|
|
Interest
Rate
|
Maturity
Date
|
Principal
Amount
(000)
|
Value
|
|
|
U.S. Treasury Securities–19.58%
|
|
|
|||
|
U.S. Treasury Floating Rate Notes–19.58%
|
|||||
|
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate
+ 0.15%)(a)
|
3.78%
|
04/30/2026
|
|
$93,350
|
$93,372,728
|
|
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate
+ 0.18%)(a)
|
3.82%
|
07/31/2026
|
|
80,500
|
80,547,142
|
|
Total U.S. Treasury Securities (Cost $173,852,641)
|
173,919,870
|
||||
|
|
|
Expiration
Date
|
|
|
|
|
Commodity-Linked Securities–6.34%
|
|||||
|
Bank of Montreal, Commodity-Linked Notes (linked to the S&P GSCI Aluminum Dynamic
Roll Index) (Canada)(b)(c)
|
|
08/25/2026
|
|
9,500
|
12,077,381
|
|
Canadian Imperial Bank of Commerce, EMTN, U.S. Federal Funds Effective Rate minus
0.03% (linked to the
Canadian Imperial Bank of Commerce Gold Standard Roll Excess Return Index) (Canada)(b)(c)
|
|
07/29/2026
|
|
6,660
|
13,287,691
|
|
Canadian Imperial Bank of Commerce, EMTN, U.S. Federal Funds Effective Rate minus
0.03% (linked to the
Canadian Imperial Bank of Commerce Silver Index) (Canada)(b)(c)
|
|
07/27/2026
|
|
3,700
|
12,054,019
|
|
Royal Bank of Canada, Commodity-Linked Notes (linked to the RBC Enhanced Copper 2x
Index, multiplied by 2)
(Canada)(b)(c)
|
|
08/24/2026
|
|
11,800
|
18,879,094
|
|
Total Commodity-Linked Securities (Cost $31,660,000)
|
56,298,185
|
||||
|
|
|
|
Shares
|
|
|
|
Money Market Funds–56.26%
|
|||||
|
Invesco Government & Agency Portfolio, Institutional Class, 3.61%(d)(e)
|
|
|
|
132,399,312
|
132,399,312
|
|
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio (Ireland), Agency
Class, 3.88%(d)(e)
|
|
|
|
73,326,345
|
73,326,345
|
|
Invesco Treasury Obligations Portfolio, Institutional Class, 3.56%(d)(e)
|
|
|
|
250,700,000
|
250,700,000
|
|
Invesco Treasury Portfolio, Institutional Class, 3.57%(d)(e)
|
|
|
|
43,233,287
|
43,233,287
|
|
Total Money Market Funds (Cost $499,658,944)
|
499,658,944
|
||||
|
Options Purchased–0.43%
|
|||||
|
(Cost $9,248,354)(f)
|
3,793,575
|
||||
|
TOTAL INVESTMENTS IN SECURITIES–82.61% (Cost $714,419,939)
|
733,670,574
|
||||
|
OTHER ASSETS LESS LIABILITIES–17.39%
|
154,450,751
|
||||
|
NET ASSETS–100.00%
|
$888,121,325
|
||||
|
EMTN
|
– European Medium-Term Notes
|
|
(a)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on January 31, 2026.
|
|
(b)
|
Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be
resold pursuant to an exemption from registration under the 1933 Act, typically to
qualified institutional buyers. The aggregate value of these securities at
January 31, 2026 was $56,298,185, which represented 6.34% of the Fund’s Net Assets.
|
|
(c)
|
The Reference Entity Components table below includes additional information regarding
the underlying components of certain reference entities that are not
publicly available.
|
|
(d)
|
Affiliated holding. Affiliated holdings are investments in entities which are under
common ownership or control of Invesco Ltd. or are investments in entities in
which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in
affiliates for the three months ended January 31, 2026.
|
|
|
Value
October 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
|
Value
January 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
$138,918,312
|
$22,073,064
|
$(28,592,064)
|
$-
|
$-
|
$132,399,312
|
$1,225,879
|
|
Invesco Liquidity Funds PLC, Invesco US Dollar
Liquidity Portfolio, Agency Class
|
81,581,377
|
49,806,175
|
(58,061,207)
|
-
|
-
|
73,326,345
|
785,708
|
|
Invesco Treasury Obligations Portfolio, Institutional
Class
|
250,700,000
|
-
|
-
|
-
|
-
|
250,700,000
|
2,330,950
|
|
Invesco Treasury Portfolio, Institutional Class
|
55,340,001
|
40,992,834
|
(53,099,548)
|
-
|
-
|
43,233,287
|
398,570
|
|
Total
|
$526,539,690
|
$112,872,073
|
$(139,752,819)
|
$-
|
$-
|
$499,658,944
|
$4,741,107
|
|
(e)
|
The rate shown is the 7-day SEC standardized yield as of January 31, 2026.
|
|
(f)
|
The table below details options purchased.
