UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number  811-22027    

           FundVantage Trust         

(Exact name of registrant as specified in charter)

103 Bellevue Parkway

          Wilmington, DE 19809         

(Address of principal executive offices) (Zip code)

Joel L. Weiss

JW Fund Management LLC

1636 N Cedar Crest Blvd.

Suite #161

           Allentown, PA 18104          

(Name and address of agent for service)

Registrant’s telephone number, including area code:  856-528-3500

Date of fiscal year end: September 30

Date of reporting period: March 31, 2024

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

 

  (a)

Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

 

   

The Report to Shareholders is attached herewith.

Ambrus Core Bond Fund
Ambrus Tax-Conscious California Bond Fund
Ambrus Tax-Conscious National Bond Fund
of
FundVantage Trust
Institutional Class
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
IMPORTANT NOTICE – UPCOMING CHANGES TO AMBRUS FUNDS ANNUAL & SEMI-ANNUAL REPORTS
The Securities and Exchange Commission (the “SEC”) has adopted rule and form amendments that will result in changes to the design and delivery of annual and semi-annual shareholder reports (“Reports”). Beginning in July 2024, Reports will be streamlined to highlight key information (“Redesigned Reports”). Certain information currently included in the Reports, including financial statements, will no longer appear in the Reports but will be available online, delivered free of charge to shareholders upon request, and filed with the SEC.
If you previously elected to receive the Funds' Reports electronically, you will continue to receive the Redesigned Reports electronically. Otherwise, you will receive paper copies of the Funds' Redesigned Reports via USPS mail for all Reports transmitted after July 2024. If you would like to receive the Funds' Redesigned Reports (and/or other communications) electronically instead of by mail, please contact your financial advisor or, if you are a direct investor, please call (833) 996-2101.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

AMBRUS CORE BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   Since
Inception
Institutional Class 5.14%   4.56%   3.78% *
Bloomberg U.S. Intermediate Government/Credit Bond Index 4.40%   2.69%   2.76% **
† Not Annualized.
* The Ambrus Core Bond Fund (the “Fund”) commenced operations on September 6, 2022.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.71% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg U.S. Intermediate Government/Credit Bond Index. The Bloomberg U.S. Intermediate Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized components of the U.S. Aggregate Index with less than 10 years to maturity. The index includes investment grade, USD-denominated, fixed-rate treasuries, government-related and corporate securities.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
1

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   Since
Inception
Institutional Class 5.00%   3.84%   4.62% *
Bloomberg California Municipal Inter-Short (1-10 Year) Index 4.55%   2.00%   4.41% **
† Not Annualized.
* The Ambrus Tax-Conscious California Bond Fund (the “Fund”) commenced operations on October 3, 2022.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.66% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg California Municipal Inter-Short (1-10 Year) Index. The Bloomberg California Municipal Inter-Short (1-10 Year) Index measures the USD-denominated investment grade tax-exempt municipal bond market consisting of bonds with maturities between 1 and 10 years and issued by municipalities in California.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
2

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   Since
Inception
Institutional Class 5.13%   3.64%   4.63% *
Bloomberg Municipal Inter-Short (1-10 Year) Index 4.67%   2.07%   4.48% **
† Not Annualized.
* The Ambrus Tax-Conscious National Bond Fund (the “Fund”) commenced operations on October 3, 2022.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (833) 996-2101. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.70% and 0.51%, respectively, for the Institutional Class shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Whittier Advisors, LLC (“Whittier” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.50% (on an annual basis) of the Fund’s average daily net assets until January 31, 2025, and do not exceed 0.60% (on an annual basis) of the Fund's average daily net assets until January 31, 2026 (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. Prior to May 23, 2023, the Expense Limitation was 0.60%. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the Bloomberg Municipal Inter-Short (1-10 Year) Index. The Bloomberg Municipal Inter-Short (1-10 Year) Index measures the USD-denominated investment grade tax-exempt municipal bond market consisting of bonds with maturities between 1 and 10 years.
An index is unmanaged and it is not possible to invest in an index. All mutual fund investing involves risk, including possible loss of principal.
3

 

AMBRUS FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning Account Value
October 1, 2023 		  Ending Account Value
March 31, 2024 		  Annualized
Expense Ratio 		  Expenses Paid
During Period
Ambrus Core Bond Fund
Institutional Class*              
Actual $1,000.00   $1,051.40   0.50%   $2.56
Hypothetical (5% return before expenses) 1,000.00   1,022.50   0.50%   2.53
Ambrus Tax-Conscious California Bond Fund
Institutional Class**              
Actual $1,000.00   $1,050.00   0.50%   $2.56
Hypothetical (5% return before expenses) 1,000.00   1,022.50   0.50%   2.53
Ambrus Tax-Conscious National Bond Fund
Institutional Class***              
Actual $1,000.00   $1,051.30   0.50%   $2.56
Hypothetical (5% return before expenses) 1,000.00   1,022.50   0.50%   2.53
* Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.14% for Institutional Class shares.
4

 

AMBRUS FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2024
(Unaudited)
** Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.00% for Institutional Class shares.
*** Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 0.50% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of the table is based on the actual six-month total return of 5.13% for Institutional Class shares.
5

 

Ambrus Core Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
U.S. Treasury Obligations 45.4%   $116,730,071
CORPORATE BONDS:      
Financials 13.8   35,537,317
Industrials 5.0   12,813,824
Technology 4.6   11,889,692
Consumer Discretionary 4.2   10,814,895
Health Care 3.5   9,034,907
Materials 2.7   6,774,725
Utilities 2.3   5,979,469
Energy 2.0   5,106,074
Consumer Staple Products 1.8   4,715,781
Communications 1.0   2,439,862
Real Estate 0.4   1,004,598
PREFERREDS:      
Financials 6.3   16,217,099
Consumer Discretionary 0.6   1,466,809
Energy 0.4   1,039,641
MUNICIPAL BONDS:      
California 0.3   715,170
Maryland 0.1   291,973
Short-Term Investment 4.7   12,022,087
Other Assets in Excess of Liabilities 0.9   2,359,570
NET ASSETS 100.0%   $256,953,564
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6

 

AMBRUS CORE BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Par
Value 		  Value
U.S. TREASURY OBLIGATIONS — 45.4%
United States Treasury Bills,
5.288%, 6/13/24(a) 		$ 6,650,000   $   6,579,738
United States Treasury Bonds,      
3.875%, 5/15/43  2,250,000     2,080,459
1.25%, 5/15/50  6,250,000     3,206,055
United States Treasury Notes,      
5.469%, 4/30/25(b)  9,000,000     9,003,800
4.125%, 5/31/25 14,500,000    14,385,019
4.125%, 6/15/26 23,000,000    22,783,477
3.625%, 5/31/28 31,000,000    30,234,082
3.75%, 5/31/30 21,500,000    20,954,941
3.375%, 5/15/33   8,000,000     7,502,500
U.S. TREASURY OBLIGATIONS
(Cost $116,846,685) 		  116,730,071
CORPORATE BONDS — 41.3%
Communications — 1.0%
AT&T, Inc., 7.125%, 12/15/31    500,000       544,805
Paramount Global, 5.50%, 5/15/33  1,000,000       883,921
Verizon Communications, Inc., 6.669%, 5/15/25(b)   1,000,000     1,011,136
        2,439,862
Consumer Discretionary — 4.2%
Advance Auto Parts, Inc., 3.50%, 3/15/32  1,150,000       984,323
Brunswick Corp., 2.40%, 8/18/31  1,000,000       798,591
Choice Hotels International, Inc., 3.70%, 12/1/29  1,500,000     1,344,211
Darden Restaurants, Inc., 6.30%, 10/10/33  1,900,000     1,980,770
Genuine Parts Co., 1.875%, 11/1/30    500,000       406,519
Hyatt Hotels Corp., 1.80%, 10/1/24    800,000       783,303
Masco Corp., 3.50%, 11/15/27  1,000,000       945,826
Mohawk Industries, Inc., 3.625%, 5/15/30    450,000       416,011
Polaris, Inc., 6.95%, 3/15/29  1,000,000     1,064,156
Tapestry, Inc., 3.05%, 3/15/32  1,650,000     1,356,737
VF Corp., 6.00%, 10/15/33     750,000       734,448
       10,814,895
Consumer Staple Products — 1.8%
Dollar General Corp., 4.15%, 11/1/25    750,000       735,854
J M Smucker Co. (The), 6.20%, 11/15/33    650,000       693,503
Kroger Co. (The), 7.70%, 6/1/29  2,064,000     2,310,545
Sysco Corp., 3.75%, 10/1/25   1,000,000       975,879
        4,715,781
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Energy — 2.0%
Continental Resources, Inc., 3.80%, 6/1/24 $   400,000   $     398,416
Hess Corp., 3.50%, 7/15/24    500,000       496,480
Kinder Morgan, Inc., 7.80%, 8/1/31  1,500,000     1,698,601
Phillips 66 Co., 5.25%, 6/15/31  1,000,000     1,009,277
Tosco Corp., 7.80%, 1/1/27    500,000       530,627
Valero Energy Corp., 2.85%, 4/15/25   1,000,000       972,673
        5,106,074
Financials — 13.8%
Air Lease Corp., 3.25%, 3/1/25  1,300,000     1,271,458
American Express Co., 6.003%, 11/4/26(b)  1,420,000     1,421,989
American Tower Corp., REIT, 2.95%, 1/15/25  1,000,000       979,022
AmSouth Bancorp, 6.75%, 11/1/25    600,000       606,122
Bank of America Corp., 4.20%, 8/26/24  1,000,000       994,155
Bank of America Corp., 0.981%, 9/25/25  1,000,000       976,980
Bank of New York Mellon (The), 5.224%, 11/21/25    500,000       499,214
Bank of New York Mellon Corp. (The), 4.543%, 2/1/29  2,000,000     1,972,182
Discover Financial Services, 3.95%, 11/6/24  1,000,000       988,819
Discover Financial Services, 7.964%, 11/2/34  2,000,000     2,268,787
Equitable Holdings, Inc., 5.594%, 1/11/33  1,000,000     1,012,480
Goldman Sachs Group, Inc. (The), 4.25%, 10/21/25    300,000       294,534
Goldman Sachs Group, Inc. (The), 1.948%, 10/21/27  1,300,000     1,196,054
Goldman Sachs Group, Inc. (The), 7.213%, 3/15/28(b)    500,000       511,797
Goldman Sachs Group, Inc. (The), 4.482%, 8/23/28  1,000,000       978,389
Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29    500,000       426,407
Jefferies Financial Group, Inc., 5.875%, 7/21/28  1,300,000     1,324,720
Jefferies Financial Group, Inc., 2.625%, 10/15/31  1,000,000       825,038
Jones Lang LaSalle, Inc., 6.875%, 12/1/28     825,000       874,623
 
The accompanying notes are an integral part of the financial statements.
7

 

AMBRUS CORE BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Financials — (Continued)
JPMorgan Chase & Co., 5.546%, 12/15/25 $ 2,000,000   $   1,998,248
JPMorgan Chase & Co., 6.538%, 2/24/28(b)    500,000       505,913
Kilroy Realty LP, REIT, 2.50%, 11/15/32    100,000        75,416
LPL Holdings, Inc., 6.75%, 11/17/28  1,000,000     1,048,292
Morgan Stanley, 4.35%, 9/8/26    800,000       782,736
Northern Trust Corp., 3.375%, 5/8/32    919,000       857,454
PNC Bank, 4.20%, 11/1/25  1,000,000       979,631
Prudential Financial, Inc., 6.50%, 3/15/54  2,000,000     2,038,058
Synchrony Financial, 3.70%, 8/4/26  1,050,000       998,493
Synchrony Financial, 2.875%, 10/28/31  2,325,000     1,857,775
US Bancorp, 4.653%, 2/1/29  1,000,000       980,722
Vornado Realty LP, REIT, 3.40%, 6/1/31    500,000       394,892
Wells Fargo & Co., 3.584%, 5/22/28    300,000       285,414
Wells Fargo Bank, 6.50%, 12/1/28  1,000,000     1,038,383
Weyerhaeuser Co., REIT, 7.375%, 3/15/32  1,050,000     1,194,606
Zions Bancorp, 3.25%, 10/29/29   1,315,000     1,078,514
       35,537,317
Health Care — 3.5%
AbbVie, Inc., 2.60%, 11/21/24    700,000       687,588
Bristol-Myers Squibb Co., 2.95%, 3/15/32  1,000,000       874,477
Cigna Group (The), 3.25%, 4/15/25  2,890,000     2,826,673
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30  1,600,000     1,419,926
Illumina, Inc., 5.80%, 12/12/25    750,000       751,462
Laboratory Corp. of America Holdings, 3.60%, 2/1/25    500,000       491,597
McKesson Corp., 5.25%, 2/15/26  1,000,000       997,819
Pfizer Investment Enterprises Pte Ltd., 4.75%, 5/19/33   1,000,000       985,365
        9,034,907
Industrials — 5.0%
3M Co., 2.65%, 4/15/25  2,000,000     1,941,237
Jacobs Engineering Group, Inc., 5.90%, 3/1/33  1,300,000     1,318,105
Northrop Grumman Corp., 4.60%, 2/1/29   1,000,000       989,946
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Industrials — (Continued)
Northrop Grumman Systems Corp., 7.75%, 2/15/31 $ 2,000,000   $   2,318,230
PACCAR Financial Corp., 4.60%, 1/10/28  1,000,000       997,521
RTX Corp., 2.375%, 3/15/32  1,500,000     1,238,786
Ryder System, Inc., 1.75%, 9/1/26  1,000,000       923,025
Ryder System, Inc., 5.375%, 3/15/29    500,000       504,367
Trimble, Inc., 6.10%, 3/15/33  1,500,000     1,569,166
Westinghouse Air Brake Technologies Corp., 5.611%, 3/11/34   1,000,000     1,013,441
       12,813,824
Materials — 2.7%
Albemarle Corp., 5.05%, 6/1/32  2,325,000     2,234,556
Huntsman International, LLC, 2.95%, 6/15/31  1,500,000     1,250,546
LYB International Finance III, LLC, 3.375%, 5/1/30  1,500,000     1,286,393
LYB International Finance III, LLC, 5.50%, 3/1/34   2,000,000     2,003,230
        6,774,725
Real Estate — 0.4%
Invitation Homes Operating Partnership LP, REIT, 5.45%, 8/15/30   1,000,000     1,004,598
Technology — 4.6%
Arrow Electronics, Inc., 6.125%, 3/1/26  1,265,000     1,264,866
Booz Allen Hamilton, Inc., 5.95%, 8/4/33    500,000       518,151
Broadridge Financial Solutions, Inc., 2.90%, 12/1/29  1,300,000     1,152,538
Equifax, Inc., 3.10%, 5/15/30    500,000       447,008
Fiserv, Inc., 5.45%, 3/15/34    500,000       506,369
Fortinet, Inc., 2.20%, 3/15/31  1,000,000       836,126
Leidos, Inc., 7.125%, 7/1/32  2,400,000     2,601,737
Microchip Technology, Inc., 0.983%, 9/1/24  1,000,000       979,830
Motorola Solutions, Inc., 2.30%, 11/15/30  1,500,000     1,259,835
Oracle Corp., 3.80%, 11/15/37  2,000,000     1,680,422
Teledyne Technologies, Inc., 2.75%, 4/1/31     750,000       642,810
       11,889,692
 
The accompanying notes are an integral part of the financial statements.
8

 

AMBRUS CORE BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Utilities — 2.3%
Florida Power & Light Co., 5.05%, 4/1/28 $ 1,850,000   $   1,871,751
NextEra Energy Capital Holdings, Inc., 6.051%, 3/1/25    500,000       502,102
PacifiCorp, 6.10%, 8/1/36  2,000,000     2,089,156
Southwestern Electric Power Co., 5.30%, 4/1/33    500,000       494,717
System Energy Resources, Inc., 6.00%, 4/15/28   1,000,000     1,021,743
        5,979,469
TOTAL CORPORATE BONDS
(Cost $104,438,858) 		    106,111,144
  Par Value/
Shares 		 
PREFERREDS — 7.3%
Consumer Discretionary — 0.6%
General Motors Financial Co., Inc., 5.75%, 9/30/27 1,550,000  1,466,809
Energy — 0.4%
BP Capital Markets PLC, 6.45%, 12/1/33 1,000,000  1,039,641
Financials — 6.3%
Bank of America Corp., 6.25%, 9/5/24   700,000    702,627
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25   250,000    245,958
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26   740,000    700,721
Bank of New York Mellon Corp. (The), 4.625%, 9/20/26 1,500,000  1,418,513
Citigroup, Inc., 6.30%, 5/15/24 1,425,000  1,424,700
Citigroup, Inc., 4.00%, 12/10/25 1,300,000  1,249,703
Citigroup, Inc., 7.625%, 11/15/28 1,350,000  1,420,870
JPMorgan Chase & Co., 9.348%, 5/1/24(b)   625,000    626,101
JPMorgan Chase & Co., 6.10%, 10/1/24 1,500,000  1,501,935
JPMorgan Chase & Co., 6.875%, 6/1/29 2,000,000  2,075,227
M&T Bank Corp., 9.179%, 5/15/24(b)   475,000    477,075
Morgan Stanley, 6.875%, 7/15/24    39,395    991,178
Northern Trust Corp., 4.60%, 10/1/26 1,550,000  1,493,428
State Street Corp., 8.13%, 6/15/24(b) 1,050,000  1,051,381
  Par Value/
Shares 		  Value
PREFERREDS — (Continued)
Financials — (Continued)
State Street Corp., 5.35%, 3/15/26 $    20,000   $     489,800
Wells Fargo & Co., 7.625%, 9/15/28    325,000       347,882
       16,217,099
TOTAL PREFERREDS
(Cost $17,813,437) 		     18,723,549
  Principal
Amount 		 
MUNICIPAL BONDS — 0.4%
California — 0.3%
California Educational Facilities Authority Revenue, Series A, Callable 04/01/27 at 100,
3.561%, 4/1/31 		500,000   454,980
State of California GO,
4.846%, 3/1/27 		150,000   150,989
State of California GO,
6.00%, 3/1/33 		100,000   109,201
      715,170
Maryland — 0.1%
Maryland Community Development Administration Revenue, Social Bonds, Series C, 4.177%, 3/1/29, (GNMA/FNMA/FHLMC Insured) 300,000   291,973
TOTAL MUNICIPAL BONDS
(Cost $1,003,215) 		  1,007,143
  Number
of Shares 		 
SHORT-TERM INVESTMENT — 4.7%
Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) 12,022,087  12,022,087
 
TOTAL SHORT-TERM INVESTMENT
(Cost $12,022,087) 		   12,022,087
 
TOTAL INVESTMENTS - 99.1%
(Cost $252,124,282) 		  254,593,994
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%     2,359,570
NET ASSETS - 100.0%   $ 256,953,564
 
The accompanying notes are an integral part of the financial statements.
9

 

AMBRUS CORE BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
(a) Rate represents annualized yield at date of purchase.
(b) The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024.
(c) Rate disclosed is the 7-day yield at March 31, 2024.
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
GO General Obligation
LLC Limited Liability Company
LP Limited Partnership
PLC Public Limited Company
REIT Real Estate Investment Trust
 
The accompanying notes are an integral part of the financial statements.
10

 

Ambrus Tax-Conscious California Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
MUNICIPAL BONDS:      
California 52.8%   $118,502,804
Connecticut 3.2   7,149,047
Washington 1.9   4,301,714
Texas 1.8   3,999,882
New York 1.1   2,531,112
Michigan 1.1   2,522,539
South Carolina 1.1   2,382,235
Pennsylvania 0.8   1,852,912
Ohio 0.7   1,524,971
Oregon 0.6   1,326,445
Florida 0.5   1,118,045
New Mexico 0.5   1,012,426
Illinois 0.4   800,978
New Jersey 0.2   502,625
Iowa 0.1   150,753
Minnesota 0.0   101,695
U.S. Treasury Obligations 10.7   24,077,046
PREFERREDS:      
Financials 6.7   15,164,981
Consumer Discretionary 0.4   828,037
Energy 0.5   1,039,641
CORPORATE BONDS:      
Financials 3.4   7,620,469
Consumer Discretionary 1.5   3,391,808
Materials 1.0   2,336,120
Technology 0.7   1,616,329
Health Care 0.3   586,853
Consumer Staple Products 0.2   490,569
Communications 0.2   441,960
Energy 0.2   398,416
Short-Term Investment 6.1   13,664,995
Other Assets in Excess of Liabilities 1.3   2,995,102
NET ASSETS 100.0%   $224,432,509
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
11

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — 66.8%
California — 52.8%
Albany Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/43 		$1,000,000   $   1,038,411
Antioch Unified School District GO, OID, Callable 08/01/25 at 100,
4.00%, 8/1/40, (BAM Insured) 		  575,000       576,306
Berkeley Joint Powers Financing Authority Revenue, OID, Refunding, Callable 04/29/24 at 100,
3.00%, 10/1/27 		   25,000        24,912
Beverly Hills Unified School District GO, CAB, OID, Refunding, Callable 08/01/26 at 68,
0.00%, 8/1/37(a) 		  500,000       312,215
Cabrillo Unified School District GO, Series A, Callable 08/01/26 at 100,
5.00%, 8/1/48 		  625,000       642,145
California Community Choice Financing Authority Revenue, Callable 05/01/29 at 100,
5.00%, 7/1/53(b) 		2,080,000     2,199,144
California Community Choice Financing Authority Revenue, Series A-1, Callable 05/01/28 at 100,
4.00%, 5/1/53(b) 		  500,000       502,424
California Community Choice Financing Authority Revenue, Series B-1, Callable 05/01/31 at 101,
4.00%, 2/1/52(b) 		1,400,000     1,408,833
California Educational Facilities Authority Revenue, Series A, Callable 10/01/28 at 100,
5.00%, 10/1/48 		   70,000        72,876
California Enterprise Development Authority Revenue, Callable 11/01/27 at 100,
5.00%, 11/1/34 		  215,000       231,240
California Health Facilities Financing Authority Revenue, Callable 02/01/27 at 100,
5.00%, 2/1/29 		    40,000        42,259
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
California Health Facilities Financing Authority Revenue, Callable 11/15/24 at 100,
5.00%, 11/15/35 		$   365,000   $     367,118
California Health Facilities Financing Authority Revenue, Refunding, Callable 04/01/26 at 100,
5.00%, 4/1/27, (CA MTG Insured) 		     5,000         5,205
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/38 		   250,000       263,686
California Health Facilities Financing Authority Revenue, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/48 		    25,000        25,839
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/24 at 100,
5.00%, 8/15/27 		    20,000        20,129
California Health Facilities Financing Authority Revenue, Series A, Callable 08/15/26 at 100,
5.00%, 8/15/34 		   410,000       429,159
California Health Facilities Financing Authority Revenue, Series A, Callable 10/01/24 at 100,
4.00%, 10/1/28 		   100,000       100,074
California Health Facilities Financing Authority Revenue, Series A, Callable 11/15/27 at 100,
5.00%, 11/15/28 		    15,000        16,164
California Health Facilities Financing Authority Revenue, Series A, Refunding,
4.00%, 10/1/26 		    65,000        65,879
California Health Facilities Financing Authority Revenue, Series A, Refunding, Callable 11/15/27 at 100,
5.00%, 11/15/34 		 1,345,000     1,449,743
California Health Facilities Financing Authority Revenue, Series A2, Callable 11/01/27 at 100,
4.00%, 11/1/44 		 4,000,000     4,012,866
 
The accompanying notes are an integral part of the financial statements.
12

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
California Health Facilities Financing Authority Revenue, Series B-1, Callable 02/01/28 at 102,
5.00%, 11/15/61(b) 		$   800,000   $     876,247
California Infrastructure & Economic Development Bank Revenue, Callable 05/15/28 at 100,
5.00%, 5/15/47 		 1,130,000     1,188,941
California Infrastructure & Economic Development Bank Revenue, Callable 08/01/29 at 100,
5.00%, 8/1/44 		 1,650,000     1,775,366
California Infrastructure & Economic Development Bank Revenue, OID, Refunding,
3.20%, 10/1/29 		 1,785,000     1,641,100
California Infrastructure & Economic Development Bank Revenue, Refunding, Callable 11/01/26 at 100,
5.00%, 5/1/28 		    20,000        21,055
California Municipal Finance Authority Revenue, Callable 11/15/28 at 100,
5.00%, 5/15/36, (BAM-TCRS Insured) 		   500,000       533,385
California Municipal Finance Authority Revenue, Series A, Callable 02/01/27 at 100,
3.20%, 9/1/45, (HUD SECT 8 Insured)(b) 		 1,250,000     1,244,609
California State University Revenue, Series A, Refunding, Callable 11/01/28 at 100,
5.00%, 11/1/43 		 1,900,000     2,043,688
California Statewide Communities Development Authority Revenue, Callable 02/01/28 at 100,
5.00%, 8/1/29 		   300,000       313,506
California Statewide Communities Development Authority Revenue, Refunding,
5.00%, 3/1/28 		   100,000       105,412
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
California Statewide Communities Development Authority Revenue, Refunding, Callable 03/01/28 at 100,
5.00%, 3/1/33 		$   160,000   $     169,531
California Statewide Communities Development Authority Revenue, Series A,
5.00%, 4/1/28 		    20,000        21,211
Cathedral City Redevelopment Agency Successor Agency, Series A, Refunding, Callable 08/01/24 at 100,
5.00%, 8/1/29, (AGM Insured) 		   705,000       708,824
Centinela Valley Union High School District GO, Series C, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/34, (AGM Insured) 		 1,000,000     1,013,363
Chino Community Facilities District,
5.00%, 9/1/24 		   180,000       180,753
Chowchilla Elementary School District GO, Callable 08/01/26 at 100,
5.00%, 8/1/43 		   580,000       597,147
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/27 		   145,000       153,051
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/28 		   100,000       107,417
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/29 		   100,000       109,239
City & County of San Francisco Community Facilities District No 2014-1, Series A,
5.00%, 9/1/30 		   150,000       165,984
Coachella Valley Unified School District, OID, Refunding, Callable 09/01/24 at 100,
3.50%, 9/1/28, (BAM Insured) 		    50,000        50,092
 
The accompanying notes are an integral part of the financial statements.
13

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Coachella Valley Unified School District GO, OID, Refunding, Callable 08/01/24 at 100,
4.00%, 8/1/27, (BAM Insured) 		$     5,000   $       5,014
Colusa Unified School District GO, Callable 05/01/25 at 100,
4.00%, 5/1/34, (AGM Insured) 		   510,000       512,134
Compton Unified School District GO, Series B, Callable 06/01/27 at 100,
4.00%, 6/1/32, (BAM Insured) 		   140,000       143,914
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A,
0.75%, 12/1/24 		   300,000       291,110
Department of Veterans Affairs Veteran's Farm & Home Purchase Program Revenue, Series A,
1.25%, 6/1/27 		    40,000        36,129
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/1/44, (BAM Insured) 		   100,000       106,367
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/10/49, (BAM Insured) 		   185,000       193,113
Desert Sands Unified School District, Callable 09/01/30 at 103,
5.00%, 9/1/54, (BAM Insured) 		   425,000       439,915
East Side Union High School District GO, Series A, OID, Refunding, Callable 08/01/26 at 100,
2.125%, 8/1/29 		    50,000        46,478
East Side Union High School District GO, Series B, Refunding,
5.25%, 2/1/26, (NATL Insured) 		   125,000       127,618
Eastern Municipal Water District Financing Authority Revenue, Series B, Unrefunded portion, Callable 07/01/26 at 100,
4.00%, 7/1/35 		   250,000       254,933
Escondido Union School District GO, Series B, Callable 08/01/27 at 100,
4.00%, 8/1/47 		 1,150,000     1,137,671
Fairfield, Series A, OID,
0.00%, 4/1/24, (AGC Insured)(a) 		    55,000        55,000
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Fillmore Wastewater Revenue, Refunding, Callable 05/01/27 at 100,
5.00%, 5/1/47, (AGM Insured) 		$ 1,175,000   $   1,219,986
Folsom Cordova Unified School District GO, Series D, Callable 10/01/26 at 100,
4.00%, 10/1/44, (AGM Insured) 		   550,000       539,563
Folsom Cordova Unified School District School Facilities Improvement Dist No 5 GO, Series A, OID, Callable 10/01/25 at 100,
4.00%, 10/1/40 		 2,325,000     2,304,991
Fontana Unified School District GO, Series A, OID,
0.00%, 8/1/29, (AGM Insured)(a) 		 2,500,000     2,113,142
Fresno County Financing Authority Revenue, Refunding, Callable 04/01/26 at 100,
3.00%, 4/1/29 		   375,000       372,941
Fresno Unified School District GO, Series B, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/46 		 1,485,000     1,450,874
Gardena Revenue, MWC,
2.663%, 4/1/28 		   815,000       753,491
Glendale Unified School District GO, Series B, CAB, OID, Refunding, Callable 09/01/25 at 70,
0.00%, 9/1/33(a) 		   800,000       528,471
Grossmont Healthcare District GO, Series D, Refunding, Callable 07/15/25 at 100,
4.00%, 7/15/40 		 1,000,000       993,214
Hayward Unified School District, Callable 08/01/27 at 100,
5.25%, 8/1/52 		 1,000,000     1,037,970
Hayward Unified School District GO, Refunding, Callable 08/01/28 at 100,
4.00%, 8/1/43, (BAM Insured) 		 1,000,000     1,003,799
Imperial Community College District GO, Series A, Callable 08/01/33 at 100,
5.25%, 8/1/53, (AGM Insured) 		   900,000     1,004,945
 
The accompanying notes are an integral part of the financial statements.
14

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Imperial Community College District GO, Series B, Callable 08/01/34 at 100,
5.00%, 8/1/42, (AGM Insured) 		$   270,000   $     310,810
Indian Wells Redevelopment Agency Successor Agency, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/28, (NATL Insured) 		    20,000        21,011
Inglewood Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/38, (BAM Insured) 		 1,505,000     1,554,020
Irvine Facilities Financing Authority Revenue, Callable 05/01/26 at 100,
5.25%, 5/1/43 		 1,710,000     1,770,867
Irvine Ranch Water District, Callable 08/01/26 at 100,
5.25%, 2/1/46 		 2,000,000     2,081,341
Kern High School District GO, Series E, OID,
2.00%, 8/1/27 		   100,000        94,861
Local Public Schools Funding Authority School Improvement District No 2016-1 GO, Series A, Callable 08/01/27 at 100,
4.00%, 8/1/42, (BAM Insured) 		   770,000       771,427
Lodi Unified School District GO, Series 2020, Callable 08/01/27 at 100,
4.00%, 8/1/40 		   995,000     1,001,641
Long Beach Unified School District GO, Series E, Callable 08/01/26 at 100,
4.00%, 8/1/44, (BAM-TCRS Insured) 		   875,000       860,537
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Series A, Callable 07/01/28 at 100,
5.00%, 7/1/44 		   825,000       879,555
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Los Angeles County Public Works Financing Authority Revenue, Series A, Callable 12/01/30 at 100,
5.00%, 12/1/45 		$   500,000   $     547,770
Los Angeles County Public Works Financing Authority Revenue, Series D, Callable 12/01/25 at 100,
5.00%, 12/1/32 		   150,000       155,087
Los Angeles County Public Works Financing Authority Revenue, Series E-1, Callable 12/01/29 at 100,
5.00%, 12/1/49 		   100,000       106,983
Los Angeles County Schools Regionalized Business Services Corp., Series A3, OID, Refunding, Callable 04/29/24 at 100,
3.75%, 9/1/26, (AGM Insured) 		    15,000        15,006
Los Angeles Department of Airports Revenue, Refunding, Callable 05/15/29 at 100,
5.00%, 5/15/43 		 2,000,000     2,163,176
Los Angeles Department of Water & Power Revenue, Callable 07/01/31 at 100,
5.00%, 7/1/51 		    85,000        92,426
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/27 at 100,
5.00%, 7/1/47 		 1,000,000     1,036,783
Los Angeles Department of Water & Power Revenue, Series A, Callable 01/01/29 at 100,
5.00%, 7/1/45 		   600,000       643,333
Los Angeles Department of Water & Power Revenue, Series A, Refunding, Callable 01/01/26 at 100,
5.00%, 7/1/40 		 1,580,000     1,625,560
Los Angeles Department of Water & Power Revenue, Series D, Refunding, Callable 07/01/29 at 100,
5.00%, 7/1/44 		   640,000       692,165
 
The accompanying notes are an integral part of the financial statements.
15

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/26 at 100,
5.00%, 7/1/46 		$ 1,755,000   $   1,799,378
Los Angeles Department of Water & Power Water System Revenue, Series A, Refunding, Callable 01/01/27 at 100,
5.00%, 7/1/44 		   250,000       260,429
Los Angeles Housing Authority Revenue, Series A, Refunding, Callable 06/01/26 at 100,
4.00%, 6/1/27, (HUD SECT 8 Insured) 		     5,000         5,117
Los Angeles Solid Waste Resources Revenue, Series A, OID, Callable 04/29/24 at 100,
2.25%, 2/1/25 		   250,000       245,285
Los Angeles Unified School District GO, Series A, Callable 07/01/25 at 100,
4.00%, 7/1/40 		 3,000,000     2,942,174
Los Angeles Unified School District GO, Series B, Refunding, Callable 07/01/26 at 100,
3.00%, 7/1/32 		 1,220,000     1,209,588
Lucia Mar Unified School District GO, Series A, OID, Callable 08/01/27 at 100,
4.00%, 8/1/46 		 1,500,000     1,492,893
Lucia Mar Unified School District GO, Series B, Callable 08/01/28 at 100,
5.00%, 8/1/42 		   535,000       569,871
Marin Healthcare District GO, Callable 08/01/25 at 100,
4.00%, 8/1/40 		 1,000,000       983,450
Martinez Unified School District GO, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/28 		    20,000        20,512
Metropolitan Water District of Southern California Revenue, Series B, Refunding,
3.00%, 7/1/28 		 1,800,000     1,807,246
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Montebello Public Financing Authority Revenue, Series B, OID,
6.20%, 11/1/32 		$ 1,000,000   $   1,053,745
Napa Valley Unified School District GO, Series C, Callable 08/01/26 at 100,
4.00%, 8/1/44, (AGM Insured) 		   555,000       548,841
Norman Y Mineta San Jose International Airport SJC Revenue, Series B, Refunding, Callable 03/01/27 at 100,
5.00%, 3/1/42 		   165,000       172,055
Northern California Energy Authority Revenue, Series A, Callable 04/19/24 at 100,
4.00%, 7/1/49(b) 		 1,000,000     1,000,013
Oxnard Union High School District, OID, Callable 06/01/29 at 100,
2.25%, 6/1/39, (AGM Insured) 		   330,000       256,038
Oxnard Union High School District GO, Series B, Callable 08/01/28 at 100,
5.00%, 8/1/45 		 1,000,000     1,060,630
Palomar Health GO, Series B, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/33 		   200,000       201,735
Perris Public Financing Authority, Series B, OID, Refunding, Callable 10/01/25 at 100,
3.75%, 10/1/31 		 1,620,000     1,623,144
Piedmont Unified School District GO, Series C, OID, Callable 08/01/31 at 100,
2.125%, 8/1/41 		   455,000       331,571
Pittsburg Successor Agency Redevelopment Agency, Series A, Refunding,
5.00%, 9/1/26, (AGM Insured) 		   100,000       103,825
Rancho Santiago Community College District GO, Series C, OID,
0.00%, 9/1/27, (AGM Insured)(a) 		 2,040,000     1,840,067
Ravenswood City School District GO, Callable 08/01/26 at 100,
5.00%, 8/1/29 		   300,000       316,216
 
The accompanying notes are an integral part of the financial statements.
16

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/37 		$   210,000   $     214,360
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/38 		   255,000       259,851
Riverside Community College District, Callable 06/01/25 at 100,
5.00%, 6/1/39 		   325,000       330,920
Riverside Community College District, Callable 06/01/25 at 100,
5.25%, 6/1/43 		 1,670,000     1,700,386
Riverside Community College District, Callable 06/01/25 at 100,
5.25%, 6/1/49 		 2,000,000     2,033,066
Riverside County Redevelopment Successor Agency, Series A, CAB, OID, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/31, (BAM Insured) 		   500,000       525,116
Riverside County Redevelopment Successor Agency, Series A, Refunding, Callable 10/01/27 at 100,
4.00%, 10/1/39, (BAM Insured) 		 1,000,000     1,007,972
Riverside County Transportation Commission Sales Tax Revenue, Series A, Callable 06/01/27 at 100,
5.00%, 6/1/39 		   440,000       464,197
Sacramento Area Flood Control Agency, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/36 		   505,000       530,168
Sacramento County Sanitation Districts Financing Authority Revenue, Series A, Refunding, Callable 06/01/24 at 100,
5.00%, 12/1/31 		   175,000       175,309
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100,
5.00%, 6/1/48 		   800,000       828,856
San Diego Community Facilities District No 2, Refunding,
4.00%, 9/1/27 		   535,000       549,651
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
San Diego County,
5.00%, 10/1/29 		$   310,000   $     351,360
San Diego County Regional Airport Authority Revenue, Series A, Callable 07/01/31 at 100,
5.00%, 7/1/46 		 1,530,000     1,671,370
San Diego County Regional Airport Authority Revenue, Series A, Refunding, Callable 07/01/29 at 100,
5.00%, 7/1/44 		 1,170,000     1,257,191
San Diego Public Facilities Financing Authority Revenue, Series A, Callable 08/01/28 at 100,
5.00%, 8/1/43 		 2,655,000     2,840,487
San Diego Unified School District GO, Series I, Callable 07/01/27 at 100,
5.00%, 7/1/47 		 2,020,000     2,101,514
San Dieguito School Facilities Financing Authority, Refunding, Callable 03/01/28 at 100,
5.00%, 3/1/37 		   635,000       684,134
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series A, AMT, Unrefunded portion, Callable 05/01/27 at 100,
5.00%, 5/1/47 		 1,785,000     1,816,500
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series B, AMT, Callable 05/01/26 at 100,
5.00%, 5/1/41 		 1,100,000     1,116,491
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, Series B, Refunding, Callable 05/01/33 at 100,
5.00%, 5/1/43 		   720,000       813,772
 
The accompanying notes are an integral part of the financial statements.
17

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
San Francisco City & County Public Utilities Commission Power Revenue, Series A, Callable 05/01/25 at 100,
5.00%, 11/1/35 		$   115,000   $     117,410
San Jose Evergreen Community College District GO, Series B, Callable 09/01/28 at 100,
3.00%, 9/1/34 		   300,000       295,575
San Marcos Public Facilities Authority, Refunding,
5.00%, 9/1/28, (BAM Insured) 		   120,000       130,083
San Marcos Public Facilities Authority, Series A, Refunding, Callable 09/01/24 at 100,
5.00%, 9/1/32, (AGM Insured) 		   150,000       150,850
San Marcos Unified School District GO, Refunding, Callable 08/01/27 at 100,
4.00%, 8/1/33 		   500,000       516,680
Santa Clara Unified School District GO, Callable 07/01/26 at 100,
3.00%, 7/1/35 		 1,000,000       963,596
Santa Clarita Public Finance Authority Revenue, Series B, OID, Refunding, Callable 10/01/26 at 100,
2.00%, 10/1/27 		    20,000        18,890
Santa Cruz City Elementary School District GO, Series C, Callable 08/01/30 at 100,
2.00%, 8/1/36 		   695,000       559,664
Selma Unified School District GO, Series A, Callable 08/01/31 at 100,
5.25%, 8/1/48, (BAM Insured) 		   350,000       387,523
Shasta Joint Powers Financing Authority Revenue, Series A, OID, Refunding, Callable 04/29/24 at 100,
3.00%, 4/1/26, (AGM Insured) 		    10,000         9,966
Simi Valley Unified School District GO, Series D, Callable 08/01/31 at 100,
5.00%, 8/1/43 		   500,000       554,252
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
South San Francisco Unified School District GO, Series C, Callable 09/01/25 at 100,
4.00%, 9/1/33 		$ 2,000,000   $   2,010,880
State of California Department of Water Resources Revenue, Series AR, Prerefunded, Callable 06/01/24 at 100,
4.00%, 12/1/33 		   830,000       830,500
State of California GO,
4.846%, 3/1/27 		   350,000       352,308
State of California GO,
6.00%, 3/1/33 		   150,000       163,801
State of California GO, Callable 09/01/26 at 100,
5.00%, 9/1/45 		   250,000       258,888
State of California GO, Callable 12/01/30 at 100,
5.00%, 12/1/46 		 1,500,000     1,626,850
State of California GO, Refunding, Callable 04/01/29 at 100,
5.00%, 10/1/42 		 2,500,000     2,679,551
State of California GO, Refunding, Callable 08/01/24 at 100,
5.00%, 8/1/31 		   890,000       893,953
State of California GO, Refunding, Callable 11/01/24 at 100,
4.00%, 11/1/44 		 1,000,000       986,887
Stockton Unified School District GO, Series D, OID,
0.00%, 8/1/27, (AGM Insured)(a) 		   350,000       314,993
Sweetwater Union High School District GO, Refunding, Callable 02/01/26 at 100,
4.00%, 8/1/42, (BAM-TCRS Insured) 		 1,500,000     1,502,685
Travis Unified School District, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/29, (AGM Insured) 		    20,000        20,653
University of California Revenue, Series B,,
4.693%, 5/15/33 		   400,000       399,706
 
The accompanying notes are an integral part of the financial statements.
18

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Vacaville Unified School District GO, Series C, Callable 08/01/26 at 100,
5.00%, 8/1/42 		$   785,000   $     815,465
Victor Valley Transit Authority, Refunding, Callable 07/01/26 at 100,
5.00%, 7/1/30 		    20,000        20,988
Washington Township Health Care District GO, Series DT, Refunding, Callable 08/01/26 at 100,
4.00%, 8/1/29 		    10,000        10,191
Western Placer Unified School District GO, Series B, Callable 08/01/26 at 100,
5.00%, 8/1/43 		   355,000       368,636
Whittier Union High School District GO, CAB, OID, Refunding, Callable 08/01/26 at 85,
0.00%, 8/1/31(a) 		   570,000       453,952
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/29, (BAM Insured) 		    20,000        20,987
Yuba Levee Financing Authority Revenue, Series A, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/30, (BAM Insured) 		    25,000        26,257
      118,502,804
Connecticut — 3.2%
Connecticut Housing Finance Authority Revenue, Series F-1, Refunding, Callable 11/15/28 at 100,
2.60%, 11/15/34 		   750,000       659,746
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100,
5.00%, 7/1/45 		   650,000       655,707
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100,
5.00%, 7/1/45 		 1,500,000     1,514,441
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Connecticut — (Continued)
State of Connecticut Special Tax Revenue, Series A, Callable 08/01/25 at 100,
4.00%, 8/1/35 		$ 1,800,000   $   1,803,116
State of Connecticut Special Tax Revenue, Series A, Callable 09/01/26 at 100,
4.00%, 9/1/35 		 2,500,000     2,516,037
        7,149,047
Florida — 0.5%
Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100, 5.00%, 10/1/37  1,000,000     1,118,045
Illinois — 0.4%
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100,
5.00%, 8/15/52 		   400,000       418,064
Lake County School District No 1 Winthrop Harbor GO, Refunding, Callable 02/01/26 at 100,
4.00%, 2/1/32 		   380,000       382,914
          800,978
Iowa — 0.1%
Iowa Finance Authority Revenue, Series C, Refunding, Callable 04/19/24 at 100, 5.00%, 2/15/32    150,000       150,753
Michigan — 1.1%
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100,
5.00%, 7/1/33 		 1,000,000     1,001,629
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/25 at 100,
5.00%, 10/15/45 		 1,500,000     1,520,910
        2,522,539
Minnesota — 0.0%
Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100, 5.00%, 11/15/26    100,000       101,695
 
The accompanying notes are an integral part of the financial statements.
19

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
New Jersey — 0.2%
New Brunswick Parking Authority Revenue, Series B, Refunding, 5.00%, 9/1/24, (BAM MUN GOVT GTD Insured) $   500,000   $     502,625
New Mexico — 0.5%
New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.00%, 11/1/39(b)  1,000,000     1,012,426
New York — 1.1%
Metropolitan Transportation Authority Revenue, Series D, Refunding, Callable 05/15/28 at 100,
5.00%, 11/15/32 		   785,000       838,362
New York City Housing Development Corp. Revenue, Series 1,
3.45%, 11/1/28, (REMIC FHA 542c Insured) 		   345,000       346,277
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100,
3.40%, 11/1/62, (REMIC FHA 542c Insured)(b) 		   350,000       346,273
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100,
5.00%, 11/15/44 		 1,000,000     1,000,200
        2,531,112
Ohio — 0.7%
State of Ohio Revenue, Series A, Refunding, Callable 01/15/26 at 100, 5.00%, 1/15/41  1,500,000     1,524,971
Oregon — 0.6%
Seaside School District No 10 GO, Series A, CAB, OID, Callable 06/15/27 at 51, 0.00%, 6/15/42, (SCH BD GTY Insured)(a)  3,000,000     1,326,445
Pennsylvania — 0.8%
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100,
5.00%, 12/31/57, (AGM Insured) 		   630,000       665,592
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Pennsylvania — (Continued)
Pennsylvania Higher Educational Facilities Authority Revenue, Refunding,
5.00%, 5/1/25 		$   500,000   $     506,220
Pennsylvania Turnpike Commission Revenue, Series B, Refunding, Callable 06/01/26 at 100,
5.00%, 6/1/36 		   660,000       681,100
        1,852,912
South Carolina — 1.1%
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100,
5.00%, 7/1/54 		 1,250,000     1,289,607
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/28 		   100,000       101,503
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 04/19/24 at 100,
5.00%, 12/1/48 		 1,000,000       991,125
        2,382,235
Texas — 1.8%
El Paso GO, Callable 08/15/26 at 100,
5.00%, 8/15/42 		 1,500,000     1,522,063
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding,
5.00%, 12/15/27 		   500,000       517,678
Texas Municipal Gas Acquisition & Supply Corp. IV Revenue, Series B, Callable 07/01/33 at 100,
5.50%, 1/1/54(b) 		 1,750,000     1,960,141
        3,999,882
 
The accompanying notes are an integral part of the financial statements.
20

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Washington — 1.9%
Bellevue GO, Refunding, Callable 06/01/25 at 100,
4.00%, 12/1/31 		$ 2,315,000   $   2,323,966
King County Sewer Revenue, Series A, Refunding, Callable 01/01/26 at 100,
4.00%, 7/1/40 		 2,000,000     1,977,748
        4,301,714
TOTAL MUNICIPAL BONDS
(Cost $149,417,818) 		    149,780,183
  Par
Value 		 
U.S. TREASURY OBLIGATIONS — 10.7%
United States Treasury Notes,    
4.125%, 1/31/25 3,000,000  2,975,706
5.469%, 4/30/25(b) 5,000,000  5,002,111
4.125%, 6/15/26 5,500,000  5,448,223
3.625%, 5/31/28 5,500,000  5,364,111
3.75%, 5/31/30 3,500,000  3,411,270
3.375%, 5/15/33 2,000,000  1,875,625
U.S. TREASURY OBLIGATIONS
(Cost $24,203,537) 		24,077,046
  Par Value/
Shares 		 
PREFERREDS — 7.6%
Consumer Discretionary — 0.4%
General Motors Financial Co., Inc., 5.75%, 9/30/27   875,000    828,037
Energy — 0.5%
BP Capital Markets PLC, 6.45%, 12/1/33 1,000,000  1,039,641
Financials — 6.7%
Bank of America Corp., 6.25%, 9/5/24 1,000,000  1,003,753
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25   300,000    295,149
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26   850,000    804,883
Bank of New York Mellon Corp. (The), 4.625%, 9/20/26   750,000    709,257
Citigroup, Inc., 6.30%, 5/15/24 1,350,000  1,349,715
Citigroup, Inc., 4.00%, 12/10/25 1,100,000  1,057,441
Citigroup, Inc., 7.625%, 11/15/28 1,300,000  1,368,245
  Par Value/
Shares 		  Value
PREFERREDS — (Continued)
Financials — (Continued)
JPMorgan Chase & Co., 9.348%, 5/1/24 $   900,000   $     901,586
JPMorgan Chase & Co., 6.10%, 10/1/24    500,000       500,645
JPMorgan Chase & Co., 6.875%, 6/1/29  2,000,000     2,075,227
M&T Bank Corp., 9.179%, 5/15/24    575,000       577,512
Morgan Stanley, 6.875%, 7/15/24     41,519     1,044,618
Northern Trust Corp., 4.60%, 10/1/26  1,700,000     1,637,953
State Street Corp., 8.13%, 6/15/24  1,000,000     1,001,315
State Street Corp., 5.35%, 3/15/26     20,000       489,800
Wells Fargo & Co., 7.625%, 9/15/28    325,000       347,882
       15,164,981
TOTAL PREFERREDS
(Cost $16,236,185) 		     17,032,659
  Par
Value 		 
CORPORATE BONDS — 7.5%
Communications — 0.2%
Paramount Global, 5.50%, 5/15/33   500,000    441,960
Consumer Discretionary — 1.5%
Advance Auto Parts, Inc., 3.50%, 3/15/32 1,000,000    855,933
Hyatt Hotels Corp., 1.80%, 10/1/24   750,000    734,346
Tapestry, Inc., 3.05%, 3/15/32 1,000,000    822,265
VF Corp., 6.00%, 10/15/33 1,000,000    979,264
     3,391,808
Consumer Staple Products — 0.2%
Dollar General Corp., 4.15%, 11/1/25   500,000    490,569
Energy — 0.2%
Continental Resources, Inc., 3.80%, 6/1/24   400,000    398,416
Financials — 3.4%
Air Lease Corp., 3.25%, 3/1/25 1,250,000  1,222,556
American Express Co., 6.003%, 11/4/26(b) 1,200,000  1,201,681
AmSouth Bancorp, 6.75%, 11/1/25   700,000    707,142
Discover Financial Services, 7.964%, 11/2/34   800,000    907,515
Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29   500,000    426,407
 
The accompanying notes are an integral part of the financial statements.
21

 

AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Financials — (Continued)
JPMorgan Chase & Co., 5.546%, 12/15/25 $ 1,250,000   $   1,248,905
Synchrony Financial, 2.875%, 10/28/31  1,000,000       799,043
Zions Bancorp, 3.25%, 10/29/29  1,350,000     1,107,220
        7,620,469
Health Care — 0.3%
Cigna Group (The), 3.25%, 4/15/25    600,000       586,853
Materials — 1.0%
Huntsman International, LLC, 2.95%, 6/15/31  1,000,000       833,698
LYB International Finance III, LLC, 5.50%, 3/1/34  1,500,000     1,502,422
        2,336,120
Technology — 0.7%
Leidos, Inc., 7.125%, 7/1/32  1,491,000     1,616,329
TOTAL CORPORATE BONDS
(Cost $16,692,306) 		     16,882,524
  Number
of Shares 		 
SHORT-TERM INVESTMENT — 6.1%
Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) 13,664,995  13,664,995
 
TOTAL SHORT-TERM INVESTMENT
(Cost $13,664,995) 		   13,664,995
 
TOTAL INVESTMENTS - 98.7%
(Cost $220,214,841) 		  221,437,407
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3%     2,995,102
NET ASSETS - 100.0%   $ 224,432,509
(a) Zero coupon bond.
(b) The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024.
(c) Rate disclosed is the 7-day yield at March 31, 2024.
AGC Assured Guaranty Corp.
AGM Assured Guaranty Municipal Corp.
AMT Alternative Minimum Tax
BAM Build America Mutual
BAM MUN GOVT GTD Build America Mutual Municipal Government Guaranteed
BAM-TCRS Build America Mutual-Transferable Custodial Receipts
CA MTG California Mortgage
CAB Capital Appreciation Bond
GO General Obligation
HUD SECT 8 Housing and Urban Development Section 8
LLC Limited Liability Company
LP Limited Partnership
MWC Make Whole Callable
NATL National Public Finance Guarantee Corp.
OID Original Issue Discount
PLC Public Limited Company
REIT Real Estate Investment Trust
REMIC FHA 542c Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c
SCH BD GTY School Board Guaranty
 
The accompanying notes are an integral part of the financial statements.
22

 

Ambrus Tax-Conscious National Bond Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
MUNICIPAL BONDS:      
Texas 6.1%   $ 14,886,451
New York 4.2   10,149,646
Washington 3.4   8,253,294
Florida 3.3   7,924,870
Colorado 3.2   7,877,257
Michigan 3.2   7,774,857
Connecticut 3.1   7,607,746
Illinois 2.8   6,859,329
California 2.4   5,783,559
Pennsylvania 2.2   5,398,031
District of Columbia 2.1   5,170,618
Ohio 2.1   4,987,248
New Hampshire 2.0   4,917,635
Wisconsin 2.0   4,843,736
Missouri 1.9   4,542,789
South Carolina 1.9   4,497,090
Utah 1.7   4,108,287
Wyoming 1.7   4,094,860
Nebraska 1.5   3,557,864
Kansas 1.3   3,060,081
Hawaii 1.2   2,986,652
Indiana 1.2   2,974,675
Maryland 1.1   2,707,587
Virginia 1.1   2,704,141
Alabama 1.1   2,569,652
Minnesota 1.0   2,504,887
Tennessee 0.9   2,115,800
Oregon 0.8   1,985,769
Mississippi 0.8   1,952,711
Louisiana 0.8   1,860,663
Iowa 0.7   1,742,377
South Dakota 0.7   1,653,665
New Mexico 0.7   1,584,447
New Jersey 0.6   1,384,117
Massachusetts 0.4   1,028,796
Arizona 0.4   1,004,898
Alaska 0.3   815,404
Delaware 0.3   660,707
Maine 0.2   513,560
Vermont 0.2   486,969
Oklahoma 0.1   318,196
Kentucky 0.0   118,118
Nevada 0.0   40,613
Arkansas 0.0   19,943
       
The accompanying notes are an integral part of the financial statements.
23

 

Ambrus Tax-Conscious National Bond Fund
Portfolio Holdings Summary Table (Concluded)
March 31, 2024
(Unaudited)
  % of Net
Assets 		  Value
CORPORATE BONDS:      
Financials 6.0%   $ 14,504,892
Consumer Discretionary 1.6   3,802,410
Materials 1.3   3,297,219
Technology 1.0   2,439,128
Industrials 0.8   1,984,545
Health Care 0.7   1,667,855
Communications 0.6   1,389,489
Energy 0.4   1,028,647
Consumer Staple Products 0.3   735,854
PREFERREDS:      
Financials 7.3   17,704,247
Consumer Discretionary 0.5   1,111,936
Energy 0.4   1,039,641
U.S. Treasury Obligations 5.2   12,750,271
Short-Term Investment 6.1   14,949,723
Other Assets in Excess of Liabilities 1.1   2,636,389
NET ASSETS 100.0%   $243,071,841
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
24

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — 66.7%
Alabama — 1.1%
Jefferson County Revenue, Refunding, Callable 03/15/27 at 100,
5.00%, 9/15/34 		$  850,000   $     892,722
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/37, (BAM Insured) 		  360,000       408,224
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/38, (BAM Insured) 		  300,000       338,028
Marshall County Board of Education, Callable 03/01/34 at 100,
5.00%, 3/1/39, (BAM Insured) 		  365,000       408,740
UAB Medicine Finance Authority Revenue, Series B2, Refunding, Callable 03/01/27 at 100,
5.00%, 9/1/34 		   500,000       521,938
        2,569,652
Alaska — 0.3%
Municipality of Anchorage GO, Series A, Callable 09/01/28 at 100, 5.00%, 9/1/37    760,000       815,404
Arizona — 0.4%
Graham County Jail District Revenue, Callable 07/01/25 at 100, 5.00%, 7/1/35 1,000,000     1,004,898
Arkansas — 0.0%
Arkansas Development Finance Authority Revenue, OID, Refunding, Callable 04/29/24 at 100, 2.625%, 6/1/24     20,000        19,943
California — 2.4%
California Community Choice Financing Authority Revenue, Series B-1, Callable 05/01/31 at 101,
4.00%, 2/1/52(a) 		2,000,000     2,012,619
Escondido Union School District GO, Series B, Callable 08/01/27 at 100,
4.00%, 8/1/47 		1,000,000       989,279
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
California — (Continued)
Folsom Cordova Unified School District School Facilities Improvement Dist No 5 GO, Series A, OID, Callable 10/01/25 at 100,
4.00%, 10/1/40 		$ 1,100,000   $   1,090,533
Sacramento Transient Occupancy Tax Revenue, Series C, Callable 06/01/28 at 100,
5.00%, 6/1/48 		 1,115,000     1,155,218
State of California GO, Refunding, Callable 04/01/29 at 100,
5.00%, 10/1/42 		   500,000       535,910
        5,783,559
Colorado — 3.2%
Boulder Valley School District No Re-2 Boulder GO, Callable 06/01/25 at 100,
5.00%, 12/1/38, (ST AID WITHHLDG Insured) 		   785,000       796,172
Bradburn Metropolitan District No 3 GO, Refunding, Callable 12/01/26 at 100,
4.50%, 12/1/36, (AGM Insured) 		   700,000       717,935
Colorado Health Facilities Authority Revenue, Series A, Refunding, Callable 11/01/29 at 100,
5.00%, 11/1/44 		   875,000       922,201
Colorado School of Mines Revenue, Series A, Callable 12/01/27 at 100,
5.00%, 12/1/42 		   505,000       525,472
Colorado School of Mines Revenue, Series B, Callable 12/01/27 at 100,
5.00%, 12/1/42 		 3,000,000     3,121,616
Park Creek Metropolitan District Revenue, Series A, Senior Series, Callable 12/01/25 at 100,
5.00%, 12/1/34 		   255,000       259,338
 
The accompanying notes are an integral part of the financial statements.
25

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Colorado — (Continued)
State of Colorado, Callable 12/15/32 at 100,
6.00%, 12/15/39 		$ 1,000,000   $   1,211,832
Town of Breckenridge, Callable 12/01/32 at 100,
5.00%, 12/1/42 		   300,000       322,691
        7,877,257
Connecticut — 3.1%
Connecticut State Health & Educational Facilities Authority Revenue, Callable 07/01/25 at 100,
5.00%, 7/1/45 		   500,000       504,390
Connecticut State Health & Educational Facilities Authority Revenue, Series L, Refunding, Callable 07/01/25 at 100,
5.00%, 7/1/45 		 2,460,000     2,483,684
State of Connecticut Special Tax Revenue, Series A, Callable 08/01/25 at 100,
4.00%, 8/1/35 		 2,100,000     2,103,635
State of Connecticut Special Tax Revenue, Series A, Callable 09/01/26 at 100,
4.00%, 9/1/35 		 2,500,000     2,516,037
        7,607,746
Delaware — 0.3%
Delaware State Housing Authority Revenue, Series A,
3.35%, 1/1/27, (GNMA/FNMA/FHLMC Insured) 		   100,000        99,145
Delaware State Housing Authority Revenue, Series A,
3.35%, 7/1/27, (GNMA/FNMA/FHLMC Insured) 		   305,000       303,162
Delaware State Housing Authority Revenue, Series A,
3.375%, 1/1/28, (GNMA/FNMA/FHLMC Insured) 		    80,000        79,518
Delaware State Housing Authority Revenue, Series A,
3.40%, 7/1/28, (GNMA/FNMA/FHLMC Insured) 		   180,000       178,882
          660,707
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
District of Columbia — 2.1%
District of Columbia GO, Series A, Callable 06/01/25 at 100,
5.00%, 6/1/38 		$    30,000   $      30,459
District of Columbia Water & Sewer Authority Revenue, Series A, Callable 10/01/29 at 100,
5.00%, 10/1/44 		    75,000        80,356
District of Columbia Water & Sewer Authority Revenue, Series C, Refunding, Callable 10/01/24 at 100,
4.00%, 10/1/33 		 2,195,000     2,199,571
Washington Metropolitan Area Transit Authority Dedicated Revenue, Series A, Callable 07/15/30 at 100,
5.00%, 7/15/45 		   735,000       787,845
Washington Metropolitan Area Transit Authority Revenue, Series B, Callable 07/01/27 at 100,
5.00%, 7/1/42 		 2,000,000     2,072,387
        5,170,618
Florida — 3.3%
Central Florida Expressway Authority Revenue, Senior Series, Callable 07/01/28 at 100,
5.00%, 7/1/48 		   575,000       599,705
Clearwater Water & Sewer Revenue, Refunding, Callable 12/01/26 at 100,
5.00%, 12/1/35 		 1,015,000     1,057,135
Florida Housing Finance Corp. Revenue, Series 1,
2.95%, 7/1/27, (GNMA/FNMA/FHLMC Insured) 		   455,000       443,859
Florida Housing Finance Corp. Revenue, Series 1,
3.00%, 1/1/28, (GNMA/FNMA/FHLMC Insured) 		   200,000       194,814
Florida Housing Finance Corp. Revenue, Series 1,
3.00%, 7/1/28, (GNMA/FNMA/FHLMC Insured) 		   235,000       228,600
 
The accompanying notes are an integral part of the financial statements.
26

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Florida — (Continued)
Florida Housing Finance Corp. Revenue, Series 1,
3.10%, 1/1/29, (GNMA/FNMA/FHLMC Insured) 		$   725,000   $     700,170
Florida Housing Finance Corp. Revenue, Series 1,
3.125%, 7/1/29, (GNMA/FNMA/FHLMC Insured) 		   415,000       401,218
Lakeland Department of Electric Utilities Revenue, Refunding, Callable 04/01/26 at 100,
2.75%, 10/1/28 		   250,000       240,704
Lakewood Ranch Stewardship District, Refunding,
5.00%, 5/1/25, (AGM Insured) 		   250,000       253,508
Miami-Dade County Educational Facilities Authority Revenue, Series A, Callable 04/01/28 at 100,
5.00%, 4/1/48 		 1,000,000     1,029,038
Miami-Dade County Educational Facilities Authority Revenue, Series A, Refunding, Callable 04/01/25 at 100,
5.00%, 4/1/45 		   100,000       100,307
Miami-Dade Seaport Department County Revenue, Series B, Senior Series, Refunding, Callable 10/01/32 at 100,
5.00%, 10/1/37 		 1,250,000     1,397,557
Miami-Dade Transit System County Revenue, Refunding, Callable 07/01/26 at 100,
5.00%, 7/1/27 		   145,000       150,360
Osceola Sales Tax Revenue County, Series A, Callable 04/01/25 at 100,
5.00%, 10/1/44 		 1,125,000     1,127,895
        7,924,870
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Hawaii — 1.2%
Hawaii State Highway Fund Revenue, Series A, Callable 01/01/29 at 100,
5.00%, 1/1/40 		$ 1,110,000   $   1,188,565
Honolulu City & County GO, Series A, Callable 10/01/25 at 100,
5.00%, 10/1/37 		 1,770,000     1,798,087
        2,986,652
Illinois — 2.8%
Chicago O'Hare International Airport Revenue, Series D, Senior Series, Callable 01/01/27 at 100,
5.00%, 1/1/47 		   100,000       102,179
Chicago Waterworks Revenue, Series 2017-2, Refunding, Callable 11/01/27 at 100,
5.00%, 11/1/33, (AGM Insured) 		   350,000       372,111
Illinois Finance Authority Revenue, Series A, Callable 08/15/32 at 100,
5.00%, 8/15/52 		   600,000       627,096
Illinois Finance Authority Revenue, Series A, Refunding, Callable 10/01/24 at 100,
5.00%, 10/1/35 		   520,000       521,810
Illinois Housing Development Authority Revenue, Series A,
3.65%, 10/1/32, (GNMA/FNMA/FHLMC Insured) 		   760,000       753,362
Illinois Housing Development Authority Revenue, Series G, Callable 04/01/32 at 100,
5.00%, 10/1/46, (GNMA/FNMA/FHLMC COLL Insured) 		   500,000       520,156
Illinois State Toll Highway Authority Revenue, Series B, Senior Series, Callable 07/01/26 at 100,
5.00%, 1/1/41 		   600,000       613,479
Macon County School District No 61 Decatur GO,
4.00%, 12/1/28, (AGM Insured) 		   600,000       622,862
State of Illinois GO, Callable 06/01/26 at 100,
4.00%, 6/1/32 		   830,000       836,468
 
The accompanying notes are an integral part of the financial statements.
27

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Illinois — (Continued)
State of Illinois GO, Series A, Callable 03/01/31 at 100,
4.00%, 3/1/38 		$ 1,000,000   $   1,003,759
Western Illinois University Revenue, Refunding,
4.00%, 4/1/28, (BAM Insured) 		   875,000       886,047
        6,859,329
Indiana — 1.2%
Attica Multi-School Building Corp. Revenue,
5.00%, 7/15/28, (ST INTERCEPT Insured) 		   150,000       161,758
Indiana Finance Authority Revenue, Series A, Refunding, Callable 08/01/25 at 100,
5.00%, 2/1/31 		   305,000       310,577
Indiana Housing & Community Development Authority Revenue, Series A-1, Callable 01/01/33 at 100,
3.65%, 7/1/34, (GNMA/FNMA/FHLMC Insured) 		   465,000       463,056
Indiana Municipal Power Agency Revenue, Series A, Refunding, Callable 01/01/25 at 100,
5.00%, 1/1/32 		    50,000        50,448
Indiana Municipal Power Agency Revenue, Series C, Refunding, Callable 07/01/26 at 100,
5.00%, 1/1/37 		   500,000       514,241
Indianapolis Local Public Improvement Bond Bank Revenue, Series A, Callable 02/01/29 at 100,
5.00%, 2/1/44 		 1,000,000     1,053,109
Whitestown Redevelopment Authority Revenue, Series B, Refunding,
4.00%, 8/1/27 		   410,000       421,486
        2,974,675
Iowa — 0.7%
Iowa Finance Authority Revenue, Series A, Refunding,
1.15%, 7/1/29, (GNMA/FNMA/FHLMC Insured) 		   250,000       215,834
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Iowa — (Continued)
Iowa Finance Authority Revenue, Series C, Refunding, Callable 04/19/24 at 100,
5.00%, 2/15/32 		$   500,000   $     502,509
PEFA, Inc. Revenue, Callable 06/01/26 at 101,
5.00%, 9/1/49(a) 		 1,000,000     1,024,034
        1,742,377
Kansas — 1.3%
Topeka GO, Refunding, Callable 04/29/24 at 100,
2.00%, 8/15/24 		    25,000        24,739
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/33 		   500,000       509,233
University of Kansas Hospital Authority Revenue, Refunding, Callable 09/01/25 at 100,
5.00%, 9/1/45 		 2,500,000     2,526,109
        3,060,081
Kentucky — 0.0%
Kentucky Association of Counties Revenue, Series C, 5.00%, 2/1/28    110,000       118,118
Louisiana — 0.8%
Shreveport Water & Sewer Revenue, Refunding, Callable 12/01/25 at 100,
5.00%, 12/1/35, (AGM Insured) 		   815,000       824,796
State of Louisiana Gasoline & Fuels Tax Revenue, Series C, Refunding, Callable 11/01/27 at 100,
5.00%, 5/1/45 		 1,000,000     1,035,867
        1,860,663
Maine — 0.2%
Portland General Airport Revenue, Refunding,
5.00%, 7/1/27 		   150,000       158,367
Portland General Airport Revenue, Refunding,
5.00%, 7/1/28 		   330,000       355,193
          513,560
 
The accompanying notes are an integral part of the financial statements.
28

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Maryland — 1.1%
Baltimore Revenue, Series A, Callable 01/01/27 at 100, 5.00%, 7/1/46 $ 2,650,000   $   2,707,587
Massachusetts — 0.4%
Massachusetts School Building Authority Revenue, Series B, Senior Series, Callable 11/15/26 at 100, 5.00%, 11/15/46  1,000,000     1,028,796
Michigan — 3.2%
Karegnondi Water Authority Revenue, Refunding, Callable 11/01/27 at 100,
5.00%, 11/1/45 		   710,000       729,356
Michigan Finance Authority Revenue, Callable 11/01/28 at 100,
5.00%, 11/1/38, (BAM Insured) 		 1,450,000     1,531,866
Michigan Finance Authority Revenue, Series 6, Senior Series, Refunding, Callable 07/01/24 at 100,
5.00%, 7/1/33 		 1,350,000     1,352,199
Michigan Finance Authority Revenue, Series A, Refunding, Callable 12/01/29 at 100,
5.00%, 12/1/41 		   100,000       105,576
Michigan Finance Authority Revenue, Series H-1, Refunding, Callable 10/01/24 at 100,
5.00%, 10/1/39 		 1,000,000     1,002,748
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/25 at 100,
5.00%, 10/15/45 		 2,000,000     2,027,880
Michigan State Building Authority Revenue, Series I, Refunding, Callable 10/15/26 at 100,
5.00%, 10/15/46 		 1,000,000     1,025,232
        7,774,857
Minnesota — 1.0%
Edina Independent School District No 273 GO, Series A, Callable 02/01/28 at 100,
2.00%, 2/1/30, (SD CRED PROG Insured) 		   150,000       135,740
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Minnesota — (Continued)
Minneapolis Revenue, Series A, Refunding, Callable 11/15/25 at 100,
5.00%, 11/15/26 		$   100,000   $     101,695
Minneapolis-St Paul Metropolitan Airports Commission Revenue, Series A, Refunding, Callable 07/01/29 at 100,
5.00%, 1/1/44 		 1,500,000     1,596,952
Moorhead Public Utility Revenue, Series A, Callable 11/01/33 at 100,
4.00%, 11/1/40 		   660,000       670,500
        2,504,887
Mississippi — 0.8%
Medical Center Educational Building Corp. Revenue, Refunding, Callable 06/01/27 at 100,
5.00%, 6/1/47 		 1,000,000     1,024,432
State of Mississippi Gaming Tax Revenue, Series E, Callable 10/15/25 at 100,
5.00%, 10/15/34 		   915,000       928,279
        1,952,711
Missouri — 1.9%
Health & Educational Facilities Authority of the State of Missouri Revenue, Callable 04/19/24 at 100,
4.50%, 1/1/39 		 2,000,000     1,986,630
Jasper County Reorganized School District No R-IX Carthage, Refunding,
4.00%, 4/1/27 		    40,000        40,648
Missouri Joint Municipal Electric Utility Commission Revenue, Refunding,
5.00%, 12/1/26 		    15,000        15,684
Missouri Joint Municipal Electric Utility Commission Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/37 		   100,000       100,866
 
The accompanying notes are an integral part of the financial statements.
29

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Missouri — (Continued)
Missouri State Environmental Improvement & Energy Resources Authority Revenue, Series C, Refunding, Callable 06/12/27 at 102,
2.75%, 9/1/33 		$ 1,000,000   $     900,628
St Louis County Reorganized School District No R-6 GO, Refunding, Callable 02/01/27 at 100,
2.00%, 2/1/32 		   505,000       442,132
St Louis Municipal Finance Corp. Revenue, OID, Refunding, Callable 10/01/27 at 100,
3.50%, 10/1/37, (AGM Insured) 		   555,000       544,184
St Louis Municipal Finance Corp. Revenue, Refunding,
5.00%, 2/15/26 		   500,000       512,017
        4,542,789
Nebraska — 1.5%
Central Plains Energy Project Revenue, Series A, Refunding, Callable 08/01/29 at 100,
5.00%, 5/1/54(a) 		 1,000,000     1,058,041
Nebraska Public Power District Revenue, Series D, Callable 01/01/26 at 100,
5.00%, 1/1/46 		 2,470,000     2,499,823
        3,557,864
Nevada — 0.0%
Clark County Revenue, Callable 07/01/25 at 100, 5.00%, 7/1/35     40,000        40,613
New Hampshire — 2.0%
New Hampshire Housing Finance Authority Revenue, Series 1, Callable 10/01/24 at 100, 2.95%, 10/1/25, (FHA 542c Insured)  5,000,000     4,917,635
New Jersey — 0.6%
Atlantic City GO, Series A, Refunding, Callable 03/01/27 at 100,
5.00%, 3/1/32, (BAM ST AID WITHHLDG Insured) 		   250,000       261,589
Garden State Preservation Trust Revenue, Series A,
5.75%, 11/1/28, (AGM Insured) 		   230,000       245,325
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
New Jersey — (Continued)
New Jersey Transportation Trust Fund Authority Revenue, Series AA, OID, Callable 06/15/25 at 100,
5.00%, 6/15/45 		$   525,000   $     530,129
New Jersey Turnpike Authority Revenue, Series B, Refunding, Callable 01/01/28 at 100,
5.00%, 1/1/40 		   330,000       347,074
        1,384,117
New Mexico — 0.7%
New Mexico Municipal Energy Acquisition Authority Revenue, Series A, Refunding, Callable 02/01/25 at 101, 5.00%, 11/1/39(a)  1,565,000     1,584,447
New York — 4.2%
Long Island Power Authority Revenue, Series A, Refunding, Callable 09/01/24 at 100,
5.00%, 9/1/34 		    55,000        55,235
Long Island Power Authority Revenue, Series B, Refunding, Callable 09/01/26 at 100,
5.00%, 9/1/46 		 1,000,000     1,025,097
Metropolitan Transportation Authority Revenue, Series C-1,
5.00%, 11/15/25 		    15,000        15,408
Metropolitan Transportation Authority Revenue, Series C-1, Refunding,
5.00%, 11/15/25 		   100,000       102,722
Metropolitan Transportation Authority Revenue, Series C-1, Refunding,
5.00%, 11/15/26 		    85,000        88,921
New York City Housing Development Corp. Revenue, Series 2A, Callable 05/01/25 at 100,
3.40%, 11/1/62, (REMIC FHA 542c Insured)(a) 		   150,000       148,403
New York City Municipal Water Finance Authority Revenue, Refunding, Callable 06/17/24 at 100,
5.00%, 6/15/45 		    25,000        25,058
 
The accompanying notes are an integral part of the financial statements.
30

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
New York — (Continued)
New York City Transitional Finance Authority Building Aid Revenue, Series S, Callable 07/15/25 at 100,
5.00%, 7/15/40, (ST AID WITHHLDG Insured) 		$ 2,000,000   $   2,021,795
New York City Transitional Finance Authority Future Tax Secured Revenue, Series 1, Callable 02/01/25 at 100,
5.00%, 2/1/41 		   105,000       105,686
New York City Transitional Finance Authority Future Tax Secured Revenue, Series D-S, Callable 11/01/30 at 100,
4.00%, 11/1/45 		   850,000       835,324
New York Convention Center Development Corp. Revenue, Refunding, Callable 11/15/25 at 100,
5.00%, 11/15/40 		 2,275,000     2,304,968
New York GO, Series B-1, Callable 12/01/26 at 100,
5.00%, 12/1/38 		   100,000       103,557
New York State Dormitory Authority Revenue, Series B, Unrefunded portion, Callable 02/15/25 at 100,
5.00%, 2/15/37 		 1,000,000     1,008,547
New York State Housing Finance Agency Revenue, Series H, Refunding,
0.60%, 5/1/24 		    20,000        19,935
New York State Thruway Authority Revenue, Series P, Refunding, Callable 01/01/34 at 100,
5.00%, 1/1/39 		   250,000       288,590
Triborough Bridge & Tunnel Authority Revenue, Series A, Callable 05/15/24 at 100,
5.00%, 11/15/44 		 2,000,000     2,000,400
       10,149,646
Ohio — 2.1%
Greene County GO, Refunding, Callable 12/01/25 at 100,
1.25%, 12/1/31 		 1,245,000     1,011,627
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Ohio — (Continued)
Louisville City School District GO, Refunding,
1.00%, 12/1/25, (SD CRED PROG Insured) 		$    25,000   $      23,586
State of Ohio Revenue, Series A, Refunding, Callable 01/15/26 at 100,
5.00%, 1/15/41 		 2,000,000     2,033,295
Whitehall City School District GO, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) 		   665,000       651,001
Whitehall City School District GO, Series A, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) 		   705,000       690,159
Whitehall City School District GO, Series B, Refunding, Callable 12/01/25 at 100,
3.50%, 12/1/30, (SD CRED PROG Insured) 		   590,000       577,580
        4,987,248
Oklahoma — 0.1%
Cleveland County Educational Facilities Authority Revenue, OID,
2.00%, 9/1/25 		    20,000        19,373
Tulsa County Independent School District No 1 Tulsa GO, Series B,
2.50%, 8/1/25 		   305,000       298,823
          318,196
Oregon — 0.8%
Josephine County School District No 7 GO, Series 7, Refunding, Callable 06/01/28 at 100,
4.00%, 6/1/40, (BAM Insured) 		   880,000       887,030
Seaside School District No 10 GO, Series A, CAB, OID, Callable 06/15/27 at 51,
0.00%, 6/15/42, (SCH BD GTY Insured)(b) 		 2,485,000     1,098,739
        1,985,769
 
The accompanying notes are an integral part of the financial statements.
31

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Pennsylvania — 2.2%
Allegheny County Sanitary Authority Revenue, Callable 06/01/28 at 100,
5.00%, 6/1/43 		$   815,000   $     857,545
Allentown GO, Series A, OID, Callable 04/29/24 at 100,
3.125%, 10/1/27, (BAM Insured) 		     5,000         4,987
Cumberland County Municipal Authority Revenue, Callable 11/01/29 at 100,
4.00%, 11/1/37 		   700,000       704,998
Lehigh County General Purpose Authority Revenue, Series A, Refunding,
4.00%, 11/1/25 		   150,000       149,044
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100,
5.50%, 6/30/42, (AGM Insured) 		   700,000       791,317
Pennsylvania Economic Development Financing Authority Revenue, AMT, Callable 12/31/32 at 100,
6.00%, 6/30/61 		   500,000       562,522
Pennsylvania Economic Development Financing Authority Revenue, AMT, OID, Callable 12/31/32 at 100,
5.00%, 12/31/57, (AGM Insured) 		   500,000       528,248
Philadelphia Authority for Industrial Development Revenue, Callable 06/01/27 at 100,
5.00%, 12/1/34 		   100,000       105,452
Philadelphia Housing Authority Revenue, Callable 05/01/27 at 100,
5.00%, 5/1/31 		   615,000       644,938
Upper St Clair Township School District GO, Callable 10/01/28 at 100,
5.00%, 10/1/44, (BAM-ST AID WITHHLDG Insured) 		 1,000,000     1,048,980
        5,398,031
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
South Carolina — 1.9%
South Carolina Ports Authority Revenue, Series A, Callable 07/01/29 at 100,
5.00%, 7/1/54 		$ 1,250,000   $   1,289,607
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/25 at 100,
5.00%, 12/1/28 		   705,000       715,593
South Carolina Public Service Authority Revenue, Series A, Refunding, Callable 06/01/26 at 100,
5.00%, 12/1/34 		 1,000,000     1,029,048
South Carolina Public Service Authority Revenue, Series E,
5.00%, 12/1/27 		   125,000       132,063
South Carolina Public Service Authority Revenue, Series E, OID, Unrefunded portion, Callable 04/19/24 at 100,
5.00%, 12/1/48 		 1,000,000       991,125
South Carolina Transportation Infrastructure Bank Revenue, Series A, Refunding, Callable 10/01/25 at 100,
2.00%, 10/1/26 		   355,000       339,654
        4,497,090
South Dakota — 0.7%
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.00%, 11/1/28, (GNMA/FNMA/FHLMC COLL Insured) 		   450,000       437,014
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.05%, 5/1/29, (GNMA/FNMA/FHLMC COLL Insured) 		   250,000       243,394
 
The accompanying notes are an integral part of the financial statements.
32

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
South Dakota — (Continued)
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.10%, 11/1/29, (GNMA/FNMA/FHLMC COLL Insured) 		$   250,000   $     241,216
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.20%, 5/1/30, (GNMA/FNMA/FHLMC COLL Insured) 		   250,000       242,973
South Dakota Housing Development Authority Revenue, Series A, Refunding,
3.30%, 11/1/30, (GNMA/FNMA/FHLMC COLL Insured) 		   500,000       489,068
        1,653,665
Tennessee — 0.9%
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd Revenue, Callable 07/01/26 at 100,
5.00%, 7/1/35 		   490,000       502,495
Metropolitan Government of Nashville & Davidson County Electric Revenue, Series A, Callable 05/15/27 at 100,
5.00%, 5/15/42 		   455,000       471,658
Metropolitan Nashville Airport Authority/The Revenue, Series A, Callable 07/01/30 at 100,
5.00%, 7/1/54 		 1,000,000     1,045,326
Putnam County GO, OID, Refunding, Callable 04/01/25 at 100,
2.00%, 4/1/26 		   100,000        96,321
        2,115,800
Texas — 6.1%
Austin Community College District Public Facility Corp. Revenue, Refunding, Callable 08/01/25 at 100,
5.00%, 8/1/26 		   130,000       132,702
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Texas — (Continued)
Austin Water & Wastewater System Revenue, Refunding, Callable 11/15/26 at 100,
5.00%, 11/15/41 		$ 1,095,000   $   1,129,811
Bexar County GO, Callable 06/15/27 at 100,
5.00%, 6/15/42 		 2,000,000     2,076,933
Block House Municipal Utility District GO, Refunding, Callable 04/29/24 at 100,
3.00%, 4/1/25, (BAM Insured) 		    25,000        24,696
Central Texas Regional Mobility Authority Revenue, Series D, Senior Series, Refunding,
5.00%, 1/1/28 		   550,000       581,937
Central Texas Turnpike System Revenue, Series C, Refunding, Callable 08/15/24 at 100,
5.00%, 8/15/34 		   260,000       261,067
Corrigan-Camden Independent School District GO, Callable 08/15/32 at 100,
5.00%, 8/15/35, (BAM Insured) 		   555,000       632,851
Del Rio GO, Callable 06/01/26 at 100,
5.00%, 6/1/36, (AGM Insured) 		   600,000       620,980
Denton Utility System Revenue, Callable 12/01/26 at 100,
5.00%, 12/1/34 		   100,000       103,941
El Paso County Hospital District GO, Callable 04/29/24 at 100,
5.00%, 8/15/43 		   100,000        97,379
El Paso GO, Callable 08/15/26 at 100,
5.00%, 8/15/42 		 2,000,000     2,029,418
El Paso GO, Refunding, Callable 08/15/26 at 100,
5.00%, 8/15/28 		   500,000       521,367
Harris County Improvement District No 18 GO, OID, Callable 04/29/24 at 100,
3.00%, 9/1/25, (AGM Insured) 		    10,000         9,895
Harris County Municipal Utility District No 287 GO, Series A, OID, Callable 03/01/27 at 100,
1.50%, 3/1/31, (AGM Insured) 		   100,000        81,175
 
The accompanying notes are an integral part of the financial statements.
33

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Texas — (Continued)
Houston Housing Finance Corp. Revenue, Callable 10/01/24 at 100,
4.00%, 10/1/25, (FHA HUD SECT 8 Insured)(a) 		$   500,000   $     498,382
Kaufman County Municipal Utility District No 14 GO, Callable 03/01/25 at 100,
2.00%, 3/1/27, (BAM Insured) 		    40,000        36,981
Lower Colorado River Authority Revenue, OID, Refunding, Callable 05/15/25 at 100,
3.00%, 5/15/26 		    75,000        73,295
Lower Colorado River Authority Revenue, Refunding, Callable 05/15/30 at 100,
5.00%, 5/15/41 		   100,000       107,465
North Texas Tollway Authority Revenue, Series A, Refunding, Callable 01/01/25 at 100,
5.00%, 1/1/35 		    40,000        40,392
Port Arthur Independent School District GO, Series B, OID, Refunding, Callable 02/15/25 at 100,
3.00%, 2/15/27 		    25,000        24,808
Port Arthur Independent School District GO, Series E, Refunding, Callable 08/15/26 at 100,
4.00%, 2/15/35 		 2,000,000     2,009,159
San Antonio Electric & Gas Systems Revenue, Refunding, Callable 08/01/26 at 100,
4.00%, 2/1/34 		 1,000,000     1,012,030
San Antonio Water System Revenue, Series A, Junior Series, Refunding,
2.00%, 5/15/25 		    40,000        39,016
Southwest Houston Redevelopment Authority, Series B, Refunding, Callable 09/01/27 at 100,
5.00%, 9/1/35, (AGM Insured) 		   205,000       218,186
Sugar Land Waterworks & Sewer System Revenue, Callable 04/29/24 at 100,
3.00%, 8/15/24 		    45,000        44,767
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Texas — (Continued)
Texas Municipal Gas Acquisition & Supply Corp. III Revenue, Refunding,
5.00%, 12/15/27 		$   500,000   $     517,677
Texas Municipal Gas Acquisition & Supply Corp. IV Revenue, Series B, Callable 07/01/33 at 100,
5.50%, 1/1/54(a) 		 1,750,000     1,960,141
       14,886,451
Utah — 1.7%
Utah Transit Authority Revenue, Refunding, Callable 06/15/26 at 100, 4.00%, 12/15/31  4,050,000     4,108,287
Vermont — 0.2%
University of Vermont and State Agricultural College Revenue, Refunding, Callable 10/01/27 at 100, 5.00%, 10/1/43    470,000       486,969
Virginia — 1.1%
Virginia Public Building Authority Revenue, Series A, Callable 08/01/25 at 100, 4.00%, 8/1/31  2,700,000     2,704,141
Washington — 3.4%
Bellevue GO, Refunding, Callable 06/01/25 at 100,
4.00%, 12/1/31 		 2,500,000     2,509,683
King County Public Hospital District No 1 GO, Refunding, Callable 12/01/28 at 100,
5.00%, 12/1/43 		 1,200,000     1,244,035
King County Sewer Revenue, Series A, Refunding, Callable 01/01/26 at 100,
4.00%, 7/1/40 		 3,000,000     2,966,621
State of Washington GO, Series A-1, Callable 08/01/25 at 100,
5.00%, 8/1/39 		   100,000       101,473
Tacoma Electric System Revenue, Series A, Refunding, Callable 04/19/24 at 100,
4.00%, 1/1/42 		 1,000,000       981,972
 
The accompanying notes are an integral part of the financial statements.
34

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Washington — (Continued)
Tacoma Electric System Revenue, Series B, Refunding, Callable 01/01/34 at 100,
5.00%, 1/1/36 		$   200,000   $     236,626
Washington Health Care Facilities Authority Revenue, Series A, Callable 08/15/25 at 100,
5.00%, 8/15/35 		   210,000       212,884
        8,253,294
Wisconsin — 2.0%
Central Brown County Water Authority Revenue, Series A, Refunding,
5.00%, 11/1/24 		    10,000        10,072
Kenosha County GO, Series C,
2.00%, 8/1/25 		    95,000        92,339
Milwaukee GO, Series N-4, Refunding,
5.00%, 4/1/28 		   390,000       411,830
Milwaukee Sewerage System Revenue, Series S5, Callable 04/29/24 at 100,
4.00%, 6/1/29 		   330,000       330,161
Public Finance Authority Revenue, Series A, Callable 06/01/25 at 100,
5.00%, 6/1/31 		 1,000,000     1,011,938
Village of Mount Pleasant, Series A, Callable 04/01/28 at 100,
5.00%, 4/1/48, (MORAL OBLG Insured) 		   650,000       668,150
Wisconsin Health & Educational Facilities Authority Revenue, Refunding, Callable 10/01/26 at 100,
5.00%, 10/1/41 		 2,000,000     2,054,671
Wisconsin Housing & Economic Development Authority Housing Revenue,
3.60%, 11/1/26, (HUD SECT 8 Insured) 		   265,000       264,575
        4,843,736
  Principal
Amount 		  Value
MUNICIPAL BONDS — (Continued)
Wyoming — 1.7%
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.00%, 6/1/28 		$ 1,300,000   $   1,263,120
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.05%, 12/1/28 		 1,430,000     1,388,720
Wyoming Community Development Authority Revenue, Series 1, Refunding,
3.10%, 6/1/29 		 1,495,000     1,443,020
        4,094,860
TOTAL MUNICIPAL BONDS
(Cost $162,053,228) 		    162,029,595
  Par
Value 		 
CORPORATE BONDS — 12.7%
Communications — 0.6%
Paramount Global, 5.50%, 5/15/33 1,000,000    883,921
Verizon Communications, Inc., 6.669%, 5/15/25(a)   500,000    505,568
     1,389,489
Consumer Discretionary — 1.6%
Advance Auto Parts, Inc., 3.50%, 3/15/32 1,000,000    855,933
Hyatt Hotels Corp., 1.80%, 10/1/24   750,000    734,346
Polaris, Inc., 6.95%, 3/15/29   500,000    532,078
Tapestry, Inc., 3.05%, 3/15/32 1,150,000    945,605
VF Corp., 6.00%, 10/15/33   750,000    734,448
     3,802,410
Consumer Staple Products — 0.3%
Dollar General Corp., 4.15%, 11/1/25   750,000    735,854
Energy — 0.4%
Continental Resources, Inc., 3.80%, 6/1/24   500,000    498,020
Tosco Corp., 7.80%, 1/1/27   500,000    530,627
     1,028,647
Financials — 6.0%
Air Lease Corp., 3.25%, 3/1/25 1,575,000  1,540,420
American Express Co., 6.003%, 11/4/26(a) 1,600,000  1,602,241
AmSouth Bancorp, 6.75%, 11/1/25   700,000    707,142
 
The accompanying notes are an integral part of the financial statements.
35

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Financials — (Continued)
Discover Financial Services, 3.95%, 11/6/24 $ 1,000,000   $     988,819
Discover Financial Services, 7.964%, 11/2/34  1,000,000     1,134,394
Goldman Sachs Group, Inc. (The), 5.866%, 9/10/24    200,000       200,131
Hudson Pacific Properties LP, REIT, 4.65%, 4/1/29    500,000       426,407
Jefferies Financial Group, Inc., 5.875%, 7/21/28  1,500,000     1,528,523
Jones Lang LaSalle, Inc., 6.875%, 12/1/28  1,000,000     1,060,150
JPMorgan Chase & Co., 5.546%, 12/15/25  1,800,000     1,798,423
Kilroy Realty LP, REIT, 2.50%, 11/15/32    150,000       113,124
Morgan Stanley, 4.35%, 9/8/26    200,000       195,684
Synchrony Financial, 2.875%, 10/28/31  1,550,000     1,238,517
Wells Fargo Bank, 6.50%, 12/1/28    425,000       441,313
Zions Bancorp, 3.25%, 10/29/29  1,865,000     1,529,604
       14,504,892
Health Care — 0.7%
Cigna Group (The), 3.25%, 4/15/25    700,000       684,661
Laboratory Corp. of America Holdings, 3.60%, 2/1/25  1,000,000       983,194
        1,667,855
Industrials — 0.8%
3M Co., 2.65%, 4/15/25  1,000,000       970,618
Jacobs Engineering Group, Inc., 5.90%, 3/1/33  1,000,000     1,013,927
        1,984,545
Materials — 1.3%
Albemarle Corp., 5.05%, 6/1/32  1,000,000       961,100
Huntsman International, LLC, 2.95%, 6/15/31  1,000,000       833,697
LYB International Finance III, LLC, 5.50%, 3/1/34  1,500,000     1,502,422
        3,297,219
Technology — 1.0%
Leidos, Inc., 7.125%, 7/1/32  2,250,000     2,439,128
TOTAL CORPORATE BONDS
(Cost $30,275,623) 		     30,850,039
  Par Value/
Shares 		  Value
PREFERREDS — 8.2%
Consumer Discretionary — 0.5%
General Motors Financial Co., Inc., 5.75%, 9/30/27 $1,175,000   $  1,111,936
Energy — 0.4%
BP Capital Markets PLC, 6.45%, 12/1/33 1,000,000    1,039,641
Financials — 7.3%
Bank of America Corp., 6.25%, 9/5/24 1,550,000    1,555,817
Bank of New York Mellon Corp. (The), 4.70%, 9/20/25   450,000      442,724
Bank of New York Mellon Corp. (The), 3.70%, 3/20/26 1,410,000    1,335,159
Bank of New York Mellon Corp. (The), 4.625%, 9/20/26   500,000      472,838
Citigroup, Inc., 6.30%, 5/15/24 1,650,000    1,649,652
Citigroup, Inc., 4.00%, 12/10/25 1,200,000    1,153,572
Citigroup, Inc., 7.625%, 11/15/28 1,500,000    1,578,744
JPMorgan Chase & Co., 9.348%, 5/1/24 1,475,000    1,477,599
JPMorgan Chase & Co., 6.10%, 10/1/24   700,000      700,903
M&T Bank Corp., 9.179%, 5/15/24   950,000      954,150
Morgan Stanley, 6.875%, 7/15/24    64,395    1,620,178
Northern Trust Corp., 4.60%, 10/1/26 2,620,000    2,524,375
State Street Corp., 8.13%, 6/15/24 1,250,000    1,251,644
State Street Corp., 5.35%, 3/15/26    25,000      612,250
Wells Fargo & Co., 7.625%, 9/15/28    350,000      374,642
      17,704,247
TOTAL PREFERREDS
(Cost $18,913,230) 		    19,855,824
  Par
Value 		 
U.S. TREASURY OBLIGATIONS — 5.2%
United States Treasury Notes,    
4.125%, 1/31/25 1,000,000    991,902
5.469%, 4/30/25(a) 4,000,000  4,001,689
4.125%, 6/15/26 2,000,000  1,981,172
3.625%, 5/31/28 2,000,000  1,950,586
3.75%, 5/31/30 2,000,000  1,949,297
3.375%, 5/15/33 2,000,000  1,875,625
U.S. TREASURY OBLIGATIONS
(Cost $12,753,035) 		12,750,271
 
The accompanying notes are an integral part of the financial statements.
36

 

AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
SHORT-TERM INVESTMENT — 6.1%
Dreyfus Government Cash Management Fund, Institutional Shares, 5.20%(c) 14,949,723   $  14,949,723
 
TOTAL SHORT-TERM INVESTMENT
(Cost $14,949,723) 		     14,949,723
 
TOTAL INVESTMENTS - 98.9%
(Cost $238,944,839) 		    240,435,452
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1%       2,636,389
NET ASSETS - 100.0%     $ 243,071,841
(a) The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2024.
(b) Zero coupon bond.
(c) Rate disclosed is the 7-day yield at March 31, 2024.
AGM Assured Guaranty Municipal Corp.
AMT Alternative Minimum Tax
BAM Build America Mutual
CAB Capital Appreciation Bond
COLL Collateral
FHA 542c Federal Housing Administration Section 542c
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
GO General Obligation
HUD SECT 8 Housing and Urban Development Section 8
LLC Limited Liability Company
LP Limited Partnership
MORAL OBLG Moral Obligation
OID Original Issue Discount
PLC Public Limited Company
REIT Real Estate Investment Trust
REMIC FHA 542c Real Estate Mortgage Investment Conduit Federal Housing Administration Section 542c
SCH BD GTY School Board Guaranty
SD CRED PROG State School District Credit Enhancement Program
ST AID WITHHLDG State Aid Withholding
ST INTERCEPT State Intercept
 
The accompanying notes are an integral part of the financial statements.
37

 

AMBRUS FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
  Ambrus Core
Bond Fund 		  Ambrus Tax-Conscious
California Bond Fund 		  Ambrus Tax-Conscious
National Bond Fund
Assets          
Investments, at value $254,593,994   $221,437,407   $240,435,452
Receivables:          
Investments sold —   2,082,681   —
Capital shares sold 503,712   650,004   1,795,732
Dividends and interest 2,974,272   2,526,007   2,944,651
Prepaid expenses and other assets 16,008   4,789   14,468
Total Assets 258,087,986   226,700,888   245,190,303
Liabilities          
Payables:          
Capital shares redeemed 921,694   658,781   759,039
Distributions to shareholders 96,172   68,011   71,888
Investment adviser 70,651   62,821   66,884
Administration and accounting fees 12,840   25,889   22,881
Investments purchased —   1,417,933   1,158,051
Due to custodian —   —   2,925
Accrued expenses 33,065   34,944   36,794
Total Liabilities 1,134,422   2,268,379   2,118,462
Contingencies and Commitments (Note 2) —   —   —
Net Assets $256,953,564   $224,432,509   $243,071,841
Net Assets Consisted of:          
Capital stock, $0.01 par value $ 260,122   $ 221,391   $ 240,426
Paid-in capital 255,796,865   223,613,428   242,547,460
Total distributable earnings 896,577   597,690   283,955
Net Assets $256,953,564   $224,432,509   $243,071,841
Institutional Class Shares:          
Net assets $256,953,564   $224,432,509   $243,071,841
Shares outstanding 26,012,191   22,139,063   24,042,599
Net asset value, offering and redemption price per share $ 9.88   $ 10.14   $ 10.11
Investments, at cost $252,124,282   $220,214,841   $238,944,839
The accompanying notes are an integral part of the financial statements.
38

 

AMBRUS FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
  Ambrus Core
Bond Fund 		  Ambrus Tax-Conscious
California Bond Fund 		  Ambrus Tax-Conscious
National Bond Fund
Investment income          
Interest $5,394,818   $3,717,075   $4,535,067
Dividends 76,924   82,449   116,624
Total investment income 5,471,742   3,799,524   4,651,691
Expenses          
Advisory fees(Note 2) 420,564   355,736   413,818
Administration and accounting fees(Note 2) 24,884   29,898   30,548
Trustees’ and officers’ fees(Note 2) 21,328   17,860   23,379
Audit fees 16,131   15,500   15,500
Transfer agent fees(Note 2) 14,952   15,153   15,153
Legal fees 14,021   13,078   16,772
Registration and filing fees 12,551   2,140   11,147
Shareholder reporting fees 11,103   10,881   10,886
Custodian fees(Note 2) 6,315   5,467   7,071
Other expenses 8,383   7,899   8,823
Total expenses before waivers and reimbursements 550,232   473,612   553,097
Less: waivers and reimbursements(Note 2) (24,528)   (28,942)   (35,825)
Net expenses after waivers and reimbursements 525,704   444,670   517,272
Net investment income 4,946,038   3,354,854   4,134,419
Net realized and unrealized gain/(loss) from investments:          
Net realized gain/(loss) from investments (18,774)   9,723   (102,544)
Net change in unrealized appreciation on investments 4,938,146   4,225,777   5,932,611
Net realized and unrealized gain on investments 4,919,372   4,235,500   5,830,067
Net increase in net assets resulting from operations $9,865,410   $7,590,354   $9,964,486
The accompanying notes are an integral part of the financial statements.
39

 

AMBRUS FUNDS
Statements of Changes in Net Assets
  Ambrus Core Bond Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:      
Net investment income $ 4,946,038   $ 3,643,462
Net realized losses from investments (18,774)   (1,550,376)
Net change in unrealized appreciation/(depreciation) on investments 4,938,146   (2,339,070)
Net increase/(decrease) in net assets resulting from operations 9,865,410   (245,984)
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class (4,945,463)   (3,645,709)
Net decrease in net assets from dividends and distributions to shareholders (4,945,463)   (3,645,709)
Increase in net assets derived from capital share transactions (Note 4) 92,101,800   158,943,965
Total increase in net assets 97,021,747   155,052,272
Net assets      
Beginning of year/period 159,931,817   4,879,545
End of year/period $256,953,564   $159,931,817
The accompanying notes are an integral part of the financial statements.
40

 

AMBRUS FUNDS
Statements of Changes in Net Assets (Continued)
  Ambrus Tax-Conscious California Bond Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Period from
October 3, 2022*
to September 30, 2023
Net increase/(decrease) in net assets from operations:      
Net investment income $ 3,354,854   $ 2,811,445
Net realized gains/(losses) from investments 9,723   (634,817)
Net change in unrealized appreciation/(depreciation) on investments 4,225,777   (3,003,211)
Net increase/(decrease) in net assets resulting from operations 7,590,354   (826,583)
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class (3,354,649)   (2,811,432)
Net decrease in net assets from dividends and distributions to shareholders (3,354,649)   (2,811,432)
Increase in net assets derived from capital share transactions (Note 4) 84,777,352   139,057,467
Total increase in net assets 89,013,057   135,419,452
Net assets      
Beginning of period 135,419,452   —
End of period $224,432,509   $135,419,452
* The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022.
The accompanying notes are an integral part of the financial statements.
41

 

AMBRUS FUNDS
Statements of Changes in Net Assets (Concluded)
  Ambrus Tax-Conscious National Bond Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Period from
October 3, 2022*
to September 30, 2023
Net increase/(decrease) in net assets from operations:      
Net investment income $ 4,134,419   $ 3,959,178
Net realized losses from investments (102,544)   (1,111,166)
Net change in unrealized appreciation/(depreciation) on investments 5,932,611   (4,441,998)
Net increase/(decrease) in net assets resulting from operations 9,964,486   (1,593,986)
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class (4,127,406)   (3,959,139)
Net decrease in net assets from dividends and distributions to shareholders (4,127,406)   (3,959,139)
Increase in net assets derived from capital share transactions (Note 4) 56,506,618   186,281,268
Total increase in net assets 62,343,698   180,728,143
Net assets      
Beginning of period 180,728,143   —
End of period $243,071,841   $180,728,143
* The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022.
The accompanying notes are an integral part of the financial statements.
42

 

AMBRUS FUNDS
AMBRUS CORE BOND FUND Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the Period from
September 6, 2022*
to September 30,
2022
Per Share Operating Performance          
Net asset value, beginning of period $ 9.62   $ 9.74   $ 10.00
Net investment income(1) 0.23   0.45   0.02
Net realized and unrealized gain/(loss) on investments 0.26   (0.13)   (0.26)
Total from investment operations 0.49   0.32   (0.24)
Dividends and distributions to shareholders from:          
Net investment income (0.23)   (0.44)   (0.02)
Net asset value, end of period $ 9.88   $ 9.62   $ 9.74
Total investment return(2) 5.14%   3.29%   (2.38)%
Ratios/Supplemental Data          
Net assets, end of period (in 000s) $256,954   $159,932   $ 4,880
Ratio of expenses to average net assets 0.50% (3)   0.50%   0.50% (3)
Ratio of expenses to average net assets without waivers and reimbursements(4) 0.52% (3)   0.70%   10.81% (3)
Ratio of net investment income to average net assets 4.70% (3)   4.63%   3.31% (3)
Portfolio turnover rate 14% (5)   107%   1% (5)
* The Ambrus Core Bond Fund commenced operations on September 6, 2022.
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Annualized.
(4) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(5) Not annualized.
The accompanying notes are an integral part of the financial statements.
43

 

AMBRUS FUNDS
AMBRUS TAX-CONSCIOUS CALIFORNIA BOND FUND Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the Period from
October 3, 2022*
to September 30,
2023
Per Share Operating Performance      
Net asset value, beginning of period $ 9.84   $ 10.00
Net investment income(1) 0.19   0.36
Net realized and unrealized gain/(loss) on investments 0.30   (0.17)
Total from investment operations 0.49   0.19
Dividends and distributions to shareholders from:      
Net investment income (0.19)   (0.35)
Net asset value, end of period $ 10.14   $ 9.84
Total investment return(2) 5.00%   1.90%
Ratios/Supplemental Data      
Net assets, end of period (in 000s) $224,433   $135,419
Ratio of expenses to average net assets 0.50% (3)   0.50% (3)
Ratio of expenses to average net assets without waivers(4) 0.53% (3)   0.69% (3)
Ratio of net investment income to average net assets 3.77% (3)   3.58% (3)
Portfolio turnover rate 11% (5)   28% (5)
* The Ambrus Tax-Conscious California Bond Fund commenced operations on October 3, 2022.
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Annualized.
(4) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(5) Not annualized.
The accompanying notes are an integral part of the financial statements.
44

 

AMBRUS FUNDS
AMBRUS TAX-CONSCIOUS NATIONAL BOND FUND Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the Period from
October 3, 2022*
to September 30,
2023
Per Share Operating Performance      
Net asset value, beginning of period $ 9.81   $ 10.00
Net investment income(1) 0.20   0.38
Net realized and unrealized gain/(loss) on investments 0.30   (0.20)
Total from investment operations 0.50   0.18
Dividends and distributions to shareholders from:      
Net investment income (0.20)   (0.37)
Net asset value, end of period $ 10.11   $ 9.81
Total investment return(2) 5.13%   1.80%
Ratios/Supplemental Data      
Net assets, end of period (in 000s) $243,072   $180,728
Ratio of expenses to average net assets 0.50% (3)   0.50% (3)
Ratio of expenses to average net assets without waivers(4) 0.53% (3)   0.65% (3)
Ratio of net investment income to average net assets 4.00% (3)   3.77% (3)
Portfolio turnover rate 13% (5)   32% (5)
* The Ambrus Tax-Conscious National Bond Fund commenced operations on October 3, 2022.
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Annualized.
(4) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(5) Not annualized.
The accompanying notes are an integral part of the financial statements.
45

 

AMBRUS FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund (each a "Fund" and together the “Funds”) are diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), which commenced investment operations on September 6, 2022, October 3, 2022 and October 3, 2022, respectively. The Funds are separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Two separate classes of shares, Investor Class and Institutional Class, are offered for the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund. As of March 31, 2024, Investor Class shares have not been issued on the Funds.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation – Each Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. The Funds' equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Securities that do not have a readily available current market value are valued in good faith by the Adviser as "valuation designee" under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees. Investments in other open-end investment companies are valued based on the NAV of such investment companies (which may use fair value pricing as disclosed in their prospectuses).
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
•  Level 1 — quoted prices in active markets for identical securities;
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The fair value of a Fund’s bonds are generally based on quotes received from brokers or independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
46

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that each Fund calculates its NAV (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. As a result, each Fund fair values foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange traded funds and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The valuations for fixed income securities are typically the prices supplied by independent third-party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third-party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. To the extent that these inputs are observable, the fair value of fixed income securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
The following is a summary of the inputs used, as of March 31, 2024, in valuing each Fund's investments carried at fair value:
Funds   Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Ambrus Core Bond Fund            
Assets                
U.S. Treasury Obligations   $ 116,730,071   $ —   $ 116,730,071   $ —
Corporate Bonds   106,111,144   —   106,111,144   —
Preferreds                
Consumer Discretionary   1,466,809   —   1,466,809   —
Energy   1,039,641   —   1,039,641   —
Financials   16,217,099   1,480,978   14,736,121   —
Municipal Bonds   1,007,143   —   1,007,143   —
Short-Term Investment   12,022,087   12,022,087   —   —
Total Assets   $ 254,593,994   $ 13,503,065   $ 241,090,929   $ —
Ambrus Tax-Conscious California Bond Fund            
Assets                
Municipal Bonds   $ 149,780,183   $ —   $ 149,780,183   $ —
U.S. Treasury Obligations   24,077,046   —   24,077,046   —
Preferreds                
Consumer Discretionary   828,037   —   828,037   —
Energy   1,039,641   —   1,039,641   —
Financials   15,164,981   1,534,418   13,630,563   —
47

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Funds   Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Corporate Bonds   $ 16,882,524   $ —   $ 16,882,524   $ —
Short-Term Investment   13,664,995   13,664,995   —   —
Total Assets   $ 221,437,407   $ 15,199,413   $ 206,237,994   $ —
Ambrus Tax-Conscious National Bond Fund            
Assets                
Municipal Bonds   $ 162,029,595   $ —   $ 162,029,595   $ —
Corporate Bonds   30,850,039   —   30,850,039   —
Preferreds                
Consumer Discretionary   1,111,936   —   1,111,936   —
Energy   1,039,641   —   1,039,641   —
Financials   17,704,247   2,232,428   15,471,819   —
U.S. Treasury Obligations   12,750,271   —   12,750,271   —
Short-Term Investment   14,949,723   14,949,723   —   —
Total Assets   $ 240,435,452   $ 17,182,151   $ 223,253,301   $ —
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Gains and losses on principal paydowns from mortgage-backed securities are recorded as interest income on the Statements of Operations. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a
48

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
daily basis using the effective yield method except for short term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund. The Funds’ investment income, expenses (other than class-specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly to shareholders. Distributions, if any, of net short-term capital gain and net capital gain (the excess of net long-term capital gain over the short-term capital loss) realized by each Fund, after deducting any available capital loss carryovers are declared and paid to its shareholders annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Debt Investment Risk — Debt investments are affected primarily by the financial condition of the companies or other entities that have issued them and by changes in interest rates. There is a risk that an issuer of each Fund's debt investments may not be able to meet its financial obligations (e. g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or seek bankruptcy protection. Securities such as high-yield bonds, e.g., bonds with low credit ratings by Moody's (Ba or lower) or Standard & Poor's (BB and lower) or if unrated are of comparable quality as determined by the Adviser, are especially subject to credit risk during periods of economic uncertainty or during economic downturns and are more likely to default on their interest and/or principal payments than higher rated securities. Debt investments may be affected by changes in interest rates. With fixed rate securities, a rise in interest rates typically causes a fall in values. The yield earned by the Fund will vary with changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise.
Concentration of Credit Risk — The Ambrus Tax-Conscious California Bond Fund primarily invests in debt obligations issued by the state of California and its political subdivisions, agencies, and public authorities to obtain funds for various public purposes. The Fund is more susceptible to factors adversely affecting issues of California municipal securities than is a municipal bond fund that is not concentrated in these issuers.
2. Transactions with Related Parties and Other Service Providers
Whittier Advisors, LLC (“Whittier” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust. For its services, the Adviser is paid a monthly fee at the annual rate based on average daily net assets of the Fund as shown in the table below:
49

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Ambrus Core Bond Fund 0.40%
Ambrus Tax-Conscious California Bond Fund 0.40%
Ambrus Tax-Conscious National Bond Fund 0.40%
The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Funds to the extent necessary to ensure that the Funds' total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by the Trust, interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed (on an annual basis) 0.50% through January 31, 2025 and thereafter, 0.60% through January 31, 2026, of each Fund's average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees approves their earlier termination.
The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for such Fund. The Adviser is permitted to seek reimbursement from a Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No reimbursement will occur unless the Fund's expenses are below the Expense Limitation amount.
For the six months ended March 31, 2024, the amount of advisory fees earned and waived and/or reimbursed was as follows:
  Gross
Advisory Fee 		  Waiver/
Reimbursements 		  Net Advisory Fee/
(Reimbursement)
Ambrus Core Bond Fund $420,564   $(24,528)   $396,036
Ambrus Tax-Conscious California Bond Fund 355,736   (28,942)   326,794
Ambrus Tax-Conscious National Bond Fund 413,818   (35,825)   377,993
As of March 31, 2024, the amount of potential recovery was as follows:
  09/30/2025   09/30/2026   03/31/2027   Total
Ambrus Core Bond Fund $26,682   $133,166   $24,528   $184,376
Ambrus Tax-Conscious California Bond Fund —   118,425   28,942   147,367
Ambrus Tax-Conscious National Bond Fund —   137,147   35,825   172,972
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon has the ability to recover fees waived in the prior fiscal year if a Fund terminates its agreements with BNY Mellon within three years of commencing operations. As of March 31, 2024, the amount of potential recovery was $28,039, $30,571 and $23,908 for the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund, respectively. The ability to recover such amounts previously waived expires on September 6, 2025 for the Ambrus Core Bond Fund and October 3, 2025 for the Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has
50

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
  U.S. Government Securities   Other Securities
  Purchases   Sales   Purchases   Sales
Ambrus Core Bond Fund $54,646,376   $5,348,758   $61,244,375   $20,783,187
Ambrus Tax-Conscious California Bond Fund 16,717,335   —   77,445,307   18,638,219
Ambrus Tax-Conscious National Bond Fund 7,755,918   2,424,707   66,990,390   22,437,149
4. Capital Share Transactions
For the six months ended March 31, 2024 and the year/period ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year/Period Ended
September 30, 2023
  Shares   Amount   Shares   Amount
Ambrus Core Bond Fund:              
Institutional Class              
Sales 10,853,615   $106,456,508   16,205,906   $159,751,936
Reinvestments 495,956   4,870,695   369,814   3,624,305
Redemptions (1,961,449)   (19,225,403)   (452,803)   (4,432,276)
Net increase 9,388,122   $ 92,101,800   16,122,917   $158,943,965
 
51

 

AMBRUS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year/Period Ended
September 30, 2023
  Shares   Amount   Shares   Amount
               
Ambrus Tax-Conscious California Bond Fund*:              
Institutional Class              
Sales 11,474,896   $115,391,148   14,499,535   $146,431,424
Reinvestments 327,321   3,299,775   278,058   2,798,295
Redemptions (3,429,190)   (33,913,571)   (1,011,557)   (10,172,252)
Net increase 8,373,027   $ 84,777,352   13,766,036   $139,057,467
 
               
Ambrus Tax-Conscious National Bond Fund**:              
Institutional Class              
Sales 7,559,794   $ 75,738,652   18,659,538   $188,714,274
Reinvestments 405,665   4,074,484   392,204   3,940,173
Redemptions (2,340,263)   (23,306,518)   (634,339)   (6,373,179)
Net increase 5,625,196   $ 56,506,618   18,417,403   $186,281,268
 
               
* The Ambrus Tax-Conscious California Bond Fund's Institutional Class commenced operations on October 3, 2023.
** The Ambrus Tax-Conscious National Bond Fund's Institutional Class commenced operations on October 3, 2023.
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
For the year/period ended September 30, 2023, the tax character of distributions paid by the Ambrus Core Bond Fund, Ambrus Tax-Conscious California Bond Fund and Ambrus Tax-Conscious National Bond Fund were $3,645,709, $1,123,002 and $1,697,384 of ordinary income dividends and $0, $1,688,430 and $2,261,755 of tax-exempt income, respectively.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
  Capital Loss
Carryforward 		  Undistributed
Ordinary
Income 		  Undistributed
Tax Exempt 		  Distributions
Payable 		  Unrealized
Appreciation/
(Depreciation)
Ambrus Core Bond Fund $(1,453,231)   $19,157   $ —   $(21,404)   $(2,567,892)
Ambrus Tax-Conscious California Bond Fund (513,363)   —   13,149   (13,136)   (3,124,665)
Ambrus Tax-Conscious National Bond Fund (975,078)   —   19,005   (18,966)   (4,578,086)
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
52

 

AMBRUS FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
    Federal
Tax Cost* 		  Unrealized
Appreciation 		  Unrealized
(Depreciation) 		  Net Unrealized
Appreciation
Ambrus Core Bond Fund   $252,124,282   $2,907,409   $(437,697)   $2,469,712
Ambrus Tax-Conscious California Bond Fund   220,214,841   1,868,873   (646,307)   1,222,566
Ambrus Tax-Conscious National Bond Fund   238,944,839   2,450,587   (959,974)   1,490,613
* Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and April 30 and late year ordinary losses ((i) ordinary losses between January 1 and April 30, and (ii) specified ordinary and currency losses between November 1 and April 30) as occurring on the first day of the following tax year.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Funds’ capital loss carryforwards, which were comprised of both short-term losses and long-term losses, and had an unlimited period of capital loss carryover were as follows:
  Capital Loss Carryforward
  Short-Term   Long-Term
Ambrus Core Bond Fund $1,448,651   $4,580
Ambrus Tax-Conscious California Bond Fund 513,363   —
Ambrus Tax-Conscious National Bond Fund 975,078   —
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
53

 

AMBRUS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (833) 996-2101 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Funds' portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
54

 

AMBRUS FUNDS
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (833) 996-2101.
55

 

Investment Adviser
Whittier Advisors, LLC
4695 MacArthur Court
Suite 1500
Newport Beach, CA 92660
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
AMB-0324

GOTHAM FUNDS
of
FundVantage Trust
Gotham Absolute Return Fund
Gotham Enhanced Return Fund
Gotham Neutral Fund
Gotham Index Plus Fund
Gotham Large Value Fund
Gotham Enhanced S&P 500 Index Fund
Gotham Hedged Core Fund
Gotham Defensive Long 500 Fund
Gotham Total Return Fund
Gotham Enhanced 500 Plus Fund
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
IMPORTANT NOTICE – UPCOMING CHANGES TO GOTHAM FUNDS ANNUAL & SEMI-ANNUAL REPORTS
The Securities and Exchange Commission (the “SEC”) has adopted rule and form amendments that will result in changes to the design and delivery of annual and semi-annual shareholder reports (“Reports”). Beginning in July 2024, Reports will be streamlined to highlight key information (“Redesigned Reports”). Certain information currently included in the Reports, including financial statements, will no longer appear in the Reports but will be available online, delivered free of charge to shareholders upon request, and filed with the SEC.
If you previously elected to receive the Fund's Reports electronically, you will continue to receive the Redesigned Reports electronically. Otherwise, you will receive paper copies of the Fund's Redesigned Reports via USPS mail for all Reports transmitted after July 2024. If you would like to receive the Fund's Redesigned Reports (and/or other communications) electronically instead of by mail, please contact your financial advisor or, if you are a direct investor, please call (877) 974-6852.
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

GOTHAM FUNDS
SEMI-ANNUAL REPORT
AS OF March 31, 2024
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GOTHAM FUNDS
Important Information
The performance data quoted in this report represents past performance and does not guarantee future results. The investment return and principal value of an investment in a Gotham Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (877) 974-6852.
Each Gotham Fund covered by this report (each a “Fund”) compares its performance to an unmanaged index. An index does not reflect operational and transactional costs which apply to a mutual fund. It is not possible to invest directly in an index.
Mutual fund investing involves risks, including possible loss of principal. Each Fund except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund will short securities. Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Each Fund, except Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, will also use leverage to make additional investments which could result in greater losses than if the Fund were not leveraged. Gotham Absolute Return Fund, Gotham Enhanced Return Fund, Gotham Neutral Fund, Gotham Index Plus Fund and Gotham Defensive Long 500 Fund utilize one or more swap agreements in their investment programs. The use of derivatives, such as swaps, exposes a Fund to additional risks including increased volatility, lack of liquidity and possible losses greater than a Fund’s initial investments. Gotham Total Return Fund will primarily engage in short sales, leverage and swaps through its investments in underlying funds. Certain Funds may invest in securities of large-, mid- and small-cap companies. The securities issued by small-cap and mid-cap companies tend to be more volatile and less liquid than those of large-cap issuers. Each Fund may have a high turnover of its portfolio securities. High turnover rates generally result in higher brokerage costs to a Fund. There can be no guarantee that a Fund will achieve its objectives.
A prospective investor should consider the investment objectives, risks, charges and expenses of a Fund carefully before investing. The prospectus and summary prospectus contains this and other information about the Funds, and should be read carefully before investing. A copy of the prospectus or summary prospectus is available at www.GothamFunds.com or by calling (877) 974-6852.
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Table of Contents
GOTHAM FUNDS
Gotham Absolute Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   10 Years
Institutional Class Shares 20.55%   28.50%   14.02%   9.73%   6.16%
HFRX Equity Hedge Index 7.13%   9.66%   5.34%   5.57%   3.09%
* Not Annualized.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.73% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
2

 

Table of Contents
GOTHAM FUNDS
Gotham Enhanced Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   10 Years
Institutional Class Shares 29.71%   41.36%   17.79%   12.85%   9.77%
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   12.96%
* Not Annualized.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor's 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
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GOTHAM FUNDS
Gotham Neutral Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   10 Years
Institutional Class Shares 13.00%   21.98%   13.65%   5.29%   2.23%
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index 2.68%   5.24%   2.58%   2.02%   1.38%
* Not Annualized.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.96% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.50% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.50% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “BofA Index”). The BofA Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue.
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GOTHAM FUNDS
Gotham Index Plus Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 25.73%   37.28%   15.45%   15.26%   13.39% **
Investor Class Shares 25.54%   36.94%   15.17%   14.96%   12.19% **
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   12.99% ***
* Not Annualized.
** Institutional Class shares and Investor Class shares of the Gotham Index Plus Fund (the “Fund”) incepted on March 31, 2015 and December 29, 2017, respectively.
*** Benchmark performance is from inception date of the Fund’s Institutional Class shares only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class and Investor Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.24% and 1.15% for Institutional Class shares, respectively, and 1.49% and 1.40% for Investor Class shares, respectively, of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.15% with respect to Institutional Class shares (on an annual basis) and 0.15% with respect to Investor Class shares (on an annual basis), of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 1.00% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
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GOTHAM FUNDS
Gotham Large Value Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 19.38%   21.49%   9.99%   11.57%   12.19% **
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   14.19% ***
* Not Annualized.
** The Gotham Large Value Fund (the “Fund”) commenced operations on December 31, 2015.
*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.21% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.75% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.75% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
6

 

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GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 22.16%   29.09%   12.16%   14.23%   14.70% **
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   14.54% ***
* Not Annualized.
** The Gotham Enhanced S&P 500 Index Fund (the “Fund”) commenced operations on December 30, 2016.
*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 0.65% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.50% for Institutional Class shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. Additionally, Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the 0.50% annual investment advisory fee paid by the Fund.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
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GOTHAM FUNDS
Gotham Hedged Core Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 19.81%   21.31%   10.15%   9.97%   9.77% **
HFRX Equity Hedge Index 7.13%   9.66%   5.34%   5.57%   4.54% ***
* Not Annualized.
** The Gotham Hedged Core Fund (the “Fund”) commenced operations on September 30, 2016.
*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” is 1.75% for Institutional Class Shares of the Fund’s average daily net assets. This ratio may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 0.85% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
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GOTHAM FUNDS
Gotham Defensive Long 500 Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 20.33%   25.81%   12.32%   7.56%   9.41% **
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   14.55% ***
* Not Annualized.
** The Gotham Defensive Long 500 Fund (the “Fund”) commenced operations on September 30, 2016.
*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 2.09% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 1.35% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.35% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
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Table of Contents
GOTHAM FUNDS
Gotham Total Return Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares** 19.99%   25.29%   10.68%   6.80%   7.14% ***
HFRX Equity Hedge Index 7.13%   9.66%   5.34%   5.57%   3.17% ****
* Not Annualized.
** On January 30, 2023, Investor Class shares of the Fund were automatically converted to Institutional Class shares of the Fund and the Investor Class was terminated as a separately designated class of the Fund.
*** The Gotham Total Return Fund (the “Fund”) commenced operations on March 31, 2015.
**** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of the shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 1.78% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 0.91% for the Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, management fees (if any) and brokerage commissions), do not exceed 0.00% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The recoupment of fees waived or expenses reimbursed are limited to the lesser of (a) the Expense Limitation in effect at the time fees were waived or expenses were reimbursed, and (b) the Expense Limitation in effect at the time of recoupment.
The Fund evaluates its performance as compared to that of the Hedge Fund Research Inc. Equity Hedge Index (“HFRX”). The HFRX is an index of quantitatively-selected hedge funds which maintain positions both long and short in primarily equity and equity derivative securities. Constituents of the HFRX report net of all fees returns.
The Fund normally allocates the majority of its assets among investment companies advised or sub-advised by Gotham. Therefore, the Fund's shareholders will indirectly bear the Fund's proportionate share of fees and expenses of the underlying funds in addition to the Fund's own expenses. The Fund also is subject to the risks of the underlying funds, which may include any or all of the risks described in Important Information.
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GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months* 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 22.20%   31.07%   13.37%   13.20%   13.56% **
S&P 500® Total Return Index 23.48%   29.88%   11.49%   15.05%   14.55% ***
* Not Annualized.
** The Gotham Enhanced 500 Plus Fund (the “Fund”) commenced operations on September 30, 2016.
*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.
Past performance does not guarantee future results. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares; nor a 1.00% fee applied by the Fund’s Institutional Class to the value of shares redeemed within 30 days of purchase.
As stated in the current prospectus dated February 1, 2024, the “Total Annual Fund Operating Expenses” are 5.23% and the “Total Annual Fund Operating Expenses After Fee Waivers and/or Expense Reimbursements” are 2.15% for Institutional Class Shares of the Fund’s average daily net assets. These ratios may differ from the actual expense incurred by the Fund for the period covered by this report. Gotham Asset Management, LLC (“Gotham” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses”, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed 1.15% (on an annual basis) of average daily net assets of the Fund (the “Expense Limitation”). The Expense Limitation will remain in place until January 31, 2026, unless the Board of Trustees of FundVantage Trust (the “Trust”) approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® Total Return Index (“S&P 500® Total Return Index”). The S&P 500® Total Return Index is a market capitalization weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. Its returns reflect reinvested dividends.
11

 

Table of Contents
GOTHAM FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024.
Actual Expenses
The first line for each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000= 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning Account Value
October 1, 2023 		  Ending Account Value
March 31, 2024 		  Annualized
Expense Ratio* 		  Expenses Paid
During Period**
Gotham Absolute Return Fund
Institutional Class              
Actual $1,000.00   $1,205.50   1.50%   $ 8.27
Hypothetical (5% return before expenses) 1,000.00   1,017.50   1.50%   7.57
Gotham Enhanced Return Fund
Institutional Class              
Actual $1,000.00   $1,297.10   1.28%   $ 7.35
Hypothetical (5% return before expenses) 1,000.00   1,018.60   1.28%   6.46
Gotham Neutral Fund
Institutional Class              
Actual $1,000.00   $1,130.00   1.50%   $ 7.99
Hypothetical (5% return before expenses) 1,000.00   1,017.50   1.50%   7.57
12

 

Table of Contents
GOTHAM FUNDS
Fund Expense Disclosure (Continued)
March 31, 2024
(Unaudited)
  Beginning Account Value
October 1, 2023 		  Ending Account Value
March 31, 2024 		  Annualized
Expense Ratio* 		  Expenses Paid
During Period**
Gotham Index Plus Fund
Institutional Class              
Actual $1,000.00   $1,257.30   0.93%   $ 5.25
Hypothetical (5% return before expenses) 1,000.00   1,020.35   0.93%   4.70
Investor Class              
Actual $1,000.00   $1,255.40   1.18%   $ 6.65
Hypothetical (5% return before expenses) 1,000.00   1,019.10   1.18%   5.96
Gotham Large Value Fund
Institutional Class              
Actual $1,000.00   $1,193.80   0.75%   $ 4.11
Hypothetical (5% return before expenses) 1,000.00   1,021.25   0.75%   3.79
Gotham Enhanced S&P 500 Index Fund
Institutional Class              
Actual $1,000.00   $1,221.60   0.50%   $ 2.78
Hypothetical (5% return before expenses) 1,000.00   1,022.50   0.50%   2.53
Gotham Hedged Core Fund
Institutional Class              
Actual $1,000.00   $1,198.10   1.72%   $ 9.45
Hypothetical (5% return before expenses) 1,000.00   1,016.40   1.72%   8.67
Gotham Defensive Long 500 Fund
Institutional Class              
Actual $1,000.00   $1,203.30   1.35%   $ 7.44
Hypothetical (5% return before expenses) 1,000.00   1,018.25   1.35%   6.81
Gotham Total Return Fund
Institutional Class              
Actual $1,000.00   $1,199.90   0.00%   $ —
Hypothetical (5% return before expenses) 1,000.00   1,025.00   0.00%   —
Gotham Enhanced 500 Plus Fund
Institutional Class              
Actual $1,000.00   $1,222.00   2.08%   $11.55
Hypothetical (5% return before expenses) 1,000.00   1,014.60   2.08%   10.48
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GOTHAM FUNDS
Fund Expense Disclosure (Concluded)
March 31, 2024
(Unaudited)
* Annualized expense ratios include dividend expense on securities sold short and interest expense on securities sold short and borrowings, except for Gotham Large Value Fund and Gotham Enhanced S&P 500 Index Fund, which do not short securities or use leverage.
** Expenses are equal to a Fund’s annualized expense ratio, in the table above, which include waived fees or reimbursement expenses for the six-month period ended March 31, 2024, multiplied by the average account value over the period, multiplied by the number of days in the most recent period, then divided by 366 to reflect the period. Hypothetical expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 366 to reflect the period.
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Gotham Absolute Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Capital Goods 11.8%   $ 77,678,435
Software & Services 10.4   68,141,874
Semiconductors & Semiconductor Equipment 7.5   49,500,738
Health Care Equipment & Services 6.1   40,059,197
Technology Hardware & Equipment 6.0   39,636,890
Energy 5.8   37,953,312
Media & Entertainment 5.6   36,478,916
Pharmaceuticals, Biotechnology & Life Sciences 5.4   35,388,674
Consumer Discretionary Distribution & Retail 5.0   33,105,926
Materials 4.5   29,508,986
Financial Services 3.9   25,354,928
Food, Beverage & Tobacco 3.6   23,822,356
Consumer Services 3.5   22,716,427
Consumer Durables & Apparel 2.6   16,789,131
Commercial & Professional Services 2.5   16,290,667
Utilities 2.5   16,163,950
Consumer Staples Distribution & Retail 2.4   15,489,565
Transportation 1.8   12,120,146
Household & Personal Products 1.6   10,473,391
Automobiles & Components 1.4   9,181,845
Telecommunication Services 1.0   6,759,313
Total Common Stocks 94.9   622,614,667
Other Assets in Excess of Liabilities 5.1   33,383,782
NET ASSETS 100.0%   $655,998,449
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
Gotham Enhanced Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Capital Goods 6.4%   $ 15,028,022
Software & Services 6.1   14,417,392
Semiconductors & Semiconductor Equipment 3.8   9,077,227
Energy 3.3   7,852,310
Health Care Equipment & Services 3.2   7,434,552
Media & Entertainment 3.1   7,220,323
Technology Hardware & Equipment 2.5   5,831,563
Pharmaceuticals, Biotechnology & Life Sciences 2.5   5,784,674
Materials 2.4   5,734,484
Financial Services 2.2   5,275,618
Food, Beverage & Tobacco 2.1   4,995,012
Consumer Discretionary Distribution & Retail 2.0   4,634,827
Consumer Services 1.9   4,421,603
Consumer Durables & Apparel 1.7   4,024,816
Consumer Staples Distribution & Retail 1.4   3,354,722
Commercial & Professional Services 1.3   3,020,293
Utilities 1.3   2,973,823
Transportation 1.0   2,458,797
Household & Personal Products 0.8   1,884,447
Telecommunication Services 0.7   1,633,738
Automobiles & Components 0.7   1,561,629
Exchange Traded Funds 0.5   1,210,384
Affiliated Equity Registered Investment Companies 44.2   104,030,580
Total Investments 95.1   223,860,836
Other Assets in Excess of Liabilities 4.9   11,590,903
NET ASSETS 100.0%   $235,451,739
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
16

 

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Gotham Neutral Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Capital Goods 12.3%   $ 9,394,055
Software & Services 9.5   7,279,753
Energy 7.1   5,392,563
Health Care Equipment & Services 6.8   5,163,581
Materials 6.2   4,748,774
Semiconductors & Semiconductor Equipment 6.0   4,593,569
Media & Entertainment 5.4   4,103,500
Technology Hardware & Equipment 5.2   3,977,817
Pharmaceuticals, Biotechnology & Life Sciences 4.3   3,314,999
Food, Beverage & Tobacco 4.0   3,087,689
Consumer Discretionary Distribution & Retail 3.9   2,985,300
Consumer Services 3.9   2,971,651
Financial Services 3.3   2,481,534
Consumer Durables & Apparel 3.1   2,338,198
Commercial & Professional Services 3.0   2,324,524
Utilities 2.9   2,195,270
Consumer Staples Distribution & Retail 2.8   2,118,994
Household & Personal Products 1.8   1,360,129
Transportation 1.3   1,022,339
Automobiles & Components 1.2   912,212
Telecommunication Services 1.0   741,378
Total Common Stocks 95.0   72,507,829
Other Assets in Excess of Liabilities 5.0   3,838,104
NET ASSETS 100.0%   $76,345,933
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Index Plus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Capital Goods 5.7%   $ 40,102,691
Semiconductors & Semiconductor Equipment 4.0   27,910,943
Health Care Equipment & Services 3.3   23,172,753
Pharmaceuticals, Biotechnology & Life Sciences 3.2   22,632,522
Food, Beverage & Tobacco 3.2   22,362,788
Software & Services 3.0   21,494,654
Financial Services 2.6   18,532,809
Energy 2.5   17,380,790
Technology Hardware & Equipment 2.4   17,235,809
Materials 2.4   17,038,403
Media & Entertainment 2.3   16,126,363
Consumer Services 2.0   13,800,777
Commercial & Professional Services 1.6   11,403,972
Insurance 1.6   10,979,237
Utilities 1.5   10,567,122
Consumer Discretionary Distribution & Retail 1.5   10,456,141
Consumer Durables & Apparel 1.5   10,410,808
Equity Real Estate Investment Trusts (REITs) 1.4   10,028,530
Transportation 1.1   8,072,127
Household & Personal Products 1.0   7,126,844
Consumer Staples Distribution & Retail 0.7   5,080,909
Banks 0.7   4,890,624
Telecommunication Services 0.5   3,526,640
Automobiles & Components 0.4   2,551,119
Real Estate Management & Development 0.2   1,458,211
Exchange Traded Funds 0.7   4,983,288
Affiliated Equity Registered Investment Company 43.4   306,003,106
Total Investments 94.4   665,329,980
Other Assets in Excess of Liabilities 5.6   39,300,668
NET ASSETS 100.0%   $704,630,648
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Large Value Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Capital Goods 16.8%   $ 9,149,696
Energy 7.9   4,319,075
Food, Beverage & Tobacco 7.4   4,023,174
Materials 5.8   3,137,365
Health Care Equipment & Services 5.6   3,038,807
Insurance 5.3   2,880,953
Consumer Discretionary Distribution & Retail 5.2   2,826,537
Technology Hardware & Equipment 5.0   2,745,069
Pharmaceuticals, Biotechnology & Life Sciences 4.5   2,429,576
Semiconductors & Semiconductor Equipment 4.4   2,379,965
Telecommunication Services 3.9   2,112,337
Financial Services 3.8   2,071,808
Consumer Services 3.2   1,740,614
Media & Entertainment 3.0   1,607,215
Transportation 2.9   1,588,710
Software & Services 2.6   1,421,318
Consumer Durables & Apparel 2.5   1,370,299
Household & Personal Products 2.4   1,297,857
Banks 1.6   894,689
Consumer Staples Distribution & Retail 1.4   788,354
Commercial & Professional Services 1.3   706,372
Equity Real Estate Investment Trusts (REITs) 1.2   663,540
Utilities 1.0   526,045
Automobiles & Components 0.3   183,106
Real Estate Management & Development 0.3   167,642
Total Common Stocks 99.3   54,070,123
Other Assets in Excess of Liabilities 0.7   369,252
NET ASSETS 100.0%   $54,439,375
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Enhanced S&P 500 Index Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Software & Services 10.9%   $ 2,189,141
Capital Goods 10.0   1,993,382
Media & Entertainment 9.8   1,958,023
Semiconductors & Semiconductor Equipment 8.9   1,776,759
Consumer Discretionary Distribution & Retail 8.7   1,739,848
Technology Hardware & Equipment 8.4   1,677,599
Financial Services 6.9   1,389,095
Food, Beverage & Tobacco 5.5   1,105,616
Pharmaceuticals, Biotechnology & Life Sciences 3.9   770,846
Health Care Equipment & Services 3.5   705,024
Energy 3.3   665,344
Telecommunication Services 3.1   624,418
Consumer Services 2.7   538,387
Household & Personal Products 2.2   443,887
Banks 2.2   433,991
Insurance 2.1   428,202
Materials 1.8   358,452
Consumer Durables & Apparel 1.5   292,091
Transportation 1.1   221,350
Automobiles & Components 0.9   175,323
Consumer Staples Distribution & Retail 0.7   132,880
Commercial & Professional Services 0.5   105,512
Utilities 0.5   93,902
Equity Real Estate Investment Trusts (REITs) 0.3   54,699
Real Estate Management & Development 0.0   3,683
Total Common Stocks 99.4   19,877,454
Other Assets in Excess of Liabilities 0.6   125,684
NET ASSETS 100.0%   $20,003,138
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Hedged Core Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
LONG POSITIONS:      
Common Stocks:      
Technology Hardware & Equipment 17.5%   $ 1,004,177
Food, Beverage & Tobacco 15.2   871,607
Health Care Equipment & Services 12.1   694,407
Software & Services 10.0   576,050
Financial Services 8.9   513,981
Media & Entertainment 8.9   510,680
Semiconductors & Semiconductor Equipment 8.7   502,646
Capital Goods 7.8   449,274
Consumer Discretionary Distribution & Retail 7.7   440,518
Household & Personal Products 7.3   416,929
Insurance 6.7   385,720
Pharmaceuticals, Biotechnology & Life Sciences 4.8   273,501
Consumer Durables & Apparel 4.7   269,026
Telecommunication Services 3.8   220,043
Consumer Services 3.7   210,843
Commercial & Professional Services 3.2   185,750
Transportation 2.1   121,991
Consumer Staples Distribution & Retail 1.9   110,113
Energy 1.7   100,287
Utilities 1.0   55,370
Materials 0.2   8,949
Automobiles & Components 0.1   3,543
Total Long Positions 138.0   7,925,405
  % of Net
Assets 		  Value
SHORT POSITIONS:      
Common Stocks :      
Household & Personal Products (0.1)%   $ (5,549)
Media & Entertainment (0.1)   (7,567)
Consumer Discretionary Distribution & Retail (0.2)   (8,824)
Insurance (0.3)   (17,093)
Automobiles & Components (0.3)   (19,152)
Real Estate Management & Development (0.5)   (30,332)
Food, Beverage & Tobacco (0.5)   (31,018)
Financial Services (0.6)   (31,878)
Energy (0.6)   (32,443)
Consumer Durables & Apparel (0.7)   (42,943)
Capital Goods (0.7)   (43,011)
Commercial & Professional Services (0.8)   (44,074)
Equity Real Estate Investment Trusts (REITs) (1.3)   (71,789)
Materials (1.5)   (87,259)
Consumer Services (1.6)   (91,995)
Transportation (1.9)   (108,601)
Technology Hardware & Equipment (2.3)   (133,945)
Pharmaceuticals, Biotechnology & Life Sciences (3.5)   (202,524)
Software & Services (3.7)   (212,004)
Health Care Equipment & Services (4.0)   (230,302)
Semiconductors & Semiconductor Equipment (5.0)   (287,875)
Utilities (9.5)   (543,348)
Total Short Positions (39.7)   (2,283,526)
Other Assets in Excess of Liabilities 1.7   100,452
NET ASSETS 100.0%   $ 5,742,331
 
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Defensive Long 500 Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Common Stocks:      
Technology Hardware & Equipment 12.5%   $ 2,156,581
Food, Beverage & Tobacco 10.7   1,842,690
Health Care Equipment & Services 7.9   1,363,068
Capital Goods 7.8   1,340,227
Semiconductors & Semiconductor Equipment 6.9   1,192,631
Media & Entertainment 6.0   1,028,275
Software & Services 5.9   1,009,152
Financial Services 5.9   1,004,390
Household & Personal Products 4.7   811,513
Insurance 4.1   696,893
Pharmaceuticals, Biotechnology & Life Sciences 3.6   621,911
Consumer Discretionary Distribution & Retail 3.6   614,775
Consumer Durables & Apparel 3.1   525,852
Consumer Services 2.8   475,906
Telecommunication Services 2.3   401,189
Commercial & Professional Services 2.0   348,691
Transportation 1.5   262,249
Consumer Staples Distribution & Retail 1.0   177,752
Energy 0.8   140,749
Materials 0.8   139,140
Utilities 0.7   123,263
Automobiles & Components 0.4   61,003
Total Common Stocks 95.0   16,337,900
Other Assets in Excess of Liabilities 5.0   867,648
NET ASSETS 100.0%   $17,205,548
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Gotham Total Return Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
Affiliated Equity Registered Investment Companies 99.1%   $14,255,234
Other Assets in Excess of Liabilities 0.9   134,934
NET ASSETS 100.0%   $14,390,168
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
Gotham Enhanced 500 Plus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry group of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
LONG POSITIONS:      
Common Stocks:      
Capital Goods 18.2%   $ 801,447
Software & Services 12.3   541,983
Technology Hardware & Equipment 11.6   510,406
Media & Entertainment 11.5   509,147
Consumer Discretionary Distribution & Retail 11.1   491,423
Semiconductors & Semiconductor Equipment 10.7   472,328
Food, Beverage & Tobacco 9.0   396,143
Financial Services 8.6   380,035
Health Care Equipment & Services 5.5   241,392
Pharmaceuticals, Biotechnology & Life Sciences 5.0   222,518
Telecommunication Services 4.9   216,878
Energy 4.7   205,744
Consumer Services 4.5   200,179
Insurance 4.0   175,967
Materials 3.9   172,994
Household & Personal Products 3.5   154,134
Consumer Durables & Apparel 2.6   115,906
Banks 2.2   95,854
Transportation 1.8   80,319
Commercial & Professional Services 1.1   47,985
Consumer Staples Distribution & Retail 0.7   32,037
Utilities 0.6   27,082
Automobiles & Components 0.4   17,105
Equity Real Estate Investment Trusts (REITs) 0.2   9,648
Real Estate Management & Development 0.0   583
Total Long Positions 138.6   6,119,237
  % of Net
Assets 		  Value
SHORT POSITIONS:      
Common Stocks :      
Banks (0.0)%   $ (42)
Consumer Durables & Apparel (0.2)   (8,100)
Real Estate Management & Development (0.2)   (8,501)
Automobiles & Components (0.2)   (10,717)
Media & Entertainment (0.3)   (11,049)
Household & Personal Products (0.4)   (17,344)
Consumer Discretionary Distribution & Retail (0.7)   (31,118)
Insurance (0.7)   (32,445)
Technology Hardware & Equipment (0.8)   (34,977)
Food, Beverage & Tobacco (1.0)   (45,347)
Financial Services (1.3)   (57,223)
Transportation (1.4)   (59,742)
Consumer Staples Distribution & Retail (1.4)   (63,125)
Consumer Services (1.5)   (66,462)
Commercial & Professional Services (1.6)   (69,505)
Materials (1.8)   (77,575)
Energy (1.9)   (84,803)
Capital Goods (2.2)   (97,728)
Semiconductors & Semiconductor Equipment (3.0)   (132,769)
Software & Services (3.1)   (136,871)
Equity Real Estate Investment Trusts (REITs) (3.3)   (146,135)
Utilities (4.2)   (184,601)
Health Care Equipment & Services (4.5)   (196,983)
Pharmaceuticals, Biotechnology & Life Sciences (4.8)   (213,160)
Total Short Positions (40.5)   (1,786,322)
Other Assets in Excess of Liabilities 1.9   82,710
NET ASSETS 100.0%   $ 4,415,625
 
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
24

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 94.9%
Automobiles & Components — 1.4%
American Axle & Manufacturing Holdings, Inc.*  34,413   $     253,280
Aptiv PLC (Jersey)*   2,938       234,012
BorgWarner, Inc.  36,188     1,257,171
Dorman Products, Inc.*   1,362       131,283
Ford Motor Co.(a) 217,698     2,891,030
Garrett Motion, Inc.*     739         7,346
General Motors Co.(a)  63,272     2,869,385
Gentherm, Inc.*   1,486        85,564
Goodyear Tire & Rubber Co. (The)*  14,017       192,453
LCI Industries   6,122       753,373
Lear Corp.   1,307       189,358
Modine Manufacturing Co.*     402        38,266
Visteon Corp.*   2,375       279,324
        9,181,845
Capital Goods — 11.8%
3M Co.   1,584       168,015
A. O. Smith Corp.  12,657     1,132,295
AAR Corp.*     489        29,276
Acuity Brands, Inc.   1,455       391,002
AECOM   6,126       600,838
American Woodmark Corp.*   4,211       428,090
AMETEK, Inc.     779       142,479
Apogee Enterprises, Inc.       7           414
Applied Industrial Technologies, Inc.   1,559       307,980
Array Technologies, Inc.*  84,611     1,261,550
AZEK Co., Inc. (The)*  42,709     2,144,846
Beacon Roofing Supply, Inc.*   2,932       287,395
Blue Bird Corp.*   4,772       182,958
Boeing Co. (The)*   2,276       439,245
Boise Cascade Co.     758       116,254
Builders FirstSource, Inc.*   6,921     1,443,375
BWX Technologies, Inc.   9,283       952,621
Cadre Holdings, Inc.   1,124        40,689
Carlisle Cos., Inc.   1,555       609,327
Carrier Global Corp.   6,053       351,861
Caterpillar, Inc.(a)   6,118     2,241,819
Chart Industries, Inc.*   1,638       269,811
Comfort Systems USA, Inc.   5,037     1,600,305
Core & Main, Inc., Class A*   7,285       417,066
Crane Co.  10,872     1,469,133
CSW Industrials, Inc.     679       159,293
Cummins, Inc.   4,710     1,387,802
Curtiss-Wright Corp.   1,533       392,356
Deere & Co.   2,253       925,397
DNOW, Inc.*  13,428       204,106
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Donaldson Co., Inc.   8,093   $     604,385
Dover Corp.   2,892       512,434
Eaton Corp. PLC (Ireland)   5,423     1,695,664
EMCOR Group, Inc.   3,003     1,051,651
Emerson Electric Co.(a)   5,319       603,281
Enerpac Tool Group Corp.   9,477       337,950
EnerSys   7,433       702,121
Enpro, Inc.   1,668       281,508
Esab Corp.   2,318       256,301
Fastenal Co.   3,628       279,864
Flowserve Corp.  12,459       569,127
Fluence Energy, Inc.*  33,778       585,711
Fortune Brands Innovations, Inc.   3,910       331,060
Gates Industrial Corp. PLC (United Kingdom)*  14,296       253,182
Generac Holdings, Inc.*  13,860     1,748,300
General Dynamics Corp.(a)   6,574     1,857,089
General Electric Co.(a)  15,009     2,634,530
Gibraltar Industries, Inc.*   4,055       326,549
Gorman-Rupp Co. (The)      13           514
Griffon Corp.  19,222     1,409,742
Hillman Solutions Corp.*  41,767       444,401
Honeywell International, Inc.(a)  14,919     3,062,125
Howmet Aerospace, Inc.   4,484       306,840
Hubbell, Inc.   1,423       590,616
Huntington Ingalls Industries, Inc.   2,247       654,933
Illinois Tool Works, Inc.   4,915     1,318,842
Ingersoll Rand, Inc.  16,204     1,538,570
ITT, Inc.   1,374       186,905
Kadant, Inc.     697       228,686
Kaman Corp.     472        21,651
Kennametal, Inc.   7,986       199,171
Kratos Defense & Security Solutions, Inc.*   6,498       119,433
L3Harris Technologies, Inc.   1,256       267,654
Leonardo DRS, Inc.*   3,782        83,544
Lincoln Electric Holdings, Inc.   3,948     1,008,477
Lindsay Corp.   3,008       353,921
Lockheed Martin Corp.(a)   8,528     3,879,131
Masco Corp.  20,407     1,609,704
MDU Resources Group, Inc.  47,570     1,198,764
Middleby Corp. (The)*   3,212       516,458
MSC Industrial Direct Co., Inc., Class A  12,497     1,212,709
Mueller Industries, Inc.   5,715       308,210
Nikola Corp.*  11,815        12,288
Otis Worldwide Corp.   8,758       869,407
 
The accompanying notes are an integral part of the financial statements.
25

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
PACCAR, Inc.   4,428   $     548,585
Parker-Hannifin Corp.(a)   2,389     1,327,782
Powell Industries, Inc.   8,094     1,151,776
Proto Labs, Inc.*     799        28,564
Quanex Building Products Corp.     378        14,527
Quanta Services, Inc.(a)  10,392     2,699,842
Regal Rexnord Corp.   2,270       408,827
Resideo Technologies, Inc.*  11,134       249,624
RTX Corp.  12,401     1,209,470
Snap-on, Inc.   4,447     1,317,290
SPX Technologies, Inc.*   2,854       351,413
Stanley Black & Decker, Inc.  16,832     1,648,358
Stantec, Inc. (Canada)     194        16,110
Sterling Infrastructure, Inc.*   4,539       500,697
Tennant Co.   3,853       468,563
Terex Corp.   9,932       639,621
Textron, Inc.  20,291     1,946,516
Trane Technologies PLC (Ireland)   2,480       744,496
Trex Co., Inc.*   4,762       475,010
Tutor Perini Corp.*     418         6,044
UFP Industries, Inc.   4,594       565,108
United Rentals, Inc.(a)   2,015     1,453,037
Wabash National Corp.  21,965       657,632
Watts Water Technologies, Inc., Class A   2,244       476,962
Woodward, Inc.   4,849       747,328
WW Grainger, Inc.   1,188     1,208,552
Zurn Elkay Water Solutions Corp.  20,487       685,700
       77,678,435
Commercial & Professional Services — 2.5%
ACV Auctions, Inc., Class A*  40,003       750,856
Alight, Inc., Class A*  14,603       143,840
ASGN, Inc.*   3,051       319,623
Automatic Data Processing, Inc.   6,367     1,590,095
Booz Allen Hamilton Holding Corp.   5,803       861,397
Brink's Co. (The)     823        76,029
Broadridge Financial Solutions, Inc.   1,433       293,564
Cimpress PLC (Ireland)*     720        63,727
Cintas Corp.   1,043       716,572
Conduent, Inc.*     771         2,606
Copart, Inc.*   4,671       270,544
CSG Systems International, Inc.   5,195       267,750
Enviri Corp.*   1,915        17,522
Healthcare Services Group, Inc.*   6,668        83,217
Heidrick & Struggles International, Inc.      29           976
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Commercial & Professional Services — (Continued)
HireRight Holdings Corp.*     184   $       2,626
Jacobs Solutions, Inc.   9,608     1,477,038
Leidos Holdings, Inc.  10,033     1,315,226
ManpowerGroup, Inc.   6,027       467,936
Maximus, Inc.   2,802       235,088
MillerKnoll, Inc.   6,001       148,585
MSA Safety, Inc.   1,145       221,661
OPENLANE, Inc.*   8,894       153,866
Parsons Corp.*   8,216       681,517
Republic Services, Inc.   7,372     1,411,296
Robert Half, Inc.   9,709       769,729
Science Applications International Corp.     855       111,483
SS&C Technologies Holdings, Inc.     342        22,015
Steelcase, Inc., Class A  20,433       267,264
Sterling Check Corp.*     669        10,757
TaskUS, Inc., Class A*     728         8,481
TELUS International CDA, Inc. (Canada)*     662         5,601
Tetra Tech, Inc.   5,333       985,058
Veralto Corp.  15,645     1,387,086
Verisk Analytics, Inc.     703       165,718
Waste Connections, Inc. (Canada)   4,171       717,454
Waste Management, Inc.   1,252       266,864
       16,290,667
Consumer Discretionary Distribution & Retail — 5.0%
Abercrombie & Fitch Co., Class A*   7,430       931,202
Amazon.com, Inc.(a)*  51,250     9,244,475
AutoZone, Inc.*     406     1,279,570
Bath & Body Works, Inc.   7,034       351,841
Best Buy Co., Inc.   1,750       143,552
Carvana Co.(a)*  42,093     3,700,396
eBay, Inc.  41,446     2,187,520
Etsy, Inc.*  16,426     1,128,795
Gap, Inc. (The)  63,931     1,761,299
Genuine Parts Co.   2,735       423,734
Hibbett, Inc.     941        72,278
Home Depot, Inc. (The)(a)  10,640     4,081,504
Kohl's Corp.  22,919       668,089
LKQ Corp.   4,198       224,215
Monro, Inc.   9,002       283,923
ODP Corp. (The)*  14,666       778,031
Pool Corp.   1,846       744,861
Ross Stores, Inc.   1,907       279,871
Signet Jewelers Ltd. (Bermuda)  12,434     1,244,270
TJX Cos., Inc. (The)  12,808     1,298,987
 
The accompanying notes are an integral part of the financial statements.
26

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Discretionary Distribution & Retail — (Continued)
Ulta Beauty, Inc.*   2,251   $   1,177,003
Urban Outfitters, Inc.*  11,447       497,029
Wayfair, Inc., Class A*   2,116       143,634
Williams-Sonoma, Inc.     685       217,508
Winmark Corp.     670       242,339
       33,105,926
Consumer Durables & Apparel — 2.6%
BRP, Inc., sub-voting shares (Canada)      45         3,019
Carter's, Inc.   6,426       544,154
Columbia Sportswear Co.   5,034       408,660
Cricut, Inc., Class A     422         2,009
Deckers Outdoor Corp.*   1,205     1,134,218
DR Horton, Inc.      53         8,721
Figs, Inc., Class A*  92,819       462,239
Garmin Ltd. (Switzerland)  10,307     1,534,403
G-III Apparel Group Ltd.*  18,210       528,272
Hasbro, Inc.  11,582       654,615
Helen of Troy Ltd. (Bermuda)*   4,738       546,007
La-Z-Boy, Inc.   3,111       117,036
Leggett & Platt, Inc.  11,338       217,123
Lululemon Athletica, Inc.*      47        18,360
Mattel, Inc.*  74,118     1,468,278
Mohawk Industries, Inc.*   6,704       877,487
Newell Brands, Inc.   1,348        10,824
NIKE, Inc., Class B   5,214       490,012
NVR, Inc.*      42       340,198
Polaris, Inc.   2,060       206,247
PulteGroup, Inc.  15,388     1,856,101
PVH Corp.   2,325       326,918
Ralph Lauren Corp.   7,751     1,455,328
Smith & Wesson Brands, Inc.     198         3,437
Sonos, Inc.*  15,322       292,037
Tapestry, Inc.  14,610       693,683
TopBuild Corp.*   1,412       622,311
Vista Outdoor, Inc.*  11,849       388,410
Worthington Enterprises, Inc.   7,543       469,401
YETI Holdings, Inc.*  28,784     1,109,623
       16,789,131
Consumer Services — 3.5%
ADT, Inc.  79,465       534,005
Adtalem Global Education, Inc.*   2,237       114,982
Aramark  51,660     1,679,983
Booking Holdings, Inc.(a)     990     3,591,601
Bright Horizons Family Solutions, Inc.*   2,489       282,153
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
Brinker International, Inc.*  19,413   $     964,438
Caesars Entertainment, Inc.*  23,279     1,018,223
Dine Brands Global, Inc.   3,381       157,149
DoorDash, Inc., Class A*   2,054       282,877
DraftKings, Inc., Class A*   3,874       175,918
European Wax Center, Inc., Class A*   3,042        39,485
Expedia Group, Inc.*   8,048     1,108,612
Frontdoor, Inc.*  27,427       893,572
Grand Canyon Education, Inc.*   1,546       210,581
International Game Technology PLC (United Kingdom)   3,048        68,854
Las Vegas Sands Corp.  14,818       766,091
Marriott International, Inc., Class A   2,034       513,199
McDonald's Corp.   9,593     2,704,746
MGM Resorts International*  10,523       496,791
Royal Caribbean Cruises Ltd. (Liberia)*  15,025     2,088,625
Shake Shack, Inc., Class A*   1,500       156,045
Starbucks Corp.   6,121       559,398
Strategic Education, Inc.   1,052       109,534
Sweetgreen, Inc., Class A*   8,152       205,920
Vail Resorts, Inc.   1,510       336,473
Wyndham Hotels & Resorts, Inc.   7,988       613,079
Wynn Resorts Ltd.   7,575       774,392
Yum! Brands, Inc.  16,370     2,269,701
       22,716,427
Consumer Staples Distribution & Retail — 2.4%
Albertsons Cos., Inc., Class A  21,789       467,156
Costco Wholesale Corp.(a)   3,287     2,408,155
Dollar General Corp.   5,074       791,848
Fresh Market Holdings, Inc. (The), Escrow Shares(b)*  50,715            —
Grocery Outlet Holding Corp.*   5,884       169,341
Kroger Co. (The)  55,806     3,188,197
Performance Food Group Co.*     729        54,413
Sysco Corp.   9,574       777,217
Target Corp.(a)  27,123     4,806,467
US Foods Holding Corp.*   7,537       406,772
Walgreens Boots Alliance, Inc.  16,852       365,520
Walmart, Inc.(a)  33,466     2,013,649
Weis Markets, Inc.     634        40,830
       15,489,565
Energy — 5.8%
Antero Midstream Corp.  62,608       880,268
APA Corp.   5,669       194,900
Archrock, Inc.  25,842       508,312
 
The accompanying notes are an integral part of the financial statements.
27

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Energy — (Continued)
Baker Hughes Co.  54,739   $   1,833,757
Berry Corp.   5,647        45,458
Borr Drilling Ltd. (Bermuda)  17,649       120,896
California Resources Corp.  17,146       944,745
Canadian Natural Resources Ltd. (Canada)  26,074     1,989,968
Cheniere Energy, Inc.   5,043       813,335
Chesapeake Energy Corp.   6,585       584,946
ConocoPhillips   4,748       604,325
CONSOL Energy, Inc.   8,982       752,332
Coterra Energy, Inc.  25,874       721,367
Delek US Holdings, Inc.   7,790       239,465
Devon Energy Corp.  45,941     2,305,319
DHT Holdings, Inc. (Marshall Islands)  45,246       520,329
Diamondback Energy, Inc.   5,117     1,014,036
Dorian LPG Ltd. (Marshall Islands)  35,785     1,376,291
Enbridge, Inc. (Canada)  12,502       452,322
Enerplus Corp. (Canada)  17,476       343,578
EOG Resources, Inc.   3,186       407,298
Equitrans Midstream Corp.  22,310       278,652
Exxon Mobil Corp.(a)  31,744     3,689,923
Gulfport Energy Corp.*   2,321       371,639
Halliburton Co.  11,145       439,336
Helix Energy Solutions Group, Inc.*  30,888       334,826
Helmerich & Payne, Inc.  32,466     1,365,520
Kinder Morgan, Inc.  44,649       818,863
Liberty Energy, Inc.   7,585       157,161
Marathon Oil Corp.  84,243     2,387,447
Marathon Petroleum Corp.   8,536     1,720,004
Murphy Oil Corp.   9,860       450,602
Nabors Industries Ltd. (Bermuda)*   3,133       269,845
Nordic American Tankers Ltd. (Bermuda)  88,859       348,327
Occidental Petroleum Corp.(a)  40,757     2,648,797
Pembina Pipeline Corp. (Canada)   4,068       143,763
Phillips 66   7,364     1,202,836
Pioneer Natural Resources Co.   8,587     2,254,088
REX American Resources Corp.*      41         2,407
Schlumberger NV (Curacao)   6,973       382,190
Select Water Solutions, Inc.   1,489        13,743
Targa Resources Corp.     612        68,538
TC Energy Corp. (Canada)     189         7,598
TechnipFMC PLC (United Kingdom)  46,795     1,175,022
Transocean Ltd. (Switzerland)*  31,007       194,724
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Energy — (Continued)
US Silica Holdings, Inc.*  29,105   $     361,193
Valero Energy Corp.   1,248       213,021
       37,953,312
Financial Services — 3.9%
AvidXchange Holdings, Inc.*  40,821       536,796
Berkshire Hathaway, Inc., Class B*   4,956     2,084,097
BlackRock, Inc.     987       822,862
Cboe Global Markets, Inc.   7,046     1,294,562
CME Group, Inc.   6,980     1,502,724
Coinbase Global, Inc., Class A(a)*   1,170       310,190
Corpay, Inc.*   3,693     1,139,438
Donnelley Financial Solutions, Inc.*     910        56,429
Fiserv, Inc.(a)*  29,168     4,661,630
Franklin Resources, Inc.  42,379     1,191,274
Intercontinental Exchange, Inc.  12,429     1,708,117
Mastercard, Inc., Class A   1,555       748,841
Morningstar, Inc.   2,037       628,150
NCR Atleos Corp.*  13,742       271,405
Open Lending Corp.*     280         1,753
Payoneer Global, Inc.*  81,961       398,330
PayPal Holdings, Inc.(a)*  49,036     3,284,922
S&P Global, Inc.   1,365       580,739
Shift4 Payments, Inc., Class A*   6,281       414,986
T Rowe Price Group, Inc.(a)  13,824     1,685,422
Visa, Inc., Class A   7,282     2,032,261
       25,354,928
Food, Beverage & Tobacco — 3.6%
Altria Group, Inc.  46,645     2,034,655
Archer-Daniels-Midland Co.  19,244     1,208,716
B&G Foods, Inc.  48,342       553,032
Bunge Global SA (Switzerland)   6,109       626,295
Campbell Soup Co.   5,966       265,189
Celsius Holdings, Inc.*   5,030       417,088
Coca-Cola Co. (The)(a)  52,793     3,229,876
Conagra Brands, Inc.  27,248       807,631
Constellation Brands, Inc., Class A   4,584     1,245,748
Dole PLC (Ireland)   3,033        36,184
General Mills, Inc.  12,179       852,165
Hormel Foods Corp.  24,005       837,534
Ingredion, Inc.   5,184       605,750
J & J Snack Foods Corp.   1,263       182,579
Kellanova  36,439     2,087,590
Keurig Dr Pepper, Inc.(a)  69,042     2,117,518
Kraft Heinz Co. (The)  42,114     1,554,007
Lancaster Colony Corp.     695       144,303
 
The accompanying notes are an integral part of the financial statements.
28

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
McCormick & Co., Inc., non-voting shares  11,029   $     847,138
Molson Coors Beverage Co., Class B   7,973       536,184
Mondelez International, Inc., Class A  15,041     1,052,870
Philip Morris International, Inc.   9,504       870,756
Primo Water Corp. (Canada)  18,669       339,962
Simply Good Foods Co. (The)*  21,106       718,237
SunOpta, Inc. (Canada)*   5,344        36,713
Tootsie Roll Industries, Inc.      21           673
Vector Group Ltd.   3,144        34,458
Vita Coco Co., Inc. (The)*  22,579       551,605
Vital Farms, Inc.*   1,200        27,900
       23,822,356
Health Care Equipment & Services — 6.1%
Align Technology, Inc.*   2,096       687,320
Astrana Health, Inc.*   1,624        68,192
Avanos Medical, Inc.*   8,952       178,234
Baxter International, Inc.  42,076     1,798,328
Becton Dickinson & Co.(a)   7,333     1,814,551
Cardinal Health, Inc.  13,346     1,493,417
Cencora, Inc.   2,224       540,410
Centene Corp.(a)*  20,921     1,641,880
Cigna Group (The)   4,289     1,557,722
CONMED Corp.  15,573     1,247,086
Cross Country Healthcare, Inc.*  11,901       222,787
CVS Health Corp.  16,346     1,303,757
DaVita, Inc.*  18,771     2,591,337
Definitive Healthcare Corp.*  17,380       140,257
Evolent Health, Inc., Class A*  21,096       691,738
GE HealthCare Technologies, Inc.(a)  26,508     2,409,842
Haemonetics Corp.*   1,590       135,707
HCA Healthcare, Inc.   4,651     1,551,248
HealthEquity, Inc.*       1            82
HealthStream, Inc.      85         2,266
Hologic, Inc.(a)*   8,616       671,703
Humana, Inc.   6,142     2,129,554
IDEXX Laboratories, Inc.*   4,096     2,211,553
Lantheus Holdings, Inc.*  11,667       726,154
LeMaitre Vascular, Inc.     730        48,443
McKesson Corp.     893       479,407
Medtronic PLC (Ireland)  39,245     3,420,202
Molina Healthcare, Inc.*   3,674     1,509,389
National HealthCare Corp.     396        37,426
Omnicell, Inc.*   5,433       158,807
Owens & Minor, Inc.*  27,152       752,382
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
Penumbra, Inc.*   1,066   $     237,910
Phreesia, Inc.*  17,451       417,602
Privia Health Group, Inc.*  27,561       539,920
Quest Diagnostics, Inc.   5,352       712,405
ResMed, Inc.  10,415     2,062,483
Teleflex, Inc.   1,120       253,310
Tenet Healthcare Corp.*   5,520       580,207
UFP Technologies, Inc.*     847       213,613
UnitedHealth Group, Inc.   2,983     1,475,690
Zimmer Biomet Holdings, Inc.  10,190     1,344,876
       40,059,197
Household & Personal Products — 1.6%
BellRing Brands, Inc.*  21,104     1,245,769
Clorox Co. (The)   4,688       717,780
Colgate-Palmolive Co.  19,631     1,767,771
Coty, Inc., Class A*  15,007       179,484
Estee Lauder Cos., Inc. (The), Class A     794       122,395
Kenvue, Inc.  79,210     1,699,847
Kimberly-Clark Corp.(a)  17,750     2,295,962
Procter & Gamble Co. (The)(a)  10,781     1,749,217
Reynolds Consumer Products, Inc.   4,819       137,631
WD-40 Co.   2,201       557,535
       10,473,391
Materials — 4.5%
Alamos Gold, Inc., Class A (Canada)  44,026       649,384
Alpha Metallurgical Resources, Inc.   1,377       456,021
Amcor PLC (Jersey)  43,962       418,079
AptarGroup, Inc.   1,875       269,794
Arch Resources, Inc.     300        48,237
Avient Corp.   2,933       127,292
Axalta Coating Systems Ltd. (Bermuda)*   5,496       189,007
Balchem Corp.     248        38,428
Ball Corp.  11,926       803,335
Berry Global Group, Inc.   6,603       399,349
Cabot Corp.   2,933       270,423
Carpenter Technology Corp.  10,564       754,481
Celanese Corp.   6,218     1,068,625
CF Industries Holdings, Inc.  12,171     1,012,749
Cleveland-Cliffs, Inc.(a)* 109,342     2,486,437
Crown Holdings, Inc.   2,416       191,492
Eastman Chemical Co.   7,110       712,564
Fortuna Silver Mines, Inc. (Canada)* 126,491       471,811
Freeport-McMoRan, Inc.  14,767       694,344
HB Fuller Co.   5,341       425,891
 
The accompanying notes are an integral part of the financial statements.
29

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Innospec, Inc.   1,930   $     248,854
International Flavors & Fragrances, Inc.   9,214       792,312
International Paper Co.   6,540       255,191
Knife River Corp.*   4,384       355,455
Koppers Holdings, Inc.   1,106        61,018
Linde PLC (Ireland)   5,655     2,625,730
LyondellBasell Industries NV, Class A (Netherlands)  14,073     1,439,386
Martin Marietta Materials, Inc.   1,104       677,790
Metallus, Inc.*     126         2,804
Minerals Technologies, Inc.   5,126       385,885
NewMarket Corp.   1,784     1,132,162
Nucor Corp.   5,398     1,068,264
Packaging Corp. of America   3,798       720,784
PPG Industries, Inc.   8,030     1,163,547
Quaker Chemical Corp.   5,178     1,062,784
Royal Gold, Inc.   7,867       958,279
RPM International, Inc.   4,325       514,459
Scotts Miracle-Gro Co. (The)  21,261     1,585,858
Sealed Air Corp.   3,818       142,030
Sherwin-Williams Co. (The)   4,003     1,390,362
SilverCrest Metals, Inc. (Canada)*     309         2,058
Sonoco Products Co.     301        17,410
Vulcan Materials Co.   2,855       779,187
Warrior Met Coal, Inc.   2,571       156,060
Westrock Co.   9,708       480,061
Worthington Steel, Inc.      98         3,513
       29,508,986
Media & Entertainment — 5.6%
Alphabet, Inc., Class A(a)*  58,463     8,823,821
Cargurus, Inc.*   6,243       144,088
Cinemark Holdings, Inc.*  42,565       764,893
Clear Channel Outdoor Holdings, Inc.*  10,510        17,341
Comcast Corp., Class A(a)  56,408     2,445,287
Electronic Arts, Inc.  13,595     1,803,649
Getty Images Holdings, Inc.*     126           523
Grindr, Inc.*     166         1,681
Interpublic Group of Cos., Inc. (The)  33,237     1,084,523
Match Group, Inc.*  21,242       770,660
Meta Platforms, Inc., Class A(a)  17,857     8,671,002
Netflix, Inc.(a)*   5,205     3,161,153
News Corp., Class A  16,716       437,625
Omnicom Group, Inc.   3,445       333,338
Sirius XM Holdings, Inc. 130,795       507,485
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Media & Entertainment — (Continued)
Spotify Technology SA (Luxembourg)*   5,685   $   1,500,271
TripAdvisor, Inc.*  41,931     1,165,262
Vimeo, Inc.*  71,596       292,828
Walt Disney Co. (The)(a)  22,738     2,782,222
Warner Music Group Corp., Class A   8,237       271,986
Yelp, Inc.*  18,862       743,163
ZipRecruiter, Inc., Class A*  14,608       167,846
ZoomInfo Technologies, Inc.*  36,698       588,269
       36,478,916
Pharmaceuticals, Biotechnology & Life Sciences — 5.4%
AbbVie, Inc.  12,684     2,309,756
ADMA Biologics, Inc.*  16,253       107,270
Agilent Technologies, Inc.  10,231     1,488,713
Alkermes PLC (Ireland)*  36,491       987,811
Alpine Immune Sciences, Inc.*   3,592       142,387
Amgen, Inc.     369       104,914
Amneal Pharmaceuticals, Inc.*  12,640        76,598
Amphastar Pharmaceuticals, Inc.*   9,185       403,313
ANI Pharmaceuticals, Inc.*   3,545       245,066
Ardelyx, Inc.*  39,907       291,321
Azenta, Inc.*   5,412       326,235
Beam Therapeutics, Inc.*   5,217       172,370
Bio-Rad Laboratories, Inc., Class A*   1,501       519,151
Bristol-Myers Squibb Co.(a)  86,372     4,683,954
Collegium Pharmaceutical, Inc.*  21,729       843,520
Corcept Therapeutics, Inc.*   4,501       113,380
EyePoint Pharmaceuticals, Inc.*  15,191       313,998
Gilead Sciences, Inc.  34,060     2,494,895
Halozyme Therapeutics, Inc.*   7,040       286,387
Harmony Biosciences Holdings, Inc.*  38,779     1,302,199
ImmunityBio, Inc.*  12,913        69,343
Incyte Corp.*  35,507     2,022,834
IQVIA Holdings, Inc.*   6,488     1,640,750
Ironwood Pharmaceuticals, Inc.*   2,797        24,362
Johnson & Johnson(a)  30,400     4,808,976
Merck & Co., Inc.(a)  30,954     4,084,380
Mettler-Toledo International, Inc.*   1,270     1,690,738
Natera, Inc.*     793        72,528
Nurix Therapeutics, Inc.*     390         5,733
Nuvation Bio, Inc.*      63           229
QIAGEN NV (Netherlands)   1,075        46,214
Rhythm Pharmaceuticals, Inc.*   4,985       216,000
Scholar Rock Holding Corp.*     162         2,877
Spyre Therapeutics, Inc.*      48         1,821
Taysha Gene Therapies, Inc.*     200           574
 
The accompanying notes are an integral part of the financial statements.
30

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued)
Thermo Fisher Scientific, Inc.   2,449   $   1,423,383
Twist Bioscience Corp.*  26,322       903,108
United Therapeutics Corp.*     683       156,899
Vera Therapeutics, Inc.*      55         2,372
Viatris, Inc.  64,374       768,626
Waters Corp.*     665       228,913
WaVe Life Sciences Ltd. (Singapore)*     774         4,776
       35,388,674
Semiconductors & Semiconductor Equipment — 7.5%
Advanced Micro Devices, Inc.(a)*  21,173     3,821,515
Amkor Technology, Inc.   9,153       295,093
Applied Materials, Inc.(a)  15,232     3,141,295
Broadcom, Inc.(a)   2,042     2,706,487
Entegris, Inc.   5,722       804,170
GLOBALFOUNDRIES, Inc. (Cayman Islands)*  15,097       786,705
KLA Corp.   2,421     1,691,238
Lam Research Corp.   1,679     1,631,266
Microchip Technology, Inc.(a)  27,830     2,496,629
Micron Technology, Inc.  17,266     2,035,489
Monolithic Power Systems, Inc.(a)   5,693     3,856,552
NVIDIA Corp.(a)   5,822     5,260,526
NXP Semiconductors NV (Netherlands)  12,863     3,187,066
ON Semiconductor Corp.*  21,620     1,590,151
Onto Innovation, Inc.*      51         9,235
Photronics, Inc.*  27,554       780,329
Qorvo, Inc.(a)*  26,418     3,033,579
QUALCOMM, Inc.(a)  50,574     8,562,178
Skyworks Solutions, Inc.(a)  27,781     3,009,238
SMART Global Holdings, Inc. (Cayman Islands)*  30,471       801,997
       49,500,738
Software & Services — 10.4%
Accenture PLC, Class A (Ireland)   7,786     2,698,705
Adobe, Inc.(a)*   6,994     3,529,172
Amdocs Ltd. (Guernsey)   2,167       195,832
Appfolio, Inc., Class A*   1,835       452,768
Bitfarms Ltd. (Canada)* 388,516       866,391
Blackbaud, Inc.*   3,063       227,091
Box, Inc., Class A*   8,563       242,504
Cadence Design Systems, Inc.*   2,396       745,827
CGI, Inc. (Canada)*     313        34,583
Docebo, Inc. (Canada)*     502        24,588
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
DXC Technology Co.*  19,230   $     407,868
Enfusion, Inc., Class A*     962         8,898
EverCommerce, Inc.*      80           754
Fortinet, Inc.*  36,471     2,491,334
Gen Digital, Inc.  65,272     1,462,093
Globant SA (Luxembourg)*   1,702       343,634
GoDaddy, Inc., Class A*     919       109,067
Guidewire Software, Inc.*   3,666       427,859
Hackett Group, Inc. (The)      18           437
Informatica, Inc., Class A*  15,362       537,670
InterDigital, Inc.  11,938     1,270,919
International Business Machines Corp.  11,294     2,156,702
JFrog Ltd. (Israel)*  21,713       960,149
Kyndryl Holdings, Inc.*   9,126       198,582
LiveRamp Holdings, Inc.*  19,646       677,787
Manhattan Associates, Inc.*     472       118,109
MeridianLink, Inc.*     683        12,772
Microsoft Corp.(a)  17,948     7,551,083
N-able, Inc.*     309         4,039
NCR Voyix Corp.*  63,717       804,746
NextNav, Inc.*     755         4,968
Nutanix, Inc., Class A*  25,079     1,547,876
Okta, Inc.*  19,582     2,048,669
Oracle Corp.(a)  54,921     6,898,627
Palantir Technologies, Inc., Class A(a)* 105,142     2,419,317
Palo Alto Networks, Inc.(a)*  16,782     4,768,270
Pegasystems, Inc.   9,662       624,552
Q2 Holdings, Inc.*  12,802       672,873
Qualys, Inc.*   4,919       820,834
Roper Technologies, Inc.   1,716       962,401
Salesforce, Inc.(a)  14,278     4,300,248
Samsara, Inc., Class A*  34,599     1,307,496
ServiceNow, Inc.(a)*   9,675     7,376,220
SolarWinds Corp.*     216         2,726
SPS Commerce, Inc.*       6         1,109
Squarespace, Inc., Class A*     979        35,675
Synopsys, Inc.*     786       449,199
UiPath, Inc., Class A*  32,021       725,916
Verint Systems, Inc.*     402        13,326
VeriSign, Inc.*   6,967     1,320,316
Workday, Inc., Class A*   2,207       601,959
 
The accompanying notes are an integral part of the financial statements.
31

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
Yext, Inc.*  45,061   $     271,718
Zoom Video Communications, Inc., Class A*  36,800     2,405,616
       68,141,874
Technology Hardware & Equipment — 6.0%
Amphenol Corp., Class A   9,219     1,063,412
Apple, Inc.(a)  56,112     9,622,086
Arlo Technologies, Inc.*  11,184       141,478
Arrow Electronics, Inc.*   2,896       374,916
Bel Fuse, Inc., Class B   4,325       260,841
CDW Corp.   3,117       797,266
Ciena Corp.*  26,463     1,308,595
Cisco Systems, Inc.(a)  61,394     3,064,175
Crane NXT Co.     496        30,702
Extreme Networks, Inc.*  57,434       662,788
F5, Inc.*   8,394     1,591,419
Fabrinet (Cayman Islands)*     923       174,465
Hewlett Packard Enterprise Co.(a) 107,814     1,911,542
HP, Inc.  73,231     2,213,041
Insight Enterprises, Inc.*   3,849       714,067
IonQ, Inc.*   4,820        48,152
Itron, Inc.*   9,937       919,371
Jabil, Inc.  11,822     1,583,557
Keysight Technologies, Inc.*   7,060     1,104,043
Littelfuse, Inc.   2,329       564,433
Motorola Solutions, Inc.   2,044       725,579
Napco Security Technologies, Inc.  10,808       434,049
NetApp, Inc.  17,410     1,827,528
NetScout Systems, Inc.*  10,738       234,518
PC Connection, Inc.     428        28,218
Seagate Technology Holdings PLC (Ireland)  21,721     2,021,139
Super Micro Computer, Inc.(a)*   3,407     3,441,172
TD SYNNEX Corp.     804        90,932
TE Connectivity Ltd. (Switzerland)   4,581       665,344
Vontier Corp.   9,597       435,320
Western Digital Corp.*  23,151     1,579,824
Xerox Holdings Corp.     163         2,918
       39,636,890
Telecommunication Services — 1.0%
Anterix, Inc.*     701        23,561
AT&T, Inc.(a)  76,889     1,353,246
Iridium Communications, Inc.  14,991       392,165
Lumen Technologies, Inc.*   1,317         2,054
TELUS Corp. (Canada)  18,206       291,478
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Telecommunication Services — (Continued)
T-Mobile US, Inc.  16,072   $   2,623,272
Verizon Communications, Inc.  49,417     2,073,537
        6,759,313
Transportation — 1.8%
ArcBest Corp.       2           285
CH Robinson Worldwide, Inc.   2,865       218,141
CSX Corp.  58,173     2,156,473
Delta Air Lines, Inc.(a)  38,190     1,828,155
FedEx Corp.(a)   7,391     2,141,468
Forward Air Corp.  17,905       557,025
FTAI Infrastructure, Inc.     173         1,086
GXO Logistics, Inc.*   7,145       384,115
Old Dominion Freight Line, Inc.   4,874     1,068,917
Ryder System, Inc.     164        19,711
Saia, Inc.*     296       173,160
SkyWest, Inc.*  16,908     1,168,005
Uber Technologies, Inc.*  22,635     1,742,669
Union Pacific Corp.   2,687       660,814
XPO, Inc.*       1           122
       12,120,146
Utilities — 2.5%
ALLETE, Inc.  16,931     1,009,765
American Water Works Co., Inc.   2,841       347,199
Atmos Energy Corp.     751        89,271
Black Hills Corp.  17,400       950,040
Consolidated Edison, Inc.   6,804       617,871
Constellation Energy Corp.   9,494     1,754,966
Duke Energy Corp.(a)  42,221     4,083,193
Fortis, Inc. (Canada)   6,686       264,164
New Jersey Resources Corp.   4,547       195,112
NRG Energy, Inc.(a)  44,171     2,989,935
ONE Gas, Inc.   3,273       211,207
Public Service Enterprise Group, Inc.  21,856     1,459,544
Southwest Gas Holdings, Inc.   8,032       611,476
Spire, Inc.   1,752       107,520
TransAlta Corp. (Canada)   8,526        54,822
Vistra Corp.  20,357     1,417,865
       16,163,950
TOTAL COMMON STOCKS
(Cost $513,520,322) 		    622,614,667
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1%      33,383,782
NET ASSETS - 100.0%     $ 655,998,449
 
The accompanying notes are an integral part of the financial statements.
32

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
(a) Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements)
(b) Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees.
* Non-income producing.
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
33

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between July 23, 2025 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (34.9)% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Long                                
Automobiles & Components                            
American Axle & Manufacturing Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   8,713   $ 67,194   $ 64,128   $ 1,227
Aptiv PLC (Jersey)   USFF +0.250%   Weekly   MS   01/12/29   775   60,408   61,729   5,179
BorgWarner, Inc.   USFF +0.250%   Weekly   MS   07/08/27   9,378   306,815   325,792   40,857
Dorman Products, Inc.   USFF +0.250%   Weekly   MS   01/12/29   358   33,033   34,508   3,579
Ford Motor Co.   USFF +0.250%   Weekly   MS   07/23/25   56,245   652,623   746,934   231,341
Garrett Motion, Inc.   USFF +0.250%   Weekly   MS   01/12/29   192   1,913   1,908   107
General Motors Co.   USFF +0.250%   Weekly   MS   01/07/27   18,552   625,645   841,333   261,677
Gentherm, Inc.   USFF +0.250%   Weekly   MS   01/12/29   388   21,344   22,341   2,354
Goodyear Tire & Rubber Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   3,679   50,272   50,513   3,398
LCI Industries   USFF +0.250%   Weekly   MS   01/12/29   1,612   191,201   198,373   20,216
Lear Corp.   USFF +0.250%   Weekly   MS   01/12/29   316   41,503   45,782   7,273
Modine Manufacturing Co.   USFF +0.250%   Weekly   MS   01/10/28   106   2,209   10,090   8,011
Visteon Corp.   USFF +0.250%   Weekly   MS   07/11/28   626   72,274   73,624   5,945
                    100,940   2,126,434   2,477,055   591,164
Capital Goods                            
3M Co.   USFF +0.250%   Weekly   MS   01/12/29   310   29,444   32,882   614
A. O. Smith Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,178   209,469   284,304   93,145
AAR Corp.   USFF +0.250%   Weekly   MS   01/12/29   130   7,805   7,783   467
Acuity Brands, Inc.   USFF +0.250%   Weekly   MS   01/10/28   369   60,026   99,161   43,061
AECOM   USFF +0.250%   Weekly   MS   01/12/29   1,547   136,542   151,730   25,559
American Woodmark Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,089   82,244   110,708   33,879
AMETEK, Inc.   USFF +0.250%   Weekly   MS   01/10/28   204   27,746   37,312   11,888
Apogee Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   59   59   32
Applied Industrial Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   372   55,540   73,489   21,778
Array Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   21,045   264,643   313,781   68,036
AZEK Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   11,037   359,181   554,278   218,093
Beacon Roofing Supply, Inc.   USFF +0.250%   Weekly   MS   01/12/29   671   57,151   65,771   14,012
Blue Bird Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,451   29,207   55,631   28,284
Boeing Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   471   84,741   90,898   13,872
Boise Cascade Co.   USFF +0.250%   Weekly   MS   07/23/25   186   15,458   28,527   18,257
Builders FirstSource, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,663   277,529   346,819   87,055
The accompanying notes are an integral part of the financial statements.
34

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
BWX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,437   $247,880   $250,085   $ 18,276
Cadre Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   295   10,702   10,679   651
Carlisle Cos., Inc.   USFF +0.250%   Weekly   MS   01/12/29   398   139,403   155,956   25,472
Carrier Global Corp.   USFF +0.250%   Weekly   MS   07/08/27   1,172   54,862   68,128   18,078
Caterpillar, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,154   273,256   422,860   172,625
Chart Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   399   59,592   65,723   10,401
Comfort Systems USA, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,244   178,016   395,231   240,709
Core & Main, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   1,875   55,257   107,344   55,615
Crane Co.   USFF +0.250%   Weekly   MS   01/10/28   2,729   229,213   368,770   155,810
CSW Industrials, Inc.   USFF +0.250%   Weekly   MS   01/10/28   181   31,862   42,463   12,698
Cummins, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,220   301,672   359,473   79,087
Curtiss-Wright Corp.   USFF +0.250%   Weekly   MS   07/06/26   322   54,541   82,413   34,038
Deere & Co.   USFF +0.250%   Weekly   MS   01/12/29   589   223,216   241,926   33,838
Donaldson Co., Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,049   124,923   153,019   37,541
Dover Corp.   USFF +0.250%   Weekly   MS   01/12/29   741   117,921   131,298   21,297
Eaton Corp. PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   1,401   385,423   438,065   80,167
EMCOR Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   776   158,960   271,755   124,967
Emerson Electric Co.   USFF +0.250%   Weekly   MS   01/10/28   1,251   100,231   141,888   50,052
Enerpac Tool Group Corp.   USFF +0.250%   Weekly   MS   07/08/27   2,426   62,681   86,511   27,930
EnerSys   USFF +0.250%   Weekly   MS   07/11/28   1,922   179,509   181,552   14,333
Enpro, Inc.   USFF +0.250%   Weekly   MS   01/10/28   429   41,557   72,402   34,982
Esab Corp.   USFF +0.250%   Weekly   MS   01/12/29   600   59,974   66,342   10,298
Fastenal Co.   USFF +0.250%   Weekly   MS   07/11/28   718   45,938   55,387   13,319
Flowserve Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,200   131,280   146,176   24,160
Fluence Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   8,718   181,974   151,170   (19,159)
Fortune Brands Innovations, Inc.   USFF +0.250%   Weekly   MS   07/08/27   978   55,697   82,807   34,494
Gates Industrial Corp. PLC (United Kingdom)   USFF +0.250%   Weekly   MS   01/10/28   3,739   44,231   66,218   24,809
Generac Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,586   409,531   452,338   69,605
General Dynamics Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,565   349,671   442,097   122,358
General Electric Co.   USFF +0.250%   Weekly   MS   01/07/27   2,879   304,776   505,351   220,903
Gibraltar Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,087   72,637   87,536   19,927
Gorman-Rupp Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   4   155   158   4
Griffon Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,001   183,334   366,773   202,696
Hillman Solutions Corp.   USFF +0.250%   Weekly   MS   01/10/28   11,028   91,393   117,338   31,806
Honeywell International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,933   775,756   807,248   85,286
The accompanying notes are an integral part of the financial statements.
35

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Howmet Aerospace, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,127   $ 71,733   $ 77,121   $ 10,112
Hubbell, Inc.   USFF +0.250%   Weekly   MS   01/12/29   373   147,858   154,814   16,481
Huntington Ingalls Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   585   135,959   170,510   44,729
Illinois Tool Works, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,267   306,955   339,974   60,067
Ingersoll Rand, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,262   382,664   404,677   46,587
ITT, Inc.   USFF +0.250%   Weekly   MS   07/11/28   351   33,602   47,747   16,560
Kadant, Inc.   USFF +0.250%   Weekly   MS   01/12/29   183   58,951   60,042   4,857
Kaman Corp.   USFF +0.250%   Weekly   MS   07/11/28   124   2,560   5,688   3,328
Kennametal, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,992   49,573   49,680   4,040
Kratos Defense & Security Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,709   29,834   31,411   3,477
L3Harris Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   317   65,335   67,553   6,866
Leonardo DRS, Inc.   USFF +0.250%   Weekly   MS   01/12/29   997   21,857   22,024   1,556
Lincoln Electric Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,035   260,488   264,380   21,252
Lindsay Corp.   USFF +0.250%   Weekly   MS   07/11/28   788   98,221   92,716   974
Lockheed Martin Corp.   USFF +0.250%   Weekly   MS   01/05/26   1,989   854,746   904,736   127,541
Masco Corp.   USFF +0.250%   Weekly   MS   07/08/27   5,362   296,231   422,955   154,904
MDU Resources Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   12,269   234,110   309,179   95,101
Middleby Corp. (The)   USFF +0.250%   Weekly   MS   01/12/29   784   119,409   126,059   14,528
MSC Industrial Direct Co., Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   3,270   306,579   317,321   35,137
Mueller Industries, Inc.   USFF +0.250%   Weekly   MS   07/06/26   1,510   48,026   81,434   40,706
Nikola Corp.   USFF +0.250%   Weekly   MS   01/12/29   3,103   3,181   3,227   239
NOW, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,516   51,752   53,443   4,995
Otis Worldwide Corp.   USFF +0.250%   Weekly   MS   07/08/27   2,490   214,356   247,182   48,510
PACCAR, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,147   76,858   142,102   74,173
Parker-Hannifin Corp.   USFF +0.250%   Weekly   MS   07/11/28   661   268,041   367,377   118,801
Pentair PLC (Ireland)   USFF +0.250%   Weekly   MS   07/08/27   2   111   171   56
Powell Industries, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,139   217,708   304,380   101,329
Proto Labs, Inc.   USFF +0.250%   Weekly   MS   01/12/29   206   7,146   7,365   666
Quanex Building Products Corp.   USFF +0.250%   Weekly   MS   01/12/29   100   3,715   3,843   355
Quanta Services, Inc.   USFF +0.250%   Weekly   MS   07/23/25   2,770   635,147   719,646   129,037
Regal Rexnord Corp.   USFF +0.250%   Weekly   MS   01/12/29   580   89,654   104,458   20,739
Resideo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,922   64,459   65,511   5,170
RTX Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,427   301,409   334,235   56,037
Snap-on, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,161   290,555   343,911   80,086
SPX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   753   57,088   92,717   39,274
The accompanying notes are an integral part of the financial statements.
36

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Stanley Black & Decker, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,484   $ 387,237   $ 439,118   $ 81,758
Stantec, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   50   4,214   4,152   200
Sterling Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,243   49,537   137,115   91,768
Tennant Co.   USFF +0.250%   Weekly   MS   07/11/28   1,014   90,063   123,313   39,454
Terex Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,640   121,733   170,016   59,553
Textron, Inc.   USFF +0.250%   Weekly   MS   01/07/27   5,366   399,680   514,760   146,889
Trane Technologies PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   695   188,848   208,639   32,460
Trex Co., Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,262   119,349   125,885   14,185
Tutor Perini Corp.   USFF +0.250%   Weekly   MS   01/12/29   120   1,643   1,735   186
UFP Industries, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,211   103,144   148,965   54,203
United Rentals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   562   357,953   405,264   71,248
Wabash National Corp.   USFF +0.250%   Weekly   MS   07/08/27   5,856   128,891   175,329   56,345
Watts Water Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   604   98,132   128,380   38,758
Woodward, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,306   169,633   201,281   44,333
WW Grainger, Inc.   USFF +0.250%   Weekly   MS   07/06/26   338   182,906   343,847   177,110
Zurn Elkay Water Solutions Corp.   USFF +0.250%   Weekly   MS   07/11/28   5,462   157,063   182,813   36,688
                    213,254   15,799,706   19,697,814   5,100,513
Commercial & Professional
Services 		                           
ACV Auctions, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   9,864   151,410   185,147   43,425
Alight, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   3,807   33,752   37,499   6,695
ASGN, Inc.   USFF +0.250%   Weekly   MS   01/12/29   773   74,611   80,979   11,137
Automatic Data Processing, Inc.   USFF +0.250%   Weekly   MS   07/23/25   1,268   275,750   316,670   70,226
Booz Allen Hamilton Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,507   215,113   223,699   22,668
Brink's Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   214   18,216   19,769   2,741
Broadridge Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   367   72,107   75,184   8,052
Cimpress PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   188   16,824   16,640   883
Cintas Corp.   USFF +0.250%   Weekly   MS   01/12/29   273   174,078   187,559   24,735
Conduent, Inc.   USFF +0.250%   Weekly   MS   01/12/29   187   613   632   47
Copart, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,198   46,293   69,388   26,029
CSG Systems International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,363   70,543   70,249   4,493
Enviri Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,129   9,281   10,330   1,632
Healthcare Services Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,776   22,012   22,164   1,552
The accompanying notes are an integral part of the financial statements.
37

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Heidrick & Struggles International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   8   $ 268   $ 269   $ 10
HireRight Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   65   928   928   48
Jacobs Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,506   333,842   385,247   73,494
Leidos Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,631   276,258   344,898   88,132
ManpowerGroup, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,507   110,217   117,003   14,297
Maximus, Inc.   USFF +0.250%   Weekly   MS   01/12/29   737   61,216   61,834   4,785
MillerKnoll, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,603   38,759   39,690   3,968
MSA Safety, Inc.   USFF +0.250%   Weekly   MS   07/11/28   308   51,881   59,626   11,289
OPENLANE, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,314   33,066   40,032   9,479
Parsons Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,162   155,254   179,338   34,018
Republic Services, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,970   270,644   377,137   131,599
Robert Half, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,557   196,865   202,719   20,631
Science Applications International Corp.   USFF +0.250%   Weekly   MS   07/11/28   235   24,707   30,642   10,098
SS&C Technologies Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   91   5,894   5,858   466
Steelcase, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   5,385   65,659   70,436   9,280
Sterling Check Corp.   USFF +0.250%   Weekly   MS   01/12/29   187   2,995   3,007   193
TaskUS, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   194   2,343   2,260   56
TELUS International CDA, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   178   1,547   1,506   47
Tetra Tech, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,400   228,389   258,594   46,384
Veralto Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,314   314,118   382,479   88,859
Verisk Analytics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   186   37,293   43,846   9,381
Waste Connections, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   1,100   184,279   189,211   16,639
Waste Management, Inc.   USFF +0.250%   Weekly   MS   01/12/29   352   69,665   75,029   10,237
                    55,904   3,646,690   4,187,498   807,705
Consumer Discretionary
Distribution & Retail 		                           
Abercrombie & Fitch Co., Class A   USFF +0.250%   Weekly   MS   01/10/28   1,853   63,475   232,236   172,815
Amazon.com, Inc.   USFF +0.250%   Weekly   MS   07/08/27   12,065   1,546,550   2,176,285   805,194
AutoZone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   89   263,312   280,497   34,040
Bath & Body Works, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,551   69,799   77,581   12,357
Best Buy Co., Inc.   USFF +0.250%   Weekly   MS   01/07/27   101   6,910   8,285   2,115
Carvana Co.   USFF +0.250%   Weekly   MS   07/11/28   10,917   361,358   959,713   621,491
eBay, Inc.   USFF +0.250%   Weekly   MS   07/08/27   10,731   444,337   566,382   159,161
Etsy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,176   300,155   286,975   5,411
Gap, Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   16,403   143,808   451,903   321,609
Genuine Parts Co.   USFF +0.250%   Weekly   MS   07/11/28   692   96,735   107,212   17,947
Hibbett, Inc.   USFF +0.250%   Weekly   MS   01/12/29   248   18,003   19,049   2,249
The accompanying notes are an integral part of the financial statements.
38

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Home Depot, Inc. (The)   USFF +0.250%   Weekly   MS   01/07/27   2,612   $ 891,621   $1,001,963   $ 175,549
Kohl's Corp.   USFF +0.250%   Weekly   MS   01/12/29   6,014   157,361   175,308   29,383
LKQ Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,056   54,869   56,401   5,281
Monro, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,370   67,999   74,750   11,640
ODP Corp. (The)   USFF +0.250%   Weekly   MS   01/07/27   3,726   154,593   197,664   52,962
Pool Corp.   USFF +0.250%   Weekly   MS   01/10/28   493   158,068   198,926   52,469
Ross Stores, Inc.   USFF +0.250%   Weekly   MS   01/12/29   501   72,879   73,527   5,305
Signet Jewelers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   3,297   318,085   329,931   32,143
TJX Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   3,499   314,561   354,869   62,512
Ulta Beauty, Inc.   USFF +0.250%   Weekly   MS   01/12/29   591   308,788   309,022   20,003
Urban Outfitters, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,991   125,687   129,869   12,222
Wayfair, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   556   38,123   37,741   2,049
Williams-Sonoma, Inc.   USFF +0.250%   Weekly   MS   07/11/28   190   37,149   60,331   31,479
Winmark Corp.   USFF +0.250%   Weekly   MS   07/11/28   174   67,609   62,936   (565)
                    86,896   6,081,834   8,229,356   2,646,821
Consumer Durables & Apparel                            
BRP, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   12   806   805   67
Carter's, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,592   105,212   134,811   40,606
Columbia Sportswear Co.   USFF +0.250%   Weekly   MS   07/11/28   1,252   94,446   101,637   13,707
Cricut, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   108   506   514   30
Deckers Outdoor Corp.   USFF +0.250%   Weekly   MS   01/12/29   303   272,045   285,202   30,572
DR Horton, Inc.   USFF +0.250%   Weekly   MS   01/07/27   14   1,344   2,304   1,532
Figs, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   24,084   152,275   119,938   (22,593)
Garmin Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/08/27   2,597   270,572   386,615   139,781
G-III Apparel Group Ltd.   USFF +0.250%   Weekly   MS   07/11/28   4,730   126,798   137,217   18,530
Hasbro, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,048   151,091   172,273   31,759
Helen of Troy Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   1,226   143,746   141,284   6,735
La-Z-Boy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   848   23,147   31,902   10,819
Leggett & Platt, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,970   66,840   56,876   (4,463)
Lululemon Athletica, Inc.   USFF +0.250%   Weekly   MS   01/12/29   12   4,694   4,688   283
Mattel, Inc.   USFF +0.250%   Weekly   MS   07/11/28   19,600   375,206   388,276   37,093
Mohawk Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,767   151,604   231,283   89,379
Newell Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   353   2,720   2,835   278
NIKE, Inc., Class B   USFF +0.250%   Weekly   MS   07/08/27   1,274   118,639   119,731   11,197
NVR, Inc.   USFF +0.250%   Weekly   MS   01/07/27   9   44,285   72,900   31,440
Polaris, Inc.   USFF +0.250%   Weekly   MS   01/12/29   525   47,250   52,563   8,950
PulteGroup, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,995   253,661   481,877   248,121
PVH Corp.   USFF +0.250%   Weekly   MS   07/11/28   654   47,700   91,959   47,353
The accompanying notes are an integral part of the financial statements.
39

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Durables & Apparel —
(continued) 		                           
Ralph Lauren Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,051   $ 237,399   $ 385,096   $ 167,837
Smith & Wesson Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   48   845   833   31
Sonos, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,035   76,017   76,907   5,749
Tapestry, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,872   135,332   183,843   59,309
TopBuild Corp.   USFF +0.250%   Weekly   MS   07/11/28   354   129,947   156,018   35,601
Vista Outdoor, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,110   86,618   101,946   20,865
Worthington Enterprises, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,999   95,149   124,398   36,250
YETI Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,578   315,207   292,132   (3,679)
                    94,020   3,531,101   4,338,663   1,063,139
Consumer Services                            
ADT, Inc.   USFF +0.250%   Weekly   MS   07/11/28   21,093   136,705   141,745   15,021
Adtalem Global Education, Inc.   USFF +0.250%   Weekly   MS   07/08/27   552   21,383   28,373   9,172
Aramark   USFF +0.250%   Weekly   MS   07/11/28   12,633   357,464   410,825   77,646
Booking Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   212   664,142   769,111   149,357
Bright Horizons Family Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   607   66,927   68,810   6,159
Brinker International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,586   186,922   227,832   53,580
Caesars Entertainment, Inc.   USFF +0.250%   Weekly   MS   07/08/27   5,937   236,306   259,684   38,503
Dine Brands Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   883   42,118   41,042   1,895
DoorDash, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   344   30,320   47,376   21,487
DraftKings, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   623   18,143   28,290   11,258
European Wax Center, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   794   10,315   10,306   641
Expedia Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,064   289,730   284,316   13,133
Frontdoor, Inc.   USFF +0.250%   Weekly   MS   01/10/28   7,181   231,832   233,957   16,721
Grand Canyon Education, Inc.   USFF +0.250%   Weekly   MS   07/11/28   397   49,493   54,075   7,881
International Game Technology PLC (United Kingdom)   USFF +0.250%   Weekly   MS   01/12/29   776   16,789   17,530   1,920
Las Vegas Sands Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,101   196,976   212,022   27,928
Marriott International, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   536   90,761   135,238   51,280
McDonald's Corp.   USFF +0.250%   Weekly   MS   01/05/26   2,458   656,761   693,033   88,101
MGM Resorts International   USFF +0.250%   Weekly   MS   01/07/27   2,759   105,522   130,252   31,494
The accompanying notes are an integral part of the financial statements.
40

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Royal Caribbean Cruises Ltd. (Liberia)   USFF +0.250%   Weekly   MS   01/10/28   3,944   $ 305,147   $ 548,255   $ 262,643
Shake Shack, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   396   38,739   41,196   4,962
Starbucks Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,810   168,408   165,416   8,890
Strategic Education, Inc.   USFF +0.250%   Weekly   MS   01/12/29   279   28,987   29,049   1,950
Sweetgreen, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   2,140   50,122   54,056   7,134
Vail Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   394   88,176   87,795   6,124
Wyndham Hotels & Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,102   162,241   161,329   10,057
Wynn Resorts Ltd.   USFF +0.250%   Weekly   MS   01/12/29   1,989   205,654   203,335   11,049
Yum! Brands, Inc.   USFF +0.250%   Weekly   MS   07/08/27   4,224   536,853   585,658   91,944
                    85,814   4,992,936   5,669,906   1,027,930
Consumer Staples Distribution &
Retail 		                           
Albertsons Cos., Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   5,446   116,739   116,762   7,277
Costco Wholesale Corp.   USFF +0.250%   Weekly   MS   01/07/27   783   443,636   573,649   172,873
Dollar General Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,334   205,014   208,184   16,291
Grocery Outlet Holding Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,463   38,832   42,105   6,493
Kroger Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   14,407   757,422   823,072   116,793
Performance Food Group Co.   USFF +0.250%   Weekly   MS   01/12/29   186   14,057   13,883   715
Sysco Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,538   175,718   206,035   43,136
Target Corp.   USFF +0.250%   Weekly   MS   07/11/28   7,221   1,064,379   1,279,633   292,308
US Foods Holding Corp.   USFF +0.250%   Weekly   MS   07/08/27   2,123   75,283   114,578   45,032
Walgreens Boots Alliance, Inc.   USFF +0.250%   Weekly   MS   07/23/25   4,383   144,068   95,067   (22,095)
Walmart, Inc.   USFF +0.250%   Weekly   MS   01/07/27   9,017   475,795   542,553   108,067
Weis Markets, Inc.   USFF +0.250%   Weekly   MS   01/12/29   170   10,922   10,948   714
                    49,071   3,521,865   4,026,469   787,604
Energy                            
Antero Midstream Corp.   USFF +0.250%   Weekly   MS   07/11/28   15,845   201,629   222,781   35,689
APA Corp.   USFF +0.250%   Weekly   MS   01/12/29   566   17,769   19,459   4,547
Archrock, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,780   125,759   133,363   16,192
Baker Hughes Co.   USFF +0.250%   Weekly   MS   07/08/27   13,290   358,667   445,215   121,852
Berry Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,481   11,617   11,922   1,038
Borr Drilling Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/12/29   4,567   28,801   31,284   4,411
California Resources Corp.   USFF +0.250%   Weekly   MS   01/10/28   4,415   205,906   243,267   53,449
The accompanying notes are an integral part of the financial statements.
41

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Canadian Natural Resources Ltd. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   6,456   $407,419   $ 492,722   $118,531
Cheniere Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,327   210,143   214,019   17,424
Chesapeake Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,569   117,198   139,374   31,017
ConocoPhillips   USFF +0.250%   Weekly   MS   07/08/27   1,243   127,690   158,209   43,523
CONSOL Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,278   150,341   190,805   49,211
Coterra Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,831   181,838   190,448   21,028
Delek US Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,000   54,201   61,480   10,830
Devon Energy Corp.   USFF +0.250%   Weekly   MS   07/11/28   11,946   528,505   599,450   116,920
DHT Holdings, Inc. (Marshall Islands)   USFF +0.250%   Weekly   MS   07/08/27   11,846   104,258   136,229   51,413
Diamondback Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   932   164,710   184,694   35,867
Dorian LPG Ltd. (Marshall Islands)   USFF +0.250%   Weekly   MS   01/10/28   9,321   296,281   358,486   97,469
Enbridge, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   3,088   104,601   111,724   13,534
Enerplus Corp. (Canada)   USFF +0.250%   Weekly   MS   07/08/27   4,513   63,615   88,726   29,812
EOG Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   730   80,197   93,323   25,293
Equitrans Midstream Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,853   28,252   73,104   48,406
Exxon Mobil Corp.   USFF +0.250%   Weekly   MS   01/05/26   8,909   913,553   1,035,582   219,758
Gulfport Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   591   58,703   94,631   41,040
Halliburton Co.   USFF +0.250%   Weekly   MS   01/12/29   2,916   105,630   114,949   16,664
Helix Energy Solutions Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   8,084   80,561   87,631   12,218
Helmerich & Payne, Inc.   USFF +0.250%   Weekly   MS   07/11/28   8,397   298,008   353,178   78,100
Kinder Morgan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   11,702   206,554   214,615   21,280
Liberty Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,016   24,514   41,772   19,300
Marathon Oil Corp.   USFF +0.250%   Weekly   MS   01/12/29   21,857   550,497   619,427   104,181
Marathon Petroleum Corp.   USFF +0.250%   Weekly   MS   07/23/25   2,060   297,358   415,090   155,907
Murphy Oil Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,430   87,704   111,051   31,874
Nabors Industries Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/12/29   824   65,574   70,971   9,587
Nordic American Tankers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/10/28   23,238   83,453   91,093   23,503
Occidental Petroleum Corp.   USFF +0.250%   Weekly   MS   07/23/25   14,087   575,634   915,514   392,745
Pembina Pipeline Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   965   30,657   34,103   6,270
Phillips 66   USFF +0.250%   Weekly   MS   07/11/28   1,964   275,428   320,800   64,243
The accompanying notes are an integral part of the financial statements.
42

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Pioneer Natural Resources Co.   USFF +0.250%   Weekly   MS   01/10/28   2,275   $ 508,489   $ 597,188   $ 129,728
REX American Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   11   613   646   61
Schlumberger NV (Curacao)   USFF +0.250%   Weekly   MS   01/12/29   1,915   92,286   104,961   18,843
Select Water Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   394   3,611   3,637   (3,030)
Targa Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   162   17,820   18,142   1,453
TC Energy Corp. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   48   1,892   1,930   (2,647)
TechnipFMC PLC (United Kingdom)   USFF +0.250%   Weekly   MS   07/11/28   11,964   246,818   300,416   72,887
Transocean Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/12/29   6,650   31,282   41,762   12,641
US Silica Holdings, Inc.   USFF +0.250%   Weekly   MS   01/07/27   7,642   93,719   94,837   6,759
Valero Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   329   55,627   56,157   4,082
                    258,307   8,275,382   9,940,167   2,384,903
Financial Services                            
AvidXchange Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,603   132,472   152,579   28,582
Berkshire Hathaway, Inc., Class B   USFF +0.250%   Weekly   MS   07/23/25   11,792   2,658,122   4,958,772   2,470,902
BlackRock, Inc.   USFF +0.250%   Weekly   MS   01/10/28   261   186,044   217,596   49,809
Cboe Global Markets, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,782   288,334   327,407   59,556
CME Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,684   341,806   362,548   49,823
Coinbase Global, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,781   293,084   472,179   197,857
Corpay, Inc.   USFF +0.250%   Weekly   MS   01/12/29   968   266,775   298,667   48,969
Donnelley Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   257   15,841   15,937   1,100
Fiserv, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,598   932,855   1,214,312   342,071
Franklin Resources, Inc.   USFF +0.250%   Weekly   MS   01/07/27   10,895   253,990   306,258   91,464
Intercontinental Exchange, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,260   422,512   448,022   54,893
Mastercard, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   402   160,027   193,591   44,174
Morningstar, Inc.   USFF +0.250%   Weekly   MS   07/11/28   549   153,723   169,295   25,410
NCR Atleos Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,564   67,461   70,389   7,238
Open Lending Corp.   USFF +0.250%   Weekly   MS   01/12/29   85   524   532   31
Payoneer Global, Inc.   USFF +0.250%   Weekly   MS   07/11/28   21,199   104,082   103,027   5,229
PayPal Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   13,048   691,363   874,086   238,953
S&P Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   366   158,748   155,715   6,232
Shift4 Payments, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,649   113,374   108,949   2,826
The accompanying notes are an integral part of the financial statements.
43

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Financial Services — (continued)                            
T Rowe Price Group, Inc.   USFF +0.250%   Weekly   MS   07/23/25   3,787   $ 417,740   $ 461,711   $ 105,958
Visa, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   2,128   524,152   593,882   104,998
                    98,658   8,183,029   11,505,454   3,936,075
Food, Beverage & Tobacco                            
Altria Group, Inc.   USFF +0.250%   Weekly   MS   07/23/25   12,286   537,123   535,915   81,936
Archer-Daniels-Midland Co.   USFF +0.250%   Weekly   MS   01/05/26   4,619   307,481   290,119   5,955
B&G Foods, Inc.   USFF +0.250%   Weekly   MS   07/11/28   12,344   126,307   141,215   25,284
Bunge Global SA (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   1,564   154,503   160,341   17,194
Campbell Soup Co.   USFF +0.250%   Weekly   MS   01/12/29   1,572   67,589   69,875   6,605
Celsius Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,320   38,389   109,454   73,514
Coca-Cola Co. (The)   USFF +0.250%   Weekly   MS   01/05/26   13,797   795,163   844,100   132,624
Conagra Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,030   201,961   208,369   21,733
Constellation Brands, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   1,208   295,551   328,286   53,514
Dole PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   795   9,378   9,484   742
General Mills, Inc.   USFF +0.250%   Weekly   MS   01/05/26   3,142   200,158   219,846   38,054
Hormel Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,245   208,625   217,888   23,486
Ingredion, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,366   147,871   159,617   22,770
J & J Snack Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   328   52,935   47,416   (1,923)
Kellanova   USFF +0.250%   Weekly   MS   01/10/28   9,541   539,718   546,604   52,073
Keurig Dr Pepper, Inc.   USFF +0.250%   Weekly   MS   01/07/27   18,056   617,112   553,778   (7,090)
Kraft Heinz Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   10,965   389,214   404,609   52,605
Lancaster Colony Corp.   USFF +0.250%   Weekly   MS   01/12/29   185   35,397   38,412   5,469
McCormick & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,846   187,956   218,601   43,223
Molson Coors Beverage Co., Class B   USFF +0.250%   Weekly   MS   07/08/27   2,085   114,761   140,216   35,906
Mondelez International, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   3,879   262,976   271,530   27,397
Philip Morris International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,498   231,530   228,867   17,773
Primo Water Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   4,898   77,208   89,193   17,214
Simply Good Foods Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,548   209,906   188,798   (7,673)
SunOpta, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   1,403   9,548   9,639   691
Tootsie Roll Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6   192   192   2
Vector Group Ltd.   USFF +0.250%   Weekly   MS   01/12/29   852   9,240   9,338   678
The accompanying notes are an integral part of the financial statements.
44

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Vita Coco Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,819   $ 147,960   $ 142,158   $ 3,664
Vital Farms, Inc.   USFF +0.250%   Weekly   MS   01/12/29   314   6,984   7,301   752
                    136,511   5,982,736   6,191,161   744,172
Health Care Equipment & Services                            
Align Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   551   158,399   180,684   32,420
Astrana Health, Inc.   USFF +0.250%   Weekly   MS   01/12/29   427   17,923   17,930   1,144
Avanos Medical, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,359   47,748   46,968   2,267
Baxter International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,696   359,772   457,147   123,676
Becton Dickinson & Co.   USFF +0.250%   Weekly   MS   07/11/28   1,831   430,963   453,081   53,385
Cardinal Health, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,361   344,705   376,096   56,457
Cencora, Inc.   USFF +0.250%   Weekly   MS   01/10/28   572   106,726   138,990   39,893
Centene Corp.   USFF +0.250%   Weekly   MS   07/08/27   5,390   372,152   423,007   75,032
Cigna Group (The)   USFF +0.250%   Weekly   MS   01/12/29   1,124   387,933   408,226   45,711
CONMED Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,998   383,413   320,160   (37,554)
Cross Country Healthcare, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,018   73,225   56,497   (12,079)
CVS Health Corp.   USFF +0.250%   Weekly   MS   01/10/28   4,137   291,807   329,967   58,039
DaVita, Inc.   USFF +0.250%   Weekly   MS   07/08/27   4,855   441,198   670,233   259,064
Definitive Healthcare Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,482   38,830   36,170   (184)
Evolent Health, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   5,404   177,177   177,197   11,358
GE HealthCare Technologies, Inc.   USFF +0.250%   Weekly   MS   01/07/27   6,807   438,470   618,824   208,908
Haemonetics Corp.   USFF +0.250%   Weekly   MS   07/11/28   375   29,811   32,006   4,339
HCA Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,021   270,230   340,534   89,082
HealthStream, Inc.   USFF +0.250%   Weekly   MS   01/12/29   20   527   533   29
Hologic, Inc.   USFF +0.250%   Weekly   MS   07/23/25   2,241   164,505   174,708   20,730
Humana, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,625   655,751   563,420   (47,598)
IDEXX Laboratories, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,064   569,039   574,486   41,885
Lantheus Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,104   171,359   193,193   32,799
LeMaitre Vascular, Inc.   USFF +0.250%   Weekly   MS   01/12/29   201   13,431   13,338   786
McKesson Corp.   USFF +0.250%   Weekly   MS   01/12/29   233   120,212   125,086   12,670
Medtronic PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   9,073   765,711   790,712   81,486
Molina Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/07/27   954   312,039   391,932   101,291
National HealthCare Corp.   USFF +0.250%   Weekly   MS   01/12/29   116   10,795   10,963   907
Omnicell, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,389   42,812   40,600   159
Owens & Minor, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,089   144,884   196,436   60,908
Penumbra, Inc.   USFF +0.250%   Weekly   MS   01/12/29   281   63,959   62,714   2,841
The accompanying notes are an integral part of the financial statements.
45

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Phreesia, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,578   $ 107,667   $ 109,552   $ 8,770
Privia Health Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   7,267   161,652   142,361   (8,948)
Quest Diagnostics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,377   174,701   183,292   19,990
ResMed, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,710   502,747   536,661   66,918
Teleflex, Inc.   USFF +0.250%   Weekly   MS   01/12/29   281   63,087   63,554   4,519
Tenet Healthcare Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,452   129,942   152,620   31,841
UFP Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   255   32,141   64,311   35,448
UnitedHealth Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   798   404,650   394,771   14,899
Zimmer Biomet Holdings, Inc.   USFF +0.250%   Weekly   MS   01/07/27   2,677   318,160   353,310   57,488
                    109,193   9,300,253   10,222,270   1,550,776
Household & Personal Products                            
BellRing Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,512   293,259   325,373   50,888
Clorox Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   1,064   163,608   162,909   9,770
Colgate-Palmolive Co.   USFF +0.250%   Weekly   MS   07/11/28   4,993   397,695   449,620   78,626
Coty, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   3,938   46,540   47,098   3,528
Estee Lauder Cos., Inc. (The), Class A   USFF +0.250%   Weekly   MS   01/12/29   147   20,644   22,660   3,977
Kenvue, Inc.   USFF +0.250%   Weekly   MS   07/11/28   20,655   410,245   443,256   64,585
Kimberly-Clark Corp.   USFF +0.250%   Weekly   MS   07/08/27   4,589   586,413   593,587   77,739
Procter & Gamble Co. (The)   USFF +0.250%   Weekly   MS   01/05/26   2,906   417,959   471,499   97,637
Reynolds Consumer Products, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,265   36,540   36,128   1,963
WD-40 Co.   USFF +0.250%   Weekly   MS   07/11/28   578   140,821   146,413   14,601
                    45,647   2,513,724   2,698,543   403,314
Materials                            
Alamos Gold, Inc., Class A (Canada)   USFF +0.250%   Weekly   MS   01/10/28   11,177   133,562   164,861   42,152
Alpha Metallurgical Resources, Inc.   USFF +0.250%   Weekly   MS   01/10/28   362   111,005   119,884   16,005
Amcor PLC (Jersey)   USFF +0.250%   Weekly   MS   07/11/28   11,417   102,711   108,576   15,462
AptarGroup, Inc.   USFF +0.250%   Weekly   MS   01/12/29   491   68,647   70,650   6,389
Arch Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   78   12,523   12,542   810
Avient Corp.   USFF +0.250%   Weekly   MS   07/11/28   744   24,533   32,290   10,426
Axalta Coating Systems Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   1,049   30,532   36,075   9,474
Balchem Corp.   USFF +0.250%   Weekly   MS   01/12/29   66   10,211   10,227   659
Ball Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,061   154,891   206,189   63,490
The accompanying notes are an integral part of the financial statements.
46

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Berry Global Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,679   $ 96,951   $101,546   $ 11,692
Cabot Corp.   USFF +0.250%   Weekly   MS   07/11/28   755   55,512   69,611   18,694
Carpenter Technology Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,697   173,073   192,620   31,813
Celanese Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,633   254,040   280,647   42,869
CF Industries Holdings, Inc.   USFF +0.250%   Weekly   MS   07/23/25   3,195   199,987   265,856   87,253
Cleveland-Cliffs, Inc.   USFF +0.250%   Weekly   MS   07/11/28   27,662   441,927   629,034   218,787
Crown Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   632   50,918   50,092   2,629
Eastman Chemical Co.   USFF +0.250%   Weekly   MS   07/11/28   1,847   141,896   185,106   55,454
Fortuna Silver Mines, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   32,810   104,975   122,381   24,120
Freeport-McMoRan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,871   151,173   182,014   40,514
HB Fuller Co.   USFF +0.250%   Weekly   MS   01/10/28   1,398   96,763   111,477   20,822
Innospec, Inc.   USFF +0.250%   Weekly   MS   01/10/28   503   49,392   64,857   19,121
International Flavors & Fragrances, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,397   185,054   206,118   35,904
International Paper Co.   USFF +0.250%   Weekly   MS   01/12/29   1,663   57,840   64,890   11,583
Knife River Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,153   76,520   93,485   21,856
Koppers Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   291   15,598   16,054   1,450
Linde PLC (Ireland)   USFF +0.250%   Weekly   MS   01/05/26   1,189   418,646   552,076   187,093
LyondellBasell Industries N.V., Class A (Netherlands)   USFF +0.250%   Weekly   MS   07/11/28   3,509   318,056   358,901   68,186
Martin Marietta Materials, Inc.   USFF +0.250%   Weekly   MS   01/07/27   289   122,750   177,429   71,461
Metallus, Inc.   USFF +0.250%   Weekly   MS   01/12/29   23   505   512   28
Minerals Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,382   81,150   104,037   28,192
NewMarket Corp.   USFF +0.250%   Weekly   MS   01/10/28   459   222,762   291,291   85,254
Nucor Corp.   USFF +0.250%   Weekly   MS   07/23/25   1,510   214,749   298,829   105,379
Packaging Corp. of America   USFF +0.250%   Weekly   MS   07/08/27   1,030   149,757   195,473   59,867
PPG Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,153   294,433   311,970   37,813
Quaker Chemical Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,347   252,378   276,472   41,038
Royal Gold, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,076   225,556   252,878   41,951
RPM International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,117   105,255   132,867   34,575
Scotts Miracle-Gro Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,544   301,418   413,527   138,970
Sealed Air Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,004   33,045   37,349   8,050
The accompanying notes are an integral part of the financial statements.
47

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Sherwin-Williams Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,079   $ 297,885   $ 374,769   $ 99,163
SilverCrest Metals, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   80   525   533   30
Sonoco Products Co.   USFF +0.250%   Weekly   MS   01/12/29   79   4,502   4,569   344
Vulcan Materials Co.   USFF +0.250%   Weekly   MS   01/10/28   765   175,413   208,784   45,313
Warrior Met Coal, Inc.   USFF +0.250%   Weekly   MS   01/07/27   675   22,516   40,973   20,697
Westrock Co.   USFF +0.250%   Weekly   MS   01/12/29   2,550   111,007   126,098   22,396
Worthington Steel, Inc.   USFF +0.250%   Weekly   MS   01/12/29   26   935   932   46
                    140,517   6,153,477   7,557,351   1,905,274
Media & Entertainment                            
Alphabet, Inc., Class A   USFF +0.250%   Weekly   MS   01/05/26   15,261   1,635,462   2,303,343   774,060
Cargurus, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,635   28,198   37,736   11,863
Cinemark Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   9,599   105,983   172,494   73,288
Clear Channel Outdoor Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,745   4,668   4,529   149
Comcast Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   14,176   492,872   614,530   174,403
Electronic Arts, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,408   429,571   452,139   51,080
Getty Images Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   29   120   120   (3)
Grindr, Inc.   USFF +0.250%   Weekly   MS   01/12/29   51   504   517   34
Interpublic Group of Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/23/25   8,495   247,132   277,192   55,848
Match Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,583   194,977   202,551   20,052
Meta Platforms, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   4,728   904,827   2,295,822   1,451,143
Netflix, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,374   632,813   834,471   242,181
News Corp., Class A   USFF +0.250%   Weekly   MS   01/10/28   4,525   107,445   118,465   18,384
Omnicom Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   828   71,812   80,117   16,644
Sirius XM Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   34,382   138,746   133,402   3,533
Spotify Technology SA (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   1,538   388,679   405,878   41,528
TripAdvisor, Inc.   USFF +0.250%   Weekly   MS   01/12/29   11,004   295,751   305,801   29,085
Vimeo, Inc.   USFF +0.250%   Weekly   MS   01/10/28   18,793   75,397   76,863   6,284
Walt Disney Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   3,644   311,132   445,880   156,644
Warner Music Group Corp., Class A   USFF +0.250%   Weekly   MS   01/12/29   2,159   70,696   71,290   5,218
Yelp, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,994   214,072   196,764   (4,080)
ZipRecruiter, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   3,906   49,986   44,880   (1,916)
ZoomInfo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   9,632   152,148   154,401   11,988
                    162,489   6,552,991   9,229,185   3,137,410
The accompanying notes are an integral part of the financial statements.
48

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbbVie, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,333   $ 593,638   $ 606,939   $ 51,314
ADMA Biologics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,968   24,518   26,189   3,263
Agilent Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,227   261,360   324,051   80,629
Alkermes PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   9,583   278,226   259,412   (1,004)
Alpine Immune Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   943   36,206   37,381   3,483
Amgen, Inc.   USFF +0.250%   Weekly   MS   01/10/28   59   12,784   16,775   5,183
Amneal Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,237   18,340   19,616   2,440
Amphastar Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,407   129,998   105,691   (15,990)
ANI Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   980   56,962   67,747   14,423
Ardelyx, Inc.   USFF +0.250%   Weekly   MS   07/11/28   9,980   38,924   72,854   36,413
Azenta, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,315   83,853   79,268   304
Beam Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,383   51,870   45,694   (2,864)
Bio-Rad Laboratories, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   392   118,803   135,581   24,377
Bristol-Myers Squibb Co.   USFF +0.250%   Weekly   MS   01/07/27   20,075   1,058,106   1,088,667   99,483
Collegium Pharmaceutical, Inc.   USFF +0.250%   Weekly   MS   01/10/28   5,776   151,648   224,224   82,279
Corcept Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,019   22,553   25,669   5,292
EyePoint Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,797   82,539   78,484   (167)
Gilead Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   8,920   673,941   653,390   29,176
Halozyme Therapeutics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,625   55,381   66,105   16,359
Harmony Biosciences Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   10,142   325,140   340,568   36,181
ImmunityBio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,449   19,899   18,521   (114)
Incyte Corp.   USFF +0.250%   Weekly   MS   07/11/28   9,247   509,830   526,802   49,617
IQVIA Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,691   361,414   427,637   89,362
Ironwood Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   699   6,002   6,088   462
Johnson & Johnson   USFF +0.250%   Weekly   MS   07/23/25   7,888   1,219,465   1,247,803   139,308
Merck & Co., Inc.   USFF +0.250%   Weekly   MS   07/06/26   7,941   878,522   1,047,815   242,648
The accompanying notes are an integral part of the financial statements.
49

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Mettler-Toledo International, Inc.   USFF +0.250%   Weekly   MS   01/07/27   326   $ 355,210   $ 434,001   $ 104,776
Natera, Inc.   USFF +0.250%   Weekly   MS   01/12/29   177   15,817   16,188   1,377
Nurix Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   101   1,394   1,485   169
Nuvation Bio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   41   153   149   (5)
QIAGEN NV (Netherlands)   USFF +0.250%   Weekly   MS   01/12/29   284   12,129   12,209   846
Rhythm Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,335   32,661   57,846   27,265
Scholar Rock Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   48   776   852   115
Spyre Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   14   519   531   36
Taysha Gene Therapies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   55   167   158   (24)
Thermo Fisher Scientific, Inc.   USFF +0.250%   Weekly   MS   01/12/29   714   391,742   414,984   48,602
Twist Bioscience Corp.   USFF +0.250%   Weekly   MS   01/10/28   6,951   195,241   238,489   55,609
United Therapeutics Corp.   USFF +0.250%   Weekly   MS   07/11/28   200   43,284   45,944   7,032
Vera Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   16   286   690   411
Viatris, Inc.   USFF +0.250%   Weekly   MS   07/08/27   17,352   182,953   207,183   45,268
Waters Corp.   USFF +0.250%   Weekly   MS   01/12/29   175   60,650   60,240   3,464
WaVe Life Sciences Ltd. (Singapore)   USFF +0.250%   Weekly   MS   01/12/29   207   1,201   1,277   142
                    150,072   8,364,105   9,041,197   1,286,940
Semiconductors & Semiconductor
Equipment 		                           
Advanced Micro Devices, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,419   524,352   797,585   306,810
Amkor Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,387   72,878   76,957   8,890
Applied Materials, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,948   367,782   607,966   268,844
Broadcom, Inc.   USFF +0.250%   Weekly   MS   07/23/25   395   291,612   523,537   273,386
Entegris, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,448   193,791   203,502   22,313
GLOBALFOUNDRIES, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   01/12/29   3,697   197,671   192,651   7,630
KLA Corp.   USFF +0.250%   Weekly   MS   07/11/28   620   342,774   433,113   113,270
Lam Research Corp.   USFF +0.250%   Weekly   MS   07/08/27   455   248,648   442,064   213,950
Microchip Technology, Inc.   USFF +0.250%   Weekly   MS   01/07/27   7,391   481,250   663,047   230,259
The accompanying notes are an integral part of the financial statements.
50

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
Micron Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,533   $ 523,292   $ 534,395   $ 45,107
Monolithic Power Systems, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,499   885,559   1,015,453   189,606
NVIDIA Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,411   606,842   1,274,923   707,162
NXP Semiconductors NV (Netherlands)   USFF +0.250%   Weekly   MS   01/07/27   3,456   544,210   856,293   362,483
ON Semiconductor Corp.   USFF +0.250%   Weekly   MS   01/12/29   5,677   446,991   417,543   (827)
Onto Innovation, Inc.   USFF +0.250%   Weekly   MS   01/12/29   14   2,528   2,535   158
Photronics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   7,292   125,061   206,509   89,448
Qorvo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,941   788,289   797,035   59,228
QUALCOMM, Inc.   USFF +0.250%   Weekly   MS   07/08/27   13,099   1,708,846   2,217,661   637,919
Skyworks Solutions, Inc.   USFF +0.250%   Weekly   MS   07/08/27   7,329   723,762   793,877   125,219
SMART Global Holdings, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   8,048   173,816   211,823   49,213
                    83,059   9,249,954   12,268,469   3,710,068
Software & Services                            
Accenture PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   1,983   616,961   687,328   114,511
Adobe, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,460   713,000   736,716   69,376
Amdocs Ltd. (Guernsey)   USFF +0.250%   Weekly   MS   01/12/29   569   51,416   51,421   3,530
Appfolio, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   480   108,505   118,435   17,075
Bitfarms Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   101,984   239,059   227,424   3,667
Blackbaud, Inc.   USFF +0.250%   Weekly   MS   07/11/28   865   65,410   64,131   2,726
Box, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   2,247   63,811   63,635   3,900
Cadence Design Systems, Inc.   USFF +0.250%   Weekly   MS   01/10/28   608   131,710   189,258   65,974
CGI, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   83   9,164   9,171   583
Docebo, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   129   6,687   6,318   48
DXC Technology Co.   USFF +0.250%   Weekly   MS   07/11/28   4,940   109,259   104,777   2,506
Enfusion, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   268   2,461   2,479   164
EverCommerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   51   462   480   37
Fortinet, Inc.   USFF +0.250%   Weekly   MS   01/12/29   9,580   656,447   654,410   40,000
Gen Digital, Inc.   USFF +0.250%   Weekly   MS   07/08/27   17,000   310,370   380,800   98,046
Globant S.A. (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   447   94,369   90,249   1,914
GoDaddy, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   192   20,922   22,787   5,712
Guidewire Software, Inc.   USFF +0.250%   Weekly   MS   01/12/29   962   110,646   112,275   8,705
The accompanying notes are an integral part of the financial statements.
51

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Hackett Group, Inc. (The)   USFF +0.250%   Weekly   MS   01/12/29   3   $ 72   $ 73   $ 2
Informatica, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   3,992   129,048   139,720   18,927
InterDigital, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,083   253,823   328,216   96,152
International Business Machines Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,858   388,004   545,764   197,738
JFrog Ltd. (Israel)   USFF +0.250%   Weekly   MS   07/11/28   5,722   209,854   253,027   56,604
Kyndryl Holdings, Inc.   USFF +0.250%   Weekly   MS   07/06/26   2,391   36,680   52,028   17,687
LiveRamp Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,147   178,735   177,572   10,274
Manhattan Associates, Inc.   USFF +0.250%   Weekly   MS   07/11/28   106   21,648   26,524   6,252
MeridianLink, Inc.   USFF +0.250%   Weekly   MS   01/12/29   185   3,352   3,460   311
Microsoft Corp.   USFF +0.250%   Weekly   MS   07/08/27   4,611   1,187,614   1,939,940   846,503
N-able, Inc.   USFF +0.250%   Weekly   MS   01/12/29   89   1,163   1,163   64
NCR Voyix Corp.   USFF +0.250%   Weekly   MS   07/08/27   16,869   247,199   213,055   (19,161)
NextNav, Inc.   USFF +0.250%   Weekly   MS   01/12/29   196   1,316   1,290   46
Nutanix, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   6,659   211,136   410,993   213,370
Okta, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,143   552,947   538,061   20,522
Oracle Corp.   USFF +0.250%   Weekly   MS   01/05/26   14,630   1,417,272   1,837,674   535,340
Palantir Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   23,338   492,149   537,007   77,640
Palo Alto Networks, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,440   948,697   1,261,537   373,104
Pegasystems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,541   163,502   164,250   11,285
Q2 Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,414   137,513   179,440   50,724
Qualys, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,307   219,114   218,099   13,009
Roper Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   455   249,552   255,182   21,604
Salesforce, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,577   603,538   1,077,321   513,782
Samsara, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   8,990   232,683   339,732   121,942
ServiceNow, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,986   1,197,682   1,514,126   393,150
SolarWinds Corp.   USFF +0.250%   Weekly   MS   01/12/29   56   695   707   45
SPS Commerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   185   185   4
Squarespace, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   319   8,569   11,624   3,593
Synopsys, Inc.   USFF +0.250%   Weekly   MS   01/12/29   215   120,612   122,873   9,975
UiPath, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   8,414   136,893   190,745   62,644
Verint Systems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   106   3,534   3,514   195
VeriSign, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,894   360,324   358,932   21,677
Workday, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   592   159,199   161,468   9,453
The accompanying notes are an integral part of the financial statements.
52

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Yext, Inc.   USFF +0.250%   Weekly   MS   07/08/27   11,913   $ 96,988   $ 71,835   $ (18,951)
Zoom Video Communications, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   9,678   635,866   632,651   37,503
                    298,768   13,917,817   17,091,882   4,141,483
Technology Hardware & Equipment                            
Amphenol Corp., Class A   USFF +0.250%   Weekly   MS   07/11/28   2,423   250,688   279,493   45,370
Apple, Inc.   USFF +0.250%   Weekly   MS   01/07/27   14,985   2,500,617   2,569,628   238,928
Arlo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,941   35,301   37,204   4,153
Arrow Electronics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   924   109,757   119,621   17,419
Bel Fuse, Inc., Class B   USFF +0.250%   Weekly   MS   07/11/28   1,128   56,181   68,030   15,487
CDW Corp.   USFF +0.250%   Weekly   MS   07/23/25   769   133,227   196,695   74,448
Ciena Corp.   USFF +0.250%   Weekly   MS   01/12/29   6,962   356,387   344,271   10,701
Cisco Systems, Inc.   USFF +0.250%   Weekly   MS   07/23/25   14,767   673,137   737,021   135,888
Crane NXT Co.   USFF +0.250%   Weekly   MS   07/11/28   71   2,672   4,395   3,232
Extreme Networks, Inc.   USFF +0.250%   Weekly   MS   01/05/26   14,860   310,807   171,484   (119,425)
F5, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,123   357,313   402,500   68,063
Fabrinet (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   215   35,134   40,639   7,745
Hewlett Packard Enterprise Co.   USFF +0.250%   Weekly   MS   01/07/27   27,864   414,571   494,029   120,115
HP, Inc.   USFF +0.250%   Weekly   MS   07/23/25   10,245   281,431   309,604   58,920
Insight Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,040   128,738   192,941   72,437
IonQ, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,235   7,939   12,338   4,896
Itron, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,611   214,156   241,570   41,120
Jabil, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,002   359,293   402,118   66,019
Keysight Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,843   281,863   288,208   24,389
Littelfuse, Inc.   USFF +0.250%   Weekly   MS   01/12/29   608   146,109   147,349   10,858
Motorola Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   549   171,786   194,884   34,781
Napco Security Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,892   72,316   116,143   48,982
NetApp, Inc.   USFF +0.250%   Weekly   MS   07/23/25   4,205   318,973   441,399   166,533
NetScout Systems, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,859   83,229   62,441   (15,540)
PC Connection, Inc.   USFF +0.250%   Weekly   MS   01/12/29   118   7,693   7,780   568
Seagate Technology Holdings PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   5,759   361,074   535,875   213,527
Super Micro Computer, Inc.   USFF +0.250%   Weekly   MS   01/10/28   972   106,407   981,749   882,147
TD SYNNEX Corp.   USFF +0.250%   Weekly   MS   01/12/29   213   23,947   24,090   1,666
The accompanying notes are an integral part of the financial statements.
53

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
TE Connectivity Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   1,203   $ 147,779   $ 174,724   $ 38,566
Vontier Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,551   85,229   115,713   36,708
Western Digital Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,067   272,315   414,012   159,129
Xerox Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   43   766   770   255
                    138,047   8,306,835   10,128,718   2,468,085
Telecommunication Services                            
Anterix, Inc.   USFF +0.250%   Weekly   MS   01/12/29   187   6,828   6,285   (117)
AT&T, Inc.   USFF +0.250%   Weekly   MS   01/10/28   21,211   323,690   373,314   74,455
Iridium Communications, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,896   129,678   101,919   (19,106)
Lumen Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   346   546   540   18
TELUS Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   4,798   83,383   76,816   (375)
T-Mobile US, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,284   603,419   699,234   138,695
Verizon Communications, Inc.   USFF +0.250%   Weekly   MS   07/08/27   13,500   492,668   566,460   117,904
                    48,222   1,640,212   1,824,568   311,474
Transportation                            
CH Robinson Worldwide, Inc.   USFF +0.250%   Weekly   MS   01/12/29   755   55,789   57,486   5,259
CSX Corp.   USFF +0.250%   Weekly   MS   07/23/25   14,446   460,608   535,513   112,456
Delta Air Lines, Inc.   USFF +0.250%   Weekly   MS   07/11/28   8,342   273,813   399,332   143,858
FedEx Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,967   454,001   569,919   157,757
Forward Air Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,702   170,120   146,279   (12,955)
FTAI Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/12/29   46   281   289   15
GXO Logistics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,853   101,654   99,617   3,524
Old Dominion Freight Line, Inc.   USFF +0.250%   Weekly   MS   07/23/25   1,278   254,832   280,278   42,688
Ryder System, Inc.   USFF +0.250%   Weekly   MS   07/08/27   43   3,379   5,168   2,415
Saia, Inc.   USFF +0.250%   Weekly   MS   01/12/29   77   43,264   45,045   4,557
SkyWest, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,474   193,158   309,064   128,878
Uber Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   6,007   381,158   462,479   105,725
Union Pacific Corp.   USFF +0.250%   Weekly   MS   07/11/28   734   175,726   180,513   17,172
XPO, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1   79   122   37
                    44,725   2,567,862   3,091,104   711,386
Utilities                            
ALLETE, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,431   247,756   264,265   38,904
American Water Works Co., Inc.   USFF +0.250%   Weekly   MS   07/08/27   731   100,461   89,336   (2,909)
Atmos Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   197   22,570   23,417   2,391
Black Hills Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,426   230,109   241,660   30,442
The accompanying notes are an integral part of the financial statements.
54

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Consolidated Edison, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,784   $ 159,399   $ 162,005   $ 12,806
Constellation Energy Corp.   USFF +0.250%   Weekly   MS   07/23/25   2,404   230,731   444,379   232,993
Duke Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   10,327   946,660   998,724   119,103
Fortis, Inc. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,661   66,882   65,626   3,952
New Jersey Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,142   47,287   49,003   5,240
NRG Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,180   531,176   756,774   263,915
ONE Gas, Inc.   USFF +0.250%   Weekly   MS   07/11/28   859   51,208   55,431   8,123
Public Service Enterprise Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,897   360,372   393,802   60,293
Southwest Gas Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,107   150,076   160,406   19,931
Spire, Inc.   USFF +0.250%   Weekly   MS   07/11/28   469   28,335   28,783   2,982
TransAlta Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   2,236   16,608   14,377   (1,107)
Vistra Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,441   142,557   378,966   250,365
                    55,292   3,332,187   4,126,954   1,047,424
Total Reference Entity — Long           134,041,130   163,543,784   39,763,660
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Short                                
Automobiles & Components                            
Dana, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,395)   $ (244,380)   $ (233,617)   $ 6,296
Fox Factory Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (12,707)   (632,237)   (661,653)   (34,990)
Mobileye Global, Inc., Class A   USFF -0.580%   Weekly   MS   07/11/28   (30,826)   (923,942)   (991,056)   (93,069)
Phinia, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (13,696)   (490,076)   (526,337)   (40,878)
QuantumScape Corp.   USFF -0.830%   Weekly   MS   01/12/29   (95,469)   (616,225)   (600,500)   9,544
Rivian Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (61,706)   (669,364)   (675,681)   (12,217)
Standard Motor Products, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (172)   (5,736)   (5,771)   (96)
Tesla, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,058)   (942,586)   (889,146)   54,926
Thor Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,476)   (595,911)   (642,554)   (51,897)
Winnebago Industries, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,532)   (177,026)   (187,368)   (17,123)
XPEL, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (542)   (29,303)   (29,279)   (245)
                    (246,579)   (5,326,786)   (5,442,962)   (179,749)
Capital Goods                            
3D Systems Corp.   USFF -0.267%   Weekly   MS   01/07/27   (140,331)   (1,055,035)   (623,070)   422,671
AAON, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,461)   (1,068,307)   (1,274,014)   (221,239)
AeroVironment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,029)   (1,012,453)   (1,230,685)   (239,650)
The accompanying notes are an integral part of the financial statements.
55

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
AGCO Corp.   USFF -0.250%   Weekly   MS   01/12/29   (6,316)   $ (720,203)   $ (776,994)   $ (63,783)
Albany International Corp., Class A   USFF -0.250%   Weekly   MS   01/10/28   (14,302)   (1,325,889)   (1,337,380)   (34,862)
Allison Transmission Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,742)   (107,661)   (141,381)   (37,963)
Ameresco, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (42,764)   (1,656,618)   (1,031,895)   609,170
Archer Aviation, Inc., Class A   USFF -10.639%   Weekly   MS   07/11/28   (87,906)   (453,582)   (406,126)   43,454
Arcosa, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,979)   (1,184,663)   (1,286,097)   (111,869)
Argan, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (249)   (12,536)   (12,584)   (170)
Astronics Corp.   USFF -0.250%   Weekly   MS   01/12/29   (86)   (1,593)   (1,637)   (69)
Atkore, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,973)   (583,329)   (756,300)   (179,386)
Ballard Power Systems, Inc. (Canada)   USFF -1.244%   Weekly   MS   01/05/26   (209,955)   (1,922,875)   (583,675)   1,322,382
Barnes Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,767)   (470,545)   (548,594)   (85,925)
Bloom Energy Corp., Class A   USFF -0.780%   Weekly   MS   01/12/29   (39,149)   (369,340)   (440,035)   (73,955)
CAE, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (5,971)   (119,746)   (123,241)   (4,560)
ChargePoint Holdings, Inc.   USFF -16.768%   Weekly   MS   01/10/28   (297,610)   (1,332,336)   (565,459)   754,896
Construction Partners, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,526)   (288,271)   (310,285)   (24,561)
Dycom Industries, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,138)   (464,318)   (593,927)   (143,193)
Encore Wire Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,486)   (347,761)   (390,491)   (45,801)
Energy Recovery, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,155)   (168,109)   (97,187)   69,431
Enovix Corp.   USFF -1.330%   Weekly   MS   07/11/28   (50,575)   (563,758)   (405,106)   153,680
ESCO Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (150)   (15,824)   (16,058)   (391)
Fluor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (40,087)   (1,525,843)   (1,694,878)   (182,472)
GATX Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,844)   (708,335)   (783,271)   (91,468)
Granite Construction, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,294)   (259,732)   (359,576)   (106,475)
Hayward Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (15,950)   (216,827)   (244,195)   (29,286)
Helios Technologies, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (15,115)   (835,183)   (675,489)   149,409
Herc Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (5,629)   (697,062)   (947,361)   (284,436)
Hexcel Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,760)   (416,489)   (419,616)   (7,749)
Hillenbrand, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (2,952)   (151,017)   (148,456)   (3,011)
JELD-WEN Holding, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (8,394)   (217,596)   (178,205)   37,743
John Bean Technologies Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,758)   (207,677)   (184,397)   20,876
The accompanying notes are an integral part of the financial statements.
56

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Johnson Controls International PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (11,946)   $ (761,971)   $ (780,313)   $ (28,520)
Masonite International Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (7,638)   (994,417)   (1,004,015)   (18,892)
MasTec, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (923)   (98,256)   (86,070)   11,710
Mercury Systems, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (33,785)   (1,850,400)   (996,657)   837,450
Moog, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (3,407)   (391,454)   (543,928)   (160,166)
MRC Global, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (22,248)   (246,658)   (279,657)   (36,620)
Mueller Water Products, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (10,792)   (147,966)   (173,643)   (34,637)
MYR Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,135)   (1,362,363)   (1,614,611)   (264,247)
Nordson Corp.   USFF -0.250%   Weekly   MS   07/11/28   (848)   (224,046)   (232,810)   (15,131)
Northrop Grumman Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,535)   (2,491,072)   (2,649,383)   (187,375)
nVent Electric PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (3,362)   (251,002)   (253,495)   (4,712)
Plug Power, Inc.   USFF -2.972%   Weekly   MS   01/10/28   (188,403)   (1,339,048)   (648,106)   675,257
Primoris Services Corp.   USFF -0.250%   Weekly   MS   07/06/26   (5,752)   (156,627)   (244,863)   (92,948)
Rocket Lab USA, Inc.   USFF -0.718%   Weekly   MS   07/11/28   (143,634)   (617,337)   (590,336)   21,559
Rockwell Automation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,930)   (2,778,304)   (2,892,907)   (149,004)
Rush Enterprises, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (29,401)   (1,277,074)   (1,573,542)   (315,865)
Sensata Technologies Holding PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/12/29   (65,113)   (2,227,702)   (2,392,252)   (185,624)
Simpson Manufacturing Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,429)   (886,309)   (908,742)   (33,151)
SiteOne Landscape Supply, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,634)   (847,864)   (983,415)   (148,389)
Standex International Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,254)   (221,852)   (228,504)   (8,615)
Stratasys Ltd. (Israel)   USFF -1.080%   Weekly   MS   07/11/28   (25,540)   (315,607)   (296,775)   16,036
Sunrun, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (66,436)   (1,111,644)   (875,626)   225,976
Symbotic, Inc.   USFF -3.980%   Weekly   MS   01/12/29   (6,258)   (253,238)   (281,610)   (31,878)
Thermon Group Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,938)   (140,450)   (161,571)   (22,369)
Timken Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (23,535)   (1,956,197)   (2,057,665)   (122,963)
Titan Machinery, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (14,607)   (455,366)   (362,400)   89,099
Toro Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (19,060)   (1,691,094)   (1,746,468)   (79,801)
Triumph Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (437)   (6,633)   (6,572)   (12)
The accompanying notes are an integral part of the financial statements.
57

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
WESCO International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (8,720)   $ (1,407,428)   $ (1,493,562)   $ (100,414)
WillScot Mobile Mini Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (55,635)   (2,377,069)   (2,587,027)   (253,129)
Xometry, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (20,006)   (567,438)   (337,901)   224,533
                    (1,886,744)   (49,934,399)   (47,872,091)   1,418,596
Commercial & Professional
Services 		                           
Brady Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (889)   (52,890)   (52,700)   (287)
CACI International, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (3,227)   (1,170,266)   (1,222,484)   (63,921)
Casella Waste Systems, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (12,647)   (1,031,371)   (1,250,409)   (230,334)
CBIZ, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,214)   (290,978)   (409,299)   (124,042)
Clarivate PLC (Jersey)   USFF -0.250%   Weekly   MS   07/11/28   (44,290)   (371,365)   (329,075)   38,723
Clean Harbors, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,727)   (316,940)   (347,662)   (33,658)
Concentrix Corp.   USFF -0.250%   Weekly   MS   01/12/29   (13,258)   (1,088,417)   (877,945)   200,423
Dayforce, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,457)   (680,021)   (626,148)   48,046
Driven Brands Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (43,854)   (896,684)   (692,455)   196,329
Exponent, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (17,360)   (1,562,460)   (1,435,498)   102,345
GFL Environmental, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (40,093)   (1,292,738)   (1,383,208)   (106,764)
Insperity, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,124)   (226,524)   (232,812)   (8,292)
Kforce, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,897)   (180,493)   (204,296)   (30,597)
Matthews International Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (53)   (1,638)   (1,647)   (89)
NV5 Global, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (660)   (64,891)   (64,687)   (377)
Paychex, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,604)   (565,082)   (565,371)   (11,249)
Paycom Software, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,932)   (1,219,654)   (1,180,527)   27,626
Paylocity Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (6,359)   (1,233,377)   (1,092,858)   129,302
Pitney Bowes, Inc.   USFF -0.260%   Weekly   MS   01/12/29   (3,877)   (16,744)   (16,787)   (202)
RB Global, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (15,934)   (1,037,615)   (1,213,693)   (213,146)
Rollins, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,809)   (454,093)   (453,862)   (3,683)
Stericycle, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (17,174)   (874,407)   (905,928)   (39,342)
Thomson Reuters Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (1,736)   (273,869)   (270,521)   (582)
TransUnion   USFF -0.250%   Weekly   MS   07/11/28   (7,201)   (502,001)   (574,640)   (94,300)
UniFirst Corp.   USFF -0.250%   Weekly   MS   07/06/26   (1,157)   (235,625)   (200,659)   32,138
Upwork, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (26,267)   (327,467)   (322,033)   2,541
The accompanying notes are an integral part of the financial statements.
58

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Verra Mobility Corp.   USFF -0.250%   Weekly   MS   07/11/28   (31,597)   $ (717,373)   $ (788,977)   $ (77,927)
Viad Corp.   USFF -0.250%   Weekly   MS   01/12/29   (18)   (715)   (711)   (13)
                    (329,415)   (16,685,698)   (16,716,892)   (261,332)
Consumer Discretionary
Distribution & Retail 		                           
Advance Auto Parts, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,808)   (725,886)   (324,023)   409,593
Asbury Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,949)   (876,237)   (931,095)   (68,079)
AutoNation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,679)   (836,138)   (940,329)   (113,824)
Boot Barn Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,859)   (340,406)   (367,184)   (32,585)
Buckle, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (8,180)   (372,675)   (329,409)   16,017
Burlington Stores, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,185)   (2,029,530)   (2,132,665)   (121,003)
Caleres, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (8,239)   (218,135)   (338,046)   (125,519)
CarMax, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,608)   (138,540)   (140,073)   (2,763)
Chewy, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (71,413)   (1,128,699)   (1,136,181)   (17,424)
Designer Brands, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (3,236)   (35,301)   (35,369)   (503)
Dollar Tree, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,344)   (810,728)   (844,704)   (62,138)
Five Below, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,808)   (1,197,100)   (1,053,455)   152,445
Floor & Decor Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,197)   (626,155)   (673,635)   (53,000)
Foot Locker, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (28,957)   (1,082,320)   (825,274)   217,776
Group 1 Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (201)   (57,447)   (58,738)   (1,694)
Leslie's, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (15,287)   (265,145)   (99,366)   180,590
MarineMax, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (20,972)   (627,250)   (697,529)   (75,809)
Ollie's Bargain Outlet Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,550)   (363,619)   (362,044)   (2,506)
O'Reilly Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,479)   (1,650,209)   (1,669,614)   (39,866)
Penske Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,097)   (998,802)   (987,653)   (5,695)
Petco Health & Wellness Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,610)   (5,811)   (5,951)   (202)
RH   USFF -0.250%   Weekly   MS   07/11/28   (1,421)   (430,094)   (494,877)   (68,959)
Shoe Carnival, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,958)   (160,923)   (218,301)   (62,993)
Sonic Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (9,766)   (517,923)   (556,076)   (48,698)
Tractor Supply Co.   USFF -0.250%   Weekly   MS   01/12/29   (3,396)   (820,974)   (888,801)   (77,358)
Victoria's Secret & Co.   USFF -0.250%   Weekly   MS   01/05/26   (19,143)   (839,646)   (370,991)   506,261
Warby Parker, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (30,261)   (382,029)   (411,852)   (33,196)
                    (286,603)   (17,537,722)   (16,893,235)   468,868
The accompanying notes are an integral part of the financial statements.
59

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Durables & Apparel                            
Acushnet Holdings Corp.   USFF -0.250%   Weekly   MS   01/12/29   (9,383)   $ (600,698)   $ (618,809)   $ (23,924)
Amer Sports, Inc. (Cayman Islands)   USFF -1.680%   Weekly   MS   01/12/29   (14,160)   (224,759)   (230,808)   (8,037)
Capri Holdings Ltd. (British Virgin Islands)   USFF -0.250%   Weekly   MS   07/11/28   (51,117)   (2,507,676)   (2,315,600)   171,425
Cavco Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (563)   (204,714)   (224,671)   (21,769)
Gildan Activewear, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (9,179)   (293,629)   (340,816)   (57,119)
Levi Strauss & Co., Class A   USFF -0.250%   Weekly   MS   01/10/28   (83,288)   (1,350,346)   (1,664,927)   (366,090)
Oxford Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (772)   (85,384)   (86,773)   (2,151)
SharkNinja, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/12/29   (10,040)   (609,091)   (625,392)   (21,671)
Skyline Champion Corp.   USFF -0.250%   Weekly   MS   01/12/29   (7,833)   (639,080)   (665,883)   (32,950)
Steven Madden Ltd.   USFF -0.250%   Weekly   MS   01/12/29   (14,827)   (623,432)   (626,886)   (10,396)
Sturm Ruger & Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,377)   (106,118)   (109,699)   (4,824)
Tempur Sealy International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,474)   (180,199)   (197,393)   (21,468)
Topgolf Callaway Brands Corp.   USFF -0.250%   Weekly   MS   01/05/26   (57,769)   (1,437,034)   (934,125)   500,912
Under Armour, Inc., Class C   USFF -0.250%   Weekly   MS   01/10/28   (35,696)   (295,695)   (254,869)   38,213
Whirlpool Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,023)   (161,409)   (122,381)   32,569
                    (301,501)   (9,319,264)   (9,019,032)   172,720
Consumer Services                            
Airbnb, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (12,591)   (1,945,631)   (2,077,011)   (221,889)
Carnival Corp. (Panama)   USFF -0.250%   Weekly   MS   01/12/29   (48,290)   (814,088)   (789,059)   17,855
Chegg, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (75,410)   (1,099,263)   (570,854)   518,726
Chipotle Mexican Grill, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (383)   (1,117,427)   (1,113,293)   (5,709)
Choice Hotels International, Inc.   USFF -0.980%   Weekly   MS   01/12/29   (4,976)   (611,377)   (628,718)   (22,730)
Churchill Downs, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (8,955)   (1,084,903)   (1,108,181)   (36,506)
Coursera, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (24,230)   (356,470)   (339,705)   13,618
Dave & Buster's Entertainment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,389)   (129,630)   (149,551)   (22,229)
First Watch Restaurant Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,675)   (285,087)   (336,679)   (54,111)
Hilton Worldwide Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,881)   (1,528,673)   (1,681,096)   (169,699)
Hyatt Hotels Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (5,453)   (677,579)   (870,408)   (230,065)
Krispy Kreme, Inc.   USFF -0.880%   Weekly   MS   07/08/27   (102,972)   (1,415,656)   (1,568,778)   (174,284)
The accompanying notes are an integral part of the financial statements.
60

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Mister Car Wash, Inc.   USFF -0.630%   Weekly   MS   01/07/27   (98,862)   $ (936,183)   $ (766,180)   $ 161,754
Papa John's International, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,347)   (366,838)   (289,510)   67,090
Penn Entertainment, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (37,668)   (671,471)   (685,934)   (20,382)
Portillo's, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (56,638)   (1,140,476)   (803,127)   327,318
Red Rock Resorts, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (28,128)   (1,264,043)   (1,682,617)   (509,859)
Restaurant Brands International, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (6,456)   (515,302)   (512,929)   (10,102)
Texas Roadhouse, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,600)   (475,494)   (556,092)   (98,132)
United Parks & Resorts, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,776)   (249,171)   (268,459)   (21,839)
Wingstop, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,992)   (1,746,376)   (2,195,469)   (493,960)
                    (553,672)   (18,431,138)   (18,993,650)   (985,135)
Consumer Staples Distribution &
Retail 		                           
BJ's Wholesale Club Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (14,174)   (1,050,774)   (1,072,263)   (34,831)
Casey's General Stores, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,564)   (2,213,196)   (2,408,756)   (216,950)
Chefs' Warehouse, Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (17,835)   (600,881)   (671,666)   (77,125)
Maplebear, Inc.   USFF -1.080%   Weekly   MS   01/12/29   (17,996)   (662,081)   (671,071)   (14,826)
PriceSmart, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,373)   (532,343)   (619,332)   (96,989)
SpartanNash Co.   USFF -0.250%   Weekly   MS   07/08/27   (18,936)   (576,000)   (382,697)   167,392
Sprouts Farmers Market, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (10,189)   (419,579)   (656,987)   (249,464)
United Natural Foods, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (15,973)   (439,133)   (183,530)   251,728
                    (110,040)   (6,493,987)   (6,666,302)   (271,065)
Energy                            
Antero Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,615)   (150,104)   (162,835)   (19,710)
Atlas Energy Solutions, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (24,606)   (428,434)   (556,588)   (138,233)
Baytex Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (326,703)   (1,071,447)   (1,185,932)   (140,821)
Bristow Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (783)   (20,382)   (21,298)   (1,106)
Cactus, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (9,086)   (448,000)   (455,118)   (20,196)
Civitas Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (17,751)   (1,225,747)   (1,347,478)   (204,857)
Clean Energy Fuels Corp.   USFF -0.256%   Weekly   MS   07/11/28   (130,650)   (477,297)   (350,142)   122,945
The accompanying notes are an integral part of the financial statements.
61

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Comstock Resources, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (163,256)   $(1,620,468)   $(1,515,016)   $ 60,808
Core Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (16,325)   (467,649)   (278,831)   184,628
Crescent Energy Co., Class A   USFF -0.250%   Weekly   MS   07/11/28   (25,551)   (296,912)   (304,057)   (12,893)
Crescent Point Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (144,600)   (983,651)   (1,184,274)   (227,384)
CVR Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,969)   (250,130)   (248,515)   (597)
Diamond Offshore Drilling, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (40,718)   (605,625)   (555,394)   45,445
Dril-Quip, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,872)   (219,113)   (222,416)   (5,835)
DT Midstream, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (13,141)   (672,948)   (802,915)   (190,364)
Energy Fuels, Inc. (Canada)   USFF -1.480%   Weekly   MS   07/11/28   (50,544)   (369,160)   (317,922)   48,382
EQT Corp.   USFF -0.250%   Weekly   MS   01/12/29   (31,241)   (1,115,999)   (1,158,104)   (53,017)
Expro Group Holdings NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (44,942)   (823,618)   (897,492)   (81,131)
Green Plains, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,914)   (286,704)   (206,092)   78,079
Hess Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,337)   (658,758)   (662,000)   (19,756)
HF Sinclair Corp.   USFF -0.250%   Weekly   MS   01/12/29   (14,845)   (847,556)   (896,193)   (61,066)
Kinetik Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (23,314)   (866,053)   (929,529)   (185,606)
Kosmos Energy Ltd.   USFF -0.250%   Weekly   MS   07/11/28   (55,792)   (420,665)   (332,520)   84,433
New Fortress Energy, Inc.   USFF -0.980%   Weekly   MS   07/08/27   (26,908)   (1,236,896)   (823,116)   317,185
NexGen Energy Ltd. (Canada)   USFF -0.830%   Weekly   MS   07/11/28   (36,773)   (255,888)   (285,726)   (39,240)
NextDecade Corp.   USFF -0.630%   Weekly   MS   01/12/29   (8,483)   (45,854)   (48,183)   (2,744)
North American Construction Group Ltd. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (1,501)   (35,347)   (33,442)   1,496
Northern Oil and Gas, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (16,558)   (619,163)   (657,021)   (53,942)
NOV, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (44,867)   (835,491)   (875,804)   (58,576)
Oceaneering International, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,681)   (326,282)   (320,135)   2,331
ONEOK, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (21,379)   (1,484,532)   (1,713,954)   (256,767)
Ovintiv, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,662)   (466,368)   (501,458)   (73,447)
Par Pacific Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,349)   (433,998)   (420,594)   9,571
Patterson-UTI Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (107,032)   (1,215,819)   (1,277,962)   (92,479)
Permian Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (69,751)   (1,092,127)   (1,231,803)   (173,778)
ProFrac Holding Corp., Class A   USFF -0.930%   Weekly   MS   07/08/27   (55,742)   (637,908)   (466,003)   165,669
The accompanying notes are an integral part of the financial statements.
62

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
ProPetro Holding Corp.   USFF -0.250%   Weekly   MS   01/10/28   (132,112)   $ (1,194,025)   $ (1,067,465)   $ 115,933
Range Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (14,484)   (472,647)   (498,684)   (34,206)
RPC, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (17,855)   (159,501)   (138,198)   19,169
Seadrill Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/12/29   (224)   (11,141)   (11,267)   (235)
SFL Corp. Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (13,262)   (148,603)   (174,793)   (39,923)
SilverBow Resources, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (16,475)   (651,832)   (562,456)   83,629
Southwestern Energy Co.   USFF -0.250%   Weekly   MS   01/12/29   (152,481)   (1,065,710)   (1,155,806)   (105,184)
Suncor Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (40,409)   (1,392,290)   (1,491,496)   (119,487)
Talos Energy, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (72,279)   (1,017,666)   (1,006,846)   511
Uranium Energy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (51,913)   (339,740)   (350,413)   (13,673)
Valaris Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (8,625)   (588,791)   (649,117)   (66,741)
Vermilion Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (35,770)   (470,111)   (444,979)   10,047
Vital Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,295)   (657,039)   (698,519)   (49,099)
Williams Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (36,008)   (1,311,517)   (1,403,232)   (140,884)
World Kinect Corp.   USFF -0.250%   Weekly   MS   07/08/27   (15,674)   (424,619)   (414,577)   (8,980)
                    (2,214,107)   (32,917,325)   (33,313,710)   (1,341,696)
Financial Services                            
I3 Verticals, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (71)   (1,624)   (1,625)   (831)
Jack Henry & Associates, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (822)   (137,549)   (142,806)   (7,513)
MarketAxess Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (620)   (134,407)   (135,935)   (2,722)
Marqeta, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (96,865)   (576,167)   (577,315)   (6,229)
Nasdaq, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (42,847)   (2,540,730)   (2,703,646)   (190,626)
Remitly Global, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (76,734)   (1,497,950)   (1,591,463)   (111,979)
WEX, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,910)   (991,044)   (1,166,272)   (191,939)
                    (222,869)   (5,879,471)   (6,319,062)   (511,839)
Food, Beverage & Tobacco                            
Brown-Forman Corp., Class B   USFF -0.250%   Weekly   MS   07/11/28   (4,522)   (297,295)   (233,426)   58,797
Cal-Maine Foods, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (31,341)   (1,750,978)   (1,844,418)   (115,093)
Darling Ingredients, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (45,815)   (3,021,543)   (2,130,856)   862,886
Duckhorn Portfolio, Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (22,358)   (205,818)   (208,153)   (4,157)
The accompanying notes are an integral part of the financial statements.
63

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Flowers Foods, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (17,169)   $ (443,601)   $ (407,764)   $ 16,274
Hain Celestial Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/08/27   (22,637)   (468,484)   (177,927)   299,206
Hershey Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (7,648)   (1,518,446)   (1,487,536)   19,312
J M Smucker Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (26,875)   (3,306,290)   (3,382,756)   (105,568)
John B Sanfilippo & Son, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,420)   (145,654)   (150,406)   (6,045)
Lamb Weston Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (17,616)   (1,897,819)   (1,876,632)   (1,651)
Mission Produce, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,038)   (35,012)   (24,191)   11,132
Monster Beverage Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,827)   (172,139)   (167,585)   6,162
PepsiCo, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (22,436)   (3,860,965)   (3,926,524)   (99,227)
Pilgrim's Pride Corp.   USFF -0.250%   Weekly   MS   07/11/28   (31,419)   (791,400)   (1,078,300)   (304,800)
Post Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,438)   (990,733)   (1,003,071)   (21,761)
TreeHouse Foods, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (17,731)   (656,142)   (690,622)   (40,265)
Universal Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,222)   (62,133)   (63,202)   (1,627)
                    (284,512)   (19,624,452)   (18,853,369)   573,575
Health Care Equipment & Services                            
Acadia Healthcare Co., Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,855)   (1,124,422)   (1,097,593)   14,682
AdaptHealth Corp.   USFF -0.250%   Weekly   MS   01/05/26   (4,436)   (124,247)   (51,058)   89,820
Agiliti, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7,120)   (132,151)   (72,054)   58,892
agilon health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (105,306)   (822,291)   (642,367)   172,678
Alcon, Inc. (Switzerland)   USFF -0.250%   Weekly   MS   01/12/29   (13,754)   (1,174,470)   (1,145,571)   15,459
Alphatec Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (33,867)   (453,204)   (467,026)   (17,821)
Amedisys, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,009)   (281,497)   (277,309)   1,788
AMN Healthcare Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,791)   (404,596)   (424,505)   (23,546)
Cooper Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (8,827)   (844,752)   (895,587)   (62,272)
CorVel Corp.   USFF -0.250%   Weekly   MS   07/08/27   (154)   (39,498)   (40,496)   (1,357)
DENTSPLY SIRONA, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (14,605)   (581,322)   (484,740)   89,600
Dexcom, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (25,961)   (3,405,562)   (3,600,791)   (225,205)
Doximity, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (13,892)   (497,780)   (373,834)   125,126
Edwards Lifesciences Corp.   USFF -0.250%   Weekly   MS   01/12/29   (28,532)   (2,483,939)   (2,726,518)   (272,379)
Ensign Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (3,401)   (340,231)   (423,152)   (87,613)
Envista Holdings Corp.   USFF -0.250%   Weekly   MS   01/10/28   (131)   (5,383)   (2,801)   2,543
The accompanying notes are an integral part of the financial statements.
64

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Globus Medical, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (23,242)   $(1,199,657)   $(1,246,701)   $ (61,465)
GoodRx Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (24,198)   (175,257)   (171,806)   1,661
Guardant Health, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (7,743)   (137,885)   (159,738)   (23,077)
Henry Schein, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (32,674)   (2,462,091)   (2,467,540)   (27,124)
ICU Medical, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7)   (1,299)   (751)   525
Inspire Medical Systems, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,285)   (502,637)   (705,585)   (212,539)
Insulet Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,268)   (296,265)   (217,335)   76,312
Integer Holdings Corp.   USFF -0.250%   Weekly   MS   01/12/29   (9,576)   (1,047,276)   (1,117,328)   (79,277)
Integra LifeSciences Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (7,869)   (323,692)   (278,956)   43,353
Intuitive Surgical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,523)   (1,349,667)   (1,405,994)   (73,462)
iRhythm Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,934)   (753,648)   (804,344)   (57,339)
Laboratory Corp. of America Holdings   USFF -0.250%   Weekly   MS   01/12/29   (3,019)   (659,623)   (659,531)   (5,370)
LifeStance Health Group, Inc.   USFF -0.680%   Weekly   MS   07/11/28   (25,275)   (182,081)   (155,947)   24,884
LivaNova PLC (United Kingdom)   USFF -0.250%   Weekly   MS   07/11/28   (6,186)   (318,878)   (346,045)   (33,945)
Masimo Corp.   USFF -0.250%   Weekly   MS   01/10/28   (6,536)   (931,901)   (959,812)   (40,962)
Multiplan Corp.   USFF -0.308%   Weekly   MS   07/11/28   (41,838)   (69,237)   (33,939)   34,702
Neogen Corp.   USFF -0.250%   Weekly   MS   01/10/28   (33,986)   (617,909)   (536,299)   76,135
Nevro Corp.   USFF -0.250%   Weekly   MS   07/06/26   (38,448)   (1,010,903)   (555,189)   447,278
Novocure Ltd. (Jersey)   USFF -0.250%   Weekly   MS   01/10/28   (102,635)   (2,441,505)   (1,604,185)   815,453
Option Care Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,112)   (478,284)   (473,316)   688
Patterson Cos., Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,906)   (551,355)   (522,751)   21,628
PROCEPT BioRobotics Corp.   USFF -0.250%   Weekly   MS   01/10/28   (7,866)   (285,407)   (388,738)   (107,303)
Progyny, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,968)   (73,924)   (75,079)   (1,817)
QuidelOrtho Corp.   USFF -0.250%   Weekly   MS   07/06/26   (19,891)   (1,433,415)   (953,575)   467,217
RadNet, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,860)   (87,618)   (139,168)   (63,215)
Schrodinger, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (26,925)   (954,112)   (726,975)   218,731
Shockwave Medical, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,911)   (1,823,874)   (2,576,059)   (768,244)
SI-BONE, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,483)   (38,957)   (40,647)   (2,044)
STAAR Surgical Co.   USFF -0.250%   Weekly   MS   01/10/28   (14,088)   (816,618)   (539,289)   272,331
STERIS PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (2,549)   (585,308)   (573,066)   5,896
Tandem Diabetes Care, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (29,718)   (1,468,230)   (1,052,314)   386,889
Teladoc Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (21,813)   (376,573)   (329,376)   43,872
The accompanying notes are an integral part of the financial statements.
65

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Treace Medical Concepts, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (34,056)   $ (544,529)   $ (444,431)   $ 95,296
US Physical Therapy, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,730)   (199,936)   (195,265)   (2,463)
Veeva Systems, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,270)   (1,139,441)   (1,221,006)   (101,045)
                    (874,029)   (38,054,337)   (36,403,482)   1,252,555
Household & Personal Products                            
Beauty Health Co. (The)   USFF -0.653%   Weekly   MS   01/12/29   (2,835)   (12,673)   (12,587)   (37)
Church & Dwight Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (25,415)   (2,574,887)   (2,651,039)   (109,158)
Edgewell Personal Care Co.   USFF -0.250%   Weekly   MS   01/10/28   (906)   (40,379)   (35,008)   5,005
elf Beauty, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (13,217)   (2,322,657)   (2,590,929)   (341,101)
Inter Parfums, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,328)   (763,940)   (748,637)   5,754
                    (47,701)   (5,714,536)   (6,038,200)   (439,537)
Materials                            
AdvanSix, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (46)   (1,303)   (1,316)   (35)
Air Products and Chemicals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7,666)   (2,109,466)   (1,857,242)   204,261
Albemarle Corp.   USFF -0.250%   Weekly   MS   01/10/28   (10,009)   (1,538,675)   (1,318,586)   99,229
Alcoa Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,796)   (145,554)   (162,057)   (18,767)
Algoma Steel Group, Inc. (Canada)   USFF -2.380%   Weekly   MS   01/10/28   (42,733)   (343,082)   (362,803)   (32,397)
Ashland, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (6,737)   (724,666)   (655,982)   50,966
Century Aluminum Co.   USFF -0.250%   Weekly   MS   01/12/29   (10,411)   (124,603)   (160,225)   (40,409)
Coeur Mining, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (588,762)   (2,885,594)   (2,219,633)   632,873
Commercial Metals Co.   USFF -0.250%   Weekly   MS   07/11/28   (11,562)   (606,534)   (679,499)   (80,393)
Compass Minerals International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,850)   (98,549)   (76,339)   21,087
Corteva, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,371)   (342,468)   (309,746)   26,394
DuPont de Nemours, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,584)   (992,041)   (1,041,485)   (62,447)
Ecovyst, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,479)   (36,145)   (38,791)   (2,975)
Equinox Gold Corp. (Canada)   USFF -0.830%   Weekly   MS   07/23/25   (254,737)   (1,902,587)   (1,533,517)   351,249
ERO Copper Corp. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (399)   (7,498)   (7,693)   (272)
First Majestic Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (102,013)   (601,462)   (599,836)   (10,419)
FMC Corp.   USFF -0.250%   Weekly   MS   01/10/28   (60,876)   (3,888,773)   (3,877,801)   (101,956)
Ginkgo Bioworks Holdings, Inc.   USFF -6.197%   Weekly   MS   07/11/28   (391,094)   (519,467)   (453,669)   61,216
The accompanying notes are an integral part of the financial statements.
66

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Graphic Packaging Holding Co.   USFF -0.250%   Weekly   MS   07/11/28   (13,211)   $ (344,692)   $ (385,497)   $ (45,158)
Hawkins, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (546)   (41,717)   (41,933)   (594)
Hecla Mining Co.   USFF -0.247%   Weekly   MS   07/08/27   (194,668)   (933,335)   (936,353)   (13,300)
Hudbay Minerals, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (44,569)   (218,647)   (311,983)   (100,237)
IAMGOLD Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (164,358)   (414,433)   (547,312)   (141,591)
Ingevity Corp.   USFF -0.250%   Weekly   MS   01/10/28   (15,745)   (1,072,035)   (751,036)   313,903
Louisiana-Pacific Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,985)   (132,433)   (166,561)   (42,087)
LSB Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,385)   (11,286)   (12,160)   (984)
MAG Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (22,589)   (216,756)   (238,992)   (24,155)
Mativ Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (137)   (5,338)   (2,569)   2,209
Methanex Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (17,631)   (752,094)   (786,872)   (58,039)
Mosaic Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (15,637)   (495,568)   (507,577)   (16,702)
MP Materials Corp.   USFF -0.250%   Weekly   MS   01/10/28   (47,853)   (963,083)   (684,298)   270,300
Newmont Corp.   USFF -0.250%   Weekly   MS   01/12/29   (103,970)   (3,470,881)   (3,726,285)   (304,526)
Nutrien Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (11,358)   (742,236)   (616,853)   100,063
O-I Glass, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (21,907)   (406,829)   (363,437)   39,603
Pan American Silver Corp. (Canada)   USFF -0.980%   Weekly   MS   07/08/27   (18,213)   (303,227)   (274,652)   19,317
Radius Recycling, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (11,557)   (517,672)   (244,199)   255,387
Ryerson Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,844)   (89,676)   (95,274)   (6,496)
Sandstorm Gold Ltd. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (92,729)   (527,315)   (486,827)   31,661
Sensient Technologies Corp.   USFF -0.250%   Weekly   MS   07/08/27   (8,714)   (643,004)   (602,922)   17,558
Silgan Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,245)   (505,391)   (546,057)   (53,596)
Southern Copper Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,438)   (450,809)   (472,736)   (25,904)
SSR Mining, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (121,563)   (1,693,139)   (542,171)   1,137,304
Stepan Co.   USFF -0.250%   Weekly   MS   01/05/26   (4,673)   (544,589)   (420,757)   104,760
Sylvamo Corp.   USFF -0.250%   Weekly   MS   01/05/26   (6,325)   (329,743)   (390,506)   (66,933)
Teck Resources Ltd., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (11,371)   (479,562)   (520,564)   (51,687)
TriMas Corp.   USFF -0.250%   Weekly   MS   01/12/29   (3,360)   (84,250)   (89,813)   (6,315)
Tronox Holdings PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/10/28   (98,754)   (1,320,902)   (1,713,382)   (434,263)
United States Lime & Minerals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (96)   (28,572)   (28,621)   (312)
The accompanying notes are an integral part of the financial statements.
67

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
United States Steel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (70,111)   $ (3,197,156)   $ (2,859,127)   $ 305,386
Wheaton Precious Metals Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (9,020)   (404,768)   (425,113)   (23,918)
                    (2,671,687)   (38,209,605)   (35,148,659)   2,277,859
Media & Entertainment                            
Altice USA, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (54,844)   (380,860)   (143,143)   242,685
Angi, Inc.   USFF -0.250%   Weekly   MS   07/23/25   (63,960)   (924,856)   (167,575)   757,705
Bumble, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,616)   (63,028)   (63,742)   (1,280)
EchoStar Corp., Class A   USFF -0.250%   Weekly   MS   01/07/27   (72,587)   (2,517,359)   (1,034,365)   1,460,834
Endeavor Group Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (100,189)   (2,456,179)   (2,577,863)   (154,027)
Fox Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (19,630)   (591,136)   (613,830)   (29,867)
IAC, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (4,012)   (290,033)   (214,000)   74,967
Integral Ad Science Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (17,012)   (236,424)   (169,610)   64,723
Lions Gate Entertainment Corp., Class B (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (31,138)   (367,781)   (289,895)   74,639
Madison Square Garden Entertainment Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,421)   (183,633)   (212,557)   (33,662)
Madison Square Garden Sports Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,070)   (751,477)   (750,996)   (6,477)
Magnite, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (38,867)   (384,419)   (417,820)   (39,471)
Nexstar Media Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,283)   (719,816)   (737,918)   (28,634)
Paramount Global, Class B   USFF -0.250%   Weekly   MS   01/10/28   (35,275)   (542,623)   (415,187)   115,701
Scholastic Corp.   USFF -0.250%   Weekly   MS   07/08/27   (3,156)   (130,236)   (119,013)   7,906
Shutterstock, Inc.   USFF -0.680%   Weekly   MS   01/12/29   (2,921)   (146,435)   (133,811)   11,783
Snap, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (184,257)   (2,068,073)   (2,115,270)   (65,405)
Stagwell, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,963)   (28,155)   (30,870)   (2,974)
Taboola.com Ltd. (Israel)   USFF -0.730%   Weekly   MS   01/12/29   (12,670)   (55,179)   (56,255)   (1,572)
Take-Two Interactive Software, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (12,519)   (1,822,861)   (1,858,946)   (52,135)
TKO Group Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (22,492)   (1,874,185)   (1,943,534)   (85,851)
The accompanying notes are an integral part of the financial statements.
68

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Vivid Seats, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (16,618)   $ (94,651)   $ (99,542)   $ (5,735)
Ziff Davis, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,100)   (155,038)   (132,384)   22,832
                    (718,600)   (16,784,437)   (14,298,126)   2,326,685
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbCellera Biologics, Inc. (Canada)   USFF -1.688%   Weekly   MS   07/11/28   (62,923)   (329,869)   (285,041)   41,914
Arcturus Therapeutics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,119)   (74,660)   (71,559)   2,434
Arcus Biosciences, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,724)   (29,379)   (32,549)   (3,440)
Arrowhead Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (37,126)   (1,060,660)   (1,061,804)   (10,487)
Aurinia Pharmaceuticals, Inc. (Canada)   USFF -0.630%   Weekly   MS   01/12/29   (29,297)   (155,100)   (146,778)   6,946
Avantor, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (20,750)   (487,199)   (530,577)   (56,542)
Axsome Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,955)   (202,507)   (235,809)   (35,095)
Bausch Health Cos., Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (138,522)   (1,176,000)   (1,469,718)   (304,077)
Biogen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,310)   (970,213)   (929,365)   32,945
BioMarin Pharmaceutical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,613)   (234,099)   (228,219)   4,033
Bio-Techne Corp.   USFF -0.250%   Weekly   MS   01/10/28   (16,433)   (1,251,237)   (1,156,719)   80,695
Bridgebio Pharma, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (10,649)   (306,884)   (329,267)   (26,595)
Cabaletta Bio, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,500)   (25,738)   (25,590)   (90)
Catalent, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (12,627)   (1,391,181)   (712,794)   667,424
Charles River Laboratories International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,251)   (814,793)   (880,858)   (75,206)
Cytek Biosciences, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (51,123)   (562,978)   (343,035)   214,978
Denali Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,998)   (140,356)   (164,119)   (28,068)
Disc Medicine, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (747)   (44,784)   (46,508)   (2,130)
Fortrea Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,471)   (213,399)   (219,606)   (10,047)
Geron Corp.   USFF -0.250%   Weekly   MS   07/11/28   (219,478)   (473,337)   (724,277)   (260,772)
HilleVax, Inc.   USFF -0.580%   Weekly   MS   01/12/29   (141)   (2,273)   (2,345)   (103)
Immatics NV (Netherlands)   USFF -1.130%   Weekly   MS   01/12/29   (6,397)   (76,186)   (67,232)   8,272
Intellia Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (20,005)   (558,637)   (550,338)   3,373
The accompanying notes are an integral part of the financial statements.
69

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Jazz Pharmaceuticals PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (14,173)   $(1,723,449)   $(1,706,713)   $ 14
MacroGenics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,822)   (41,243)   (41,540)   (671)
Maravai LifeSciences Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (152,786)   (1,197,935)   (1,324,655)   (137,949)
Mesa Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/23/25   (1,257)   (324,107)   (137,931)   182,992
Mirum Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (383)   (9,680)   (9,621)   (37)
Morphic Holding, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (682)   (22,651)   (24,006)   (1,566)
Olema Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (172)   (1,938)   (1,947)   (55)
Organon & Co.   USFF -0.250%   Weekly   MS   07/11/28   (35,247)   (596,450)   (662,644)   (93,379)
Pacific Biosciences of California, Inc.   USFF -0.266%   Weekly   MS   01/12/29   (6,393)   (22,967)   (23,974)   (1,220)
Pacira BioSciences, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,518)   (341,838)   (336,556)   2,253
Pfizer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (120,386)   (3,301,656)   (3,340,711)   (69,806)
Phathom Pharmaceuticals, Inc.   USFF -5.230%   Weekly   MS   01/12/29   (1,445)   (15,584)   (15,346)   90
Pliant Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (29,779)   (593,930)   (443,707)   144,986
Prothena Corp. PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (7,502)   (348,732)   (185,825)   159,828
PTC Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,471)   (147,530)   (159,151)   (17,187)
Relay Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,925)   (46,537)   (49,178)   (3,061)
Repligen Corp.   USFF -0.250%   Weekly   MS   07/11/28   (7,093)   (1,348,077)   (1,304,545)   28,416
Revance Therapeutics, Inc.   USFF -0.267%   Weekly   MS   07/11/28   (47,745)   (598,156)   (234,905)   357,977
Revvity, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,708)   (838,442)   (809,340)   20,771
SIGA Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,004)   (8,449)   (8,594)   (462)
Sotera Health Co.   USFF -0.250%   Weekly   MS   07/06/26   (44,241)   (837,376)   (531,334)   304,216
Supernus Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,686)   (179,982)   (193,949)   (15,922)
Tango Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,133)   (17,146)   (16,936)   48
Tilray Brands, Inc.   USFF -7.350%   Weekly   MS   07/11/28   (311,822)   (567,532)   (770,200)   (207,673)
Travere Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (870)   (12,218)   (6,708)   5,392
Vaxcyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,343)   (158,628)   (160,050)   (2,829)
The accompanying notes are an integral part of the financial statements.
70

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Veracyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,046)   $ (22,231)   $ (23,179)   $ (1,155)
Vericel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (3,990)   (179,118)   (207,560)   (30,476)
Viridian Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7,415)   (199,566)   (129,837)   67,963
West Pharmaceutical Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,615)   (1,418,430)   (1,430,492)   (24,553)
Xencor, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,946)   (200,426)   (131,585)   68,401
Xenon Pharmaceuticals, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (641)   (27,398)   (27,595)   (449)
Zymeworks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,291)   (70,819)   (66,181)   4,003
                    (1,513,689)   (26,001,690)   (24,730,602)   989,262
Semiconductors & Semiconductor
Equipment 		                           
Allegro MicroSystems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,008)   (342,051)   (296,776)   46,031
Alpha & Omega Semiconductor Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/10/28   (9,236)   (233,693)   (203,561)   28,064
Ambarella, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/10/28   (7,529)   (592,048)   (382,247)   207,939
Analog Devices, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,873)   (963,764)   (963,831)   (21,287)
Diodes, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,218)   (358,082)   (367,869)   (12,949)
Enphase Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (10,911)   (1,417,662)   (1,320,013)   88,686
First Solar, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,067)   (893,315)   (1,024,110)   (151,869)
FormFactor, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (13,781)   (505,040)   (628,827)   (131,997)
Ichor Holdings Ltd. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/07/27   (6,159)   (211,557)   (237,861)   (30,753)
Impinj, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,443)   (238,086)   (313,706)   (80,345)
indie Semiconductor, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,258)   (27,187)   (30,147)   (3,210)
Kulicke & Soffa Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,154)   (155,186)   (158,678)   (5,074)
Lattice Semiconductor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (14,280)   (1,075,156)   (1,117,124)   (59,561)
MACOM Technology Solutions Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (24,823)   (2,143,205)   (2,374,072)   (249,736)
Marvell Technology, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,693)   (238,437)   (261,760)   (35,686)
MaxLinear, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (78,139)   (1,663,305)   (1,458,855)   189,804
Power Integrations, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (19,317)   (1,582,632)   (1,382,131)   175,705
Semtech Corp.   USFF -0.250%   Weekly   MS   01/10/28   (20,173)   (456,863)   (554,556)   (108,170)
Silicon Laboratories, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7,697)   (1,103,990)   (1,106,213)   (12,510)
SiTime Corp.   USFF -0.250%   Weekly   MS   07/08/27   (4,835)   (476,056)   (450,767)   21,090
The accompanying notes are an integral part of the financial statements.
71

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
Teradyne, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (657)   $ (73,924)   $ (74,129)   $ (867)
Texas Instruments, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (17,621)   (3,030,908)   (3,069,754)   (95,792)
Ultra Clean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (4,241)   (146,463)   (194,832)   (54,558)
Universal Display Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,676)   (812,191)   (787,672)   14,792
Veeco Instruments, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,916)   (139,063)   (137,726)   (47)
Wolfspeed, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (26,232)   (893,516)   (773,844)   111,799
                    (314,937)   (19,773,380)   (19,671,061)   (170,501)
Software & Services                            
A10 Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (10,037)   (138,259)   (137,407)   (376)
ACI Worldwide, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (13,076)   (368,819)   (434,254)   (70,638)
Agilysys, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,388)   (180,278)   (201,213)   (22,832)
Akamai Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,322)   (390,338)   (361,301)   27,663
Amplitude, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (3,948)   (43,816)   (42,954)   465
Appian Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (6,899)   (259,386)   (275,615)   (21,860)
AppLovin Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (11,250)   (677,526)   (778,725)   (127,845)
Asana, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (34,673)   (615,018)   (537,085)   72,668
Aspen Technology, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,580)   (513,444)   (550,262)   (41,347)
Atlassian Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,179)   (837,458)   (815,365)   14,714
Bentley Systems, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (5,593)   (289,057)   (292,066)   (5,563)
BigCommerce Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (17,847)   (157,380)   (122,966)   33,251
BILL Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,566)   (1,309,044)   (1,275,856)   17,476
Braze, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (599)   (27,320)   (26,536)   533
Cerence, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (16,174)   (373,105)   (254,741)   115,070
Cipher Mining, Inc.   USFF -3.680%   Weekly   MS   01/12/29   (54,495)   (185,638)   (280,649)   (131,573)
Clearwater Analytics Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (32,788)   (558,116)   (580,020)   (26,825)
DigitalOcean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,030)   (151,445)   (153,865)   (4,088)
Dolby Laboratories, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,490)   (376,042)   (376,127)   (3,427)
DoubleVerify Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (16,957)   (693,223)   (596,208)   94,016
Elastic NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (7,900)   (796,269)   (791,896)   (2,644)
Envestnet, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (7,174)   (584,868)   (415,446)   171,695
The accompanying notes are an integral part of the financial statements.
72

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Fair Isaac Corp.   USFF -0.250%   Weekly   MS   01/12/29   (158)   $ (209,642)   $ (197,438)   $ 14,960
Fastly, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (45,217)   (608,474)   (586,464)   16,645
Five9, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (33,023)   (2,010,687)   (2,051,059)   (58,074)
Freshworks, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (547)   (9,934)   (9,961)   (126)
Gartner, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,811)   (856,478)   (863,249)   (14,931)
Grid Dynamics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (722)   (8,862)   (8,873)   (101)
HashiCorp., Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (13,849)   (386,763)   (373,231)   9,797
Intapp, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,614)   (335,871)   (329,760)   3,145
Jamf Holding Corp.   USFF -0.250%   Weekly   MS   07/06/26   (8,123)   (295,597)   (149,057)   144,893
Lightspeed Commerce, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (52,296)   (1,409,847)   (735,282)   662,150
Matterport, Inc.   USFF -0.256%   Weekly   MS   01/12/29   (479)   (1,074)   (1,083)   (29)
Model N, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,602)   (170,048)   (187,959)   (19,418)
nCino, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (7,501)   (223,663)   (280,387)   (65,695)
Olo, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (59,013)   (430,388)   (323,981)   102,589
Open Text Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (4,690)   (200,525)   (182,113)   13,594
PowerSchool Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (21,156)   (489,827)   (450,411)   35,537
RingCentral, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (6,495)   (197,081)   (225,636)   (31,499)
SentinelOne, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (29,528)   (671,505)   (688,298)   (22,713)
Snowflake, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (13,161)   (2,292,924)   (2,126,818)   143,708
Sprinklr, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (44,764)   (601,633)   (549,254)   47,494
Sprout Social, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (3,123)   (179,745)   (186,474)   (8,322)
Workiva, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,471)   (659,685)   (633,541)   20,328
Zscaler, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (10,002)   (2,021,534)   (1,926,685)   77,051
                    (658,310)   (23,797,636)   (22,367,571)   1,159,516
Technology Hardware & Equipment                            
ADTRAN Holdings, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (41,040)   (791,913)   (223,258)   598,046
Advanced Energy Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (8,267)   (942,924)   (843,069)   90,130
Avnet, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (13,931)   (639,041)   (690,699)   (75,303)
Belden, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,060)   (626,040)   (653,827)   (34,255)
Benchmark Electronics, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (7,680)   (204,858)   (230,477)   (38,397)
Calix, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,084)   (565,703)   (467,025)   93,962
Celestica, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (13,781)   (536,092)   (619,318)   (107,733)
Cognex Corp.   USFF -0.250%   Weekly   MS   07/11/28   (45,897)   (1,858,212)   (1,946,951)   (106,206)
The accompanying notes are an integral part of the financial statements.
73

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
Coherent Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,294)   $ (303,550)   $ (320,922)   $ (38,720)
Harmonic, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (99,744)   (1,055,937)   (1,340,559)   (298,210)
Infinera Corp.   USFF -0.580%   Weekly   MS   01/12/29   (19,213)   (95,417)   (115,854)   (21,288)
Juniper Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (20,882)   (773,970)   (773,887)   (12,313)
Lumentum Holdings, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (19,435)   (1,143,047)   (920,247)   212,732
Novanta, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (1,870)   (301,570)   (326,820)   (28,752)
OSI Systems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (190)   (26,769)   (27,136)   (613)
Sanmina Corp.   USFF -0.250%   Weekly   MS   07/11/28   (12,238)   (665,980)   (760,959)   (108,130)
Teledyne Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,183)   (520,178)   (507,886)   7,908
Ubiquiti, Inc.   USFF -0.580%   Weekly   MS   01/07/27   (4,847)   (1,252,693)   (561,525)   666,724
Viasat, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (31,062)   (937,704)   (561,912)   367,530
Viavi Solutions, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (52,434)   (514,182)   (476,625)   32,829
Vishay Intertechnology, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (36,381)   (806,567)   (825,121)   (29,096)
Zebra Technologies Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (10,253)   (2,523,256)   (3,090,664)   (606,347)
                    (466,766)   (17,085,603)   (16,284,741)   564,498
Telecommunication Services                            
Cogent Communications Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (28,593)   (1,929,193)   (1,867,981)   (30,780)
Frontier Communications Parent, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (31,623)   (877,164)   (774,763)   96,868
Globalstar, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (13,362)   (18,531)   (19,642)   (1,285)
Gogo, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (10,107)   (172,493)   (88,739)   84,736
Rogers Communications, Inc., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (11,403)   (486,954)   (467,523)   4,930
Shenandoah Telecommunications Co.   USFF -0.250%   Weekly   MS   07/23/25   (10,430)   (314,172)   (181,169)   68,992
United States Cellular Corp.   USFF -0.250%   Weekly   MS   01/12/29   (3,413)   (119,808)   (124,575)   (5,832)
                    (108,931)   (3,918,315)   (3,524,392)   217,629
Transportation                            
Air Transport Services Group, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (54,349)   (1,107,611)   (747,842)   350,013
Alaska Air Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,403)   (450,703)   (404,235)   41,335
Allegiant Travel Co.   USFF -0.250%   Weekly   MS   07/11/28   (7,536)   (567,170)   (566,783)   (6,641)
The accompanying notes are an integral part of the financial statements.
74

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Transportation — (continued)                            
Canadian Pacific Kansas City Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (3,495)   $ (293,528)   $ (308,154)   $ (21,414)
Expeditors International of Washington, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,925)   (354,489)   (355,592)   (6,110)
Genco Shipping & Trading Ltd. (Marshall Islands)   USFF -0.250%   Weekly   MS   01/12/29   (7,607)   (153,478)   (154,650)   (4,018)
Golden Ocean Group Ltd. (Bermuda)   USFF -0.980%   Weekly   MS   07/11/28   (25,694)   (209,540)   (332,994)   (146,470)
Hawaiian Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (17,642)   (246,991)   (235,168)   9,639
Heartland Express, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,057)   (149,079)   (108,141)   40,084
JetBlue Airways Corp.   USFF -0.250%   Weekly   MS   07/11/28   (108,164)   (540,280)   (802,577)   (269,843)
Joby Aviation, Inc.   USFF -1.130%   Weekly   MS   01/12/29   (229)   (1,232)   (1,227)   (18)
Matson, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,562)   (317,943)   (400,369)   (86,720)
Norfolk Southern Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,386)   (602,949)   (608,120)   (11,694)
RXO, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (12,260)   (259,000)   (268,126)   (11,416)
Schneider National, Inc., Class B   USFF -0.250%   Weekly   MS   07/11/28   (30,933)   (772,868)   (700,323)   61,495
Southwest Airlines Co.   USFF -0.250%   Weekly   MS   07/11/28   (20,475)   (755,695)   (597,665)   140,313
Spirit Airlines, Inc.   USFF -5.680%   Weekly   MS   07/11/28   (43,939)   (516,136)   (212,665)   290,991
Sun Country Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (16,906)   (319,176)   (255,112)   61,245
TFI International, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (1,441)   (196,816)   (229,782)   (37,524)
United Parcel Service, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (10,708)   (1,665,168)   (1,591,530)   107,757
Universal Logistics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (13)   (481)   (479)   (14)
Werner Enterprises, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (17,149)   (814,482)   (670,869)   128,819
                    (405,873)   (10,294,815)   (9,552,403)   629,809
Utilities                            
AES Corp. (The)   USFF -0.250%   Weekly   MS   01/10/28   (81,400)   (1,375,684)   (1,459,502)   (103,704)
Algonquin Power & Utilities Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (171,900)   (1,191,153)   (1,086,408)   48,478
Alliant Energy Corp.   USFF -0.250%   Weekly   MS   01/07/27   (19,123)   (973,265)   (963,799)   (13,463)
Altus Power, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,587)   (17,264)   (17,146)   (45)
Ameren Corp.   USFF -0.250%   Weekly   MS   01/12/29   (22,737)   (1,620,811)   (1,681,629)   (91,187)
American Electric Power Co., Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,536)   (230,682)   (218,350)   1,109
The accompanying notes are an integral part of the financial statements.
75

 

Table of Contents
GOTHAM ABSOLUTE RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
American States Water Co.   USFF -0.250%   Weekly   MS   01/12/29   (2,518)   $ (180,595)   $ (181,900)   $ (2,905)
Avista Corp.   USFF -0.250%   Weekly   MS   01/07/27   (5,442)   (240,448)   (190,579)   36,490
California Water Service Group   USFF -0.250%   Weekly   MS   01/10/28   (13,146)   (700,487)   (611,026)   73,496
Chesapeake Utilities Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,701)   (485,635)   (504,417)   (24,828)
Clearway Energy, Inc., Class C   USFF -0.250%   Weekly   MS   01/12/29   (13,141)   (286,082)   (302,900)   (20,288)
Dominion Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (20,523)   (965,501)   (1,009,526)   (59,625)
Edison International   USFF -0.250%   Weekly   MS   01/12/29   (1,986)   (129,282)   (140,470)   (13,885)
Entergy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,133)   (517,166)   (542,455)   (31,151)
Evergy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (31,629)   (1,788,727)   (1,688,356)   30,102
Exelon Corp.   USFF -0.250%   Weekly   MS   01/10/28   (13,118)   (500,716)   (492,843)   (7,779)
FirstEnergy Corp.   USFF -0.250%   Weekly   MS   07/08/27   (24,689)   (990,263)   (953,489)   29,333
IDACORP, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (13,071)   (1,267,963)   (1,214,165)   25,902
MGE Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,692)   (286,141)   (290,634)   (7,022)
Middlesex Water Co.   USFF -0.250%   Weekly   MS   01/10/28   (5,002)   (355,391)   (262,605)   86,298
National Fuel Gas Co.   USFF -0.250%   Weekly   MS   07/11/28   (18,236)   (932,738)   (979,638)   (74,057)
NextEra Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,350)   (315,287)   (341,919)   (32,172)
NiSource, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (39,832)   (1,074,311)   (1,101,753)   (75,749)
Northwest Natural Holding Co.   USFF -0.250%   Weekly   MS   01/05/26   (10,710)   (540,469)   (398,626)   105,767
Northwestern Energy Group, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (8,199)   (501,334)   (417,575)   32,405
Ormat Technologies, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (15,808)   (1,271,626)   (1,046,332)   207,859
Otter Tail Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,937)   (170,932)   (167,357)   2,061
Pinnacle West Capital Corp.   USFF -0.250%   Weekly   MS   07/11/28   (12,338)   (894,498)   (922,019)   (50,068)
PNM Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (29,153)   (1,179,493)   (1,097,319)   62,419
Portland General Electric Co.   USFF -0.250%   Weekly   MS   07/11/28   (28,644)   (1,246,936)   (1,203,048)   3,365
PPL Corp.   USFF -0.250%   Weekly   MS   01/12/29   (27,916)   (745,094)   (768,527)   (36,660)
Sempra   USFF -0.250%   Weekly   MS   01/10/28   (20,427)   (1,512,400)   (1,467,271)   (10,434)
SJW Group   USFF -0.250%   Weekly   MS   01/12/29   (1,588)   (89,791)   (89,865)   (875)
Southern Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (5,576)   (394,464)   (400,022)   (16,973)
Sunnova Energy International, Inc.   USFF -0.730%   Weekly   MS   07/11/28   (46,632)   (553,531)   (285,854)   262,648
                    (731,420)   (25,526,160)   (24,499,324)   334,862
Total Reference Entity — Short           (407,310,756)   (392,608,866)   8,225,580
Net Value of Reference Entity           $(273,269,626)   $(229,065,082)   $47,989,240
* Includes $3,784,696 related to open trades, dividends receivables/payables and swap receivables/payables activities.
MS Morgan Stanley
USFF U.S. Fed Funds
The accompanying notes are an integral part of the financial statements.
76

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 50.4%
Automobiles & Components — 0.7%
Adient PLC (Ireland)*       229   $       7,539
American Axle & Manufacturing Holdings, Inc.*       381         2,804
Aptiv PLC (Jersey)*        23         1,832
BorgWarner, Inc.(a)     2,974       103,317
Ford Motor Co.(a)    35,036       465,278
Garrett Motion, Inc.*       101         1,004
General Motors Co.(a)    12,334       559,347
Gentherm, Inc.*       377        21,708
Goodyear Tire & Rubber Co. (The)*     3,946        54,179
LCI Industries     1,299       159,855
Lear Corp.       446        64,616
Modine Manufacturing Co.*       107        10,185
Visteon Corp.(a)*       935       109,965
        1,561,629
Capital Goods — 6.4%
3M Co.       161        17,077
A. O. Smith Corp.       533        47,682
AAR Corp.*        72         4,311
Acuity Brands, Inc.       174        46,759
AMETEK, Inc.        15         2,744
Array Technologies, Inc.*     4,938        73,626
AZEK Co., Inc. (The)*     2,131       107,019
Beacon Roofing Supply, Inc.*       420        41,168
Blue Bird Corp.*       207         7,936
Boise Cascade Co.       125        19,171
Builders FirstSource, Inc.*       303        63,191
BWX Technologies, Inc.     1,134       116,371
Cadre Holdings, Inc.       107         3,873
Carlisle Cos., Inc.       320       125,392
Carrier Global Corp.     1,095        63,652
Caterpillar, Inc.(a)       125        45,804
Chart Industries, Inc.*       274        45,133
Comfort Systems USA, Inc.(a)       924       293,564
Core & Main, Inc., Class A*     1,002        57,365
Crane Co.     1,236       167,021
CSW Industrials, Inc.        78        18,299
Cummins, Inc.       286        84,270
Curtiss-Wright Corp.       168        42,998
Deere & Co.       371       152,385
DNOW, Inc.*     1,368        20,794
Donaldson Co., Inc.     1,352       100,967
Dover Corp.       396        70,167
Eaton Corp. PLC (Ireland)       969       302,987
EMCOR Group, Inc.(a)       709       248,292
Emerson Electric Co.(a)       674        76,445
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Enerpac Tool Group Corp.     1,081   $      38,548
EnerSys (a)     1,403       132,527
Enpro, Inc.       357        60,251
Esab Corp.       446        49,314
Fastenal Co.(a)       846        65,260
Federal Signal Corp.       262        22,236
Flowserve Corp.     3,016       137,771
Fluence Energy, Inc.*     7,153       124,033
Fortune Brands Innovations, Inc.(a)       832        70,445
Gates Industrial Corp. PLC (United Kingdom)*     3,189        56,477
Generac Holdings, Inc.(a)*     3,219       406,045
General Dynamics Corp.(a)     1,365       385,599
General Electric Co.(a)     1,612       282,954
Gibraltar Industries, Inc.*     1,089        87,697
Gorman-Rupp Co. (The)         2            79
Graco, Inc.       434        40,562
Griffon Corp.(a)     4,581       335,971
Hillman Solutions Corp.*     8,446        89,865
Honeywell International, Inc.(a)     3,089       634,017
Howmet Aerospace, Inc.     1,143        78,216
Hubbell, Inc.       270       112,064
Huntington Ingalls Industries, Inc.(a)       689       200,823
Illinois Tool Works, Inc.(a)     1,119       300,261
Ingersoll Rand, Inc.(a)     3,865       366,982
ITT, Inc.       460        62,574
Kadant, Inc.       148        48,559
Kaman Corp.       147         6,743
Kennametal, Inc.     2,241        55,891
L3Harris Technologies, Inc.       190        40,489
Leonardo DRS, Inc.*       650        14,359
Lincoln Electric Holdings, Inc.(a)     1,118       285,582
Lindsay Corp.       781        91,892
Lockheed Martin Corp.(a)     1,743       792,838
Masco Corp.(a)     5,175       408,204
MDU Resources Group, Inc.(a)    12,101       304,945
Middleby Corp. (The)*     1,035       166,418
MSC Industrial Direct Co., Inc., Class A(a)     3,275       317,806
Mueller Industries, Inc.(a)     1,737        93,676
NEXTracker, Inc., Class A*       818        46,029
Nikola Corp.*     4,052         4,214
Otis Worldwide Corp.(a)     2,026       201,121
PACCAR, Inc.       305        37,786
Parker-Hannifin Corp.(a)       590       327,916
Powell Industries, Inc.     2,153       306,372
 
The accompanying notes are an integral part of the financial statements.
77

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Proto Labs, Inc.*       203   $       7,257
Quanex Building Products Corp.       118         4,535
Quanta Services, Inc.(a)     3,085       801,483
Regal Rexnord Corp.       199        35,840
Resideo Technologies, Inc.*     3,527        79,075
RTX Corp.(a)     1,908       186,087
Snap-on, Inc.(a)       984       291,480
SPX Technologies, Inc.*       641        78,926
Stanley Black & Decker, Inc.(a)     4,495       440,195
Stantec, Inc. (Canada)        62         5,148
Sterling Infrastructure, Inc.(a)*     1,439       158,736
Tennant Co.     1,024       124,529
Terex Corp.(a)     2,839       182,832
Textron, Inc.(a)     5,376       515,720
Trane Technologies PLC (Ireland)       664       199,333
Trex Co., Inc.*     1,519       151,520
Tutor Perini Corp.*       132         1,909
UFP Industries, Inc.(a)     1,085       133,466
United Rentals, Inc.(a)       558       402,379
Wabash National Corp.     5,538       165,808
Watts Water Technologies, Inc., Class A(a)       664       141,133
Woodward, Inc.(a)     1,528       235,495
WW Grainger, Inc.(a)       260       264,498
Xylem, Inc.       269        34,766
Zurn Elkay Water Solutions Corp.(a)     6,812       227,998
       15,028,022
Commercial & Professional Services — 1.3%
ACV Auctions, Inc., Class A*     1,311        24,607
ASGN, Inc.*       155        16,238
Automatic Data Processing, Inc.        31         7,742
Booz Allen Hamilton Holding Corp.       196        29,094
Brady Corp., Class A       213        12,627
Brink's Co. (The)        84         7,760
Broadridge Financial Solutions, Inc.       108        22,125
Cimpress PLC (Ireland)*        81         7,169
Cintas Corp.       153       105,116
Conduent, Inc.*        67           226
Copart, Inc.(a)*        10           579
CSG Systems International, Inc.       769        39,634
Enviri Corp.*       581         5,316
Healthcare Services Group, Inc.*     1,379        17,210
HireRight Holdings Corp.*        36           514
Jacobs Solutions, Inc.(a)     2,167       333,133
Leidos Holdings, Inc.(a)     2,493       326,807
ManpowerGroup, Inc.     1,751       135,948
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Commercial & Professional Services — (Continued)
Maximus, Inc.       585   $      49,082
MillerKnoll, Inc.     1,656        41,003
MSA Safety, Inc.       320        61,949
OPENLANE, Inc.*     2,597        44,928
Parsons Corp.*     2,520       209,034
Republic Services, Inc.(a)     1,476       282,565
Robert Half, Inc.(a)     2,522       199,944
Science Applications International Corp.       405        52,808
SS&C Technologies Holdings, Inc.       141         9,076
Steelcase, Inc., Class A     6,188        80,939
Sterling Check Corp.*       145         2,332
TaskUS, Inc., Class A*       188         2,190
TELUS International CDA, Inc. (Canada)*       171         1,447
Tetra Tech, Inc.(a)     1,516       280,020
Veralto Corp.(a)     3,598       318,999
Verisk Analytics, Inc.(a)        77        18,151
Waste Connections, Inc. (Canada)     1,086       186,803
Waste Management, Inc.       409        87,178
        3,020,293
Consumer Discretionary Distribution & Retail — 2.0%
Abercrombie & Fitch Co., Class A*       129        16,168
Amazon.com, Inc.(a)*     1,765       318,371
AutoZone, Inc.*        17        53,578
Bath & Body Works, Inc.       774        38,715
Best Buy Co., Inc.         3           246
CarMax, Inc.*       118        10,279
Carvana Co.(a)*     3,509       308,476
eBay, Inc.(a)     5,643       297,837
Etsy, Inc.(a)*     3,604       247,667
Gap, Inc. (The)(a)    12,207       336,303
Genuine Parts Co.        71        11,000
Hibbett, Inc.       199        15,285
Home Depot, Inc. (The)(a)     2,250       863,100
Kohl's Corp.     6,351       185,132
LKQ Corp.     1,382        73,813
Monro, Inc.     2,159        68,095
ODP Corp. (The)(a)*     3,490       185,144
Pool Corp.(a)       457       184,399
Ross Stores, Inc.       891       130,763
Signet Jewelers Ltd. (Bermuda)     3,994       399,680
TJX Cos., Inc. (The)(a)     3,635       368,662
Ulta Beauty, Inc.*       694       362,879
Wayfair, Inc., Class A*       510        34,619
 
The accompanying notes are an integral part of the financial statements.
78

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Discretionary Distribution & Retail — (Continued)
Williams-Sonoma, Inc.       184   $      58,425
Winmark Corp.       183        66,191
        4,634,827
Consumer Durables & Apparel — 1.7%
Carter's, Inc.       841        71,216
Cricut, Inc., Class A        52           247
Deckers Outdoor Corp.*       258       242,845
Figs, Inc., Class A*    20,097       100,083
Garmin Ltd. (Switzerland)     2,200       327,514
G-III Apparel Group Ltd.*     3,889       112,820
Hasbro, Inc.     1,981       111,966
Helen of Troy Ltd. (Bermuda)*     1,230       141,745
Leggett & Platt, Inc.     3,853        73,785
Lululemon Athletica, Inc.*        49        19,142
Mattel, Inc.(a)*    21,869       433,225
Mohawk Industries, Inc.(a)*     1,866       244,241
Newell Brands, Inc.       466         3,742
NIKE, Inc., Class B(a)     1,400       131,572
NVR, Inc.(a)*        14       113,399
Polaris, Inc.       496        49,659
PulteGroup, Inc.(a)     3,487       420,602
PVH Corp.(a)       988       138,923
Ralph Lauren Corp.(a)     2,013       377,961
Smith & Wesson Brands, Inc.        64         1,111
Sonos, Inc.*     4,395        83,769
Tapestry, Inc.(a)     3,472       164,851
TopBuild Corp.*       200        88,146
Under Armour, Inc., Class C*       754         5,384
Vista Outdoor, Inc.*     3,531       115,746
Worthington Enterprises, Inc.     1,954       121,597
YETI Holdings, Inc.(a)*     8,548       329,525
        4,024,816
Consumer Services — 1.9%
ADT, Inc.     2,480        16,666
Aramark     1,984        64,520
Booking Holdings, Inc.(a)        61       221,301
Bright Horizons Family Solutions, Inc.*       191        21,652
Brinker International, Inc.*     3,893       193,404
Caesars Entertainment, Inc.(a)*     4,614       201,816
Dine Brands Global, Inc.       438        20,358
DoorDash, Inc., Class A*       129        17,766
DraftKings, Inc., Class A*     1,471        66,798
European Wax Center, Inc., Class A*       520         6,750
Expedia Group, Inc.*     1,490       205,247
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
Frontdoor, Inc.(a)*     5,975   $     194,665
Grand Canyon Education, Inc.*       434        59,115
International Game Technology PLC (United Kingdom)       718        16,220
Las Vegas Sands Corp.(a)     3,793       196,098
McDonald's Corp.(a)     2,160       609,012
MGM Resorts International(a)*     2,245       105,986
Papa John's International, Inc.       890        59,274
Royal Caribbean Cruises Ltd. (Liberia)*     5,660       786,797
Shake Shack, Inc., Class A*       470        48,894
Six Flags Entertainment Corp.*     2,946        77,539
Starbucks Corp.(a)     1,749       159,841
Strategic Education, Inc.       246        25,613
Sweetgreen, Inc., Class A*     2,155        54,435
Vail Resorts, Inc.       253        56,376
Wyndham Hotels & Resorts, Inc.     2,665       204,539
Wynn Resorts Ltd.     2,095       214,172
Yum! Brands, Inc.(a)     3,727       516,749
        4,421,603
Consumer Staples Distribution & Retail — 1.4%
Albertsons Cos., Inc., Class A       916        19,639
Costco Wholesale Corp.(a)       402       294,517
Dollar General Corp.       728       113,612
Fresh Market Holdings, Inc. (The), Escrow Shares(b)*    45,368            —
Grocery Outlet Holding Corp.*     2,157        62,078
Kroger Co. (The)(a)    13,880       792,964
Performance Food Group Co.*       207        15,451
Sysco Corp.(a)     2,435       197,673
Target Corp.(a)     6,755     1,197,054
US Foods Holding Corp.(a)*     1,802        97,254
Walgreens Boots Alliance, Inc.     3,648        79,125
Walmart, Inc.(a)     7,893       474,922
Weis Markets, Inc.       162        10,433
        3,354,722
Energy — 3.3%
Antero Midstream Corp.     1,271        17,870
APA Corp.        19           653
Archrock, Inc.     1,669        32,829
Baker Hughes Co.(a)     4,354       145,859
Berry Corp.       813         6,545
Borr Drilling Ltd. (Bermuda)     2,196        15,043
California Resources Corp.     1,444        79,564
Cameco Corp. (Canada)       530        22,960
 
The accompanying notes are an integral part of the financial statements.
79

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Energy — (Continued)
Canadian Natural Resources Ltd. (Canada)     4,599   $     350,996
Cheniere Energy, Inc.(a)     1,385       223,373
Chesapeake Energy Corp.(a)       754        66,978
Chord Energy Corp.        81        14,437
ConocoPhillips       528        67,204
CONSOL Energy, Inc.       575        48,162
Coterra Energy, Inc.     5,239       146,063
CVR Energy, Inc.       433        15,441
Delek US Holdings, Inc.     1,521        46,756
Devon Energy Corp.(a)     9,412       472,294
DHT Holdings, Inc. (Marshall Islands)     3,919        45,068
Diamondback Energy, Inc.(a)     1,316       260,792
Dorian LPG Ltd. (Marshall Islands)     9,976       383,677
Enbridge, Inc. (Canada)     3,767       136,290
Enerplus Corp. (Canada)     3,624        71,248
EOG Resources, Inc.       637        81,434
Equitrans Midstream Corp.     7,242        90,453
Exxon Mobil Corp.(a)     7,490       870,638
Gulfport Energy Corp.*       473        75,737
Halliburton Co.     3,506       138,206
Helix Energy Solutions Group, Inc.*     7,782        84,357
Helmerich & Payne, Inc.(a)     8,680       365,081
Kinder Morgan, Inc.     8,651       158,659
Marathon Oil Corp.(a)    14,451       409,541
Marathon Petroleum Corp.(a)     1,885       379,827
Murphy Oil Corp.(a)     3,146       143,772
Nabors Industries Ltd. (Bermuda)*     1,215       104,648
Nordic American Tankers Ltd. (Bermuda)    18,752        73,508
Occidental Petroleum Corp.(a)     9,535       619,680
Pembina Pipeline Corp. (Canada)     1,951        68,948
Phillips 66(a)     1,758       287,152
Pioneer Natural Resources Co.(a)     2,120       556,500
REX American Resources Corp.*        10           587
Schlumberger NV (Curacao)     2,234       122,446
Targa Resources Corp.       229        25,646
TC Energy Corp. (Canada)        62         2,492
TechnipFMC PLC (United Kingdom)    12,347       310,033
Transocean Ltd. (Switzerland)*    10,307        64,728
US Silica Holdings, Inc.(a)*     7,728        95,904
Valero Energy Corp.       306        52,231
        7,852,310
Financial Services — 2.2%
AvidXchange Holdings, Inc.*       814        10,704
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — (Continued)
Berkshire Hathaway, Inc., Class B(a)*     2,436   $   1,024,387
Cboe Global Markets, Inc.       481        88,374
CME Group, Inc.(a)       749       161,252
Corpay, Inc.*       625       192,837
Donnelley Financial Solutions, Inc.*       145         8,991
FactSet Research Systems, Inc.        30        13,632
Fiserv, Inc.(a)*     5,679       907,618
Franklin Resources, Inc.(a)     6,645       186,791
Intercontinental Exchange, Inc.(a)     2,438       335,054
International Money Express, Inc.*     1,190        27,168
Mastercard, Inc., Class A       353       169,994
Morningstar, Inc.       628       193,656
NCR Atleos Corp.(a)*     3,714        73,352
Open Lending Corp.*        52           326
Paymentus Holdings, Inc., Class A*         2            46
Payoneer Global, Inc.*    21,247       103,260
PayPal Holdings, Inc.(a)*    10,094       676,197
S&P Global, Inc.       339       144,228
Shift4 Payments, Inc., Class A*     1,528       100,955
T Rowe Price Group, Inc.(a)     3,127       381,244
Visa, Inc., Class A(a)     1,704       475,552
        5,275,618
Food, Beverage & Tobacco — 2.1%
Altria Group, Inc.(a)    11,143       486,058
Archer-Daniels-Midland Co.       251        15,765
B&G Foods, Inc.     2,426        27,753
Bunge Global SA (Switzerland)        94         9,637
Campbell Soup Co.       939        41,739
Celsius Holdings, Inc.(a)*       489        40,548
Coca-Cola Co. (The)(a)    12,198       746,274
Conagra Brands, Inc.     2,409        71,403
Constellation Brands, Inc., Class A(a)     1,111       301,925
Dole PLC (Ireland)       503         6,001
General Mills, Inc.(a)     2,865       200,464
Hormel Foods Corp.     5,889       205,467
Ingredion, Inc.     1,791       209,278
Kellanova (a)     9,955       570,322
Keurig Dr Pepper, Inc.(a)    14,427       442,476
Kraft Heinz Co. (The)(a)     9,318       343,834
Lancaster Colony Corp.       204        42,357
McCormick & Co., Inc., non-voting shares     2,955       226,974
Molson Coors Beverage Co., Class B     1,704       114,594
Mondelez International, Inc., Class A(a)     3,759       263,130
 
The accompanying notes are an integral part of the financial statements.
80

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
Philip Morris International, Inc.(a)     2,315   $     212,100
Primo Water Corp. (Canada)     4,939        89,939
Simply Good Foods Co. (The)*     6,350       216,090
SunOpta, Inc. (Canada)*     1,349         9,268
Tootsie Roll Industries, Inc.         8           256
Vector Group Ltd.     2,045        22,413
Vita Coco Co., Inc. (The)*     2,927        71,507
Vital Farms, Inc.*       320         7,440
        4,995,012
Health Care Equipment & Services — 3.2%
Align Technology, Inc.*        25         8,198
Astrana Health, Inc.*       519        21,793
Avanos Medical, Inc.*       199         3,962
Baxter International, Inc.     2,105        89,968
Becton Dickinson & Co.(a)       442       109,373
Cardinal Health, Inc.       980       109,662
Cencora, Inc.       111        26,972
Centene Corp.*     1,393       109,323
Cigna Group (The)       480       174,331
CONMED Corp.     2,149       172,092
Cross Country Healthcare, Inc.*       368         6,889
CVS Health Corp.(a)       950        75,772
DaVita, Inc.(a)*     2,838       391,786
Definitive Healthcare Corp.*     2,406        19,416
Evolent Health, Inc., Class A*     4,735       155,261
Fulgent Genetics, Inc.*     1,971        42,771
GE HealthCare Technologies, Inc.(a)     4,829       439,004
Haemonetics Corp.*       528        45,065
HCA Healthcare, Inc.(a)     1,011       337,199
HealthStream, Inc.        43         1,146
Hologic, Inc.(a)*     1,558       121,462
Humana, Inc.(a)     1,461       506,558
IDEXX Laboratories, Inc.(a)*     1,155       623,619
Lantheus Holdings, Inc.(a)*     3,648       227,051
LeMaitre Vascular, Inc.       158        10,485
McKesson Corp.       219       117,570
Medtronic PLC (Ireland)    10,327       899,998
Molina Healthcare, Inc.(a)*       895       367,693
National HealthCare Corp.       124        11,719
Omnicell, Inc.*       928        27,125
Owens & Minor, Inc.*     8,229       228,026
Penumbra, Inc.*       376        83,916
Phreesia, Inc.*     4,739       113,404
Privia Health Group, Inc.*     7,784       152,489
Quest Diagnostics, Inc.       783       104,225
ResMed, Inc.(a)     2,524       499,828
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
Select Medical Holdings Corp.     1,038   $      31,296
Teleflex, Inc.       263        59,483
Tenet Healthcare Corp.*     1,740       182,891
UFP Technologies, Inc.*       210        52,962
UnitedHealth Group, Inc.(a)       725       358,657
Zimmer Biomet Holdings, Inc.(a)     2,380       314,112
        7,434,552
Household & Personal Products — 0.8%
BellRing Brands, Inc.*     1,202        70,954
Clorox Co. (The)       352        53,895
Colgate-Palmolive Co.     2,045       184,152
Coty, Inc., Class A*     3,762        44,994
Estee Lauder Cos., Inc. (The), Class A        70        10,790
Kenvue, Inc.(a)    20,039       430,037
Kimberly-Clark Corp.(a)     3,683       476,396
Procter & Gamble Co. (The)(a)     2,528       410,168
Reynolds Consumer Products, Inc.     1,521        43,440
Spectrum Brands Holdings, Inc.(a)       248        22,074
WD-40 Co.       543       137,547
        1,884,447
Materials — 2.4%
Alamos Gold, Inc., Class A (Canada)       485         7,154
Alpha Metallurgical Resources, Inc.       150        49,676
Amcor PLC (Jersey)       738         7,018
AptarGroup, Inc.       119        17,123
Arch Resources, Inc.        43         6,914
Avient Corp.        52         2,257
Balchem Corp.        32         4,958
Ball Corp.       846        56,987
Berry Global Group, Inc.       517        31,268
Cabot Corp.       176        16,227
Carpenter Technology Corp.     1,778       126,985
Celanese Corp.       723       124,255
CF Industries Holdings, Inc.     1,263       105,094
Cleveland-Cliffs, Inc.(a)*    10,805       245,706
Eastman Chemical Co.     1,804       180,797
Fortuna Silver Mines, Inc. (Canada)*    28,656       106,887
Freeport-McMoRan, Inc.     2,681       126,061
Hawkins, Inc.       166        12,749
HB Fuller Co.     1,145        91,302
Innospec, Inc.       320        41,261
International Flavors & Fragrances, Inc.     2,023       173,958
International Paper Co.(a)     1,814        70,782
 
The accompanying notes are an integral part of the financial statements.
81

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Knife River Corp.*     1,410   $     114,323
Koppers Holdings, Inc.       235        12,965
Linde PLC (Ireland)       942       437,389
LyondellBasell Industries NV, Class A (Netherlands)     3,552       363,299
Martin Marietta Materials, Inc.(a)       300       184,182
Metallus, Inc.*        40           890
Minerals Technologies, Inc.     1,239        93,272
NewMarket Corp.(a)       442       280,502
Nucor Corp.(a)     1,225       242,427
Packaging Corp. of America       965       183,138
PPG Industries, Inc.(a)     1,803       261,255
Quaker Chemical Corp.(a)     1,155       237,064
Royal Gold, Inc.(a)     2,545       310,006
RPM International, Inc.(a)     1,270       151,066
Scotts Miracle-Gro Co. (The)(a)     6,594       491,846
Sealed Air Corp.(a)     1,426        53,047
Sherwin-Williams Co. (The)(a)       927       321,975
SilverCrest Metals, Inc. (Canada)*       129           859
Sonoco Products Co.       129         7,461
Summit Materials, Inc., Class A*       672        29,951
Taseko Mines Ltd. (Canada)*       370           803
Vulcan Materials Co.(a)       735       200,596
Warrior Met Coal, Inc.       393        23,855
Westrock Co.     2,540       125,603
Worthington Steel, Inc.        36         1,291
        5,734,484
Media & Entertainment — 3.1%
Alphabet, Inc., Class A(a)*    10,073     1,520,318
Angi, Inc.*        25            66
Bumble, Inc., Class A*       386         4,381
Cable One, Inc.        10         4,231
Cinemark Holdings, Inc.(a)*     9,232       165,899
Clear Channel Outdoor Holdings, Inc.*     1,186         1,957
Comcast Corp., Class A(a)     5,973       258,930
Electronic Arts, Inc.(a)     2,050       271,974
Getty Images Holdings, Inc.*        19            79
Grindr, Inc.*        24           243
Interpublic Group of Cos., Inc. (The)(a)     8,326       271,677
Match Group, Inc.*     5,667       205,599
Meta Platforms, Inc., Class A(a)     3,757     1,824,324
Netflix, Inc.(a)*       900       546,597
News Corp., Class A     4,665       122,130
Omnicom Group, Inc.(a)       830        80,311
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Media & Entertainment — (Continued)
Sirius XM Holdings, Inc.    43,021   $     166,921
Spotify Technology SA (Luxembourg)*     1,809       477,395
TripAdvisor, Inc.(a)*    13,651       379,361
Vimeo, Inc.*    16,566        67,755
Walt Disney Co. (The)(a)     2,565       313,853
Warner Music Group Corp., Class A     2,695        88,989
Yelp, Inc.(a)*     6,329       249,363
ZipRecruiter, Inc., Class A*     4,011        46,086
ZoomInfo Technologies, Inc.*     9,475       151,884
        7,220,323
Pharmaceuticals, Biotechnology & Life Sciences — 2.5%
AbbVie, Inc.       370        67,377
ADMA Biologics, Inc.*       707         4,666
Agilent Technologies, Inc.        40         5,820
Alkermes PLC (Ireland)*     2,210        59,825
Alpine Immune Sciences, Inc.*       552        21,881
Amgen, Inc.        41        11,657
Amneal Pharmaceuticals, Inc.*       747         4,527
Amphastar Pharmaceuticals, Inc.*        45         1,976
ANI Pharmaceuticals, Inc.*       120         8,296
Ardelyx, Inc.*     1,566        11,432
Azenta, Inc.*        65         3,918
Beam Therapeutics, Inc.*       506        16,718
Bio-Rad Laboratories, Inc., Class A*        69        23,865
Bristol-Myers Squibb Co.(a)     9,565       518,710
Collegium Pharmaceutical, Inc.*     2,073        80,474
Corcept Therapeutics, Inc.*       777        19,573
EyePoint Pharmaceuticals, Inc.*     2,857        59,054
Gilead Sciences, Inc.(a)     6,947       508,868
Halozyme Therapeutics, Inc.(a)*     2,286        92,995
Harmony Biosciences Holdings, Inc.(a)*     8,730       293,153
ImmunityBio, Inc.*     3,299        17,716
Incyte Corp.(a)*     9,953       567,022
IQVIA Holdings, Inc.(a)*     1,566       396,026
Ironwood Pharmaceuticals, Inc.*     1,128         9,825
Johnson & Johnson(a)     5,096       806,136
Merck & Co., Inc.(a)     6,335       835,903
Mettler-Toledo International, Inc.(a)*       276       367,436
Natera, Inc.*       253        23,139
Nurix Therapeutics, Inc.*        90         1,323
Nuvation Bio, Inc.*        18            66
QIAGEN NV (Netherlands)       390        16,766
Rhythm Pharmaceuticals, Inc.*     1,548        67,075
Scholar Rock Holding Corp.*        73         1,296
 
The accompanying notes are an integral part of the financial statements.
82

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued)
Spyre Therapeutics, Inc.*         9   $         341
Taysha Gene Therapies, Inc.*        38           109
Thermo Fisher Scientific, Inc.(a)       538       312,691
Twist Bioscience Corp.(a)*     7,602       260,825
United Therapeutics Corp.(a)*       221        50,768
Vera Therapeutics, Inc.*        25         1,078
Viatris, Inc.(a)    15,503       185,106
Waters Corp.*       139        47,848
WaVe Life Sciences Ltd. (Singapore)*       226         1,394
        5,784,674
Semiconductors & Semiconductor Equipment — 3.8%
Advanced Micro Devices, Inc.(a)*       804       145,114
Amkor Technology, Inc.       479        15,443
Broadcom, Inc.(a)        44        58,318
Entegris, Inc.     1,361       191,275
GLOBALFOUNDRIES, Inc. (Cayman Islands)*     3,731       194,422
KLA Corp.(a)       530       370,242
Lam Research Corp.(a)       356       345,879
Microchip Technology, Inc.(a)     5,744       515,294
Micron Technology, Inc.(a)     5,482       646,273
Monolithic Power Systems, Inc.(a)     1,542     1,044,582
NVIDIA Corp.(a)       807       729,173
NXP Semiconductors NV (Netherlands)     2,664       660,059
ON Semiconductor Corp.(a)*     4,492       330,387
Photronics, Inc.*     2,645        74,906
Qorvo, Inc.(a)*     7,856       902,105
QUALCOMM, Inc.(a)    10,718     1,814,557
Skyworks Solutions, Inc.(a)     8,140       881,725
SMART Global Holdings, Inc. (Cayman Islands)*     5,983       157,473
        9,077,227
Software & Services — 6.1%
Accenture PLC, Class A (Ireland)        47        16,291
Adobe, Inc.(a)*       463       233,630
Amdocs Ltd. (Guernsey)       536        48,438
Appfolio, Inc., Class A*        67        16,532
Bitfarms Ltd. (Canada)*    46,406       103,485
Blackbaud, Inc.*       142        10,528
Box, Inc., Class A*     1,548        43,839
Cadence Design Systems, Inc.*       105        32,684
CGI, Inc. (Canada)*        64         7,071
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
Docebo, Inc. (Canada)*        70   $       3,429
DXC Technology Co.*     3,743        79,389
Enfusion, Inc., Class A*       171         1,582
EverCommerce, Inc.*        16           151
Fortinet, Inc.(a)*     7,085       483,976
Gen Digital, Inc.(a)    12,566       281,478
Gitlab, Inc., Class A(a)*       415        24,203
Globant SA (Luxembourg)*       377        76,116
GoDaddy, Inc., Class A*       108        12,817
Guidewire Software, Inc.(a)*     1,035       120,795
Hackett Group, Inc. (The)         3            73
Informatica, Inc., Class A*     3,984       139,440
InterDigital, Inc.(a)     3,281       349,295
International Business Machines Corp.(a)     2,458       469,380
JFrog Ltd. (Israel)*     5,182       229,148
Kyndryl Holdings, Inc.*     2,659        57,860
LiveRamp Holdings, Inc.*     5,222       180,159
Manhattan Associates, Inc.*       190        47,544
MeridianLink, Inc.*       151         2,824
Microsoft Corp.(a)     3,978     1,673,624
N-able, Inc.*        92         1,202
NCR Voyix Corp.(a)*    18,027       227,681
NextNav, Inc.*       265         1,744
Nutanix, Inc., Class A(a)*     6,651       410,500
Okta, Inc.(a)*     5,819       608,784
Oracle Corp.(a)    11,673     1,466,245
Palantir Technologies, Inc., Class A(a)*    29,685       683,052
Palo Alto Networks, Inc.(a)*     3,784     1,075,148
Pegasystems, Inc.     2,911       188,167
Q2 Holdings, Inc.*     4,039       212,290
Qualys, Inc.*     1,229       205,083
Roper Technologies, Inc.       420       235,553
Salesforce, Inc.(a)     2,286       688,497
Samsara, Inc., Class A(a)*     7,354       277,908
ServiceNow, Inc.(a)*     2,057     1,568,257
SolarWinds Corp.*        61           770
SPS Commerce, Inc.*       492        90,971
Squarespace, Inc., Class A*     1,031        37,570
Synopsys, Inc.*       186       106,299
UiPath, Inc., Class A(a)*     8,454       191,652
Verint Systems, Inc.*       104         3,448
VeriSign, Inc.(a)*     1,937       367,081
Workday, Inc., Class A(a)*       701       191,198
Yext, Inc.*     7,448        44,911
 
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
Zoom Video Communications, Inc., Class A(a)*    11,455   $     748,813
Zuora, Inc., Class A*     4,253        38,787
       14,417,392
Technology Hardware & Equipment — 2.5%
Amphenol Corp., Class A        46         5,306
Apple, Inc.(a)     1,672       286,714
Arlo Technologies, Inc.*       691         8,741
Arrow Electronics, Inc.*        73         9,451
Badger Meter, Inc.        71        11,488
Bel Fuse, Inc., Class B       231        13,932
CDW Corp.(a)       282        72,130
Ciena Corp.*     2,967       146,718
Cisco Systems, Inc.(a)     6,268       312,836
Crane NXT Co.       152         9,409
Extreme Networks, Inc.(a)*    11,432       131,925
F5, Inc.(a)*     1,459       276,612
Fabrinet (Cayman Islands)*       187        35,347
Hewlett Packard Enterprise Co.(a)    20,051       355,504
HP, Inc.(a)     9,949       300,659
Insight Enterprises, Inc.(a)*       829       153,796
Itron, Inc.*     2,419       223,806
Jabil, Inc.(a)     2,792       373,988
Keysight Technologies, Inc.*     1,568       245,204
Littelfuse, Inc.       675       163,586
Motorola Solutions, Inc.(a)       534       189,559
Napco Security Technologies, Inc.     2,723       109,356
NetApp, Inc.(a)     4,194       440,244
NetScout Systems, Inc.*     1,055        23,041
PC Connection, Inc.        62         4,088
Rogers Corp.*       223        26,468
Seagate Technology Holdings PLC (Ireland)     4,739       440,964
Super Micro Computer, Inc.(a)*       692       698,941
TD SYNNEX Corp.       625        70,687
TE Connectivity Ltd. (Switzerland)     1,273       184,890
Vontier Corp.     2,861       129,775
Western Digital Corp.(a)*     5,499       375,252
Xerox Holdings Corp.        64         1,146
        5,831,563
Telecommunication Services — 0.7%
Anterix, Inc.*        35         1,176
AT&T, Inc.(a)    19,549       344,063
Iridium Communications, Inc.     4,361       114,084
TELUS Corp. (Canada)     5,619        89,960
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Telecommunication Services — (Continued)
T-Mobile US, Inc.(a)     3,624   $     591,509
Verizon Communications, Inc.(a)    11,748       492,946
        1,633,738
Transportation — 1.0%
CH Robinson Worldwide, Inc.       272        20,710
CSX Corp.(a)     9,681       358,875
Delta Air Lines, Inc.(a)     6,807       325,851
FedEx Corp.(a)     1,088       315,237
Forward Air Corp.     3,352       104,281
FTAI Infrastructure, Inc.        85           534
GXO Logistics, Inc.*     2,146       115,369
Old Dominion Freight Line, Inc.(a)     1,210       265,365
Saia, Inc.*       103        60,255
SkyWest, Inc.(a)*     4,649       321,153
Uber Technologies, Inc.(a)*     5,352       412,050
Union Pacific Corp.(a)       647       159,117
        2,458,797
Utilities — 1.3%
ALLETE, Inc.       235        14,015
American Water Works Co., Inc.       122        14,910
Atmos Energy Corp.        21         2,496
Black Hills Corp.       722        39,421
Consolidated Edison, Inc.       916        83,182
Constellation Energy Corp.(a)       756       139,747
Duke Energy Corp.(a)     6,142       593,993
Fortis, Inc. (Canada)     1,878        74,200
New Jersey Resources Corp.     1,383        59,344
NRG Energy, Inc.(a)    11,132       753,525
ONE Gas, Inc.     1,167        75,306
Public Service Enterprise Group, Inc.(a)     6,897       460,582
Southwest Gas Holdings, Inc.     2,405       183,093
Spire, Inc.       735        45,107
TransAlta Corp. (Canada)     2,395        15,400
Vistra Corp.(a)     6,023       419,502
        2,973,823
TOTAL COMMON STOCKS
(Cost $99,654,455) 		    118,619,872
 
The accompanying notes are an integral part of the financial statements.
84

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANIES(c) — 44.2% 		   
Gotham 1000 Value ETF 2,190,000   $  52,240,260
Gotham Enhanced 500 ETF 1,800,000    51,790,320
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES
(Cost $81,422,989) 		    104,030,580
EXCHANGE TRADED FUNDS — 0.5%
SPDR S&P 500 ETF Trust     2,314     1,210,384
TOTAL EXCHANGE TRADED FUNDS
(Cost $1,171,911) 		      1,210,384
 
TOTAL INVESTMENTS - 95.1%
(Cost $182,249,355) 		    223,860,836
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9%      11,590,903
NET ASSETS - 100.0%     $ 235,451,739
(a) Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements)
(b) Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees.
(c) All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website.
* Non-income producing.
ETF Exchange-Traded Fund
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
85

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 27, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.0% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Long                                
Automobiles & Components                            
Adient PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   1,819   $ 62,251   $ 59,881   $ (840)
American Axle & Manufacturing Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   16,690   129,625   122,838   (3,728)
Aptiv PLC (Jersey)   USFF +0.250%   Weekly   MS   01/12/29   1,458   113,565   116,130   5,344
BorgWarner, Inc.   USFF +0.250%   Weekly   MS   07/08/27   15,271   502,952   530,515   39,202
Ford Motor Co.   USFF +0.250%   Weekly   MS   11/03/25   56,873   652,982   755,273   190,277
Garrett Motion, Inc.   USFF +0.250%   Weekly   MS   01/12/29   309   3,076   3,071   87
General Motors Co.   USFF +0.250%   Weekly   MS   07/08/27   15,223   527,391   690,363   180,541
Gentherm, Inc.   USFF +0.250%   Weekly   MS   01/12/29   306   16,835   17,619   1,210
Goodyear Tire & Rubber Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   4,500   62,029   61,785   1,243
LCI Industries   USFF +0.250%   Weekly   MS   01/12/29   1,493   176,184   183,729   12,436
Lear Corp.   USFF +0.250%   Weekly   MS   01/12/29   405   53,300   58,676   7,061
Modine Manufacturing Co.   USFF +0.250%   Weekly   MS   07/08/27   138   2,999   13,136   13,893
Visteon Corp.   USFF +0.250%   Weekly   MS   07/11/28   772   89,295   90,795   3,565
                    115,257   2,392,484   2,703,811   450,291
Capital Goods                            
3M Co.   USFF +0.250%   Weekly   MS   01/12/29   130   13,460   13,789   (1,476)
A. O. Smith Corp.   USFF +0.250%   Weekly   MS   07/08/27   4,934   328,350   441,396   127,799
AAR Corp.   USFF +0.250%   Weekly   MS   01/12/29   236   14,150   14,129   340
Acuity Brands, Inc.   USFF +0.250%   Weekly   MS   01/10/28   933   155,502   250,725   99,297
AECOM   USFF +0.250%   Weekly   MS   01/12/29   3,751   331,342   367,898   47,596
AMETEK, Inc.   USFF +0.250%   Weekly   MS   01/10/28   368   54,257   67,307   20,119
Apogee Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/12/29   8   474   474   31
Applied Industrial Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,147   166,231   226,590   66,841
Array Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   42,716   538,337   636,896   113,867
AZEK Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   20,463   676,223   1,027,652   370,735
Beacon Roofing Supply, Inc.   USFF -0.250%   Weekly   MS   01/05/26   1,543   131,614   151,245   25,074
Blue Bird Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,815   36,483   69,587   34,008
Boeing Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   1,388   249,919   267,870   32,400
Boise Cascade Co.   USFF +0.250%   Weekly   MS   08/27/24   737   63,934   113,034   65,640
Builders FirstSource, Inc.   USFF +0.250%   Weekly   MS   08/27/24   2,514   418,968   524,295   115,534
BWX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,910   399,619   401,244   11,610
Cadre Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   414   14,977   14,987   391
Carlisle Cos., Inc.   USFF +0.250%   Weekly   MS   01/12/29   602   211,273   235,894   30,541
The accompanying notes are an integral part of the financial statements.
86

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Carrier Global Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,013   $ 94,825   $117,016   $ 25,017
Caterpillar, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,452   636,187   898,486   290,961
Chart Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   460   70,069   75,771   7,595
Comfort Systems USA, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,523   216,660   483,872   276,906
Core & Main, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   3,471   105,258   198,715   102,118
Crane Co.   USFF +0.250%   Weekly   MS   07/08/27   4,402   368,440   594,842   238,020
CSW Industrials, Inc.   USFF +0.250%   Weekly   MS   01/10/28   248   45,062   58,181   14,313
Cummins, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,043   499,724   601,970   118,315
Curtiss-Wright Corp.   USFF +0.250%   Weekly   MS   07/06/26   685   118,955   175,319   63,695
Deere & Co.   USFF +0.250%   Weekly   MS   01/12/29   572   220,510   234,943   20,652
DNOW, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,521   37,360   38,319   1,885
Donaldson Co., Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,216   196,007   240,171   51,704
Dover Corp.   USFF +0.250%   Weekly   MS   01/12/29   714   114,363   126,514   15,313
Eaton Corp. PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   1,404   384,012   439,003   66,712
EMCOR Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,127   237,135   394,675   164,652
Emerson Electric Co.   USFF +0.250%   Weekly   MS   01/10/28   1,203   96,219   136,444   44,471
Enerpac Tool Group Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,623   93,498   129,196   38,143
EnerSys   USFF +0.250%   Weekly   MS   07/11/28   2,303   212,490   217,541   11,207
Enpro, Inc.   USFF +0.250%   Weekly   MS   01/10/28   356   34,624   60,082   28,166
Esab Corp.   USFF +0.250%   Weekly   MS   01/12/29   903   90,479   99,845   11,640
Fastenal Co.   USFF +0.250%   Weekly   MS   01/10/28   1,480   88,461   114,167   29,828
Federal Signal Corp.   USFF +0.250%   Weekly   MS   01/12/29   426   34,451   36,155   2,558
Flowserve Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,154   172,254   189,755   22,848
Fluence Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,956   251,376   207,317   (37,929)
Fortune Brands Innovations, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,332   76,302   112,780   42,491
Gates Industrial Corp. PLC (United Kingdom)   USFF +0.250%   Weekly   MS   01/10/28   4,083   48,376   72,310   25,127
Generac Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,185   477,890   527,896   62,517
General Dynamics Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,429   325,727   403,678   89,670
General Electric Co.   USFF +0.250%   Weekly   MS   01/07/27   3,323   366,826   583,286   226,344
Gibraltar Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   912   61,061   73,443   14,303
Gorman-Rupp Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   4   157   158   24
Graco, Inc.   USFF +0.250%   Weekly   MS   01/12/29   394   33,868   36,823   4,149
Griffon Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,908   230,642   433,293   216,968
Hillman Solutions Corp.   USFF +0.250%   Weekly   MS   01/10/28   10,466   87,560   111,358   25,945
Honeywell International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,273   642,869   671,783   48,601
The accompanying notes are an integral part of the financial statements.
87

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Howmet Aerospace, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,040   $ 66,630   $ 71,167   $ 6,327
Hubbell, Inc.   USFF +0.250%   Weekly   MS   01/12/29   328   131,024   136,136   8,334
Huntington Ingalls Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   560   130,015   163,223   37,926
Illinois Tool Works, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,168   285,280   313,409   43,849
Ingersoll Rand, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,358   300,873   318,842   25,364
ITT, Inc.   USFF +0.250%   Weekly   MS   07/11/28   408   39,226   55,500   17,575
Kadant, Inc.   USFF +0.250%   Weekly   MS   01/12/29   170   55,010   55,777   2,122
Kaman Corp.   USFF +0.250%   Weekly   MS   07/11/28   135   2,838   6,192   3,490
Kennametal, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,017   50,582   50,304   1,745
L3Harris Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   458   94,422   97,600   6,022
Leonardo DRS, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,318   28,880   29,115   954
Lincoln Electric Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,206   304,091   308,061   12,169
Lindsay Corp.   USFF +0.250%   Weekly   MS   07/11/28   757   94,041   89,069   (2,446)
Lockheed Martin Corp.   USFF +0.250%   Weekly   MS   08/27/24   1,791   752,583   814,672   107,265
Masco Corp.   USFF +0.250%   Weekly   MS   07/08/27   4,373   254,222   344,942   104,673
MDU Resources Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,845   206,860   273,294   75,610
Middleby Corp. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,059   155,758   170,277   18,324
MSC Industrial Direct Co., Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   3,685   347,824   357,592   23,467
Mueller Industries, Inc.   USFF +0.250%   Weekly   MS   08/27/24   1,614   48,337   87,043   45,208
NEXTracker, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   733   30,189   41,246   11,807
Nikola Corp.   USFF +0.250%   Weekly   MS   01/12/29   3,251   3,332   3,381   146
Otis Worldwide Corp.   USFF +0.250%   Weekly   MS   07/08/27   1,857   159,371   184,344   30,455
PACCAR, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,822   127,153   225,728   104,935
Parker-Hannifin Corp.   USFF +0.250%   Weekly   MS   07/11/28   508   207,883   282,341   81,414
Pentair PLC (Ireland)   USFF +0.250%   Weekly   MS   07/08/27   2   111   171   79
Powell Industries, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,876   207,308   266,955   65,205
Proto Labs, Inc.   USFF +0.250%   Weekly   MS   01/12/29   164   5,694   5,863   324
Quanex Building Products Corp.   USFF +0.250%   Weekly   MS   01/12/29   119   4,349   4,573   349
Quanta Services, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,817   653,546   731,857   98,016
Regal Rexnord Corp.   USFF +0.250%   Weekly   MS   01/12/29   186   31,205   33,499   3,033
Resideo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,873   63,465   64,413   2,507
RTX Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,808   326,775   371,394   55,671
Snap-on, Inc.   USFF +0.250%   Weekly   MS   01/10/28   814   203,483   241,123   47,298
SPX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   541   41,258   66,613   26,479
Stanley Black & Decker, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,905   334,715   382,417   61,051
The accompanying notes are an integral part of the financial statements.
88

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Stantec, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   52   $ 4,405   $ 4,318   $ 41
Sterling Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,230   53,396   135,681   85,077
Tennant Co.   USFF +0.250%   Weekly   MS   07/11/28   848   77,142   103,125   28,203
Terex Corp.   USFF +0.250%   Weekly   MS   07/08/27   2,538   116,992   163,447   54,458
Textron, Inc.   USFF +0.250%   Weekly   MS   01/07/27   4,423   347,343   424,298   94,321
Trane Technologies PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   548   148,638   164,510   19,968
Trex Co., Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,262   119,327   125,885   9,457
Tutor Perini Corp.   USFF +0.250%   Weekly   MS   01/12/29   73   999   1,056   97
UFP Industries, Inc.   USFF +0.250%   Weekly   MS   07/08/27   898   79,263   110,463   35,243
United Rentals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   522   332,663   376,419   52,784
Wabash National Corp.   USFF +0.250%   Weekly   MS   07/08/27   4,675   102,193   139,970   41,636
Watts Water Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   555   90,088   117,965   33,185
Woodward, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,272   167,172   196,041   34,921
WW Grainger, Inc.   USFF +0.250%   Weekly   MS   07/06/26   237   154,806   241,100   93,417
Xylem, Inc.   USFF +0.250%   Weekly   MS   01/12/29   233   28,673   30,113   2,423
Zurn Water Solutions Corp.   USFF +0.250%   Weekly   MS   07/11/28   5,601   161,206   187,465   31,307
                    262,706   18,307,449   22,890,108   5,268,561
Commercial & Professional
Services 		                           
ACV Auctions, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   19,597   299,632   367,836   75,509
Alight, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   13,217   117,927   130,187   17,223
ASGN, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,655   159,590   173,378   17,686
Automatic Data Processing, Inc.   USFF +0.250%   Weekly   MS   08/27/24   2,613   565,370   652,571   124,331
Booz Allen Hamilton Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   3,006   429,133   446,211   29,208
Brady Corp., Class A   USFF +0.250%   Weekly   MS   01/10/28   1,182   58,118   70,069   13,628
Brink's Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   394   33,511   36,398   3,733
Broadridge Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   07/08/27   557   112,696   114,107   4,571
Cimpress PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   302   26,998   26,730   405
Cintas Corp.   USFF +0.250%   Weekly   MS   01/12/29   335   213,456   230,155   22,051
Conduent, Inc.   USFF +0.250%   Weekly   MS   01/12/29   290   953   980   66
Copart, Inc.   USFF +0.250%   Weekly   MS   07/08/27   697   27,832   40,370   13,232
CSG Systems International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,784   93,692   91,947   927
Enviri Corp.   USFF +0.250%   Weekly   MS   01/12/29   552   4,570   5,051   608
Healthcare Services Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,748   21,694   21,815   909
The accompanying notes are an integral part of the financial statements.
89

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Heidrick & Struggles International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   15   $ 503   $ 505   $ 33
HireRight Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   56   799   799   36
Jacobs Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,558   338,020   393,241   64,741
Leidos Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,057   219,133   269,652   58,470
ManpowerGroup, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,655   121,376   128,494   10,556
Maximus, Inc.   USFF +0.250%   Weekly   MS   01/12/29   480   39,930   40,272   1,594
MillerKnoll, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,521   37,136   37,660   1,966
MSA Safety, Inc.   USFF +0.250%   Weekly   MS   07/11/28   267   45,053   51,689   7,926
OPENLANE, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,406   34,424   41,624   8,470
Parsons Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,311   164,749   191,697   30,972
Republic Services, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,318   180,918   252,318   79,204
Robert Half, Inc.   USFF +0.250%   Weekly   MS   08/27/24   2,158   167,079   171,086   11,455
Science Applications International Corp.   USFF +0.250%   Weekly   MS   07/11/28   329   34,724   42,898   11,289
SS&C Technologies Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   114   7,384   7,338   311
Steelcase, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   5,144   63,081   67,284   6,031
Sterling Check Corp.   USFF +0.250%   Weekly   MS   01/12/29   175   2,799   2,814   99
TaskUS, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   158   1,910   1,841   (6)
TELUS International CDA, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   152   1,344   1,286   (9)
Tetra Tech, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,251   203,859   231,072   33,414
Veralto Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,561   257,890   315,718   64,438
Verisk Analytics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   64   13,057   15,087   2,519
Waste Connections, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   905   152,932   155,669   6,474
Waste Management, Inc.   USFF +0.250%   Weekly   MS   01/12/29   388   76,809   82,702   8,068
                    76,972   4,330,081   4,910,551   732,138
Consumer Discretionary
Distribution & Retail 		                           
Abercrombie & Fitch Co., Class A   USFF +0.250%   Weekly   MS   01/10/28   3,902   145,183   489,038   347,403
Amazon.com, Inc.   USFF +0.250%   Weekly   MS   07/08/27   18,881   2,439,575   3,405,755   1,072,670
AutoZone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   155   471,065   488,506   28,915
Bath & Body Works, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,461   66,884   73,079   7,838
Best Buy Co., Inc.   USFF +0.250%   Weekly   MS   08/27/24   589   34,774   48,316   20,707
CarMax, Inc.   USFF +0.250%   Weekly   MS   01/10/28   98   5,957   8,537   2,741
Carvana Co.   USFF +0.250%   Weekly   MS   07/11/28   20,240   658,791   1,779,298   1,136,549
eBay, Inc.   USFF +0.250%   Weekly   MS   08/27/24   11,216   456,572   591,980   165,295
Etsy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,792   268,342   260,586   (2,037)
Gap, Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   24,953   247,010   687,455   453,688
Genuine Parts Co.   USFF +0.250%   Weekly   MS   01/12/29   126   19,520   19,521   647
The accompanying notes are an integral part of the financial statements.
90

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Hibbett, Inc.   USFF +0.250%   Weekly   MS   01/12/29   328   $ 23,760   $ 25,194   $ 2,152
Home Depot, Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   2,529   859,521   970,124   138,599
Kohl's Corp.   USFF +0.250%   Weekly   MS   01/12/29   5,850   154,298   170,528   21,197
LKQ Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,371   71,240   73,225   4,019
Monro, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,101   60,229   66,266   8,053
ODP Corp. (The)   USFF +0.250%   Weekly   MS   07/06/26   3,361   135,137   178,301   46,467
Pool Corp.   USFF +0.250%   Weekly   MS   01/07/27   384   121,804   154,944   37,185
Ross Stores, Inc.   USFF +0.250%   Weekly   MS   01/12/29   721   104,964   105,814   3,420
Signet Jewelers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   3,362   324,610   336,435   19,673
TJX Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   3,075   283,096   311,867   37,110
Ulta Beauty, Inc.   USFF +0.250%   Weekly   MS   01/12/29   564   294,705   294,904   7,385
Wayfair, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   418   28,670   28,374   417
Williams-Sonoma, Inc.   USFF +0.250%   Weekly   MS   07/11/28   187   36,559   59,378   26,460
Winmark Corp.   USFF +0.250%   Weekly   MS   07/11/28   146   56,841   52,808   (2,599)
                    109,810   7,369,107   10,680,233   3,583,954
Consumer Durables & Apparel                            
BRP, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   22   1,477   1,476   51
Carter's, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,823   186,996   239,052   62,733
Cricut, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   175   820   833   49
Deckers Outdoor Corp.   USFF +0.250%   Weekly   MS   01/12/29   395   350,789   371,798   29,720
Figs, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   33,159   210,848   165,132   (40,572)
Garmin Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/08/27   2,675   283,198   398,227   128,207
G-III Apparel Group Ltd.   USFF +0.250%   Weekly   MS   07/11/28   5,595   154,318   162,311   11,763
Hasbro, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,000   201,196   226,080   30,386
Helen of Troy Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   1,364   162,467   157,187   (1,311)
Leggett & Platt, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,503   80,225   67,082   (9,565)
Lululemon Athletica, Inc.   USFF +0.250%   Weekly   MS   01/12/29   40   15,812   15,626   215
Mattel, Inc.   USFF +0.250%   Weekly   MS   07/11/28   19,738   378,279   391,010   21,949
Mohawk Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,602   138,293   209,686   74,773
Newell Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   380   2,925   3,051   214
NIKE, Inc., Class B   USFF +0.250%   Weekly   MS   07/08/27   1,138   103,677   106,949   7,577
NVR, Inc.   USFF +0.250%   Weekly   MS   01/07/27   6   23,426   48,600   25,760
Polaris, Inc.   USFF +0.250%   Weekly   MS   01/12/29   468   42,521   46,856   5,695
PulteGroup, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,971   198,815   358,362   166,515
PVH Corp.   USFF +0.250%   Weekly   MS   07/11/28   830   61,867   116,706   56,423
Ralph Lauren Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,813   215,670   340,409   134,019
Smith & Wesson Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   53   934   920   25
Sonos, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,567   67,210   67,987   2,428
The accompanying notes are an integral part of the financial statements.
91

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Durables & Apparel —
(continued) 		                           
Tapestry, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,032   $ 115,446   $ 143,959   $ 32,756
TopBuild Corp.   USFF +0.250%   Weekly   MS   07/11/28   682   244,374   300,578   63,340
Under Armour, Inc., Class C   USFF +0.250%   Weekly   MS   01/12/29   611   4,247   4,363   235
Vista Outdoor, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,014   82,884   98,799   17,947
Worthington Enterprises, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,614   79,676   100,439   23,357
YETI Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,001   291,658   269,889   (15,259)
                    102,271   3,700,048   4,413,367   829,430
Consumer Services                            
ADT, Inc.   USFF +0.250%   Weekly   MS   07/11/28   39,513   255,868   265,527   18,227
Adtalem Global Education, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,789   106,080   143,355   41,748
Aramark   USFF +0.250%   Weekly   MS   07/11/28   26,638   756,161   866,268   130,947
Booking Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   346   1,090,549   1,255,246   194,032
Bright Horizons Family Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   990   109,404   112,226   5,500
Brinker International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   6,993   289,105   347,412   65,835
Caesars Entertainment, Inc.   USFF +0.250%   Weekly   MS   07/08/27   5,518   210,936   241,357   35,571
Dine Brands Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   836   39,673   38,857   390
DoorDash, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   1,037   95,168   142,816   53,591
DraftKings, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   2,290   69,551   103,989   36,146
Duolingo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   62   13,709   13,676   86
European Wax Center, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   941   12,270   12,214   259
Expedia Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,087   296,191   287,484   (1,486)
Frontdoor, Inc.   USFF +0.250%   Weekly   MS   01/10/28   8,200   267,040   267,156   6,272
Grand Canyon Education, Inc.   USFF +0.250%   Weekly   MS   07/11/28   364   45,429   49,580   5,328
International Game Technology PLC (United Kingdom)   USFF +0.250%   Weekly   MS   01/12/29   681   14,817   15,384   1,031
Las Vegas Sands Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,434   163,950   177,538   17,833
McDonald's Corp.   USFF +0.250%   Weekly   MS   08/27/24   1,995   538,740   562,490   53,341
MGM Resorts International   USFF +0.250%   Weekly   MS   01/07/27   2,246   85,352   106,034   22,785
Papa John's International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   875   60,261   58,275   (504)
The accompanying notes are an integral part of the financial statements.
92

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Royal Caribbean Cruises Ltd. (Liberia)   USFF +0.250%   Weekly   MS   01/10/28   4,712   $ 378,232   $ 655,015   $ 286,000
Shake Shack, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   401   39,247   41,716   3,440
Six Flags Entertainment Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,596   52,485   68,327   17,134
Starbucks Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,600   147,701   146,224   2,483
Strategic Education, Inc.   USFF +0.250%   Weekly   MS   01/12/29   205   21,287   21,345   623
Sweetgreen, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,756   41,791   44,357   3,599
Vail Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   211   47,058   47,017   1,531
Wyndham Hotels & Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,218   171,375   170,232   3,652
Wynn Resorts Ltd.   USFF +0.250%   Weekly   MS   01/12/29   1,715   178,132   175,324   1,740
Yum! Brands, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,369   425,757   467,112   58,485
                    126,618   6,023,319   6,903,553   1,065,619
Consumer Staples Distribution &
Retail 		                           
Albertsons Cos., Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   11,238   242,385   240,943   4,492
Costco Wholesale Corp.   USFF +0.250%   Weekly   MS   07/06/26   1,165   668,787   853,514   219,829
Dollar General Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,026   156,943   160,118   7,009
Grocery Outlet Holding Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,188   58,393   62,971   6,855
Kroger Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   18,082   957,266   1,033,025   101,330
Performance Food Group Co.   USFF +0.250%   Weekly   MS   01/12/29   166   12,536   12,390   175
Sysco Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,011   137,451   163,253   30,524
Target Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,605   992,424   1,170,472   208,881
US Foods Holding Corp.   USFF +0.250%   Weekly   MS   07/08/27   1,916   67,251   103,407   40,343
Walgreens Boots Alliance, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,969   65,343   64,398   1,205
Walmart, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,604   377,841   397,363   30,589
Weis Markets, Inc.   USFF +0.250%   Weekly   MS   01/12/29   133   8,536   8,565   253
                    54,103   3,745,156   4,270,419   651,485
Energy                            
Antero Midstream Corp.   USFF +0.250%   Weekly   MS   07/11/28   34,565   438,935   485,984   61,409
APA Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,716   87,648   93,376   9,625
Archrock, Inc.   USFF +0.250%   Weekly   MS   01/12/29   13,564   251,453   266,804   21,748
Baker Hughes Co.   USFF +0.250%   Weekly   MS   07/08/27   19,984   547,124   669,464   151,943
Berry Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,925   15,129   15,496   751
The accompanying notes are an integral part of the financial statements.
93

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Borr Drilling Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/12/29   6,943   $ 43,827   $ 47,560   $ 4,943
California Resources Corp.   USFF +0.250%   Weekly   MS   07/11/28   5,091   254,351   280,514   34,095
Cameco Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,542   65,346   66,799   3,095
Canadian Natural Resources Ltd. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   10,135   634,525   773,503   167,965
Cheniere Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,546   245,013   249,339   10,187
Chesapeake Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   3,468   259,405   308,062   57,571
Chord Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   247   37,082   44,025   11,342
ConocoPhillips   USFF +0.250%   Weekly   MS   07/08/27   3,182   326,424   405,005   100,481
CONSOL Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,064   269,568   340,401   76,995
Coterra Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   8,016   211,704   223,486   17,988
CVR Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   923   27,845   32,914   8,303
Delek US Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,418   93,254   105,069   14,263
Devon Energy Corp.   USFF +0.250%   Weekly   MS   07/11/28   11,453   505,578   574,712   92,656
DHT Holdings, Inc. (Marshall Islands)   USFF +0.250%   Weekly   MS   07/08/27   10,989   98,457   126,374   41,813
Diamondback Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,492   263,853   295,670   44,078
Dorian LPG Ltd. (Marshall Islands)   USFF +0.250%   Weekly   MS   01/10/28   9,764   312,562   375,523   87,062
Enbridge, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   3,388   114,989   122,578   10,120
Enerplus Corp. (Canada)   USFF +0.250%   Weekly   MS   07/08/27   6,898   98,359   135,615   40,880
EOG Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,001   109,947   127,968   26,421
Equitrans Midstream Corp.   USFF +0.250%   Weekly   MS   01/10/28   11,857   57,891   148,094   95,185
Exxon Mobil Corp.   USFF +0.250%   Weekly   MS   01/05/26   6,214   638,494   722,315   130,303
Gulfport Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   628   62,734   100,555   40,198
Halliburton Co.   USFF +0.250%   Weekly   MS   01/12/29   3,426   123,950   135,053   14,726
Helix Energy Solutions Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   9,187   90,833   99,587   10,980
Helmerich & Payne, Inc.   USFF +0.250%   Weekly   MS   07/11/28   9,400   334,648   395,364   73,204
Kinder Morgan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   10,520   187,068   192,937   16,259
Marathon Oil Corp.   USFF +0.250%   Weekly   MS   01/12/29   27,263   685,029   772,633   104,499
Marathon Petroleum Corp.   USFF +0.250%   Weekly   MS   08/27/24   1,697   254,023   341,946   115,342
Murphy Oil Corp.   USFF +0.250%   Weekly   MS   08/27/24   2,944   109,612   134,541   30,512
Nabors Industries Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/10/28   1,006   86,512   86,647   2,256
The accompanying notes are an integral part of the financial statements.
94

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Nordic American Tankers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/10/28   20,238   $ 72,887   $ 79,333   $ 16,963
Occidental Petroleum Corp.   USFF +0.250%   Weekly   MS   01/05/26   9,003   518,397   585,105   87,343
Pembina Pipeline Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,662   53,020   58,735   9,131
Phillips 66   USFF +0.250%   Weekly   MS   07/11/28   1,527   214,544   249,420   40,999
Pioneer Natural Resources Co.   USFF +0.250%   Weekly   MS   01/10/28   1,755   393,659   460,688   82,516
REX American Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   9   502   528   55
Schlumberger NV (Curacao)   USFF +0.250%   Weekly   MS   01/12/29   1,888   90,913   103,481   14,968
SPDR S&P 500 ETF Trust   USFF +0.250%   Weekly   MS   07/11/28   4,291   2,140,971   2,244,493   163,485
Targa Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   185   20,343   20,718   887
TC Energy Corp. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   51   2,023   2,050   167
TechnipFMC PLC (United Kingdom)   USFF +0.250%   Weekly   MS   07/08/27   16,995   342,774   426,744   97,598
Transocean Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/12/29   8,787   41,655   55,182   15,805
US Silica Holdings, Inc.   USFF +0.250%   Weekly   MS   01/07/27   6,608   79,466   82,005   4,346
Valero Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   249   42,150   42,502   1,394
                    323,704   11,956,476   13,706,897   2,264,855
Financial Services                            
AvidXchange Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   24,953   285,735   328,132   49,363
Berkshire Hathaway, Inc., Class B   USFF +0.250%   Weekly   MS   08/27/24   2,916   783,653   1,226,236   461,662
BlackRock, Inc.   USFF +0.250%   Weekly   MS   01/10/28   185   127,065   154,235   34,695
Cboe Global Markets, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,954   471,765   542,738   86,014
CME Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,470   501,883   531,766   44,362
Coinbase Global, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,241   204,221   329,014   129,777
Corpay, Inc.   USFF +0.250%   Weekly   MS   01/12/29   942   258,368   290,645   38,577
Donnelley Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   315   19,439   19,533   583
FactSet Research Systems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   39   17,365   17,721   795
Fiserv, Inc.   USFF +0.250%   Weekly   MS   07/11/28   6,792   843,250   1,085,497   263,410
Franklin Resources, Inc.   USFF +0.250%   Weekly   MS   01/07/27   12,526   287,408   352,106   96,140
Intercontinental Exchange, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,956   388,793   406,243   29,722
The accompanying notes are an integral part of the financial statements.
95

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Financial Services — (continued)                            
International Money Express, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,250   $ 26,262   $ 28,538   $ 2,955
Mastercard, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   339   133,650   163,252   33,271
Morningstar, Inc.   USFF +0.250%   Weekly   MS   07/11/28   581   163,043   179,163   20,106
NCR Atleos Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,674   70,230   72,562   4,050
Open Lending Corp.   USFF +0.250%   Weekly   MS   01/12/29   81   501   507   34
Paymentus Holdings, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1   23   23   17
Payoneer Global, Inc.   USFF +0.250%   Weekly   MS   07/11/28   18,571   91,646   90,255   661
PayPal Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,801   572,013   723,559   165,477
S&P Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   356   155,608   151,460   (1,069)
Shift4 Payments, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   2,566   171,834   169,536   1,897
T Rowe Price Group, Inc.   USFF +0.250%   Weekly   MS   08/27/24   2,736   296,857   333,573   69,067
Visa, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   1,459   356,583   407,178   60,601
                    100,704   6,227,195   7,603,472   1,592,167
Food, Beverage & Tobacco                            
Altria Group, Inc.   USFF +0.250%   Weekly   MS   08/27/24   9,586   385,210   418,141   130,966
Archer-Daniels-Midland Co.   USFF +0.250%   Weekly   MS   01/10/28   8,663   568,288   544,123   (4,861)
B&G Foods, Inc.   USFF +0.250%   Weekly   MS   07/11/28   25,034   248,575   286,389   48,580
Bunge Global SA (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   3,093   305,896   317,094   20,924
Campbell Soup Co.   USFF +0.250%   Weekly   MS   01/12/29   1,835   78,987   81,566   4,516
Celsius Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,519   73,185   208,875   137,487
Coca-Cola Co. (The)   USFF +0.250%   Weekly   MS   08/27/24   10,476   600,791   640,922   90,373
Conagra Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,466   329,144   339,852   23,829
Constellation Brands, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   962   234,322   261,433   33,918
Dole PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   915   10,803   10,916   444
General Mills, Inc.   USFF +0.250%   Weekly   MS   01/05/26   2,676   170,892   187,240   25,974
Hormel Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,202   207,904   216,388   14,311
Ingredion, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,673   179,915   195,490   22,483
Kellogg Co.   USFF +0.250%   Weekly   MS   01/10/28   8,926   490,121   511,371   39,886
Keurig Dr Pepper, Inc.   USFF +0.250%   Weekly   MS   01/07/27   15,575   522,066   477,685   (18,018)
Kraft Heinz Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   8,914   308,563   328,927   30,380
Lancaster Colony Corp.   USFF +0.250%   Weekly   MS   01/12/29   169   32,363   35,089   3,672
McCormick & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,967   197,190   227,895   36,095
Molson Coors Beverage Co., Class B   USFF +0.250%   Weekly   MS   01/10/28   1,547   88,975   104,036   19,161
Mondelez International, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   4,046   274,474   283,220   17,452
The accompanying notes are an integral part of the financial statements.
96

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Philip Morris International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,893   $ 175,542   $ 173,437   $ 5,478
Primo Water Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   4,145   66,506   75,480   10,830
Simply Good Foods Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,403   202,954   183,864   (14,137)
SunOpta, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   1,150   7,823   7,901   284
Tootsie Roll Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7   224   224   22
Vector Group Ltd.   USFF +0.250%   Weekly   MS   01/12/29   1,734   19,005   19,005   561
Vita Coco Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   9,357   239,998   228,592   (5,552)
Vital Farms, Inc.   USFF +0.250%   Weekly   MS   01/12/29   259   5,773   6,022   406
                    151,192   6,025,489   6,371,177   675,464
Health Care Equipment & Services                            
Align Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   934   271,130   306,277   41,758
Astrana Health, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,809   69,487   75,960   8,180
Avanos Medical, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,080   82,909   81,233   357
Baxter International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   17,714   597,328   757,096   179,194
Becton Dickinson & Co.   USFF +0.250%   Weekly   MS   07/11/28   2,978   701,731   736,906   59,659
Cardinal Health, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,943   511,982   553,122   57,932
Cencora, Inc.   USFF +0.250%   Weekly   MS   01/10/28   779   147,964   189,289   46,209
Centene Corp.   USFF +0.250%   Weekly   MS   07/08/27   7,597   523,557   596,213   85,453
Cigna Group (The)   USFF +0.250%   Weekly   MS   01/12/29   1,389   480,285   504,471   36,839
CONMED Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,671   641,024   534,214   (89,377)
Cross Country Healthcare, Inc.   USFF +0.250%   Weekly   MS   07/08/27   5,910   144,880   110,635   (30,713)
CVS Health Corp.   USFF +0.250%   Weekly   MS   08/27/24   4,066   281,449   324,304   51,003
DaVita, Inc.   USFF +0.250%   Weekly   MS   01/10/28   6,291   570,618   868,473   311,763
Definitive Healthcare Corp.   USFF +0.250%   Weekly   MS   07/11/28   6,056   52,418   48,872   (2,254)
Evolent Health, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   8,223   267,803   269,632   8,360
Fulgent Genetics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,988   117,299   43,140   (73,938)
GE HealthCare Technologies, Inc.   USFF +0.250%   Weekly   MS   01/07/27   6,703   438,213   609,370   184,492
Haemonetics Corp.   USFF +0.250%   Weekly   MS   01/10/28   757   61,093   64,610   5,130
HCA Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/07/27   999   265,641   333,196   76,726
HealthStream, Inc.   USFF +0.250%   Weekly   MS   01/12/29   54   1,419   1,440   72
Hologic, Inc.   USFF +0.250%   Weekly   MS   08/27/24   2,320   167,924   180,867   17,044
Humana, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,223   488,898   424,039   (50,846)
IDEXX Laboratories, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,275   683,082   688,411   21,961
Lantheus Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,874   209,198   241,118   37,025
The accompanying notes are an integral part of the financial statements.
97

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
LeMaitre Vascular, Inc.   USFF +0.250%   Weekly   MS   01/12/29   191   $ 12,789   $ 12,675   $ 245
McKesson Corp.   USFF +0.250%   Weekly   MS   01/12/29   201   104,617   107,907   5,926
Medtronic PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   9,335   787,776   813,545   51,537
Molina Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/10/28   743   259,427   305,247   52,278
National HealthCare Corp.   USFF +0.250%   Weekly   MS   01/12/29   116   10,796   10,963   507
Omnicell, Inc.   USFF +0.250%   Weekly   MS   07/11/28   942   30,342   27,535   (2,515)
Owens & Minor, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,193   149,484   199,318   53,487
Penumbra, Inc.   USFF +0.250%   Weekly   MS   01/12/29   305   69,431   68,070   344
Phreesia, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,112   96,990   98,400   3,681
Privia Health Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   6,556   145,686   128,432   (13,694)
Quest Diagnostics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,950   248,044   259,565   17,949
ResMed, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,302   426,058   455,865   41,315
Select Medical Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   827   23,135   24,934   2,378
Teleflex, Inc.   USFF +0.250%   Weekly   MS   01/12/29   236   53,117   53,376   1,587
Tenet Healthcare Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,435   128,122   150,833   28,022
UFP Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   201   25,166   50,692   27,416
UnitedHealth Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   611   310,074   302,262   (1,042)
Zimmer Biomet Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,160   260,920   285,077   31,508
                    138,049   10,919,306   11,897,584   1,282,958
Household & Personal Products                            
BellRing Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,913   590,934   644,194   67,651
Clorox Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   2,179   334,517   333,627   6,798
Colgate-Palmolive Co.   USFF +0.250%   Weekly   MS   07/11/28   6,519   517,983   587,036   84,365
Coty, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   8,473   99,179   101,337   4,587
elf Beauty, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2   177   392   236
Estee Lauder Cos., Inc. (The), Class A   USFF +0.250%   Weekly   MS   01/12/29   440   61,858   67,826   7,322
Kenvue, Inc.   USFF +0.250%   Weekly   MS   07/11/28   16,723   326,408   358,876   45,533
Kimberly-Clark Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,861   482,379   499,420   52,324
Procter & Gamble Co. (The)   USFF +0.250%   Weekly   MS   08/27/24   2,155   303,686   349,649   85,619
Reynolds Consumer Products, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,245   35,954   35,557   528
The accompanying notes are an integral part of the financial statements.
98

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Household & Personal Products —
(continued) 		                           
Spectrum Brands Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   261   $ 15,947   $ 23,232   $ 7,792
WD-40 Co.   USFF +0.250%   Weekly   MS   07/11/28   442   114,457   111,963   324
                    53,213   2,883,479   3,113,109   363,079
Materials                            
Alamos Gold, Inc., Class A (Canada)   USFF +0.250%   Weekly   MS   01/10/28   24,910   295,670   367,423   83,870
Alpha Metallurgical Resources, Inc.   USFF +0.250%   Weekly   MS   01/07/27   649   203,939   214,929   15,977
Amcor PLC (Jersey)   USFF +0.250%   Weekly   MS   07/11/28   19,565   176,344   186,063   19,171
AptarGroup, Inc.   USFF +0.250%   Weekly   MS   01/12/29   975   136,205   140,293   7,417
Arch Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   148   23,694   23,797   696
Avient Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,913   64,091   83,024   22,962
Axalta Coating Systems Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   3,681   107,862   126,590   23,293
Balchem Corp.   USFF +0.250%   Weekly   MS   01/12/29   113   17,487   17,509   464
Ball Corp.   USFF +0.250%   Weekly   MS   07/08/27   5,221   261,857   351,687   100,137
Berry Global Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,043   178,100   184,041   11,890
Cabot Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,366   100,827   125,945   28,529
Carpenter Technology Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,621   298,694   330,032   40,282
Celanese Corp.   USFF +0.250%   Weekly   MS   01/12/29   2,309   361,206   396,825   44,422
CF Industries Holdings, Inc.   USFF +0.250%   Weekly   MS   08/27/24   4,266   266,997   354,974   107,234
Cleveland-Cliffs, Inc.   USFF +0.250%   Weekly   MS   07/11/28   50,456   807,611   1,147,369   365,051
Crown Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,220   97,939   96,697   1,524
Dow, Inc.   USFF +0.250%   Weekly   MS   01/12/29   58   3,363   3,360   95
Eastman Chemical Co.   USFF +0.250%   Weekly   MS   07/11/28   2,223   170,456   222,789   60,293
Ecolab, Inc.   USFF +0.250%   Weekly   MS   07/11/28   230   37,844   53,107   16,435
Fortuna Silver Mines, Inc. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   43,889   143,008   163,706   24,193
Freeport-McMoRan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,926   153,153   184,601   36,843
Hawkins, Inc.   USFF +0.250%   Weekly   MS   01/10/28   154   7,789   11,827   4,313
HB Fuller Co.   USFF +0.250%   Weekly   MS   01/10/28   1,501   104,302   119,690   18,253
Innospec, Inc.   USFF +0.250%   Weekly   MS   01/10/28   399   39,324   51,447   13,494
International Flavors & Fragrances, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,704   209,410   232,517   31,134
International Paper Co.   USFF +0.250%   Weekly   MS   01/10/28   2,129   71,266   83,074   15,592
Knife River Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,260   82,880   102,161   21,313
Koppers Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   278   14,899   15,337   820
Linde PLC (Ireland)   USFF +0.250%   Weekly   MS   08/27/24   1,379   525,293   640,297   142,884
The accompanying notes are an integral part of the financial statements.
99

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
LyondellBasell Industries NV, Class A (Netherlands)   USFF +0.250%   Weekly   MS   07/11/28   2,903   $ 262,049   $ 296,919   $ 46,766
Martin Marietta Materials, Inc.   USFF +0.250%   Weekly   MS   08/27/24   260   106,524   159,624   63,349
Metallus, Inc.   USFF +0.250%   Weekly   MS   01/12/29   12   264   267   26
Minerals Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,158   69,191   87,174   19,784
NewMarket Corp.   USFF +0.250%   Weekly   MS   01/07/27   379   196,171   240,521   50,788
Nucor Corp.   USFF +0.250%   Weekly   MS   08/27/24   1,245   179,015   246,386   79,027
Packaging Corp. of America   USFF +0.250%   Weekly   MS   07/08/27   913   129,110   173,269   51,958
PPG Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,770   239,538   256,473   24,008
Quaker Chemical Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,186   223,375   243,427   26,080
Royal Gold, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,174   236,489   264,815   34,238
RPM International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,063   99,640   126,444   30,525
Scotts Miracle-Gro Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,653   308,728   421,657   128,171
Sealed Air Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,197   42,141   44,528   4,418
Sherwin-Williams Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   850   228,373   295,231   73,274
SilverCrest Metals, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   98   645   653   39
Sonoco Products Co.   USFF +0.250%   Weekly   MS   01/12/29   107   6,099   6,189   255
Summit Materials, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   542   22,735   24,157   1,991
Taseko Mines Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   141   304   306   25
Vulcan Materials Co.   USFF +0.250%   Weekly   MS   01/10/28   600   135,205   163,752   32,473
Warrior Met Coal, Inc.   USFF +0.250%   Weekly   MS   07/08/27   474   15,803   28,772   13,946
West Fraser Timber Co. Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   1   85   86   27
Westrock Co.   USFF +0.250%   Weekly   MS   01/12/29   2,071   89,702   102,411   15,106
Worthington Steel, Inc.   USFF +0.250%   Weekly   MS   01/12/29   30   1,080   1,076   38
                    209,413   7,553,776   9,215,248   1,954,893
Media & Entertainment                            
Alphabet, Inc., Class A   USFF +0.250%   Weekly   MS   08/27/24   14,192   1,632,547   2,141,999   592,195
Angi, Inc.   USFF +0.250%   Weekly   MS   01/12/29   66   173   173   21
Bumble, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   6,815   117,956   77,350   (41,765)
Cable One, Inc.   USFF +0.250%   Weekly   MS   07/11/28   137   73,028   57,969   (12,765)
Charter Communications, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   191   58,356   55,510   (1,410)
The accompanying notes are an integral part of the financial statements.
100

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Cinemark Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   14,979   $ 175,959   $ 269,173   $ 97,510
Clear Channel Outdoor Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,858   6,604   6,366   (61)
Comcast Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   19,415   753,508   841,640   134,134
Electronic Arts, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,262   668,258   698,110   47,502
Getty Images Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   41   168   170   23
Grindr, Inc.   USFF +0.250%   Weekly   MS   01/12/29   55   545   557   42
Interpublic Group of Cos., Inc. (The)   USFF +0.250%   Weekly   MS   08/27/24   7,055   204,319   230,205   42,252
Match Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,043   176,014   182,960   11,244
Meta Platforms, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   3,879   599,364   1,883,565   1,300,639
Netflix, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,556   743,320   945,005   219,782
News Corp., Class A   USFF +0.250%   Weekly   MS   08/27/24   3,925   94,423   102,757   11,454
Omnicom Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   711   62,073   68,796   10,093
Sirius XM Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   35,033   141,390   135,928   (2,006)
Spotify Technology SA (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   1,514   382,216   399,545   25,983
TripAdvisor, Inc.   USFF +0.250%   Weekly   MS   01/12/29   11,111   298,684   308,775   17,459
Vimeo, Inc.   USFF +0.250%   Weekly   MS   01/10/28   13,302   53,617   54,405   2,109
Walt Disney Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   6,418   556,636   785,306   245,356
Warner Music Group Corp., Class A   USFF +0.250%   Weekly   MS   01/12/29   2,218   72,683   73,238   2,340
Yelp, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,212   223,580   205,353   (13,309)
ZipRecruiter, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   3,369   44,460   38,710   (4,652)
ZoomInfo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7,704   121,465   123,495   5,001
                    173,061   7,261,346   9,687,060   2,689,171
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbbVie, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,393   785,549   799,965   33,642
ADMA Biologics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,351   39,175   41,917   3,745
Agilent Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,778   565,282   695,247   145,776
Alkermes PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   19,449   566,049   526,484   (25,781)
Alpine Immune Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,468   56,447   58,192   3,134
Amgen, Inc.   USFF +0.250%   Weekly   MS   01/10/28   143   31,129   40,658   11,233
Amneal Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,050   28,527   30,603   2,786
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Amphastar Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,680   $ 193,490   $ 161,589   $ (27,232)
ANI Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,439   83,476   99,478   18,049
Ardelyx, Inc.   USFF +0.250%   Weekly   MS   01/10/28   22,487   88,865   164,155   85,277
Azenta, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,267   208,727   196,935   (7,255)
Beam Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,547   96,320   84,153   (9,807)
Bio-Rad Laboratories, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   626   185,924   216,515   35,130
Bristol-Myers Squibb Co.   USFF +0.250%   Weekly   MS   07/11/28   25,897   1,345,712   1,404,394   91,215
Collegium Pharmaceutical, Inc.   USFF +0.250%   Weekly   MS   01/10/28   7,237   193,147   280,940   92,508
Corcept Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,584   58,213   65,091   8,611
Danaher Corp.   USFF +0.250%   Weekly   MS   01/12/29   78   19,485   19,478   591
EyePoint Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,163   115,949   106,719   (8,511)
Gilead Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,125   461,674   448,656   1,397
Halozyme Therapeutics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,320   79,187   94,378   18,927
Harmony Biosciences Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   9,683   313,587   325,155   19,123
ImmunityBio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,763   21,699   20,207   (948)
Incyte Corp.   USFF +0.250%   Weekly   MS   07/11/28   8,941   494,394   509,369   27,017
IQVIA Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,429   303,838   361,380   65,340
Ironwood Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   933   8,065   8,126   274
Johnson & Johnson   USFF +0.250%   Weekly   MS   08/27/24   7,660   1,179,918   1,211,735   120,727
Merck & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,950   660,114   785,103   151,950
Mettler-Toledo International, Inc.   USFF +0.250%   Weekly   MS   01/07/27   278   302,164   370,099   75,301
Natera, Inc.   USFF +0.250%   Weekly   MS   01/12/29   210   18,886   19,207   794
Nurix Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   74   1,023   1,088   106
Nuvation Bio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   41   154   149   15
QIAGEN NV (Netherlands)   USFF +0.250%   Weekly   MS   01/12/29   318   13,574   13,671   444
Rhythm Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,285   31,551   55,679   24,912
The accompanying notes are an integral part of the financial statements.
102

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Scholar Rock Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   92   $ 1,491   $ 1,634   $ 195
Spyre Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7   259   266   29
Taysha Gene Therapies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   24   73   69   3
Thermo Fisher Scientific, Inc.   USFF +0.250%   Weekly   MS   01/12/29   538   295,002   312,691   25,236
Twist Bioscience Corp.   USFF +0.250%   Weekly   MS   01/10/28   6,363   173,498   218,315   48,927
United Therapeutics Corp.   USFF +0.250%   Weekly   MS   07/11/28   199   42,995   45,714   5,225
Vera Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   25   443   1,078   662
Viatris, Inc.   USFF +0.250%   Weekly   MS   07/08/27   12,828   142,021   153,166   19,251
Waters Corp.   USFF +0.250%   Weekly   MS   01/12/29   115   39,773   39,586   797
WaVe Life Sciences Ltd. (Singapore)   USFF +0.250%   Weekly   MS   01/12/29   173   1,005   1,067   103
                    186,011   9,247,854   9,990,101   1,058,918
Semiconductors & Semiconductor
Equipment 		                           
Advanced Micro Devices, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,724   1,108,936   1,394,105   312,159
Amkor Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,986   152,043   160,749   12,759
Applied Materials, Inc.   USFF +0.250%   Weekly   MS   08/27/24   5,981   801,793   1,233,462   465,464
Axcelis Technologies, Inc.   USFF +0.250%   Weekly   MS   08/27/24   841   97,307   93,788   (1,215)
Broadcom, Inc.   USFF +0.250%   Weekly   MS   08/27/24   432   385,529   572,577   220,100
Entegris, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,711   229,720   240,464   16,546
GLOBALFOUNDRIES, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   01/12/29   5,284   282,836   275,349   (591)
Ichor Holdings Ltd. (Cayman Islands)   USFF +0.250%   Weekly   MS   01/12/29   12   464   463   27
KLA Corp.   USFF +0.250%   Weekly   MS   07/11/28   523   283,540   365,352   90,160
Lam Research Corp.   USFF +0.250%   Weekly   MS   07/08/27   386   193,065   375,026   190,468
Microchip Technology, Inc.   USFF +0.250%   Weekly   MS   01/07/27   5,616   355,923   503,811   170,758
Micron Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,470   515,542   526,968   24,457
Monolithic Power Systems, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,335   793,511   904,356   132,324
NVIDIA Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,903   996,228   2,623,035   1,651,444
NXP Semiconductors NV (Netherlands)   USFF +0.250%   Weekly   MS   01/07/27   2,787   445,292   690,535   268,166
The accompanying notes are an integral part of the financial statements.
103

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
ON Semiconductor Corp.   USFF +0.250%   Weekly   MS   01/12/29   4,632   $ 367,234   $ 340,684   $ (17,601)
Photronics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   11,385   202,374   322,423   124,988
Qorvo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6,520   742,175   748,692   24,586
QUALCOMM, Inc.   USFF +0.250%   Weekly   MS   01/10/28   10,198   1,351,861   1,726,521   425,450
Skyworks Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   6,725   663,220   728,452   87,958
SMART Global Holdings, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   5,094   111,306   134,074   25,491
                    89,545   10,079,899   13,960,886   4,223,898
Software & Services                            
Accenture PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   3,302   1,044,582   1,144,506   132,763
Adobe, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,644   1,185,716   1,334,162   177,304
Amdocs Ltd. (Guernsey)   USFF +0.250%   Weekly   MS   01/12/29   813   73,442   73,471   2,167
Appfolio, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,022   231,040   252,168   27,245
Bitfarms Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   173,299   407,824   386,457   (11,431)
Blackbaud, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,571   119,848   116,474   (589)
Box, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   3,567   101,338   101,017   2,161
Cadence Design Systems, Inc.   USFF +0.250%   Weekly   MS   01/10/28   861   185,743   268,012   86,374
CGI, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   124   13,686   13,701   364
Crowdstrike Holdings, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   188   31,248   60,271   29,799
Docebo, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   154   7,974   7,543   (221)
DXC Technology Co.   USFF +0.250%   Weekly   MS   07/11/28   7,253   160,794   153,836   (3,108)
Enfusion, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   306   2,809   2,831   106
EverCommerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   36   322   339   41
Fortinet, Inc.   USFF +0.250%   Weekly   MS   08/27/24   8,059   553,796   550,510   10,201
Gen Digital, Inc.   USFF +0.250%   Weekly   MS   07/08/27   17,300   323,300   387,520   79,364
Gitlab, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   948   45,199   55,287   11,204
Globant SA (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   658   139,065   132,850   (2,815)
GoDaddy, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   820   89,573   97,318   12,206
Guidewire Software, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,619   177,309   188,953   15,974
Hackett Group, Inc. (The)   USFF +0.250%   Weekly   MS   01/12/29   4   97   97   28
Informatica, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   4,776   154,070   167,160   16,966
InterDigital, Inc.   USFF +0.250%   Weekly   MS   08/27/24   3,403   282,852   362,283   92,051
The accompanying notes are an integral part of the financial statements.
104

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
International Business Machines Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,422   $ 334,677   $ 462,505   $ 148,452
JFrog Ltd. (Israel)   USFF +0.250%   Weekly   MS   07/11/28   7,481   275,864   330,810   61,672
Kyndryl Holdings, Inc.   USFF +0.250%   Weekly   MS   07/06/26   2,551   39,446   55,510   17,040
LiveRamp Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,515   163,814   155,768   (4,045)
Manhattan Associates, Inc.   USFF +0.250%   Weekly   MS   07/11/28   199   40,624   49,796   10,176
MeridianLink, Inc.   USFF +0.250%   Weekly   MS   01/12/29   174   3,160   3,254   187
Microsoft Corp.   USFF +0.250%   Weekly   MS   08/27/24   3,517   885,857   1,479,672   637,880
N-able, Inc.   USFF +0.250%   Weekly   MS   01/12/29   98   1,281   1,281   47
NCR Corp.   USFF +0.250%   Weekly   MS   07/08/27   16,121   234,153   203,608   (25,474)
NextNav, Inc.   USFF +0.250%   Weekly   MS   01/12/29   211   1,409   1,388   30
Nutanix, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   6,522   212,421   402,538   195,300
Okta, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,802   624,607   607,005   (2,392)
Oracle Corp.   USFF +0.250%   Weekly   MS   08/27/24   11,383   1,131,387   1,429,819   360,754
Palantir Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   26,919   580,669   619,406   53,380
Palo Alto Networks, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,242   701,248   921,149   236,975
Pegasystems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,617   168,476   169,163   4,878
Q2 Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,365   135,759   176,864   44,424
Qualys, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,739   263,916   290,187   32,707
Roper Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   344   188,812   192,929   8,726
Salesforce, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,911   734,426   1,177,915   462,736
Samsara, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   11,150   300,302   421,359   130,406
ServiceNow, Inc.   USFF +0.250%   Weekly   MS   08/27/24   1,799   1,091,018   1,371,558   307,094
SolarWinds Corp.   USFF +0.250%   Weekly   MS   01/12/29   48   596   606   41
SPS Commerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   404   74,815   74,700   1,721
Squarespace, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   849   23,653   30,938   7,876
Synopsys, Inc.   USFF +0.250%   Weekly   MS   01/12/29   181   101,671   103,442   4,260
UiPath, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   7,705   129,235   174,672   48,372
Verint Systems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   85   2,834   2,818   69
VeriSign, Inc.   USFF +0.250%   Weekly   MS   07/06/26   1,606   310,406   304,353   1,514
Workday, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   638   170,722   174,015   5,199
Yext, Inc.   USFF +0.250%   Weekly   MS   07/08/27   13,271   100,375   80,024   (17,893)
Zoom Video Communications, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   9,888   648,713   646,379   13,462
Zuora, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   3,884   34,653   35,422   1,591
                    387,368   15,042,626   18,007,619   3,425,319
Technology Hardware & Equipment                            
Amphenol Corp., Class A   USFF +0.250%   Weekly   MS   07/11/28   3,974   411,305   458,401   57,959
The accompanying notes are an integral part of the financial statements.
105

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
Apple, Inc.   USFF +0.250%   Weekly   MS   08/27/24   22,591   $ 3,799,975   $ 3,873,905   $ 199,400
Arlo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,413   52,742   55,824   4,382
Arrow Electronics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,571   185,585   203,382   23,205
Badger Meter, Inc.   USFF +0.250%   Weekly   MS   07/08/27   464   64,403   75,080   13,341
Bel Fuse, Inc., Class B   USFF +0.250%   Weekly   MS   07/11/28   1,728   88,168   104,216   18,219
CDW Corp.   USFF +0.250%   Weekly   MS   01/07/27   1,012   193,365   258,849   72,007
Ciena Corp.   USFF +0.250%   Weekly   MS   01/12/29   12,248   628,723   605,664   (7,750)
Cisco Systems, Inc.   USFF +0.250%   Weekly   MS   08/27/24   19,614   905,354   978,935   153,003
Crane NXT Co.   USFF +0.250%   Weekly   MS   07/11/28   297   11,849   18,384   8,914
Extreme Networks, Inc.   USFF +0.250%   Weekly   MS   07/06/26   17,520   366,106   202,181   (156,608)
F5, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,773   469,753   525,733   67,423
Fabrinet (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   468   76,801   88,461   13,545
Hewlett Packard Enterprise Co.   USFF +0.250%   Weekly   MS   08/27/24   26,439   402,327   468,763   94,123
HP, Inc.   USFF +0.250%   Weekly   MS   08/27/24   19,297   403,106   583,155   263,162
Insight Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/10/28   902   112,040   167,339   58,040
Itron, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,692   232,722   249,064   22,019
Jabil, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,856   339,811   382,561   51,189
Keysight Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,413   214,831   220,965   11,376
Littelfuse, Inc.   USFF +0.250%   Weekly   MS   01/12/29   649   155,724   157,285   5,630
Motorola Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   505   157,880   179,265   27,928
Napco Security Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,312   59,940   92,850   34,806
NetApp, Inc.   USFF +0.250%   Weekly   MS   08/27/24   3,614   294,912   379,362   115,957
NetScout Systems, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,331   130,782   94,589   (33,003)
PC Connection, Inc.   USFF +0.250%   Weekly   MS   01/12/29   144   9,380   9,494   358
Rogers Corp.   USFF +0.250%   Weekly   MS   01/12/29   195   21,777   23,145   1,979
Seagate Technology Holdings PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   4,275   273,810   397,789   140,788
Super Micro Computer, Inc.   USFF +0.250%   Weekly   MS   01/10/28   588   228,667   593,898   370,809
TD SYNNEX Corp.   USFF +0.250%   Weekly   MS   07/11/28   506   54,187   57,229   4,664
TE Connectivity Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   1,071   132,303   155,552   28,400
Vontier Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,415   81,421   109,544   30,530
Western Digital Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,494   204,641   306,671   107,024
Xerox Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   52   927   931   43
                    167,423   10,765,317   12,078,466   1,802,862
The accompanying notes are an integral part of the financial statements.
106

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Telecommunication Services                            
Anterix, Inc.   USFF +0.250%   Weekly   MS   01/12/29   307   $ 11,248   $ 10,318   $ (640)
AT&T, Inc.   USFF +0.250%   Weekly   MS   01/10/28   17,256   264,228   303,706   50,016
Iridium Communications, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,473   147,967   117,014   (26,940)
Lumen Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   906   1,429   1,413   (1,491)
TELUS Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   4,631   80,434   74,142   (3,494)
T-Mobile US, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,788   532,762   618,277   102,300
Verizon Communications, Inc.   USFF +0.250%   Weekly   MS   07/08/27   10,099   370,446   423,754   77,812
                    41,460   1,408,514   1,548,624   197,563
Transportation                            
ArcBest Corp.   USFF +0.250%   Weekly   MS   08/27/24   3   279   428   176
CH Robinson Worldwide, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,015   75,368   77,282   3,764
CSX Corp.   USFF +0.250%   Weekly   MS   08/27/24   15,020   481,580   556,791   95,246
Delta Air Lines, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,857   390,318   567,595   187,929
FedEx Corp.   USFF +0.250%   Weekly   MS   01/10/28   2,149   497,692   622,651   159,925
Forward Air Corp.   USFF +0.250%   Weekly   MS   01/12/29   5,376   183,146   167,247   (11,427)
FTAI Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/12/29   179   1,077   1,124   94
GXO Logistics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,290   126,318   123,110   (970)
Old Dominion Freight Line, Inc.   USFF +0.250%   Weekly   MS   01/05/26   1,020   200,767   223,696   28,431
Ryder System, Inc.   USFF +0.250%   Weekly   MS   07/08/27   8   624   962   392
Saia, Inc.   USFF +0.250%   Weekly   MS   01/12/29   98   55,397   57,330   3,295
SkyWest, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,813   165,618   263,402   102,574
Uber Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,489   278,355   345,608   74,041
Union Pacific Corp.   USFF +0.250%   Weekly   MS   07/11/28   616   148,152   151,493   8,290
XPO, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2   101   244   162
                    47,935   2,604,792   3,158,963   651,922
Utilities                            
ALLETE, Inc.   USFF +0.250%   Weekly   MS   01/10/28   7,267   406,789   433,404   46,581
American Water Works Co., Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,251   170,108   152,885   (10,619)
Atmos Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   418   47,890   49,688   2,998
Black Hills Corp.   USFF +0.250%   Weekly   MS   07/11/28   9,212   479,070   502,975   43,674
Consolidated Edison, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,869   166,991   169,724   6,811
Constellation Energy Corp.   USFF +0.250%   Weekly   MS   08/27/24   3,971   386,223   734,039   370,108
Duke Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   12,049   1,103,587   1,165,259   94,459
Fortis, Inc. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   2,500   101,003   98,775   1,253
The accompanying notes are an integral part of the financial statements.
107

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
New Jersey Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,154   $ 47,844   $ 49,518   $ 3,339
NRG Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   11,856   601,908   802,533   219,032
ONE Gas, Inc.   USFF +0.250%   Weekly   MS   07/11/28   957   57,258   61,755   6,738
Public Service Enterprise Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,800   355,249   387,324   45,052
Southwest Gas Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,953   139,124   148,682   13,049
Spire, Inc.   USFF +0.250%   Weekly   MS   07/11/28   593   35,924   36,392   2,225
TransAlta Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,941   14,448   12,481   (1,536)
Vistra Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,333   149,092   371,443   229,891
                    68,124   4,262,508   5,176,877   1,073,055
Total Reference Entity — Long           152,106,221   182,288,125   35,837,602
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Short                                
Automobiles & Components                            
Dana, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,269)   $ (109,925)   $ (105,016)   $ 1,683
Dorman Products, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (510)   (55,705)   (49,159)   5,872
Fox Factory Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,606)   (229,085)   (239,834)   (15,146)
Mobileye Global, Inc., Class A   USFF -0.580%   Weekly   MS   07/11/28   (14,447)   (439,768)   (464,471)   (40,962)
Phinia, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,718)   (205,447)   (219,743)   (18,344)
QuantumScape Corp.   USFF -0.830%   Weekly   MS   07/11/28   (40,373)   (254,872)   (253,946)   (3,990)
Rivian Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (22,216)   (244,480)   (243,265)   (3,477)
Standard Motor Products, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (62)   (2,067)   (2,080)   (29)
Tesla, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,376)   (439,239)   (417,677)   14,199
Thor Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,499)   (272,416)   (293,233)   (26,048)
Winnebago Industries, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (759)   (53,662)   (56,166)   (5,003)
XPEL, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (207)   (11,179)   (11,182)   (202)
                    (102,042)   (2,317,845)   (2,355,772)   (91,447)
Capital Goods                            
3D Systems Corp.   USFF -0.267%   Weekly   MS   07/08/27   (47,970)   (345,073)   (212,987)   125,456
AAON, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,567)   (488,005)   (578,553)   (102,950)
AeroVironment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,803)   (479,792)   (582,924)   (117,569)
AGCO Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,831)   (208,583)   (225,250)   (20,667)
Albany International Corp., Class A   USFF -0.250%   Weekly   MS   01/10/28   (4,992)   (461,791)   (466,802)   (17,777)
Allegion PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (634)   (82,325)   (85,406)   (7,678)
The accompanying notes are an integral part of the financial statements.
108

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Allison Transmission Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,090)   $ (67,314)   $ (88,464)   $ (23,738)
Ameresco, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (14,819)   (580,465)   (357,582)   211,383
Archer Aviation, Inc., Class A   USFF -10.639%   Weekly   MS   07/11/28   (32,642)   (168,368)   (150,806)   14,336
Arcosa, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,904)   (467,677)   (506,917)   (48,232)
Argan, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (91)   (4,585)   (4,599)   (87)
Astronics Corp.   USFF -0.250%   Weekly   MS   01/12/29   (33)   (613)   (628)   (11)
Atkore, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,418)   (207,594)   (269,930)   (66,772)
Axon Enterprise, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (168)   (50,110)   (52,564)   (3,402)
Ballard Power Systems, Inc. (Canada)   USFF -1.244%   Weekly   MS   01/05/26   (78,971)   (869,052)   (219,539)   632,818
Barnes Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,619)   (177,917)   (208,746)   (35,687)
Bloom Energy Corp., Class A   USFF -0.780%   Weekly   MS   01/12/29   (16,453)   (155,309)   (184,932)   (32,598)
CAE, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (2,222)   (44,564)   (45,862)   (2,141)
ChargePoint Holdings, Inc.   USFF -16.768%   Weekly   MS   01/10/28   (108,785)   (444,404)   (206,692)   229,148
Construction Partners, Inc., Class A   USFF -0.250%   Weekly   MS   01/05/26   (3,923)   (175,223)   (220,276)   (48,412)
Dycom Industries, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,103)   (235,001)   (301,844)   (75,457)
Encore Wire Corp.   USFF -0.250%   Weekly   MS   01/12/29   (592)   (138,301)   (155,566)   (19,912)
Energy Recovery, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,261)   (60,421)   (35,701)   23,572
Enovix Corp.   USFF -1.330%   Weekly   MS   07/11/28   (18,572)   (197,034)   (148,762)   44,494
ESCO Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (566)   (62,173)   (60,590)   323
Fluor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (18,567)   (706,846)   (785,013)   (91,765)
GATX Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,595)   (312,111)   (347,808)   (46,120)
GMS, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (716)   (62,908)   (69,695)   (7,983)
Granite Construction, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,912)   (78,928)   (109,233)   (32,982)
Hayward Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,389)   (87,482)   (97,816)   (12,002)
Helios Technologies, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,030)   (273,498)   (224,791)   42,505
Herc Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (2,249)   (280,426)   (378,507)   (114,774)
Hexcel Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,968)   (213,928)   (216,219)   (6,902)
Hillenbrand, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,384)   (70,456)   (69,601)   (2,406)
JELD-WEN Holding, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (4,747)   (126,122)   (100,779)   23,045
John Bean Technologies Corp.   USFF -0.250%   Weekly   MS   01/10/28   (699)   (81,087)   (73,318)   5,997
Johnson Controls International PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (5,880)   (375,133)   (384,082)   (17,906)
The accompanying notes are an integral part of the financial statements.
109

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Kratos Defense & Security Solutions, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (4,225)   $ (104,967)   $ (77,656)   $ 27,754
Masonite International Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (3,589)   (467,250)   (471,774)   (13,749)
MasTec, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (332)   (35,240)   (30,959)   5,452
Mercury Systems, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (13,857)   (774,626)   (408,782)   350,941
Moog, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,169)   (134,570)   (186,631)   (56,077)
MRC Global, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (7,757)   (86,578)   (97,505)   (13,061)
Mueller Water Products, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (6,793)   (91,269)   (109,299)   (23,982)
MYR Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,549)   (528,815)   (627,286)   (108,640)
Nordson Corp.   USFF -0.250%   Weekly   MS   07/11/28   (680)   (178,680)   (186,687)   (13,700)
Northrop Grumman Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,512)   (1,131,819)   (1,202,394)   (93,438)
nVent Electric PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (1,742)   (130,033)   (131,347)   (3,802)
Plug Power, Inc.   USFF -2.972%   Weekly   MS   01/10/28   (67,483)   (443,779)   (232,142)   202,372
Primoris Services Corp.   USFF -0.250%   Weekly   MS   07/06/26   (3,617)   (98,167)   (153,976)   (59,820)
Rocket Lab USA, Inc.   USFF -0.718%   Weekly   MS   07/11/28   (64,506)   (276,670)   (265,120)   6,238
Rockwell Automation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,664)   (1,305,663)   (1,358,763)   (83,071)
Rush Enterprises, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (11,974)   (518,576)   (640,848)   (135,662)
Sensata Technologies Holding PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/12/29   (31,550)   (1,083,983)   (1,159,147)   (96,843)
Simpson Manufacturing Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,166)   (244,208)   (239,240)   142
SiteOne Landscape Supply, Inc.   USFF +0.250%   Weekly   MS   07/06/26   (2,750)   (413,054)   (480,013)   (77,220)
Standex International Corp.   USFF -0.250%   Weekly   MS   01/12/29   (481)   (85,125)   (87,648)   (4,146)
Stratasys Ltd. (Israel)   USFF -1.080%   Weekly   MS   07/11/28   (9,977)   (122,323)   (115,933)   4,047
Sunrun, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (23,532)   (372,916)   (310,152)   55,598
Symbotic, Inc.   USFF -3.980%   Weekly   MS   01/12/29   (2,906)   (118,162)   (130,770)   (15,247)
Thermon Group Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,828)   (51,989)   (59,812)   (8,808)
Timken Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (11,011)   (915,204)   (962,692)   (67,027)
Titan Machinery, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (4,314)   (134,056)   (107,030)   24,506
Toro Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (8,092)   (716,260)   (741,470)   (43,176)
Triumph Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (244)   (3,704)   (3,670)   (21)
The accompanying notes are an integral part of the financial statements.
110

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
WESCO International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,628)   $ (590,211)   $ (621,404)   $ (43,183)
WillScot Mobile Mini Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (25,276)   (1,076,683)   (1,175,334)   (130,631)
Xometry, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (7,691)   (220,389)   (129,901)   86,259
                    (748,060)   (21,295,588)   (20,734,169)   69,152
Commercial & Professional
Services 		                           
ABM Industries, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,786)   (84,996)   (79,691)   3,549
CACI International, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,617)   (581,833)   (612,568)   (42,530)
Casella Waste Systems, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (5,480)   (449,916)   (541,808)   (101,479)
CBIZ, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,221)   (124,197)   (174,349)   (53,661)
Clarivate PLC (Jersey)   USFF -0.250%   Weekly   MS   07/11/28   (22,708)   (187,687)   (168,720)   15,223
Clean Harbors, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (970)   (177,134)   (195,271)   (21,671)
Concentrix Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,354)   (435,995)   (354,542)   73,072
Dayforce, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,442)   (319,424)   (294,105)   19,287
Driven Brands Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (14,135)   (267,258)   (223,192)   38,935
Exponent, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,678)   (598,099)   (552,204)   30,387
FTI Consulting, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (411)   (82,646)   (86,429)   (6,454)
GFL Environmental, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (18,001)   (580,894)   (621,034)   (53,617)
Insperity, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (970)   (103,461)   (106,322)   (4,838)
KBR, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (53)   (3,381)   (3,374)   (42)
Kforce, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (826)   (51,547)   (58,250)   (9,247)
Matthews International Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (80)   (2,378)   (2,486)   (138)
NV5 Global, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (241)   (23,705)   (23,620)   (356)
Paychex, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,174)   (266,938)   (266,967)   (7,696)
Paycom Software, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,720)   (563,607)   (541,307)   11,093
Paylocity Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,710)   (519,250)   (465,741)   43,352
Pitney Bowes, Inc.   USFF -0.260%   Weekly   MS   01/12/29   (1,587)   (6,851)   (6,872)   (136)
RB Global, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (7,278)   (479,331)   (554,365)   (94,889)
Rollins, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,643)   (169,236)   (168,562)   (2,264)
Stericycle, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,836)   (397,567)   (413,349)   (23,480)
Thomson Reuters Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (880)   (138,800)   (137,130)   (1,711)
TransUnion   USFF -0.250%   Weekly   MS   07/11/28   (3,366)   (235,057)   (268,607)   (44,903)
UniFirst Corp.   USFF -0.250%   Weekly   MS   07/06/26   (658)   (134,438)   (114,117)   16,976
Upwork, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (17,334)   (220,277)   (212,515)   3,536
The accompanying notes are an integral part of the financial statements.
111

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Verra Mobility Corp.   USFF -0.250%   Weekly   MS   07/11/28   (14,338)   $ (325,236)   $ (358,020)   $ (39,032)
Viad Corp.   USFF -0.250%   Weekly   MS   01/12/29   (7)   (278)   (276)   13
                    (150,504)   (7,531,417)   (7,605,793)   (252,721)
Consumer Discretionary
Distribution & Retail 		                           
Advance Auto Parts, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,378)   (263,211)   (117,254)   142,362
Asbury Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,436)   (323,078)   (338,580)   (23,110)
AutoNation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,627)   (387,781)   (434,979)   (55,634)
Boot Barn Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (863)   (78,069)   (82,114)   (5,929)
Buckle, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (2,783)   (128,037)   (112,071)   5,187
Burlington Stores, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,948)   (873,900)   (916,686)   (59,601)
Caleres, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,867)   (102,519)   (158,663)   (59,883)
Chewy, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (34,112)   (539,707)   (542,722)   (13,393)
Designer Brands, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,075)   (11,732)   (11,750)   (266)
Dillard's, Inc., Class A   USFF -0.680%   Weekly   MS   07/11/28   (211)   (87,556)   (99,516)   (14,490)
Five Below, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,768)   (570,172)   (502,060)   65,626
Floor & Decor Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,635)   (194,747)   (211,929)   (20,916)
Foot Locker, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (10,246)   (368,297)   (292,011)   59,858
Group 1 Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (106)   (30,270)   (30,976)   (1,095)
Leslie's, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (990)   (30,133)   (6,435)   42,330
Lithia Motors, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (241)   (71,245)   (72,507)   (2,722)
Lowe's Cos., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (843)   (207,638)   (214,737)   (12,164)
MarineMax, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,886)   (203,864)   (229,028)   (29,075)
Ollie's Bargain Outlet Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,040)   (239,918)   (241,893)   (7,848)
O'Reilly Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (711)   (793,319)   (802,634)   (27,679)
Penske Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,783)   (453,501)   (450,818)   (9,507)
Petco Health & Wellness Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (976)   (2,173)   (2,225)   (78)
RH   USFF -0.250%   Weekly   MS   07/11/28   (556)   (168,368)   (193,633)   (28,491)
Shoe Carnival, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,896)   (51,482)   (69,469)   (20,510)
Sonic Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (4,259)   (226,688)   (242,507)   (22,596)
Tractor Supply Co.   USFF -0.250%   Weekly   MS   01/12/29   (1,581)   (382,002)   (413,779)   (40,213)
Urban Outfitters, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,403)   (265,372)   (278,018)   (21,410)
The accompanying notes are an integral part of the financial statements.
112

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Victoria's Secret & Co.   USFF -0.250%   Weekly   MS   08/27/24   (4,397)   $ (198,420)   $ (85,214)   $ 128,139
Warby Parker, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (11,193)   (142,622)   (152,337)   (12,446)
                    (113,810)   (7,395,821)   (7,306,545)   (45,554)
Consumer Durables & Apparel                            
Acushnet Holdings Corp.   USFF -0.250%   Weekly   MS   01/12/29   (3,567)   (228,184)   (235,244)   (11,637)
Amer Sports, Inc. (Cayman Islands)   USFF -1.680%   Weekly   MS   01/12/29   (5,241)   (83,340)   (85,428)   (3,677)
Capri Holdings Ltd. (British Virgin Islands)   USFF -0.250%   Weekly   MS   07/11/28   (22,859)   (1,118,704)   (1,035,513)   62,296
Cavco Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (267)   (97,323)   (106,549)   (11,084)
Columbia Sportswear Co.   USFF -0.250%   Weekly   MS   01/10/28   (35)   (3,219)   (2,841)   290
Gildan Activewear, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (2,348)   (75,349)   (87,181)   (15,062)
La-Z-Boy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,965)   (72,434)   (73,923)   (3,004)
Levi Strauss & Co., Class A   USFF -0.250%   Weekly   MS   01/10/28   (33,840)   (555,162)   (676,462)   (147,200)
Oxford Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (548)   (62,729)   (61,595)   (691)
SharkNinja, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/12/29   (4,854)   (294,100)   (302,356)   (13,904)
Skyline Champion Corp.   USFF -0.250%   Weekly   MS   07/11/28   (6,241)   (471,255)   (530,547)   (69,238)
Steven Madden Ltd.   USFF -0.250%   Weekly   MS   01/12/29   (6,747)   (283,617)   (285,263)   (7,729)
Sturm Ruger & Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (880)   (39,249)   (40,612)   (2,216)
Tempur Sealy International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,150)   (111,250)   (122,163)   (14,275)
Topgolf Callaway Brands Corp.   USFF -0.250%   Weekly   MS   01/05/26   (18,839)   (507,813)   (304,627)   197,768
Whirlpool Corp.   USFF -0.250%   Weekly   MS   07/11/28   (429)   (67,714)   (51,321)   13,341
Wolverine World Wide, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (10,657)   (320,515)   (119,465)   182,447
                    (121,467)   (4,391,957)   (4,121,090)   156,425
Consumer Services                            
Airbnb, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (5,509)   (856,549)   (908,765)   (103,884)
Bloomin' Brands, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,759)   (77,222)   (79,128)   (5,604)
Carnival Corp. (Panama)   USFF -0.250%   Weekly   MS   01/12/29   (23,269)   (391,960)   (380,215)   4,211
Cheesecake Factory, Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (1,382)   (49,898)   (49,959)   (1,308)
Chegg, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (33,417)   (511,924)   (252,967)   249,113
Chipotle Mexican Grill, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (192)   (560,211)   (558,100)   (8,663)
The accompanying notes are an integral part of the financial statements.
113

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Choice Hotels International, Inc.   USFF -0.980%   Weekly   MS   01/12/29   (1,856)   $ (227,798)   $ (234,506)   $ (11,079)
Churchill Downs, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,987)   (485,131)   (493,391)   (19,200)
Coursera, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (14,338)   (216,779)   (201,019)   11,601
Dave & Buster's Entertainment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,534)   (82,837)   (96,028)   (14,819)
First Watch Restaurant Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,705)   (118,209)   (140,457)   (24,509)
Hilton Worldwide Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,403)   (672,516)   (725,894)   (67,530)
Hyatt Hotels Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (2,132)   (265,130)   (340,310)   (92,122)
Krispy Kreme, Inc.   USFF -0.880%   Weekly   MS   07/08/27   (39,831)   (549,719)   (606,825)   (71,031)
Mister Car Wash, Inc.   USFF -0.630%   Weekly   MS   01/07/27   (39,189)   (377,220)   (303,715)   66,256
Penn Entertainment, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (13,519)   (239,719)   (246,181)   (11,063)
Portillo's, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (17,176)   (342,157)   (243,556)   92,035
Red Rock Resorts, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (11,092)   (494,962)   (663,523)   (210,817)
Restaurant Brands International, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (3,149)   (250,688)   (250,188)   (7,899)
Texas Roadhouse, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,780)   (233,526)   (274,957)   (52,754)
United Parks & Resorts, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,668)   (139,002)   (149,968)   (13,627)
Wingstop, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,782)   (832,594)   (1,019,325)   (216,211)
                    (230,669)   (7,975,751)   (8,218,977)   (508,904)
Consumer Staples Distribution &
Retail 		                           
BJ's Wholesale Club Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,371)   (472,653)   (481,966)   (20,522)
Casey's General Stores, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,387)   (990,406)   (1,078,590)   (108,098)
Chefs' Warehouse, Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (5,890)   (199,684)   (221,817)   (26,229)
Dollar Tree, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,372)   (430,718)   (448,982)   (35,621)
Maplebear, Inc.   USFF -1.080%   Weekly   MS   01/12/29   (8,323)   (306,898)   (310,365)   (9,361)
PriceSmart, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,057)   (219,581)   (256,788)   (43,521)
SpartanNash Co.   USFF -0.250%   Weekly   MS   07/08/27   (7,724)   (234,480)   (156,102)   65,772
Sprouts Farmers Market, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,892)   (157,778)   (250,956)   (99,117)
United Natural Foods, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,009)   (279,268)   (103,513)   170,392
                    (51,025)   (3,291,466)   (3,309,079)   (106,305)
The accompanying notes are an integral part of the financial statements.
114

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy                            
Antero Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,544)   $ (67,946)   $ (73,776)   $ (9,303)
Atlas Energy Solutions, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,984)   (209,360)   (271,078)   (68,737)
Baytex Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (145,266)   (476,483)   (527,316)   (67,275)
Bristow Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (265)   (6,902)   (7,208)   (423)
Cactus, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (3,363)   (168,023)   (168,453)   (6,425)
Civitas Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,052)   (556,448)   (611,227)   (98,246)
Clean Energy Fuels Corp.   USFF -0.256%   Weekly   MS   07/11/28   (47,822)   (173,012)   (128,163)   41,533
Comstock Resources, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (71,681)   (711,603)   (665,200)   21,186
Core Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (8,196)   (242,875)   (139,988)   98,178
Crescent Energy Co., Class A   USFF -0.250%   Weekly   MS   07/11/28   (9,351)   (108,445)   (111,277)   (6,045)
Crescent Point Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (66,579)   (454,398)   (545,282)   (106,991)
Diamond Offshore Drilling, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (17,447)   (254,263)   (237,977)   10,893
Dril-Quip, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,968)   (88,051)   (89,399)   (3,262)
DT Midstream, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,284)   (271,076)   (322,852)   (79,210)
Energy Fuels, Inc. (Canada)   USFF -1.480%   Weekly   MS   07/11/28   (19,799)   (143,828)   (124,536)   16,550
EQT Corp.   USFF -0.250%   Weekly   MS   01/12/29   (15,424)   (548,121)   (571,768)   (34,383)
Expro Group Holdings NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (17,164)   (314,998)   (342,765)   (33,818)
Green Plains, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,630)   (84,236)   (60,806)   21,824
Hess Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,839)   (280,397)   (280,705)   (10,253)
HF Sinclair Corp.   USFF -0.250%   Weekly   MS   01/12/29   (6,721)   (383,669)   (405,747)   (31,439)
Kinetik Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (9,148)   (340,559)   (364,731)   (75,624)
Kosmos Energy Ltd.   USFF -0.250%   Weekly   MS   07/11/28   (24,700)   (186,009)   (147,212)   35,230
Laredo Petroleum, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,719)   (227,714)   (247,936)   (25,246)
New Fortress Energy, Inc.   USFF -0.980%   Weekly   MS   07/08/27   (9,418)   (451,545)   (288,097)   121,283
NexGen Energy Ltd. (Canada)   USFF -0.830%   Weekly   MS   07/11/28   (22,366)   (155,049)   (173,784)   (23,773)
NextDecade Corp.   USFF -0.630%   Weekly   MS   01/12/29   (3,171)   (17,154)   (18,011)   (1,171)
North American Construction Group Ltd. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (540)   (12,701)   (12,031)   410
Northern Oil & Gas, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,012)   (226,153)   (238,556)   (20,378)
NOV, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (18,676)   (357,362)   (364,556)   (18,238)
The accompanying notes are an integral part of the financial statements.
115

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Oceaneering International, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,881)   $ (142,079)   $ (137,615)   $ 1,311
ONEOK, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,662)   (605,071)   (694,433)   (108,033)
Ovintiv, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,265)   (252,023)   (273,254)   (43,486)
Par Pacific Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,038)   (193,086)   (186,708)   2,675
Patterson-UTI Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (48,485)   (546,066)   (578,911)   (51,804)
Permian Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (32,696)   (514,799)   (577,411)   (82,745)
ProFrac Holding Corp., Class A   USFF -0.930%   Weekly   MS   07/08/27   (22,155)   (269,829)   (185,216)   79,162
ProPetro Holding Corp.   USFF -0.250%   Weekly   MS   01/10/28   (47,593)   (429,043)   (384,551)   36,245
Range Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (6,349)   (207,679)   (218,596)   (17,546)
RPC, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,113)   (54,352)   (47,315)   5,825
Seadrill Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/12/29   (124)   (6,169)   (6,237)   (170)
Select Water Solutions, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,727)   (47,609)   (52,860)   (8,404)
SFL Corp. Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (4,710)   (52,770)   (62,078)   (14,581)
SilverBow Resources, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (6,512)   (256,784)   (222,320)   29,535
Southwestern Energy Co.   USFF -0.250%   Weekly   MS   01/12/29   (72,172)   (504,656)   (547,064)   (54,936)
Suncor Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (18,020)   (619,589)   (665,118)   (60,818)
Talos Energy, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (26,942)   (376,665)   (375,302)   (6,452)
Tidewater, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,437)   (102,417)   (132,204)   (34,333)
Uranium Energy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (27,501)   (180,856)   (185,632)   (8,243)
Valaris Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (4,398)   (300,743)   (330,993)   (36,434)
Vermilion Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (13,544)   (179,206)   (168,487)   3,431
Williams Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (23,884)   (865,212)   (930,759)   (96,899)
World Kinect Corp.   USFF -0.250%   Weekly   MS   01/07/27   (8,559)   (232,371)   (226,386)   (6,881)
                    (965,896)   (14,457,454)   (14,729,887)   (826,734)
Financial Services                            
I3 Verticals, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (28)   (640)   (641)   (289)
Jack Henry & Associates, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (488)   (81,371)   (84,780)   (5,518)
MarketAxess Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (407)   (88,761)   (89,235)   (2,167)
The accompanying notes are an integral part of the financial statements.
116

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Financial Services — (continued)                            
Marqeta, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (44,650)   $ (265,875)   $ (266,114)   $ (5,344)
Nasdaq, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (19,663)   (1,165,207)   (1,240,735)   (100,427)
Remitly Global, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (31,899)   (624,438)   (661,585)   (51,327)
WEX, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,056)   (415,333)   (488,362)   (84,396)
                    (99,191)   (2,641,625)   (2,831,452)   (249,468)
Food, Beverage & Tobacco                            
Brown-Forman Corp., Class B   USFF -0.250%   Weekly   MS   07/11/28   (1,736)   (114,071)   (89,612)   26,228
Cal-Maine Foods, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (12,750)   (710,879)   (750,337)   (55,595)
Darling Ingredients, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (20,634)   (1,355,549)   (959,687)   369,499
Duckhorn Portfolio, Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (8,790)   (81,003)   (81,835)   (2,376)
Flowers Foods, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (8,003)   (205,593)   (190,071)   4,663
Hain Celestial Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/08/27   (12,414)   (255,962)   (97,574)   158,406
Hershey Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (3,733)   (740,546)   (726,068)   1,141
J M Smucker Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (11,504)   (1,418,156)   (1,448,008)   (57,151)
John B Sanfilippo & Son, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (519)   (53,195)   (54,972)   (2,786)
Lamb Weston Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,990)   (858,358)   (851,175)   (12,084)
Mission Produce, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,206)   (20,208)   (14,315)   5,699
Monster Beverage Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,561)   (94,967)   (92,536)   1,893
PepsiCo, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (10,208)   (1,756,909)   (1,786,502)   (63,009)
Pilgrim's Pride Corp.   USFF -0.250%   Weekly   MS   07/11/28   (9,945)   (250,786)   (341,312)   (99,090)
Post Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,519)   (474,278)   (480,279)   (15,550)
TreeHouse Foods, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,446)   (238,549)   (251,072)   (17,101)
Universal Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,429)   (71,389)   (73,908)   (3,877)
Utz Brands, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (3,116)   (74,504)   (57,459)   14,440
WK Kellogg Co.   USFF -0.250%   Weekly   MS   07/11/28   (2,677)   (36,542)   (50,328)   (15,682)
                    (129,180)   (8,811,444)   (8,397,050)   237,668
Health Care Equipment & Services                            
Acadia Healthcare Co., Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,667)   (538,170)   (528,160)   (1,554)
AdaptHealth Corp.   USFF -0.250%   Weekly   MS   01/05/26   (1,519)   (43,165)   (17,484)   31,148
Agiliti, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,179)   (40,728)   (22,051)   17,899
agilon health, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (41,502)   (373,351)   (253,162)   113,014
Alcon, Inc. (Switzerland)   USFF -0.250%   Weekly   MS   01/12/29   (6,213)   (530,475)   (517,481)   1,534
Alphatec Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,390)   (247,347)   (253,598)   (10,999)
Amedisys, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,674)   (155,999)   (154,276)   (1,285)
The accompanying notes are an integral part of the financial statements.
117

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
AMN Healthcare Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,571)   $ (153,197)   $ (160,713)   $ (10,450)
Cooper Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (3,563)   (342,003)   (361,502)   (27,442)
CorVel Corp.   USFF -0.250%   Weekly   MS   07/08/27   (55)   (14,105)   (14,463)   (614)
DENTSPLY SIRONA, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,261)   (249,575)   (207,803)   35,736
Dexcom, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,701)   (1,535,748)   (1,622,929)   (116,744)
Doximity, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (6,637)   (245,228)   (178,602)   63,141
Edwards Lifesciences Corp.   USFF -0.250%   Weekly   MS   01/12/29   (12,784)   (1,115,439)   (1,221,639)   (130,977)
Ensign Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (1,613)   (160,972)   (200,689)   (43,482)
Glaukos Corp.   USFF -0.250%   Weekly   MS   07/08/27   (692)   (34,282)   (65,249)   (32,293)
Globus Medical, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (10,279)   (534,626)   (551,366)   (28,960)
GoodRx Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (9,359)   (67,519)   (66,449)   (287)
Guardant Health, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,186)   (74,675)   (86,357)   (13,104)
HealthEquity, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (628)   (48,540)   (51,264)   (4,592)
Henry Schein, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (14,297)   (1,077,520)   (1,079,709)   (22,927)
ICU Medical, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (362)   (65,070)   (38,850)   33,070
Inari Medical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,175)   (67,935)   (56,377)   10,266
Inspire Medical Systems, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,461)   (224,482)   (313,808)   (95,739)
Insulet Corp.   USFF -0.250%   Weekly   MS   07/11/28   (495)   (115,597)   (84,843)   28,544
Integer Holdings Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,187)   (459,225)   (488,539)   (38,143)
Integra LifeSciences Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,276)   (174,759)   (151,584)   20,340
Intuitive Surgical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,494)   (574,864)   (596,240)   (34,149)
iRhythm Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,162)   (343,941)   (366,792)   (29,459)
Laboratory Corp. of America Holdings   USFF -0.250%   Weekly   MS   01/12/29   (1,283)   (280,433)   (280,284)   (5,016)
LifeStance Health Group, Inc.   USFF -0.680%   Weekly   MS   01/07/27   (14,454)   (119,387)   (89,181)   28,079
LivaNova PLC (United Kingdom)   USFF -0.250%   Weekly   MS   07/11/28   (3,299)   (169,408)   (184,546)   (20,001)
Masimo Corp.   USFF -0.250%   Weekly   MS   07/08/27   (3,069)   (422,786)   (450,683)   (38,881)
Merit Medical Systems, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (691)   (51,018)   (52,343)   (2,699)
Multiplan Corp.   USFF -0.308%   Weekly   MS   07/11/28   (14,396)   (23,267)   (11,678)   11,162
Neogen Corp.   USFF -0.250%   Weekly   MS   01/10/28   (16,761)   (301,963)   (264,489)   31,628
Nevro Corp.   USFF -0.250%   Weekly   MS   01/05/26   (13,106)   (401,189)   (189,251)   204,345
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Novocure Ltd. (Jersey)   USFF -0.250%   Weekly   MS   01/10/28   (41,585)   $ (955,993)   $ (649,974)   $ 287,441
Option Care Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,156)   (242,355)   (240,012)   (2,337)
OrthoPediatrics Corp.   USFF -0.250%   Weekly   MS   01/05/26   (2,193)   (103,701)   (63,948)   37,760
Patterson Cos., Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,791)   (227,490)   (215,421)   7,114
PROCEPT BioRobotics Corp.   USFF -0.250%   Weekly   MS   01/10/28   (2,752)   (99,891)   (136,004)   (38,435)
Progyny, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (916)   (34,426)   (34,945)   (1,167)
QuidelOrtho Corp.   USFF -0.250%   Weekly   MS   07/06/26   (9,049)   (652,370)   (433,809)   206,012
RadNet, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,103)   (63,524)   (102,332)   (44,347)
Schrodinger, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (11,836)   (453,785)   (319,572)   125,489
Shockwave Medical, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,484)   (808,564)   (1,134,495)   (341,488)
SI-BONE, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (977)   (15,342)   (15,993)   (931)
STAAR Surgical Co.   USFF -0.250%   Weekly   MS   01/10/28   (5,069)   (287,371)   (194,041)   87,023
STERIS PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (1,189)   (273,199)   (267,311)   120
Tandem Diabetes Care, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (11,395)   (569,983)   (403,497)   149,147
Teladoc Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,897)   (171,166)   (149,445)   18,440
Treace Medical Concepts, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (11,933)   (179,942)   (155,726)   20,767
US Physical Therapy, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (1,573)   (206,967)   (177,545)   16,295
Veeva Systems, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,282)   (494,920)   (528,717)   (47,097)
                    (379,621)   (17,218,977)   (16,457,221)   399,915
Household & Personal Products                            
Beauty Health Co. (The)   USFF -0.653%   Weekly   MS   01/12/29   (1,025)   (4,585)   (4,551)   (38)
Central Garden & Pet Co., Class A   USFF -0.250%   Weekly   MS   01/05/26   (2,970)   (119,432)   (109,652)   7,492
Church & Dwight Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,641)   (1,178,126)   (1,214,273)   (64,131)
Edgewell Personal Care Co.   USFF -0.250%   Weekly   MS   01/10/28   (262)   (11,666)   (10,124)   1,177
Inter Parfums, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,807)   (400,494)   (394,412)   (4,029)
                    (18,705)   (1,714,303)   (1,733,012)   (59,529)
Materials                            
AdvanSix, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (18)   (510)   (515)   1
Agnico Eagle Mines Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (2,086)   (107,635)   (124,430)   (23,479)
Air Products and Chemicals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,214)   (881,152)   (778,656)   73,006
Albemarle Corp.   USFF -0.250%   Weekly   MS   01/10/28   (3,595)   (548,307)   (473,605)   14,476
Alcoa Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,259)   (68,592)   (76,332)   (9,154)
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Algoma Steel Group, Inc. (Canada)   USFF -2.380%   Weekly   MS   01/10/28   (15,448)   $ (124,594)   $ (131,154)   $ (12,407)
Ashland, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,562)   (384,449)   (346,832)   23,912
Century Aluminum Co.   USFF -0.250%   Weekly   MS   01/12/29   (4,675)   (56,018)   (71,948)   (18,287)
Coeur Mining, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (231,754)   (1,238,522)   (873,713)   337,953
Commercial Metals Co.   USFF -0.250%   Weekly   MS   07/11/28   (5,097)   (269,177)   (299,551)   (36,460)
Compass Minerals International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,407)   (48,544)   (37,886)   9,879
Corteva, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,147)   (137,521)   (123,817)   9,955
DuPont de Nemours, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,830)   (507,603)   (523,656)   (26,775)
Eagle Materials, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (209)   (43,085)   (56,796)   (14,556)
Ecovyst, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,329)   (13,798)   (14,818)   (1,270)
Equinox Gold Corp. (Canada)   USFF -0.830%   Weekly   MS   08/27/24   (97,461)   (773,666)   (586,715)   171,676
ERO Copper Corp. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (175)   (3,288)   (3,374)   (133)
First Majestic Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (41,199)   (235,314)   (242,250)   (14,101)
FMC Corp.   USFF -0.250%   Weekly   MS   07/06/26   (27,448)   (1,715,699)   (1,748,438)   (100,638)
Ginkgo Bioworks Holdings, Inc.   USFF -6.197%   Weekly   MS   07/11/28   (151,248)   (199,831)   (175,448)   20,551
Graphic Packaging Holding Co.   USFF -0.250%   Weekly   MS   07/11/28   (7,610)   (197,189)   (222,060)   (29,639)
Hecla Mining Co.   USFF -0.247%   Weekly   MS   07/08/27   (78,368)   (365,384)   (376,950)   (19,355)
IAMGOLD Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (66,564)   (167,839)   (221,658)   (58,984)
Ingevity Corp.   USFF -0.250%   Weekly   MS   01/10/28   (5,134)   (351,467)   (244,892)   100,666
Louisiana-Pacific Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,120)   (74,020)   (93,979)   (24,129)
LSB Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (621)   (5,057)   (5,452)   (476)
MAG Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (9,848)   (96,303)   (104,192)   (9,727)
Mativ Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (79)   (3,076)   (1,481)   1,248
Methanex Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (6,750)   (292,605)   (301,253)   (20,720)
Mosaic Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (7,032)   (223,018)   (228,259)   (9,522)
MP Materials Corp.   USFF -0.250%   Weekly   MS   01/10/28   (17,222)   (339,758)   (246,275)   86,956
Newmont Corp.   USFF -0.250%   Weekly   MS   01/12/29   (46,398)   (1,566,496)   (1,662,904)   (131,085)
Novagold Resources, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (22,719)   (95,627)   (68,157)   25,645
Nutrien Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (5,409)   (347,579)   (293,763)   38,751
O-I Glass, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (10,601)   (194,706)   (175,871)   15,028
Olin Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,296)   (69,839)   (76,205)   (9,717)
Pan American Silver Corp. (Canada)   USFF -0.980%   Weekly   MS   07/08/27   (7,928)   (130,855)   (119,554)   6,663
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Radius Recycling, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (4,267)   $ (194,306)   $ (90,162)   $ 95,224
Ryerson Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,038)   (32,764)   (34,773)   (2,660)
Sandstorm Gold Ltd. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (29,577)   (169,261)   (155,279)   9,375
Sensient Technologies Corp.   USFF -0.250%   Weekly   MS   07/08/27   (3,115)   (230,451)   (215,527)   4,473
Silgan Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,760)   (213,688)   (231,146)   (24,959)
Southern Copper Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,994)   (202,782)   (212,401)   (13,508)
SSR Mining, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (49,699)   (665,409)   (221,658)   431,084
Stepan Co.   USFF -0.250%   Weekly   MS   01/05/26   (1,734)   (212,391)   (156,129)   45,977
Sylvamo Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,515)   (130,741)   (155,276)   (28,242)
Teck Resources Ltd., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (5,381)   (226,781)   (246,342)   (26,628)
TriMas Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,233)   (30,940)   (32,958)   (2,598)
Tronox Holdings PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/10/28   (37,202)   (499,796)   (645,455)   (165,385)
United States Lime & Minerals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (32)   (9,530)   (9,540)   (178)
United States Steel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (32,176)   (1,465,398)   (1,312,137)   123,244
Wheaton Precious Metals Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (3,621)   (163,309)   (170,658)   (10,478)
                    (1,075,204)   (16,325,670)   (15,022,280)   800,493
Media & Entertainment                            
Altice USA, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (29,978)   (213,636)   (78,243)   134,199
Cargurus, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,951)   (114,254)   (114,269)   (2,200)
EchoStar Corp., Class A   USFF -0.250%   Weekly   MS   01/07/27   (30,632)   (970,364)   (436,506)   515,185
Endeavor Group Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (44,632)   (1,095,268)   (1,148,381)   (78,904)
Fox Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (9,832)   (295,916)   (307,447)   (18,360)
IAC, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (2,138)   (154,153)   (114,041)   37,660
Integral Ad Science Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (6,305)   (87,229)   (62,861)   22,705
Lions Gate Entertainment Corp., Class B (Canada)   USFF -0.250%   Weekly   MS   01/07/27   (16,823)   (212,003)   (156,622)   51,314
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Madison Square Garden Entertainment Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,610)   $ (88,089)   $ (102,338)   $ (17,399)
Madison Square Garden Sports Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,827)   (337,094)   (337,118)   (6,661)
Magnite, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (15,021)   (149,208)   (161,476)   (16,098)
Nexstar Media Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,166)   (363,205)   (373,180)   (19,175)
Paramount Global, Class B   USFF -0.250%   Weekly   MS   01/10/28   (14,432)   (223,444)   (169,865)   46,708
Scholastic Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,401)   (57,193)   (52,832)   2,269
Snap, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (83,045)   (933,156)   (953,357)   (38,158)
Stagwell, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,853)   (10,531)   (11,526)   (1,181)
Taboola.com Ltd. (Israel)   USFF -0.730%   Weekly   MS   01/12/29   (4,754)   (20,696)   (21,108)   (794)
Take-Two Interactive Software, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,871)   (855,714)   (871,785)   (32,536)
TKO Group Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,614)   (808,168)   (830,746)   (38,127)
Vivid Seats, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,815)   (33,106)   (34,832)   (2,347)
Ziff Davis, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,363)   (99,040)   (85,924)   11,781
                    (295,063)   (7,121,467)   (6,424,457)   549,881
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbCellera Biologics, Inc. (Canada)   USFF -1.688%   Weekly   MS   07/11/28   (21,370)   (110,406)   (96,806)   11,490
Arcturus Therapeutics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (683)   (23,999)   (23,065)   488
Arcus Biosciences, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,281)   (52,050)   (61,945)   (10,882)
Arrowhead Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (16,210)   (465,400)   (463,606)   (7,153)
Aurinia Pharmaceuticals, Inc. (Canada)   USFF -0.630%   Weekly   MS   01/12/29   (10,146)   (53,791)   (50,831)   1,940
Avantor, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,270)   (217,716)   (237,034)   (27,281)
Axsome Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,558)   (105,922)   (124,328)   (20,430)
Bausch Health Cos., Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (50,606)   (431,765)   (536,930)   (113,464)
Biogen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,830)   (412,255)   (394,603)   10,672
The accompanying notes are an integral part of the financial statements.
122

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
BioMarin Pharmaceutical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,440)   $(128,886)   $(125,770)   $ 737
Bio-Techne Corp.   USFF -0.250%   Weekly   MS   01/10/28   (7,071)   (538,159)   (497,728)   28,865
Bridgebio Pharma, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,068)   (145,834)   (156,703)   (14,255)
Bruker Corp.   USFF -0.250%   Weekly   MS   07/11/28   (800)   (58,956)   (75,152)   (21,944)
Cabaletta Bio, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (486)   (8,372)   (8,291)   (64)
Catalent, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,011)   (602,352)   (282,871)   308,186
Charles River Laboratories International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,522)   (381,432)   (412,386)   (39,362)
Crinetics Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,593)   (59,823)   (74,568)   (17,460)
Cytek Biosciences, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (17,277)   (197,229)   (115,929)   77,517
Cytokinetics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,717)   (113,579)   (120,379)   (10,076)
Denali Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,212)   (56,053)   (65,910)   (12,332)
Disc Medicine, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (368)   (22,037)   (22,912)   (1,282)
Eli Lilly & Co.   USFF -0.250%   Weekly   MS   01/12/29   (66)   (52,372)   (51,345)   36
Fortrea Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,608)   (101,632)   (104,685)   (5,758)
Geron Corp.   USFF -0.250%   Weekly   MS   07/11/28   (74,870)   (161,921)   (247,071)   (90,841)
HilleVax, Inc.   USFF -0.580%   Weekly   MS   01/12/29   (41)   (661)   (682)   (17)
Immatics NV (Netherlands)   USFF -1.130%   Weekly   MS   01/12/29   (2,186)   (25,970)   (22,975)   2,511
Insmed, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,803)   (47,760)   (48,915)   (2,109)
Intellia Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,518)   (177,295)   (179,310)   (5,414)
Jazz Pharmaceuticals PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (6,409)   (779,516)   (771,772)   (8,032)
MacroGenics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,538)   (22,618)   (22,639)   (441)
Maravai LifeSciences Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (57,517)   (407,593)   (498,672)   (98,914)
Mesa Laboratories, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (543)   (144,938)   (59,583)   82,210
Mirum Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (87)   (2,199)   (2,185)   (13)
Morphic Holding, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (380)   (12,744)   (13,376)   (861)
Olema Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (235)   (2,628)   (2,660)   (67)
Organon & Co.   USFF -0.250%   Weekly   MS   07/11/28   (18,560)   (313,488)   (348,928)   (51,677)
Pacific Biosciences of California, Inc.   USFF -0.267%   Weekly   MS   01/12/29   (3,456)   (12,463)   (12,960)   (721)
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Pacira BioSciences, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,222)   $ (125,214)   $ (123,367)   $ (549)
Perrigo Co. PLC (Ireland)   USFF -0.250%   Weekly   MS   08/27/24   (2,188)   (121,694)   (70,432)   41,537
Pfizer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (53,108)   (1,456,146)   (1,473,747)   (44,441)
Phathom Pharmaceuticals, Inc.   USFF -5.230%   Weekly   MS   01/12/29   (549)   (5,923)   (5,830)   (5)
Pliant Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,789)   (192,440)   (145,856)   42,893
Prothena Corp. PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (2,954)   (139,912)   (73,171)   64,063
PTC Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,751)   (47,375)   (50,937)   (6,110)
Relay Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,071)   (16,276)   (17,189)   (1,211)
Repligen Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,948)   (558,787)   (542,196)   4,115
Revance Therapeutics, Inc.   USFF -0.267%   Weekly   MS   07/11/28   (17,077)   (201,835)   (84,019)   113,945
Revvity, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,492)   (379,549)   (366,660)   5,337
SIGA Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (397)   (3,343)   (3,398)   (200)
Sotera Health Co.   USFF -0.250%   Weekly   MS   07/06/26   (18,992)   (363,046)   (228,094)   130,171
Supernus Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,810)   (57,220)   (61,739)   (5,731)
Tango Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (668)   (5,381)   (5,304)   (11)
Tilray Brands, Inc.   USFF -7.350%   Weekly   MS   07/11/28   (113,947)   (207,683)   (281,449)   (77,750)
Travere Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (289)   (4,024)   (2,228)   1,735
Vaxcyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,070)   (72,442)   (73,092)   (2,028)
Veracyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,278)   (51,045)   (50,480)   (402)
Vericel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,859)   (83,516)   (96,705)   (14,968)
Viridian Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,291)   (61,182)   (40,115)   19,904
West Pharmaceutical Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,699)   (666,847)   (672,311)   (18,292)
Xencor, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,604)   (49,670)   (35,497)   13,586
Xenon Pharmaceuticals, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (360)   (15,478)   (15,498)   (302)
Zymeworks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,197)   (24,730)   (23,112)   1,157
                    (586,946)   (11,362,572)   (10,877,931)   230,245
Semiconductors & Semiconductor
Equipment 		                           
Allegro MicroSystems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,507)   (170,564)   (148,469)   20,139
The accompanying notes are an integral part of the financial statements.
124

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
Alpha & Omega Semiconductor Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/12/29   (351)   $ (7,697)   $ (7,736)   $ (171)
Ambarella, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/10/28   (2,970)   (236,409)   (150,787)   82,451
Analog Devices, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,389)   (472,195)   (472,520)   (15,315)
Cirrus Logic, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (852)   (69,584)   (78,861)   (12,531)
Diodes, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (122)   (8,555)   (8,601)   (371)
Enphase Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,893)   (642,073)   (591,955)   39,364
First Solar, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,400)   (353,553)   (405,120)   (63,065)
FormFactor, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,366)   (204,611)   (244,851)   (45,404)
Impinj, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (900)   (86,912)   (115,569)   (31,149)
indie Semiconductor, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,740)   (11,116)   (12,319)   (1,401)
Kulicke & Soffa Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,562)   (76,844)   (78,584)   (3,311)
Lattice Semiconductor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (6,376)   (478,792)   (498,794)   (33,032)
MACOM Technology Solutions Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,119)   (970,929)   (1,063,421)   (111,177)
Marvell Technology, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,400)   (88,847)   (99,232)   (13,509)
MaxLinear, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (26,346)   (543,143)   (491,880)   40,818
MKS Instruments, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (566)   (58,380)   (75,278)   (21,071)
Power Integrations, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (8,040)   (651,154)   (575,262)   59,424
Semtech Corp.   USFF -0.250%   Weekly   MS   01/10/28   (6,962)   (162,829)   (191,385)   (33,850)
Silicon Laboratories, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,063)   (439,738)   (440,214)   (9,116)
SiTime Corp.   USFF -0.250%   Weekly   MS   07/08/27   (2,147)   (210,746)   (200,165)   6,539
Teradyne, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,715)   (187,245)   (193,503)   (9,949)
Texas Instruments, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,079)   (1,371,642)   (1,407,443)   (74,338)
Ultra Clean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,424)   (48,760)   (65,419)   (19,270)
Universal Display Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,215)   (384,729)   (373,117)   3,004
Veeco Instruments, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,544)   (54,675)   (54,302)   (710)
Wolfspeed, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,330)   (322,933)   (275,235)   41,494
                    (119,378)   (8,314,655)   (8,320,022)   (205,507)
Software & Services                            
A10 Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,836)   (52,774)   (52,515)   (741)
ACI Worldwide, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,991)   (169,363)   (198,961)   (33,588)
Agilysys, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (767)   (59,281)   (64,627)   (6,538)
The accompanying notes are an integral part of the financial statements.
125

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Akamai Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,738)   $(205,281)   $(189,025)   $ 13,279
Amplitude, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,522)   (16,920)   (16,559)   51
Appian Corp., Class A   USFF -0.250%   Weekly   MS   07/08/27   (5,049)   (203,541)   (201,708)   (3,162)
AppLovin Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (5,566)   (347,651)   (385,279)   (54,036)
Asana, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (15,231)   (271,147)   (235,928)   30,012
Aspen Technology, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,854)   (375,649)   (395,421)   (26,991)
Atlassian Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,205)   (443,114)   (430,218)   4,378
Bentley Systems, Inc., Class B   USFF -0.250%   Weekly   MS   01/10/28   (4,251)   (221,787)   (221,987)   (4,606)
BigCommerce Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (9,486)   (127,307)   (65,359)   59,590
BILL Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,158)   (573,333)   (560,618)   36
Braze, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (317)   (14,458)   (14,043)   153
Cerence, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,294)   (117,599)   (83,381)   31,970
Cipher Mining, Inc.   USFF -3.680%   Weekly   MS   01/12/29   (32,220)   (108,797)   (165,933)   (72,732)
Clearwater Analytics Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (12,520)   (213,128)   (221,479)   (12,440)
Confluent, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,646)   (40,956)   (50,236)   (16,474)
DigitalOcean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,874)   (70,402)   (71,549)   (2,572)
Dolby Laboratories, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,065)   (172,961)   (172,985)   (3,347)
DoubleVerify Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (8,711)   (353,937)   (306,279)   40,578
Dropbox, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,333)   (141,982)   (105,292)   40,559
Elastic NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (3,345)   (336,634)   (335,303)   (5,137)
Envestnet, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,517)   (286,937)   (203,669)   80,730
Fair Isaac Corp.   USFF -0.250%   Weekly   MS   01/12/29   (215)   (283,523)   (268,666)   10,894
Fastly, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (21,539)   (288,888)   (279,361)   3,980
Five9, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (15,555)   (947,692)   (966,121)   (36,666)
Freshworks, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (370)   (6,719)   (6,738)   (131)
Gartner, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (866)   (409,606)   (412,796)   (11,705)
Grid Dynamics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (307)   (3,783)   (3,773)   (46)
HashiCorp., Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (6,924)   (192,534)   (186,602)   1,766
Intapp, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,183)   (146,542)   (143,477)   259
Jamf Holding Corp.   USFF -0.250%   Weekly   MS   07/06/26   (5,803)   (208,255)   (106,485)   98,128
The accompanying notes are an integral part of the financial statements.
126

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Lightspeed Commerce, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (21,151)   $ (661,813)   $ (297,383)   $351,699
Matterport, Inc.   USFF -0.256%   Weekly   MS   01/12/29   (211)   (473)   (477)   4
Model N, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,467)   (63,594)   (70,235)   (7,850)
nCino, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,724)   (111,036)   (139,203)   (32,879)
Olo, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (23,882)   (181,109)   (131,112)   46,525
Open Text Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (2,346)   (99,796)   (91,095)   5,187
PowerSchool Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (7,182)   (165,899)   (152,905)   9,955
RingCentral, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (3,968)   (119,805)   (137,848)   (20,788)
SentinelOne, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (14,856)   (338,268)   (346,293)   (14,525)
Smartsheet, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,310)   (51,410)   (50,435)   1
Snowflake, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (6,018)   (1,045,073)   (972,509)   51,782
Sprinklr, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (18,539)   (248,837)   (227,474)   16,722
Sprout Social, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,213)   (69,832)   (72,428)   (3,925)
Unity Software, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,084)   (127,304)   (109,043)   18,420
Workiva, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,574)   (314,992)   (303,075)   5,866
Zscaler, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,907)   (989,970)   (945,235)   25,683
                    (316,690)   (12,001,692)   (11,169,123)   577,328
Technology Hardware & Equipment                            
ADTRAN Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (17,075)   (336,358)   (92,888)   257,968
Advanced Energy Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,616)   (409,133)   (368,760)   31,901
Avnet, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (5,874)   (269,604)   (291,233)   (33,872)
Belden, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,083)   (273,309)   (285,517)   (17,852)
Benchmark Electronics, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,097)   (82,607)   (92,941)   (16,211)
Calix, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,462)   (300,140)   (247,440)   47,030
Celestica, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (7,284)   (267,046)   (327,343)   (73,729)
Cognex Corp.   USFF -0.250%   Weekly   MS   07/11/28   (21,215)   (857,682)   (899,940)   (59,305)
Coherent Corp.   USFF -0.250%   Weekly   MS   07/08/27   (3,016)   (164,016)   (182,830)   (30,082)
Harmonic, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (38,642)   (436,198)   (519,348)   (93,025)
Infinera Corp.   USFF -0.580%   Weekly   MS   01/12/29   (7,297)   (36,399)   (44,001)   (8,287)
IonQ, Inc.   USFF -6.830%   Weekly   MS   01/12/29   (18,591)   (182,672)   (185,724)   (6,554)
Juniper Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (8,973)   (332,636)   (332,539)   (8,680)
Lumentum Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (6,288)   (376,998)   (297,737)   72,017
The accompanying notes are an integral part of the financial statements.
127

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
Novanta, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (939)   $ (156,515)   $ (164,109)   $ (10,872)
OSI Systems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (78)   (10,992)   (11,140)   (343)
Sanmina Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,722)   (252,715)   (293,614)   (48,612)
Teledyne Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (546)   (239,871)   (234,409)   929
TTM Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (21)   (331)   (329)   (10)
Ubiquiti, Inc.   USFF -0.580%   Weekly   MS   01/07/27   (1,747)   (470,575)   (202,390)   254,170
Viasat, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (13,228)   (420,621)   (239,295)   173,242
Viavi Solutions, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (24,096)   (239,505)   (219,033)   15,803
Vishay Intertechnology, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (16,351)   (363,015)   (370,841)   (16,334)
Zebra Technologies Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (4,543)   (1,120,863)   (1,369,442)   (277,704)
                    (217,784)   (7,599,801)   (7,272,843)   151,588
Telecommunication Services                            
Cogent Communications Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (11,508)   (779,057)   (751,818)   (16,437)
Frontier Communications Parent, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (12,769)   (359,929)   (312,841)   41,309
Globalstar, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (75,779)   (126,290)   (111,395)   12,478
Gogo, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (4,861)   (82,328)   (42,680)   39,060
Rogers Communications, Inc., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (4,705)   (201,138)   (192,905)   201
Shenandoah Telecommunications Co.   USFF -0.250%   Weekly   MS   08/27/24   (5,179)   (170,626)   (89,959)   36,859
United States Cellular Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,431)   (50,128)   (52,232)   (3,053)
                    (116,232)   (1,769,496)   (1,553,830)   110,417
Transportation                            
Air Transport Services Group, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (20,746)   (444,358)   (285,465)   150,351
Alaska Air Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,933)   (232,022)   (212,070)   14,658
Allegiant Travel Co.   USFF -0.250%   Weekly   MS   07/11/28   (3,202)   (241,487)   (240,822)   (4,895)
Canadian Pacific Kansas City Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (1,665)   (139,806)   (146,803)   (11,167)
Covenant Logistics Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1)   (46)   (46)   15
The accompanying notes are an integral part of the financial statements.
128

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Transportation — (continued)                            
Expeditors International of Washington, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,731)   $ (209,047)   $ (210,438)   $ (6,523)
Frontier Group Holdings, Inc.   USFF -0.580%   Weekly   MS   07/11/28   (6,560)   (31,835)   (53,202)   (23,686)
Genco Shipping & Trading Ltd. (Marshall Islands)   USFF -0.250%   Weekly   MS   01/12/29   (3,412)   (68,816)   (69,366)   (2,538)
Golden Ocean Group Ltd. (Bermuda)   USFF -0.980%   Weekly   MS   07/11/28   (9,552)   (79,203)   (123,794)   (53,771)
Hawaiian Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,521)   (91,178)   (86,925)   2,513
Heartland Express, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,638)   (59,909)   (43,438)   15,459
Hub Group, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,306)   (60,384)   (56,445)   2,834
JB Hunt Transport Services, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (369)   (74,832)   (73,523)   (501)
JetBlue Airways Corp.   USFF -0.250%   Weekly   MS   07/11/28   (37,056)   (179,478)   (274,956)   (99,552)
Joby Aviation, Inc.   USFF -1.130%   Weekly   MS   01/12/29   (212)   (1,140)   (1,136)   (2)
Knight-Swift Transportation Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (445)   (23,839)   (24,484)   (1,088)
Matson, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,002)   (101,091)   (112,625)   (13,714)
Norfolk Southern Corp.   USFF -0.250%   Weekly   MS   01/12/29   (950)   (240,222)   (242,127)   (6,584)
RXO, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,614)   (97,491)   (100,908)   (5,279)
Schneider National, Inc., Class B   USFF -0.250%   Weekly   MS   07/11/28   (13,849)   (344,490)   (313,541)   22,460
Southwest Airlines Co.   USFF -0.250%   Weekly   MS   07/11/28   (4,922)   (183,804)   (143,673)   33,949
Spirit Airlines, Inc.   USFF -5.680%   Weekly   MS   07/11/28   (15,661)   (180,019)   (75,799)   97,734
Sun Country Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (6,662)   (123,756)   (100,530)   20,859
TFI International, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (871)   (118,454)   (138,890)   (24,055)
United Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,884)   (73,139)   (90,206)   (18,459)
United Parcel Service, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (5,311)   (825,093)   (789,374)   36,778
Universal Logistics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (17)   (615)   (627)   (7)
Werner Enterprises, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (6,950)   (331,374)   (271,884)   49,210
                    (164,042)   (4,556,928)   (4,283,097)   174,999
Utilities                            
AES Corp. (The)   USFF -0.250%   Weekly   MS   01/10/28   (36,473)   (631,210)   (653,961)   (40,086)
The accompanying notes are an integral part of the financial statements.
129

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Algonquin Power & Utilities Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (75,056)   $(513,319)   $(474,354)   $ 9,666
Alliant Energy Corp.   USFF -0.250%   Weekly   MS   01/07/27   (8,014)   (412,547)   (403,906)   (6,393)
Altus Power, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,571)   (67,319)   (55,309)   10,730
Ameren Corp.   USFF -0.250%   Weekly   MS   01/12/29   (10,338)   (736,794)   (764,598)   (50,261)
American Electric Power Co., Inc.   USFF -0.250%   Weekly   MS   01/10/28   (796)   (72,522)   (68,536)   101
American States Water Co.   USFF -0.250%   Weekly   MS   01/12/29   (1,077)   (77,244)   (77,802)   (2,030)
Avista Corp.   USFF -0.250%   Weekly   MS   01/07/27   (2,176)   (96,418)   (76,204)   13,317
California Water Service Group   USFF -0.250%   Weekly   MS   01/10/28   (4,876)   (257,351)   (226,636)   22,207
Chesapeake Utilities Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,706)   (176,197)   (183,054)   (10,874)
Clearway Energy, Inc., Class C   USFF -0.250%   Weekly   MS   01/12/29   (5,661)   (123,257)   (130,486)   (10,019)
Dominion Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,272)   (437,357)   (456,090)   (30,099)
Edison International   USFF -0.250%   Weekly   MS   01/12/29   (940)   (61,344)   (66,486)   (7,040)
Entergy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,359)   (237,673)   (249,299)   (16,768)
Evergy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (12,884)   (721,679)   (687,748)   (2,558)
Exelon Corp.   USFF -0.250%   Weekly   MS   01/10/28   (5,874)   (230,355)   (220,686)   (1,012)
FirstEnergy Corp.   USFF -0.250%   Weekly   MS   07/08/27   (6,703)   (274,598)   (258,870)   12,450
IDACORP, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,579)   (532,439)   (518,233)   (1,863)
MGE Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,387)   (107,434)   (109,185)   (3,803)
Middlesex Water Co.   USFF -0.250%   Weekly   MS   01/10/28   (1,728)   (120,403)   (90,720)   26,295
National Fuel Gas Co.   USFF -0.250%   Weekly   MS   07/11/28   (7,763)   (393,610)   (417,028)   (38,163)
NextEra Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,160)   (127,197)   (138,046)   (13,917)
NiSource, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (15,994)   (430,663)   (442,394)   (33,210)
Northwest Natural Holding Co.   USFF -0.250%   Weekly   MS   01/05/26   (4,984)   (255,469)   (185,504)   47,615
Northwestern Energy Group, Inc.   USFF -0.250%   Weekly   MS   08/27/24   (3,634)   (245,696)   (185,080)   27,760
Ormat Technologies, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,971)   (473,275)   (395,220)   66,702
Pinnacle West Capital Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,415)   (392,906)   (404,663)   (25,994)
PNM Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (13,085)   (532,147)   (492,519)   25,116
Portland General Electric Co.   USFF -0.250%   Weekly   MS   07/11/28   (12,686)   (547,894)   (532,812)   (7,848)
PPL Corp.   USFF -0.250%   Weekly   MS   01/12/29   (12,916)   (344,795)   (355,577)   (20,553)
Sempra   USFF -0.250%   Weekly   MS   01/10/28   (8,214)   (608,977)   (590,012)   (8,239)
SJW Group   USFF -0.250%   Weekly   MS   01/12/29   (661)   (37,354)   (37,406)   (756)
The accompanying notes are an integral part of the financial statements.
130

 

Table of Contents
GOTHAM ENHANCED RETURN FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Southern Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (2,501)   $ (175,985)   $ (179,422)   $ (10,038)
Sunnova Energy International, Inc.   USFF -0.730%   Weekly   MS   07/11/28   (19,740)   (213,908)   (121,006)   88,799
                    (320,194)   (10,667,336)   (10,248,852)   9,234
Total Reference Entity — Short           (178,763,265)   (172,972,482)   1,121,176
Net Value of Reference Entity           $ (26,657,044)   $ 9,315,643   $36,958,778
* Includes $986,091 related to open trades, dividends receivables/payables and swap receivables/payables activities.
MS Morgan Stanley
USFF U.S. Fed Funds
The accompanying notes are an integral part of the financial statements.
131

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 95.0%
Automobiles & Components — 1.2%
Adient PLC (Ireland)*  1,334   $     43,915
American Axle & Manufacturing Holdings, Inc.*  4,352       32,031
Aptiv PLC (Jersey)*    314       25,010
BorgWarner, Inc.(a)  5,572      193,571
Dorman Products, Inc.*    154       14,844
Ford Motor Co.(a) 15,123      200,833
Garrett Motion, Inc.*    115        1,143
General Motors Co.(a)  4,333      196,501
Gentherm, Inc.*    253       14,568
Goodyear Tire & Rubber Co. (The)*  2,115       29,039
LCI Industries    195       23,997
Lear Corp.    327       47,376
Visteon Corp.(a)*    760       89,384
         912,212
Capital Goods — 12.3%
3M Co.     49        5,197
A. O. Smith Corp.(a)  1,323      118,356
AAR Corp.*    118        7,065
Acuity Brands, Inc.(a)    242       65,033
AECOM (a)  2,050      201,064
American Woodmark Corp.*    503       51,135
Apogee Enterprises, Inc.      4          237
Applied Industrial Technologies, Inc.(a)    443       87,515
Array Technologies, Inc.(a)* 19,045      283,961
AZEK Co., Inc. (The)(a)*  5,919      297,252
Beacon Roofing Supply, Inc.*    922       90,374
Blue Bird Corp.*    472       18,096
Boeing Co. (The)(a)*    390       75,266
Boise Cascade Co.(a)    333       51,072
Builders FirstSource, Inc.*     45        9,385
BWX Technologies, Inc.(a)  1,956      200,725
Cadre Holdings, Inc.    140        5,068
Carlisle Cos., Inc.(a)    354      138,715
Carrier Global Corp.(a)    851       49,469
Caterpillar, Inc.    212       77,683
Chart Industries, Inc.*    254       41,839
Comfort Systems USA, Inc.(a)     98       31,136
Core & Main, Inc., Class A(a)*    152        8,702
Crane Co.(a)  1,429      193,101
Cummins, Inc.(a)    589      173,549
Curtiss-Wright Corp.(a)    265       67,824
Deere & Co.    164       67,361
DNOW, Inc.*    458        6,962
Donaldson Co., Inc.(a)  1,487      111,049
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Dover Corp.    318   $     56,346
Eaton Corp. PLC (Ireland)    386      120,694
EMCOR Group, Inc.(a)    407      142,531
Enerpac Tool Group Corp.  1,406       50,138
EnerSys (a)  1,290      121,853
Enpro, Inc.    143       24,134
Esab Corp.    409       45,223
Fastenal Co.(a)    436       33,633
Federal Signal Corp.    137       11,627
Flowserve Corp.  2,641      120,641
Fluence Energy, Inc.*  6,076      105,358
Generac Holdings, Inc.(a)*  2,408      303,745
General Dynamics Corp.(a)    347       98,024
General Electric Co.    281       49,324
Gibraltar Industries, Inc.*    716       57,659
Gorman-Rupp Co. (The)      4          158
Graco, Inc.    370       34,580
Griffon Corp.(a)  3,496      256,397
Hillman Solutions Corp.*  4,908       52,221
Honeywell International, Inc.(a)  1,061      217,770
Howmet Aerospace, Inc.    429       29,356
Hubbell, Inc.     26       10,791
Huntington Ingalls Industries, Inc.(a)    407      118,628
Illinois Tool Works, Inc.(a)    475      127,457
Ingersoll Rand, Inc.(a)  1,626      154,389
Kadant, Inc.     29        9,515
Kennametal, Inc.  1,630       40,652
L3Harris Technologies, Inc.    223       47,521
Leonardo DRS, Inc.*    504       11,133
Lincoln Electric Holdings, Inc.(a)    962      245,733
Lindsay Corp.    417       49,064
Lockheed Martin Corp.(a)    610      277,471
Masco Corp.(a)  2,445      192,862
MasTec, Inc.*    268       24,991
MDU Resources Group, Inc.(a)  6,918      174,334
Middleby Corp. (The)*    819      131,687
MSC Industrial Direct Co., Inc., Class A(a)  2,652      257,350
Mueller Industries, Inc.(a)  1,164       62,775
Nikola Corp.*    830          863
Otis Worldwide Corp.(a)    561       55,690
Owens Corning     91       15,179
PACCAR, Inc.    504       62,441
Parker-Hannifin Corp.(a)     77       42,796
Powell Industries, Inc.(a)  1,210      172,183
Proto Labs, Inc.*     89        3,182
 
The accompanying notes are an integral part of the financial statements.
132

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Quanex Building Products Corp.     64   $      2,460
Quanta Services, Inc.(a)  2,247      583,771
Regal Rexnord Corp.      6        1,081
Resideo Technologies, Inc.*    241        5,403
RTX Corp.(a)  1,258      122,693
Snap-on, Inc.(a)    444      131,522
SPX Technologies, Inc.*    278       34,230
Stanley Black & Decker, Inc.(a)  2,381      233,171
Stantec, Inc. (Canada)     31        2,574
Sterling Infrastructure, Inc.(a)*    561       61,884
Tennant Co.    536       65,183
Terex Corp.(a)    476       30,654
Textron, Inc.(a)  2,776      266,302
Trane Technologies PLC (Ireland)    303       90,961
Trex Co., Inc.*  1,077      107,431
Tutor Perini Corp.*     38          549
UFP Industries, Inc.(a)    656       80,695
United Rentals, Inc.(a)    362      261,042
Wabash National Corp.  2,909       87,095
Watts Water Technologies, Inc., Class A(a)    277       58,876
Woodward, Inc.(a)  1,058      163,059
WW Grainger, Inc.(a)     80       81,384
Xylem, Inc.    254       32,827
Zurn Elkay Water Solutions Corp.(a)  4,031      134,918
       9,394,055
Commercial & Professional Services — 3.0%
ACV Auctions, Inc., Class A(a)*  5,701      107,008
Alight, Inc., Class A*  7,575       74,614
ASGN, Inc.*    635       66,523
Automatic Data Processing, Inc.(a)    493      123,122
Booz Allen Hamilton Holding Corp.(a)  1,247      185,105
Brady Corp., Class A    525       31,122
Brink's Co. (The)    362       33,442
Broadridge Financial Solutions, Inc.(a)    167       34,212
Cimpress PLC (Ireland)*    111        9,825
Cintas Corp.    114       78,321
CSG Systems International, Inc.    874       45,046
Enviri Corp.*    277        2,534
Healthcare Services Group, Inc.*    830       10,358
Heidrick & Struggles International, Inc.      3          101
HireRight Holdings Corp.*     42          599
Jacobs Solutions, Inc.(a)  1,245      191,394
Legalzoom.com, Inc.*  1,643       21,918
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Commercial & Professional Services — (Continued)
Leidos Holdings, Inc.(a)  1,128   $    147,869
ManpowerGroup, Inc.  1,165       90,451
Maximus, Inc.    215       18,038
MillerKnoll, Inc.  1,023       25,329
MSA Safety, Inc.    222       42,977
OPENLANE, Inc.*  1,488       25,742
Parsons Corp.(a)*  2,147      178,094
Republic Services, Inc.(a)    264       50,540
Robert Half, Inc.(a)  1,221       96,801
Science Applications International Corp.(a)    365       47,592
SS&C Technologies Holdings, Inc.    365       23,495
Steelcase, Inc., Class A  3,871       50,633
Sterling Check Corp.*     75        1,206
TaskUS, Inc., Class A*     71          827
TELUS International CDA, Inc. (Canada)*     71          601
Tetra Tech, Inc.(a)  1,143      211,123
Veralto Corp.(a)  1,192      105,683
Waste Connections, Inc. (Canada)    756      130,039
Waste Management, Inc.    292       62,240
       2,324,524
Consumer Discretionary Distribution & Retail — 3.9%
Amazon.com, Inc.(a)*  2,946      531,399
AutoZone, Inc.(a)*     78      245,829
Best Buy Co., Inc.     67        5,496
Camping World Holdings, Inc., Class A  1,683       46,871
Carvana Co.(a)*    959       84,306
eBay, Inc.(a)  2,525      133,269
Etsy, Inc.*  1,065       73,187
Gap, Inc. (The)(a)  8,669      238,831
Hibbett, Inc.    123        9,448
Home Depot, Inc. (The)(a)    744      285,398
Kohl's Corp.  3,594      104,765
Leslie's, Inc.*  6,408       41,652
LKQ Corp.  1,349       72,050
Monro, Inc.  2,300       72,542
Murphy USA, Inc.     83       34,794
ODP Corp. (The)(a)*  2,201      116,763
Ross Stores, Inc.    934      137,074
Signet Jewelers Ltd. (Bermuda)  2,758      275,993
TJX Cos., Inc. (The)(a)  1,738      176,268
Ulta Beauty, Inc.(a)*    412      215,426
Wayfair, Inc., Class A*    211       14,323
 
The accompanying notes are an integral part of the financial statements.
133

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Discretionary Distribution & Retail — (Continued)
Williams-Sonoma, Inc.    119   $     37,786
Winmark Corp.     88       31,830
       2,985,300
Consumer Durables & Apparel — 3.1%
Carter's, Inc.(a)  1,392      117,875
Columbia Sportswear Co.    487       39,535
Cricut, Inc., Class A     57          271
Deckers Outdoor Corp.(a)*    155      145,895
Figs, Inc., Class A* 14,021       69,825
Garmin Ltd. (Switzerland)  1,030      153,336
G-III Apparel Group Ltd.*  2,917       84,622
Hanesbrands, Inc.(a)* 17,425      101,065
Hasbro, Inc.  1,545       87,323
Helen of Troy Ltd. (Bermuda)*    874      100,720
Leggett & Platt, Inc.  3,179       60,878
Lululemon Athletica, Inc.*     52       20,314
Mattel, Inc.(a)* 15,296      303,014
Mohawk Industries, Inc.*    679       88,874
Newell Brands, Inc.    176        1,413
NIKE, Inc., Class B    575       54,039
PulteGroup, Inc.(a)  1,226      147,880
Ralph Lauren Corp.(a)    961      180,437
Smith & Wesson Brands, Inc.     16          278
Sonos, Inc.*  2,609       49,728
Tapestry, Inc.  1,523       72,312
TopBuild Corp.*    287      126,490
Vista Outdoor, Inc.(a)*  2,117       69,395
Worthington Enterprises, Inc.    967       60,176
YETI Holdings, Inc.(a)*  5,253      202,503
       2,338,198
Consumer Services — 3.9%
ADT, Inc. 15,059      101,196
Adtalem Global Education, Inc.*    431       22,153
Aramark (a) 11,482      373,395
BJ's Restaurants, Inc.*    564       20,405
Booking Holdings, Inc.(a)     91      330,137
Bright Horizons Family Solutions, Inc.*    401       45,457
Brinker International, Inc.(a)*  3,875      192,510
Caesars Entertainment, Inc.(a)*  2,186       95,616
Dine Brands Global, Inc.    309       14,362
DoorDash, Inc., Class A*    125       17,215
DraftKings, Inc., Class A*    587       26,656
Duolingo, Inc.*     98       21,617
European Wax Center, Inc., Class A*    386        5,010
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
Expedia Group, Inc.(a)*  1,239   $    170,672
Frontdoor, Inc.(a)*  4,820      157,036
Grand Canyon Education, Inc.*    290       39,501
International Game Technology PLC (United Kingdom)    693       15,655
Las Vegas Sands Corp.(a)  3,468      179,296
Marriott International, Inc., Class A    260       65,601
McDonald's Corp.(a)    731      206,105
Papa John's International, Inc.    300       19,980
Sabre Corp.*  8,893       21,521
Shake Shack, Inc., Class A*    286       29,753
Six Flags Entertainment Corp.*    999       26,294
Starbucks Corp.(a)  1,004       91,755
Strategic Education, Inc.     99       10,308
Sweetgreen, Inc., Class A*    608       15,358
Vail Resorts, Inc.    301       67,072
Wendy's Co. (The)    968       18,237
Wyndham Hotels & Resorts, Inc.(a)  2,660      204,155
Wynn Resorts Ltd.(a)  1,799      183,912
Yum! Brands, Inc.(a)  1,325      183,711
       2,971,651
Consumer Staples Distribution & Retail — 2.8%
Albertsons Cos., Inc., Class A  5,476      117,405
Costco Wholesale Corp.(a)    229      167,772
Dollar General Corp.     42        6,555
Fresh Market Holdings, Inc. (The), Escrow Shares(b)* 14,027           —
Grocery Outlet Holding Corp.(a)*  2,617       75,317
Kroger Co. (The)(a) 12,778      730,007
Performance Food Group Co.*    102        7,613
Sysco Corp.(a)    981       79,638
Target Corp.(a)  3,869      685,625
US Foods Holding Corp.(a)*  1,050       56,669
Walgreens Boots Alliance, Inc.  1,608       34,878
Walmart, Inc.(a)  2,529      152,170
Weis Markets, Inc.     83        5,345
       2,118,994
Energy — 7.1%
Antero Midstream Corp.(a) 13,828      194,422
APA Corp.(a)    694       23,860
Archrock, Inc.  5,259      103,445
Baker Hughes Co.(a)  4,809      161,101
Berry Corp.    760        6,118
Borr Drilling Ltd. (Bermuda)  2,670       18,290
California Resources Corp.(a)  2,403      132,405
 
The accompanying notes are an integral part of the financial statements.
134

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Energy — (Continued)
Cameco Corp. (Canada)    753   $     32,620
Canadian Natural Resources Ltd. (Canada)  5,818      444,030
Cheniere Energy, Inc.(a)  1,160      187,085
Chesapeake Energy Corp.(a)  1,196      106,241
Chord Energy Corp.    205       36,539
ConocoPhillips (a)    406       51,676
CONSOL Energy, Inc.(a)  2,122      177,739
Coterra Energy, Inc.  3,468       96,688
CVR Energy, Inc.(a)    837       29,847
Delek US Holdings, Inc.  2,207       67,843
Devon Energy Corp.(a)  4,645      233,086
DHT Holdings, Inc. (Marshall Islands)  3,587       41,250
Diamondback Energy, Inc.(a)  1,038      205,700
Dorian LPG Ltd. (Marshall Islands)  6,491      249,644
Enbridge, Inc. (Canada)  2,642       95,588
Enerplus Corp. (Canada)  1,666       32,754
Exxon Mobil Corp.(a)  2,227      258,866
FLEX LNG Ltd. (Bermuda)    983       24,998
Green Plains, Inc.*    393        9,086
Gulfport Energy Corp.*    358       57,323
Halliburton Co.  2,190       86,330
Helix Energy Solutions Group, Inc.*  5,765       62,493
Helmerich & Payne, Inc.(a)  6,344      266,829
Kinder Morgan, Inc.  3,044       55,827
Marathon Oil Corp.(a) 15,186      430,371
Marathon Petroleum Corp.(a)    672      135,408
Murphy Oil Corp.(a)  1,988       90,852
Nabors Industries Ltd. (Bermuda)*    634       54,606
Nordic American Tankers Ltd. (Bermuda) 14,194       55,640
Occidental Petroleum Corp.(a)  3,152      204,848
Pembina Pipeline Corp. (Canada)  1,527       53,964
Phillips 66    729      119,075
Pioneer Natural Resources Co.(a)    901      236,512
REX American Resources Corp.*      4          235
Schlumberger NV (Curacao)  1,269       69,554
Targa Resources Corp.     95       10,639
TC Energy Corp. (Canada)     65        2,613
TechnipFMC PLC (United Kingdom) 10,759      270,158
Transocean Ltd. (Switzerland)*  7,512       47,175
US Silica Holdings, Inc.*  3,624       44,974
Valero Energy Corp.     95       16,216
       5,392,563
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — 3.3%
AvidXchange Holdings, Inc.*  8,762   $    115,220
Berkshire Hathaway, Inc., Class B(a)*    658      276,702
BlackRock, Inc.     93       77,534
Cboe Global Markets, Inc.    955      175,462
CME Group, Inc.(a)    862      185,580
Coinbase Global, Inc., Class A(a)*     66       17,498
Corpay, Inc.*    153       47,207
Donnelley Financial Solutions, Inc.*    126        7,813
Euronet Worldwide, Inc.*    115       12,642
FactSet Research Systems, Inc.     35       15,904
Fiserv, Inc.(a)*  2,062      329,549
Franklin Resources, Inc.(a)  3,789      106,509
Intercontinental Exchange, Inc.    895      123,000
International Money Express, Inc.*    674       15,387
Mastercard, Inc., Class A    153       73,680
Morningstar, Inc.(a)    480      148,018
NCR Atleos Corp.(a)*  2,526       49,888
Open Lending Corp.*     25          156
Paymentus Holdings, Inc., Class A*      1           23
Payoneer Global, Inc.* 10,834       52,653
PayPal Holdings, Inc.(a)*  3,234      216,646
S&P Global, Inc.    158       67,221
Shift4 Payments, Inc., Class A*  1,486       98,180
T Rowe Price Group, Inc.(a)    892      108,753
Visa, Inc., Class A(a)    510      142,331
Western Union Co. (The)  1,286       17,978
       2,481,534
Food, Beverage & Tobacco — 4.0%
Altria Group, Inc.(a)  4,015      175,134
Archer-Daniels-Midland Co.(a)  2,158      135,544
B&G Foods, Inc.  8,135       93,064
Boston Beer Co., Inc. (The), Class A*     36       10,959
Bunge Global SA (Switzerland)    947       97,087
Campbell Soup Co.    840       37,338
Coca-Cola Co. (The)(a)  3,825      234,014
Coca-Cola Consolidated, Inc.     35       29,624
Conagra Brands, Inc.(a)  3,939      116,752
Constellation Brands, Inc., Class A(a)    446      121,205
Dole PLC (Ireland)    384        4,581
General Mills, Inc.(a)  1,497      104,745
Hormel Foods Corp.(a)  4,075      142,177
Ingredion, Inc.(a)  1,519      177,495
J & J Snack Foods Corp.    137       19,805
Kellanova (a)  6,531      374,161
Keurig Dr Pepper, Inc.(a)  5,960      182,793
 
The accompanying notes are an integral part of the financial statements.
135

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
Kraft Heinz Co. (The)(a)  3,563   $    131,475
Lancaster Colony Corp.(a)    380       78,899
McCormick & Co., Inc., non-voting shares  2,111      162,146
Mission Produce, Inc.*     47          558
Molson Coors Beverage Co., Class B  1,147       77,136
Mondelez International, Inc., Class A(a)  2,530      177,100
Philip Morris International, Inc.    939       86,031
Primo Water Corp. (Canada)  2,708       49,313
Simply Good Foods Co. (The)*  4,408      150,004
SunOpta, Inc. (Canada)*    669        4,596
Tootsie Roll Industries, Inc.      5          160
Vector Group Ltd.  1,227       13,448
Vita Coco Co., Inc. (The)*  3,959       96,718
Vital Farms, Inc.*    156        3,627
       3,087,689
Health Care Equipment & Services — 6.8%
Addus HomeCare Corp.*    318       32,862
Align Technology, Inc.*    149       48,860
Astrana Health, Inc.*    178        7,474
Avanos Medical, Inc.*  1,080       21,503
Baxter International, Inc.(a)  5,290      226,095
Becton Dickinson & Co.(a)    938      232,108
Cardinal Health, Inc.(a)  1,256      140,546
Cencora, Inc.    215       52,243
Centene Corp.(a)*  1,611      126,431
Cigna Group (The)(a)    333      120,942
CONMED Corp.(a)  3,181      254,734
Cross Country Healthcare, Inc.*  2,573       48,167
CVS Health Corp.(a)    936       74,655
DaVita, Inc.(a)*  2,217      306,057
Definitive Healthcare Corp.*  1,933       15,599
Enovis Corp.(a)*    320       19,984
Evolent Health, Inc., Class A(a)*  5,405      177,230
Fulgent Genetics, Inc.(a)*    823       17,859
GE HealthCare Technologies, Inc.(a)  2,138      194,366
Haemonetics Corp.(a)*    651       55,563
HCA Healthcare, Inc.(a)    413      137,748
HealthEquity, Inc.*     27        2,204
HealthStream, Inc.     32          853
Hologic, Inc.(a)*    698       54,416
Humana, Inc.(a)    499      173,013
IDEXX Laboratories, Inc.(a)*  1,013      546,949
Lantheus Holdings, Inc.(a)*  3,203      199,355
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
LeMaitre Vascular, Inc.     85   $      5,641
McKesson Corp.    114       61,201
Medtronic PLC (Ireland)  6,341      552,618
Molina Healthcare, Inc.(a)*    357      146,666
National HealthCare Corp.     75        7,088
Owens & Minor, Inc.*  4,422      122,534
Penumbra, Inc.*    297       66,284
Phreesia, Inc.*  2,263       54,154
Privia Health Group, Inc.(a)*  4,525       88,645
Quest Diagnostics, Inc.(a)    921      122,594
ResMed, Inc.(a)  1,160      229,715
Teleflex, Inc.     80       18,094
Tenet Healthcare Corp.(a)*  1,123      118,039
UFP Technologies, Inc.*     69       17,402
UnitedHealth Group, Inc.(a)    247      122,191
Varex Imaging Corp.*    771       13,955
Zimmer Biomet Holdings, Inc.(a)    977      128,944
       5,163,581
Household & Personal Products — 1.8%
BellRing Brands, Inc.(a)*  4,660      275,080
Clorox Co. (The)(a)    985      150,813
Colgate-Palmolive Co.(a)  1,705      153,535
Coty, Inc., Class A*  4,719       56,439
Edgewell Personal Care Co.    867       33,501
Energizer Holdings, Inc.    620       18,253
Estee Lauder Cos., Inc. (The), Class A    146       22,506
Kenvue, Inc.(a)  8,422      180,736
Kimberly-Clark Corp.(a)  1,391      179,926
Procter & Gamble Co. (The)(a)    845      137,101
Reynolds Consumer Products, Inc.    964       27,532
Spectrum Brands Holdings, Inc.(a)    257       22,876
WD-40 Co.    402      101,831
       1,360,129
Materials — 6.2%
Alamos Gold, Inc., Class A (Canada) 11,995      176,926
Alpha Metallurgical Resources, Inc.    336      111,273
Amcor PLC (Jersey)  4,662       44,336
AptarGroup, Inc.    420       60,434
Arch Resources, Inc.     81       13,024
Avient Corp.    599       25,997
Axalta Coating Systems Ltd. (Bermuda)*  1,337       45,979
Balchem Corp.     45        6,973
Ball Corp.(a)  1,527      102,859
 
The accompanying notes are an integral part of the financial statements.
136

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Barrick Gold Corp. (Canada)    502   $      8,353
Berry Global Group, Inc.(a)  1,213       73,362
Cabot Corp.    250       23,050
Carpenter Technology Corp.(a)  2,178      155,553
Celanese Corp.    835      143,503
Cleveland-Cliffs, Inc.(a)* 18,887      429,490
Corteva, Inc.(a) 11,530      664,935
Crown Holdings, Inc.    354       28,058
Eastman Chemical Co.(a)  1,153      115,554
Ecolab, Inc.(a)     83       19,165
Fortuna Silver Mines, Inc. (Canada)* 21,474       80,098
Freeport-McMoRan, Inc.  1,179       55,437
HB Fuller Co.    800       63,792
Innospec, Inc.     94       12,120
International Flavors & Fragrances, Inc.(a)  1,467      126,147
International Paper Co.(a)    979       38,201
Kinross Gold Corp. (Canada)  4,187       25,666
Knife River Corp.*  1,020       82,702
Koppers Holdings, Inc.    124        6,841
Linde PLC (Ireland)    392      182,013
LyondellBasell Industries NV, Class A (Netherlands)  1,510      154,443
Martin Marietta Materials, Inc.(a)     90       55,255
Mativ Holdings, Inc.    922       17,288
Minerals Technologies, Inc.    650       48,932
NewMarket Corp.(a)    370      234,809
Nucor Corp.(a)    429       84,899
Packaging Corp. of America(a)    416       78,948
PPG Industries, Inc.(a)    739      107,081
Quaker Chemical Corp.    621      127,460
Royal Gold, Inc.(a)  2,072      252,390
RPM International, Inc.(a)    776       92,305
Scotts Miracle-Gro Co. (The)(a)  3,793      282,920
Sealed Air Corp.(a)  1,028       38,242
Sherwin-Williams Co. (The)(a)    333      115,661
SilverCrest Metals, Inc. (Canada)*     69          460
Sonoco Products Co.    108        6,247
Summit Materials, Inc., Class A*    385       17,159
Taseko Mines Ltd. (Canada)*    120          260
Vulcan Materials Co.    216       58,951
Westrock Co.  1,056       52,219
Worthington Steel, Inc.     28        1,004
       4,748,774
Media & Entertainment — 5.4%
Alphabet, Inc., Class A(a)*  3,552      536,103
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Media & Entertainment — (Continued)
Bumble, Inc., Class A(a)*  2,840   $     32,234
Cable One, Inc.     44       18,618
Cinemark Holdings, Inc.(a)*  8,100      145,557
Clear Channel Outdoor Holdings, Inc.*    913        1,507
Comcast Corp., Class A(a)  5,948      257,846
Electronic Arts, Inc.(a)  2,613      346,667
Getty Images Holdings, Inc.*     11           46
Grindr, Inc.*     14          142
Interpublic Group of Cos., Inc. (The)(a)  3,648      119,034
Match Group, Inc.*  2,848      103,325
Meta Platforms, Inc., Class A(a)  1,268      615,715
Netflix, Inc.(a)*    543      329,780
News Corp., Class A(a)  2,701       70,712
Omnicom Group, Inc.(a)    453       43,832
Paramount Global, Class B(a) 24,087      283,504
Sirius XM Holdings, Inc. 32,956      127,869
Spotify Technology SA (Luxembourg)*  1,262      333,042
TripAdvisor, Inc.(a)*  9,343      259,642
Vimeo, Inc.*  6,958       28,458
Walt Disney Co. (The)(a)  1,506      184,274
Warner Music Group Corp., Class A    708       23,378
Yelp, Inc.(a)*  4,197      165,362
ZipRecruiter, Inc., Class A*  1,595       18,327
ZoomInfo Technologies, Inc.*  3,651       58,526
       4,103,500
Pharmaceuticals, Biotechnology & Life Sciences — 4.3%
AbbVie, Inc.    327       59,547
Agilent Technologies, Inc.(a)  1,709      248,677
Alkermes PLC (Ireland)*  9,347      253,023
Alpine Immune Sciences, Inc.*    700       27,748
Amneal Pharmaceuticals, Inc.*  1,295        7,848
Amphastar Pharmaceuticals, Inc.*  1,950       85,624
ANI Pharmaceuticals, Inc.*    472       32,629
Azenta, Inc.(a)*  1,274       76,797
Beam Therapeutics, Inc.*  1,416       46,785
Bio-Rad Laboratories, Inc., Class A(a)*    149       51,535
Bristol-Myers Squibb Co.(a)  5,871      318,384
Collegium Pharmaceutical, Inc.*  2,534       98,370
Corcept Therapeutics, Inc.*  1,536       38,692
Danaher Corp.     43       10,738
EyePoint Pharmaceuticals, Inc.*  2,697       55,747
Gilead Sciences, Inc.(a)  1,192       87,314
 
The accompanying notes are an integral part of the financial statements.
137

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued)
Halozyme Therapeutics, Inc.(a)*  1,396   $     56,789
Harmony Biosciences Holdings, Inc.(a)*  5,468      183,615
ImmunityBio, Inc.*  1,508        8,098
Incyte Corp.(a)*  7,226      411,665
Innoviva, Inc.*  2,053       31,288
IQVIA Holdings, Inc.(a)*    581      146,929
Ironwood Pharmaceuticals, Inc.*  1,403       12,220
Johnson & Johnson(a)  2,059      325,713
Merck & Co., Inc.(a)    942      124,297
Mettler-Toledo International, Inc.(a)*     84      111,828
Natera, Inc.*    375       34,297
Nurix Therapeutics, Inc.*      6           88
Nuvation Bio, Inc.*      9           33
Scholar Rock Holding Corp.*     61        1,083
Spyre Therapeutics, Inc.*      5          190
Thermo Fisher Scientific, Inc.(a)    208      120,892
Twist Bioscience Corp.(a)*  3,297      113,120
United Therapeutics Corp.(a)*    216       49,620
Viatris, Inc.(a)  6,157       73,515
Waters Corp.*     28        9,638
WaVe Life Sciences Ltd. (Singapore)*    101          623
       3,314,999
Semiconductors & Semiconductor Equipment — 6.0%
Advanced Micro Devices, Inc.(a)*  1,196      215,866
Amkor Technology, Inc.  1,942       62,610
Applied Materials, Inc.(a)    715      147,454
Entegris, Inc.(a)  1,029      144,616
GLOBALFOUNDRIES, Inc. (Cayman Islands)*  3,747      195,256
KLA Corp.    168      117,360
Lam Research Corp.(a)    120      116,588
Microchip Technology, Inc.(a)    841       75,446
Micron Technology, Inc.(a)  3,895      459,181
Monolithic Power Systems, Inc.(a)    885      599,517
NVIDIA Corp.(a)    331      299,078
NXP Semiconductors NV (Netherlands)    836      207,136
ON Semiconductor Corp.*  1,327       97,601
Photronics, Inc.*  3,643      103,170
Qorvo, Inc.(a)*  5,420      622,379
QUALCOMM, Inc.(a)  3,099      524,661
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Semiconductors & Semiconductor Equipment — (Continued)
Skyworks Solutions, Inc.(a)  4,892   $    529,901
SMART Global Holdings, Inc. (Cayman Islands)*  2,878       75,749
       4,593,569
Software & Services — 9.5%
Accenture PLC, Class A (Ireland)    605      209,699
Adobe, Inc.(a)*    751      378,955
Amdocs Ltd. (Guernsey)    768       69,404
Appfolio, Inc., Class A*    419      103,384
Bitfarms Ltd. (Canada)* 84,982      189,510
Blackbaud, Inc.*    471       34,920
Box, Inc., Class A*  2,057       58,254
CGI, Inc. (Canada)*     61        6,740
Docebo, Inc. (Canada)*     52        2,547
DXC Technology Co.*  3,715       78,795
Enfusion, Inc., Class A*    105          971
EverCommerce, Inc.*      8           75
Fortinet, Inc.*  2,003      136,825
Gen Digital, Inc.(a)  6,027      135,005
Globant SA (Luxembourg)*    394       79,549
GoDaddy, Inc., Class A(a)*    517       61,358
Guidewire Software, Inc.(a)*  1,102      128,614
Hackett Group, Inc. (The)      1           24
Informatica, Inc., Class A*  2,378       83,230
InterDigital, Inc.(a)  1,853      197,270
International Business Machines Corp.(a)    844      161,170
JFrog Ltd. (Israel)*  4,796      212,079
Kyndryl Holdings, Inc.*    601       13,078
LiveRamp Holdings, Inc.*  2,727       94,082
Manhattan Associates, Inc.(a)*    135       33,781
MeridianLink, Inc.*     66        1,234
Microsoft Corp.(a)  1,080      454,378
N-able, Inc.*     59          771
NCR Voyix Corp.(a)* 11,045      139,498
NextNav, Inc.*    129          849
Nutanix, Inc., Class A(a)*  1,394       86,038
Okta, Inc.(a)*  4,920      514,730
Oracle Corp.(a)  3,482      437,374
Palantir Technologies, Inc., Class A(a)* 19,104      439,583
Palo Alto Networks, Inc.(a)*  1,073      304,872
Pegasystems, Inc.  1,605      103,747
Q2 Holdings, Inc.*  2,231      117,261
Qualys, Inc.(a)*  1,250      208,588
Roper Technologies, Inc.    137       76,835
 
The accompanying notes are an integral part of the financial statements.
138

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
Salesforce, Inc.(a)  1,188   $    357,802
Samsara, Inc., Class A(a)*  2,493       94,211
ServiceNow, Inc.(a)*    581      442,954
SolarWinds Corp.*     24          303
SPS Commerce, Inc.*      2          370
Synopsys, Inc.*     62       35,433
UiPath, Inc., Class A(a)*    787       17,841
Varonis Systems, Inc.*    479       22,594
Verint Systems, Inc.*     43        1,426
VeriSign, Inc.(a)*  1,151      218,126
Workday, Inc., Class A(a)*    497      135,557
Yext, Inc.*  5,733       34,570
Zoom Video Communications, Inc., Class A(a)*  8,620      563,489
       7,279,753
Technology Hardware & Equipment — 5.2%
Amphenol Corp., Class A    506       58,367
Apple, Inc.(a)  4,956      849,855
Arlo Technologies, Inc.*  1,246       15,762
Arrow Electronics, Inc.*    501       64,859
Badger Meter, Inc.    214       34,627
Bel Fuse, Inc., Class B    514       30,999
CDW Corp.(a)    345       88,244
Ciena Corp.(a)*  5,259      260,057
Cisco Systems, Inc.(a)  4,475      223,347
Crane NXT Co.(a)    339       20,984
Extreme Networks, Inc.(a)*  9,924      114,523
F5, Inc.(a)*  1,288      244,192
Fabrinet (Cayman Islands)*    254       48,011
Hewlett Packard Enterprise Co.(a)  7,954      141,024
HP, Inc.(a)  5,669      171,317
Insight Enterprises, Inc.(a)*    250       46,380
Itron, Inc.*  1,416      131,008
Jabil, Inc.(a)  1,504      201,461
Keysight Technologies, Inc.*    445       69,589
Littelfuse, Inc.    494      119,721
Motorola Solutions, Inc.(a)    271       96,200
Napco Security Technologies, Inc.  1,510       60,642
NetApp, Inc.(a)  1,771      185,902
NetScout Systems, Inc.(a)*  1,934       42,239
PC Connection, Inc.     49        3,231
Rogers Corp.*    111       13,175
Seagate Technology Holdings PLC (Ireland)  1,308      121,709
Super Micro Computer, Inc.(a)*    188      189,886
TD SYNNEX Corp.    436       49,312
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Technology Hardware & Equipment — (Continued)
TE Connectivity Ltd. (Switzerland)    656   $     95,277
Vontier Corp.  1,205       54,659
Western Digital Corp.*  1,679      114,575
Xerox Holdings Corp.    932       16,683
       3,977,817
Telecommunication Services — 1.0%
Anterix, Inc.*     82        2,756
AT&T, Inc.(a)  6,546      115,210
BCE, Inc. (Canada)    371       12,606
Iridium Communications, Inc.  3,781       98,911
Lumen Technologies, Inc.*     49           76
TELUS Corp. (Canada)  3,880       62,119
T-Mobile US, Inc.(a)  1,668      272,251
Verizon Communications, Inc.(a)  4,229      177,449
         741,378
Transportation — 1.3%
CH Robinson Worldwide, Inc.    274       20,862
CSX Corp.(a)  4,199      155,657
Delta Air Lines, Inc.(a)  3,626      173,577
FedEx Corp.(a)    128       37,087
Forward Air Corp.  2,318       72,113
FTAI Infrastructure, Inc.     54          339
GXO Logistics, Inc.*    981       52,739
Heartland Express, Inc.    125        1,492
Old Dominion Freight Line, Inc.(a)    498      109,216
Saia, Inc.*     55       32,175
SkyWest, Inc.(a)*  2,351      162,407
Uber Technologies, Inc.(a)*  1,796      138,274
Union Pacific Corp.    270       66,401
       1,022,339
Utilities — 2.9%
ALLETE, Inc.(a)  2,379      141,884
American Water Works Co., Inc.    446       54,506
Atmos Energy Corp.    163       19,376
Black Hills Corp.(a)  3,689      201,419
Consolidated Edison, Inc.    513       46,586
Constellation Energy Corp.(a)    581      107,398
Duke Energy Corp.(a)  3,499      338,388
Fortis, Inc. (Canada)  2,037       80,482
New Jersey Resources Corp.    809       34,714
NRG Energy, Inc.(a)  8,161      552,418
ONE Gas, Inc.    797       51,431
Public Service Enterprise Group, Inc.(a)  5,222      348,725
Southwest Gas Holdings, Inc.  1,477      112,444
 
The accompanying notes are an integral part of the financial statements.
139

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
Spire, Inc.    573   $     35,165
TransAlta Corp. (Canada)  1,233        7,928
Vistra Corp.(a)    896       62,406
       2,195,270
TOTAL COMMON STOCKS
(Cost $64,173,586) 		    72,507,829
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0%      3,838,104
NET ASSETS - 100.0%     $ 76,345,933
(a) Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements)
(b) Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees.
* Non-income producing.
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
140

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 29, 2025 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents (70.0)% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Long                                
Automobiles & Components                            
Adient PLC (Ireland)   USFF +0.250%   Weekly   MS   07/08/27   188   $ 6,409   $ 6,189   $ 308
American Axle & Manufacturing Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,259   9,767   9,266   279
Aptiv PLC (Jersey)   USFF +0.250%   Weekly   MS   01/12/29   85   6,634   6,770   681
BorgWarner, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,480   46,211   51,415   9,540
Dorman Products, Inc.   USFF +0.250%   Weekly   MS   01/12/29   45   4,155   4,338   523
Ford Motor Co.   USFF +0.250%   Weekly   MS   07/11/28   4,139   49,692   54,966   10,832
Garrett Motion, Inc.   USFF +0.250%   Weekly   MS   01/12/29   29   288   288   21
General Motors Co.   USFF +0.250%   Weekly   MS   07/11/28   1,221   35,369   55,372   23,412
Gentherm, Inc.   USFF +0.250%   Weekly   MS   01/12/29   71   3,943   4,088   468
Goodyear Tire & Rubber Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   564   7,746   7,744   600
LCI Industries   USFF +0.250%   Weekly   MS   01/12/29   53   6,242   6,522   793
Lear Corp.   USFF +0.250%   Weekly   MS   01/12/29   92   12,109   13,329   2,389
Visteon Corp.   USFF +0.250%   Weekly   MS   01/07/27   216   25,102   25,404   2,337
                    9,442   213,667   245,691   52,183
Capital Goods                            
3M Co.   USFF +0.250%   Weekly   MS   01/12/29   14   1,448   1,485   (75)
A. O. Smith Corp.   USFF +0.250%   Weekly   MS   07/08/27   398   28,549   35,605   10,387
AAR Corp.   USFF +0.250%   Weekly   MS   01/12/29   33   1,980   1,976   157
Acuity Brands, Inc.   USFF +0.250%   Weekly   MS   01/10/28   64   10,073   17,199   8,405
AECOM   USFF +0.250%   Weekly   MS   07/11/28   75   5,788   7,356   3,090
American Woodmark Corp.   USFF +0.250%   Weekly   MS   01/10/28   126   9,476   12,809   4,137
Apogee Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   59   59   2
Applied Industrial Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   59   7,822   11,655   5,682
Array Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   5,239   66,176   78,113   17,847
AZEK Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,762   56,687   88,488   37,471
Beacon Roofing Supply, Inc.   USFF +0.250%   Weekly   MS   01/12/29   252   21,509   24,701   5,211
Blue Bird Corp.   USFF +0.250%   Weekly   MS   07/11/28   180   3,711   6,901   3,529
Boeing Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   240   43,349   46,318   7,159
Boise Cascade Co.   USFF +0.250%   Weekly   MS   01/10/28   57   4,707   8,742   6,159
Builders FirstSource, Inc.   USFF +0.250%   Weekly   MS   01/12/29   12   2,515   2,503   192
BWX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   535   54,581   54,902   4,849
Cadre Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   35   1,260   1,267   109
The accompanying notes are an integral part of the financial statements.
141

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Carlisle Cos., Inc.   USFF +0.250%   Weekly   MS   01/12/29   94   $32,885   $36,834   $ 6,878
Carrier Global Corp.   USFF +0.250%   Weekly   MS   07/08/27   151   7,085   8,778   2,512
Caterpillar, Inc.   USFF +0.250%   Weekly   MS   01/12/29   57   20,439   20,887   2,469
Chart Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   71   10,838   11,695   1,820
Comfort Systems USA, Inc.   USFF +0.250%   Weekly   MS   01/10/28   36   4,723   11,438   8,640
Core & Main, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   154   4,352   8,817   6,862
Crane Co.   USFF +0.250%   Weekly   MS   07/08/27   393   31,321   53,106   25,392
Cummins, Inc.   USFF +0.250%   Weekly   MS   07/11/28   158   38,223   46,555   11,750
Curtiss-Wright Corp.   USFF +0.250%   Weekly   MS   01/10/28   68   11,467   17,404   7,449
Deere & Co.   USFF +0.250%   Weekly   MS   01/12/29   43   16,578   17,662   2,525
Donaldson Co., Inc.   USFF +0.250%   Weekly   MS   07/08/27   416   25,471   31,067   8,160
Dover Corp.   USFF +0.250%   Weekly   MS   01/12/29   89   14,257   15,770   2,782
Eaton Corp. PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   108   29,332   33,769   7,028
EMCOR Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   119   24,181   41,674   21,729
Enerpac Tool Group Corp.   USFF +0.250%   Weekly   MS   07/08/27   379   9,885   13,515   4,490
EnerSys   USFF +0.250%   Weekly   MS   07/11/28   352   32,898   33,250   3,199
Enpro, Inc.   USFF +0.250%   Weekly   MS   01/10/28   34   3,282   5,738   3,242
Esab Corp.   USFF +0.250%   Weekly   MS   01/12/29   113   11,335   12,494   2,102
Fastenal Co.   USFF +0.250%   Weekly   MS   07/11/28   166   10,304   12,805   3,550
Federal Signal Corp.   USFF +0.250%   Weekly   MS   01/12/29   38   3,136   3,225   286
Flowserve Corp.   USFF +0.250%   Weekly   MS   07/11/28   735   30,762   33,575   5,545
Fluence Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,678   34,607   29,097   (2,656)
Generac Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   662   75,027   83,505   14,995
General Dynamics Corp.   USFF +0.250%   Weekly   MS   01/10/28   98   22,689   27,684   7,285
General Electric Co.   USFF +0.250%   Weekly   MS   01/12/29   75   12,640   13,165   1,568
Gibraltar Industries, Inc.   USFF +0.250%   Weekly   MS   01/10/28   192   12,312   15,462   4,242
Gorman-Rupp Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   1   39   40   2
Graco, Inc.   USFF +0.250%   Weekly   MS   01/12/29   99   8,510   9,253   1,535
Griffon Corp.   USFF +0.250%   Weekly   MS   01/10/28   955   40,962   70,040   33,779
Hillman Solutions Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,367   11,337   14,545   4,163
Honeywell International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   292   56,849   59,933   8,104
Howmet Aerospace, Inc.   USFF +0.250%   Weekly   MS   01/12/29   112   7,143   7,664   1,108
Hubbell, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6   2,484   2,490   208
Huntington Ingalls Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   112   25,909   32,645   9,289
Illinois Tool Works, Inc.   USFF +0.250%   Weekly   MS   07/08/27   135   32,841   36,225   6,991
Ingersoll Rand, Inc.   USFF +0.250%   Weekly   MS   01/12/29   445   39,682   42,253   5,870
The accompanying notes are an integral part of the financial statements.
142

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Kadant, Inc.   USFF +0.250%   Weekly   MS   01/12/29   8   $ 2,620   $ 2,625   $ 219
Kennametal, Inc.   USFF +0.250%   Weekly   MS   07/11/28   456   11,514   11,373   978
L3Harris Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   64   13,166   13,638   1,638
Leonardo DRS, Inc.   USFF +0.250%   Weekly   MS   01/12/29   151   3,311   3,336   296
Lincoln Electric Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   261   65,704   66,670   6,561
Lindsay Corp.   USFF +0.250%   Weekly   MS   07/11/28   109   13,621   12,825   362
Lockheed Martin Corp.   USFF +0.250%   Weekly   MS   07/06/26   161   67,083   73,234   13,676
Masco Corp.   USFF +0.250%   Weekly   MS   07/08/27   672   43,166   53,007   15,142
MasTec, Inc.   USFF +0.250%   Weekly   MS   01/12/29   72   6,751   6,714   2,652
MDU Resources Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,953   37,053   49,216   15,941
Middleby Corp. (The)   USFF +0.250%   Weekly   MS   07/11/28   225   32,754   36,178   6,160
MSC Industrial Direct Co., Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   745   71,072   72,295   8,011
Mueller Industries, Inc.   USFF +0.250%   Weekly   MS   07/06/26   330   11,265   17,797   8,479
Nikola Corp.   USFF +0.250%   Weekly   MS   01/12/29   262   269   272   23
NOW, Inc.   USFF +0.250%   Weekly   MS   01/12/29   128   1,932   1,946   170
Otis Worldwide Corp.   USFF +0.250%   Weekly   MS   07/08/27   174   15,028   17,273   3,640
Owens Corning   USFF +0.250%   Weekly   MS   01/12/29   22   3,081   3,670   1,215
PACCAR, Inc.   USFF +0.250%   Weekly   MS   07/08/27   144   10,349   17,840   8,881
Parker-Hannifin Corp.   USFF +0.250%   Weekly   MS   07/11/28   27   10,605   15,006   6,099
Powell Industries, Inc.   USFF +0.250%   Weekly   MS   01/10/28   333   39,714   47,386   11,019
Proto Labs, Inc.   USFF +0.250%   Weekly   MS   01/12/29   17   591   608   63
Quanex Building Products Corp.   USFF +0.250%   Weekly   MS   01/12/29   15   554   576   66
Quanta Services, Inc.   USFF +0.250%   Weekly   MS   07/11/28   636   147,747   165,233   30,757
Regal Rexnord Corp.   USFF +0.250%   Weekly   MS   01/12/29   2   359   360   28
Resideo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   66   1,488   1,480   112
RTX Corp.   USFF +0.250%   Weekly   MS   07/11/28   342   28,274   33,355   8,179
Snap-on, Inc.   USFF +0.250%   Weekly   MS   01/10/28   124   31,142   36,731   8,949
SPX Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   82   6,258   10,097   4,524
Stanley Black & Decker, Inc.   USFF +0.250%   Weekly   MS   07/11/28   651   55,656   63,752   13,732
Stantec, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   9   764   747   45
Sterling Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/10/28   142   5,697   15,664   11,098
Tennant Co.   USFF +0.250%   Weekly   MS   07/11/28   141   12,753   17,147   5,524
Terex Corp.   USFF +0.250%   Weekly   MS   01/10/28   137   5,987   8,823   4,117
Textron, Inc.   USFF +0.250%   Weekly   MS   01/07/27   766   65,485   73,482   13,811
Trane Technologies PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   84   22,672   25,217   4,541
Trex Co., Inc.   USFF +0.250%   Weekly   MS   01/12/29   297   28,059   29,626   3,918
The accompanying notes are an integral part of the financial statements.
143

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Tutor Perini Corp.   USFF +0.250%   Weekly   MS   01/12/29   13   $ 180   $ 188   $ 20
UFP Industries, Inc.   USFF +0.250%   Weekly   MS   01/10/28   190   15,452   23,372   9,967
United Rentals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   103   65,893   74,274   13,994
Wabash National Corp.   USFF +0.250%   Weekly   MS   07/08/27   829   17,924   24,820   8,659
Watts Water Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   90   14,515   19,130   6,248
Woodward, Inc.   USFF +0.250%   Weekly   MS   07/11/28   287   38,410   44,232   9,367
WW Grainger, Inc.   USFF +0.250%   Weekly   MS   07/06/26   20   16,061   20,346   5,783
Xylem, Inc.   USFF +0.250%   Weekly   MS   01/10/28   67   8,185   8,659   1,268
Zurn Water Solutions Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,102   31,832   36,884   7,877
                    31,594   2,157,471   2,571,242   633,013
Commercial & Professional
Services 		                           
ACV Auctions, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   1,625   24,464   30,501   8,054
Alight, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,651   14,719   16,262   3,311
ASGN, Inc.   USFF +0.250%   Weekly   MS   01/12/29   175   16,936   18,333   2,793
Automatic Data Processing, Inc.   USFF +0.250%   Weekly   MS   01/05/26   125   27,247   31,218   7,070
Booz Allen Hamilton Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   336   47,901   49,876   6,137
Brady Corp., Class A   USFF +0.250%   Weekly   MS   01/10/28   132   6,533   7,825   1,955
Brink's Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   122   9,995   11,270   2,116
Broadridge Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   07/08/27   48   8,719   9,833   1,917
Cimpress PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   30   2,698   2,655   178
Cintas Corp.   USFF -0.250%   Weekly   MS   01/07/27   29   18,599   19,924   2,870
CSG Systems International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   233   12,132   12,009   926
Enviri Corp.   USFF +0.250%   Weekly   MS   01/12/29   54   446   494   82
Healthcare Services Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   209   2,591   2,608   229
Heidrick & Struggles International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   34   34   21
HireRight Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   8   114   114   7
Jacobs Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   346   45,199   53,191   11,945
Legalzoom.com, Inc.   USFF +0.250%   Weekly   MS   07/11/28   374   3,981   4,989   1,357
Leidos Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   309   32,825   40,507   10,802
ManpowerGroup, Inc.   USFF +0.250%   Weekly   MS   07/11/28   349   25,626   27,096   3,682
Maximus, Inc.   USFF +0.250%   Weekly   MS   01/12/29   56   4,656   4,698   425
MillerKnoll, Inc.   USFF +0.250%   Weekly   MS   07/11/28   283   6,836   7,007   837
MSA Safety, Inc.   USFF +0.250%   Weekly   MS   07/11/28   72   12,173   13,938   2,812
OPENLANE, Inc.   USFF +0.250%   Weekly   MS   07/11/28   365   5,212   6,315   1,592
Parsons Corp.   USFF +0.250%   Weekly   MS   07/11/28   599   42,016   49,687   11,137
The accompanying notes are an integral part of the financial statements.
144

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Republic Services, Inc.   USFF +0.250%   Weekly   MS   01/10/28   93   $ 13,419   $ 17,804   $ 5,632
Robert Half, Inc.   USFF +0.250%   Weekly   MS   07/11/28   356   27,947   28,224   2,820
Science Applications International Corp.   USFF +0.250%   Weekly   MS   07/11/28   93   9,821   12,126   3,533
SS&C Technologies Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   103   6,619   6,630   570
Steelcase, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   1,021   12,526   13,355   1,918
Sterling Check Corp.   USFF +0.250%   Weekly   MS   01/12/29   17   272   273   21
TaskUS, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   22   266   256   10
TELUS International CDA, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   22   198   186   2
Tetra Tech, Inc.   USFF +0.250%   Weekly   MS   07/11/28   300   48,785   55,413   10,926
Veralto Corp.   USFF +0.250%   Weekly   MS   07/11/28   359   25,268   31,829   8,677
Waste Connections, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   206   35,019   35,434   3,304
Waste Management, Inc.   USFF +0.250%   Weekly   MS   01/12/29   77   15,233   16,413   2,589
                    10,200   567,025   638,327   122,257
Consumer Discretionary
Distribution & Retail 		                           
Amazon.com, Inc.   USFF +0.250%   Weekly   MS   07/08/27   717   94,092   129,332   47,328
AutoZone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   16   43,793   50,426   10,281
Best Buy Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   24   1,788   1,969   369
Camping World Holdings, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   452   11,676   12,588   1,849
Carvana Co.   USFF +0.250%   Weekly   MS   07/11/28   461   12,405   40,527   33,697
eBay, Inc.   USFF +0.250%   Weekly   MS   07/11/28   710   30,335   37,474   10,048
Etsy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   293   20,620   20,135   1,159
Gap, Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   2,464   21,438   67,883   52,036
Hibbett, Inc.   USFF +0.250%   Weekly   MS   01/12/29   33   2,391   2,535   341
Home Depot, Inc. (The)   USFF +0.250%   Weekly   MS   01/07/27   213   71,983   81,707   16,399
Kohl's Corp.   USFF +0.250%   Weekly   MS   01/12/29   993   25,995   28,946   5,337
Leslie's, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,731   12,869   11,252   (558)
LKQ Corp.   USFF +0.250%   Weekly   MS   01/12/29   373   19,389   19,922   2,215
Monro, Inc.   USFF +0.250%   Weekly   MS   07/11/28   626   18,310   19,744   3,109
Murphy USA, Inc.   USFF +0.250%   Weekly   MS   01/12/29   22   9,043   9,222   923
ODP Corp. (The)   USFF +0.250%   Weekly   MS   01/07/27   597   24,022   31,671   9,641
Ross Stores, Inc.   USFF +0.250%   Weekly   MS   01/12/29   260   37,908   38,158   3,376
Signet Jewelers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   758   73,163   75,853   8,732
TJX Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   481   46,482   48,783   6,214
Ulta Beauty, Inc.   USFF +0.250%   Weekly   MS   01/12/29   113   59,023   59,085   4,933
Wayfair, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   57   3,908   3,869   281
The accompanying notes are an integral part of the financial statements.
145

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Williams-Sonoma, Inc.   USFF +0.250%   Weekly   MS   07/11/28   29   $ 5,724   $ 9,208   $ 4,882
Winmark Corp.   USFF +0.250%   Weekly   MS   07/11/28   27   10,435   9,766   213
                    11,450   656,792   810,055   222,805
Consumer Durables & Apparel                            
Carter's, Inc.   USFF +0.250%   Weekly   MS   07/11/28   352   23,296   29,807   9,295
Columbia Sportswear Co.   USFF +0.250%   Weekly   MS   01/12/29   140   11,245   11,365   1,076
Cricut, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   19   89   90   6
Deckers Outdoor Corp.   USFF +0.250%   Weekly   MS   01/12/29   44   38,611   41,415   6,124
Figs, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   3,872   23,024   19,283   (1,844)
Garmin Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/10/28   288   29,362   42,875   17,287
G-III Apparel Group Ltd.   USFF +0.250%   Weekly   MS   07/11/28   802   22,331   23,266   2,776
Hanesbrands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,930   18,760   28,594   11,749
Hasbro, Inc.   USFF +0.250%   Weekly   MS   01/12/29   464   23,822   26,225   4,399
Helen of Troy Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   239   27,759   27,542   2,073
Leggett & Platt, Inc.   USFF +0.250%   Weekly   MS   01/10/28   901   20,769   17,254   (1,357)
Lululemon Athletica, Inc.   USFF +0.250%   Weekly   MS   01/12/29   14   5,545   5,469   379
Mattel, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,175   79,932   82,707   9,371
Mohawk Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   184   14,928   24,084   10,521
Newell Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   44   337   353   41
NIKE, Inc., Class B   USFF +0.250%   Weekly   MS   01/12/29   153   14,283   14,379   1,272
PulteGroup, Inc.   USFF +0.250%   Weekly   MS   01/10/28   335   21,895   40,408   21,145
Ralph Lauren Corp.   USFF +0.250%   Weekly   MS   01/10/28   268   33,018   50,320   20,698
Smith & Wesson Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   6   105   104   5
Sonos, Inc.   USFF +0.250%   Weekly   MS   01/12/29   715   13,467   13,628   1,270
Tapestry, Inc.   USFF +0.250%   Weekly   MS   01/12/29   415   18,214   19,704   3,130
TopBuild Corp.   USFF +0.250%   Weekly   MS   01/12/29   95   38,547   41,869   6,724
Vista Outdoor, Inc.   USFF +0.250%   Weekly   MS   01/07/27   594   16,279   19,471   4,539
Worthington Enterprises, Inc.   USFF +0.250%   Weekly   MS   07/11/28   255   12,632   15,869   4,351
YETI Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,444   59,538   55,666   840
                    20,748   567,788   651,747   135,870
Consumer Services                            
ADT, Inc.   USFF +0.250%   Weekly   MS   01/10/28   3,977   25,610   26,725   3,534
Adtalem Global Education, Inc.   USFF +0.250%   Weekly   MS   01/07/27   111   4,508   5,705   1,671
Aramark   USFF +0.250%   Weekly   MS   07/11/28   2,929   83,854   95,251   18,590
BJ's Restaurants, Inc.   USFF +0.250%   Weekly   MS   01/12/29   159   5,645   5,753   571
The accompanying notes are an integral part of the financial statements.
146

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Booking Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   19   $65,476   $68,930   $ 8,992
Bright Horizons Family Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   119   13,078   13,490   1,489
Brinker International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,044   42,570   51,866   12,888
Caesars Entertainment, Inc.   USFF +0.250%   Weekly   MS   07/08/27   609   25,725   26,638   3,034
Dine Brands Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   75   3,499   3,486   289
DoorDash, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   46   4,730   6,335   2,444
DraftKings, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   160   7,358   7,266   512
Duolingo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   27   6,112   5,956   346
European Wax Center, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   101   1,323   1,311   95
Expedia Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   338   47,503   46,559   2,891
Frontdoor, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,317   42,537   42,908   3,794
Grand Canyon Education, Inc.   USFF +0.250%   Weekly   MS   07/11/28   82   10,248   11,169   1,788
International Game Technology PLC (United Kingdom)   USFF +0.250%   Weekly   MS   01/12/29   206   4,508   4,654   537
Las Vegas Sands Corp.   USFF +0.250%   Weekly   MS   07/11/28   993   47,927   51,338   7,435
Marriott International, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   72   17,542   18,166   2,086
McDonald's Corp.   USFF +0.250%   Weekly   MS   07/11/28   226   62,352   63,721   6,710
Papa John's International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   87   5,768   5,794   500
Sabre Corp.   USFF +0.250%   Weekly   MS   07/11/28   2,472   9,240   5,982   (2,497)
Shake Shack, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   78   7,613   8,114   1,147
Six Flags Entertainment Corp.   USFF +0.250%   Weekly   MS   07/11/28   264   5,013   6,948   2,508
Starbucks Corp.   USFF +0.250%   Weekly   MS   07/11/28   287   26,380   26,229   2,106
Strategic Education, Inc.   USFF +0.250%   Weekly   MS   01/12/29   24   2,497   2,499   209
Sweetgreen, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   167   4,215   4,218   348
Vail Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   82   18,320   18,272   1,637
Wendy's Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   266   5,061   5,011   428
Wyndham Hotels & Resorts, Inc.   USFF +0.250%   Weekly   MS   01/12/29   730   56,462   56,027   4,428
The accompanying notes are an integral part of the financial statements.
147

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Wynn Resorts Ltd.   USFF +0.250%   Weekly   MS   01/12/29   495   $ 51,110   $ 50,604   $ 3,754
Yum! Brands, Inc.   USFF +0.250%   Weekly   MS   07/08/27   363   45,801   50,330   8,825
                    17,925   759,585   797,255   103,089
Consumer Staples Distribution &
Retail 		                           
Albertsons Cos., Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,086   22,928   23,284   2,175
Costco Wholesale Corp.   USFF +0.250%   Weekly   MS   07/11/28   60   39,891   43,958   7,562
Dollar General Corp.   USFF +0.250%   Weekly   MS   01/12/29   12   1,866   1,873   1,342
Grocery Outlet Holding Corp.   USFF +0.250%   Weekly   MS   01/10/28   723   19,671   20,808   2,776
Kroger Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   3,508   189,658   200,412   26,588
Performance Food Group Co.   USFF +0.250%   Weekly   MS   01/12/29   30   2,265   2,239   159
Sysco Corp.   USFF +0.250%   Weekly   MS   07/11/28   276   18,731   22,406   5,473
Target Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,081   165,641   191,564   41,383
US Foods Holding Corp.   USFF +0.250%   Weekly   MS   07/08/27   296   11,179   15,975   6,158
Walgreens Boots Alliance, Inc.   USFF +0.250%   Weekly   MS   01/12/29   444   9,522   9,630   922
Walmart, Inc.   USFF +0.250%   Weekly   MS   01/12/29   694   40,311   41,758   5,133
Weis Markets, Inc.   USFF +0.250%   Weekly   MS   01/12/29   18   1,157   1,159   97
                    8,228   522,820   575,066   99,768
Energy                            
Antero Midstream Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,837   49,102   53,948   9,249
APA Corp.   USFF +0.250%   Weekly   MS   07/11/28   448   14,551   15,402   2,217
Archrock, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,438   26,763   28,285   3,729
Baker Hughes Co.   USFF +0.250%   Weekly   MS   07/08/27   1,594   47,484   53,399   10,631
Berry Corp.   USFF +0.250%   Weekly   MS   01/12/29   216   1,694   1,739   182
Borr Drilling Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/12/29   785   5,004   5,377   799
California Resources Corp.   USFF +0.250%   Weekly   MS   07/11/28   641   32,140   35,319   6,084
Cameco Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   154   6,491   6,671   726
Canadian Natural Resources Ltd. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,633   103,370   124,631   32,131
Cheniere Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   318   50,047   51,287   5,378
Chesapeake Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   290   21,623   25,761   6,567
Chord Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   45   6,775   8,021   2,145
ConocoPhillips   USFF +0.250%   Weekly   MS   01/10/28   125   12,457   15,910   5,074
CONSOL Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   578   37,298   48,413   13,963
Coterra Energy, Inc.   USFF +0.250%   Weekly   MS   01/10/28   995   26,055   27,741   3,981
CVR Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   268   8,203   9,557   2,502
The accompanying notes are an integral part of the financial statements.
148

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Delek US Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   594   $ 16,133   $ 18,260   $ 3,476
Devon Energy Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,255   55,126   62,976   13,534
DHT Holdings, Inc. (Marshall Islands)   USFF +0.250%   Weekly   MS   07/08/27   906   7,695   10,419   4,564
Diamondback Energy, Inc.   USFF +0.250%   Weekly   MS   01/12/29   286   50,578   56,677   12,155
Dorian LPG Ltd. (Marshall Islands)   USFF +0.250%   Weekly   MS   01/10/28   1,778   57,335   68,382   18,573
Enbridge, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   719   24,310   26,013   3,741
Enerplus Corp. (Canada)   USFF +0.250%   Weekly   MS   01/10/28   463   6,449   9,103   3,322
Exxon Mobil Corp.   USFF +0.250%   Weekly   MS   01/12/29   608   63,692   70,674   12,387
FLEX LNG Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/07/27   263   7,508   6,688   1,084
Green Plains, Inc.   USFF +0.250%   Weekly   MS   01/12/29   101   2,221   2,335   295
Gulfport Energy Corp.   USFF +0.250%   Weekly   MS   01/10/28   103   10,312   16,492   7,277
Halliburton Co.   USFF +0.250%   Weekly   MS   01/12/29   629   22,518   24,795   4,245
Helix Energy Solutions Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,599   15,814   17,333   2,823
Helmerich & Payne, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,731   61,189   72,806   17,488
Kinder Morgan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   873   15,554   16,011   1,738
Marathon Oil Corp.   USFF +0.250%   Weekly   MS   01/12/29   4,170   102,609   118,178   24,838
Marathon Petroleum Corp.   USFF +0.250%   Weekly   MS   07/06/26   219   31,338   44,128   16,196
Murphy Oil Corp.   USFF +0.250%   Weekly   MS   01/10/28   486   17,525   22,210   6,830
Nabors Industries Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   01/10/28   178   14,672   15,331   1,868
Nordic American Tankers Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/08/27   4,113   14,625   16,123   4,695
Occidental Petroleum Corp.   USFF +0.250%   Weekly   MS   07/11/28   844   48,771   54,852   10,290
Pembina Pipeline Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   429   13,738   15,161   2,985
Phillips 66   USFF +0.250%   Weekly   MS   07/06/26   202   24,379   32,995   11,042
Pioneer Natural Resources Co.   USFF +0.250%   Weekly   MS   01/10/28   246   54,525   64,575   15,434
REX American Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   1   56   59   5
Schlumberger NV (Curacao)   USFF +0.250%   Weekly   MS   01/12/29   347   16,545   19,019   3,869
Targa Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   24   2,637   2,688   266
TC Energy Corp. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   19   758   764   (956)
The accompanying notes are an integral part of the financial statements.
149

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
TechnipFMC PLC (United Kingdom)   USFF +0.250%   Weekly   MS   07/08/27   3,004   $ 60,261   $ 75,430   $ 21,285
Transocean Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/12/29   2,055   9,725   12,905   4,276
US Silica Holdings, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,003   12,064   12,447   1,348
Valero Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   25   4,237   4,267   378
                    42,638   1,293,956   1,501,557   336,709
Financial Services                            
AvidXchange Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,713   30,863   35,676   7,358
Berkshire Hathaway, Inc., Class B   USFF +0.250%   Weekly   MS   08/29/25   181   51,335   76,114   29,014
BlackRock, Inc.   USFF +0.250%   Weekly   MS   01/10/28   33   23,433   27,512   6,837
Cboe Global Markets, Inc.   USFF +0.250%   Weekly   MS   07/08/27   297   46,931   54,568   11,969
CME Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   204   41,301   43,919   6,793
Coinbase Global, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   267   43,938   70,787   30,884
Corpay, Inc.   USFF +0.250%   Weekly   MS   01/12/29   39   11,566   12,033   1,419
Donnelley Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   26   1,604   1,612   138
Euronet Worldwide, Inc.   USFF +0.250%   Weekly   MS   01/12/29   32   3,465   3,518   336
FactSet Research Systems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   9   4,006   4,090   412
Fiserv, Inc.   USFF +0.250%   Weekly   MS   07/11/28   559   69,349   89,339   25,991
Franklin Resources, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,079   24,019   30,331   10,470
Intercontinental Exchange, Inc.   USFF +0.250%   Weekly   MS   01/12/29   247   33,137   33,945   3,625
International Money Express, Inc.   USFF +0.250%   Weekly   MS   07/11/28   204   4,282   4,657   730
Mastercard, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   39   15,310   18,781   4,761
Morningstar, Inc.   USFF +0.250%   Weekly   MS   07/11/28   127   35,742   39,163   6,373
NCR Atleos Corp.   USFF +0.250%   Weekly   MS   07/08/27   691   13,201   13,647   1,531
Open Lending Corp.   USFF +0.250%   Weekly   MS   01/12/29   6   37   38   1
Payoneer Global, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,889   14,244   14,041   937
PayPal Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   960   50,268   64,310   19,792
S&P Global, Inc.   USFF +0.250%   Weekly   MS   01/12/29   42   18,134   17,869   1,181
Shift4 Payments, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   418   28,150   27,617   1,789
T Rowe Price Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   251   25,214   30,602   9,687
Visa, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   158   38,645   44,095   8,770
Western Union Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   440   5,149   6,151   1,633
                    11,911   633,323   764,415   192,431
The accompanying notes are an integral part of the financial statements.
150

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco                            
Altria Group, Inc.   USFF +0.250%   Weekly   MS   01/05/26   1,072   $ 43,410   $ 46,761   $ 10,177
Archer-Daniels-Midland Co.   USFF +0.250%   Weekly   MS   01/05/26   364   20,057   22,863   4,340
B&G Foods, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,289   22,684   26,186   5,803
Boston Beer Co., Inc. (The), Class A   USFF +0.250%   Weekly   MS   01/12/29   14   4,154   4,262   448
Bunge Global SA (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   297   28,973   30,448   4,107
Campbell Soup Co.   USFF +0.250%   Weekly   MS   07/11/28   225   9,743   10,001   1,060
Coca-Cola Co. (The)   USFF +0.250%   Weekly   MS   08/29/25   1,091   63,137   66,747   11,225
Coca-Cola Consolidated, Inc.   USFF +0.250%   Weekly   MS   08/29/25   11   6,023   9,311   4,067
Conagra Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,091   31,256   32,337   4,089
Constellation Brands, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   119   28,678   32,339   6,177
Dole PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   105   1,239   1,253   120
General Mills, Inc.   USFF +0.250%   Weekly   MS   01/05/26   431   27,303   30,157   5,124
Hormel Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,133   37,400   39,530   5,311
Ingredion, Inc.   USFF +0.250%   Weekly   MS   01/10/28   418   44,853   48,843   8,294
J & J Snack Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   37   5,851   5,349   5
Kellanova   USFF +0.250%   Weekly   MS   01/05/26   1,802   97,821   103,237   15,101
Keurig Dr Pepper, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,634   51,738   50,115   3,437
Kraft Heinz Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   1,048   35,175   38,671   7,456
Lancaster Colony Corp.   USFF +0.250%   Weekly   MS   01/10/28   107   20,176   22,216   3,966
McCormick & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   580   39,548   44,550   8,350
Mission Produce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   15   178   178   12
Molson Coors Beverage Co., Class B   USFF +0.250%   Weekly   MS   08/29/25   308   17,282   20,713   5,376
Mondelez International, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   697   47,064   48,790   5,947
Philip Morris International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   260   23,838   23,821   2,348
Primo Water Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   754   12,291   13,730   2,486
Simply Good Foods Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,190   44,109   40,496   25
SunOpta, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   153   1,044   1,051   91
Vector Group Ltd.   USFF +0.250%   Weekly   MS   01/12/29   291   3,187   3,189   275
Vita Coco Co., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,082   27,610   26,433   1,100
Vital Farms, Inc.   USFF +0.250%   Weekly   MS   01/12/29   40   887   930   113
                    18,658   796,709   844,507   126,430
The accompanying notes are an integral part of the financial statements.
151

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services                            
Addus HomeCare Corp.   USFF +0.250%   Weekly   MS   07/08/27   96   $ 8,465   $ 9,921   $ 2,163
Align Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   42   12,821   13,773   2,007
Apollo Medical Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   48   2,018   2,016   161
Avanos Medical, Inc.   USFF +0.250%   Weekly   MS   07/11/28   339   6,868   6,749   446
Baxter International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,324   44,661   56,588   16,032
Becton Dickinson & Co.   USFF +0.250%   Weekly   MS   07/11/28   191   44,925   47,263   6,729
Cardinal Health, Inc.   USFF +0.250%   Weekly   MS   07/11/28   335   34,675   37,487   5,957
Cencora, Inc.   USFF +0.250%   Weekly   MS   01/10/28   71   12,970   17,252   5,435
Centene Corp.   USFF +0.250%   Weekly   MS   01/10/28   497   32,734   39,005   8,960
Cigna Group (The)   USFF +0.250%   Weekly   MS   07/11/28   77   25,710   27,966   4,416
CONMED Corp.   USFF +0.250%   Weekly   MS   07/11/28   877   83,134   70,230   (5,814)
Cross Country Healthcare, Inc.   USFF +0.250%   Weekly   MS   07/08/27   685   16,831   12,823   (2,636)
CVS Health Corp.   USFF +0.250%   Weekly   MS   01/12/29   262   18,725   20,897   4,052
DaVita, Inc.   USFF +0.250%   Weekly   MS   07/08/27   611   48,420   84,349   40,040
Definitive Healthcare Corp.   USFF +0.250%   Weekly   MS   07/11/28   546   4,748   4,406   48
Enovis Corp.   USFF +0.250%   Weekly   MS   07/08/27   97   4,458   6,058   2,011
Evolent Health, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,463   47,810   47,972   4,106
Fulgent Genetics, Inc.   USFF +0.250%   Weekly   MS   07/08/27   188   10,530   4,080   (5,962)
GE HealthCare Technologies, Inc.   USFF +0.250%   Weekly   MS   01/07/27   591   39,529   53,728   18,154
Haemonetics Corp.   USFF +0.250%   Weekly   MS   01/10/28   186   15,084   15,875   2,048
HCA Healthcare, Inc.   USFF +0.250%   Weekly   MS   07/11/28   116   32,363   38,689   9,363
HealthEquity, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7   571   571   45
HealthStream, Inc.   USFF +0.250%   Weekly   MS   01/12/29   10   264   267   21
Hologic, Inc.   USFF +0.250%   Weekly   MS   07/11/28   232   16,388   18,087   3,049
Humana, Inc.   USFF +0.250%   Weekly   MS   01/10/28   137   52,033   47,501   (363)
IDEXX Laboratories, Inc.   USFF +0.250%   Weekly   MS   07/11/28   276   147,883   149,021   13,344
Lantheus Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   884   47,841   55,020   11,127
LeMaitre Vascular, Inc.   USFF +0.250%   Weekly   MS   01/12/29   31   2,072   2,057   156
McKesson Corp.   USFF +0.250%   Weekly   MS   01/12/29   32   16,643   17,179   1,921
Medtronic PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   1,733   146,632   151,031   18,091
Molina Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/10/28   96   33,666   39,440   8,756
National HealthCare Corp.   USFF +0.250%   Weekly   MS   01/12/29   26   2,432   2,457   238
Owens & Minor, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,203   25,113   33,335   10,312
Penumbra, Inc.   USFF +0.250%   Weekly   MS   01/12/29   80   18,236   17,854   1,121
Phreesia, Inc.   USFF +0.250%   Weekly   MS   07/11/28   655   15,571   15,674   1,381
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Privia Health Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,230   $ 27,630   $ 24,096   $ (1,256)
Quest Diagnostics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   253   32,030   33,677   4,326
ResMed, Inc.   USFF +0.250%   Weekly   MS   01/12/29   320   58,417   63,370   9,949
Teleflex, Inc.   USFF +0.250%   Weekly   MS   01/12/29   41   9,203   9,273   830
Tenet Healthcare Corp.   USFF +0.250%   Weekly   MS   01/12/29   300   26,661   31,533   7,466
UFP Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   18   2,225   4,540   2,753
UnitedHealth Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   66   33,412   32,650   1,914
Varex Imaging Corp.   USFF +0.250%   Weekly   MS   07/11/28   197   3,812   3,566   66
Zimmer Biomet Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   320   38,976   42,234   6,650
                    16,789   1,305,190   1,411,560   219,613
Household & Personal Products                            
BellRing Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,236   66,843   72,961   11,733
Clorox Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   271   41,473   41,493   3,394
Colgate-Palmolive Co.   USFF +0.250%   Weekly   MS   07/11/28   434   34,302   39,082   7,909
Coty, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   1,246   14,599   14,902   1,506
Edgewell Personal Care Co.   USFF +0.250%   Weekly   MS   01/12/29   240   9,089   9,274   946
Energizer Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   170   5,284   5,005   211
Estee Lauder Cos., Inc. (The), Class A   USFF -0.250%   Weekly   MS   01/10/28   49   6,893   7,553   1,182
Kenvue, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,324   44,091   49,873   10,347
Kimberly-Clark Corp.   USFF +0.250%   Weekly   MS   07/08/27   385   46,976   49,800   8,322
Procter & Gamble Co. (The)   USFF +0.250%   Weekly   MS   07/08/27   244   35,523   39,589   8,072
Reynolds Consumer Products, Inc.   USFF +0.250%   Weekly   MS   01/12/29   268   7,736   7,654   559
Spectrum Brands Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   77   4,728   6,854   2,622
WD-40 Co.   USFF +0.250%   Weekly   MS   07/11/28   113   29,218   28,624   1,816
                    7,057   346,755   372,664   58,619
Materials                            
Alamos Gold, Inc., Class A (Canada)   USFF +0.250%   Weekly   MS   01/10/28   1,759   20,602   25,945   8,252
Alpha Metallurgical Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   90   28,384   29,805   3,762
Amcor PLC (Jersey)   USFF +0.250%   Weekly   MS   07/11/28   1,153   10,296   10,965   1,828
AptarGroup, Inc.   USFF +0.250%   Weekly   MS   01/12/29   115   16,055   16,547   1,815
Arch Resources, Inc.   USFF +0.250%   Weekly   MS   01/12/29   22   3,531   3,537   295
Avient Corp.   USFF +0.250%   Weekly   MS   07/11/28   158   5,313   6,857   2,178
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Axalta Coating Systems Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/11/28   249   $ 7,320   $ 8,563   $ 2,047
Balchem Corp.   USFF +0.250%   Weekly   MS   01/12/29   14   2,169   2,169   177
Ball Corp.   USFF +0.250%   Weekly   MS   07/08/27   471   24,389   31,727   9,939
Barrick Gold Corp. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   490   7,098   8,154   2,096
Berry Global Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   314   18,319   18,991   2,344
Cabot Corp.   USFF +0.250%   Weekly   MS   01/12/29   71   5,214   6,546   1,871
Carpenter Technology Corp.   USFF +0.250%   Weekly   MS   07/11/28   562   36,109   40,138   7,202
Celanese Corp.   USFF +0.250%   Weekly   MS   01/12/29   224   35,079   38,497   6,360
Cleveland-Cliffs, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,090   79,191   115,747   45,976
Corteva, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,170   172,636   182,814   25,343
Crown Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   56   4,642   4,439   184
Eastman Chemical Co.   USFF +0.250%   Weekly   MS   07/11/28   299   22,553   29,966   9,936
Ecolab, Inc.   USFF +0.250%   Weekly   MS   07/11/28   18   2,963   4,156   1,456
Fortuna Silver Mines, Inc. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   5,874   19,057   21,910   4,423
Freeport-McMoRan, Inc.   USFF +0.250%   Weekly   MS   01/12/29   330   13,143   15,517   3,456
HB Fuller Co.   USFF +0.250%   Weekly   MS   01/10/28   223   15,298   17,782   3,761
Innospec, Inc.   USFF +0.250%   Weekly   MS   01/10/28   31   2,996   3,997   1,409
International Flavors & Fragrances, Inc.   USFF +0.250%   Weekly   MS   07/11/28   392   30,373   33,708   6,208
International Paper Co.   USFF +0.250%   Weekly   MS   01/10/28   271   8,786   10,574   2,918
Kinross Gold Corp. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   1,055   5,245   6,467   2,141
Knife River Corp.   USFF +0.250%   Weekly   MS   07/11/28   282   18,288   22,865   6,083
Koppers Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   36   1,931   1,986   213
Linde PLC (Ireland)   USFF +0.250%   Weekly   MS   01/05/26   117   45,951   54,325   13,142
LyondellBasell Industries NV, Class A (Netherlands)   USFF +0.250%   Weekly   MS   07/11/28   440   39,546   45,003   9,511
Martin Marietta Materials, Inc.   USFF +0.250%   Weekly   MS   01/07/27   22   10,043   13,507   4,955
Mativ Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   257   4,377   4,819   811
Minerals Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   188   11,297   14,153   3,805
NewMarket Corp.   USFF +0.250%   Weekly   MS   08/29/25   86   39,446   54,577   19,049
Nucor Corp.   USFF +0.250%   Weekly   MS   01/05/26   121   16,959   23,946   8,879
Packaging Corp. of America   USFF +0.250%   Weekly   MS   07/08/27   112   15,447   21,255   7,682
PPG Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   209   28,089   30,284   4,728
The accompanying notes are an integral part of the financial statements.
154

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
Quaker Chemical Corp.   USFF +0.250%   Weekly   MS   01/10/28   171   $ 31,890   $ 35,098   $ 5,900
Royal Gold, Inc.   USFF +0.250%   Weekly   MS   07/11/28   570   62,810   69,432   11,830
RPM International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   205   19,019   24,385   7,227
Scotts Miracle-Gro Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,050   56,377   78,319   28,497
Sealed Air Corp.   USFF -0.250%   Weekly   MS   01/10/28   271   9,533   10,081   1,493
Sherwin-Williams Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   90   22,897   31,260   10,745
SilverCrest Metals, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   20   132   133   10
Sonoco Products Co.   USFF +0.250%   Weekly   MS   01/12/29   29   1,653   1,677   158
Summit Materials, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   107   4,475   4,769   660
Taseko Mines Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   28   60   61   3
Vulcan Materials Co.   USFF +0.250%   Weekly   MS   01/12/29   60   16,101   16,375   1,606
Westrock Co.   USFF +0.250%   Weekly   MS   01/12/29   290   12,171   14,341   3,214
Worthington Steel, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7   252   251   17
                    27,269   1,065,505   1,268,420   307,595
Media & Entertainment                            
Alphabet, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   982   108,878   148,213   52,582
Bumble, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   791   12,038   8,978   (2,379)
Cable One, Inc.   USFF +0.250%   Weekly   MS   07/11/28   13   6,915   5,501   (801)
Cinemark Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,674   28,669   48,052   21,747
Clear Channel Outdoor Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   524   881   865   54
Comcast Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   1,025   42,844   44,434   7,280
Electronic Arts, Inc.   USFF +0.250%   Weekly   MS   07/11/28   713   92,740   94,594   9,614
Getty Images Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   4   4   (2)
Grindr, Inc.   USFF +0.250%   Weekly   MS   01/12/29   7   69   71   5
Interpublic Group of Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   1,016   28,718   33,152   7,549
Match Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   781   26,439   28,335   4,051
Meta Platforms, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   353   114,950   171,410   66,074
Netflix, Inc.   USFF +0.250%   Weekly   MS   01/07/27   171   77,370   103,853   32,869
News Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   698   16,288   18,274   3,405
Omnicom Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   123   10,525   11,901   2,614
Paramount Global, Class B   USFF +0.250%   Weekly   MS   01/12/29   6,606   73,514   77,753   10,523
The accompanying notes are an integral part of the financial statements.
155

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Sirius XM Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   9,067   $ 36,658   $ 35,180   $ 1,546
Spotify Technology SA (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   345   87,043   91,045   11,119
TripAdvisor, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,555   68,628   71,003   8,053
Vimeo, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,157   8,650   8,822   884
Walt Disney Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   457   42,195   55,919   19,025
Warner Music Group Corp., Class A   USFF +0.250%   Weekly   MS   01/12/29   190   6,190   6,274   431
Yelp, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,153   48,984   45,428   359
ZipRecruiter, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   421   5,238   4,837   29
ZoomInfo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   995   15,549   15,950   1,682
                    33,818   959,977   1,129,848   258,313
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbbVie, Inc.   USFF +0.250%   Weekly   MS   01/12/29   92   16,518   16,753   1,595
Agilent Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   20   2,914   2,910   235
Alkermes PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   2,544   74,211   68,866   779
Alpine Immune Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   191   7,349   7,571   827
Amneal Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   513   2,905   3,109   441
Amphastar Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/08/27   566   29,728   24,853   (2,463)
ANI Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   123   7,138   8,503   1,952
Beam Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   395   14,981   13,051   (696)
Bio-Rad Laboratories, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   72   20,954   24,903   5,676
Bristol-Myers Squibb Co.   USFF +0.250%   Weekly   MS   07/11/28   1,535   75,907   83,243   13,704
Brooks Automation, Inc.   USFF +0.250%   Weekly   MS   07/11/28   265   16,855   15,974   415
Collegium Pharmaceutical, Inc.   USFF +0.250%   Weekly   MS   01/10/28   822   21,270   31,910   12,393
Corcept Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   386   8,629   9,723   1,880
Danaher Corp.   USFF +0.250%   Weekly   MS   01/12/29   11   2,748   2,747   229
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
EyePoint Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   740   $ 17,177   $ 15,296   $ (690)
Gilead Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   326   23,951   23,880   2,158
Halozyme Therapeutics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   397   13,501   16,150   4,140
Harmony Biosciences Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,485   48,981   49,866   4,880
ImmunityBio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   546   3,160   2,932   31
Incyte Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,990   111,493   113,370   11,079
Innoviva, Inc.   USFF +0.250%   Weekly   MS   07/11/28   559   8,454   8,519   761
IQVIA Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   165   34,682   41,727   10,216
Ironwood Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   379   3,304   3,301   267
Johnson & Johnson   USFF +0.250%   Weekly   MS   01/10/28   576   87,815   91,117   11,725
Merck & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   472   48,973   62,280   19,613
Mettler-Toledo International, Inc.   USFF +0.250%   Weekly   MS   01/07/27   26   27,779   34,614   9,125
Natera, Inc.   USFF +0.250%   Weekly   MS   01/12/29   102   9,131   9,329   948
Nurix Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2   28   29   1
Nuvation Bio, Inc.   USFF +0.250%   Weekly   MS   01/12/29   13   49   47   —
Scholar Rock Holding Corp.   USFF +0.250%   Weekly   MS   01/12/29   24   390   426   59
Spyre Therapeutics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   37   38   1
Thermo Fisher Scientific, Inc.   USFF +0.250%   Weekly   MS   01/12/29   58   31,791   33,710   4,620
Twist Bioscience Corp.   USFF +0.250%   Weekly   MS   07/11/28   906   29,090   31,085   4,283
United Therapeutics Corp.   USFF +0.250%   Weekly   MS   07/11/28   56   12,107   12,864   2,149
Viatris, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,690   19,595   20,179   2,754
Waters Corp.   USFF +0.250%   Weekly   MS   01/12/29   6   2,060   2,065   172
WaVe Life Sciences Ltd. (Singapore)   USFF +0.250%   Weekly   MS   01/12/29   22   127   136   16
                    18,076   835,782   887,076   125,275
Semiconductors & Semiconductor
Equipment 		                           
Advanced Micro Devices, Inc.   USFF +0.250%   Weekly   MS   01/12/29   327   57,212   59,020   6,156
Amkor Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   501   15,317   16,152   2,129
Applied Materials, Inc.   USFF +0.250%   Weekly   MS   01/10/28   30   5,398   6,187   1,242
The accompanying notes are an integral part of the financial statements.
157

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
Entegris, Inc.   USFF +0.250%   Weekly   MS   01/12/29   280   $ 37,482   $ 39,351   $ 4,994
GLOBALFOUNDRIES, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   01/12/29   1,023   54,843   53,309   2,991
KLA Corp.   USFF +0.250%   Weekly   MS   07/11/28   44   24,631   30,737   8,354
Lam Research Corp.   USFF +0.250%   Weekly   MS   07/08/27   34   19,479   33,033   16,477
Microchip Technology, Inc.   USFF +0.250%   Weekly   MS   01/07/27   495   40,039   44,406   8,329
Micron Technology, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,067   123,205   125,789   12,865
Monolithic Power Systems, Inc.   USFF +0.250%   Weekly   MS   07/11/28   252   166,509   170,710   18,246
NVIDIA Corp.   USFF +0.250%   Weekly   MS   01/10/28   133   48,156   120,173   76,008
NXP Semiconductors NV (Netherlands)   USFF +0.250%   Weekly   MS   07/08/27   249   43,006   61,695   23,073
ON Semiconductor Corp.   USFF +0.250%   Weekly   MS   01/12/29   363   28,400   26,699   640
Photronics, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,020   19,044   28,886   11,412
Qorvo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,475   168,221   169,374   15,039
QUALCOMM, Inc.   USFF +0.250%   Weekly   MS   07/11/28   873   117,616   147,799   40,938
Skyworks Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,371   135,561   148,507   25,273
SMART Global Holdings, Inc. (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   788   17,249   20,740   4,911
                    10,325   1,121,368   1,302,567   279,077
Software & Services                            
Accenture PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   54   19,708   18,717   596
Adobe, Inc.   USFF +0.250%   Weekly   MS   07/08/27   177   88,131   89,314   7,376
Amdocs Ltd. (Guernsey)   USFF +0.250%   Weekly   MS   07/11/28   209   17,853   18,887   2,643
Appfolio, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   113   25,512   27,882   4,564
Bitfarms Ltd. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   23,477   55,231   52,354   1,680
Blackbaud, Inc.   USFF +0.250%   Weekly   MS   07/11/28   204   15,527   15,125   840
Box, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   567   16,102   16,057   1,282
CGI, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   16   1,766   1,768   145
Docebo, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   14   728   686   15
DXC Technology Co.   USFF +0.250%   Weekly   MS   07/11/28   995   21,895   21,104   958
Enfusion, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   39   359   361   28
EverCommerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3   26   28   2
Fortinet, Inc.   USFF +0.250%   Weekly   MS   01/12/29   548   37,820   37,434   2,733
Gen Digital, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,698   28,514   38,035   12,826
Globant SA (Luxembourg)   USFF +0.250%   Weekly   MS   01/12/29   106   22,331   21,401   867
The accompanying notes are an integral part of the financial statements.
158

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
GoDaddy, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   148   $ 16,181   $ 17,565   $ 3,210
Guidewire Software, Inc.   USFF +0.250%   Weekly   MS   07/11/28   314   33,692   36,647   5,734
Informatica, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   651   21,021   22,785   3,513
InterDigital, Inc.   USFF +0.250%   Weekly   MS   07/08/27   510   43,451   54,295   15,646
International Business Machines Corp.   USFF +0.250%   Weekly   MS   01/10/28   241   31,744   46,021   18,260
JFrog Ltd. (Israel)   USFF +0.250%   Weekly   MS   07/11/28   1,322   49,488   58,459   13,054
Kyndryl Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   158   2,380   3,438   1,472
LiveRamp Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   755   27,861   26,048   484
Manhattan Associates, Inc.   USFF +0.250%   Weekly   MS   07/11/28   41   8,409   10,259   2,542
MeridianLink, Inc.   USFF +0.250%   Weekly   MS   01/12/29   31   564   580   60
Microsoft Corp.   USFF +0.250%   Weekly   MS   08/29/25   322   101,719   135,472   46,163
N-able, Inc.   USFF +0.250%   Weekly   MS   01/12/29   31   405   405   31
NCR Corp.   USFF +0.250%   Weekly   MS   07/08/27   3,075   43,363   38,837   (1,163)
NextNav, Inc.   USFF +0.250%   Weekly   MS   01/12/29   47   312   309   20
Nutanix, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   384   10,665   23,700   15,231
Okta, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,346   144,856   140,819   7,919
Oracle Corp.   USFF +0.250%   Weekly   MS   07/11/28   952   103,699   119,581   25,162
Palantir Technologies, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   7,024   144,983   161,622   28,808
Palo Alto Networks, Inc.   USFF +0.250%   Weekly   MS   01/12/29   294   88,401   83,534   2,316
Pegasystems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   440   28,325   28,442   2,465
Q2 Holdings, Inc.   USFF +0.250%   Weekly   MS   01/10/28   617   26,475   32,430   8,137
Qualys, Inc.   USFF +0.250%   Weekly   MS   07/08/27   348   50,810   58,071   11,453
Roper Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   35   19,141   19,629   2,066
Salesforce, Inc.   USFF +0.250%   Weekly   MS   07/08/27   217   55,672   65,356   14,342
Samsara, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   669   15,496   25,282   11,326
ServiceNow, Inc.   USFF +0.250%   Weekly   MS   07/08/27   165   117,357   125,796   18,089
SolarWinds Corp.   USFF +0.250%   Weekly   MS   01/12/29   6   74   76   5
SPS Commerce, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1   185   185   9
Synopsys, Inc.   USFF +0.250%   Weekly   MS   01/12/29   23   12,841   13,145   1,361
UiPath, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   231   5,303   5,237   245
Varonis Systems, Inc.   USFF +0.250%   Weekly   MS   01/10/28   131   3,352   6,179   3,510
Verint Systems, Inc.   USFF +0.250%   Weekly   MS   01/12/29   12   400   398   28
VeriSign, Inc.   USFF +0.250%   Weekly   MS   01/07/27   312   60,354   59,127   3,753
Workday, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   138   36,846   37,639   3,408
The accompanying notes are an integral part of the financial statements.
159

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Yext, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,537   $ 12,370   $ 9,268   $ (2,083)
Zoom Video Communications, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   2,417   159,090   157,999   12,041
                    53,165   1,828,788   1,983,788   315,172
Technology Hardware & Equipment                            
Amphenol Corp., Class A   USFF +0.250%   Weekly   MS   07/11/28   202   20,737   23,301   4,315
Apple, Inc.   USFF +0.250%   Weekly   MS   07/08/27   632   107,581   108,375   10,233
Arlo Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   345   4,141   4,364   562
Arrow Electronics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   150   17,525   19,419   3,444
Badger Meter, Inc.   USFF +0.250%   Weekly   MS   07/11/28   78   10,906   12,621   2,704
Bel Fuse, Inc., Class B   USFF +0.250%   Weekly   MS   07/11/28   194   9,804   11,700   2,712
CDW Corp.   USFF +0.250%   Weekly   MS   01/07/27   97   17,407   24,811   9,204
Ciena Corp.   USFF +0.250%   Weekly   MS   01/12/29   1,436   72,760   71,010   4,255
Cisco Systems, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,084   51,726   54,102   8,441
Crane NXT Co.   USFF +0.250%   Weekly   MS   07/11/28   98   4,152   6,066   2,479
Extreme Networks, Inc.   USFF +0.250%   Weekly   MS   01/05/26   2,731   58,127   31,516   (22,332)
F5, Inc.   USFF +0.250%   Weekly   MS   07/08/27   358   59,364   67,873   13,408
Fabrinet (Cayman Islands)   USFF +0.250%   Weekly   MS   07/11/28   68   11,143   12,853   2,628
Hewlett Packard Enterprise Co.   USFF +0.250%   Weekly   MS   01/07/27   2,188   32,499   38,793   9,872
HP, Inc.   USFF +0.250%   Weekly   MS   08/29/25   1,579   42,219   47,717   10,832
Insight Enterprises, Inc.   USFF +0.250%   Weekly   MS   01/10/28   75   9,047   13,914   5,735
Itron, Inc.   USFF +0.250%   Weekly   MS   07/11/28   392   34,680   36,268   4,448
Jabil, Inc.   USFF +0.250%   Weekly   MS   01/10/28   425   49,933   56,929   11,124
Keysight Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   132   20,029   20,642   2,264
Littelfuse, Inc.   USFF +0.250%   Weekly   MS   01/12/29   132   31,604   31,990   3,038
Motorola Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   81   25,130   28,753   6,122
Napco Security Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   416   10,889   16,707   6,791
NetApp, Inc.   USFF +0.250%   Weekly   MS   01/07/27   500   38,888   52,485   18,025
NetScout Systems, Inc.   USFF +0.250%   Weekly   MS   01/07/27   527   15,409   11,510   (2,634)
PC Connection, Inc.   USFF +0.250%   Weekly   MS   01/12/29   14   915   923   81
Rogers Corp.   USFF +0.250%   Weekly   MS   01/12/29   26   2,903   3,086   432
Seagate Technology Holdings PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   369   22,368   34,335   15,105
Super Micro Computer, Inc.   USFF +0.250%   Weekly   MS   01/12/29   52   48,446   52,522   8,072
The accompanying notes are an integral part of the financial statements.
160

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
TD SYNNEX Corp.   USFF +0.250%   Weekly   MS   07/11/28   121   $ 12,999   $ 13,685   $ 1,775
TE Connectivity Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   176   22,146   25,562   5,669
Vontier Corp.   USFF +0.250%   Weekly   MS   07/11/28   329   11,130   14,923   4,844
Western Digital Corp.   USFF +0.250%   Weekly   MS   07/11/28   462   21,213   31,527   12,124
Xerox Holdings Corp.   USFF +0.250%   Weekly   MS   01/12/29   266   4,490   4,761   704
                    15,735   902,310   985,043   166,476
Telecommunication Services                            
Anterix, Inc.   USFF +0.250%   Weekly   MS   01/12/29   20   734   672   (4)
AT&T, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,053   30,634   36,133   8,617
BCE, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/12/29   101   3,797   3,432   (9)
Iridium Communications, Inc.   USFF +0.250%   Weekly   MS   08/29/25   1,007   34,099   26,343   (4,849)
TELUS Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   1,058   18,351   16,939   286
T-Mobile US, Inc.   USFF +0.250%   Weekly   MS   01/10/28   505   72,282   82,426   16,507
Verizon Communications, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,193   41,516   50,058   13,530
                    5,937   201,413   216,003   34,078
Transportation                            
CH Robinson Worldwide, Inc.   USFF +0.250%   Weekly   MS   01/12/29   74   5,478   5,634   606
CSX Corp.   USFF +0.250%   Weekly   MS   07/08/27   1,128   35,342   41,815   9,748
Delta Air Lines, Inc.   USFF +0.250%   Weekly   MS   07/11/28   981   31,114   46,960   18,861
FedEx Corp.   USFF +0.250%   Weekly   MS   01/10/28   106   24,148   30,712   12,375
Forward Air Corp.   USFF +0.250%   Weekly   MS   01/12/29   641   21,633   19,942   92
FTAI Infrastructure, Inc.   USFF +0.250%   Weekly   MS   01/12/29   13   78   82   8
GXO Logistics, Inc.   USFF +0.250%   Weekly   MS   07/11/28   274   15,215   14,730   600
Heartland Express, Inc.   USFF +0.250%   Weekly   MS   01/12/29   38   447   454   41
Old Dominion Freight Line, Inc.   USFF +0.250%   Weekly   MS   07/08/27   126   24,291   27,633   5,443
Saia, Inc.   USFF +0.250%   Weekly   MS   01/12/29   16   9,107   9,360   1,002
SkyWest, Inc.   USFF +0.250%   Weekly   MS   07/11/28   656   27,772   45,316   20,198
Uber Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   508   30,942   39,111   10,721
Union Pacific Corp.   USFF +0.250%   Weekly   MS   07/11/28   79   18,975   19,428   2,109
                    4,640   244,542   301,177   81,804
Utilities                            
ALLETE, Inc.   USFF +0.250%   Weekly   MS   01/10/28   586   32,810   34,949   5,655
American Water Works Co., Inc.   USFF +0.250%   Weekly   MS   01/10/28   114   15,344   13,932   94
Atmos Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   43   4,923   5,111   595
Black Hills Corp.   USFF +0.250%   Weekly   MS   07/11/28   984   51,593   53,726   7,329
The accompanying notes are an integral part of the financial statements.
161

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Consolidated Edison, Inc.   USFF +0.250%   Weekly   MS   01/12/29   140   $ 12,495   $ 12,713   $ 1,247
Constellation Energy Corp.   USFF +0.250%   Weekly   MS   07/11/28   152   16,833   28,097   13,931
Duke Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   956   87,353   92,455   13,015
Fortis, Inc. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   559   22,522   22,086   1,649
New Jersey Resources Corp.   USFF +0.250%   Weekly   MS   01/12/29   214   8,882   9,183   1,122
NRG Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,345   121,877   158,733   47,603
ONE Gas, Inc.   USFF +0.250%   Weekly   MS   07/11/28   215   12,858   13,874   2,251
Public Service Enterprise Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,427   87,687   95,295   15,826
Southwest Gas Holdings, Inc.   USFF +0.250%   Weekly   MS   01/12/29   407   29,078   30,985   4,305
Spire, Inc.   USFF +0.250%   Weekly   MS   07/11/28   168   10,198   10,310   1,178
TransAlta Corp. (Canada)   USFF +0.250%   Weekly   MS   07/11/28   361   2,709   2,321   (154)
Vistra Corp.   USFF +0.250%   Weekly   MS   01/10/28   242   10,291   16,855   8,312
                    8,913   527,453   600,625   123,958
Total Reference Entity — Long           17,508,219   19,858,633   3,994,535
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Short                                
Automobiles & Components                            
Dana, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,459)   $ (45,843)   $ (43,929)   $ 1,234
Fox Factory Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,531)   (76,125)   (79,719)   (3,902)
Magna International, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (698)   (42,858)   (38,027)   4,068
Mobileye Global, Inc., Class A   USFF -0.580%   Weekly   MS   07/11/28   (5,922)   (188,774)   (190,392)   (5,956)
Phinia, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,022)   (72,803)   (77,705)   (5,232)
QuantumScape Corp.   USFF -0.830%   Weekly   MS   07/11/28   (13,460)   (82,868)   (84,663)   (2,130)
Rivian Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (7,250)   (87,412)   (79,388)   7,672
Standard Motor Products, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (35)   (1,158)   (1,174)   (24)
Tesla, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (852)   (157,076)   (149,773)   6,698
Thor Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,091)   (118,811)   (128,018)   (9,686)
Winnebago Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (463)   (31,877)   (34,262)   (3,406)
XPEL, Inc.   USFF +0.250%   Weekly   MS   01/07/27   (61)   (3,292)   (3,295)   (19)
                    (36,844)   (908,897)   (910,345)   (10,683)
Capital Goods                            
3D Systems Corp.   USFF -0.267%   Weekly   MS   01/07/27   (21,382)   (168,257)   (94,936)   72,644
The accompanying notes are an integral part of the financial statements.
162

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
AAON, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,521)   $(188,037)   $(222,100)   $ (35,942)
AeroVironment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,598)   (201,273)   (244,941)   (46,673)
AGCO Corp.   USFF -0.250%   Weekly   MS   01/12/29   (408)   (47,555)   (50,192)   (2,831)
Albany International Corp., Class A   USFF -0.250%   Weekly   MS   01/10/28   (1,777)   (163,580)   (166,167)   (4,682)
Allegion PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (589)   (75,516)   (79,344)   (5,767)
Allison Transmission Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (397)   (24,529)   (32,221)   (8,275)
Ameresco, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (5,736)   (234,219)   (138,410)   94,748
AMETEK, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (858)   (152,698)   (156,928)   (6,768)
Archer Aviation, Inc., Class A   USFF -10.639%   Weekly   MS   07/11/28   (13,750)   (71,162)   (63,525)   7,350
Arcosa, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,105)   (166,725)   (180,735)   (14,681)
Argan, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (45)   (2,228)   (2,274)   (57)
Astronics Corp.   USFF -0.250%   Weekly   MS   01/12/29   (9)   (167)   (171)   (7)
Atkore, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (446)   (70,464)   (84,901)   (14,800)
Axon Enterprise, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (78)   (23,266)   (24,405)   (1,281)
Ballard Power Systems, Inc. (Canada)   USFF -1.244%   Weekly   MS   01/05/26   (32,360)   (269,382)   (89,961)   178,355
Barnes Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,957)   (61,575)   (72,703)   (11,920)
Bloom Energy Corp., Class A   USFF -0.780%   Weekly   MS   01/10/28   (8,298)   (105,865)   (93,270)   12,169
CAE, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (722)   (14,465)   (14,902)   (498)
ChargePoint Holdings, Inc.   USFF -16.768%   Weekly   MS   01/10/28   (42,691)   (170,965)   (81,113)   89,143
Construction Partners, Inc., Class A   USFF -0.250%   Weekly   MS   01/05/26   (1,240)   (58,010)   (69,626)   (11,851)
Dycom Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,029)   (114,906)   (147,692)   (35,120)
Emerson Electric Co.   USFF -0.250%   Weekly   MS   01/12/29   (257)   (27,249)   (29,149)   (2,532)
Encore Wire Corp.   USFF -0.250%   Weekly   MS   01/12/29   (197)   (45,684)   (51,768)   (6,269)
Enovix Corp.   USFF -1.330%   Weekly   MS   01/12/29   (6,657)   (60,130)   (53,323)   6,564
ESCO Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (187)   (20,482)   (20,018)   354
Fluor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (8,638)   (327,985)   (365,215)   (38,546)
FuelCell Energy, Inc.   USFF -1.082%   Weekly   MS   01/10/28   (28,977)   (56,567)   (34,483)   21,872
Gates Industrial Corp. PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/12/29   (2,678)   (47,325)   (47,427)   (295)
GATX Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,085)   (129,900)   (145,423)   (17,967)
GMS, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (646)   (54,616)   (62,882)   (8,522)
Granite Construction, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (684)   (28,142)   (39,077)   (11,504)
Hayward Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,303)   (44,401)   (50,569)   (6,349)
The accompanying notes are an integral part of the financial statements.
163

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Helios Technologies, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,701)   $ (92,157)   $ (76,018)   $ 15,429
Herc Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,161)   (183,135)   (195,396)   (19,477)
Hexcel Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,450)   (104,544)   (105,633)   (1,760)
Hillenbrand, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (596)   (29,992)   (29,973)   (945)
ITT, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (113)   (15,409)   (15,371)   2
JELD-WEN Holding, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (3,095)   (73,061)   (65,707)   7,045
John Bean Technologies Corp.   USFF -0.250%   Weekly   MS   01/10/28   (234)   (27,058)   (24,544)   2,354
Johnson Controls International PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (3,613)   (228,852)   (236,001)   (9,450)
Kaman Corp.   USFF -0.250%   Weekly   MS   01/12/29   (458)   (20,944)   (21,008)   (223)
Kratos Defense & Security Solutions, Inc.   USFF -0.250%   Weekly   MS   08/29/25   (1,632)   (39,302)   (29,996)   9,808
Masonite International Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (1,545)   (201,228)   (203,090)   (2,783)
Mercury Systems, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (4,989)   (264,211)   (147,176)   115,975
Moog, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (384)   (44,244)   (61,306)   (17,778)
MRC Global, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,333)   (36,675)   (41,896)   (5,575)
Mueller Water Products, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (2,587)   (34,382)   (41,625)   (9,039)
MYR Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,333)   (193,077)   (235,608)   (43,307)
Nordson Corp.   USFF -0.250%   Weekly   MS   07/11/28   (379)   (99,290)   (104,051)   (6,272)
Northrop Grumman Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,100)   (495,693)   (526,526)   (34,346)
nVent Electric PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (963)   (71,416)   (72,610)   (1,483)
Oshkosh Corp.   USFF -0.250%   Weekly   MS   07/11/28   (295)   (28,794)   (36,789)   (8,484)
Plug Power, Inc.   USFF -2.972%   Weekly   MS   01/10/28   (22,815)   (164,490)   (78,484)   85,137
Primoris Services Corp.   USFF -0.250%   Weekly   MS   07/06/26   (840)   (22,738)   (35,759)   (13,597)
Rocket Lab USA, Inc.   USFF -0.718%   Weekly   MS   07/11/28   (29,570)   (128,645)   (121,533)   6,595
Rockwell Automation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,130)   (596,156)   (620,533)   (29,532)
Rush Enterprises, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (4,172)   (181,359)   (223,285)   (43,784)
Sensata Technologies Holding PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/12/29   (14,712)   (505,268)   (540,519)   (37,662)
Simpson Manufacturing Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (755)   (154,186)   (154,911)   (1,687)
The accompanying notes are an integral part of the financial statements.
164

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
SiteOne Landscape Supply, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,408)   $ (219,647)   $ (245,766)   $(28,605)
Standex International Corp.   USFF -0.250%   Weekly   MS   01/12/29   (161)   (28,449)   (29,337)   (1,005)
Stratasys Ltd. (Israel)   USFF -1.080%   Weekly   MS   01/07/27   (5,524)   (80,247)   (64,189)   15,732
Sunrun, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (7,980)   (133,578)   (105,176)   27,864
Symbotic, Inc.   USFF -3.980%   Weekly   MS   01/12/29   (1,763)   (72,964)   (79,335)   (6,780)
Thermon Group Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (579)   (16,475)   (18,945)   (2,539)
Timken Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (4,697)   (391,408)   (410,659)   (21,614)
Titan Machinery, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,543)   (48,203)   (38,282)   9,759
Toro Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (3,217)   (284,422)   (294,774)   (13,204)
Triumph Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (79)   (1,199)   (1,188)   (1)
Valmont Industries, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (139)   (32,075)   (31,731)   130
WESCO International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,812)   (292,235)   (310,359)   (19,685)
WillScot Mobile Mini Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (11,778)   (503,265)   (547,677)   (52,627)
Xometry, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (3,163)   (85,625)   (53,423)   31,856
                    (343,103)   (9,453,423)   (9,286,040)   84,504
Commercial & Professional
Services 		                           
ABM Industries, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (535)   (25,409)   (23,872)   1,310
CACI International, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (726)   (261,128)   (275,031)   (15,255)
Casella Waste Systems, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (2,176)   (179,329)   (215,141)   (36,980)
CBIZ, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (871)   (48,890)   (68,374)   (20,201)
Ceridian HCM Holding, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,992)   (143,253)   (131,890)   10,870
Clarivate PLC (Jersey)   USFF -0.250%   Weekly   MS   07/11/28   (12,588)   (103,750)   (93,529)   9,734
Clean Harbors, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (440)   (80,323)   (88,576)   (8,762)
Concentrix Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,698)   (136,167)   (112,442)   23,177
Conduent, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (7,647)   (35,784)   (25,847)   9,722
Copart, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,451)   (248,242)   (257,802)   (10,557)
Driven Brands Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (5,190)   (103,033)   (81,950)   20,668
Exponent, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,006)   (181,503)   (165,876)   13,823
FTI Consulting, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (202)   (40,939)   (42,479)   (2,195)
GFL Environmental, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (7,848)   (254,183)   (270,756)   (18,721)
Insperity, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (369)   (39,346)   (40,446)   (1,261)
KBR, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (24)   (1,531)   (1,528)   (6)
Kforce, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (274)   (17,059)   (19,322)   (2,881)
The accompanying notes are an integral part of the financial statements.
165

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Commercial & Professional
Services — (continued) 		                           
Matthews International Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (27)   $ (799)   $ (839)   $ (46)
NV5 Global, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (75)   (7,369)   (7,351)   (14)
Paychex, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (891)   (109,447)   (109,415)   (1,511)
Paycom Software, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,164)   (250,481)   (231,648)   17,620
Paycor HCM, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (946)   (21,204)   (18,390)   2,746
Paylocity Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (983)   (195,834)   (168,938)   26,040
Pitney Bowes, Inc.   USFF -0.260%   Weekly   MS   01/12/29   (531)   (2,292)   (2,299)   (19)
RB Global, Inc. (Canada)   USFF +0.250%   Weekly   MS   01/05/26   (3,254)   (213,951)   (247,857)   (39,450)
Rollins, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (878)   (41,148)   (40,625)   413
Stericycle, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,955)   (149,060)   (155,876)   (7,424)
Thomson Reuters Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (372)   (58,679)   (57,969)   176
TransUnion   USFF -0.250%   Weekly   MS   07/11/28   (1,612)   (111,972)   (128,638)   (20,098)
UniFirst Corp.   USFF -0.250%   Weekly   MS   07/06/26   (136)   (26,334)   (23,586)   2,494
Upwork, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,532)   (122,842)   (116,862)   5,485
Verisk Analytics, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (268)   (65,103)   (63,176)   2,120
Verra Mobility Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,650)   (127,565)   (141,081)   (14,029)
Viad Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2)   (79)   (79)   (3)
                    (78,313)   (3,404,028)   (3,429,490)   (53,015)
Consumer Discretionary
Distribution & Retail 		                           
Arhaus, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (16)   (237)   (246)   (87)
Asbury Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (362)   (82,217)   (85,352)   (3,952)
AutoNation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (556)   (81,792)   (92,062)   (11,304)
Bath & Body Works, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (355)   (16,069)   (17,757)   (3,051)
Buckle, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (399)   (18,949)   (16,068)   1,617
Burlington Stores, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,550)   (342,556)   (359,895)   (18,713)
Caleres, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,721)   (46,886)   (70,613)   (25,173)
CarMax, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (35)   (3,024)   (3,049)   (38)
Chewy, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (15,778)   (249,836)   (251,028)   (2,195)
Designer Brands, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (210)   (2,297)   (2,295)   (20)
Dillard's, Inc., Class A   USFF -0.680%   Weekly   MS   07/11/28   (232)   (94,982)   (109,420)   (15,400)
Five Below, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,430)   (294,203)   (259,373)   37,221
Floor & Decor Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/06/26   (594)   (68,012)   (76,994)   (9,258)
Foot Locker, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,960)   (108,334)   (84,360)   20,507
Genuine Parts Co.   USFF -0.250%   Weekly   MS   01/12/29   (912)   (138,739)   (141,296)   (5,098)
The accompanying notes are an integral part of the financial statements.
166

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Group 1 Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3)   $ (851)   $ (877)   $ 14
Guess?, Inc.   USFF -0.580%   Weekly   MS   07/11/28   (1,095)   (26,738)   (34,460)   (8,894)
Lowe's Cos., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (303)   (74,262)   (77,183)   (4,349)
MarineMax, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,432)   (71,715)   (80,888)   (9,463)
Ollie's Bargain Outlet Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,123)   (165,932)   (168,927)   (4,430)
O'Reilly Automotive, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (169)   (191,488)   (190,781)   (1,280)
Penske Automotive Group, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (839)   (141,607)   (135,910)   3,627
Petco Health & Wellness Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (389)   (866)   (887)   (27)
RH   USFF -0.250%   Weekly   MS   01/10/28   (203)   (60,388)   (70,697)   (10,857)
Shoe Carnival, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (696)   (18,459)   (25,501)   (7,852)
Sonic Automotive, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,195)   (64,550)   (68,043)   (4,576)
Tractor Supply Co.   USFF -0.250%   Weekly   MS   01/12/29   (593)   (143,990)   (155,200)   (12,167)
Urban Outfitters, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (857)   (38,743)   (37,211)   1,032
Victoria's Secret & Co.   USFF -0.250%   Weekly   MS   07/08/27   (1,064)   (48,900)   (20,620)   38,234
Warby Parker, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (6,504)   (82,128)   (88,519)   (6,723)
                    (45,575)   (2,678,750)   (2,725,512)   (62,655)
Consumer Durables & Apparel                            
Acushnet Holdings Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,172)   (74,943)   (77,293)   (2,718)
Amer Sports, Inc. (Cayman Islands)   USFF -1.680%   Weekly   MS   01/12/29   (1,775)   (28,113)   (28,933)   (935)
BRP, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/07/27   (360)   (26,148)   (24,156)   1,783
Capri Holdings Ltd. (British Virgin Islands)   USFF -0.250%   Weekly   MS   07/11/28   (10,177)   (499,202)   (461,018)   36,544
Cavco Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (39)   (15,178)   (15,563)   (449)
Gildan Activewear, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (945)   (30,122)   (35,088)   (5,950)
Installed Building Products, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (85)   (15,787)   (21,992)   (6,592)
La-Z-Boy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (804)   (29,634)   (30,246)   (790)
Levi Strauss & Co, Class A   USFF -0.250%   Weekly   MS   01/10/28   (13,421)   (216,856)   (268,286)   (58,939)
Oxford Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (90)   (9,951)   (10,116)   (207)
Peloton Interactive, Inc., Class A   USFF -0.277%   Weekly   MS   01/12/29   (11,286)   (49,390)   (48,361)   815
SharkNinja, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/12/29   (2,212)   (133,605)   (137,785)   (4,718)
Skyline Champion Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,872)   (147,880)   (159,139)   (12,053)
The accompanying notes are an integral part of the financial statements.
167

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Durables & Apparel —
(continued) 		                           
Steven Madden Ltd.   USFF -0.250%   Weekly   MS   01/12/29   (3,452)   $ (145,043)   $ (145,951)   $ (1,822)
Sturm Ruger & Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (260)   (11,586)   (11,999)   (496)
Tempur Sealy International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,341)   (69,204)   (76,196)   (8,001)
Topgolf Callaway Brands Corp.   USFF -0.250%   Weekly   MS   01/05/26   (1,689)   (56,949)   (27,311)   32,643
Under Armour, Inc., Class C   USFF -0.250%   Weekly   MS   07/11/28   (4,384)   (31,514)   (31,302)   107
Vizio Holding Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,400)   (15,355)   (15,316)   (49)
Wolverine World Wide, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (3,711)   (91,104)   (41,600)   46,399
                    (60,475)   (1,697,564)   (1,667,651)   14,572
Consumer Services                            
Airbnb, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,643)   (260,833)   (271,029)   (23,189)
Bloomin' Brands, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (956)   (26,673)   (27,418)   (1,660)
Carnival Corp. (Panama)   USFF -0.250%   Weekly   MS   01/12/29   (8,753)   (147,416)   (143,024)   3,799
Chegg, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (11,296)   (196,251)   (85,511)   109,952
Chipotle Mexican Grill, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (87)   (253,783)   (252,889)   (125)
Choice Hotels International, Inc.   USFF -0.980%   Weekly   MS   01/12/29   (190)   (24,115)   (24,007)   10
Churchill Downs, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,474)   (180,467)   (182,408)   (3,430)
Coursera, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,553)   (99,858)   (91,873)   7,582
Dave & Buster's Entertainment, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (382)   (20,789)   (23,913)   (3,363)
First Watch Restaurant Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,942)   (40,248)   (47,812)   (7,728)
Hilton Worldwide Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (879)   (176,043)   (187,499)   (12,624)
Hyatt Hotels Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (221)   (28,817)   (35,276)   (9,551)
Jack in the Box, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (436)   (34,828)   (29,857)   4,722
Krispy Kreme, Inc.   USFF -0.880%   Weekly   MS   07/08/27   (13,750)   (189,731)   (209,481)   (21,615)
Life Time Group Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,569)   (23,358)   (24,351)   (1,147)
MGM Resorts International   USFF -0.250%   Weekly   MS   01/12/29   (2,216)   (103,195)   (104,617)   (1,837)
Mister Car Wash, Inc.   USFF -0.630%   Weekly   MS   07/06/26   (15,602)   (157,256)   (120,916)   35,708
Penn Entertainment, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,308)   (76,538)   (78,449)   (2,469)
Portillo's, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (5,814)   (118,230)   (82,443)   35,384
Red Rock Resorts, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (4,113)   (184,758)   (246,040)   (75,426)
The accompanying notes are an integral part of the financial statements.
168

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Restaurant Brands International, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (1,405)   $ (111,927)   $ (111,627)   $ (1,767)
Royal Caribbean Cruises Ltd. (Liberia)   USFF -0.250%   Weekly   MS   01/12/29   (1,027)   (127,961)   (142,763)   (18,148)
Service Corp. International   USFF -0.250%   Weekly   MS   01/12/29   (340)   (25,619)   (25,231)   191
Texas Roadhouse, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (671)   (88,591)   (103,649)   (18,207)
United Parks & Resorts, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,245)   (64,792)   (69,981)   (5,547)
Wingstop, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,230)   (379,513)   (450,672)   (79,428)
                    (88,102)   (3,141,590)   (3,172,736)   (89,913)
Consumer Staples Distribution &
Retail 		                           
BJ's Wholesale Club Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,590)   (192,768)   (195,934)   (5,131)
Casey's General Stores, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,421)   (416,931)   (452,517)   (37,639)
Chefs' Warehouse, Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (2,523)   (85,095)   (95,016)   (10,423)
Dollar Tree, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,564)   (199,732)   (208,247)   (13,224)
Maplebear, Inc.   USFF -1.080%   Weekly   MS   01/12/29   (3,866)   (141,856)   (144,163)   (2,878)
SpartanNash Co.   USFF -0.250%   Weekly   MS   07/08/27   (1,945)   (58,612)   (39,308)   17,108
Sprouts Farmers Market, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (651)   (33,484)   (41,976)   (9,140)
United Natural Foods, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,026)   (96,128)   (34,769)   60,972
                    (17,586)   (1,224,606)   (1,211,930)   (355)
Energy                            
Atlas Energy Solutions, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,435)   (95,472)   (122,940)   (29,363)
Baytex Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (62,426)   (208,820)   (226,606)   (21,732)
Bristow Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (70)   (1,817)   (1,904)   (97)
Cactus, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (1,666)   (85,011)   (83,450)   114
Civitas Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,667)   (253,725)   (278,362)   (41,571)
Clean Energy Fuels Corp.   USFF -0.256%   Weekly   MS   01/07/27   (26,755)   (106,493)   (71,703)   34,358
Comstock Resources, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (32,324)   (332,093)   (299,967)   25,032
Core Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,062)   (55,617)   (35,219)   20,156
Crescent Energy Co., Class A   USFF -0.250%   Weekly   MS   07/11/28   (3,075)   (35,598)   (36,593)   (1,546)
The accompanying notes are an integral part of the financial statements.
169

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
Crescent Point Energy Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (29,258)   $(199,922)   $(239,623)   $(44,024)
Denison Mines Corp. (Canada)   USFF -0.260%   Weekly   MS   01/07/27   (15,478)   (21,671)   (30,182)   (8,873)
Diamond Offshore Drilling, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (6,612)   (97,755)   (90,188)   7,213
Dril-Quip, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,483)   (32,859)   (33,412)   (782)
DT Midstream, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,037)   (104,745)   (124,461)   (28,321)
Energy Fuels, Inc. (Canada)   USFF -1.480%   Weekly   MS   01/10/28   (8,815)   (63,145)   (55,446)   7,421
EOG Resources, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (94)   (11,843)   (12,017)   (208)
EQT Corp.   USFF -0.250%   Weekly   MS   01/12/29   (6,861)   (245,182)   (254,337)   (10,563)
Equitrans Midstream Corp.   USFF -0.250%   Weekly   MS   01/12/29   (232)   (2,889)   (2,898)   (23)
Expro Group Holdings NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (6,150)   (112,470)   (122,816)   (10,798)
Hess Corp.   USFF -0.250%   Weekly   MS   07/11/28   (553)   (84,761)   (84,410)   (1,827)
HF Sinclair Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,696)   (154,200)   (162,758)   (10,367)
Kinetik Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,135)   (116,216)   (124,992)   (24,540)
Kosmos Energy Ltd.   USFF -0.250%   Weekly   MS   07/11/28   (2,581)   (20,558)   (15,383)   6,784
New Fortress Energy, Inc.   USFF -0.980%   Weekly   MS   07/08/27   (3,172)   (154,677)   (97,031)   45,745
NexGen Energy Ltd. (Canada)   USFF -0.830%   Weekly   MS   07/11/28   (12,584)   (86,754)   (97,778)   (12,343)
NextDecade Corp.   USFF -0.630%   Weekly   MS   01/12/29   (1,002)   (5,417)   (5,691)   (299)
North American Construction Group Ltd. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (161)   (3,775)   (3,587)   160
Northern Oil and Gas, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,950)   (73,636)   (77,376)   (5,296)
NOV, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,617)   (148,952)   (148,684)   (1,551)
Oceaneering International, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,961)   (73,172)   (69,287)   3,403
ONEOK, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,304)   (231,074)   (264,882)   (38,564)
Ovintiv, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,707)   (129,710)   (140,493)   (19,786)
Par Pacific Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,978)   (75,864)   (73,305)   2,252
Patterson-UTI Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (21,375)   (239,052)   (255,218)   (20,895)
Permian Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (14,364)   (227,002)   (253,668)   (32,389)
ProFrac Holding Corp., Class A   USFF -0.930%   Weekly   MS   07/08/27   (9,069)   (111,291)   (75,817)   34,905
ProPetro Holding Corp.   USFF -0.250%   Weekly   MS   01/10/28   (17,665)   (160,541)   (142,733)   17,132
Range Resources Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,597)   (85,152)   (89,415)   (5,416)
The accompanying notes are an integral part of the financial statements.
170

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy — (continued)                            
RPC, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,657)   $ (31,791)   $ (28,305)   $ 3,153
Seadrill Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/12/29   (52)   (2,587)   (2,616)   (41)
Select Water Solutions, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,337)   (19,116)   (21,571)   (3,449)
SFL Corp. Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (1,163)   (13,076)   (15,328)   (3,493)
SilverBow Resources, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (2,413)   (93,496)   (82,380)   10,740
Southwestern Energy Co.   USFF -0.250%   Weekly   MS   01/12/29   (32,283)   (225,634)   (244,705)   (21,541)
Suncor Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (7,537)   (258,645)   (278,191)   (22,491)
Talos Energy, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (10,117)   (140,360)   (140,930)   (1,414)
Tidewater, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (948)   (67,968)   (87,216)   (21,424)
Uranium Energy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (12,450)   (81,719)   (84,038)   (2,648)
Valaris Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (2,034)   (139,098)   (153,079)   (14,823)
Vermilion Energy, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (4,827)   (65,323)   (60,048)   3,727
Vital Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,598)   (85,505)   (83,959)   839
Williams Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (10,506)   (381,944)   (409,419)   (34,945)
World Kinect Corp.   USFF -0.250%   Weekly   MS   01/07/27   (3,631)   (96,353)   (96,040)   (3,645)
                    (421,524)   (5,951,546)   (6,092,457)   (277,954)
Financial Services                            
Global Payments, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (129)   (17,685)   (17,242)   674
I3 Verticals, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (8)   (183)   (183)   (106)
Jack Henry & Associates, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (182)   (30,406)   (31,619)   (1,589)
MarketAxess Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (365)   (79,843)   (80,026)   (505)
Marqeta, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (19,050)   (113,576)   (113,538)   (419)
Nasdaq, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (9,150)   (534,093)   (577,365)   (46,777)
Remitly Global, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,633)   (229,588)   (241,268)   (13,456)
WEX, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (902)   (182,608)   (214,252)   (34,072)
                    (41,419)   (1,187,982)   (1,275,493)   (96,250)
Food, Beverage & Tobacco                            
Brown-Forman Corp., Class B   USFF -0.250%   Weekly   MS   07/11/28   (624)   (41,071)   (32,211)   11,566
Cal-Maine Foods, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,111)   (121,133)   (124,232)   (3,788)
Celsius Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (803)   (51,492)   (66,585)   (22,350)
Darling Ingredients, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,637)   (624,759)   (448,217)   173,811
The accompanying notes are an integral part of the financial statements.
171

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Duckhorn Portfolio, Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (2,914)   $ (26,885)   $ (27,129)   $ (355)
Flowers Foods, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,254)   (58,361)   (53,533)   2,463
Hain Celestial Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/08/27   (4,326)   (87,083)   (34,002)   54,616
Hershey Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (1,628)   (322,719)   (316,646)   4,657
J M Smucker Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (3,951)   (488,393)   (497,312)   (10,878)
John B Sanfilippo & Son, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (80)   (8,340)   (8,474)   (169)
Lamb Weston Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,453)   (372,172)   (367,848)   1,612
Monster Beverage Corp.   USFF -0.250%   Weekly   MS   01/12/29   (487)   (29,640)   (28,869)   1,211
PepsiCo, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,987)   (685,980)   (697,765)   (14,534)
Pilgrim's Pride Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,852)   (72,290)   (97,881)   (27,211)
Post Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,886)   (198,167)   (200,444)   (3,292)
TreeHouse Foods, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (511)   (19,808)   (19,903)   (177)
Universal Corp.   USFF -0.250%   Weekly   MS   01/12/29   (212)   (10,773)   (10,965)   (238)
WK Kellogg Co.   USFF -0.250%   Weekly   MS   07/11/28   (1,111)   (15,142)   (20,887)   (6,368)
                    (42,827)   (3,234,208)   (3,052,903)   160,576
Health Care Equipment & Services                            
Acadia Healthcare Co., Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,883)   (231,993)   (228,391)   2,202
AdaptHealth Corp.   USFF -0.250%   Weekly   MS   01/05/26   (2,151)   (55,612)   (24,758)   32,507
agilon health, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (13,821)   (133,267)   (84,308)   48,422
Alcon, Inc. (Switzerland)   USFF -0.250%   Weekly   MS   01/12/29   (2,632)   (225,085)   (219,219)   4,318
Alphatec Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,732)   (103,844)   (106,624)   (3,198)
Amedisys, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (679)   (63,380)   (62,577)   547
AMN Healthcare Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (821)   (48,764)   (51,321)   (2,754)
Cooper Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/10/28   (1,305)   (125,809)   (132,405)   (7,696)
CorVel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (16)   (4,094)   (4,207)   (132)
DENTSPLY SIRONA, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,671)   (67,152)   (55,460)   12,157
Dexcom, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,996)   (655,068)   (692,945)   (41,034)
Doximity, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (2,540)   (104,620)   (68,351)   38,502
Edwards Lifesciences Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,343)   (465,838)   (510,577)   (48,911)
Ensign Group, Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (504)   (51,602)   (62,708)   (11,668)
Glaukos Corp.   USFF -0.250%   Weekly   MS   07/08/27   (252)   (12,337)   (23,761)   (11,885)
The accompanying notes are an integral part of the financial statements.
172

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Globus Medical, Inc., Class A   USFF -0.250%   Weekly   MS   07/08/27   (4,493)   $(237,649)   $(241,005)   $ (5,447)
GoodRx Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (3,488)   (24,977)   (24,765)   87
Guardant Health, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,619)   (70,205)   (74,660)   (4,739)
Henry Schein, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,850)   (440,856)   (441,792)   (2,704)
ICU Medical, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (267)   (47,245)   (28,654)   19,070
Inari Medical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (482)   (27,874)   (23,126)   4,641
Inspire Medical Systems, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (615)   (96,419)   (132,096)   (37,139)
Integer Holdings Corp.   USFF -0.250%   Weekly   MS   07/06/26   (1,536)   (169,219)   (179,220)   (10,682)
Integra LifeSciences Holdings Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,548)   (64,975)   (54,877)   10,125
Intuitive Surgical, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (537)   (206,817)   (214,311)   (8,857)
iRhythm Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,384)   (150,464)   (160,544)   (10,685)
Laboratory Corp. of America Holdings   USFF -0.250%   Weekly   MS   01/12/29   (552)   (120,657)   (120,590)   (300)
LifeStance Health Group, Inc.   USFF -0.680%   Weekly   MS   01/07/27   (6,779)   (52,937)   (41,826)   10,915
LivaNova PLC (United Kingdom)   USFF -0.250%   Weekly   MS   07/11/28   (1,252)   (64,299)   (70,037)   (6,615)
Masimo Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,095)   (168,105)   (160,801)   4,881
Merit Medical Systems, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (235)   (17,513)   (17,801)   (528)
Neogen Corp.   USFF -0.250%   Weekly   MS   01/10/28   (7,671)   (138,413)   (121,048)   16,808
Nevro Corp.   USFF -0.250%   Weekly   MS   07/06/26   (5,169)   (178,946)   (74,640)   103,757
Novocure Ltd. (Jersey)   USFF -0.250%   Weekly   MS   01/10/28   (16,105)   (405,341)   (251,721)   151,900
Option Care Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,506)   (118,648)   (117,591)   562
Patterson Cos., Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,061)   (90,021)   (84,637)   4,685
PROCEPT BioRobotics Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,084)   (39,018)   (53,571)   (14,899)
Progyny, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (410)   (15,340)   (15,642)   (365)
QuidelOrtho Corp.   USFF -0.250%   Weekly   MS   07/06/26   (3,578)   (262,359)   (171,529)   89,777
RadNet, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (766)   (22,763)   (37,274)   (16,226)
Schrodinger, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (5,159)   (197,627)   (139,293)   57,540
Shockwave Medical, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,555)   (356,079)   (506,355)   (151,705)
SI-BONE, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (312)   (4,897)   (5,107)   (232)
STAAR Surgical Co.   USFF -0.250%   Weekly   MS   01/10/28   (1,658)   (98,810)   (63,468)   34,837
STERIS PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (469)   (108,114)   (105,441)   2,038
Tandem Diabetes Care, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (4,317)   (216,891)   (152,865)   59,322
The accompanying notes are an integral part of the financial statements.
173

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
Teladoc Health, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,854)   $ (64,152)   $ (58,195)   $ 5,697
Treace Medical Concepts, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (4,174)   (62,415)   (54,471)   7,688
US Physical Therapy, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (325)   (36,604)   (36,683)   (1,275)
Veeva Systems, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (935)   (202,283)   (216,630)   (16,832)
                    (145,186)   (6,927,397)   (6,579,878)   306,477
Household & Personal Products                            
Beauty Health Co. (The)   USFF -0.653%   Weekly   MS   01/12/29   (284)   (1,271)   (1,261)   3
Church & Dwight Co., Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,121)   (518,856)   (534,172)   (19,932)
elf Beauty, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,724)   (483,468)   (533,986)   (61,093)
Inter Parfums, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (978)   (139,341)   (137,419)   474
                    (9,107)   (1,142,936)   (1,206,838)   (80,548)
Materials                            
AdvanSix, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4)   (113)   (114)   (4)
Agnico Eagle Mines Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (1,125)   (58,216)   (67,106)   (11,880)
Air Products and Chemicals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (895)   (257,713)   (216,832)   38,140
Albemarle Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,167)   (196,049)   (153,741)   23,446
Alcoa Corp.   USFF -0.250%   Weekly   MS   01/12/29   (798)   (24,214)   (26,964)   (2,850)
Algoma Steel Group, Inc. (Canada)   USFF -2.380%   Weekly   MS   01/10/28   (5,250)   (41,986)   (44,573)   (3,947)
Ashland, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,435)   (154,492)   (139,726)   11,628
Century Aluminum Co.   USFF -0.250%   Weekly   MS   01/12/29   (1,946)   (23,280)   (29,949)   (7,193)
CF Industries Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,968)   (331,535)   (330,177)   (967)
Coeur Mining, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (88,087)   (397,804)   (332,088)   62,867
Commercial Metals Co.   USFF -0.250%   Weekly   MS   01/12/29   (686)   (39,798)   (40,316)   (797)
Compass Minerals International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,205)   (24,375)   (18,967)   5,244
DuPont de Nemours, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,353)   (252,833)   (257,075)   (6,240)
Eagle Materials, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (136)   (28,021)   (36,958)   (9,222)
Ecovyst, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (416)   (4,311)   (4,638)   (347)
Element Solutions, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,006)   (22,151)   (25,130)   (3,509)
Equinox Gold Corp. (Canada)   USFF -0.830%   Weekly   MS   08/29/25   (32,820)   (248,677)   (197,576)   49,815
ERO Copper Corp. (Canada)   USFF -0.780%   Weekly   MS   01/12/29   (69)   (1,297)   (1,330)   (41)
The accompanying notes are an integral part of the financial statements.
174

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
First Majestic Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (16,324)   $ (96,283)   $ (95,985)   $ (1,310)
FMC Corp.   USFF -0.250%   Weekly   MS   01/10/28   (12,189)   (761,382)   (776,439)   (34,369)
Ginkgo Bioworks Holdings, Inc.   USFF -6.197%   Weekly   MS   07/11/28   (71,065)   (103,948)   (82,435)   21,094
Graphic Packaging Holding Co.   USFF -0.250%   Weekly   MS   07/11/28   (3,139)   (81,690)   (91,596)   (10,812)
Hawkins, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (64)   (4,890)   (4,915)   (47)
Hecla Mining Co.   USFF -0.247%   Weekly   MS   07/08/27   (32,805)   (155,479)   (157,792)   (3,305)
Huntsman Corp.   USFF -0.250%   Weekly   MS   01/12/29   (933)   (24,084)   (24,286)   (648)
IAMGOLD Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (21,693)   (54,706)   (72,238)   (18,522)
Ingevity Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,650)   (113,024)   (78,705)   34,414
Louisiana-Pacific Corp.   USFF -0.250%   Weekly   MS   07/08/27   (644)   (42,192)   (54,038)   (13,527)
LSB Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (188)   (1,529)   (1,651)   (130)
MAG Silver Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (3,276)   (32,152)   (34,660)   (2,643)
Methanex Corp. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (2,481)   (109,228)   (110,727)   (4,229)
Mosaic Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (3,003)   (95,360)   (97,477)   (2,589)
MP Materials Corp.   USFF -0.250%   Weekly   MS   01/07/27   (7,014)   (177,938)   (100,300)   76,923
Newmont Corp.   USFF -0.250%   Weekly   MS   01/12/29   (19,444)   (662,893)   (696,873)   (38,590)
Novagold Resources, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/08/27   (8,001)   (33,751)   (24,003)   9,610
Nutrien Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (1,087)   (64,555)   (59,035)   3,836
O-I Glass, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,567)   (83,421)   (75,767)   7,288
Olin Corp.   USFF -0.250%   Weekly   MS   07/11/28   (669)   (36,110)   (39,337)   (4,148)
Pan American Silver Corp. (Canada)   USFF -0.980%   Weekly   MS   07/08/27   (3,181)   (52,981)   (47,969)   3,902
Ryerson Holding Corp.   USFF -0.250%   Weekly   MS   01/12/29   (339)   (10,679)   (11,357)   (735)
Sandstorm Gold Ltd. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (6,688)   (39,434)   (35,112)   3,964
Schnitzer Steel Industries, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,624)   (68,747)   (34,315)   32,277
Sensient Technologies Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,011)   (74,778)   (69,951)   2,601
Silgan Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,756)   (77,849)   (85,271)   (8,911)
Southern Copper Corp.   USFF -0.250%   Weekly   MS   01/12/29   (779)   (79,219)   (82,979)   (4,080)
SSR Mining, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (16,824)   (233,751)   (75,035)   159,963
Steel Dynamics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (55)   (8,036)   (8,153)   (151)
Stepan Co.   USFF -0.250%   Weekly   MS   01/05/26   (501)   (55,407)   (45,110)   8,742
Sylvamo Corp.   USFF -0.250%   Weekly   MS   01/10/28   (954)   (48,749)   (58,900)   (10,920)
Teck Resources Ltd., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (2,293)   (96,619)   (104,974)   (10,117)
TimkenSteel Corp.   USFF -0.250%   Weekly   MS   07/11/28   (851)   (18,238)   (18,935)   (815)
The accompanying notes are an integral part of the financial statements.
175

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Materials — (continued)                            
TriMas Corp.   USFF -0.250%   Weekly   MS   01/12/29   (392)   $ (9,822)   $ (10,478)   $ (698)
Tronox Holdings PLC (United Kingdom)   USFF -0.250%   Weekly   MS   01/10/28   (15,333)   (204,373)   (266,028)   (66,784)
United States Lime & Minerals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (7)   (2,076)   (2,087)   (22)
United States Steel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (14,566)   (663,309)   (594,001)   65,569
Warrior Met Coal, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (442)   (26,718)   (26,829)   (174)
Wheaton Precious Metals Corp. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (240)   (11,050)   (11,311)   (308)
                    (422,438)   (6,623,315)   (6,190,314)   335,742
Media & Entertainment                            
Altice USA, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (22,546)   (126,824)   (58,845)   68,347
Angi, Inc.   USFF -0.250%   Weekly   MS   08/29/25   (7,424)   (111,043)   (19,451)   92,174
Cargurus, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,073)   (70,382)   (70,925)   (827)
EchoStar Corp., Class A   USFF -0.250%   Weekly   MS   01/07/27   (11,503)   (379,962)   (163,918)   214,520
Endeavor Group Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (21,030)   (516,182)   (541,102)   (29,203)
Fox Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,067)   (122,420)   (127,175)   (5,682)
IAC, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,405)   (123,506)   (74,943)   48,291
Integral Ad Science Holding Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,261)   (32,003)   (22,542)   9,918
Lions Gate Entertainment Corp., Class B (Canada)   USFF -0.250%   Weekly   MS   01/07/27   (4,430)   (49,585)   (41,243)   8,140
Madison Square Garden Entertainment Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,285)   (42,936)   (50,385)   (8,324)
Madison Square Garden Sports Corp.   USFF -0.250%   Weekly   MS   07/11/28   (642)   (119,112)   (118,462)   88
Magnite, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (9,916)   (122,439)   (106,597)   14,924
Nexstar Media Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,020)   (170,936)   (175,736)   (6,696)
Scholastic Corp.   USFF -0.250%   Weekly   MS   07/08/27   (437)   (17,956)   (16,479)   1,127
Snap, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (38,240)   (429,354)   (438,995)   (11,364)
Sphere Entertainment Co.   USFF -0.250%   Weekly   MS   01/07/27   (421)   (17,497)   (20,663)   (3,928)
Stagwell, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (656)   (3,716)   (4,080)   (382)
Taboola.com Ltd. (Israel)   USFF -0.730%   Weekly   MS   01/12/29   (1,671)   (7,278)   (7,419)   (173)
The accompanying notes are an integral part of the financial statements.
176

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Take-Two Interactive Software, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,590)   $ (376,867)   $ (384,589)   $ (9,234)
TechTarget, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6)   (193)   (198)   (8)
TKO Group Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,562)   (316,500)   (307,792)   5,893
Vivid Seats, Inc., Class A   USFF -0.680%   Weekly   MS   01/12/29   (1,982)   (11,267)   (11,872)   (653)
Ziff Davis, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (755)   (54,233)   (47,595)   6,594
                    (140,922)   (3,222,191)   (2,811,006)   393,542
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbCellera Biologics, Inc. (Canada)   USFF -1.688%   Weekly   MS   07/11/28   (8,046)   (41,721)   (36,448)   5,103
Amgen, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,782)   (831,525)   (790,978)   32,080
Arcturus Therapeutics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (42)   (1,505)   (1,418)   83
Ardelyx, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (682)   (5,913)   (4,979)   981
Arrowhead Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (4,381)   (131,557)   (125,297)   5,731
Aurinia Pharmaceuticals, Inc. (Canada)   USFF -0.630%   Weekly   MS   01/12/29   (1,244)   (6,410)   (6,232)   149
Avantor, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,353)   (78,970)   (85,736)   (8,556)
Axsome Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (476)   (32,662)   (37,985)   (5,484)
Bausch Health Cos., Inc. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (22,353)   (189,165)   (237,165)   (48,760)
Biogen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (247)   (56,145)   (53,261)   4,732
Bio-Techne Corp.   USFF -0.250%   Weekly   MS   01/10/28   (2,636)   (204,402)   (185,548)   17,668
Bridgebio Pharma, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,684)   (48,729)   (52,069)   (4,254)
Bruker Corp.   USFF -0.250%   Weekly   MS   07/11/28   (581)   (42,442)   (54,579)   (14,708)
Catalent, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (1,740)   (194,102)   (98,223)   95,929
Charles River Laboratories International, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (779)   (194,136)   (211,070)   (19,021)
Cytek Biosciences, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (6,877)   (76,594)   (46,145)   30,140
Disc Medicine, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (68)   (4,079)   (4,234)   (173)
Elanco Animal Health, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (944)   (11,029)   (15,368)   (6,180)
Fortrea Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,159)   (45,072)   (46,522)   (1,972)
Geron Corp.   USFF -0.250%   Weekly   MS   07/11/28   (8,869)   (21,503)   (29,268)   (9,423)
Immatics NV (Netherlands)   USFF -1.130%   Weekly   MS   01/12/29   (123)   (1,485)   (1,293)   190
The accompanying notes are an integral part of the financial statements.
177

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Intellia Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (186)   $ (5,346)   $ (5,117)   $ 229
Jazz Pharmaceuticals PLC (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (2,612)   (317,679)   (314,537)   1,445
MacroGenics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (299)   (4,387)   (4,401)   (35)
Maravai LifeSciences Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (19,537)   (129,506)   (169,386)   (40,401)
Mesa Laboratories, Inc.   USFF -0.250%   Weekly   MS   08/29/25   (176)   (43,771)   (19,312)   24,063
Olema Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3)   (34)   (34)   (3)
Organon & Co.   USFF -0.250%   Weekly   MS   07/11/28   (10,731)   (187,126)   (201,743)   (21,097)
Pacific Biosciences of California, Inc.   USFF -0.267%   Weekly   MS   07/11/28   (6,598)   (46,063)   (24,743)   21,134
Pacira BioSciences, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,373)   (40,730)   (40,119)   441
Perrigo Co. PLC (Ireland)   USFF -0.250%   Weekly   MS   08/29/25   (907)   (47,436)   (29,196)   16,602
Pfizer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (20,627)   (566,255)   (572,399)   (8,499)
Phathom Pharmaceuticals, Inc.   USFF -5.230%   Weekly   MS   01/12/29   (171)   (1,847)   (1,816)   21
Pliant Therapeutics, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,434)   (67,616)   (51,167)   16,175
Prothena Corp. PLC (Ireland)   USFF -0.250%   Weekly   MS   01/12/29   (45)   (1,191)   (1,115)   69
Relay Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (273)   (2,134)   (2,266)   (143)
Repligen Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,151)   (218,051)   (211,692)   4,612
Revance Therapeutics, Inc.   USFF -0.267%   Weekly   MS   07/11/28   (6,060)   (73,021)   (29,815)   43,090
Revvity, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,573)   (171,350)   (165,165)   5,354
SIGA Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (114)   (957)   (976)   (50)
Sotera Health Co.   USFF -0.250%   Weekly   MS   07/06/26   (7,896)   (147,845)   (94,831)   53,410
Summit Therapeutics, Inc.   USFF -2.234%   Weekly   MS   01/12/29   (2)   (8)   (8)   (43)
Tango Therapeutics, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (8)   (68)   (64)   11
Tilray Brands, Inc.   USFF -7.350%   Weekly   MS   07/11/28   (40,701)   (74,100)   (100,531)   (26,731)
Vaxcyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (219)   (14,808)   (14,960)   (214)
Veracyte, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (613)   (13,655)   (13,584)   14
Vericel Corp.   USFF -0.250%   Weekly   MS   01/12/29   (497)   (22,332)   (25,854)   (4,001)
West Pharmaceutical Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (747)   (294,173)   (295,595)   (2,603)
The accompanying notes are an integral part of the financial statements.
178

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Xenon Pharmaceuticals, Inc. (Canada)   USFF -0.250%   Weekly   MS   01/12/29   (41)   $ (1,754)   $ (1,765)   $ (20)
Zymeworks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (80)   (905)   (842)   58
                    (195,740)   (4,713,294)   (4,516,851)   157,143
Semiconductors & Semiconductor
Equipment 		                           
Allegro MicroSystems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,777)   (85,576)   (74,868)   10,829
Alpha & Omega Semiconductor Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/10/28   (1,372)   (34,575)   (30,239)   4,195
Ambarella, Inc. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/07/27   (1,413)   (120,197)   (71,738)   48,524
Analog Devices, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (962)   (191,064)   (190,274)   (2,608)
Broadcom, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (488)   (626,840)   (646,800)   (29,260)
Cirrus Logic, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (380)   (31,102)   (35,173)   (4,942)
Diodes, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (533)   (36,951)   (37,577)   (776)
Enphase Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,020)   (266,264)   (244,380)   22,480
First Solar, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (861)   (127,582)   (145,337)   (19,826)
FormFactor, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,329)   (84,309)   (106,272)   (22,851)
Ichor Holdings Ltd. (Cayman Islands)   USFF -0.250%   Weekly   MS   01/07/27   (1,609)   (53,411)   (62,140)   (9,388)
Impinj, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (366)   (35,364)   (46,998)   (12,116)
indie Semiconductor, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (7,630)   (48,425)   (54,020)   (5,792)
Kulicke & Soffa Industries, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (645)   (31,661)   (32,450)   (965)
Lattice Semiconductor Corp.   USFF -0.250%   Weekly   MS   01/12/29   (2,795)   (210,731)   (218,653)   (10,794)
MACOM Technology Solutions Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,894)   (425,379)   (468,062)   (44,389)
Marvell Technology, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (711)   (47,464)   (50,396)   (3,217)
MaxLinear, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (10,771)   (226,318)   (201,095)   24,315
MKS Instruments, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (583)   (59,309)   (77,539)   (20,904)
Onto Innovation, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (307)   (44,967)   (55,592)   (13,993)
Power Integrations, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,475)   (284,525)   (248,636)   33,117
Semtech Corp.   USFF -0.250%   Weekly   MS   01/10/28   (2,608)   (59,236)   (71,694)   (13,448)
Silicon Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (904)   (106,141)   (129,923)   (24,831)
SiTime Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,261)   (126,153)   (117,563)   8,083
Synaptics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (511)   (48,216)   (49,853)   (2,048)
Teradyne, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,008)   (108,999)   (113,733)   (5,250)
The accompanying notes are an integral part of the financial statements.
179

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment — (continued) 		                           
Texas Instruments, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,610)   $ (617,726)   $ (628,898)   $ (20,193)
Ultra Clean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,097)   (37,201)   (50,396)   (14,012)
Universal Display Corp.   USFF -0.250%   Weekly   MS   07/11/28   (990)   (171,934)   (166,766)   3,921
Veeco Instruments, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (539)   (19,012)   (18,957)   (39)
Wolfspeed, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,131)   (115,869)   (92,365)   23,037
                    (62,580)   (4,482,501)   (4,538,387)   (103,141)
Software & Services                            
A10 Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,272)   (17,487)   (17,414)   1
ACI Worldwide, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,047)   (57,660)   (67,981)   (10,839)
Agilysys, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (251)   (19,373)   (21,149)   (1,878)
Akamai Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (576)   (69,180)   (62,646)   6,922
Amplitude, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (648)   (7,287)   (7,050)   205
Appian Corp., Class A   USFF -0.250%   Weekly   MS   07/08/27   (2,596)   (103,800)   (103,710)   (835)
AppLovin Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,808)   (174,747)   (194,370)   (24,314)
Asana, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (7,866)   (140,836)   (121,844)   18,425
Aspen Technology, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (713)   (138,926)   (152,069)   (13,782)
Atlassian Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,105)   (222,419)   (215,597)   5,930
Bentley Systems, Inc., Class B   USFF -0.250%   Weekly   MS   01/10/28   (2,348)   (122,951)   (122,613)   (279)
BigCommerce Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (6,142)   (106,431)   (42,318)   63,718
BILL Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,926)   (278,517)   (269,795)   6,781
BlackBerry Ltd. (Canada)   USFF -0.770%   Weekly   MS   01/12/29   (5,096)   (13,552)   (14,065)   (570)
Braze, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (173)   (7,997)   (7,664)   298
Cerence, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,823)   (40,496)   (28,712)   11,619
Cipher Mining, Inc.   USFF -3.680%   Weekly   MS   01/12/29   (16,748)   (56,252)   (86,252)   (35,409)
Clearwater Analytics Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (4,128)   (70,228)   (73,024)   (3,080)
Confluent, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,908)   (46,748)   (58,232)   (15,314)
DigitalOcean Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (860)   (32,337)   (32,835)   (645)
DocuSign, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (322)   (19,100)   (19,175)   (154)
Dolby Laboratories, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (922)   (77,220)   (77,236)   (335)
The accompanying notes are an integral part of the financial statements.
180

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
DoubleVerify Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,663)   $ (183,123)   $ (163,951)   $ 17,601
Dropbox, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,869)   (93,807)   (69,717)   27,184
Elastic NV (Netherlands)   USFF -0.250%   Weekly   MS   01/12/29   (2,918)   (297,391)   (292,500)   3,698
Envestnet, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,618)   (126,398)   (93,698)   32,942
Fair Isaac Corp.   USFF -0.250%   Weekly   MS   01/12/29   (155)   (202,688)   (193,690)   8,731
Fastly, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (10,770)   (144,583)   (139,687)   4,314
Five9, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,325)   (446,880)   (454,956)   (9,868)
Freshworks, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,306)   (23,542)   (23,782)   (337)
Gartner, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (393)   (185,842)   (187,331)   (2,770)
Grid Dynamics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (104)   (1,284)   (1,278)   (2)
HashiCorp., Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (3,810)   (106,354)   (102,680)   3,192
Intapp, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,589)   (55,976)   (54,503)   1,246
Jamf Holding Corp.   USFF -0.250%   Weekly   MS   01/05/26   (2,262)   (79,118)   (41,508)   37,389
Lightspeed Commerce, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (10,190)   (315,616)   (143,271)   171,078
Matterport, Inc.   USFF -0.256%   Weekly   MS   01/12/29   (86)   (193)   (194)   (5)
Model N, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (839)   (21,641)   (23,886)   (2,335)
nCino, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,773)   (52,919)   (66,275)   (14,556)
Olo, Inc., Class A   USFF -0.250%   Weekly   MS   01/07/27   (10,062)   (76,839)   (55,240)   21,288
Open Text Corp. (Canada)   USFF -0.250%   Weekly   MS   01/10/28   (1,283)   (54,211)   (49,819)   3,263
Perficient, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (394)   (26,379)   (22,178)   4,269
PowerSchool Holdings, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (2,588)   (59,609)   (55,099)   4,314
RingCentral, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (3,115)   (93,604)   (108,215)   (15,255)
SentinelOne, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (6,880)   (156,544)   (160,373)   (4,458)
Smartsheet, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (995)   (39,780)   (38,308)   1,311
Snowflake, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (2,803)   (487,228)   (452,965)   31,828
Sprinklr, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (6,860)   (91,924)   (84,172)   7,418
Sprout Social, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (466)   (26,740)   (27,825)   (1,195)
Squarespace, Inc., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,762)   (60,261)   (64,207)   (4,190)
Unity Software, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,153)   (66,975)   (57,485)   9,922
Workiva, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,783)   (157,425)   (151,198)   5,594
Zscaler, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,279)   (460,403)   (439,004)   19,553
                    (160,371)   (6,018,821)   (5,614,746)   367,629
The accompanying notes are an integral part of the financial statements.
181

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment                            
ADTRAN Holdings, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (5,717)   $ (110,627)   $ (31,100)   $ 83,544
Advanced Energy Industries, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,553)   (174,871)   (158,375)   15,538
Arista Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (58)   (17,539)   (16,819)   1,406
Avnet, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,243)   (104,775)   (111,208)   (9,393)
Belden, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,274)   (112,584)   (117,985)   (6,071)
Benchmark Electronics, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (1,000)   (26,616)   (30,010)   (4,957)
Calix, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (3,770)   (170,272)   (125,013)   44,763
Celestica, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (3,865)   (132,347)   (173,693)   (45,476)
Cognex Corp.   USFF -0.250%   Weekly   MS   07/11/28   (9,197)   (370,941)   (390,137)   (20,941)
Coherent Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,853)   (92,376)   (112,329)   (25,141)
Harmonic, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (14,374)   (165,999)   (193,187)   (28,548)
Infinera Corp.   USFF -0.580%   Weekly   MS   01/12/29   (2,627)   (13,054)   (15,841)   (2,841)
IonQ, Inc.   USFF -6.830%   Weekly   MS   01/12/29   (7,247)   (70,596)   (72,398)   (2,087)
Juniper Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,174)   (117,718)   (117,628)   (1,303)
Lumentum Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,020)   (121,121)   (95,647)   24,986
Novanta, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/06/26   (513)   (85,075)   (89,657)   (5,064)
OSI Systems, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (24)   (3,379)   (3,428)   (65)
Sanmina Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,674)   (87,914)   (104,089)   (17,649)
Teledyne Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (225)   (98,913)   (96,597)   1,961
TTM Technologies, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (19)   (299)   (297)   (12)
Ubiquiti, Inc.   USFF -0.580%   Weekly   MS   01/07/27   (575)   (156,147)   (66,614)   87,514
Viasat, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (5,894)   (172,231)   (106,622)   64,916
Viavi Solutions, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (10,141)   (103,710)   (92,182)   11,063
Vishay Intertechnology, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4,211)   (95,075)   (95,505)   (1,170)
Zebra Technologies Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (1,999)   (504,126)   (602,579)   (104,717)
                    (85,247)   (3,108,305)   (3,018,940)   60,256
Telecommunication Services                            
Cogent Communications Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (4,437)   (300,162)   (289,869)   (1,911)
Frontier Communications Parent, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (4,726)   (134,565)   (115,787)   18,593
Globalstar, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (24,544)   (40,245)   (36,080)   4,001
Gogo, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,827)   (30,599)   (16,041)   14,907
The accompanying notes are an integral part of the financial statements.
182

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Telecommunication Services —
(continued) 		                           
Rogers Communications, Inc., Class B (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (1,745)   $ (75,132)   $ (71,545)   $ 1,875
Shenandoah Telecommunications Co.   USFF -0.250%   Weekly   MS   08/29/25   (1,288)   (39,238)   (22,373)   9,559
United States Cellular Corp.   USFF -0.250%   Weekly   MS   01/12/29   (184)   (6,601)   (6,716)   (144)
                    (38,751)   (626,542)   (558,411)   46,880
Transportation                            
Air Transport Services Group, Inc.   USFF -0.250%   Weekly   MS   08/29/25   (6,882)   (146,756)   (94,696)   51,469
Alaska Air Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (889)   (42,717)   (38,218)   4,807
Allegiant Travel Co.   USFF -0.250%   Weekly   MS   07/11/28   (1,283)   (96,483)   (96,494)   (791)
Canadian Pacific Kansas City Ltd. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (534)   (44,847)   (47,083)   (3,119)
Covenant Logistics Group, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1)   (46)   (46)   (3)
Expeditors International of Washington, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (728)   (87,616)   (88,503)   (1,707)
Frontier Group Holdings, Inc.   USFF -0.580%   Weekly   MS   07/11/28   (3,987)   (19,182)   (32,335)   (14,430)
Genco Shipping & Trading Ltd. (Marshall Islands)   USFF -0.250%   Weekly   MS   01/12/29   (1,474)   (29,765)   (29,966)   (616)
Golden Ocean Group Ltd. (Bermuda)   USFF -0.980%   Weekly   MS   07/11/28   (3,715)   (31,085)   (48,146)   (20,207)
Hawaiian Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (2,371)   (33,221)   (31,605)   1,480
JB Hunt Transport Services, Inc.   USFF +0.250%   Weekly   MS   01/07/27   (208)   (41,952)   (41,444)   125
JetBlue Airways Corp.   USFF -0.250%   Weekly   MS   07/11/28   (11,667)   (57,927)   (86,569)   (30,845)
Joby Aviation, Inc.   USFF -1.130%   Weekly   MS   01/12/29   (86)   (460)   (461)   (6)
Knight-Swift Transportation Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (141)   (7,560)   (7,758)   (231)
Matson, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (626)   (59,779)   (70,362)   (11,129)
Norfolk Southern Corp.   USFF -0.250%   Weekly   MS   01/12/29   (306)   (77,357)   (77,990)   (1,107)
RXO, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,498)   (52,510)   (54,631)   (2,334)
Ryder System, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,490)   (168,984)   (179,083)   (10,848)
Schneider National, Inc., Class B   USFF -0.250%   Weekly   MS   07/11/28   (5,672)   (143,105)   (128,414)   13,319
The accompanying notes are an integral part of the financial statements.
183

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Transportation — (continued)                            
Southwest Airlines Co.   USFF -0.250%   Weekly   MS   07/11/28   (1,278)   $ (48,014)   $ (37,305)   $ 10,337
Sun Country Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (2,772)   (53,530)   (41,829)   11,455
TFI International, Inc. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (461)   (62,622)   (73,511)   (11,847)
United Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (746)   (28,963)   (35,718)   (7,321)
United Parcel Service, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (2,243)   (348,545)   (333,377)   20,431
Universal Logistics Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3)   (108)   (111)   (6)
Werner Enterprises, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,030)   (96,595)   (79,414)   15,977
                    (54,091)   (1,779,729)   (1,755,069)   12,853
Utilities                            
AES Corp. (The)   USFF -0.250%   Weekly   MS   07/11/28   (13,444)   (219,442)   (241,051)   (23,120)
Algonquin Power & Utilities Corp. (Canada)   USFF -0.250%   Weekly   MS   07/11/28   (28,187)   (190,751)   (178,142)   4,915
Alliant Energy Corp.   USFF -0.250%   Weekly   MS   07/11/28   (2,624)   (130,384)   (132,250)   (3,477)
Altus Power, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (5,233)   (30,486)   (25,014)   5,347
Ameren Corp.   USFF -0.250%   Weekly   MS   01/12/29   (4,381)   (312,592)   (324,019)   (16,939)
American States Water Co.   USFF -0.250%   Weekly   MS   01/12/29   (408)   (29,268)   (29,474)   (326)
Avista Corp.   USFF -0.250%   Weekly   MS   01/07/27   (1,011)   (44,548)   (35,405)   6,948
California Water Service Group   USFF -0.250%   Weekly   MS   01/10/28   (1,871)   (99,735)   (86,964)   10,973
Chesapeake Utilities Corp.   USFF -0.250%   Weekly   MS   01/12/29   (551)   (56,884)   (59,122)   (2,680)
Clearway Energy, Inc., Class C   USFF -0.250%   Weekly   MS   01/12/29   (2,295)   (49,979)   (52,900)   (3,304)
Dominion Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,250)   (154,569)   (159,868)   (8,008)
Edison International   USFF -0.250%   Weekly   MS   01/12/29   (355)   (23,148)   (25,109)   (2,334)
Entergy Corp.   USFF -0.250%   Weekly   MS   01/12/29   (693)   (69,955)   (73,236)   (3,887)
Evergy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,761)   (270,136)   (254,142)   6,519
Exelon Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,129)   (43,021)   (42,417)   (765)
FirstEnergy Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,687)   (70,447)   (65,152)   5,409
IDACORP, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,253)   (212,605)   (209,281)   457
MGE Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (448)   (34,716)   (35,267)   (692)
Middlesex Water Co.   USFF -0.250%   Weekly   MS   01/10/28   (552)   (38,869)   (28,980)   9,374
National Fuel Gas Co.   USFF -0.250%   Weekly   MS   07/11/28   (2,888)   (144,991)   (155,143)   (12,824)
NextEra Energy, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (932)   (54,921)   (59,564)   (5,345)
NiSource, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (5,488)   (147,815)   (151,798)   (8,949)
Northwest Natural Holding Co.   USFF -0.250%   Weekly   MS   01/05/26   (1,298)   (65,223)   (48,312)   12,742
The accompanying notes are an integral part of the financial statements.
184

 

Table of Contents
GOTHAM NEUTRAL FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Northwestern Energy Group, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (1,230)   $ (73,811)   $ (62,644)   $ 4,776
Ormat Technologies, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,286)   (183,615)   (151,310)   30,676
Pinnacle West Capital Corp.   USFF -0.250%   Weekly   MS   07/11/28   (1,976)   (144,448)   (147,666)   (6,512)
PNM Resources, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (4,066)   (156,453)   (153,044)   1,791
Portland General Electric Co.   USFF -0.250%   Weekly   MS   07/08/27   (5,468)   (240,200)   (229,656)   3,288
PPL Corp.   USFF -0.250%   Weekly   MS   01/12/29   (5,348)   (143,160)   (147,230)   (6,214)
Sempra   USFF -0.250%   Weekly   MS   01/10/28   (2,273)   (169,567)   (163,270)   1,504
SJW Group   USFF -0.250%   Weekly   MS   01/12/29   (233)   (13,168)   (13,185)   (73)
Southern Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (1,349)   (93,193)   (96,777)   (4,560)
Sunnova Energy International, Inc.   USFF -0.730%   Weekly   MS   07/11/28   (9,803)   (107,432)   (60,092)   46,906
                    (119,771)   (3,819,532)   (3,697,484)   41,616
Total Reference Entity — Short           (75,347,157)   (73,312,481)   1,207,276
Net Value of Reference Entity           $(57,838,938)   $(53,453,848)   $5,201,811
* Includes $816,721 related to open trades, dividends receivables/payables and swap receivables/payables activities.
MS Morgan Stanley
USFF U.S. Fed Funds
The accompanying notes are an integral part of the financial statements.
185

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 50.3%
Automobiles & Components — 0.4%
BorgWarner, Inc.(a)     21,615   $     750,905
General Motors Co.(a)     39,696     1,800,214
        2,551,119
Banks — 0.7%
Bank of America Corp.(a)     19,333       733,107
Citigroup, Inc.      4,932       311,900
Citizens Financial Group, Inc.      1,366        49,572
Comerica, Inc.        522        28,705
JPMorgan Chase & Co.(a)     12,340     2,471,702
PNC Financial Services Group, Inc. (The)(a)        927       149,803
Truist Financial Corp.      5,229       203,827
US Bancorp      6,007       268,513
Wells Fargo & Co.     11,620       673,495
        4,890,624
Capital Goods — 5.7%
A. O. Smith Corp.(a)      5,025       449,537
AMETEK, Inc.        606       110,837
Builders FirstSource, Inc.*      2,095       436,912
Caterpillar, Inc.(a)      2,475       906,914
Cummins, Inc.      2,348       691,838
Deere & Co.        128        52,575
Eaton Corp. PLC (Ireland)      4,343     1,357,969
Emerson Electric Co.(a)      5,850       663,507
Fortive Corp.(a)      2,618       225,200
General Dynamics Corp.(a)      7,534     2,128,280
General Electric Co.(a)      7,319     1,284,704
Honeywell International, Inc.(a)      9,428     1,935,097
Howmet Aerospace, Inc.(a)     16,961     1,160,641
Huntington Ingalls Industries, Inc.(a)      3,696     1,077,273
Illinois Tool Works, Inc.(a)      5,334     1,431,272
Ingersoll Rand, Inc.(a)     21,851     2,074,753
Johnson Controls International PLC (Ireland)     13,172       860,395
Lockheed Martin Corp.(a)      5,258     2,391,707
Masco Corp.(a)     24,386     1,923,568
Northrop Grumman Corp.        574       274,751
Otis Worldwide Corp.(a)     14,978     1,486,866
PACCAR, Inc.(a)      6,726       833,284
Parker-Hannifin Corp.(a)      5,842     3,246,925
Pentair PLC (Ireland)      2,763       236,071
Quanta Services, Inc.      1,569       407,626
Snap-on, Inc.(a)      6,433     1,905,583
Stanley Black & Decker, Inc.(a)     21,213     2,077,389
Textron, Inc.(a)     30,242     2,901,115
Trane Technologies PLC (Ireland)      3,559     1,068,412
TransDigm Group, Inc.(a)        974     1,199,578
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
United Rentals, Inc.(a)      3,160   $   2,278,708
WW Grainger, Inc.(a)      1,006     1,023,404
       40,102,691
Commercial & Professional Services — 1.6%
Automatic Data Processing, Inc.(a)      2,812       702,269
Broadridge Financial Solutions, Inc.        690       141,353
Copart, Inc.(a)*      5,074       293,886
Jacobs Solutions, Inc.(a)     13,028     2,002,795
Leidos Holdings, Inc.(a)     20,333     2,665,453
Republic Services, Inc.(a)      7,323     1,401,915
Robert Half, Inc.(a)     25,225     1,999,838
Veralto Corp.(a)     24,774     2,196,463
       11,403,972
Consumer Discretionary Distribution & Retail — 1.5%
Amazon.com, Inc.(a)*     10,090     1,820,034
AutoZone, Inc.(a)*        119       375,046
Bath & Body Works, Inc.     10,916       546,018
Best Buy Co., Inc.      5,843       479,301
CarMax, Inc.(a)*        837        72,911
eBay, Inc.(a)     13,428       708,730
Genuine Parts Co.(a)      6,409       992,947
Home Depot, Inc. (The)(a)      3,153     1,209,491
LKQ Corp.(a)      3,557       189,979
Lowe's Cos., Inc.(a)      4,309     1,097,632
Pool Corp.(a)        196        79,086
TJX Cos., Inc. (The)(a)     16,062     1,629,008
Ulta Beauty, Inc.(a)*      2,402     1,255,958
       10,456,141
Consumer Durables & Apparel — 1.5%
Deckers Outdoor Corp.(a)*      2,185     2,056,653
DR Horton, Inc.(a)      2,298       378,136
Garmin Ltd. (Switzerland)      7,539     1,122,331
Lennar Corp., Class A        678       116,602
Mohawk Industries, Inc.*      2,845       372,382
PulteGroup, Inc.(a)     15,765     1,901,574
Ralph Lauren Corp.(a)     10,085     1,893,560
Tapestry, Inc.(a)     54,119     2,569,570
       10,410,808
Consumer Services — 2.0%
Booking Holdings, Inc.(a)        598     2,169,472
Caesars Entertainment, Inc.(a)*     24,999     1,093,456
Expedia Group, Inc.(a)*     16,043     2,209,923
Marriott International, Inc., Class A(a)      6,490     1,637,492
McDonald's Corp.(a)      9,556     2,694,314
MGM Resorts International(a)*     18,479       872,394
 
The accompanying notes are an integral part of the financial statements.
186

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
Starbucks Corp.(a)     10,422   $     952,467
Yum! Brands, Inc.(a)     15,660     2,171,259
       13,800,777
Consumer Staples Distribution & Retail — 0.7%
Costco Wholesale Corp.(a)      1,911     1,400,056
Kroger Co. (The)     11,961       683,332
Sysco Corp.(a)      3,559       288,919
Target Corp.(a)      9,667     1,713,089
Walmart, Inc.(a)     16,545       995,513
        5,080,909
Energy — 2.5%
APA Corp.(a)     10,330       355,145
Baker Hughes Co.(a)     57,476     1,925,446
ConocoPhillips (a)      5,942       756,298
Devon Energy Corp.(a)     19,853       996,224
EOG Resources, Inc.(a)      7,298       932,976
Exxon Mobil Corp.(a)     27,102     3,150,337
Halliburton Co.(a)     15,914       627,330
Kinder Morgan, Inc.(a)     51,997       953,625
Marathon Oil Corp.(a)     84,365     2,390,904
Marathon Petroleum Corp.(a)      7,214     1,453,621
Occidental Petroleum Corp.(a)     17,401     1,130,891
Pioneer Natural Resources Co.(a)      6,864     1,801,800
Valero Energy Corp.(a)      5,309       906,193
       17,380,790
Equity Real Estate Investment Trusts (REITs) — 1.4%
Alexandria Real Estate Equities, Inc.(a)      1,465       188,853
American Tower Corp.        492        97,214
AvalonBay Communities, Inc.      1,110       205,972
Camden Property Trust(a)        762        74,981
Digital Realty Trust, Inc.(a)     12,764     1,838,527
Extra Space Storage, Inc.(a)      7,778     1,143,366
Healthpeak Properties, Inc.(a)      7,375       138,281
Prologis, Inc.      2,724       354,719
Realty Income Corp.(a)     33,644     1,820,140
Simon Property Group, Inc.(a)     11,497     1,799,166
VICI Properties, Inc.(a)     40,469     1,205,571
Welltower, Inc.(a)     12,433     1,161,740
       10,028,530
Financial Services — 2.6%
American Express Co.        723       164,620
Ameriprise Financial, Inc.         60        26,306
Berkshire Hathaway, Inc., Class B*      1,089       457,946
BlackRock, Inc.        378       315,139
Capital One Financial Corp.(a)      4,055       603,749
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — (Continued)
Cboe Global Markets, Inc.      1,944   $     357,171
Charles Schwab Corp. (The)(a)      6,151       444,963
CME Group, Inc.(a)      4,390       945,123
Corpay, Inc.(a)*      6,838     2,109,797
Fiserv, Inc.(a)*      7,948     1,270,249
Franklin Resources, Inc.(a)     29,740       835,991
Goldman Sachs Group, Inc. (The)(a)      1,754       732,628
Intercontinental Exchange, Inc.(a)     11,261     1,547,599
Invesco Ltd. (Bermuda)      1,014        16,822
Mastercard, Inc., Class A(a)      4,131     1,989,366
Nasdaq, Inc.(a)      2,438       153,838
Northern Trust Corp.        278        24,720
PayPal Holdings, Inc.(a)*     26,205     1,755,473
Raymond James Financial, Inc.        919       118,018
S&P Global, Inc.(a)      1,798       764,959
T Rowe Price Group, Inc.(a)      7,555       921,106
Visa, Inc., Class A(a)     10,668     2,977,226
       18,532,809
Food, Beverage & Tobacco — 3.2%
Altria Group, Inc.(a)     18,095       789,304
Archer-Daniels-Midland Co.(a)      6,519       409,458
Campbell Soup Co.(a)     25,497     1,133,342
Coca-Cola Co. (The)(a)     56,618     3,463,889
Conagra Brands, Inc.(a)     35,438     1,050,382
Constellation Brands, Inc., Class A(a)      5,620     1,527,291
General Mills, Inc.(a)     21,582     1,510,093
Hershey Co. (The)(a)      5,630     1,095,035
Hormel Foods Corp.(a)     43,236     1,508,504
Kellanova (a)     36,852     2,111,251
Keurig Dr Pepper, Inc.(a)     55,789     1,711,049
Kraft Heinz Co. (The)(a)     50,428     1,860,793
Molson Coors Beverage Co., Class B(a)      9,313       626,299
Mondelez International, Inc., Class A(a)     35,539     2,487,730
Philip Morris International, Inc.(a)     11,770     1,078,368
       22,362,788
Health Care Equipment & Services — 3.3%
Abbott Laboratories      3,361       382,011
Baxter International, Inc.(a)     29,067     1,242,324
Becton Dickinson & Co.      1,975       488,714
Cardinal Health, Inc.      6,027       674,421
Cencora, Inc.      3,110       755,699
Centene Corp.(a)*      6,364       499,447
Cigna Group (The)(a)      4,454     1,617,648
CVS Health Corp.(a)     15,178     1,210,597
DaVita, Inc.(a)*     10,288     1,420,258
 
The accompanying notes are an integral part of the financial statements.
187

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
DENTSPLY SIRONA, Inc.(a)     13,047   $     433,030
GE HealthCare Technologies, Inc.(a)     25,513     2,319,387
HCA Healthcare, Inc.(a)      4,412     1,471,534
Hologic, Inc.(a)*      8,259       643,872
McKesson Corp.(a)      2,925     1,570,286
Medtronic PLC (Ireland)     24,112     2,101,361
Molina Healthcare, Inc.(a)*      4,372     1,796,149
Teleflex, Inc.(a)      9,113     2,061,087
UnitedHealth Group, Inc.(a)      3,043     1,505,372
Zimmer Biomet Holdings, Inc.(a)      7,422       979,556
       23,172,753
Household & Personal Products — 1.0%
Colgate-Palmolive Co.(a)      7,280       655,564
Kenvue, Inc.(a)    111,768     2,398,541
Kimberly-Clark Corp.(a)     11,384     1,472,520
Procter & Gamble Co. (The)(a)     16,026     2,600,219
        7,126,844
Insurance — 1.6%
Aflac, Inc.(a)      1,912       164,164
Assurant, Inc.(a)      1,229       231,347
Brown & Brown, Inc.(a)      5,574       487,948
Chubb Ltd. (Switzerland)      3,734       967,591
Cincinnati Financial Corp.(a)      4,691       582,481
Hartford Financial Services Group, Inc. (The)(a)      8,381       863,662
Loews Corp.(a)     21,910     1,715,334
Marsh & McLennan Cos., Inc.(a)      8,163     1,681,415
MetLife, Inc.(a)     22,437     1,662,806
Prudential Financial, Inc.(a)      9,689     1,137,489
Willis Towers Watson PLC (Ireland)      5,400     1,485,000
       10,979,237
Materials — 2.4%
Celanese Corp.(a)     10,075     1,731,490
CF Industries Holdings, Inc.(a)      7,388       614,755
Eastman Chemical Co.(a)      8,586       860,489
Ecolab, Inc.(a)        512       118,221
International Paper Co.(a)     23,628       921,965
Linde PLC (Ireland)      4,526     2,101,512
LyondellBasell Industries NV, Class A (Netherlands)     13,370     1,367,484
Martin Marietta Materials, Inc.(a)      1,933     1,186,746
Mosaic Co. (The)(a)        331        10,744
Nucor Corp.(a)      5,152     1,019,581
Packaging Corp. of America(a)      9,386     1,781,275
PPG Industries, Inc.(a)     10,997     1,593,465
Sherwin-Williams Co. (The)(a)      3,219     1,118,055
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Steel Dynamics, Inc.(a)      3,464   $     513,469
Westrock Co.(a)     42,450     2,099,152
       17,038,403
Media & Entertainment — 2.3%
Alphabet, Inc., Class A(a)*     30,964     4,673,397
Charter Communications, Inc., Class A*        723       210,125
Comcast Corp., Class A(a)     17,851       773,841
Electronic Arts, Inc.(a)      3,392       450,017
Interpublic Group of Cos., Inc. (The)(a)     25,422       829,520
Meta Platforms, Inc., Class A(a)      9,469     4,597,957
Netflix, Inc.(a)*      2,478     1,504,964
News Corp., Class A     24,679       646,096
Omnicom Group, Inc.(a)      7,874       761,888
Take-Two Interactive Software, Inc.*        452        67,117
Walt Disney Co. (The)(a)     12,694     1,553,238
Warner Bros Discovery, Inc.*      6,667        58,203
       16,126,363
Pharmaceuticals, Biotechnology & Life Sciences — 3.2%
AbbVie, Inc.(a)      3,649       664,483
Bristol-Myers Squibb Co.(a)     26,262     1,424,188
Danaher Corp.(a)      1,951       487,204
Eli Lilly & Co.(a)        726       564,799
Gilead Sciences, Inc.(a)     34,977     2,562,065
Illumina, Inc.*      1,874       257,338
Incyte Corp.(a)*     31,316     1,784,073
IQVIA Holdings, Inc.(a)*      5,094     1,288,222
Johnson & Johnson(a)     27,815     4,400,055
Merck & Co., Inc.(a)     30,637     4,042,552
Mettler-Toledo International, Inc.(a)*        846     1,126,271
Thermo Fisher Scientific, Inc.(a)      1,533       890,995
Vertex Pharmaceuticals, Inc.(a)*      3,344     1,397,825
Viatris, Inc.(a)    145,934     1,742,452
       22,632,522
Real Estate Management & Development — 0.2%
CBRE Group, Inc., Class A(a)*     14,996     1,458,211
Semiconductors & Semiconductor Equipment — 4.0%
Applied Materials, Inc.(a)      6,695     1,380,710
Broadcom, Inc.(a)      1,049     1,390,355
KLA Corp.(a)      1,484     1,036,678
Lam Research Corp.(a)      1,725     1,675,958
Microchip Technology, Inc.(a)     18,459     1,655,957
Micron Technology, Inc.      2,584       304,628
NVIDIA Corp.(a)      8,369     7,561,894
 
The accompanying notes are an integral part of the financial statements.
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GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Semiconductors & Semiconductor Equipment — (Continued)
NXP Semiconductors NV (Netherlands)      6,500   $   1,610,505
Qorvo, Inc.(a)*     24,504     2,813,794
QUALCOMM, Inc.(a)     27,284     4,619,181
Skyworks Solutions, Inc.(a)     35,647     3,861,283
       27,910,943
Software & Services — 3.0%
Accenture PLC, Class A (Ireland)      1,271       440,541
Adobe, Inc.(a)*      1,915       966,309
ANSYS, Inc.*        104        36,105
Autodesk, Inc.*         20         5,208
Cadence Design Systems, Inc.*        824       256,495
Cognizant Technology Solutions Corp., Class A        484        35,472
EPAM Systems, Inc.*         80        22,093
Fair Isaac Corp.(a)*        353       441,112
Gen Digital, Inc.(a)    102,303     2,291,587
International Business Machines Corp.(a)     10,028     1,914,947
Microsoft Corp.(a)     21,493     9,042,535
Oracle Corp.(a)      1,045       131,262
Roper Technologies, Inc.(a)      1,813     1,016,803
Salesforce, Inc.(a)      8,755     2,636,831
ServiceNow, Inc.(a)*        385       293,524
Synopsys, Inc.(a)*        553       316,040
VeriSign, Inc.(a)*      8,695     1,647,790
       21,494,654
Technology Hardware & Equipment — 2.4%
Amphenol Corp., Class A      1,605       185,137
Apple, Inc.(a)     10,340     1,773,103
CDW Corp.        580       148,352
Cisco Systems, Inc.(a)     28,648     1,429,822
F5, Inc.(a)*     10,276     1,948,227
Hewlett Packard Enterprise Co.(a)     23,656       419,421
HP, Inc.(a)     47,357     1,431,128
Jabil, Inc.(a)     15,889     2,128,331
Keysight Technologies, Inc.(a)*     14,803     2,314,893
Motorola Solutions, Inc.(a)      3,818     1,355,314
NetApp, Inc.(a)     20,532     2,155,244
Seagate Technology Holdings PLC (Ireland)      7,804       726,162
Super Micro Computer, Inc.(a)*        999     1,009,020
Teledyne Technologies, Inc.(a)*        493       211,655
       17,235,809
Telecommunication Services — 0.5%
AT&T, Inc.(a)     46,441       817,361
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Telecommunication Services — (Continued)
T-Mobile US, Inc.(a)      7,419   $   1,210,929
Verizon Communications, Inc.(a)     35,709     1,498,350
        3,526,640
Transportation — 1.1%
American Airlines Group, Inc.(a)*     77,149     1,184,237
CSX Corp.     12,523       464,227
Delta Air Lines, Inc.(a)     56,472     2,703,315
Expeditors International of Washington, Inc.        114        13,859
FedEx Corp.(a)      4,080     1,182,139
Norfolk Southern Corp.(a)      4,148     1,057,201
Old Dominion Freight Line, Inc.(a)      3,328       729,864
Uber Technologies, Inc.*      5,364       412,974
United Parcel Service, Inc., Class B      2,182       324,311
        8,072,127
Utilities — 1.5%
Constellation Energy Corp.(a)      3,103       573,589
Duke Energy Corp.(a)     39,408     3,811,148
NRG Energy, Inc.(a)     79,062     5,351,707
PG&E Corp.      7,734       129,622
Public Service Enterprise Group, Inc.(a)     10,498       701,056
       10,567,122
TOTAL COMMON STOCKS
(Cost $293,490,918) 		    354,343,586
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANY(b) — 43.4% 		   
Gotham Enhanced 500 ETF 10,635,300   306,003,106
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANY
(Cost $260,246,134) 		    306,003,106
EXCHANGE TRADED FUNDS — 0.7%
SPDR S&P 500 ETF Trust      9,527     4,983,288
TOTAL EXCHANGE TRADED FUNDS
(Cost $4,855,303) 		      4,983,288
 
TOTAL INVESTMENTS - 94.4%
(Cost $558,592,355) 		    665,329,980
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.6%      39,300,668
NET ASSETS - 100.0%     $ 704,630,648
 
The accompanying notes are an integral part of the financial statements.
189

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
(a) Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements)
(b) All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website.
* Non-income producing.
ETF Exchange-Traded Fund
PLC Public Limited Company
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between July 29, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 4.5% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Long                                
Automobiles & Components                            
BorgWarner, Inc.   USFF +0.250%   Weekly   MS   01/07/27   111,221   $ 3,947,862   $ 3,863,818   $ 66,917
General Motors Co.   USFF +0.250%   Weekly   MS   07/29/24   85,988   2,502,642   3,899,556   1,496,704
                    197,209   6,450,504   7,763,374   1,563,621
Banks                            
Bank of America Corp.   USFF +0.250%   Weekly   MS   07/29/24   43,862   1,374,445   1,663,247   433,664
Citigroup, Inc.   USFF +0.250%   Weekly   MS   01/12/29   10,450   592,221   660,858   90,858
Citizens Financial Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,306   66,252   83,685   19,624
Comerica, Inc.   USFF +0.250%   Weekly   MS   01/12/29   528   26,503   29,035   3,853
JPMorgan Chase & Co.   USFF +0.250%   Weekly   MS   07/29/24   20,630   2,324,575   4,132,189   2,014,189
PNC Financial Services Group, Inc. (The)   USFF +0.250%   Weekly   MS   07/29/24   2,225   303,911   359,560   105,416
Truist Financial Corp.   USFF +0.250%   Weekly   MS   01/10/28   5,303   174,093   206,711   49,779
US Bancorp   USFF +0.250%   Weekly   MS   01/10/28   6,145   214,098   274,682   80,930
Wells Fargo & Co.   USFF +0.250%   Weekly   MS   01/12/29   11,855   650,582   687,116   57,000
                    103,304   5,726,680   8,097,083   2,855,313
Capital Goods                            
A. O. Smith Corp.   USFF +0.250%   Weekly   MS   01/07/27   24,393   1,660,063   2,182,198   611,012
AMETEK, Inc.   USFF +0.250%   Weekly   MS   07/29/24   6,310   977,643   1,154,099   239,151
Builders FirstSource, Inc.   USFF +0.250%   Weekly   MS   07/11/28   24,617   4,014,403   5,133,875   1,245,105
Caterpillar, Inc.   USFF +0.250%   Weekly   MS   07/08/27   12,041   3,022,372   4,412,184   1,544,999
Cummins, Inc.   USFF +0.250%   Weekly   MS   01/12/29   10,470   2,663,490   3,084,986   520,812
Deere & Co.   USFF +0.250%   Weekly   MS   01/10/28   404   152,859   165,939   18,974
Eaton Corp. PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   8,986   2,132,483   2,809,742   760,990
Emerson Electric Co.   USFF +0.250%   Weekly   MS   07/29/24   8,571   850,486   972,123   175,323
General Dynamics Corp.   USFF +0.250%   Weekly   MS   07/29/24   7,567   1,633,275   2,137,602   585,929
General Electric Co.   USFF +0.250%   Weekly   MS   01/07/27   11,325   1,212,943   1,987,877   816,602
Honeywell International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   12,453   2,443,805   2,555,978   200,271
Howmet Aerospace, Inc.   USFF +0.250%   Weekly   MS   07/08/27   22,390   1,182,195   1,532,148   392,025
Huntington Ingalls Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,277   1,251,998   1,246,617   33,884
Illinois Tool Works, Inc.   USFF +0.250%   Weekly   MS   01/07/27   5,542   1,319,714   1,487,085   264,470
Ingersoll Rand, Inc.   USFF +0.250%   Weekly   MS   01/10/28   30,865   2,513,191   2,930,632   496,802
The accompanying notes are an integral part of the financial statements.
191

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Johnson Controls International PLC (Ireland)   USFF +0.250%   Weekly   MS   07/29/24   12,099   $ 612,629   $ 790,307   $ 205,915
Lockheed Martin Corp.   USFF +0.250%   Weekly   MS   07/29/24   6,327   2,761,965   2,877,962   289,356
Masco Corp.   USFF +0.250%   Weekly   MS   07/08/27   34,415   2,045,600   2,714,655   769,289
Northrop Grumman Corp.   USFF +0.250%   Weekly   MS   07/29/24   646   285,725   309,214   43,533
Otis Worldwide Corp.   USFF +0.250%   Weekly   MS   01/10/28   17,310   1,461,954   1,718,364   313,684
PACCAR, Inc.   USFF +0.250%   Weekly   MS   07/08/27   7,846   748,146   972,041   247,407
Parker-Hannifin Corp.   USFF +0.250%   Weekly   MS   01/10/28   7,653   2,732,738   4,253,461   1,638,578
Pentair PLC (Ireland)   USFF +0.250%   Weekly   MS   07/29/24   11,130   647,946   950,947   353,648
Quanta Services, Inc.   USFF +0.250%   Weekly   MS   01/12/29   2,244   536,295   582,991   63,674
Snap-on, Inc.   USFF +0.250%   Weekly   MS   07/29/24   9,857   2,058,144   2,919,841   1,075,232
Stanley Black & Decker, Inc.   USFF +0.250%   Weekly   MS   01/12/29   21,656   1,927,607   2,120,772   269,251
Textron, Inc.   USFF +0.250%   Weekly   MS   01/05/26   40,709   3,022,539   3,905,214   996,317
Trane Technologies PLC (Ireland)   USFF +0.250%   Weekly   MS   07/29/24   4,313   1,090,786   1,294,763   249,135
TransDigm Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,240   885,051   1,527,184   714,620
United Rentals, Inc.   USFF +0.250%   Weekly   MS   01/12/29   3,667   2,364,588   2,644,310   359,261
WW Grainger, Inc.   USFF +0.250%   Weekly   MS   07/29/24   1,611   1,115,388   1,638,870   628,855
                    372,934   51,328,021   65,013,981   16,124,104
Commercial & Professional
Services 		                           
Automatic Data Processing, Inc.   USFF +0.250%   Weekly   MS   07/29/24   17,106   3,905,780   4,272,052   541,845
Broadridge Financial Solutions, Inc.   USFF +0.250%   Weekly   MS   07/11/28   550   103,556   112,673   13,841
Copart, Inc.   USFF +0.250%   Weekly   MS   07/08/27   14,890   565,637   862,429   363,055
Jacobs Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   26,382   3,369,518   4,055,705   793,675
Leidos Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   33,235   3,477,483   4,356,776   1,012,233
Republic Services, Inc.   USFF +0.250%   Weekly   MS   01/10/28   7,489   1,088,303   1,433,694   390,599
Robert Half, Inc.   USFF +0.250%   Weekly   MS   07/29/24   28,065   2,103,931   2,224,993   232,846
Veralto Corp.   USFF +0.250%   Weekly   MS   07/29/24   34,590   2,518,387   3,066,749   627,221
                    162,307   17,132,595   20,385,071   3,975,315
Consumer Discretionary
Distribution & Retail 		                           
Amazon.com, Inc.   USFF +0.250%   Weekly   MS   07/29/24   91,449   10,669,500   16,495,571   6,181,712
AutoZone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   625   1,633,098   1,969,781   388,066
Bath & Body Works, Inc.   USFF +0.250%   Weekly   MS   01/12/29   57,263   2,624,332   2,864,295   326,002
Best Buy Co., Inc.   USFF +0.250%   Weekly   MS   07/29/24   15,561   1,094,667   1,276,469   270,869
CarMax, Inc.   USFF +0.250%   Weekly   MS   01/10/28   496   30,244   43,207   14,029
eBay, Inc.   USFF +0.250%   Weekly   MS   07/29/24   30,544   1,340,016   1,612,112   359,183
Genuine Parts Co.   USFF +0.250%   Weekly   MS   01/12/29   8,967   1,314,561   1,389,257   124,047
The accompanying notes are an integral part of the financial statements.
192

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail — (continued) 		                           
Home Depot, Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   9,016   $ 2,931,623   $ 3,458,538   $ 651,321
LKQ Corp.   USFF +0.250%   Weekly   MS   07/11/28   9,092   405,961   485,604   103,286
Lowe's Cos., Inc.   USFF +0.250%   Weekly   MS   07/29/24   5,781   1,085,237   1,472,594   474,281
Pool Corp.   USFF +0.250%   Weekly   MS   07/11/28   201   63,309   81,104   19,894
TJX Cos., Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   25,072   2,128,197   2,542,802   507,785
Ulta Beauty, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,452   1,200,832   1,282,102   118,935
                    256,519   26,521,577   34,973,436   9,539,410
Consumer Durables & Apparel                            
Deckers Outdoor Corp.   USFF +0.250%   Weekly   MS   01/12/29   3,865   3,512,250   3,637,970   235,653
DR Horton, Inc.   USFF +0.250%   Weekly   MS   07/29/24   4,533   517,606   745,905   252,705
Garmin Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/10/28   8,208   882,400   1,221,925   383,767
Lennar Corp., Class A   USFF +0.250%   Weekly   MS   07/29/24   1,593   146,051   273,964   139,228
Mohawk Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   16,509   1,524,116   2,160,863   684,520
PulteGroup, Inc.   USFF +0.250%   Weekly   MS   01/10/28   19,791   1,363,516   2,387,190   1,079,281
Ralph Lauren Corp.   USFF +0.250%   Weekly   MS   07/11/28   14,595   1,741,336   2,740,357   1,074,610
Tapestry, Inc.   USFF +0.250%   Weekly   MS   07/29/24   66,785   1,885,442   3,170,952   1,398,194
                    135,879   11,572,717   16,339,126   5,247,958
Consumer Services                            
Booking Holdings, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,667   4,772,862   6,047,676   1,479,647
Caesars Entertainment, Inc.   USFF +0.250%   Weekly   MS   01/10/28   81,080   3,476,485   3,546,439   178,570
Expedia Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   33,537   4,798,917   4,619,722   (29,049)
Marriott International, Inc., Class A   USFF +0.250%   Weekly   MS   01/05/26   7,286   1,324,149   1,838,331   595,980
McDonald's Corp.   USFF +0.250%   Weekly   MS   07/29/24   11,754   3,048,996   3,314,040   492,692
MGM Resorts International   USFF +0.250%   Weekly   MS   07/11/28   34,732   1,235,122   1,639,698   448,361
Starbucks Corp.   USFF +0.250%   Weekly   MS   01/07/27   14,137   1,307,478   1,291,980   49,030
Yum! Brands, Inc.   USFF +0.250%   Weekly   MS   07/29/24   18,317   2,265,482   2,539,652   410,029
                    202,510   22,229,491   24,837,538   3,625,260
Consumer Staples Distribution &
Retail 		                           
Costco Wholesale Corp.   USFF +0.250%   Weekly   MS   07/11/28   3,059   1,772,929   2,241,115   564,291
Kroger Co. (The)   USFF +0.250%   Weekly   MS   07/29/24   14,935   702,275   853,237   192,188
Sysco Corp.   USFF +0.250%   Weekly   MS   01/10/28   3,628   239,919   294,521   64,929
Target Corp.   USFF +0.250%   Weekly   MS   07/11/28   12,563   1,987,245   2,226,289   305,126
Walmart, Inc.   USFF +0.250%   Weekly   MS   07/29/24   18,300   920,652   1,101,111   359,102
                    52,485   5,623,020   6,716,273   1,485,636
The accompanying notes are an integral part of the financial statements.
193

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Energy                            
APA Corp.   USFF +0.250%   Weekly   MS   07/29/24   114,226   $ 3,372,599   $ 3,927,090   $ 768,820
Baker Hughes Co.   USFF +0.250%   Weekly   MS   01/10/28   53,144   1,576,911   1,780,324   275,530
ConocoPhillips   USFF +0.250%   Weekly   MS   01/07/27   13,408   1,526,270   1,706,570   275,107
Devon Energy Corp.   USFF +0.250%   Weekly   MS   07/11/28   81,419   3,529,928   4,085,605   716,505
EOG Resources, Inc.   USFF +0.250%   Weekly   MS   07/29/24   12,170   1,348,275   1,555,813   405,114
Exxon Mobil Corp.   USFF +0.250%   Weekly   MS   07/06/26   30,530   2,976,189   3,548,807   771,865
Halliburton Co.   USFF +0.250%   Weekly   MS   07/29/24   29,060   869,060   1,145,545   395,582
Kinder Morgan, Inc.   USFF +0.250%   Weekly   MS   01/10/28   66,207   1,066,835   1,214,236   196,000
Marathon Oil Corp.   USFF +0.250%   Weekly   MS   01/12/29   86,070   2,240,403   2,439,224   268,988
Marathon Petroleum Corp.   USFF +0.250%   Weekly   MS   07/29/24   8,988   1,301,882   1,811,082   606,140
Occidental Petroleum Corp.   USFF +0.250%   Weekly   MS   07/06/26   18,217   1,086,482   1,183,923   139,410
Pioneer Natural Resources Co.   USFF +0.250%   Weekly   MS   01/10/28   8,458   1,860,147   2,220,225   462,158
SPDR S&P 500 ETF Trust   USFF +0.250%   Weekly   MS   07/11/28   22,827   11,415,737   11,940,119   911,512
Valero Energy Corp.   USFF +0.250%   Weekly   MS   07/06/26   6,922   879,256   1,181,516   361,554
                    551,646   35,049,974   39,740,079   6,554,285
Equity Real Estate Investment
Trusts (REITs) 		                           
Alexandria Real Estate Equities, Inc.   USFF +0.250%   Weekly   MS   07/11/28   9,695   918,828   1,249,782   392,034
American Tower Corp.   USFF +0.250%   Weekly   MS   07/08/27   1,658   313,475   327,604   24,051
AvalonBay Communities, Inc.   USFF +0.250%   Weekly   MS   07/29/24   8,396   1,431,522   1,557,962   257,484
Camden Property Trust   USFF +0.250%   Weekly   MS   07/11/28   14,891   1,271,619   1,465,274   263,762
Digital Realty Trust, Inc.   USFF +0.250%   Weekly   MS   01/10/28   21,846   2,605,167   3,146,698   690,453
Extra Space Storage, Inc.   USFF +0.250%   Weekly   MS   07/29/24   10,407   1,185,515   1,529,829   417,186
Healthpeak Properties, Inc.   USFF +0.250%   Weekly   MS   07/11/28   23,390   385,854   438,563   64,894
Prologis, Inc.   USFF +0.250%   Weekly   MS   07/08/27   4,760   527,379   619,847   122,823
Realty Income Corp.   USFF +0.250%   Weekly   MS   07/08/27   47,463   2,525,179   2,567,748   122,121
Simon Property Group, Inc.   USFF +0.250%   Weekly   MS   07/29/24   13,594   1,848,552   2,127,325   382,019
VICI Properties, Inc.   USFF +0.250%   Weekly   MS   07/08/27   42,153   1,253,278   1,255,738   59,526
Welltower, Inc.   USFF +0.250%   Weekly   MS   07/08/27   14,161   1,215,437   1,323,204   145,509
                    212,414   15,481,805   17,609,574   2,941,862
Financial Services                            
American Express Co.   USFF +0.250%   Weekly   MS   01/07/27   5,141   736,905   1,170,554   472,755
Ameriprise Financial, Inc.   USFF +0.250%   Weekly   MS   07/11/28   354   145,006   155,208   14,913
The accompanying notes are an integral part of the financial statements.
194

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Financial Services — (continued)                            
Berkshire Hathaway, Inc., Class B   USFF +0.250%   Weekly   MS   07/29/24   16,449   $ 3,639,018   $ 6,917,133   $ 3,392,012
BlackRock, Inc.   USFF +0.250%   Weekly   MS   07/29/24   2,388   1,389,531   1,990,876   809,144
Blackstone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,421   688,113   712,157   45,679
Capital One Financial Corp.   USFF +0.250%   Weekly   MS   07/08/27   6,723   619,342   1,000,987   423,737
Cboe Global Markets, Inc.   USFF +0.250%   Weekly   MS   01/10/28   17,292   3,065,788   3,177,059   207,245
Charles Schwab Corp. (The)   USFF +0.250%   Weekly   MS   01/07/27   7,030   454,955   508,550   79,724
CME Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   8,441   1,765,067   1,817,263   163,453
Corpay, Inc.   USFF +0.250%   Weekly   MS   07/08/27   15,731   3,510,540   4,853,643   1,457,734
Fiserv, Inc.   USFF +0.250%   Weekly   MS   01/10/28   34,509   4,237,021   5,515,228   1,421,358
Franklin Resources, Inc.   USFF +0.250%   Weekly   MS   07/29/24   79,070   2,205,064   2,222,658   278,699
Goldman Sachs Group, Inc. (The)   USFF +0.250%   Weekly   MS   07/08/27   2,513   873,664   1,049,655   236,214
Intercontinental Exchange, Inc.   USFF +0.250%   Weekly   MS   07/29/24   18,664   2,227,949   2,564,994   444,506
Invesco Ltd. (Bermuda)   USFF +0.250%   Weekly   MS   07/29/24   2,336   32,543   38,754   12,747
Mastercard, Inc., Class A   USFF +0.250%   Weekly   MS   07/29/24   5,252   2,032,000   2,529,206   584,997
Nasdaq, Inc.   USFF +0.250%   Weekly   MS   07/29/24   5,587   308,395   352,540   110,220
Northern Trust Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,331   93,672   118,353   29,727
PayPal Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   79,134   4,125,674   5,301,187   1,304,624
Raymond James Financial, Inc.   USFF +0.250%   Weekly   MS   01/07/27   918   93,675   117,890   29,802
S&P Global, Inc.   USFF +0.250%   Weekly   MS   11/03/25   2,000   774,117   850,900   103,010
T Rowe Price Group, Inc.   USFF +0.250%   Weekly   MS   07/29/24   13,275   1,444,407   1,618,488   416,884
Visa, Inc., Class A   USFF +0.250%   Weekly   MS   07/29/24   15,002   3,604,911   4,186,758   744,624
                    344,561   38,067,357   48,770,041   12,783,808
Food, Beverage & Tobacco                            
Altria Group, Inc.   USFF +0.250%   Weekly   MS   07/29/24   29,575   1,250,635   1,290,062   286,507
Archer-Daniels-Midland Co.   USFF +0.250%   Weekly   MS   07/29/24   53,687   3,312,188   3,372,080   212,627
Campbell Soup Co.   USFF +0.250%   Weekly   MS   07/06/26   43,549   1,847,017   1,935,753   171,399
Coca-Cola Co. (The)   USFF +0.250%   Weekly   MS   07/29/24   56,057   3,212,844   3,429,567   488,307
Conagra Brands, Inc.   USFF +0.250%   Weekly   MS   01/12/29   99,305   2,848,426   2,943,400   207,324
Constellation Brands, Inc., Class A   USFF +0.250%   Weekly   MS   07/11/28   5,949   1,416,768   1,616,700   254,607
General Mills, Inc.   USFF +0.250%   Weekly   MS   07/29/24   29,987   1,934,276   2,098,190   288,870
Hershey Co. (The)   USFF +0.250%   Weekly   MS   01/05/26   7,546   1,432,480   1,467,697   89,803
Hormel Foods Corp.   USFF +0.250%   Weekly   MS   01/12/29   51,934   1,584,350   1,811,977   277,284
Kellanova   USFF +0.250%   Weekly   MS   07/08/27   45,393   2,683,760   2,600,565   79,106
Keurig Dr Pepper, Inc.   USFF +0.250%   Weekly   MS   01/10/28   75,222   2,332,388   2,307,059   69,361
Kraft Heinz Co. (The)   USFF +0.250%   Weekly   MS   07/29/24   66,061   2,302,271   2,437,651   366,635
The accompanying notes are an integral part of the financial statements.
195

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Molson Coors Beverage Co., Class B   USFF +0.250%   Weekly   MS   07/29/24   10,167   $ 593,490   $ 683,731   $ 124,135
Mondelez International, Inc., Class A   USFF +0.250%   Weekly   MS   01/05/26   37,320   2,587,519   2,612,400   164,844
Philip Morris International, Inc.   USFF +0.250%   Weekly   MS   07/29/24   13,455   1,247,092   1,232,747   103,220
                    625,207   30,585,504   31,839,579   3,184,029
Health Care Equipment & Services                            
Abbott Laboratories   USFF +0.250%   Weekly   MS   07/29/24   10,727   1,059,641   1,219,231   260,578
Baxter International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   96,715   3,181,791   4,133,599   1,103,051
Becton Dickinson & Co.   USFF +0.250%   Weekly   MS   01/12/29   6,107   1,456,676   1,511,177   110,013
Cardinal Health, Inc.   USFF +0.250%   Weekly   MS   07/08/27   36,152   3,351,520   4,045,409   864,338
Cencora, Inc.   USFF +0.250%   Weekly   MS   01/05/26   11,924   2,145,622   2,897,413   842,503
Centene Corp.   USFF +0.250%   Weekly   MS   01/10/28   26,295   1,758,238   2,063,632   361,241
Cigna Group (The)   USFF +0.250%   Weekly   MS   07/06/26   8,323   2,420,104   3,022,830   730,100
CVS Health Corp.   USFF +0.250%   Weekly   MS   07/29/24   26,179   1,807,642   2,088,037   439,290
DaVita, Inc.   USFF +0.250%   Weekly   MS   01/10/28   24,520   2,170,829   3,384,986   1,282,149
DENTSPLY SIRONA, Inc.   USFF +0.250%   Weekly   MS   07/08/27   16,327   532,542   541,893   39,185
GE HealthCare Technologies, Inc.   USFF +0.250%   Weekly   MS   01/07/27   26,553   1,809,262   2,413,933   740,149
HCA Healthcare, Inc.   USFF +0.250%   Weekly   MS   07/29/24   9,284   2,365,126   3,096,493   824,657
Hologic, Inc.   USFF +0.250%   Weekly   MS   07/29/24   14,903   1,024,156   1,161,838   176,560
McKesson Corp.   USFF +0.250%   Weekly   MS   07/29/24   3,358   1,596,422   1,802,742   262,632
Medtronic PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   31,771   2,660,433   2,768,843   213,803
Molina Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/07/27   5,110   1,671,763   2,099,341   492,375
Teleflex, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,547   2,279,147   2,385,415   179,747
UnitedHealth Group, Inc.   USFF +0.250%   Weekly   MS   07/29/24   3,750   1,854,547   1,855,125   89,651
Zimmer Biomet Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   13,255   1,468,961   1,749,395   330,017
                    381,800   36,614,422   44,241,332   9,342,039
Household & Personal Products                            
Colgate-Palmolive Co.   USFF +0.250%   Weekly   MS   07/11/28   32,812   2,474,926   2,954,721   578,822
Kenvue, Inc.   USFF +0.250%   Weekly   MS   07/11/28   151,219   3,110,763   3,245,160   231,777
Kimberly-Clark Corp.   USFF +0.250%   Weekly   MS   01/07/27   17,587   2,158,382   2,274,878   261,065
Procter & Gamble Co. (The)   USFF +0.250%   Weekly   MS   07/29/24   21,663   3,113,698   3,514,822   595,648
                    223,281   10,857,769   11,989,581   1,667,312
The accompanying notes are an integral part of the financial statements.
196

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Insurance                            
Aflac, Inc.   USFF +0.250%   Weekly   MS   07/29/24   13,683   $ 958,060   $ 1,174,822   $ 301,959
Assurant, Inc.   USFF +0.250%   Weekly   MS   07/29/24   7,707   1,065,138   1,450,766   455,625
Brown & Brown, Inc.   USFF +0.250%   Weekly   MS   07/08/27   31,925   2,188,403   2,794,715   685,983
Chubb Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/10/28   10,033   2,332,884   2,599,851   360,564
Cincinnati Financial Corp.   USFF +0.250%   Weekly   MS   01/10/28   13,237   1,333,645   1,643,638   377,133
Hartford Financial Services Group, Inc. (The)   USFF +0.250%   Weekly   MS   01/12/29   24,565   2,415,339   2,531,423   191,908
Loews Corp.   USFF +0.250%   Weekly   MS   07/29/24   30,754   1,880,667   2,407,731   613,208
Marsh & McLennan Cos., Inc.   USFF +0.250%   Weekly   MS   07/11/28   13,880   2,613,419   2,859,002   337,151
MetLife, Inc.   USFF +0.250%   Weekly   MS   01/12/29   27,266   1,883,287   2,020,683   203,138
Prudential Financial, Inc.   USFF +0.250%   Weekly   MS   01/12/29   10,996   1,185,265   1,290,930   142,873
Willis Towers Watson PLC (Ireland)   USFF +0.250%   Weekly   MS   07/11/28   8,069   1,986,824   2,218,975   305,824
                    192,115   19,842,931   22,992,536   3,975,366
Materials                            
Celanese Corp.   USFF +0.250%   Weekly   MS   01/12/29   28,545   4,320,932   4,905,744   722,521
CF Industries Holdings, Inc.   USFF +0.250%   Weekly   MS   07/29/24   33,422   2,247,673   2,781,045   688,640
Eastman Chemical Co.   USFF +0.250%   Weekly   MS   07/11/28   21,976   1,787,481   2,202,435   499,966
Ecolab, Inc.   USFF +0.250%   Weekly   MS   07/11/28   4,351   715,732   1,004,646   316,373
International Paper Co.   USFF +0.250%   Weekly   MS   07/29/24   49,882   1,623,247   1,946,396   520,430
Linde PLC (Ireland)   USFF +0.250%   Weekly   MS   07/29/24   5,751   2,114,302   2,670,304   622,228
LyondellBasell Industries NV, Class A (Netherlands)   USFF +0.250%   Weekly   MS   07/08/27   19,297   1,788,822   1,973,697   264,983
Martin Marietta Materials, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,087   1,026,196   1,281,293   288,846
Mosaic Co. (The)   USFF +0.250%   Weekly   MS   11/03/25   909   28,266   29,506   3,567
Nucor Corp.   USFF +0.250%   Weekly   MS   07/29/24   6,180   965,836   1,223,022   306,765
Packaging Corp. of America   USFF +0.250%   Weekly   MS   07/08/27   11,061   1,576,213   2,099,157   636,049
PPG Industries, Inc.   USFF +0.250%   Weekly   MS   07/11/28   16,120   2,176,846   2,335,788   242,355
Sherwin-Williams Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   5,784   1,570,088   2,008,957   509,551
Steel Dynamics, Inc.   USFF +0.250%   Weekly   MS   07/08/27   3,836   439,104   568,610   144,437
Westrock Co.   USFF +0.250%   Weekly   MS   01/12/29   43,309   1,935,766   2,141,630   263,747
                    252,510   24,316,504   29,172,230   6,030,458
Media & Entertainment                            
Alphabet, Inc., Class A   USFF +0.250%   Weekly   MS   07/29/24   81,514   6,789,463   12,302,908   5,725,804
The accompanying notes are an integral part of the financial statements.
197

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Charter Communications, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   2,607   $ 749,826   $ 757,672   $ 31,411
Comcast Corp., Class A   USFF +0.250%   Weekly   MS   07/29/24   47,317   1,703,851   2,051,192   476,177
Electronic Arts, Inc.   USFF +0.250%   Weekly   MS   01/07/27   6,825   845,583   905,473   89,049
Interpublic Group of Cos., Inc. (The)   USFF +0.250%   Weekly   MS   07/29/24   36,168   1,055,002   1,180,162   263,513
Meta Platforms, Inc., Class A   USFF +0.250%   Weekly   MS   07/29/24   15,576   3,449,956   7,563,394   4,228,312
Netflix, Inc.   USFF +0.250%   Weekly   MS   01/07/27   2,759   1,192,246   1,675,623   526,311
News Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   30,728   684,670   804,459   160,701
Omnicom Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   8,940   684,812   865,034   236,001
Take-Two Interactive Software, Inc.   USFF +0.250%   Weekly   MS   07/29/24   934   120,860   138,690   21,690
Walt Disney Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   23,780   2,255,767   2,909,721   728,699
Warner Bros Discovery, Inc.   USFF +0.250%   Weekly   MS   07/08/27   13,047   136,109   113,900   (17,881)
                    270,195   19,668,145   31,268,228   12,469,787
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbbVie, Inc.   USFF +0.250%   Weekly   MS   07/29/24   32,070   5,145,100   5,839,947   901,450
Bristol-Myers Squibb Co.   USFF +0.250%   Weekly   MS   07/06/26   94,224   4,826,200   5,109,768   455,585
Danaher Corp.   USFF +0.250%   Weekly   MS   07/29/24   4,055   828,905   1,012,615   224,489
Eli Lilly & Co.   USFF +0.250%   Weekly   MS   01/12/29   1,405   956,126   1,093,034   168,379
Gilead Sciences, Inc.   USFF +0.250%   Weekly   MS   07/29/24   47,086   3,505,862   3,449,050   168,888
Illumina, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,874   378,686   394,658   27,932
Incyte Corp.   USFF +0.250%   Weekly   MS   07/11/28   57,124   3,095,716   3,254,354   255,548
IQVIA Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7,003   1,591,946   1,770,989   228,936
Johnson & Johnson   USFF +0.250%   Weekly   MS   07/29/24   30,973   4,520,381   4,899,619   887,430
Merck & Co., Inc.   USFF +0.250%   Weekly   MS   07/29/24   33,169   3,702,908   4,376,650   922,469
Mettler-Toledo International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,124   1,125,273   1,496,370   406,400
Thermo Fisher Scientific, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,894   1,038,811   1,100,812   95,306
Vertex Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/06/26   4,017   1,531,076   1,679,146   195,625
Viatris, Inc.   USFF +0.250%   Weekly   MS   07/11/28   161,145   1,661,509   1,924,071   340,840
                    478,163   33,908,499   37,401,083   5,279,277
Real Estate Management &
Development 		                           
CBRE Group, Inc., Class A   USFF +0.250%   Weekly   MS   01/12/29   31,056   2,869,333   3,019,885   240,384
The accompanying notes are an integral part of the financial statements.
198

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Semiconductors & Semiconductor
Equipment 		                           
Applied Materials, Inc.   USFF +0.250%   Weekly   MS   07/29/24   17,668   $ 2,244,230   $ 3,643,672   $ 1,520,391
Broadcom, Inc.   USFF +0.250%   Weekly   MS   07/29/24   5,190   3,956,095   6,878,878   3,153,687
KLA Corp.   USFF +0.250%   Weekly   MS   07/29/24   3,097   1,392,860   2,163,471   843,909
Lam Research Corp.   USFF +0.250%   Weekly   MS   07/29/24   1,912   1,543,307   1,857,642   379,586
Microchip Technology, Inc.   USFF +0.250%   Weekly   MS   01/10/28   14,916   1,115,922   1,338,114   271,992
Micron Technology, Inc.   USFF +0.250%   Weekly   MS   07/29/24   6,364   358,297   750,252   410,095
NVIDIA Corp.   USFF +0.250%   Weekly   MS   01/10/28   13,079   5,257,169   11,817,661   6,726,559
NXP Semiconductors NV (Netherlands)   USFF +0.250%   Weekly   MS   01/07/27   10,887   2,116,752   2,697,472   680,118
Qorvo, Inc.   USFF +0.250%   Weekly   MS   01/12/29   25,155   2,825,389   2,888,549   151,617
QUALCOMM, Inc.   USFF +0.250%   Weekly   MS   07/08/27   32,700   4,215,903   5,536,110   1,516,484
Skyworks Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   40,944   4,078,266   4,435,054   539,679
                    171,912   29,104,190   44,006,875   16,194,117
Software & Services                            
Accenture PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   07/11/28   13,219   4,192,309   4,581,838   530,906
Adobe, Inc.   USFF +0.250%   Weekly   MS   07/08/27   5,651   2,322,432   2,851,495   565,070
ANSYS, Inc.   USFF +0.250%   Weekly   MS   07/08/27   598   132,378   207,602   79,477
Autodesk, Inc.   USFF +0.250%   Weekly   MS   07/11/28   84   16,650   21,875   5,867
Cadence Design Systems, Inc.   USFF +0.250%   Weekly   MS   07/29/24   1,373   323,192   427,387   114,421
Cognizant Technology Solutions Corp., Class A   USFF +0.250%   Weekly   MS   07/29/24   3,541   218,099   259,520   61,231
EPAM Systems, Inc.   USFF +0.250%   Weekly   MS   07/06/26   388   173,883   107,150   (61,176)
Fair Isaac Corp.   USFF +0.250%   Weekly   MS   01/10/28   575   391,406   718,526   344,122
Gen Digital, Inc.   USFF +0.250%   Weekly   MS   07/11/28   199,758   3,894,817   4,474,579   754,687
International Business Machines Corp.   USFF +0.250%   Weekly   MS   01/10/28   14,699   2,308,531   2,806,921   627,760
Microsoft Corp.   USFF +0.250%   Weekly   MS   07/29/24   51,168   13,236,016   21,527,401   9,047,054
Oracle Corp.   USFF +0.250%   Weekly   MS   01/10/28   1,919   179,363   241,046   72,536
Roper Technologies, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,979   959,860   1,109,902   183,376
Salesforce, Inc.   USFF +0.250%   Weekly   MS   07/08/27   14,956   3,546,169   4,504,448   1,074,983
ServiceNow, Inc.   USFF +0.250%   Weekly   MS   07/08/27   521   393,321   397,210   15,886
Synopsys, Inc.   USFF +0.250%   Weekly   MS   07/29/24   774   370,373   442,341   83,669
VeriSign, Inc.   USFF +0.250%   Weekly   MS   01/07/27   9,595   1,890,819   1,818,348   (13,232)
                    320,798   34,549,618   46,497,589   13,486,637
Technology Hardware & Equipment                            
Amphenol Corp., Class A   USFF +0.250%   Weekly   MS   01/10/28   34,063   2,916,997   3,929,167   1,129,440
The accompanying notes are an integral part of the financial statements.
199

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
Apple, Inc.   USFF +0.250%   Weekly   MS   07/29/24   123,682   $ 12,242,181   $ 21,208,989   $ 9,720,705
CDW Corp.   USFF +0.250%   Weekly   MS   01/07/27   4,545   872,818   1,162,520   329,584
Cisco Systems, Inc.   USFF +0.250%   Weekly   MS   07/29/24   111,365   4,960,425   5,558,227   1,071,575
F5, Inc.   USFF +0.250%   Weekly   MS   01/10/28   17,846   2,897,535   3,383,423   576,601
Hewlett Packard Enterprise Co.   USFF +0.250%   Weekly   MS   01/10/28   38,071   542,484   674,999   171,341
HP, Inc.   USFF +0.250%   Weekly   MS   07/29/24   82,714   2,172,124   2,499,617   616,810
Jabil, Inc.   USFF +0.250%   Weekly   MS   07/11/28   23,068   2,964,549   3,089,959   218,219
Keysight Technologies, Inc.   USFF +0.250%   Weekly   MS   01/12/29   17,213   2,589,592   2,691,769   184,364
Motorola Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   4,181   1,341,836   1,484,171   196,884
NetApp, Inc.   USFF +0.250%   Weekly   MS   07/08/27   30,081   2,369,389   3,157,603   893,533
Seagate Technology Holdings PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   7,965   447,278   741,143   330,273
Super Micro Computer, Inc.   USFF +0.250%   Weekly   MS   01/12/29   1,103   1,071,077   1,114,063   74,527
Teledyne Technologies, Inc.   USFF -0.250%   Weekly   MS   07/29/24   735   287,831   315,550   36,839
                    496,632   37,676,116   51,011,200   15,550,695
Telecommunication Services                            
AT&T, Inc.   USFF +0.250%   Weekly   MS   07/08/27   51,438   813,281   905,309   170,714
T-Mobile US, Inc.   USFF +0.250%   Weekly   MS   07/29/24   9,274   1,303,621   1,513,702   261,389
Verizon Communications, Inc.   USFF +0.250%   Weekly   MS   07/08/27   38,178   1,436,223   1,601,949   219,781
                    98,890   3,553,125   4,020,960   651,884
Transportation                            
American Airlines Group, Inc.   USFF +0.250%   Weekly   MS   01/10/28   171,244   2,325,877   2,628,595   384,034
CSX Corp.   USFF +0.250%   Weekly   MS   07/29/24   56,911   1,882,628   2,109,691   319,948
Delta Air Lines, Inc.   USFF +0.250%   Weekly   MS   07/11/28   116,032   4,352,861   5,554,452   1,365,302
Expeditors International of Washington, Inc.   USFF +0.250%   Weekly   MS   07/29/24   119   12,511   14,467   3,703
FedEx Corp.   USFF +0.250%   Weekly   MS   01/10/28   8,650   2,079,419   2,506,251   513,937
Norfolk Southern Corp.   USFF +0.250%   Weekly   MS   07/11/28   4,224   815,302   1,076,571   301,618
Old Dominion Freight Line, Inc.   USFF +0.250%   Weekly   MS   01/07/27   5,592   1,018,980   1,226,382   243,923
Uber Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,463   345,945   420,596   85,588
United Parcel Service, Inc., Class B   USFF +0.250%   Weekly   MS   07/11/28   3,798   557,497   564,497   28,495
                    372,033   13,391,020   16,101,502   3,246,548
The accompanying notes are an integral part of the financial statements.
200

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities                            
Constellation Energy Corp.   USFF +0.250%   Weekly   MS   01/05/26   7,629   $ 800,022   $ 1,410,221   $ 645,978
Duke Energy Corp.   USFF +0.250%   Weekly   MS   01/12/29   67,202   6,161,319   6,499,105   577,579
NRG Energy, Inc.   USFF +0.250%   Weekly   MS   07/29/24   109,222   4,585,653   7,393,237   3,090,946
PG&E Corp.   USFF +0.250%   Weekly   MS   07/08/27   9,512   132,924   159,421   30,951
Public Service Enterprise Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   10,810   639,174   721,892   118,390
                    204,375   12,319,092   16,183,876   4,463,844
Total Reference Entity — Long           544,440,009   679,992,032   162,478,949
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Short                                
Automobiles & Components                            
Aptiv PLC (Jersey)   USFF -0.250%   Weekly   MS   01/07/27   (26,194)   $ (2,854,242)   $ (2,086,352)   $ 694,529
Ford Motor Co.   USFF -0.250%   Weekly   MS   01/10/28   (345,532)   (4,066,813)   (4,588,665)   (771,227)
                    (371,726)   (6,921,055)   (6,675,017)   (76,698)
Banks                            
Fifth Third Bancorp   USFF -0.250%   Weekly   MS   01/07/27   (10,935)   (412,596)   (406,891)   (27,870)
Huntington Bancshares, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (12,205)   (200,079)   (170,260)   15,084
KeyCorp.   USFF -0.250%   Weekly   MS   01/07/27   (6,548)   (160,409)   (103,524)   42,870
M&T Bank Corp.   USFF -0.250%   Weekly   MS   07/08/27   (3,266)   (603,637)   (475,007)   88,062
Regions Financial Corp.   USFF -0.250%   Weekly   MS   07/08/27   (4,532)   (113,248)   (95,353)   12,925
                    (37,486)   (1,489,969)   (1,251,035)   131,071
Capital Goods                            
3M Co.   USFF -0.250%   Weekly   MS   01/12/29   (15,819)   (1,594,993)   (1,677,921)   120,585
Allegion PLC (Ireland)   USFF -0.250%   Weekly   MS   01/07/27   (26,460)   (3,275,385)   (3,564,427)   (398,050)
Axon Enterprise, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (19,973)   (4,293,622)   (6,249,152)   (2,097,716)
Boeing Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (32,405)   (6,607,922)   (6,253,841)   178,403
Carrier Global Corp.   USFF -0.250%   Weekly   MS   01/12/29   (46,275)   (2,589,994)   (2,689,966)   (166,530)
Dover Corp.   USFF -0.250%   Weekly   MS   01/10/28   (10,611)   (1,678,657)   (1,880,163)   (252,813)
Fastenal Co.   USFF -0.250%   Weekly   MS   01/12/29   (49,232)   (3,418,888)   (3,797,756)   (477,782)
Generac Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,548)   (705,827)   (195,265)   551,029
Hubbell, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,441)   (527,429)   (598,087)   (116,232)
IDEX Corp.   USFF -0.250%   Weekly   MS   07/11/28   (19,890)   (4,401,946)   (4,853,558)   (581,010)
L3Harris Technologies, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (15,155)   (3,282,845)   (3,229,530)   (72,671)
Nordson Corp.   USFF -0.250%   Weekly   MS   01/10/28   (12,655)   (3,179,091)   (3,474,304)   (392,431)
Rockwell Automation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (14,643)   (3,970,228)   (4,265,945)   (411,063)
RTX Corp.   USFF -0.250%   Weekly   MS   01/10/28   (5,515)   (564,429)   (537,878)   (8,675)
The accompanying notes are an integral part of the financial statements.
201

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Capital Goods — (continued)                            
Westinghouse Air Brake Technologies Corp.   USFF -0.250%   Weekly   MS   01/07/27   (20,350)   $ (2,606,768)   $ (2,964,588)   $ (431,237)
Xylem, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (35,860)   (4,181,967)   (4,634,546)   (583,866)
                    (327,832)   (46,879,991)   (50,866,927)   (5,140,059)
Commercial & Professional
Services 		                           
Cintas Corp.   USFF -0.250%   Weekly   MS   07/11/28   (782)   (448,042)   (537,257)   (221,745)
Dayforce, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (67,430)   (5,038,435)   (4,464,540)   444,221
Equifax, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (16,599)   (3,807,565)   (4,440,564)   (765,810)
Paychex, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (10,458)   (1,268,088)   (1,284,242)   (53,441)
Paycom Software, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (11,774)   (3,274,365)   (2,343,144)   836,819
Rollins, Inc.   USFF -0.250%   Weekly   MS   07/29/24   (74,998)   (3,170,836)   (3,470,157)   (439,060)
Verisk Analytics, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (24,039)   (5,789,591)   (5,666,713)   (38,140)
Waste Management, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (19,551)   (3,292,049)   (4,167,296)   (997,573)
                    (225,631)   (26,088,971)   (26,373,913)   (1,234,729)
Consumer Discretionary
Distribution & Retail 		                           
Etsy, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (13,576)   (2,265,522)   (932,943)   1,274,375
O'Reilly Automotive, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,031)   (2,089,308)   (2,292,755)   (258,508)
Ross Stores, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (5,119)   (732,051)   (751,264)   (60,896)
Tractor Supply Co.   USFF -0.250%   Weekly   MS   01/12/29   (9,851)   (2,444,333)   (2,578,204)   (202,491)
                    (30,577)   (7,531,214)   (6,555,166)   752,480
Consumer Durables & Apparel                            
Hasbro, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,018)   (140,637)   (114,057)   20,115
Lululemon Athletica, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (3,880)   (1,830,132)   (1,515,722)   272,032
NIKE, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (24,265)   (2,422,976)   (2,280,425)   94,624
NVR, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (369)   (2,616,991)   (2,988,885)   (439,148)
VF Corp.   USFF -0.250%   Weekly   MS   07/06/26   (90,217)   (1,668,654)   (1,383,929)   222,081
                    (120,749)   (8,679,390)   (8,283,018)   169,704
Consumer Services                            
Airbnb, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (18,185)   (2,637,596)   (2,999,798)   (480,734)
Carnival Corp. (Panama)   USFF -0.250%   Weekly   MS   01/05/26   (122,955)   (2,259,253)   (2,009,085)   192,125
Chipotle Mexican Grill, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (1,286)   (3,105,700)   (3,738,106)   (745,123)
Darden Restaurants, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (9,956)   (1,643,167)   (1,664,145)   (76,527)
Domino's Pizza, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,603)   (2,510,399)   (2,784,019)   (410,087)
Hilton Worldwide Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (8,388)   (1,691,668)   (1,789,244)   (164,910)
Las Vegas Sands Corp.   USFF -0.250%   Weekly   MS   07/11/28   (40,793)   (1,945,587)   (2,108,998)   (219,806)
The accompanying notes are an integral part of the financial statements.
202

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Norwegian Cruise Line Holdings Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/29/24   (217,833)   $ (4,231,880)   $ (4,559,245)   $ (498,586)
Royal Caribbean Cruises Ltd. (Liberia)   USFF -0.250%   Weekly   MS   01/12/29   (29,328)   (3,551,707)   (4,076,885)   (697,551)
Wynn Resorts Ltd.   USFF -0.250%   Weekly   MS   07/29/24   (22,528)   (2,463,546)   (2,303,037)   50,842
                    (476,855)   (26,040,503)   (28,032,562)   (3,050,357)
Consumer Staples Distribution &
Retail 		                           
Dollar General Corp.   USFF -0.250%   Weekly   MS   01/10/28   (9,448)   (1,916,501)   (1,474,455)   377,951
Dollar Tree, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (20,381)   (3,015,063)   (2,713,730)   221,978
                    (29,829)   (4,931,564)   (4,188,185)   599,929
Energy                            
Chevron Corp.   USFF -0.250%   Weekly   MS   07/11/28   (19,365)   (2,913,463)   (3,054,635)   (236,596)
Coterra Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (45,143)   (1,226,961)   (1,258,587)   (91,887)
Diamondback Energy, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (19,763)   (3,352,694)   (3,916,434)   (880,441)
EQT Corp.   USFF -0.250%   Weekly   MS   01/12/29   (149,371)   (5,297,571)   (5,537,183)   (374,380)
Hess Corp.   USFF -0.250%   Weekly   MS   07/08/27   (65,382)   (9,665,359)   (9,979,908)   (656,282)
ONEOK, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (34,799)   (2,347,809)   (2,789,836)   (521,939)
Phillips 66   USFF -0.250%   Weekly   MS   07/11/28   (3,558)   (510,222)   (581,164)   (93,730)
Schlumberger NV (Curacao)   USFF -0.250%   Weekly   MS   07/11/28   (38,871)   (2,242,456)   (2,130,520)   24,249
Targa Resources Corp.   USFF -0.250%   Weekly   MS   07/08/27   (17,888)   (1,528,981)   (2,003,277)   (546,498)
Williams Cos., Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (65,337)   (2,259,097)   (2,546,183)   (414,973)
                    (459,477)   (31,344,613)   (33,797,727)   (3,792,477)
Equity Real Estate Investment
Trusts (REITs) 		                           
Boston Properties, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (21,612)   (1,424,036)   (1,411,480)   (86,570)
Crown Castle, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (11,231)   (1,241,307)   (1,188,577)   7,054
Equinix, Inc.   USFF -0.250%   Weekly   MS   07/29/24   (5,983)   (4,882,857)   (4,937,949)   (278,251)
Equity Residential   USFF -0.250%   Weekly   MS   01/07/27   (29,283)   (1,997,558)   (1,848,050)   12,114
Essex Property Trust, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,118)   (2,503,601)   (2,721,798)   (319,639)
Federal Realty Investment Trust   USFF -0.250%   Weekly   MS   07/06/26   (34,318)   (3,488,390)   (3,504,554)   (145,416)
Host Hotels & Resorts, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (36,402)   (734,854)   (752,793)   (62,225)
Invitation Homes, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,793)   (640,535)   (669,219)   (52,514)
Iron Mountain, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (39,723)   (2,513,025)   (3,186,182)   (763,289)
Kimco Realty Corp.   USFF -0.250%   Weekly   MS   07/06/26   (153,784)   (3,338,610)   (3,015,704)   206,500
Mid-America Apartment Communities, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (954)   (146,717)   (125,527)   15,823
The accompanying notes are an integral part of the financial statements.
203

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Equity Real Estate Investment
Trusts (REITs) — (continued) 		                           
Public Storage   USFF -0.250%   Weekly   MS   01/10/28   (8,950)   $ (2,606,657)   $ (2,596,037)   $ (141,138)
Regency Centers Corp.   USFF -0.250%   Weekly   MS   01/07/27   (34,589)   (2,332,028)   (2,094,710)   47,991
SBA Communications Corp.   USFF -0.250%   Weekly   MS   01/12/29   (10,435)   (2,251,631)   (2,261,265)   (79,097)
UDR, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (53,810)   (2,068,771)   (2,013,032)   (12,664)
Ventas, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (91,838)   (4,308,391)   (3,998,627)   138,072
Weyerhaeuser Co.   USFF -0.250%   Weekly   MS   01/10/28   (24,539)   (819,801)   (881,195)   (99,616)
                    (587,362)   (37,298,769)   (37,206,699)   (1,612,865)
Financial Services                            
Bank of New York Mellon Corp. (The)   USFF -0.250%   Weekly   MS   01/07/27   (6,867)   (369,964)   (395,677)   (49,049)
Discover Financial Services   USFF -0.250%   Weekly   MS   01/10/28   (945)   (113,461)   (123,880)   (15,745)
FactSet Research Systems, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (6,082)   (2,789,472)   (2,763,600)   (57,213)
Fidelity National Information Services, Inc.   USFF -0.250%   Weekly   MS   07/29/24   (98,670)   (6,813,297)   (7,319,341)   (869,291)
Global Payments, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (32,302)   (4,782,019)   (4,317,485)   296,578
Jack Henry & Associates, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (40,428)   (6,479,625)   (7,023,556)   (760,026)
MarketAxess Holdings, Inc.   USFF -0.250%   Weekly   MS   11/03/25   (3,306)   (851,947)   (724,841)   102,532
Moody's Corp.   USFF -0.250%   Weekly   MS   07/11/28   (4,432)   (1,702,599)   (1,741,909)   (85,351)
MSCI, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (6,952)   (4,079,178)   (3,896,248)   30,865
State Street Corp.   USFF -0.250%   Weekly   MS   07/06/26   (13,127)   (1,204,700)   (1,014,980)   113,388
Synchrony Financial   USFF -0.250%   Weekly   MS   07/06/26   (27,218)   (1,144,507)   (1,173,640)   (96,896)
                    (240,329)   (30,330,769)   (30,495,157)   (1,390,208)
Food, Beverage & Tobacco                            
Brown-Forman Corp., Class B   USFF -0.250%   Weekly   MS   07/29/24   (67,869)   (4,270,754)   (3,503,398)   616,484
Bunge Global SA (Switzerland)   USFF -0.250%   Weekly   MS   07/11/28   (18,156)   (1,862,884)   (1,861,353)   (62,684)
J M Smucker Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (67,001)   (8,161,703)   (8,433,416)   (480,247)
Lamb Weston Holdings, Inc.   USFF -0.250%   Weekly   MS   07/29/24   (80,402)   (8,217,329)   (8,565,225)   (645,323)
McCormick & Co., Inc.   USFF -0.250%   Weekly   MS   07/29/24   (17,878)   (1,736,451)   (1,373,209)   294,865
Monster Beverage Corp.   USFF -0.250%   Weekly   MS   07/06/26   (76,313)   (4,265,297)   (4,523,835)   (368,226)
PepsiCo, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (6,339)   (1,065,652)   (1,109,388)   (78,169)
Tyson Foods, Inc., Class A   USFF -0.250%   Weekly   MS   01/10/28   (121,223)   (6,270,263)   (7,119,427)   (1,157,002)
                    (455,181)   (35,850,333)   (36,489,251)   (1,880,302)
The accompanying notes are an integral part of the financial statements.
204

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services                            
Align Technology, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (796)   $ (537,389)   $ (261,024)   $ 262,651
Boston Scientific Corp.   USFF -0.250%   Weekly   MS   07/11/28   (41,985)   (2,686,909)   (2,875,553)   (352,884)
Cooper Cos., Inc. (The)   USFF -0.250%   Weekly   MS   07/06/26   (33,401)   (3,092,916)   (3,388,865)   (378,902)
Dexcom, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (36,088)   (4,485,715)   (5,005,406)   (656,750)
Edwards Lifesciences Corp.   USFF -0.250%   Weekly   MS   07/06/26   (38,292)   (3,701,917)   (3,659,184)   (52,451)
Elevance Health, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (5,296)   (2,642,929)   (2,746,188)   (234,537)
Henry Schein, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (131,639)   (10,202,610)   (9,941,377)   (1,772)
Humana, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (3,065)   (1,571,744)   (1,062,697)   462,865
IDEXX Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (4,806)   (2,720,630)   (2,594,904)   55,573
Insulet Corp.   USFF -0.250%   Weekly   MS   01/10/28   (27,467)   (6,807,068)   (4,707,844)   1,923,878
Intuitive Surgical, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (5,972)   (2,311,470)   (2,383,365)   (138,302)
Laboratory Corp. of America Holdings   USFF -0.250%   Weekly   MS   01/12/29   (17,460)   (3,767,343)   (3,814,312)   (150,877)
Quest Diagnostics, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (23,876)   (3,329,451)   (3,178,134)   45,074
ResMed, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (560)   (152,966)   (110,897)   35,557
STERIS PLC (Ireland)   USFF -0.250%   Weekly   MS   07/06/26   (20,638)   (4,550,002)   (4,639,835)   (243,492)
Stryker Corp.   USFF -0.250%   Weekly   MS   07/11/28   (7,567)   (2,468,719)   (2,708,002)   (361,264)
Universal Health Services, Inc., Class B   USFF -0.250%   Weekly   MS   01/10/28   (17,776)   (2,640,775)   (3,243,409)   (680,533)
                    (416,684)   (57,670,553)   (56,320,996)   (466,166)
Household & Personal Products                            
Church & Dwight Co., Inc.   USFF -0.250%   Weekly   MS   07/06/26   (52,367)   (5,166,053)   (5,462,402)   (456,132)
Clorox Co. (The)   USFF -0.250%   Weekly   MS   01/05/26   (9,741)   (1,587,384)   (1,491,445)   21,948
Estee Lauder Cos., Inc. (The), Class A   USFF -0.250%   Weekly   MS   07/08/27   (33,951)   (5,372,950)   (5,233,547)   (72,127)
                    (96,059)   (12,126,387)   (12,187,394)   (506,311)
Insurance                            
Allstate Corp. (The)   USFF -0.250%   Weekly   MS   01/07/27   (12,324)   (1,885,682)   (2,132,175)   (348,135)
American International Group, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (13,713)   (957,700)   (1,071,945)   (159,903)
Aon PLC, Class A (Ireland)   USFF -0.250%   Weekly   MS   07/11/28   (1,592)   (531,515)   (531,282)   (14,367)
Arch Capital Group Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   01/12/29   (42,377)   (3,692,191)   (3,917,330)   (320,073)
Arthur J Gallagher & Co.   USFF -0.250%   Weekly   MS   07/11/28   (19,789)   (4,758,527)   (4,948,042)   (328,195)
Everest Group Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (4,294)   (1,669,826)   (1,706,865)   (93,991)
Globe Life, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (11,610)   (1,394,646)   (1,351,056)   6,776
The accompanying notes are an integral part of the financial statements.
205

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Insurance — (continued)                            
Principal Financial Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (44,905)   $ (3,603,849)   $ (3,875,751)   $ (416,948)
Progressive Corp. (The)   USFF -0.250%   Weekly   MS   01/12/29   (4,852)   (971,378)   (1,003,491)   (73,690)
W R Berkley Corp.   USFF -0.250%   Weekly   MS   01/12/29   (13,788)   (1,171,369)   (1,219,411)   (84,113)
                    (169,244)   (20,636,683)   (21,757,348)   (1,832,639)
Materials                            
Air Products and Chemicals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (19,213)   (5,411,854)   (4,654,734)   539,805
Albemarle Corp.   USFF -0.250%   Weekly   MS   07/08/27   (10,750)   (2,193,077)   (1,416,205)   551,639
Amcor PLC (Jersey)   USFF -0.250%   Weekly   MS   01/12/29   (494,403)   (4,534,288)   (4,701,773)   (321,152)
Avery Dennison Corp.   USFF -0.250%   Weekly   MS   01/07/27   (11,804)   (2,320,119)   (2,635,243)   (426,281)
Ball Corp.   USFF -0.250%   Weekly   MS   11/03/25   (14,548)   (969,937)   (979,953)   (48,530)
Corteva, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (6,181)   (410,263)   (356,458)   84,691
Dow, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (29,312)   (1,595,069)   (1,698,044)   (166,823)
DuPont de Nemours, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (62,154)   (4,161,848)   (4,765,347)   (729,320)
FMC Corp.   USFF -0.250%   Weekly   MS   01/10/28   (48,461)   (5,215,590)   (3,086,966)   1,940,507
Freeport-McMoRan, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (18,986)   (739,838)   (892,722)   (191,017)
International Flavors & Fragrances, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (22,056)   (1,899,874)   (1,896,595)   (54,589)
Newmont Corp.   USFF -0.250%   Weekly   MS   01/10/28   (47,101)   (1,913,163)   (1,688,100)   114,493
Vulcan Materials Co.   USFF -0.250%   Weekly   MS   01/12/29   (2,085)   (530,145)   (569,038)   (63,523)
                    (787,054)   (31,895,065)   (29,341,178)   1,229,900
Media & Entertainment                            
Fox Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (87,474)   (2,611,099)   (2,735,312)   (213,155)
Live Nation Entertainment, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (38,844)   (3,758,569)   (4,108,530)   (453,131)
Match Group, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (35,093)   (2,500,307)   (1,273,174)   1,157,022
Paramount Global, Class B   USFF -0.250%   Weekly   MS   01/07/27   (20,839)   (608,168)   (245,275)   331,097
                    (182,250)   (9,478,143)   (8,362,291)   821,833
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
Agilent Technologies, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,867)   (1,357,824)   (1,435,747)   (119,458)
Amgen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (8,062)   (2,332,896)   (2,292,188)   (34,944)
Biogen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (27,582)   (6,122,268)   (5,947,507)   17,265
Bio-Rad Laboratories, Inc., Class A   USFF -0.250%   Weekly   MS   07/06/26   (541)   (415,981)   (187,116)   218,277
Bio-Techne Corp.   USFF -0.250%   Weekly   MS   07/06/26   (60,087)   (5,209,188)   (4,229,524)   825,207
Catalent, Inc.   USFF -0.250%   Weekly   MS   11/03/25   (128,786)   (10,014,171)   (7,269,970)   2,486,509
Charles River Laboratories International, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (11,303)   (2,677,069)   (3,062,548)   (471,490)
Moderna, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (72,777)   (7,723,123)   (7,755,117)   (236,345)
Pfizer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (260,470)   (7,056,597)   (7,228,042)   (354,610)
The accompanying notes are an integral part of the financial statements.
206

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Pharmaceuticals, Biotechnology &
Life Sciences — (continued) 		                           
Regeneron Pharmaceuticals, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,132)   $ (1,098,952)   $ (1,089,539)   $ (25,865)
Revvity, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (35,015)   (3,791,139)   (3,676,575)   15,660
Waters Corp.   USFF -0.250%   Weekly   MS   07/08/27   (5,684)   (1,744,024)   (1,956,603)   (257,358)
West Pharmaceutical Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (10,509)   (3,784,117)   (4,158,516)   (472,076)
Zoetis, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (21,935)   (4,295,484)   (3,711,621)   442,730
                    (653,750)   (57,622,833)   (54,000,613)   2,033,502
Real Estate Management &
Development 		                           
CoStar Group, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (50,857)   (4,374,619)   (4,912,786)   (650,670)
Semiconductors & Semiconductor
Equipment 		                           
Advanced Micro Devices, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,668)   (675,663)   (662,037)   (9,364)
Analog Devices, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (32,417)   (5,966,086)   (6,411,758)   (666,968)
Enphase Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (35,840)   (6,042,997)   (4,335,923)   1,507,786
First Solar, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (32,249)   (5,630,353)   (5,443,631)   (10,212)
Intel Corp.   USFF -0.250%   Weekly   MS   07/08/27   (101,366)   (4,210,113)   (4,477,336)   (492,285)
Monolithic Power Systems, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (3,892)   (2,414,080)   (2,636,519)   (299,149)
ON Semiconductor Corp.   USFF -0.250%   Weekly   MS   07/11/28   (55,975)   (4,350,590)   (4,116,961)   120,657
Teradyne, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (33,498)   (3,612,534)   (3,779,579)   (280,159)
Texas Instruments, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (30,439)   (5,253,362)   (5,302,778)   (257,469)
                    (329,344)   (38,155,778)   (37,166,522)   (387,163)
Software & Services                            
Akamai Technologies, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (27,994)   (3,002,262)   (3,044,627)   (119,537)
Fortinet, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (68,038)   (4,290,817)   (4,647,676)   (467,204)
Gartner, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (7,261)   (3,052,415)   (3,461,101)   (487,149)
Intuit, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,702)   (1,726,667)   (1,756,300)   (95,930)
Palo Alto Networks, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (13,431)   (3,594,994)   (3,816,150)   (313,587)
PTC, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (13,390)   (2,036,281)   (2,529,907)   (579,438)
Tyler Technologies, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (11,966)   (5,037,801)   (5,085,670)   (177,445)
                    (144,782)   (22,741,237)   (24,341,431)   (2,240,290)
Technology Hardware & Equipment                            
Arista Networks, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (10,956)   (2,615,403)   (3,177,021)   (628,830)
Corning, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (114,365)   (3,867,435)   (3,769,470)   (81,004)
Juniper Networks, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (181,354)   (6,708,147)   (6,720,979)   (225,278)
TE Connectivity Ltd. (Switzerland)   USFF -0.250%   Weekly   MS   07/11/28   (14,252)   (1,985,739)   (2,069,960)   (141,478)
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Technology Hardware & Equipment
— (continued) 		                           
Trimble, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (39,591)   $ (2,552,978)   $ (2,548,077)   $ (60,704)
Western Digital Corp.   USFF -0.250%   Weekly   MS   07/08/27   (131,738)   (6,266,840)   (8,989,801)   (3,095,758)
Zebra Technologies Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (13,474)   (3,243,073)   (4,061,603)   (929,319)
                    (505,730)   (27,239,615)   (31,336,911)   (5,162,371)
Transportation                            
CH Robinson Worldwide, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (9,867)   (898,842)   (751,273)   110,810
JB Hunt Transport Services, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (21,195)   (4,222,195)   (4,223,104)   (155,753)
Southwest Airlines Co.   USFF -0.250%   Weekly   MS   01/05/26   (247,693)   (8,777,873)   (7,230,159)   1,185,637
Union Pacific Corp.   USFF -0.250%   Weekly   MS   07/11/28   (6,033)   (1,500,819)   (1,483,696)   (29,331)
United Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (112,611)   (5,276,733)   (5,391,815)   (287,824)
                    (397,399)   (20,676,462)   (19,080,047)   823,539
Utilities                            
AES Corp. (The)   USFF -0.250%   Weekly   MS   01/10/28   (95,385)   (1,977,451)   (1,710,253)   174,419
Alliant Energy Corp.   USFF -0.250%   Weekly   MS   07/06/26   (115,472)   (6,096,802)   (5,819,789)   (23,239)
Ameren Corp.   USFF -0.250%   Weekly   MS   01/07/27   (37,671)   (3,136,787)   (2,786,147)   187,436
American Electric Power Co., Inc.   USFF -0.250%   Weekly   MS   01/07/27   (30,880)   (2,962,137)   (2,658,768)   78,691
American Water Works Co., Inc.   USFF -0.250%   Weekly   MS   11/03/25   (13,928)   (2,075,106)   (1,702,141)   270,633
Atmos Energy Corp.   USFF -0.250%   Weekly   MS   07/29/24   (20,929)   (2,403,529)   (2,487,830)   (218,233)
CenterPoint Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (99,493)   (2,896,520)   (2,834,556)   (67,012)
CMS Energy Corp.   USFF -0.250%   Weekly   MS   01/07/27   (51,252)   (3,280,188)   (3,092,546)   86,462
Consolidated Edison, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (14,111)   (1,295,308)   (1,281,420)   (31,605)
Dominion Energy, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (48,948)   (2,372,285)   (2,407,752)   (146,616)
DTE Energy Co.   USFF -0.250%   Weekly   MS   01/10/28   (30,287)   (3,283,152)   (3,396,384)   (262,513)
Edison International   USFF -0.250%   Weekly   MS   07/29/24   (59,985)   (4,150,187)   (4,242,739)   (365,108)
Entergy Corp.   USFF -0.250%   Weekly   MS   07/29/24   (19,723)   (2,015,740)   (2,084,327)   (143,948)
Evergy, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (77,848)   (4,588,392)   (4,155,526)   127,089
Eversource Energy   USFF -0.250%   Weekly   MS   07/29/24   (69,688)   (4,568,539)   (4,165,252)   112,729
Exelon Corp.   USFF -0.250%   Weekly   MS   01/10/28   (88,208)   (3,457,227)   (3,313,975)   (32,572)
FirstEnergy Corp.   USFF -0.250%   Weekly   MS   07/29/24   (94,317)   (3,685,160)   (3,642,523)   (69,407)
NextEra Energy, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (31,693)   (1,888,797)   (2,025,500)   (217,165)
NiSource, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (124,019)   (3,560,851)   (3,430,366)   (85,584)
Pinnacle West Capital Corp.   USFF -0.250%   Weekly   MS   07/29/24   (76,404)   (5,639,213)   (5,709,671)   (344,233)
PPL Corp.   USFF -0.250%   Weekly   MS   01/10/28   (83,260)   (2,208,156)   (2,292,148)   (161,741)
Sempra   USFF -0.250%   Weekly   MS   01/07/27   (29,626)   (2,245,582)   (2,128,036)   (2,235)
Southern Co. (The)   USFF -0.250%   Weekly   MS   01/10/28   (61,978)   (4,382,702)   (4,446,302)   (277,042)
The accompanying notes are an integral part of the financial statements.
208

 

Table of Contents
GOTHAM INDEX PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
WEC Energy Group, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (33,110)   $ (2,982,663)   $ (2,718,993)   $ 104,747
Xcel Energy, Inc.   USFF -0.250%   Weekly   MS   11/03/25   (93,174)   (5,613,956)   (5,008,102)   366,592
                    (1,501,389)   (82,766,430)   (79,541,046)   (939,455)
Total Reference Entity — Short           (648,770,946)   (648,563,220)   (23,800,802)
Net Value of Reference Entity           $(104,330,937)   $ 31,428,812   $138,678,147
* Includes $2,918,398 related to open trades, dividends receivables/payables and swap receivables/payables activities.
MS Morgan Stanley
USFF U.S. Fed Funds
The accompanying notes are an integral part of the financial statements.
209

 

Table of Contents
GOTHAM LARGE VALUE FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 99.3%
Automobiles & Components — 0.3%
Aptiv PLC (Jersey)*  1,655   $    131,821
BorgWarner, Inc.  1,364       47,385
General Motors Co.     86        3,900
         183,106
Banks — 1.6%
Citigroup, Inc.  5,709      361,037
Citizens Financial Group, Inc.  2,303       83,576
Comerica, Inc.    668       36,733
Fifth Third Bancorp  3,445      128,189
Huntington Bancshares, Inc.  7,325      102,184
KeyCorp.  4,735       74,860
PNC Financial Services Group, Inc. (The)    669      108,110
         894,689
Capital Goods — 16.8%
3M Co.  3,278      347,697
A. O. Smith Corp.    871       77,920
Allegion PLC (Ireland)    519       69,915
AMETEK, Inc.    467       85,414
Builders FirstSource, Inc.*    723      150,782
Carrier Global Corp.  4,978      289,371
Caterpillar, Inc.  2,962    1,085,366
Cummins, Inc.    842      248,095
Dover Corp.    830      147,068
Fastenal Co.    701       54,075
Fortive Corp.    691       59,440
Generac Holdings, Inc.*    356       44,906
General Dynamics Corp.  1,063      300,287
General Electric Co.  1,889      331,576
Honeywell International, Inc.  3,868      793,907
Howmet Aerospace, Inc.  1,468      100,455
Huntington Ingalls Industries, Inc.    235       68,495
IDEX Corp.    433      105,661
Illinois Tool Works, Inc.  1,775      476,286
Ingersoll Rand, Inc.  2,393      227,215
Johnson Controls International PLC (Ireland)  4,043      264,089
Lockheed Martin Corp.  1,425      648,190
Masco Corp.  1,309      103,254
Nordson Corp.    339       93,069
Otis Worldwide Corp.  2,405      238,744
PACCAR, Inc.  3,104      384,555
Parker-Hannifin Corp.    761      422,956
Pentair PLC (Ireland)    980       83,731
Quanta Services, Inc.    238       61,832
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
RTX Corp.  3,282   $    320,093
Snap-on, Inc.    313       92,717
Stanley Black & Decker, Inc.    911       89,214
Textron, Inc.  1,145      109,840
Trane Technologies PLC (Ireland)  1,347      404,369
TransDigm Group, Inc.     25       30,790
United Rentals, Inc.    399      287,723
Westinghouse Air Brake Technologies Corp.  1,054      153,547
WW Grainger, Inc.    292      297,052
       9,149,696
Commercial & Professional Services — 1.3%
Automatic Data Processing, Inc.  1,206      301,186
Jacobs Solutions, Inc.    746      114,683
Leidos Holdings, Inc.    806      105,659
Republic Services, Inc.     33        6,317
Robert Half, Inc.    618       48,995
Veralto Corp.  1,461      129,532
         706,372
Consumer Discretionary Distribution & Retail — 5.2%
Bath & Body Works, Inc.  1,346       67,327
Best Buy Co., Inc.  1,281      105,080
eBay, Inc.  3,067      161,876
Genuine Parts Co.    828      128,282
Home Depot, Inc. (The)  2,448      939,053
LKQ Corp.  1,536       82,038
Lowe's Cos., Inc.    883      224,926
Pool Corp.    227       91,594
Ross Stores, Inc.  1,985      291,319
TJX Cos., Inc. (The)  5,773      585,498
Ulta Beauty, Inc.*    286      149,544
       2,826,537
Consumer Durables & Apparel — 2.5%
Deckers Outdoor Corp.*    151      142,130
Garmin Ltd. (Switzerland)  1,138      169,414
Hasbro, Inc.    823       46,516
Lululemon Athletica, Inc.*    747      291,816
Mohawk Industries, Inc.*    378       49,476
NIKE, Inc., Class B  3,266      306,939
NVR, Inc.*      5       40,500
PulteGroup, Inc.  1,261      152,102
Ralph Lauren Corp.    380       71,349
Tapestry, Inc.  1,362       64,668
VF Corp.  2,307       35,389
       1,370,299
 
The accompanying notes are an integral part of the financial statements.
210

 

Table of Contents
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — 3.2%
Booking Holdings, Inc.    143   $    518,787
Caesars Entertainment, Inc.*  1,280       55,987
Darden Restaurants, Inc.    209       34,934
Expedia Group, Inc.*    813      111,991
Marriott International, Inc., Class A  1,245      314,126
McDonald's Corp.  1,330      374,993
MGM Resorts International*  1,937       91,446
Starbucks Corp.     79        7,220
Yum! Brands, Inc.  1,667      231,130
       1,740,614
Consumer Staples Distribution & Retail — 1.4%
Kroger Co. (The)  4,273      244,117
Sysco Corp.    919       74,604
Target Corp.  2,040      361,508
Walgreens Boots Alliance, Inc.  4,985      108,125
         788,354
Energy — 7.9%
APA Corp.  1,801       61,918
Baker Hughes Co.  5,921      198,354
ConocoPhillips  2,564      326,346
Coterra Energy, Inc.  4,455      124,205
Devon Energy Corp.  3,773      189,329
EOG Resources, Inc.  2,995      382,881
Exxon Mobil Corp.  4,680      544,003
Halliburton Co.  5,274      207,901
Marathon Oil Corp.  3,424       97,036
Marathon Petroleum Corp.  2,145      432,218
Occidental Petroleum Corp.  4,892      317,931
Phillips 66  2,552      416,844
Pioneer Natural Resources Co.  1,386      363,825
Schlumberger NV (Curacao)  5,817      318,830
Valero Energy Corp.  1,977      337,454
       4,319,075
Equity Real Estate Investment Trusts (REITs) — 1.2%
Alexandria Real Estate Equities, Inc.    716       92,300
Boston Properties, Inc.    931       60,804
Realty Income Corp.  3,861      208,880
Simon Property Group, Inc.  1,927      301,556
         663,540
Financial Services — 3.8%
Berkshire Hathaway, Inc., Class B*    521      219,091
BlackRock, Inc.    172      143,396
Cboe Global Markets, Inc.    627      115,199
Corpay, Inc.*    426      131,438
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — (Continued)
Fiserv, Inc.*  3,525   $    563,365
Franklin Resources, Inc.  2,503       70,359
Intercontinental Exchange, Inc.    848      116,541
PayPal Holdings, Inc.*  6,360      426,056
T Rowe Price Group, Inc.  1,131      137,892
Visa, Inc., Class A    532      148,471
       2,071,808
Food, Beverage & Tobacco — 7.4%
Altria Group, Inc. 10,464      456,440
Archer-Daniels-Midland Co.  3,175      199,422
Bunge Global SA (Switzerland)    862       88,372
Campbell Soup Co.  1,769       78,632
Coca-Cola Co. (The)  7,804      477,449
Conagra Brands, Inc.  2,837       84,089
General Mills, Inc.  3,376      236,219
Hershey Co. (The)  1,199      233,205
Hormel Foods Corp.  3,249      113,358
Kellanova  2,021      115,783
Keurig Dr Pepper, Inc.  8,251      253,058
Kraft Heinz Co. (The)  7,227      266,676
McCormick & Co., Inc., non-voting shares  1,590      122,128
Molson Coors Beverage Co., Class B  1,266       85,138
Mondelez International, Inc., Class A  6,218      435,260
Philip Morris International, Inc.  8,491      777,945
       4,023,174
Health Care Equipment & Services — 5.6%
Baxter International, Inc.  3,013      128,776
Cardinal Health, Inc.  1,448      162,031
Cencora, Inc.    652      158,429
Centene Corp.*    465       36,493
Cigna Group (The)  1,708      620,329
CVS Health Corp.  4,519      360,435
DaVita, Inc.*    528       72,890
GE HealthCare Technologies, Inc.    784       71,273
HCA Healthcare, Inc.  1,209      403,238
Humana, Inc.    605      209,766
Laboratory Corp. of America Holdings    497      108,575
McKesson Corp.    305      163,739
Medtronic PLC (Ireland)  1,487      129,592
Molina Healthcare, Inc.*    343      140,915
Quest Diagnostics, Inc.    659       87,720
 
The accompanying notes are an integral part of the financial statements.
211

 

Table of Contents
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
ResMed, Inc.    609   $    120,600
Teleflex, Inc.    283       64,006
       3,038,807
Household & Personal Products — 2.4%
Colgate-Palmolive Co.  4,131      371,997
Kenvue, Inc. 11,363      243,850
Kimberly-Clark Corp.  2,000      258,700
Procter & Gamble Co. (The)  2,609      423,310
       1,297,857
Insurance — 5.3%
Aflac, Inc.  2,010      172,579
American International Group, Inc.  3,464      270,781
Aon PLC, Class A (Ireland)  1,089      363,421
Arthur J Gallagher & Co.     85       21,253
Assurant, Inc.     14        2,635
Brown & Brown, Inc.  1,673      146,455
Chubb Ltd. (Switzerland)    287       74,370
Globe Life, Inc.    556       64,702
Hartford Financial Services Group, Inc. (The)  1,770      182,399
Loews Corp.  1,318      103,186
Marsh & McLennan Cos., Inc.  2,452      505,063
MetLife, Inc.  4,028      298,515
Prudential Financial, Inc.  2,061      241,961
Travelers Cos., Inc. (The)    665      153,043
W R Berkley Corp.  1,279      113,115
Willis Towers Watson PLC (Ireland)    609      167,475
       2,880,953
Materials — 5.8%
Amcor PLC (Jersey)  7,995       76,032
Avery Dennison Corp.    471      105,151
Celanese Corp.    646      111,022
Corteva, Inc.  4,160      239,907
Dow, Inc.  4,166      241,336
DuPont de Nemours, Inc.  2,308      176,954
Eastman Chemical Co.    695       69,653
FMC Corp.    740       47,138
International Flavors & Fragrances, Inc.  1,514      130,189
International Paper Co.  2,054       80,147
LyondellBasell Industries NV, Class A (Netherlands)  1,925      196,889
Martin Marietta Materials, Inc.    107       65,692
Mosaic Co. (The)  1,923       62,421
Nucor Corp.  1,429      282,799
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Packaging Corp. of America    532   $    100,963
PPG Industries, Inc.  1,395      202,135
Sherwin-Williams Co. (The)  1,498      520,300
Steel Dynamics, Inc.    949      140,670
Vulcan Materials Co.    779      212,605
Westrock Co.  1,524       75,362
       3,137,365
Media & Entertainment — 3.0%
Charter Communications, Inc., Class A*    861      250,233
Comcast Corp., Class A 17,278      749,001
Electronic Arts, Inc.    905      120,066
Interpublic Group of Cos., Inc. (The)  2,248       73,352
Match Group, Inc.*  1,595       57,867
News Corp., Class A  3,390       88,750
Omnicom Group, Inc.  1,175      113,693
Paramount Global, Class B  3,874       45,597
Walt Disney Co. (The)    888      108,656
       1,607,215
Pharmaceuticals, Biotechnology & Life Sciences — 4.5%
AbbVie, Inc.  1,298      236,366
Amgen, Inc.    462      131,356
Bristol-Myers Squibb Co. 10,087      547,018
Gilead Sciences, Inc.  6,381      467,408
Incyte Corp.*  1,330       75,770
Johnson & Johnson  3,174      502,095
Merck & Co., Inc.  2,914      384,502
Viatris, Inc.  7,124       85,061
       2,429,576
Real Estate Management & Development — 0.3%
CBRE Group, Inc., Class A*  1,724      167,642
Semiconductors & Semiconductor Equipment — 4.4%
Applied Materials, Inc.  1,351      278,617
Broadcom, Inc.    464      614,990
Enphase Energy, Inc.*    784       94,848
KLA Corp.    463      323,438
Microchip Technology, Inc.    975       87,467
NXP Semiconductors NV (Netherlands)      2          496
Qorvo, Inc.*    573       65,798
QUALCOMM, Inc.  4,794      811,624
Skyworks Solutions, Inc.    948      102,687
       2,379,965
 
The accompanying notes are an integral part of the financial statements.
212

 

Table of Contents
GOTHAM LARGE VALUE FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — 2.6%
Accenture PLC, Class A (Ireland)  1,152   $    399,295
Gen Digital, Inc.  3,791       84,918
International Business Machines Corp.  2,894      552,638
Salesforce, Inc.    899      270,761
VeriSign, Inc.*    600      113,706
       1,421,318
Technology Hardware & Equipment — 5.0%
Amphenol Corp., Class A  1,544      178,100
Apple, Inc.    738      126,552
CDW Corp.    795      203,345
Cisco Systems, Inc. 17,416      869,233
F5, Inc.*    349       66,167
Hewlett Packard Enterprise Co.  7,713      136,752
HP, Inc.  5,818      175,820
Jabil, Inc.    764      102,338
Juniper Networks, Inc.  1,368       50,698
Keysight Technologies, Inc.*  1,035      161,853
Motorola Solutions, Inc.    786      279,014
NetApp, Inc.  1,225      128,588
Seagate Technology Holdings PLC (Ireland)      1           93
TE Connectivity Ltd. (Switzerland)  1,835      266,516
       2,745,069
Telecommunication Services — 3.9%
AT&T, Inc. 42,425      746,680
T-Mobile US, Inc.  3,173      517,897
Verizon Communications, Inc. 20,204      847,760
       2,112,337
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Transportation — 2.9%
American Airlines Group, Inc.*  3,884   $     59,619
CH Robinson Worldwide, Inc.    692       52,689
CSX Corp.  9,464      350,830
Delta Air Lines, Inc.  3,817      182,720
Expeditors International of Washington, Inc.    818       99,444
FedEx Corp.  1,212      351,165
Union Pacific Corp.    649      159,609
United Parcel Service, Inc., Class B  2,238      332,634
       1,588,710
Utilities — 1.0%
Duke Energy Corp.  4,575      442,448
NRG Energy, Inc.  1,235       83,597
         526,045
TOTAL COMMON STOCKS
(Cost $47,095,288) 		    54,070,123
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7%        369,252
NET ASSETS - 100.0%     $ 54,439,375
* Non-income producing.
PLC Public Limited Company
 
The accompanying notes are an integral part of the financial statements.
213

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 99.4%
Automobiles & Components — 0.9%
Aptiv PLC (Jersey)*    17   $      1,354
BorgWarner, Inc.   449       15,598
Ford Motor Co.   256        3,400
General Motors Co.   510       23,129
Tesla, Inc.*   750      131,842
         175,323
Banks — 2.2%
Bank of America Corp. 1,905       72,238
Citigroup, Inc.   127        8,031
Citizens Financial Group, Inc.   199        7,222
Comerica, Inc.    57        3,134
Fifth Third Bancorp   290       10,791
Huntington Bancshares, Inc.    69          963
JPMorgan Chase & Co. 1,217      243,765
KeyCorp.   398        6,292
M&T Bank Corp.    39        5,672
PNC Financial Services Group, Inc. (The)    66       10,666
Regions Financial Corp.    45          947
Truist Financial Corp.   567       22,102
US Bancorp   662       29,591
Wells Fargo & Co.   217       12,577
         433,991
Capital Goods — 10.0%
3M Co.    38        4,031
A. O. Smith Corp.   278       24,870
Allegion PLC (Ireland)     5          674
AMETEK, Inc.    13        2,378
Axon Enterprise, Inc.*     3          939
Boeing Co. (The)*    39        7,527
Builders FirstSource, Inc.*   235       49,009
Carrier Global Corp.    56        3,255
Caterpillar, Inc.   905      331,619
Cummins, Inc.   268       78,966
Deere & Co.    18        7,393
Dover Corp.     8        1,418
Eaton Corp. PLC (Ireland)    24        7,504
Emerson Electric Co.    38        4,310
Fastenal Co.    28        2,160
Fortive Corp.    22        1,892
Generac Holdings, Inc.*     3          378
General Dynamics Corp.    19        5,367
General Electric Co. 1,332      233,806
Honeywell International, Inc. 1,189      244,042
Howmet Aerospace, Inc.    28        1,916
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Hubbell, Inc.     3   $      1,245
Huntington Ingalls Industries, Inc.     2          583
IDEX Corp.     4          976
Illinois Tool Works, Inc.   189       50,714
Ingersoll Rand, Inc.   751       71,307
Johnson Controls International PLC (Ireland)   956       62,446
L3Harris Technologies, Inc.    13        2,770
Lockheed Martin Corp.   402      182,858
Masco Corp.   429       33,840
Nordson Corp.     3          824
Northrop Grumman Corp.    66       31,592
Otis Worldwide Corp.   725       71,971
PACCAR, Inc.   523       64,794
Parker-Hannifin Corp.   244      135,613
Pentair PLC (Ireland)    11          940
Quanta Services, Inc.     8        2,078
Rockwell Automation, Inc.     8        2,331
RTX Corp.    83        8,095
Snap-on, Inc.   101       29,918
Stanley Black & Decker, Inc.   282       27,616
Textron, Inc.   375       35,974
Trane Technologies PLC (Ireland)   267       80,153
TransDigm Group, Inc.     3        3,695
United Rentals, Inc.    99       71,390
Westinghouse Air Brake Technologies Corp.    11        1,602
WW Grainger, Inc.     3        3,052
Xylem, Inc.    12        1,551
       1,993,382
Commercial & Professional Services — 0.5%
Automatic Data Processing, Inc.    28        6,993
Broadridge Financial Solutions, Inc.     8        1,639
Cintas Corp.     5        3,435
Copart, Inc.*    46        2,664
Dayforce, Inc.*     8          530
Equifax, Inc.     6        1,605
Jacobs Solutions, Inc.   241       37,049
Leidos Holdings, Inc.   263       34,476
Paychex, Inc.    25        3,070
Paycom Software, Inc.     3          597
Republic Services, Inc.    22        4,212
Robert Half, Inc.     6          476
Rollins, Inc.    24        1,110
Veralto Corp.    17        1,507
 
The accompanying notes are an integral part of the financial statements.
214

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Commercial & Professional Services — (Continued)
Verisk Analytics, Inc.     8   $      1,886
Waste Management, Inc.    20        4,263
         105,512
Consumer Discretionary Distribution & Retail — 8.7%
Amazon.com, Inc.* 5,320      959,622
AutoZone, Inc.*     1        3,152
Bath & Body Works, Inc.   410       20,508
Best Buy Co., Inc.   389       31,910
CarMax, Inc.*    11          958
eBay, Inc.   936       49,402
Etsy, Inc.*     7          481
Genuine Parts Co.   259       40,127
Home Depot, Inc. (The)   785      301,126
LKQ Corp.    17          908
Lowe's Cos., Inc.    40       10,189
O'Reilly Automotive, Inc.*     3        3,387
Pool Corp.     3        1,210
Ross Stores, Inc.   372       54,595
TJX Cos., Inc. (The) 2,122      215,213
Tractor Supply Co.     6        1,570
Ulta Beauty, Inc.*    87       45,490
       1,739,848
Consumer Durables & Apparel — 1.5%
Deckers Outdoor Corp.*    47       44,239
DR Horton, Inc.    21        3,455
Garmin Ltd. (Switzerland)   366       54,486
Hasbro, Inc.   260       14,695
Lennar Corp., Class A   119       20,466
Lululemon Athletica, Inc.*   173       67,582
Mohawk Industries, Inc.*   119       15,576
NIKE, Inc., Class B    72        6,767
NVR, Inc.*     1        8,100
PulteGroup, Inc.    15        1,809
Ralph Lauren Corp.   122       22,907
Tapestry, Inc.   437       20,749
VF Corp.   734       11,260
         292,091
Consumer Services — 2.7%
Airbnb, Inc., Class A*    30        4,949
Booking Holdings, Inc.    64      232,184
Caesars Entertainment, Inc.*    13          569
Carnival Corp. (Panama)*    61          997
Chipotle Mexican Grill, Inc.*     1        2,907
Darden Restaurants, Inc.     8        1,337
Domino's Pizza, Inc.     2          994
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
Expedia Group, Inc.*   137   $     18,872
Hilton Worldwide Holdings, Inc.    13        2,773
Las Vegas Sands Corp.    37        1,913
Marriott International, Inc., Class A   548      138,266
McDonald's Corp.   407      114,754
MGM Resorts International*    20          944
Norwegian Cruise Line Holdings Ltd. (Bermuda)*    21          439
Royal Caribbean Cruises Ltd. (Liberia)*    18        2,502
Starbucks Corp.    72        6,580
Wynn Resorts Ltd.     6          613
Yum! Brands, Inc.    49        6,794
         538,387
Consumer Staples Distribution & Retail — 0.7%
Costco Wholesale Corp.    21       15,385
Dollar General Corp.    13        2,029
Dollar Tree, Inc.*    13        1,731
Kroger Co. (The) 1,304       74,498
Sysco Corp.    32        2,598
Target Corp.    28        4,962
Walgreens Boots Alliance, Inc.    54        1,171
Walmart, Inc.   507       30,506
         132,880
Energy — 3.3%
APA Corp.    19          653
Baker Hughes Co. 1,765       59,127
Chevron Corp.   540       85,180
ConocoPhillips    75        9,546
Coterra Energy, Inc.    47        1,310
Devon Energy Corp.    42        2,108
Diamondback Energy, Inc.    11        2,180
EOG Resources, Inc.    37        4,730
EQT Corp.    25          927
Exxon Mobil Corp. 1,343      156,110
Halliburton Co.    61        2,405
Hess Corp.    18        2,748
Kinder Morgan, Inc.   134        2,458
Marathon Oil Corp.    36        1,020
Marathon Petroleum Corp.   655      131,982
Occidental Petroleum Corp.    56        3,639
ONEOK, Inc.    27        2,165
Phillips 66   779      127,242
Pioneer Natural Resources Co.    14        3,675
Schlumberger NV (Curacao)    83        4,549
 
The accompanying notes are an integral part of the financial statements.
215

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Energy — (Continued)
Targa Resources Corp.    11   $      1,232
Valero Energy Corp.   339       57,864
Williams Cos., Inc. (The)    64        2,494
         665,344
Equity Real Estate Investment Trusts (REITs) — 0.3%
Alexandria Real Estate Equities, Inc.    11        1,418
American Tower Corp.    30        5,928
AvalonBay Communities, Inc.     9        1,670
Boston Properties, Inc.    10          653
Camden Property Trust     7          689
Crown Castle, Inc.    28        2,963
Digital Realty Trust, Inc.    15        2,161
Equinix, Inc.     4        3,301
Equity Residential    24        1,515
Essex Property Trust, Inc.     4          979
Extra Space Storage, Inc.    11        1,617
Federal Realty Investment Trust     4          408
Healthpeak Properties, Inc.    35          656
Host Hotels & Resorts, Inc.    34          703
Invitation Homes, Inc.    30        1,068
Iron Mountain, Inc.    14        1,123
Kimco Realty Corp.    36          706
Mid-America Apartment Communities, Inc.     6          789
Prologis, Inc.    59        7,683
Public Storage    10        2,901
Realty Income Corp.    48        2,597
Regency Centers Corp.    10          606
SBA Communications Corp.     7        1,517
Simon Property Group, Inc.    19        2,973
UDR, Inc.    21          786
Ventas, Inc.    20          871
VICI Properties, Inc.    49        1,460
Welltower, Inc.    35        3,270
Weyerhaeuser Co.    47        1,688
          54,699
Financial Services — 6.9%
American Express Co.   115       26,184
Ameriprise Financial, Inc.     6        2,631
Bank of New York Mellon Corp. (The)    54        3,111
Berkshire Hathaway, Inc., Class B*   988      415,474
BlackRock, Inc.    68       56,692
Blackstone, Inc.    34        4,467
Capital One Financial Corp.    23        3,424
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — (Continued)
Cboe Global Markets, Inc.    42   $      7,717
Charles Schwab Corp. (The)    87        6,294
CME Group, Inc.    22        4,736
Corpay, Inc.*   142       43,813
Discover Financial Services    17        2,229
FactSet Research Systems, Inc.     2          909
Fidelity National Information Services, Inc.    38        2,819
Fiserv, Inc.* 1,166      186,350
Franklin Resources, Inc.   890       25,018
Global Payments, Inc.    13        1,738
Goldman Sachs Group, Inc. (The)    20        8,354
Intercontinental Exchange, Inc.    36        4,947
Invesco Ltd. (Bermuda)    29          481
Jack Henry & Associates, Inc.     4          695
MarketAxess Holdings, Inc.     2          439
Mastercard, Inc., Class A   399      192,146
Moody's Corp.    11        4,323
Morgan Stanley   103        9,698
MSCI, Inc.     4        2,242
Nasdaq, Inc.    34        2,145
Northern Trust Corp.    14        1,245
PayPal Holdings, Inc.* 1,581      105,911
Raymond James Financial, Inc.    12        1,541
S&P Global, Inc.    15        6,382
State Street Corp.    16        1,237
Synchrony Financial    28        1,207
T Rowe Price Group, Inc.   107       13,045
Visa, Inc., Class A   858      239,451
       1,389,095
Food, Beverage & Tobacco — 5.5%
Altria Group, Inc. 3,381      147,479
Archer-Daniels-Midland Co. 1,016       63,815
Brown-Forman Corp., Class B    23        1,187
Bunge Global SA (Switzerland)     9          923
Campbell Soup Co.    55        2,445
Coca-Cola Co. (The) 3,715      227,284
Conagra Brands, Inc.   896       26,557
Constellation Brands, Inc., Class A    11        2,989
General Mills, Inc.   632       44,221
Hershey Co. (The)    13        2,528
Hormel Foods Corp.   600       20,934
J M Smucker Co. (The)     6          755
Kellanova   644       36,895
Keurig Dr Pepper, Inc.   380       11,655
Kraft Heinz Co. (The) 2,129       78,560
 
The accompanying notes are an integral part of the financial statements.
216

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
Lamb Weston Holdings, Inc.     7   $        746
McCormick & Co., Inc., non-voting shares    18        1,383
Molson Coors Beverage Co., Class B   413       27,774
Mondelez International, Inc., Class A 1,660      116,200
Monster Beverage Corp.*    50        2,964
PepsiCo, Inc.    87       15,226
Philip Morris International, Inc. 2,966      271,745
Tyson Foods, Inc., Class A    23        1,351
       1,105,616
Health Care Equipment & Services — 3.5%
Abbott Laboratories   742       84,336
Align Technology, Inc.*     4        1,312
Baxter International, Inc.    37        1,581
Becton Dickinson & Co.    13        3,217
Boston Scientific Corp.*    70        4,794
Cardinal Health, Inc.   472       52,817
Cencora, Inc.   352       85,532
Centene Corp.*    43        3,375
Cigna Group (The)   530      192,491
Cooper Cos., Inc. (The)    13        1,319
CVS Health Corp.    91        7,258
DaVita, Inc.*   171       23,606
DENTSPLY SIRONA, Inc.    13          431
Dexcom, Inc.*    18        2,497
Edwards Lifesciences Corp.*    29        2,771
Elevance Health, Inc.    14        7,259
GE HealthCare Technologies, Inc.    29        2,636
HCA Healthcare, Inc.    19        6,337
Henry Schein, Inc.*     9          680
Hologic, Inc.*    14        1,091
Humana, Inc.   222       76,972
IDEXX Laboratories, Inc.*     4        2,160
Insulet Corp.*     4          686
Intuitive Surgical, Inc.*    16        6,385
Laboratory Corp. of America Holdings     5        1,092
McKesson Corp.   106       56,906
Medtronic PLC (Ireland)    84        7,321
Molina Healthcare, Inc.*    12        4,930
Quest Diagnostics, Inc.     7          932
ResMed, Inc.   120       23,764
STERIS PLC (Ireland)     4          899
Stryker Corp.    18        6,442
Teleflex, Inc.     2          452
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
UnitedHealth Group, Inc.    58   $     28,693
Universal Health Services, Inc., Class B     4          730
Zimmer Biomet Holdings, Inc.    10        1,320
         705,024
Household & Personal Products — 2.2%
Church & Dwight Co., Inc.    12        1,252
Clorox Co. (The)     8        1,225
Colgate-Palmolive Co. 1,081       97,344
Estee Lauder Cos., Inc. (The), Class A    17        2,620
Kenvue, Inc. 2,589       55,560
Kimberly-Clark Corp.   646       83,560
Procter & Gamble Co. (The) 1,247      202,326
         443,887
Insurance — 2.1%
Aflac, Inc.    29        2,490
Allstate Corp. (The)    13        2,249
American International Group, Inc.    35        2,736
Aon PLC, Class A (Ireland)   280       93,441
Arch Capital Group Ltd. (Bermuda)*    23        2,126
Arthur J Gallagher & Co.    15        3,751
Assurant, Inc.     3          565
Brown & Brown, Inc.   520       45,521
Chubb Ltd. (Switzerland)    20        5,182
Cincinnati Financial Corp.    10        1,242
Everest Group Ltd. (Bermuda)     3        1,192
Globe Life, Inc.     5          582
Hartford Financial Services Group, Inc. (The)    15        1,546
Loews Corp.    14        1,096
Marsh & McLennan Cos., Inc.   941      193,827
MetLife, Inc.    46        3,409
Principal Financial Group, Inc.    12        1,036
Progressive Corp. (The)    28        5,791
Prudential Financial, Inc.    18        2,113
Travelers Cos., Inc. (The)    13        2,992
W R Berkley Corp.    16        1,415
Willis Towers Watson PLC (Ireland)   196       53,900
         428,202
Materials — 1.8%
Air Products and Chemicals, Inc.    10        2,423
Albemarle Corp.     6          790
Amcor PLC (Jersey)    92          875
Avery Dennison Corp.     4          893
 
The accompanying notes are an integral part of the financial statements.
217

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
Ball Corp.    15   $      1,010
Celanese Corp.   201       34,544
CF Industries Holdings, Inc.   317       26,378
Corteva, Inc.    43        2,480
Dow, Inc.    44        2,549
DuPont de Nemours, Inc.    27        2,070
Eastman Chemical Co.   199       19,944
Ecolab, Inc.    15        3,463
FMC Corp.     7          446
Freeport-McMoRan, Inc.    92        4,326
International Flavors & Fragrances, Inc.    16        1,376
International Paper Co.   560       21,851
Linde PLC (Ireland)    30       13,930
LyondellBasell Industries NV, Class A (Netherlands)    20        2,046
Martin Marietta Materials, Inc.     3        1,842
Mosaic Co. (The)    20          649
Newmont Corp.    53        1,899
Nucor Corp.   435       86,086
Packaging Corp. of America   170       32,263
PPG Industries, Inc.   425       61,582
Sherwin-Williams Co. (The)    17        5,905
Steel Dynamics, Inc.    11        1,631
Vulcan Materials Co.     7        1,910
Westrock Co.   471       23,291
         358,452
Media & Entertainment — 9.8%
Alphabet, Inc., Class A* 5,852      883,242
Charter Communications, Inc., Class A*    62       18,019
Comcast Corp., Class A 3,555      154,109
Electronic Arts, Inc.   127       16,849
Fox Corp., Class A    31          970
Interpublic Group of Cos., Inc. (The)   729       23,787
Live Nation Entertainment, Inc.*    11        1,164
Match Group, Inc.*   513       18,612
Meta Platforms, Inc., Class A 1,312      637,081
Netflix, Inc.*   184      111,749
News Corp., Class A   940       24,609
Omnicom Group, Inc.   379       36,672
Paramount Global, Class B    41          483
Take-Two Interactive Software, Inc.*    74       10,988
Walt Disney Co. (The)    87       10,645
Warner Bros Discovery, Inc.* 1,036        9,044
       1,958,023
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Pharmaceuticals, Biotechnology & Life Sciences — 3.9%
AbbVie, Inc.   344   $     62,642
Agilent Technologies, Inc.    14        2,037
Amgen, Inc.   282       80,178
Biogen, Inc.*    10        2,156
Bio-Rad Laboratories, Inc., Class A*     1          346
Bio-Techne Corp.     8          563
Bristol-Myers Squibb Co.   625       33,894
Catalent, Inc.*     9          508
Charles River Laboratories International, Inc.*     3          813
Danaher Corp.   317       79,161
Eli Lilly & Co.    45       35,008
Gilead Sciences, Inc.    79        5,787
Illumina, Inc.*    69        9,475
Incyte Corp.*    95        5,412
IQVIA Holdings, Inc.*     8        2,023
Johnson & Johnson 1,660      262,595
Merck & Co., Inc. 1,066      140,659
Mettler-Toledo International, Inc.*     1        1,331
Moderna, Inc.*    25        2,664
Pfizer, Inc.   360        9,990
Regeneron Pharmaceuticals, Inc.*     8        7,700
Revvity, Inc.     8          840
Thermo Fisher Scientific, Inc.    18       10,462
Vertex Pharmaceuticals, Inc.*    18        7,524
Viatris, Inc.    76          908
Waters Corp.*     3        1,033
West Pharmaceutical Services, Inc.     4        1,583
Zoetis, Inc.    21        3,554
         770,846
Real Estate Management & Development — 0.0%
CBRE Group, Inc., Class A*    19        1,848
CoStar Group, Inc.*    19        1,835
           3,683
Semiconductors & Semiconductor Equipment — 8.9%
Advanced Micro Devices, Inc.*    77       13,898
Analog Devices, Inc.    23        4,549
Applied Materials, Inc.   668      137,762
Broadcom, Inc.   449      595,109
Enphase Energy, Inc.*     6          726
First Solar, Inc.*     5          844
Intel Corp.   245       10,822
KLA Corp.    64       44,709
Lam Research Corp.    55       53,436
Microchip Technology, Inc.    38        3,409
 
The accompanying notes are an integral part of the financial statements.
218

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Semiconductors & Semiconductor Equipment — (Continued)
Micron Technology, Inc.   471   $     55,526
Monolithic Power Systems, Inc.     2        1,355
NVIDIA Corp.   566      511,415
NXP Semiconductors NV (Netherlands)    16        3,964
ON Semiconductor Corp.*    28        2,059
Qorvo, Inc.*     7          804
QUALCOMM, Inc. 1,750      296,275
Skyworks Solutions, Inc.   289       31,304
Teradyne, Inc.    10        1,128
Texas Instruments, Inc.    44        7,665
       1,776,759
Software & Services — 10.9%
Accenture PLC, Class A (Ireland)    72       24,956
Adobe, Inc.*    29       14,633
Akamai Technologies, Inc.*     9          979
ANSYS, Inc.*    37       12,845
Autodesk, Inc.*    14        3,646
Cadence Design Systems, Inc.*   116       36,108
Cognizant Technology Solutions Corp., Class A   211       15,464
EPAM Systems, Inc.*    25        6,904
Fair Isaac Corp.*     2        2,499
Fortinet, Inc.*    37        2,527
Gartner, Inc.*     5        2,383
Gen Digital, Inc.   985       22,064
International Business Machines Corp.   742      141,692
Intuit, Inc.    13        8,450
Microsoft Corp. 3,807    1,601,681
Oracle Corp.   167       20,977
Palo Alto Networks, Inc.*    16        4,546
PTC, Inc.*     6        1,134
Roper Technologies, Inc.    46       25,799
Salesforce, Inc.   631      190,045
ServiceNow, Inc.*    14       10,674
Synopsys, Inc.*    65       37,148
Tyler Technologies, Inc.*     2          850
VeriSign, Inc.*     6        1,137
       2,189,141
Technology Hardware & Equipment — 8.4%
Amphenol Corp., Class A    40        4,614
Apple, Inc. 6,600    1,131,768
Arista Networks, Inc.*    16        4,640
CDW Corp.    10        2,558
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Technology Hardware & Equipment — (Continued)
Cisco Systems, Inc. 6,838   $    341,284
Corning, Inc.    55        1,813
F5, Inc.*   113       21,424
Hewlett Packard Enterprise Co.    82        1,454
HP, Inc. 1,899       57,388
Jabil, Inc.   245       32,818
Juniper Networks, Inc.   586       21,717
Keysight Technologies, Inc.*    12        1,876
Motorola Solutions, Inc.    10        3,550
NetApp, Inc.   381       39,993
Seagate Technology Holdings PLC (Ireland)    14        1,303
Super Micro Computer, Inc.*     2        2,020
TE Connectivity Ltd. (Switzerland)    21        3,050
Teledyne Technologies, Inc.*     3        1,288
Trimble, Inc.*    12          772
Western Digital Corp.*    20        1,365
Zebra Technologies Corp., Class A*     3          904
       1,677,599
Telecommunication Services — 3.1%
AT&T, Inc. 9,809      172,639
T-Mobile US, Inc. 1,118      182,480
Verizon Communications, Inc. 6,418      269,299
         624,418
Transportation — 1.1%
American Airlines Group, Inc.* 1,152       17,683
CH Robinson Worldwide, Inc.     7          533
CSX Corp.   124        4,597
Delta Air Lines, Inc. 1,136       54,380
Expeditors International of Washington, Inc.     9        1,094
FedEx Corp.   378      109,522
JB Hunt Transport Services, Inc.     5          996
Norfolk Southern Corp.    15        3,823
Old Dominion Freight Line, Inc.    10        2,193
Southwest Airlines Co.    29          847
Uber Technologies, Inc.*    98        7,545
Union Pacific Corp.    38        9,345
United Airlines Holdings, Inc.*    16          766
United Parcel Service, Inc., Class B    54        8,026
         221,350
Utilities — 0.5%
AES Corp. (The)    40          717
Alliant Energy Corp.    13          655
Ameren Corp.    13          962
 
The accompanying notes are an integral part of the financial statements.
219

 

Table of Contents
GOTHAM ENHANCED S&P 500 INDEX FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
American Electric Power Co., Inc.    25   $      2,153
American Water Works Co., Inc.     9        1,100
Atmos Energy Corp.     7          832
CenterPoint Energy, Inc.    30          855
CMS Energy Corp.    14          845
Consolidated Edison, Inc.    23        2,089
Constellation Energy Corp.    21        3,882
Dominion Energy, Inc.    48        2,361
DTE Energy Co.    12        1,346
Duke Energy Corp.    92        8,897
Edison International    18        1,273
Entergy Corp.    10        1,057
Evergy, Inc.    11          587
Eversource Energy    17        1,016
Exelon Corp.    62        2,329
FirstEnergy Corp.    28        1,081
NextEra Energy, Inc.    97        6,199
NiSource, Inc.    21          581
NRG Energy, Inc.   377       25,519
PG&E Corp.   907       15,201
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
Pinnacle West Capital Corp.     6   $        448
PPL Corp.    44        1,211
Public Service Enterprise Group, Inc.    32        2,137
Sempra    30        2,155
Southern Co. (The)    52        3,731
WEC Energy Group, Inc.    15        1,232
Xcel Energy, Inc.    27        1,451
          93,902
TOTAL COMMON STOCKS
(Cost $14,623,098) 		    19,877,454
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6%        125,684
NET ASSETS - 100.0%     $ 20,003,138
* Non-income producing.
PLC Public Limited Company
 
The accompanying notes are an integral part of the financial statements.
220

 

Table of Contents
GOTHAM HEDGED CORE FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
LONG POSITIONS — 138.0%
COMMON STOCKS — 138.0%
Automobiles & Components — 0.1%
BorgWarner, Inc.    102   $      3,543
Capital Goods — 7.8%
Builders FirstSource, Inc.*    383       79,875
Fastenal Co.    135       10,414
General Electric Co.    405       71,090
Honeywell International, Inc.     63       12,931
Ingersoll Rand, Inc.     12        1,139
Lockheed Martin Corp.†    178       80,967
Masco Corp.    390       30,763
Northrop Grumman Corp.†     14        6,701
Snap-on, Inc.†    291       86,200
Textron, Inc.    464       44,511
Trane Technologies PLC (Ireland)     28        8,406
WW Grainger, Inc.†     16       16,277
         449,274
Commercial & Professional Services — 3.2%
Copart, Inc.†*  1,019       59,020
Jacobs Solutions, Inc.    295       45,350
Leidos Holdings, Inc.    263       34,477
Republic Services, Inc.    245       46,903
         185,750
Consumer Discretionary Distribution & Retail — 7.7%
Amazon.com, Inc.†*    950      171,361
AutoZone, Inc.†*      6       18,910
Best Buy Co., Inc.†     25        2,051
eBay, Inc.†  1,115       58,850
Genuine Parts Co.†    520       80,563
Home Depot, Inc. (The)     97       37,209
LKQ Corp.     13          694
Lowe's Cos., Inc.†    141       35,917
TJX Cos., Inc. (The)    221       22,414
Ulta Beauty, Inc.*     24       12,549
         440,518
Consumer Durables & Apparel — 4.7%
Deckers Outdoor Corp.*     22       20,708
Garmin Ltd. (Switzerland)†  1,120      166,734
PulteGroup, Inc.    217       26,175
Tapestry, Inc.  1,167       55,409
         269,026
Consumer Services — 3.7%
Booking Holdings, Inc.†     26       94,325
Las Vegas Sands Corp.     51        2,637
Marriott International, Inc., Class A    192       48,443
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (Continued)
McDonald's Corp.†    120   $     33,834
MGM Resorts International†*      3          142
Wynn Resorts Ltd.     46        4,703
Yum! Brands, Inc.†    193       26,759
         210,843
Consumer Staples Distribution & Retail — 1.9%
Kroger Co. (The)  1,845      105,405
Sysco Corp.†     58        4,708
         110,113
Energy — 1.7%
Baker Hughes Co.    516       17,286
ConocoPhillips     17        2,164
Marathon Petroleum Corp.     51       10,276
Phillips 66    117       19,111
Pioneer Natural Resources Co.    196       51,450
         100,287
Financial Services — 8.9%
Berkshire Hathaway, Inc., Class B†*    260      109,335
Cboe Global Markets, Inc.†    741      136,144
CME Group, Inc.†     56       12,056
Corpay, Inc.*     54       16,661
Fiserv, Inc.*    658      105,161
Mastercard, Inc., Class A†     86       41,415
PayPal Holdings, Inc.†*    629       42,137
Visa, Inc., Class A†    183       51,072
         513,981
Food, Beverage & Tobacco — 15.2%
Altria Group, Inc.†  2,150       93,783
Archer-Daniels-Midland Co.    537       33,729
Bunge Global SA (Switzerland)      3          307
Campbell Soup Co.†  1,857       82,544
Coca-Cola Co. (The)†    987       60,385
Conagra Brands, Inc.  1,677       49,706
General Mills, Inc.†  1,238       86,623
Hershey Co. (The)†    113       21,978
Hormel Foods Corp.†    549       19,155
Kellanova  1,033       59,181
Keurig Dr Pepper, Inc.†  2,243       68,793
Kraft Heinz Co. (The)†  2,539       93,689
McCormick & Co., Inc., non-voting shares†    212       16,284
Molson Coors Beverage Co., Class B†  1,336       89,846
 
The accompanying notes are an integral part of the financial statements.
221

 

Table of Contents
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
Mondelez International, Inc., Class A    926   $     64,820
Philip Morris International, Inc.†    336       30,784
         871,607
Health Care Equipment & Services — 12.1%
Abbott Laboratories†    158       17,958
Baxter International, Inc.     98        4,189
Cardinal Health, Inc.†    903      101,046
Cencora, Inc.†    395       95,981
Centene Corp.†*    143       11,223
Cigna Group (The)†    101       36,682
CVS Health Corp.    474       37,806
DaVita, Inc.†*    227       31,337
GE HealthCare Technologies, Inc.†    373       33,909
Humana, Inc.    267       92,574
McKesson Corp.†    274      147,097
Molina Healthcare, Inc.†*     99       40,672
Quest Diagnostics, Inc.    252       33,544
UnitedHealth Group, Inc.     21       10,389
         694,407
Household & Personal Products — 7.3%
Church & Dwight Co., Inc.†     56        5,841
Clorox Co. (The)     29        4,440
Colgate-Palmolive Co.†  1,182      106,439
Kenvue, Inc.  5,871      125,992
Kimberly-Clark Corp.†    810      104,774
Procter & Gamble Co. (The)†    428       69,443
         416,929
Insurance — 6.7%
Aon PLC, Class A (Ireland)    184       61,404
Brown & Brown, Inc.†    970       84,914
Marsh & McLennan Cos., Inc.†    711      146,452
Willis Towers Watson PLC (Ireland)    338       92,950
         385,720
Materials — 0.2%
Packaging Corp. of America     18        3,416
Sherwin-Williams Co. (The)      1          347
Vulcan Materials Co.     19        5,186
           8,949
Media & Entertainment — 8.9%
Alphabet, Inc., Class A†*  1,140      172,060
Charter Communications, Inc., Class A†*     13        3,778
Comcast Corp., Class A†    342       14,826
Electronic Arts, Inc.†    342       45,373
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Media & Entertainment — (Continued)
Interpublic Group of Cos., Inc. (The)  1,232   $     40,200
Meta Platforms, Inc., Class A†    235      114,111
Netflix, Inc.†*    105       63,770
Omnicom Group, Inc.†    560       54,186
Take-Two Interactive Software, Inc.†*     16        2,376
         510,680
Pharmaceuticals, Biotechnology & Life Sciences — 4.8%
AbbVie, Inc.    242       44,068
Amgen, Inc.†    247       70,227
Bio-Rad Laboratories, Inc., Class A*     36       12,451
Bristol-Myers Squibb Co.†    151        8,189
Danaher Corp.†     68       16,981
Gilead Sciences, Inc.    246       18,019
Illumina, Inc.†*     15        2,060
Johnson & Johnson†    288       45,559
Merck & Co., Inc.†    424       55,947
         273,501
Semiconductors & Semiconductor Equipment — 8.7%
Applied Materials, Inc.†    692      142,711
Broadcom, Inc.†    124      164,351
KLA Corp.†    139       97,101
Lam Research Corp.†     29       28,176
QUALCOMM, Inc.    279       47,235
Skyworks Solutions, Inc.    213       23,072
         502,646
Software & Services — 10.0%
Accenture PLC, Class A (Ireland)    158       54,764
Akamai Technologies, Inc.†*     29        3,154
Gen Digital, Inc.†    564       12,634
International Business Machines Corp.†    469       89,560
Microsoft Corp.†    656      275,992
Roper Technologies, Inc.†     10        5,609
Salesforce, Inc.†    273       82,222
VeriSign, Inc.*    275       52,115
         576,050
Technology Hardware & Equipment — 17.5%
Apple, Inc.†  1,413      242,301
CDW Corp.†    213       54,481
Cisco Systems, Inc.†  2,102      104,911
F5, Inc.†*    563      106,739
HP, Inc.†  1,110       33,544
Jabil, Inc.  1,052      140,916
Juniper Networks, Inc.†  2,810      104,139
 
The accompanying notes are an integral part of the financial statements.
222

 

Table of Contents
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Technology Hardware & Equipment — (Continued)
Keysight Technologies, Inc.†*    385   $     60,206
Motorola Solutions, Inc.    181       64,251
NetApp, Inc.†    883       92,689
       1,004,177
Telecommunication Services — 3.8%
AT&T, Inc.†  1,415       24,904
T-Mobile US, Inc.    803      131,066
Verizon Communications, Inc.†  1,527       64,073
         220,043
Transportation — 2.1%
American Airlines Group, Inc.†*  1,584       24,314
Delta Air Lines, Inc.†    372       17,808
Expeditors International of Washington, Inc.†     54        6,565
FedEx Corp.†    253       73,304
         121,991
Utilities — 1.0%
NRG Energy, Inc.    818       55,370
TOTAL COMMON STOCKS
(Cost $6,261,423) 		     7,925,405
 
TOTAL LONG POSITIONS - 138.0%
(Cost $6,261,423) 		     7,925,405
SHORT POSITIONS — (39.7)%
COMMON STOCKS — (39.7)%
Automobiles & Components — (0.3)%
Ford Motor Co.   (595)        (7,902)
Tesla, Inc.*    (64)      (11,250)
         (19,152)
Capital Goods — (0.7)%
Axon Enterprise, Inc.*    (70)       (21,902)
Boeing Co. (The)*    (49)        (9,456)
Rockwell Automation, Inc.    (40)      (11,653)
         (43,011)
Commercial & Professional Services — (0.8)%
Dayforce, Inc.*   (552)       (36,548)
Equifax, Inc.    (14)        (3,745)
Paycom Software, Inc.    (19)       (3,781)
         (44,074)
Consumer Discretionary Distribution & Retail — (0.2)%
CarMax, Inc.*    (30)        (2,614)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Discretionary Distribution & Retail — (Continued)
Ross Stores, Inc.    (12)   $     (1,761)
Tractor Supply Co.    (17)       (4,449)
          (8,824)
Consumer Durables & Apparel — (0.7)%
Lululemon Athletica, Inc.*    (96)       (37,502)
Ralph Lauren Corp.     (7)        (1,314)
VF Corp.   (269)       (4,127)
         (42,943)
Consumer Services — (1.6)%
Airbnb, Inc., Class A*   (137)       (22,600)
Carnival Corp. (Panama)* (1,151)       (18,807)
Chipotle Mexican Grill, Inc.*     (1)        (2,907)
Norwegian Cruise Line Holdings Ltd. (Bermuda)* (1,335)       (27,942)
Royal Caribbean Cruises Ltd. (Liberia)*   (142)      (19,739)
         (91,995)
Energy — (0.6)%
ONEOK, Inc.   (235)       (18,840)
Targa Resources Corp.    (28)        (3,136)
Valero Energy Corp.    (20)        (3,414)
Williams Cos., Inc. (The)   (181)       (7,053)
         (32,443)
Equity Real Estate Investment Trusts (REITs) — (1.3)%
American Tower Corp.    (66)       (13,041)
Crown Castle, Inc.    (17)        (1,799)
Equinix, Inc.    (35)       (28,887)
Iron Mountain, Inc.   (173)       (13,876)
SBA Communications Corp.    (52)       (11,269)
Ventas, Inc.    (67)       (2,917)
         (71,789)
Financial Services — (0.6)%
Fidelity National Information Services, Inc.    (93)        (6,899)
Jack Henry & Associates, Inc.    (47)        (8,165)
MSCI, Inc.    (30)      (16,814)
         (31,878)
Food, Beverage & Tobacco — (0.5)%
Lamb Weston Holdings, Inc.   (260)       (27,698)
Monster Beverage Corp.*    (56)       (3,320)
         (31,018)
Health Care Equipment & Services — (4.0)%
Align Technology, Inc.*    (55)       (18,036)
 
The accompanying notes are an integral part of the financial statements.
223

 

Table of Contents
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
Boston Scientific Corp.*    (42)   $     (2,877)
Cooper Cos., Inc. (The)   (215)       (21,814)
DENTSPLY SIRONA, Inc.    (52)        (1,726)
Dexcom, Inc.*   (247)       (34,259)
Edwards Lifesciences Corp.*   (211)       (20,163)
Henry Schein, Inc.*   (215)       (16,237)
IDEXX Laboratories, Inc.*    (42)       (22,677)
Insulet Corp.*   (190)       (32,566)
Intuitive Surgical, Inc.*    (71)       (28,335)
STERIS PLC (Ireland)   (104)       (23,381)
Stryker Corp.    (23)       (8,231)
        (230,302)
Household & Personal Products — (0.1)%
Estee Lauder Cos., Inc. (The), Class A    (36)       (5,549)
Insurance — (0.3)%
Everest Group Ltd. (Bermuda)    (43)      (17,093)
Materials — (1.5)%
Air Products and Chemicals, Inc.    (66)       (15,990)
Albemarle Corp.    (88)       (11,593)
CF Industries Holdings, Inc.   (122)       (10,152)
Freeport-McMoRan, Inc.   (445)       (20,924)
Newmont Corp.   (798)      (28,600)
         (87,259)
Media & Entertainment — (0.1)%
Fox Corp., Class A   (242)       (7,567)
Pharmaceuticals, Biotechnology & Life Sciences — (3.5)%
Biogen, Inc.*    (32)        (6,900)
Bio-Techne Corp.   (369)       (25,974)
Catalent, Inc.*   (575)       (32,459)
Charles River Laboratories International, Inc.*    (86)       (23,302)
Eli Lilly & Co.    (15)       (11,669)
IQVIA Holdings, Inc.*    (21)        (5,310)
Moderna, Inc.*   (202)       (21,525)
Pfizer, Inc.   (324)        (8,991)
Revvity, Inc.    (92)        (9,660)
Waters Corp.*    (12)        (4,131)
West Pharmaceutical Services, Inc.   (103)       (40,758)
Zoetis, Inc.    (70)      (11,845)
        (202,524)
Real Estate Management & Development — (0.5)%
CoStar Group, Inc.*   (314)      (30,332)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Semiconductors & Semiconductor Equipment — (5.0)%
Advanced Micro Devices, Inc.*   (262)   $    (47,288)
Analog Devices, Inc.   (130)       (25,713)
Enphase Energy, Inc.*    (81)        (9,799)
First Solar, Inc.*   (173)       (29,202)
Intel Corp.   (834)       (36,838)
Monolithic Power Systems, Inc.    (50)       (33,871)
NVIDIA Corp.    (49)       (44,275)
ON Semiconductor Corp.*   (352)       (25,890)
Teradyne, Inc.   (128)       (14,442)
Texas Instruments, Inc.   (118)      (20,557)
        (287,875)
Software & Services — (3.7)%
Adobe, Inc.*    (13)        (6,560)
Autodesk, Inc.*   (103)       (26,823)
Fair Isaac Corp.*     (5)        (6,248)
Fortinet, Inc.*   (434)       (29,647)
Intuit, Inc.    (36)       (23,400)
Oracle Corp.   (166)       (20,851)
Palo Alto Networks, Inc.*   (132)       (37,505)
PTC, Inc.*    (42)        (7,935)
ServiceNow, Inc.*    (35)       (26,684)
Tyler Technologies, Inc.*    (62)      (26,351)
        (212,004)
Technology Hardware & Equipment — (2.3)%
Arista Networks, Inc.*    (92)       (26,678)
Seagate Technology Holdings PLC (Ireland)   (157)       (14,609)
Super Micro Computer, Inc.*    (44)       (44,441)
Trimble, Inc.*    (52)        (3,347)
Western Digital Corp.*   (419)       (28,592)
Zebra Technologies Corp., Class A*    (54)      (16,278)
        (133,945)
Transportation — (1.9)%
JB Hunt Transport Services, Inc.   (153)       (30,485)
Old Dominion Freight Line, Inc.    (97)       (21,273)
Southwest Airlines Co.   (576)       (16,813)
Uber Technologies, Inc.*   (306)       (23,559)
United Airlines Holdings, Inc.*   (344)      (16,471)
        (108,601)
Utilities — (9.5)%
AES Corp. (The) (1,064)       (19,077)
Alliant Energy Corp.   (637)       (32,105)
Ameren Corp.   (315)       (23,297)
American Electric Power Co., Inc.    (55)        (4,735)
 
The accompanying notes are an integral part of the financial statements.
224

 

Table of Contents
GOTHAM HEDGED CORE FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
American Water Works Co., Inc.   (202)   $    (24,686)
Atmos Energy Corp.   (224)       (26,627)
CenterPoint Energy, Inc.   (896)       (25,527)
CMS Energy Corp.   (437)       (26,369)
Consolidated Edison, Inc.   (105)        (9,535)
Constellation Energy Corp.    (49)        (9,058)
Dominion Energy, Inc.   (481)       (23,660)
DTE Energy Co.   (241)       (27,026)
Edison International   (311)       (21,997)
Evergy, Inc.   (276)       (14,733)
Eversource Energy   (349)       (20,860)
Exelon Corp.   (715)       (26,863)
FirstEnergy Corp.   (487)       (18,808)
NextEra Energy, Inc.   (315)       (20,132)
NiSource, Inc. (1,106)       (30,592)
Pinnacle West Capital Corp.   (432)       (32,283)
PPL Corp.     (8)          (220)
Public Service Enterprise Group, Inc.   (250)       (16,695)
Sempra   (401)       (28,804)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
Southern Co. (The)   (254)   $    (18,222)
WEC Energy Group, Inc.   (267)       (21,926)
Xcel Energy, Inc.   (363)      (19,511)
        (543,348)
TOTAL COMMON STOCKS
(Proceeds $2,320,250) 		    (2,283,526)
 
TOTAL SHORT POSITIONS - (39.7)%
(Proceeds $2,320,250) 		  (2,283,526)
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.7%        100,452
NET ASSETS - 100.0%     $ 5,742,331
† Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements)
* Non-income producing.
PLC Public Limited Company
 
The accompanying notes are an integral part of the financial statements.
225

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 95.0%
Automobiles & Components — 0.4%
BorgWarner, Inc.  1,756   $     61,003
Capital Goods — 7.8%
A. O. Smith Corp.    481       43,030
Builders FirstSource, Inc.(a)*    944      196,871
Carrier Global Corp.    180       10,463
Caterpillar, Inc.     21        7,695
Fastenal Co.    301       23,219
General Electric Co.(a)  1,133      198,876
Honeywell International, Inc.    406       83,332
Illinois Tool Works, Inc.     30        8,050
Ingersoll Rand, Inc.    330       31,334
Johnson Controls International PLC (Ireland)     32        2,090
Lockheed Martin Corp.    388      176,490
Masco Corp.  1,323      104,358
Northrop Grumman Corp.     19        9,095
Otis Worldwide Corp.    246       24,420
Pentair PLC (Ireland)     54        4,614
Snap-on, Inc.(a)    634      187,803
Textron, Inc.  1,136      108,976
Trane Technologies PLC (Ireland)    249       74,750
WW Grainger, Inc.     44       44,761
       1,340,227
Commercial & Professional Services — 2.0%
Automatic Data Processing, Inc.     50       12,487
Copart, Inc.*  1,018       58,963
Jacobs Solutions, Inc.    743      114,221
Leidos Holdings, Inc.    712       93,336
Republic Services, Inc.    364       69,684
         348,691
Consumer Discretionary Distribution & Retail — 3.6%
Amazon.com, Inc.(a)*    896      161,620
AutoZone, Inc.*      9       28,365
Best Buy Co., Inc.     52        4,266
eBay, Inc.(a)  1,742       91,943
Genuine Parts Co.  1,037      160,662
Home Depot, Inc. (The)    153       58,691
LKQ Corp.     61        3,258
Lowe's Cos., Inc.    153       38,974
TJX Cos., Inc. (The)    310       31,440
Ulta Beauty, Inc.*     68       35,556
         614,775
Consumer Durables & Apparel — 3.1%
Deckers Outdoor Corp.*     69       64,947
Garmin Ltd. (Switzerland)  1,739      258,885
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Durables & Apparel — (Continued)
Hasbro, Inc.     82   $      4,635
PulteGroup, Inc.    661       79,730
Tapestry, Inc.  2,478      117,655
         525,852
Consumer Services — 2.8%
Booking Holdings, Inc.(a)     62      224,929
Marriott International, Inc., Class A(a)    393       99,158
McDonald's Corp.    289       81,483
MGM Resorts International*    128        6,043
Wynn Resorts Ltd.     43        4,396
Yum! Brands, Inc.    432       59,897
         475,906
Consumer Staples Distribution & Retail — 1.0%
Kroger Co. (The)(a)  2,992      170,933
Sysco Corp.     84        6,819
         177,752
Energy — 0.8%
Baker Hughes Co.    705       23,618
ConocoPhillips     36        4,582
Marathon Petroleum Corp.     72       14,508
Phillips 66    139       22,704
Pioneer Natural Resources Co.    287       75,337
         140,749
Financial Services — 5.9%
Berkshire Hathaway, Inc., Class B(a)*    548      230,445
Cboe Global Markets, Inc.  1,283      235,726
CME Group, Inc.    186       40,044
Corpay, Inc.*    259       79,912
Fiserv, Inc.(a)*  1,247      199,295
Mastercard, Inc., Class A     92       44,304
PayPal Holdings, Inc.*  1,420       95,126
Visa, Inc., Class A    285       79,538
       1,004,390
Food, Beverage & Tobacco — 10.7%
Altria Group, Inc.(a)  4,776      208,329
Archer-Daniels-Midland Co.  1,264       79,392
Bunge Global SA (Switzerland)     70        7,176
Campbell Soup Co.(a)  3,053      135,706
Coca-Cola Co. (The)(a)  2,533      154,969
Conagra Brands, Inc.  3,259       96,597
General Mills, Inc.(a)  2,337      163,520
Hershey Co. (The)    307       59,712
Hormel Foods Corp.  1,201       41,903
Kellanova (a)  2,084      119,392
 
The accompanying notes are an integral part of the financial statements.
226

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Food, Beverage & Tobacco — (Continued)
Keurig Dr Pepper, Inc.(a)  4,391   $    134,672
Kraft Heinz Co. (The)(a)  4,868      179,629
McCormick & Co., Inc., non-voting shares    425       32,644
Molson Coors Beverage Co., Class B(a)  2,574      173,102
Mondelez International, Inc., Class A(a)  2,180      152,600
Philip Morris International, Inc.  1,128      103,347
       1,842,690
Health Care Equipment & Services — 7.9%
Abbott Laboratories    258       29,324
Baxter International, Inc.    232        9,916
Cardinal Health, Inc.(a)  1,848      206,791
Cencora, Inc.(a)    761      184,916
Centene Corp.*    306       24,015
Cigna Group (The)    286      103,872
CVS Health Corp.    504       40,199
DaVita, Inc.*    586       80,897
GE HealthCare Technologies, Inc.(a)    729       66,274
Humana, Inc.    569      197,284
McKesson Corp.(a)    447      239,972
Molina Healthcare, Inc.(a)*    234       96,134
Quest Diagnostics, Inc.    445       59,234
UnitedHealth Group, Inc.     49       24,240
       1,363,068
Household & Personal Products — 4.7%
Church & Dwight Co., Inc.     61        6,363
Clorox Co. (The)    178       27,254
Colgate-Palmolive Co.(a)  1,932      173,977
Kenvue, Inc.(a) 10,812      232,025
Kimberly-Clark Corp.(a)  1,548      200,234
Procter & Gamble Co. (The)(a)  1,058      171,660
         811,513
Insurance — 4.1%
Aon PLC, Class A (Ireland)    421      140,496
Brown & Brown, Inc.  1,325      115,991
Marsh & McLennan Cos., Inc.(a)  1,297      267,156
Willis Towers Watson PLC (Ireland)    630      173,250
         696,893
Materials — 0.8%
International Paper Co.     48        1,873
Nucor Corp.      1          198
Packaging Corp. of America    194       36,817
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
PPG Industries, Inc.     83   $     12,027
Sherwin-Williams Co. (The)    111       38,554
Vulcan Materials Co.    182       49,671
         139,140
Media & Entertainment — 6.0%
Alphabet, Inc., Class A(a)*  1,747      263,675
Charter Communications, Inc., Class A*     16        4,650
Comcast Corp., Class A(a)  1,614       69,967
Electronic Arts, Inc.    756      100,298
Interpublic Group of Cos., Inc. (The)(a)  3,605      117,631
Match Group, Inc.*    119        4,317
Meta Platforms, Inc., Class A(a)    388      188,405
Netflix, Inc.(a)*    194      117,822
News Corp., Class A    755       19,766
Omnicom Group, Inc.(a)  1,425      137,883
Take-Two Interactive Software, Inc.*     26        3,861
       1,028,275
Pharmaceuticals, Biotechnology & Life Sciences — 3.6%
AbbVie, Inc.    606      110,353
Amgen, Inc.    320       90,982
Bristol-Myers Squibb Co.(a)  1,091       59,165
Danaher Corp.    109       27,219
Gilead Sciences, Inc.    991       72,591
Illumina, Inc.*     25        3,433
Incyte Corp.*     82        4,672
Johnson & Johnson(a)    776      122,755
Merck & Co., Inc.    975      128,651
Vertex Pharmaceuticals, Inc.*      5        2,090
         621,911
Semiconductors & Semiconductor Equipment — 6.9%
Applied Materials, Inc.(a)  1,494      308,108
Broadcom, Inc.(a)    257      340,630
KLA Corp.(a)    252      176,040
Lam Research Corp.(a)     70       68,010
NXP Semiconductors NV (Netherlands)      1          248
QUALCOMM, Inc.  1,133      191,817
Skyworks Solutions, Inc.(a)    995      107,778
       1,192,631
Software & Services — 5.9%
Accenture PLC, Class A (Ireland)    518      179,544
Adobe, Inc.*     51       25,735
 
The accompanying notes are an integral part of the financial statements.
227

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — (Continued)
Akamai Technologies, Inc.*    209   $     22,731
Gen Digital, Inc.(a)  2,276       50,982
International Business Machines Corp.(a)    896      171,100
Microsoft Corp.(a)    796      334,893
Roper Technologies, Inc.     16        8,973
Salesforce, Inc.(a)    398      119,870
VeriSign, Inc.*    503       95,324
       1,009,152
Technology Hardware & Equipment — 12.5%
Apple, Inc.(a)  2,505      429,557
CDW Corp.    590      150,910
Cisco Systems, Inc.(a)  5,363      267,667
F5, Inc.*  1,099      208,359
HP, Inc.  2,948       89,089
Jabil, Inc.(a)  2,269      303,933
Juniper Networks, Inc.(a)  5,075      188,079
Keysight Technologies, Inc.*    760      118,849
Motorola Solutions, Inc.    410      145,542
NetApp, Inc.(a)  1,839      193,040
Seagate Technology Holdings PLC (Ireland)    635       59,087
TE Connectivity Ltd. (Switzerland)     17        2,469
       2,156,581
Telecommunication Services — 2.3%
AT&T, Inc.  2,953       51,973
T-Mobile US, Inc.(a)  1,366      222,958
Verizon Communications, Inc.(a)  3,009      126,258
         401,189
Transportation — 1.5%
CH Robinson Worldwide, Inc.     26        1,980
Delta Air Lines, Inc.  2,081       99,617
Expeditors International of Washington, Inc.     75        9,118
FedEx Corp.(a)    523      151,534
         262,249
Utilities — 0.7%
NRG Energy, Inc.  1,821      123,263
TOTAL COMMON STOCKS
(Cost $13,288,825) 		    16,337,900
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0%        867,648
NET ASSETS - 100.0%     $ 17,205,548
(a) Security position is either entirely or partially designated as collateral for total return swaps. (See Note 1 of the Notes to Financial Statements)
* Non-income producing.
PLC Public Limited Company
 
The accompanying notes are an integral part of the financial statements.
228

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
The portfolio matures between August 29, 2024 and January 12, 2029, however underlying individual contracts are entered into and closed (terminated) on a daily basis. The maturity date shown in the table below is the earliest maturity date for the specific entity. The following table represents the individual long and short positions and related values of total return swaps, which represents 3.8% of net assets as of March 31, 2024:
Total Return Swaps
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Long                                
Automobiles & Components                            
BorgWarner, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,762   $ 63,476   $ 61,212   $ 36
Capital Goods                            
A. O. Smith Corp.   USFF +0.250%   Weekly   MS   01/10/28   481   31,997   43,030   12,777
Builders FirstSource, Inc.   USFF +0.250%   Weekly   MS   07/11/28   997   163,419   207,924   51,034
Carrier Global Corp.   USFF +0.250%   Weekly   MS   07/11/28   177   8,194   10,289   2,567
Caterpillar, Inc.   USFF +0.250%   Weekly   MS   01/12/29   19   6,498   6,962   988
Fastenal Co.   USFF +0.250%   Weekly   MS   07/11/28   317   19,666   24,453   5,813
General Electric Co.   USFF +0.250%   Weekly   MS   01/10/28   1,077   106,682   189,046   86,667
Honeywell International, Inc.   USFF +0.250%   Weekly   MS   01/12/29   400   78,080   82,100   7,844
Illinois Tool Works, Inc.   USFF +0.250%   Weekly   MS   01/12/29   30   7,687   8,050   1,099
Ingersoll Rand, Inc.   USFF +0.250%   Weekly   MS   01/12/29   330   31,000   31,333   1,667
Johnson Controls International PLC (Ireland)   USFF +0.250%   Weekly   MS   07/11/28   31   1,616   2,025   1,049
Lockheed Martin Corp.   USFF +0.250%   Weekly   MS   08/29/24   376   160,911   171,031   23,481
Masco Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,342   89,031   105,857   21,010
Northrop Grumman Corp.   USFF +0.250%   Weekly   MS   01/05/26   23   8,180   11,009   4,100
Otis Worldwide Corp.   USFF +0.250%   Weekly   MS   01/12/29   223   21,279   22,137   1,819
Pentair PLC (Ireland)   USFF +0.250%   Weekly   MS   07/08/27   53   3,071   4,528   1,695
Snap-on, Inc.   USFF +0.250%   Weekly   MS   01/10/28   613   152,269   181,583   40,286
Textron, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,100   95,841   105,523   13,570
Trane Technologies PLC (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   249   67,576   74,750   10,161
WW Grainger, Inc.   USFF +0.250%   Weekly   MS   01/10/28   42   28,209   42,727   17,653
                    7,880   1,081,206   1,324,357   305,280
Commercial & Professional
Services 		                           
Automatic Data Processing, Inc.   USFF +0.250%   Weekly   MS   01/12/29   49   11,904   12,237   1,179
Copart, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,004   39,006   58,152   20,793
Jacobs Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   740   107,118   113,760   10,964
Leidos Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   692   78,192   90,714   16,001
Republic Services, Inc.   USFF +0.250%   Weekly   MS   07/11/28   359   52,443   68,727   18,844
                    2,844   288,663   343,590   67,781
The accompanying notes are an integral part of the financial statements.
229

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Discretionary
Distribution & Retail 		                           
Amazon.com, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,966   $ 203,807   $ 354,627   $ 162,942
AutoZone, Inc.   USFF +0.250%   Weekly   MS   07/11/28   7   17,780   22,062   5,096
Best Buy Co., Inc.   USFF +0.250%   Weekly   MS   08/29/24   24   1,642   1,969   709
eBay, Inc.   USFF +0.250%   Weekly   MS   08/29/24   1,747   70,278   92,207   28,223
Genuine Parts Co.   USFF +0.250%   Weekly   MS   07/11/28   1,018   133,668   157,719   31,576
Home Depot, Inc. (The)   USFF +0.250%   Weekly   MS   07/11/28   144   48,978   55,238   8,611
LKQ Corp.   USFF +0.250%   Weekly   MS   07/11/28   65   2,857   3,472   879
Lowe's Cos., Inc.   USFF +0.250%   Weekly   MS   08/29/24   154   28,787   39,228   12,767
TJX Cos., Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   296   23,505   30,020   8,348
Ulta Beauty, Inc.   USFF +0.250%   Weekly   MS   01/10/28   71   29,242   37,124   9,147
                    5,492   560,544   793,666   268,298
Consumer Durables & Apparel                            
Deckers Outdoor Corp.   USFF +0.250%   Weekly   MS   01/12/29   68   61,708   64,006   5,144
Garmin Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   01/10/28   1,726   180,380   256,950   87,490
Hasbro, Inc.   USFF +0.250%   Weekly   MS   01/12/29   66   3,308   3,730   887
PulteGroup, Inc.   USFF +0.250%   Weekly   MS   01/10/28   643   45,805   77,559   34,012
Tapestry, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,455   68,789   116,563   52,324
                    4,958   359,990   518,808   179,857
Consumer Services                            
Booking Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   53   158,039   192,278   42,423
Marriott International, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   389   67,457   98,149   33,455
McDonald's Corp.   USFF +0.250%   Weekly   MS   08/29/24   286   76,300   80,638   9,813
MGM Resorts International   USFF +0.250%   Weekly   MS   01/07/27   123   4,360   5,807   1,735
Wynn Resorts Ltd.   USFF +0.250%   Weekly   MS   01/12/29   40   4,016   4,089   349
Yum! Brands, Inc.   USFF +0.250%   Weekly   MS   01/10/28   438   55,294   60,729   8,896
                    1,329   365,466   441,690   96,671
Consumer Staples Distribution &
Retail 		                           
Kroger Co. (The)   USFF +0.250%   Weekly   MS   01/10/28   2,984   135,484   170,476   49,431
Sysco Corp.   USFF +0.250%   Weekly   MS   08/29/24   86   5,526   6,981   2,433
                    3,070   141,010   177,457   51,864
Energy                            
Baker Hughes Co.   USFF +0.250%   Weekly   MS   07/08/27   824   21,410   27,604   7,373
ConocoPhillips   USFF +0.250%   Weekly   MS   01/10/28   36   3,613   4,582   1,338
Marathon Petroleum Corp.   USFF +0.250%   Weekly   MS   07/06/26   71   8,527   14,306   6,725
Phillips 66   USFF +0.250%   Weekly   MS   07/11/28   147   18,332   24,011   7,201
Pioneer Natural Resources Co.   USFF +0.250%   Weekly   MS   01/10/28   281   65,323   73,762   13,003
                    1,359   117,205   144,265   35,640
The accompanying notes are an integral part of the financial statements.
230

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Financial Services                            
Berkshire Hathaway, Inc., Class B   USFF +0.250%   Weekly   MS   08/29/24   237   $ 60,117   $ 99,663   $ 43,658
Cboe Global Markets, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,220   174,776   224,151   58,932
CME Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   179   38,343   38,537   1,972
Corpay, Inc.   USFF +0.250%   Weekly   MS   07/08/27   249   63,906   76,826   15,540
Fiserv, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,241   166,125   198,337   38,887
Mastercard, Inc., Class A   USFF +0.250%   Weekly   MS   08/29/24   166   46,107   79,941   37,743
PayPal Holdings, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,402   72,148   93,920   24,720
Visa, Inc., Class A   USFF +0.250%   Weekly   MS   08/29/24   285   66,979   79,538   16,815
                    4,979   688,501   890,913   238,267
Food, Beverage & Tobacco                            
Altria Group, Inc.   USFF +0.250%   Weekly   MS   08/29/24   4,640   195,580   202,397   42,581
Archer-Daniels-Midland Co.   USFF +0.250%   Weekly   MS   01/12/29   1,246   66,857   78,261   14,604
Bunge Global SA (Switzerland)   USFF +0.250%   Weekly   MS   01/12/29   63   6,193   6,459   678
Campbell Soup Co.   USFF +0.250%   Weekly   MS   07/06/26   3,206   152,345   142,507   75
Coca-Cola Co. (The)   USFF +0.250%   Weekly   MS   07/06/26   2,532   144,479   154,908   22,219
Conagra Brands, Inc.   USFF +0.250%   Weekly   MS   07/11/28   3,227   95,855   95,648   6,961
General Mills, Inc.   USFF +0.250%   Weekly   MS   08/29/24   2,245   151,708   157,083   24,922
Hershey Co. (The)   USFF +0.250%   Weekly   MS   01/05/26   310   58,607   60,295   5,043
Hormel Foods Corp.   USFF +0.250%   Weekly   MS   07/11/28   1,158   36,428   40,403   5,859
Kellanova   USFF -0.250%   Weekly   MS   01/07/27   1,987   133,311   113,835   (7,813)
Keurig Dr Pepper, Inc.   USFF +0.250%   Weekly   MS   01/10/28   4,304   135,174   132,004   1,561
Kraft Heinz Co. (The)   USFF +0.250%   Weekly   MS   08/29/24   4,825   167,417   178,042   26,540
McCormick & Co., Inc.   USFF +0.250%   Weekly   MS   07/11/28   427   26,097   32,798   7,986
Molson Coors Beverage Co., Class B   USFF +0.250%   Weekly   MS   07/11/28   2,543   159,246   171,017   21,252
Mondelez International, Inc., Class A   USFF +0.250%   Weekly   MS   01/10/28   2,175   148,362   152,250   11,478
Philip Morris International, Inc.   USFF +0.250%   Weekly   MS   08/29/24   1,099   101,299   100,690   8,478
                    35,987   1,778,958   1,818,597   192,424
Health Care Equipment & Services                            
Abbott Laboratories   USFF +0.250%   Weekly   MS   08/29/24   220   21,706   25,005   5,302
Baxter International, Inc.   USFF +0.250%   Weekly   MS   07/11/28   231   7,607   9,873   2,681
Cardinal Health, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,723   161,602   192,804   42,411
Cencora, Inc.   USFF +0.250%   Weekly   MS   01/07/27   726   140,070   176,411   43,588
Centene Corp.   USFF +0.250%   Weekly   MS   01/10/28   300   19,081   23,544   5,429
Cigna Group (The)   USFF +0.250%   Weekly   MS   07/06/26   278   87,005   100,967   19,302
CVS Health Corp.   USFF +0.250%   Weekly   MS   08/29/24   495   33,212   39,481   9,103
DaVita, Inc.   USFF +0.250%   Weekly   MS   07/08/27   581   65,244   80,207   17,623
The accompanying notes are an integral part of the financial statements.
231

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Health Care Equipment & Services
— (continued) 		                           
GE HealthCare Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   720   $ 49,027   $ 65,455   $ 18,469
Humana, Inc.   USFF +0.250%   Weekly   MS   01/12/29   557   199,111   193,123   2,312
McKesson Corp.   USFF +0.250%   Weekly   MS   01/05/26   441   189,801   236,751   55,751
Molina Healthcare, Inc.   USFF +0.250%   Weekly   MS   01/10/28   226   64,400   92,848   34,463
Quest Diagnostics, Inc.   USFF +0.250%   Weekly   MS   01/12/29   456   57,338   60,698   5,824
UnitedHealth Group, Inc.   USFF +0.250%   Weekly   MS   01/12/29   48   23,332   23,746   1,776
                    7,002   1,118,536   1,320,913   264,034
Household & Personal Products                            
Church & Dwight Co., Inc.   USFF +0.250%   Weekly   MS   01/10/28   57   4,909   5,946   1,689
Clorox Co. (The)   USFF +0.250%   Weekly   MS   01/12/29   159   24,052   24,344   3,576
Colgate-Palmolive Co.   USFF +0.250%   Weekly   MS   01/10/28   1,898   148,537   170,915   29,975
Kenvue, Inc.   USFF +0.250%   Weekly   MS   07/11/28   10,683   205,498   229,257   31,939
Kimberly-Clark Corp.   USFF +0.250%   Weekly   MS   01/07/27   1,552   187,439   200,751   32,197
Procter & Gamble Co. (The)   USFF +0.250%   Weekly   MS   07/08/27   1,034   149,201   167,766   32,505
                    15,383   719,636   798,979   131,881
Insurance                            
Aon PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   01/12/29   415   125,771   138,494   18,165
Brown & Brown, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,395   95,605   122,118   32,047
Marsh & McLennan Cos., Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,276   243,342   262,830   30,083
Willis Towers Watson PLC (Ireland)   USFF +0.250%   Weekly   MS   07/11/28   624   164,475   171,600   14,338
                    3,710   629,193   695,042   94,633
Materials                            
International Paper Co.   USFF +0.250%   Weekly   MS   07/11/28   51   1,653   1,990   743
Packaging Corp. of America   USFF +0.250%   Weekly   MS   07/08/27   193   29,931   36,628   9,166
PPG Industries, Inc.   USFF +0.250%   Weekly   MS   01/12/29   79   11,077   11,447   956
Sherwin-Williams Co. (The)   USFF +0.250%   Weekly   MS   07/11/28   107   33,006   37,164   6,156
Vulcan Materials Co.   USFF +0.250%   Weekly   MS   01/12/29   184   49,430   50,217   2,845
                    614   125,097   137,446   19,866
Media & Entertainment                            
Alphabet, Inc., Class A   USFF +0.250%   Weekly   MS   08/29/24   1,688   157,879   254,770   104,491
The accompanying notes are an integral part of the financial statements.
232

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Charter Communications, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   24   $ 7,364   $ 6,975   $ 17
Comcast Corp., Class A   USFF +0.250%   Weekly   MS   07/08/27   1,407   56,450   60,993   14,090
Electronic Arts, Inc.   USFF +0.250%   Weekly   MS   01/10/28   747   89,501   99,104   14,323
Interpublic Group of Cos., Inc. (The)   USFF +0.250%   Weekly   MS   01/10/28   3,491   113,621   113,911   8,263
Match Group, Inc.   USFF +0.250%   Weekly   MS   07/11/28   121   3,447   4,390   1,195
Meta Platforms, Inc., Class A   USFF +0.250%   Weekly   MS   07/08/27   381   125,178   185,006   65,047
Netflix, Inc.   USFF +0.250%   Weekly   MS   01/07/27   196   77,759   119,037   44,446
News Corp., Class A   USFF +0.250%   Weekly   MS   01/12/29   726   18,805   19,007   1,042
Omnicom Group, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,417   115,728   137,109   30,825
Take-Two Interactive Software, Inc.   USFF +0.250%   Weekly   MS   01/07/27   21   2,234   3,118   1,125
                    10,219   767,966   1,003,420   284,864
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
AbbVie, Inc.   USFF +0.250%   Weekly   MS   01/10/28   567   87,577   103,251   20,342
Amgen, Inc.   USFF +0.250%   Weekly   MS   01/10/28   283   64,847   80,463   20,509
Bristol-Myers Squibb Co.   USFF +0.250%   Weekly   MS   07/11/28   869   43,255   47,126   5,496
Danaher Corp.   USFF +0.250%   Weekly   MS   01/07/27   95   20,550   23,723   4,350
Gilead Sciences, Inc.   USFF +0.250%   Weekly   MS   01/12/29   990   72,156   72,517   3,725
Illumina, Inc.   USFF +0.250%   Weekly   MS   08/29/24   19   5,688   2,609   (2,738)
Incyte Corp.   USFF +0.250%   Weekly   MS   07/11/28   89   4,622   5,070   747
Johnson & Johnson   USFF +0.250%   Weekly   MS   08/29/24   774   118,080   122,439   18,068
Merck & Co., Inc.   USFF +0.250%   Weekly   MS   07/06/26   961   114,449   126,804   19,653
Vertex Pharmaceuticals, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5   1,733   2,090   4,526
                    4,652   532,957   586,092   94,678
Semiconductors & Semiconductor
Equipment 		                           
Applied Materials, Inc.   USFF +0.250%   Weekly   MS   01/07/27   1,419   181,696   292,640   120,647
Broadcom, Inc.   USFF +0.250%   Weekly   MS   07/08/27   247   157,133   327,376   176,526
KLA Corp.   USFF +0.250%   Weekly   MS   07/08/27   242   96,817   169,054   77,711
Lam Research Corp.   USFF +0.250%   Weekly   MS   07/08/27   66   50,164   64,124   20,467
QUALCOMM, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,125   172,368   190,462   24,570
Skyworks Solutions, Inc.   USFF +0.250%   Weekly   MS   01/10/28   981   97,619   106,262   12,530
                    4,080   755,797   1,149,918   432,451
Software & Services                            
Accenture PLC, Class A (Ireland)   USFF +0.250%   Weekly   MS   07/11/28   442   148,302   153,202   10,538
The accompanying notes are an integral part of the financial statements.
233

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Adobe, Inc.   USFF +0.250%   Weekly   MS   01/12/29   50   $ 24,872   $ 25,230   $ 1,099
Akamai Technologies, Inc.   USFF +0.250%   Weekly   MS   01/10/28   210   16,487   22,840   7,117
Gen Digital, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,271   37,738   50,870   19,813
International Business Machines Corp.   USFF +0.250%   Weekly   MS   01/10/28   894   111,493   170,718   69,580
Microsoft Corp.   USFF +0.250%   Weekly   MS   08/29/24   1,252   248,785   526,741   305,945
Roper Technologies, Inc.   USFF +0.250%   Weekly   MS   08/29/24   14   5,583   7,852   2,722
Salesforce, Inc.   USFF +0.250%   Weekly   MS   07/08/27   412   83,085   124,086   44,378
VeriSign, Inc.   USFF +0.250%   Weekly   MS   07/11/28   507   98,735   96,082   1,338
                    6,052   775,080   1,177,621   462,530
Technology Hardware & Equipment                            
Apple, Inc.   USFF +0.250%   Weekly   MS   08/29/24   1,756   119,422   301,119   195,911
CDW Corp.   USFF +0.250%   Weekly   MS   01/10/28   584   98,159   149,376   56,534
Cisco Systems, Inc.   USFF +0.250%   Weekly   MS   08/29/24   5,035   232,391   251,297   46,324
F5, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,062   180,972   201,345   27,576
HP, Inc.   USFF +0.250%   Weekly   MS   01/10/28   2,874   78,834   86,852   14,348
Jabil, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,237   287,498   299,646   23,582
Juniper Networks, Inc.   USFF +0.250%   Weekly   MS   07/11/28   5,021   136,837   186,078   58,234
Keysight Technologies, Inc.   USFF +0.250%   Weekly   MS   07/11/28   749   93,088   117,129   27,810
Motorola Solutions, Inc.   USFF +0.250%   Weekly   MS   01/12/29   404   130,688   143,412   19,022
NetApp, Inc.   USFF +0.250%   Weekly   MS   07/08/27   1,822   136,100   191,255   62,904
Seagate Technology Holdings PLC (Ireland)   USFF +0.250%   Weekly   MS   01/10/28   633   35,310   58,901   25,094
TE Connectivity Ltd. (Switzerland)   USFF +0.250%   Weekly   MS   07/11/28   19   2,241   2,760   1,053
                    22,196   1,531,540   1,989,170   558,392
Telecommunication Services                            
AT&T, Inc.   USFF +0.250%   Weekly   MS   07/08/27   2,937   44,455   51,691   10,959
T-Mobile US, Inc.   USFF +0.250%   Weekly   MS   01/10/28   1,349   189,195   220,184   40,182
Verizon Communications, Inc.   USFF +0.250%   Weekly   MS   07/11/28   2,965   98,252   124,411   31,870
                    7,251   331,902   396,286   83,011
Transportation                            
CH Robinson Worldwide, Inc.   USFF +0.250%   Weekly   MS   01/12/29   44   3,171   3,350   444
Delta Air Lines, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,953   70,900   93,490   25,864
The accompanying notes are an integral part of the financial statements.
234

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Pay   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
Long 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Transportation — (continued)                            
Expeditors International of Washington, Inc.   USFF +0.250%   Weekly   MS   08/29/24   77   $ 8,149   $ 9,361   $ 3,150
FedEx Corp.   USFF +0.250%   Weekly   MS   01/10/28   500   115,366   144,870   36,646
                    2,574   197,586   251,071   66,104
Utilities                            
NRG Energy, Inc.   USFF +0.250%   Weekly   MS   07/11/28   1,807   108,524   122,316   18,227
Total Reference Entity — Long           13,038,833   16,142,829   3,946,789
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Short                                
Automobiles & Components                            
Aptiv PLC (Jersey)   USFF -0.250%   Weekly   MS   07/06/26   (207)   $ (33,395)   $ (16,488)   $ 16,092
Ford Motor Co.   USFF -0.250%   Weekly   MS   01/12/29   (2,071)   (26,488)   (27,503)   (2,268)
Tesla, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (192)   (53,351)   (33,752)   18,225
                    (2,470)   (113,234)   (77,743)   32,049
Capital Goods                            
Axon Enterprise, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (423)   (90,530)   (132,348)   (46,878)
Boeing Co. (The)   USFF -0.250%   Weekly   MS   07/11/28   (305)   (69,542)   (58,862)   8,952
Generac Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (12)   (5,736)   (1,514)   9,450
Rockwell Automation, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (236)   (66,209)   (68,754)   (4,479)
                    (976)   (232,017)   (261,478)   (32,955)
Commercial & Professional
Services 		                           
Dayforce, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (2,994)   (277,993)   (198,233)   72,236
Equifax, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (43)   (10,671)   (11,503)   (1,453)
Paycom Software, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (529)   (187,714)   (105,276)   76,642
                    (3,566)   (476,378)   (315,012)   147,425
Consumer Discretionary
Distribution & Retail 		                           
CarMax, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (14)   (1,208)   (1,220)   72
Etsy, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (101)   (28,981)   (6,941)   21,348
Tractor Supply Co.   USFF -0.250%   Weekly   MS   01/12/29   (181)   (43,829)   (47,371)   (4,946)
                    (296)   (74,018)   (55,532)   16,474
Consumer Durables & Apparel                            
Lululemon Athletica, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (489)   (221,668)   (191,028)   24,564
NIKE, Inc., Class B   USFF -0.250%   Weekly   MS   01/12/29   (675)   (67,630)   (63,437)   4,274
                    (1,164)   (289,298)   (254,465)   28,838
Consumer Services                            
Airbnb, Inc., Class A   USFF -0.250%   Weekly   MS   07/11/28   (733)   (107,704)   (120,916)   (20,345)
The accompanying notes are an integral part of the financial statements.
235

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Consumer Services — (continued)                            
Carnival Corp. (Panama)   USFF -0.250%   Weekly   MS   07/11/28   (4,127)   $ (72,298)   $ (67,435)   $ 2,961
Chipotle Mexican Grill, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (38)   (96,877)   (110,457)   (20,634)
Las Vegas Sands Corp.   USFF -0.250%   Weekly   MS   01/10/28   (8)   (482)   (414)   167
Norwegian Cruise Line Holdings Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (6,861)   (126,806)   (143,601)   (24,793)
Royal Caribbean Cruises Ltd. (Liberia)   USFF -0.250%   Weekly   MS   01/12/29   (866)   (106,070)   (120,383)   (21,424)
                    (12,633)   (510,237)   (563,206)   (84,068)
Consumer Staples Distribution &
Retail 		                           
Dollar Tree, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (329)   (49,988)   (43,806)   4,903
Energy                            
ONEOK, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,582)   (106,546)   (126,829)   (26,569)
Targa Resources Corp.   USFF -0.250%   Weekly   MS   07/11/28   (270)   (23,712)   (30,237)   (10,242)
Williams Cos., Inc. (The)   USFF -0.250%   Weekly   MS   01/12/29   (1,726)   (61,126)   (67,262)   (11,774)
                    (3,578)   (191,384)   (224,328)   (48,585)
Equity Real Estate Investment
Trusts (REITs) 		                           
American Tower Corp.   USFF -0.250%   Weekly   MS   01/12/29   (473)   (96,043)   (93,460)   (70)
Crown Castle, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (112)   (12,468)   (11,853)   188
Equinix, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (217)   (177,936)   (179,097)   (9,693)
Iron Mountain, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (949)   (58,071)   (76,119)   (21,781)
SBA Communications Corp.   USFF -0.250%   Weekly   MS   01/12/29   (333)   (72,153)   (72,161)   (2,585)
                    (2,084)   (416,671)   (432,690)   (33,941)
Financial Services                            
Fidelity National Information Services, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (526)   (34,908)   (39,019)   (6,065)
Jack Henry & Associates, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (288)   (50,186)   (50,034)   (1,280)
MSCI, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (180)   (109,940)   (100,881)   4,283
                    (994)   (195,034)   (189,934)   (3,062)
Food, Beverage & Tobacco                            
Brown-Forman Corp., Class B   USFF -0.250%   Weekly   MS   07/11/28   (196)   (13,806)   (10,118)   3,295
J M Smucker Co. (The)   USFF -0.250%   Weekly   MS   01/12/29   (20)   (2,488)   (2,517)   770
The accompanying notes are an integral part of the financial statements.
236

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Food, Beverage & Tobacco —
(continued) 		                           
Lamb Weston Holdings, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,678)   $ (162,407)   $ (178,757)   $ (21,680)
Monster Beverage Corp.   USFF -0.250%   Weekly   MS   07/11/28   (658)   (38,007)   (39,006)   (2,166)
                    (2,552)   (216,708)   (230,398)   (19,781)
Health Care Equipment & Services                            
Align Technology, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (309)   (154,991)   (101,327)   48,301
Boston Scientific Corp.   USFF -0.250%   Weekly   MS   01/12/29   (647)   (43,437)   (44,313)   (2,528)
Cooper Cos., Inc. (The)   USFF -0.250%   Weekly   MS   07/11/28   (1,447)   (125,594)   (146,813)   (25,657)
DENTSPLY SIRONA, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (117)   (3,859)   (3,883)   (33)
Dexcom, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,722)   (225,685)   (238,841)   (20,973)
Edwards Lifesciences Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,445)   (125,336)   (138,084)   (16,579)
Henry Schein, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (1,448)   (109,364)   (109,353)   (2,928)
IDEXX Laboratories, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (260)   (147,426)   (140,382)   1,594
Insulet Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,108)   (321,318)   (189,911)   122,502
Intuitive Surgical, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (487)   (172,256)   (194,357)   (28,384)
ResMed, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (227)   (54,885)   (44,953)   8,022
STERIS PLC (Ireland)   USFF -0.250%   Weekly   MS   01/07/27   (631)   (136,198)   (141,861)   (10,153)
Stryker Corp.   USFF -0.250%   Weekly   MS   07/11/28   (221)   (74,071)   (79,089)   (9,339)
Teleflex, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (27)   (7,360)   (6,107)   1,128
                    (10,096)   (1,701,780)   (1,579,274)   64,973
Household & Personal Products                            
Estee Lauder Cos., Inc. (The), Class A   USFF -0.250%   Weekly   MS   07/06/26   (195)   (66,327)   (30,059)   33,759
Insurance                            
Everest Re Group Ltd. (Bermuda)   USFF -0.250%   Weekly   MS   07/11/28   (312)   (118,190)   (124,020)   (9,573)
Materials                            
Air Products and Chemicals, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (573)   (162,819)   (138,821)   17,675
Albemarle Corp.   USFF -0.250%   Weekly   MS   07/08/27   (263)   (67,521)   (34,648)   28,159
CF Industries Holdings, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (984)   (80,399)   (81,879)   (3,703)
FMC Corp.   USFF -0.250%   Weekly   MS   01/10/28   (1,188)   (134,015)   (75,676)   51,957
Freeport-McMoRan, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,219)   (100,566)   (104,337)   (7,605)
Newmont Corp.   USFF -0.250%   Weekly   MS   01/10/28   (4,883)   (177,783)   (175,007)   (3,081)
                    (10,110)   (723,103)   (610,368)   83,402
Media & Entertainment                            
Fox Corp., Class A   USFF -0.250%   Weekly   MS   01/12/29   (1,785)   (53,004)   (55,817)   (4,481)
The accompanying notes are an integral part of the financial statements.
237

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Media & Entertainment —
(continued) 		                           
Live Nation Entertainment, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (414)   $ (40,064)   $ (43,789)   $ (5,298)
Paramount Global, Class B   USFF -0.250%   Weekly   MS   01/10/28   (568)   (13,502)   (6,685)   6,325
                    (2,767)   (106,570)   (106,291)   (3,454)
Pharmaceuticals, Biotechnology &
Life Sciences 		                           
Biogen, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (268)   (60,395)   (57,789)   1,518
Bio-Rad Laboratories, Inc., Class A   USFF -0.250%   Weekly   MS   07/06/26   (32)   (25,618)   (11,068)   13,952
Bio-Techne Corp.   USFF -0.250%   Weekly   MS   07/06/26   (2,116)   (238,307)   (148,945)   81,785
Catalent, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (3,587)   (332,946)   (202,486)   121,268
Charles River Laboratories International, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (493)   (144,783)   (133,578)   6,869
Eli Lilly & Co.   USFF -0.250%   Weekly   MS   01/12/29   (146)   (111,692)   (113,582)   (6,313)
IQVIA Holdings, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (124)   (32,441)   (31,358)   55
Moderna, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,615)   (179,244)   (172,094)   2,271
Pfizer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (3,575)   (98,724)   (99,206)   (3,123)
Revvity, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (579)   (61,155)   (60,795)   (1,249)
Waters Corp.   USFF -0.250%   Weekly   MS   07/08/27   (103)   (35,452)   (35,456)   (908)
West Pharmaceutical Services, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (724)   (268,801)   (286,494)   (25,782)
Zoetis, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (479)   (92,496)   (81,052)   8,915
                    (13,841)   (1,682,054)   (1,433,903)   199,258
Real Estate Management &
Development 		                           
CoStar Group, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,894)   (160,297)   (182,960)   (27,025)
Semiconductors & Semiconductor
Equipment 		                           
Advanced Micro Devices, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,847)   (253,061)   (333,365)   (87,257)
Analog Devices, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (951)   (178,016)   (188,098)   (17,831)
Enphase Energy, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (167)   (36,062)   (20,204)   26,210
First Solar, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (940)   (191,044)   (158,672)   29,969
Intel Corp.   USFF -0.250%   Weekly   MS   07/11/28   (5,667)   (245,777)   (250,311)   (15,204)
Monolithic Power Systems, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (339)   (190,547)   (229,645)   (47,979)
NVIDIA Corp.   USFF -0.250%   Weekly   MS   07/11/28   (346)   (181,819)   (312,632)   (136,238)
ON Semiconductor Corp.   USFF -0.250%   Weekly   MS   01/10/28   (2,480)   (221,922)   (182,404)   33,813
Teradyne, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (900)   (96,211)   (101,547)   (8,685)
Texas Instruments, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (881)   (155,216)   (153,479)   (4,293)
                    (14,518)   (1,749,675)   (1,930,357)   (227,495)
Software & Services                            
Autodesk, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (660)   (170,413)   (171,877)   (6,244)
The accompanying notes are an integral part of the financial statements.
238

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
Total Return Swaps (continued)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Software & Services — (continued)                            
Fair Isaac Corp.   USFF -0.250%   Weekly   MS   07/11/28   (45)   $ (54,467)   $ (56,232)   $ (3,170)
Fortinet, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (3,042)   (212,966)   (207,799)   (875)
Intuit, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (237)   (150,897)   (154,050)   (9,534)
Oracle Corp.   USFF -0.250%   Weekly   MS   01/12/29   (1,283)   (154,421)   (161,158)   (11,910)
Palo Alto Networks, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (959)   (271,678)   (272,481)   (9,583)
PTC, Inc.   USFF -0.250%   Weekly   MS   01/05/26   (275)   (47,410)   (51,959)   (6,203)
ServiceNow, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (246)   (168,032)   (187,550)   (26,715)
Tyler Technologies, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (416)   (186,310)   (176,804)   4,074
                    (7,163)   (1,416,594)   (1,439,910)   (70,160)
Technology Hardware & Equipment                            
Arista Networks, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (633)   (151,629)   (183,557)   (38,912)
Super Micro Computer, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (266)   (255,356)   (268,668)   (20,329)
Trimble, Inc.   USFF -0.250%   Weekly   MS   01/12/29   (4)   (258)   (257)   110
Western Digital Corp.   USFF -0.250%   Weekly   MS   01/10/28   (3,100)   (150,636)   (211,544)   (75,364)
Zebra Technologies Corp., Class A   USFF -0.250%   Weekly   MS   07/11/28   (262)   (70,175)   (78,977)   (11,607)
                    (4,265)   (628,054)   (743,003)   (146,102)
Transportation                            
JB Hunt Transport Services, Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,008)   (196,092)   (200,844)   (12,199)
Old Dominion Freight Line, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (632)   (128,257)   (138,604)   (14,274)
Southwest Airlines Co.   USFF -0.250%   Weekly   MS   01/10/28   (2,164)   (78,381)   (63,167)   12,077
Uber Technologies, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,075)   (140,037)   (159,754)   (25,315)
United Airlines Holdings, Inc.   USFF -0.250%   Weekly   MS   01/10/28   (2,209)   (117,091)   (105,767)   8,170
                    (8,088)   (659,858)   (668,136)   (31,541)
Utilities                            
AES Corp. (The)   USFF -0.250%   Weekly   MS   01/10/28   (5,253)   (130,735)   (94,186)   32,778
Alliant Energy Corp.   USFF -0.250%   Weekly   MS   01/07/27   (4,245)   (238,423)   (213,948)   10,552
Ameren Corp.   USFF -0.250%   Weekly   MS   01/10/28   (2,326)   (190,138)   (172,031)   8,704
American Electric Power Co., Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,337)   (125,067)   (115,116)   2,014
American Water Works Co., Inc.   USFF -0.250%   Weekly   MS   07/06/26   (1,220)   (195,347)   (149,096)   35,412
Atmos Energy Corp.   USFF -0.250%   Weekly   MS   07/08/27   (1,652)   (192,134)   (196,373)   (13,954)
CenterPoint Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (6,399)   (184,530)   (182,308)   (6,673)
CMS Energy Corp.   USFF -0.250%   Weekly   MS   01/10/28   (3,191)   (190,186)   (192,545)   (7,894)
Consolidated Edison, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (1,057)   (97,372)   (95,986)   (2,126)
Constellation Energy Corp.   USFF -0.250%   Weekly   MS   07/11/28   (446)   (59,264)   (82,443)   (24,926)
The accompanying notes are an integral part of the financial statements.
239

 

Table of Contents
GOTHAM DEFENSIVE LONG 500 FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Total Return Swaps (concluded)
Reference
Entity 		  Receive   Payment
Frequency 		  Counter-
party 		  Maturity
Date 		  Number of
Contracts
(Short) 		  Notional
Amount 		  Value   Unrealized
Appreciation/
(Depreciation)*
Utilities — (continued)                            
Dominion Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (3,286)   $ (160,120)   $ (161,638)   $ (7,882)
DTE Energy Co.   USFF -0.250%   Weekly   MS   01/10/28   (1,687)   (179,892)   (189,180)   (16,989)
Duke Energy Corp.   USFF -0.250%   Weekly   MS   01/10/28   (102)   (10,124)   (9,864)   (212)
Edison International   USFF -0.250%   Weekly   MS   07/08/27   (2,101)   (148,030)   (148,604)   (9,184)
Entergy Corp.   USFF -0.250%   Weekly   MS   07/11/28   (208)   (21,521)   (21,981)   (1,330)
Evergy, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (2,857)   (172,753)   (152,507)   9,140
Eversource Energy   USFF -0.250%   Weekly   MS   01/07/27   (2,219)   (163,539)   (132,630)   20,647
Exelon Corp.   USFF -0.250%   Weekly   MS   01/10/28   (5,057)   (211,622)   (189,991)   9,413
FirstEnergy Corp.   USFF -0.250%   Weekly   MS   01/10/28   (3,546)   (140,926)   (136,947)   (91)
NextEra Energy, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,938)   (152,035)   (123,858)   19,377
NiSource, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (7,538)   (207,205)   (208,501)   (13,466)
Pinnacle West Capital Corp.   USFF -0.250%   Weekly   MS   08/29/24   (2,807)   (225,852)   (209,767)   (1,564)
PPL Corp.   USFF -0.250%   Weekly   MS   01/12/29   (706)   (18,965)   (19,436)   (968)
Public Service Enterprise Group, Inc.   USFF -0.250%   Weekly   MS   07/11/28   (2,028)   (126,417)   (135,430)   (16,451)
Sempra   USFF -0.250%   Weekly   MS   07/08/27   (2,630)   (200,340)   (188,913)   (591)
Southern Co. (The)   USFF -0.250%   Weekly   MS   01/10/28   (2,118)   (154,951)   (151,945)   (6,222)
WEC Energy Group, Inc.   USFF -0.250%   Weekly   MS   07/08/27   (1,993)   (181,718)   (163,665)   7,743
Xcel Energy, Inc.   USFF -0.250%   Weekly   MS   01/07/27   (2,886)   (180,730)   (155,123)   16,667
                    (72,833)   (4,259,936)   (3,994,012)   41,924
Total Reference Entity — Short           (16,037,405)   (15,490,885)   (84,737)
Net Value of Reference Entity           $ (2,998,572)   $ 651,944   $3,862,052
* Includes $211,536 related to open trades, dividends receivables/payables and swap receivables/payables activities.
MS Morgan Stanley
USFF U.S. Fed Funds
The accompanying notes are an integral part of the financial statements.
240

 

Table of Contents
GOTHAM TOTAL RETURN FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
AFFILIATED EQUITY REGISTERED
INVESTMENT COMPANIES(a) — 99.1% 		   
Gotham 1000 Value ETF 186,866   $  4,457,502
Gotham Defensive Long 500 Fund*  79,920    1,389,808
Gotham Enhanced S&P 500 Index Fund 118,020    2,079,505
Gotham Hedged Core Fund 167,604    2,081,639
Gotham Large Value Fund 190,906    2,854,045
Gotham Neutral Fund* 105,430    1,392,735
TOTAL AFFILIATED EQUITY REGISTERED INVESTMENT COMPANIES
(Cost $11,964,862) 		    14,255,234
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9%        134,934
NET ASSETS - 100.0%     $ 14,390,168
(a) All affiliated fund investments are in Institutional Class shares. The financial statements of the affiliated funds are publicly available on the Securities and Exchange Commission’s website.
* Non-income producing.
ETF Exchange-Traded Fund
The accompanying notes are an integral part of the financial statements.
241

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
LONG POSITIONS — 138.6%
COMMON STOCKS — 138.6%
Automobiles & Components — 0.4%
Aptiv PLC (Jersey)*     87   $      6,930
BorgWarner, Inc.    148        5,141
General Motors Co.†    111        5,034
          17,105
Banks — 2.2%
Bank of America Corp.    415       15,737
Citigroup, Inc.     27        1,707
Citizens Financial Group, Inc.     43        1,560
Comerica, Inc.     12          660
Fifth Third Bancorp     61        2,270
Huntington Bancshares, Inc.     13          181
JPMorgan Chase & Co.†    277       55,483
KeyCorp.     86        1,360
M&T Bank Corp.      7        1,018
PNC Financial Services Group, Inc. (The)     13        2,101
Truist Financial Corp.    123        4,795
US Bancorp    140        6,258
Wells Fargo & Co.     47        2,724
          95,854
Capital Goods — 18.2%
3M Co.†    157       16,653
A. O. Smith Corp.     92        8,230
Allegion PLC (Ireland)     22        2,964
AMETEK, Inc.     28        5,121
Builders FirstSource, Inc.*     77       16,058
Carrier Global Corp.    254       14,765
Caterpillar, Inc.†    305      111,761
Cummins, Inc.     85       25,045
Dover Corp.     32        5,670
Eaton Corp. PLC (Ireland)     14        4,378
Fastenal Co.     19        1,466
Fortive Corp.†     14        1,204
Generac Holdings, Inc.*     13        1,640
General Dynamics Corp.     49       13,842
General Electric Co.†    404       70,914
Honeywell International, Inc.†    400       82,100
Howmet Aerospace, Inc.     76        5,201
Huntington Ingalls Industries, Inc.     10        2,915
Illinois Tool Works, Inc.†    132       35,420
Ingersoll Rand, Inc.    250       23,738
Johnson Controls International PLC (Ireland)†    397       25,932
Lockheed Martin Corp.†    141       64,137
Masco Corp.    141       11,122
Nordson Corp.      3          824
Otis Worldwide Corp.    245       24,321
PACCAR, Inc.    226       27,999
Parker-Hannifin Corp.†     80       44,463
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Capital Goods — (Continued)
Pentair PLC (Ireland)     30   $      2,563
Quanta Services, Inc.     22        5,716
RTX Corp.    117       11,411
Snap-on, Inc.     34       10,071
Stanley Black & Decker, Inc.     94        9,205
Textron, Inc.    124       11,895
Trane Technologies PLC (Ireland)†    127       38,125
TransDigm Group, Inc.     10       12,316
United Rentals, Inc.     40       28,844
Westinghouse Air Brake Technologies Corp.     56        8,158
WW Grainger, Inc.†     15       15,260
         801,447
Commercial & Professional Services — 1.1%
Automatic Data Processing, Inc.     58       14,485
Copart, Inc.*      9          521
Jacobs Solutions, Inc.     80       12,299
Leidos Holdings, Inc.     87       11,405
Robert Half, Inc.     32        2,537
Veralto Corp.†     76        6,738
          47,985
Consumer Discretionary Distribution & Retail — 11.1%
Amazon.com, Inc.†*  1,160      209,241
Bath & Body Works, Inc.    137        6,853
Best Buy Co., Inc.†    131       10,746
eBay, Inc.†    315       16,626
Genuine Parts Co.     86       13,324
Home Depot, Inc. (The)†    277      106,257
LKQ Corp.     82        4,380
Lowe's Cos., Inc.     39        9,934
Pool Corp.     12        4,842
Ross Stores, Inc.†    153       22,454
TJX Cos., Inc. (The)†    706       71,602
Ulta Beauty, Inc.*     29       15,164
         491,423
Consumer Durables & Apparel — 2.6%
Deckers Outdoor Corp.*     16       15,060
DR Horton, Inc.     37        6,088
Garmin Ltd. (Switzerland)    121       18,013
Hasbro, Inc.     86        4,861
Lennar Corp., Class A     26        4,472
Lululemon Athletica, Inc.*     73       28,517
Mohawk Industries, Inc.*     39        5,105
NIKE, Inc., Class B     80        7,518
PulteGroup, Inc.     66        7,961
Ralph Lauren Corp.     41        7,698
Tapestry, Inc.    145        6,885
VF Corp.    243        3,728
         115,906
 
The accompanying notes are an integral part of the financial statements.
242

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — 4.5%
Booking Holdings, Inc.†     21   $     76,186
Caesars Entertainment, Inc.*     67        2,931
Carnival Corp. (Panama)*     73        1,193
Darden Restaurants, Inc.      1          167
Expedia Group, Inc.*     72        9,918
Marriott International, Inc., Class A†    160       40,370
McDonald's Corp.†    176       49,623
MGM Resorts International*    102        4,815
Starbucks Corp.     16        1,462
Wynn Resorts Ltd.      2          204
Yum! Brands, Inc.†     96       13,310
         200,179
Consumer Staples Distribution & Retail — 0.7%
Kroger Co. (The)    440       25,137
Sysco Corp.     85        6,900
          32,037
Energy — 4.7%
APA Corp.†     93        3,197
Baker Hughes Co.    607       20,335
Coterra Energy, Inc.     11          307
Devon Energy Corp.    197        9,885
EOG Resources, Inc.      3          384
Exxon Mobil Corp.†    292       33,942
Halliburton Co.    271       10,683
Marathon Oil Corp.    133        3,769
Marathon Petroleum Corp.†    221       44,531
Phillips 66†    263       42,958
Pioneer Natural Resources Co.†     35        9,188
Schlumberger NV (Curacao)     30        1,644
Valero Energy Corp.†    146       24,921
         205,744
Equity Real Estate Investment Trusts (REITs) — 0.2%
Digital Realty Trust, Inc.     14        2,016
Extra Space Storage, Inc.     23        3,381
Realty Income Corp.†     67        3,625
Simon Property Group, Inc.      4          626
           9,648
Financial Services — 8.6%
American Express Co.     25        5,692
Ameriprise Financial, Inc.      2          877
Bank of New York Mellon Corp. (The)†     11          634
Berkshire Hathaway, Inc., Class B†*    225       94,617
BlackRock, Inc.†     14       11,672
Blackstone, Inc.      6          788
Capital One Financial Corp.      5          745
Cboe Global Markets, Inc.     29        5,328
Charles Schwab Corp. (The)     17        1,230
CME Group, Inc.†      4          861
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Financial Services — (Continued)
Corpay, Inc.*     47   $     14,502
Discover Financial Services      3          393
Fiserv, Inc.†*    383       61,211
Franklin Resources, Inc.†    292        8,208
Goldman Sachs Group, Inc. (The)      4        1,671
Intercontinental Exchange, Inc.     45        6,184
Invesco Ltd. (Bermuda)      5           83
MarketAxess Holdings, Inc.      1          219
Mastercard, Inc., Class A†     87       41,897
Morgan Stanley     20        1,883
Northern Trust Corp.      3          267
PayPal Holdings, Inc.†*    667       44,682
Raymond James Financial, Inc.      2          257
State Street Corp.      4          309
T Rowe Price Group, Inc.†     84       10,241
Visa, Inc., Class A†    235       65,584
         380,035
Food, Beverage & Tobacco — 9.0%
Altria Group, Inc.†  1,117       48,724
Archer-Daniels-Midland Co.†    332       20,853
Bunge Global SA (Switzerland)     44        4,511
Campbell Soup Co.     77        3,423
Coca-Cola Co. (The)†  1,181       72,254
Conagra Brands, Inc.    299        8,862
General Mills, Inc.    260       18,192
Hershey Co. (The)     12        2,334
Hormel Foods Corp.    283        9,874
Kellanova    214       12,260
Keurig Dr Pepper, Inc.†    502       15,396
Kraft Heinz Co. (The)†    727       26,826
McCormick & Co., Inc., non-voting shares     60        4,609
Molson Coors Beverage Co., Class B    136        9,146
Mondelez International, Inc., Class A†    700       49,000
Philip Morris International, Inc.†    981       89,879
         396,143
Health Care Equipment & Services — 5.5%
Align Technology, Inc.*      1          328
Baxter International, Inc.    110        4,701
Cardinal Health, Inc.    155       17,345
Cencora, Inc.†    116       28,187
Centene Corp.†*      9          706
Cigna Group (The)†    179       65,011
CVS Health Corp.†    165       13,160
DaVita, Inc.†*     57        7,869
GE HealthCare Technologies, Inc.      7          636
HCA Healthcare, Inc.†     82       27,349
Humana, Inc.     75       26,004
 
The accompanying notes are an integral part of the financial statements.
243

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Health Care Equipment & Services — (Continued)
McKesson Corp.†     42   $     22,548
Medtronic PLC (Ireland)     18        1,569
Molina Healthcare, Inc.*     20        8,217
Quest Diagnostics, Inc.     19        2,529
ResMed, Inc.     66       13,070
Teleflex, Inc.      3          679
UnitedHealth Group, Inc.      3        1,484
         241,392
Household & Personal Products — 3.5%
Clorox Co. (The)     16        2,450
Colgate-Palmolive Co.†    434       39,081
Kenvue, Inc.  1,122       24,078
Kimberly-Clark Corp.†    214       27,681
Procter & Gamble Co. (The)†    375       60,844
         154,134
Insurance — 4.0%
American International Group, Inc.      8          625
Aon PLC, Class A (Ireland)†    115       38,378
Arthur J Gallagher & Co.†     28        7,001
Assurant, Inc.      4          753
Brown & Brown, Inc.    174       15,232
Chubb Ltd. (Switzerland)      5        1,296
Globe Life, Inc.      1          116
Hartford Financial Services Group, Inc. (The)     67        6,904
Loews Corp.     69        5,402
Marsh & McLennan Cos., Inc.†    312       64,266
MetLife, Inc.    138       10,227
Prudential Financial, Inc.     25        2,935
Travelers Cos., Inc. (The)     20        4,603
W R Berkley Corp.      4          354
Willis Towers Watson PLC (Ireland)     65       17,875
         175,967
Materials — 3.9%
Avery Dennison Corp.      9        2,009
Celanese Corp.     67       11,515
CF Industries Holdings, Inc.     53        4,410
Corteva, Inc.      9          519
Dow, Inc.     62        3,592
Eastman Chemical Co.     68        6,815
Ecolab, Inc.      3          693
International Flavors & Fragrances, Inc.     58        4,987
International Paper Co.†    203        7,921
LyondellBasell Industries NV, Class A (Netherlands)    102       10,433
Martin Marietta Materials, Inc.     14        8,595
Nucor Corp.†    146       28,893
Packaging Corp. of America     57       10,817
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Materials — (Continued)
PPG Industries, Inc.    143   $     20,721
Sherwin-Williams Co. (The)     80       27,786
Steel Dynamics, Inc.     51        7,560
Vulcan Materials Co.     29        7,915
Westrock Co.    158        7,813
         172,994
Media & Entertainment — 11.5%
Alphabet, Inc., Class A†*  1,276      192,587
Charter Communications, Inc., Class A†*     45       13,078
Comcast Corp., Class A†  1,647       71,398
Electronic Arts, Inc.     70        9,287
Interpublic Group of Cos., Inc. (The)    246        8,027
Match Group, Inc.*    169        6,131
Meta Platforms, Inc., Class A†    323      156,842
Netflix, Inc.†*     40       24,293
News Corp., Class A    351        9,189
Omnicom Group, Inc.†    128       12,385
Paramount Global, Class B    149        1,754
Walt Disney Co. (The)     18        2,203
Warner Bros Discovery, Inc.*    226        1,973
         509,147
Pharmaceuticals, Biotechnology & Life Sciences — 5.0%
AbbVie, Inc.†     75       13,657
Amgen, Inc.†     84       23,883
Bristol-Myers Squibb Co.    418       22,668
Danaher Corp.†     69       17,231
Gilead Sciences, Inc.†    159       11,647
Incyte Corp.*     68        3,874
Johnson & Johnson†    505       79,886
Merck & Co., Inc.†    375       49,481
Viatris, Inc.     16          191
         222,518
Real Estate Management & Development — 0.0%
CBRE Group, Inc., Class A*      6          583
Semiconductors & Semiconductor Equipment — 10.7%
Applied Materials, Inc.†    189       38,977
Broadcom, Inc.†    108      143,144
KLA Corp.†     21       14,670
Lam Research Corp.†     15       14,573
Microchip Technology, Inc.†     83        7,446
Micron Technology, Inc.†    102       12,025
NVIDIA Corp.†    123      111,138
NXP Semiconductors NV (Netherlands)     28        6,938
Qorvo, Inc.*     22        2,526
QUALCOMM, Inc.    652      110,384
Skyworks Solutions, Inc.     97       10,507
         472,328
 
The accompanying notes are an integral part of the financial statements.
244

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Software & Services — 12.3%
Accenture PLC, Class A (Ireland)†    103   $     35,701
Adobe, Inc.†*      6        3,028
ANSYS, Inc.*      8        2,777
Cadence Design Systems, Inc.*     25        7,782
Cognizant Technology Solutions Corp., Class A     47        3,445
EPAM Systems, Inc.*      5        1,381
Gen Digital, Inc.    374        8,377
International Business Machines Corp.†    299       57,097
Microsoft Corp.†    830      349,197
Salesforce, Inc.†    202       60,838
Synopsys, Inc.*     14        8,001
VeriSign, Inc.*     23        4,359
         541,983
Technology Hardware & Equipment — 11.6%
Amphenol Corp., Class A†     52        5,998
Apple, Inc.†  1,540      264,079
CDW Corp.     43       10,999
Cisco Systems, Inc.†  2,310      115,292
F5, Inc.*     38        7,205
Hewlett Packard Enterprise Co.    281        4,982
HP, Inc.†    624       18,857
Jabil, Inc.     80       10,716
Juniper Networks, Inc.    189        7,004
Keysight Technologies, Inc.*     54        8,445
Motorola Solutions, Inc.     48       17,039
NetApp, Inc.†    128       13,436
Super Micro Computer, Inc.*     12       12,120
TE Connectivity Ltd. (Switzerland)     98       14,234
         510,406
Telecommunication Services — 4.9%
AT&T, Inc.†  3,718       65,437
T-Mobile US, Inc.†    389       63,493
Verizon Communications, Inc.†  2,096       87,948
         216,878
Transportation — 1.8%
American Airlines Group, Inc.*    378        5,802
CH Robinson Worldwide, Inc.     26        1,980
CSX Corp.    190        7,043
Delta Air Lines, Inc.    403       19,292
FedEx Corp.†    146       42,302
Union Pacific Corp.      8        1,968
United Parcel Service, Inc., Class B†     13        1,932
          80,319
Utilities — 0.6%
Duke Energy Corp.    157       15,183
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
NRG Energy, Inc.    127   $      8,597
PG&E Corp.    197        3,302
          27,082
TOTAL COMMON STOCKS
(Cost $4,709,207) 		     6,119,237
 
TOTAL LONG POSITIONS - 138.6%
(Cost $4,709,207) 		     6,119,237
SHORT POSITIONS — (40.5)%
COMMON STOCKS — (40.5)%
Automobiles & Components — (0.2)%
Ford Motor Co.   (807)      (10,717)
Banks — (0.0)%
Regions Financial Corp.     (2)          (42)
Capital Goods — (2.2)%
Axon Enterprise, Inc.*    (15)        (4,693)
Boeing Co. (The)*   (123)       (23,738)
Deere & Co.    (58)       (23,823)
Emerson Electric Co.    (97)       (11,002)
IDEX Corp.    (16)        (3,904)
L3Harris Technologies, Inc.    (39)        (8,311)
Northrop Grumman Corp.    (19)        (9,094)
Rockwell Automation, Inc.    (23)        (6,701)
Xylem, Inc.    (50)       (6,462)
         (97,728)
Commercial & Professional Services — (1.6)%
Broadridge Financial Solutions, Inc.    (24)        (4,917)
Cintas Corp.    (11)        (7,557)
Dayforce, Inc.*    (33)        (2,185)
Equifax, Inc.    (26)        (6,955)
Paychex, Inc.    (19)        (2,333)
Paycom Software, Inc.    (11)        (2,189)
Republic Services, Inc.    (64)       (12,252)
Rollins, Inc.   (123)        (5,691)
Verisk Analytics, Inc.    (31)        (7,308)
Waste Management, Inc.    (85)      (18,118)
         (69,505)
Consumer Discretionary Distribution & Retail — (0.7)%
AutoZone, Inc.*     (2)        (6,303)
CarMax, Inc.*    (32)        (2,788)
Etsy, Inc.*    (27)        (1,855)
O'Reilly Automotive, Inc.*    (13)       (14,676)
Tractor Supply Co.    (21)       (5,496)
         (31,118)
Consumer Durables & Apparel — (0.2)%
NVR, Inc.*     (1)       (8,100)
 
The accompanying notes are an integral part of the financial statements.
245

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Consumer Services — (1.5)%
Airbnb, Inc., Class A*   (131)   $    (21,610)
Chipotle Mexican Grill, Inc.*     (5)      (14,534)
Domino's Pizza, Inc.     (8)       (3,975)
Hilton Worldwide Holdings, Inc.    (46)       (9,812)
Las Vegas Sands Corp.   (147)       (7,600)
Norwegian Cruise Line Holdings Ltd. (Bermuda)*    (88)       (1,842)
Royal Caribbean Cruises Ltd. (Liberia)*    (51)       (7,089)
         (66,462)
Consumer Staples Distribution & Retail — (1.4)%
Costco Wholesale Corp.    (33)      (24,177)
Dollar General Corp.    (49)       (7,647)
Dollar Tree, Inc.*    (48)       (6,391)
Walmart, Inc.   (414)      (24,910)
         (63,125)
Energy — (1.9)%
Chevron Corp.   (145)      (22,872)
ConocoPhillips    (38)       (4,837)
Diamondback Energy, Inc.    (37)       (7,332)
EQT Corp.    (85)       (3,151)
Hess Corp.    (63)       (9,616)
Kinder Morgan, Inc.   (453)       (8,308)
Occidental Petroleum Corp.    (50)       (3,249)
ONEOK, Inc.   (121)       (9,701)
Targa Resources Corp.    (49)       (5,488)
Williams Cos., Inc. (The)   (263)      (10,249)
         (84,803)
Equity Real Estate Investment Trusts (REITs) — (3.3)%
Alexandria Real Estate Equities, Inc.    (34)       (4,383)
American Tower Corp.    (93)      (18,376)
AvalonBay Communities, Inc.    (29)       (5,381)
Boston Properties, Inc.    (32)       (2,090)
Camden Property Trust    (24)       (2,362)
Crown Castle, Inc.    (87)       (9,207)
Equinix, Inc.    (22)      (18,157)
Equity Residential    (78)       (4,923)
Essex Property Trust, Inc.    (13)       (3,183)
Federal Realty Investment Trust    (17)       (1,736)
Healthpeak Properties, Inc.   (111)       (2,081)
Host Hotels & Resorts, Inc.   (161)       (3,329)
Invitation Homes, Inc.   (128)       (4,558)
Iron Mountain, Inc.    (63)       (5,053)
Kimco Realty Corp.   (128)       (2,510)
Mid-America Apartment Communities, Inc.    (24)       (3,158)
Prologis, Inc.    (77)      (10,027)
Public Storage    (36)      (10,442)
Regency Centers Corp.    (38)       (2,301)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Equity Real Estate Investment Trusts (REITs) — (Continued)
SBA Communications Corp.    (21)   $     (4,551)
UDR, Inc.    (67)       (2,506)
Ventas, Inc.    (84)       (3,657)
VICI Properties, Inc.   (215)       (6,405)
Welltower, Inc.   (111)      (10,372)
Weyerhaeuser Co.   (150)       (5,387)
        (146,135)
Financial Services — (1.3)%
FactSet Research Systems, Inc.     (8)       (3,635)
Fidelity National Information Services, Inc.   (120)       (8,901)
Global Payments, Inc.    (54)       (7,218)
Jack Henry & Associates, Inc.    (15)       (2,606)
Moody's Corp.    (28)      (11,005)
MSCI, Inc.    (18)      (10,088)
Nasdaq, Inc.   (118)       (7,446)
S&P Global, Inc.    (10)       (4,254)
Synchrony Financial    (48)       (2,070)
         (57,223)
Food, Beverage & Tobacco — (1.0)%
Brown-Forman Corp., Class B   (105)       (5,420)
Constellation Brands, Inc., Class A    (23)       (6,250)
J M Smucker Co. (The)    (22)       (2,769)
Lamb Weston Holdings, Inc.    (30)       (3,196)
Monster Beverage Corp.*   (219)      (12,982)
PepsiCo, Inc.    (60)      (10,501)
Tyson Foods, Inc., Class A    (72)       (4,229)
         (45,347)
Health Care Equipment & Services — (4.5)%
Abbott Laboratories   (204)      (23,187)
Becton Dickinson & Co.    (60)      (14,847)
Boston Scientific Corp.*   (304)      (20,821)
Cooper Cos., Inc. (The)    (40)       (4,058)
DENTSPLY SIRONA, Inc.    (43)       (1,427)
Dexcom, Inc.*    (85)      (11,790)
Edwards Lifesciences Corp.*   (125)      (11,945)
Elevance Health, Inc.    (41)      (21,260)
Henry Schein, Inc.*    (26)       (1,964)
Hologic, Inc.*    (48)       (3,742)
IDEXX Laboratories, Inc.*    (18)       (9,719)
Insulet Corp.*    (14)       (2,400)
Intuitive Surgical, Inc.*    (72)      (28,734)
STERIS PLC (Ireland)    (22)       (4,946)
Stryker Corp.    (78)      (27,914)
Universal Health Services, Inc., Class B    (14)       (2,554)
Zimmer Biomet Holdings, Inc.    (43)       (5,675)
        (196,983)
 
The accompanying notes are an integral part of the financial statements.
246

 

Table of Contents
GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Household & Personal Products — (0.4)%
Church & Dwight Co., Inc.    (51)   $     (5,320)
Estee Lauder Cos., Inc. (The), Class A    (78)      (12,024)
         (17,344)
Insurance — (0.7)%
Aflac, Inc.    (20)       (1,717)
Allstate Corp. (The)    (45)       (7,786)
Arch Capital Group Ltd. (Bermuda)*    (76)       (7,026)
Cincinnati Financial Corp.    (32)       (3,973)
Everest Group Ltd. (Bermuda)     (9)       (3,578)
Principal Financial Group, Inc.    (49)       (4,229)
Progressive Corp. (The)    (20)       (4,136)
         (32,445)
Materials — (1.8)%
Air Products and Chemicals, Inc.    (46)      (11,145)
Albemarle Corp.    (24)       (3,162)
Amcor PLC (Jersey)   (292)       (2,777)
Ball Corp.    (65)       (4,378)
DuPont de Nemours, Inc.    (83)       (6,364)
FMC Corp.    (26)       (1,656)
Freeport-McMoRan, Inc.   (293)      (13,777)
Linde PLC (Ireland)    (51)      (23,680)
Mosaic Co. (The)    (66)       (2,142)
Newmont Corp.   (237)       (8,494)
         (77,575)
Media & Entertainment — (0.3)%
Fox Corp., Class A    (96)       (3,002)
Live Nation Entertainment, Inc.*    (48)       (5,077)
Take-Two Interactive Software, Inc.*    (20)       (2,970)
         (11,049)
Pharmaceuticals, Biotechnology & Life Sciences — (4.8)%
Agilent Technologies, Inc.    (61)       (8,876)
Biogen, Inc.*    (29)       (6,253)
Bio-Rad Laboratories, Inc., Class A*     (6)       (2,075)
Bio-Techne Corp.    (36)       (2,534)
Catalent, Inc.*    (39)       (2,202)
Charles River Laboratories International, Inc.*    (11)       (2,981)
Eli Lilly & Co.    (43)      (33,452)
Illumina, Inc.*    (19)       (2,609)
IQVIA Holdings, Inc.*    (51)      (12,897)
Mettler-Toledo International, Inc.*     (5)       (6,657)
Moderna, Inc.*    (78)       (8,312)
Pfizer, Inc. (1,139)      (31,607)
Regeneron Pharmaceuticals, Inc.*    (21)      (20,212)
Revvity, Inc.    (25)       (2,625)
Thermo Fisher Scientific, Inc.    (65)      (37,779)
Vertex Pharmaceuticals, Inc.*    (13)       (5,434)
Waters Corp.*    (13)       (4,475)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Pharmaceuticals, Biotechnology & Life Sciences —
(Continued)
West Pharmaceutical Services, Inc.    (15)   $     (5,936)
Zoetis, Inc.    (96)      (16,244)
        (213,160)
Real Estate Management & Development — (0.2)%
CoStar Group, Inc.*    (88)       (8,501)
Semiconductors & Semiconductor Equipment — (3.0)%
Advanced Micro Devices, Inc.*    (95)      (17,147)
Analog Devices, Inc.   (103)      (20,372)
Enphase Energy, Inc.*    (28)       (3,387)
First Solar, Inc.*    (22)       (3,714)
Intel Corp.   (861)      (38,030)
Monolithic Power Systems, Inc.    (10)       (6,774)
ON Semiconductor Corp.*    (87)       (6,399)
Teradyne, Inc.    (31)       (3,498)
Texas Instruments, Inc.   (192)      (33,448)
        (132,769)
Software & Services — (3.1)%
Akamai Technologies, Inc.*    (31)       (3,372)
Autodesk, Inc.*    (43)      (11,198)
Fair Isaac Corp.*     (5)       (6,248)
Fortinet, Inc.*   (170)      (11,613)
Gartner, Inc.*    (11)       (5,243)
Intuit, Inc.    (37)      (24,050)
Oracle Corp.   (207)      (26,001)
Palo Alto Networks, Inc.*    (70)      (19,889)
PTC, Inc.*    (26)       (4,913)
Roper Technologies, Inc.    (10)       (5,608)
ServiceNow, Inc.*    (19)      (14,486)
Tyler Technologies, Inc.*    (10)       (4,250)
        (136,871)
Technology Hardware & Equipment — (0.8)%
Arista Networks, Inc.*    (36)      (10,439)
Corning, Inc.   (166)       (5,471)
Seagate Technology Holdings PLC (Ireland)    (42)       (3,908)
Teledyne Technologies, Inc.*    (10)       (4,293)
Trimble, Inc.*    (52)       (3,347)
Western Digital Corp.*    (66)       (4,504)
Zebra Technologies Corp., Class A*    (10)       (3,015)
         (34,977)
Transportation — (1.4)%
Expeditors International of Washington, Inc.    (27)       (3,282)
JB Hunt Transport Services, Inc.    (23)       (4,583)
Norfolk Southern Corp.    (46)      (11,724)
Old Dominion Freight Line, Inc.    (44)       (9,650)
Southwest Airlines Co.   (129)       (3,765)
 
The accompanying notes are an integral part of the financial statements.
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GOTHAM ENHANCED 500 PLUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Transportation — (Continued)
Uber Technologies, Inc.*   (305)   $    (23,482)
United Airlines Holdings, Inc.*    (68)       (3,256)
         (59,742)
Utilities — (4.2)%
AES Corp. (The)   (137)       (2,456)
Alliant Energy Corp.    (61)       (3,074)
Ameren Corp.    (62)       (4,586)
American Electric Power Co., Inc.   (124)      (10,676)
American Water Works Co., Inc.    (41)       (5,011)
Atmos Energy Corp.    (31)       (3,685)
CenterPoint Energy, Inc.   (137)       (3,903)
CMS Energy Corp.    (70)       (4,224)
Consolidated Edison, Inc.    (71)       (6,448)
Constellation Energy Corp.    (65)      (12,015)
Dominion Energy, Inc.   (179)       (8,805)
DTE Energy Co.    (42)       (4,710)
Edison International    (90)       (6,366)
Entergy Corp.    (50)       (5,284)
Evergy, Inc.    (51)       (2,722)
Eversource Energy    (82)       (4,901)
Exelon Corp.   (204)       (7,664)
FirstEnergy Corp.   (136)       (5,252)
NextEra Energy, Inc.   (425)      (27,162)
NiSource, Inc.    (94)       (2,600)
Pinnacle West Capital Corp.    (26)       (1,943)
  Number
of Shares 		  Value
COMMON STOCKS — (Continued)
Utilities — (Continued)
PPL Corp.   (158)   $     (4,350)
Public Service Enterprise Group, Inc.   (107)        (7,145)
Sempra   (135)        (9,697)
Southern Co. (The)   (227)       (16,285)
WEC Energy Group, Inc.    (79)        (6,488)
Xcel Energy, Inc.   (133)       (7,149)
        (184,601)
TOTAL COMMON STOCKS
(Proceeds $1,609,088) 		    (1,786,322)
 
TOTAL SHORT POSITIONS - (40.5)%
(Proceeds $1,609,088) 		  (1,786,322)
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9%         82,710
NET ASSETS - 100.0%     $ 4,415,625
† Security position is either entirely or partially held in a segregated account as collateral for securities sold short. (See Note 1 of the Notes to Financial Statements)
* Non-income producing.
PLC Public Limited Company
 
The accompanying notes are an integral part of the financial statements.
248

 

Table of Contents
GOTHAM FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
  Gotham Absolute
Return Fund 		  Gotham Enhanced
Return Fund 		  Gotham Neutral
Fund
Assets          
Non-affiliated investments, at value1,2 $622,614,667   $119,830,256   $ 72,507,829
Affiliated investments, at value3 —   104,030,580   —
Swaps, at value(a) 47,989,240   36,958,778   5,201,811
Cash and cash equivalents 3,445,766   274,389   473,639
Foreign currency, at value 4 1,453   —   1,341
Due from broker 3,947,131   7,076,673   120,662
Receivables:          
Investments sold 13,158,980   3,831,764   3,602,569
Capital shares sold 968,359   146,558   16,818
Dividends 505,224   108,036   61,573
Prepaid expenses and other assets 13,757   7,389   1,689
Total Assets 692,644,577   272,264,423   81,987,931
Liabilities          
Obligation to return cash collateral on swap contracts (Note 1) 26,000,000   34,000,000   3,600,000
Payables:          
Investments purchased 9,341,411   2,248,508   1,792,323
Investment adviser 705,336   208,898   69,783
Capital shares redeemed 359,732   184,608   50,572
Administration and accounting fees 101,347   92,798   85,927
Accrued expenses 138,302   77,872   43,393
Total Liabilities 36,646,128   36,812,684   5,641,998
Contingencies and Commitments (Note 2) N/A   N/A   N/A
Net Assets $655,998,449   $235,451,739   $ 76,345,933
Net Assets Consisted of:          
Capital stock, $0.01 par value $ 297,544   $ 173,533   $ 57,787
Paid-in capital 471,273,997   137,502,794   125,403,206
Total distributable earnings/(loss) 184,426,908   97,775,412   (49,115,060)
Net Assets $655,998,449   $235,451,739   $ 76,345,933
Institutional Class Shares:          
Net assets $655,998,449   $235,451,739   $ 76,345,933
Shares outstanding 29,754,426   17,353,286   5,778,740
Net asset value, offering and redemption price per share $ 22.05   $ 13.57   $ 13.21
1Non-affiliated investments, at cost $513,520,322   $100,826,366   $ 64,173,586
2Includes market value of securities designated as collateral for swaps $174,590,688   $ 73,902,527   $ 45,911,621
3Affiliated investments, at cost $ —   $ 81,422,989   $ —
4Foreign currency, at cost $ 1,448   $ —   $ 1,337
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
249

 

Table of Contents
GOTHAM FUNDS
Statements of Assets and Liabilities (Continued)
March 31, 2024
(Unaudited)
  Gotham Index
Plus Fund 		  Gotham Large
Value Fund 		  Gotham Enhanced S&P
500 Index Fund
Assets          
Non-affiliated investments, at value1,2 $359,326,874   $54,070,123   $19,877,454
Affiliated investments, at value3 306,003,106   —   —
Swaps, at value(a) 138,678,147   —   —
Cash and cash equivalents 1,129,192   —   —
Due from broker 34,605,900   —   —
Receivables:          
Investments sold 7,904,081   2,086,052   1,385,683
Capital shares sold 429,030   —   7,556
Dividends 362,295   67,936   18,650
Prepaid expenses and other assets 65,464   6,209   —
Total Assets 848,504,089   56,230,320   21,289,343
Liabilities          
Obligation to return cash collateral on swap contracts (Note 1) 139,750,000   —   —
Due to broker 132,689   —   —
Payables:          
Investments purchased 3,201,205   431,770   65,734
Investment adviser 385,134   19,464   6,143
Capital shares redeemed 228,330   17,850   4,200
Administration and accounting fees 61,327   11,615   —
Distribution fees (Investor Class Shares) 3,509   —   —
Distributions to shareholders —   —   32
Due to custodian —   1,275,768   1,207,465
Accrued expenses 111,247   34,478   2,631
Total Liabilities 143,873,441   1,790,945   1,286,205
Contingencies and Commitments (Note 2) —   N/A   N/A
Net Assets $704,630,648   $54,439,375   $20,003,138
Net Assets Consisted of:          
Capital stock, $0.01 par value $ 272,957   $ 36,414   $ 11,355
Paid-in capital 465,787,047   46,272,902   14,568,163
Total distributable earnings 238,570,644   8,130,059   5,423,620
Net Assets $704,630,648   $54,439,375   $20,003,138
Institutional Class Shares:          
Net assets $687,303,664   $54,439,375   $20,003,138
Shares outstanding 26,621,421   3,641,449   1,135,515
Net asset value, offering and redemption price per share $ 25.82   $ 14.95   $ 17.62
Investor Class Shares:          
Net assets $ 17,326,984   N/A   N/A
Shares outstanding 674,233   N/A   N/A
Net asset value, offering and redemption price per share $ 25.70   N/A   N/A
1Non-affiliated investments, at cost $298,346,221   $47,095,288   $14,623,098
2Includes market value of securities designated as collateral for swaps $279,173,479   $ —   $ —
3Affiliated investments, at cost $260,246,134   $ —   $ —
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Statements of Assets and Liabilities (Concluded)
March 31, 2024
(Unaudited)
  Gotham Hedged
Core Fund 		  Gotham Defensive
Long 500 Fund 		  Gotham Total
Return Fund 		  Gotham Enhanced
500 Plus Fund
Assets              
Non-affiliated investments, at value1,2,3 $7,925,405   $16,337,900   $ —   $6,119,237
Affiliated investments, at value4 —   —   14,255,234   —
Swaps, at value(a) —   3,862,052   —   —
Cash and cash equivalents —   21,558   —   29,906
Due from broker —   701,154   —   —
Deposits with brokers for securities sold short —   —   —   94,321
Receivables:              
Investments sold 1,863,359   907,530   2,369,081   130,711
Capital shares sold 17   —   —   —
Dividends 11,162   21,150   —   6,122
Investment adviser —   —   13,731   4,541
Prepaid expenses and other assets —   17,966   4,863   —
Total Assets 9,799,943   21,869,310   16,642,909   6,384,838
Liabilities              
Securities sold short, at value5 2,283,526   —   —   1,786,322
Obligation to return cash collateral on swap contracts (Note 1) —   4,550,000   —   —
Due to broker 561,278   —   —   —
Payables:              
Investments purchased 638,502   49,795   —   130,418
Due to custodian 567,452   —   2,219,455   —
Investment adviser 3,975   9,602   —   —
Dividends and fees on securities sold short 2,054   —   —   1,772
Capital shares redeemed —   —   7   —
Administration and accounting fees —   25,201   5,918   25,003
Accrued expenses 825   29,164   27,361   25,698
Total Liabilities 4,057,612   4,663,762   2,252,741   1,969,213
Contingencies and Commitments (Note 2) —   N/A   —   —
Net Assets $5,742,331   $17,205,548   $14,390,168   $4,415,625
Net Assets Consisted of:              
Capital stock, $0.01 par value $ 4,625   $ 9,891   $ 10,691   $ 3,102
Paid-in capital 4,186,841   12,582,343   10,811,694   3,265,102
Total distributable earnings 1,550,865   4,613,314   3,567,783   1,147,421
Net Assets $5,742,331   $17,205,548   $14,390,168   $4,415,625
Institutional Class Shares:              
Net assets $5,742,331   $17,205,548   $14,390,168   $4,415,625
Shares outstanding 462,463   989,073   1,069,074   310,231
Net asset value, offering and redemption price per share $ 12.42   $ 17.40   $ 13.46   $ 14.23
1Non-affiliated investments, at cost $6,261,423   $13,288,825   $ —   $4,709,207
2Includes market value of securities designated as collateral for swaps $ —   $ 7,142,454   $ —   $ —
3Includes market value of securities designated as collateral for shorts $4,687,807   $ —   $ —   $3,679,306
4Affiliated investments, at cost $ —   $ —   $11,964,862   $ —
5Proceeds received, securities sold short $2,320,250   $ —   $ —   $1,609,088
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
  Gotham Absolute
Return Fund 		  Gotham Enhanced
Return Fund 		  Gotham Neutral
Fund
Investment income          
Dividends from non-affiliated investments $ 3,320,627   $ —   $ 353,837
Dividends from affiliated investments —   1,172,585   —
Less: taxes withheld (13,716)   (3,792)   (3,140)
Total investment income 3,306,911   1,168,793   350,697
Expenses          
Advisory fees(Note 2) 4,431,730   1,293,573   522,399
Transfer agent fees(Note 2) 269,544   60,447   27,558
Administration and accounting fees(Note 2) 113,653   70,013   56,266
Trustees’ and officers’ fees(Note 2) 73,637   23,639   8,305
Legal fees 59,938   26,186   10,683
Audit fees 50,974   27,860   15,971
Custodian fees(Note 2) 38,336   12,096   4,879
Registration and filing fees 37,260   15,631   11,539
Shareholder reporting fees 16,571   14,084   12,978
Other expenses 24,631   13,139   11,447
Total expenses before waivers and/or reimbursements 5,116,274   1,556,668   682,025
Waivers and/or reimbursements(Note 2) (684,544)   (263,095)   (159,626)
Net expenses after waivers and/or reimbursements 4,431,730   1,293,573   522,399
Net investment loss (1,124,819)   (124,780)   (171,702)
Net realized and unrealized gain/(loss) from investments:          
Net realized gain from non-affiliated investments 58,361,427   13,120,318   9,976,320
Net realized gain from affiliated investments —   1,319,612   —
Net realized gain from swaps 13,689,041 (a)   11,310,891 (a)   1,405,942 (a)
Net realized gain from foreign currency transactions 1,641   611   240
Net change in unrealized appreciation on non-affiliated investments 62,479,027   10,483,154   4,036,095
Net change in unrealized appreciation on affiliated investments —   16,111,064   —
Net change in unrealized appreciation/(depreciation) on swaps (23,943,900) (a)   1,548,160 (a)   (6,551,269) (a)
Net change in unrealized depreciation on foreign currency translations (539)   (239)   (48)
Net realized and unrealized gain on investments 110,586,697   53,893,571   8,867,280
Net increase in net assets resulting from operations $109,461,878   $53,768,791   $ 8,695,578
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Statements of Operations (Continued)
For the Six Months Ended March 31, 2024
(Unaudited)
  Gotham Index
Plus Fund 		  Gotham Large
Value Fund 		  Gotham Enhanced S&P
500 Index Fund
Investment income          
Dividends from non-affiliated investments $ —   $ 460,422   $ 168,158
Dividends from affiliated investments 2,730,037   —   —
Interest —   3,637   2,118
Less: taxes withheld (1,960)   —   (7)
Total investment income 2,728,077   464,059   170,269
Expenses          
Advisory fees(Note 2) 2,300,351   138,164   49,658
Transfer agent fees(Note 2) 220,809   14,342   —
Administration and accounting fees(Note 2) 92,545   9,569   —
Trustees’ and officers’ fees(Note 2) 66,249   4,142   —
Legal fees 54,980   9,295   —
Audit fees 53,524   13,732   —
Registration and filing fees 42,907   14,859   —
Custodian fees(Note 2) 38,041   1,007   —
Distribution fees (Investor Class)(Note 2) 17,506   —   —
Shareholder reporting fees 15,201   12,329   —
Support services fees —   —   14,898
Other expenses 33,681   4,719   —
Total expenses before waivers and/or reimbursements 2,935,794   222,158   64,556
Waivers and/or reimbursements(Note 2) (172,741)   (83,994)   (14,898)
Net expenses after waivers and/or reimbursements 2,763,053   138,164   49,658
Net investment income/(loss) (34,976)   325,895   120,611
Net realized and unrealized gain/(loss) from investments:          
Net realized gain from non-affiliated investments 14,090,839   2,086,954   953,206
Net realized gain from affiliated investments 1,846,880   —   —
Net realized loss from swaps (110,534) (a)   —   —
Net change in unrealized appreciation on non-affiliated investments 48,331,369   4,640,537   2,917,776
Net change in unrealized appreciation on affiliated investments 51,942,848   —   —
Net change in unrealized appreciation on swaps 23,042,899 (a)   —   —
Net realized and unrealized gain on investments 139,144,301   6,727,491   3,870,982
Net increase in net assets resulting from operations $139,109,325   $7,053,386   $3,991,593
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Statements of Operations (Concluded)
For the Six Months Ended March 31, 2024
(Unaudited)
  Gotham Hedged
Core Fund 		  Gotham Defensive
Long 500 Fund 		  Gotham Total
Return Fund 		  Gotham Enhanced
500 Plus Fund
Investment income              
Dividends from non-affiliated investments $ 93,551   $ 51,988   $ —   $ 52,131
Dividends from affiliated investments —   —   239,956   —
Interest —   —   2,789   —
Total investment income 93,551   51,988   242,745   52,131
Expenses              
Dividends and fees on securities sold short(Note 1) 28,854   —   —   18,485
Advisory fees(Note 2) 23,132   114,926   —   19,771
Support services fees 4,957   —   —   —
Administration and accounting fees(Note 2) —   16,853   20,408   18,597
Custodian fees(Note 2) —   1,880   5,008   172
Registration and filing fees —   11,464   13,753   1,075
Legal fees —   4,516   5,778   3,126
Audit fees —   11,955   11,837   10,741
Transfer agent fees(Note 2) —   3,874   3,948   1,661
Trustees’ and officers’ fees(Note 2) —   2,248   2,545   482
Shareholder reporting fees —   12,413   11,550   11,878
Other expenses —   8,381   2,809   4,395
Total expenses before waivers and/or reimbursements 56,943   188,510   77,636   90,383
Waivers and/or reimbursements(Note 2) —   (73,584)   (77,636)   (49,161)
Net expenses after waivers and/or reimbursements 56,943   114,926   —   41,222
Net investment income/(loss) 36,608   (62,938)   242,745   10,909
Net realized and unrealized gain/(loss) from investments:              
Net realized gain from non-affiliated investments 546,023   1,227,094   —   305,390
Net realized gain from affiliated investments —   —   1,291,670   —
Net realized loss from securities sold short (130,405)   —   —   (76,856)
Net realized gain from swaps —   895,894 (a)   —   —
Distributions of realized gains from affiliated investments —   —   363,483   —
Net change in unrealized appreciation on non-affiliated investments 1,063,898   1,721,250   —   772,956
Net change in unrealized appreciation on affiliated investments —   —   1,835,762   —
Net change in unrealized depreciation on securities sold short (321,347)   —   —   (210,493)
Net change in unrealized depreciation on swaps —   (634,432) (a)   —   —
Net realized and unrealized gain on investments 1,158,169   3,209,806   3,490,915   790,997
Net increase in net assets resulting from operations $1,194,777   $3,146,868   $3,733,660   $ 801,906
(a) Primary risk exposure is equity contracts.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Statements of Changes in Net Assets
  Gotham Absolute Return Fund   Gotham Enhanced Return Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023 		  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:              
Net investment loss $ (1,124,819)   $ (1,946,384)   $ (124,780)   $ (1,957,422)
Net realized gains from investments, swaps and foreign currency transactions 72,052,109   44,375,380   25,751,432   28,616,102
Net change in unrealized appreciation on investments, swaps and foreign currency translations 38,534,588   55,932,160   28,142,139   18,226,603
Net increase in net assets resulting from operations 109,461,878   98,361,156   53,768,791   44,885,283
Less dividends and distributions to shareholders from:              
Total distributable earnings:              
Institutional Class (31,350,533)   —   (17,945,586)   (16,644,612)
Net decrease in net assets from dividends and distributions to shareholders (31,350,533)   —   (17,945,586)   (16,644,612)
Increase/(decrease) in net assets derived from capital share transactions (Note 4) (48,926,356)   (14,051,708)   15,228,432   (50,584,970)
Total increase/(decrease) in net assets 29,184,989   84,309,448   51,051,637   (22,344,299)
Net assets              
Beginning of period 626,813,460   542,504,012   184,400,102   206,744,401
End of period $ 655,998,449   $ 626,813,460   $235,451,739   $ 184,400,102
The accompanying notes are an integral part of the financial statements.
255

 

Table of Contents
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
  Gotham Neutral Fund   Gotham Index Plus Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023 		  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:              
Net investment loss $ (171,702)   $ (409,748)   $ (34,976)   $ (1,583,104)
Net realized gains from investments, swaps and foreign currency transactions 11,382,502   4,687,454   15,827,185   23,677,652
Net change in unrealized appreciation/(depreciation) on investments, swaps and foreign currency translations (2,515,222)   3,768,703   123,317,116   80,291,278
Net increase in net assets resulting from operations 8,695,578   8,046,409   139,109,325   102,385,826
Less dividends and distributions to shareholders from:              
Total distributable earnings:              
Institutional Class —   —   (22,393,506)   (7,642,982)
Investor Class N/A   N/A   (499,914)   (201,731)
Net decrease in net assets from dividends and distributions to shareholders —   —   (22,893,420)   (7,844,713)
Increase/(decrease) in net assets derived from capital share transactions (Note 4) 2,814,868   (10,345,208)   126,221,371   (37,538,108)
Total increase/(decrease) in net assets 11,510,446   (2,298,799)   242,437,276   57,003,005
Net assets              
Beginning of period 64,835,487   67,134,286   462,193,372   405,190,367
End of period $76,345,933   $ 64,835,487   $704,630,648   $ 462,193,372
The accompanying notes are an integral part of the financial statements.
256

 

Table of Contents
GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
  Gotham Large Value Fund   Gotham Enhanced S&P 500 Index Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023 		  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase in net assets from operations:              
Net investment income $ 325,895   $ 682,202   $ 120,611   $ 229,090
Net realized gains from investments 2,086,954   3,885,626   953,206   159,086
Net change in unrealized appreciation on investments 4,640,537   1,653,630   2,917,776   2,622,884
Net increase in net assets resulting from operations 7,053,386   6,221,458   3,991,593   3,011,060
Less dividends and distributions to shareholders from:              
Total distributable earnings:              
Institutional Class (3,070,538)   (3,164,154)   (618,825)   (1,174,057)
Net decrease in net assets from dividends and distributions to shareholders (3,070,538)   (3,164,154)   (618,825)   (1,174,057)
Increase/(decrease) in net assets derived from capital share transactions (Note 4) 17,632,316   (10,678,403)   (1,496,134)   3,031,172
Total increase/(decrease) in net assets 21,615,164   (7,621,099)   1,876,634   4,868,175
Net assets              
Beginning of period 32,824,211   40,445,310   18,126,504   13,258,329
End of period $54,439,375   $ 32,824,211   $ 20,003,138   $18,126,504
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Statements of Changes in Net Assets (Continued)
  Gotham Hedged Core Fund   Gotham Defensive Long 500 Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023 		  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:              
Net investment income/(loss) $ 36,608   $ 57,058   $ (62,938)   $ (111,621)
Net realized gains from investments, securities sold short and swaps 415,618   300,362   2,122,988   2,390,768
Net change in unrealized appreciation on investments, securities sold short and swaps 742,551   594,309   1,086,818   737,984
Net increase in net assets resulting from operations 1,194,777   951,729   3,146,868   3,017,131
Less dividends and distributions to shareholders from:              
Total distributable earnings:              
Institutional Class (86,606)   (524,367)   —   (51,435)
Net decrease in net assets from dividends and distributions to shareholders (86,606)   (524,367)   —   (51,435)
Decrease in net assets derived from capital share transactions (Note 4) (2,039,650)   (199,529)   (2,340,684)   (3,218,447)
Total increase/(decrease) in net assets (931,479)   227,833   806,184   (252,751)
Net assets              
Beginning of period 6,673,810   6,445,977   16,399,364   16,652,115
End of period $ 5,742,331   $6,673,810   $ 17,205,548   $ 16,399,364
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Statements of Changes in Net Assets (Concluded)
  Gotham Total Return Fund   Gotham Enhanced 500 Plus Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023 		  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase in net assets from operations:              
Net investment income $ 242,745   $ 156,274   $ 10,909   $ 25,959
Net realized gains from investments, securities sold short and capital gain distributions from affiliated investments 1,655,153   835,067   228,534   97,743
Net change in unrealized appreciation on investments and securities sold short 1,835,762   1,983,329   562,463   577,351
Net increase in net assets resulting from operations 3,733,660   2,974,670   801,906   701,053
Less dividends and distributions to shareholders from:              
Total distributable earnings:              
Institutional Class (1,448,501)   (1,753,492)   (193,783)   (436,510)
Investor Class* N/A   (254,381)   N/A   N/A
Net decrease in net assets from dividends and distributions to shareholders (1,448,501)   (2,007,873)   (193,783)   (436,510)
Increase/(decrease) in net assets derived from capital share transactions (Note 4) (7,580,003)   (1,147,943)   196,478   240,305
Total increase/(decrease) in net assets (5,294,844)   (181,146)   804,601   504,848
Net assets              
Beginning of period 19,685,012   19,866,158   3,611,024   3,106,176
End of period $ 14,390,168   $ 19,685,012   $4,415,625   $3,611,024
* Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4).
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Statements of Cash Flow
For the Six Months Ended March 31, 2024
(Unaudited)
  Gotham Hedged Core Fund   Gotham Enhanced 500 Plus Fund
Cash flows from operating activities:      
Net increase in net assets resulting from operations $ 1,194,777   $ 801,906
 
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:      
Purchases of long-term portfolio investments (7,946,149)   (4,753,830)
Proceeds from disposition of long-term portfolio investments 10,817,284   4,740,764
Purchases to cover securities sold short (4,481,896)   (1,737,959)
Proceeds from securities sold short 3,681,022   1,759,945
Net realized gain on investments and investments sold short (415,618)   (228,534)
Net change in unrealized appreciation/(depreciation) on investments and investments sold short (742,551)   (562,463)
Increase in receivable for investments sold (1,712,616)   (43,258)
Increase in dividends and interest receivable (302)   (428)
Decrease in receivable from investment adviser —   13,261
Decrease in prepaid expenses and other assets —   422
Increase in payable for investments purchased 488,118   43,069
Decrease in payable for dividends and fees on securities sold short (232)   (71)
Increase in payable to investment adviser 40   —
Increase/(decrease) in accrued expense payable (13)   5,071
Net cash provided by operating activities 881,864   37,895
Cash flows from financing activities:      
Proceeds from shares sold 70,239   2,695
Payment of shares redeemed (2,196,512)   —
Increase in due to broker 561,278   —
Increase in due to custodian 567,452   —
Net cash provided by (used in) financing activities (997,543)   2,695
Net increase (decrease) in cash and restricted cash (115,679)   40,590
Cash and restricted cash:      
Beginning of period $ 115,679   $ 83,637
End of period $ —   $ 124,227
Reconciliation of restricted and unrestricted cash at the beginning of the period to the statements of assets and liabilities:      
Unrestricted Cash $ 16,132   $ 46,314
Restricted Cash $ 99,547   $ 37,323
Reconciliation of restricted and unrestricted cash at the end of the period to the statements of assets and liabilities:      
Unrestricted Cash $ —   $ 29,906
Restricted Cash $ —   $ 94,321
 
Supplemental disclosure of cash flow information:      
Cash received during the period for financing charges $ 8,650   $ 3,642
Reinvestment of dividends $ 86,606   $ 193,783
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Absolute Return Fund Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 19.39   $ 16.37   $ 16.73   $ 14.39   $ 15.01   $ 14.86
Net investment loss(1) (0.04)   (0.06)   (0.04)   (0.06)   (0.06)   (0.00) (2)
Net realized and unrealized gain/(loss) on investments 3.84   3.08   (0.32)   2.40   (0.56)   0.15
Total from investment operations 3.80   3.02   (0.36)   2.34   (0.62)   0.15
Dividends and distributions to shareholders from:                      
Net realized capital gains (1.14)   —   —   —   —   —
Redemption fees 0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)
Net asset value, end of period $ 22.05   $ 19.39   $ 16.37   $ 16.73   $ 14.39   $ 15.01
Total investment return(4) 20.55%   18.45%   (2.15)%   16.26%   (4.13)%   1.01%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $655,998   $626,813   $542,504   $499,529   $505,989   $857,247
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) 1.50% (5)   1.50%   1.50%   1.50%   2.55% (6)   2.58% (6)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) 1.73% (5)   1.73%   1.74%   1.77%   2.65% (6)   2.60% (6)
Ratio of net investment loss to average net assets (including dividend and interest expense) (0.38)% (5)   (0.33)%   (0.21)%   (0.39)%   (0.39)%   (0.02)% (8)
Portfolio turnover rate 127% (9)   250%   284%   210%   259%   233%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $(0.005) per share.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 2.05% and 2.15% for the years ended September 30, 2020 and 2019, respectively.
(7) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(8) Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1).
(9) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Enhanced Return Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 11.53   $ 9.90   $ 12.92   $ 10.21   $ 14.51   $ 15.55
Net investment loss(1) (0.01)   (0.10)   (0.04)   (0.04)   (0.04)   (0.08)
Net realized and unrealized gain/(loss) on investments 3.18   2.54   (0.58)   2.77   (0.48)   0.26
Total from investment operations 3.17   2.44   (0.62)   2.73   (0.52)   0.18
Dividends and distributions to shareholders from:                      
Net investment income —   —   —   (0.02)   —   —
Net realized capital gains (1.13)   (0.81)   (2.40)   —   (3.78)   (1.22)
Total dividends and distributions to shareholders (1.13)   (0.81)   (2.40)   (0.02)   (3.78)   (1.22)
Redemption fees 0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)
Net asset value, end of period $ 13.57   $ 11.53   $ 9.90   $ 12.92   $ 10.21   $ 14.51
Total investment return(3) 29.71%   25.53%   (8.04)%   26.73%   (6.81)%   1.79%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $235,452   $184,400   $206,744   $227,319   $236,725   $519,067
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) 1.28% (4)   1.27%   1.50%   1.50%   2.12% (5)   3.56% (5)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 1.54% (4)   1.55%   1.76%   1.79%   2.22% (5)   3.56% (5)
Ratio of net investment loss to average net assets (including dividend and interest expense) (0.12)% (4)   (0.95)%   (0.38)%   (0.36)%   (0.37)%   (0.56)%
Portfolio turnover rate 97% (7)   222%   288% (8)   203%   213%   204%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 2.06% and 2.15% for years ended September 30, 2020 and 2019, respectively.
(6) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(7) Not annualized.
(8) Portfolio turnover rate excludes securities delivered from processing a redemption in-kind.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Neutral Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 11.69   $ 10.34   $ 9.32   $ 9.19   $ 10.35   $ 10.25
Net investment income/(loss)(1) (0.03)   (0.07)   (0.02)   (0.05)   (0.09)   0.01
Net realized and unrealized gain/(loss) on investments 1.55   1.42   1.04   0.18   (1.07)   0.09
Total from investment operations 1.52   1.35   1.02   0.13   (1.16)   0.10
Redemption fees —   —   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)
Net asset value, end of period $ 13.21   $ 11.69   $ 10.34   $ 9.32   $ 9.19   $ 10.35
Total investment return(3) 13.00%   13.06%   10.94%   1.42%   (11.21)%   0.98%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $76,346   $64,835   $67,134   $40,168   $55,675   $181,413
Ratio of expenses to average net assets with recoupments, waivers, and/or reimbursements, if any (including dividend and interest expense) 1.50% (4)   1.50%   1.50%   1.50%   2.79% (5)   2.34% (5)
Ratio of expenses to average net assets without recoupments, waivers and/or reimbursements, if any(6) 1.96% (4)   1.96%   1.94%   2.07%   2.90% (5)   2.33% (5)
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) (0.49)% (4)   (0.61)%   (0.23)%   (0.53)%   (0.95)%   0.11% (7)
Portfolio turnover rate 205% (8)   366%   408%   282%   356%   331%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including recoupments, waivers and/or reimbursements for the Fund would be 2.09% and 2.15% for the years ended September 30, 2020 and 2019, respectively.
(6) During the period, certain fees were reduced or expenses were recouped. If such fee reductions or recoupments had not occurred, the ratios would have been as shown (See Note 2).
(7) Net rebate income on securities sold short exceeded dividends and fees on securities sold short during the period. (See Note 1).
(8) Not annualized.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Gotham Index Plus Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 21.39   $ 17.33   $ 20.30   $ 16.19   $ 15.18   $ 15.73
Net investment income/(loss)(1) (0.00) (2)   (0.07)   0.02   0.10   0.14   0.13
Net realized and unrealized gain/(loss) on investments 5.34   4.47   (1.84)   4.19   1.09   (0.39)
Total from investment operations 5.34   4.40   (1.82)   4.29   1.23   (0.26)
Dividends and distributions to shareholders from:                      
Net investment income (0.14)   —   (0.10)   (0.18)   (0.22)   (0.06)
Net realized capital gains (0.77)   (0.34)   (1.05)   —   —   (0.23)
Total dividends and distributions to shareholders (0.91)   (0.34)   (1.15)   (0.18)   (0.22)   (0.29)
Redemption fees 0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)   0.00 (3)
Net asset value, end of period $ 25.82   $ 21.39   $ 17.33   $ 20.30   $ 16.19   $ 15.18
Total investment return(4) 25.73%   25.62%   (9.97)%   26.76%   8.14%   (1.57)%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $687,304   $450,304   $394,850   $444,756   $394,773   $647,415
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) 0.93% (5)   0.92%   0.96%   1.13%   1.17% (6)   2.99% (6)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) 0.98% (5)   1.01%   1.04%   1.22%   1.25% (6)   3.04% (6)
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) (0.01)% (5)   (0.34)%   0.11%   0.55%   0.89%   0.89%
Portfolio turnover rate 73% (8)   125%   169% (9)   158% (9)   224%   253%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $(0.005) per share.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund’s Institutional Class Shares would be 1.15% and 1.15% for the years ended September 30, 2020 and 2019, respectively.
(7) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(8) Not annualized.
(9) Portfolio turnover rate excludes securities delivered from processing a redemption in-kind.
The accompanying notes are an integral part of the financial statements.
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Table of Contents
GOTHAM FUNDS
Gotham Index Plus Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Investor Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 21.27   $ 17.28   $ 20.23   $ 16.15   $ 15.13   $ 15.70
Net investment income/(loss)(1) (0.03)   (0.12)   (0.03)   0.06   0.10   (0.06)
Net realized and unrealized gain/(loss) on investments 5.31   4.45   (1.82)   4.16   1.10   (0.24)
Total from investment operations 5.28   4.33   (1.85)   4.22   1.20   (0.30)
Dividends and distributions to shareholders from:                      
Net investment income (0.08)   —   (0.05)   (0.14)   (0.18)   (0.04)
Net realized capital gains (0.77)   (0.34)   (1.05)   —   —   (0.23)
Total dividends and distributions to shareholders (0.85)   (0.34)   (1.10)   (0.14)   (0.18)   (0.27)
Redemption fees 0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)
Net asset value, end of period $ 25.70   $ 21.27   $ 17.28   $ 20.23   $ 16.15   $ 15.13
Total investment return(3) 25.54%   25.29%   (10.13)%   26.33%   7.94%   (1.82)%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $17,327   $11,889   $10,340   $12,671   $10,278   $17,464
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) 1.18% (4)   1.17%   1.21%   1.38%   1.42% (5)   4.28% (5)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 1.23% (4)   1.26%   1.30%   1.47%   1.50% (5)   4.34% (5)
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) (0.26)% (4)   (0.59)%   (0.14)%   0.30%   0.64%   (0.40)%
Portfolio turnover rate 73% (7)   125%   169% (8)   158% (8)   224%   253%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) Expense ratio includes dividend and fees on securities sold short and fees on cash collateral. Excluding such dividend and fees on securities sold short and fees on cash collateral, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund’s Investor Class Shares would be 1.40% and 1.40% for the years ended September 30, 2020 and 2019, respectively.
(6) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(7) Not annualized.
(8) Portfolio turnover rate excludes securities delivered from processing a redemption in-kind.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Large Value Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 13.81   $ 12.80   $ 16.71   $ 12.98   $ 13.29   $ 13.02
Net investment income(1) 0.12   0.25   0.23   0.20   0.25   0.20
Net realized and unrealized gain/(loss) on investments 2.35   1.78   (1.27)   3.76   (0.22)   0.18
Total from investment operations 2.47   2.03   (1.04)   3.96   0.03   0.38
Dividends and distributions to shareholders from:                      
Net investment income (0.22)   (0.14)   (0.25)   (0.23)   (0.23)   (0.01)
Net realized capital gains (1.11)   (0.88)   (2.62)   —   (0.11)   (0.10)
Total dividends and distributions to shareholders (1.33)   (1.02)   (2.87)   (0.23)   (0.34)   (0.11)
Redemption fees 0.00 (2)   —   0.00 (2)   —   0.00 (2)   —
Net asset value, end of period $ 14.95   $ 13.81   $ 12.80   $ 16.71   $ 12.98   $ 13.29
Total investment return(3) 19.38%   15.96%   (8.83)%   30.83%   0.04%   3.11%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $54,439   $32,824   $40,445   $65,351   $70,003   $58,978
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any 0.75% (4)   0.75%   0.75%   0.75%   0.75%   0.75%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(5) 1.21% (4)   1.21%   1.09%   1.05%   1.03%   1.05%
Ratio of net investment income to average net assets 1.77% (4)   1.82%   1.50%   1.29%   1.95%   1.61%
Portfolio turnover rate 160% (6)   191%   290%   226%   406%   316%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(6) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Enhanced S&P 500 Index Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 14.90   $ 13.20   $ 16.07   $ 12.86   $ 11.93   $ 13.70
Net investment income(1) 0.10   0.20   0.20   0.17   0.21   0.19
Net realized and unrealized gain/(loss) on investments 3.13   2.60   (1.96)   3.17   1.14   0.03
Total from investment operations 3.23   2.80   (1.76)   3.34   1.35   0.22
Dividends and distributions to shareholders from:                      
Net investment income (0.23)   (0.11)   (0.17)   (0.13)   (0.15)   (0.21)
Net realized capital gains (0.28)   (0.99)   (0.94)   —   (0.27)   (1.78)
Total dividends and distributions to shareholders (0.51)   (1.10)   (1.11)   (0.13)   (0.42)   (1.99)
Redemption fees —   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)   0.00 (2)
Net asset value, end of period $ 17.62   $ 14.90   $ 13.20   $ 16.07   $ 12.86   $ 11.93
Total investment return(3) 22.16%   22.11%   (12.25)%   26.17%   11.53%   3.46%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $20,003   $18,127   $13,258   $15,569   $ 6,346   $ 6,635
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any 0.50% (4)   0.50%   0.50%   0.50%   0.50%   0.50%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(5) 0.65% (4)   0.65%   0.65%   1.12%   2.13%   3.20%
Ratio of net investment income to average net assets 1.21% (4)   1.39%   1.31%   1.14%   1.75%   1.65%
Portfolio turnover rate 83% (6)   152%   193%   178%   345%   328%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(6) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Hedged Core Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 10.51   $ 9.84   $ 12.88   $ 11.33   $ 11.16   $ 12.61
Net investment income(1) 0.06   0.09   0.09   0.13   0.13   0.14
Net realized and unrealized gain/(loss) on investments 2.00   1.38   (0.84)   1.51   0.70   (0.11)
Total from investment operations 2.06   1.47   (0.75)   1.64   0.83   0.03
Dividends and distributions to shareholders from:                      
Net investment income (0.11)   (0.07)   (0.17)   (0.07)   (0.17)   (0.07)
Net realized capital gains (0.04)   (0.73)   (2.12)   (0.02)   (0.49)   (1.41)
Total dividends and distributions to shareholders (0.15)   (0.80)   (2.29)   (0.09)   (0.66)   (1.48)
Redemption fees 0.00 (2)   —   —   0.00 (2)   —   —
Net asset value, end of period $ 12.42   $ 10.51   $ 9.84   $ 12.88   $ 11.33   $ 11.16
Total investment return(3) 19.81%   15.13%   (8.37)%   14.56%   7.59%   0.86%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $ 5,742   $ 6,674   $ 6,446   $ 8,177   $ 8,804   $ 2,582
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense)(4) 1.72% (5)   1.75%   1.71%   1.66%   1.52%   1.00%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(4) 1.72% (5)   1.75%   1.71%   2.10% (6)   3.47% (6)   4.05% (6)
Ratio of net investment income to average net assets (including dividend and interest expense) 1.11% (5)   0.84%   0.78%   1.07%   1.20%   1.29%
Portfolio turnover rate 89% (7)   195%   218%   205%   267%   228%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 0.85%, 0.85%, 0.85%, 0.85%, 0.85% and 0.85% for the six months ended March 31, 2024 and the years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively.
(5) Annualized.
(6) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(7) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Defensive Long 500 Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 14.46   $ 12.35   $ 12.87   $ 11.98   $ 13.20   $ 13.78
Net investment income/(loss)(1) (0.06)   (0.08)   0.03   0.06   0.14   0.13
Net realized and unrealized gain/(loss) on investments 3.00   2.23   (0.46)   0.96   (1.17)   0.32
Total from investment operations 2.94   2.15   (0.43)   1.02   (1.03)   0.45
Dividends and distributions to shareholders from:                      
Net investment income —   (0.04)   (0.09)   (0.13)   (0.08)   (0.07)
Net realized capital gains —   —   —   —   (0.11)   (0.96)
Total dividends and distributions to shareholders —   (0.04)   (0.09)   (0.13)   (0.19)   (1.03)
Redemption fees —   —   —   —   0.00 (2)   —
Net asset value, end of period $ 17.40   $ 14.46   $ 12.35   $ 12.87   $ 11.98   $ 13.20
Total investment return(3) 20.33%   17.38%   (3.41)%   8.65%   (7.95)%   3.71%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $17,206   $16,399   $16,652   $35,037   $54,675   $59,368
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any (including dividend and interest expense) 1.35% (4)   1.35%   1.35%   1.35%   1.35%   3.21% (5)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 2.21% (4)   2.09%   1.96%   1.78%   1.66%   3.81% (5)
Ratio of net investment income/(loss) to average net assets (including dividend and interest expense) (0.74)% (4)   (0.56)%   0.23%   0.51%   1.11%   1.03%
Portfolio turnover rate 87% (7)   208%   227%   163%   294%   429%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $0.005 per share.
(3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(4) Annualized.
(5) Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 1.42% for the year ended September 30, 2019.
(6) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(7) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Total Return Fund Financial Highlights (Continued)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares*
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 12.06   $ 11.45   $ 13.03   $ 11.70   $ 13.28   $ 13.38
Net investment income(1) 0.15   0.09   0.11   0.08   0.11   0.05
Net realized and unrealized gain/(loss) on investments 2.14   1.69   (1.04)   1.33   (0.91)   0.03
Total from investment operations 2.29   1.78   (0.93)   1.41   (0.80)   0.08
Dividends and distributions to shareholders from:                      
Net investment income (0.17)   (0.07)   (0.13)   (0.08)   (0.11)   (0.05)
Net realized capital gains (0.72)   (1.10)   (0.52)   (0.00) (2)   (0.67)   (0.13)
Total dividends and distributions to shareholders (0.89)   (1.17)   (0.65)   (0.08)   (0.78)   (0.18)
Redemption fees —   0.00 (3)   —   0.00 (3)   0.00 (3)   0.00 (3)
Net asset value, end of period $ 13.46   $ 12.06   $ 11.45   $ 13.03   $ 11.70   $ 13.28
Total investment return(4) 19.99%   15.86%   (7.87)%   12.17%   (6.54)%   0.67%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $14,390   $19,685   $17,280   $23,987   $25,967   $32,167
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any 0.00% (5)   0.00%   0.00%   0.00%   0.00%   0.00%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 0.75% (5)   0.87%   0.72%   0.66%   0.59%   0.69%
Ratio of net investment income to average net assets 2.34% (5)   0.74%   0.87%   0.68%   0.94%   0.35%
Portfolio turnover rate 4% (7)   35%   9%   85%   55%   3%
* Investor Class Shares were converted to Institutional Class Shares on January 30, 2023 (See Note 4).
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Amount is less than $(0.005) per share.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(7) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Gotham Enhanced 500 Plus Fund Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class Shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 12.27   $ 11.40   $ 13.91   $ 11.47   $ 11.86   $ 13.99
Net investment income(1) 0.04   0.09   0.10   0.07   0.13   0.10
Net realized and unrealized gain/(loss) on investments 2.58   2.38   (1.00)   2.50   0.47   0.07
Total from investment operations 2.62   2.47   (0.90)   2.57   0.60   0.17
Dividends and distributions to shareholders from:                      
Net investment income (0.11)   (0.07)   (0.07)   (0.13)   (0.14)   (0.12)
Net realized capital gains (0.55)   (1.53)   (1.54)   —   (0.85)   (2.18)
Total dividends and distributions to shareholders (0.66)   (1.60)   (1.61)   (0.13)   (0.99)   (2.30)
Redemption fees —   —   —   —   —   —
Net asset value, end of period $ 14.23   $ 12.27   $ 11.40   $ 13.91   $ 11.47   $ 11.86
Total investment return(2) 22.20%   23.21%   (8.30)%   22.56%   4.95%   2.78%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $ 4,416   $ 3,611   $ 3,106   $ 3,556   $ 2,891   $ 2,960
Ratio of expenses to average net assets with waivers, and/or reimbursements, if any(3) 2.08% (4)   2.15%   2.12%   2.06%   2.21%   2.20%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(3)(5) 4.57% (4)   5.23%   4.44%   4.70%   5.04%   5.23%
Ratio of net investment income to average net assets 0.55% (4)   0.76%   0.73%   0.50%   1.15%   0.90%
Portfolio turnover rate 86% (6)   162%   191%   140%   263%   274%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Expense ratio includes dividend and fees on securities sold short. Excluding such dividend and fees on securities sold short, the ratio of expenses to average net assets including waivers and/or reimbursements for the Fund would be 1.15%, 1.15%, 1.15%, 1.15%, 1.15% and 1.15% for the six months ended March 31,2024 and years ended September 30, 2023, 2022, 2021, 2020 and 2019, respectively.
(4) Annualized.
(5) During the period, certain fees were reduced. If such fee reductions had not occurred, the ratios would have been as shown (See Note 2).
(6) Not annualized.
The accompanying notes are an integral part of the financial statements.
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GOTHAM FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Gotham Absolute Return Fund, the Gotham Enhanced Return Fund, the Gotham Neutral Fund, the Gotham Index Plus Fund, the Gotham Large Value Fund, the Gotham Enhanced S&P 500 Index Fund, the Gotham Hedged Core Fund, the Gotham Defensive Long 500 Fund, the Gotham Total Return Fund and the Gotham Enhanced 500 Plus Fund (each a “Fund” and together, the “Funds”) are each a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each of the Funds, except for the Gotham Index Plus Fund, offers one class of shares, Institutional Class. The Gotham Index Plus Fund offers two classes of shares, Institutional Class and Investor Class. The Funds’ commencement of operations are as follows:
Gotham Absolute Return Fund (“Absolute Return”) August 31, 2012
Gotham Enhanced Return Fund (“Enhanced Return”) May 31, 2013
Gotham Neutral Fund (“Neutral”) August 30, 2013
Gotham Index Plus Fund (“Index Plus”) March 31, 2015
Gotham Large Value Fund (“Large Value”) December 31, 2015
Gotham Enhanced S&P 500 Index Fund (“Enhanced S&P 500 Index”) December 30, 2016
Gotham Hedged Core Fund (“Hedged Core”) September 30, 2016
Gotham Defensive Long 500 Fund (“Defensive Long 500”) September 30, 2016
Gotham Total Return Fund (“Total Return”)
(operates as a “Fund of Funds”) 		March 31, 2015
Gotham Enhanced 500 Plus Fund (“Enhanced 500 Plus”) September 30, 2016
All the Funds, except for Large Value, Enhanced S&P 500 Index and Total Return, seek to achieve their investment objectives by primarily investing in long and short positions of U.S. equity securities. Equity securities include common and preferred stocks. Large Value seeks to achieve its investment objective by primarily investing in long positions of U.S. large capitalization equity securities with market capitalization similar to companies in the S&P 500® Index or Russell 1000® Index, but may invest in other large capitalization companies. Enhanced S&P 500 Index seeks to achieve its investment objective by generally investing at least 80% of its assets in U.S. equity securities listed in the S&P 500® Index. Total Return seeks to achieve its investment objective by primarily investing in other investment companies advised or sub-advised by Gotham.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each business day the NYSE is open. Each Fund’s equity securities, including exchange-traded funds, listed on any national or foreign exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing sale or official closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Securities that do not have a readily available current market value are valued in good faith by Gotham Asset Management, LLC (“Gotham” or “the Adviser”) as “valuation designee” under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees. Prices for equity securities normally are supplied by an independent pricing service approved by the Board of Trustees (the “Board”). Any assets held by a Fund that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that a Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when a Fund does not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of a Fund. Certain Funds
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(Unaudited)
invest in securities of other investment companies, which are valued at their respective NAVs as determined by those investment companies each business day. OTC investments (including swap agreements) are generally valued by approved pricing services that use evaluated prices from various observable market factors.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
•  Level 1 — quoted prices in active markets for identical securities;
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
All financial instruments listed in the Portfolio of Investments are considered Level 1, measured at fair value on a recurring basis based on quoted prices for identical assets in active markets, except for the following: one long security was fair valued with an end of period value of $0, $0, and $0 held by the Absolute Return, Enhanced Return and Neutral, respectively; and total return swaps with an end of period unrealized appreciation of $47,989,240, $36,958,778, $5,201,811, $138,678,147 and $3,862,052 held by Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500, respectively. These securities are considered Level 2 as of and for the six months ended March 31, 2024.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of a Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
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Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Due to/from Brokers — Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Distribution (12b-1) fees and shareholder services fees relating to a specific class are charged directly to that class. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statements of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statements of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gain/(loss) from investment transactions in the Statements of Operations. These characterizations are reflected in the accompanying financial statements. General expenses of the Trust are generally allocated to each Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular Fund in the Trust are charged directly to that Fund.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. These differences include the treatment of non-taxable dividends, capitalized dividends on short sales, losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications within the components of net assets.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to such Fund's shareholders, which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
The SEC adopted Rule 18f-4 (the “Derivatives Rule”) under the 1940 Act. The Derivatives Rule generally requires a fund to adopt a written derivatives risk management program with risk guidelines that must cover certain elements, but that will otherwise be tailored based on how a fund’s use of derivatives may affect its investment portfolio and overall risk profile. A fund’s derivatives risk management program must also include provisions for stress testing, backtesting, internal reporting and escalation, and program review elements.
The Derivatives Rule requires funds engaging in derivatives transactions to comply with an outer limit on fund leverage risk based on a fund’s value at risk (“VaR”). This outer limit is based on a relative VaR test that compares the fund’s VaR to the VaR of a designated reference portfolio for that fund, or, in the absence of an appropriate reference portfolio, to 20% of the value of the fund’s net assets.
The Derivatives Rule requires that a Fund’s Board of Directors approve the appointment of a person or persons to oversee the administration of a Fund’s derivatives risk management program (“Derivatives Risk Manager” or “DRM”). The Board has appointed a person or persons from the Fund’s investment adviser to serve as the DRM for the Program pursuant to Rule 18f-4. The DRM responsibilities include:
•       Regular communication with the Investment Adviser with respect to the implementation of the Program;
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•       Completion and monitoring of a risk assessment for each Fund; and
•       Periodic reporting to the Board.
Short Sales — All Funds except for Large Value and Enhanced S&P 500 Index may sell securities short. Total Return indirectly invests in short sales through its underlying securities. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then the Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds will comply with guidelines established by the Securities and Exchange Commission (“SEC”) and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2024, the following Funds had securities sold short, securities pledged as collateral and deposits with brokers for securities sold short:
  Value of
Securities
Sold Short 		  Securities
Pledged
as Collateral 		  Deposits with
Brokers for
Securities Sold Short
Hedged Core $2,283,526   $4,687,807   $ —
Enhanced 500 Plus 1,786,322   3,679,306   94,321
In accordance with the terms of its prime brokerage agreements, the Funds may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security. These amounts are included in dividends and fees on securities sold short on the Statements of Operations. In those instances where rebate income is in excess of dividends on securities sold short and finance charges, the net amount is shown in the Investment Income section on the Statements of Operations. On the ex-dividend date, dividends on short sales are recorded as an expense to the Fund. The following Funds had net charges as shown in the table below for the six months ended March 31, 2024:
  Dividends on
Securities Sold Short 		  Rebate
(Income)/Fees
Hedged Core $20,204   $(65,473)
Enhanced 500 Plus 14,843   (39,815)
The following Funds utilized short sales proceeds and incurred financing charges to finance purchases of long securities in order to accomplish the Funds' respective investment objectives. A financing fee is charged to the Funds based on the Federal Funds rate plus an agreed upon spread. These fees are included in dividends and fees on securities sold short on the Statements of Operations and are as follows for the six months ended March 31, 2024:
  Short Sales
(Deposits)
Proceeds 		  Financing
Charges
Hedged Core $2,741,360   $74,123
Enhanced 500 Plus 1,708,177   43,457
Swap Agreements — A swap agreement is a bilateral financial instrument that involves the exchange of cash flows between two parties on specified dates (settlement dates), where the cash flows are based on valuation changes to market referenced securities. The nominal amount on which the cash flows are calculated is called the notional amount.
Swap agreements may increase or decrease the overall volatility of the investments of a Fund and its share price. The performance of swap agreements will be affected by a change in the market value of the referenced underlying securities that
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determine the amounts of payments due to and from a Fund. If a swap agreement calls for payments by a Fund, the Fund must be prepared to make such payments when due. In addition, if the counterparty’s creditworthiness declined, the value of a swap agreement would be likely to decline, potentially resulting in losses.
Generally, swap agreements have a fixed maturity date that will be agreed upon by the parties. The agreement can be terminated before the maturity date, in whole or part, under certain circumstances, such as default by one of the parties or insolvency, among others, and can be transferred by a party only with the prior written consent of the other party. A Fund may be able to eliminate its exposure under a swap agreement either by assignment or by other disposition, or by entering into an offsetting swap agreement with the same party or a similarly creditworthy party. If the counterparty is unable to meet its obligations under the contract, declares bankruptcy, defaults or becomes insolvent, a Fund may not be able to recover the money it expected to receive under the swap agreement. A Fund will not enter into any swap agreement unless the Adviser believes that the counterparty to the transaction is creditworthy.
A swap agreement can be a form of leverage, which can magnify a Fund’s gains or losses. In order to reduce the risk associated with leveraging, a Fund may cover its current obligations under swap agreements according to guidelines established by the SEC. If a Fund enters into a swap agreement on a net basis, it will segregate assets with a daily value at least equal to the excess, if any, of a Fund’s accrued obligations under the swap agreement over the accrued amount a Fund is entitled to receive under the agreement. If a Fund enters into a swap agreement on other than a net basis, it will segregate assets with a value equal to the full amount of a Fund’s accrued obligations under the swap agreement.
Total Return Swaps: Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend accruals or payments. The unrealized appreciation or depreciation also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate (“EFFR”). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to or from the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). As of and for the six months ended March 31, 2024, only Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 held total return swaps.
For the six months ended March 31, 2024, the quarterly average notional value of the total return swaps for each Fund was as follows:
  Notional Amount
Absolute Return $(262,987,745)
Enhanced Return (25,045,682)
Neutral (54,584,672)
Index Plus (88,912,486)
Defensive Long 500 (3,036,786)
Counterparty Risk — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to counterparty risk. Certain of the derivatives entered into by the Funds may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. If a counterparty defaults on its payment obligations to the Funds, this default will cause the value of an investment in the Funds to decrease. In addition, to the extent the Funds deal with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Funds are neither restricted from dealing with any particular counterparty nor from concentrating any
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or all of its transactions with one counterparty. The ability of the Funds to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Funds.
The Funds are subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that the Funds will not sustain a loss on a transaction as a result.
For both Hedged Core and Enhanced 500 Plus, the Funds may use prime brokers with respect to its shorting strategy, which involves counterparty risk, including the risk that a prime broker may default on its obligation or become insolvent and that the Funds may lose its collateral deposit or short sale proceeds.
Liquidity Risk — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to liquidity risk. The Funds may be subject to liquidity risk primarily due to investments in derivatives. The Funds may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Funds may be unable to sell the asset or sell it at a reasonable price. In addition, the Funds may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of the Funds in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Funds may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, the Funds may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to a Master Netting agreement. In order to define their contractual rights and to secure rights that will help mitigate their counterparty risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between the Funds and the counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds' net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — During the six months ended March 31, 2024, Absolute Return, Enhanced Return, Neutral, Index Plus and Defensive Long 500 were subject to collateral requirements. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Funds generally agree not to use non-cash collateral that they receive but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they bear the risk
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of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
              Gross Amount Not Offset in the
Statements of Assets and Liabilities 		   
  Gross Amounts
of Recognized
Assets/(Liabilities) 		  Gross Amounts
Offset in the
Statements of
Assets and
Liabilities 		  Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities 		  Financial
Instruments 		  Collateral
Pledged/(Received)* 		  Net
Amount**
Absolute Return $ 47,989,240   $—   $ 47,989,240   $—   $ (26,000,000)   $21,989,240
Enhanced Return 36,958,778   —   36,958,778   —   (34,000,000)   2,958,778
Neutral 5,201,811   —   5,201,811   —   (3,600,000)   1,601,811
Index Plus 138,678,147   —   138,678,147   —   (138,678,147)   —
Defensive Long 500 3,862,052   —   3,862,052   —   (3,862,052)   —
                       
* Amount disclosed is limited to the amount of assets presented in each Statements of Assets and Liabilities. Actual collateral pledged/(received) may be more than the amount shown.
** Net amount represents the net receivable from the counterparty in the event of a default.
2. Transactions with Related Parties and Other Service Providers
Gotham Asset Management, LLC (“Gotham” or the “Adviser”) serves as investment adviser to the Funds pursuant to an investment advisory agreement with the Trust (the “Advisory Agreement”). For its services as the investment adviser, each Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at an annual rate based on average daily net assets of each Fund as shown in the table below:
Absolute Return(1) 1.50%
Enhanced Return(1) 1.50%
Neutral 1.50%
Index Plus(1) 1.00%
Large Value 0.75%
Enhanced S&P 500 Index(2) 0.50%
Hedged Core(2) 0.70%
Defensive Long 500 1.35%
Total Return(3) —
Enhanced 500 Plus 1.00%
(1) Gotham has contractually agreed to reduce the Fund's annual investment advisory fee by the dollar amount of “total annual fund operating expenses after fee waivers” attributable to any Fund assets invested in other investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), and the amount of such reduction is calculated based on the Fund's average daily assets invested in an underlying fund and the “total annual fund operating expenses after fee waivers” disclosed in such underlying fund's “Annual Fund Operating Expenses” table in the summary section of an underlying fund's currently effective prospectus. The effect of the reduction is intended to provide that Gotham's aggregate direct and indirect compensation from the Fund and any underlying fund, respectively, does not exceed the annual investment advisory fee paid by the Fund, as shown in the table.
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(2) Enhanced S&P 500 Index and Hedged Core, respectively, entered into a Support, Service and Fee Assumption Agreement (“Agreement”) with Gotham, whereby Gotham will assume and undertake to pay substantially all Fund expenses, except investment advisory fees. Under the Agreement, Gotham is entitled to a fee, computed daily and payable monthly, equal to the lesser of (i) the annualized rate of 0.15% of the Fund’s average daily net assets, or (ii) the actual amount of Gotham’s payment obligation under the Agreement.
(3) For Total Return, Gotham is not entitled to receive an investment advisory fee on assets invested in investment companies advised or sub-advised by Gotham (each an “underlying fund” and collectively, the “underlying funds”), but is entitled to receive an investment advisory fee of 1.00% of Total Return’s average net assets invested in investments other than an underlying fund. Gotham does not receive an investment advisory fee from Total Return on assets invested in an underlying fund, but does receive an investment advisory fee from each underlying fund as investment adviser to such funds. Total Return does not currently expect to invest in assets other than underlying funds; however, to the extent it does, Total Return will pay an investment advisory fee on such assets.
For all Funds, except for Absolute Return, Enhanced Return, Index Plus and Enhanced S&P 500 Index, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s total operating expenses (exclusive of taxes, “Acquired Fund Fees and Expenses,” dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). For Absolute Return, Enhanced Return, Index Plus and Enhanced S&P 500 Index, the Adviser contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of each Fund to the extent necessary to ensure that the Fund’s “Other Expenses” (exclusive of taxes, dividend and interest expense on securities sold short, interest, extraordinary items, and brokerage commissions) do not exceed the percentages set forth in the table below (on an annual basis) of each Fund’s average daily net assets (the “Other Expense Limitation”). Both the Expense Limitation and the Other Expense Limitation will remain in place until the termination date set forth below, unless the Board approves its earlier termination. The table below reflects the Expense Limitation and Other Expense Limitation amounts, respectively, as a percentage of average daily net assets, in effect during the six months ended March 31, 2024.
  Institutional
Class 		  Investor
Class 		  Termination Date
Absolute Return 0.00%   N/A   January 31, 2026
Enhanced Return 0.00%   N/A   January 31, 2026
Neutral 1.50%   N/A   January 31, 2026
Index Plus 0.15%   0.15%   January 31, 2026
Large Value 0.75%   N/A   January 31, 2026
Enhanced S&P 500 Index 0.00%   N/A   January 31, 2026
Hedged Core 0.85%   N/A   January 31, 2026
Defensive Long 500 1.35%   N/A   January 31, 2026
Total Return(1) 0.00%   N/A   January 31, 2026
Enhanced 500 Plus 1.15%   N/A   January 31, 2026
(1) Per the Expense Limitation agreement for the Fund, the expenses subject to the expense limitation are also exclusive of management fees, if any.
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March 31, 2024
(Unaudited)
For the six months ended March 31, 2024, investment advisory fees accrued and waivers were as follows:
  Gross
Advisory Fee 		  Waivers and/or
Reimbursements 		  Net Advisory Fee/
(Reimbursement)
Absolute Return $4,431,730   $(684,544)   $3,747,186
Enhanced Return 1,293,573   (263,095)   1,030,478
Neutral 522,399   (159,626)   362,773
Index Plus 2,300,351   (172,741)   2,127,610
Large Value 138,164   (83,994)   54,170
Enhanced S&P 500 Index 49,658   (14,898)   34,760
Hedged Core 23,132   —   23,132
Defensive Long 500 114,926   (73,584)   41,342
Total Return —   (77,636)   (77,636)
Enhanced 500 Plus 19,771   (49,161)   (29,390)
For all Funds, except for Absolute Return, Enhanced Return, Neutral, Large Value, Enhanced S&P 500 Index and Defensive Long 500, the Adviser is entitled to recover, subject to approval by the Board, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless a Fund’s expenses are below the Expense Limitation amount. As of March 31, 2024, the amounts of potential reimbursement from the Funds to the Adviser are as follows:
  Expiration
  09/30/2024   09/30/2025   09/30/2026   03/31/2027   Total
Index Plus                  
Institutional Class $154,354   $402,809   $417,473   $168,603   $1,143,239
Investor Class 4,528   10,996   10,888   4,138   30,550
Total Return 88,762   195,738   172,817   77,636   534,953
Enhanced 500 Plus 54,290   83,147   106,046   49,161   292,644
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and has agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statements of Operations.
Pershing LLC provides prime brokerage services to the Funds under an Agreement for Prime Brokerage Services. Pershing LLC is a wholly owned subsidiary of The Bank of New York Mellon Corporation.
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Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for Investor Class shares of Index Plus, in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, Index Plus compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25%, on an annualized basis of the average daily net assets of Index Plus's Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
Investment in Affiliated Funds
The following table lists each issuer owned by Enhanced Return, Index Plus and Total Return that may be deemed an “affiliated company” under the 1940 Act, as well as transactions that occurred in the security of such issuers during the six months ended March 31, 2024:
Enhanced Return                                    
Name of Issuer   Value at
09/30/23 		  Purchase
Cost 		  Sales
Proceeds 		  Net
Realized
Gain/(Loss) 		  Change in
Unrealized
Appreciation/
(Depreciation) 		  Value at
03/31/24 		  Shares
Held at
03/31/24 		  Dividend
Income 		  Distributions
of Realized
Gains
Gotham 1000 Value ETF   $40,905,876   $14,003,860   $10,961,912   $1,319,612   $ 6,972,824   $ 52,240,260   2,190,000   $ 674,908   $—
Gotham Enhanced 500 ETF   42,652,080   —   —   —   9,138,240   51,790,320   1,800,000   497,677   —
Total   $83,557,956   $14,003,860   $10,961,912   $1,319,612   $16,111,064   $104,030,580       $1,172,585   $—
Index Plus                                    
Name of Issuer   Value at
09/30/23 		  Purchase
Cost 		  Sales
Proceeds 		  Net
Realized
Gain/(Loss) 		  Change in
Unrealized
Appreciation/
(Depreciation) 		  Value at
03/31/24 		  Shares
Held at
03/31/24 		  Dividend
Income 		  Distributions
of Realized
Gains
Gotham Enhanced 500 ETF   $214,689,245   $63,140,013   $25,615,880   $1,846,880   $51,942,848   $306,003,106   10,635,300   $2,730,037   $—
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Total Return                                    
Name of Issuer   Value at
09/30/23 		  Purchase
Cost 		  Sales
Proceeds 		  Net
Realized
Gain/(Loss) 		  Change in
Unrealized
Appreciation/
(Depreciation) 		  Value at
03/31/24 		  Shares
Held at
03/31/24 		  Dividend
Income 		  Distributions
of Realized
Gains
Gotham 1000 Value ETF   $ 5,762,776   $ 35,631   $2,415,077   $ 393,108   $ 681,064   $ 4,457,502   186,866   $101,316   $ —
Gotham Defensive Long 500 Fund   1,984,489   —   984,846   348,337   41,828   1,389,808   79,920   —   —
Gotham Enhanced S&P 500 Index Fund   3,169,848   107,307   1,755,488   386,064   171,774   2,079,505   118,020   48,441   58,865
Gotham Hedged Core Fund   2,913,476   42,189   1,388,833   183,803   331,004   2,081,639   167,604   30,851   11,338
Gotham Large Value Fund   3,654,418   636,764   1,769,012   (221,865)   553,740   2,854,045   190,906   59,348   293,280
Gotham Neutral Fund   1,998,012   20,664   884,516   202,223   56,352   1,392,735   105,430   —   —
Total   $19,483,019   $842,555   $9,197,772   $1,291,670   $1,835,762   $14,255,234       $239,956   $363,483
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
  Purchases   Sales
Absolute Return $719,023,740   $809,601,924
Enhanced Return 195,917,533   188,211,225
Neutral 134,446,640   136,551,280
Index Plus 520,517,109   403,962,989
Large Value 73,946,993   59,080,907
Enhanced S&P 500 Index 16,077,110   18,008,957
Hedged Core 7,928,163   10,798,737
Defensive Long 500 14,019,094   16,172,677
Total Return 842,555   9,197,772
Enhanced 500 Plus 4,744,609   4,730,496
For the six months ended March 31, 2024, the Funds had no purchases and sales of U.S. Government securities.
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
4. