Cantor Fitzgerald Commodity Return Strategy Fund
Consolidated Schedule of Investments
July 31, 2026 (unaudited)
| Par (000) |
Ratings† (S&P/Moody’s) |
Maturity | Rate% | Value | ||||||||||
| COMMODITY INDEXED STRUCTURED NOTES (34.6%) |
||||||||||||||
| $ 52,700 | Bank of Montreal, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR (1),(2),(3) |
(A+, NR) | 12/29/26 | 3.650 | $ | 84,843,112 | ||||||||
| 54,000 | BNP Paribas Issuance BV, Commodity Index Linked Company Guaranteed Notes, Rule 144A, FEDL01 + 0.100% (1),(2),(4) |
(A+, A1) | 11/23/26 | 3.730 | 95,559,634 | |||||||||
| 50,000 | BofA Finance LLC, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR - 0.050% (1),(2),(5) |
(A-, A1) | 03/11/27 | 3.600 | 70,873,300 | |||||||||
| 57,000 | Canadian Imperial Bank of Commerce, Commodity Index Linked Senior Unsecured Notes, Rule 144A, FEDL01 (1),(2),(3) |
(A+, NR) | 03/24/27 | 3.630 | 75,996,223 | |||||||||
| 49,000 | Goldman Sachs International Bank, Commodity Index Linked Senior Unsecured Notes, Rule 144A, SOFR (1),(2),(4) |
(BBB+, A2) | 03/30/27 | 3.650 | 63,845,174 | |||||||||
| 57,000 | Royal Bank of Canada, Commodity Index Linked Senior Unsecured Notes, Rule 144A, FEDL01 (1),(2),(3) |
(AA-, A1) | 09/16/26 | 3.630 | 98,076,841 | |||||||||
|
|
|
| ||||||||||||
| TOTAL COMMODITY INDEXED STRUCTURED NOTES (Cost $319,700,000) |
489,194,284 | |||||||||||||
|
|
|
| ||||||||||||
| UNITED STATES AGENCY OBLIGATIONS (19.8%) |
||||||||||||||
| 16,200 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.055% (1) |
(AA+, Aaa) | 07/13/27 | 3.705 | 16,197,494 | |||||||||
| 8,500 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.085% (1) |
(AA+, Aaa) | 02/23/28 | 3.735 | 8,498,048 | |||||||||
| 14,700 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.090% (1) |
(AA+, Aaa) | 03/09/28 | 3.740 | 14,701,552 | |||||||||
| 13,500 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.125% (1) |
(AA+, Aaa) | 11/03/27 | 3.775 | 13,508,818 | |||||||||
| 25,100 | Federal Farm Credit Banks Funding Corp., 1 day USD SOFR + 0.230% (1) |
(AA+, Aaa) | 08/01/28 | 3.880 | 25,148,821 | |||||||||
| 6,000 | Federal Home Loan Banks |
(AA+, Aaa) | 10/09/26 | 4.000 | 6,001,451 | |||||||||
| 22,400 | Federal Home Loan Banks |
(AA+, Aaa) | 09/09/27 | 3.500 | 22,245,894 | |||||||||
| 12,000 | Federal Home Loan Banks |
(AA+, Aaa) | 03/03/28 | 3.500 | 11,867,997 | |||||||||
| 12,000 | Federal Home Loan Banks, 1 day USD SOFR + 0.220% (1) |
(AA+, Aaa) | 07/23/29 | 3.870 | 12,003,382 | |||||||||
| 24,600 | Federal Home Loan Banks, 1 day USD SOFR + 0.230% (1) |
(AA+, Aaa) | 07/14/28 | 3.880 | 24,647,743 | |||||||||
| 13,000 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.140% (1) |
(AA+, Aaa) | 10/16/26 | 3.790 | 13,001,244 | |||||||||
| 3,500 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.140% (1) |
(AA+, Aaa) | 10/29/26 | 3.790 | 3,500,730 | |||||||||
| 8,500 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.140% (1) |
(AA+, Aaa) | 10/06/27 | 3.790 | 8,507,761 | |||||||||
| 23,700 | Federal Home Loan Mortgage Corp., 1 day USD SOFR + 0.220% (1) |
(AA+, Aaa) | 05/23/28 | 3.870 | 23,747,615 | |||||||||
| 10,000 | Federal National Mortgage Association, 1 day USD SOFR + 0.085% (1) |
(AA+, Aaa) | 03/06/28 | 3.735 | 9,995,962 | |||||||||
| 22,800 | Federal National Mortgage Association, 1 day USD SOFR + 0.085% (1) |
(AA+, Aaa) | 06/08/28 | 3.735 | 22,791,281 | |||||||||
| 24,600 | Federal National Mortgage Association, 1 day USD SOFR + 0.090% (1) |
(AA+, Aaa) | 02/02/28 | 3.740 | 24,596,221 | |||||||||
| 8,000 | Federal National Mortgage Association, 1 day USD SOFR + 0.090% (1) |
(AA+, Aaa) | 05/08/28 | 3.740 | 8,001,393 | |||||||||
| 11,000 | Federal National Mortgage Association, 1 day USD SOFR + 0.260% (1) |
(AA+, Aaa) | 11/05/27 | 3.910 | 11,024,203 | |||||||||
|
|
|
| ||||||||||||
| TOTAL UNITED STATES AGENCY OBLIGATIONS (Cost $280,078,287) |
279,987,610 | |||||||||||||
|
|
|
| ||||||||||||
| UNITED STATES TREASURY OBLIGATIONS (42.1%) |
||||||||||||||
| 3,000 | U.S. Treasury Bills (6) |
(AA+, Aaa) | 08/04/26 | 3.571 | 2,999,107 | |||||||||
| 14,000 | U.S. Treasury Bills (6) |
(AA+, Aaa) | 08/27/26 | 3.615 | 13,964,815 | |||||||||
| 3,000 | U.S. Treasury Bills (6) |
(AA+, Aaa) | 09/03/26 | 3.627 | 2,990,026 | |||||||||
| 15,200 | U.S. Treasury Bills (6) |
(AA+, Aaa) | 09/15/26 | 3.601 | 15,134,141 | |||||||||
| 32,200 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.205% (1) |
(AA+, Aaa) | 10/31/26 | 4.057 | 32,216,767 | |||||||||
| 35,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.098% (1) |
(AA+, Aaa) | 01/31/27 | 3.950 | 35,017,040 | |||||||||
| 40,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.160% (1) |
(AA+, Aaa) | 04/30/27 | 4.012 | 40,042,148 | |||||||||
| 48,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.159% (1) |
(AA+, Aaa) | 07/31/27 | 4.011 | 48,059,023 | |||||||||
| 33,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.190% (1),(7) |
(AA+, Aaa) | 10/31/27 | 4.042 | 33,058,318 | |||||||||
| 75,800 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.099% (1),(7) |
(AA+, Aaa) | 01/31/28 | 3.951 | 75,863,415 | |||||||||
| 44,000 | U.S. Treasury Floating Rate Notes, 3 mo. Treasury money market yield + 0.103% (1),(8) |
(AA+, Aaa) | 04/30/28 | 3.955 | 44,041,975 | |||||||||
| 20,000 | U.S. Treasury Notes |
(AA+, Aaa) | 08/15/26 | 4.375 | 20,000,703 | |||||||||
Cantor Fitzgerald Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
July 31, 2026 (unaudited)
| Par (000) |
Ratings† (S&P/Moody’s) |
Maturity | Rate% | Value | ||||||||||
| UNITED STATES TREASURY OBLIGATIONS (continued) |
||||||||||||||
| $ 17,100 | U.S. Treasury Notes | (AA+, Aaa) | 08/31/26 | 3.750 | $ | 17,098,993 | ||||||||
| 25,000 | U.S. Treasury Notes | (AA+, Aaa) | 12/31/26 | 4.250 | 25,030,059 | |||||||||
| 12,000 | U.S. Treasury Notes | (AA+, Aaa) | 04/15/27 | 4.500 | 12,035,276 | |||||||||
| 12,000 | U.S. Treasury Notes | (AA+, Aaa) | 05/31/27 | 3.875 | 11,977,526 | |||||||||
| 12,000 | U.S. Treasury Notes | (AA+, Aaa) | 07/15/27 | 4.375 | 12,024,544 | |||||||||
| 12,000 | U.S. Treasury Notes | (AA+, Aaa) | 09/15/27 | 3.375 | 11,893,125 | |||||||||
| 23,800 | U.S. Treasury Notes | (AA+, Aaa) | 10/31/27 | 3.500 | 23,589,891 | |||||||||
| 38,900 | U.S. Treasury Notes | (AA+, Aaa) | 01/15/28 | 4.250 | 38,895,441 | |||||||||
| 41,500 | U.S. Treasury Notes | (AA+, Aaa) | 02/15/28 | 4.250 | 41,489,463 | |||||||||
| 12,000 | U.S. Treasury Notes | (AA+, Aaa) | 05/15/28 | 3.750 | 11,890,312 | |||||||||
| 25,300 | U.S. Treasury Notes | (AA+, Aaa) | 01/15/29 | 3.500 | 24,810,801 | |||||||||
|
|
|
| ||||||||||||
| TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $594,842,682) |
594,122,909 | |||||||||||||
|
|
|
| ||||||||||||
| Shares | ||||||||||||||
| SHORT-TERM INVESTMENTS (2.4%) |
||||||||||||||
| 34,209,263 | State Street Institutional U.S. Government Money Market Fund - Premier Class, 3.62%(9) (Cost $34,209,263) |
34,209,263 | ||||||||||||
|
|
|
| ||||||||||||
| TOTAL INVESTMENTS AT VALUE (98.9%) (Cost $1,228,830,232) |
1,397,514,066 | |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES (1.1%) |
15,423,288 | |||||||||||||
|
|
|
| ||||||||||||
| NET ASSETS(10) (100.0%) |
$ | 1,412,937,354 | ||||||||||||
|
|
|
| ||||||||||||
| † | Credit ratings given by the S&P Global Ratings Division of S&P Global Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
| (1) | Variable rate obligation - The interest rate shown is the rate in effect as of July 31, 2026. The rate may be subject to a cap and floor. |
| (2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2026, these securities amounted to a value of $489,194,284 or 34.6% of net assets. |
| (3) | Return on security is linked to the Bloomberg Commodity Index Total Return 2 Month ForwardSM. |
| (4) | Return on security is linked to the Bloomberg Commodity Index Total Return. |
| (5) | Return on security is linked to the BofA Merrill Lynch Commodity MLCILPRT Total Return Index. |
| (6) | Securities are zero coupon. Rate presented is cost yield as of July 31, 2026. |
| (7) | At July 31, 2026, $25,741,107 in the value of this securities has been pledged to cover initial margin requirements for open futures contracts. |
| (8) | At July 31, 2026, $4,482,973 in the value of this security has been pledged as collateral for open swap contracts. |
| (9) | Rate shown reflects yield as at July 31, 2026. |
| (10) | As of July 31, 2026, the Cantor Fitzgerald Commodity Return Strategy Fund held $ 162,280,911 in the wholly-owned subsidiary, Cantor Fitzgerald Cayman Commodity Return Strategy Fund, Ltd., representing 11.5% of the Fund’s consolidated net assets. |
INVESTMENT ABBREVIATIONS
3 mo. = 3 month
FEDL01 = Federal Funds Rate
SOFR = Secured Overnight Financing Rate
Futures Contracts
| Contract Description | Currency | Expiration Date |
Number of Contracts |
Notional Amount | Notional Value | Net Unrealized Appreciation (Depreciation) |
||||||||||||||
| Contracts to Purchase |
| |||||||||||||||||||
| Agriculture |
| |||||||||||||||||||
| Cocoa Futures |
USD | Sep 2026 | 19 | $ | 754,075 | $ | 1,025,430 | $ | 271,355 | |||||||||||
| Coffee “C” Futures |
USD | Dec 2026 | 79 | 8,994,927 | 9,321,506 | 326,579 | ||||||||||||||
| Corn Futures |
USD | Sep 2026 | 123 | 2,714,324 | 2,710,613 | (3,711) | ||||||||||||||
| Cotton No. 2 Futures |
USD | Dec 2026 | 16 | 610,601 | 654,320 | 43,719 | ||||||||||||||
| Soybean Futures |
USD | Nov 2026 | 33 | 1,864,163 | 1,959,375 | 95,212 | ||||||||||||||
| Soybean Meal Futures |
USD | Dec 2026 | 25 | 761,944 | 803,000 | 41,056 | ||||||||||||||
| Soybean Oil Futures |
USD | Jan 2027 | 24 | 959,341 | 962,640 | 3,299 | ||||||||||||||
| Sugar No. 11 Futures |
USD | Sep 2026 | 46 | 731,038 | 755,283 | 24,245 | ||||||||||||||
| Wheat (KC HRW) Futures |
USD | Sep 2026 | 26 | 834,921 | 919,750 | 84,829 | ||||||||||||||
| Wheat Futures |
USD | Dec 2026 | 28 | 874,032 | 920,500 | 46,468 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 933,051 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Cantor Fitzgerald Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
July 31, 2026 (unaudited)
Futures Contracts
| Contract Description | Currency | Expiration Date |
Number of Contracts |
Notional Amount | Notional Value | Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Contracts to Purchase (continued) |
| |||||||||||||||||||||||
| Energy |
| |||||||||||||||||||||||
| Brent Crude Oil Futures |
USD | Sep 2026 | 95 | $ | 7,575,771 | $ | 8,035,100 | $ | 459,329 | |||||||||||||||
| Gasoline RBOB Futures |
USD | Aug 2026 | 60 | 6,852,576 | 7,847,784 | 995,208 | ||||||||||||||||||
| Light Sweet Crude Oil Futures |
USD | Aug 2026 | 172 | 13,797,201 | 14,563,240 | 766,039 | ||||||||||||||||||
| Low Sulphur Gasoil Futures |
USD | Nov 2026 | 166 | 18,073,777 | 18,131,350 | 57,573 | ||||||||||||||||||
| Natural Gas Futures |
USD | Aug 2026 | 45 | 1,397,677 | 1,236,150 | (161,527) | ||||||||||||||||||
| Natural Gas Futures |
USD | Oct 2026 | 53 | 1,844,392 | 1,592,120 | (252,272) | ||||||||||||||||||
| NY Harbor ULSD Futures |
USD | Oct 2026 | 57 | 8,887,627 | 9,099,834 | 212,207 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 2,076,557 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Industrial Metals |
| |||||||||||||||||||||||
| LME Lead Futures |
USD | Sep 2026 | 6 | 295,708 | 278,942 | $ | (16,766) | |||||||||||||||||
| LME Lead Futures |
USD | Dec 2026 | 6 | 286,396 | 284,856 | (1,540) | ||||||||||||||||||
| LME Nickel Futures |
USD | Sep 2026 | 7 | 743,544 | 721,199 | (22,345) | ||||||||||||||||||
| LME Primary Aluminum Futures |
USD | Aug 2026 | 20 | 1,569,814 | 1,596,835 | 27,021 | ||||||||||||||||||
| LME Zinc Futures |
USD | Sep 2026 | 10 | 822,667 | 916,293 | 93,626 | ||||||||||||||||||
| LME Zinc Futures |
USD | Dec 2026 | 10 | 870,285 | 908,345 | 38,060 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 118,056 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Livestock |
| |||||||||||||||||||||||
| Lean Hogs Futures |
USD | Aug 2026 | 15 | 593,449 | 593,100 | $ | (349) | |||||||||||||||||
| Live Cattle Futures |
USD | Oct 2026 | 12 | 1,064,464 | 1,090,800 | 26,336 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 25,987 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Precious Metals |
| |||||||||||||||||||||||
| Copper Futures |
USD | Sep 2026 | 14 | 2,294,284 | 2,262,925 | $ | (31,359) | |||||||||||||||||
| Gold 100 oz. Futures |
USD | Dec 2026 | 16 | 6,595,643 | 6,571,200 | (24,443) | ||||||||||||||||||
| Silver Futures |
USD | Dec 2026 | 3 | 948,486 | 876,420 | (72,066) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (127,868) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Contracts to Sell |
| |||||||||||||||||||||||
| Agriculture |
||||||||||||||||||||||||
| Coffee “C” Futures |
USD | Sep 2026 | (72) | (8,735,332 | ) | (8,966,700 | ) | $ | (231,368) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| Energy |
||||||||||||||||||||||||
| Brent Crude Oil Futures |
USD | Nov 2026 | (41) | (3,281,284 | ) | (3,304,190 | ) | $ | (22,906) | |||||||||||||||
| Gasoline RBOB Futures |
USD | Oct 2026 | (52) | (5,703,571 | ) | (5,848,097 | ) | (144,526) | ||||||||||||||||
| Light Sweet Crude Oil Futures |
USD | Oct 2026 | (115) | (9,348,983 | ) | (9,044,750 | ) | 304,233 | ||||||||||||||||
| Low Sulphur Gasoil Futures |
USD | Sep 2026 | (146) | (17,861,259 | ) | (17,965,300 | ) | (104,041) | ||||||||||||||||
| NY Harbor ULSD Futures |
USD | Aug 2026 | (51) | (8,688,798 | ) | (8,772,561 | ) | (83,763) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (51,003) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Industrial Metals |
||||||||||||||||||||||||
| LME Lead Futures |
USD | Sep 2026 | (6) | (280,628 | ) | (278,942 | ) | $ | 1,686 | |||||||||||||||
| LME Zinc Futures |
USD | Sep 2026 | (10) | (874,890 | ) | (916,293 | ) | (41,403) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (39,717) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Livestock |
||||||||||||||||||||||||
| Live Cattle Futures |
USD | Dec 2026 | (1) | (89,977 | ) | (90,780 | ) | $ | (803) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Net Unrealized Appreciation (Depreciation) |
$ | 2,702,892 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Commodity Index Swap Contracts
| Currency | Notional Amount |
Expiration Date |
Counterparty | Receive | Pay | Payment Frequency |
Upfront (Received) |
Value | Unrealized Depreciation |
|||||||||||||||||||||||||
| USD |
$ | 15,440,124 | 08/25/26 | Bank of America | Bloomberg Commodity Index Total Return |
3.76% | At Maturity | $ | — | $ | (156,441) | $ | (156,441 | ) | ||||||||||||||||||||
| USD |
18,567,043 | 08/25/26 | JP Morgan Chase | Bloomberg Commodity Index Total Return |
3.74% | At Maturity | — | (188,017 | ) | (188,017 | ) | |||||||||||||||||||||||
Cantor Fitzgerald Commodity Return Strategy Fund
Consolidated Schedule of Investments (continued)
July 31, 2026 (unaudited)
Commodity Index Swap Contracts (continued)
| Currency | Notional Amount |
Expiration Date |
Counterparty | Receive | Pay | Payment Frequency |
Upfront (Received) |
Value | Unrealized Depreciation |
|||||||||||||||||||||||||
| USD |
$ | 20,496,661 | 08/25/26 | Macquarie Bank Ltd. |
Bloomberg Commodity Index Total Return |
3.74% | At Maturity | $ | — | $ | (207,557) | $ | (207,557 | ) | ||||||||||||||||||||
| USD |
68,009,181 | 08/25/26 | Macquarie Bank Ltd. |
Macquarie Commodity Customized Product 112T Index(a) |
3.91% | At Maturity | — | (705,672) | (705,672 | ) | ||||||||||||||||||||||||
| USD |
75,577,908 | 08/25/26 | Societe Generale |
Societe Generale P04 TR Index(b) |
3.91% | At Maturity | — | (754,741) | (754,741 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| Total |
$ | — | $ | (2,012,428) | $ | (2,012,428 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| (a) | The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. |
| Commodity Name | Weight | Quantity(1) | 7/31/26 Value(1) | |||||||||
| CBOT Bean Oil JAN 27 Futures |
3.34 | % | 56.18 | 2,253,551 | ||||||||
| CBOT Corn SEP 26 Futures |
4.67 | % | 142.85 | 3,148,152 | ||||||||
| NYBOT Cocoa SEP 26 Futures |
1.35 | % | 16.84 | 909,029 | ||||||||
| NYMEX WTI Crude Oil SEP 26 Futures |
8.74 | % | 69.58 | 5,891,437 | ||||||||
| NYBOT Cotton DEC 26 Futures |
1.74 | % | 28.73 | 1,175,104 | ||||||||
| COMEX Gold DEC 26 Futures |
12.04 | % | 19.75 | 8,112,170 | ||||||||
| COMEX High Grade Copper SEP 26 Futures |
6.17 | % | 25.73 | 4,158,666 | ||||||||
| NYMEX Heating Oil NOV 26 Futures |
3.87 | % | 16.35 | 2,610,320 | ||||||||
| NYBOT Coffee DEC 26 Futures |
2.25 | % | 12.83 | 1,513,819 | ||||||||
| KCBOT Kansas Wheat DEC 26 Futures |
1.97 | % | 36.71 | 1,328,497 | ||||||||
| CME Live Cattle OCT 26 Futures |
3.29 | % | 24.40 | 2,218,224 | ||||||||
| ICE Brent Crude Oil NOV 26 Futures |
10.25 | % | 81.69 | 6,909,031 | ||||||||
| ICE Gas Oil NOV 26 Futures |
5.07 | % | 31.30 | 3,418,208 | ||||||||
| CME Lean Hogs OCT 26 Futures |
1.51 | % | 30.00 | 1,018,135 | ||||||||
| LME Aluminium SEP 26 Futures |
3.62 | % | 30.60 | 2,438,854 | ||||||||
| LME Nickel SEP 26 Futures |
1.87 | % | 12.23 | 1,259,640 | ||||||||
| LME Lead SEP 26 Futures |
0.76 | % | 10.97 | 509,833 | ||||||||
| LME Zinc SEP 26 Futures |
2.32 | % | 17.02 | 1,559,791 | ||||||||
| NYMEX Nat Gas NOV 26 Futures |
5.98 | % | 134.14 | 4,029,608 | ||||||||
| NYMEX Unleaded Gasoline SEP 26 Futures |
3.35 | % | 17.26 | 2,257,328 | ||||||||
| CBOT Soybeans NOV 26 Futures |
5.16 | % | 58.60 | 3,479,531 | ||||||||
| NYBOT Sugar OCT 26 Futures |
2.53 | % | 103.84 | 1,704,895 | ||||||||
| COMEX Silver DEC 26 Futures |
2.64 | % | 6.09 | 1,780,048 | ||||||||
| CBOT Soy Meal DEC 26 Futures |
2.67 | % | 55.93 | 1,796,409 | ||||||||
| CBOT Wheat DEC 26 Futures |
2.82 | % | 57.70 | 1,896,829 | ||||||||
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2026
| (b) | The index seeks to provide exposure to a diversified group of commodities, inclusive of energy, livestock and meat, agricultural and metals. The Fund has indirect exposure to all of the below underlying positions that make up the custom index. When applicable, the table is limited to the largest 50 positions (based on absolute market value) and any other position where the notional value for the position exceeds 1% of the notional value of the index. |
| Commodity Name | Weight | Quantity(1) | 7/31/26 Value(1) | |||||||||
| CBOT Bean Oil DEC 26 Futures |
3.34 | % | 62.33 | 2,501,826 | ||||||||
| CBOT Corn SEP 26 Futures |
4.67 | % | 158.73 | 3,498,062 | ||||||||
| NYBOT Cocoa SEP 26 Futures |
1.35 | % | 18.74 | 1,011,217 | ||||||||
| NYMEX WTI Crude Oil SEP 26 Futures |
8.74 | % | 77.32 | 6,546,693 | ||||||||
| ICE Brent Crude Oil NOV 26 Futures |
10.29 | % | 91.13 | 7,707,720 | ||||||||
| NYBOT Cotton DEC 26 Futures |
1.74 | % | 31.87 | 1,303,346 | ||||||||
| COMEX Gold DEC 26 Futures |
12.04 | % | 21.96 | 9,018,557 | ||||||||
| COMEX High Grade Copper SEP 26 Futures |
6.17 | % | 28.59 | 4,621,636 | ||||||||
| NYMEX Heating Oil SEP 26 Futures |
3.87 | % | 16.85 | 2,898,822 | ||||||||
| NYBOT Coffee SEP 26 Futures |
2.25 | % | 13.53 | 1,685,362 | ||||||||
| KCBOT Kansas Wheat SEP 26 Futures |
1.96 | % | 41.50 | 1,468,137 | ||||||||
| LME Aluminium SEP 26 Futures |
3.62 | % | 34.02 | 2,711,559 | ||||||||
| CME Live Cattle OCT 26 Futures |
3.29 | % | 27.11 | 2,464,373 | ||||||||
| CME Lean Hogs OCT 26 Futures |
1.51 | % | 33.33 | 1,131,065 | ||||||||
| LME Lead SEP 26 Futures |
0.76 | % | 12.25 | 569,278 | ||||||||
| LME Nickel SEP 26 Futures |
1.87 | % | 13.60 | 1,400,723 | ||||||||
| LME Zinc SEP 26 Futures |
2.31 | % | 18.88 | 1,730,305 | ||||||||
| NYMEX Nat Gas SEP 26 Futures |
5.89 | % | 160.61 | 4,411,902 | ||||||||
| ICE Gas Oil SEP 26 Futures |
5.19 | % | 31.59 | 3,887,567 | ||||||||
| CBOT Soybeans NOV 26 Futures |
5.16 | % | 65.10 | 3,865,096 | ||||||||
| NYBOT Sugar OCT 26 Futures |
2.53 | % | 115.42 | 1,895,095 | ||||||||
| COMEX Silver SEP 26 Futures |
2.64 | % | 6.84 | 1,977,491 | ||||||||
| CBOT Soy Meal DEC 26 Futures |
2.67 | % | 62.27 | 1,999,962 | ||||||||
| CBOT Wheat SEP 26 Futures |
2.79 | % | 65.38 | 2,089,848 | ||||||||
| NYMEX Unleaded Gasoline SEP 26 Futures |
3.35 | % | 19.18 | 2,509,316 | ||||||||
(1) Amounts represent quantity and value of index components as they relate specifically to the Fund’s swap position as of July 31, 2026
SECURITY VALUATION — The Board of Trustees (the “Board”) is responsible for the Fund’s valuation process. The Board has delegated the supervision of the daily valuation process to the Adviser, who has established a Pricing Committee and a Pricing Group, which, pursuant to the policies adopted by the Board, are responsible for making fair valuation determinations and overseeing the Fund’s pricing policies. The net asset value (“NAV”) of the Fund is determined daily as of the close of regular trading (normally 4:00 p.m. Eastern Time) on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments 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. These pricing services generally price fixed income securities assuming orderly transactions of an institutional “round lot” size, but some trades occur in smaller “odd lot” sizes which may be effected at lower prices than institutional round lot trades. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. Over the counter derivative financial instruments, such as swap agreements, generally derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. Investments in open-ended mutual funds are valued at the NAV as reported on each business day and under normal circumstances. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith by the Adviser, as the Board’s valuation designee (as defined in Rule 2a-5 under the 1940 Act), in accordance with the Adviser’s procedures. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act. The Fund may utilize a service provided by an independent third party to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the Adviser to be unreliable, the market price may be determined by the Adviser using quotations from one or more brokers/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its NAV, these securities will be fair valued in good faith by the Pricing Group, in accordance with procedures established by the Adviser.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Generally accepted accounting principles in the United States of America (“GAAP”) established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at each measurement date. These inputs are summarized in the three broad levels listed below:
| ● | Level 1—quoted prices in active markets for identical investments |
| ● | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| ● | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of July 31, 2026 in valuing the Fund’s assets and liabilities carried at fair value:
| Assets |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
| Investments in Securities |
||||||||||||||||||||||||
| Commodity Indexed Structured Notes |
$ |
— | $ |
489,194,284 | $ |
— | $ |
489,194,284 | ||||||||||||||||
| United States Agency Obligations |
— | 279,987,610 | — | 279,987,610 | ||||||||||||||||||||
| United States Treasury Obligations |
— | 594,122,909 | — | 594,122,909 | ||||||||||||||||||||
| Short-term Investments |
34,209,263 | — | — | 34,209,263 | ||||||||||||||||||||
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| $ |
34,209,263 | $ |
1,363,304,803 | $ |
— | $ |
1,397,514,066 | |||||||||||||||||
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| Other Financial Instruments* |
||||||||||||||||||||||||
| Futures Contracts |
$ |
3,918,080 | $ |
— | $ |
— | $ |
3,918,080 | ||||||||||||||||
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| Liabilities |
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| Other Financial Instruments* |
||||||||||||||||||||||||
| Futures Contracts |
$ |
1,215,188 | $ |
— | $ |
— | $ |
1,215,188 | ||||||||||||||||
| Swap Contracts |
— | 2,012,428 | — | 2,012,428 | ||||||||||||||||||||
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| $ |
1,215,188 | $ |
2,012,428 | $ |
— | $ |
3,227,616 | |||||||||||||||||
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* Other financial instruments include unrealized appreciation (depreciation) on futures and swap contracts.
During the period ended July 31, 2026, there were no transfers in or out of Level 3. All transfers, if any, are assumed to occur at the end of the reporting period.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Fund’s website at https://www.cantorassetmanagement.com/capabilities/commodities/, as well as on the website of the Securities and Exchange Commission at www.sec.gov.