|
|
Open Exchange-Traded Index Options Purchased
|
||||||||
|
Description
|
Type of
Contract
|
Expiration
Date
|
Number of
Contracts
|
Exercise
Price
|
Notional
Value(a)
|
Value
|
||
|
Equity Risk
|
|
|
|
|
|
|||
|
EURO STOXX 50 Index
|
Put
|
02/20/2026
|
40
|
EUR
|
5,100.00
|
EUR
|
2,040,000
|
$2,797
|
|
EURO STOXX 50 Index
|
Put
|
04/17/2026
|
40
|
EUR
|
5,100.00
|
EUR
|
2,040,000
|
14,509
|
|
EURO STOXX 50 Index
|
Put
|
03/20/2026
|
40
|
EUR
|
5,400.00
|
EUR
|
2,160,000
|
14,841
|
|
EURO STOXX 50 Index
|
Put
|
05/15/2026
|
40
|
EUR
|
5,000.00
|
EUR
|
2,000,000
|
19,013
|
|
EURO STOXX 50 Index
|
Put
|
06/19/2026
|
40
|
EUR
|
5,200.00
|
EUR
|
2,080,000
|
35,987
|
|
EURO STOXX 50 Index
|
Put
|
07/17/2026
|
40
|
EUR
|
5,100.00
|
EUR
|
2,040,000
|
37,030
|
|
EURO STOXX 50 Index
|
Put
|
08/21/2026
|
40
|
EUR
|
5,000.00
|
EUR
|
2,000,000
|
39,259
|
|
EURO STOXX 50 Index
|
Put
|
09/18/2026
|
40
|
EUR
|
5,200.00
|
EUR
|
2,080,000
|
56,849
|
|
EURO STOXX 50 Index
|
Put
|
10/16/2026
|
39
|
EUR
|
5,500.00
|
EUR
|
2,145,000
|
89,730
|
|
EURO STOXX 50 Index
|
Put
|
11/20/2026
|
39
|
EUR
|
5,500.00
|
EUR
|
2,145,000
|
98,236
|
|
EURO STOXX 50 Index
|
Put
|
12/18/2026
|
38
|
EUR
|
5,500.00
|
EUR
|
2,090,000
|
102,564
|
|
EURO STOXX 50 Index
|
Put
|
01/15/2027
|
40
|
EUR
|
5,700.00
|
EUR
|
2,280,000
|
140,962
|
|
FTSE 100 Index
|
Put
|
02/20/2026
|
30
|
GBP
|
8,475.00
|
GBP
|
2,542,500
|
1,847
|
|
FTSE 100 Index
|
Put
|
03/20/2026
|
30
|
GBP
|
8,800.00
|
GBP
|
2,640,000
|
8,415
|
|
FTSE 100 Index
|
Put
|
04/17/2026
|
30
|
GBP
|
8,500.00
|
GBP
|
2,550,000
|
10,263
|
|
FTSE 100 Index
|
Put
|
05/15/2026
|
30
|
GBP
|
8,350.00
|
GBP
|
2,505,000
|
12,931
|
|
FTSE 100 Index
|
Put
|
06/19/2026
|
30
|
GBP
|
8,700.00
|
GBP
|
2,610,000
|
23,399
|
|
FTSE 100 Index
|
Put
|
07/17/2026
|
30
|
GBP
|
8,700.00
|
GBP
|
2,610,000
|
27,093
|
|
FTSE 100 Index
|
Put
|
08/21/2026
|
30
|
GBP
|
8,950.00
|
GBP
|
2,685,000
|
44,745
|
|
FTSE 100 Index
|
Put
|
09/18/2026
|
30
|
GBP
|
9,000.00
|
GBP
|
2,700,000
|
54,187
|
|
FTSE 100 Index
|
Put
|
10/16/2026
|
30
|
GBP
|
9,375.00
|
GBP
|
2,812,500
|
83,127
|
|
FTSE 100 Index
|
Put
|
11/20/2026
|
30
|
GBP
|
9,625.00
|
GBP
|
2,887,500
|
115,763
|
|
FTSE 100 Index
|
Put
|
12/18/2026
|
31
|
GBP
|
9,600.00
|
GBP
|
2,976,000
|
121,954
|
|
FTSE 100 Index
|
Put
|
01/15/2027
|
31
|
GBP
|
9,850.00
|
GBP
|
3,053,500
|
157,798
|
|
MSCI Emerging Markets Index
|
Put
|
02/20/2026
|
18
|
USD
|
1,070.00
|
USD
|
1,926,000
|
900
|
|
MSCI Emerging Markets Index
|
Put
|
03/20/2026
|
18
|
USD
|
1,090.00
|
USD
|
1,962,000
|
2,610
|
|
MSCI Emerging Markets Index
|
Put
|
04/17/2026
|
18
|
USD
|
1,100.00
|
USD
|
1,980,000
|
5,130
|
|
MSCI Emerging Markets Index
|
Put
|
05/15/2026
|
19
|
USD
|
1,100.00
|
USD
|
2,090,000
|
9,595
|
|
MSCI Emerging Markets Index
|
Put
|
06/18/2026
|
19
|
USD
|
1,140.00
|
USD
|
2,166,000
|
15,105
|
|
MSCI Emerging Markets Index
|
Put
|
07/17/2026
|
19
|
USD
|
1,220.00
|
USD
|
2,318,000
|
26,125
|
|
MSCI Emerging Markets Index
|
Put
|
08/21/2026
|
19
|
USD
|
1,210.00
|
USD
|
2,299,000
|
30,780
|
|
MSCI Emerging Markets Index
|
Put
|
09/18/2026
|
19
|
USD
|
1,250.00
|
USD
|
2,375,000
|
34,770
|
|
MSCI Emerging Markets Index
|
Put
|
10/16/2026
|
19
|
USD
|
1,350.00
|
USD
|
2,565,000
|
70,870
|
|
MSCI Emerging Markets Index
|
Put
|
11/20/2026
|
19
|
USD
|
1,375.00
|
USD
|
2,612,500
|
91,390
|
|
MSCI Emerging Markets Index
|
Put
|
12/18/2026
|
19
|
USD
|
1,360.00
|
USD
|
2,584,000
|
105,925
|
|
MSCI Emerging Markets Index
|
Put
|
01/15/2027
|
19
|
USD
|
1,440.00
|
USD
|
2,736,000
|
142,500
|
|
Nikkei 225 Index
|
Put
|
03/13/2026
|
9
|
JPY
|
36,250.00
|
JPY
|
326,250,000
|
4,420
|
|
Nikkei 225 Index
|
Put
|
03/13/2026
|
9
|
JPY
|
37,000.00
|
JPY
|
333,000,000
|
4,827
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
10
|
JPY
|
34,250.00
|
JPY
|
342,500,000
|
14,086
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
10
|
JPY
|
35,000.00
|
JPY
|
350,000,000
|
15,637
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
10
|
JPY
|
36,000.00
|
JPY
|
360,000,000
|
17,834
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
10
|
JPY
|
38,500.00
|
JPY
|
385,000,000
|
41,031
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
10
|
JPY
|
39,250.00
|
JPY
|
392,500,000
|
45,231
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
10
|
JPY
|
40,750.00
|
JPY
|
407,500,000
|
54,924
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
10
|
JPY
|
43,000.00
|
JPY
|
430,000,000
|
102,417
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
10
|
JPY
|
47,500.00
|
JPY
|
475,000,000
|
169,294
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
10
|
JPY
|
50,500.00
|
JPY
|
505,000,000
|
235,526
|
|
Nikkei 225 Index
|
Put
|
03/12/2027
|
10
|
JPY
|
50,250.00
|
JPY
|
502,500,000
|
259,434
|
|
S&P 500 Index
|
Put
|
02/20/2026
|
4
|
USD
|
6,000.00
|
USD
|
2,400,000
|
1,540
|
|
S&P 500 Index
|
Put
|
03/20/2026
|
5
|
USD
|
5,975.00
|
USD
|
2,987,500
|
8,550
|
|
Open Exchange-Traded Index Options Purchased—(continued)
|
||||||||
|
Description
|
Type of
Contract
|
Expiration
Date
|
Number of
Contracts
|
Exercise
Price
|
Notional
Value(a)
|
Value
|
||
|
S&P 500 Index
|
Put
|
04/17/2026
|
5
|
USD
|
5,625.00
|
USD
|
2,812,500
|
$10,450
|
|
S&P 500 Index
|
Put
|
05/15/2026
|
5
|
USD
|
5,650.00
|
USD
|
2,825,000
|
17,075
|
|
S&P 500 Index
|
Put
|
06/18/2026
|
5
|
USD
|
5,950.00
|
USD
|
2,975,000
|
35,050
|
|
S&P 500 Index
|
Put
|
07/17/2026
|
5
|
USD
|
6,225.00
|
USD
|
3,112,500
|
58,350
|
|
S&P 500 Index
|
Put
|
08/21/2026
|
5
|
USD
|
6,300.00
|
USD
|
3,150,000
|
75,975
|
|
S&P 500 Index
|
Put
|
09/18/2026
|
5
|
USD
|
6,450.00
|
USD
|
3,225,000
|
98,300
|
|
S&P 500 Index
|
Put
|
10/16/2026
|
5
|
USD
|
6,725.00
|
USD
|
3,362,500
|
138,100
|
|
S&P 500 Index
|
Put
|
11/20/2026
|
5
|
USD
|
6,875.00
|
USD
|
3,437,500
|
171,050
|
|
S&P 500 Index
|
Put
|
12/18/2026
|
5
|
USD
|
6,850.00
|
USD
|
3,425,000
|
176,000
|
|
S&P 500 Index
|
Put
|
01/15/2027
|
5
|
USD
|
6,900.00
|
USD
|
3,450,000
|
189,475
|
|
Total Index Options Purchased
|
|
|
|
|
$3,793,575
|
|||
|
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise
Price by the multiplier.
|
|
Open Futures Contracts(a)
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Commodity Risk
|
|||||
|
Gasoline Reformulated Blendstock Oxygenate Blending
|
353
|
February-2026
|
$28,795,057
|
$1,590,596
|
$1,590,596
|
|
Gold 100 Oz.
|
93
|
April-2026
|
44,129,430
|
(3,234,529
)
|
(3,234,529
)
|
|
Low Sulphur Gasoil
|
137
|
April-2026
|
9,723,575
|
1,398,907
|
1,398,907
|
|
Silver
|
21
|
March-2026
|
8,245,755
|
(195,460
)
|
(195,460
)
|
|
Subtotal
|
(440,486
)
|
(440,486
)
|
|||
|
Equity Risk
|
|||||
|
E-Mini Russell 2000 Index
|
335
|
March-2026
|
43,962,050
|
857,765
|
857,765
|
|
E-Mini S&P 500 Index
|
16
|
March-2026
|
5,572,600
|
60,792
|
60,792
|
|
EURO STOXX 50 Index
|
240
|
March-2026
|
16,929,636
|
515,452
|
515,452
|
|
FTSE 100 Index
|
71
|
March-2026
|
9,899,392
|
428,610
|
428,610
|
|
MSCI Emerging Markets Index
|
780
|
March-2026
|
59,311,200
|
5,187,130
|
5,187,130
|
|
Nikkei 225 Index
|
72
|
March-2026
|
24,838,977
|
1,274,714
|
1,274,714
|
|
Subtotal
|
8,324,463
|
8,324,463
|
|||
|
Interest Rate Risk
|
|||||
|
Australia 10 Year Bonds
|
1,960
|
March-2026
|
148,975,513
|
(227,696
)
|
(227,696
)
|
|
Canada 10 Year Bonds
|
1,687
|
March-2026
|
150,010,620
|
(2,100,716
)
|
(2,100,716
)
|
|
Euro-Bund
|
919
|
March-2026
|
139,620,226
|
(465,179
)
|
(465,179
)
|
|
Japan 10 Year Bonds
|
184
|
March-2026
|
156,476,092
|
(2,074,508
)
|
(2,074,508
)
|
|
Long Gilt
|
952
|
March-2026
|
118,347,525
|
(2,127
)
|
(2,127
)
|
|
U.S. Treasury Long Bonds
|
888
|
March-2026
|
102,231,000
|
(1,114,459
)
|
(1,114,459
)
|
|
Subtotal
|
(5,984,685
)
|
(5,984,685
)
|
|||
|
Total Futures Contracts
|
$1,899,292
|
$1,899,292
|
|||
|
(a)
|
Futures contracts collateralized by $13,916,538 cash held with Merrill Lynch International,
the futures commission merchant.
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(c)
|
Fixed
Rate
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Commodity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Bank PLC
|
Receive
|
Barclays Brent
Crude Roll Yield
Index
|
0.17%
|
Monthly
|
34,200
|
October—2026
|
USD
|
16,772,918
|
$—
|
$1,659,213
|
$1,659,213
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybean
Oil Seasonal Index
|
0.19
|
Monthly
|
78,500
|
November—2026
|
USD
|
8,580,537
|
—
|
105,410
|
105,410
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybeans
Seasonal Index
Excess Return
|
0.19
|
Monthly
|
19,700
|
February—2026
|
USD
|
5,995,246
|
—
|
79,377
|
79,377
|
|
Barclays Bank PLC
|
Receive
|
Barclays Wheat
Seasonal Index
|
0.17
|
Monthly
|
365,000
|
May—2026
|
USD
|
4,094,935
|
—
|
170,783
|
170,783
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas
Commodity Daily
Dynamic Curve CL
Index
|
0.25
|
Monthly
|
17,900
|
November—2026
|
USD
|
8,488,880
|
—
|
859,458
|
859,458
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas
Commodity Daily
Dynamic Curve CO
Index
|
0.25
|
Monthly
|
21,100
|
October—2026
|
USD
|
10,540,262
|
—
|
1,052,248
|
1,052,248
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial
Bank of Commerce
Seasonally
Enhanced Bean Oil
Commodity Index
|
0.26
|
Monthly
|
80,500
|
February—2026
|
USD
|
9,559,818
|
—
|
615,495
|
615,495
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial
Bank of Commerce
Seasonally
Enhanced Live
Cattle Commodity
Index
|
0.15
|
Monthly
|
116,800
|
December—2026
|
USD
|
14,920,009
|
—
|
45,821
|
45,821
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities
Curve Beta
Enhanced
Distributed Mono
Index - WTI Crude
Oil (Excess Return)
|
0.14
|
Monthly
|
6,900
|
October—2026
|
USD
|
5,818,984
|
—
|
415,270
|
415,270
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities
Curve Beta
Enhanced Extended
Copper (Daily
Rebalancing)
Excess Return Index
|
0.30
|
Monthly
|
7,250
|
May—2026
|
USD
|
10,303,395
|
—
|
352,169
|
352,169
|
|
Goldman Sachs
International
|
Receive
|
Enhanced Strategy
AB42 on the S&P
GSCI Soybeans
Excess Return
|
0.14
|
Monthly
|
14,700
|
November—2026
|
USD
|
5,552,112
|
—
|
1,271
|
1,271
|
|
Goldman Sachs
International
|
Receive
|
Goldman Sachs
Commodity Daily IC
Selective Curve
Strategy - LA
|
0.25
|
Monthly
|
88,500
|
July—2026
|
USD
|
12,300,146
|
—
|
87,243
|
87,243
|
|
Goldman Sachs
International
|
Receive
|
Goldman Sachs
Heating Oil F0
Standard Roll
Excess Return Index
|
0.14
|
Monthly
|
52,900
|
November—2026
|
USD
|
9,892,665
|
—
|
2,339,127
|
2,339,127
|
|
Goldman Sachs
International
|
Receive
|
S&P GSCI Soybean
Oil Excess Return
Index
|
0.25
|
Monthly
|
61,800
|
February—2026
|
USD
|
8,045,767
|
—
|
607,599
|
607,599
|
|
Goldman Sachs
International
|
Receive
|
S&P GSCI Wheat
Excess Return A48
Strategy
|
0.20
|
Monthly
|
190,000
|
July—2026
|
USD
|
1,596,368
|
—
|
48,846
|
48,846
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(c)
|
Fixed
Rate
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Contag
Beta Gas Oil Excess
Return Index
|
0.25%
|
Monthly
|
56,300
|
January—2027
|
USD
|
21,645,999
|
$—
|
$1,782,514
|
$1,782,514
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Front
Month Heating Oil
Index - Excess
Return
|
0.11
|
Monthly
|
66,200
|
October—2026
|
USD
|
20,826,758
|
—
|
2,124,808
|
2,124,808
|
|
Merrill Lynch
International
|
Receive
|
MLCX Aluminum
Annual Excess
Return Index
|
0.28
|
Monthly
|
8,500
|
January—2027
|
USD
|
1,193,315
|
6,842
|
10,416
|
3,574
|
|
Merrill Lynch
International
|
Receive
|
MLCX Natural Gas
Annual Excess
Return Index
|
0.25
|
Monthly
|
181,000
|
October—2026
|
USD
|
11,798,974
|
(149,220
)
|
1,430,099
|
1,579,319
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity
SO01 Excess Return
Custom Index
|
0.18
|
Monthly
|
56,500
|
February—2026
|
USD
|
6,054,992
|
—
|
89,954
|
89,954
|
|
Subtotal
|
|
|
|
|
|
|
|
|
(142,378
)
|
13,877,121
|
14,019,499
|
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie Volatility
Product VMAQWSL5
|
0.15
|
Monthly
|
159,000
|
October—2026
|
USD
|
19,141,851
|
—
|
859
|
859
|
|
Subtotal — Appreciation
|
|
|
|
|
(142,378
)
|
13,877,980
|
14,020,358
|
||||
|
Commodity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybean
Meal S2 Nearby
Excess Return Index
|
0.19
|
Monthly
|
700
|
January—2027
|
USD
|
602,752
|
—
|
(12,631
)
|
(12,631
)
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial
Bank of Commerce
Seasonally
Enhanced Cotton
Commodity Excess
Return Index
|
0.28
|
Monthly
|
51,500
|
February—2026
|
USD
|
6,167,393
|
—
|
(165,325
)
|
(165,325
)
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial
Bank of Commerce
Seasonally
Enhanced Lean Hog
Commodity Index
|
0.20
|
Monthly
|
340,000
|
January—2027
|
USD
|
18,896,452
|
—
|
(59,398
)
|
(59,398
)
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial
Bank of Commerce
Soybean Meal 1
Excess Return
Commodity Index
|
0.14
|
Monthly
|
40,500
|
February—2026
|
USD
|
6,730,719
|
—
|
(106,049
)
|
(106,049
)
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
CIBZ Enhanced
Sugar 2 Excess
Return Index
|
0.21
|
Monthly
|
105,500
|
December—2026
|
USD
|
10,926,920
|
—
|
(397,123
)
|
(397,123
)
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities
Benchmark
(Regular Roll) Mono
Index Coffee
|
0.12
|
Monthly
|
295,000
|
November—2026
|
USD
|
5,202,915
|
—
|
(213,875
)
|
(213,875
)
|
|
Goldman Sachs
International
|
Receive
|
S&P GSCI Corn
Excess Return Index
|
0.18
|
Monthly
|
55,000
|
June—2026
|
USD
|
1,331,610
|
—
|
(51,411
)
|
(51,411
)
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie
Aluminum Dynamic
Selection Index
|
0.30
|
Monthly
|
194,000
|
January—2027
|
USD
|
12,619,293
|
—
|
(182,360
)
|
(182,360
)
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie Single
Commodity
Soymeal type A
Excess Return
|
0.17
|
Monthly
|
34,500
|
February—2026
|
USD
|
9,995,188
|
—
|
(23,774
)
|
(23,774
)
|
|
Merrill Lynch
International
|
Receive
|
MLCISCE Excess
Return Index
|
0.12
|
Monthly
|
104,000
|
May—2026
|
USD
|
4,120,345
|
—
|
(116,522
)
|
(116,522
)
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(c)
|
Fixed
Rate
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Merrill Lynch
International
|
Receive
|
MLCX6CTE Excess
Return Index
|
0.18%
|
Monthly
|
70,500
|
January—2027
|
USD
|
5,018,260
|
$—
|
$(34,453
)
|
$(34,453
)
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity
CT01 Excess Return
Custom Index
|
0.28
|
Monthly
|
38,800
|
July—2026
|
USD
|
3,880,279
|
18,649
|
(32,642
)
|
(51,291
)
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity
SB01 Excess Return
Custom Index
|
0.18
|
Monthly
|
121,300
|
November—2026
|
USD
|
14,932,394
|
(213,361
)
|
(774,355
)
|
(560,994
)
|
|
Subtotal
|
|
|
|
|
|
|
|
|
(194,712
)
|
(2,169,918
)
|
(1,975,206
)
|
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas AIR
VAR Intraday US
Calendar Excess
Return Index
|
0.00
|
Monthly
|
159,000
|
October—2026
|
USD
|
34,462,121
|
—
|
(108,840
)
|
(108,840
)
|
|
Citibank, N.A.
|
Receive
|
Citi EQ
U.S. Volatility Carry
(G) Series 5 Index
|
0.00
|
Monthly
|
77,000
|
September—2026
|
USD
|
12,065,900
|
—
|
(39,055
)
|
(39,055
)
|
|
Goldman Sachs
International
|
Receive
|
Volatility Carry US
Series VSB1 Excess
Return Strategy
|
0.00
|
Monthly
|
177,000
|
January—2027
|
USD
|
17,845,140
|
—
|
(28,320
)
|
(28,320
)
|
|
Morgan Stanley and Co.
International PLC
|
Receive
|
Morgan Stanley
Volatility Relative
Value SPX
|
0.00
|
Monthly
|
128,000
|
January—2027
|
USD
|
17,759,270
|
—
|
(26,151
)
|
(26,151
)
|
|
Subtotal
|
|
|
|
|
|
|
|
|
—
|
(202,366
)
|
(202,366
)
|
|
Subtotal — Depreciation
|
|
|
|
|
(194,712
)
|
(2,372,284
)
|
(2,177,572
)
|
||||
|
Total — Total Return Swap Agreements
|
|
|
|
|
$(337,090
)
|
$11,505,696
|
$11,842,786
|
||||
|
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held
with the swap Counterparties in the amount of $2,020,000.
|
|||||||||||
|
(b) The Fund receives or pays payments based on any positive or negative return on the
Reference Entity, respectively.
|
|||||||||||
|
(c) The Reference Entity Components table below includes additional information regarding
the underlying components of certain reference entities that are not
publicly available.
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity
|
Floating
Rate
Index
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Price
Momentum Net
Total Return
Index
|
SONIA +
0.590%
|
Monthly
|
110
|
March—2026
|
GBP
|
1,063,024
|
$—
|
$26,151
|
$26,151
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Price
Momentum Net
Total Return
Index
|
SONIA +
0.930%
|
Monthly
|
1,700
|
February—2026
|
GBP
|
16,456,340
|
—
|
366,123
|
366,123
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Quality
Net Total
Return Index
|
SONIA +
0.580%
|
Monthly
|
150
|
March—2026
|
GBP
|
1,626,264
|
—
|
14,220
|
14,220
|
|
Citibank, N.A.
|
Receive
|
MSCI EMU
Momentum
Index
|
ESTRON +
0.139%
|
Monthly
|
1,480
|
April—2026
|
EUR
|
14,361,406
|
—
|
131,746
|
131,746
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR +
0.250%
|
Monthly
|
75,000
|
March—2026
|
JPY
|
338,955,412
|
—
|
12,791
|
12,791
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Quality Index
|
TONAR +
0.260%
|
Monthly
|
100,000
|
March—2026
|
JPY
|
481,579,280
|
—
|
34,271
|
34,271
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity
|
Floating
Rate
Index
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Large Cap
Broad Price
Momentum
Total Return
Index
|
SOFR +
0.550%
|
Monthly
|
120
|
March—2026
|
USD
|
1,614,908
|
$—
|
$5,005
|
$5,005
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Large Cap
Broad Quality
Total Return
Index
|
SOFR +
0.910%
|
Monthly
|
1,180
|
March—2026
|
USD
|
20,252,824
|
—
|
152,498
|
152,498
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Low
Volatility Total
Return Index
|
SOFR +
0.540%
|
Monthly
|
250
|
March—2026
|
USD
|
2,145,650
|
—
|
10,897
|
10,897
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Low
Volatility Total
Return Index
|
SOFR +
0.920%
|
Monthly
|
2,270
|
March—2026
|
USD
|
19,450,200
|
—
|
131,251
|
131,251
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK
Broad Price
Momentum Net
Total Return
Index
|
SONIA +
0.895%
|
Monthly
|
220
|
March—2026
|
GBP
|
2,129,644
|
—
|
47,381
|
47,381
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK
Broad Quality
Net Total
Return Index
|
SONIA +
0.520%
|
Monthly
|
30
|
April—2026
|
GBP
|
325,988
|
—
|
1,839
|
1,839
|
|
Merrill Lynch
International
|
Receive
|
MSCI EMU
Momentum
Index
|
ESTRON +
0.590%
|
Monthly
|
100
|
March—2026
|
EUR
|
975,671
|
—
|
2,612
|
2,612
|
|
Subtotal — Appreciation
|
|
|
|
|
—
|
936,785
|
936,785
|
||||
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas S.A.
|
Receive
|
MSCI EMU
Quality Index
|
ESTRON +
0.269%
|
Monthly
|
2,920
|
April—2026
|
EUR
|
14,501,684
|
—
|
(209,162
)
|
(209,162
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR -
0.170%
|
Monthly
|
336,542
|
April—2026
|
JPY
|
1,562,153,924
|
—
|
(208,719
)
|
(208,719
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI Japan
Quality Index
|
TONAR -
0.060%
|
Monthly
|
262,469
|
April—2026
|
JPY
|
1,295,229,396
|
—
|
(111,867
)
|
(111,867
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Low
Volatility Net
Total Return
Index
|
SONIA +
0.580%
|
Monthly
|
250
|
March—2026
|
GBP
|
1,731,995
|
—
|
(4,179
)
|
(4,179
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Low
Volatility Net
Total Return
Index
|
SONIA +
0.915%
|
Monthly
|
2,390
|
February—2026
|
GBP
|
16,603,187
|
—
|
(101,953
)
|
(101,953
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK
Broad Quality
Net Total
Return Index
|
SONIA +
0.820%
|
Monthly
|
1,110
|
March—2026
|
GBP
|
12,122,188
|
—
|
(14,959
)
|
(14,959
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR -
0.070%
|
Monthly
|
222,114
|
February—2026
|
JPY
|
1,024,236,509
|
—
|
(94,021
)
|
(94,021
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR -
0.070%
|
Monthly
|
336,344
|
February—2026
|
JPY
|
1,550,986,450
|
—
|
(142,375
)
|
(142,375
)
|
|
Open Over-The-Counter Total Return Swap Agreements(a)(b)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity
|
Floating
Rate
Index
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR -
0.090%
|
Monthly
|
70,000
|
February—2026
|
JPY
|
322,791,700
|
$—
|
$(29,631
)
|
$(29,631
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum
Volatility Index
|
TONAR +
0.250%
|
Monthly
|
50,000
|
March—2026
|
JPY
|
230,565,500
|
—
|
(21,165
)
|
(21,165
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Quality Index
|
TONAR -
0.010%
|
Monthly
|
71,519
|
February—2026
|
JPY
|
352,319,043
|
—
|
(26,526
)
|
(26,526
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Quality Index
|
TONAR +
0.000%
|
Monthly
|
368,259
|
February—2026
|
JPY
|
1,814,128,533
|
—
|
(136,586
)
|
(136,586
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Quality Index
|
TONAR +
0.020%
|
Monthly
|
232,753
|
February—2026
|
JPY
|
1,146,594,811
|
—
|
(86,327
)
|
(86,327
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Large Cap
Broad Price
Momentum
Total Return
Index
|
SOFR +
0.920%
|
Monthly
|
150
|
March—2026
|
USD
|
2,042,512
|
—
|
(17,621
)
|
(17,621
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Large Cap
Broad Price
Momentum
Total Return
Index
|
SOFR +
0.920%
|
Monthly
|
1,350
|
March—2026
|
USD
|
18,382,612
|
—
|
(158,589
)
|
(158,589
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco
U.S. Large Cap
Broad Quality
Total Return
Index
|
SOFR +
0.540%
|
Monthly
|
70
|
March—2026
|
USD
|
1,217,026
|
—
|
(6,541
)
|
(6,541
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK
Broad Low
Volatility Net
Total Return
Index
|
SONIA +
0.895%
|
Monthly
|
160
|
March—2026
|
GBP
|
1,111,510
|
—
|
(6,825
)
|
(6,825
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK
Broad Quality
Net Total
Return Index
|
SONIA +
0.895%
|
Monthly
|
120
|
March—2026
|
GBP
|
1,310,507
|
—
|
(1,617
)
|
(1,617
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK
Broad Quality
Net Total
Return Index
|
SONIA +
0.895%
|
Monthly
|
390
|
March—2026
|
GBP
|
4,259,147
|
—
|
(5,256
)
|
(5,256
)
|
|
Merrill Lynch
International
|
Receive
|
MSCI EMU
Minimum
Volatility Index
|
ESTRON +
0.339%
|
Monthly
|
3,700
|
March—2026
|
EUR
|
15,293,210
|
—
|
(186,791
)
|
(186,791
)
|
|
Merrill Lynch
International
|
Receive
|
MSCI EMU
Quality Index
|
ESTRON +
0.520%
|
Monthly
|
180
|
March—2026
|
EUR
|
911,227
|
—
|
(33,385
)
|
(33,385
)
|
|
Subtotal — Depreciation
|
|
|
|
|
—
|
(1,604,095
)
|
(1,604,095
)
|
||||
|
Total — Total Return Swap Agreements
|
|
|
|
|
$—
|
$(667,310
)
|
$(667,310
)
|
||||
|
(a) Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held
with the swap Counterparties in the amount of $2,020,000.
|
|||||||||||
|
(b) The Fund receives or pays payments based on any positive or negative return on the
Reference Entity, respectively.
|
|
Reference Entity Components
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
S&P GSCI Aluminum Dynamic Roll Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
Canadian Imperial Bank of Commerce Gold Standard Roll Excess
Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Gold
|
100.00%
|
|
Canadian Imperial Bank of Commerce Silver Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Silver
|
100.00%
|
|
RBC Enhanced Copper 2x Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Copper
|
100.00%
|
|
Barclays Brent Crude Roll Yield Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Brent Crude
|
100.00%
|
|
Barclays Soybean Oil Seasonal Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Oil
|
100.00%
|
|
Barclays Soybeans Seasonal Index Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean
|
100.00%
|
|
Barclays Wheat Seasonal Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Wheat
|
100.00%
|
|
BNP Paribas Commodity Daily Dynamic Curve CL Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Crude Oil
|
100.00%
|
|
BNP Paribas Commodity Daily Dynamic Curve CO Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Brent Crude
|
100.00%
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Bean Oil
Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Bean Oil
|
100.00%
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Live Cattle
Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Live Cattle
|
100.00%
|
|
Citi Commodities Curve Beta Enhanced Distributed Mono Index - WTI
Crude Oil (Excess Return)
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Crude Oil
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
Citi Commodities Curve Beta Enhanced Extended Copper (Daily
Rebalancing) Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Copper
|
100.00%
|
|
Enhanced Strategy AB42 on the S&P GSCI Soybeans Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean
|
100.00%
|
|
Goldman Sachs Commodity Daily IC Selective Curve Strategy - LA
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
Goldman Sachs Heating Oil F0 Standard Roll Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Heating Oil
|
100.00%
|
|
S&P GSCI Soybean Oil Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Oil
|
100.00%
|
|
S&P GSCI Wheat Excess Return A48 Strategy
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Wheat
|
100.00%
|
|
J.P. Morgan Contag Beta Gas Oil Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Gas Oil
|
100.00%
|
|
J.P. Morgan Front Month Heating Oil Index - Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Heating Oil
|
100.00%
|
|
MLCX Aluminum Annual Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminium
|
100.00%
|
|
MLCX Natural Gas Annual Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Natural Gas
|
100.00%
|
|
RBC Commodity SO01 Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean
|
100.00%
|
|
Barclays Soybean Meal S2 Nearby Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Meal
|
100.00%
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton
Commodity Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Cotton
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Lean Hog
Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Lean Hog
|
100.00%
|
|
Canadian Imperial Bank of Commerce Soybean Meal 1 Excess Return
Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Meal
|
100.00%
|
|
CIBZ Enhanced Sugar 2 Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Sugar
|
100.00%
|
|
Citi Commodities Benchmark (Regular Roll) Mono Index Coffee
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Coffee
|
100.00%
|
|
S&P GSCI Corn Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Corn
|
100.00%
|
|
Macquarie Aluminum Dynamic Selection Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
Macquarie Single Commodity Soymeal type A Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soymeal
|
100.00%
|
|
MLCISCE Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Corn
|
100.00%
|
|
MLCX6CTE Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Cotton
|
100.00%
|
|
RBC Commodity CT01 Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Cotton
|
100.00%
|
|
RBC Commodity SB01 Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Sugar
|
100.00%
|
|
Abbreviations:
|
|
|
EMU
|
—European Economic and Monetary Union
|
|
ESTRON
|
—Euro Short-Term Rate
|
|
EUR
|
—Euro
|
|
GBP
|
—British Pound Sterling
|
|
JPY
|
—Japanese Yen
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
SONIA
|
—Sterling Overnight Index Average
|
|
TONAR
|
—Tokyo Overnight Average Rate
|
|
USD
|
—U.S. Dollar
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
U.S. Treasury Securities
|
$—
|
$173,919,870
|
$—
|
$173,919,870
|
|
Commodity-Linked Securities
|
—
|
56,298,185
|
—
|
56,298,185
|
|
Money Market Funds
|
499,658,944
|
—
|
—
|
499,658,944
|
|
Options Purchased
|
3,793,575
|
—
|
—
|
3,793,575
|
|
Total Investments in Securities
|
503,452,519
|
230,218,055
|
—
|
733,670,574
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
11,313,966
|
—
|
—
|
11,313,966
|
|
Swap Agreements
|
—
|
14,957,143
|
—
|
14,957,143
|
|
|
11,313,966
|
14,957,143
|
—
|
26,271,109
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(9,414,674
)
|
—
|
—
|
(9,414,674
)
|
|
Swap Agreements
|
—
|
(3,781,667
)
|
—
|
(3,781,667
)
|
|
|
(9,414,674
)
|
(3,781,667
)
|
—
|
(13,196,341
)
|
|
Total Other Investments
|
1,899,292
|
11,175,476
|
—
|
13,074,768
|
|
Total Investments
|
$505,351,811
|
$241,393,531
|
$—
|
$746,745,342
|
|
*
|
Unrealized appreciation (depreciation).
|