
| Hexcel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,450) | | (104,544) | | (105,633) | | (1,760) |
| Hillenbrand, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (596) | | (29,992) | | (29,973) | | (945) |
| ITT, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (113) | | (15,409) | | (15,371) | | 2 |
| JELD-WEN Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,095) | | (73,061) | | (65,707) | | 7,045 |
| John Bean Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (234) | | (27,058) | | (24,544) | | 2,354 |
| Johnson Controls International PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,613) | | (228,852) | | (236,001) | | (9,450) |
| Kaman Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (458) | | (20,944) | | (21,008) | | (223) |
| Kratos Defense & Security Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (1,632) | | (39,302) | | (29,996) | | 9,808 |
| Masonite International Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,545) | | (201,228) | | (203,090) | | (2,783) |
| Mercury Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (4,989) | | (264,211) | | (147,176) | | 115,975 |
| Moog, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (384) | | (44,244) | | (61,306) | | (17,778) |
| MRC Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,333) | | (36,675) | | (41,896) | | (5,575) |
| Mueller Water Products, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,587) | | (34,382) | | (41,625) | | (9,039) |
| MYR Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,333) | | (193,077) | | (235,608) | | (43,307) |
| Nordson Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (379) | | (99,290) | | (104,051) | | (6,272) |
| Northrop Grumman Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,100) | | (495,693) | | (526,526) | | (34,346) |
| nVent Electric PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (963) | | (71,416) | | (72,610) | | (1,483) |
| Oshkosh Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (295) | | (28,794) | | (36,789) | | (8,484) |
| Plug Power, Inc. | | USFF -2.972% | | Weekly | | MS | | 01/10/28 | | (22,815) | | (164,490) | | (78,484) | | 85,137 |
| Primoris Services Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (840) | | (22,738) | | (35,759) | | (13,597) |
| Rocket Lab USA, Inc. | | USFF -0.718% | | Weekly | | MS | | 07/11/28 | | (29,570) | | (128,645) | | (121,533) | | 6,595 |
| Rockwell Automation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,130) | | (596,156) | | (620,533) | | (29,532) |
| Rush Enterprises, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,172) | | (181,359) | | (223,285) | | (43,784) |
| Sensata Technologies Holding PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,712) | | (505,268) | | (540,519) | | (37,662) |
| Simpson Manufacturing Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (755) | | (154,186) | | (154,911) | | (1,687) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| SiteOne Landscape Supply, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,408) | | $ (219,647) | | $ (245,766) | | $(28,605) |
| Standex International Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (161) | | (28,449) | | (29,337) | | (1,005) |
| Stratasys Ltd. (Israel) | | USFF -1.080% | | Weekly | | MS | | 01/07/27 | | (5,524) | | (80,247) | | (64,189) | | 15,732 |
| Sunrun, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,980) | | (133,578) | | (105,176) | | 27,864 |
| Symbotic, Inc. | | USFF -3.980% | | Weekly | | MS | | 01/12/29 | | (1,763) | | (72,964) | | (79,335) | | (6,780) |
| Thermon Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (579) | | (16,475) | | (18,945) | | (2,539) |
| Timken Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,697) | | (391,408) | | (410,659) | | (21,614) |
| Titan Machinery, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,543) | | (48,203) | | (38,282) | | 9,759 |
| Toro Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,217) | | (284,422) | | (294,774) | | (13,204) |
| Triumph Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (79) | | (1,199) | | (1,188) | | (1) |
| Valmont Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (139) | | (32,075) | | (31,731) | | 130 |
| WESCO International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,812) | | (292,235) | | (310,359) | | (19,685) |
| WillScot Mobile Mini Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,778) | | (503,265) | | (547,677) | | (52,627) |
| Xometry, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,163) | | (85,625) | | (53,423) | | 31,856 |
| | | | | | | | | | | (343,103) | | (9,453,423) | | (9,286,040) | | 84,504 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| ABM Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (535) | | (25,409) | | (23,872) | | 1,310 |
| CACI International, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (726) | | (261,128) | | (275,031) | | (15,255) |
| Casella Waste Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,176) | | (179,329) | | (215,141) | | (36,980) |
| CBIZ, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (871) | | (48,890) | | (68,374) | | (20,201) |
| Ceridian HCM Holding, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,992) | | (143,253) | | (131,890) | | 10,870 |
| Clarivate PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (12,588) | | (103,750) | | (93,529) | | 9,734 |
| Clean Harbors, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (440) | | (80,323) | | (88,576) | | (8,762) |
| Concentrix Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,698) | | (136,167) | | (112,442) | | 23,177 |
| Conduent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (7,647) | | (35,784) | | (25,847) | | 9,722 |
| Copart, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,451) | | (248,242) | | (257,802) | | (10,557) |
| Driven Brands Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,190) | | (103,033) | | (81,950) | | 20,668 |
| Exponent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,006) | | (181,503) | | (165,876) | | 13,823 |
| FTI Consulting, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (202) | | (40,939) | | (42,479) | | (2,195) |
| GFL Environmental, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,848) | | (254,183) | | (270,756) | | (18,721) |
| Insperity, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (369) | | (39,346) | | (40,446) | | (1,261) |
| KBR, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (24) | | (1,531) | | (1,528) | | (6) |
| Kforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (274) | | (17,059) | | (19,322) | | (2,881) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Commercial & Professional
Services — (continued) | | | | | | | | | | | | | | |
| Matthews International Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (27) | | $ (799) | | $ (839) | | $ (46) |
| NV5 Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (75) | | (7,369) | | (7,351) | | (14) |
| Paychex, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (891) | | (109,447) | | (109,415) | | (1,511) |
| Paycom Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,164) | | (250,481) | | (231,648) | | 17,620 |
| Paycor HCM, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (946) | | (21,204) | | (18,390) | | 2,746 |
| Paylocity Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (983) | | (195,834) | | (168,938) | | 26,040 |
| Pitney Bowes, Inc. | | USFF -0.260% | | Weekly | | MS | | 01/12/29 | | (531) | | (2,292) | | (2,299) | | (19) |
| RB Global, Inc. (Canada) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | (3,254) | | (213,951) | | (247,857) | | (39,450) |
| Rollins, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (878) | | (41,148) | | (40,625) | | 413 |
| Stericycle, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,955) | | (149,060) | | (155,876) | | (7,424) |
| Thomson Reuters Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (372) | | (58,679) | | (57,969) | | 176 |
| TransUnion | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,612) | | (111,972) | | (128,638) | | (20,098) |
| UniFirst Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (136) | | (26,334) | | (23,586) | | 2,494 |
| Upwork, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,532) | | (122,842) | | (116,862) | | 5,485 |
| Verisk Analytics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (268) | | (65,103) | | (63,176) | | 2,120 |
| Verra Mobility Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,650) | | (127,565) | | (141,081) | | (14,029) |
| Viad Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2) | | (79) | | (79) | | (3) |
| | | | | | | | | | | (78,313) | | (3,404,028) | | (3,429,490) | | (53,015) |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Arhaus, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (16) | | (237) | | (246) | | (87) |
| Asbury Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (362) | | (82,217) | | (85,352) | | (3,952) |
| AutoNation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (556) | | (81,792) | | (92,062) | | (11,304) |
| Bath & Body Works, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (355) | | (16,069) | | (17,757) | | (3,051) |
| Buckle, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (399) | | (18,949) | | (16,068) | | 1,617 |
| Burlington Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,550) | | (342,556) | | (359,895) | | (18,713) |
| Caleres, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,721) | | (46,886) | | (70,613) | | (25,173) |
| CarMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (35) | | (3,024) | | (3,049) | | (38) |
| Chewy, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (15,778) | | (249,836) | | (251,028) | | (2,195) |
| Designer Brands, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (210) | | (2,297) | | (2,295) | | (20) |
| Dillard's, Inc., Class A | | USFF -0.680% | | Weekly | | MS | | 07/11/28 | | (232) | | (94,982) | | (109,420) | | (15,400) |
| Five Below, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,430) | | (294,203) | | (259,373) | | 37,221 |
| Floor & Decor Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (594) | | (68,012) | | (76,994) | | (9,258) |
| Foot Locker, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,960) | | (108,334) | | (84,360) | | 20,507 |
| Genuine Parts Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (912) | | (138,739) | | (141,296) | | (5,098) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Group 1 Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3) | | $ (851) | | $ (877) | | $ 14 |
| Guess?, Inc. | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (1,095) | | (26,738) | | (34,460) | | (8,894) |
| Lowe's Cos., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (303) | | (74,262) | | (77,183) | | (4,349) |
| MarineMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,432) | | (71,715) | | (80,888) | | (9,463) |
| Ollie's Bargain Outlet Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,123) | | (165,932) | | (168,927) | | (4,430) |
| O'Reilly Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (169) | | (191,488) | | (190,781) | | (1,280) |
| Penske Automotive Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (839) | | (141,607) | | (135,910) | | 3,627 |
| Petco Health & Wellness Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (389) | | (866) | | (887) | | (27) |
| RH | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (203) | | (60,388) | | (70,697) | | (10,857) |
| Shoe Carnival, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (696) | | (18,459) | | (25,501) | | (7,852) |
| Sonic Automotive, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,195) | | (64,550) | | (68,043) | | (4,576) |
| Tractor Supply Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (593) | | (143,990) | | (155,200) | | (12,167) |
| Urban Outfitters, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (857) | | (38,743) | | (37,211) | | 1,032 |
| Victoria's Secret & Co. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,064) | | (48,900) | | (20,620) | | 38,234 |
| Warby Parker, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,504) | | (82,128) | | (88,519) | | (6,723) |
| | | | | | | | | | | (45,575) | | (2,678,750) | | (2,725,512) | | (62,655) |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Acushnet Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,172) | | (74,943) | | (77,293) | | (2,718) |
| Amer Sports, Inc. (Cayman Islands) | | USFF -1.680% | | Weekly | | MS | | 01/12/29 | | (1,775) | | (28,113) | | (28,933) | | (935) |
| BRP, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (360) | | (26,148) | | (24,156) | | 1,783 |
| Capri Holdings Ltd. (British Virgin Islands) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,177) | | (499,202) | | (461,018) | | 36,544 |
| Cavco Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (39) | | (15,178) | | (15,563) | | (449) |
| Gildan Activewear, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (945) | | (30,122) | | (35,088) | | (5,950) |
| Installed Building Products, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (85) | | (15,787) | | (21,992) | | (6,592) |
| La-Z-Boy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (804) | | (29,634) | | (30,246) | | (790) |
| Levi Strauss & Co, Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,421) | | (216,856) | | (268,286) | | (58,939) |
| Oxford Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (90) | | (9,951) | | (10,116) | | (207) |
| Peloton Interactive, Inc., Class A | | USFF -0.277% | | Weekly | | MS | | 01/12/29 | | (11,286) | | (49,390) | | (48,361) | | 815 |
| SharkNinja, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,212) | | (133,605) | | (137,785) | | (4,718) |
| Skyline Champion Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,872) | | (147,880) | | (159,139) | | (12,053) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Durables & Apparel —
(continued) | | | | | | | | | | | | | | |
| Steven Madden Ltd. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,452) | | $ (145,043) | | $ (145,951) | | $ (1,822) |
| Sturm Ruger & Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (260) | | (11,586) | | (11,999) | | (496) |
| Tempur Sealy International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,341) | | (69,204) | | (76,196) | | (8,001) |
| Topgolf Callaway Brands Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,689) | | (56,949) | | (27,311) | | 32,643 |
| Under Armour, Inc., Class C | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,384) | | (31,514) | | (31,302) | | 107 |
| Vizio Holding Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,400) | | (15,355) | | (15,316) | | (49) |
| Wolverine World Wide, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,711) | | (91,104) | | (41,600) | | 46,399 |
| | | | | | | | | | | (60,475) | | (1,697,564) | | (1,667,651) | | 14,572 |
| Consumer Services | | | | | | | | | | | | | | |
| Airbnb, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,643) | | (260,833) | | (271,029) | | (23,189) |
| Bloomin' Brands, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (956) | | (26,673) | | (27,418) | | (1,660) |
| Carnival Corp. (Panama) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,753) | | (147,416) | | (143,024) | | 3,799 |
| Chegg, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (11,296) | | (196,251) | | (85,511) | | 109,952 |
| Chipotle Mexican Grill, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (87) | | (253,783) | | (252,889) | | (125) |
| Choice Hotels International, Inc. | | USFF -0.980% | | Weekly | | MS | | 01/12/29 | | (190) | | (24,115) | | (24,007) | | 10 |
| Churchill Downs, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,474) | | (180,467) | | (182,408) | | (3,430) |
| Coursera, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,553) | | (99,858) | | (91,873) | | 7,582 |
| Dave & Buster's Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (382) | | (20,789) | | (23,913) | | (3,363) |
| First Watch Restaurant Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,942) | | (40,248) | | (47,812) | | (7,728) |
| Hilton Worldwide Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (879) | | (176,043) | | (187,499) | | (12,624) |
| Hyatt Hotels Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (221) | | (28,817) | | (35,276) | | (9,551) |
| Jack in the Box, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (436) | | (34,828) | | (29,857) | | 4,722 |
| Krispy Kreme, Inc. | | USFF -0.880% | | Weekly | | MS | | 07/08/27 | | (13,750) | | (189,731) | | (209,481) | | (21,615) |
| Life Time Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,569) | | (23,358) | | (24,351) | | (1,147) |
| MGM Resorts International | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,216) | | (103,195) | | (104,617) | | (1,837) |
| Mister Car Wash, Inc. | | USFF -0.630% | | Weekly | | MS | | 07/06/26 | | (15,602) | | (157,256) | | (120,916) | | 35,708 |
| Penn Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,308) | | (76,538) | | (78,449) | | (2,469) |
| Portillo's, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,814) | | (118,230) | | (82,443) | | 35,384 |
| Red Rock Resorts, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,113) | | (184,758) | | (246,040) | | (75,426) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Restaurant Brands International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,405) | | $ (111,927) | | $ (111,627) | | $ (1,767) |
| Royal Caribbean Cruises Ltd. (Liberia) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,027) | | (127,961) | | (142,763) | | (18,148) |
| Service Corp. International | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (340) | | (25,619) | | (25,231) | | 191 |
| Texas Roadhouse, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (671) | | (88,591) | | (103,649) | | (18,207) |
| United Parks & Resorts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,245) | | (64,792) | | (69,981) | | (5,547) |
| Wingstop, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,230) | | (379,513) | | (450,672) | | (79,428) |
| | | | | | | | | | | (88,102) | | (3,141,590) | | (3,172,736) | | (89,913) |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| BJ's Wholesale Club Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,590) | | (192,768) | | (195,934) | | (5,131) |
| Casey's General Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,421) | | (416,931) | | (452,517) | | (37,639) |
| Chefs' Warehouse, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,523) | | (85,095) | | (95,016) | | (10,423) |
| Dollar Tree, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,564) | | (199,732) | | (208,247) | | (13,224) |
| Maplebear, Inc. | | USFF -1.080% | | Weekly | | MS | | 01/12/29 | | (3,866) | | (141,856) | | (144,163) | | (2,878) |
| SpartanNash Co. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,945) | | (58,612) | | (39,308) | | 17,108 |
| Sprouts Farmers Market, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (651) | | (33,484) | | (41,976) | | (9,140) |
| United Natural Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,026) | | (96,128) | | (34,769) | | 60,972 |
| | | | | | | | | | | (17,586) | | (1,224,606) | | (1,211,930) | | (355) |
| Energy | | | | | | | | | | | | | | |
| Atlas Energy Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,435) | | (95,472) | | (122,940) | | (29,363) |
| Baytex Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (62,426) | | (208,820) | | (226,606) | | (21,732) |
| Bristow Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (70) | | (1,817) | | (1,904) | | (97) |
| Cactus, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,666) | | (85,011) | | (83,450) | | 114 |
| Civitas Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,667) | | (253,725) | | (278,362) | | (41,571) |
| Clean Energy Fuels Corp. | | USFF -0.256% | | Weekly | | MS | | 01/07/27 | | (26,755) | | (106,493) | | (71,703) | | 34,358 |
| Comstock Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (32,324) | | (332,093) | | (299,967) | | 25,032 |
| Core Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,062) | | (55,617) | | (35,219) | | 20,156 |
| Crescent Energy Co., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,075) | | (35,598) | | (36,593) | | (1,546) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| Crescent Point Energy Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (29,258) | | $(199,922) | | $(239,623) | | $(44,024) |
| Denison Mines Corp. (Canada) | | USFF -0.260% | | Weekly | | MS | | 01/07/27 | | (15,478) | | (21,671) | | (30,182) | | (8,873) |
| Diamond Offshore Drilling, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,612) | | (97,755) | | (90,188) | | 7,213 |
| Dril-Quip, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,483) | | (32,859) | | (33,412) | | (782) |
| DT Midstream, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,037) | | (104,745) | | (124,461) | | (28,321) |
| Energy Fuels, Inc. (Canada) | | USFF -1.480% | | Weekly | | MS | | 01/10/28 | | (8,815) | | (63,145) | | (55,446) | | 7,421 |
| EOG Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (94) | | (11,843) | | (12,017) | | (208) |
| EQT Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,861) | | (245,182) | | (254,337) | | (10,563) |
| Equitrans Midstream Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (232) | | (2,889) | | (2,898) | | (23) |
| Expro Group Holdings NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,150) | | (112,470) | | (122,816) | | (10,798) |
| Hess Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (553) | | (84,761) | | (84,410) | | (1,827) |
| HF Sinclair Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,696) | | (154,200) | | (162,758) | | (10,367) |
| Kinetik Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,135) | | (116,216) | | (124,992) | | (24,540) |
| Kosmos Energy Ltd. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,581) | | (20,558) | | (15,383) | | 6,784 |
| New Fortress Energy, Inc. | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (3,172) | | (154,677) | | (97,031) | | 45,745 |
| NexGen Energy Ltd. (Canada) | | USFF -0.830% | | Weekly | | MS | | 07/11/28 | | (12,584) | | (86,754) | | (97,778) | | (12,343) |
| NextDecade Corp. | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (1,002) | | (5,417) | | (5,691) | | (299) |
| North American Construction Group Ltd. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (161) | | (3,775) | | (3,587) | | 160 |
| Northern Oil and Gas, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,950) | | (73,636) | | (77,376) | | (5,296) |
| NOV, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,617) | | (148,952) | | (148,684) | | (1,551) |
| Oceaneering International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,961) | | (73,172) | | (69,287) | | 3,403 |
| ONEOK, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,304) | | (231,074) | | (264,882) | | (38,564) |
| Ovintiv, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,707) | | (129,710) | | (140,493) | | (19,786) |
| Par Pacific Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,978) | | (75,864) | | (73,305) | | 2,252 |
| Patterson-UTI Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,375) | | (239,052) | | (255,218) | | (20,895) |
| Permian Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,364) | | (227,002) | | (253,668) | | (32,389) |
| ProFrac Holding Corp., Class A | | USFF -0.930% | | Weekly | | MS | | 07/08/27 | | (9,069) | | (111,291) | | (75,817) | | 34,905 |
| ProPetro Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,665) | | (160,541) | | (142,733) | | 17,132 |
| Range Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,597) | | (85,152) | | (89,415) | | (5,416) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy — (continued) | | | | | | | | | | | | | | |
| RPC, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,657) | | $ (31,791) | | $ (28,305) | | $ 3,153 |
| Seadrill Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (52) | | (2,587) | | (2,616) | | (41) |
| Select Water Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,337) | | (19,116) | | (21,571) | | (3,449) |
| SFL Corp. Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,163) | | (13,076) | | (15,328) | | (3,493) |
| SilverBow Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,413) | | (93,496) | | (82,380) | | 10,740 |
| Southwestern Energy Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (32,283) | | (225,634) | | (244,705) | | (21,541) |
| Suncor Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7,537) | | (258,645) | | (278,191) | | (22,491) |
| Talos Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (10,117) | | (140,360) | | (140,930) | | (1,414) |
| Tidewater, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (948) | | (67,968) | | (87,216) | | (21,424) |
| Uranium Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (12,450) | | (81,719) | | (84,038) | | (2,648) |
| Valaris Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,034) | | (139,098) | | (153,079) | | (14,823) |
| Vermilion Energy, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,827) | | (65,323) | | (60,048) | | 3,727 |
| Vital Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,598) | | (85,505) | | (83,959) | | 839 |
| Williams Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,506) | | (381,944) | | (409,419) | | (34,945) |
| World Kinect Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,631) | | (96,353) | | (96,040) | | (3,645) |
| | | | | | | | | | | (421,524) | | (5,951,546) | | (6,092,457) | | (277,954) |
| Financial Services | | | | | | | | | | | | | | |
| Global Payments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (129) | | (17,685) | | (17,242) | | 674 |
| I3 Verticals, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8) | | (183) | | (183) | | (106) |
| Jack Henry & Associates, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (182) | | (30,406) | | (31,619) | | (1,589) |
| MarketAxess Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (365) | | (79,843) | | (80,026) | | (505) |
| Marqeta, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (19,050) | | (113,576) | | (113,538) | | (419) |
| Nasdaq, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,150) | | (534,093) | | (577,365) | | (46,777) |
| Remitly Global, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,633) | | (229,588) | | (241,268) | | (13,456) |
| WEX, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (902) | | (182,608) | | (214,252) | | (34,072) |
| | | | | | | | | | | (41,419) | | (1,187,982) | | (1,275,493) | | (96,250) |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Brown-Forman Corp., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (624) | | (41,071) | | (32,211) | | 11,566 |
| Cal-Maine Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,111) | | (121,133) | | (124,232) | | (3,788) |
| Celsius Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (803) | | (51,492) | | (66,585) | | (22,350) |
| Darling Ingredients, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,637) | | (624,759) | | (448,217) | | 173,811 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Duckhorn Portfolio, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,914) | | $ (26,885) | | $ (27,129) | | $ (355) |
| Flowers Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,254) | | (58,361) | | (53,533) | | 2,463 |
| Hain Celestial Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,326) | | (87,083) | | (34,002) | | 54,616 |
| Hershey Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,628) | | (322,719) | | (316,646) | | 4,657 |
| J M Smucker Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,951) | | (488,393) | | (497,312) | | (10,878) |
| John B Sanfilippo & Son, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (80) | | (8,340) | | (8,474) | | (169) |
| Lamb Weston Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,453) | | (372,172) | | (367,848) | | 1,612 |
| Monster Beverage Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (487) | | (29,640) | | (28,869) | | 1,211 |
| PepsiCo, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,987) | | (685,980) | | (697,765) | | (14,534) |
| Pilgrim's Pride Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,852) | | (72,290) | | (97,881) | | (27,211) |
| Post Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,886) | | (198,167) | | (200,444) | | (3,292) |
| TreeHouse Foods, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (511) | | (19,808) | | (19,903) | | (177) |
| Universal Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (212) | | (10,773) | | (10,965) | | (238) |
| WK Kellogg Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,111) | | (15,142) | | (20,887) | | (6,368) |
| | | | | | | | | | | (42,827) | | (3,234,208) | | (3,052,903) | | 160,576 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Acadia Healthcare Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,883) | | (231,993) | | (228,391) | | 2,202 |
| AdaptHealth Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (2,151) | | (55,612) | | (24,758) | | 32,507 |
| agilon health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,821) | | (133,267) | | (84,308) | | 48,422 |
| Alcon, Inc. (Switzerland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,632) | | (225,085) | | (219,219) | | 4,318 |
| Alphatec Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,732) | | (103,844) | | (106,624) | | (3,198) |
| Amedisys, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (679) | | (63,380) | | (62,577) | | 547 |
| AMN Healthcare Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (821) | | (48,764) | | (51,321) | | (2,754) |
| Cooper Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,305) | | (125,809) | | (132,405) | | (7,696) |
| CorVel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (16) | | (4,094) | | (4,207) | | (132) |
| DENTSPLY SIRONA, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,671) | | (67,152) | | (55,460) | | 12,157 |
| Dexcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,996) | | (655,068) | | (692,945) | | (41,034) |
| Doximity, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,540) | | (104,620) | | (68,351) | | 38,502 |
| Edwards Lifesciences Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,343) | | (465,838) | | (510,577) | | (48,911) |
| Ensign Group, Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (504) | | (51,602) | | (62,708) | | (11,668) |
| Glaukos Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (252) | | (12,337) | | (23,761) | | (11,885) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Globus Medical, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,493) | | $(237,649) | | $(241,005) | | $ (5,447) |
| GoodRx Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,488) | | (24,977) | | (24,765) | | 87 |
| Guardant Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,619) | | (70,205) | | (74,660) | | (4,739) |
| Henry Schein, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,850) | | (440,856) | | (441,792) | | (2,704) |
| ICU Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (267) | | (47,245) | | (28,654) | | 19,070 |
| Inari Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (482) | | (27,874) | | (23,126) | | 4,641 |
| Inspire Medical Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (615) | | (96,419) | | (132,096) | | (37,139) |
| Integer Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,536) | | (169,219) | | (179,220) | | (10,682) |
| Integra LifeSciences Holdings Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,548) | | (64,975) | | (54,877) | | 10,125 |
| Intuitive Surgical, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (537) | | (206,817) | | (214,311) | | (8,857) |
| iRhythm Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,384) | | (150,464) | | (160,544) | | (10,685) |
| Laboratory Corp. of America Holdings | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (552) | | (120,657) | | (120,590) | | (300) |
| LifeStance Health Group, Inc. | | USFF -0.680% | | Weekly | | MS | | 01/07/27 | | (6,779) | | (52,937) | | (41,826) | | 10,915 |
| LivaNova PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,252) | | (64,299) | | (70,037) | | (6,615) |
| Masimo Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,095) | | (168,105) | | (160,801) | | 4,881 |
| Merit Medical Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (235) | | (17,513) | | (17,801) | | (528) |
| Neogen Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (7,671) | | (138,413) | | (121,048) | | 16,808 |
| Nevro Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,169) | | (178,946) | | (74,640) | | 103,757 |
| Novocure Ltd. (Jersey) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,105) | | (405,341) | | (251,721) | | 151,900 |
| Option Care Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,506) | | (118,648) | | (117,591) | | 562 |
| Patterson Cos., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,061) | | (90,021) | | (84,637) | | 4,685 |
| PROCEPT BioRobotics Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,084) | | (39,018) | | (53,571) | | (14,899) |
| Progyny, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (410) | | (15,340) | | (15,642) | | (365) |
| QuidelOrtho Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,578) | | (262,359) | | (171,529) | | 89,777 |
| RadNet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (766) | | (22,763) | | (37,274) | | (16,226) |
| Schrodinger, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (5,159) | | (197,627) | | (139,293) | | 57,540 |
| Shockwave Medical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,555) | | (356,079) | | (506,355) | | (151,705) |
| SI-BONE, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (312) | | (4,897) | | (5,107) | | (232) |
| STAAR Surgical Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,658) | | (98,810) | | (63,468) | | 34,837 |
| STERIS PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (469) | | (108,114) | | (105,441) | | 2,038 |
| Tandem Diabetes Care, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (4,317) | | (216,891) | | (152,865) | | 59,322 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| Teladoc Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,854) | | $ (64,152) | | $ (58,195) | | $ 5,697 |
| Treace Medical Concepts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,174) | | (62,415) | | (54,471) | | 7,688 |
| US Physical Therapy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (325) | | (36,604) | | (36,683) | | (1,275) |
| Veeva Systems, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (935) | | (202,283) | | (216,630) | | (16,832) |
| | | | | | | | | | | (145,186) | | (6,927,397) | | (6,579,878) | | 306,477 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Beauty Health Co. (The) | | USFF -0.653% | | Weekly | | MS | | 01/12/29 | | (284) | | (1,271) | | (1,261) | | 3 |
| Church & Dwight Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,121) | | (518,856) | | (534,172) | | (19,932) |
| elf Beauty, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,724) | | (483,468) | | (533,986) | | (61,093) |
| Inter Parfums, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (978) | | (139,341) | | (137,419) | | 474 |
| | | | | | | | | | | (9,107) | | (1,142,936) | | (1,206,838) | | (80,548) |
| Materials | | | | | | | | | | | | | | |
| AdvanSix, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4) | | (113) | | (114) | | (4) |
| Agnico Eagle Mines Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,125) | | (58,216) | | (67,106) | | (11,880) |
| Air Products and Chemicals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (895) | | (257,713) | | (216,832) | | 38,140 |
| Albemarle Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,167) | | (196,049) | | (153,741) | | 23,446 |
| Alcoa Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (798) | | (24,214) | | (26,964) | | (2,850) |
| Algoma Steel Group, Inc. (Canada) | | USFF -2.380% | | Weekly | | MS | | 01/10/28 | | (5,250) | | (41,986) | | (44,573) | | (3,947) |
| Ashland, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,435) | | (154,492) | | (139,726) | | 11,628 |
| Century Aluminum Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,946) | | (23,280) | | (29,949) | | (7,193) |
| CF Industries Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,968) | | (331,535) | | (330,177) | | (967) |
| Coeur Mining, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (88,087) | | (397,804) | | (332,088) | | 62,867 |
| Commercial Metals Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (686) | | (39,798) | | (40,316) | | (797) |
| Compass Minerals International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,205) | | (24,375) | | (18,967) | | 5,244 |
| DuPont de Nemours, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,353) | | (252,833) | | (257,075) | | (6,240) |
| Eagle Materials, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (136) | | (28,021) | | (36,958) | | (9,222) |
| Ecovyst, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (416) | | (4,311) | | (4,638) | | (347) |
| Element Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,006) | | (22,151) | | (25,130) | | (3,509) |
| Equinox Gold Corp. (Canada) | | USFF -0.830% | | Weekly | | MS | | 08/29/25 | | (32,820) | | (248,677) | | (197,576) | | 49,815 |
| ERO Copper Corp. (Canada) | | USFF -0.780% | | Weekly | | MS | | 01/12/29 | | (69) | | (1,297) | | (1,330) | | (41) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| First Majestic Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,324) | | $ (96,283) | | $ (95,985) | | $ (1,310) |
| FMC Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (12,189) | | (761,382) | | (776,439) | | (34,369) |
| Ginkgo Bioworks Holdings, Inc. | | USFF -6.197% | | Weekly | | MS | | 07/11/28 | | (71,065) | | (103,948) | | (82,435) | | 21,094 |
| Graphic Packaging Holding Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,139) | | (81,690) | | (91,596) | | (10,812) |
| Hawkins, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (64) | | (4,890) | | (4,915) | | (47) |
| Hecla Mining Co. | | USFF -0.247% | | Weekly | | MS | | 07/08/27 | | (32,805) | | (155,479) | | (157,792) | | (3,305) |
| Huntsman Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (933) | | (24,084) | | (24,286) | | (648) |
| IAMGOLD Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,693) | | (54,706) | | (72,238) | | (18,522) |
| Ingevity Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,650) | | (113,024) | | (78,705) | | 34,414 |
| Louisiana-Pacific Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (644) | | (42,192) | | (54,038) | | (13,527) |
| LSB Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (188) | | (1,529) | | (1,651) | | (130) |
| MAG Silver Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,276) | | (32,152) | | (34,660) | | (2,643) |
| Methanex Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,481) | | (109,228) | | (110,727) | | (4,229) |
| Mosaic Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,003) | | (95,360) | | (97,477) | | (2,589) |
| MP Materials Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (7,014) | | (177,938) | | (100,300) | | 76,923 |
| Newmont Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (19,444) | | (662,893) | | (696,873) | | (38,590) |
| Novagold Resources, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (8,001) | | (33,751) | | (24,003) | | 9,610 |
| Nutrien Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,087) | | (64,555) | | (59,035) | | 3,836 |
| O-I Glass, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,567) | | (83,421) | | (75,767) | | 7,288 |
| Olin Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (669) | | (36,110) | | (39,337) | | (4,148) |
| Pan American Silver Corp. (Canada) | | USFF -0.980% | | Weekly | | MS | | 07/08/27 | | (3,181) | | (52,981) | | (47,969) | | 3,902 |
| Ryerson Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (339) | | (10,679) | | (11,357) | | (735) |
| Sandstorm Gold Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (6,688) | | (39,434) | | (35,112) | | 3,964 |
| Schnitzer Steel Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,624) | | (68,747) | | (34,315) | | 32,277 |
| Sensient Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,011) | | (74,778) | | (69,951) | | 2,601 |
| Silgan Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,756) | | (77,849) | | (85,271) | | (8,911) |
| Southern Copper Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (779) | | (79,219) | | (82,979) | | (4,080) |
| SSR Mining, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (16,824) | | (233,751) | | (75,035) | | 159,963 |
| Steel Dynamics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (55) | | (8,036) | | (8,153) | | (151) |
| Stepan Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (501) | | (55,407) | | (45,110) | | 8,742 |
| Sylvamo Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (954) | | (48,749) | | (58,900) | | (10,920) |
| Teck Resources Ltd., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,293) | | (96,619) | | (104,974) | | (10,117) |
| TimkenSteel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (851) | | (18,238) | | (18,935) | | (815) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Materials — (continued) | | | | | | | | | | | | | | |
| TriMas Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (392) | | $ (9,822) | | $ (10,478) | | $ (698) |
| Tronox Holdings PLC (United Kingdom) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (15,333) | | (204,373) | | (266,028) | | (66,784) |
| United States Lime & Minerals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (7) | | (2,076) | | (2,087) | | (22) |
| United States Steel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,566) | | (663,309) | | (594,001) | | 65,569 |
| Warrior Met Coal, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (442) | | (26,718) | | (26,829) | | (174) |
| Wheaton Precious Metals Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (240) | | (11,050) | | (11,311) | | (308) |
| | | | | | | | | | | (422,438) | | (6,623,315) | | (6,190,314) | | 335,742 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Altice USA, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (22,546) | | (126,824) | | (58,845) | | 68,347 |
| Angi, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (7,424) | | (111,043) | | (19,451) | | 92,174 |
| Cargurus, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,073) | | (70,382) | | (70,925) | | (827) |
| EchoStar Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (11,503) | | (379,962) | | (163,918) | | 214,520 |
| Endeavor Group Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,030) | | (516,182) | | (541,102) | | (29,203) |
| Fox Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,067) | | (122,420) | | (127,175) | | (5,682) |
| IAC, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,405) | | (123,506) | | (74,943) | | 48,291 |
| Integral Ad Science Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,261) | | (32,003) | | (22,542) | | 9,918 |
| Lions Gate Entertainment Corp., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (4,430) | | (49,585) | | (41,243) | | 8,140 |
| Madison Square Garden Entertainment Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,285) | | (42,936) | | (50,385) | | (8,324) |
| Madison Square Garden Sports Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (642) | | (119,112) | | (118,462) | | 88 |
| Magnite, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (9,916) | | (122,439) | | (106,597) | | 14,924 |
| Nexstar Media Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,020) | | (170,936) | | (175,736) | | (6,696) |
| Scholastic Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (437) | | (17,956) | | (16,479) | | 1,127 |
| Snap, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (38,240) | | (429,354) | | (438,995) | | (11,364) |
| Sphere Entertainment Co. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (421) | | (17,497) | | (20,663) | | (3,928) |
| Stagwell, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (656) | | (3,716) | | (4,080) | | (382) |
| Taboola.com Ltd. (Israel) | | USFF -0.730% | | Weekly | | MS | | 01/12/29 | | (1,671) | | (7,278) | | (7,419) | | (173) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Take-Two Interactive Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,590) | | $ (376,867) | | $ (384,589) | | $ (9,234) |
| TechTarget, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6) | | (193) | | (198) | | (8) |
| TKO Group Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,562) | | (316,500) | | (307,792) | | 5,893 |
| Vivid Seats, Inc., Class A | | USFF -0.680% | | Weekly | | MS | | 01/12/29 | | (1,982) | | (11,267) | | (11,872) | | (653) |
| Ziff Davis, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (755) | | (54,233) | | (47,595) | | 6,594 |
| | | | | | | | | | | (140,922) | | (3,222,191) | | (2,811,006) | | 393,542 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbCellera Biologics, Inc. (Canada) | | USFF -1.688% | | Weekly | | MS | | 07/11/28 | | (8,046) | | (41,721) | | (36,448) | | 5,103 |
| Amgen, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,782) | | (831,525) | | (790,978) | | 32,080 |
| Arcturus Therapeutics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (42) | | (1,505) | | (1,418) | | 83 |
| Ardelyx, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (682) | | (5,913) | | (4,979) | | 981 |
| Arrowhead Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,381) | | (131,557) | | (125,297) | | 5,731 |
| Aurinia Pharmaceuticals, Inc. (Canada) | | USFF -0.630% | | Weekly | | MS | | 01/12/29 | | (1,244) | | (6,410) | | (6,232) | | 149 |
| Avantor, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,353) | | (78,970) | | (85,736) | | (8,556) |
| Axsome Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (476) | | (32,662) | | (37,985) | | (5,484) |
| Bausch Health Cos., Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (22,353) | | (189,165) | | (237,165) | | (48,760) |
| Biogen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (247) | | (56,145) | | (53,261) | | 4,732 |
| Bio-Techne Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,636) | | (204,402) | | (185,548) | | 17,668 |
| Bridgebio Pharma, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,684) | | (48,729) | | (52,069) | | (4,254) |
| Bruker Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (581) | | (42,442) | | (54,579) | | (14,708) |
| Catalent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,740) | | (194,102) | | (98,223) | | 95,929 |
| Charles River Laboratories International, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (779) | | (194,136) | | (211,070) | | (19,021) |
| Cytek Biosciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,877) | | (76,594) | | (46,145) | | 30,140 |
| Disc Medicine, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (68) | | (4,079) | | (4,234) | | (173) |
| Elanco Animal Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (944) | | (11,029) | | (15,368) | | (6,180) |
| Fortrea Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,159) | | (45,072) | | (46,522) | | (1,972) |
| Geron Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (8,869) | | (21,503) | | (29,268) | | (9,423) |
| Immatics NV (Netherlands) | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (123) | | (1,485) | | (1,293) | | 190 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Intellia Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (186) | | $ (5,346) | | $ (5,117) | | $ 229 |
| Jazz Pharmaceuticals PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,612) | | (317,679) | | (314,537) | | 1,445 |
| MacroGenics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (299) | | (4,387) | | (4,401) | | (35) |
| Maravai LifeSciences Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,537) | | (129,506) | | (169,386) | | (40,401) |
| Mesa Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (176) | | (43,771) | | (19,312) | | 24,063 |
| Olema Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3) | | (34) | | (34) | | (3) |
| Organon & Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,731) | | (187,126) | | (201,743) | | (21,097) |
| Pacific Biosciences of California, Inc. | | USFF -0.267% | | Weekly | | MS | | 07/11/28 | | (6,598) | | (46,063) | | (24,743) | | 21,134 |
| Pacira BioSciences, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,373) | | (40,730) | | (40,119) | | 441 |
| Perrigo Co. PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (907) | | (47,436) | | (29,196) | | 16,602 |
| Pfizer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (20,627) | | (566,255) | | (572,399) | | (8,499) |
| Phathom Pharmaceuticals, Inc. | | USFF -5.230% | | Weekly | | MS | | 01/12/29 | | (171) | | (1,847) | | (1,816) | | 21 |
| Pliant Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,434) | | (67,616) | | (51,167) | | 16,175 |
| Prothena Corp. PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (45) | | (1,191) | | (1,115) | | 69 |
| Relay Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (273) | | (2,134) | | (2,266) | | (143) |
| Repligen Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,151) | | (218,051) | | (211,692) | | 4,612 |
| Revance Therapeutics, Inc. | | USFF -0.267% | | Weekly | | MS | | 07/11/28 | | (6,060) | | (73,021) | | (29,815) | | 43,090 |
| Revvity, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,573) | | (171,350) | | (165,165) | | 5,354 |
| SIGA Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (114) | | (957) | | (976) | | (50) |
| Sotera Health Co. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (7,896) | | (147,845) | | (94,831) | | 53,410 |
| Summit Therapeutics, Inc. | | USFF -2.234% | | Weekly | | MS | | 01/12/29 | | (2) | | (8) | | (8) | | (43) |
| Tango Therapeutics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8) | | (68) | | (64) | | 11 |
| Tilray Brands, Inc. | | USFF -7.350% | | Weekly | | MS | | 07/11/28 | | (40,701) | | (74,100) | | (100,531) | | (26,731) |
| Vaxcyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (219) | | (14,808) | | (14,960) | | (214) |
| Veracyte, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (613) | | (13,655) | | (13,584) | | 14 |
| Vericel Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (497) | | (22,332) | | (25,854) | | (4,001) |
| West Pharmaceutical Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (747) | | (294,173) | | (295,595) | | (2,603) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Xenon Pharmaceuticals, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (41) | | $ (1,754) | | $ (1,765) | | $ (20) |
| Zymeworks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (80) | | (905) | | (842) | | 58 |
| | | | | | | | | | | (195,740) | | (4,713,294) | | (4,516,851) | | 157,143 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Allegro MicroSystems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,777) | | (85,576) | | (74,868) | | 10,829 |
| Alpha & Omega Semiconductor Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,372) | | (34,575) | | (30,239) | | 4,195 |
| Ambarella, Inc. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,413) | | (120,197) | | (71,738) | | 48,524 |
| Analog Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (962) | | (191,064) | | (190,274) | | (2,608) |
| Broadcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (488) | | (626,840) | | (646,800) | | (29,260) |
| Cirrus Logic, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (380) | | (31,102) | | (35,173) | | (4,942) |
| Diodes, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (533) | | (36,951) | | (37,577) | | (776) |
| Enphase Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,020) | | (266,264) | | (244,380) | | 22,480 |
| First Solar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (861) | | (127,582) | | (145,337) | | (19,826) |
| FormFactor, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,329) | | (84,309) | | (106,272) | | (22,851) |
| Ichor Holdings Ltd. (Cayman Islands) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,609) | | (53,411) | | (62,140) | | (9,388) |
| Impinj, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (366) | | (35,364) | | (46,998) | | (12,116) |
| indie Semiconductor, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,630) | | (48,425) | | (54,020) | | (5,792) |
| Kulicke & Soffa Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (645) | | (31,661) | | (32,450) | | (965) |
| Lattice Semiconductor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,795) | | (210,731) | | (218,653) | | (10,794) |
| MACOM Technology Solutions Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,894) | | (425,379) | | (468,062) | | (44,389) |
| Marvell Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (711) | | (47,464) | | (50,396) | | (3,217) |
| MaxLinear, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,771) | | (226,318) | | (201,095) | | 24,315 |
| MKS Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (583) | | (59,309) | | (77,539) | | (20,904) |
| Onto Innovation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (307) | | (44,967) | | (55,592) | | (13,993) |
| Power Integrations, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,475) | | (284,525) | | (248,636) | | 33,117 |
| Semtech Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,608) | | (59,236) | | (71,694) | | (13,448) |
| Silicon Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (904) | | (106,141) | | (129,923) | | (24,831) |
| SiTime Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,261) | | (126,153) | | (117,563) | | 8,083 |
| Synaptics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (511) | | (48,216) | | (49,853) | | (2,048) |
| Teradyne, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,008) | | (108,999) | | (113,733) | | (5,250) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment — (continued) | | | | | | | | | | | | | | |
| Texas Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,610) | | $ (617,726) | | $ (628,898) | | $ (20,193) |
| Ultra Clean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,097) | | (37,201) | | (50,396) | | (14,012) |
| Universal Display Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (990) | | (171,934) | | (166,766) | | 3,921 |
| Veeco Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (539) | | (19,012) | | (18,957) | | (39) |
| Wolfspeed, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,131) | | (115,869) | | (92,365) | | 23,037 |
| | | | | | | | | | | (62,580) | | (4,482,501) | | (4,538,387) | | (103,141) |
| Software & Services | | | | | | | | | | | | | | |
| A10 Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,272) | | (17,487) | | (17,414) | | 1 |
| ACI Worldwide, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,047) | | (57,660) | | (67,981) | | (10,839) |
| Agilysys, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (251) | | (19,373) | | (21,149) | | (1,878) |
| Akamai Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (576) | | (69,180) | | (62,646) | | 6,922 |
| Amplitude, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (648) | | (7,287) | | (7,050) | | 205 |
| Appian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,596) | | (103,800) | | (103,710) | | (835) |
| AppLovin Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,808) | | (174,747) | | (194,370) | | (24,314) |
| Asana, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,866) | | (140,836) | | (121,844) | | 18,425 |
| Aspen Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (713) | | (138,926) | | (152,069) | | (13,782) |
| Atlassian Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,105) | | (222,419) | | (215,597) | | 5,930 |
| Bentley Systems, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,348) | | (122,951) | | (122,613) | | (279) |
| BigCommerce Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (6,142) | | (106,431) | | (42,318) | | 63,718 |
| BILL Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,926) | | (278,517) | | (269,795) | | 6,781 |
| BlackBerry Ltd. (Canada) | | USFF -0.770% | | Weekly | | MS | | 01/12/29 | | (5,096) | | (13,552) | | (14,065) | | (570) |
| Braze, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (173) | | (7,997) | | (7,664) | | 298 |
| Cerence, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,823) | | (40,496) | | (28,712) | | 11,619 |
| Cipher Mining, Inc. | | USFF -3.680% | | Weekly | | MS | | 01/12/29 | | (16,748) | | (56,252) | | (86,252) | | (35,409) |
| Clearwater Analytics Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,128) | | (70,228) | | (73,024) | | (3,080) |
| Confluent, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,908) | | (46,748) | | (58,232) | | (15,314) |
| DigitalOcean Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (860) | | (32,337) | | (32,835) | | (645) |
| DocuSign, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (322) | | (19,100) | | (19,175) | | (154) |
| Dolby Laboratories, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (922) | | (77,220) | | (77,236) | | (335) |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| DoubleVerify Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,663) | | $ (183,123) | | $ (163,951) | | $ 17,601 |
| Dropbox, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,869) | | (93,807) | | (69,717) | | 27,184 |
| Elastic NV (Netherlands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,918) | | (297,391) | | (292,500) | | 3,698 |
| Envestnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,618) | | (126,398) | | (93,698) | | 32,942 |
| Fair Isaac Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (155) | | (202,688) | | (193,690) | | 8,731 |
| Fastly, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,770) | | (144,583) | | (139,687) | | 4,314 |
| Five9, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,325) | | (446,880) | | (454,956) | | (9,868) |
| Freshworks, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,306) | | (23,542) | | (23,782) | | (337) |
| Gartner, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (393) | | (185,842) | | (187,331) | | (2,770) |
| Grid Dynamics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (104) | | (1,284) | | (1,278) | | (2) |
| HashiCorp., Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,810) | | (106,354) | | (102,680) | | 3,192 |
| Intapp, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,589) | | (55,976) | | (54,503) | | 1,246 |
| Jamf Holding Corp. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (2,262) | | (79,118) | | (41,508) | | 37,389 |
| Lightspeed Commerce, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (10,190) | | (315,616) | | (143,271) | | 171,078 |
| Matterport, Inc. | | USFF -0.256% | | Weekly | | MS | | 01/12/29 | | (86) | | (193) | | (194) | | (5) |
| Model N, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (839) | | (21,641) | | (23,886) | | (2,335) |
| nCino, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,773) | | (52,919) | | (66,275) | | (14,556) |
| Olo, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (10,062) | | (76,839) | | (55,240) | | 21,288 |
| Open Text Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,283) | | (54,211) | | (49,819) | | 3,263 |
| Perficient, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (394) | | (26,379) | | (22,178) | | 4,269 |
| PowerSchool Holdings, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,588) | | (59,609) | | (55,099) | | 4,314 |
| RingCentral, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,115) | | (93,604) | | (108,215) | | (15,255) |
| SentinelOne, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,880) | | (156,544) | | (160,373) | | (4,458) |
| Smartsheet, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (995) | | (39,780) | | (38,308) | | 1,311 |
| Snowflake, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,803) | | (487,228) | | (452,965) | | 31,828 |
| Sprinklr, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,860) | | (91,924) | | (84,172) | | 7,418 |
| Sprout Social, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (466) | | (26,740) | | (27,825) | | (1,195) |
| Squarespace, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,762) | | (60,261) | | (64,207) | | (4,190) |
| Unity Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,153) | | (66,975) | | (57,485) | | 9,922 |
| Workiva, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,783) | | (157,425) | | (151,198) | | 5,594 |
| Zscaler, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,279) | | (460,403) | | (439,004) | | 19,553 |
| | | | | | | | | | | (160,371) | | (6,018,821) | | (5,614,746) | | 367,629 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| ADTRAN Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,717) | | $ (110,627) | | $ (31,100) | | $ 83,544 |
| Advanced Energy Industries, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,553) | | (174,871) | | (158,375) | | 15,538 |
| Arista Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (58) | | (17,539) | | (16,819) | | 1,406 |
| Avnet, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,243) | | (104,775) | | (111,208) | | (9,393) |
| Belden, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,274) | | (112,584) | | (117,985) | | (6,071) |
| Benchmark Electronics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,000) | | (26,616) | | (30,010) | | (4,957) |
| Calix, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,770) | | (170,272) | | (125,013) | | 44,763 |
| Celestica, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,865) | | (132,347) | | (173,693) | | (45,476) |
| Cognex Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,197) | | (370,941) | | (390,137) | | (20,941) |
| Coherent Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,853) | | (92,376) | | (112,329) | | (25,141) |
| Harmonic, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (14,374) | | (165,999) | | (193,187) | | (28,548) |
| Infinera Corp. | | USFF -0.580% | | Weekly | | MS | | 01/12/29 | | (2,627) | | (13,054) | | (15,841) | | (2,841) |
| IonQ, Inc. | | USFF -6.830% | | Weekly | | MS | | 01/12/29 | | (7,247) | | (70,596) | | (72,398) | | (2,087) |
| Juniper Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,174) | | (117,718) | | (117,628) | | (1,303) |
| Lumentum Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,020) | | (121,121) | | (95,647) | | 24,986 |
| Novanta, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (513) | | (85,075) | | (89,657) | | (5,064) |
| OSI Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (24) | | (3,379) | | (3,428) | | (65) |
| Sanmina Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,674) | | (87,914) | | (104,089) | | (17,649) |
| Teledyne Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (225) | | (98,913) | | (96,597) | | 1,961 |
| TTM Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (19) | | (299) | | (297) | | (12) |
| Ubiquiti, Inc. | | USFF -0.580% | | Weekly | | MS | | 01/07/27 | | (575) | | (156,147) | | (66,614) | | 87,514 |
| Viasat, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (5,894) | | (172,231) | | (106,622) | | 64,916 |
| Viavi Solutions, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (10,141) | | (103,710) | | (92,182) | | 11,063 |
| Vishay Intertechnology, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,211) | | (95,075) | | (95,505) | | (1,170) |
| Zebra Technologies Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,999) | | (504,126) | | (602,579) | | (104,717) |
| | | | | | | | | | | (85,247) | | (3,108,305) | | (3,018,940) | | 60,256 |
| Telecommunication Services | | | | | | | | | | | | | | |
| Cogent Communications Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,437) | | (300,162) | | (289,869) | | (1,911) |
| Frontier Communications Parent, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (4,726) | | (134,565) | | (115,787) | | 18,593 |
| Globalstar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (24,544) | | (40,245) | | (36,080) | | 4,001 |
| Gogo, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,827) | | (30,599) | | (16,041) | | 14,907 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Telecommunication Services —
(continued) | | | | | | | | | | | | | | |
| Rogers Communications, Inc., Class B (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,745) | | $ (75,132) | | $ (71,545) | | $ 1,875 |
| Shenandoah Telecommunications Co. | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (1,288) | | (39,238) | | (22,373) | | 9,559 |
| United States Cellular Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (184) | | (6,601) | | (6,716) | | (144) |
| | | | | | | | | | | (38,751) | | (626,542) | | (558,411) | | 46,880 |
| Transportation | | | | | | | | | | | | | | |
| Air Transport Services Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 08/29/25 | | (6,882) | | (146,756) | | (94,696) | | 51,469 |
| Alaska Air Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (889) | | (42,717) | | (38,218) | | 4,807 |
| Allegiant Travel Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,283) | | (96,483) | | (96,494) | | (791) |
| Canadian Pacific Kansas City Ltd. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (534) | | (44,847) | | (47,083) | | (3,119) |
| Covenant Logistics Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1) | | (46) | | (46) | | (3) |
| Expeditors International of Washington, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (728) | | (87,616) | | (88,503) | | (1,707) |
| Frontier Group Holdings, Inc. | | USFF -0.580% | | Weekly | | MS | | 07/11/28 | | (3,987) | | (19,182) | | (32,335) | | (14,430) |
| Genco Shipping & Trading Ltd. (Marshall Islands) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,474) | | (29,765) | | (29,966) | | (616) |
| Golden Ocean Group Ltd. (Bermuda) | | USFF -0.980% | | Weekly | | MS | | 07/11/28 | | (3,715) | | (31,085) | | (48,146) | | (20,207) |
| Hawaiian Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,371) | | (33,221) | | (31,605) | | 1,480 |
| JB Hunt Transport Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | (208) | | (41,952) | | (41,444) | | 125 |
| JetBlue Airways Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,667) | | (57,927) | | (86,569) | | (30,845) |
| Joby Aviation, Inc. | | USFF -1.130% | | Weekly | | MS | | 01/12/29 | | (86) | | (460) | | (461) | | (6) |
| Knight-Swift Transportation Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (141) | | (7,560) | | (7,758) | | (231) |
| Matson, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (626) | | (59,779) | | (70,362) | | (11,129) |
| Norfolk Southern Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (306) | | (77,357) | | (77,990) | | (1,107) |
| RXO, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,498) | | (52,510) | | (54,631) | | (2,334) |
| Ryder System, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,490) | | (168,984) | | (179,083) | | (10,848) |
| Schneider National, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,672) | | (143,105) | | (128,414) | | 13,319 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Transportation — (continued) | | | | | | | | | | | | | | |
| Southwest Airlines Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,278) | | $ (48,014) | | $ (37,305) | | $ 10,337 |
| Sun Country Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,772) | | (53,530) | | (41,829) | | 11,455 |
| TFI International, Inc. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (461) | | (62,622) | | (73,511) | | (11,847) |
| United Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (746) | | (28,963) | | (35,718) | | (7,321) |
| United Parcel Service, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,243) | | (348,545) | | (333,377) | | 20,431 |
| Universal Logistics Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3) | | (108) | | (111) | | (6) |
| Werner Enterprises, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,030) | | (96,595) | | (79,414) | | 15,977 |
| | | | | | | | | | | (54,091) | | (1,779,729) | | (1,755,069) | | 12,853 |
| Utilities | | | | | | | | | | | | | | |
| AES Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,444) | | (219,442) | | (241,051) | | (23,120) |
| Algonquin Power & Utilities Corp. (Canada) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (28,187) | | (190,751) | | (178,142) | | 4,915 |
| Alliant Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,624) | | (130,384) | | (132,250) | | (3,477) |
| Altus Power, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,233) | | (30,486) | | (25,014) | | 5,347 |
| Ameren Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,381) | | (312,592) | | (324,019) | | (16,939) |
| American States Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (408) | | (29,268) | | (29,474) | | (326) |
| Avista Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (1,011) | | (44,548) | | (35,405) | | 6,948 |
| California Water Service Group | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,871) | | (99,735) | | (86,964) | | 10,973 |
| Chesapeake Utilities Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (551) | | (56,884) | | (59,122) | | (2,680) |
| Clearway Energy, Inc., Class C | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,295) | | (49,979) | | (52,900) | | (3,304) |
| Dominion Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,250) | | (154,569) | | (159,868) | | (8,008) |
| Edison International | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (355) | | (23,148) | | (25,109) | | (2,334) |
| Entergy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (693) | | (69,955) | | (73,236) | | (3,887) |
| Evergy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,761) | | (270,136) | | (254,142) | | 6,519 |
| Exelon Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,129) | | (43,021) | | (42,417) | | (765) |
| FirstEnergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,687) | | (70,447) | | (65,152) | | 5,409 |
| IDACORP, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,253) | | (212,605) | | (209,281) | | 457 |
| MGE Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (448) | | (34,716) | | (35,267) | | (692) |
| Middlesex Water Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (552) | | (38,869) | | (28,980) | | 9,374 |
| National Fuel Gas Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,888) | | (144,991) | | (155,143) | | (12,824) |
| NextEra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (932) | | (54,921) | | (59,564) | | (5,345) |
| NiSource, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,488) | | (147,815) | | (151,798) | | (8,949) |
| Northwest Natural Holding Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,298) | | (65,223) | | (48,312) | | 12,742 |
The accompanying notes are an integral part of the financial statements.
