|
|
Interest
Rate
|
Maturity
Date
|
Principal
Amount
(000)
|
Value
|
|
|
U.S. Treasury Securities–2.10%
|
|
|
|||
|
U.S. Treasury Floating Rate Notes–2.10%
|
|||||
|
U.S. Treasury Floating Rate Notes (3 mo. U.S. Treasury Bill Money Market Yield Rate
+ 0.18%)
(Cost $8,950,000)(a)
|
3.84%
|
07/31/2026
|
|
$8,950
|
$8,954,459
|
|
|
|
|
Shares
|
|
|
|
Money Market Funds–86.80%
|
|||||
|
Invesco Government & Agency Portfolio, Institutional Class, 3.58%(b)(c)
|
|
|
|
103,669,139
|
103,669,139
|
|
Invesco Government Money Market Fund, Cash Reserve Shares, 3.50%(b)(c)
|
|
|
|
58,131,044
|
58,131,044
|
|
Invesco Premier U.S. Government Money Portfolio, Institutional Class, 3.56%(b)(c)
|
|
|
|
54,998,477
|
54,998,477
|
|
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio (Ireland), Agency
Class, 3.84%(b)(c)
|
|
|
|
31,647,608
|
31,647,608
|
|
Invesco Treasury Obligations Portfolio, Institutional Class, 3.55%(b)(c)
|
|
|
|
61,730,465
|
61,730,465
|
|
Invesco Treasury Portfolio, Institutional Class, 3.56%(b)(c)
|
|
|
|
51,022,290
|
51,022,290
|
|
Invesco V.I. Government Money Market Fund, Series I, 3.39%(b)(c)
|
|
|
|
9,240,310
|
9,240,310
|
|
Total Money Market Funds (Cost $370,439,333)
|
370,439,333
|
||||
|
Options Purchased–0.89%
|
|||||
|
(Cost $4,234,021)(d)
|
3,819,435
|
||||
|
TOTAL INVESTMENTS IN SECURITIES–89.79% (Cost $383,623,354)
|
383,213,227
|
||||
|
OTHER ASSETS LESS LIABILITIES–10.21%
|
43,575,735
|
||||
|
NET ASSETS–100.00%
|
$426,788,962
|
||||
|
(a)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on March 31, 2026.
|
|
(b)
|
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 March 31, 2026.
|
|
|
Value
December 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
|
Value
March 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio,
Institutional Class
|
$93,958,187
|
$71,678,614
|
$(61,967,662)
|
$-
|
$-
|
$103,669,139
|
$876,676
|
|
Invesco Government Money Market Fund, Cash
Reserve Shares
|
68,795,682
|
16,813,997
|
(27,478,635)
|
-
|
-
|
58,131,044
|
514,109
|
|
Invesco Premier U.S. Government Money Portfolio,
Institutional Class
|
65,514,454
|
5,641,831
|
(16,157,808)
|
-
|
-
|
54,998,477
|
471,448
|
|
Invesco Liquidity Funds PLC, Invesco US Dollar
Liquidity Portfolio, Agency Class
|
34,195,706
|
75,354,869
|
(77,902,967)
|
-
|
-
|
31,647,608
|
287,921
|
|
Invesco Treasury Obligations Portfolio, Institutional
Class
|
51,505,418
|
15,829,713
|
(5,604,666)
|
-
|
-
|
61,730,465
|
557,063
|
|
Invesco Treasury Portfolio, Institutional Class
|
25,834,488
|
87,774,489
|
(62,586,687)
|
-
|
-
|
51,022,290
|
388,578
|
|
Invesco V.I. Government Money Market Fund,
Series I
|
9,240,310
|
-
|
-
|
-
|
-
|
9,240,310
|
76,374
|
|
Total
|
$349,044,245
|
$273,093,513
|
$(251,698,425)
|
$-
|
$-
|
$370,439,333
|
$3,172,169
|
|
(c)
|
The rate shown is the 7-day SEC standardized yield as of March 31, 2026.
|
|
(d)
|
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
|
04/17/2026
|
26
|
EUR
|
5,100.00
|
EUR
|
1,326,000
|
$8,475
|
|
EURO STOXX 50 Index
|
Put
|
05/15/2026
|
26
|
EUR
|
5,000.00
|
EUR
|
1,300,000
|
20,105
|
|
EURO STOXX 50 Index
|
Put
|
06/19/2026
|
26
|
EUR
|
5,200.00
|
EUR
|
1,352,000
|
45,709
|
|
EURO STOXX 50 Index
|
Put
|
07/17/2026
|
26
|
EUR
|
5,100.00
|
EUR
|
1,326,000
|
46,250
|
|
EURO STOXX 50 Index
|
Put
|
08/21/2026
|
26
|
EUR
|
5,000.00
|
EUR
|
1,300,000
|
47,272
|
|
EURO STOXX 50 Index
|
Put
|
09/18/2026
|
26
|
EUR
|
5,200.00
|
EUR
|
1,352,000
|
67,527
|
|
EURO STOXX 50 Index
|
Put
|
10/16/2026
|
26
|
EUR
|
5,500.00
|
EUR
|
1,430,000
|
104,371
|
|
EURO STOXX 50 Index
|
Put
|
11/20/2026
|
26
|
EUR
|
5,500.00
|
EUR
|
1,430,000
|
110,502
|
|
EURO STOXX 50 Index
|
Put
|
12/18/2026
|
27
|
EUR
|
5,500.00
|
EUR
|
1,485,000
|
119,620
|
|
EURO STOXX 50 Index
|
Put
|
01/15/2027
|
27
|
EUR
|
5,700.00
|
EUR
|
1,539,000
|
151,078
|
|
EURO STOXX 50 Index
|
Put
|
02/19/2027
|
27
|
EUR
|
5,800.00
|
EUR
|
1,566,000
|
171,425
|
|
EURO STOXX 50 Index
|
Put
|
03/19/2027
|
27
|
EUR
|
5,800.00
|
EUR
|
1,566,000
|
173,579
|
|
FTSE 100 Index
|
Put
|
04/17/2026
|
17
|
GBP
|
8,500.00
|
GBP
|
1,445,000
|
1,575
|
|
FTSE 100 Index
|
Put
|
05/15/2026
|
17
|
GBP
|
8,350.00
|
GBP
|
1,419,500
|
5,850
|
|
FTSE 100 Index
|
Put
|
06/19/2026
|
17
|
GBP
|
8,700.00
|
GBP
|
1,479,000
|
15,638
|
|
FTSE 100 Index
|
Put
|
07/17/2026
|
17
|
GBP
|
8,700.00
|
GBP
|
1,479,000
|
18,001
|
|
FTSE 100 Index
|
Put
|
08/21/2026
|
18
|
GBP
|
8,950.00
|
GBP
|
1,611,000
|
27,398
|
|
FTSE 100 Index
|
Put
|
09/18/2026
|
18
|
GBP
|
9,000.00
|
GBP
|
1,620,000
|
39,192
|
|
FTSE 100 Index
|
Put
|
10/16/2026
|
18
|
GBP
|
9,375.00
|
GBP
|
1,687,500
|
55,273
|
|
FTSE 100 Index
|
Put
|
11/20/2026
|
18
|
GBP
|
9,625.00
|
GBP
|
1,732,500
|
73,142
|
|
FTSE 100 Index
|
Put
|
12/18/2026
|
18
|
GBP
|
9,600.00
|
GBP
|
1,728,000
|
81,004
|
|
FTSE 100 Index
|
Put
|
01/15/2027
|
18
|
GBP
|
9,850.00
|
GBP
|
1,773,000
|
95,537
|
|
FTSE 100 Index
|
Put
|
02/19/2027
|
18
|
GBP
|
10,175.00
|
GBP
|
1,831,500
|
132,228
|
|
FTSE 100 Index
|
Put
|
03/19/2027
|
18
|
GBP
|
10,600.00
|
GBP
|
1,908,000
|
187,978
|
|
MSCI Emerging Markets Index
|
Put
|
04/17/2026
|
10
|
USD
|
1,100.00
|
USD
|
1,100,000
|
1,125
|
|
MSCI Emerging Markets Index
|
Put
|
05/15/2026
|
10
|
USD
|
1,100.00
|
USD
|
1,100,000
|
4,650
|
|
MSCI Emerging Markets Index
|
Put
|
06/18/2026
|
10
|
USD
|
1,140.00
|
USD
|
1,140,000
|
11,000
|
|
MSCI Emerging Markets Index
|
Put
|
07/17/2026
|
11
|
USD
|
1,220.00
|
USD
|
1,342,000
|
26,400
|
|
MSCI Emerging Markets Index
|
Put
|
08/21/2026
|
11
|
USD
|
1,210.00
|
USD
|
1,331,000
|
33,000
|
|
MSCI Emerging Markets Index
|
Put
|
09/18/2026
|
11
|
USD
|
1,250.00
|
USD
|
1,375,000
|
46,200
|
|
MSCI Emerging Markets Index
|
Put
|
10/16/2026
|
11
|
USD
|
1,350.00
|
USD
|
1,485,000
|
81,400
|
|
MSCI Emerging Markets Index
|
Put
|
11/20/2026
|
11
|
USD
|
1,375.00
|
USD
|
1,512,500
|
99,000
|
|
MSCI Emerging Markets Index
|
Put
|
12/18/2026
|
11
|
USD
|
1,360.00
|
USD
|
1,496,000
|
99,605
|
|
MSCI Emerging Markets Index
|
Put
|
01/15/2027
|
11
|
USD
|
1,440.00
|
USD
|
1,584,000
|
138,600
|
|
MSCI Emerging Markets Index
|
Put
|
02/19/2027
|
11
|
USD
|
1,500.00
|
USD
|
1,650,000
|
174,900
|
|
MSCI Emerging Markets Index
|
Put
|
03/19/2027
|
11
|
USD
|
1,560.00
|
USD
|
1,716,000
|
214,500
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
4
|
JPY
|
35,000.00
|
JPY
|
140,000,000
|
9,073
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
5
|
JPY
|
34,250.00
|
JPY
|
171,250,000
|
10,082
|
|
Nikkei 225 Index
|
Put
|
06/12/2026
|
4
|
JPY
|
36,000.00
|
JPY
|
144,000,000
|
10,082
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
5
|
JPY
|
38,500.00
|
JPY
|
192,500,000
|
32,608
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
5
|
JPY
|
39,250.00
|
JPY
|
196,250,000
|
35,601
|
|
Nikkei 225 Index
|
Put
|
09/11/2026
|
5
|
JPY
|
40,750.00
|
JPY
|
203,750,000
|
42,059
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
5
|
JPY
|
43,000.00
|
JPY
|
215,000,000
|
73,407
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
5
|
JPY
|
47,500.00
|
JPY
|
237,500,000
|
113,575
|
|
Nikkei 225 Index
|
Put
|
12/11/2026
|
5
|
JPY
|
50,500.00
|
JPY
|
252,500,000
|
150,279
|
|
Nikkei 225 Index
|
Put
|
03/12/2027
|
5
|
JPY
|
50,250.00
|
JPY
|
251,250,000
|
166,346
|
|
Nikkei 225 Index
|
Put
|
03/12/2027
|
5
|
JPY
|
51,250.00
|
JPY
|
256,250,000
|
180,524
|
|
Nikkei 225 Index
|
Put
|
03/12/2027
|
5
|
JPY
|
56,250.00
|
JPY
|
281,250,000
|
266,690
|
|
Total Index Options Purchased
|
|
|
|
|
$3,819,435
|
|||
|
(a) Notional Value is calculated by multiplying the Number of Contracts by the Exercise
Price by the multiplier.
|
|
Open Futures Contracts
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Commodity Risk
|
|||||
|
Gasoline Reformulated Blendstock Oxygenate Blending
|
109
|
April-2026
|
$14,667,454
|
$1,053,881
|
$1,053,881
|
|
Gold 100 Oz.
|
47
|
June-2026
|
21,989,420
|
80,081
|
80,081
|
|
Low Sulphur Gas Oil
|
38
|
May-2026
|
4,709,150
|
1,419,402
|
1,419,402
|
|
Silver
|
24
|
May-2026
|
8,990,280
|
(419,244
)
|
(419,244
)
|
|
Subtotal
|
2,134,120
|
2,134,120
|
|||
|
Equity Risk
|
|||||
|
E-Mini Russell 2000 Index
|
236
|
June-2026
|
29,643,960
|
180,536
|
180,536
|
|
E-Mini S&P 500 Index
|
22
|
June-2026
|
7,227,825
|
(127,474
)
|
(127,474
)
|
|
EURO STOXX 50 Index
|
114
|
June-2026
|
7,240,593
|
(275,167
)
|
(275,167
)
|
|
FTSE 100 Index
|
32
|
June-2026
|
4,319,808
|
(76,536
)
|
(76,536
)
|
|
MSCI Emerging Markets Index
|
426
|
June-2026
|
30,982,980
|
(902,594
)
|
(902,594
)
|
|
Nikkei 225 Index
|
38
|
June-2026
|
12,249,646
|
(668,807
)
|
(668,807
)
|
|
Subtotal
|
(1,870,042
)
|
(1,870,042
)
|
|||
|
Interest Rate Risk
|
|||||
|
Australia 10 Year Bonds
|
1,112
|
June-2026
|
82,671,351
|
(81,280
)
|
(81,280
)
|
|
Canada 10 Year Bond
|
1,173
|
June-2026
|
101,194,544
|
(1,735,823
)
|
(1,735,823
)
|
|
Euro-Bund
|
584
|
June-2026
|
84,640,323
|
(1,722,987
)
|
(1,722,987
)
|
|
Japan 10 Year Bonds
|
115
|
June-2026
|
94,424,561
|
(1,171,144
)
|
(1,171,144
)
|
|
Long Gilt
|
586
|
June-2026
|
68,092,546
|
(3,860,592
)
|
(3,860,592
)
|
|
U.S. Treasury Long Bonds
|
544
|
June-2026
|
61,948,000
|
(1,739,289
)
|
(1,739,289
)
|
|
Subtotal
|
(10,311,115
)
|
(10,311,115
)
|
|||
|
Total Futures Contracts
|
$(10,047,037
)
|
$(10,047,037
)
|
|||
|
Open Over-The-Counter Total Return Swap Agreements(a)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(b)
|
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
|
11,400
|
October—2026
|
USD
|
8,962,070
|
$—
|
$509,558
|
$509,558
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybean Meal
S2 Nearby Excess Return
Index
|
0.19
|
Monthly
|
2,330
|
January—2027
|
USD
|
2,055,953
|
—
|
27,659
|
27,659
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybean Oil
Seasonal Index
|
0.19
|
Monthly
|
34,200
|
November—2026
|
USD
|
4,426,373
|
—
|
365,971
|
365,971
|
|
Barclays Bank PLC
|
Receive
|
Barclays Soybeans
Seasonal Excess Return
Index
|
0.19
|
Monthly
|
8,700
|
February—2027
|
USD
|
2,872,128
|
—
|
45,511
|
45,511
|
|
Barclays Bank PLC
|
Receive
|
Barclays Wheat Seasonal
Index
|
0.17
|
Monthly
|
169,000
|
May—2026
|
USD
|
2,159,888
|
—
|
66,637
|
66,637
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas Commodity
Daily Dynamic Curve CL
Index
|
0.25
|
Monthly
|
9,250
|
October—2026
|
USD
|
5,853,840
|
—
|
492,262
|
492,262
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas Commodity
Daily Dynamic Curve CO
Index
|
0.25
|
Monthly
|
12,800
|
October—2026
|
USD
|
9,143,935
|
—
|
532,001
|
532,001
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial Bank
of Commerce Seasonally
Enhanced Bean Oil
Commodity Index
|
0.26
|
Monthly
|
41,000
|
February—2027
|
USD
|
6,373,499
|
—
|
189,613
|
189,613
|
|
Open Over-The-Counter Total Return Swap Agreements(a)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(b)
|
Fixed
Rate
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial Bank
of Commerce Seasonally
Enhanced Cotton
Commodity Excess
Return Index
|
0.28%
|
Monthly
|
24,300
|
February—2027
|
USD
|
2,843,899
|
$—
|
$186,279
|
$186,279
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial Bank
of Commerce Seasonally
Enhanced Live Cattle
Commodity Index
|
0.15
|
Monthly
|
22,800
|
December—2026
|
USD
|
2,843,249
|
—
|
128,964
|
128,964
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
Canadian Imperial Bank
of Commerce Soybean
Meal 1 Excess Return
Commodity Index
|
0.14
|
Monthly
|
19,200
|
February—2027
|
USD
|
3,320,886
|
—
|
10,529
|
10,529
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
CIBZ Enhanced Sugar 2
Excess Return Index
|
0.21
|
Monthly
|
52,000
|
December—2026
|
USD
|
5,399,945
|
—
|
410,831
|
410,831
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities
Benchmark (Regular
Roll) Mono Index Coffee
|
0.12
|
Monthly
|
309,000
|
November—2026
|
USD
|
4,702,053
|
—
|
57,474
|
57,474
|
|
Goldman Sachs
International
|
Receive
|
Enhanced Strategy AB44
on the S&P GSCI Corn
Excess Return Index
|
0.18
|
Monthly
|
29,000
|
June—2026
|
USD
|
710,903
|
—
|
4,199
|
4,199
|
|
Goldman Sachs
International
|
Receive
|
Enhanced Strategy
BNZ0Y on the S&P GSCI
Soybean Oil Excess
Return Index
|
0.25
|
Monthly
|
27,900
|
February—2027
|
USD
|
4,563,190
|
—
|
200,618
|
200,618
|
|
Goldman Sachs
International
|
Receive
|
Goldman Sachs Heating
Oil F0 Standard Roll
Excess Return Index
|
0.14
|
Monthly
|
32,850
|
October—2026
|
USD
|
11,140,158
|
—
|
1,491,737
|
1,491,737
|
|
Goldman Sachs
International
|
Receive
|
S&P GSCI Wheat Excess
Return A48 Strategy
|
0.20
|
Monthly
|
41,000
|
February—2027
|
USD
|
369,708
|
—
|
28,267
|
28,267
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Contag Beta
Gas Oil Excess Return
Index
|
0.25
|
Monthly
|
13,600
|
January—2027
|
USD
|
10,301,063
|
—
|
949,360
|
949,360
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Front Month
Heating Oil Excess
Return Index
|
0.11
|
Monthly
|
20,450
|
October—2026
|
USD
|
11,595,483
|
—
|
668,443
|
668,443
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie Aluminum
Dynamic Selection Index
|
0.30
|
Monthly
|
87,500
|
October—2026
|
USD
|
5,553,572
|
—
|
247,914
|
247,914
|
|
Merrill Lynch
International
|
Receive
|
MLCISCE Excess Return
Index
|
0.12
|
Monthly
|
48,500
|
May—2026
|
USD
|
2,035,623
|
—
|
0
|
0
|
|
Merrill Lynch
International
|
Receive
|
MLCX Aluminum Annual
Excess Return Index
|
0.28
|
Monthly
|
48,500
|
November—2026
|
USD
|
7,104,110
|
—
|
24
|
24
|
|
Merrill Lynch
International
|
Receive
|
MLCX Natural Gas Annual
Excess Return Index
|
0.25
|
Monthly
|
46,000
|
October—2026
|
USD
|
2,642,866
|
—
|
0
|
0
|
|
Merrill Lynch
International
|
Receive
|
MLCX6CTE Excess Return
Index
|
0.18
|
Monthly
|
34,000
|
January—2027
|
USD
|
2,589,545
|
—
|
0
|
0
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity CT01
Excess Return Custom
Index
|
0.28
|
Monthly
|
9,100
|
January—2027
|
USD
|
984,228
|
—
|
0
|
0
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity KCEO
Excess Return Custom
Index
|
0.16
|
Monthly
|
20,500
|
March—2027
|
USD
|
806,652
|
—
|
0
|
0
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity SB01
Excess Return Custom
Index
|
0.18
|
Monthly
|
29,400
|
November—2026
|
USD
|
4,077,980
|
—
|
0
|
0
|
|
Royal Bank of Canada
|
Receive
|
RBC Commodity SO01
Excess Return Custom
Index
|
0.18
|
Monthly
|
26,500
|
February—2027
|
USD
|
3,085,119
|
—
|
0
|
0
|
|
Subtotal
|
|
|
|
|
|
|
|
|
—
|
6,613,851
|
6,613,851
|
|
Open Over-The-Counter Total Return Swap Agreements(a)—(continued)
|
|||||||||||
|
Counterparty
|
Pay/
Receive
|
Reference Entity(b)
|
Fixed
Rate
|
Payment
Frequency
|
Number of
Contracts
|
Maturity Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Bank PLC
|
Receive
|
Barclays IVPR Index
|
0.30%
|
Monthly
|
2,500
|
February—2027
|
USD
|
2,493,275
|
$—
|
$76,025
|
$76,025
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas AIR VAR
Intraday US Calendar
Excess Return Index
|
0.00
|
Monthly
|
82,000
|
October—2026
|
USD
|
17,717,863
|
—
|
255,362
|
255,362
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas US Hedge
-40D 1Y Index
|
0.15
|
Monthly
|
5,000
|
February—2027
|
USD
|
4,973,031
|
—
|
72,321
|
72,321
|
|
Citibank, N.A.
|
Receive
|
Citi EQ U.S. Volatility
Carry (G) Series 5 Index
|
0.00
|
Monthly
|
78,000
|
September—2026
|
USD
|
12,345,840
|
—
|
94,002
|
94,002
|
|
Goldman Sachs
International
|
Receive
|
Volatility Carry US
Series VSB1 Excess
Return Strategy
|
0.00
|
Monthly
|
135,000
|
January—2027
|
USD
|
13,626,900
|
—
|
167,400
|
167,400
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Bespoke
Rolling Put (JPRPIVUB)
Index
|
0.15
|
Monthly
|
4,800
|
February—2027
|
USD
|
4,540,176
|
—
|
64,992
|
64,992
|
|
J.P. Morgan Chase
Bank, N.A.
|
Receive
|
J.P. Morgan Bespoke
Rolling Put (JPRPIVUB)
Index
|
0.15
|
Monthly
|
500
|
February—2027
|
USD
|
470,521
|
—
|
9,184
|
9,184
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie Volatility
Product VMAQWSL5
|
0.15
|
Monthly
|
108,000
|
October—2026
|
USD
|
13,115,315
|
—
|
2,344
|
2,344
|
|
Morgan Stanley and Co.
International PLC
|
Receive
|
Morgan Stanley Volatility
Relative Value SPX S2
Index
|
0.00
|
Monthly
|
111,500
|
January—2027
|
USD
|
15,587,700
|
—
|
111,509
|
111,509
|
|
Royal Bank of Canada
|
Receive
|
RBICPOS1
|
0.20
|
Monthly
|
4,900
|
February—2027
|
USD
|
5,056,310
|
—
|
94,152
|
94,152
|
|
UBS AG
|
Receive
|
UBCSLPDR
|
0.15
|
Monthly
|
5,000
|
February—2027
|
USD
|
5,053,400
|
—
|
73,391
|
73,391
|
|
Subtotal
|
|
|
|
|
|
|
|
|
—
|
1,020,682
|
1,020,682
|
|
Subtotal — Appreciation
|
|
|
|
|
—
|
7,634,533
|
7,634,533
|
||||
|
Commodity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas S.A.
|
Receive
|
BNP Paribas Commodity
Daily Dynamic Curve LP
Index
|
0.30
|
Monthly
|
750
|
January—2027
|
USD
|
1,006,983
|
—
|
(48,143
)
|
(48,143
)
|
|
Canadian Imperial Bank
of Commerce
|
Receive
|
CIBC Seasonally
Enhanced Lean Hog
Commodity Index
|
0.20
|
Monthly
|
11,700
|
January—2027
|
USD
|
653,397
|
—
|
(7,339
)
|
(7,339
)
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities Curve
Beta Enhanced
Distributed Mono Index -
WTI Crude Oil (Excess
Return)
|
0.14
|
Monthly
|
3,140
|
October—2026
|
USD
|
3,470,425
|
—
|
(164,699
)
|
(164,699
)
|
|
Citibank, N.A.
|
Receive
|
Citi Commodities Curve
Beta Enhanced Extended
Copper (Daily
Rebalancing) Excess
Return Index
|
0.30
|
Monthly
|
8,680
|
May—2026
|
USD
|
12,419,943
|
—
|
(458,339
)
|
(458,339
)
|
|
Goldman Sachs
International
|
Receive
|
Enhanced Strategy AB42
on the S&P GSCI
Soybeans Excess Return
|
0.14
|
Monthly
|
13,000
|
November—2026
|
USD
|
5,444,830
|
—
|
(103,580
)
|
(103,580
)
|
|
Macquarie Bank Ltd.
|
Receive
|
Macquarie Single
Commodity Soymeal
type A Excess Return
|
0.17
|
Monthly
|
16,350
|
February—2027
|
USD
|
5,066,589
|
—
|
(53,867
)
|
(53,867
)
|
|
Morgan Stanley and Co.
International PLC
|
Receive
|
S&P GSCI Aluminum
Dynamic Index Excess
Return
|
0.30
|
Monthly
|
49,000
|
April—2026
|
USD
|
5,528,464
|
—
|
(90,096
)
|
(90,096
)
|
|
Subtotal — Depreciation
|
|
|
|
|
—
|
(926,063
)
|
(926,063
)
|
||||
|
Total — Total Return Swap Agreements
|
|
|
|
|
$—
|
$6,708,470
|
$6,708,470
|
||||
|
(a) The Fund receives or pays payments based on any positive or negative return on the
Reference Entity, respectively.
|
|||||||||||
|
(b) 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)
|
|||||||||||
|
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
Low Volatility Net
Total Return Index
|
SONIA +
0.445%
|
Monthly
|
550
|
June—2026
|
GBP
|
3,767,148
|
$—
|
$114,464
|
$114,464
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Price Momentum
Net Total Return
Index
|
SONIA +
0.450%
|
Monthly
|
330
|
June—2026
|
GBP
|
3,204,112
|
—
|
123,786
|
123,786
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Quality Net Total
Return Index
|
SONIA +
0.440%
|
Monthly
|
358
|
June—2026
|
GBP
|
3,834,355
|
—
|
147,351
|
147,351
|
|
Citibank, N.A.
|
Receive
|
MSCI EMU Quality
Index
|
ESTRON -
0.270%
|
Monthly
|
370
|
June—2026
|
EUR
|
1,677,321
|
—
|
945
|
945
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum Volatility
Index
|
TONAR -
0.240%
|
Monthly
|
49,000
|
June—2026
|
JPY
|
223,657,560
|
—
|
2,519
|
2,519
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco U.S. Low
Volatility Total
Return Index
|
SOFR +
0.560%
|
Monthly
|
1,490
|
June—2026
|
USD
|
12,632,473
|
—
|
43,344
|
43,344
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK Broad
Quality Net Total
Return Index
|
SONIA +
0.45%
|
Monthly
|
185
|
June—2026
|
GBP
|
2,010,643
|
—
|
37,493
|
37,493
|
|
Merrill Lynch
International
|
Receive
|
MSCI EMU Minimum
Volatility Index
|
ESTRON -
0.710%
|
Monthly
|
2,070
|
June—2026
|
EUR
|
8,335,062
|
—
|
184,327
|
184,327
|
|
Subtotal — Appreciation
|
|
|
|
|
—
|
654,229
|
654,229
|
||||
|
Equity Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
BNP Paribas S.A.
|
Receive
|
MSCI EMU Minimum
Volatility Index
|
ESTRON -
0.020%
|
Monthly
|
180
|
April—2026
|
EUR
|
751,340
|
—
|
(14,662
)
|
(14,662
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI EMU
Momentum Index
|
ESTRON -
0.200%
|
Monthly
|
130
|
April—2026
|
EUR
|
1,209,434
|
—
|
(47,390
)
|
(47,390
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI EMU Quality
Index
|
ESTRON +
0.160%
|
Monthly
|
210
|
April—2026
|
EUR
|
1,006,102
|
—
|
(62,005
)
|
(62,005
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI EMU Quality
Index
|
ESTRON +
0.269%
|
Monthly
|
1,350
|
April—2026
|
EUR
|
6,395,787
|
—
|
(315,372
)
|
(315,372
)
|
|
BNP Paribas S.A.
|
Receive
|
MSCI Japan
Minimum Volatility
Index
|
TONAR -
0.170%
|
Monthly
|
50,627
|
April—2026
|
JPY
|
235,850,435
|
—
|
(27,431
)
|
(27,431
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Low Volatility Net
Total Return Index
|
SONIA +
0.490%
|
Monthly
|
35
|
May—2026
|
GBP
|
252,321
|
—
|
(9,385
)
|
(9,385
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Low Volatility Net
Total Return Index
|
SONIA +
0.600%
|
Monthly
|
1,000
|
May—2026
|
GBP
|
7,162,000
|
—
|
(205,695
)
|
(205,695
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Price Momentum
Net Total Return
Index
|
SONIA +
0.490%
|
Monthly
|
35
|
May—2026
|
GBP
|
355,291
|
—
|
(7,336
)
|
(7,336
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Price Momentum
Net Total Return
Index
|
SONIA +
0.570%
|
Monthly
|
760
|
May—2026
|
GBP
|
7,597,439
|
—
|
(3,822
)
|
(3,822
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Quality Net Total
Return Index
|
SONIA +
0.490%
|
Monthly
|
50
|
April—2026
|
GBP
|
557,877
|
—
|
(9,005
)
|
(9,005
)
|
|
Citibank, N.A.
|
Receive
|
Invesco UK Broad
Quality Net Total
Return Index
|
SONIA +
0.545%
|
Monthly
|
165
|
April—2026
|
GBP
|
1,823,201
|
—
|
(6,168
)
|
(6,168
)
|
|
Citibank, N.A.
|
Receive
|
MSCI EMU
Momentum Index
|
ESTRON +
0.139%
|
Monthly
|
710
|
April—2026
|
EUR
|
6,558,937
|
—
|
(205,153
)
|
(205,153
)
|
|
Open Over-The-Counter Total Return Swap Agreements(a)—(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 -
0.100%
|
Monthly
|
199,178
|
May—2026
|
JPY
|
927,888,639
|
$—
|
$(107,919
)
|
$(107,919
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum Volatility
Index
|
TONAR -
0.100%
|
Monthly
|
202,195
|
May—2026
|
JPY
|
941,943,605
|
—
|
(109,554
)
|
(109,554
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan
Minimum Volatility
Index
|
TONAR -
0.200%
|
Monthly
|
33,000
|
June—2026
|
JPY
|
153,541,410
|
—
|
(16,670
)
|
(16,670
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan Quality
Index
|
TONAR -
0.080%
|
Monthly
|
76,000
|
June—2026
|
JPY
|
372,086,120
|
—
|
(24,859
)
|
(24,859
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan Quality
Index
|
TONAR +
0.000%
|
Monthly
|
273,989
|
May—2026
|
JPY
|
1,383,551,293
|
—
|
(355,121
)
|
(355,121
)
|
|
Citibank, N.A.
|
Receive
|
MSCI Japan Quality
Index
|
TONAR +
0.000%
|
Monthly
|
148,011
|
May—2026
|
JPY
|
747,405,226
|
—
|
(191,839
)
|
(191,839
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco U.S. Large
Cap Broad Price
Momentum Total
Return Index
|
SOFR +
0.560%
|
Monthly
|
990
|
June—2026
|
USD
|
12,840,775
|
—
|
(256,558
)
|
(256,558
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco U.S. Large
Cap Broad Quality
Total Return Index
|
SOFR +
0.590%
|
Monthly
|
770
|
June—2026
|
USD
|
12,631,742
|
—
|
(42,452
)
|
(42,452
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
Invesco UK Broad
Quality Net Total
Return Index
|
SONIA +
0.520%
|
Monthly
|
267
|
April—2026
|
GBP
|
2,950,270
|
—
|
(9,981
)
|
(9,981
)
|
|
J.P. Morgan Chase Bank,
N.A.
|
Receive
|
MSCI EMU
Momentum Index
|
ESTRON -
0.470%
|
Monthly
|
150
|
June—2026
|
EUR
|
1,354,580
|
—
|
(7,382
)
|
(7,382
)
|
|
Subtotal — Depreciation
|
|
|
|
|
—
|
(2,035,759
)
|
(2,035,759
)
|
||||
|
Total — Total Return Swap Agreements
|
|
|
|
|
$—
|
$(1,381,530
)
|
$(1,381,530
)
|
||||
|
(a) 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
|
|
Barclays Brent Crude Roll Yield Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Brent Crude
|
100.00%
|
|
Barclays Soybean Meal S2 Nearby Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Meal
|
100.00%
|
|
Barclays Soybean Oil Seasonal Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Oil
|
100.00%
|
|
Barclays Soybeans Seasonal Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean
|
100.00%
|
|
Barclays Wheat Seasonal Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Wheat
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
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
|
|
|
|
Soybean Oil
|
100.00%
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Cotton
Commodity Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Cotton
|
100.00%
|
|
Canadian Imperial Bank of Commerce Seasonally Enhanced Live Cattle
Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Live Cattle
|
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%
|
|
Enhanced Strategy AB44 on the S&P GSCI Corn Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Corn
|
100.00%
|
|
Enhanced Strategy BNZ0Y on the S&P GSCI Soybean Oil Excess
Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Oil
|
100.00%
|
|
Goldman Sachs Heating Oil F0 Standard Roll Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Heating Oil
|
100.00%
|
|
S&P GSCI Wheat Excess Return A48 Strategy
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Wheat
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
J.P. Morgan Contag Beta Gas Oil Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Gas Oil
|
100.00%
|
|
J.P. Morgan Front Month Heating Oil Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Heating Oil
|
100.00%
|
|
Macquarie Aluminum Dynamic Selection Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
MLCISCE Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Corn
|
100.00%
|
|
MLCX Aluminum Annual Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
MLCX Natural Gas Annual Excess Return Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Natural Gas
|
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 KCEO Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Coffee
|
100.00%
|
|
RBC Commodity SB01 Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Sugar
|
100.00%
|
|
RBC Commodity SO01 Excess Return Custom Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean
|
100.00%
|
|
BNP Paribas Commodity Daily Dynamic Curve LP Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Copper
|
100.00%
|
|
CIBC Seasonally Enhanced Lean Hog Commodity Index
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Lean Hog
|
100.00%
|
|
Reference Entity Components—(continued)
|
||
|
Reference Entity
|
Underlying Components
|
Percentage
|
|
Citi Commodities Curve Beta Enhanced Distributed Mono Index - WTI
Crude Oil (Excess Return)
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Crude Oil
|
100.00%
|
|
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%
|
|
Macquarie Single Commodity Soymeal type A Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Soybean Meal
|
100.00%
|
|
S&P GSCI Aluminum Dynamic Index Excess Return
|
|
|
|
|
Long Futures Contracts
|
|
|
|
Aluminum
|
100.00%
|
|
Abbreviations:
|
|
|
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
|
$—
|
$8,954,459
|
$—
|
$8,954,459
|
|
Money Market Funds
|
370,439,333
|
—
|
—
|
370,439,333
|
|
Options Purchased
|
3,819,435
|
—
|
—
|
3,819,435
|
|
Total Investments in Securities
|
374,258,768
|
8,954,459
|
—
|
383,213,227
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
2,733,900
|
—
|
—
|
2,733,900
|
|
Swap Agreements
|
—
|
8,288,762
|
—
|
8,288,762
|
|
|
2,733,900
|
8,288,762
|
—
|
11,022,662
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(12,780,937
)
|
—
|
—
|
(12,780,937
)
|
|
Swap Agreements
|
—
|
(2,961,822
)
|
—
|
(2,961,822
)
|
|
|
(12,780,937
)
|
(2,961,822
)
|
—
|
(15,742,759
)
|
|
Total Other Investments
|
(10,047,037
)
|
5,326,940
|
—
|
(4,720,097
)
|
|
Total Investments
|
$364,211,731
|
$14,281,399
|
$—
|
$378,493,130
|
|
*
|
Unrealized appreciation (depreciation).
|