WAVELENGTH FUND
SCHEDULE OF INVESTMENTS
August 31, 2022 (Unaudited)
 
EXCHANGE-TRADED FUNDS - 72.3% Shares Value
Emerging Markets Debt - 10.2%
iShares J.P. Morgan USD Emerging Markets Bond ETF 46,600   $ 3,974,980  
VanEck Emerging Markets High Yield Bond ETF (a) 226,189   4,003,546  
Vanguard Emerging Markets Government Bond ETF (a) 94,392   5,816,435  
    13,794,961  
Real Estate Investment Trusts (REITs) - 1.8%
Vanguard Real Estate ETF (a) 26,600   2,474,066  
   
U.S. Fixed Income - 60.3%
Invesco Senior Loan ETF (a) 672,660   14,105,680  
iShares iBoxx $ High Yield Corporate Bond ETF (a) 41,300   3,078,089  
iShares National Muni Bond ETF (a) 99,000   10,468,260  
iShares TIPS Bond ETF 169,000   19,250,790  
SPDR Bloomberg Convertible Securities ETF (a) 51,179   3,481,196  
SPDR Bloomberg High Yield Bond ETF (a) 33,934   3,118,195  
SPDR Bloomberg Short Term High Yield Bond ETF (a) 301,000   7,377,510  
Vanguard Mortgage-Backed Securities ETF 153,200   7,286,192  
Vanguard Short-Term Inflation-Protected Securities ETF 268,300   13,299,631  
    81,465,543  
     
Total Exchange-Traded Funds (Cost $107,860,381) $ 97,734,570  
     
     
MONEY MARKET FUNDS - 26.3% Shares Value
Fidelity Institutional Money Market Government Portfolio - Class I, 2.03% (b) 11,854,748   $ 11,854,748  
Goldman Sachs Financial Square Treasury Obligation Fund - Institutional Class, 2.20% (b) 11,854,749   11,854,749  
Invesco Short-Term Investments Trust-            Institutional Class, 2.16% (b) 11,854,749   11,854,749  
Total Money Market Funds (Cost $35,564,246) $ 35,564,246  

 

 
 
WAVELENGTH FUND
SCHEDULE OF INVESTMENTS (Continued)
 
COLLATERAL FOR SECURITIES LOANED - 31.7% Value Value
Mount Vernon Liquid Assets Portfolio, LLC, 2.44% (Cost $42,860,339) (b)(c) 42,860,339 $ 42,860,339  
 
Investments at Value - 130.3% (Cost $186,284,966) $ 176,159,155  
   
Liabilities in Excess of Other Assets - (30.3%)     (40,970,448 )
   
Net Assets - 100.0% $ 135,188,707  

 

 

 

 

 

 

(a) All or a portion of the security is on loan.  The total value of the securities on loan as of August 31, 2022 was $41,789,222.
(b) The rate shown is the 7-day effective yield as of August 31, 2022.
(c) This security was purchased with cash collateral held from securities on loan.

 

 
 
WAVELENGTH FUND  
SCHEDULE OF FUTURES CONTRACTS  
August 31, 2022 (Unaudited)  
   
FUTURES CONTRACTS Contracts Expiration Date Notional Value Value/Unrealized Appreciation (Depreciation)
Commodities Futures  
E-Mini Gold Future 24 9/28/2022 $   2,060,280   $   (29,796)  
     
Index Futures  
Bloomberg Commodity Index Future 76 9/21/2022 924,464   5,363  
E-Mini Dow CBOT DJIA Future 4 9/19/2022 630,640   (17,414)  
E-Mini S&P 500 Future 5 9/16/2022 989,125   (44,073)  
MSCI Emerging Markets Future 44 9/19/2022 2,160,180   (54,331)  
Total Index Futures 4,704,409   (110,455)  
     
Treasury Futures  
10-Year U.S. Treasury Note Future 44 12/31/2022 5,143,864   (5,426)  
5-Year U.S. Treasury Note Future 50 12/31/2022 5,541,000   (3,334)  
U.S. Treasury Long Bond Future 15 12/20/2022 2,037,660   (959)  
Total Treasury Futures 12,722,524   (9,719)  
     
Total Futures Contracts     $   19,487,213   $   (149,970)  
 
The average monthly notional value of futures contracts during the 3 months ended August 31, 2022 was $22,163,335.