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Northwestern Energy Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (1,230) | | $ (73,811) | | $ (62,644) | | $ 4,776 |
| Ormat Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,286) | | (183,615) | | (151,310) | | 30,676 |
| Pinnacle West Capital Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,976) | | (144,448) | | (147,666) | | (6,512) |
| PNM Resources, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,066) | | (156,453) | | (153,044) | | 1,791 |
| Portland General Electric Co. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,468) | | (240,200) | | (229,656) | | 3,288 |
| PPL Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,348) | | (143,160) | | (147,230) | | (6,214) |
| Sempra | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,273) | | (169,567) | | (163,270) | | 1,504 |
| SJW Group | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (233) | | (13,168) | | (13,185) | | (73) |
| Southern Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,349) | | (93,193) | | (96,777) | | (4,560) |
| Sunnova Energy International, Inc. | | USFF -0.730% | | Weekly | | MS | | 07/11/28 | | (9,803) | | (107,432) | | (60,092) | | 46,906 |
| | | | | | | | | | | (119,771) | | (3,819,532) | | (3,697,484) | | 41,616 |
|
|
| Total Reference Entity — Short | | | | | | (75,347,157) | | (73,312,481) | | 1,207,276 |
| Net Value of Reference Entity | | | | | | $(57,838,938) | | $(53,453,848) | | $5,201,811 |
| * | Includes $816,721 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| MS | Morgan Stanley |
| USFF | U.S. Fed Funds |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 50.3% |
| Automobiles & Components — 0.4% |
| BorgWarner, Inc.(a) | 21,615 | | $ 750,905 |
| General Motors Co.(a) | 39,696 | | 1,800,214 |
| | | | 2,551,119 |
| Banks — 0.7% |
| Bank of America Corp.(a) | 19,333 | | 733,107 |
| Citigroup, Inc. | 4,932 | | 311,900 |
| Citizens Financial Group, Inc. | 1,366 | | 49,572 |
| Comerica, Inc. | 522 | | 28,705 |
| JPMorgan Chase & Co.(a) | 12,340 | | 2,471,702 |
| PNC Financial Services Group, Inc. (The)(a) | 927 | | 149,803 |
| Truist Financial Corp. | 5,229 | | 203,827 |
| US Bancorp | 6,007 | | 268,513 |
| Wells Fargo & Co. | 11,620 | | 673,495 |
| | | | 4,890,624 |
| Capital Goods — 5.7% |
| A. O. Smith Corp.(a) | 5,025 | | 449,537 |
| AMETEK, Inc. | 606 | | 110,837 |
| Builders FirstSource, Inc.* | 2,095 | | 436,912 |
| Caterpillar, Inc.(a) | 2,475 | | 906,914 |
| Cummins, Inc. | 2,348 | | 691,838 |
| Deere & Co. | 128 | | 52,575 |
| Eaton Corp. PLC (Ireland) | 4,343 | | 1,357,969 |
| Emerson Electric Co.(a) | 5,850 | | 663,507 |
| Fortive Corp.(a) | 2,618 | | 225,200 |
| General Dynamics Corp.(a) | 7,534 | | 2,128,280 |
| General Electric Co.(a) | 7,319 | | 1,284,704 |
| Honeywell International, Inc.(a) | 9,428 | | 1,935,097 |
| Howmet Aerospace, Inc.(a) | 16,961 | | 1,160,641 |
| Huntington Ingalls Industries, Inc.(a) | 3,696 | | 1,077,273 |
| Illinois Tool Works, Inc.(a) | 5,334 | | 1,431,272 |
| Ingersoll Rand, Inc.(a) | 21,851 | | 2,074,753 |
| Johnson Controls International PLC (Ireland) | 13,172 | | 860,395 |
| Lockheed Martin Corp.(a) | 5,258 | | 2,391,707 |
| Masco Corp.(a) | 24,386 | | 1,923,568 |
| Northrop Grumman Corp. | 574 | | 274,751 |
| Otis Worldwide Corp.(a) | 14,978 | | 1,486,866 |
| PACCAR, Inc.(a) | 6,726 | | 833,284 |
| Parker-Hannifin Corp.(a) | 5,842 | | 3,246,925 |
| Pentair PLC (Ireland) | 2,763 | | 236,071 |
| Quanta Services, Inc. | 1,569 | | 407,626 |
| Snap-on, Inc.(a) | 6,433 | | 1,905,583 |
| Stanley Black & Decker, Inc.(a) | 21,213 | | 2,077,389 |
| Textron, Inc.(a) | 30,242 | | 2,901,115 |
| Trane Technologies PLC (Ireland) | 3,559 | | 1,068,412 |
| TransDigm Group, Inc.(a) | 974 | | 1,199,578 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| United Rentals, Inc.(a) | 3,160 | | $ 2,278,708 |
| WW Grainger, Inc.(a) | 1,006 | | 1,023,404 |
| | | | 40,102,691 |
| Commercial & Professional Services — 1.6% |
| Automatic Data Processing, Inc.(a) | 2,812 | | 702,269 |
| Broadridge Financial Solutions, Inc. | 690 | | 141,353 |
| Copart, Inc.(a)* | 5,074 | | 293,886 |
| Jacobs Solutions, Inc.(a) | 13,028 | | 2,002,795 |
| Leidos Holdings, Inc.(a) | 20,333 | | 2,665,453 |
| Republic Services, Inc.(a) | 7,323 | | 1,401,915 |
| Robert Half, Inc.(a) | 25,225 | | 1,999,838 |
| Veralto Corp.(a) | 24,774 | | 2,196,463 |
| | | | 11,403,972 |
| Consumer Discretionary Distribution & Retail — 1.5% |
| Amazon.com, Inc.(a)* | 10,090 | | 1,820,034 |
| AutoZone, Inc.(a)* | 119 | | 375,046 |
| Bath & Body Works, Inc. | 10,916 | | 546,018 |
| Best Buy Co., Inc. | 5,843 | | 479,301 |
| CarMax, Inc.(a)* | 837 | | 72,911 |
| eBay, Inc.(a) | 13,428 | | 708,730 |
| Genuine Parts Co.(a) | 6,409 | | 992,947 |
| Home Depot, Inc. (The)(a) | 3,153 | | 1,209,491 |
| LKQ Corp.(a) | 3,557 | | 189,979 |
| Lowe's Cos., Inc.(a) | 4,309 | | 1,097,632 |
| Pool Corp.(a) | 196 | | 79,086 |
| TJX Cos., Inc. (The)(a) | 16,062 | | 1,629,008 |
| Ulta Beauty, Inc.(a)* | 2,402 | | 1,255,958 |
| | | | 10,456,141 |
| Consumer Durables & Apparel — 1.5% |
| Deckers Outdoor Corp.(a)* | 2,185 | | 2,056,653 |
| DR Horton, Inc.(a) | 2,298 | | 378,136 |
| Garmin Ltd. (Switzerland) | 7,539 | | 1,122,331 |
| Lennar Corp., Class A | 678 | | 116,602 |
| Mohawk Industries, Inc.* | 2,845 | | 372,382 |
| PulteGroup, Inc.(a) | 15,765 | | 1,901,574 |
| Ralph Lauren Corp.(a) | 10,085 | | 1,893,560 |
| Tapestry, Inc.(a) | 54,119 | | 2,569,570 |
| | | | 10,410,808 |
| Consumer Services — 2.0% |
| Booking Holdings, Inc.(a) | 598 | | 2,169,472 |
| Caesars Entertainment, Inc.(a)* | 24,999 | | 1,093,456 |
| Expedia Group, Inc.(a)* | 16,043 | | 2,209,923 |
| Marriott International, Inc., Class A(a) | 6,490 | | 1,637,492 |
| McDonald's Corp.(a) | 9,556 | | 2,694,314 |
| MGM Resorts International(a)* | 18,479 | | 872,394 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| Starbucks Corp.(a) | 10,422 | | $ 952,467 |
| Yum! Brands, Inc.(a) | 15,660 | | 2,171,259 |
| | | | 13,800,777 |
| Consumer Staples Distribution & Retail — 0.7% |
| Costco Wholesale Corp.(a) | 1,911 | | 1,400,056 |
| Kroger Co. (The) | 11,961 | | 683,332 |
| Sysco Corp.(a) | 3,559 | | 288,919 |
| Target Corp.(a) | 9,667 | | 1,713,089 |
| Walmart, Inc.(a) | 16,545 | | 995,513 |
| | | | 5,080,909 |
| Energy — 2.5% |
| APA Corp.(a) | 10,330 | | 355,145 |
| Baker Hughes Co.(a) | 57,476 | | 1,925,446 |
| ConocoPhillips (a) | 5,942 | | 756,298 |
| Devon Energy Corp.(a) | 19,853 | | 996,224 |
| EOG Resources, Inc.(a) | 7,298 | | 932,976 |
| Exxon Mobil Corp.(a) | 27,102 | | 3,150,337 |
| Halliburton Co.(a) | 15,914 | | 627,330 |
| Kinder Morgan, Inc.(a) | 51,997 | | 953,625 |
| Marathon Oil Corp.(a) | 84,365 | | 2,390,904 |
| Marathon Petroleum Corp.(a) | 7,214 | | 1,453,621 |
| Occidental Petroleum Corp.(a) | 17,401 | | 1,130,891 |
| Pioneer Natural Resources Co.(a) | 6,864 | | 1,801,800 |
| Valero Energy Corp.(a) | 5,309 | | 906,193 |
| | | | 17,380,790 |
| Equity Real Estate Investment Trusts (REITs) — 1.4% |
| Alexandria Real Estate Equities, Inc.(a) | 1,465 | | 188,853 |
| American Tower Corp. | 492 | | 97,214 |
| AvalonBay Communities, Inc. | 1,110 | | 205,972 |
| Camden Property Trust(a) | 762 | | 74,981 |
| Digital Realty Trust, Inc.(a) | 12,764 | | 1,838,527 |
| Extra Space Storage, Inc.(a) | 7,778 | | 1,143,366 |
| Healthpeak Properties, Inc.(a) | 7,375 | | 138,281 |
| Prologis, Inc. | 2,724 | | 354,719 |
| Realty Income Corp.(a) | 33,644 | | 1,820,140 |
| Simon Property Group, Inc.(a) | 11,497 | | 1,799,166 |
| VICI Properties, Inc.(a) | 40,469 | | 1,205,571 |
| Welltower, Inc.(a) | 12,433 | | 1,161,740 |
| | | | 10,028,530 |
| Financial Services — 2.6% |
| American Express Co. | 723 | | 164,620 |
| Ameriprise Financial, Inc. | 60 | | 26,306 |
| Berkshire Hathaway, Inc., Class B* | 1,089 | | 457,946 |
| BlackRock, Inc. | 378 | | 315,139 |
| Capital One Financial Corp.(a) | 4,055 | | 603,749 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — (Continued) |
| Cboe Global Markets, Inc. | 1,944 | | $ 357,171 |
| Charles Schwab Corp. (The)(a) | 6,151 | | 444,963 |
| CME Group, Inc.(a) | 4,390 | | 945,123 |
| Corpay, Inc.(a)* | 6,838 | | 2,109,797 |
| Fiserv, Inc.(a)* | 7,948 | | 1,270,249 |
| Franklin Resources, Inc.(a) | 29,740 | | 835,991 |
| Goldman Sachs Group, Inc. (The)(a) | 1,754 | | 732,628 |
| Intercontinental Exchange, Inc.(a) | 11,261 | | 1,547,599 |
| Invesco Ltd. (Bermuda) | 1,014 | | 16,822 |
| Mastercard, Inc., Class A(a) | 4,131 | | 1,989,366 |
| Nasdaq, Inc.(a) | 2,438 | | 153,838 |
| Northern Trust Corp. | 278 | | 24,720 |
| PayPal Holdings, Inc.(a)* | 26,205 | | 1,755,473 |
| Raymond James Financial, Inc. | 919 | | 118,018 |
| S&P Global, Inc.(a) | 1,798 | | 764,959 |
| T Rowe Price Group, Inc.(a) | 7,555 | | 921,106 |
| Visa, Inc., Class A(a) | 10,668 | | 2,977,226 |
| | | | 18,532,809 |
| Food, Beverage & Tobacco — 3.2% |
| Altria Group, Inc.(a) | 18,095 | | 789,304 |
| Archer-Daniels-Midland Co.(a) | 6,519 | | 409,458 |
| Campbell Soup Co.(a) | 25,497 | | 1,133,342 |
| Coca-Cola Co. (The)(a) | 56,618 | | 3,463,889 |
| Conagra Brands, Inc.(a) | 35,438 | | 1,050,382 |
| Constellation Brands, Inc., Class A(a) | 5,620 | | 1,527,291 |
| General Mills, Inc.(a) | 21,582 | | 1,510,093 |
| Hershey Co. (The)(a) | 5,630 | | 1,095,035 |
| Hormel Foods Corp.(a) | 43,236 | | 1,508,504 |
| Kellanova (a) | 36,852 | | 2,111,251 |
| Keurig Dr Pepper, Inc.(a) | 55,789 | | 1,711,049 |
| Kraft Heinz Co. (The)(a) | 50,428 | | 1,860,793 |
| Molson Coors Beverage Co., Class B(a) | 9,313 | | 626,299 |
| Mondelez International, Inc., Class A(a) | 35,539 | | 2,487,730 |
| Philip Morris International, Inc.(a) | 11,770 | | 1,078,368 |
| | | | 22,362,788 |
| Health Care Equipment & Services — 3.3% |
| Abbott Laboratories | 3,361 | | 382,011 |
| Baxter International, Inc.(a) | 29,067 | | 1,242,324 |
| Becton Dickinson & Co. | 1,975 | | 488,714 |
| Cardinal Health, Inc. | 6,027 | | 674,421 |
| Cencora, Inc. | 3,110 | | 755,699 |
| Centene Corp.(a)* | 6,364 | | 499,447 |
| Cigna Group (The)(a) | 4,454 | | 1,617,648 |
| CVS Health Corp.(a) | 15,178 | | 1,210,597 |
| DaVita, Inc.(a)* | 10,288 | | 1,420,258 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| DENTSPLY SIRONA, Inc.(a) | 13,047 | | $ 433,030 |
| GE HealthCare Technologies, Inc.(a) | 25,513 | | 2,319,387 |
| HCA Healthcare, Inc.(a) | 4,412 | | 1,471,534 |
| Hologic, Inc.(a)* | 8,259 | | 643,872 |
| McKesson Corp.(a) | 2,925 | | 1,570,286 |
| Medtronic PLC (Ireland) | 24,112 | | 2,101,361 |
| Molina Healthcare, Inc.(a)* | 4,372 | | 1,796,149 |
| Teleflex, Inc.(a) | 9,113 | | 2,061,087 |
| UnitedHealth Group, Inc.(a) | 3,043 | | 1,505,372 |
| Zimmer Biomet Holdings, Inc.(a) | 7,422 | | 979,556 |
| | | | 23,172,753 |
| Household & Personal Products — 1.0% |
| Colgate-Palmolive Co.(a) | 7,280 | | 655,564 |
| Kenvue, Inc.(a) | 111,768 | | 2,398,541 |
| Kimberly-Clark Corp.(a) | 11,384 | | 1,472,520 |
| Procter & Gamble Co. (The)(a) | 16,026 | | 2,600,219 |
| | | | 7,126,844 |
| Insurance — 1.6% |
| Aflac, Inc.(a) | 1,912 | | 164,164 |
| Assurant, Inc.(a) | 1,229 | | 231,347 |
| Brown & Brown, Inc.(a) | 5,574 | | 487,948 |
| Chubb Ltd. (Switzerland) | 3,734 | | 967,591 |
| Cincinnati Financial Corp.(a) | 4,691 | | 582,481 |
| Hartford Financial Services Group, Inc. (The)(a) | 8,381 | | 863,662 |
| Loews Corp.(a) | 21,910 | | 1,715,334 |
| Marsh & McLennan Cos., Inc.(a) | 8,163 | | 1,681,415 |
| MetLife, Inc.(a) | 22,437 | | 1,662,806 |
| Prudential Financial, Inc.(a) | 9,689 | | 1,137,489 |
| Willis Towers Watson PLC (Ireland) | 5,400 | | 1,485,000 |
| | | | 10,979,237 |
| Materials — 2.4% |
| Celanese Corp.(a) | 10,075 | | 1,731,490 |
| CF Industries Holdings, Inc.(a) | 7,388 | | 614,755 |
| Eastman Chemical Co.(a) | 8,586 | | 860,489 |
| Ecolab, Inc.(a) | 512 | | 118,221 |
| International Paper Co.(a) | 23,628 | | 921,965 |
| Linde PLC (Ireland) | 4,526 | | 2,101,512 |
| LyondellBasell Industries NV, Class A (Netherlands) | 13,370 | | 1,367,484 |
| Martin Marietta Materials, Inc.(a) | 1,933 | | 1,186,746 |
| Mosaic Co. (The)(a) | 331 | | 10,744 |
| Nucor Corp.(a) | 5,152 | | 1,019,581 |
| Packaging Corp. of America(a) | 9,386 | | 1,781,275 |
| PPG Industries, Inc.(a) | 10,997 | | 1,593,465 |
| Sherwin-Williams Co. (The)(a) | 3,219 | | 1,118,055 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Steel Dynamics, Inc.(a) | 3,464 | | $ 513,469 |
| Westrock Co.(a) | 42,450 | | 2,099,152 |
| | | | 17,038,403 |
| Media & Entertainment — 2.3% |
| Alphabet, Inc., Class A(a)* | 30,964 | | 4,673,397 |
| Charter Communications, Inc., Class A* | 723 | | 210,125 |
| Comcast Corp., Class A(a) | 17,851 | | 773,841 |
| Electronic Arts, Inc.(a) | 3,392 | | 450,017 |
| Interpublic Group of Cos., Inc. (The)(a) | 25,422 | | 829,520 |
| Meta Platforms, Inc., Class A(a) | 9,469 | | 4,597,957 |
| Netflix, Inc.(a)* | 2,478 | | 1,504,964 |
| News Corp., Class A | 24,679 | | 646,096 |
| Omnicom Group, Inc.(a) | 7,874 | | 761,888 |
| Take-Two Interactive Software, Inc.* | 452 | | 67,117 |
| Walt Disney Co. (The)(a) | 12,694 | | 1,553,238 |
| Warner Bros Discovery, Inc.* | 6,667 | | 58,203 |
| | | | 16,126,363 |
| Pharmaceuticals, Biotechnology & Life Sciences — 3.2% |
| AbbVie, Inc.(a) | 3,649 | | 664,483 |
| Bristol-Myers Squibb Co.(a) | 26,262 | | 1,424,188 |
| Danaher Corp.(a) | 1,951 | | 487,204 |
| Eli Lilly & Co.(a) | 726 | | 564,799 |
| Gilead Sciences, Inc.(a) | 34,977 | | 2,562,065 |
| Illumina, Inc.* | 1,874 | | 257,338 |
| Incyte Corp.(a)* | 31,316 | | 1,784,073 |
| IQVIA Holdings, Inc.(a)* | 5,094 | | 1,288,222 |
| Johnson & Johnson(a) | 27,815 | | 4,400,055 |
| Merck & Co., Inc.(a) | 30,637 | | 4,042,552 |
| Mettler-Toledo International, Inc.(a)* | 846 | | 1,126,271 |
| Thermo Fisher Scientific, Inc.(a) | 1,533 | | 890,995 |
| Vertex Pharmaceuticals, Inc.(a)* | 3,344 | | 1,397,825 |
| Viatris, Inc.(a) | 145,934 | | 1,742,452 |
| | | | 22,632,522 |
| Real Estate Management & Development — 0.2% |
| CBRE Group, Inc., Class A(a)* | 14,996 | | 1,458,211 |
| Semiconductors & Semiconductor Equipment — 4.0% |
| Applied Materials, Inc.(a) | 6,695 | | 1,380,710 |
| Broadcom, Inc.(a) | 1,049 | | 1,390,355 |
| KLA Corp.(a) | 1,484 | | 1,036,678 |
| Lam Research Corp.(a) | 1,725 | | 1,675,958 |
| Microchip Technology, Inc.(a) | 18,459 | | 1,655,957 |
| Micron Technology, Inc. | 2,584 | | 304,628 |
| NVIDIA Corp.(a) | 8,369 | | 7,561,894 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Semiconductors & Semiconductor Equipment — (Continued) |
| NXP Semiconductors NV (Netherlands) | 6,500 | | $ 1,610,505 |
| Qorvo, Inc.(a)* | 24,504 | | 2,813,794 |
| QUALCOMM, Inc.(a) | 27,284 | | 4,619,181 |
| Skyworks Solutions, Inc.(a) | 35,647 | | 3,861,283 |
| | | | 27,910,943 |
| Software & Services — 3.0% |
| Accenture PLC, Class A (Ireland) | 1,271 | | 440,541 |
| Adobe, Inc.(a)* | 1,915 | | 966,309 |
| ANSYS, Inc.* | 104 | | 36,105 |
| Autodesk, Inc.* | 20 | | 5,208 |
| Cadence Design Systems, Inc.* | 824 | | 256,495 |
| Cognizant Technology Solutions Corp., Class A | 484 | | 35,472 |
| EPAM Systems, Inc.* | 80 | | 22,093 |
| Fair Isaac Corp.(a)* | 353 | | 441,112 |
| Gen Digital, Inc.(a) | 102,303 | | 2,291,587 |
| International Business Machines Corp.(a) | 10,028 | | 1,914,947 |
| Microsoft Corp.(a) | 21,493 | | 9,042,535 |
| Oracle Corp.(a) | 1,045 | | 131,262 |
| Roper Technologies, Inc.(a) | 1,813 | | 1,016,803 |
| Salesforce, Inc.(a) | 8,755 | | 2,636,831 |
| ServiceNow, Inc.(a)* | 385 | | 293,524 |
| Synopsys, Inc.(a)* | 553 | | 316,040 |
| VeriSign, Inc.(a)* | 8,695 | | 1,647,790 |
| | | | 21,494,654 |
| Technology Hardware & Equipment — 2.4% |
| Amphenol Corp., Class A | 1,605 | | 185,137 |
| Apple, Inc.(a) | 10,340 | | 1,773,103 |
| CDW Corp. | 580 | | 148,352 |
| Cisco Systems, Inc.(a) | 28,648 | | 1,429,822 |
| F5, Inc.(a)* | 10,276 | | 1,948,227 |
| Hewlett Packard Enterprise Co.(a) | 23,656 | | 419,421 |
| HP, Inc.(a) | 47,357 | | 1,431,128 |
| Jabil, Inc.(a) | 15,889 | | 2,128,331 |
| Keysight Technologies, Inc.(a)* | 14,803 | | 2,314,893 |
| Motorola Solutions, Inc.(a) | 3,818 | | 1,355,314 |
| NetApp, Inc.(a) | 20,532 | | 2,155,244 |
| Seagate Technology Holdings PLC (Ireland) | 7,804 | | 726,162 |
| Super Micro Computer, Inc.(a)* | 999 | | 1,009,020 |
| Teledyne Technologies, Inc.(a)* | 493 | | 211,655 |
| | | | 17,235,809 |
| Telecommunication Services — 0.5% |
| AT&T, Inc.(a) | 46,441 | | 817,361 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Telecommunication Services — (Continued) |
| T-Mobile US, Inc.(a) | 7,419 | | $ 1,210,929 |
| Verizon Communications, Inc.(a) | 35,709 | | 1,498,350 |
| | | | 3,526,640 |
| Transportation — 1.1% |
| American Airlines Group, Inc.(a)* | 77,149 | | 1,184,237 |
| CSX Corp. | 12,523 | | 464,227 |
| Delta Air Lines, Inc.(a) | 56,472 | | 2,703,315 |
| Expeditors International of Washington, Inc. | 114 | | 13,859 |
| FedEx Corp.(a) | 4,080 | | 1,182,139 |
| Norfolk Southern Corp.(a) | 4,148 | | 1,057,201 |
| Old Dominion Freight Line, Inc.(a) | 3,328 | | 729,864 |
| Uber Technologies, Inc.* | 5,364 | | 412,974 |
| United Parcel Service, Inc., Class B | 2,182 | | 324,311 |
| | | | 8,072,127 |
| Utilities — 1.5% |
| Constellation Energy Corp.(a) | 3,103 | | 573,589 |
| Duke Energy Corp.(a) | 39,408 | | 3,811,148 |
| NRG Energy, Inc.(a) | 79,062 | | 5,351,707 |
| PG&E Corp. | 7,734 | | 129,622 |
| Public Service Enterprise Group, Inc.(a) | 10,498 | | 701,056 |
| | | | 10,567,122 |
TOTAL COMMON STOCKS
(Cost $293,490,918) | | | 354,343,586 |
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANY(b) — 43.4% | | |
| Gotham Enhanced 500 ETF | 10,635,300 | | 306,003,106 |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY
(Cost $260,246,134) | | | 306,003,106 |
| EXCHANGE TRADED FUNDS — 0.7% |
| SPDR S&P 500 ETF Trust | 9,527 | | 4,983,288 |
TOTAL EXCHANGE TRADED FUNDS
(Cost $4,855,303) | | | 4,983,288 |
|
| |
TOTAL INVESTMENTS - 94.4%
(Cost $558,592,355) | | | 665,329,980 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.6% | | | 39,300,668 |
| NET ASSETS - 100.0% | | | $ 704,630,648 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| (b) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
| * | Non-income producing. |
| ETF | Exchange-Traded Fund |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between July 29, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.5% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| BorgWarner, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 111,221 | | $ 3,947,862 | | $ 3,863,818 | | $ 66,917 |
| General Motors Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 85,988 | | 2,502,642 | | 3,899,556 | | 1,496,704 |
| | | | | | | | | | | 197,209 | | 6,450,504 | | 7,763,374 | | 1,563,621 |
| Banks | | | | | | | | | | | | | | |
| Bank of America Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 43,862 | | 1,374,445 | | 1,663,247 | | 433,664 |
| Citigroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10,450 | | 592,221 | | 660,858 | | 90,858 |
| Citizens Financial Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,306 | | 66,252 | | 83,685 | | 19,624 |
| Comerica, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 528 | | 26,503 | | 29,035 | | 3,853 |
| JPMorgan Chase & Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 20,630 | | 2,324,575 | | 4,132,189 | | 2,014,189 |
| PNC Financial Services Group, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 2,225 | | 303,911 | | 359,560 | | 105,416 |
| Truist Financial Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 5,303 | | 174,093 | | 206,711 | | 49,779 |
| US Bancorp | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 6,145 | | 214,098 | | 274,682 | | 80,930 |
| Wells Fargo & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 11,855 | | 650,582 | | 687,116 | | 57,000 |
| | | | | | | | | | | 103,304 | | 5,726,680 | | 8,097,083 | | 2,855,313 |
| Capital Goods | | | | | | | | | | | | | | |
| A. O. Smith Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 24,393 | | 1,660,063 | | 2,182,198 | | 611,012 |
| AMETEK, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 6,310 | | 977,643 | | 1,154,099 | | 239,151 |
| Builders FirstSource, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 24,617 | | 4,014,403 | | 5,133,875 | | 1,245,105 |
| Caterpillar, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 12,041 | | 3,022,372 | | 4,412,184 | | 1,544,999 |
| Cummins, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10,470 | | 2,663,490 | | 3,084,986 | | 520,812 |
| Deere & Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 404 | | 152,859 | | 165,939 | | 18,974 |
| Eaton Corp. PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,986 | | 2,132,483 | | 2,809,742 | | 760,990 |
| Emerson Electric Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 8,571 | | 850,486 | | 972,123 | | 175,323 |
| General Dynamics Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 7,567 | | 1,633,275 | | 2,137,602 | | 585,929 |
| General Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 11,325 | | 1,212,943 | | 1,987,877 | | 816,602 |
| Honeywell International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 12,453 | | 2,443,805 | | 2,555,978 | | 200,271 |
| Howmet Aerospace, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 22,390 | | 1,182,195 | | 1,532,148 | | 392,025 |
| Huntington Ingalls Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,277 | | 1,251,998 | | 1,246,617 | | 33,884 |
| Illinois Tool Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,542 | | 1,319,714 | | 1,487,085 | | 264,470 |
| Ingersoll Rand, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 30,865 | | 2,513,191 | | 2,930,632 | | 496,802 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Johnson Controls International PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 12,099 | | $ 612,629 | | $ 790,307 | | $ 205,915 |
| Lockheed Martin Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 6,327 | | 2,761,965 | | 2,877,962 | | 289,356 |
| Masco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 34,415 | | 2,045,600 | | 2,714,655 | | 769,289 |
| Northrop Grumman Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 646 | | 285,725 | | 309,214 | | 43,533 |
| Otis Worldwide Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 17,310 | | 1,461,954 | | 1,718,364 | | 313,684 |
| PACCAR, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 7,846 | | 748,146 | | 972,041 | | 247,407 |
| Parker-Hannifin Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,653 | | 2,732,738 | | 4,253,461 | | 1,638,578 |
| Pentair PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 11,130 | | 647,946 | | 950,947 | | 353,648 |
| Quanta Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,244 | | 536,295 | | 582,991 | | 63,674 |
| Snap-on, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 9,857 | | 2,058,144 | | 2,919,841 | | 1,075,232 |
| Stanley Black & Decker, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 21,656 | | 1,927,607 | | 2,120,772 | | 269,251 |
| Textron, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 40,709 | | 3,022,539 | | 3,905,214 | | 996,317 |
| Trane Technologies PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 4,313 | | 1,090,786 | | 1,294,763 | | 249,135 |
| TransDigm Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,240 | | 885,051 | | 1,527,184 | | 714,620 |
| United Rentals, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,667 | | 2,364,588 | | 2,644,310 | | 359,261 |
| WW Grainger, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 1,611 | | 1,115,388 | | 1,638,870 | | 628,855 |
| | | | | | | | | | | 372,934 | | 51,328,021 | | 65,013,981 | | 16,124,104 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| Automatic Data Processing, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 17,106 | | 3,905,780 | | 4,272,052 | | 541,845 |
| Broadridge Financial Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 550 | | 103,556 | | 112,673 | | 13,841 |
| Copart, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 14,890 | | 565,637 | | 862,429 | | 363,055 |
| Jacobs Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 26,382 | | 3,369,518 | | 4,055,705 | | 793,675 |
| Leidos Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 33,235 | | 3,477,483 | | 4,356,776 | | 1,012,233 |
| Republic Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,489 | | 1,088,303 | | 1,433,694 | | 390,599 |
| Robert Half, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 28,065 | | 2,103,931 | | 2,224,993 | | 232,846 |
| Veralto Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 34,590 | | 2,518,387 | | 3,066,749 | | 627,221 |
| | | | | | | | | | | 162,307 | | 17,132,595 | | 20,385,071 | | 3,975,315 |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Amazon.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 91,449 | | 10,669,500 | | 16,495,571 | | 6,181,712 |
| AutoZone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 625 | | 1,633,098 | | 1,969,781 | | 388,066 |
| Bath & Body Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 57,263 | | 2,624,332 | | 2,864,295 | | 326,002 |
| Best Buy Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 15,561 | | 1,094,667 | | 1,276,469 | | 270,869 |
| CarMax, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 496 | | 30,244 | | 43,207 | | 14,029 |
| eBay, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 30,544 | | 1,340,016 | | 1,612,112 | | 359,183 |
| Genuine Parts Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 8,967 | | 1,314,561 | | 1,389,257 | | 124,047 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail — (continued) | | | | | | | | | | | | | | |
| Home Depot, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 9,016 | | $ 2,931,623 | | $ 3,458,538 | | $ 651,321 |
| LKQ Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,092 | | 405,961 | | 485,604 | | 103,286 |
| Lowe's Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 5,781 | | 1,085,237 | | 1,472,594 | | 474,281 |
| Pool Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 201 | | 63,309 | | 81,104 | | 19,894 |
| TJX Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 25,072 | | 2,128,197 | | 2,542,802 | | 507,785 |
| Ulta Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,452 | | 1,200,832 | | 1,282,102 | | 118,935 |
| | | | | | | | | | | 256,519 | | 26,521,577 | | 34,973,436 | | 9,539,410 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Deckers Outdoor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 3,865 | | 3,512,250 | | 3,637,970 | | 235,653 |
| DR Horton, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 4,533 | | 517,606 | | 745,905 | | 252,705 |
| Garmin Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,208 | | 882,400 | | 1,221,925 | | 383,767 |
| Lennar Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 1,593 | | 146,051 | | 273,964 | | 139,228 |
| Mohawk Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 16,509 | | 1,524,116 | | 2,160,863 | | 684,520 |
| PulteGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 19,791 | | 1,363,516 | | 2,387,190 | | 1,079,281 |
| Ralph Lauren Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 14,595 | | 1,741,336 | | 2,740,357 | | 1,074,610 |
| Tapestry, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 66,785 | | 1,885,442 | | 3,170,952 | | 1,398,194 |
| | | | | | | | | | | 135,879 | | 11,572,717 | | 16,339,126 | | 5,247,958 |
| Consumer Services | | | | | | | | | | | | | | |
| Booking Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,667 | | 4,772,862 | | 6,047,676 | | 1,479,647 |
| Caesars Entertainment, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 81,080 | | 3,476,485 | | 3,546,439 | | 178,570 |
| Expedia Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 33,537 | | 4,798,917 | | 4,619,722 | | (29,049) |
| Marriott International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 7,286 | | 1,324,149 | | 1,838,331 | | 595,980 |
| McDonald's Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 11,754 | | 3,048,996 | | 3,314,040 | | 492,692 |
| MGM Resorts International | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 34,732 | | 1,235,122 | | 1,639,698 | | 448,361 |
| Starbucks Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 14,137 | | 1,307,478 | | 1,291,980 | | 49,030 |
| Yum! Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 18,317 | | 2,265,482 | | 2,539,652 | | 410,029 |
| | | | | | | | | | | 202,510 | | 22,229,491 | | 24,837,538 | | 3,625,260 |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Costco Wholesale Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,059 | | 1,772,929 | | 2,241,115 | | 564,291 |
| Kroger Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 14,935 | | 702,275 | | 853,237 | | 192,188 |
| Sysco Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,628 | | 239,919 | | 294,521 | | 64,929 |
| Target Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 12,563 | | 1,987,245 | | 2,226,289 | | 305,126 |
| Walmart, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 18,300 | | 920,652 | | 1,101,111 | | 359,102 |
| | | | | | | | | | | 52,485 | | 5,623,020 | | 6,716,273 | | 1,485,636 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Energy | | | | | | | | | | | | | | |
| APA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 114,226 | | $ 3,372,599 | | $ 3,927,090 | | $ 768,820 |
| Baker Hughes Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 53,144 | | 1,576,911 | | 1,780,324 | | 275,530 |
| ConocoPhillips | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 13,408 | | 1,526,270 | | 1,706,570 | | 275,107 |
| Devon Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 81,419 | | 3,529,928 | | 4,085,605 | | 716,505 |
| EOG Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 12,170 | | 1,348,275 | | 1,555,813 | | 405,114 |
| Exxon Mobil Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 30,530 | | 2,976,189 | | 3,548,807 | | 771,865 |
| Halliburton Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 29,060 | | 869,060 | | 1,145,545 | | 395,582 |
| Kinder Morgan, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 66,207 | | 1,066,835 | | 1,214,236 | | 196,000 |
| Marathon Oil Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 86,070 | | 2,240,403 | | 2,439,224 | | 268,988 |
| Marathon Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 8,988 | | 1,301,882 | | 1,811,082 | | 606,140 |
| Occidental Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 18,217 | | 1,086,482 | | 1,183,923 | | 139,410 |
| Pioneer Natural Resources Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,458 | | 1,860,147 | | 2,220,225 | | 462,158 |
| SPDR S&P 500 ETF Trust | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 22,827 | | 11,415,737 | | 11,940,119 | | 911,512 |
| Valero Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 6,922 | | 879,256 | | 1,181,516 | | 361,554 |
| | | | | | | | | | | 551,646 | | 35,049,974 | | 39,740,079 | | 6,554,285 |
Equity Real Estate Investment
Trusts (REITs) | | | | | | | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 9,695 | | 918,828 | | 1,249,782 | | 392,034 |
| American Tower Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,658 | | 313,475 | | 327,604 | | 24,051 |
| AvalonBay Communities, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 8,396 | | 1,431,522 | | 1,557,962 | | 257,484 |
| Camden Property Trust | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 14,891 | | 1,271,619 | | 1,465,274 | | 263,762 |
| Digital Realty Trust, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 21,846 | | 2,605,167 | | 3,146,698 | | 690,453 |
| Extra Space Storage, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 10,407 | | 1,185,515 | | 1,529,829 | | 417,186 |
| Healthpeak Properties, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 23,390 | | 385,854 | | 438,563 | | 64,894 |
| Prologis, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 4,760 | | 527,379 | | 619,847 | | 122,823 |
| Realty Income Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 47,463 | | 2,525,179 | | 2,567,748 | | 122,121 |
| Simon Property Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 13,594 | | 1,848,552 | | 2,127,325 | | 382,019 |
| VICI Properties, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 42,153 | | 1,253,278 | | 1,255,738 | | 59,526 |
| Welltower, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 14,161 | | 1,215,437 | | 1,323,204 | | 145,509 |
| | | | | | | | | | | 212,414 | | 15,481,805 | | 17,609,574 | | 2,941,862 |
| Financial Services | | | | | | | | | | | | | | |
| American Express Co. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,141 | | 736,905 | | 1,170,554 | | 472,755 |
| Ameriprise Financial, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 354 | | 145,006 | | 155,208 | | 14,913 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Financial Services — (continued) | | | | | | | | | | | | | | |
| Berkshire Hathaway, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 16,449 | | $ 3,639,018 | | $ 6,917,133 | | $ 3,392,012 |
| BlackRock, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 2,388 | | 1,389,531 | | 1,990,876 | | 809,144 |
| Blackstone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,421 | | 688,113 | | 712,157 | | 45,679 |
| Capital One Financial Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 6,723 | | 619,342 | | 1,000,987 | | 423,737 |
| Cboe Global Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 17,292 | | 3,065,788 | | 3,177,059 | | 207,245 |
| Charles Schwab Corp. (The) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 7,030 | | 454,955 | | 508,550 | | 79,724 |
| CME Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 8,441 | | 1,765,067 | | 1,817,263 | | 163,453 |
| Corpay, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 15,731 | | 3,510,540 | | 4,853,643 | | 1,457,734 |
| Fiserv, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 34,509 | | 4,237,021 | | 5,515,228 | | 1,421,358 |
| Franklin Resources, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 79,070 | | 2,205,064 | | 2,222,658 | | 278,699 |
| Goldman Sachs Group, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,513 | | 873,664 | | 1,049,655 | | 236,214 |
| Intercontinental Exchange, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 18,664 | | 2,227,949 | | 2,564,994 | | 444,506 |
| Invesco Ltd. (Bermuda) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 2,336 | | 32,543 | | 38,754 | | 12,747 |
| Mastercard, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 5,252 | | 2,032,000 | | 2,529,206 | | 584,997 |
| Nasdaq, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 5,587 | | 308,395 | | 352,540 | | 110,220 |
| Northern Trust Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,331 | | 93,672 | | 118,353 | | 29,727 |
| PayPal Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 79,134 | | 4,125,674 | | 5,301,187 | | 1,304,624 |
| Raymond James Financial, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 918 | | 93,675 | | 117,890 | | 29,802 |
| S&P Global, Inc. | | USFF +0.250% | | Weekly | | MS | | 11/03/25 | | 2,000 | | 774,117 | | 850,900 | | 103,010 |
| T Rowe Price Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 13,275 | | 1,444,407 | | 1,618,488 | | 416,884 |
| Visa, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 15,002 | | 3,604,911 | | 4,186,758 | | 744,624 |
| | | | | | | | | | | 344,561 | | 38,067,357 | | 48,770,041 | | 12,783,808 |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Altria Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 29,575 | | 1,250,635 | | 1,290,062 | | 286,507 |
| Archer-Daniels-Midland Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 53,687 | | 3,312,188 | | 3,372,080 | | 212,627 |
| Campbell Soup Co. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 43,549 | | 1,847,017 | | 1,935,753 | | 171,399 |
| Coca-Cola Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 56,057 | | 3,212,844 | | 3,429,567 | | 488,307 |
| Conagra Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 99,305 | | 2,848,426 | | 2,943,400 | | 207,324 |
| Constellation Brands, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,949 | | 1,416,768 | | 1,616,700 | | 254,607 |
| General Mills, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 29,987 | | 1,934,276 | | 2,098,190 | | 288,870 |
| Hershey Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 7,546 | | 1,432,480 | | 1,467,697 | | 89,803 |
| Hormel Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 51,934 | | 1,584,350 | | 1,811,977 | | 277,284 |
| Kellanova | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 45,393 | | 2,683,760 | | 2,600,565 | | 79,106 |
| Keurig Dr Pepper, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 75,222 | | 2,332,388 | | 2,307,059 | | 69,361 |
| Kraft Heinz Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 66,061 | | 2,302,271 | | 2,437,651 | | 366,635 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Molson Coors Beverage Co., Class B | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 10,167 | | $ 593,490 | | $ 683,731 | | $ 124,135 |
| Mondelez International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 37,320 | | 2,587,519 | | 2,612,400 | | 164,844 |
| Philip Morris International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 13,455 | | 1,247,092 | | 1,232,747 | | 103,220 |
| | | | | | | | | | | 625,207 | | 30,585,504 | | 31,839,579 | | 3,184,029 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Abbott Laboratories | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 10,727 | | 1,059,641 | | 1,219,231 | | 260,578 |
| Baxter International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 96,715 | | 3,181,791 | | 4,133,599 | | 1,103,051 |
| Becton Dickinson & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 6,107 | | 1,456,676 | | 1,511,177 | | 110,013 |
| Cardinal Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 36,152 | | 3,351,520 | | 4,045,409 | | 864,338 |
| Cencora, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 11,924 | | 2,145,622 | | 2,897,413 | | 842,503 |
| Centene Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 26,295 | | 1,758,238 | | 2,063,632 | | 361,241 |
| Cigna Group (The) | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 8,323 | | 2,420,104 | | 3,022,830 | | 730,100 |
| CVS Health Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 26,179 | | 1,807,642 | | 2,088,037 | | 439,290 |
| DaVita, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 24,520 | | 2,170,829 | | 3,384,986 | | 1,282,149 |
| DENTSPLY SIRONA, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 16,327 | | 532,542 | | 541,893 | | 39,185 |
| GE HealthCare Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 26,553 | | 1,809,262 | | 2,413,933 | | 740,149 |
| HCA Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 9,284 | | 2,365,126 | | 3,096,493 | | 824,657 |
| Hologic, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 14,903 | | 1,024,156 | | 1,161,838 | | 176,560 |
| McKesson Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 3,358 | | 1,596,422 | | 1,802,742 | | 262,632 |
| Medtronic PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 31,771 | | 2,660,433 | | 2,768,843 | | 213,803 |
| Molina Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,110 | | 1,671,763 | | 2,099,341 | | 492,375 |
| Teleflex, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,547 | | 2,279,147 | | 2,385,415 | | 179,747 |
| UnitedHealth Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 3,750 | | 1,854,547 | | 1,855,125 | | 89,651 |
| Zimmer Biomet Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 13,255 | | 1,468,961 | | 1,749,395 | | 330,017 |
| | | | | | | | | | | 381,800 | | 36,614,422 | | 44,241,332 | | 9,342,039 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Colgate-Palmolive Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 32,812 | | 2,474,926 | | 2,954,721 | | 578,822 |
| Kenvue, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 151,219 | | 3,110,763 | | 3,245,160 | | 231,777 |
| Kimberly-Clark Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 17,587 | | 2,158,382 | | 2,274,878 | | 261,065 |
| Procter & Gamble Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 21,663 | | 3,113,698 | | 3,514,822 | | 595,648 |
| | | | | | | | | | | 223,281 | | 10,857,769 | | 11,989,581 | | 1,667,312 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Insurance | | | | | | | | | | | | | | |
| Aflac, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 13,683 | | $ 958,060 | | $ 1,174,822 | | $ 301,959 |
| Assurant, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 7,707 | | 1,065,138 | | 1,450,766 | | 455,625 |
| Brown & Brown, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 31,925 | | 2,188,403 | | 2,794,715 | | 685,983 |
| Chubb Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 10,033 | | 2,332,884 | | 2,599,851 | | 360,564 |
| Cincinnati Financial Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 13,237 | | 1,333,645 | | 1,643,638 | | 377,133 |
| Hartford Financial Services Group, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 24,565 | | 2,415,339 | | 2,531,423 | | 191,908 |
| Loews Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 30,754 | | 1,880,667 | | 2,407,731 | | 613,208 |
| Marsh & McLennan Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 13,880 | | 2,613,419 | | 2,859,002 | | 337,151 |
| MetLife, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 27,266 | | 1,883,287 | | 2,020,683 | | 203,138 |
| Prudential Financial, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 10,996 | | 1,185,265 | | 1,290,930 | | 142,873 |
| Willis Towers Watson PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 8,069 | | 1,986,824 | | 2,218,975 | | 305,824 |
| | | | | | | | | | | 192,115 | | 19,842,931 | | 22,992,536 | | 3,975,366 |
| Materials | | | | | | | | | | | | | | |
| Celanese Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 28,545 | | 4,320,932 | | 4,905,744 | | 722,521 |
| CF Industries Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 33,422 | | 2,247,673 | | 2,781,045 | | 688,640 |
| Eastman Chemical Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 21,976 | | 1,787,481 | | 2,202,435 | | 499,966 |
| Ecolab, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,351 | | 715,732 | | 1,004,646 | | 316,373 |
| International Paper Co. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 49,882 | | 1,623,247 | | 1,946,396 | | 520,430 |
| Linde PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 5,751 | | 2,114,302 | | 2,670,304 | | 622,228 |
| LyondellBasell Industries NV, Class A (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 19,297 | | 1,788,822 | | 1,973,697 | | 264,983 |
| Martin Marietta Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,087 | | 1,026,196 | | 1,281,293 | | 288,846 |
| Mosaic Co. (The) | | USFF +0.250% | | Weekly | | MS | | 11/03/25 | | 909 | | 28,266 | | 29,506 | | 3,567 |
| Nucor Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 6,180 | | 965,836 | | 1,223,022 | | 306,765 |
| Packaging Corp. of America | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 11,061 | | 1,576,213 | | 2,099,157 | | 636,049 |
| PPG Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 16,120 | | 2,176,846 | | 2,335,788 | | 242,355 |
| Sherwin-Williams Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,784 | | 1,570,088 | | 2,008,957 | | 509,551 |
| Steel Dynamics, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 3,836 | | 439,104 | | 568,610 | | 144,437 |
| Westrock Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 43,309 | | 1,935,766 | | 2,141,630 | | 263,747 |
| | | | | | | | | | | 252,510 | | 24,316,504 | | 29,172,230 | | 6,030,458 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Alphabet, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 81,514 | | 6,789,463 | | 12,302,908 | | 5,725,804 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Charter Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 2,607 | | $ 749,826 | | $ 757,672 | | $ 31,411 |
| Comcast Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 47,317 | | 1,703,851 | | 2,051,192 | | 476,177 |
| Electronic Arts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 6,825 | | 845,583 | | 905,473 | | 89,049 |
| Interpublic Group of Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 36,168 | | 1,055,002 | | 1,180,162 | | 263,513 |
| Meta Platforms, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 15,576 | | 3,449,956 | | 7,563,394 | | 4,228,312 |
| Netflix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 2,759 | | 1,192,246 | | 1,675,623 | | 526,311 |
| News Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 30,728 | | 684,670 | | 804,459 | | 160,701 |
| Omnicom Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 8,940 | | 684,812 | | 865,034 | | 236,001 |
| Take-Two Interactive Software, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 934 | | 120,860 | | 138,690 | | 21,690 |
| Walt Disney Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 23,780 | | 2,255,767 | | 2,909,721 | | 728,699 |
| Warner Bros Discovery, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 13,047 | | 136,109 | | 113,900 | | (17,881) |
| | | | | | | | | | | 270,195 | | 19,668,145 | | 31,268,228 | | 12,469,787 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbbVie, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 32,070 | | 5,145,100 | | 5,839,947 | | 901,450 |
| Bristol-Myers Squibb Co. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 94,224 | | 4,826,200 | | 5,109,768 | | 455,585 |
| Danaher Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 4,055 | | 828,905 | | 1,012,615 | | 224,489 |
| Eli Lilly & Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,405 | | 956,126 | | 1,093,034 | | 168,379 |
| Gilead Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 47,086 | | 3,505,862 | | 3,449,050 | | 168,888 |
| Illumina, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,874 | | 378,686 | | 394,658 | | 27,932 |
| Incyte Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 57,124 | | 3,095,716 | | 3,254,354 | | 255,548 |
| IQVIA Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7,003 | | 1,591,946 | | 1,770,989 | | 228,936 |
| Johnson & Johnson | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 30,973 | | 4,520,381 | | 4,899,619 | | 887,430 |
| Merck & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 33,169 | | 3,702,908 | | 4,376,650 | | 922,469 |
| Mettler-Toledo International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,124 | | 1,125,273 | | 1,496,370 | | 406,400 |
| Thermo Fisher Scientific, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,894 | | 1,038,811 | | 1,100,812 | | 95,306 |
| Vertex Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 4,017 | | 1,531,076 | | 1,679,146 | | 195,625 |
| Viatris, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 161,145 | | 1,661,509 | | 1,924,071 | | 340,840 |
| | | | | | | | | | | 478,163 | | 33,908,499 | | 37,401,083 | | 5,279,277 |
Real Estate Management &
Development | | | | | | | | | | | | | | |
| CBRE Group, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 31,056 | | 2,869,333 | | 3,019,885 | | 240,384 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Applied Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 17,668 | | $ 2,244,230 | | $ 3,643,672 | | $ 1,520,391 |
| Broadcom, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 5,190 | | 3,956,095 | | 6,878,878 | | 3,153,687 |
| KLA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 3,097 | | 1,392,860 | | 2,163,471 | | 843,909 |
| Lam Research Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 1,912 | | 1,543,307 | | 1,857,642 | | 379,586 |
| Microchip Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 14,916 | | 1,115,922 | | 1,338,114 | | 271,992 |
| Micron Technology, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 6,364 | | 358,297 | | 750,252 | | 410,095 |
| NVIDIA Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 13,079 | | 5,257,169 | | 11,817,661 | | 6,726,559 |
| NXP Semiconductors NV (Netherlands) | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 10,887 | | 2,116,752 | | 2,697,472 | | 680,118 |
| Qorvo, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 25,155 | | 2,825,389 | | 2,888,549 | | 151,617 |
| QUALCOMM, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 32,700 | | 4,215,903 | | 5,536,110 | | 1,516,484 |
| Skyworks Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 40,944 | | 4,078,266 | | 4,435,054 | | 539,679 |
| | | | | | | | | | | 171,912 | | 29,104,190 | | 44,006,875 | | 16,194,117 |
| Software & Services | | | | | | | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 13,219 | | 4,192,309 | | 4,581,838 | | 530,906 |
| Adobe, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 5,651 | | 2,322,432 | | 2,851,495 | | 565,070 |
| ANSYS, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 598 | | 132,378 | | 207,602 | | 79,477 |
| Autodesk, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 84 | | 16,650 | | 21,875 | | 5,867 |
| Cadence Design Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 1,373 | | 323,192 | | 427,387 | | 114,421 |
| Cognizant Technology Solutions Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 3,541 | | 218,099 | | 259,520 | | 61,231 |
| EPAM Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 388 | | 173,883 | | 107,150 | | (61,176) |
| Fair Isaac Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 575 | | 391,406 | | 718,526 | | 344,122 |
| Gen Digital, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 199,758 | | 3,894,817 | | 4,474,579 | | 754,687 |
| International Business Machines Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 14,699 | | 2,308,531 | | 2,806,921 | | 627,760 |
| Microsoft Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 51,168 | | 13,236,016 | | 21,527,401 | | 9,047,054 |
| Oracle Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,919 | | 179,363 | | 241,046 | | 72,536 |
| Roper Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,979 | | 959,860 | | 1,109,902 | | 183,376 |
| Salesforce, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 14,956 | | 3,546,169 | | 4,504,448 | | 1,074,983 |
| ServiceNow, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 521 | | 393,321 | | 397,210 | | 15,886 |
| Synopsys, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 774 | | 370,373 | | 442,341 | | 83,669 |
| VeriSign, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 9,595 | | 1,890,819 | | 1,818,348 | | (13,232) |
| | | | | | | | | | | 320,798 | | 34,549,618 | | 46,497,589 | | 13,486,637 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Amphenol Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 34,063 | | 2,916,997 | | 3,929,167 | | 1,129,440 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| Apple, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 123,682 | | $ 12,242,181 | | $ 21,208,989 | | $ 9,720,705 |
| CDW Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 4,545 | | 872,818 | | 1,162,520 | | 329,584 |
| Cisco Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 111,365 | | 4,960,425 | | 5,558,227 | | 1,071,575 |
| F5, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 17,846 | | 2,897,535 | | 3,383,423 | | 576,601 |
| Hewlett Packard Enterprise Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 38,071 | | 542,484 | | 674,999 | | 171,341 |
| HP, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 82,714 | | 2,172,124 | | 2,499,617 | | 616,810 |
| Jabil, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 23,068 | | 2,964,549 | | 3,089,959 | | 218,219 |
| Keysight Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 17,213 | | 2,589,592 | | 2,691,769 | | 184,364 |
| Motorola Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 4,181 | | 1,341,836 | | 1,484,171 | | 196,884 |
| NetApp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 30,081 | | 2,369,389 | | 3,157,603 | | 893,533 |
| Seagate Technology Holdings PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 7,965 | | 447,278 | | 741,143 | | 330,273 |
| Super Micro Computer, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,103 | | 1,071,077 | | 1,114,063 | | 74,527 |
| Teledyne Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | 735 | | 287,831 | | 315,550 | | 36,839 |
| | | | | | | | | | | 496,632 | | 37,676,116 | | 51,011,200 | | 15,550,695 |
| Telecommunication Services | | | | | | | | | | | | | | |
| AT&T, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 51,438 | | 813,281 | | 905,309 | | 170,714 |
| T-Mobile US, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 9,274 | | 1,303,621 | | 1,513,702 | | 261,389 |
| Verizon Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 38,178 | | 1,436,223 | | 1,601,949 | | 219,781 |
| | | | | | | | | | | 98,890 | | 3,553,125 | | 4,020,960 | | 651,884 |
| Transportation | | | | | | | | | | | | | | |
| American Airlines Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 171,244 | | 2,325,877 | | 2,628,595 | | 384,034 |
| CSX Corp. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 56,911 | | 1,882,628 | | 2,109,691 | | 319,948 |
| Delta Air Lines, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 116,032 | | 4,352,861 | | 5,554,452 | | 1,365,302 |
| Expeditors International of Washington, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 119 | | 12,511 | | 14,467 | | 3,703 |
| FedEx Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 8,650 | | 2,079,419 | | 2,506,251 | | 513,937 |
| Norfolk Southern Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 4,224 | | 815,302 | | 1,076,571 | | 301,618 |
| Old Dominion Freight Line, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 5,592 | | 1,018,980 | | 1,226,382 | | 243,923 |
| Uber Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,463 | | 345,945 | | 420,596 | | 85,588 |
| United Parcel Service, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,798 | | 557,497 | | 564,497 | | 28,495 |
| | | | | | | | | | | 372,033 | | 13,391,020 | | 16,101,502 | | 3,246,548 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities | | | | | | | | | | | | | | |
| Constellation Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 7,629 | | $ 800,022 | | $ 1,410,221 | | $ 645,978 |
| Duke Energy Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 67,202 | | 6,161,319 | | 6,499,105 | | 577,579 |
| NRG Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/29/24 | | 109,222 | | 4,585,653 | | 7,393,237 | | 3,090,946 |
| PG&E Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 9,512 | | 132,924 | | 159,421 | | 30,951 |
| Public Service Enterprise Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 10,810 | | 639,174 | | 721,892 | | 118,390 |
| | | | | | | | | | | 204,375 | | 12,319,092 | | 16,183,876 | | 4,463,844 |
|
|
| Total Reference Entity — Long | | | | | | 544,440,009 | | 679,992,032 | | 162,478,949 |
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Short | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Aptiv PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (26,194) | | $ (2,854,242) | | $ (2,086,352) | | $ 694,529 |
| Ford Motor Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (345,532) | | (4,066,813) | | (4,588,665) | | (771,227) |
| | | | | | | | | | | (371,726) | | (6,921,055) | | (6,675,017) | | (76,698) |
| Banks | | | | | | | | | | | | | | |
| Fifth Third Bancorp | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (10,935) | | (412,596) | | (406,891) | | (27,870) |
| Huntington Bancshares, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (12,205) | | (200,079) | | (170,260) | | 15,084 |
| KeyCorp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (6,548) | | (160,409) | | (103,524) | | 42,870 |
| M&T Bank Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,266) | | (603,637) | | (475,007) | | 88,062 |
| Regions Financial Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (4,532) | | (113,248) | | (95,353) | | 12,925 |
| | | | | | | | | | | (37,486) | | (1,489,969) | | (1,251,035) | | 131,071 |
| Capital Goods | | | | | | | | | | | | | | |
| 3M Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (15,819) | | (1,594,993) | | (1,677,921) | | 120,585 |
| Allegion PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (26,460) | | (3,275,385) | | (3,564,427) | | (398,050) |
| Axon Enterprise, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (19,973) | | (4,293,622) | | (6,249,152) | | (2,097,716) |
| Boeing Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (32,405) | | (6,607,922) | | (6,253,841) | | 178,403 |
| Carrier Global Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (46,275) | | (2,589,994) | | (2,689,966) | | (166,530) |
| Dover Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (10,611) | | (1,678,657) | | (1,880,163) | | (252,813) |
| Fastenal Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (49,232) | | (3,418,888) | | (3,797,756) | | (477,782) |
| Generac Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,548) | | (705,827) | | (195,265) | | 551,029 |
| Hubbell, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,441) | | (527,429) | | (598,087) | | (116,232) |
| IDEX Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,890) | | (4,401,946) | | (4,853,558) | | (581,010) |
| L3Harris Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (15,155) | | (3,282,845) | | (3,229,530) | | (72,671) |
| Nordson Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (12,655) | | (3,179,091) | | (3,474,304) | | (392,431) |
| Rockwell Automation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14,643) | | (3,970,228) | | (4,265,945) | | (411,063) |
| RTX Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,515) | | (564,429) | | (537,878) | | (8,675) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Capital Goods — (continued) | | | | | | | | | | | | | | |
| Westinghouse Air Brake Technologies Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (20,350) | | $ (2,606,768) | | $ (2,964,588) | | $ (431,237) |
| Xylem, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (35,860) | | (4,181,967) | | (4,634,546) | | (583,866) |
| | | | | | | | | | | (327,832) | | (46,879,991) | | (50,866,927) | | (5,140,059) |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| Cintas Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (782) | | (448,042) | | (537,257) | | (221,745) |
| Dayforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (67,430) | | (5,038,435) | | (4,464,540) | | 444,221 |
| Equifax, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (16,599) | | (3,807,565) | | (4,440,564) | | (765,810) |
| Paychex, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (10,458) | | (1,268,088) | | (1,284,242) | | (53,441) |
| Paycom Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (11,774) | | (3,274,365) | | (2,343,144) | | 836,819 |
| Rollins, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (74,998) | | (3,170,836) | | (3,470,157) | | (439,060) |
| Verisk Analytics, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (24,039) | | (5,789,591) | | (5,666,713) | | (38,140) |
| Waste Management, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (19,551) | | (3,292,049) | | (4,167,296) | | (997,573) |
| | | | | | | | | | | (225,631) | | (26,088,971) | | (26,373,913) | | (1,234,729) |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Etsy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (13,576) | | (2,265,522) | | (932,943) | | 1,274,375 |
| O'Reilly Automotive, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,031) | | (2,089,308) | | (2,292,755) | | (258,508) |
| Ross Stores, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (5,119) | | (732,051) | | (751,264) | | (60,896) |
| Tractor Supply Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (9,851) | | (2,444,333) | | (2,578,204) | | (202,491) |
| | | | | | | | | | | (30,577) | | (7,531,214) | | (6,555,166) | | 752,480 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Hasbro, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,018) | | (140,637) | | (114,057) | | 20,115 |
| Lululemon Athletica, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,880) | | (1,830,132) | | (1,515,722) | | 272,032 |
| NIKE, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (24,265) | | (2,422,976) | | (2,280,425) | | 94,624 |
| NVR, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (369) | | (2,616,991) | | (2,988,885) | | (439,148) |
| VF Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (90,217) | | (1,668,654) | | (1,383,929) | | 222,081 |
| | | | | | | | | | | (120,749) | | (8,679,390) | | (8,283,018) | | 169,704 |
| Consumer Services | | | | | | | | | | | | | | |
| Airbnb, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,185) | | (2,637,596) | | (2,999,798) | | (480,734) |
| Carnival Corp. (Panama) | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (122,955) | | (2,259,253) | | (2,009,085) | | 192,125 |
| Chipotle Mexican Grill, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,286) | | (3,105,700) | | (3,738,106) | | (745,123) |
| Darden Restaurants, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (9,956) | | (1,643,167) | | (1,664,145) | | (76,527) |
| Domino's Pizza, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,603) | | (2,510,399) | | (2,784,019) | | (410,087) |
| Hilton Worldwide Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,388) | | (1,691,668) | | (1,789,244) | | (164,910) |
| Las Vegas Sands Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (40,793) | | (1,945,587) | | (2,108,998) | | (219,806) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (217,833) | | $ (4,231,880) | | $ (4,559,245) | | $ (498,586) |
| Royal Caribbean Cruises Ltd. (Liberia) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (29,328) | | (3,551,707) | | (4,076,885) | | (697,551) |
| Wynn Resorts Ltd. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (22,528) | | (2,463,546) | | (2,303,037) | | 50,842 |
| | | | | | | | | | | (476,855) | | (26,040,503) | | (28,032,562) | | (3,050,357) |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Dollar General Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (9,448) | | (1,916,501) | | (1,474,455) | | 377,951 |
| Dollar Tree, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (20,381) | | (3,015,063) | | (2,713,730) | | 221,978 |
| | | | | | | | | | | (29,829) | | (4,931,564) | | (4,188,185) | | 599,929 |
| Energy | | | | | | | | | | | | | | |
| Chevron Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,365) | | (2,913,463) | | (3,054,635) | | (236,596) |
| Coterra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (45,143) | | (1,226,961) | | (1,258,587) | | (91,887) |
| Diamondback Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,763) | | (3,352,694) | | (3,916,434) | | (880,441) |
| EQT Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (149,371) | | (5,297,571) | | (5,537,183) | | (374,380) |
| Hess Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (65,382) | | (9,665,359) | | (9,979,908) | | (656,282) |
| ONEOK, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (34,799) | | (2,347,809) | | (2,789,836) | | (521,939) |
| Phillips 66 | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (3,558) | | (510,222) | | (581,164) | | (93,730) |
| Schlumberger NV (Curacao) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (38,871) | | (2,242,456) | | (2,130,520) | | 24,249 |
| Targa Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (17,888) | | (1,528,981) | | (2,003,277) | | (546,498) |
| Williams Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (65,337) | | (2,259,097) | | (2,546,183) | | (414,973) |
| | | | | | | | | | | (459,477) | | (31,344,613) | | (33,797,727) | | (3,792,477) |
Equity Real Estate Investment
Trusts (REITs) | | | | | | | | | | | | | | |
| Boston Properties, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (21,612) | | (1,424,036) | | (1,411,480) | | (86,570) |
| Crown Castle, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (11,231) | | (1,241,307) | | (1,188,577) | | 7,054 |
| Equinix, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (5,983) | | (4,882,857) | | (4,937,949) | | (278,251) |
| Equity Residential | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (29,283) | | (1,997,558) | | (1,848,050) | | 12,114 |
| Essex Property Trust, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,118) | | (2,503,601) | | (2,721,798) | | (319,639) |
| Federal Realty Investment Trust | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (34,318) | | (3,488,390) | | (3,504,554) | | (145,416) |
| Host Hotels & Resorts, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (36,402) | | (734,854) | | (752,793) | | (62,225) |
| Invitation Homes, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,793) | | (640,535) | | (669,219) | | (52,514) |
| Iron Mountain, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (39,723) | | (2,513,025) | | (3,186,182) | | (763,289) |
| Kimco Realty Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (153,784) | | (3,338,610) | | (3,015,704) | | 206,500 |
| Mid-America Apartment Communities, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (954) | | (146,717) | | (125,527) | | 15,823 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Equity Real Estate Investment
Trusts (REITs) — (continued) | | | | | | | | | | | | | | |
| Public Storage | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8,950) | | $ (2,606,657) | | $ (2,596,037) | | $ (141,138) |
| Regency Centers Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (34,589) | | (2,332,028) | | (2,094,710) | | 47,991 |
| SBA Communications Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,435) | | (2,251,631) | | (2,261,265) | | (79,097) |
| UDR, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (53,810) | | (2,068,771) | | (2,013,032) | | (12,664) |
| Ventas, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (91,838) | | (4,308,391) | | (3,998,627) | | 138,072 |
| Weyerhaeuser Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (24,539) | | (819,801) | | (881,195) | | (99,616) |
| | | | | | | | | | | (587,362) | | (37,298,769) | | (37,206,699) | | (1,612,865) |
| Financial Services | | | | | | | | | | | | | | |
| Bank of New York Mellon Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (6,867) | | (369,964) | | (395,677) | | (49,049) |
| Discover Financial Services | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (945) | | (113,461) | | (123,880) | | (15,745) |
| FactSet Research Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (6,082) | | (2,789,472) | | (2,763,600) | | (57,213) |
| Fidelity National Information Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (98,670) | | (6,813,297) | | (7,319,341) | | (869,291) |
| Global Payments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (32,302) | | (4,782,019) | | (4,317,485) | | 296,578 |
| Jack Henry & Associates, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (40,428) | | (6,479,625) | | (7,023,556) | | (760,026) |
| MarketAxess Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 11/03/25 | | (3,306) | | (851,947) | | (724,841) | | 102,532 |
| Moody's Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,432) | | (1,702,599) | | (1,741,909) | | (85,351) |
| MSCI, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (6,952) | | (4,079,178) | | (3,896,248) | | 30,865 |
| State Street Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (13,127) | | (1,204,700) | | (1,014,980) | | 113,388 |
| Synchrony Financial | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (27,218) | | (1,144,507) | | (1,173,640) | | (96,896) |
| | | | | | | | | | | (240,329) | | (30,330,769) | | (30,495,157) | | (1,390,208) |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Brown-Forman Corp., Class B | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (67,869) | | (4,270,754) | | (3,503,398) | | 616,484 |
| Bunge Global SA (Switzerland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,156) | | (1,862,884) | | (1,861,353) | | (62,684) |
| J M Smucker Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (67,001) | | (8,161,703) | | (8,433,416) | | (480,247) |
| Lamb Weston Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (80,402) | | (8,217,329) | | (8,565,225) | | (645,323) |
| McCormick & Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (17,878) | | (1,736,451) | | (1,373,209) | | 294,865 |
| Monster Beverage Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (76,313) | | (4,265,297) | | (4,523,835) | | (368,226) |
| PepsiCo, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (6,339) | | (1,065,652) | | (1,109,388) | | (78,169) |
| Tyson Foods, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (121,223) | | (6,270,263) | | (7,119,427) | | (1,157,002) |
| | | | | | | | | | | (455,181) | | (35,850,333) | | (36,489,251) | | (1,880,302) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Align Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (796) | | $ (537,389) | | $ (261,024) | | $ 262,651 |
| Boston Scientific Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (41,985) | | (2,686,909) | | (2,875,553) | | (352,884) |
| Cooper Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (33,401) | | (3,092,916) | | (3,388,865) | | (378,902) |
| Dexcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (36,088) | | (4,485,715) | | (5,005,406) | | (656,750) |
| Edwards Lifesciences Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (38,292) | | (3,701,917) | | (3,659,184) | | (52,451) |
| Elevance Health, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,296) | | (2,642,929) | | (2,746,188) | | (234,537) |
| Henry Schein, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (131,639) | | (10,202,610) | | (9,941,377) | | (1,772) |
| Humana, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,065) | | (1,571,744) | | (1,062,697) | | 462,865 |
| IDEXX Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (4,806) | | (2,720,630) | | (2,594,904) | | 55,573 |
| Insulet Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (27,467) | | (6,807,068) | | (4,707,844) | | 1,923,878 |
| Intuitive Surgical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (5,972) | | (2,311,470) | | (2,383,365) | | (138,302) |
| Laboratory Corp. of America Holdings | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (17,460) | | (3,767,343) | | (3,814,312) | | (150,877) |
| Quest Diagnostics, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (23,876) | | (3,329,451) | | (3,178,134) | | 45,074 |
| ResMed, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (560) | | (152,966) | | (110,897) | | 35,557 |
| STERIS PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (20,638) | | (4,550,002) | | (4,639,835) | | (243,492) |
| Stryker Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,567) | | (2,468,719) | | (2,708,002) | | (361,264) |
| Universal Health Services, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (17,776) | | (2,640,775) | | (3,243,409) | | (680,533) |
| | | | | | | | | | | (416,684) | | (57,670,553) | | (56,320,996) | | (466,166) |
| Household & Personal Products | | | | | | | | | | | | | | |
| Church & Dwight Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (52,367) | | (5,166,053) | | (5,462,402) | | (456,132) |
| Clorox Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (9,741) | | (1,587,384) | | (1,491,445) | | 21,948 |
| Estee Lauder Cos., Inc. (The), Class A | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (33,951) | | (5,372,950) | | (5,233,547) | | (72,127) |
| | | | | | | | | | | (96,059) | | (12,126,387) | | (12,187,394) | | (506,311) |
| Insurance | | | | | | | | | | | | | | |
| Allstate Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (12,324) | | (1,885,682) | | (2,132,175) | | (348,135) |
| American International Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (13,713) | | (957,700) | | (1,071,945) | | (159,903) |
| Aon PLC, Class A (Ireland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,592) | | (531,515) | | (531,282) | | (14,367) |
| Arch Capital Group Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (42,377) | | (3,692,191) | | (3,917,330) | | (320,073) |
| Arthur J Gallagher & Co. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (19,789) | | (4,758,527) | | (4,948,042) | | (328,195) |
| Everest Group Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,294) | | (1,669,826) | | (1,706,865) | | (93,991) |
| Globe Life, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (11,610) | | (1,394,646) | | (1,351,056) | | 6,776 |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Insurance — (continued) | | | | | | | | | | | | | | |
| Principal Financial Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (44,905) | | $ (3,603,849) | | $ (3,875,751) | | $ (416,948) |
| Progressive Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4,852) | | (971,378) | | (1,003,491) | | (73,690) |
| W R Berkley Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (13,788) | | (1,171,369) | | (1,219,411) | | (84,113) |
| | | | | | | | | | | (169,244) | | (20,636,683) | | (21,757,348) | | (1,832,639) |
| Materials | | | | | | | | | | | | | | |
| Air Products and Chemicals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (19,213) | | (5,411,854) | | (4,654,734) | | 539,805 |
| Albemarle Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (10,750) | | (2,193,077) | | (1,416,205) | | 551,639 |
| Amcor PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (494,403) | | (4,534,288) | | (4,701,773) | | (321,152) |
| Avery Dennison Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (11,804) | | (2,320,119) | | (2,635,243) | | (426,281) |
| Ball Corp. | | USFF -0.250% | | Weekly | | MS | | 11/03/25 | | (14,548) | | (969,937) | | (979,953) | | (48,530) |
| Corteva, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,181) | | (410,263) | | (356,458) | | 84,691 |
| Dow, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (29,312) | | (1,595,069) | | (1,698,044) | | (166,823) |
| DuPont de Nemours, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (62,154) | | (4,161,848) | | (4,765,347) | | (729,320) |
| FMC Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (48,461) | | (5,215,590) | | (3,086,966) | | 1,940,507 |
| Freeport-McMoRan, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (18,986) | | (739,838) | | (892,722) | | (191,017) |
| International Flavors & Fragrances, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (22,056) | | (1,899,874) | | (1,896,595) | | (54,589) |
| Newmont Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (47,101) | | (1,913,163) | | (1,688,100) | | 114,493 |
| Vulcan Materials Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,085) | | (530,145) | | (569,038) | | (63,523) |
| | | | | | | | | | | (787,054) | | (31,895,065) | | (29,341,178) | | 1,229,900 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Fox Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (87,474) | | (2,611,099) | | (2,735,312) | | (213,155) |
| Live Nation Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (38,844) | | (3,758,569) | | (4,108,530) | | (453,131) |
| Match Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (35,093) | | (2,500,307) | | (1,273,174) | | 1,157,022 |
| Paramount Global, Class B | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (20,839) | | (608,168) | | (245,275) | | 331,097 |
| | | | | | | | | | | (182,250) | | (9,478,143) | | (8,362,291) | | 821,833 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| Agilent Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,867) | | (1,357,824) | | (1,435,747) | | (119,458) |
| Amgen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (8,062) | | (2,332,896) | | (2,292,188) | | (34,944) |
| Biogen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (27,582) | | (6,122,268) | | (5,947,507) | | 17,265 |
| Bio-Rad Laboratories, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (541) | | (415,981) | | (187,116) | | 218,277 |
| Bio-Techne Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (60,087) | | (5,209,188) | | (4,229,524) | | 825,207 |
| Catalent, Inc. | | USFF -0.250% | | Weekly | | MS | | 11/03/25 | | (128,786) | | (10,014,171) | | (7,269,970) | | 2,486,509 |
| Charles River Laboratories International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (11,303) | | (2,677,069) | | (3,062,548) | | (471,490) |
| Moderna, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (72,777) | | (7,723,123) | | (7,755,117) | | (236,345) |
| Pfizer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (260,470) | | (7,056,597) | | (7,228,042) | | (354,610) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) | | | | | | | | | | | | | | |
| Regeneron Pharmaceuticals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,132) | | $ (1,098,952) | | $ (1,089,539) | | $ (25,865) |
| Revvity, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (35,015) | | (3,791,139) | | (3,676,575) | | 15,660 |
| Waters Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (5,684) | | (1,744,024) | | (1,956,603) | | (257,358) |
| West Pharmaceutical Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (10,509) | | (3,784,117) | | (4,158,516) | | (472,076) |
| Zoetis, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (21,935) | | (4,295,484) | | (3,711,621) | | 442,730 |
| | | | | | | | | | | (653,750) | | (57,622,833) | | (54,000,613) | | 2,033,502 |
Real Estate Management &
Development | | | | | | | | | | | | | | |
| CoStar Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (50,857) | | (4,374,619) | | (4,912,786) | | (650,670) |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,668) | | (675,663) | | (662,037) | | (9,364) |
| Analog Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (32,417) | | (5,966,086) | | (6,411,758) | | (666,968) |
| Enphase Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (35,840) | | (6,042,997) | | (4,335,923) | | 1,507,786 |
| First Solar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (32,249) | | (5,630,353) | | (5,443,631) | | (10,212) |
| Intel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (101,366) | | (4,210,113) | | (4,477,336) | | (492,285) |
| Monolithic Power Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (3,892) | | (2,414,080) | | (2,636,519) | | (299,149) |
| ON Semiconductor Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (55,975) | | (4,350,590) | | (4,116,961) | | 120,657 |
| Teradyne, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (33,498) | | (3,612,534) | | (3,779,579) | | (280,159) |
| Texas Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (30,439) | | (5,253,362) | | (5,302,778) | | (257,469) |
| | | | | | | | | | | (329,344) | | (38,155,778) | | (37,166,522) | | (387,163) |
| Software & Services | | | | | | | | | | | | | | |
| Akamai Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (27,994) | | (3,002,262) | | (3,044,627) | | (119,537) |
| Fortinet, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (68,038) | | (4,290,817) | | (4,647,676) | | (467,204) |
| Gartner, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (7,261) | | (3,052,415) | | (3,461,101) | | (487,149) |
| Intuit, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,702) | | (1,726,667) | | (1,756,300) | | (95,930) |
| Palo Alto Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (13,431) | | (3,594,994) | | (3,816,150) | | (313,587) |
| PTC, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (13,390) | | (2,036,281) | | (2,529,907) | | (579,438) |
| Tyler Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (11,966) | | (5,037,801) | | (5,085,670) | | (177,445) |
| | | | | | | | | | | (144,782) | | (22,741,237) | | (24,341,431) | | (2,240,290) |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Arista Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (10,956) | | (2,615,403) | | (3,177,021) | | (628,830) |
| Corning, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (114,365) | | (3,867,435) | | (3,769,470) | | (81,004) |
| Juniper Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (181,354) | | (6,708,147) | | (6,720,979) | | (225,278) |
| TE Connectivity Ltd. (Switzerland) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,252) | | (1,985,739) | | (2,069,960) | | (141,478) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Technology Hardware & Equipment
— (continued) | | | | | | | | | | | | | | |
| Trimble, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (39,591) | | $ (2,552,978) | | $ (2,548,077) | | $ (60,704) |
| Western Digital Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (131,738) | | (6,266,840) | | (8,989,801) | | (3,095,758) |
| Zebra Technologies Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (13,474) | | (3,243,073) | | (4,061,603) | | (929,319) |
| | | | | | | | | | | (505,730) | | (27,239,615) | | (31,336,911) | | (5,162,371) |
| Transportation | | | | | | | | | | | | | | |
| CH Robinson Worldwide, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (9,867) | | (898,842) | | (751,273) | | 110,810 |
| JB Hunt Transport Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (21,195) | | (4,222,195) | | (4,223,104) | | (155,753) |
| Southwest Airlines Co. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (247,693) | | (8,777,873) | | (7,230,159) | | 1,185,637 |
| Union Pacific Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,033) | | (1,500,819) | | (1,483,696) | | (29,331) |
| United Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (112,611) | | (5,276,733) | | (5,391,815) | | (287,824) |
| | | | | | | | | | | (397,399) | | (20,676,462) | | (19,080,047) | | 823,539 |
| Utilities | | | | | | | | | | | | | | |
| AES Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (95,385) | | (1,977,451) | | (1,710,253) | | 174,419 |
| Alliant Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (115,472) | | (6,096,802) | | (5,819,789) | | (23,239) |
| Ameren Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (37,671) | | (3,136,787) | | (2,786,147) | | 187,436 |
| American Electric Power Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (30,880) | | (2,962,137) | | (2,658,768) | | 78,691 |
| American Water Works Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 11/03/25 | | (13,928) | | (2,075,106) | | (1,702,141) | | 270,633 |
| Atmos Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (20,929) | | (2,403,529) | | (2,487,830) | | (218,233) |
| CenterPoint Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (99,493) | | (2,896,520) | | (2,834,556) | | (67,012) |
| CMS Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (51,252) | | (3,280,188) | | (3,092,546) | | 86,462 |
| Consolidated Edison, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (14,111) | | (1,295,308) | | (1,281,420) | | (31,605) |
| Dominion Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (48,948) | | (2,372,285) | | (2,407,752) | | (146,616) |
| DTE Energy Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (30,287) | | (3,283,152) | | (3,396,384) | | (262,513) |
| Edison International | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (59,985) | | (4,150,187) | | (4,242,739) | | (365,108) |
| Entergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (19,723) | | (2,015,740) | | (2,084,327) | | (143,948) |
| Evergy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (77,848) | | (4,588,392) | | (4,155,526) | | 127,089 |
| Eversource Energy | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (69,688) | | (4,568,539) | | (4,165,252) | | 112,729 |
| Exelon Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (88,208) | | (3,457,227) | | (3,313,975) | | (32,572) |
| FirstEnergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (94,317) | | (3,685,160) | | (3,642,523) | | (69,407) |
| NextEra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (31,693) | | (1,888,797) | | (2,025,500) | | (217,165) |
| NiSource, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (124,019) | | (3,560,851) | | (3,430,366) | | (85,584) |
| Pinnacle West Capital Corp. | | USFF -0.250% | | Weekly | | MS | | 07/29/24 | | (76,404) | | (5,639,213) | | (5,709,671) | | (344,233) |
| PPL Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (83,260) | | (2,208,156) | | (2,292,148) | | (161,741) |
| Sempra | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (29,626) | | (2,245,582) | | (2,128,036) | | (2,235) |
| Southern Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (61,978) | | (4,382,702) | | (4,446,302) | | (277,042) |
The accompanying notes are an integral part of the financial statements.
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| WEC Energy Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (33,110) | | $ (2,982,663) | | $ (2,718,993) | | $ 104,747 |
| Xcel Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 11/03/25 | | (93,174) | | (5,613,956) | | (5,008,102) | | 366,592 |
| | | | | | | | | | | (1,501,389) | | (82,766,430) | | (79,541,046) | | (939,455) |
|
|
| Total Reference Entity — Short | | | | | | (648,770,946) | | (648,563,220) | | (23,800,802) |
| Net Value of Reference Entity | | | | | | $(104,330,937) | | $ 31,428,812 | | $138,678,147 |
| * | Includes $2,918,398 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| MS | Morgan Stanley |
| USFF | U.S. Fed Funds |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 99.3% |
| Automobiles & Components — 0.3% |
| Aptiv PLC (Jersey)* | 1,655 | | $ 131,821 |
| BorgWarner, Inc. | 1,364 | | 47,385 |
| General Motors Co. | 86 | | 3,900 |
| | | | 183,106 |
| Banks — 1.6% |
| Citigroup, Inc. | 5,709 | | 361,037 |
| Citizens Financial Group, Inc. | 2,303 | | 83,576 |
| Comerica, Inc. | 668 | | 36,733 |
| Fifth Third Bancorp | 3,445 | | 128,189 |
| Huntington Bancshares, Inc. | 7,325 | | 102,184 |
| KeyCorp. | 4,735 | | 74,860 |
| PNC Financial Services Group, Inc. (The) | 669 | | 108,110 |
| | | | 894,689 |
| Capital Goods — 16.8% |
| 3M Co. | 3,278 | | 347,697 |
| A. O. Smith Corp. | 871 | | 77,920 |
| Allegion PLC (Ireland) | 519 | | 69,915 |
| AMETEK, Inc. | 467 | | 85,414 |
| Builders FirstSource, Inc.* | 723 | | 150,782 |
| Carrier Global Corp. | 4,978 | | 289,371 |
| Caterpillar, Inc. | 2,962 | | 1,085,366 |
| Cummins, Inc. | 842 | | 248,095 |
| Dover Corp. | 830 | | 147,068 |
| Fastenal Co. | 701 | | 54,075 |
| Fortive Corp. | 691 | | 59,440 |
| Generac Holdings, Inc.* | 356 | | 44,906 |
| General Dynamics Corp. | 1,063 | | 300,287 |
| General Electric Co. | 1,889 | | 331,576 |
| Honeywell International, Inc. | 3,868 | | 793,907 |
| Howmet Aerospace, Inc. | 1,468 | | 100,455 |
| Huntington Ingalls Industries, Inc. | 235 | | 68,495 |
| IDEX Corp. | 433 | | 105,661 |
| Illinois Tool Works, Inc. | 1,775 | | 476,286 |
| Ingersoll Rand, Inc. | 2,393 | | 227,215 |
| Johnson Controls International PLC (Ireland) | 4,043 | | 264,089 |
| Lockheed Martin Corp. | 1,425 | | 648,190 |
| Masco Corp. | 1,309 | | 103,254 |
| Nordson Corp. | 339 | | 93,069 |
| Otis Worldwide Corp. | 2,405 | | 238,744 |
| PACCAR, Inc. | 3,104 | | 384,555 |
| Parker-Hannifin Corp. | 761 | | 422,956 |
| Pentair PLC (Ireland) | 980 | | 83,731 |
| Quanta Services, Inc. | 238 | | 61,832 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| RTX Corp. | 3,282 | | $ 320,093 |
| Snap-on, Inc. | 313 | | 92,717 |
| Stanley Black & Decker, Inc. | 911 | | 89,214 |
| Textron, Inc. | 1,145 | | 109,840 |
| Trane Technologies PLC (Ireland) | 1,347 | | 404,369 |
| TransDigm Group, Inc. | 25 | | 30,790 |
| United Rentals, Inc. | 399 | | 287,723 |
| Westinghouse Air Brake Technologies Corp. | 1,054 | | 153,547 |
| WW Grainger, Inc. | 292 | | 297,052 |
| | | | 9,149,696 |
| Commercial & Professional Services — 1.3% |
| Automatic Data Processing, Inc. | 1,206 | | 301,186 |
| Jacobs Solutions, Inc. | 746 | | 114,683 |
| Leidos Holdings, Inc. | 806 | | 105,659 |
| Republic Services, Inc. | 33 | | 6,317 |
| Robert Half, Inc. | 618 | | 48,995 |
| Veralto Corp. | 1,461 | | 129,532 |
| | | | 706,372 |
| Consumer Discretionary Distribution & Retail — 5.2% |
| Bath & Body Works, Inc. | 1,346 | | 67,327 |
| Best Buy Co., Inc. | 1,281 | | 105,080 |
| eBay, Inc. | 3,067 | | 161,876 |
| Genuine Parts Co. | 828 | | 128,282 |
| Home Depot, Inc. (The) | 2,448 | | 939,053 |
| LKQ Corp. | 1,536 | | 82,038 |
| Lowe's Cos., Inc. | 883 | | 224,926 |
| Pool Corp. | 227 | | 91,594 |
| Ross Stores, Inc. | 1,985 | | 291,319 |
| TJX Cos., Inc. (The) | 5,773 | | 585,498 |
| Ulta Beauty, Inc.* | 286 | | 149,544 |
| | | | 2,826,537 |
| Consumer Durables & Apparel — 2.5% |
| Deckers Outdoor Corp.* | 151 | | 142,130 |
| Garmin Ltd. (Switzerland) | 1,138 | | 169,414 |
| Hasbro, Inc. | 823 | | 46,516 |
| Lululemon Athletica, Inc.* | 747 | | 291,816 |
| Mohawk Industries, Inc.* | 378 | | 49,476 |
| NIKE, Inc., Class B | 3,266 | | 306,939 |
| NVR, Inc.* | 5 | | 40,500 |
| PulteGroup, Inc. | 1,261 | | 152,102 |
| Ralph Lauren Corp. | 380 | | 71,349 |
| Tapestry, Inc. | 1,362 | | 64,668 |
| VF Corp. | 2,307 | | 35,389 |
| | | | 1,370,299 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — 3.2% |
| Booking Holdings, Inc. | 143 | | $ 518,787 |
| Caesars Entertainment, Inc.* | 1,280 | | 55,987 |
| Darden Restaurants, Inc. | 209 | | 34,934 |
| Expedia Group, Inc.* | 813 | | 111,991 |
| Marriott International, Inc., Class A | 1,245 | | 314,126 |
| McDonald's Corp. | 1,330 | | 374,993 |
| MGM Resorts International* | 1,937 | | 91,446 |
| Starbucks Corp. | 79 | | 7,220 |
| Yum! Brands, Inc. | 1,667 | | 231,130 |
| | | | 1,740,614 |
| Consumer Staples Distribution & Retail — 1.4% |
| Kroger Co. (The) | 4,273 | | 244,117 |
| Sysco Corp. | 919 | | 74,604 |
| Target Corp. | 2,040 | | 361,508 |
| Walgreens Boots Alliance, Inc. | 4,985 | | 108,125 |
| | | | 788,354 |
| Energy — 7.9% |
| APA Corp. | 1,801 | | 61,918 |
| Baker Hughes Co. | 5,921 | | 198,354 |
| ConocoPhillips | 2,564 | | 326,346 |
| Coterra Energy, Inc. | 4,455 | | 124,205 |
| Devon Energy Corp. | 3,773 | | 189,329 |
| EOG Resources, Inc. | 2,995 | | 382,881 |
| Exxon Mobil Corp. | 4,680 | | 544,003 |
| Halliburton Co. | 5,274 | | 207,901 |
| Marathon Oil Corp. | 3,424 | | 97,036 |
| Marathon Petroleum Corp. | 2,145 | | 432,218 |
| Occidental Petroleum Corp. | 4,892 | | 317,931 |
| Phillips 66 | 2,552 | | 416,844 |
| Pioneer Natural Resources Co. | 1,386 | | 363,825 |
| Schlumberger NV (Curacao) | 5,817 | | 318,830 |
| Valero Energy Corp. | 1,977 | | 337,454 |
| | | | 4,319,075 |
| Equity Real Estate Investment Trusts (REITs) — 1.2% |
| Alexandria Real Estate Equities, Inc. | 716 | | 92,300 |
| Boston Properties, Inc. | 931 | | 60,804 |
| Realty Income Corp. | 3,861 | | 208,880 |
| Simon Property Group, Inc. | 1,927 | | 301,556 |
| | | | 663,540 |
| Financial Services — 3.8% |
| Berkshire Hathaway, Inc., Class B* | 521 | | 219,091 |
| BlackRock, Inc. | 172 | | 143,396 |
| Cboe Global Markets, Inc. | 627 | | 115,199 |
| Corpay, Inc.* | 426 | | 131,438 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — (Continued) |
| Fiserv, Inc.* | 3,525 | | $ 563,365 |
| Franklin Resources, Inc. | 2,503 | | 70,359 |
| Intercontinental Exchange, Inc. | 848 | | 116,541 |
| PayPal Holdings, Inc.* | 6,360 | | 426,056 |
| T Rowe Price Group, Inc. | 1,131 | | 137,892 |
| Visa, Inc., Class A | 532 | | 148,471 |
| | | | 2,071,808 |
| Food, Beverage & Tobacco — 7.4% |
| Altria Group, Inc. | 10,464 | | 456,440 |
| Archer-Daniels-Midland Co. | 3,175 | | 199,422 |
| Bunge Global SA (Switzerland) | 862 | | 88,372 |
| Campbell Soup Co. | 1,769 | | 78,632 |
| Coca-Cola Co. (The) | 7,804 | | 477,449 |
| Conagra Brands, Inc. | 2,837 | | 84,089 |
| General Mills, Inc. | 3,376 | | 236,219 |
| Hershey Co. (The) | 1,199 | | 233,205 |
| Hormel Foods Corp. | 3,249 | | 113,358 |
| Kellanova | 2,021 | | 115,783 |
| Keurig Dr Pepper, Inc. | 8,251 | | 253,058 |
| Kraft Heinz Co. (The) | 7,227 | | 266,676 |
| McCormick & Co., Inc., non-voting shares | 1,590 | | 122,128 |
| Molson Coors Beverage Co., Class B | 1,266 | | 85,138 |
| Mondelez International, Inc., Class A | 6,218 | | 435,260 |
| Philip Morris International, Inc. | 8,491 | | 777,945 |
| | | | 4,023,174 |
| Health Care Equipment & Services — 5.6% |
| Baxter International, Inc. | 3,013 | | 128,776 |
| Cardinal Health, Inc. | 1,448 | | 162,031 |
| Cencora, Inc. | 652 | | 158,429 |
| Centene Corp.* | 465 | | 36,493 |
| Cigna Group (The) | 1,708 | | 620,329 |
| CVS Health Corp. | 4,519 | | 360,435 |
| DaVita, Inc.* | 528 | | 72,890 |
| GE HealthCare Technologies, Inc. | 784 | | 71,273 |
| HCA Healthcare, Inc. | 1,209 | | 403,238 |
| Humana, Inc. | 605 | | 209,766 |
| Laboratory Corp. of America Holdings | 497 | | 108,575 |
| McKesson Corp. | 305 | | 163,739 |
| Medtronic PLC (Ireland) | 1,487 | | 129,592 |
| Molina Healthcare, Inc.* | 343 | | 140,915 |
| Quest Diagnostics, Inc. | 659 | | 87,720 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| ResMed, Inc. | 609 | | $ 120,600 |
| Teleflex, Inc. | 283 | | 64,006 |
| | | | 3,038,807 |
| Household & Personal Products — 2.4% |
| Colgate-Palmolive Co. | 4,131 | | 371,997 |
| Kenvue, Inc. | 11,363 | | 243,850 |
| Kimberly-Clark Corp. | 2,000 | | 258,700 |
| Procter & Gamble Co. (The) | 2,609 | | 423,310 |
| | | | 1,297,857 |
| Insurance — 5.3% |
| Aflac, Inc. | 2,010 | | 172,579 |
| American International Group, Inc. | 3,464 | | 270,781 |
| Aon PLC, Class A (Ireland) | 1,089 | | 363,421 |
| Arthur J Gallagher & Co. | 85 | | 21,253 |
| Assurant, Inc. | 14 | | 2,635 |
| Brown & Brown, Inc. | 1,673 | | 146,455 |
| Chubb Ltd. (Switzerland) | 287 | | 74,370 |
| Globe Life, Inc. | 556 | | 64,702 |
| Hartford Financial Services Group, Inc. (The) | 1,770 | | 182,399 |
| Loews Corp. | 1,318 | | 103,186 |
| Marsh & McLennan Cos., Inc. | 2,452 | | 505,063 |
| MetLife, Inc. | 4,028 | | 298,515 |
| Prudential Financial, Inc. | 2,061 | | 241,961 |
| Travelers Cos., Inc. (The) | 665 | | 153,043 |
| W R Berkley Corp. | 1,279 | | 113,115 |
| Willis Towers Watson PLC (Ireland) | 609 | | 167,475 |
| | | | 2,880,953 |
| Materials — 5.8% |
| Amcor PLC (Jersey) | 7,995 | | 76,032 |
| Avery Dennison Corp. | 471 | | 105,151 |
| Celanese Corp. | 646 | | 111,022 |
| Corteva, Inc. | 4,160 | | 239,907 |
| Dow, Inc. | 4,166 | | 241,336 |
| DuPont de Nemours, Inc. | 2,308 | | 176,954 |
| Eastman Chemical Co. | 695 | | 69,653 |
| FMC Corp. | 740 | | 47,138 |
| International Flavors & Fragrances, Inc. | 1,514 | | 130,189 |
| International Paper Co. | 2,054 | | 80,147 |
| LyondellBasell Industries NV, Class A (Netherlands) | 1,925 | | 196,889 |
| Martin Marietta Materials, Inc. | 107 | | 65,692 |
| Mosaic Co. (The) | 1,923 | | 62,421 |
| Nucor Corp. | 1,429 | | 282,799 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Packaging Corp. of America | 532 | | $ 100,963 |
| PPG Industries, Inc. | 1,395 | | 202,135 |
| Sherwin-Williams Co. (The) | 1,498 | | 520,300 |
| Steel Dynamics, Inc. | 949 | | 140,670 |
| Vulcan Materials Co. | 779 | | 212,605 |
| Westrock Co. | 1,524 | | 75,362 |
| | | | 3,137,365 |
| Media & Entertainment — 3.0% |
| Charter Communications, Inc., Class A* | 861 | | 250,233 |
| Comcast Corp., Class A | 17,278 | | 749,001 |
| Electronic Arts, Inc. | 905 | | 120,066 |
| Interpublic Group of Cos., Inc. (The) | 2,248 | | 73,352 |
| Match Group, Inc.* | 1,595 | | 57,867 |
| News Corp., Class A | 3,390 | | 88,750 |
| Omnicom Group, Inc. | 1,175 | | 113,693 |
| Paramount Global, Class B | 3,874 | | 45,597 |
| Walt Disney Co. (The) | 888 | | 108,656 |
| | | | 1,607,215 |
| Pharmaceuticals, Biotechnology & Life Sciences — 4.5% |
| AbbVie, Inc. | 1,298 | | 236,366 |
| Amgen, Inc. | 462 | | 131,356 |
| Bristol-Myers Squibb Co. | 10,087 | | 547,018 |
| Gilead Sciences, Inc. | 6,381 | | 467,408 |
| Incyte Corp.* | 1,330 | | 75,770 |
| Johnson & Johnson | 3,174 | | 502,095 |
| Merck & Co., Inc. | 2,914 | | 384,502 |
| Viatris, Inc. | 7,124 | | 85,061 |
| | | | 2,429,576 |
| Real Estate Management & Development — 0.3% |
| CBRE Group, Inc., Class A* | 1,724 | | 167,642 |
| Semiconductors & Semiconductor Equipment — 4.4% |
| Applied Materials, Inc. | 1,351 | | 278,617 |
| Broadcom, Inc. | 464 | | 614,990 |
| Enphase Energy, Inc.* | 784 | | 94,848 |
| KLA Corp. | 463 | | 323,438 |
| Microchip Technology, Inc. | 975 | | 87,467 |
| NXP Semiconductors NV (Netherlands) | 2 | | 496 |
| Qorvo, Inc.* | 573 | | 65,798 |
| QUALCOMM, Inc. | 4,794 | | 811,624 |
| Skyworks Solutions, Inc. | 948 | | 102,687 |
| | | | 2,379,965 |
The accompanying notes are an integral part of the financial statements.
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — 2.6% |
| Accenture PLC, Class A (Ireland) | 1,152 | | $ 399,295 |
| Gen Digital, Inc. | 3,791 | | 84,918 |
| International Business Machines Corp. | 2,894 | | 552,638 |
| Salesforce, Inc. | 899 | | 270,761 |
| VeriSign, Inc.* | 600 | | 113,706 |
| | | | 1,421,318 |
| Technology Hardware & Equipment — 5.0% |
| Amphenol Corp., Class A | 1,544 | | 178,100 |
| Apple, Inc. | 738 | | 126,552 |
| CDW Corp. | 795 | | 203,345 |
| Cisco Systems, Inc. | 17,416 | | 869,233 |
| F5, Inc.* | 349 | | 66,167 |
| Hewlett Packard Enterprise Co. | 7,713 | | 136,752 |
| HP, Inc. | 5,818 | | 175,820 |
| Jabil, Inc. | 764 | | 102,338 |
| Juniper Networks, Inc. | 1,368 | | 50,698 |
| Keysight Technologies, Inc.* | 1,035 | | 161,853 |
| Motorola Solutions, Inc. | 786 | | 279,014 |
| NetApp, Inc. | 1,225 | | 128,588 |
| Seagate Technology Holdings PLC (Ireland) | 1 | | 93 |
| TE Connectivity Ltd. (Switzerland) | 1,835 | | 266,516 |
| | | | 2,745,069 |
| Telecommunication Services — 3.9% |
| AT&T, Inc. | 42,425 | | 746,680 |
| T-Mobile US, Inc. | 3,173 | | 517,897 |
| Verizon Communications, Inc. | 20,204 | | 847,760 |
| | | | 2,112,337 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Transportation — 2.9% |
| American Airlines Group, Inc.* | 3,884 | | $ 59,619 |
| CH Robinson Worldwide, Inc. | 692 | | 52,689 |
| CSX Corp. | 9,464 | | 350,830 |
| Delta Air Lines, Inc. | 3,817 | | 182,720 |
| Expeditors International of Washington, Inc. | 818 | | 99,444 |
| FedEx Corp. | 1,212 | | 351,165 |
| Union Pacific Corp. | 649 | | 159,609 |
| United Parcel Service, Inc., Class B | 2,238 | | 332,634 |
| | | | 1,588,710 |
| Utilities — 1.0% |
| Duke Energy Corp. | 4,575 | | 442,448 |
| NRG Energy, Inc. | 1,235 | | 83,597 |
| | | | 526,045 |
TOTAL COMMON STOCKS
(Cost $47,095,288) | | | 54,070,123 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | | | 369,252 |
| NET ASSETS - 100.0% | | | $ 54,439,375 |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 99.4% |
| Automobiles & Components — 0.9% |
| Aptiv PLC (Jersey)* | 17 | | $ 1,354 |
| BorgWarner, Inc. | 449 | | 15,598 |
| Ford Motor Co. | 256 | | 3,400 |
| General Motors Co. | 510 | | 23,129 |
| Tesla, Inc.* | 750 | | 131,842 |
| | | | 175,323 |
| Banks — 2.2% |
| Bank of America Corp. | 1,905 | | 72,238 |
| Citigroup, Inc. | 127 | | 8,031 |
| Citizens Financial Group, Inc. | 199 | | 7,222 |
| Comerica, Inc. | 57 | | 3,134 |
| Fifth Third Bancorp | 290 | | 10,791 |
| Huntington Bancshares, Inc. | 69 | | 963 |
| JPMorgan Chase & Co. | 1,217 | | 243,765 |
| KeyCorp. | 398 | | 6,292 |
| M&T Bank Corp. | 39 | | 5,672 |
| PNC Financial Services Group, Inc. (The) | 66 | | 10,666 |
| Regions Financial Corp. | 45 | | 947 |
| Truist Financial Corp. | 567 | | 22,102 |
| US Bancorp | 662 | | 29,591 |
| Wells Fargo & Co. | 217 | | 12,577 |
| | | | 433,991 |
| Capital Goods — 10.0% |
| 3M Co. | 38 | | 4,031 |
| A. O. Smith Corp. | 278 | | 24,870 |
| Allegion PLC (Ireland) | 5 | | 674 |
| AMETEK, Inc. | 13 | | 2,378 |
| Axon Enterprise, Inc.* | 3 | | 939 |
| Boeing Co. (The)* | 39 | | 7,527 |
| Builders FirstSource, Inc.* | 235 | | 49,009 |
| Carrier Global Corp. | 56 | | 3,255 |
| Caterpillar, Inc. | 905 | | 331,619 |
| Cummins, Inc. | 268 | | 78,966 |
| Deere & Co. | 18 | | 7,393 |
| Dover Corp. | 8 | | 1,418 |
| Eaton Corp. PLC (Ireland) | 24 | | 7,504 |
| Emerson Electric Co. | 38 | | 4,310 |
| Fastenal Co. | 28 | | 2,160 |
| Fortive Corp. | 22 | | 1,892 |
| Generac Holdings, Inc.* | 3 | | 378 |
| General Dynamics Corp. | 19 | | 5,367 |
| General Electric Co. | 1,332 | | 233,806 |
| Honeywell International, Inc. | 1,189 | | 244,042 |
| Howmet Aerospace, Inc. | 28 | | 1,916 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Hubbell, Inc. | 3 | | $ 1,245 |
| Huntington Ingalls Industries, Inc. | 2 | | 583 |
| IDEX Corp. | 4 | | 976 |
| Illinois Tool Works, Inc. | 189 | | 50,714 |
| Ingersoll Rand, Inc. | 751 | | 71,307 |
| Johnson Controls International PLC (Ireland) | 956 | | 62,446 |
| L3Harris Technologies, Inc. | 13 | | 2,770 |
| Lockheed Martin Corp. | 402 | | 182,858 |
| Masco Corp. | 429 | | 33,840 |
| Nordson Corp. | 3 | | 824 |
| Northrop Grumman Corp. | 66 | | 31,592 |
| Otis Worldwide Corp. | 725 | | 71,971 |
| PACCAR, Inc. | 523 | | 64,794 |
| Parker-Hannifin Corp. | 244 | | 135,613 |
| Pentair PLC (Ireland) | 11 | | 940 |
| Quanta Services, Inc. | 8 | | 2,078 |
| Rockwell Automation, Inc. | 8 | | 2,331 |
| RTX Corp. | 83 | | 8,095 |
| Snap-on, Inc. | 101 | | 29,918 |
| Stanley Black & Decker, Inc. | 282 | | 27,616 |
| Textron, Inc. | 375 | | 35,974 |
| Trane Technologies PLC (Ireland) | 267 | | 80,153 |
| TransDigm Group, Inc. | 3 | | 3,695 |
| United Rentals, Inc. | 99 | | 71,390 |
| Westinghouse Air Brake Technologies Corp. | 11 | | 1,602 |
| WW Grainger, Inc. | 3 | | 3,052 |
| Xylem, Inc. | 12 | | 1,551 |
| | | | 1,993,382 |
| Commercial & Professional Services — 0.5% |
| Automatic Data Processing, Inc. | 28 | | 6,993 |
| Broadridge Financial Solutions, Inc. | 8 | | 1,639 |
| Cintas Corp. | 5 | | 3,435 |
| Copart, Inc.* | 46 | | 2,664 |
| Dayforce, Inc.* | 8 | | 530 |
| Equifax, Inc. | 6 | | 1,605 |
| Jacobs Solutions, Inc. | 241 | | 37,049 |
| Leidos Holdings, Inc. | 263 | | 34,476 |
| Paychex, Inc. | 25 | | 3,070 |
| Paycom Software, Inc. | 3 | | 597 |
| Republic Services, Inc. | 22 | | 4,212 |
| Robert Half, Inc. | 6 | | 476 |
| Rollins, Inc. | 24 | | 1,110 |
| Veralto Corp. | 17 | | 1,507 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Commercial & Professional Services — (Continued) |
| Verisk Analytics, Inc. | 8 | | $ 1,886 |
| Waste Management, Inc. | 20 | | 4,263 |
| | | | 105,512 |
| Consumer Discretionary Distribution & Retail — 8.7% |
| Amazon.com, Inc.* | 5,320 | | 959,622 |
| AutoZone, Inc.* | 1 | | 3,152 |
| Bath & Body Works, Inc. | 410 | | 20,508 |
| Best Buy Co., Inc. | 389 | | 31,910 |
| CarMax, Inc.* | 11 | | 958 |
| eBay, Inc. | 936 | | 49,402 |
| Etsy, Inc.* | 7 | | 481 |
| Genuine Parts Co. | 259 | | 40,127 |
| Home Depot, Inc. (The) | 785 | | 301,126 |
| LKQ Corp. | 17 | | 908 |
| Lowe's Cos., Inc. | 40 | | 10,189 |
| O'Reilly Automotive, Inc.* | 3 | | 3,387 |
| Pool Corp. | 3 | | 1,210 |
| Ross Stores, Inc. | 372 | | 54,595 |
| TJX Cos., Inc. (The) | 2,122 | | 215,213 |
| Tractor Supply Co. | 6 | | 1,570 |
| Ulta Beauty, Inc.* | 87 | | 45,490 |
| | | | 1,739,848 |
| Consumer Durables & Apparel — 1.5% |
| Deckers Outdoor Corp.* | 47 | | 44,239 |
| DR Horton, Inc. | 21 | | 3,455 |
| Garmin Ltd. (Switzerland) | 366 | | 54,486 |
| Hasbro, Inc. | 260 | | 14,695 |
| Lennar Corp., Class A | 119 | | 20,466 |
| Lululemon Athletica, Inc.* | 173 | | 67,582 |
| Mohawk Industries, Inc.* | 119 | | 15,576 |
| NIKE, Inc., Class B | 72 | | 6,767 |
| NVR, Inc.* | 1 | | 8,100 |
| PulteGroup, Inc. | 15 | | 1,809 |
| Ralph Lauren Corp. | 122 | | 22,907 |
| Tapestry, Inc. | 437 | | 20,749 |
| VF Corp. | 734 | | 11,260 |
| | | | 292,091 |
| Consumer Services — 2.7% |
| Airbnb, Inc., Class A* | 30 | | 4,949 |
| Booking Holdings, Inc. | 64 | | 232,184 |
| Caesars Entertainment, Inc.* | 13 | | 569 |
| Carnival Corp. (Panama)* | 61 | | 997 |
| Chipotle Mexican Grill, Inc.* | 1 | | 2,907 |
| Darden Restaurants, Inc. | 8 | | 1,337 |
| Domino's Pizza, Inc. | 2 | | 994 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| Expedia Group, Inc.* | 137 | | $ 18,872 |
| Hilton Worldwide Holdings, Inc. | 13 | | 2,773 |
| Las Vegas Sands Corp. | 37 | | 1,913 |
| Marriott International, Inc., Class A | 548 | | 138,266 |
| McDonald's Corp. | 407 | | 114,754 |
| MGM Resorts International* | 20 | | 944 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | 21 | | 439 |
| Royal Caribbean Cruises Ltd. (Liberia)* | 18 | | 2,502 |
| Starbucks Corp. | 72 | | 6,580 |
| Wynn Resorts Ltd. | 6 | | 613 |
| Yum! Brands, Inc. | 49 | | 6,794 |
| | | | 538,387 |
| Consumer Staples Distribution & Retail — 0.7% |
| Costco Wholesale Corp. | 21 | | 15,385 |
| Dollar General Corp. | 13 | | 2,029 |
| Dollar Tree, Inc.* | 13 | | 1,731 |
| Kroger Co. (The) | 1,304 | | 74,498 |
| Sysco Corp. | 32 | | 2,598 |
| Target Corp. | 28 | | 4,962 |
| Walgreens Boots Alliance, Inc. | 54 | | 1,171 |
| Walmart, Inc. | 507 | | 30,506 |
| | | | 132,880 |
| Energy — 3.3% |
| APA Corp. | 19 | | 653 |
| Baker Hughes Co. | 1,765 | | 59,127 |
| Chevron Corp. | 540 | | 85,180 |
| ConocoPhillips | 75 | | 9,546 |
| Coterra Energy, Inc. | 47 | | 1,310 |
| Devon Energy Corp. | 42 | | 2,108 |
| Diamondback Energy, Inc. | 11 | | 2,180 |
| EOG Resources, Inc. | 37 | | 4,730 |
| EQT Corp. | 25 | | 927 |
| Exxon Mobil Corp. | 1,343 | | 156,110 |
| Halliburton Co. | 61 | | 2,405 |
| Hess Corp. | 18 | | 2,748 |
| Kinder Morgan, Inc. | 134 | | 2,458 |
| Marathon Oil Corp. | 36 | | 1,020 |
| Marathon Petroleum Corp. | 655 | | 131,982 |
| Occidental Petroleum Corp. | 56 | | 3,639 |
| ONEOK, Inc. | 27 | | 2,165 |
| Phillips 66 | 779 | | 127,242 |
| Pioneer Natural Resources Co. | 14 | | 3,675 |
| Schlumberger NV (Curacao) | 83 | | 4,549 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Energy — (Continued) |
| Targa Resources Corp. | 11 | | $ 1,232 |
| Valero Energy Corp. | 339 | | 57,864 |
| Williams Cos., Inc. (The) | 64 | | 2,494 |
| | | | 665,344 |
| Equity Real Estate Investment Trusts (REITs) — 0.3% |
| Alexandria Real Estate Equities, Inc. | 11 | | 1,418 |
| American Tower Corp. | 30 | | 5,928 |
| AvalonBay Communities, Inc. | 9 | | 1,670 |
| Boston Properties, Inc. | 10 | | 653 |
| Camden Property Trust | 7 | | 689 |
| Crown Castle, Inc. | 28 | | 2,963 |
| Digital Realty Trust, Inc. | 15 | | 2,161 |
| Equinix, Inc. | 4 | | 3,301 |
| Equity Residential | 24 | | 1,515 |
| Essex Property Trust, Inc. | 4 | | 979 |
| Extra Space Storage, Inc. | 11 | | 1,617 |
| Federal Realty Investment Trust | 4 | | 408 |
| Healthpeak Properties, Inc. | 35 | | 656 |
| Host Hotels & Resorts, Inc. | 34 | | 703 |
| Invitation Homes, Inc. | 30 | | 1,068 |
| Iron Mountain, Inc. | 14 | | 1,123 |
| Kimco Realty Corp. | 36 | | 706 |
| Mid-America Apartment Communities, Inc. | 6 | | 789 |
| Prologis, Inc. | 59 | | 7,683 |
| Public Storage | 10 | | 2,901 |
| Realty Income Corp. | 48 | | 2,597 |
| Regency Centers Corp. | 10 | | 606 |
| SBA Communications Corp. | 7 | | 1,517 |
| Simon Property Group, Inc. | 19 | | 2,973 |
| UDR, Inc. | 21 | | 786 |
| Ventas, Inc. | 20 | | 871 |
| VICI Properties, Inc. | 49 | | 1,460 |
| Welltower, Inc. | 35 | | 3,270 |
| Weyerhaeuser Co. | 47 | | 1,688 |
| | | | 54,699 |
| Financial Services — 6.9% |
| American Express Co. | 115 | | 26,184 |
| Ameriprise Financial, Inc. | 6 | | 2,631 |
| Bank of New York Mellon Corp. (The) | 54 | | 3,111 |
| Berkshire Hathaway, Inc., Class B* | 988 | | 415,474 |
| BlackRock, Inc. | 68 | | 56,692 |
| Blackstone, Inc. | 34 | | 4,467 |
| Capital One Financial Corp. | 23 | | 3,424 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — (Continued) |
| Cboe Global Markets, Inc. | 42 | | $ 7,717 |
| Charles Schwab Corp. (The) | 87 | | 6,294 |
| CME Group, Inc. | 22 | | 4,736 |
| Corpay, Inc.* | 142 | | 43,813 |
| Discover Financial Services | 17 | | 2,229 |
| FactSet Research Systems, Inc. | 2 | | 909 |
| Fidelity National Information Services, Inc. | 38 | | 2,819 |
| Fiserv, Inc.* | 1,166 | | 186,350 |
| Franklin Resources, Inc. | 890 | | 25,018 |
| Global Payments, Inc. | 13 | | 1,738 |
| Goldman Sachs Group, Inc. (The) | 20 | | 8,354 |
| Intercontinental Exchange, Inc. | 36 | | 4,947 |
| Invesco Ltd. (Bermuda) | 29 | | 481 |
| Jack Henry & Associates, Inc. | 4 | | 695 |
| MarketAxess Holdings, Inc. | 2 | | 439 |
| Mastercard, Inc., Class A | 399 | | 192,146 |
| Moody's Corp. | 11 | | 4,323 |
| Morgan Stanley | 103 | | 9,698 |
| MSCI, Inc. | 4 | | 2,242 |
| Nasdaq, Inc. | 34 | | 2,145 |
| Northern Trust Corp. | 14 | | 1,245 |
| PayPal Holdings, Inc.* | 1,581 | | 105,911 |
| Raymond James Financial, Inc. | 12 | | 1,541 |
| S&P Global, Inc. | 15 | | 6,382 |
| State Street Corp. | 16 | | 1,237 |
| Synchrony Financial | 28 | | 1,207 |
| T Rowe Price Group, Inc. | 107 | | 13,045 |
| Visa, Inc., Class A | 858 | | 239,451 |
| | | | 1,389,095 |
| Food, Beverage & Tobacco — 5.5% |
| Altria Group, Inc. | 3,381 | | 147,479 |
| Archer-Daniels-Midland Co. | 1,016 | | 63,815 |
| Brown-Forman Corp., Class B | 23 | | 1,187 |
| Bunge Global SA (Switzerland) | 9 | | 923 |
| Campbell Soup Co. | 55 | | 2,445 |
| Coca-Cola Co. (The) | 3,715 | | 227,284 |
| Conagra Brands, Inc. | 896 | | 26,557 |
| Constellation Brands, Inc., Class A | 11 | | 2,989 |
| General Mills, Inc. | 632 | | 44,221 |
| Hershey Co. (The) | 13 | | 2,528 |
| Hormel Foods Corp. | 600 | | 20,934 |
| J M Smucker Co. (The) | 6 | | 755 |
| Kellanova | 644 | | 36,895 |
| Keurig Dr Pepper, Inc. | 380 | | 11,655 |
| Kraft Heinz Co. (The) | 2,129 | | 78,560 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Lamb Weston Holdings, Inc. | 7 | | $ 746 |
| McCormick & Co., Inc., non-voting shares | 18 | | 1,383 |
| Molson Coors Beverage Co., Class B | 413 | | 27,774 |
| Mondelez International, Inc., Class A | 1,660 | | 116,200 |
| Monster Beverage Corp.* | 50 | | 2,964 |
| PepsiCo, Inc. | 87 | | 15,226 |
| Philip Morris International, Inc. | 2,966 | | 271,745 |
| Tyson Foods, Inc., Class A | 23 | | 1,351 |
| | | | 1,105,616 |
| Health Care Equipment & Services — 3.5% |
| Abbott Laboratories | 742 | | 84,336 |
| Align Technology, Inc.* | 4 | | 1,312 |
| Baxter International, Inc. | 37 | | 1,581 |
| Becton Dickinson & Co. | 13 | | 3,217 |
| Boston Scientific Corp.* | 70 | | 4,794 |
| Cardinal Health, Inc. | 472 | | 52,817 |
| Cencora, Inc. | 352 | | 85,532 |
| Centene Corp.* | 43 | | 3,375 |
| Cigna Group (The) | 530 | | 192,491 |
| Cooper Cos., Inc. (The) | 13 | | 1,319 |
| CVS Health Corp. | 91 | | 7,258 |
| DaVita, Inc.* | 171 | | 23,606 |
| DENTSPLY SIRONA, Inc. | 13 | | 431 |
| Dexcom, Inc.* | 18 | | 2,497 |
| Edwards Lifesciences Corp.* | 29 | | 2,771 |
| Elevance Health, Inc. | 14 | | 7,259 |
| GE HealthCare Technologies, Inc. | 29 | | 2,636 |
| HCA Healthcare, Inc. | 19 | | 6,337 |
| Henry Schein, Inc.* | 9 | | 680 |
| Hologic, Inc.* | 14 | | 1,091 |
| Humana, Inc. | 222 | | 76,972 |
| IDEXX Laboratories, Inc.* | 4 | | 2,160 |
| Insulet Corp.* | 4 | | 686 |
| Intuitive Surgical, Inc.* | 16 | | 6,385 |
| Laboratory Corp. of America Holdings | 5 | | 1,092 |
| McKesson Corp. | 106 | | 56,906 |
| Medtronic PLC (Ireland) | 84 | | 7,321 |
| Molina Healthcare, Inc.* | 12 | | 4,930 |
| Quest Diagnostics, Inc. | 7 | | 932 |
| ResMed, Inc. | 120 | | 23,764 |
| STERIS PLC (Ireland) | 4 | | 899 |
| Stryker Corp. | 18 | | 6,442 |
| Teleflex, Inc. | 2 | | 452 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| UnitedHealth Group, Inc. | 58 | | $ 28,693 |
| Universal Health Services, Inc., Class B | 4 | | 730 |
| Zimmer Biomet Holdings, Inc. | 10 | | 1,320 |
| | | | 705,024 |
| Household & Personal Products — 2.2% |
| Church & Dwight Co., Inc. | 12 | | 1,252 |
| Clorox Co. (The) | 8 | | 1,225 |
| Colgate-Palmolive Co. | 1,081 | | 97,344 |
| Estee Lauder Cos., Inc. (The), Class A | 17 | | 2,620 |
| Kenvue, Inc. | 2,589 | | 55,560 |
| Kimberly-Clark Corp. | 646 | | 83,560 |
| Procter & Gamble Co. (The) | 1,247 | | 202,326 |
| | | | 443,887 |
| Insurance — 2.1% |
| Aflac, Inc. | 29 | | 2,490 |
| Allstate Corp. (The) | 13 | | 2,249 |
| American International Group, Inc. | 35 | | 2,736 |
| Aon PLC, Class A (Ireland) | 280 | | 93,441 |
| Arch Capital Group Ltd. (Bermuda)* | 23 | | 2,126 |
| Arthur J Gallagher & Co. | 15 | | 3,751 |
| Assurant, Inc. | 3 | | 565 |
| Brown & Brown, Inc. | 520 | | 45,521 |
| Chubb Ltd. (Switzerland) | 20 | | 5,182 |
| Cincinnati Financial Corp. | 10 | | 1,242 |
| Everest Group Ltd. (Bermuda) | 3 | | 1,192 |
| Globe Life, Inc. | 5 | | 582 |
| Hartford Financial Services Group, Inc. (The) | 15 | | 1,546 |
| Loews Corp. | 14 | | 1,096 |
| Marsh & McLennan Cos., Inc. | 941 | | 193,827 |
| MetLife, Inc. | 46 | | 3,409 |
| Principal Financial Group, Inc. | 12 | | 1,036 |
| Progressive Corp. (The) | 28 | | 5,791 |
| Prudential Financial, Inc. | 18 | | 2,113 |
| Travelers Cos., Inc. (The) | 13 | | 2,992 |
| W R Berkley Corp. | 16 | | 1,415 |
| Willis Towers Watson PLC (Ireland) | 196 | | 53,900 |
| | | | 428,202 |
| Materials — 1.8% |
| Air Products and Chemicals, Inc. | 10 | | 2,423 |
| Albemarle Corp. | 6 | | 790 |
| Amcor PLC (Jersey) | 92 | | 875 |
| Avery Dennison Corp. | 4 | | 893 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| Ball Corp. | 15 | | $ 1,010 |
| Celanese Corp. | 201 | | 34,544 |
| CF Industries Holdings, Inc. | 317 | | 26,378 |
| Corteva, Inc. | 43 | | 2,480 |
| Dow, Inc. | 44 | | 2,549 |
| DuPont de Nemours, Inc. | 27 | | 2,070 |
| Eastman Chemical Co. | 199 | | 19,944 |
| Ecolab, Inc. | 15 | | 3,463 |
| FMC Corp. | 7 | | 446 |
| Freeport-McMoRan, Inc. | 92 | | 4,326 |
| International Flavors & Fragrances, Inc. | 16 | | 1,376 |
| International Paper Co. | 560 | | 21,851 |
| Linde PLC (Ireland) | 30 | | 13,930 |
| LyondellBasell Industries NV, Class A (Netherlands) | 20 | | 2,046 |
| Martin Marietta Materials, Inc. | 3 | | 1,842 |
| Mosaic Co. (The) | 20 | | 649 |
| Newmont Corp. | 53 | | 1,899 |
| Nucor Corp. | 435 | | 86,086 |
| Packaging Corp. of America | 170 | | 32,263 |
| PPG Industries, Inc. | 425 | | 61,582 |
| Sherwin-Williams Co. (The) | 17 | | 5,905 |
| Steel Dynamics, Inc. | 11 | | 1,631 |
| Vulcan Materials Co. | 7 | | 1,910 |
| Westrock Co. | 471 | | 23,291 |
| | | | 358,452 |
| Media & Entertainment — 9.8% |
| Alphabet, Inc., Class A* | 5,852 | | 883,242 |
| Charter Communications, Inc., Class A* | 62 | | 18,019 |
| Comcast Corp., Class A | 3,555 | | 154,109 |
| Electronic Arts, Inc. | 127 | | 16,849 |
| Fox Corp., Class A | 31 | | 970 |
| Interpublic Group of Cos., Inc. (The) | 729 | | 23,787 |
| Live Nation Entertainment, Inc.* | 11 | | 1,164 |
| Match Group, Inc.* | 513 | | 18,612 |
| Meta Platforms, Inc., Class A | 1,312 | | 637,081 |
| Netflix, Inc.* | 184 | | 111,749 |
| News Corp., Class A | 940 | | 24,609 |
| Omnicom Group, Inc. | 379 | | 36,672 |
| Paramount Global, Class B | 41 | | 483 |
| Take-Two Interactive Software, Inc.* | 74 | | 10,988 |
| Walt Disney Co. (The) | 87 | | 10,645 |
| Warner Bros Discovery, Inc.* | 1,036 | | 9,044 |
| | | | 1,958,023 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Pharmaceuticals, Biotechnology & Life Sciences — 3.9% |
| AbbVie, Inc. | 344 | | $ 62,642 |
| Agilent Technologies, Inc. | 14 | | 2,037 |
| Amgen, Inc. | 282 | | 80,178 |
| Biogen, Inc.* | 10 | | 2,156 |
| Bio-Rad Laboratories, Inc., Class A* | 1 | | 346 |
| Bio-Techne Corp. | 8 | | 563 |
| Bristol-Myers Squibb Co. | 625 | | 33,894 |
| Catalent, Inc.* | 9 | | 508 |
| Charles River Laboratories International, Inc.* | 3 | | 813 |
| Danaher Corp. | 317 | | 79,161 |
| Eli Lilly & Co. | 45 | | 35,008 |
| Gilead Sciences, Inc. | 79 | | 5,787 |
| Illumina, Inc.* | 69 | | 9,475 |
| Incyte Corp.* | 95 | | 5,412 |
| IQVIA Holdings, Inc.* | 8 | | 2,023 |
| Johnson & Johnson | 1,660 | | 262,595 |
| Merck & Co., Inc. | 1,066 | | 140,659 |
| Mettler-Toledo International, Inc.* | 1 | | 1,331 |
| Moderna, Inc.* | 25 | | 2,664 |
| Pfizer, Inc. | 360 | | 9,990 |
| Regeneron Pharmaceuticals, Inc.* | 8 | | 7,700 |
| Revvity, Inc. | 8 | | 840 |
| Thermo Fisher Scientific, Inc. | 18 | | 10,462 |
| Vertex Pharmaceuticals, Inc.* | 18 | | 7,524 |
| Viatris, Inc. | 76 | | 908 |
| Waters Corp.* | 3 | | 1,033 |
| West Pharmaceutical Services, Inc. | 4 | | 1,583 |
| Zoetis, Inc. | 21 | | 3,554 |
| | | | 770,846 |
| Real Estate Management & Development — 0.0% |
| CBRE Group, Inc., Class A* | 19 | | 1,848 |
| CoStar Group, Inc.* | 19 | | 1,835 |
| | | | 3,683 |
| Semiconductors & Semiconductor Equipment — 8.9% |
| Advanced Micro Devices, Inc.* | 77 | | 13,898 |
| Analog Devices, Inc. | 23 | | 4,549 |
| Applied Materials, Inc. | 668 | | 137,762 |
| Broadcom, Inc. | 449 | | 595,109 |
| Enphase Energy, Inc.* | 6 | | 726 |
| First Solar, Inc.* | 5 | | 844 |
| Intel Corp. | 245 | | 10,822 |
| KLA Corp. | 64 | | 44,709 |
| Lam Research Corp. | 55 | | 53,436 |
| Microchip Technology, Inc. | 38 | | 3,409 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Semiconductors & Semiconductor Equipment — (Continued) |
| Micron Technology, Inc. | 471 | | $ 55,526 |
| Monolithic Power Systems, Inc. | 2 | | 1,355 |
| NVIDIA Corp. | 566 | | 511,415 |
| NXP Semiconductors NV (Netherlands) | 16 | | 3,964 |
| ON Semiconductor Corp.* | 28 | | 2,059 |
| Qorvo, Inc.* | 7 | | 804 |
| QUALCOMM, Inc. | 1,750 | | 296,275 |
| Skyworks Solutions, Inc. | 289 | | 31,304 |
| Teradyne, Inc. | 10 | | 1,128 |
| Texas Instruments, Inc. | 44 | | 7,665 |
| | | | 1,776,759 |
| Software & Services — 10.9% |
| Accenture PLC, Class A (Ireland) | 72 | | 24,956 |
| Adobe, Inc.* | 29 | | 14,633 |
| Akamai Technologies, Inc.* | 9 | | 979 |
| ANSYS, Inc.* | 37 | | 12,845 |
| Autodesk, Inc.* | 14 | | 3,646 |
| Cadence Design Systems, Inc.* | 116 | | 36,108 |
| Cognizant Technology Solutions Corp., Class A | 211 | | 15,464 |
| EPAM Systems, Inc.* | 25 | | 6,904 |
| Fair Isaac Corp.* | 2 | | 2,499 |
| Fortinet, Inc.* | 37 | | 2,527 |
| Gartner, Inc.* | 5 | | 2,383 |
| Gen Digital, Inc. | 985 | | 22,064 |
| International Business Machines Corp. | 742 | | 141,692 |
| Intuit, Inc. | 13 | | 8,450 |
| Microsoft Corp. | 3,807 | | 1,601,681 |
| Oracle Corp. | 167 | | 20,977 |
| Palo Alto Networks, Inc.* | 16 | | 4,546 |
| PTC, Inc.* | 6 | | 1,134 |
| Roper Technologies, Inc. | 46 | | 25,799 |
| Salesforce, Inc. | 631 | | 190,045 |
| ServiceNow, Inc.* | 14 | | 10,674 |
| Synopsys, Inc.* | 65 | | 37,148 |
| Tyler Technologies, Inc.* | 2 | | 850 |
| VeriSign, Inc.* | 6 | | 1,137 |
| | | | 2,189,141 |
| Technology Hardware & Equipment — 8.4% |
| Amphenol Corp., Class A | 40 | | 4,614 |
| Apple, Inc. | 6,600 | | 1,131,768 |
| Arista Networks, Inc.* | 16 | | 4,640 |
| CDW Corp. | 10 | | 2,558 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| Cisco Systems, Inc. | 6,838 | | $ 341,284 |
| Corning, Inc. | 55 | | 1,813 |
| F5, Inc.* | 113 | | 21,424 |
| Hewlett Packard Enterprise Co. | 82 | | 1,454 |
| HP, Inc. | 1,899 | | 57,388 |
| Jabil, Inc. | 245 | | 32,818 |
| Juniper Networks, Inc. | 586 | | 21,717 |
| Keysight Technologies, Inc.* | 12 | | 1,876 |
| Motorola Solutions, Inc. | 10 | | 3,550 |
| NetApp, Inc. | 381 | | 39,993 |
| Seagate Technology Holdings PLC (Ireland) | 14 | | 1,303 |
| Super Micro Computer, Inc.* | 2 | | 2,020 |
| TE Connectivity Ltd. (Switzerland) | 21 | | 3,050 |
| Teledyne Technologies, Inc.* | 3 | | 1,288 |
| Trimble, Inc.* | 12 | | 772 |
| Western Digital Corp.* | 20 | | 1,365 |
| Zebra Technologies Corp., Class A* | 3 | | 904 |
| | | | 1,677,599 |
| Telecommunication Services — 3.1% |
| AT&T, Inc. | 9,809 | | 172,639 |
| T-Mobile US, Inc. | 1,118 | | 182,480 |
| Verizon Communications, Inc. | 6,418 | | 269,299 |
| | | | 624,418 |
| Transportation — 1.1% |
| American Airlines Group, Inc.* | 1,152 | | 17,683 |
| CH Robinson Worldwide, Inc. | 7 | | 533 |
| CSX Corp. | 124 | | 4,597 |
| Delta Air Lines, Inc. | 1,136 | | 54,380 |
| Expeditors International of Washington, Inc. | 9 | | 1,094 |
| FedEx Corp. | 378 | | 109,522 |
| JB Hunt Transport Services, Inc. | 5 | | 996 |
| Norfolk Southern Corp. | 15 | | 3,823 |
| Old Dominion Freight Line, Inc. | 10 | | 2,193 |
| Southwest Airlines Co. | 29 | | 847 |
| Uber Technologies, Inc.* | 98 | | 7,545 |
| Union Pacific Corp. | 38 | | 9,345 |
| United Airlines Holdings, Inc.* | 16 | | 766 |
| United Parcel Service, Inc., Class B | 54 | | 8,026 |
| | | | 221,350 |
| Utilities — 0.5% |
| AES Corp. (The) | 40 | | 717 |
| Alliant Energy Corp. | 13 | | 655 |
| Ameren Corp. | 13 | | 962 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| American Electric Power Co., Inc. | 25 | | $ 2,153 |
| American Water Works Co., Inc. | 9 | | 1,100 |
| Atmos Energy Corp. | 7 | | 832 |
| CenterPoint Energy, Inc. | 30 | | 855 |
| CMS Energy Corp. | 14 | | 845 |
| Consolidated Edison, Inc. | 23 | | 2,089 |
| Constellation Energy Corp. | 21 | | 3,882 |
| Dominion Energy, Inc. | 48 | | 2,361 |
| DTE Energy Co. | 12 | | 1,346 |
| Duke Energy Corp. | 92 | | 8,897 |
| Edison International | 18 | | 1,273 |
| Entergy Corp. | 10 | | 1,057 |
| Evergy, Inc. | 11 | | 587 |
| Eversource Energy | 17 | | 1,016 |
| Exelon Corp. | 62 | | 2,329 |
| FirstEnergy Corp. | 28 | | 1,081 |
| NextEra Energy, Inc. | 97 | | 6,199 |
| NiSource, Inc. | 21 | | 581 |
| NRG Energy, Inc. | 377 | | 25,519 |
| PG&E Corp. | 907 | | 15,201 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Pinnacle West Capital Corp. | 6 | | $ 448 |
| PPL Corp. | 44 | | 1,211 |
| Public Service Enterprise Group, Inc. | 32 | | 2,137 |
| Sempra | 30 | | 2,155 |
| Southern Co. (The) | 52 | | 3,731 |
| WEC Energy Group, Inc. | 15 | | 1,232 |
| Xcel Energy, Inc. | 27 | | 1,451 |
| | | | 93,902 |
TOTAL COMMON STOCKS
(Cost $14,623,098) | | | 19,877,454 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% | | | 125,684 |
| NET ASSETS - 100.0% | | | $ 20,003,138 |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 138.0% |
| COMMON STOCKS — 138.0% |
| Automobiles & Components — 0.1% |
| BorgWarner, Inc. | 102 | | $ 3,543 |
| Capital Goods — 7.8% |
| Builders FirstSource, Inc.* | 383 | | 79,875 |
| Fastenal Co. | 135 | | 10,414 |
| General Electric Co. | 405 | | 71,090 |
| Honeywell International, Inc. | 63 | | 12,931 |
| Ingersoll Rand, Inc. | 12 | | 1,139 |
| Lockheed Martin Corp.† | 178 | | 80,967 |
| Masco Corp. | 390 | | 30,763 |
| Northrop Grumman Corp.† | 14 | | 6,701 |
| Snap-on, Inc.† | 291 | | 86,200 |
| Textron, Inc. | 464 | | 44,511 |
| Trane Technologies PLC (Ireland) | 28 | | 8,406 |
| WW Grainger, Inc.† | 16 | | 16,277 |
| | | | 449,274 |
| Commercial & Professional Services — 3.2% |
| Copart, Inc.†* | 1,019 | | 59,020 |
| Jacobs Solutions, Inc. | 295 | | 45,350 |
| Leidos Holdings, Inc. | 263 | | 34,477 |
| Republic Services, Inc. | 245 | | 46,903 |
| | | | 185,750 |
| Consumer Discretionary Distribution & Retail — 7.7% |
| Amazon.com, Inc.†* | 950 | | 171,361 |
| AutoZone, Inc.†* | 6 | | 18,910 |
| Best Buy Co., Inc.† | 25 | | 2,051 |
| eBay, Inc.† | 1,115 | | 58,850 |
| Genuine Parts Co.† | 520 | | 80,563 |
| Home Depot, Inc. (The) | 97 | | 37,209 |
| LKQ Corp. | 13 | | 694 |
| Lowe's Cos., Inc.† | 141 | | 35,917 |
| TJX Cos., Inc. (The) | 221 | | 22,414 |
| Ulta Beauty, Inc.* | 24 | | 12,549 |
| | | | 440,518 |
| Consumer Durables & Apparel — 4.7% |
| Deckers Outdoor Corp.* | 22 | | 20,708 |
| Garmin Ltd. (Switzerland)† | 1,120 | | 166,734 |
| PulteGroup, Inc. | 217 | | 26,175 |
| Tapestry, Inc. | 1,167 | | 55,409 |
| | | | 269,026 |
| Consumer Services — 3.7% |
| Booking Holdings, Inc.† | 26 | | 94,325 |
| Las Vegas Sands Corp. | 51 | | 2,637 |
| Marriott International, Inc., Class A | 192 | | 48,443 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — (Continued) |
| McDonald's Corp.† | 120 | | $ 33,834 |
| MGM Resorts International†* | 3 | | 142 |
| Wynn Resorts Ltd. | 46 | | 4,703 |
| Yum! Brands, Inc.† | 193 | | 26,759 |
| | | | 210,843 |
| Consumer Staples Distribution & Retail — 1.9% |
| Kroger Co. (The) | 1,845 | | 105,405 |
| Sysco Corp.† | 58 | | 4,708 |
| | | | 110,113 |
| Energy — 1.7% |
| Baker Hughes Co. | 516 | | 17,286 |
| ConocoPhillips | 17 | | 2,164 |
| Marathon Petroleum Corp. | 51 | | 10,276 |
| Phillips 66 | 117 | | 19,111 |
| Pioneer Natural Resources Co. | 196 | | 51,450 |
| | | | 100,287 |
| Financial Services — 8.9% |
| Berkshire Hathaway, Inc., Class B†* | 260 | | 109,335 |
| Cboe Global Markets, Inc.† | 741 | | 136,144 |
| CME Group, Inc.† | 56 | | 12,056 |
| Corpay, Inc.* | 54 | | 16,661 |
| Fiserv, Inc.* | 658 | | 105,161 |
| Mastercard, Inc., Class A† | 86 | | 41,415 |
| PayPal Holdings, Inc.†* | 629 | | 42,137 |
| Visa, Inc., Class A† | 183 | | 51,072 |
| | | | 513,981 |
| Food, Beverage & Tobacco — 15.2% |
| Altria Group, Inc.† | 2,150 | | 93,783 |
| Archer-Daniels-Midland Co. | 537 | | 33,729 |
| Bunge Global SA (Switzerland) | 3 | | 307 |
| Campbell Soup Co.† | 1,857 | | 82,544 |
| Coca-Cola Co. (The)† | 987 | | 60,385 |
| Conagra Brands, Inc. | 1,677 | | 49,706 |
| General Mills, Inc.† | 1,238 | | 86,623 |
| Hershey Co. (The)† | 113 | | 21,978 |
| Hormel Foods Corp.† | 549 | | 19,155 |
| Kellanova | 1,033 | | 59,181 |
| Keurig Dr Pepper, Inc.† | 2,243 | | 68,793 |
| Kraft Heinz Co. (The)† | 2,539 | | 93,689 |
| McCormick & Co., Inc., non-voting shares† | 212 | | 16,284 |
| Molson Coors Beverage Co., Class B† | 1,336 | | 89,846 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Mondelez International, Inc., Class A | 926 | | $ 64,820 |
| Philip Morris International, Inc.† | 336 | | 30,784 |
| | | | 871,607 |
| Health Care Equipment & Services — 12.1% |
| Abbott Laboratories† | 158 | | 17,958 |
| Baxter International, Inc. | 98 | | 4,189 |
| Cardinal Health, Inc.† | 903 | | 101,046 |
| Cencora, Inc.† | 395 | | 95,981 |
| Centene Corp.†* | 143 | | 11,223 |
| Cigna Group (The)† | 101 | | 36,682 |
| CVS Health Corp. | 474 | | 37,806 |
| DaVita, Inc.†* | 227 | | 31,337 |
| GE HealthCare Technologies, Inc.† | 373 | | 33,909 |
| Humana, Inc. | 267 | | 92,574 |
| McKesson Corp.† | 274 | | 147,097 |
| Molina Healthcare, Inc.†* | 99 | | 40,672 |
| Quest Diagnostics, Inc. | 252 | | 33,544 |
| UnitedHealth Group, Inc. | 21 | | 10,389 |
| | | | 694,407 |
| Household & Personal Products — 7.3% |
| Church & Dwight Co., Inc.† | 56 | | 5,841 |
| Clorox Co. (The) | 29 | | 4,440 |
| Colgate-Palmolive Co.† | 1,182 | | 106,439 |
| Kenvue, Inc. | 5,871 | | 125,992 |
| Kimberly-Clark Corp.† | 810 | | 104,774 |
| Procter & Gamble Co. (The)† | 428 | | 69,443 |
| | | | 416,929 |
| Insurance — 6.7% |
| Aon PLC, Class A (Ireland) | 184 | | 61,404 |
| Brown & Brown, Inc.† | 970 | | 84,914 |
| Marsh & McLennan Cos., Inc.† | 711 | | 146,452 |
| Willis Towers Watson PLC (Ireland) | 338 | | 92,950 |
| | | | 385,720 |
| Materials — 0.2% |
| Packaging Corp. of America | 18 | | 3,416 |
| Sherwin-Williams Co. (The) | 1 | | 347 |
| Vulcan Materials Co. | 19 | | 5,186 |
| | | | 8,949 |
| Media & Entertainment — 8.9% |
| Alphabet, Inc., Class A†* | 1,140 | | 172,060 |
| Charter Communications, Inc., Class A†* | 13 | | 3,778 |
| Comcast Corp., Class A† | 342 | | 14,826 |
| Electronic Arts, Inc.† | 342 | | 45,373 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Media & Entertainment — (Continued) |
| Interpublic Group of Cos., Inc. (The) | 1,232 | | $ 40,200 |
| Meta Platforms, Inc., Class A† | 235 | | 114,111 |
| Netflix, Inc.†* | 105 | | 63,770 |
| Omnicom Group, Inc.† | 560 | | 54,186 |
| Take-Two Interactive Software, Inc.†* | 16 | | 2,376 |
| | | | 510,680 |
| Pharmaceuticals, Biotechnology & Life Sciences — 4.8% |
| AbbVie, Inc. | 242 | | 44,068 |
| Amgen, Inc.† | 247 | | 70,227 |
| Bio-Rad Laboratories, Inc., Class A* | 36 | | 12,451 |
| Bristol-Myers Squibb Co.† | 151 | | 8,189 |
| Danaher Corp.† | 68 | | 16,981 |
| Gilead Sciences, Inc. | 246 | | 18,019 |
| Illumina, Inc.†* | 15 | | 2,060 |
| Johnson & Johnson† | 288 | | 45,559 |
| Merck & Co., Inc.† | 424 | | 55,947 |
| | | | 273,501 |
| Semiconductors & Semiconductor Equipment — 8.7% |
| Applied Materials, Inc.† | 692 | | 142,711 |
| Broadcom, Inc.† | 124 | | 164,351 |
| KLA Corp.† | 139 | | 97,101 |
| Lam Research Corp.† | 29 | | 28,176 |
| QUALCOMM, Inc. | 279 | | 47,235 |
| Skyworks Solutions, Inc. | 213 | | 23,072 |
| | | | 502,646 |
| Software & Services — 10.0% |
| Accenture PLC, Class A (Ireland) | 158 | | 54,764 |
| Akamai Technologies, Inc.†* | 29 | | 3,154 |
| Gen Digital, Inc.† | 564 | | 12,634 |
| International Business Machines Corp.† | 469 | | 89,560 |
| Microsoft Corp.† | 656 | | 275,992 |
| Roper Technologies, Inc.† | 10 | | 5,609 |
| Salesforce, Inc.† | 273 | | 82,222 |
| VeriSign, Inc.* | 275 | | 52,115 |
| | | | 576,050 |
| Technology Hardware & Equipment — 17.5% |
| Apple, Inc.† | 1,413 | | 242,301 |
| CDW Corp.† | 213 | | 54,481 |
| Cisco Systems, Inc.† | 2,102 | | 104,911 |
| F5, Inc.†* | 563 | | 106,739 |
| HP, Inc.† | 1,110 | | 33,544 |
| Jabil, Inc. | 1,052 | | 140,916 |
| Juniper Networks, Inc.† | 2,810 | | 104,139 |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Technology Hardware & Equipment — (Continued) |
| Keysight Technologies, Inc.†* | 385 | | $ 60,206 |
| Motorola Solutions, Inc. | 181 | | 64,251 |
| NetApp, Inc.† | 883 | | 92,689 |
| | | | 1,004,177 |
| Telecommunication Services — 3.8% |
| AT&T, Inc.† | 1,415 | | 24,904 |
| T-Mobile US, Inc. | 803 | | 131,066 |
| Verizon Communications, Inc.† | 1,527 | | 64,073 |
| | | | 220,043 |
| Transportation — 2.1% |
| American Airlines Group, Inc.†* | 1,584 | | 24,314 |
| Delta Air Lines, Inc.† | 372 | | 17,808 |
| Expeditors International of Washington, Inc.† | 54 | | 6,565 |
| FedEx Corp.† | 253 | | 73,304 |
| | | | 121,991 |
| Utilities — 1.0% |
| NRG Energy, Inc. | 818 | | 55,370 |
TOTAL COMMON STOCKS
(Cost $6,261,423) | | | 7,925,405 |
|
| |
TOTAL LONG POSITIONS - 138.0%
(Cost $6,261,423) | | | 7,925,405 |
| SHORT POSITIONS — (39.7)% |
| COMMON STOCKS — (39.7)% |
| Automobiles & Components — (0.3)% |
| Ford Motor Co. | (595) | | (7,902) |
| Tesla, Inc.* | (64) | | (11,250) |
| | | | (19,152) |
| Capital Goods — (0.7)% |
| Axon Enterprise, Inc.* | (70) | | (21,902) |
| Boeing Co. (The)* | (49) | | (9,456) |
| Rockwell Automation, Inc. | (40) | | (11,653) |
| | | | (43,011) |
| Commercial & Professional Services — (0.8)% |
| Dayforce, Inc.* | (552) | | (36,548) |
| Equifax, Inc. | (14) | | (3,745) |
| Paycom Software, Inc. | (19) | | (3,781) |
| | | | (44,074) |
| Consumer Discretionary Distribution & Retail — (0.2)% |
| CarMax, Inc.* | (30) | | (2,614) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Consumer Discretionary Distribution & Retail — (Continued) |
| Ross Stores, Inc. | (12) | | $ (1,761) |
| Tractor Supply Co. | (17) | | (4,449) |
| | | | (8,824) |
| Consumer Durables & Apparel — (0.7)% |
| Lululemon Athletica, Inc.* | (96) | | (37,502) |
| Ralph Lauren Corp. | (7) | | (1,314) |
| VF Corp. | (269) | | (4,127) |
| | | | (42,943) |
| Consumer Services — (1.6)% |
| Airbnb, Inc., Class A* | (137) | | (22,600) |
| Carnival Corp. (Panama)* | (1,151) | | (18,807) |
| Chipotle Mexican Grill, Inc.* | (1) | | (2,907) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (1,335) | | (27,942) |
| Royal Caribbean Cruises Ltd. (Liberia)* | (142) | | (19,739) |
| | | | (91,995) |
| Energy — (0.6)% |
| ONEOK, Inc. | (235) | | (18,840) |
| Targa Resources Corp. | (28) | | (3,136) |
| Valero Energy Corp. | (20) | | (3,414) |
| Williams Cos., Inc. (The) | (181) | | (7,053) |
| | | | (32,443) |
| Equity Real Estate Investment Trusts (REITs) — (1.3)% |
| American Tower Corp. | (66) | | (13,041) |
| Crown Castle, Inc. | (17) | | (1,799) |
| Equinix, Inc. | (35) | | (28,887) |
| Iron Mountain, Inc. | (173) | | (13,876) |
| SBA Communications Corp. | (52) | | (11,269) |
| Ventas, Inc. | (67) | | (2,917) |
| | | | (71,789) |
| Financial Services — (0.6)% |
| Fidelity National Information Services, Inc. | (93) | | (6,899) |
| Jack Henry & Associates, Inc. | (47) | | (8,165) |
| MSCI, Inc. | (30) | | (16,814) |
| | | | (31,878) |
| Food, Beverage & Tobacco — (0.5)% |
| Lamb Weston Holdings, Inc. | (260) | | (27,698) |
| Monster Beverage Corp.* | (56) | | (3,320) |
| | | | (31,018) |
| Health Care Equipment & Services — (4.0)% |
| Align Technology, Inc.* | (55) | | (18,036) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| Boston Scientific Corp.* | (42) | | $ (2,877) |
| Cooper Cos., Inc. (The) | (215) | | (21,814) |
| DENTSPLY SIRONA, Inc. | (52) | | (1,726) |
| Dexcom, Inc.* | (247) | | (34,259) |
| Edwards Lifesciences Corp.* | (211) | | (20,163) |
| Henry Schein, Inc.* | (215) | | (16,237) |
| IDEXX Laboratories, Inc.* | (42) | | (22,677) |
| Insulet Corp.* | (190) | | (32,566) |
| Intuitive Surgical, Inc.* | (71) | | (28,335) |
| STERIS PLC (Ireland) | (104) | | (23,381) |
| Stryker Corp. | (23) | | (8,231) |
| | | | (230,302) |
| Household & Personal Products — (0.1)% |
| Estee Lauder Cos., Inc. (The), Class A | (36) | | (5,549) |
| Insurance — (0.3)% |
| Everest Group Ltd. (Bermuda) | (43) | | (17,093) |
| Materials — (1.5)% |
| Air Products and Chemicals, Inc. | (66) | | (15,990) |
| Albemarle Corp. | (88) | | (11,593) |
| CF Industries Holdings, Inc. | (122) | | (10,152) |
| Freeport-McMoRan, Inc. | (445) | | (20,924) |
| Newmont Corp. | (798) | | (28,600) |
| | | | (87,259) |
| Media & Entertainment — (0.1)% |
| Fox Corp., Class A | (242) | | (7,567) |
| Pharmaceuticals, Biotechnology & Life Sciences — (3.5)% |
| Biogen, Inc.* | (32) | | (6,900) |
| Bio-Techne Corp. | (369) | | (25,974) |
| Catalent, Inc.* | (575) | | (32,459) |
| Charles River Laboratories International, Inc.* | (86) | | (23,302) |
| Eli Lilly & Co. | (15) | | (11,669) |
| IQVIA Holdings, Inc.* | (21) | | (5,310) |
| Moderna, Inc.* | (202) | | (21,525) |
| Pfizer, Inc. | (324) | | (8,991) |
| Revvity, Inc. | (92) | | (9,660) |
| Waters Corp.* | (12) | | (4,131) |
| West Pharmaceutical Services, Inc. | (103) | | (40,758) |
| Zoetis, Inc. | (70) | | (11,845) |
| | | | (202,524) |
| Real Estate Management & Development — (0.5)% |
| CoStar Group, Inc.* | (314) | | (30,332) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Semiconductors & Semiconductor Equipment — (5.0)% |
| Advanced Micro Devices, Inc.* | (262) | | $ (47,288) |
| Analog Devices, Inc. | (130) | | (25,713) |
| Enphase Energy, Inc.* | (81) | | (9,799) |
| First Solar, Inc.* | (173) | | (29,202) |
| Intel Corp. | (834) | | (36,838) |
| Monolithic Power Systems, Inc. | (50) | | (33,871) |
| NVIDIA Corp. | (49) | | (44,275) |
| ON Semiconductor Corp.* | (352) | | (25,890) |
| Teradyne, Inc. | (128) | | (14,442) |
| Texas Instruments, Inc. | (118) | | (20,557) |
| | | | (287,875) |
| Software & Services — (3.7)% |
| Adobe, Inc.* | (13) | | (6,560) |
| Autodesk, Inc.* | (103) | | (26,823) |
| Fair Isaac Corp.* | (5) | | (6,248) |
| Fortinet, Inc.* | (434) | | (29,647) |
| Intuit, Inc. | (36) | | (23,400) |
| Oracle Corp. | (166) | | (20,851) |
| Palo Alto Networks, Inc.* | (132) | | (37,505) |
| PTC, Inc.* | (42) | | (7,935) |
| ServiceNow, Inc.* | (35) | | (26,684) |
| Tyler Technologies, Inc.* | (62) | | (26,351) |
| | | | (212,004) |
| Technology Hardware & Equipment — (2.3)% |
| Arista Networks, Inc.* | (92) | | (26,678) |
| Seagate Technology Holdings PLC (Ireland) | (157) | | (14,609) |
| Super Micro Computer, Inc.* | (44) | | (44,441) |
| Trimble, Inc.* | (52) | | (3,347) |
| Western Digital Corp.* | (419) | | (28,592) |
| Zebra Technologies Corp., Class A* | (54) | | (16,278) |
| | | | (133,945) |
| Transportation — (1.9)% |
| JB Hunt Transport Services, Inc. | (153) | | (30,485) |
| Old Dominion Freight Line, Inc. | (97) | | (21,273) |
| Southwest Airlines Co. | (576) | | (16,813) |
| Uber Technologies, Inc.* | (306) | | (23,559) |
| United Airlines Holdings, Inc.* | (344) | | (16,471) |
| | | | (108,601) |
| Utilities — (9.5)% |
| AES Corp. (The) | (1,064) | | (19,077) |
| Alliant Energy Corp. | (637) | | (32,105) |
| Ameren Corp. | (315) | | (23,297) |
| American Electric Power Co., Inc. | (55) | | (4,735) |
The accompanying notes are an integral part of the financial statements.
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| American Water Works Co., Inc. | (202) | | $ (24,686) |
| Atmos Energy Corp. | (224) | | (26,627) |
| CenterPoint Energy, Inc. | (896) | | (25,527) |
| CMS Energy Corp. | (437) | | (26,369) |
| Consolidated Edison, Inc. | (105) | | (9,535) |
| Constellation Energy Corp. | (49) | | (9,058) |
| Dominion Energy, Inc. | (481) | | (23,660) |
| DTE Energy Co. | (241) | | (27,026) |
| Edison International | (311) | | (21,997) |
| Evergy, Inc. | (276) | | (14,733) |
| Eversource Energy | (349) | | (20,860) |
| Exelon Corp. | (715) | | (26,863) |
| FirstEnergy Corp. | (487) | | (18,808) |
| NextEra Energy, Inc. | (315) | | (20,132) |
| NiSource, Inc. | (1,106) | | (30,592) |
| Pinnacle West Capital Corp. | (432) | | (32,283) |
| PPL Corp. | (8) | | (220) |
| Public Service Enterprise Group, Inc. | (250) | | (16,695) |
| Sempra | (401) | | (28,804) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| Southern Co. (The) | (254) | | $ (18,222) |
| WEC Energy Group, Inc. | (267) | | (21,926) |
| Xcel Energy, Inc. | (363) | | (19,511) |
| | | | (543,348) |
TOTAL COMMON STOCKS
(Proceeds $2,320,250) | | | (2,283,526) |
|
| |
TOTAL SHORT POSITIONS - (39.7)%
(Proceeds $2,320,250) | | (2,283,526) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7% | | | 100,452 |
| NET ASSETS - 100.0% | | | $ 5,742,331 |
| † | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 95.0% |
| Automobiles & Components — 0.4% |
| BorgWarner, Inc. | 1,756 | | $ 61,003 |
| Capital Goods — 7.8% |
| A. O. Smith Corp. | 481 | | 43,030 |
| Builders FirstSource, Inc.(a)* | 944 | | 196,871 |
| Carrier Global Corp. | 180 | | 10,463 |
| Caterpillar, Inc. | 21 | | 7,695 |
| Fastenal Co. | 301 | | 23,219 |
| General Electric Co.(a) | 1,133 | | 198,876 |
| Honeywell International, Inc. | 406 | | 83,332 |
| Illinois Tool Works, Inc. | 30 | | 8,050 |
| Ingersoll Rand, Inc. | 330 | | 31,334 |
| Johnson Controls International PLC (Ireland) | 32 | | 2,090 |
| Lockheed Martin Corp. | 388 | | 176,490 |
| Masco Corp. | 1,323 | | 104,358 |
| Northrop Grumman Corp. | 19 | | 9,095 |
| Otis Worldwide Corp. | 246 | | 24,420 |
| Pentair PLC (Ireland) | 54 | | 4,614 |
| Snap-on, Inc.(a) | 634 | | 187,803 |
| Textron, Inc. | 1,136 | | 108,976 |
| Trane Technologies PLC (Ireland) | 249 | | 74,750 |
| WW Grainger, Inc. | 44 | | 44,761 |
| | | | 1,340,227 |
| Commercial & Professional Services — 2.0% |
| Automatic Data Processing, Inc. | 50 | | 12,487 |
| Copart, Inc.* | 1,018 | | 58,963 |
| Jacobs Solutions, Inc. | 743 | | 114,221 |
| Leidos Holdings, Inc. | 712 | | 93,336 |
| Republic Services, Inc. | 364 | | 69,684 |
| | | | 348,691 |
| Consumer Discretionary Distribution & Retail — 3.6% |
| Amazon.com, Inc.(a)* | 896 | | 161,620 |
| AutoZone, Inc.* | 9 | | 28,365 |
| Best Buy Co., Inc. | 52 | | 4,266 |
| eBay, Inc.(a) | 1,742 | | 91,943 |
| Genuine Parts Co. | 1,037 | | 160,662 |
| Home Depot, Inc. (The) | 153 | | 58,691 |
| LKQ Corp. | 61 | | 3,258 |
| Lowe's Cos., Inc. | 153 | | 38,974 |
| TJX Cos., Inc. (The) | 310 | | 31,440 |
| Ulta Beauty, Inc.* | 68 | | 35,556 |
| | | | 614,775 |
| Consumer Durables & Apparel — 3.1% |
| Deckers Outdoor Corp.* | 69 | | 64,947 |
| Garmin Ltd. (Switzerland) | 1,739 | | 258,885 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Durables & Apparel — (Continued) |
| Hasbro, Inc. | 82 | | $ 4,635 |
| PulteGroup, Inc. | 661 | | 79,730 |
| Tapestry, Inc. | 2,478 | | 117,655 |
| | | | 525,852 |
| Consumer Services — 2.8% |
| Booking Holdings, Inc.(a) | 62 | | 224,929 |
| Marriott International, Inc., Class A(a) | 393 | | 99,158 |
| McDonald's Corp. | 289 | | 81,483 |
| MGM Resorts International* | 128 | | 6,043 |
| Wynn Resorts Ltd. | 43 | | 4,396 |
| Yum! Brands, Inc. | 432 | | 59,897 |
| | | | 475,906 |
| Consumer Staples Distribution & Retail — 1.0% |
| Kroger Co. (The)(a) | 2,992 | | 170,933 |
| Sysco Corp. | 84 | | 6,819 |
| | | | 177,752 |
| Energy — 0.8% |
| Baker Hughes Co. | 705 | | 23,618 |
| ConocoPhillips | 36 | | 4,582 |
| Marathon Petroleum Corp. | 72 | | 14,508 |
| Phillips 66 | 139 | | 22,704 |
| Pioneer Natural Resources Co. | 287 | | 75,337 |
| | | | 140,749 |
| Financial Services — 5.9% |
| Berkshire Hathaway, Inc., Class B(a)* | 548 | | 230,445 |
| Cboe Global Markets, Inc. | 1,283 | | 235,726 |
| CME Group, Inc. | 186 | | 40,044 |
| Corpay, Inc.* | 259 | | 79,912 |
| Fiserv, Inc.(a)* | 1,247 | | 199,295 |
| Mastercard, Inc., Class A | 92 | | 44,304 |
| PayPal Holdings, Inc.* | 1,420 | | 95,126 |
| Visa, Inc., Class A | 285 | | 79,538 |
| | | | 1,004,390 |
| Food, Beverage & Tobacco — 10.7% |
| Altria Group, Inc.(a) | 4,776 | | 208,329 |
| Archer-Daniels-Midland Co. | 1,264 | | 79,392 |
| Bunge Global SA (Switzerland) | 70 | | 7,176 |
| Campbell Soup Co.(a) | 3,053 | | 135,706 |
| Coca-Cola Co. (The)(a) | 2,533 | | 154,969 |
| Conagra Brands, Inc. | 3,259 | | 96,597 |
| General Mills, Inc.(a) | 2,337 | | 163,520 |
| Hershey Co. (The) | 307 | | 59,712 |
| Hormel Foods Corp. | 1,201 | | 41,903 |
| Kellanova (a) | 2,084 | | 119,392 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Food, Beverage & Tobacco — (Continued) |
| Keurig Dr Pepper, Inc.(a) | 4,391 | | $ 134,672 |
| Kraft Heinz Co. (The)(a) | 4,868 | | 179,629 |
| McCormick & Co., Inc., non-voting shares | 425 | | 32,644 |
| Molson Coors Beverage Co., Class B(a) | 2,574 | | 173,102 |
| Mondelez International, Inc., Class A(a) | 2,180 | | 152,600 |
| Philip Morris International, Inc. | 1,128 | | 103,347 |
| | | | 1,842,690 |
| Health Care Equipment & Services — 7.9% |
| Abbott Laboratories | 258 | | 29,324 |
| Baxter International, Inc. | 232 | | 9,916 |
| Cardinal Health, Inc.(a) | 1,848 | | 206,791 |
| Cencora, Inc.(a) | 761 | | 184,916 |
| Centene Corp.* | 306 | | 24,015 |
| Cigna Group (The) | 286 | | 103,872 |
| CVS Health Corp. | 504 | | 40,199 |
| DaVita, Inc.* | 586 | | 80,897 |
| GE HealthCare Technologies, Inc.(a) | 729 | | 66,274 |
| Humana, Inc. | 569 | | 197,284 |
| McKesson Corp.(a) | 447 | | 239,972 |
| Molina Healthcare, Inc.(a)* | 234 | | 96,134 |
| Quest Diagnostics, Inc. | 445 | | 59,234 |
| UnitedHealth Group, Inc. | 49 | | 24,240 |
| | | | 1,363,068 |
| Household & Personal Products — 4.7% |
| Church & Dwight Co., Inc. | 61 | | 6,363 |
| Clorox Co. (The) | 178 | | 27,254 |
| Colgate-Palmolive Co.(a) | 1,932 | | 173,977 |
| Kenvue, Inc.(a) | 10,812 | | 232,025 |
| Kimberly-Clark Corp.(a) | 1,548 | | 200,234 |
| Procter & Gamble Co. (The)(a) | 1,058 | | 171,660 |
| | | | 811,513 |
| Insurance — 4.1% |
| Aon PLC, Class A (Ireland) | 421 | | 140,496 |
| Brown & Brown, Inc. | 1,325 | | 115,991 |
| Marsh & McLennan Cos., Inc.(a) | 1,297 | | 267,156 |
| Willis Towers Watson PLC (Ireland) | 630 | | 173,250 |
| | | | 696,893 |
| Materials — 0.8% |
| International Paper Co. | 48 | | 1,873 |
| Nucor Corp. | 1 | | 198 |
| Packaging Corp. of America | 194 | | 36,817 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| PPG Industries, Inc. | 83 | | $ 12,027 |
| Sherwin-Williams Co. (The) | 111 | | 38,554 |
| Vulcan Materials Co. | 182 | | 49,671 |
| | | | 139,140 |
| Media & Entertainment — 6.0% |
| Alphabet, Inc., Class A(a)* | 1,747 | | 263,675 |
| Charter Communications, Inc., Class A* | 16 | | 4,650 |
| Comcast Corp., Class A(a) | 1,614 | | 69,967 |
| Electronic Arts, Inc. | 756 | | 100,298 |
| Interpublic Group of Cos., Inc. (The)(a) | 3,605 | | 117,631 |
| Match Group, Inc.* | 119 | | 4,317 |
| Meta Platforms, Inc., Class A(a) | 388 | | 188,405 |
| Netflix, Inc.(a)* | 194 | | 117,822 |
| News Corp., Class A | 755 | | 19,766 |
| Omnicom Group, Inc.(a) | 1,425 | | 137,883 |
| Take-Two Interactive Software, Inc.* | 26 | | 3,861 |
| | | | 1,028,275 |
| Pharmaceuticals, Biotechnology & Life Sciences — 3.6% |
| AbbVie, Inc. | 606 | | 110,353 |
| Amgen, Inc. | 320 | | 90,982 |
| Bristol-Myers Squibb Co.(a) | 1,091 | | 59,165 |
| Danaher Corp. | 109 | | 27,219 |
| Gilead Sciences, Inc. | 991 | | 72,591 |
| Illumina, Inc.* | 25 | | 3,433 |
| Incyte Corp.* | 82 | | 4,672 |
| Johnson & Johnson(a) | 776 | | 122,755 |
| Merck & Co., Inc. | 975 | | 128,651 |
| Vertex Pharmaceuticals, Inc.* | 5 | | 2,090 |
| | | | 621,911 |
| Semiconductors & Semiconductor Equipment — 6.9% |
| Applied Materials, Inc.(a) | 1,494 | | 308,108 |
| Broadcom, Inc.(a) | 257 | | 340,630 |
| KLA Corp.(a) | 252 | | 176,040 |
| Lam Research Corp.(a) | 70 | | 68,010 |
| NXP Semiconductors NV (Netherlands) | 1 | | 248 |
| QUALCOMM, Inc. | 1,133 | | 191,817 |
| Skyworks Solutions, Inc.(a) | 995 | | 107,778 |
| | | | 1,192,631 |
| Software & Services — 5.9% |
| Accenture PLC, Class A (Ireland) | 518 | | 179,544 |
| Adobe, Inc.* | 51 | | 25,735 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — (Continued) |
| Akamai Technologies, Inc.* | 209 | | $ 22,731 |
| Gen Digital, Inc.(a) | 2,276 | | 50,982 |
| International Business Machines Corp.(a) | 896 | | 171,100 |
| Microsoft Corp.(a) | 796 | | 334,893 |
| Roper Technologies, Inc. | 16 | | 8,973 |
| Salesforce, Inc.(a) | 398 | | 119,870 |
| VeriSign, Inc.* | 503 | | 95,324 |
| | | | 1,009,152 |
| Technology Hardware & Equipment — 12.5% |
| Apple, Inc.(a) | 2,505 | | 429,557 |
| CDW Corp. | 590 | | 150,910 |
| Cisco Systems, Inc.(a) | 5,363 | | 267,667 |
| F5, Inc.* | 1,099 | | 208,359 |
| HP, Inc. | 2,948 | | 89,089 |
| Jabil, Inc.(a) | 2,269 | | 303,933 |
| Juniper Networks, Inc.(a) | 5,075 | | 188,079 |
| Keysight Technologies, Inc.* | 760 | | 118,849 |
| Motorola Solutions, Inc. | 410 | | 145,542 |
| NetApp, Inc.(a) | 1,839 | | 193,040 |
| Seagate Technology Holdings PLC (Ireland) | 635 | | 59,087 |
| TE Connectivity Ltd. (Switzerland) | 17 | | 2,469 |
| | | | 2,156,581 |
| Telecommunication Services — 2.3% |
| AT&T, Inc. | 2,953 | | 51,973 |
| T-Mobile US, Inc.(a) | 1,366 | | 222,958 |
| Verizon Communications, Inc.(a) | 3,009 | | 126,258 |
| | | | 401,189 |
| Transportation — 1.5% |
| CH Robinson Worldwide, Inc. | 26 | | 1,980 |
| Delta Air Lines, Inc. | 2,081 | | 99,617 |
| Expeditors International of Washington, Inc. | 75 | | 9,118 |
| FedEx Corp.(a) | 523 | | 151,534 |
| | | | 262,249 |
| Utilities — 0.7% |
| NRG Energy, Inc. | 1,821 | | 123,263 |
TOTAL COMMON STOCKS
(Cost $13,288,825) | | | 16,337,900 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0% | | | 867,648 |
| NET ASSETS - 100.0% | | | $ 17,205,548 |
| (a) | Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 29, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 3.8% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Long | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| BorgWarner, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,762 | | $ 63,476 | | $ 61,212 | | $ 36 |
| Capital Goods | | | | | | | | | | | | | | |
| A. O. Smith Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 481 | | 31,997 | | 43,030 | | 12,777 |
| Builders FirstSource, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 997 | | 163,419 | | 207,924 | | 51,034 |
| Carrier Global Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 177 | | 8,194 | | 10,289 | | 2,567 |
| Caterpillar, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 19 | | 6,498 | | 6,962 | | 988 |
| Fastenal Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 317 | | 19,666 | | 24,453 | | 5,813 |
| General Electric Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,077 | | 106,682 | | 189,046 | | 86,667 |
| Honeywell International, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 400 | | 78,080 | | 82,100 | | 7,844 |
| Illinois Tool Works, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 30 | | 7,687 | | 8,050 | | 1,099 |
| Ingersoll Rand, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 330 | | 31,000 | | 31,333 | | 1,667 |
| Johnson Controls International PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 31 | | 1,616 | | 2,025 | | 1,049 |
| Lockheed Martin Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 376 | | 160,911 | | 171,031 | | 23,481 |
| Masco Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,342 | | 89,031 | | 105,857 | | 21,010 |
| Northrop Grumman Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 23 | | 8,180 | | 11,009 | | 4,100 |
| Otis Worldwide Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 223 | | 21,279 | | 22,137 | | 1,819 |
| Pentair PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 53 | | 3,071 | | 4,528 | | 1,695 |
| Snap-on, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 613 | | 152,269 | | 181,583 | | 40,286 |
| Textron, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,100 | | 95,841 | | 105,523 | | 13,570 |
| Trane Technologies PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 249 | | 67,576 | | 74,750 | | 10,161 |
| WW Grainger, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 42 | | 28,209 | | 42,727 | | 17,653 |
| | | | | | | | | | | 7,880 | | 1,081,206 | | 1,324,357 | | 305,280 |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| Automatic Data Processing, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 49 | | 11,904 | | 12,237 | | 1,179 |
| Copart, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,004 | | 39,006 | | 58,152 | | 20,793 |
| Jacobs Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 740 | | 107,118 | | 113,760 | | 10,964 |
| Leidos Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 692 | | 78,192 | | 90,714 | | 16,001 |
| Republic Services, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 359 | | 52,443 | | 68,727 | | 18,844 |
| | | | | | | | | | | 2,844 | | 288,663 | | 343,590 | | 67,781 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| Amazon.com, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,966 | | $ 203,807 | | $ 354,627 | | $ 162,942 |
| AutoZone, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 7 | | 17,780 | | 22,062 | | 5,096 |
| Best Buy Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 24 | | 1,642 | | 1,969 | | 709 |
| eBay, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 1,747 | | 70,278 | | 92,207 | | 28,223 |
| Genuine Parts Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,018 | | 133,668 | | 157,719 | | 31,576 |
| Home Depot, Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 144 | | 48,978 | | 55,238 | | 8,611 |
| LKQ Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 65 | | 2,857 | | 3,472 | | 879 |
| Lowe's Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 154 | | 28,787 | | 39,228 | | 12,767 |
| TJX Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 296 | | 23,505 | | 30,020 | | 8,348 |
| Ulta Beauty, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 71 | | 29,242 | | 37,124 | | 9,147 |
| | | | | | | | | | | 5,492 | | 560,544 | | 793,666 | | 268,298 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Deckers Outdoor Corp. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 68 | | 61,708 | | 64,006 | | 5,144 |
| Garmin Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,726 | | 180,380 | | 256,950 | | 87,490 |
| Hasbro, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 66 | | 3,308 | | 3,730 | | 887 |
| PulteGroup, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 643 | | 45,805 | | 77,559 | | 34,012 |
| Tapestry, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,455 | | 68,789 | | 116,563 | | 52,324 |
| | | | | | | | | | | 4,958 | | 359,990 | | 518,808 | | 179,857 |
| Consumer Services | | | | | | | | | | | | | | |
| Booking Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 53 | | 158,039 | | 192,278 | | 42,423 |
| Marriott International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 389 | | 67,457 | | 98,149 | | 33,455 |
| McDonald's Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 286 | | 76,300 | | 80,638 | | 9,813 |
| MGM Resorts International | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 123 | | 4,360 | | 5,807 | | 1,735 |
| Wynn Resorts Ltd. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 40 | | 4,016 | | 4,089 | | 349 |
| Yum! Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 438 | | 55,294 | | 60,729 | | 8,896 |
| | | | | | | | | | | 1,329 | | 365,466 | | 441,690 | | 96,671 |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Kroger Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,984 | | 135,484 | | 170,476 | | 49,431 |
| Sysco Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 86 | | 5,526 | | 6,981 | | 2,433 |
| | | | | | | | | | | 3,070 | | 141,010 | | 177,457 | | 51,864 |
| Energy | | | | | | | | | | | | | | |
| Baker Hughes Co. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 824 | | 21,410 | | 27,604 | | 7,373 |
| ConocoPhillips | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 36 | | 3,613 | | 4,582 | | 1,338 |
| Marathon Petroleum Corp. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 71 | | 8,527 | | 14,306 | | 6,725 |
| Phillips 66 | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 147 | | 18,332 | | 24,011 | | 7,201 |
| Pioneer Natural Resources Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 281 | | 65,323 | | 73,762 | | 13,003 |
| | | | | | | | | | | 1,359 | | 117,205 | | 144,265 | | 35,640 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Financial Services | | | | | | | | | | | | | | |
| Berkshire Hathaway, Inc., Class B | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 237 | | $ 60,117 | | $ 99,663 | | $ 43,658 |
| Cboe Global Markets, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,220 | | 174,776 | | 224,151 | | 58,932 |
| CME Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 179 | | 38,343 | | 38,537 | | 1,972 |
| Corpay, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 249 | | 63,906 | | 76,826 | | 15,540 |
| Fiserv, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,241 | | 166,125 | | 198,337 | | 38,887 |
| Mastercard, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 166 | | 46,107 | | 79,941 | | 37,743 |
| PayPal Holdings, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,402 | | 72,148 | | 93,920 | | 24,720 |
| Visa, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 285 | | 66,979 | | 79,538 | | 16,815 |
| | | | | | | | | | | 4,979 | | 688,501 | | 890,913 | | 238,267 |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Altria Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 4,640 | | 195,580 | | 202,397 | | 42,581 |
| Archer-Daniels-Midland Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 1,246 | | 66,857 | | 78,261 | | 14,604 |
| Bunge Global SA (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 63 | | 6,193 | | 6,459 | | 678 |
| Campbell Soup Co. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 3,206 | | 152,345 | | 142,507 | | 75 |
| Coca-Cola Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 2,532 | | 144,479 | | 154,908 | | 22,219 |
| Conagra Brands, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 3,227 | | 95,855 | | 95,648 | | 6,961 |
| General Mills, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 2,245 | | 151,708 | | 157,083 | | 24,922 |
| Hershey Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 310 | | 58,607 | | 60,295 | | 5,043 |
| Hormel Foods Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,158 | | 36,428 | | 40,403 | | 5,859 |
| Kellanova | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | 1,987 | | 133,311 | | 113,835 | | (7,813) |
| Keurig Dr Pepper, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 4,304 | | 135,174 | | 132,004 | | 1,561 |
| Kraft Heinz Co. (The) | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 4,825 | | 167,417 | | 178,042 | | 26,540 |
| McCormick & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 427 | | 26,097 | | 32,798 | | 7,986 |
| Molson Coors Beverage Co., Class B | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,543 | | 159,246 | | 171,017 | | 21,252 |
| Mondelez International, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,175 | | 148,362 | | 152,250 | | 11,478 |
| Philip Morris International, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 1,099 | | 101,299 | | 100,690 | | 8,478 |
| | | | | | | | | | | 35,987 | | 1,778,958 | | 1,818,597 | | 192,424 |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Abbott Laboratories | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 220 | | 21,706 | | 25,005 | | 5,302 |
| Baxter International, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 231 | | 7,607 | | 9,873 | | 2,681 |
| Cardinal Health, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,723 | | 161,602 | | 192,804 | | 42,411 |
| Cencora, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 726 | | 140,070 | | 176,411 | | 43,588 |
| Centene Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 300 | | 19,081 | | 23,544 | | 5,429 |
| Cigna Group (The) | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 278 | | 87,005 | | 100,967 | | 19,302 |
| CVS Health Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 495 | | 33,212 | | 39,481 | | 9,103 |
| DaVita, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 581 | | 65,244 | | 80,207 | | 17,623 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Health Care Equipment & Services
— (continued) | | | | | | | | | | | | | | |
| GE HealthCare Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 720 | | $ 49,027 | | $ 65,455 | | $ 18,469 |
| Humana, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 557 | | 199,111 | | 193,123 | | 2,312 |
| McKesson Corp. | | USFF +0.250% | | Weekly | | MS | | 01/05/26 | | 441 | | 189,801 | | 236,751 | | 55,751 |
| Molina Healthcare, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 226 | | 64,400 | | 92,848 | | 34,463 |
| Quest Diagnostics, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 456 | | 57,338 | | 60,698 | | 5,824 |
| UnitedHealth Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 48 | | 23,332 | | 23,746 | | 1,776 |
| | | | | | | | | | | 7,002 | | 1,118,536 | | 1,320,913 | | 264,034 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Church & Dwight Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 57 | | 4,909 | | 5,946 | | 1,689 |
| Clorox Co. (The) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 159 | | 24,052 | | 24,344 | | 3,576 |
| Colgate-Palmolive Co. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,898 | | 148,537 | | 170,915 | | 29,975 |
| Kenvue, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 10,683 | | 205,498 | | 229,257 | | 31,939 |
| Kimberly-Clark Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,552 | | 187,439 | | 200,751 | | 32,197 |
| Procter & Gamble Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,034 | | 149,201 | | 167,766 | | 32,505 |
| | | | | | | | | | | 15,383 | | 719,636 | | 798,979 | | 131,881 |
| Insurance | | | | | | | | | | | | | | |
| Aon PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 415 | | 125,771 | | 138,494 | | 18,165 |
| Brown & Brown, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,395 | | 95,605 | | 122,118 | | 32,047 |
| Marsh & McLennan Cos., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,276 | | 243,342 | | 262,830 | | 30,083 |
| Willis Towers Watson PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 624 | | 164,475 | | 171,600 | | 14,338 |
| | | | | | | | | | | 3,710 | | 629,193 | | 695,042 | | 94,633 |
| Materials | | | | | | | | | | | | | | |
| International Paper Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 51 | | 1,653 | | 1,990 | | 743 |
| Packaging Corp. of America | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 193 | | 29,931 | | 36,628 | | 9,166 |
| PPG Industries, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 79 | | 11,077 | | 11,447 | | 956 |
| Sherwin-Williams Co. (The) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 107 | | 33,006 | | 37,164 | | 6,156 |
| Vulcan Materials Co. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 184 | | 49,430 | | 50,217 | | 2,845 |
| | | | | | | | | | | 614 | | 125,097 | | 137,446 | | 19,866 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Alphabet, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 1,688 | | 157,879 | | 254,770 | | 104,491 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Charter Communications, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 24 | | $ 7,364 | | $ 6,975 | | $ 17 |
| Comcast Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,407 | | 56,450 | | 60,993 | | 14,090 |
| Electronic Arts, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 747 | | 89,501 | | 99,104 | | 14,323 |
| Interpublic Group of Cos., Inc. (The) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 3,491 | | 113,621 | | 113,911 | | 8,263 |
| Match Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 121 | | 3,447 | | 4,390 | | 1,195 |
| Meta Platforms, Inc., Class A | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 381 | | 125,178 | | 185,006 | | 65,047 |
| Netflix, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 196 | | 77,759 | | 119,037 | | 44,446 |
| News Corp., Class A | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 726 | | 18,805 | | 19,007 | | 1,042 |
| Omnicom Group, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,417 | | 115,728 | | 137,109 | | 30,825 |
| Take-Two Interactive Software, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 21 | | 2,234 | | 3,118 | | 1,125 |
| | | | | | | | | | | 10,219 | | 767,966 | | 1,003,420 | | 284,864 |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| AbbVie, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 567 | | 87,577 | | 103,251 | | 20,342 |
| Amgen, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 283 | | 64,847 | | 80,463 | | 20,509 |
| Bristol-Myers Squibb Co. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 869 | | 43,255 | | 47,126 | | 5,496 |
| Danaher Corp. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 95 | | 20,550 | | 23,723 | | 4,350 |
| Gilead Sciences, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 990 | | 72,156 | | 72,517 | | 3,725 |
| Illumina, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 19 | | 5,688 | | 2,609 | | (2,738) |
| Incyte Corp. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 89 | | 4,622 | | 5,070 | | 747 |
| Johnson & Johnson | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 774 | | 118,080 | | 122,439 | | 18,068 |
| Merck & Co., Inc. | | USFF +0.250% | | Weekly | | MS | | 07/06/26 | | 961 | | 114,449 | | 126,804 | | 19,653 |
| Vertex Pharmaceuticals, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5 | | 1,733 | | 2,090 | | 4,526 |
| | | | | | | | | | | 4,652 | | 532,957 | | 586,092 | | 94,678 |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Applied Materials, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/07/27 | | 1,419 | | 181,696 | | 292,640 | | 120,647 |
| Broadcom, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 247 | | 157,133 | | 327,376 | | 176,526 |
| KLA Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 242 | | 96,817 | | 169,054 | | 77,711 |
| Lam Research Corp. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 66 | | 50,164 | | 64,124 | | 20,467 |
| QUALCOMM, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,125 | | 172,368 | | 190,462 | | 24,570 |
| Skyworks Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 981 | | 97,619 | | 106,262 | | 12,530 |
| | | | | | | | | | | 4,080 | | 755,797 | | 1,149,918 | | 432,451 |
| Software & Services | | | | | | | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 442 | | 148,302 | | 153,202 | | 10,538 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Adobe, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 50 | | $ 24,872 | | $ 25,230 | | $ 1,099 |
| Akamai Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 210 | | 16,487 | | 22,840 | | 7,117 |
| Gen Digital, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,271 | | 37,738 | | 50,870 | | 19,813 |
| International Business Machines Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 894 | | 111,493 | | 170,718 | | 69,580 |
| Microsoft Corp. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 1,252 | | 248,785 | | 526,741 | | 305,945 |
| Roper Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 14 | | 5,583 | | 7,852 | | 2,722 |
| Salesforce, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 412 | | 83,085 | | 124,086 | | 44,378 |
| VeriSign, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 507 | | 98,735 | | 96,082 | | 1,338 |
| | | | | | | | | | | 6,052 | | 775,080 | | 1,177,621 | | 462,530 |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Apple, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 1,756 | | 119,422 | | 301,119 | | 195,911 |
| CDW Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 584 | | 98,159 | | 149,376 | | 56,534 |
| Cisco Systems, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 5,035 | | 232,391 | | 251,297 | | 46,324 |
| F5, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,062 | | 180,972 | | 201,345 | | 27,576 |
| HP, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 2,874 | | 78,834 | | 86,852 | | 14,348 |
| Jabil, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,237 | | 287,498 | | 299,646 | | 23,582 |
| Juniper Networks, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 5,021 | | 136,837 | | 186,078 | | 58,234 |
| Keysight Technologies, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 749 | | 93,088 | | 117,129 | | 27,810 |
| Motorola Solutions, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 404 | | 130,688 | | 143,412 | | 19,022 |
| NetApp, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 1,822 | | 136,100 | | 191,255 | | 62,904 |
| Seagate Technology Holdings PLC (Ireland) | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 633 | | 35,310 | | 58,901 | | 25,094 |
| TE Connectivity Ltd. (Switzerland) | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 19 | | 2,241 | | 2,760 | | 1,053 |
| | | | | | | | | | | 22,196 | | 1,531,540 | | 1,989,170 | | 558,392 |
| Telecommunication Services | | | | | | | | | | | | | | |
| AT&T, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/08/27 | | 2,937 | | 44,455 | | 51,691 | | 10,959 |
| T-Mobile US, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 1,349 | | 189,195 | | 220,184 | | 40,182 |
| Verizon Communications, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 2,965 | | 98,252 | | 124,411 | | 31,870 |
| | | | | | | | | | | 7,251 | | 331,902 | | 396,286 | | 83,011 |
| Transportation | | | | | | | | | | | | | | |
| CH Robinson Worldwide, Inc. | | USFF +0.250% | | Weekly | | MS | | 01/12/29 | | 44 | | 3,171 | | 3,350 | | 444 |
| Delta Air Lines, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,953 | | 70,900 | | 93,490 | | 25,864 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Pay | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
Long | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Transportation — (continued) | | | | | | | | | | | | | | |
| Expeditors International of Washington, Inc. | | USFF +0.250% | | Weekly | | MS | | 08/29/24 | | 77 | | $ 8,149 | | $ 9,361 | | $ 3,150 |
| FedEx Corp. | | USFF +0.250% | | Weekly | | MS | | 01/10/28 | | 500 | | 115,366 | | 144,870 | | 36,646 |
| | | | | | | | | | | 2,574 | | 197,586 | | 251,071 | | 66,104 |
| Utilities | | | | | | | | | | | | | | |
| NRG Energy, Inc. | | USFF +0.250% | | Weekly | | MS | | 07/11/28 | | 1,807 | | 108,524 | | 122,316 | | 18,227 |
|
|
| Total Reference Entity — Long | | | | | | 13,038,833 | | 16,142,829 | | 3,946,789 |
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Short | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | |
| Aptiv PLC (Jersey) | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (207) | | $ (33,395) | | $ (16,488) | | $ 16,092 |
| Ford Motor Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (2,071) | | (26,488) | | (27,503) | | (2,268) |
| Tesla, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (192) | | (53,351) | | (33,752) | | 18,225 |
| | | | | | | | | | | (2,470) | | (113,234) | | (77,743) | | 32,049 |
| Capital Goods | | | | | | | | | | | | | | |
| Axon Enterprise, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (423) | | (90,530) | | (132,348) | | (46,878) |
| Boeing Co. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (305) | | (69,542) | | (58,862) | | 8,952 |
| Generac Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (12) | | (5,736) | | (1,514) | | 9,450 |
| Rockwell Automation, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (236) | | (66,209) | | (68,754) | | (4,479) |
| | | | | | | | | | | (976) | | (232,017) | | (261,478) | | (32,955) |
Commercial & Professional
Services | | | | | | | | | | | | | | |
| Dayforce, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,994) | | (277,993) | | (198,233) | | 72,236 |
| Equifax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (43) | | (10,671) | | (11,503) | | (1,453) |
| Paycom Software, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (529) | | (187,714) | | (105,276) | | 76,642 |
| | | | | | | | | | | (3,566) | | (476,378) | | (315,012) | | 147,425 |
Consumer Discretionary
Distribution & Retail | | | | | | | | | | | | | | |
| CarMax, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (14) | | (1,208) | | (1,220) | | 72 |
| Etsy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (101) | | (28,981) | | (6,941) | | 21,348 |
| Tractor Supply Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (181) | | (43,829) | | (47,371) | | (4,946) |
| | | | | | | | | | | (296) | | (74,018) | | (55,532) | | 16,474 |
| Consumer Durables & Apparel | | | | | | | | | | | | | | |
| Lululemon Athletica, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (489) | | (221,668) | | (191,028) | | 24,564 |
| NIKE, Inc., Class B | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (675) | | (67,630) | | (63,437) | | 4,274 |
| | | | | | | | | | | (1,164) | | (289,298) | | (254,465) | | 28,838 |
| Consumer Services | | | | | | | | | | | | | | |
| Airbnb, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (733) | | (107,704) | | (120,916) | | (20,345) |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Consumer Services — (continued) | | | | | | | | | | | | | | |
| Carnival Corp. (Panama) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (4,127) | | $ (72,298) | | $ (67,435) | | $ 2,961 |
| Chipotle Mexican Grill, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (38) | | (96,877) | | (110,457) | | (20,634) |
| Las Vegas Sands Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (8) | | (482) | | (414) | | 167 |
| Norwegian Cruise Line Holdings Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (6,861) | | (126,806) | | (143,601) | | (24,793) |
| Royal Caribbean Cruises Ltd. (Liberia) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (866) | | (106,070) | | (120,383) | | (21,424) |
| | | | | | | | | | | (12,633) | | (510,237) | | (563,206) | | (84,068) |
Consumer Staples Distribution &
Retail | | | | | | | | | | | | | | |
| Dollar Tree, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (329) | | (49,988) | | (43,806) | | 4,903 |
| Energy | | | | | | | | | | | | | | |
| ONEOK, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,582) | | (106,546) | | (126,829) | | (26,569) |
| Targa Resources Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (270) | | (23,712) | | (30,237) | | (10,242) |
| Williams Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,726) | | (61,126) | | (67,262) | | (11,774) |
| | | | | | | | | | | (3,578) | | (191,384) | | (224,328) | | (48,585) |
Equity Real Estate Investment
Trusts (REITs) | | | | | | | | | | | | | | |
| American Tower Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (473) | | (96,043) | | (93,460) | | (70) |
| Crown Castle, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (112) | | (12,468) | | (11,853) | | 188 |
| Equinix, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (217) | | (177,936) | | (179,097) | | (9,693) |
| Iron Mountain, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (949) | | (58,071) | | (76,119) | | (21,781) |
| SBA Communications Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (333) | | (72,153) | | (72,161) | | (2,585) |
| | | | | | | | | | | (2,084) | | (416,671) | | (432,690) | | (33,941) |
| Financial Services | | | | | | | | | | | | | | |
| Fidelity National Information Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (526) | | (34,908) | | (39,019) | | (6,065) |
| Jack Henry & Associates, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (288) | | (50,186) | | (50,034) | | (1,280) |
| MSCI, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (180) | | (109,940) | | (100,881) | | 4,283 |
| | | | | | | | | | | (994) | | (195,034) | | (189,934) | | (3,062) |
| Food, Beverage & Tobacco | | | | | | | | | | | | | | |
| Brown-Forman Corp., Class B | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (196) | | (13,806) | | (10,118) | | 3,295 |
| J M Smucker Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (20) | | (2,488) | | (2,517) | | 770 |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Food, Beverage & Tobacco —
(continued) | | | | | | | | | | | | | | |
| Lamb Weston Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,678) | | $ (162,407) | | $ (178,757) | | $ (21,680) |
| Monster Beverage Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (658) | | (38,007) | | (39,006) | | (2,166) |
| | | | | | | | | | | (2,552) | | (216,708) | | (230,398) | | (19,781) |
| Health Care Equipment & Services | | | | | | | | | | | | | | |
| Align Technology, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (309) | | (154,991) | | (101,327) | | 48,301 |
| Boston Scientific Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (647) | | (43,437) | | (44,313) | | (2,528) |
| Cooper Cos., Inc. (The) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,447) | | (125,594) | | (146,813) | | (25,657) |
| DENTSPLY SIRONA, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (117) | | (3,859) | | (3,883) | | (33) |
| Dexcom, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,722) | | (225,685) | | (238,841) | | (20,973) |
| Edwards Lifesciences Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,445) | | (125,336) | | (138,084) | | (16,579) |
| Henry Schein, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,448) | | (109,364) | | (109,353) | | (2,928) |
| IDEXX Laboratories, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (260) | | (147,426) | | (140,382) | | 1,594 |
| Insulet Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,108) | | (321,318) | | (189,911) | | 122,502 |
| Intuitive Surgical, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (487) | | (172,256) | | (194,357) | | (28,384) |
| ResMed, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (227) | | (54,885) | | (44,953) | | 8,022 |
| STERIS PLC (Ireland) | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (631) | | (136,198) | | (141,861) | | (10,153) |
| Stryker Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (221) | | (74,071) | | (79,089) | | (9,339) |
| Teleflex, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (27) | | (7,360) | | (6,107) | | 1,128 |
| | | | | | | | | | | (10,096) | | (1,701,780) | | (1,579,274) | | 64,973 |
| Household & Personal Products | | | | | | | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (195) | | (66,327) | | (30,059) | | 33,759 |
| Insurance | | | | | | | | | | | | | | |
| Everest Re Group Ltd. (Bermuda) | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (312) | | (118,190) | | (124,020) | | (9,573) |
| Materials | | | | | | | | | | | | | | |
| Air Products and Chemicals, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (573) | | (162,819) | | (138,821) | | 17,675 |
| Albemarle Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (263) | | (67,521) | | (34,648) | | 28,159 |
| CF Industries Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (984) | | (80,399) | | (81,879) | | (3,703) |
| FMC Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,188) | | (134,015) | | (75,676) | | 51,957 |
| Freeport-McMoRan, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,219) | | (100,566) | | (104,337) | | (7,605) |
| Newmont Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (4,883) | | (177,783) | | (175,007) | | (3,081) |
| | | | | | | | | | | (10,110) | | (723,103) | | (610,368) | | 83,402 |
| Media & Entertainment | | | | | | | | | | | | | | |
| Fox Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,785) | | (53,004) | | (55,817) | | (4,481) |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
Media & Entertainment —
(continued) | | | | | | | | | | | | | | |
| Live Nation Entertainment, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (414) | | $ (40,064) | | $ (43,789) | | $ (5,298) |
| Paramount Global, Class B | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (568) | | (13,502) | | (6,685) | | 6,325 |
| | | | | | | | | | | (2,767) | | (106,570) | | (106,291) | | (3,454) |
Pharmaceuticals, Biotechnology &
Life Sciences | | | | | | | | | | | | | | |
| Biogen, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (268) | | (60,395) | | (57,789) | | 1,518 |
| Bio-Rad Laboratories, Inc., Class A | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (32) | | (25,618) | | (11,068) | | 13,952 |
| Bio-Techne Corp. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (2,116) | | (238,307) | | (148,945) | | 81,785 |
| Catalent, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (3,587) | | (332,946) | | (202,486) | | 121,268 |
| Charles River Laboratories International, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (493) | | (144,783) | | (133,578) | | 6,869 |
| Eli Lilly & Co. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (146) | | (111,692) | | (113,582) | | (6,313) |
| IQVIA Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (124) | | (32,441) | | (31,358) | | 55 |
| Moderna, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,615) | | (179,244) | | (172,094) | | 2,271 |
| Pfizer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (3,575) | | (98,724) | | (99,206) | | (3,123) |
| Revvity, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (579) | | (61,155) | | (60,795) | | (1,249) |
| Waters Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (103) | | (35,452) | | (35,456) | | (908) |
| West Pharmaceutical Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (724) | | (268,801) | | (286,494) | | (25,782) |
| Zoetis, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (479) | | (92,496) | | (81,052) | | 8,915 |
| | | | | | | | | | | (13,841) | | (1,682,054) | | (1,433,903) | | 199,258 |
Real Estate Management &
Development | | | | | | | | | | | | | | |
| CoStar Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,894) | | (160,297) | | (182,960) | | (27,025) |
Semiconductors & Semiconductor
Equipment | | | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,847) | | (253,061) | | (333,365) | | (87,257) |
| Analog Devices, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (951) | | (178,016) | | (188,098) | | (17,831) |
| Enphase Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (167) | | (36,062) | | (20,204) | | 26,210 |
| First Solar, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (940) | | (191,044) | | (158,672) | | 29,969 |
| Intel Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (5,667) | | (245,777) | | (250,311) | | (15,204) |
| Monolithic Power Systems, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (339) | | (190,547) | | (229,645) | | (47,979) |
| NVIDIA Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (346) | | (181,819) | | (312,632) | | (136,238) |
| ON Semiconductor Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,480) | | (221,922) | | (182,404) | | 33,813 |
| Teradyne, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (900) | | (96,211) | | (101,547) | | (8,685) |
| Texas Instruments, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (881) | | (155,216) | | (153,479) | | (4,293) |
| | | | | | | | | | | (14,518) | | (1,749,675) | | (1,930,357) | | (227,495) |
| Software & Services | | | | | | | | | | | | | | |
| Autodesk, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (660) | | (170,413) | | (171,877) | | (6,244) |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Software & Services — (continued) | | | | | | | | | | | | | | |
| Fair Isaac Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (45) | | $ (54,467) | | $ (56,232) | | $ (3,170) |
| Fortinet, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (3,042) | | (212,966) | | (207,799) | | (875) |
| Intuit, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (237) | | (150,897) | | (154,050) | | (9,534) |
| Oracle Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (1,283) | | (154,421) | | (161,158) | | (11,910) |
| Palo Alto Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (959) | | (271,678) | | (272,481) | | (9,583) |
| PTC, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/05/26 | | (275) | | (47,410) | | (51,959) | | (6,203) |
| ServiceNow, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (246) | | (168,032) | | (187,550) | | (26,715) |
| Tyler Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (416) | | (186,310) | | (176,804) | | 4,074 |
| | | | | | | | | | | (7,163) | | (1,416,594) | | (1,439,910) | | (70,160) |
| Technology Hardware & Equipment | | | | | | | | | | | | | | |
| Arista Networks, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (633) | | (151,629) | | (183,557) | | (38,912) |
| Super Micro Computer, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (266) | | (255,356) | | (268,668) | | (20,329) |
| Trimble, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (4) | | (258) | | (257) | | 110 |
| Western Digital Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,100) | | (150,636) | | (211,544) | | (75,364) |
| Zebra Technologies Corp., Class A | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (262) | | (70,175) | | (78,977) | | (11,607) |
| | | | | | | | | | | (4,265) | | (628,054) | | (743,003) | | (146,102) |
| Transportation | | | | | | | | | | | | | | |
| JB Hunt Transport Services, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,008) | | (196,092) | | (200,844) | | (12,199) |
| Old Dominion Freight Line, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (632) | | (128,257) | | (138,604) | | (14,274) |
| Southwest Airlines Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,164) | | (78,381) | | (63,167) | | 12,077 |
| Uber Technologies, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,075) | | (140,037) | | (159,754) | | (25,315) |
| United Airlines Holdings, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,209) | | (117,091) | | (105,767) | | 8,170 |
| | | | | | | | | | | (8,088) | | (659,858) | | (668,136) | | (31,541) |
| Utilities | | | | | | | | | | | | | | |
| AES Corp. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,253) | | (130,735) | | (94,186) | | 32,778 |
| Alliant Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (4,245) | | (238,423) | | (213,948) | | 10,552 |
| Ameren Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,326) | | (190,138) | | (172,031) | | 8,704 |
| American Electric Power Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,337) | | (125,067) | | (115,116) | | 2,014 |
| American Water Works Co., Inc. | | USFF -0.250% | | Weekly | | MS | | 07/06/26 | | (1,220) | | (195,347) | | (149,096) | | 35,412 |
| Atmos Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,652) | | (192,134) | | (196,373) | | (13,954) |
| CenterPoint Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (6,399) | | (184,530) | | (182,308) | | (6,673) |
| CMS Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,191) | | (190,186) | | (192,545) | | (7,894) |
| Consolidated Edison, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (1,057) | | (97,372) | | (95,986) | | (2,126) |
| Constellation Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (446) | | (59,264) | | (82,443) | | (24,926) |
The accompanying notes are an integral part of the financial statements.
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity | | Receive | | Payment
Frequency | | Counter-
party | | Maturity
Date | | Number of
Contracts
(Short) | | Notional
Amount | | Value | | Unrealized
Appreciation/
(Depreciation)* |
| Utilities — (continued) | | | | | | | | | | | | | | |
| Dominion Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (3,286) | | $ (160,120) | | $ (161,638) | | $ (7,882) |
| DTE Energy Co. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (1,687) | | (179,892) | | (189,180) | | (16,989) |
| Duke Energy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (102) | | (10,124) | | (9,864) | | (212) |
| Edison International | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,101) | | (148,030) | | (148,604) | | (9,184) |
| Entergy Corp. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (208) | | (21,521) | | (21,981) | | (1,330) |
| Evergy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,857) | | (172,753) | | (152,507) | | 9,140 |
| Eversource Energy | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,219) | | (163,539) | | (132,630) | | 20,647 |
| Exelon Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (5,057) | | (211,622) | | (189,991) | | 9,413 |
| FirstEnergy Corp. | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (3,546) | | (140,926) | | (136,947) | | (91) |
| NextEra Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,938) | | (152,035) | | (123,858) | | 19,377 |
| NiSource, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (7,538) | | (207,205) | | (208,501) | | (13,466) |
| Pinnacle West Capital Corp. | | USFF -0.250% | | Weekly | | MS | | 08/29/24 | | (2,807) | | (225,852) | | (209,767) | | (1,564) |
| PPL Corp. | | USFF -0.250% | | Weekly | | MS | | 01/12/29 | | (706) | | (18,965) | | (19,436) | | (968) |
| Public Service Enterprise Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/11/28 | | (2,028) | | (126,417) | | (135,430) | | (16,451) |
| Sempra | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (2,630) | | (200,340) | | (188,913) | | (591) |
| Southern Co. (The) | | USFF -0.250% | | Weekly | | MS | | 01/10/28 | | (2,118) | | (154,951) | | (151,945) | | (6,222) |
| WEC Energy Group, Inc. | | USFF -0.250% | | Weekly | | MS | | 07/08/27 | | (1,993) | | (181,718) | | (163,665) | | 7,743 |
| Xcel Energy, Inc. | | USFF -0.250% | | Weekly | | MS | | 01/07/27 | | (2,886) | | (180,730) | | (155,123) | | 16,667 |
| | | | | | | | | | | (72,833) | | (4,259,936) | | (3,994,012) | | 41,924 |
|
|
| Total Reference Entity — Short | | | | | | (16,037,405) | | (15,490,885) | | (84,737) |
| Net Value of Reference Entity | | | | | | $ (2,998,572) | | $ 651,944 | | $3,862,052 |
| * | Includes $211,536 related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| MS | Morgan Stanley |
| USFF | U.S. Fed Funds |
The accompanying notes are an integral part of the financial statements.
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANIES(a) — 99.1% | | |
| Gotham 1000 Value ETF | 186,866 | | $ 4,457,502 |
| Gotham Defensive Long 500 Fund* | 79,920 | | 1,389,808 |
| Gotham Enhanced S&P 500 Index Fund | 118,020 | | 2,079,505 |
| Gotham Hedged Core Fund | 167,604 | | 2,081,639 |
| Gotham Large Value Fund | 190,906 | | 2,854,045 |
| Gotham Neutral Fund* | 105,430 | | 1,392,735 |
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES
(Cost $11,964,862) | | | 14,255,234 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | | | 134,934 |
| NET ASSETS - 100.0% | | | $ 14,390,168 |
| (a) | All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website. |
| * | Non-income producing. |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 138.6% |
| COMMON STOCKS — 138.6% |
| Automobiles & Components — 0.4% |
| Aptiv PLC (Jersey)* | 87 | | $ 6,930 |
| BorgWarner, Inc. | 148 | | 5,141 |
| General Motors Co.† | 111 | | 5,034 |
| | | | 17,105 |
| Banks — 2.2% |
| Bank of America Corp. | 415 | | 15,737 |
| Citigroup, Inc. | 27 | | 1,707 |
| Citizens Financial Group, Inc. | 43 | | 1,560 |
| Comerica, Inc. | 12 | | 660 |
| Fifth Third Bancorp | 61 | | 2,270 |
| Huntington Bancshares, Inc. | 13 | | 181 |
| JPMorgan Chase & Co.† | 277 | | 55,483 |
| KeyCorp. | 86 | | 1,360 |
| M&T Bank Corp. | 7 | | 1,018 |
| PNC Financial Services Group, Inc. (The) | 13 | | 2,101 |
| Truist Financial Corp. | 123 | | 4,795 |
| US Bancorp | 140 | | 6,258 |
| Wells Fargo & Co. | 47 | | 2,724 |
| | | | 95,854 |
| Capital Goods — 18.2% |
| 3M Co.† | 157 | | 16,653 |
| A. O. Smith Corp. | 92 | | 8,230 |
| Allegion PLC (Ireland) | 22 | | 2,964 |
| AMETEK, Inc. | 28 | | 5,121 |
| Builders FirstSource, Inc.* | 77 | | 16,058 |
| Carrier Global Corp. | 254 | | 14,765 |
| Caterpillar, Inc.† | 305 | | 111,761 |
| Cummins, Inc. | 85 | | 25,045 |
| Dover Corp. | 32 | | 5,670 |
| Eaton Corp. PLC (Ireland) | 14 | | 4,378 |
| Fastenal Co. | 19 | | 1,466 |
| Fortive Corp.† | 14 | | 1,204 |
| Generac Holdings, Inc.* | 13 | | 1,640 |
| General Dynamics Corp. | 49 | | 13,842 |
| General Electric Co.† | 404 | | 70,914 |
| Honeywell International, Inc.† | 400 | | 82,100 |
| Howmet Aerospace, Inc. | 76 | | 5,201 |
| Huntington Ingalls Industries, Inc. | 10 | | 2,915 |
| Illinois Tool Works, Inc.† | 132 | | 35,420 |
| Ingersoll Rand, Inc. | 250 | | 23,738 |
| Johnson Controls International PLC (Ireland)† | 397 | | 25,932 |
| Lockheed Martin Corp.† | 141 | | 64,137 |
| Masco Corp. | 141 | | 11,122 |
| Nordson Corp. | 3 | | 824 |
| Otis Worldwide Corp. | 245 | | 24,321 |
| PACCAR, Inc. | 226 | | 27,999 |
| Parker-Hannifin Corp.† | 80 | | 44,463 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Capital Goods — (Continued) |
| Pentair PLC (Ireland) | 30 | | $ 2,563 |
| Quanta Services, Inc. | 22 | | 5,716 |
| RTX Corp. | 117 | | 11,411 |
| Snap-on, Inc. | 34 | | 10,071 |
| Stanley Black & Decker, Inc. | 94 | | 9,205 |
| Textron, Inc. | 124 | | 11,895 |
| Trane Technologies PLC (Ireland)† | 127 | | 38,125 |
| TransDigm Group, Inc. | 10 | | 12,316 |
| United Rentals, Inc. | 40 | | 28,844 |
| Westinghouse Air Brake Technologies Corp. | 56 | | 8,158 |
| WW Grainger, Inc.† | 15 | | 15,260 |
| | | | 801,447 |
| Commercial & Professional Services — 1.1% |
| Automatic Data Processing, Inc. | 58 | | 14,485 |
| Copart, Inc.* | 9 | | 521 |
| Jacobs Solutions, Inc. | 80 | | 12,299 |
| Leidos Holdings, Inc. | 87 | | 11,405 |
| Robert Half, Inc. | 32 | | 2,537 |
| Veralto Corp.† | 76 | | 6,738 |
| | | | 47,985 |
| Consumer Discretionary Distribution & Retail — 11.1% |
| Amazon.com, Inc.†* | 1,160 | | 209,241 |
| Bath & Body Works, Inc. | 137 | | 6,853 |
| Best Buy Co., Inc.† | 131 | | 10,746 |
| eBay, Inc.† | 315 | | 16,626 |
| Genuine Parts Co. | 86 | | 13,324 |
| Home Depot, Inc. (The)† | 277 | | 106,257 |
| LKQ Corp. | 82 | | 4,380 |
| Lowe's Cos., Inc. | 39 | | 9,934 |
| Pool Corp. | 12 | | 4,842 |
| Ross Stores, Inc.† | 153 | | 22,454 |
| TJX Cos., Inc. (The)† | 706 | | 71,602 |
| Ulta Beauty, Inc.* | 29 | | 15,164 |
| | | | 491,423 |
| Consumer Durables & Apparel — 2.6% |
| Deckers Outdoor Corp.* | 16 | | 15,060 |
| DR Horton, Inc. | 37 | | 6,088 |
| Garmin Ltd. (Switzerland) | 121 | | 18,013 |
| Hasbro, Inc. | 86 | | 4,861 |
| Lennar Corp., Class A | 26 | | 4,472 |
| Lululemon Athletica, Inc.* | 73 | | 28,517 |
| Mohawk Industries, Inc.* | 39 | | 5,105 |
| NIKE, Inc., Class B | 80 | | 7,518 |
| PulteGroup, Inc. | 66 | | 7,961 |
| Ralph Lauren Corp. | 41 | | 7,698 |
| Tapestry, Inc. | 145 | | 6,885 |
| VF Corp. | 243 | | 3,728 |
| | | | 115,906 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Consumer Services — 4.5% |
| Booking Holdings, Inc.† | 21 | | $ 76,186 |
| Caesars Entertainment, Inc.* | 67 | | 2,931 |
| Carnival Corp. (Panama)* | 73 | | 1,193 |
| Darden Restaurants, Inc. | 1 | | 167 |
| Expedia Group, Inc.* | 72 | | 9,918 |
| Marriott International, Inc., Class A† | 160 | | 40,370 |
| McDonald's Corp.† | 176 | | 49,623 |
| MGM Resorts International* | 102 | | 4,815 |
| Starbucks Corp. | 16 | | 1,462 |
| Wynn Resorts Ltd. | 2 | | 204 |
| Yum! Brands, Inc.† | 96 | | 13,310 |
| | | | 200,179 |
| Consumer Staples Distribution & Retail — 0.7% |
| Kroger Co. (The) | 440 | | 25,137 |
| Sysco Corp. | 85 | | 6,900 |
| | | | 32,037 |
| Energy — 4.7% |
| APA Corp.† | 93 | | 3,197 |
| Baker Hughes Co. | 607 | | 20,335 |
| Coterra Energy, Inc. | 11 | | 307 |
| Devon Energy Corp. | 197 | | 9,885 |
| EOG Resources, Inc. | 3 | | 384 |
| Exxon Mobil Corp.† | 292 | | 33,942 |
| Halliburton Co. | 271 | | 10,683 |
| Marathon Oil Corp. | 133 | | 3,769 |
| Marathon Petroleum Corp.† | 221 | | 44,531 |
| Phillips 66† | 263 | | 42,958 |
| Pioneer Natural Resources Co.† | 35 | | 9,188 |
| Schlumberger NV (Curacao) | 30 | | 1,644 |
| Valero Energy Corp.† | 146 | | 24,921 |
| | | | 205,744 |
| Equity Real Estate Investment Trusts (REITs) — 0.2% |
| Digital Realty Trust, Inc. | 14 | | 2,016 |
| Extra Space Storage, Inc. | 23 | | 3,381 |
| Realty Income Corp.† | 67 | | 3,625 |
| Simon Property Group, Inc. | 4 | | 626 |
| | | | 9,648 |
| Financial Services — 8.6% |
| American Express Co. | 25 | | 5,692 |
| Ameriprise Financial, Inc. | 2 | | 877 |
| Bank of New York Mellon Corp. (The)† | 11 | | 634 |
| Berkshire Hathaway, Inc., Class B†* | 225 | | 94,617 |
| BlackRock, Inc.† | 14 | | 11,672 |
| Blackstone, Inc. | 6 | | 788 |
| Capital One Financial Corp. | 5 | | 745 |
| Cboe Global Markets, Inc. | 29 | | 5,328 |
| Charles Schwab Corp. (The) | 17 | | 1,230 |
| CME Group, Inc.† | 4 | | 861 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Financial Services — (Continued) |
| Corpay, Inc.* | 47 | | $ 14,502 |
| Discover Financial Services | 3 | | 393 |
| Fiserv, Inc.†* | 383 | | 61,211 |
| Franklin Resources, Inc.† | 292 | | 8,208 |
| Goldman Sachs Group, Inc. (The) | 4 | | 1,671 |
| Intercontinental Exchange, Inc. | 45 | | 6,184 |
| Invesco Ltd. (Bermuda) | 5 | | 83 |
| MarketAxess Holdings, Inc. | 1 | | 219 |
| Mastercard, Inc., Class A† | 87 | | 41,897 |
| Morgan Stanley | 20 | | 1,883 |
| Northern Trust Corp. | 3 | | 267 |
| PayPal Holdings, Inc.†* | 667 | | 44,682 |
| Raymond James Financial, Inc. | 2 | | 257 |
| State Street Corp. | 4 | | 309 |
| T Rowe Price Group, Inc.† | 84 | | 10,241 |
| Visa, Inc., Class A† | 235 | | 65,584 |
| | | | 380,035 |
| Food, Beverage & Tobacco — 9.0% |
| Altria Group, Inc.† | 1,117 | | 48,724 |
| Archer-Daniels-Midland Co.† | 332 | | 20,853 |
| Bunge Global SA (Switzerland) | 44 | | 4,511 |
| Campbell Soup Co. | 77 | | 3,423 |
| Coca-Cola Co. (The)† | 1,181 | | 72,254 |
| Conagra Brands, Inc. | 299 | | 8,862 |
| General Mills, Inc. | 260 | | 18,192 |
| Hershey Co. (The) | 12 | | 2,334 |
| Hormel Foods Corp. | 283 | | 9,874 |
| Kellanova | 214 | | 12,260 |
| Keurig Dr Pepper, Inc.† | 502 | | 15,396 |
| Kraft Heinz Co. (The)† | 727 | | 26,826 |
| McCormick & Co., Inc., non-voting shares | 60 | | 4,609 |
| Molson Coors Beverage Co., Class B | 136 | | 9,146 |
| Mondelez International, Inc., Class A† | 700 | | 49,000 |
| Philip Morris International, Inc.† | 981 | | 89,879 |
| | | | 396,143 |
| Health Care Equipment & Services — 5.5% |
| Align Technology, Inc.* | 1 | | 328 |
| Baxter International, Inc. | 110 | | 4,701 |
| Cardinal Health, Inc. | 155 | | 17,345 |
| Cencora, Inc.† | 116 | | 28,187 |
| Centene Corp.†* | 9 | | 706 |
| Cigna Group (The)† | 179 | | 65,011 |
| CVS Health Corp.† | 165 | | 13,160 |
| DaVita, Inc.†* | 57 | | 7,869 |
| GE HealthCare Technologies, Inc. | 7 | | 636 |
| HCA Healthcare, Inc.† | 82 | | 27,349 |
| Humana, Inc. | 75 | | 26,004 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Health Care Equipment & Services — (Continued) |
| McKesson Corp.† | 42 | | $ 22,548 |
| Medtronic PLC (Ireland) | 18 | | 1,569 |
| Molina Healthcare, Inc.* | 20 | | 8,217 |
| Quest Diagnostics, Inc. | 19 | | 2,529 |
| ResMed, Inc. | 66 | | 13,070 |
| Teleflex, Inc. | 3 | | 679 |
| UnitedHealth Group, Inc. | 3 | | 1,484 |
| | | | 241,392 |
| Household & Personal Products — 3.5% |
| Clorox Co. (The) | 16 | | 2,450 |
| Colgate-Palmolive Co.† | 434 | | 39,081 |
| Kenvue, Inc. | 1,122 | | 24,078 |
| Kimberly-Clark Corp.† | 214 | | 27,681 |
| Procter & Gamble Co. (The)† | 375 | | 60,844 |
| | | | 154,134 |
| Insurance — 4.0% |
| American International Group, Inc. | 8 | | 625 |
| Aon PLC, Class A (Ireland)† | 115 | | 38,378 |
| Arthur J Gallagher & Co.† | 28 | | 7,001 |
| Assurant, Inc. | 4 | | 753 |
| Brown & Brown, Inc. | 174 | | 15,232 |
| Chubb Ltd. (Switzerland) | 5 | | 1,296 |
| Globe Life, Inc. | 1 | | 116 |
| Hartford Financial Services Group, Inc. (The) | 67 | | 6,904 |
| Loews Corp. | 69 | | 5,402 |
| Marsh & McLennan Cos., Inc.† | 312 | | 64,266 |
| MetLife, Inc. | 138 | | 10,227 |
| Prudential Financial, Inc. | 25 | | 2,935 |
| Travelers Cos., Inc. (The) | 20 | | 4,603 |
| W R Berkley Corp. | 4 | | 354 |
| Willis Towers Watson PLC (Ireland) | 65 | | 17,875 |
| | | | 175,967 |
| Materials — 3.9% |
| Avery Dennison Corp. | 9 | | 2,009 |
| Celanese Corp. | 67 | | 11,515 |
| CF Industries Holdings, Inc. | 53 | | 4,410 |
| Corteva, Inc. | 9 | | 519 |
| Dow, Inc. | 62 | | 3,592 |
| Eastman Chemical Co. | 68 | | 6,815 |
| Ecolab, Inc. | 3 | | 693 |
| International Flavors & Fragrances, Inc. | 58 | | 4,987 |
| International Paper Co.† | 203 | | 7,921 |
| LyondellBasell Industries NV, Class A (Netherlands) | 102 | | 10,433 |
| Martin Marietta Materials, Inc. | 14 | | 8,595 |
| Nucor Corp.† | 146 | | 28,893 |
| Packaging Corp. of America | 57 | | 10,817 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Materials — (Continued) |
| PPG Industries, Inc. | 143 | | $ 20,721 |
| Sherwin-Williams Co. (The) | 80 | | 27,786 |
| Steel Dynamics, Inc. | 51 | | 7,560 |
| Vulcan Materials Co. | 29 | | 7,915 |
| Westrock Co. | 158 | | 7,813 |
| | | | 172,994 |
| Media & Entertainment — 11.5% |
| Alphabet, Inc., Class A†* | 1,276 | | 192,587 |
| Charter Communications, Inc., Class A†* | 45 | | 13,078 |
| Comcast Corp., Class A† | 1,647 | | 71,398 |
| Electronic Arts, Inc. | 70 | | 9,287 |
| Interpublic Group of Cos., Inc. (The) | 246 | | 8,027 |
| Match Group, Inc.* | 169 | | 6,131 |
| Meta Platforms, Inc., Class A† | 323 | | 156,842 |
| Netflix, Inc.†* | 40 | | 24,293 |
| News Corp., Class A | 351 | | 9,189 |
| Omnicom Group, Inc.† | 128 | | 12,385 |
| Paramount Global, Class B | 149 | | 1,754 |
| Walt Disney Co. (The) | 18 | | 2,203 |
| Warner Bros Discovery, Inc.* | 226 | | 1,973 |
| | | | 509,147 |
| Pharmaceuticals, Biotechnology & Life Sciences — 5.0% |
| AbbVie, Inc.† | 75 | | 13,657 |
| Amgen, Inc.† | 84 | | 23,883 |
| Bristol-Myers Squibb Co. | 418 | | 22,668 |
| Danaher Corp.† | 69 | | 17,231 |
| Gilead Sciences, Inc.† | 159 | | 11,647 |
| Incyte Corp.* | 68 | | 3,874 |
| Johnson & Johnson† | 505 | | 79,886 |
| Merck & Co., Inc.† | 375 | | 49,481 |
| Viatris, Inc. | 16 | | 191 |
| | | | 222,518 |
| Real Estate Management & Development — 0.0% |
| CBRE Group, Inc., Class A* | 6 | | 583 |
| Semiconductors & Semiconductor Equipment — 10.7% |
| Applied Materials, Inc.† | 189 | | 38,977 |
| Broadcom, Inc.† | 108 | | 143,144 |
| KLA Corp.† | 21 | | 14,670 |
| Lam Research Corp.† | 15 | | 14,573 |
| Microchip Technology, Inc.† | 83 | | 7,446 |
| Micron Technology, Inc.† | 102 | | 12,025 |
| NVIDIA Corp.† | 123 | | 111,138 |
| NXP Semiconductors NV (Netherlands) | 28 | | 6,938 |
| Qorvo, Inc.* | 22 | | 2,526 |
| QUALCOMM, Inc. | 652 | | 110,384 |
| Skyworks Solutions, Inc. | 97 | | 10,507 |
| | | | 472,328 |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Software & Services — 12.3% |
| Accenture PLC, Class A (Ireland)† | 103 | | $ 35,701 |
| Adobe, Inc.†* | 6 | | 3,028 |
| ANSYS, Inc.* | 8 | | 2,777 |
| Cadence Design Systems, Inc.* | 25 | | 7,782 |
| Cognizant Technology Solutions Corp., Class A | 47 | | 3,445 |
| EPAM Systems, Inc.* | 5 | | 1,381 |
| Gen Digital, Inc. | 374 | | 8,377 |
| International Business Machines Corp.† | 299 | | 57,097 |
| Microsoft Corp.† | 830 | | 349,197 |
| Salesforce, Inc.† | 202 | | 60,838 |
| Synopsys, Inc.* | 14 | | 8,001 |
| VeriSign, Inc.* | 23 | | 4,359 |
| | | | 541,983 |
| Technology Hardware & Equipment — 11.6% |
| Amphenol Corp., Class A† | 52 | | 5,998 |
| Apple, Inc.† | 1,540 | | 264,079 |
| CDW Corp. | 43 | | 10,999 |
| Cisco Systems, Inc.† | 2,310 | | 115,292 |
| F5, Inc.* | 38 | | 7,205 |
| Hewlett Packard Enterprise Co. | 281 | | 4,982 |
| HP, Inc.† | 624 | | 18,857 |
| Jabil, Inc. | 80 | | 10,716 |
| Juniper Networks, Inc. | 189 | | 7,004 |
| Keysight Technologies, Inc.* | 54 | | 8,445 |
| Motorola Solutions, Inc. | 48 | | 17,039 |
| NetApp, Inc.† | 128 | | 13,436 |
| Super Micro Computer, Inc.* | 12 | | 12,120 |
| TE Connectivity Ltd. (Switzerland) | 98 | | 14,234 |
| | | | 510,406 |
| Telecommunication Services — 4.9% |
| AT&T, Inc.† | 3,718 | | 65,437 |
| T-Mobile US, Inc.† | 389 | | 63,493 |
| Verizon Communications, Inc.† | 2,096 | | 87,948 |
| | | | 216,878 |
| Transportation — 1.8% |
| American Airlines Group, Inc.* | 378 | | 5,802 |
| CH Robinson Worldwide, Inc. | 26 | | 1,980 |
| CSX Corp. | 190 | | 7,043 |
| Delta Air Lines, Inc. | 403 | | 19,292 |
| FedEx Corp.† | 146 | | 42,302 |
| Union Pacific Corp. | 8 | | 1,968 |
| United Parcel Service, Inc., Class B† | 13 | | 1,932 |
| | | | 80,319 |
| Utilities — 0.6% |
| Duke Energy Corp. | 157 | | 15,183 |
| | Number
of Shares | | Value |
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| NRG Energy, Inc. | 127 | | $ 8,597 |
| PG&E Corp. | 197 | | 3,302 |
| | | | 27,082 |
TOTAL COMMON STOCKS
(Cost $4,709,207) | | | 6,119,237 |
|
| |
TOTAL LONG POSITIONS - 138.6%
(Cost $4,709,207) | | | 6,119,237 |
| SHORT POSITIONS — (40.5)% |
| COMMON STOCKS — (40.5)% |
| Automobiles & Components — (0.2)% |
| Ford Motor Co. | (807) | | (10,717) |
| Banks — (0.0)% |
| Regions Financial Corp. | (2) | | (42) |
| Capital Goods — (2.2)% |
| Axon Enterprise, Inc.* | (15) | | (4,693) |
| Boeing Co. (The)* | (123) | | (23,738) |
| Deere & Co. | (58) | | (23,823) |
| Emerson Electric Co. | (97) | | (11,002) |
| IDEX Corp. | (16) | | (3,904) |
| L3Harris Technologies, Inc. | (39) | | (8,311) |
| Northrop Grumman Corp. | (19) | | (9,094) |
| Rockwell Automation, Inc. | (23) | | (6,701) |
| Xylem, Inc. | (50) | | (6,462) |
| | | | (97,728) |
| Commercial & Professional Services — (1.6)% |
| Broadridge Financial Solutions, Inc. | (24) | | (4,917) |
| Cintas Corp. | (11) | | (7,557) |
| Dayforce, Inc.* | (33) | | (2,185) |
| Equifax, Inc. | (26) | | (6,955) |
| Paychex, Inc. | (19) | | (2,333) |
| Paycom Software, Inc. | (11) | | (2,189) |
| Republic Services, Inc. | (64) | | (12,252) |
| Rollins, Inc. | (123) | | (5,691) |
| Verisk Analytics, Inc. | (31) | | (7,308) |
| Waste Management, Inc. | (85) | | (18,118) |
| | | | (69,505) |
| Consumer Discretionary Distribution & Retail — (0.7)% |
| AutoZone, Inc.* | (2) | | (6,303) |
| CarMax, Inc.* | (32) | | (2,788) |
| Etsy, Inc.* | (27) | | (1,855) |
| O'Reilly Automotive, Inc.* | (13) | | (14,676) |
| Tractor Supply Co. | (21) | | (5,496) |
| | | | (31,118) |
| Consumer Durables & Apparel — (0.2)% |
| NVR, Inc.* | (1) | | (8,100) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Consumer Services — (1.5)% |
| Airbnb, Inc., Class A* | (131) | | $ (21,610) |
| Chipotle Mexican Grill, Inc.* | (5) | | (14,534) |
| Domino's Pizza, Inc. | (8) | | (3,975) |
| Hilton Worldwide Holdings, Inc. | (46) | | (9,812) |
| Las Vegas Sands Corp. | (147) | | (7,600) |
| Norwegian Cruise Line Holdings Ltd. (Bermuda)* | (88) | | (1,842) |
| Royal Caribbean Cruises Ltd. (Liberia)* | (51) | | (7,089) |
| | | | (66,462) |
| Consumer Staples Distribution & Retail — (1.4)% |
| Costco Wholesale Corp. | (33) | | (24,177) |
| Dollar General Corp. | (49) | | (7,647) |
| Dollar Tree, Inc.* | (48) | | (6,391) |
| Walmart, Inc. | (414) | | (24,910) |
| | | | (63,125) |
| Energy — (1.9)% |
| Chevron Corp. | (145) | | (22,872) |
| ConocoPhillips | (38) | | (4,837) |
| Diamondback Energy, Inc. | (37) | | (7,332) |
| EQT Corp. | (85) | | (3,151) |
| Hess Corp. | (63) | | (9,616) |
| Kinder Morgan, Inc. | (453) | | (8,308) |
| Occidental Petroleum Corp. | (50) | | (3,249) |
| ONEOK, Inc. | (121) | | (9,701) |
| Targa Resources Corp. | (49) | | (5,488) |
| Williams Cos., Inc. (The) | (263) | | (10,249) |
| | | | (84,803) |
| Equity Real Estate Investment Trusts (REITs) — (3.3)% |
| Alexandria Real Estate Equities, Inc. | (34) | | (4,383) |
| American Tower Corp. | (93) | | (18,376) |
| AvalonBay Communities, Inc. | (29) | | (5,381) |
| Boston Properties, Inc. | (32) | | (2,090) |
| Camden Property Trust | (24) | | (2,362) |
| Crown Castle, Inc. | (87) | | (9,207) |
| Equinix, Inc. | (22) | | (18,157) |
| Equity Residential | (78) | | (4,923) |
| Essex Property Trust, Inc. | (13) | | (3,183) |
| Federal Realty Investment Trust | (17) | | (1,736) |
| Healthpeak Properties, Inc. | (111) | | (2,081) |
| Host Hotels & Resorts, Inc. | (161) | | (3,329) |
| Invitation Homes, Inc. | (128) | | (4,558) |
| Iron Mountain, Inc. | (63) | | (5,053) |
| Kimco Realty Corp. | (128) | | (2,510) |
| Mid-America Apartment Communities, Inc. | (24) | | (3,158) |
| Prologis, Inc. | (77) | | (10,027) |
| Public Storage | (36) | | (10,442) |
| Regency Centers Corp. | (38) | | (2,301) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Equity Real Estate Investment Trusts (REITs) — (Continued) |
| SBA Communications Corp. | (21) | | $ (4,551) |
| UDR, Inc. | (67) | | (2,506) |
| Ventas, Inc. | (84) | | (3,657) |
| VICI Properties, Inc. | (215) | | (6,405) |
| Welltower, Inc. | (111) | | (10,372) |
| Weyerhaeuser Co. | (150) | | (5,387) |
| | | | (146,135) |
| Financial Services — (1.3)% |
| FactSet Research Systems, Inc. | (8) | | (3,635) |
| Fidelity National Information Services, Inc. | (120) | | (8,901) |
| Global Payments, Inc. | (54) | | (7,218) |
| Jack Henry & Associates, Inc. | (15) | | (2,606) |
| Moody's Corp. | (28) | | (11,005) |
| MSCI, Inc. | (18) | | (10,088) |
| Nasdaq, Inc. | (118) | | (7,446) |
| S&P Global, Inc. | (10) | | (4,254) |
| Synchrony Financial | (48) | | (2,070) |
| | | | (57,223) |
| Food, Beverage & Tobacco — (1.0)% |
| Brown-Forman Corp., Class B | (105) | | (5,420) |
| Constellation Brands, Inc., Class A | (23) | | (6,250) |
| J M Smucker Co. (The) | (22) | | (2,769) |
| Lamb Weston Holdings, Inc. | (30) | | (3,196) |
| Monster Beverage Corp.* | (219) | | (12,982) |
| PepsiCo, Inc. | (60) | | (10,501) |
| Tyson Foods, Inc., Class A | (72) | | (4,229) |
| | | | (45,347) |
| Health Care Equipment & Services — (4.5)% |
| Abbott Laboratories | (204) | | (23,187) |
| Becton Dickinson & Co. | (60) | | (14,847) |
| Boston Scientific Corp.* | (304) | | (20,821) |
| Cooper Cos., Inc. (The) | (40) | | (4,058) |
| DENTSPLY SIRONA, Inc. | (43) | | (1,427) |
| Dexcom, Inc.* | (85) | | (11,790) |
| Edwards Lifesciences Corp.* | (125) | | (11,945) |
| Elevance Health, Inc. | (41) | | (21,260) |
| Henry Schein, Inc.* | (26) | | (1,964) |
| Hologic, Inc.* | (48) | | (3,742) |
| IDEXX Laboratories, Inc.* | (18) | | (9,719) |
| Insulet Corp.* | (14) | | (2,400) |
| Intuitive Surgical, Inc.* | (72) | | (28,734) |
| STERIS PLC (Ireland) | (22) | | (4,946) |
| Stryker Corp. | (78) | | (27,914) |
| Universal Health Services, Inc., Class B | (14) | | (2,554) |
| Zimmer Biomet Holdings, Inc. | (43) | | (5,675) |
| | | | (196,983) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Household & Personal Products — (0.4)% |
| Church & Dwight Co., Inc. | (51) | | $ (5,320) |
| Estee Lauder Cos., Inc. (The), Class A | (78) | | (12,024) |
| | | | (17,344) |
| Insurance — (0.7)% |
| Aflac, Inc. | (20) | | (1,717) |
| Allstate Corp. (The) | (45) | | (7,786) |
| Arch Capital Group Ltd. (Bermuda)* | (76) | | (7,026) |
| Cincinnati Financial Corp. | (32) | | (3,973) |
| Everest Group Ltd. (Bermuda) | (9) | | (3,578) |
| Principal Financial Group, Inc. | (49) | | (4,229) |
| Progressive Corp. (The) | (20) | | (4,136) |
| | | | (32,445) |
| Materials — (1.8)% |
| Air Products and Chemicals, Inc. | (46) | | (11,145) |
| Albemarle Corp. | (24) | | (3,162) |
| Amcor PLC (Jersey) | (292) | | (2,777) |
| Ball Corp. | (65) | | (4,378) |
| DuPont de Nemours, Inc. | (83) | | (6,364) |
| FMC Corp. | (26) | | (1,656) |
| Freeport-McMoRan, Inc. | (293) | | (13,777) |
| Linde PLC (Ireland) | (51) | | (23,680) |
| Mosaic Co. (The) | (66) | | (2,142) |
| Newmont Corp. | (237) | | (8,494) |
| | | | (77,575) |
| Media & Entertainment — (0.3)% |
| Fox Corp., Class A | (96) | | (3,002) |
| Live Nation Entertainment, Inc.* | (48) | | (5,077) |
| Take-Two Interactive Software, Inc.* | (20) | | (2,970) |
| | | | (11,049) |
| Pharmaceuticals, Biotechnology & Life Sciences — (4.8)% |
| Agilent Technologies, Inc. | (61) | | (8,876) |
| Biogen, Inc.* | (29) | | (6,253) |
| Bio-Rad Laboratories, Inc., Class A* | (6) | | (2,075) |
| Bio-Techne Corp. | (36) | | (2,534) |
| Catalent, Inc.* | (39) | | (2,202) |
| Charles River Laboratories International, Inc.* | (11) | | (2,981) |
| Eli Lilly & Co. | (43) | | (33,452) |
| Illumina, Inc.* | (19) | | (2,609) |
| IQVIA Holdings, Inc.* | (51) | | (12,897) |
| Mettler-Toledo International, Inc.* | (5) | | (6,657) |
| Moderna, Inc.* | (78) | | (8,312) |
| Pfizer, Inc. | (1,139) | | (31,607) |
| Regeneron Pharmaceuticals, Inc.* | (21) | | (20,212) |
| Revvity, Inc. | (25) | | (2,625) |
| Thermo Fisher Scientific, Inc. | (65) | | (37,779) |
| Vertex Pharmaceuticals, Inc.* | (13) | | (5,434) |
| Waters Corp.* | (13) | | (4,475) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued) |
| West Pharmaceutical Services, Inc. | (15) | | $ (5,936) |
| Zoetis, Inc. | (96) | | (16,244) |
| | | | (213,160) |
| Real Estate Management & Development — (0.2)% |
| CoStar Group, Inc.* | (88) | | (8,501) |
| Semiconductors & Semiconductor Equipment — (3.0)% |
| Advanced Micro Devices, Inc.* | (95) | | (17,147) |
| Analog Devices, Inc. | (103) | | (20,372) |
| Enphase Energy, Inc.* | (28) | | (3,387) |
| First Solar, Inc.* | (22) | | (3,714) |
| Intel Corp. | (861) | | (38,030) |
| Monolithic Power Systems, Inc. | (10) | | (6,774) |
| ON Semiconductor Corp.* | (87) | | (6,399) |
| Teradyne, Inc. | (31) | | (3,498) |
| Texas Instruments, Inc. | (192) | | (33,448) |
| | | | (132,769) |
| Software & Services — (3.1)% |
| Akamai Technologies, Inc.* | (31) | | (3,372) |
| Autodesk, Inc.* | (43) | | (11,198) |
| Fair Isaac Corp.* | (5) | | (6,248) |
| Fortinet, Inc.* | (170) | | (11,613) |
| Gartner, Inc.* | (11) | | (5,243) |
| Intuit, Inc. | (37) | | (24,050) |
| Oracle Corp. | (207) | | (26,001) |
| Palo Alto Networks, Inc.* | (70) | | (19,889) |
| PTC, Inc.* | (26) | | (4,913) |
| Roper Technologies, Inc. | (10) | | (5,608) |
| ServiceNow, Inc.* | (19) | | (14,486) |
| Tyler Technologies, Inc.* | (10) | | (4,250) |
| | | | (136,871) |
| Technology Hardware & Equipment — (0.8)% |
| Arista Networks, Inc.* | (36) | | (10,439) |
| Corning, Inc. | (166) | | (5,471) |
| Seagate Technology Holdings PLC (Ireland) | (42) | | (3,908) |
| Teledyne Technologies, Inc.* | (10) | | (4,293) |
| Trimble, Inc.* | (52) | | (3,347) |
| Western Digital Corp.* | (66) | | (4,504) |
| Zebra Technologies Corp., Class A* | (10) | | (3,015) |
| | | | (34,977) |
| Transportation — (1.4)% |
| Expeditors International of Washington, Inc. | (27) | | (3,282) |
| JB Hunt Transport Services, Inc. | (23) | | (4,583) |
| Norfolk Southern Corp. | (46) | | (11,724) |
| Old Dominion Freight Line, Inc. | (44) | | (9,650) |
| Southwest Airlines Co. | (129) | | (3,765) |
The accompanying notes are an integral part of the financial statements.
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Transportation — (Continued) |
| Uber Technologies, Inc.* | (305) | | $ (23,482) |
| United Airlines Holdings, Inc.* | (68) | | (3,256) |
| | | | (59,742) |
| Utilities — (4.2)% |
| AES Corp. (The) | (137) | | (2,456) |
| Alliant Energy Corp. | (61) | | (3,074) |
| Ameren Corp. | (62) | | (4,586) |
| American Electric Power Co., Inc. | (124) | | (10,676) |
| American Water Works Co., Inc. | (41) | | (5,011) |
| Atmos Energy Corp. | (31) | | (3,685) |
| CenterPoint Energy, Inc. | (137) | | (3,903) |
| CMS Energy Corp. | (70) | | (4,224) |
| Consolidated Edison, Inc. | (71) | | (6,448) |
| Constellation Energy Corp. | (65) | | (12,015) |
| Dominion Energy, Inc. | (179) | | (8,805) |
| DTE Energy Co. | (42) | | (4,710) |
| Edison International | (90) | | (6,366) |
| Entergy Corp. | (50) | | (5,284) |
| Evergy, Inc. | (51) | | (2,722) |
| Eversource Energy | (82) | | (4,901) |
| Exelon Corp. | (204) | | (7,664) |
| FirstEnergy Corp. | (136) | | (5,252) |
| NextEra Energy, Inc. | (425) | | (27,162) |
| NiSource, Inc. | (94) | | (2,600) |
| Pinnacle West Capital Corp. | (26) | | (1,943) |
| | Number
of Shares | | Value |
|
| COMMON STOCKS — (Continued) |
| Utilities — (Continued) |
| PPL Corp. | (158) | | $ (4,350) |
| Public Service Enterprise Group, Inc. | (107) | | (7,145) |
| Sempra | (135) | | (9,697) |
| Southern Co. (The) | (227) | | (16,285) |
| WEC Energy Group, Inc. | (79) | | (6,488) |
| Xcel Energy, Inc. | (133) | | (7,149) |
| | | | (184,601) |
TOTAL COMMON STOCKS
(Proceeds $1,609,088) | | | (1,786,322) |
|
| |
TOTAL SHORT POSITIONS - (40.5)%
(Proceeds $1,609,088) | | (1,786,322) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9% | | | 82,710 |
| NET ASSETS - 100.0% | | | $ 4,415,625 |
| † | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| PLC | Public Limited Company |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
| | Gotham Absolute
Return Fund | | Gotham Enhanced
Return Fund | | Gotham Neutral
Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $622,614,667 | | $119,830,256 | | $ 72,507,829 |
| Affiliated investments, at value3 | — | | 104,030,580 | | — |
| Swaps, at value(a) | 47,989,240 | | 36,958,778 | | 5,201,811 |
| Cash and cash equivalents | 3,445,766 | | 274,389 | | 473,639 |
| Foreign currency, at value 4 | 1,453 | | — | | 1,341 |
| Due from broker | 3,947,131 | | 7,076,673 | | 120,662 |
| Receivables: | | | | | |
| Investments sold | 13,158,980 | | 3,831,764 | | 3,602,569 |
| Capital shares sold | 968,359 | | 146,558 | | 16,818 |
| Dividends | 505,224 | | 108,036 | | 61,573 |
| Prepaid expenses and other assets | 13,757 | | 7,389 | | 1,689 |
| Total Assets | 692,644,577 | | 272,264,423 | | 81,987,931 |
| Liabilities | | | | | |
| Obligation to return cash collateral on swap contracts (Note 1) | 26,000,000 | | 34,000,000 | | 3,600,000 |
| Payables: | | | | | |
| Investments purchased | 9,341,411 | | 2,248,508 | | 1,792,323 |
| Investment adviser | 705,336 | | 208,898 | | 69,783 |
| Capital shares redeemed | 359,732 | | 184,608 | | 50,572 |
| Administration and accounting fees | 101,347 | | 92,798 | | 85,927 |
| Accrued expenses | 138,302 | | 77,872 | | 43,393 |
| Total Liabilities | 36,646,128 | | 36,812,684 | | 5,641,998 |
| Contingencies and Commitments (Note 2) | N/A | | N/A | | N/A |
| Net Assets | $655,998,449 | | $235,451,739 | | $ 76,345,933 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 297,544 | | $ 173,533 | | $ 57,787 |
| Paid-in capital | 471,273,997 | | 137,502,794 | | 125,403,206 |
| Total distributable earnings/(loss) | 184,426,908 | | 97,775,412 | | (49,115,060) |
| Net Assets | $655,998,449 | | $235,451,739 | | $ 76,345,933 |
| Institutional Class Shares: | | | | | |
| Net assets | $655,998,449 | | $235,451,739 | | $ 76,345,933 |
| Shares outstanding | 29,754,426 | | 17,353,286 | | 5,778,740 |
| Net asset value, offering and redemption price per share | $ 22.05 | | $ 13.57 | | $ 13.21 |
| 1Non-affiliated investments, at cost | $513,520,322 | | $100,826,366 | | $ 64,173,586 |
| 2Includes market value of securities designated as collateral for swaps | $174,590,688 | | $ 73,902,527 | | $ 45,911,621 |
| 3Affiliated investments, at cost | $ — | | $ 81,422,989 | | $ — |
| 4Foreign currency, at cost | $ 1,448 | | $ — | | $ 1,337 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2024
(Unaudited)
| | Gotham Index
Plus Fund | | Gotham Large
Value Fund | | Gotham Enhanced S&P
500 Index Fund |
| Assets | | | | | |
| Non-affiliated investments, at value1,2 | $359,326,874 | | $54,070,123 | | $19,877,454 |
| Affiliated investments, at value3 | 306,003,106 | | — | | — |
| Swaps, at value(a) | 138,678,147 | | — | | — |
| Cash and cash equivalents | 1,129,192 | | — | | — |
| Due from broker | 34,605,900 | | — | | — |
| Receivables: | | | | | |
| Investments sold | 7,904,081 | | 2,086,052 | | 1,385,683 |
| Capital shares sold | 429,030 | | — | | 7,556 |
| Dividends | 362,295 | | 67,936 | | 18,650 |
| Prepaid expenses and other assets | 65,464 | | 6,209 | | — |
| Total Assets | 848,504,089 | | 56,230,320 | | 21,289,343 |
| Liabilities | | | | | |
| Obligation to return cash collateral on swap contracts (Note 1) | 139,750,000 | | — | | — |
| Due to broker | 132,689 | | — | | — |
| Payables: | | | | | |
| Investments purchased | 3,201,205 | | 431,770 | | 65,734 |
| Investment adviser | 385,134 | | 19,464 | | 6,143 |
| Capital shares redeemed | 228,330 | | 17,850 | | 4,200 |
| Administration and accounting fees | 61,327 | | 11,615 | | — |
| Distribution fees (Investor Class Shares) | 3,509 | | — | | — |
| Distributions to shareholders | — | | — | | 32 |
| Due to custodian | — | | 1,275,768 | | 1,207,465 |
| Accrued expenses | 111,247 | | 34,478 | | 2,631 |
| Total Liabilities | 143,873,441 | | 1,790,945 | | 1,286,205 |
| Contingencies and Commitments (Note 2) | — | | N/A | | N/A |
| Net Assets | $704,630,648 | | $54,439,375 | | $20,003,138 |
| Net Assets Consisted of: | | | | | |
| Capital stock, $0.01 par value | $ 272,957 | | $ 36,414 | | $ 11,355 |
| Paid-in capital | 465,787,047 | | 46,272,902 | | 14,568,163 |
| Total distributable earnings | 238,570,644 | | 8,130,059 | | 5,423,620 |
| Net Assets | $704,630,648 | | $54,439,375 | | $20,003,138 |
| Institutional Class Shares: | | | | | |
| Net assets | $687,303,664 | | $54,439,375 | | $20,003,138 |
| Shares outstanding | 26,621,421 | | 3,641,449 | | 1,135,515 |
| Net asset value, offering and redemption price per share | $ 25.82 | | $ 14.95 | | $ 17.62 |
| Investor Class Shares: | | | | | |
| Net assets | $ 17,326,984 | | N/A | | N/A |
| Shares outstanding | 674,233 | | N/A | | N/A |
| Net asset value, offering and redemption price per share | $ 25.70 | | N/A | | N/A |
| 1Non-affiliated investments, at cost | $298,346,221 | | $47,095,288 | | $14,623,098 |
| 2Includes market value of securities designated as collateral for swaps | $279,173,479 | | $ — | | $ — |
| 3Affiliated investments, at cost | $260,246,134 | | $ — | | $ — |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2024
(Unaudited)
| | Gotham Hedged
Core Fund | | Gotham Defensive
Long 500 Fund | | Gotham Total
Return Fund | | Gotham Enhanced
500 Plus Fund |
| Assets | | | | | | | |
| Non-affiliated investments, at value1,2,3 | $7,925,405 | | $16,337,900 | | $ — | | $6,119,237 |
| Affiliated investments, at value4 | — | | — | | 14,255,234 | | — |
| Swaps, at value(a) | — | | 3,862,052 | | — | | — |
| Cash and cash equivalents | — | | 21,558 | | — | | 29,906 |
| Due from broker | — | | 701,154 | | — | | — |
| Deposits with brokers for securities sold short | — | | — | | — | | 94,321 |
| Receivables: | | | | | | | |
| Investments sold | 1,863,359 | | 907,530 | | 2,369,081 | | 130,711 |
| Capital shares sold | 17 | | — | | — | | — |
| Dividends | 11,162 | | 21,150 | | — | | 6,122 |
| Investment adviser | — | | — | | 13,731 | | 4,541 |
| Prepaid expenses and other assets | — | | 17,966 | | 4,863 | | — |
| Total Assets | 9,799,943 | | 21,869,310 | | 16,642,909 | | 6,384,838 |
| Liabilities | | | | | | | |
| Securities sold short, at value5 | 2,283,526 | | — | | — | | 1,786,322 |
| Obligation to return cash collateral on swap contracts (Note 1) | — | | 4,550,000 | | — | | — |
| Due to broker | 561,278 | | — | | — | | — |
| Payables: | | | | | | | |
| Investments purchased | 638,502 | | 49,795 | | — | | 130,418 |
| Due to custodian | 567,452 | | — | | 2,219,455 | | — |
| Investment adviser | 3,975 | | 9,602 | | — | | — |
| Dividends and fees on securities sold short | 2,054 | | — | | — | | 1,772 |
| Capital shares redeemed | — | | — | | 7 | | — |
| Administration and accounting fees | — | | 25,201 | | 5,918 | | 25,003 |
| Accrued expenses | 825 | | 29,164 | | 27,361 | | 25,698 |
| Total Liabilities | 4,057,612 | | 4,663,762 | | 2,252,741 | | 1,969,213 |
| Contingencies and Commitments (Note 2) | — | | N/A | | — | | — |
| Net Assets | $5,742,331 | | $17,205,548 | | $14,390,168 | | $4,415,625 |
| Net Assets Consisted of: | | | | | | | |
| Capital stock, $0.01 par value | $ 4,625 | | $ 9,891 | | $ 10,691 | | $ 3,102 |
| Paid-in capital | 4,186,841 | | 12,582,343 | | 10,811,694 | | 3,265,102 |
| Total distributable earnings | 1,550,865 | | 4,613,314 | | 3,567,783 | | 1,147,421 |
| Net Assets | $5,742,331 | | $17,205,548 | | $14,390,168 | | $4,415,625 |
| Institutional Class Shares: | | | | | | | |
| Net assets | $5,742,331 | | $17,205,548 | | $14,390,168 | | $4,415,625 |
| Shares outstanding | 462,463 | | 989,073 | | 1,069,074 | | 310,231 |
| Net asset value, offering and redemption price per share | $ 12.42 | | $ 17.40 | | $ 13.46 | | $ 14.23 |
| 1Non-affiliated investments, at cost | $6,261,423 | | $13,288,825 | | $ — | | $4,709,207 |
| 2Includes market value of securities designated as collateral for swaps | $ — | | $ 7,142,454 | | $ — | | $ — |
| 3Includes market value of securities designated as collateral for shorts | $4,687,807 | | $ — | | $ — | | $3,679,306 |
| 4Affiliated investments, at cost | $ — | | $ — | | $11,964,862 | | $ — |
| 5Proceeds received, securities sold short | $2,320,250 | | $ — | | $ — | | $1,609,088 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
| | Gotham Absolute
Return Fund | | Gotham Enhanced
Return Fund | | Gotham Neutral
Fund |
| Investment income | | | | | |
| Dividends from non-affiliated investments | $ 3,320,627 | | $ — | | $ 353,837 |
| Dividends from affiliated investments | — | | 1,172,585 | | — |
| Less: taxes withheld | (13,716) | | (3,792) | | (3,140) |
| Total investment income | 3,306,911 | | 1,168,793 | | 350,697 |
| Expenses | | | | | |
| Advisory fees(Note 2) | 4,431,730 | | 1,293,573 | | 522,399 |
| Transfer agent fees(Note 2) | 269,544 | | 60,447 | | 27,558 |
| Administration and accounting fees(Note 2) | 113,653 | | 70,013 | | 56,266 |
| Trustees’ and officers’ fees(Note 2) | 73,637 | | 23,639 | | 8,305 |
| Legal fees | 59,938 | | 26,186 | | 10,683 |
| Audit fees | 50,974 | | 27,860 | | 15,971 |
| Custodian fees(Note 2) | 38,336 | | 12,096 | | 4,879 |
| Registration and filing fees | 37,260 | | 15,631 | | 11,539 |
| Shareholder reporting fees | 16,571 | | 14,084 | | 12,978 |
| Other expenses | 24,631 | | 13,139 | | 11,447 |
| Total expenses before waivers and/or reimbursements | 5,116,274 | | 1,556,668 | | 682,025 |
| Waivers and/or reimbursements(Note 2) | (684,544) | | (263,095) | | (159,626) |
| Net expenses after waivers and/or reimbursements | 4,431,730 | | 1,293,573 | | 522,399 |
| Net investment loss | (1,124,819) | | (124,780) | | (171,702) |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain from non-affiliated investments | 58,361,427 | | 13,120,318 | | 9,976,320 |
| Net realized gain from affiliated investments | — | | 1,319,612 | | — |
| Net realized gain from swaps | 13,689,041 (a) | | 11,310,891 (a) | | 1,405,942 (a) |
| Net realized gain from foreign currency transactions | 1,641 | | 611 | | 240 |
| Net change in unrealized appreciation on non-affiliated investments | 62,479,027 | | 10,483,154 | | 4,036,095 |
| Net change in unrealized appreciation on affiliated investments | — | | 16,111,064 | | — |
| Net change in unrealized appreciation/(depreciation) on swaps | (23,943,900) (a) | | 1,548,160 (a) | | (6,551,269) (a) |
| Net change in unrealized depreciation on foreign currency translations | (539) | | (239) | | (48) |
| Net realized and unrealized gain on investments | 110,586,697 | | 53,893,571 | | 8,867,280 |
| Net increase in net assets resulting from operations | $109,461,878 | | $53,768,791 | | $ 8,695,578 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2024
(Unaudited)
| | Gotham Index
Plus Fund | | Gotham Large
Value Fund | | Gotham Enhanced S&P
500 Index Fund |
| Investment income | | | | | |
| Dividends from non-affiliated investments | $ — | | $ 460,422 | | $ 168,158 |
| Dividends from affiliated investments | 2,730,037 | | — | | — |
| Interest | — | | 3,637 | | 2,118 |
| Less: taxes withheld | (1,960) | | — | | (7) |
| Total investment income | 2,728,077 | | 464,059 | | 170,269 |
| Expenses | | | | | |
| Advisory fees(Note 2) | 2,300,351 | | 138,164 | | 49,658 |
| Transfer agent fees(Note 2) | 220,809 | | 14,342 | | — |
| Administration and accounting fees(Note 2) | 92,545 | | 9,569 | | — |
| Trustees’ and officers’ fees(Note 2) | 66,249 | | 4,142 | | — |
| Legal fees | 54,980 | | 9,295 | | — |
| Audit fees | 53,524 | | 13,732 | | — |
| Registration and filing fees | 42,907 | | 14,859 | | — |
| Custodian fees(Note 2) | 38,041 | | 1,007 | | — |
| Distribution fees (Investor Class)(Note 2) | 17,506 | | — | | — |
| Shareholder reporting fees | 15,201 | | 12,329 | | — |
| Support services fees | — | | — | | 14,898 |
| Other expenses | 33,681 | | 4,719 | | — |
| Total expenses before waivers and/or reimbursements | 2,935,794 | | 222,158 | | 64,556 |
| Waivers and/or reimbursements(Note 2) | (172,741) | | (83,994) | | (14,898) |
| Net expenses after waivers and/or reimbursements | 2,763,053 | | 138,164 | | 49,658 |
| Net investment income/(loss) | (34,976) | | 325,895 | | 120,611 |
| Net realized and unrealized gain/(loss) from investments: | | | | | |
| Net realized gain from non-affiliated investments | 14,090,839 | | 2,086,954 | | 953,206 |
| Net realized gain from affiliated investments | 1,846,880 | | — | | — |
| Net realized loss from swaps | (110,534) (a) | | — | | — |
| Net change in unrealized appreciation on non-affiliated investments | 48,331,369 | | 4,640,537 | | 2,917,776 |
| Net change in unrealized appreciation on affiliated investments | 51,942,848 | | — | | — |
| Net change in unrealized appreciation on swaps | 23,042,899 (a) | | — | | — |
| Net realized and unrealized gain on investments | 139,144,301 | | 6,727,491 | | 3,870,982 |
| Net increase in net assets resulting from operations | $139,109,325 | | $7,053,386 | | $3,991,593 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Six Months Ended March 31, 2024
(Unaudited)
| | Gotham Hedged
Core Fund | | Gotham Defensive
Long 500 Fund | | Gotham Total
Return Fund | | Gotham Enhanced
500 Plus Fund |
| Investment income | | | | | | | |
| Dividends from non-affiliated investments | $ 93,551 | | $ 51,988 | | $ — | | $ 52,131 |
| Dividends from affiliated investments | — | | — | | 239,956 | | — |
| Interest | — | | — | | 2,789 | | — |
| Total investment income | 93,551 | | 51,988 | | 242,745 | | 52,131 |
| Expenses | | | | | | | |
| Dividends and fees on securities sold short(Note 1) | 28,854 | | — | | — | | 18,485 |
| Advisory fees(Note 2) | 23,132 | | 114,926 | | — | | 19,771 |
| Support services fees | 4,957 | | — | | — | | — |
| Administration and accounting fees(Note 2) | — | | 16,853 | | 20,408 | | 18,597 |
| Custodian fees(Note 2) | — | | 1,880 | | 5,008 | | 172 |
| Registration and filing fees | — | | 11,464 | | 13,753 | | 1,075 |
| Legal fees | — | | 4,516 | | 5,778 | | 3,126 |
| Audit fees | — | | 11,955 | | 11,837 | | 10,741 |
| Transfer agent fees(Note 2) | — | | 3,874 | | 3,948 | | 1,661 |
| Trustees’ and officers’ fees(Note 2) | — | | 2,248 | | 2,545 | | 482 |
| Shareholder reporting fees | — | | 12,413 | | 11,550 | | 11,878 |
| Other expenses | — | | 8,381 | | 2,809 | | 4,395 |
| Total expenses before waivers and/or reimbursements | 56,943 | | 188,510 | | 77,636 | | 90,383 |
| Waivers and/or reimbursements(Note 2) | — | | (73,584) | | (77,636) | | (49,161) |
| Net expenses after waivers and/or reimbursements | 56,943 | | 114,926 | | — | | 41,222 |
| Net investment income/(loss) | 36,608 | | (62,938) | | 242,745 | | 10,909 |
| Net realized and unrealized gain/(loss) from investments: | | | | | | | |
| Net realized gain from non-affiliated investments | 546,023 | | 1,227,094 | | — | | 305,390 |
| Net realized gain from affiliated investments | — | | — | | 1,291,670 | | — |
| Net realized loss from securities sold short | (130,405) | | — | | — | | (76,856) |
| Net realized gain from swaps | — | | 895,894 (a) | | — | | — |
| Distributions of realized gains from affiliated investments | — | | — | | 363,483 | | — |
| Net change in unrealized appreciation on non-affiliated investments | 1,063,898 | | 1,721,250 | | — | | 772,956 |
| Net change in unrealized appreciation on affiliated investments | — | | — | | 1,835,762 | | — |
| Net change in unrealized depreciation on securities sold short | (321,347) | | — | | — | | (210,493) |
| Net change in unrealized depreciation on swaps | — | | (634,432) (a) | | — | | — |
| Net realized and unrealized gain on investments | 1,158,169 | | 3,209,806 | | 3,490,915 | | 790,997 |
| Net increase in net assets resulting from operations | $1,194,777 | | $3,146,868 | | $3,733,660 | | $ 801,906 |
| (a) | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets
| | Gotham Absolute Return Fund | | Gotham Enhanced Return Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 | | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment loss | $ (1,124,819) | | $ (1,946,384) | | $ (124,780) | | $ (1,957,422) |
| Net realized gains from investments, swaps and foreign currency transactions | 72,052,109 | | 44,375,380 | | 25,751,432 | | 28,616,102 |
| Net change in unrealized appreciation on investments, swaps and foreign currency translations | 38,534,588 | | 55,932,160 | | 28,142,139 | | 18,226,603 |
| Net increase in net assets resulting from operations | 109,461,878 | | 98,361,156 | | 53,768,791 | | 44,885,283 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (31,350,533) | | — | | (17,945,586) | | (16,644,612) |
| Net decrease in net assets from dividends and distributions to shareholders | (31,350,533) | | — | | (17,945,586) | | (16,644,612) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (48,926,356) | | (14,051,708) | | 15,228,432 | | (50,584,970) |
| Total increase/(decrease) in net assets | 29,184,989 | | 84,309,448 | | 51,051,637 | | (22,344,299) |
| Net assets | | | | | | | |
| Beginning of period | 626,813,460 | | 542,504,012 | | 184,400,102 | | 206,744,401 |
| End of period | $ 655,998,449 | | $ 626,813,460 | | $235,451,739 | | $ 184,400,102 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Neutral Fund | | Gotham Index Plus Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 | | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment loss | $ (171,702) | | $ (409,748) | | $ (34,976) | | $ (1,583,104) |
| Net realized gains from investments, swaps and foreign currency transactions | 11,382,502 | | 4,687,454 | | 15,827,185 | | 23,677,652 |
| Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations | (2,515,222) | | 3,768,703 | | 123,317,116 | | 80,291,278 |
| Net increase in net assets resulting from operations | 8,695,578 | | 8,046,409 | | 139,109,325 | | 102,385,826 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | — | | — | | (22,393,506) | | (7,642,982) |
| Investor Class | N/A | | N/A | | (499,914) | | (201,731) |
| Net decrease in net assets from dividends and distributions to shareholders | — | | — | | (22,893,420) | | (7,844,713) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 2,814,868 | | (10,345,208) | | 126,221,371 | | (37,538,108) |
| Total increase/(decrease) in net assets | 11,510,446 | | (2,298,799) | | 242,437,276 | | 57,003,005 |
| Net assets | | | | | | | |
| Beginning of period | 64,835,487 | | 67,134,286 | | 462,193,372 | | 405,190,367 |
| End of period | $76,345,933 | | $ 64,835,487 | | $704,630,648 | | $ 462,193,372 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Large Value Fund | | Gotham Enhanced S&P 500 Index Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 | | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase in net assets from operations: | | | | | | | |
| Net investment income | $ 325,895 | | $ 682,202 | | $ 120,611 | | $ 229,090 |
| Net realized gains from investments | 2,086,954 | | 3,885,626 | | 953,206 | | 159,086 |
| Net change in unrealized appreciation on investments | 4,640,537 | | 1,653,630 | | 2,917,776 | | 2,622,884 |
| Net increase in net assets resulting from operations | 7,053,386 | | 6,221,458 | | 3,991,593 | | 3,011,060 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (3,070,538) | | (3,164,154) | | (618,825) | | (1,174,057) |
| Net decrease in net assets from dividends and distributions to shareholders | (3,070,538) | | (3,164,154) | | (618,825) | | (1,174,057) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | 17,632,316 | | (10,678,403) | | (1,496,134) | | 3,031,172 |
| Total increase/(decrease) in net assets | 21,615,164 | | (7,621,099) | | 1,876,634 | | 4,868,175 |
| Net assets | | | | | | | |
| Beginning of period | 32,824,211 | | 40,445,310 | | 18,126,504 | | 13,258,329 |
| End of period | $54,439,375 | | $ 32,824,211 | | $ 20,003,138 | | $18,126,504 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
| | Gotham Hedged Core Fund | | Gotham Defensive Long 500 Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 | | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | | | | | |
| Net investment income/(loss) | $ 36,608 | | $ 57,058 | | $ (62,938) | | $ (111,621) |
| Net realized gains from investments, securities sold short and swaps | 415,618 | | 300,362 | | 2,122,988 | | 2,390,768 |
| Net change in unrealized appreciation on investments, securities sold short and swaps | 742,551 | | 594,309 | | 1,086,818 | | 737,984 |
| Net increase in net assets resulting from operations | 1,194,777 | | 951,729 | | 3,146,868 | | 3,017,131 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (86,606) | | (524,367) | | — | | (51,435) |
| Net decrease in net assets from dividends and distributions to shareholders | (86,606) | | (524,367) | | — | | (51,435) |
| Decrease in net assets derived from capital share transactions (Note 4) | (2,039,650) | | (199,529) | | (2,340,684) | | (3,218,447) |
| Total increase/(decrease) in net assets | (931,479) | | 227,833 | | 806,184 | | (252,751) |
| Net assets | | | | | | | |
| Beginning of period | 6,673,810 | | 6,445,977 | | 16,399,364 | | 16,652,115 |
| End of period | $ 5,742,331 | | $6,673,810 | | $ 17,205,548 | | $ 16,399,364 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
| | Gotham Total Return Fund | | Gotham Enhanced 500 Plus Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 | | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase in net assets from operations: | | | | | | | |
| Net investment income | $ 242,745 | | $ 156,274 | | $ 10,909 | | $ 25,959 |
| Net realized gains from investments, securities sold short and capital gain distributions from affiliated investments | 1,655,153 | | 835,067 | | 228,534 | | 97,743 |
| Net change in unrealized appreciation on investments and securities sold short | 1,835,762 | | 1,983,329 | | 562,463 | | 577,351 |
| Net increase in net assets resulting from operations | 3,733,660 | | 2,974,670 | | 801,906 | | 701,053 |
| Less dividends and distributions to shareholders from: | | | | | | | |
| Total distributable earnings: | | | | | | | |
| Institutional Class | (1,448,501) | | (1,753,492) | | (193,783) | | (436,510) |
| Investor Class* | N/A | | (254,381) | | N/A | | N/A |
| Net decrease in net assets from dividends and distributions to shareholders | (1,448,501) | | (2,007,873) | | (193,783) | | (436,510) |
| Increase/(decrease) in net assets derived from capital share transactions (Note 4) | (7,580,003) | | (1,147,943) | | 196,478 | | 240,305 |
| Total increase/(decrease) in net assets | (5,294,844) | | (181,146) | | 804,601 | | 504,848 |
| Net assets | | | | | | | |
| Beginning of period | 19,685,012 | | 19,866,158 | | 3,611,024 | | 3,106,176 |
| End of period | $ 14,390,168 | | $ 19,685,012 | | $4,415,625 | | $3,611,024 |
| * | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4). |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Statements of Cash Flow
For the Six Months Ended March 31, 2024
(Unaudited)
| | Gotham Hedged Core Fund | | Gotham Enhanced 500 Plus Fund |
| Cash flows from operating activities: | | | |
| Net increase in net assets resulting from operations | $ 1,194,777 | | $ 801,906 |
| |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | | |
| Purchases of long-term portfolio investments | (7,946,149) | | (4,753,830) |
| Proceeds from disposition of long-term portfolio investments | 10,817,284 | | 4,740,764 |
| Purchases to cover securities sold short | (4,481,896) | | (1,737,959) |
| Proceeds from securities sold short | 3,681,022 | | 1,759,945 |
| Net realized gain on investments and investments sold short | (415,618) | | (228,534) |
| Net change in unrealized appreciation/(depreciation) on investments and investments sold short | (742,551) | | (562,463) |
| Increase in receivable for investments sold | (1,712,616) | | (43,258) |
| Increase in dividends and interest receivable | (302) | | (428) |
| Decrease in receivable from investment adviser | — | | 13,261 |
| Decrease in prepaid expenses and other assets | — | | 422 |
| Increase in payable for investments purchased | 488,118 | | 43,069 |
| Decrease in payable for dividends and fees on securities sold short | (232) | | (71) |
| Increase in payable to investment adviser | 40 | | — |
| Increase/(decrease) in accrued expense payable | (13) | | 5,071 |
| Net cash provided by operating activities | 881,864 | | 37,895 |
| Cash flows from financing activities: | | | |
| Proceeds from shares sold | 70,239 | | 2,695 |
| Payment of shares redeemed | (2,196,512) | | — |
| Increase in due to broker | 561,278 | | — |
| Increase in due to custodian | 567,452 | | — |
| Net cash provided by (used in) financing activities | (997,543) | | 2,695 |
| Net increase (decrease) in cash and restricted cash | (115,679) | | 40,590 |
| Cash and restricted cash: | | | |
| Beginning of period | $ 115,679 | | $ 83,637 |
| End of period | $ — | | $ 124,227 |
| Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities: | | | |
| Unrestricted Cash | $ 16,132 | | $ 46,314 |
| Restricted Cash | $ 99,547 | | $ 37,323 |
| Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities: | | | |
| Unrestricted Cash | $ — | | $ 29,906 |
| Restricted Cash | $ — | | $ 94,321 |
| |
| Supplemental disclosure of cash flow information: | | | |
| Cash received during the period for financing charges | $ 8,650 | | $ 3,642 |
| Reinvestment of dividends | $ 86,606 | | $ 193,783 |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Absolute Return Fund Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 19.39 | | $ 16.37 | | $ 16.73 | | $ 14.39 | | $ 15.01 | | $ 14.86 |
| Net investment loss(1) | (0.04) | | (0.06) | | (0.04) | | (0.06) | | (0.06) | | (0.00) (2) |
| Net realized and unrealized gain/(loss) on investments | 3.84 | | 3.08 | | (0.32) | | 2.40 | | (0.56) | | 0.15 |
| Total from investment operations | 3.80 | | 3.02 | | (0.36) | | 2.34 | | (0.62) | | 0.15 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net realized capital gains | (1.14) | | — | | — | | — | | — | | — |
| Redemption fees | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) |
| Net asset value, end of period | $ 22.05 | | $ 19.39 | | $ 16.37 | | $ 16.73 | | $ 14.39 | | $ 15.01 |
| Total investment return(4) | 20.55% | | 18.45% | | (2.15)% | | 16.26% | | (4.13)% | | 1.01% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $655,998 | | $626,813 | | $542,504 | | $499,529 | | $505,989 | | $857,247 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.50% (5) | | 1.50% | | 1.50% | | 1.50% | | 2.55% (6) | | 2.58% (6) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) | 1.73% (5) | | 1.73% | | 1.74% | | 1.77% | | 2.65% (6) | | 2.60% (6) |
| Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.38)% (5) | | (0.33)% | | (0.21)% | | (0.39)% | | (0.39)% | | (0.02)% (8) |
| Portfolio turnover rate | 127% (9) | | 250% | | 284% | | 210% | | 259% | | 233% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 2.05% and 2.15% for the years ended September 30, 2020 and 2019, respectively. |
| (7) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (8) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
| (9) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced Return Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.53 | | $ 9.90 | | $ 12.92 | | $ 10.21 | | $ 14.51 | | $ 15.55 |
| Net investment loss(1) | (0.01) | | (0.10) | | (0.04) | | (0.04) | | (0.04) | | (0.08) |
| Net realized and unrealized gain/(loss) on investments | 3.18 | | 2.54 | | (0.58) | | 2.77 | | (0.48) | | 0.26 |
| Total from investment operations | 3.17 | | 2.44 | | (0.62) | | 2.73 | | (0.52) | | 0.18 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | — | | — | | — | | (0.02) | | — | | — |
| Net realized capital gains | (1.13) | | (0.81) | | (2.40) | | — | | (3.78) | | (1.22) |
| Total dividends and distributions to shareholders | (1.13) | | (0.81) | | (2.40) | | (0.02) | | (3.78) | | (1.22) |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 13.57 | | $ 11.53 | | $ 9.90 | | $ 12.92 | | $ 10.21 | | $ 14.51 |
| Total investment return(3) | 29.71% | | 25.53% | | (8.04)% | | 26.73% | | (6.81)% | | 1.79% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $235,452 | | $184,400 | | $206,744 | | $227,319 | | $236,725 | | $519,067 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.28% (4) | | 1.27% | | 1.50% | | 1.50% | | 2.12% (5) | | 3.56% (5) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 1.54% (4) | | 1.55% | | 1.76% | | 1.79% | | 2.22% (5) | | 3.56% (5) |
| Ratio of net investment loss to average net assets (including dividend and interest expense) | (0.12)% (4) | | (0.95)% | | (0.38)% | | (0.36)% | | (0.37)% | | (0.56)% |
| Portfolio turnover rate | 97% (7) | | 222% | | 288% (8) | | 203% | | 213% | | 204% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 2.06% and 2.15% for years ended September 30, 2020 and 2019, respectively. |
| (6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
| (8) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Neutral Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.69 | | $ 10.34 | | $ 9.32 | | $ 9.19 | | $ 10.35 | | $ 10.25 |
| Net investment income/(loss)(1) | (0.03) | | (0.07) | | (0.02) | | (0.05) | | (0.09) | | 0.01 |
| Net realized and unrealized gain/(loss) on investments | 1.55 | | 1.42 | | 1.04 | | 0.18 | | (1.07) | | 0.09 |
| Total from investment operations | 1.52 | | 1.35 | | 1.02 | | 0.13 | | (1.16) | | 0.10 |
| Redemption fees | — | | — | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 13.21 | | $ 11.69 | | $ 10.34 | | $ 9.32 | | $ 9.19 | | $ 10.35 |
| Total investment return(3) | 13.00% | | 13.06% | | 10.94% | | 1.42% | | (11.21)% | | 0.98% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $76,346 | | $64,835 | | $67,134 | | $40,168 | | $55,675 | | $181,413 |
| Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.50% (4) | | 1.50% | | 1.50% | | 1.50% | | 2.79% (5) | | 2.34% (5) |
| Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) | 1.96% (4) | | 1.96% | | 1.94% | | 2.07% | | 2.90% (5) | | 2.33% (5) |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.49)% (4) | | (0.61)% | | (0.23)% | | (0.53)% | | (0.95)% | | 0.11% (7) |
| Portfolio turnover rate | 205% (8) | | 366% | | 408% | | 282% | | 356% | | 331% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 2.09% and 2.15% for the years ended September 30, 2020 and 2019, respectively. |
| (6) | During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1). |
| (8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Index Plus Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 21.39 | | $ 17.33 | | $ 20.30 | | $ 16.19 | | $ 15.18 | | $ 15.73 |
| Net investment income/(loss)(1) | (0.00) (2) | | (0.07) | | 0.02 | | 0.10 | | 0.14 | | 0.13 |
| Net realized and unrealized gain/(loss) on investments | 5.34 | | 4.47 | | (1.84) | | 4.19 | | 1.09 | | (0.39) |
| Total from investment operations | 5.34 | | 4.40 | | (1.82) | | 4.29 | | 1.23 | | (0.26) |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.14) | | — | | (0.10) | | (0.18) | | (0.22) | | (0.06) |
| Net realized capital gains | (0.77) | | (0.34) | | (1.05) | | — | | — | | (0.23) |
| Total dividends and distributions to shareholders | (0.91) | | (0.34) | | (1.15) | | (0.18) | | (0.22) | | (0.29) |
| Redemption fees | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) |
| Net asset value, end of period | $ 25.82 | | $ 21.39 | | $ 17.33 | | $ 20.30 | | $ 16.19 | | $ 15.18 |
| Total investment return(4) | 25.73% | | 25.62% | | (9.97)% | | 26.76% | | 8.14% | | (1.57)% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $687,304 | | $450,304 | | $394,850 | | $444,756 | | $394,773 | | $647,415 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) | 0.93% (5) | | 0.92% | | 0.96% | | 1.13% | | 1.17% (6) | | 2.99% (6) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) | 0.98% (5) | | 1.01% | | 1.04% | | 1.22% | | 1.25% (6) | | 3.04% (6) |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.01)% (5) | | (0.34)% | | 0.11% | | 0.55% | | 0.89% | | 0.89% |
| Portfolio turnover rate | 73% (8) | | 125% | | 169% (9) | | 158% (9) | | 224% | | 253% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund’s Institutional Class Shares would be 1.15% and 1.15% for the years ended September 30, 2020 and 2019, respectively. |
| (7) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (8) | Not annualized. |
| (9) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Index Plus Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Investor Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 21.27 | | $ 17.28 | | $ 20.23 | | $ 16.15 | | $ 15.13 | | $ 15.70 |
| Net investment income/(loss)(1) | (0.03) | | (0.12) | | (0.03) | | 0.06 | | 0.10 | | (0.06) |
| Net realized and unrealized gain/(loss) on investments | 5.31 | | 4.45 | | (1.82) | | 4.16 | | 1.10 | | (0.24) |
| Total from investment operations | 5.28 | | 4.33 | | (1.85) | | 4.22 | | 1.20 | | (0.30) |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.08) | | — | | (0.05) | | (0.14) | | (0.18) | | (0.04) |
| Net realized capital gains | (0.77) | | (0.34) | | (1.05) | | — | | — | | (0.23) |
| Total dividends and distributions to shareholders | (0.85) | | (0.34) | | (1.10) | | (0.14) | | (0.18) | | (0.27) |
| Redemption fees | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 25.70 | | $ 21.27 | | $ 17.28 | | $ 20.23 | | $ 16.15 | | $ 15.13 |
| Total investment return(3) | 25.54% | | 25.29% | | (10.13)% | | 26.33% | | 7.94% | | (1.82)% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $17,327 | | $11,889 | | $10,340 | | $12,671 | | $10,278 | | $17,464 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.18% (4) | | 1.17% | | 1.21% | | 1.38% | | 1.42% (5) | | 4.28% (5) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 1.23% (4) | | 1.26% | | 1.30% | | 1.47% | | 1.50% (5) | | 4.34% (5) |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.26)% (4) | | (0.59)% | | (0.14)% | | 0.30% | | 0.64% | | (0.40)% |
| Portfolio turnover rate | 73% (7) | | 125% | | 169% (8) | | 158% (8) | | 224% | | 253% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund’s Investor Class Shares would be 1.40% and 1.40% for the years ended September 30, 2020 and 2019, respectively. |
| (6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
| (8) | Portfolio turnover rate excludes securities delivered from processing a redemption in-kind. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Large Value Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 13.81 | | $ 12.80 | | $ 16.71 | | $ 12.98 | | $ 13.29 | | $ 13.02 |
| Net investment income(1) | 0.12 | | 0.25 | | 0.23 | | 0.20 | | 0.25 | | 0.20 |
| Net realized and unrealized gain/(loss) on investments | 2.35 | | 1.78 | | (1.27) | | 3.76 | | (0.22) | | 0.18 |
| Total from investment operations | 2.47 | | 2.03 | | (1.04) | | 3.96 | | 0.03 | | 0.38 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.22) | | (0.14) | | (0.25) | | (0.23) | | (0.23) | | (0.01) |
| Net realized capital gains | (1.11) | | (0.88) | | (2.62) | | — | | (0.11) | | (0.10) |
| Total dividends and distributions to shareholders | (1.33) | | (1.02) | | (2.87) | | (0.23) | | (0.34) | | (0.11) |
| Redemption fees | 0.00 (2) | | — | | 0.00 (2) | | — | | 0.00 (2) | | — |
| Net asset value, end of period | $ 14.95 | | $ 13.81 | | $ 12.80 | | $ 16.71 | | $ 12.98 | | $ 13.29 |
| Total investment return(3) | 19.38% | | 15.96% | | (8.83)% | | 30.83% | | 0.04% | | 3.11% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $54,439 | | $32,824 | | $40,445 | | $65,351 | | $70,003 | | $58,978 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any | 0.75% (4) | | 0.75% | | 0.75% | | 0.75% | | 0.75% | | 0.75% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(5) | 1.21% (4) | | 1.21% | | 1.09% | | 1.05% | | 1.03% | | 1.05% |
| Ratio of net investment income to average net assets | 1.77% (4) | | 1.82% | | 1.50% | | 1.29% | | 1.95% | | 1.61% |
| Portfolio turnover rate | 160% (6) | | 191% | | 290% | | 226% | | 406% | | 316% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 14.90 | | $ 13.20 | | $ 16.07 | | $ 12.86 | | $ 11.93 | | $ 13.70 |
| Net investment income(1) | 0.10 | | 0.20 | | 0.20 | | 0.17 | | 0.21 | | 0.19 |
| Net realized and unrealized gain/(loss) on investments | 3.13 | | 2.60 | | (1.96) | | 3.17 | | 1.14 | | 0.03 |
| Total from investment operations | 3.23 | | 2.80 | | (1.76) | | 3.34 | | 1.35 | | 0.22 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.23) | | (0.11) | | (0.17) | | (0.13) | | (0.15) | | (0.21) |
| Net realized capital gains | (0.28) | | (0.99) | | (0.94) | | — | | (0.27) | | (1.78) |
| Total dividends and distributions to shareholders | (0.51) | | (1.10) | | (1.11) | | (0.13) | | (0.42) | | (1.99) |
| Redemption fees | — | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) | | 0.00 (2) |
| Net asset value, end of period | $ 17.62 | | $ 14.90 | | $ 13.20 | | $ 16.07 | | $ 12.86 | | $ 11.93 |
| Total investment return(3) | 22.16% | | 22.11% | | (12.25)% | | 26.17% | | 11.53% | | 3.46% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $20,003 | | $18,127 | | $13,258 | | $15,569 | | $ 6,346 | | $ 6,635 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any | 0.50% (4) | | 0.50% | | 0.50% | | 0.50% | | 0.50% | | 0.50% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(5) | 0.65% (4) | | 0.65% | | 0.65% | | 1.12% | | 2.13% | | 3.20% |
| Ratio of net investment income to average net assets | 1.21% (4) | | 1.39% | | 1.31% | | 1.14% | | 1.75% | | 1.65% |
| Portfolio turnover rate | 83% (6) | | 152% | | 193% | | 178% | | 345% | | 328% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Hedged Core Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 10.51 | | $ 9.84 | | $ 12.88 | | $ 11.33 | | $ 11.16 | | $ 12.61 |
| Net investment income(1) | 0.06 | | 0.09 | | 0.09 | | 0.13 | | 0.13 | | 0.14 |
| Net realized and unrealized gain/(loss) on investments | 2.00 | | 1.38 | | (0.84) | | 1.51 | | 0.70 | | (0.11) |
| Total from investment operations | 2.06 | | 1.47 | | (0.75) | | 1.64 | | 0.83 | | 0.03 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.11) | | (0.07) | | (0.17) | | (0.07) | | (0.17) | | (0.07) |
| Net realized capital gains | (0.04) | | (0.73) | | (2.12) | | (0.02) | | (0.49) | | (1.41) |
| Total dividends and distributions to shareholders | (0.15) | | (0.80) | | (2.29) | | (0.09) | | (0.66) | | (1.48) |
| Redemption fees | 0.00 (2) | | — | | — | | 0.00 (2) | | — | | — |
| Net asset value, end of period | $ 12.42 | | $ 10.51 | | $ 9.84 | | $ 12.88 | | $ 11.33 | | $ 11.16 |
| Total investment return(3) | 19.81% | | 15.13% | | (8.37)% | | 14.56% | | 7.59% | | 0.86% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 5,742 | | $ 6,674 | | $ 6,446 | | $ 8,177 | | $ 8,804 | | $ 2,582 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense)(4) | 1.72% (5) | | 1.75% | | 1.71% | | 1.66% | | 1.52% | | 1.00% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(4) | 1.72% (5) | | 1.75% | | 1.71% | | 2.10% (6) | | 3.47% (6) | | 4.05% (6) |
| Ratio of net investment income to average net assets (including dividend and interest expense) | 1.11% (5) | | 0.84% | | 0.78% | | 1.07% | | 1.20% | | 1.29% |
| Portfolio turnover rate | 89% (7) | | 195% | | 218% | | 205% | | 267% | | 228% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 0.85%, 0.85%, 0.85%, 0.85%, 0.85% and 0.85% for the six months ended March 31, 2024 and the years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Defensive Long 500 Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 14.46 | | $ 12.35 | | $ 12.87 | | $ 11.98 | | $ 13.20 | | $ 13.78 |
| Net investment income/(loss)(1) | (0.06) | | (0.08) | | 0.03 | | 0.06 | | 0.14 | | 0.13 |
| Net realized and unrealized gain/(loss) on investments | 3.00 | | 2.23 | | (0.46) | | 0.96 | | (1.17) | | 0.32 |
| Total from investment operations | 2.94 | | 2.15 | | (0.43) | | 1.02 | | (1.03) | | 0.45 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | — | | (0.04) | | (0.09) | | (0.13) | | (0.08) | | (0.07) |
| Net realized capital gains | — | | — | | — | | — | | (0.11) | | (0.96) |
| Total dividends and distributions to shareholders | — | | (0.04) | | (0.09) | | (0.13) | | (0.19) | | (1.03) |
| Redemption fees | — | | — | | — | | — | | 0.00 (2) | | — |
| Net asset value, end of period | $ 17.40 | | $ 14.46 | | $ 12.35 | | $ 12.87 | | $ 11.98 | | $ 13.20 |
| Total investment return(3) | 20.33% | | 17.38% | | (3.41)% | | 8.65% | | (7.95)% | | 3.71% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $17,206 | | $16,399 | | $16,652 | | $35,037 | | $54,675 | | $59,368 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) | 1.35% (4) | | 1.35% | | 1.35% | | 1.35% | | 1.35% | | 3.21% (5) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 2.21% (4) | | 2.09% | | 1.96% | | 1.78% | | 1.66% | | 3.81% (5) |
| Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) | (0.74)% (4) | | (0.56)% | | 0.23% | | 0.51% | | 1.11% | | 1.03% |
| Portfolio turnover rate | 87% (7) | | 208% | | 227% | | 163% | | 294% | | 429% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $0.005 per share. |
| (3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (4) | Annualized. |
| (5) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 1.42% for the year ended September 30, 2019. |
| (6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Total Return Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares* |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 12.06 | | $ 11.45 | | $ 13.03 | | $ 11.70 | | $ 13.28 | | $ 13.38 |
| Net investment income(1) | 0.15 | | 0.09 | | 0.11 | | 0.08 | | 0.11 | | 0.05 |
| Net realized and unrealized gain/(loss) on investments | 2.14 | | 1.69 | | (1.04) | | 1.33 | | (0.91) | | 0.03 |
| Total from investment operations | 2.29 | | 1.78 | | (0.93) | | 1.41 | | (0.80) | | 0.08 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.17) | | (0.07) | | (0.13) | | (0.08) | | (0.11) | | (0.05) |
| Net realized capital gains | (0.72) | | (1.10) | | (0.52) | | (0.00) (2) | | (0.67) | | (0.13) |
| Total dividends and distributions to shareholders | (0.89) | | (1.17) | | (0.65) | | (0.08) | | (0.78) | | (0.18) |
| Redemption fees | — | | 0.00 (3) | | — | | 0.00 (3) | | 0.00 (3) | | 0.00 (3) |
| Net asset value, end of period | $ 13.46 | | $ 12.06 | | $ 11.45 | | $ 13.03 | | $ 11.70 | | $ 13.28 |
| Total investment return(4) | 19.99% | | 15.86% | | (7.87)% | | 12.17% | | (6.54)% | | 0.67% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $14,390 | | $19,685 | | $17,280 | | $23,987 | | $25,967 | | $32,167 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any | 0.00% (5) | | 0.00% | | 0.00% | | 0.00% | | 0.00% | | 0.00% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 0.75% (5) | | 0.87% | | 0.72% | | 0.66% | | 0.59% | | 0.69% |
| Ratio of net investment income to average net assets | 2.34% (5) | | 0.74% | | 0.87% | | 0.68% | | 0.94% | | 0.35% |
| Portfolio turnover rate | 4% (7) | | 35% | | 9% | | 85% | | 55% | | 3% |
| * | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4). |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Amount is less than $(0.005) per share. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class Shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 12.27 | | $ 11.40 | | $ 13.91 | | $ 11.47 | | $ 11.86 | | $ 13.99 |
| Net investment income(1) | 0.04 | | 0.09 | | 0.10 | | 0.07 | | 0.13 | | 0.10 |
| Net realized and unrealized gain/(loss) on investments | 2.58 | | 2.38 | | (1.00) | | 2.50 | | 0.47 | | 0.07 |
| Total from investment operations | 2.62 | | 2.47 | | (0.90) | | 2.57 | | 0.60 | | 0.17 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.11) | | (0.07) | | (0.07) | | (0.13) | | (0.14) | | (0.12) |
| Net realized capital gains | (0.55) | | (1.53) | | (1.54) | | — | | (0.85) | | (2.18) |
| Total dividends and distributions to shareholders | (0.66) | | (1.60) | | (1.61) | | (0.13) | | (0.99) | | (2.30) |
| Redemption fees | — | | — | | — | | — | | — | | — |
| Net asset value, end of period | $ 14.23 | | $ 12.27 | | $ 11.40 | | $ 13.91 | | $ 11.47 | | $ 11.86 |
| Total investment return(2) | 22.20% | | 23.21% | | (8.30)% | | 22.56% | | 4.95% | | 2.78% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 4,416 | | $ 3,611 | | $ 3,106 | | $ 3,556 | | $ 2,891 | | $ 2,960 |
| Ratio of expenses to average net assets with waivers, and/or reimbursements, if any(3) | 2.08% (4) | | 2.15% | | 2.12% | | 2.06% | | 2.21% | | 2.20% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(3)(5) | 4.57% (4) | | 5.23% | | 4.44% | | 4.70% | | 5.04% | | 5.23% |
| Ratio of net investment income to average net assets | 0.55% (4) | | 0.76% | | 0.73% | | 0.50% | | 1.15% | | 0.90% |
| Portfolio turnover rate | 86% (6) | | 162% | | 191% | | 140% | | 263% | | 274% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the six months ended March 31,2024 and years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively. |
| (4) | Annualized. |
| (5) | During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
GOTHAM FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Enhanced Return Fund, the Gotham Neutral Fund, the Gotham Index Plus Fund, the Gotham Large Value Fund, the Gotham Enhanced S&P 500 Index Fund, the Gotham Hedged Core Fund, the Gotham Defensive Long 500 Fund, the Gotham Total Return Fund and the Gotham Enhanced 500 Plus Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Index Plus Fund, offers one class of shares, Institutional Class. The Gotham Index Plus Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
| Gotham Absolute Return Fund (“Absolute Return”) | August 31, 2012 |
| Gotham Enhanced Return Fund (“Enhanced Return”) | May 31, 2013 |
| Gotham Neutral Fund (“Neutral”) | August 30, 2013 |
| Gotham Index Plus Fund (“Index Plus”) | March 31, 2015 |
| Gotham Large Value Fund (“Large Value”) | December 31, 2015 |
| Gotham Enhanced S&P 500 Index Fund (“Enhanced S&P 500 Index”) | December 30, 2016 |
| Gotham Hedged Core Fund (“Hedged Core”) | September 30, 2016 |
| Gotham Defensive Long 500 Fund (“Defensive Long 500”) | September 30, 2016 |
Gotham Total Return Fund (“Total Return”)
(operates as a “Fund of Funds”) | March 31, 2015 |
| Gotham Enhanced 500 Plus Fund (“Enhanced 500 Plus”) | September 30, 2016 |
All the Funds, except for Large Value, Enhanced S&P 500 Index and Total Return, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. Large Value seeks to achieve its investment objective by primarily investing in long positions of U.S. large capitalization equity securities with market capitalization similar to companies in the S&P 500® Index or Russell 1000® Index, but may invest in other large capitalization companies. Enhanced S&P 500 Index seeks to achieve its investment objective by generally investing at least 80% of its assets in U.S. equity securities listed in the S&P 500® Index. Total Return seeks to achieve its investment objective by primarily investing in other investment companies advised or sub-advised by Gotham.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Securities that do not have a readily available current market value are valued in good faith by Gotham Asset Management, LLC (“Gotham” or “the Adviser”) as “valuation designee” under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. OTC investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: one long security was fair valued with an end of period value of $0, $0, and $0 held by the Absolute Return, Enhanced Return and Neutral, respectively; and total return swaps with an end of period unrealized appreciation of $47,989,240, $36,958,778, $5,201,811, $138,678,147 and $3,862,052 held by Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500, respectively. These securities are considered Level 2 as of and for the six months ended March 31, 2024.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, capitalized dividends on short sales, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund's shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
The SEC adopted Rule 18f-4 (the “Derivatives Rule”) under the 1940 Act. The Derivatives Rule generally requires a fund to adopt a written derivatives risk management program with risk guidelines that must cover certain elements, but that will otherwise be tailored based on how a fund’s use of derivatives may affect its investment portfolio and overall risk profile. A fund’s derivatives risk management program must also include provisions for stress testing, backtesting, internal reporting and escalation, and program review elements.
The Derivatives Rule requires funds engaging in derivatives transactions to comply with an outer limit on fund leverage risk based on a fund’s value at risk (“VaR”). This outer limit is based on a relative VaR test that compares the fund’s VaR to the VaR of a designated reference portfolio for that fund, or, in the absence of an appropriate reference portfolio, to 20% of the value of the fund’s net assets.
The Derivatives Rule requires that a Fund’s Board of Directors approve the appointment of a person or persons to oversee the administration of a Fund’s derivatives risk management program (“Derivatives Risk Manager” or “DRM”). The Board has appointed a person or persons from the Fund’s investment adviser to serve as the DRM for the Program pursuant to Rule 18f-4. The DRM responsibilities include:
• Regular communication with the Investment Adviser with respect to the implementation of the Program;
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
• Completion and monitoring of a risk assessment for each Fund; and
• Periodic reporting to the Board.
Short Sales — All Funds except for Large Value and Enhanced S&P 500 Index may sell securities short. Total Return indirectly invests in short sales through its underlying securities. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission (“SEC”) and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2024, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
| | Value of
Securities
Sold Short | | Securities
Pledged
as Collateral | | Deposits with
Brokers for
Securities Sold Short |
| Hedged Core | $2,283,526 | | $4,687,807 | | $ — |
| Enhanced 500 Plus | 1,786,322 | | 3,679,306 | | 94,321 |
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the six months ended March 31, 2024:
| | Dividends on
Securities Sold Short | | Rebate
(Income)/Fees |
| Hedged Core | $20,204 | | $(65,473) |
| Enhanced 500 Plus | 14,843 | | (39,815) |
The following Funds utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Funds' respective investment objectives. A financing fee is charged to the Funds based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the six months ended March 31, 2024:
| | Short Sales
(Deposits)
Proceeds | | Financing
Charges |
| Hedged Core | $2,741,360 | | $74,123 |
| Enhanced 500 Plus | 1,708,177 | | 43,457 |
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the six months ended March 31, 2024, only Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 held total return swaps.
For the six months ended March 31, 2024, the quarterly average notional value of the total return swaps for each Fund was as follows:
| | Notional Amount |
| Absolute Return | $(262,987,745) |
| Enhanced Return | (25,045,682) |
| Neutral | (54,584,672) |
| Index Plus | (88,912,486) |
| Defensive Long 500 | (3,036,786) |
Counterparty Risk — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
For both Hedged Core and Enhanced 500 Plus, the Funds may use prime brokers with respect to its shorting strategy, which involves counterparty risk, including the risk that a prime broker may default on its obligation or become insolvent and that the Funds may lose its collateral deposit or short sale proceeds.
Liquidity Risk — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds' net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
| | | | | | | | Gross Amount Not Offset in the
Statements of Assets and Liabilities | | |
| | Gross Amounts
of Recognized
Assets/(Liabilities) | | Gross Amounts
Offset in the
Statements of
Assets and
Liabilities | | Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities | | Financial
Instruments | | Collateral
Pledged/(Received)* | | Net
Amount** |
| Absolute Return | $ 47,989,240 | | $— | | $ 47,989,240 | | $— | | $ (26,000,000) | | $21,989,240 |
| Enhanced Return | 36,958,778 | | — | | 36,958,778 | | — | | (34,000,000) | | 2,958,778 |
| Neutral | 5,201,811 | | — | | 5,201,811 | | — | | (3,600,000) | | 1,601,811 |
| Index Plus | 138,678,147 | | — | | 138,678,147 | | — | | (138,678,147) | | — |
| Defensive Long 500 | 3,862,052 | | — | | 3,862,052 | | — | | (3,862,052) | | — |
| | | | | | | | | | | | |
| * | Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown. |
| ** | Net amount represents the net receivable from the counterparty in the event of a default. |
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
| Absolute Return(1) | 1.50% |
| Enhanced Return(1) | 1.50% |
| Neutral | 1.50% |
| Index Plus(1) | 1.00% |
| Large Value | 0.75% |
| Enhanced S&P 500 Index(2) | 0.50% |
| Hedged Core(2) | 0.70% |
| Defensive Long 500 | 1.35% |
| Total Return(3) | — |
| Enhanced 500 Plus | 1.00% |
| (1) | Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the annual investment advisory fee paid by the Fund, as shown in the table. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| (2) | Enhanced S&P 500 Index and Hedged Core, respectively, entered into a Support, Service and Fee Assumption Agreement (“Agreement”) with Gotham, whereby Gotham will assume and undertake to pay substantially all Fund expenses, except investment advisory fees. Under the Agreement, Gotham is entitled to a fee, computed daily and payable monthly, equal to the lesser of (i) the annualized rate of 0.15% of the Fund’s average daily net assets, or (ii) the actual amount of Gotham’s payment obligation under the Agreement. |
| (3) | For Total Return, Gotham is not entitled to receive an investment advisory fee on assets invested in investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), but is entitled to receive an investment advisory fee of 1.00% of Total Return’s average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from Total Return on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. Total Return does not currently expect to invest in assets other than underlying funds; however, to the extent it does, Total Return will pay an investment advisory fee on such assets. |
For all Funds, except for Absolute Return, Enhanced Return, Index Plus and Enhanced S&P 500 Index, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). For Absolute Return, Enhanced Return, Index Plus and Enhanced S&P 500 Index, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Other Expense Limitation”). Both the Expense Limitation and the Other Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation and Other Expense Limitation amounts, respectively, as a percentage of average daily net assets, in effect during the six months ended March 31, 2024.
| | Institutional
Class | | Investor
Class | | Termination Date |
| Absolute Return | 0.00% | | N/A | | January 31, 2026 |
| Enhanced Return | 0.00% | | N/A | | January 31, 2026 |
| Neutral | 1.50% | | N/A | | January 31, 2026 |
| Index Plus | 0.15% | | 0.15% | | January 31, 2026 |
| Large Value | 0.75% | | N/A | | January 31, 2026 |
| Enhanced S&P 500 Index | 0.00% | | N/A | | January 31, 2026 |
| Hedged Core | 0.85% | | N/A | | January 31, 2026 |
| Defensive Long 500 | 1.35% | | N/A | | January 31, 2026 |
| Total Return(1) | 0.00% | | N/A | | January 31, 2026 |
| Enhanced 500 Plus | 1.15% | | N/A | | January 31, 2026 |
| (1) | Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any. |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
For the six months ended March 31, 2024, investment advisory fees accrued and waivers were as follows:
| | Gross
Advisory Fee | | Waivers and/or
Reimbursements | | Net Advisory Fee/
(Reimbursement) |
| Absolute Return | $4,431,730 | | $(684,544) | | $3,747,186 |
| Enhanced Return | 1,293,573 | | (263,095) | | 1,030,478 |
| Neutral | 522,399 | | (159,626) | | 362,773 |
| Index Plus | 2,300,351 | | (172,741) | | 2,127,610 |
| Large Value | 138,164 | | (83,994) | | 54,170 |
| Enhanced S&P 500 Index | 49,658 | | (14,898) | | 34,760 |
| Hedged Core | 23,132 | | — | | 23,132 |
| Defensive Long 500 | 114,926 | | (73,584) | | 41,342 |
| Total Return | — | | (77,636) | | (77,636) |
| Enhanced 500 Plus | 19,771 | | (49,161) | | (29,390) |
For all Funds, except for Absolute Return, Enhanced Return, Neutral, Large Value, Enhanced S&P 500 Index and Defensive Long 500, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of March 31, 2024, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
| | Expiration |
| | 09/30/2024 | | 09/30/2025 | | 09/30/2026 | | 03/31/2027 | | Total |
| Index Plus | | | | | | | | | |
| Institutional Class | $154,354 | | $402,809 | | $417,473 | | $168,603 | | $1,143,239 |
| Investor Class | 4,528 | | 10,996 | | 10,888 | | 4,138 | | 30,550 |
| Total Return | 88,762 | | 195,738 | | 172,817 | | 77,636 | | 534,953 |
| Enhanced 500 Plus | 54,290 | | 83,147 | | 106,046 | | 49,161 | | 292,644 |
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Index Plus, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Index Plus compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Index Plus's Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists each issuer owned by Enhanced Return, Index Plus and Total Return that may be deemed an “affiliated company” under the 1940 Act, as well as transactions that occurred in the security of such issuers during the six months ended March 31, 2024:
| Enhanced Return | | | | | | | | | | | | | | | | | | |
| Name of Issuer | | Value at
09/30/23 | | Purchase
Cost | | Sales
Proceeds | | Net
Realized
Gain/(Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
03/31/24 | | Shares
Held at
03/31/24 | | Dividend
Income | | Distributions
of Realized
Gains |
| Gotham 1000 Value ETF | | $40,905,876 | | $14,003,860 | | $10,961,912 | | $1,319,612 | | $ 6,972,824 | | $ 52,240,260 | | 2,190,000 | | $ 674,908 | | $— |
| Gotham Enhanced 500 ETF | | 42,652,080 | | — | | — | | — | | 9,138,240 | | 51,790,320 | | 1,800,000 | | 497,677 | | — |
| Total | | $83,557,956 | | $14,003,860 | | $10,961,912 | | $1,319,612 | | $16,111,064 | | $104,030,580 | | | | $1,172,585 | | $— |
| Index Plus | | | | | | | | | | | | | | | | | | |
| Name of Issuer | | Value at
09/30/23 | | Purchase
Cost | | Sales
Proceeds | | Net
Realized
Gain/(Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
03/31/24 | | Shares
Held at
03/31/24 | | Dividend
Income | | Distributions
of Realized
Gains |
| Gotham Enhanced 500 ETF | | $214,689,245 | | $63,140,013 | | $25,615,880 | | $1,846,880 | | $51,942,848 | | $306,003,106 | | 10,635,300 | | $2,730,037 | | $— |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| Total Return | | | | | | | | | | | | | | | | | | |
| Name of Issuer | | Value at
09/30/23 | | Purchase
Cost | | Sales
Proceeds | | Net
Realized
Gain/(Loss) | | Change in
Unrealized
Appreciation/
(Depreciation) | | Value at
03/31/24 | | Shares
Held at
03/31/24 | | Dividend
Income | | Distributions
of Realized
Gains |
| Gotham 1000 Value ETF | | $ 5,762,776 | | $ 35,631 | | $2,415,077 | | $ 393,108 | | $ 681,064 | | $ 4,457,502 | | 186,866 | | $101,316 | | $ — |
| Gotham Defensive Long 500 Fund | | 1,984,489 | | — | | 984,846 | | 348,337 | | 41,828 | | 1,389,808 | | 79,920 | | — | | — |
| Gotham Enhanced S&P 500 Index Fund | | 3,169,848 | | 107,307 | | 1,755,488 | | 386,064 | | 171,774 | | 2,079,505 | | 118,020 | | 48,441 | | 58,865 |
| Gotham Hedged Core Fund | | 2,913,476 | | 42,189 | | 1,388,833 | | 183,803 | | 331,004 | | 2,081,639 | | 167,604 | | 30,851 | | 11,338 |
| Gotham Large Value Fund | | 3,654,418 | | 636,764 | | 1,769,012 | | (221,865) | | 553,740 | | 2,854,045 | | 190,906 | | 59,348 | | 293,280 |
| Gotham Neutral Fund | | 1,998,012 | | 20,664 | | 884,516 | | 202,223 | | 56,352 | | 1,392,735 | | 105,430 | | — | | — |
| Total | | $19,483,019 | | $842,555 | | $9,197,772 | | $1,291,670 | | $1,835,762 | | $14,255,234 | | | | $239,956 | | $363,483 |
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | Purchases | | Sales |
| Absolute Return | $719,023,740 | | $809,601,924 |
| Enhanced Return | 195,917,533 | | 188,211,225 |
| Neutral | 134,446,640 | | 136,551,280 |
| Index Plus | 520,517,109 | | 403,962,989 |
| Large Value | 73,946,993 | | 59,080,907 |
| Enhanced S&P 500 Index | 16,077,110 | | 18,008,957 |
| Hedged Core | 7,928,163 | | 10,798,737 |
| Defensive Long 500 | 14,019,094 | | 16,172,677 |
| Total Return | 842,555 | | 9,197,772 |
| Enhanced 500 Plus | 4,744,609 | | 4,730,496 |
For the six months ended March 31, 2024, the Funds had no purchases and sales of U.S. Government securities.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
4. Capital Share Transactions
For six months ended March 31, 2024 and the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Value | | Shares | | Value |
| Absolute Return: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 4,902,693 | | $ 98,726,751 | | 8,477,602 | | $ 155,573,132 |
| Reinvestments | 653,973 | | 12,458,179 | | — | | — |
| Redemption Fees* | — | | 155 | | — | | 447 |
| Redemptions | (8,123,242) | | (160,111,441) | | (9,293,665) | | (169,625,287) |
| Net decrease | (2,566,576) | | $ (48,926,356) | | (816,063) | | $ (14,051,708) |
| |
| | | | | | | | |
| Enhanced Return: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 1,236,198 | | $ 15,228,920 | | 3,547,437 | | $ 37,676,157 |
| Reinvestments | 1,481,304 | | 16,398,034 | | 1,517,004 | | 15,822,357 |
| Redemption Fees* | — | | 5,094 | | — | | 24 |
| Redemptions | (1,356,789) | | (16,403,616) | | (9,962,634) | | (104,083,508) |
| Net increase/(decrease) | 1,360,713 | | $ 15,228,432 | | (4,898,193) | | $ (50,584,970) |
| |
| | | | | | | | |
| Neutral: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 639,939 | | $ 7,893,996 | | 890,177 | | $ 9,661,525 |
| Reinvestments | — | | — | | — | | — |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | (409,252) | | (5,079,128) | | (1,835,161) | | (20,006,733) |
| Net increase/(decrease) | 230,687 | | $ 2,814,868 | | (944,984) | | $ (10,345,208) |
| |
| | | | | | | | |
| Index Plus: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 6,733,752 | | $ 150,756,309 | | 3,228,802 | | $ 64,260,674 |
| Reinvestments | 595,463 | | 13,016,824 | | 274,450 | | 5,192,591 |
| Redemption Fees* | — | | 6,344 | | — | | 295 |
| Redemptions | (1,757,416) | | (40,243,513) | | (5,233,799) | | (106,179,078) |
| Net increase/(decrease) | 5,571,799 | | $ 123,535,964 | | (1,730,547) | | $ (36,725,518) |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Value | | Shares | | Value |
| |
| Investor Class | | | | | | | |
| Sales | 142,504 | | $ 3,325,199 | | 29,396 | | $ 591,271 |
| Reinvestments | 22,533 | | 490,529 | | 10,495 | | 197,825 |
| Redemption Fees* | — | | 156 | | — | | 8 |
| Redemptions | (49,810) | | (1,130,477) | | (79,384) | | (1,601,694) |
| Net increase/(decrease) | 115,227 | | $ 2,685,407 | | (39,493) | | $ (812,590) |
| |
| Total net increase/(decrease) | 5,687,026 | | $ 126,221,371 | | (1,770,040) | | $ (37,538,108) |
| | | | | | | | |
| Large Value: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 1,594,591 | | $ 22,441,280 | | 223,208 | | $ 3,069,441 |
| Reinvestments | 233,726 | | 3,031,430 | | 229,612 | | 3,134,210 |
| Redemption Fees* | — | | 229 | | — | | — |
| Redemptions | (564,289) | | (7,840,623) | | (1,235,712) | | (16,882,054) |
| Net increase/(decrease) | 1,264,028 | | $ 17,632,316 | | (782,892) | | $ (10,678,403) |
| |
| | | | | | | | |
| Enhanced S&P 500 Index: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 117,673 | | $ 1,881,534 | | 349,659 | | $ 5,021,211 |
| Reinvestments | 40,464 | | 618,689 | | 87,143 | | 1,173,810 |
| Redemption Fees* | — | | — | | — | | 135 |
| Redemptions | (239,194) | | (3,996,357) | | (224,572) | | (3,163,984) |
| Net increase/(decrease) | (81,057) | | $ (1,496,134) | | 212,230 | | $ 3,031,172 |
| |
| | | | | | | | |
| Hedged Core: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 6,221 | | $ 70,256 | | 194 | | $ 1,941 |
| Reinvestments | 7,866 | | 86,606 | | 50,909 | | 524,367 |
| Redemption Fees* | — | | 67 | | — | | — |
| Redemptions | (186,759) | | (2,196,579) | | (71,179) | | (725,837) |
| Net decrease | (172,672) | | $ (2,039,650) | | (20,076) | | $ (199,529) |
| |
| | | | | | | | |
| Defensive Long 500: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 30,674 | | $ 501,853 | | 238,867 | | $ 3,246,406 |
| Reinvestments | — | | — | | 3,676 | | 51,435 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | (175,684) | | (2,842,537) | | (456,322) | | (6,516,288) |
| Net decrease | (145,010) | | $ (2,340,684) | | (213,779) | | $ (3,218,447) |
| |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Value | | Shares | | Value |
| | | | | | | | |
| Total Return: | | | | | | | |
| Institutional Class+ | | | | | | | |
| Sales | 1,089 | | $ 12,999 | | 2,840 | | $ 33,377 |
| Reinvestments | 122,128 | | 1,443,551 | | 149,698 | | 1,746,981 |
| Redemption Fees* | — | | — | | — | | 18 |
| Redemptions | (686,158) | | (9,036,553) | | (122,476) | | (1,416,920) |
| Converted from Investor Class Shares | — | | — | | 92,912 | | 1,089,202 |
| Net increase/(decrease) | (562,941) | | $ (7,580,003) | | 122,974 | | $ 1,452,658 |
| |
| Investor Class+ | | | | | | | |
| Sales | — | | $ — | | 954 | | $ 11,950 |
| Reinvestments | — | | — | | 21,817 | | 254,381 |
| Redemption Fees* | — | | — | | — | | 1 |
| Redemptions | — | | — | | (156,265) | | (1,777,724) |
| Converted to Institutional Class Shares | — | | — | | (92,993) | | (1,089,209) |
| Net decrease | — | | $ — | | (226,487) | | $ (2,600,601) |
| |
| Total net decrease | (562,941) | | $ (7,580,003) | | (103,513) | | $ (1,147,943) |
| | | | | | | | |
| Enhanced 500 Plus: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 190 | | $ 2,695 | | 862 | | $ 9,500 |
| Reinvestments | 15,806 | | 193,783 | | 39,432 | | 436,510 |
| Redemption Fees* | — | | — | | — | | — |
| Redemptions | — | | — | | (18,556) | | (205,705) |
| Net increase | 15,996 | | $ 196,478 | | 21,738 | | $ 240,305 |
| |
| | | | | | | | |
| + | Investor Class Shares were converted to Institutional Class Shares on January 30, 2023. |
| * | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
Significant Shareholders
As of March 31, 2024, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
| Neutral | |
| Affiliated Fund | 2% |
| Large Value | |
| Affiliated Fund | 5% |
| Non-affiliated Shareholder | 39% |
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| Enhanced S&P 500 Index | |
| Affiliated Fund | 10% |
| Affiliated Shareholders | 1% |
| Non-affiliated Shareholder | 15% |
| Hedged Core | |
| Affiliated Fund | 36% |
| Non-affiliated Shareholder | 58% |
| Defensive Long 500 | |
| Affiliated Fund | 8% |
| Non-affiliated Shareholder | 76% |
| Total Return | |
| Affiliated Shareholders | 22% |
| Non-affiliated Shareholder | 52% |
| Enhanced 500 Plus | |
| Non-affiliated Shareholder | 96% |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
The tax character of distributions paid by the Funds during the year ended September 30, 2023, were as follows:
| | Ordinary
Income
Dividend | | Long-Term
Capital Gain
Dividend | | Return
of Capital |
| Enhanced Return | $ — | | $16,644,612 | | $— |
| Index Plus | — | | 7,844,713 | | — |
| Large Value | 465,370 | | 2,698,784 | | — |
| Enhanced S&P 500 Index | 120,259 | | 1,053,798 | | — |
| Hedged Core | 59,308 | | 465,059 | | — |
| Defensive Long 500 | 51,435 | | — | | — |
| Total Return | 110,266 | | 1,897,607 | | — |
| Enhanced 500 Plus | 18,308 | | 418,202 | | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Gain | | Unrealized
Appreciation/
(Depreciation) | | Qualified
Late-Year
Losses |
| Absolute Return | $ — | | $ — | | $18,082,554 | | $ 89,668,480 | | $(1,435,471) |
| Enhanced Return | — | | — | | 17,953,240 | | 45,998,170 | | (1,999,203) |
| Neutral | (71,107,034) | | — | | — | | 13,614,208 | | (317,812) |
| Index Plus | — | | — | | 16,035,507 | | 108,331,410 | | (2,012,178) |
| Large Value | — | | 213,176 | | 2,379,773 | | 1,554,262 | | — |
| Enhanced S&P 500 Index | — | | 218,226 | | 203,508 | | 1,629,118 | | — |
| Hedged Core | — | | 45,301 | | — | | 440,312 | | (42,919) |
| Defensive Long 500 | (3,510,812) | | — | | — | | 5,067,274 | | (90,016) |
| Total Return | — | | 56,300 | | 811,168 | | 415,156 | | — |
| Enhanced 500 Plus | — | | 26,521 | | 92,565 | | 420,212 | | — |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2023, were primarily attributed to wash sales, capital loss carryforward not yet utilized, deferral of loss on unsettled short sale transactions, straddle losses outstanding and amortization of organizational costs. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation |
| Absolute Return | | $513,520,322 | | $186,352,423 | | $(29,268,838) | | $157,083,585 |
| Enhanced Return | | 182,249,355 | | 92,294,944 | | (13,724,685) | | 78,570,259 |
| Neutral | | 64,173,586 | | 18,553,295 | | (5,017,241) | | 13,536,054 |
| Index Plus | | 558,592,355 | | 293,216,090 | | (47,800,318) | | 245,415,772 |
| Large Value | | 47,095,288 | | 7,231,751 | | (256,916) | | 6,974,835 |
| Enhanced S&P 500 Index | | 14,623,098 | | 5,361,360 | | (107,004) | | 5,254,356 |
| Hedged Core | | 6,261,423 | | 1,846,822 | | (146,116) | | 1,700,706 |
| Defensive Long 500 | | 13,288,825 | | 8,167,810 | | (1,256,683) | | 6,911,127 |
| Total Return | | 11,964,862 | | 2,435,230 | | (144,858) | | 2,290,372 |
| Enhanced 500 Plus | | 4,709,207 | | 1,472,119 | | (239,323) | | 1,232,796 |
| * | Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report. |
GOTHAM FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2023. For the year ended September 30, 2023, the Funds deferred to October 1, 2023 the following losses:
| | Late-Year Ordinary
Losses Deferral | | Short-Term Capital
Loss Deferral | | Long-Term Capital
Loss Deferral |
| Absolute Return | $1,435,471 | | $ — | | $— |
| Enhanced Return | 1,999,203 | | — | | — |
| Neutral | 317,812 | | — | | — |
| Index Plus | 2,012,178 | | — | | — |
| Hedged Core | — | | 42,919 | | — |
| Defensive Long 500 | 90,016 | | — | | — |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2023, the following Funds had total capital loss carryforwards in the following amounts:
| | Capital Loss Carryforward |
| | Short-Term | | Long-Term |
| Neutral | $71,107,034 | | $— |
| Defensive Long 500 | 3,510,812 | | — |
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
GOTHAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Funds' portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
GOTHAM FUNDS
Statement Regarding Liquidity Risk Management Program
(Unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the Gotham Funds (each a “Fund” and, collectively, the “Funds”), met on November 29-30, 2023 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Funds, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Funds’ Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of September 30, 2023 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of each Fund’s portfolio holdings, a HLIM was not currently required for any of the Funds.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follows:
A. Each Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed each Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on each Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish each Fund’s reasonably anticipated trading size. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration each Fund’s shareholder ownership concentration and the fact that shares of the Funds are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of each Fund’s holdings, it was noted that each Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in each Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Funds do not currently have a borrowing or other credit funding arrangement.
Investment Adviser
Gotham Asset Management, LLC
825 Third Avenue, 17th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
| Polen Opportunistic High Yield Fund |
of
FundVantage Trust
| Institutional Class |
| Investor Class |
| Class Y |
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class | 6.38% | | 11.54% | | 2.06% | | 2.71% | | 4.35% * |
| ICE BofA U.S. High Yield Index | 8.68% | | 11.04% | | 2.21% | | 4.03% | | 4.76% ** |
| † | Not Annualized. |
| * | The Polen Opportunistic High Yield Fund (the “Fund”) Institutional Class commenced operations on July 16, 2015. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Investor Class | 6.18% | | 11.17% | | 1.68% | | 2.37% | | 3.99% * |
| ICE BofA U.S. High Yield Index | 8.68% | | 11.04% | | 2.21% | | 4.03% | | 4.76% ** |
| † | Not Annualized. |
| * | The Polen Opportunistic High Yield Fund (the “Fund”) Investor Class commenced operations on July 16, 2015. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Class Y | 6.50% | | 11.72% | | 2.12% | | 2.72% | | 4.35% * |
| ICE BofA U.S. High Yield Index | 8.68% | | 11.04% | | 2.21% | | 4.03% | | 4.76% ** |
| † | Not Annualized. |
| * | The Polen Opportunistic High Yield Fund (the “Fund”) Class Y commenced operations on July 16, 2015. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 678-6024. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund acquired the assets and liabilities of the Polen DDJ Opportunistic High Yield Fund (the “Predecessor Fund”), a series of ALPS Series Trust, on July 24, 2023. As a result of the reorganization, the Fund is the accounting successor of the Predecessor Fund. Performance results shown in the performance table above for the periods prior to July 24, 2023, reflect the performance of the Predecessor Fund.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.92% and 0.89%, respectively, for the Institutional Class shares, 1.26% and 1.14%, respectively, for the Investor Class shares and 0.91% and 0.79%, respectively, for the Class Y shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.89% (on an annual basis) with respect to Institutional Class shares and Investor Class shares and 0.79% with respect to Class Y shares’ average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2025 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation
POLEN OPPORTUNISTIC HIGH YIELD FUND
Semi-Annual Report
Performance Data (Concluded)
March 31, 2024
(Unaudited)
and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation amount. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the ICE BofA U.S. High Yield Index, maintained by ICE BofA and comprised of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Indexes are unmanaged and it is not possible to invest directly in an index.
The Fund intends to invest its assets primarily in credit instruments that are rated below investment grade by some or all relevant independent rating agencies, including Moody’s Investors Service, Standard and Poor’s Rating Services and Fitch Ratings (including a significant portion of such assets in credit instruments in the lower tier of the high yield market that are rated B and below). Additionally, certain other high yield securities may be unrated by rating agencies, but determined by the Adviser to be of similar quality as other below investment grade bonds and credit instruments and accordingly purchased for investment by the Fund. The Fund does not have a percentage limitation on investing in securities that are rated below investment grade.
Credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All Fund securities except for those labeled “Not Rated” and “Other” have been rated by Moody’s, S&P or Fitch, which are each a Nationally Recognized Statistical Rating Organization (“NRSRO”). All Index securities except for those labeled “Not Rated” have been rated by Moody’s or S&P. Credit ratings are subject to change.
Mutual fund investing involves risk, including possible loss of principal. It is possible to lose money on an investment in the Fund. Fixed-income investments are subject to interest rate risk; as interest rates rise, their value will decline. Lower-rated securities are subject to additional credit and default risks. Investments in bank loans, which are made by banks or other financial intermediaries to borrowers, will depend primarily upon the creditworthiness of the borrower for payment of principal and interest. Trading in Rule 144A securities may be less active than trading in publicly traded securities. Investments with low trading volumes may be difficult to sell at quoted market prices.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including applicable redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2023 | | Ending Account Value
March 31, 2024 | | Annualized
Expense Ratio | | Expenses Paid
During Period* |
| Polen Opportunistic High Yield Fund |
| Institutional Class | | | | | | | |
| Actual | $1,000.00 | | $1,063.80 | | 0.89% | | $4.59 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,020.55 | | 0.89% | | 4.50 |
| Investor Class | | | | | | | |
| Actual | $1,000.00 | | $1,061.80 | | 1.14% | | $5.88 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,019.30 | | 1.14% | | 5.76 |
| Class Y | | | | | | | |
| Actual | $1,000.00 | | $1,065.00 | | 0.79% | | $4.08 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.05 | | 0.79% | | 3.99 |
| * | Expenses are equal to an annualized expense ratio for the six-month period ended March 31, 2024 of 0.89% for Institutional Class, 1.14% for Investor Class and 0.79% for Class Y, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of each table are based on the actual six-month total returns for the Fund of 6.38%, 6.18% and 6.50% for Institutional Class, Investor Class and Class Y, respectively. |
Polen Opportunistic High Yield Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| CORPORATE BONDS: | | | |
| Materials | 12.8% | | $ 40,286,604 |
| Industrial Products | 11.9 | | 37,354,929 |
| Health Care | 7.1 | | 22,262,696 |
| Insurance | 5.6 | | 17,581,605 |
| Software & Technology Services | 5.3 | | 16,510,712 |
| Consumer Discretionary Products | 4.5 | | 14,178,510 |
| Consumer Discretionary Services | 3.9 | | 12,424,436 |
| Financial Services | 3.6 | | 11,222,498 |
| Media | 3.4 | | 10,676,436 |
| Retail & Wholesale - Discretionary | 3.3 | | 10,411,705 |
| Consumer Staple Products | 2.0 | | 6,377,407 |
| Oil & Gas | 0.9 | | 2,806,019 |
| Industrial Services | 0.6 | | 1,929,727 |
| Retail & Wholesale - Staples | 0.6 | | 1,906,823 |
| SENIOR LOANS: | | | |
| Media | 5.8 | | 18,345,775 |
| Health Care | 3.9 | | 12,125,621 |
| Industrial Services | 2.7 | | 8,622,233 |
| Consumer Discretionary Services | 2.7 | | 8,442,444 |
| Software & Technology Services | 2.5 | | 7,943,025 |
| Materials | 2.5 | | 7,896,606 |
| Industrial Products | 2.3 | | 7,158,103 |
| Consumer Staple Products | 2.2 | | 6,738,247 |
| Technology Hardware & Semiconductors | 1.2 | | 3,758,185 |
| Consumer Discretionary Products | 1.0 | | 3,014,046 |
| Financial Services | 0.8 | | 2,401,027 |
| Retail & Wholesale - Discretionary | 0.6 | | 1,985,437 |
| Insurance | 0.6 | | 1,834,888 |
| Retail & Wholesale - Staples | 0.3 | | 923,363 |
| Telecommunications | 0.1 | | 432,320 |
| COMMON STOCKS: | | | |
| Materials | 0.2 | | 670,658 |
| Industrial Products | 0.2 | | 502,226 |
| Retail & Wholesale - Discretionary | 0.0 | | 122,745 |
| Software & Technology Services | 0.0 | | 14,742 |
| WARRANTS: | | | |
| Industrial Products | 0.0 | | — |
| Other Assets in Excess of Liabilities | 4.9 | | 15,407,896 |
| NET ASSETS | 100.0% | | $314,269,694 |
Portfolio holdings are subject to change at any time.
See Note 1. The industry designations set forth in the schedule above are those of the Bloomberg Industry Classification System ("BICS").
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS† — 65.5% |
| Consumer Discretionary Products — 4.5% |
| CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a) | $ 2,040,000 | | $ 2,025,346 |
| Clarios Global LP, 8.50%, 5/15/27(a) | 1,080,000 | | 1,083,443 |
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(a) | 8,080,000 | | 7,170,687 |
| Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(a) | 4,450,000 | | 3,899,034 |
| | | | 14,178,510 |
| Consumer Discretionary Services — 3.9% |
| Boyd Gaming Corp., 4.75%, 6/15/31(a) | 2,470,000 | | 2,272,570 |
| Raising Cane's Restaurants, LLC, 9.375%, 5/1/29(a) | 7,140,000 | | 7,723,459 |
| Scientific Games Holdings LP, 6.625%, 3/1/30(a) | 2,510,000 | | 2,428,407 |
| | | | 12,424,436 |
| Consumer Staple Products — 2.0% |
| B&G Foods, Inc., 5.25%, 4/1/25 | 1,370,000 | | 1,364,072 |
| Fiesta Purchaser, Inc., 7.875%, 3/1/31(a) | 1,790,000 | | 1,849,901 |
| Simmons Foods, Inc., 4.625%, 3/1/29(a) | 3,580,000 | | 3,163,434 |
| | | | 6,377,407 |
| Financial Services — 3.6% |
| NFP Corp., 6.875%, 8/15/28(a) | 9,500,000 | | 9,625,552 |
| NFP Corp., 8.50%, 10/1/31(a) | 1,450,000 | | 1,596,946 |
| | | | 11,222,498 |
| Health Care — 7.1% |
| Fortrea Holdings, Inc., 7.50%, 7/1/30(a) | 2,700,000 | | 2,792,264 |
| Option Care Health, Inc., 4.375%, 10/31/29(a) | 5,150,000 | | 4,729,443 |
| Surgery Center Holdings, Inc., 6.75%, 7/1/25(a) | 1,023,000 | | 1,023,742 |
| Surgery Center Holdings, Inc., 10.00%, 4/15/27(a) | 3,686,000 | | 3,694,762 |
| Surgery Center Holdings, Inc., 7.25%, 4/15/32(a) | 2,520,000 | | 2,544,188 |
| Tenet Healthcare Corp., 6.125%, 10/1/28 | 7,490,000 | | 7,478,297 |
| | | | 22,262,696 |
| Industrial Products — 11.9% |
| Chart Industries, Inc., 7.50%, 1/1/30(a) | 4,230,000 | | 4,399,044 |
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Industrial Products — (Continued) |
| Chart Industries, Inc., 9.50%, 1/1/31(a) | $4,150,000 | | $ 4,522,393 |
| F-Brasile SpA, Series XR, 7.375%, 8/15/26(a) | 4,690,000 | | 4,683,470 |
| Madison IAQ, LLC, 5.875%, 6/30/29(a) | 7,250,000 | | 6,643,300 |
| Material Sciences Corp., 12.79%, 7/9/26(b)(c)(d) | 105,420 | | 105,420 |
| SPX Flow, Inc., 8.75%, 4/1/30(a) | 5,805,000 | | 5,869,093 |
| Titan Acquisition Ltd., 7.75%, 4/15/26(a) | 3,521,000 | | 3,519,785 |
| TransDigm, Inc., 6.75%, 8/15/28(a) | 1,460,000 | | 1,482,845 |
| TransDigm, Inc., 4.875%, 5/1/29 | 1,660,000 | | 1,545,851 |
| TransDigm, Inc., 6.875%, 12/15/30(a) | 3,510,000 | | 3,581,945 |
| TransDigm, Inc., 6.625%, 3/1/32(a) | 990,000 | | 1,001,783 |
| | | | 37,354,929 |
| Industrial Services — 0.6% |
| IEA Energy Services, LLC, 6.625%, 8/15/29(a) | 2,000,000 | | 1,929,727 |
| Insurance — 5.6% |
| AssuredPartners, Inc., 7.50%, 2/15/32(a) | 4,000,000 | | 3,934,250 |
| GTCR AP Finance, Inc., 8.00%, 5/15/27(a) | 2,080,000 | | 2,088,593 |
| HUB International Ltd., 7.375%, 1/31/32(a) | 9,310,000 | | 9,378,512 |
| Jones Deslauriers Insurance Management, Inc., 8.50%, 3/15/30(a) | 2,090,000 | | 2,180,250 |
| | | | 17,581,605 |
| Materials — 12.8% |
| AmeriTex HoldCo Intermediate, LLC, 10.25%, 10/15/28(a) | 1,350,000 | | 1,451,123 |
| Baffinland Iron Mines Corp., 8.75%, 7/15/26(a) | 12,480,000 | | 11,546,965 |
| Century Aluminum Co., 7.50%, 4/1/28(a) | 12,415,000 | | 12,400,467 |
| Intelligent Packaging Ltd. Finco, Inc., 6.00%, 9/15/28(a) | 1,430,000 | | 1,360,180 |
| LABL, Inc., 6.75%, 7/15/26(a) | 1,820,000 | | 1,798,545 |
| LABL, Inc., 9.50%, 11/1/28(a) | 600,000 | | 607,703 |
| Northwest Acquisitions ULC, 7.125%, 11/1/22(a)(c)(e) | 1,650,000 | | 1,997 |
| Oscar AcquisitionCo., LLC, 9.50%, 4/15/30(a) | 6,670,000 | | 6,586,137 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Materials — (Continued) |
| SCIH Salt Holdings, Inc., 6.625%, 5/1/29(a) | $3,863,000 | | $ 3,580,134 |
| Specialty Steel Holdings, Inc., 15.39%, 11/15/26(b)(c) | 195,000 | | 195,000 |
| Trident TPI Holdings, Inc., 12.75%, 12/31/28(a) | 710,000 | | 758,353 |
| | | | 40,286,604 |
| Media — 3.4% |
| Arches Buyer, Inc., 6.125%, 12/1/28(a) | 1,940,000 | | 1,631,649 |
| CCO Holdings, LLC, 4.50%, 5/1/32 | 1,840,000 | | 1,479,024 |
| CCO Holdings, LLC , 4.50%, 6/1/33(a) | 1,890,000 | | 1,477,881 |
| CCO Holdings, LLC , 4.25%, 1/15/34(a) | 2,930,000 | | 2,216,493 |
| Clear Channel Outdoor Holdings, Inc., 9.00%, 9/15/28(a) | 1,840,000 | | 1,919,738 |
| Clear Channel Outdoor Holdings, Inc., 7.875%, 4/1/30(a) | 940,000 | | 935,228 |
| Scripps Escrow II, Inc., 5.375%, 1/15/31(a) | 1,490,000 | | 918,548 |
| Sterling Entertainment Enterprises, LLC, 10.25%, 1/15/25(b)(c)(d) | 100,000 | | 97,875 |
| | | | 10,676,436 |
| Oil & Gas — 0.9% |
| Forum Energy Technologies, Inc., 9.00%, 8/4/25 | 1,682,042 | | 1,682,883 |
| Teine Energy Ltd., 6.875%, 4/15/29(a) | 1,150,000 | | 1,123,136 |
| | | | 2,806,019 |
| Retail & Wholesale - Discretionary — 3.3% |
| Hertz Corp. (The), 4.625%, 12/1/26(a) | 1,710,000 | | 1,554,234 |
| High Ridge Brands Escrow, 8.875%, 3/15/25(b)(c) | 125,000 | | — |
| SRS Distribution, Inc., 6.00%, 12/1/29(a) | 4,840,000 | | 4,943,697 |
| Wand NewCo 3, Inc., 7.625%, 1/30/32(a) | 3,780,000 | | 3,913,774 |
| | | | 10,411,705 |
| Retail & Wholesale - Staples — 0.6% |
| US Foods, Inc., 7.25%, 1/15/32(a) | 1,830,000 | | 1,906,823 |
| | Par
Value | | Value |
| CORPORATE BONDS — (Continued) |
| Software & Technology Services — 5.3% |
| Boost Newco Borrower, LLC, 7.50%, 1/15/31(a) | $ 660,000 | | $ 691,741 |
| Central Parent, Inc., 7.25%, 6/15/29(a) | 770,000 | | 786,812 |
| Central Parent, LLC, 8.00%, 6/15/29(a) | 780,000 | | 809,080 |
| Dun & Bradstreet Corp. (The), 5.00%, 12/15/29(a) | 720,000 | | 665,639 |
| Presidio Holdings, Inc., 8.25%, 2/1/28(a) | 5,730,000 | | 5,712,690 |
| Twilio, Inc., 3.875%, 3/15/31 | 1,580,000 | | 1,381,333 |
| UKG, Inc., 6.875%, 2/1/31(a)(c) | 6,340,000 | | 6,463,417 |
| | | | 16,510,712 |
TOTAL CORPORATE BONDS
(Cost $205,142,218) | | | 205,930,107 |
| SENIOR LOANS†(f) — 29.2% |
| Consumer Discretionary Products — 1.0% |
| DexKo Global, Inc., 2023 Incremental Term Loans, 9.559% (SOFR +425 bps), 10/4/28 | 778,050 | | 776,105 |
| RealTruck Goup, Inc., Initial Term Loan, 8.945% (SOFR +361 bps), 1/31/28 | 2,252,583 | | 2,237,941 |
| | | | 3,014,046 |
| Consumer Discretionary Services — 2.7% |
| Kuehg Corp., Initial Term Loan, 10.302% (SOFR +500 bps), 6/12/30(g) | 4,202,725 | | 4,219,557 |
| Learning Care Group U.S. No.2, Inc., Initial Term Loans, 10.059% - 10.093% (SOFR +475 bps), 8/11/28 | 4,208,850 | | 4,222,887 |
| | | | 8,442,444 |
| Consumer Staple Products — 2.2% |
| Kronos Acquisition Holdings, Inc., Tranche B-1 Term Loan, 9.314% (SOFR +401 bps), 12/22/26 | 4,515,000 | | 4,526,017 |
| VC GB Holdings I Corp., Second Lien Initial Term Loan, 12.314% (SOFR +701 bps), 7/23/29 | 2,220,000 | | 2,212,230 |
| | | | 6,738,247 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| SENIOR LOANS — (Continued) |
| Financial Services — 0.8% |
| Nexus Buyer, LLC, Amendment No. 5 Term Loans, 9.827% (SOFR +450 bps), 12/11/28 | $1,491,000 | | $ 1,484,477 |
| Nexus Buyer, LLC, Second Lien Term Loan, 11.677% (SOFR +635 bps), 11/5/29 | 920,000 | | 916,550 |
| | | | 2,401,027 |
| Health Care — 3.9% |
| Aveanna Healthcare, LLC, Initial Term Loan, 12.493% (SOFR +715 bps), 12/10/29 | 4,000,000 | | 3,450,000 |
| EyeCare Partners, LLC, First Lien Amendment No. 2 Term Loans, 9.913% (SOFR +450 bps), 11/15/28(c) | 1,273,875 | | 684,708 |
| EyeCare Partners, LLC, Second Lien Initial Term Loan, 12.324% (SOFR +701 bps), 11/15/29(c) | 3,430,000 | | 1,269,100 |
| Medical Solutions Holdings, Inc., Second Lien Term Loan, 12.427% (SOFR +710 bps), 11/1/29 | 1,770,000 | | 1,442,550 |
| Packaging Coordinators Midco, Inc., First Lien Term B Loan, 9.071% (SOFR +376 bps), 11/30/27 | 4,363,766 | | 4,378,013 |
| SM Wellness Holdings, Inc., Second Lien Initial Term Loan, 13.574% (SOFR +800 bps), 4/16/29(b)(c) | 1,030,000 | | 901,250 |
| | | | 12,125,621 |
| Industrial Products — 2.3% |
| Engineered Machinery Holdings, Inc., Incremental USD 1st Lien Term Loan, 9.321% (SOFR +401 bps), 5/19/28 | 1,112,890 | | 1,110,285 |
| Engineered Machinery Holdings, Inc., Second Lien Amendment No 3 Incremental Term Loan, 11.571% (SOFR +626 bps), 5/21/29 | 2,645,812 | | 2,621,563 |
| Engineered Machinery Holdings, Inc., Second Lien Incremental Amendment No 2 Term Loan, 12.071% (SOFR +676 bps), 5/21/29 | 3,456,499 | | 3,426,255 |
| | | | 7,158,103 |
| | Par
Value | | Value |
| SENIOR LOANS — (Continued) |
| Industrial Services — 2.7% |
| Ankura Consulting Group, LLC, Second Lien Closing Date Term Loan, 13.443% (SOFR +811 bps), 3/19/29(c) | $ 650,000 | | $ 607,750 |
| CHG Healthcare Services, Inc., 2023 Incremental Term Loans, 9.080% - 9.093% (SOFR +375 bps), 9/29/28 | 1,665,825 | | 1,672,080 |
| Infinite Bidco, LLC, Second Lien Initial Term Loan, 12.574% (SOFR +726 bps), 3/2/29 | 4,245,740 | | 3,626,563 |
| LaserShip, Inc., Second Lien Initial Loan, 13.071% (SOFR +776 bps), 5/7/29 | 3,280,000 | | 2,715,840 |
| | | | 8,622,233 |
| Insurance — 0.6% |
| Asurion, LLC, New B-4 Term Loan, 10.692% (SOFR +536 bps), 1/20/29 | 2,040,000 | | 1,834,888 |
| Materials — 2.5% |
| Arctic Canadian Diamond Company Ltd., Second Lien Term Loan, 10.00%, 12/31/27(b)(c)(d) | 370,501 | | 370,500 |
| Aruba Investments Holdings, LLC, First Lien Initial Dollar Term Loan, 9.43% (SOFR +410 bps), 11/24/27 | 1,678,897 | | 1,678,897 |
| Aruba Investments Holdings, LLC, Second Lien Initial Term Loan, 13.18% (SOFR +785 bps), 11/24/28 | 3,450,000 | | 3,441,375 |
| CP Iris Holdco I, Inc., Initial Term Loan, 12.427% (SOFR +710 bps), 10/1/29 | 1,720,000 | | 1,608,200 |
| Trident TPI Holdings, Inc., Tranche B-5 Initial Term Loan, 9.809% (SOFR +450 bps), 9/15/28 | 795,990 | | 797,634 |
| | | | 7,896,606 |
| Media — 5.8% |
| Arches Buyer, Inc., Refinancing Term Loan, 8.68% (SOFR +335 bps), 12/6/27(g) | 2,912,474 | | 2,827,736 |
| Auction.com, LLC, Term Loan, 11.327% (SOFR +600 bps), 5/26/28 | 6,556,116 | | 6,336,486 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Par
Value | | Value |
| SENIOR LOANS — (Continued) |
| Media — (Continued) |
| Auction.com, LLC, Term Loan, 13.50% (PRIME +300 bps), 5/26/28 | $ 17,483 | | $ 16,897 |
| Clear Channel Outdoor Holdings, Inc., 2024 Refinancing Term Loan, 9.441% (SOFR +411 bps), 8/21/28 | 1,410,000 | | 1,411,762 |
| MH Sub I, LLC, Second Lien Term Loan, 11.58% (SOFR +625 bps), 2/23/29 | 8,020,000 | | 7,752,894 |
| | | | 18,345,775 |
| Retail & Wholesale - Discretionary — 0.6% |
| TA TT Buyer, LLC, Initial Term Loan, 10.302% (SOFR +500 bps), 4/2/29 | 666,604 | | 670,217 |
| Wand NewCo 3, Inc., Term Loan, 9.08% (SOFR +375 bps), 1/30/31 | 1,310,000 | | 1,315,220 |
| | | | 1,985,437 |
| Retail & Wholesale - Staples — 0.3% |
| Quirch Foods Holdings, LLC, Term Loan, 10.324% (SOFR +501 bps), 10/27/27 | 920,486 | | 923,363 |
| Software & Technology Services — 2.5% |
| AthenaHealth Group, Inc., Initial Term Loan, 8.58% (SOFR +325 bps), 2/15/29 | 960,798 | | 954,121 |
| Cloudera, Inc., Second Lien Term Loan, 11.43% (SOFR +610 bps), 10/8/29 | 860,000 | | 854,625 |
| Mitchell International, Inc., Second Lien Initial Term Loan, 11.942% (SOFR +661 bps), 10/15/29 | 1,650,000 | | 1,651,031 |
| Skopima Consilio, Second Lien Initial Term Loan, 12.945% (SOFR +761 bps), 4/30/29 | 2,050,000 | | 1,993,625 |
| UKG, Inc., Second Lien 2021 Incremental Term Loan, 10.68% (SOFR +535 bps), 5/3/27 | 2,463,448 | | 2,489,623 |
| | | | 7,943,025 |
| Technology Hardware & Semiconductors — 1.2% |
| Altar Bidco, Inc., Second Lien Initial Term Loan, 10.399% (SOFR +560 bps), 2/1/30 | 3,794,939 | | 3,758,185 |
| | Par
Value | | Value |
| SENIOR LOANS — (Continued) |
| Telecommunications — 0.1% |
| Xplornet Communications, Inc., Second Lien Initial Term Loan, 12.564% (SOFR +726 bps), 10/1/29(c) | $1,930,000 | | $ 432,320 |
TOTAL SENIOR LOANS
(Cost $97,173,407) | | 91,621,320 |
| | Number
of Shares | |
| COMMON STOCKS† — 0.4% |
| Industrial Products — 0.2% |
| Utex Industries, Inc.(b)(c)(d)* | 7,506 | 502,226 |
| Materials — 0.2% |
| Arctic Canadian Diamond Co. Ltd.(b)(c)(d)* | 541 | 150,939 |
| Burgundy Diamond Mines Ltd.(c)(d)* | 983,076 | 124,921 |
| Real Alloy Holding, Inc.(b)(c)(d)* | 3 | 226,832 |
| Specialty Steel Holdings, Inc.(b)(c)* | 1 | 167,966 |
| | | 670,658 |
| Retail & Wholesale - Discretionary — 0.0% |
| ATD New Holdings, Inc.(b)(c)* | 2,940 | 122,745 |
| Software & Technology Services — 0.0% |
| Skillsoft Corp.* | 1,638 | 14,742 |
TOTAL COMMON STOCKS
(Cost $1,139,177) | | 1,310,371 |
| | Par
Value | |
| WARRANTS † — 0.0% |
| Industrial Products — 0.0% |
| Utex Industries Holdings, LLC, Strike Price: $114.76, 12/3/25(b)(c)(d)* | 1,150 | — |
TOTAL WARRANTS
(Cost $—) | | — |
|
| |
TOTAL INVESTMENTS - 95.1%
(Cost $303,454,802) | | 298,861,798 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9% | | 15,407,896 |
| NET ASSETS - 100.0% | | $ 314,269,694 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
| (a) | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At March 31, 2024, these securities amounted to $190,600,352 or 60.65% of net assets. These securities have been determined by the Adviser to be liquid securities. |
| (b) | Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees. |
| (c) | Security is deemed illiquid at March 31, 2024. |
| (d) | Security deemed to be restricted as of March 31, 2024. As of March 31, 2024, the fair value of restricted securities in the aggregate was $1,578,713, representing 0.50% of the Fund’s net assets. Additional information on restricted securities can be found in Note 1. |
| (e) | Security is currently in default. |
| (f) | Floating rate note. Coupon rate, reference index and spread shown at March 31, 2024. |
| (g) | All or a portion of this Senior Loan will settle after March 31, 2024, at which time the interest rate will be determined. Rates shown, if any, are for the settled portion. |
| † | See Note 1. The industry designations set forth in the schedule above are those of the Bloomberg Industry Classification System ("BICS"). |
| * | Non-income producing. |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| SOFR | Secured Overnight Funding Rate |
| USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Statement of Assets and Liabilities
March 31, 2024
(Unaudited)
| Assets | |
| Investments, at value (Cost $303,454,802) | $298,861,798 |
| Cash and cash equivalents | 12,560,343 |
| Receivables: | |
| Investments sold | 3,424,195 |
| Capital shares sold | 2,831 |
| Interest | 4,963,026 |
| Prepaid expenses and other assets | 7,079 |
| Total Assets | 319,819,272 |
| Liabilities | |
| Payables: | |
| Investments purchased | 4,925,579 |
| Distributions to shareholders | 335,494 |
| Investment adviser | 147,755 |
| Capital shares redeemed | 38,017 |
| Administration and accounting fees | 26,331 |
| Shareholder servicing fees | 859 |
| Distribution fees (Investor Class Shares) | 374 |
| Accrued expenses | 75,169 |
| Total Liabilities | 5,549,578 |
| Contingencies and Commitments (Note 2) | — |
| Net Assets | $314,269,694 |
| Net Assets Consisted of: | |
| Capital stock, $0.01 par value | $ 432,446 |
| Paid-in capital | 353,279,354 |
| Total distributable loss | (39,442,106) |
| Net Assets | $314,269,694 |
| Institutional Class Shares: | |
| Net assets | $ 3,413,610 |
| Shares outstanding | 467,274 |
| Net asset value, offering and redemption price per share | $ 7.31 |
| Investor Class Shares: | |
| Net assets | $ 1,772,250 |
| Shares outstanding | 243,722 |
| Net asset value, offering and redemption price per share | $ 7.27 |
| Class Y Shares: | |
| Net assets | $309,083,834 |
| Shares outstanding | 42,533,610 |
| Net asset value, offering and redemption price per share | $ 7.27 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Statement of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
| Investment income | |
| Interest | $ 13,362,623 |
| Dividends | 28,801 |
| Total investment income | 13,391,424 |
| Expenses | |
| Advisory fees(Note 2) | 1,061,810 |
| Registration and filing fees | 59,338 |
| Transfer agent fees(Note 2) | 38,176 |
| Trustees’ and officers’ fees(Note 2) | 30,420 |
| Administration and accounting fees(Note 2) | 30,111 |
| Audit fees | 22,426 |
| Legal fees | 13,272 |
| Shareholder reporting fees | 12,920 |
| Custodian fees(Note 2) | 7,136 |
| Distribution fees (Investor Class)(Note 2) | 2,070 |
| Other expenses | 10,317 |
| Total expenses before waivers and reimbursements | 1,287,996 |
| Less: waivers and reimbursements(Note 2) | (85,685) |
| Net expenses after waivers and reimbursements | 1,202,311 |
| Net investment income | 12,189,113 |
| Net realized and unrealized gain/(loss) from investments: | |
| Net realized loss from investments | (7,770,138) |
| Net change in unrealized appreciation on investments | 14,674,492 |
| Net realized and unrealized gain on investments | 6,904,354 |
| Net increase in net assets resulting from operations | $ 19,093,467 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Statements of Changes in Net Assets
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income | $ 12,189,113 | | $ 24,557,149 |
| Net realized losses from investments | (7,770,138) | | (17,865,163) |
| Net change in unrealized appreciation on investments | 14,674,492 | | 19,392,245 |
| Net increase in net assets resulting from operations | 19,093,467 | | 26,084,231 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | (93,687) | | (26,399) |
| Investor Class | (67,265) | | (119,305) |
| Class Y | (12,168,514) | | (24,452,801) |
| Net decrease in net assets from dividends and distributions to shareholders | (12,329,466) | | (24,598,505) |
| Increase in net assets derived from capital share transactions (Note 4) | 18,046,563 | | 29,534,571 |
| Total increase in net assets | 24,810,564 | | 31,020,297 |
| Net assets | | | |
| Beginning of period/year | 289,459,130 | | 258,438,833 |
| End of period/year | $314,269,694 | | $289,459,130 |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 7.16 | | $ 7.11 | | $ 8.58 | | $ 8.09 | | $ 8.72 | | $ 9.54 |
| Net investment income(1) | 0.28 | | 0.63 | | 0.43 | | 0.52 | | 0.61 (2) | | 0.84 |
| Net realized and unrealized gain/(loss) on investments | 0.17 | | 0.05 | | (1.45) | | 0.48 | | (0.64) | | (0.83) |
| Total from investment operations | 0.45 | | 0.68 | | (1.02) | | 1.00 | | (0.03) | | 0.01 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.30) | | (0.63) | | (0.45) | | (0.51) | | (0.60) | | (0.83) |
| Net realized capital gains | — | | — | | (0.00) (3) | | — | | — | | — |
| Total dividends and distributions to shareholders | (0.30) | | (0.63) | | (0.45) | | (0.51) | | (0.60) | | (0.83) |
| Redemption fees | — | | 0.00 (3) | | — | | — | | — | | — |
| Net asset value, end of period | $ 7.31 | | $ 7.16 | | $ 7.11 | | $ 8.58 | | $ 8.09 | | $ 8.72 |
| Total investment return(4) | 6.38% | | 9.97% | | (12.25)% | | 12.63% | | (0.11)% | | 0.16% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 3,414 | | $ 554 | | $ 12 | | $ 708 | | $ 668 | | $ 719 |
| Ratio of expenses to average net assets | 0.89% (5) | | 0.89% | | 0.79% (6) | | 0.79% (6) | | 0.79% (6) | | 0.79% (6) |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) | 1.11% (5) | | 0.92% | | 0.90% | | 0.98% | | 1.32% | | 2.98% |
| Ratio of net investment income to average net assets | 7.94% (5) | | 8.96% | | 5.14% | | 6.11% | | 7.44% | | 9.20% |
| Portfolio turnover rate | 35% (8) | | 43% | | 36% (8) | | 74% | | 66% | | 43% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | According to the Predecessor Fund’s shareholder services plan with respect to the Fund’s Institutional Class shares, any amount of such payment not paid during the Fund’s fiscal year for such services activities shall be reimbursed to the Fund as soon as practical after the end of the fiscal year. Fees were reimbursed to the Fund during the year ended September 30, 2019 in the amounts of 0.10% of average net assets of Institutional Class shares. For the years ended September 30, 2022, September 30, 2021 and September 30, 2020, no fees were accrued and thus no fees were reimbursed. |
| (7) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (8) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Investor Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 7.13 | | $ 7.09 | | $ 8.61 | | $ 8.12 | | $ 8.75 | | $ 9.55 |
| Net investment income(1) | 0.28 | | 0.61 | | 0.45 | | 0.49 | | 0.59 (2) | | 0.80 |
| Net realized and unrealized gain/(loss) on investments | 0.15 | | 0.04 | | (1.49) | | 0.48 | | (0.65) | | (0.82) |
| Total from investment operations | 0.43 | | 0.65 | | (1.04) | | 0.97 | | (0.06) | | (0.02) |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.29) | | (0.61) | | (0.48) | | (0.48) | | (0.57) | | (0.79) |
| Net realized capital gains | — | | — | | (0.00) (3) | | — | | — | | — |
| Total dividends and distributions to shareholders | (0.29) | | (0.61) | | (0.48) | | (0.48) | | (0.57) | | (0.79) |
| Redemption fees | — | | 0.00 (3) | | — | | 0.00 (3) | | 0.00 (3) | | 0.01 |
| Net asset value, end of period | $ 7.27 | | $ 7.13 | | $ 7.09 | | $ 8.61 | | $ 8.12 | | $ 8.75 |
| Total investment return(4) | 6.18% | | 9.47% | | (12.51)% | | 12.20% | | (0.46)% | | (0.12)% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $ 1,772 | | $ 1,413 | | $ 1,384 | | $ 2,480 | | $ 2,579 | | $ 6,467 |
| Ratio of expenses to average net assets | 1.14% (5) | | 1.14% | | 1.14% | | 1.14% | | 1.14% | | 1.14% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 1.44% (5) | | 1.26% | | 1.24% | | 1.33% | | 1.71% | | 3.20% |
| Ratio of net investment income to average net assets | 7.69% (5) | | 8.47% | | 5.63% | | 5.75% | | 6.98% | | 8.74% |
| Portfolio turnover rate | 35% (7) | | 43% | | 36% (7) | | 74% | | 66% | | 43% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights (Concluded)
Contained below is per share operating performance data for Class Y shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Class Y shares |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 7.11 | | $ 7.07 | | $ 8.59 | | $ 8.10 | | $ 8.72 | | $ 9.53 |
| Net investment income(1) | 0.29 | | 0.63 | | 0.49 | | 0.52 | | 0.60 (2) | | 0.83 |
| Net realized and unrealized gain/(loss) on investments | 0.16 | | 0.04 | | (1.50) | | 0.48 | | (0.63) | | (0.82) |
| Total from investment operations | 0.45 | | 0.67 | | (1.01) | | 1.00 | | (0.03) | | 0.01 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | (0.29) | | (0.63) | | (0.51) | | (0.51) | | (0.59) | | (0.82) |
| Net realized capital gains | — | | — | | (0.00) (3) | | — | | — | | — |
| Total dividends and distributions to shareholders | (0.29) | | (0.63) | | (0.51) | | (0.51) | | (0.59) | | (0.82) |
| Redemption fees | 0.00 (3) | | 0.00 (3) | | 0.00 (3) | | — | | — | | — |
| Net asset value, end of period | $ 7.27 | | $ 7.11 | | $ 7.07 | | $ 8.59 | | $ 8.10 | | $ 8.72 |
| Total investment return(4) | 6.50% | | 9.90% | | (12.23)% | | 12.61% | | (0.03)% | | 0.12% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $309,084 | | $287,492 | | $257,043 | | $243,732 | | $135,801 | | $20,367 |
| Ratio of expenses to average net assets | 0.79% (5) | | 0.79% | | 0.79% | | 0.79% | | 0.79% | | 0.79% |
| Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) | 0.84% (5) | | 0.91% | | 0.89% | | 0.99% | | 1.24% | | 3.01% |
| Ratio of net investment income to average net assets | 8.04% (5) | | 8.82% | | 6.12% | | 6.07% | | 7.36% | | 9.14% |
| Portfolio turnover rate | 35% (7) | | 43% | | 36% (7) | | 74% | | 66% | | 43% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund. |
| (3) | Amount is less than $0.005 per share. |
| (4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (5) | Annualized. |
| (6) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (7) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Polen Opportunistic High Yield Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”). The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers three separate classes of shares, Institutional Class, Investor Class and Class Y shares. Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) serves as investment adviser to the Polen Opportunistic High Yield Fund pursuant to an investment advisory agreement with the Trust.
The Fund commenced investment operations on July 24, 2023. Prior to that date, the Fund acquired the assets and assumed the liabilities of the Polen DDJ Opportunistic High Yield Fund (the “Predecessor Fund”), a series of ALPS Series Trust (“ALPS”), in a tax-free reorganization as set out in an Agreement and Plan of Reorganization, dated as of April 17, 2023 (the “Plan”). The Predecessor Fund commenced investment operations on July 16, 2015. The Plan was approved by the Trust's Board of Trustees on February 27, 2023, by the Board of Trustees of ALPS on February 16, 2023, and by the beneficial owners of the Predecessor Fund on July 5, 2023. The tax-free reorganization was accomplished on July 24, 2023. Financial information included for the dates prior to the reorganization is that of the Predecessor Fund. As a result of the reorganization, the Fund assumed the performance and accounting history of the Predecessor Fund listed in the table below:
Predecessor Fund
(series of ALPS Series Trust) | | Polen Opportunistic High Yield Fund
(series of FundVantage Trust) | | Net Assets | | Shares
Outstanding |
| Class I | | Institutional Class | | $ 554,159 | | 77,440 |
| Class II | | Investor Class | | 1,412,805 | | 198,233 |
| Institutional Class | | Class Y | | 287,492,166 | | 40,429,876 |
Effective April 1, 2024, the Fund changed its fiscal year end from September 30 to April 30. The information contained in this report is for the six-month period from October 1, 2023 to March 31, 2024.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation – The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Fixed income securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith by the Adviser as “valuation designee” under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser’s fair valuation determinations will be reviewed by the Trust’s Board of Trustees.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The Fund has a fundamental policy with respect to industry concentration that it will not invest 25% or more of the value of the Fund’s assets in securities of issuers in any one industry. Since inception the Fund has utilized BICS at the sub-industry level for defining industries for purposes of monitoring compliance with its industry concentration policy. However, at times, the Fund may utilize other industry classification systems such as Morningstar Global Equity Classification Structure (“MGECS”) or Global Industry Classification Standard (“GICS”), as applicable, for purposes other than compliance monitoring.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
The valuations for fixed income securities are typically the prices supplied by independent third-party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third-party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. To the extent that these inputs are observable, the fair value of fixed income securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Floating rate senior loan notes (“Senior Loans”) are fair valued based on a quoted price received from a single broker-dealer or an average of quoted prices received from multiple broker-dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the fair values of Senior Loans would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
The following is a summary of the inputs used, as of March 31, 2024, in valuing the Fund's investments carried at fair value:
| | | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Polen Opportunistic High Yield Fund | | | | | | |
| Assets | | | | | | | | |
| Corporate Bonds | | | | | | | | |
| Consumer Discretionary Products | | $ 14,178,510 | | $ — | | $ 14,178,510 | | $ — |
| Consumer Discretionary Services | | 12,424,436 | | — | | 12,424,436 | | — |
| Consumer Staple Products | | 6,377,407 | | — | | 6,377,407 | | — |
| Financial Services | | 11,222,498 | | — | | 11,222,498 | | — |
| Health Care | | 22,262,696 | | — | | 22,262,696 | | — |
| Industrial Products | | 37,354,929 | | — | | 37,249,509 | | 105,420 |
| Industrial Services | | 1,929,727 | | — | | 1,929,727 | | — |
| Insurance | | 17,581,605 | | — | | 17,581,605 | | — |
| Materials | | 40,286,604 | | — | | 40,091,604 | | 195,000 |
| Media | | 10,676,436 | | — | | 10,578,561 | | 97,875 |
| Oil & Gas | | 2,806,019 | | — | | 2,806,019 | | — |
| Retail & Wholesale - Discretionary | | 10,411,705 | | — | | 10,411,705 | | — |
| Retail & Wholesale - Staples | | 1,906,823 | | — | | 1,906,823 | | — |
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Software & Technology Services | | $ 16,510,712 | | $ — | | $ 16,510,712 | | $ — |
| Senior Loans | | | | | | | | |
| Consumer Discretionary Products | | 3,014,046 | | — | | 3,014,046 | | — |
| Consumer Discretionary Services | | 8,442,444 | | — | | 8,442,444 | | — |
| Consumer Staple Products | | 6,738,247 | | — | | 6,738,247 | | — |
| Financial Services | | 2,401,027 | | — | | 2,401,027 | | — |
| Health Care | | 12,125,621 | | — | | 11,224,371 | | 901,250 |
| Industrial Products | | 7,158,103 | | — | | 7,158,103 | | — |
| Industrial Services | | 8,622,233 | | — | | 8,622,233 | | — |
| Insurance | | 1,834,888 | | — | | 1,834,888 | | — |
| Materials | | 7,896,606 | | — | | 7,526,106 | | 370,500 |
| Media | | 18,345,775 | | — | | 18,345,775 | | — |
| Retail & Wholesale - Discretionary | | 1,985,437 | | — | | 1,985,437 | | — |
| Retail & Wholesale - Staples | | 923,363 | | — | | 923,363 | | — |
| Software & Technology Services | | 7,943,025 | | — | | 7,943,025 | | — |
| Technology Hardware & Semiconductors | | 3,758,185 | | — | | 3,758,185 | | — |
| Telecommunications | | 432,320 | | — | | 432,320 | | — |
| Common Stocks | | | | | | | | |
| Industrial Products | | 502,226 | | — | | — | | 502,226 |
| Materials | | 670,658 | | 124,921 | | — | | 545,737 |
| Retail & Wholesale - Discretionary | | 122,745 | | — | | — | | 122,745 |
| Software & Technology Services | | 14,742 | | 14,742 | | — | | — |
| Warrants | | | | | | | | |
| Industrial Products | | — | | — | | — | | — * |
| Total Assets | | $ 298,861,798 | | $ 139,663 | | $ 295,881,382 | | $ 2,840,753 |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges, where applicable.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Fund has an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
There are significant unobservable inputs used in the fair value measurement of the Fund's Level 3 investments. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is recorded on the accrual basis, using the effective yield method. Dividends are recorded on the ex-dividend date. The Fund may be subject to foreign taxes on income, a portion of which may be recoverable. The Fund applies for refunds where available. Distribution (12b-1) fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are generally allocated to each class based upon the relative daily net assets of each class. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statement of Operations. General expenses of the Trust are generally allocated to the Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund. The Fund’s investment income, expenses (other than class-specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid to shareholders and are recorded on ex-date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Debt Investment Risk — Debt investments are affected primarily by the financial condition of the companies or other entities that have issued them and by changes in interest rates. There is a risk that an issuer of a Fund's debt investments may not be able to meet its financial obligations (e. g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or seek bankruptcy protection. Securities such as high-yield bonds, e.g., bonds with low credit ratings by Moody's (Ba or lower) or Standard & Poor's (BB and lower) or if unrated are of comparable quality as determined by the Adviser, are especially subject to credit risk during periods of economic uncertainty or during economic downturns and are more likely to default on their interest and/or principal payments than higher rated securities. Debt investments may be affected by changes in interest rates.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise.
Senior Loans — The Fund invests primarily in senior loans and other floating rate investments. Senior loans typically are rated below investment grade. Below investment grade securities, including senior loans, involve greater risk of loss, are subject to greater price volatility, and may be less liquid and more difficult to value, especially during periods of economic uncertainty or change, than higher rated debt securities. Market quotations for these securities may be volatile and/or subject to large spreads between bid and ask prices. These securities once sold, may not settle for an extended period (for example, several weeks or even longer). A Fund will not receive its sale proceeds until that time, which may constrain a Fund’s ability to meet its obligations. A Fund may invest in securities of issuers that are in default or that are in bankruptcy. The value of collateral, if any, securing a senior loan can decline or may be insufficient to meet the issuer’s obligations or may be difficult to liquidate. No active trading market may exist for many senior loans, and many loans are subject to restrictions on resale. Any secondary market may be subject to irregular trading activity and extended settlement periods. There is less readily available, reliable information about most senior loans than is the case for many other types of securities. Loans may not be considered “securities,” and purchasers, such as a Fund, therefore may not be entitled to rely on the anti-fraud protections afforded by federal securities laws.
Equity Securities Risk — Stock markets are volatile. The price of equity securities fluctuates based on changes in a company's financial condition, historical and prospective earnings of the company, interest rates, investor perceptions and overall market and economic conditions. The prices of securities change in response to many factors including the value of its assets.
Unfunded Loan Commitments — The Fund may enter into unfunded loan commitments. Unfunded loan commitments may be partially or wholly unfunded. During the contractual period, the Fund is obliged to provide funding to the borrower upon demand. A fee is earned by a Fund on the unfunded loan commitment and is recorded as interest income on the Statement of Operations. Unfunded loan commitments on senior loan participations and assignments, if any, are marked to market daily and valued according to the Trust’s valuation policies and procedures. Any applicable net unrealized appreciation or depreciation at the end of the reporting period is recorded as an asset and any change in net unrealized appreciation or depreciation for the reporting period is recorded within the change in net unrealized appreciation or depreciation on investments. A corresponding payable for investments purchased has also been recorded, which represents the actual unfunded amount on the balance sheet date. Unfunded loan commitments are included in the Portfolio of Investments. At March 31, 2024, there were no unfunded loan commitments.
Restricted Securities — Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer's expense, either upon demand by a fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid. The Fund will not incur any registration costs upon such resale. The Fund's restricted securities are valued at the price provided by pricing services or dealers in the secondary market or, if no market prices are available, at the fair value price as determined by the Fund's adviser pursuant to the Fund's fair value policy, subject to oversight by the Board. The Fund has acquired certain securities, the sale of which is restricted under applicable provisions of the Securities Act of 1933. It is possible that the fair value price may differ significantly from the amount that may ultimately be realized in the near term, and the difference could be material.
The below securities are restricted from resale as of March 31, 2024:
| | Security Type | | Acquisition
Date | | Cost | | Value |
| Arctic Canadian Diamond Co. Ltd. | Common Stocks | | 2/4/2021 | | $ — | | $ 150,939 |
| Arctic Canadian Diamond Company Ltd. | Senior Loans | | 2/3/2021 | | 370,501 | | 370,500 |
| Burgundy Diamond Mines Ltd. | Common Stocks | | 7/3/2023 | | 164,739 | | 124,921 |
| Material Sciences Corp. | Corporate Bonds | | 7/9/2018 | | 105,420 | | 105,420 |
| Real Alloy Holding, Inc. | Common Stocks | | 5/31/2018 | | 103,329 | | 226,832 |
| Sterling Entertainment Enterprises, LLC | Corporate Bonds | | 12/27/2017 | | 99,774 | | 97,875 |
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | Security Type | | Acquisition
Date | | Cost | | Value |
| Utex Industries Holdings, LLC | Warrants | | 12/3/2020 | | $ — | | $ — |
| Utex Industries, Inc. | Common Stocks | | 12/3/2020 | | 368,394 | | 502,226 |
| | | | | | | | $ 1,578,713 |
Restricted securities under Rule 144A, including the aggregate value and percentage of net assets of the Fund, have been identified in the Portfolio of Investments.
2. Transactions with Related Parties and Other Service Providers
Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (“the Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.70% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by the Trust, interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.89% with respect to Institutional Class shares and Investor Class shares and 0.79% with respect to Class Y shares’ (on an annual basis) average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2025, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser had contractually agreed to limit the amount of the Predecessor Fund’s total operating expenses (excluding Distribution and Service (12b-1) Fees, Shareholder Servicing fees, “acquired fund fees and expenses”, brokerage expenses, interest expenses, taxes and extraordinary expenses) to an annual rate of 0.79% of the Fund’s average daily net assets of each of the Institutional Class, Class I and Class II shares. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which each Adviser reduced its compensation and/or assumed expenses for the Fund and the Predecessor Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
As of March 31, 2024, the amount of potential recovery was as follows:
| | Expiration |
| | 09/30/2024 | | 09/30/2025 | | 09/30/2026 | | 03/31/2027 | | Total |
| | $234,322 | | $273,460 | | $334,289 | | 85,685 | | $927,756 |
The Fund has not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Fund, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Fund and have
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
agreed to compensate the intermediaries for providing those services. The fees incurred by the Fund for these services are included in Transfer agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for the Investor Class shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
| | Purchases | | Sales |
| Polen Opportunistic High Yield Fund | $111,674,398 | | $103,617,058 |
4. Capital Share Transactions
For six months ended March 31, 2024 and the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| Institutional Class | | | | | | | |
| Sales | 383,830 | | $ 2,753,914 | | 218,382 | | $ 1,588,492 |
| Reinvestments | 12,921 | | 93,199 | | 3,536 | | 25,357 |
| Redemption Fees* | — | | — | | — | | 67 |
| Redemptions | (6,917) | | (50,031) | | (146,128) | | (1,057,645) |
| Net increase | 389,834 | | $ 2,797,082 | | 75,790 | | $ 556,271 |
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| |
| Investor Class | | | | | | | |
| Sales | 69,995 | | $ 499,059 | | 20,757 | | $ 149,027 |
| Reinvestments | 6,705 | | 47,929 | | 11,134 | | 79,285 |
| Redemption Fees* | — | | — | | — | | 53 |
| Redemptions | (31,211) | | (223,343) | | (28,927) | | (206,180) |
| Net increase | 45,489 | | $ 323,645 | | 2,964 | | $ 22,185 |
| |
| Class Y | | | | | | | |
| Sales | 2,605,837 | | $ 18,523,313 | | 3,053,375 | | $ 21,770,583 |
| Reinvestments | 1,415,553 | | 10,101,907 | | 2,912,183 | | 20,669,776 |
| Redemption Fees* | — | | 61 | | — | | 10,221 |
| Redemptions | (1,917,656) | | (13,699,445) | | (1,911,688) | | (13,494,465) |
| Net increase | 2,103,734 | | $ 14,925,836 | | 4,053,870 | | $ 28,956,115 |
| |
| Total net increase | 2,539,057 | | $ 18,046,563 | | 4,132,624 | | $ 29,534,571 |
| | | | | | | | |
| * | There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 60 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
As of March 31, 2024, the Fund had a shareholder that held 10% or more of the total outstanding shares of the Fund. Transactions by this shareholder may have a material impact on the Fund.
| Polen Opportunistic High Yield Fund | |
| Non-affiliated Shareholder | 13% |
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the year ended September 30, 2023, there were reclassifications between components of total distributable earnings. These permanent differences are primarily attributable to reclassification of capital gains to ordinary income, premium sold adjustment and defaulted bonds. Net assets were not affected by these adjustments.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
For the year ended September 30, 2023, the tax character of distributions paid by the Fund was $24,598,505 of ordinary income dividend. Distributions from net investment income and short-term gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Undistributed
Ordinary
Income | | Unrealized
Appreciation/
(Depreciation) |
| Polen Opportunistic High Yield Fund | $(26,383,120) | | $132,674 | | $(19,955,661) |
| | | | | | |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
(Depreciation) |
| Polen Opportunistic High Yield Fund | | $303,454,802 | | $6,575,475 | | $(11,168,479) | | $(4,593,004) |
| * | Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report. |
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Fund had capital loss carryforward of $26,383,120, of which $7,513,427 are short-term losses and $18,869,693 are long-term losses and have an unlimited period of capital loss carryforward.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 678-6024 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Fund’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
POLEN OPPORTUNISTIC HIGH YIELD FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (888) 678-6024.
Investment Adviser
Polen Capital Credit, LLC
1075 Main Street
Suite 320
Waltham, MA 02451
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
| Sirios Long/Short Fund |
| Sirios Focus Fund |
of
FundVantage Trust
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
SIRIOS LONG/SHORT FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | 3 Years | | 5 Years | | Since
Inception |
| Institutional Class Shares | 14.88% | | 19.48% | | 7.17% | | 6.66% | | 6.35% * |
| HFRX Equity Hedge Index | 7.13% | | 9.66% | | 5.34% | | 5.57% | | 3.90% ** |
| † | Not Annualized. |
| * | The Sirios Long/Short Fund (the "Fund") Institutional Class commenced operation on May 3, 2018. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2024, are 2.46% and 1.66%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), dividend and interest expense on short sales of securities, and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2025, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the HFRX Equity Hedge Index (“HFRX Index”). Hedge Fund Research, Inc. constructs the HFRX Index methodology. The HFRX Index is comprised of long/short equity hedge funds. The HFRX Index is unmanaged and its returns (i) do not include sales charges or fees, which would lower performance; and (ii) are subject to a variety of material distortions, as investments in hedge funds typically involve substantial risks, including the “risk of ruin.” It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
SIRIOS FOCUS FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
| Average Annual Total Returns for the Periods Ended March 31, 2024 |
| | Six
Months† | | 1 Year | | 3 Years | | Since
Inception |
| Institutional Class Shares | 21.09% | | 26.77% | | 9.02% | | 10.88% * |
| S&P 500® Total Return Index | 23.48% | | 29.88% | | 11.48% | | 13.03% ** |
| † | Not Annualized. |
| * | The Sirios Focus Fund (the "Fund") Institutional Class commenced operation on December 16, 2020. |
| ** | Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2024, are 2.97% and 1.62%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until February 1, 2025, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® (“S&P 500®“) Total Return Index. The S&P 500®Total Return Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase.
An index is unmanaged and it is not possible to invest in an index. Mutual Fund investing involves risk, including loss of principal.
SIRIOS FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees (if any); and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning Account Value
October 1, 2023 | | Ending Account Value
March 31, 2024 | | Annualized
Expense Ratio | | Expenses Paid
During Period |
| Sirios Long/Short Fund |
| Institutional Class* | | | | | | | |
| Actual | $1,000.00 | | $1,148.80 | | 1.70% | | $9.13** |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,016.50 | | 1.70% | | 8.57** |
| Sirios Focus Fund |
| Institutional Class*** | | | | | | | |
| Actual | $1,000.00 | | $1,210.90 | | 1.60% | | $8.84 |
| Hypothetical (5% return before expenses) | 1,000.00 | | 1,017.00 | | 1.60% | | 8.07 |
| * | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 1.70% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 14.88%. |
| ** | These amounts include dividends paid on securities which the Fund has sold short (“Short-sale dividends”). The amount of short-sale interest expense was 0.10% of average net assets for the Institutional Class shares of the Fund. |
| *** | Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 1.60% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 21.09%. |
Sirios Long/Short Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| LONG POSITIONS: | | | |
| COMMON STOCKS: | | | |
| Healthcare-Products | 13.7% | | $ 4,784,132 |
| Software | 8.7 | | 3,039,371 |
| Semiconductors | 7.8 | | 2,733,222 |
| Internet | 5.5 | | 1,918,955 |
| Pharmaceuticals | 3.6 | | 1,268,778 |
| Miscellaneous Manufacturing | 3.5 | | 1,226,077 |
| Transportation | 3.3 | | 1,143,996 |
| Aerospace & Defense | 3.0 | | 1,063,572 |
| Private Equity | 3.0 | | 1,047,688 |
| Commercial Services | 2.9 | | 1,016,963 |
| Environmental Control | 2.1 | | 729,981 |
| Auto Manufacturers | 1.9 | | 670,369 |
| Leisure Time | 1.4 | | 501,687 |
| Airlines | 1.3 | | 469,365 |
| Machinery-Diversified | 1.2 | | 408,475 |
| Telecommunications | 1.0 | | 364,144 |
| Banks | 1.0 | | 353,672 |
| Beverages | 1.0 | | 353,288 |
| Healthcare-Services | 0.6 | | 207,789 |
| Total Common Stocks | 66.5 | | 23,301,524 |
| Short-Term Investment | 32.1 | | 11,252,622 |
| Total Long Positions | 98.6 | | 34,554,146 |
| SHORT POSITIONS: | | | |
| COMMON STOCKS : | | | |
| Media | (0.2) | | (64,418) |
| Beverages | (0.5) | | (167,835) |
| Apparel | (0.5) | | (176,589) |
| Aerospace & Defense | (0.6) | | (222,246) |
| Diversified Financial Services | (1.1) | | (367,609) |
| Commercial Services | (1.1) | | (391,842) |
| Total Short Position | (4.0) | | (1,390,539) |
| Other Assets in Excess of Liabilities | 5.4 | | 1,882,175 |
| NET ASSETS | 100.0% | | $35,045,782 |
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| LONG POSITIONS — 98.6% |
| COMMON STOCKS — 66.5% |
| Aerospace & Defense — 3.0% |
| HEICO Corp., Class A | 6,909 | | $ 1,063,572 |
| Airlines — 1.3% |
| Delta Air Lines, Inc.† | 9,805 | | 469,365 |
| Auto Manufacturers — 1.9% |
| PACCAR, Inc.† | 5,411 | | 670,369 |
| Banks — 1.0% |
| Wells Fargo & Co. | 6,102 | | 353,672 |
| Beverages — 1.0% |
| Constellation Brands, Inc., Class A† | 1,300 | | 353,288 |
| Commercial Services — 2.9% |
| Global Payments, Inc. | 6,364 | | 850,612 |
| S&P Global, Inc. | 391 | | 166,351 |
| | | | 1,016,963 |
| Environmental Control — 2.1% |
| Clean Harbors, Inc.* | 1,860 | | 374,436 |
| Waste Connections, Inc. (Canada) | 2,067 | | 355,545 |
| | | | 729,981 |
| Healthcare-Products — 13.7% |
| Abbott Laboratories | 5,790 | | 658,091 |
| Alcon, Inc. (Switzerland) | 18,312 | | 1,525,207 |
| Boston Scientific Corp.†* | 13,303 | | 911,122 |
| CONMED Corp. | 2,409 | | 192,913 |
| Globus Medical, Inc., Class A* | 17,580 | | 942,991 |
| Lantheus Holdings, Inc.* | 1,789 | | 111,347 |
| Medtronic PLC (Ireland) | 5,077 | | 442,461 |
| | | | 4,784,132 |
| Healthcare-Services — 0.6% |
| HCA Healthcare, Inc. | 623 | | 207,789 |
| Internet — 5.5% |
| Amazon.com, Inc.* | 4,162 | | 750,742 |
| Meta Platforms, Inc., Class A | 1,754 | | 851,707 |
| Uber Technologies, Inc.* | 4,111 | | 316,506 |
| | | | 1,918,955 |
| Leisure Time — 1.4% |
| Royal Caribbean Cruises Ltd.* | 3,609 | | 501,687 |
| Machinery-Diversified — 1.2% |
| Ingersoll Rand, Inc.† | 4,302 | | 408,475 |
| Miscellaneous Manufacturing — 3.5% |
| General Electric Co. | 6,985 | | 1,226,077 |
| | Number
of Shares | | Value |
| Common Stocks — (Continued) |
| Pharmaceuticals — 3.6% |
| Becton Dickinson & Co.† | 2,191 | | $ 542,163 |
| Eli Lilly & Co.† | 934 | | 726,615 |
| | | | 1,268,778 |
| Private Equity — 3.0% |
| Carlyle Group, Inc. (The) | 22,334 | | 1,047,688 |
| Semiconductors — 7.8% |
| Advanced Micro Devices, Inc.†* | 3,375 | | 609,154 |
| Intel Corp.† | 9,522 | | 420,587 |
| NVIDIA Corp. | 778 | | 702,969 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 7,354 | | 1,000,512 |
| | | | 2,733,222 |
| Software — 8.7% |
| Adobe, Inc.†* | 674 | | 340,100 |
| Clear Secure, Inc., Class A | 17,084 | | 363,377 |
| Microsoft Corp. | 2,060 | | 866,683 |
| Roper Technologies, Inc.† | 1,915 | | 1,074,009 |
| Smartsheet, Inc., Class A* | 10,265 | | 395,202 |
| | | | 3,039,371 |
| Telecommunications — 1.0% |
| T-Mobile US, Inc.† | 2,231 | | 364,144 |
| Transportation — 3.3% |
| Old Dominion Freight Line, Inc.† | 2,146 | | 470,639 |
| Union Pacific Corp.† | 2,738 | | 673,357 |
| | | | 1,143,996 |
TOTAL COMMON STOCKS
(Cost $17,669,348) | | | 23,301,524 |
| SHORT-TERM INVESTMENTS — 32.1% |
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 5.20%(a)
(Cost $11,252,622) | 11,252,622 | | 11,252,622 |
|
| |
TOTAL LONG POSITIONS - 98.6%
(Cost $28,921,970) | | | 34,554,146 |
| SHORT POSITIONS — (4.0)% |
| Common Stocks — (4.0)% |
| Aerospace & Defense — (0.6)% |
| Airbus SE, ADR (France) | (3,389) | | (156,436) |
| Boeing Co. (The)* | (341) | | (65,810) |
| | | | (222,246) |
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
|
| Common Stocks — (Continued) |
| Apparel — (0.5)% |
| NIKE, Inc., Class B | (1,879) | | $ (176,589) |
| Beverages — (0.5)% |
| PepsiCo, Inc. | (959) | | (167,835) |
| Commercial Services — (1.1)% |
| Automatic Data Processing, Inc. | (1,569) | | (391,842) |
| Diversified Financial Services — (1.1)% |
| Capital One Financial Corp. | (2,469) | | (367,609) |
| Media — (0.2)% |
| Comcast Corp., Class A | (1,486) | | (64,418) |
Total Common Stocks
(Proceeds $1,238,171) | | | (1,390,539) |
|
| |
| | | Value |
|
TOTAL SHORT POSITIONS - (4.0)%
(Proceeds $1,238,171) | | $ (1,390,539) |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.4% | | 1,882,175 |
| NET ASSETS - 100.0% | | $ 35,045,782 |
| † | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts or securities sold short. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| (a) | Rate disclosed is the 7-day yield at March 31, 2024. |
Forward foreign currency contracts outstanding as of March 31, 2024 were as follows:
| Currency Purchased | | Currency Sold | | Expiration | | Counterparty | | Unrealized
Appreciation/
(Depreciation) |
| GBP | 423,000 | | USD | 534,868 | | 06/20/24 | | MS | | $ (746) |
| USD | 2,372,346 | | EUR | 2,169,000 | | 06/20/24 | | MS | | 24,400 |
| USD | 3,523,169 | | GBP | 2,766,000 | | 06/20/24 | | MS | | 30,537 |
| | | | | | | | | | | $54,191 |
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2024.
Reference
Entity/Index (Receive) | | Pay | | Payment
Frequency | | Counterparty | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation)* |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | $ 365,095 | | $ 323,784 |
| ASML Holding NV | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 488,294 | | 253,689 |
| BAE Systems PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 193,060 | | 171,497 |
| London Stock Exchange Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 1,556,947 | | 356,296 |
| Pernod Ricard SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 01/22/25 | | 417,789 | | (33,199) |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 03/24/27 | | 393,244 | | 65,115 |
| Intermediate Capital Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 03/24/27 | | 521,618 | | (4,646) |
| | | | | | | | | | | | | $1,132,536 |
The accompanying notes are an integral part of the financial statements.
SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
The following table represents Total Return Swaps - Short positions and their related values as of March 31, 2024.
Reference
Entity/Index (Pay) | | Receive | | Payment
Frequency | | Counterparty | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation)* |
| S&P 500 Equal Weight Financial | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 07/31/24 | | $1,321,186 | | $ (81,538) |
| S&P 500 Index | | U.S. Fed Funds -0.250% | | Maturity | | MS | | 12/05/24 | | 878,225 | | (82,196) |
| Moody's Corporation | | U.S. Fed Funds -0.300% | | Maturity | | MS | | 12/06/24 | | 316,712 | | 21,312 |
| Health Care Select Sector | | U.S. Fed Funds -0.250% | | Maturity | | MS | | 01/24/25 | | 912,819 | | (36,503) |
| Dow Jones U.S. Real Estate Index | | U.S. Fed Funds -0.200% | | Maturity | | MS | | 12/02/25 | | 113,104 | | (1,134) |
| S&P 500 Equal Weight Consumer Discretionary | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 12/02/25 | | 264,085 | | (31,178) |
| Industrial Select Sector Index | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 01/06/27 | | 1,258,255 | | (191,837) |
| S&P Pharmaceuticals Select Industry Index | | U.S. Fed Funds -0.350% | | Maturity | | MS | | 01/07/27 | | 633,885 | | (77,350) |
| S&P Transportation Select Industry Index | | U.S. Fed Funds -0.700% | | Maturity | | MS | | 01/07/27 | | 302,867 | | (22,254) |
| | | | | | | | | | | | | $(502,678) |
| Total Swap Contracts | | | | | | | | | | | | $ 629,858 |
| * | Includes $(67,821) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| ADR | American Depositary Receipt |
| EUR | Euro |
| GBP | British Pound |
| MS | Morgan Stanley |
| PLC | Public Limited Company |
| USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
Sirios Focus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
| | % of Net
Assets | | Value |
| COMMON STOCKS: | | | |
| Healthcare-Products | 13.1% | | $ 3,145,001 |
| Semiconductors | 10.6 | | 2,547,882 |
| Software | 8.5 | | 2,052,707 |
| Internet | 7.8 | | 1,877,213 |
| Aerospace & Defense | 5.0 | | 1,191,342 |
| Pharmaceuticals | 3.6 | | 865,958 |
| Miscellaneous Manufacturing | 3.3 | | 785,848 |
| Transportation | 3.1 | | 737,698 |
| Private Equity | 2.8 | | 680,570 |
| Commercial Services | 2.5 | | 612,881 |
| Environmental Control | 2.1 | | 498,022 |
| Auto Manufacturers | 1.8 | | 439,314 |
| Leisure Time | 1.3 | | 320,974 |
| Airlines | 1.3 | | 309,288 |
| Machinery-Diversified | 1.1 | | 270,987 |
| Banks | 1.0 | | 241,809 |
| Telecommunications | 1.0 | | 241,729 |
| Beverages | 1.0 | | 230,724 |
| Healthcare-Services | 0.6 | | 135,747 |
| Total Common Stocks | 71.5 | | 17,185,694 |
| Short-Term Investment | 27.4 | | 6,575,229 |
| Other Assets in Excess of Liabilities | 1.1 | | 253,771 |
| NET ASSETS | 100.0% | | $24,014,694 |
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
SIRIOS FOCUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
| | Number
of Shares | | Value |
| COMMON STOCKS — 71.5% |
| Aerospace & Defense — 5.0% |
| HEICO Corp., Class A | 7,739 | | $ 1,191,342 |
| Airlines — 1.3% |
| Delta Air Lines, Inc. | 6,461 | | 309,288 |
| Auto Manufacturers — 1.8% |
| PACCAR, Inc. | 3,546 | | 439,314 |
| Banks — 1.0% |
| Wells Fargo & Co. | 4,172 | | 241,809 |
| Beverages — 1.0% |
| Constellation Brands, Inc., Class A | 849 | | 230,724 |
| Commercial Services — 2.5% |
| Global Payments, Inc. | 4,092 | | 546,936 |
| S&P Global, Inc. | 155 | | 65,945 |
| | | | 612,881 |
| Environmental Control — 2.1% |
| Clean Harbors, Inc.* | 1,264 | | 254,456 |
| Waste Connections, Inc. (Canada) | 1,416 | | 243,566 |
| | | | 498,022 |
| Healthcare-Products — 13.1% |
| Abbott Laboratories† | 3,963 | | 450,435 |
| Alcon, Inc. (Switzerland) | 12,538 | | 1,044,290 |
| Boston Scientific Corp.†* | 8,915 | | 610,589 |
| CONMED Corp. | 1,653 | | 132,372 |
| Globus Medical, Inc., Class A* | 11,269 | | 604,469 |
| Medtronic PLC (Ireland) | 3,475 | | 302,846 |
| | | | 3,145,001 |
| Healthcare-Services — 0.6% |
| HCA Healthcare, Inc. | 407 | | 135,747 |
| Internet — 7.8% |
| Amazon.com, Inc.* | 2,723 | | 491,175 |
| Meta Platforms, Inc., Class A | 2,416 | | 1,173,161 |
| Uber Technologies, Inc.* | 2,765 | | 212,877 |
| | | | 1,877,213 |
| Leisure Time — 1.3% |
| Royal Caribbean Cruises Ltd.* | 2,309 | | 320,974 |
| Machinery-Diversified — 1.1% |
| Ingersoll Rand, Inc. | 2,854 | | 270,987 |
| Miscellaneous Manufacturing — 3.3% |
| General Electric Co. | 4,477 | | 785,848 |
| Pharmaceuticals — 3.6% |
| Becton Dickinson & Co. | 1,500 | | 371,175 |
| Eli Lilly & Co.† | 636 | | 494,783 |
| | | | 865,958 |
| | Number
of Shares | | Value |
| Common Stocks — (Continued) |
| Private Equity — 2.8% |
| Carlyle Group, Inc. (The) | 14,508 | | $ 680,570 |
| Semiconductors — 10.6% |
| Advanced Micro Devices, Inc.* | 2,316 | | 418,015 |
| Intel Corp. | 6,407 | | 282,997 |
| NVIDIA Corp. | 530 | | 478,887 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 10,055 | | 1,367,983 |
| | | | 2,547,882 |
| Software — 8.5% |
| Adobe, Inc.* | 459 | | 231,611 |
| Clear Secure, Inc., Class A | 11,544 | | 245,541 |
| Microsoft Corp. | 1,403 | | 590,270 |
| Roper Technologies, Inc. | 1,283 | | 719,558 |
| Smartsheet, Inc., Class A* | 6,902 | | 265,727 |
| | | | 2,052,707 |
| Telecommunications — 1.0% |
| T-Mobile US, Inc.† | 1,481 | | 241,729 |
| Transportation — 3.1% |
| Old Dominion Freight Line, Inc. | 1,380 | | 302,648 |
| Union Pacific Corp. | 1,769 | | 435,050 |
| | | | 737,698 |
TOTAL COMMON STOCKS
(Cost $14,890,619) | | | 17,185,694 |
| SHORT-TERM INVESTMENTS — 27.4% |
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 5.20%(a)
(Cost $6,575,229) | 6,575,229 | | 6,575,229 |
|
| |
TOTAL INVESTMENTS - 98.9%
(Cost $21,465,848) | | | 23,760,923 |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% | | | 253,771 |
| NET ASSETS - 100.0% | | | $ 24,014,694 |
| † | Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts. (See Note 1 of the Notes to Financial Statements) |
| * | Non-income producing. |
| (a) | Rate disclosed is the 7-day yield at March 31, 2024. |
The accompanying notes are an integral part of the financial statements.
SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Forward foreign currency contracts outstanding as of March 31, 2024 were as follows:
| Currency Purchased | | Currency Sold | | Expiration | | Counterparty | | Unrealized
Appreciation/
(Depreciation) |
| GBP | 458,000 | | USD | 579,116 | | 06/20/24 | | MS | | $ (799) |
| USD | 1,566,252 | | EUR | 1,432,000 | | 06/20/24 | | MS | | 16,110 |
| USD | 2,611,251 | | GBP | 2,050,000 | | 06/20/24 | | MS | | 22,713 |
| | | | | | | | | | | $38,024 |
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2024.
Reference
Entity/Index (Receive) | | Pay | | Payment
Frequency | | Counterparty | | Expiration
Date | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation)* |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | $148,840 | | $116,646 |
| BAE Systems PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 72,688 | | 64,460 |
| London Stock Exchange Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 415,803 | | 93,100 |
| Pernod Ricard SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 04/23/24 | | 151,617 | | (12,048) |
| Airbus SE | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 475,424 | | 45,942 |
| ASML Holding NV | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 406,209 | | 82,040 |
| BAE Systems PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 96,258 | | 4,707 |
| Intermediate Capital Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 357,697 | | (3,216) |
| London Stock Exchange Group PLC | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 861,738 | | (3,976) |
| Pernod Ricard SA | | U.S. Fed Funds +0.550% | | Maturity | | MS | | 05/14/26 | | 105,316 | | (2,022) |
| Total Swap Contracts | | | | | | | | | | | | $385,633 |
| * | Includes $(73,534) related to open trades, dividends receivables/payables and swap receivables/payables activities. |
| ADR | American Depositary Receipt |
| EUR | Euro |
| GBP | British Pound |
| MS | Morgan Stanley |
| PLC | Public Limited Company |
| USD | United States Dollar |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
| | Sirios
Long/Short
Fund | | Sirios
Focus
Fund |
| Assets | | | |
| Investments, at value* | $34,554,146 | | $23,760,923 |
| Foreign currency, at value (Cost $31,707 and $14,155, respectively) | 31,894 | | 14,238 |
| Cash (segregated for securities sold short and derivative instruments) | 1,226,433 | | — |
| Receivables: | | | |
| Investments sold | 175,120 | | — |
| Dividends and interest | 63,810 | | 39,141 |
| Swap contract settlement | 41 | | — |
| Unrealized appreciation on swap contracts | 1,191,693 | | 406,895 |
| Unrealized appreciation on forward foreign currency contracts | 54,937 | | 38,823 |
| Prepaid expenses and other assets | 11,115 | | 400 |
| Total Assets | 37,309,189 | | 24,260,420 |
| Liabilities | | | |
| Securities sold short, at value (proceeds received $1,238,171) | 1,390,539 | | — |
| Unrealized depreciation on swap contracts | 561,835 | | 21,262 |
| Unrealized depreciation on forward foreign currency contracts | 746 | | 799 |
| Payables: | | | |
| Investments purchased | 204,623 | | 141,829 |
| Investment adviser | 20,218 | | 7,558 |
| Audit fees | 18,062 | | 16,216 |
| Due to custodian | 13,506 | | 8,394 |
| Administration and accounting fees | 11,837 | | 13,247 |
| Dividends and fees on securities sold short | 3,410 | | — |
| Accrued expenses | 38,631 | | 36,421 |
| Total Liabilities | 2,263,407 | | 245,726 |
| Contingencies and Commitments (Note 2) | — | | — |
| Net Assets | $35,045,782 | | $24,014,694 |
| Net Assets Consisted of: | | | |
| Capital stock, $0.01 par value | $ 27,342 | | $ 18,919 |
| Paid-in capital | 27,770,374 | | 21,119,093 |
| Total distributable earnings | 7,248,066 | | 2,876,682 |
| Net Assets | $35,045,782 | | $24,014,694 |
| Institutional Class Shares: | | | |
| Net assets | $35,045,782 | | $24,014,694 |
| Shares outstanding | 2,734,155 | | 1,891,875 |
| Net asset value, offering and redemption price per share | $ 12.82 | | $ 12.69 |
| Investments, at cost | $28,921,970 | | $21,465,848 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
| | Sirios
Long/Short
Fund | | Sirios
Focus
Fund |
| Investment income | | | |
| Interest | $ 251,412 | | $ 92,267 |
| Dividends | 120,241 | | 54,079 |
| Less: foreign taxes withheld | (2,768) | | (1,912) |
| Total investment income | 368,885 | | 144,434 |
| Expenses | | | |
| Advisory fees(Note 2) | 217,765 | | 62,335 |
| Administration and accounting fees(Note 2) | 28,198 | | 33,079 |
| Trustees’ and officers’ fees(Note 2) | 24,408 | | 9,487 |
| Legal fees | 20,993 | | 8,332 |
| Audit fees | 18,063 | | 16,216 |
| Fees on securities sold short and derivative instruments(Note 1) | 16,169 | | — |
| Transfer agent fees(Note 2) | 14,820 | | 14,758 |
| Registration and filing fees | 13,145 | | 2,993 |
| Shareholder reporting fees | 10,892 | | 10,306 |
| Custodian fees(Note 2) | 7,702 | | 7,509 |
| Other expenses | 16,188 | | 15,009 |
| Total expenses before waivers and reimbursements | 388,343 | | 180,024 |
| Less: waivers and reimbursements(Note 2) | (114,081) | | (69,206) |
| Net expenses after waivers and reimbursements | 274,262 | | 110,818 |
| Net investment income | 94,623 | | 33,616 |
| Net realized and unrealized gain/(loss) from investments: | | | |
| Net realized gain from investments | 1,991,230 | | 665,075 |
| Net realized loss from securities sold short | (30,123) | | — |
| Net realized gain/(loss) from swaps | (39,217) | | 127,214 |
| Net realized loss from foreign currency transactions | (50) | | — |
| Net realized loss from forward foreign currency contracts | (97,733) | | (30,606) |
| Net change in unrealized appreciation on investments | 3,116,789 | | 1,330,796 |
| Net change in unrealized depreciation on securities sold short | (180,817) | | — |
| Net change in unrealized appreciation/(depreciation) on swaps | (298,904) | | 283,137 |
| Net change in unrealized appreciation on foreign currency translations | 1,645 | | 669 |
| Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | (12,178) | | 10,066 |
| Net realized and unrealized gain on investments | 4,450,642 | | 2,386,351 |
| Net increase in net assets resulting from operations | $4,545,265 | | $2,419,967 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Changes in Net Assets
| | Sirios Long/Short Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase in net assets from operations: | | | |
| Net investment income | $ 94,623 | | $ 132,359 |
| Net realized gains from investments, securities sold short, swaps, foreign currency transactions and forward foreign currency contracts | 1,824,107 | | 919,647 |
| Net change in unrealized appreciation on investments, securities sold short, swaps, foreign currency translations and forward foreign currency contracts | 2,626,535 | | 2,256,834 |
| Net increase in net assets resulting from operations | 4,545,265 | | 3,308,840 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | — | | (735,114) |
| Net decrease in net assets from dividends and distributions to shareholders | — | | (735,114) |
| Increase in net assets derived from capital share transactions (Note 4) | — | | 735,114 |
| Total increase in net assets | 4,545,265 | | 3,308,840 |
| Net assets | | | |
| Beginning of period | 30,500,517 | | 27,191,677 |
| End of period | $35,045,782 | | $30,500,517 |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Statements of Changes in Net Assets (Concluded)
| | Sirios Focus Fund |
| | For the
Six Months Ended
March 31, 2024
(Unaudited) | | For the Year
Ended
September 30, 2023 |
| Net increase/(decrease) in net assets from operations: | | | |
| Net investment income/(loss) | $ 33,616 | | $ (7,549) |
| Net realized gains from investments, swaps, foreign currency transactions and forward foreign currency contracts | 761,683 | | 230,670 |
| Net change in unrealized appreciation on investments, swaps, foreign currency translations and forward foreign currency contracts | 1,624,668 | | 1,648,598 |
| Net increase in net assets resulting from operations | 2,419,967 | | 1,871,719 |
| Less dividends and distributions to shareholders from: | | | |
| Total distributable earnings: | | | |
| Institutional Class | — | | (298,700) |
| Net decrease in net assets from dividends and distributions to shareholders | — | | (298,700) |
| Increase in net assets derived from capital share transactions (Note 4) | 10,000,000 | | 298,700 |
| Total increase in net assets | 12,419,967 | | 1,871,719 |
| Net assets | | | |
| Beginning of period | 11,594,727 | | 9,723,008 |
| End of period | $24,014,694 | | $11,594,727 |
The accompanying notes are an integral part of the financial statements.
Sirios Long/Short Fund
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Year Ended
September 30,
2021 | | For the
Year Ended
September 30,
2020 | | For the
Year Ended
September 30,
2019 |
| Per Share Operating Performance | | | | | | | | | | | |
| Net asset value, beginning of period | $ 11.16 | | $ 10.20 | | $ 11.76 | | $ 10.06 | | $ 10.66 | | $ 10.68 |
| Net investment income/(loss)(1) | 0.03 | | 0.05 | | (0.06) | | (0.07) | | (0.07) | | (0.02) |
| Net realized and unrealized gain/(loss) on investments | 1.63 | | 1.19 | | (0.94) | | 1.87 | | (0.47) | | 0.27 |
| Total from investment operations | 1.66 | | 1.24 | | (1.00) | | 1.80 | | (0.54) | | 0.25 |
| Dividends and distributions to shareholders from: | | | | | | | | | | | |
| Net investment income | — | | (0.28) | | — | | — | | (0.06) | | (0.01) |
| Net realized capital gains | — | | — | | (0.56) | | (0.10) | | — | | (0.26) |
| Total dividends and distributions to shareholders | — | | (0.28) | | (0.56) | | (0.10) | | (0.06) | | (0.27) |
| Net asset value, end of period | $ 12.82 | | $ 11.16 | | $ 10.20 | | $ 11.76 | | $ 10.06 | | $ 10.66 |
| Total investment return(2) | 14.88% | | 12.26% | | (9.10)% | | 17.93% | | (5.13)% | | 2.74% |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net assets, end of period (in 000s) | $35,046 | | $30,501 | | $27,192 | | $29,894 | | $25,486 | | $26,945 |
| Ratio of expenses to average net assets | 1.70% (3)(4) | | 1.66% (4) | | 1.62% (4) | | 1.69% (4) | | 1.60% | | 2.21% (4) |
| Ratio of expenses to average net assets without waivers and reimbursements(5) | 2.41% (3) | | 2.46% | | 2.43% | | 2.49% | | 2.49% | | 3.33% |
| Ratio of net investment income/(loss) to average net assets | 0.59% (3) | | 0.45% | | (0.57)% | | (0.62)% | | (0.66)% | | (0.22)% |
| Portfolio turnover rate | 39% (6) | | 79% | | 108% | | 127% | | 153% | | 134% |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | Ratio of expenses to average net assets with waivers and expense reimbursement, excluding short-sale dividend expense, was 1.60% for the six months ended March 31, 2024, and for years ended September 30, 2023, 2022, 2021 and 2019, respectively. |
| (5) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (6) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
Sirios Focus Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
| | Institutional Class |
| | For the
Six Months Ended
March 31,
2024
(Unaudited) | | For the
Year Ended
September 30,
2023 | | For the
Year Ended
September 30,
2022 | | For the
Period Ended
September 30,
2021* |
| Per Share Operating Performance | | | | | | | |
| Net asset value, beginning of period | $ 10.47 | | $ 9.03 | | $ 11.68 | | $ 10.00 |
| Net investment income/(loss)(1) | 0.03 | | (0.01) | | (0.07) | | (0.05) |
| Net realized and unrealized gain/(loss) on investments | 2.19 | | 1.73 | | (1.70) | | 1.73 |
| Total from investment operations | 2.22 | | 1.72 | | (1.77) | | 1.68 |
| Dividends and distributions to shareholders from: | | | | | | | |
| Net investment income | — | | (0.28) | | — | | — |
| Net realized capital gains | — | | — | | (0.88) | | — |
| Total dividends and distributions to shareholders | — | | (0.28) | | (0.88) | | — |
| Net asset value, end of period | $ 12.69 | | $ 10.47 | | $ 9.03 | | $ 11.68 |
| Total investment return(2) | 21.09% | | 19.18% | | (16.74)% | | 16.80% |
| Ratios/Supplemental Data | | | | | | | |
| Net assets, end of period (in 000s) | $24,015 | | $11,595 | | $ 9,723 | | $11,679 |
| Ratio of expenses to average net assets | 1.60% (3) | | 1.60% | | 1.60% | | 1.60% (3) |
| Ratio of expenses to average net assets without waivers and reimbursements(4) | 2.60% (3) | | 2.95% | | 2.73% | | 3.10% (3) |
| Ratio of net investment income/(loss) to average net assets | 0.49% (3) | | (0.07)% | | (0.67)% | | (0.60)% (3) |
| Portfolio turnover rate | 56% (5) | | 80% | | 105% | | 96% (5) |
| * | Commencement of operations on December 16, 2020. |
| (1) | The selected per share data was calculated using the average shares outstanding method for the period. |
| (2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized. |
| (3) | Annualized. |
| (4) | During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
| (5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
SIRIOS FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Sirios Long/Short Fund and the Sirios Focus Fund are non-diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”) (the Sirios Long/Short Fund and the Sirios Focus Fund are each a “Fund”, and together, the “Funds”). The Sirios Long/Short Fund commenced investment operations on May 3, 2018 and the Sirios Focus Fund commenced investment operations on December 16, 2020. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each Fund offers Class A, Advisor Class, Institutional Class and Retail Class shares. As of March 31, 2024, Class A, Advisor Class and Retail Class shares have not been issued.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Each Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates market value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward foreign currency contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). OTC investments (including swap contracts) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith by the Adviser as "valuation designee" under the oversight of the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — quoted prices in active markets for identical securities;
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of March 31, 2024, in valuing each Fund's investments carried at fair value:
| | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Sirios Long/Short Fund | | | | | | |
| Assets | | | | | | | |
| Long Positions: | | | | | | | |
| Common Stocks | $ 23,301,524 | | $ 23,301,524 | | $ — | | $ — |
| Short-Term Investments | 11,252,622 | | 11,252,622 | | — | | — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | 1,191,693 | | — | | 1,191,693 | | — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | 54,937 | | — | | 54,937 | | — |
| Total Assets | $ 35,800,776 | | $ 34,554,146 | | $ 1,246,630 | | $ — |
| Liabilities | | | | | | | |
| Short Positions | | | | | | | |
| Common Stocks | $ (1,390,539) | | $ (1,390,539) | | $ — | | $ — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | (561,835) | | — | | (561,835) | | — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | (746) | | — | | (746) | | — |
| Total Liabilities | $ (1,953,120) | | $ (1,390,539) | | $ (562,581) | | $ — |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
| | Total
Value at
03/31/24 | | Level 1
Quoted
Price | | Level 2
Other
Significant
Observable
Inputs | | Level 3
Significant
Unobservable
Inputs |
| Sirios Focus Fund | | | | | | |
| Assets | | | | | | | |
| Common Stocks | $ 17,185,694 | | $ 17,185,694 | | $ — | | $ — |
| Short-Term Investments | 6,575,229 | | 6,575,229 | | — | | — |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | 406,895 | | — | | 406,895 | | — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | 38,823 | | — | | 38,823 | | — |
| Total Assets | $ 24,206,641 | | $ 23,760,923 | | $ 445,718 | | $ — |
| Liabilities | | | | | | | |
| Derivatives: | | | | | | | |
| Equity Contracts | | | | | | | |
| Total Return Swap Contracts | $ (21,262) | | $ — | | $ (21,262) | | $ — |
| Foreign Currency Contracts | | | | | | | |
| Forward Foreign Currency Contracts | (799) | | — | | (799) | | — |
| Total Liabilities | $ (22,061) | | $ — | | $ (22,061) | | $ — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds have an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date. The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statements of Operations.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
The SEC adopted Rule 18f-4 (the “Derivatives Rule”) under the 1940 Act. The Derivatives Rule generally requires a fund to adopt a written derivatives risk management program with risk guidelines that must cover certain elements, but that will otherwise be tailored based on how a fund’s use of derivatives may affect its investment portfolio and overall risk profile. A fund’s derivatives risk management program must also include provisions for stress testing, backtesting, internal reporting and escalation, and program review elements.
The Derivatives Rule requires funds engaging in derivatives transactions to comply with an outer limit on fund leverage risk based on a fund’s value at risk (“VaR”). This outer limit is based on a relative VaR test that compares the fund’s VaR to the VaR of a designated reference portfolio for that fund, or, in the absence of an appropriate reference portfolio, to 20% of the value of the fund’s net assets.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The Derivatives Rule requires that a Fund’s Board of Trustees approve the appointment of a person or persons to oversee the administration of a Fund’s derivatives risk management program (“Derivatives Risk Manager” or “DRM”). The Board of Trustees has appointed a person or persons from the Fund’s investment adviser to serve as the DRM for the Program pursuant to Rule 18f-4. The DRM responsibilities include:
• Regular communication with the Investment Adviser with respect to the implementation of the Program;
• Completion and monitoring of a risk assessment for each Fund; and
• Periodic reporting to the Board.
Forward Foreign Currency Contracts — A forward foreign currency contract ("Forward Contract") is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. Each Fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. Each Fund utilized Forward Contracts for hedging purposes to protect each Fund's return against adverse currency movements.
For the six months ended March 31, 2024, the Funds' average quarterly volume of forward foreign currency contracts, purchased and sold, were as follows:
| | Forward Foreign
Currency
Contracts - Purchased | | Forward Foreign
Currency
Contracts - Sold |
| Sirios Long/Short Fund | $363,896 | | $5,254,173 |
| Sirios Focus Fund | $199,806 | | $2,428,035 |
Purchased Options — The Funds may purchase option contracts. They are subject to interest rate and other risk exposure in the normal course of pursuing their investment objectives. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Total Return Swaps — Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits ("financing fees") related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate ("EFFR"). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). The Funds used total return swaps to enhance returns, obtain short exposure as part of the Funds' strategy and for market exposure.
For the six months ended March 31, 2024, the average quarterly notional volume of the total return swaps were as follows:
| | Notional Amount - Long | | Notional Amount - Short |
| Sirios Long/Short Fund | $4,014,490 | | $7,143,627 |
| Sirios Focus Fund | 2,159,742 | | — |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
As of March 31, 2024, the Sirios Long/Short Fund and the Sirios Focus Fund had securities pledged as collateral for total return swaps and forward foreign currency contracts totaling $4,261,533 and $1,092,281, respectively.
Counterparty Risk — Certain of the derivatives entered into by each Fund may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes a Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing a Fund to suffer a loss. If a counterparty defaults on its payment obligations to a Fund, this default will cause the value of an investment in a Fund to decrease. In addition, to the extent a Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. Each Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of each Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by each Fund.
Each Fund is subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that each Fund will not sustain a loss on a transaction as a result.
Liquidity Risk — Each Fund may be subject to liquidity risk primarily due to investments in derivatives. Each Fund may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Fund may be unable to sell the asset or sell it at a reasonable price. In addition, each Fund may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of each Fund in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Fund may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, each Fund may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, each Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event each Fund’s net assets decline by a stated percentage or each Fund fails to meet the terms of its ISDA Master Agreements. The result would cause each Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by each Fund and the counterparty. Cash collateral that has been pledged to cover obligations of each Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by each Fund, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of each Fund. Any additional required collateral is delivered to/pledged by each Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
amounts due to each Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent each Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
The following tables present derivative assets and liabilities net of amounts available for offset under a master netting agreement and any related collateral received or posted by each Fund for forward foreign currency contracts and total return swaps as of March 31, 2024:
| Counterparty | Derivative
Assets - Gross | Derivative
Available
for Offset | Collateral
Received | Derivative
Assets - Net* |
| Sirios Long/Short Fund | | | | |
| Morgan Stanley | $1,246,630 | $(562,581) | $— | $684,049 |
| Sirios Focus Fund | | | | |
| Morgan Stanley | $ 445,718 | $ (22,061) | $— | $423,657 |
| * | Net amount represents the net receivable from the counterparty in the event of a default. |
| Counterparty | Derivative
Liabilities - Gross | Derivative
Available
for Offset | Collateral
Posted | Derivative
Liabilities - Net ** |
| Sirios Long/Short Fund | | | | |
| Morgan Stanley | $(562,581) | $562,581 | $— | $— |
| Sirios Focus Fund | | | | |
| Morgan Stanley | $ (22,061) | $ 22,061 | $— | $— |
| ** | Net amount represents the net payable to the counterparty in the event of a default. |
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund's NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund's holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund's holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Short Sales — Each Fund may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then a Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
contract terms, causing a loss to a Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds comply with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2024, the Sirios Long/Short Fund had securities sold short totaling $1,390,539, securities pledged as collateral totaling $1,199,466 and deposits with brokers for securities sold short totaling $1,226,433.
In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security.
Disclosures About Derivative Instruments and Hedging Activities
The following tables provide quantitative disclosures about fair value amounts of, gains and losses on, each Fund’s derivative instruments as of March 31, 2024.
The following table lists the fair values of each Fund’s derivative holdings as of March 31, 2024 grouped by contract type and risk exposure category:
Sirios Long/Short Fund
Derivative Type | Location
Statements of Assets and Liabilities | Equity
Risk | Foreign Currency
Risk | Total |
| Asset Derivatives | |
| Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $54,937 | $ 54,937 |
| Swap Contracts | Unrealized appreciation on swap contracts | 1,191,693 | — | 1,191,693 |
| Total Value - Assets | $1,191,693 | $54,937 | $1,246,630 |
| Liability Derivatives | |
| Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $ (746) | $ (746) |
| Swap Contracts | Unrealized depreciation on swap contracts | (561,835) | — | (561,835) |
| Total Value - Liabilities | $ (561,835) | $ (746) | $ (562,581) |
Sirios Focus Fund
Derivative Type | Location
Statements of Assets and Liabilities | Equity
Risk | Foreign Currency
Risk | Total |
| Asset Derivatives | |
| Forward Foreign Currency Contracts | Unrealized appreciation on forward foreign currency contracts | $ — | $38,823 | $ 38,823 |
| Swap Contracts | Unrealized appreciation on swap contracts | 406,895 | — | 406,895 |
| Total Value - Assets | $406,895 | $38,823 | $445,718 |
| Liability Derivatives | |
| Forward Foreign Currency Contracts | Unrealized depreciation on forward foreign currency contracts | $ — | $ (799) | $ (799) |
| Swap Contracts | Unrealized depreciation on swap contracts | (21,262) | — | (21,262) |
| Total Value - Liabilities | $ (21,262) | $ (799) | $ (22,061) |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The following table lists the amounts of realized gains or losses included in net decrease in net assets resulting from operations for the six months ended March 31, 2024, grouped by contract type and risk exposure:
Sirios Long/Short Fund
Derivative Type | Location
Statements of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Realized Gain (Loss) | |
| Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $(97,733) | $ (97,733) |
| Swap Contracts | Net realized gain/(loss) from swap contracts | (39,217) | — | (39,217) |
| Total Realized Loss | $(39,217) | $(97,733) | $(136,950) |
Sirios Focus Fund
Derivative Type | Location
Statements of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Realized Gain (Loss) | |
| Forward Foreign Currency Contracts | Net realized gain/(loss) from forward foreign currency contracts | $ — | $(30,606) | $ (30,606) |
| Swap Contracts | Net realized gain/(loss) from swap contracts | 127,214 | — | 127,214 |
| Total Realized Gain (Loss) | $127,214 | $(30,606) | $ 96,608 |
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net decrease in net assets resulting from operations for the six months ended March 31, 2024, grouped by contract type and risk exposure:
Sirios Long/Short Fund
Derivative Type | Location
Statements of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Change in Appreciation (Depreciation) | |
| Forward Foreign Currency Contracts | Net change in unrealized depreciation on forward foreign currency contracts | $ — | $(12,178) | $ (12,178) |
| Swap Contracts | Net change in unrealized depreciation on swap contracts | (298,904) | — | (298,904) |
| Total Change in Appreciation (Depreciation) | $(298,904) | $(12,178) | $(311,082) |
Sirios Focus Fund
Derivative Type | Location
Statements of Operations | Equity
Risk | Foreign Currency
Risk | Total |
| Change in Appreciation (Depreciation) | |
| Forward Foreign Currency Contracts | Net change in unrealized depreciation on forward foreign currency contracts | $ — | $10,066 | $ 10,066 |
| Swap Contracts | Net change in unrealized appreciation on swap contracts | 283,137 | — | 283,137 |
| Total Change in Appreciation (Depreciation) | $283,137 | $10,066 | $293,203 |
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
2. Transactions with Related Parties and Other Service Providers
Sirios Capital Management, L.P. (“Sirios”) serves as the investment adviser to each Fund pursuant to an investment advisory agreement with the Trust. For its services, the Adviser earns a monthly fee at the annual rate of 1.35% of the Sirios Long/Short Fund’s average daily net assets; and 0.90% of the Sirios Focus Fund’s average daily net assets. The Adviser has contractually agreed to reduce its compensation and/or reimburse certain expenses of each Fund to the extent necessary to ensure that each Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2025 for the Sirios Long/Short Fund and February 1, 2025 for the Sirios Focus Fund, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for each Fund. The Adviser is permitted to seek recoupment from each Fund for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless each Fund’s expenses are below the Expense Limitation. As of March 31, 2024, the amount of potential recovery was as follows:
| | Expiration |
| | 09/30/2024 | | 09/30/2025 | | 09/30/2026 | | 03/31/2027 | | Total |
| Sirios Long/Short Fund | $118,847 | | $238,000 | | $237,648 | | $114,081 | | $708,576 |
| Sirios Focus Fund | 81,172 | | 128,899 | | 151,615 | | 69,206 | | 430,892 |
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
For the six months ended ended March 31, 2024, the Adviser earned advisory fees of $217,765 and $62,335 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively. For the six months ended March 31, 2024, the Adviser waived fees and/or reimbursed expenses of $114,081 and $69,206 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively.
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and have agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statements of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC ("Chenery") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
| | Purchases | | Sales |
| Sirios Long/Short Fund | $ 8,979,777 | | $12,141,990 |
| Sirios Focus Fund | 12,339,294 | | 5,778,537 |
4. Capital Share Transactions
For the six months ended March 31, 2024 and for the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
| | For the Six Months Ended
March 31, 2024
(Unaudited) | | For the Year Ended
September 30, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| Sirios Long/Short Fund: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | — | | $ — | | — | | $ — |
| Reinvestments | — | | — | | 69,415 | | 735,114 |
| Redemptions | — | | — | | — | | — |
| Net increase | — | | $ — | | 69,415 | | $735,114 |
| |
| | | | | | | | |
| Sirios Focus Fund: | | | | | | | |
| Institutional Class | | | | | | | |
| Sales | 784,930 | | $10,000,000 | | — | | $ — |
| Reinvestments | — | | — | | 30,020 | | 298,700 |
| Redemptions | — | | — | | — | | — |
| Net increase | 784,930 | | $10,000,000 | | 30,020 | | $298,700 |
| |
| | | | | | | | |
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
SIRIOS FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
For the year ended September 30, 2023, the tax character of distributions paid by the Sirios Long/Short Fund was $735,114 of ordinary income. The tax character of distributions paid by the Sirios Focus Fund was $298,700 of ordinary income dividends.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
| | Capital Loss
Carryforward | | Unrealized
Appreciation/
(Depreciation) | | Qualified
Late-Year
Losses |
| Sirios Long/Short Fund | $(329,378) | | $3,251,097 | | $(218,918) |
| Sirios Focus Fund | (478,133) | | 1,038,461 | | (103,613) |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
| | | Federal
Tax Cost* | | Unrealized
Appreciation | | Unrealized
(Depreciation) | | Net Unrealized
Appreciation |
| Sirios Long/Short Fund | | $28,921,970 | | $7,004,964 | | $(841,107) | | $6,163,857 |
| Sirios Focus Fund | | 21,465,848 | | 2,805,407 | | (86,675) | | 2,718,732 |
| * | Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report. |
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2023. For the year ended September 30, 2023, the Sirios Long/Short Fund and the Sirios Focus Fund had late year ordinary loss deferrals of $218,918 and $103,613, respectively.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Funds’ capital loss carryforward, which were comprised of both short-term losses and long-term losses, and had an unlimited period of capital loss carryover were as follows:
| | Capital Loss Carryforward |
| | Short-Term | | Long-Term |
| Sirios Long/Short Fund | $329,378 | | $— |
| Sirios Focus Fund | 478,133 | | — |
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
On May 8, 2024, the Board approved plans to liquidate and terminate the Sirios Focus Fund and Sirios Long/Short Fund, which final liquidations occurred on May 17, 2024 and May 29, 2024, respectively.
Management has evaluated, and has determined, there are no additional subsequent events.
SIRIOS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. Each Fund's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
Board Consideration of Investment Advisory Agreement
At an in-person meeting held on November 29-30, 2023 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) and the Trust (the “Sirios Agreement”) on behalf of the Sirios Long/Short Fund and the Sirios Focus Fund (together, the “Sirios Funds”). At the Meeting, the Board considered the continuation of the Sirios Agreement with respect to the Sirios Funds for an additional one-year period.
In determining whether to approve the Sirios Agreement, the Trustees, including the Independent Trustees, considered information provided by Sirios in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “Sirios 15(c) Response”) regarding (i) the services performed by Sirios for the Sirios Funds, (ii) the composition and qualifications of Sirios’ portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the Sirios Funds, (iv) the investment performance of the Sirios Funds, (v) the financial condition of Sirios, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Sirios Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Sirios’ ability to service the Sirios Funds, and (x) compliance with the Sirios Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the Sirios 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the relative performance of the Sirios Funds; compliance with the Sirios Funds’ investment objective, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from Sirios invited to participate in the Meeting regarding Sirios’ history, performance, investment strategy, and compliance program. Representatives of Sirios responded to questions from the Board. In addition to the foregoing information, the Trustees also considered all other factors they believed to be relevant to considering the approval of the Sirios Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the Sirios Funds and Sirios, as provided by the terms of the Sirios Agreement, including the advisory fees under the Agreement, were fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
Based on the Sirios 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided (or to be provided) by Sirios are appropriate and consistent with the terms of the Sirios Agreement, (ii) that the quality of those services has been, and continues to be, consistent with industry norms, (iii) the Sirios Funds are likely to benefit from the provision of those services, (iv) Sirios has sufficient personnel, with the appropriate skills and experience, to serve the Sirios Funds effectively and has
SIRIOS FUNDS
Other Information (Continued)
(Unaudited)
demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Sirios Funds is likely to continue under the Sirios Agreement.
The Trustees considered the investment performance for the Sirios Funds and Sirios. The Trustees reviewed historical performance charts which showed the performance of the Sirios Funds as compared to their respective benchmark indices and Lipper categories for the year-to-date, one-year, two-year, three-year, five-year and since inception periods ended September 30, 2023, as applicable. The Trustees considered the short-term and long-term performance of the Sirios Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Sirios Long/Short Fund. The Trustees noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the HFRX Equity Hedge Index for the year-to-date, one-year and since inception periods ended September 30, 2023, and underperformed for the three-year and five-year periods ended September 30, 2023. They further noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the Lipper Alternative Long/Short Equity Funds Classification for the year-to-date, one-year and three-year periods ended September 30, 2023, and underperformed for the five-year and since inception periods ended September 30, 2023.
Sirios Focus Fund. The Trustees noted that the Sirios Focus Fund’s Institutional Class shares underperformed the S&P 500 Total Return Index for the year-to-date, one-year, two-year and since inception periods ended September 30, 2023. They further noted that the Sirios Focus Fund’s Institutional Class shares outperformed the Lipper Global Multi-Cap Core Classification for the year-to-date, one-year, two-year and since inception periods ended September 30, 2023.
The Trustees concluded that the performance of each of the Sirios Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees noted that the representatives of Sirios had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Sirios Funds and any other ancillary benefit resulting from the Sirios’ relationship with the Sirios Funds.
The Trustees also reviewed information regarding the fees Sirios charges to certain other clients and evaluated explanations provided by Sirios as to differences in fees charged to the Sirios Funds and other similarly managed accounts, where applicable. The Trustees also reviewed a peer comparison of advisory fees and total expenses for each Sirios Fund versus those funds in the Fund’s applicable Lipper category (the “Peer Group”). The Trustees concluded that the advisory fees and services provided by Sirios are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Sirios Funds as measured by the information provided by Sirios.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Sirios Fund:
Sirios Long/Short Fund. The contractual advisory fee and net total expense ratio for the Sirios Long/Short Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Long/Short Fund’s Peer Group.
Sirios Focus Fund. The contractual advisory fee and net total expense ratio for the Sirios Focus Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Focus Fund’s Peer Group.
The Trustees considered the costs of the services provided by Sirios, the compensation and benefits received by Sirios in providing services to the Sirios Funds, the profitability and certain additional information related to the financial condition of Sirios. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Sirios. The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Sirios Funds grow, and whether the advisory fee levels reflect those economies of scale for the benefit of shareholders.
SIRIOS FUNDS
Other Information (Concluded)
(Unaudited)
The Trustees considered and determined that economies of scale for the benefit of shareholders should be achieved if assets of the Sirios Funds increase because fixed expenses will be spread across a larger asset base. The Trustees also noted that the Sirios Funds’ advisory fees do not include “breakpoint” reductions in the advisory fee rates at specific asset levels but that Sirios has contractually agreed to waive fees and/or reimburse certain expenses of the Sirios Funds for the benefit of shareholders.
At the Meeting, after consideration of all the factors and taking into consideration the information presented, the Board, including the Independent Trustees, unanimously approved the continuation of the Sirios Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (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 their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
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.
(Registrant) FundVantage Trust
| | |
By (Signature and Title)* | | /s/ Joel L. Weiss |
| | Joel L. Weiss, President and |
| | Chief Executive Officer |
| | (principal executive officer) |
Date June 5, 2024
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 (Signature and Title)* | | /s/ Joel L. Weiss |
| | Joel L. Weiss, President and |
| | Chief Executive Officer |
| | (principal executive officer) |
Date June 5, 2024
| | |
By (Signature and Title)* | | /s/ Christine S. Catanzaro |
| | Christine S. Catanzaro, Treasurer and |
| | Chief Financial Officer |
| | (principal financial officer) |
Date June 5, 2024
* Print the name and title of each signing officer under his or her signature.
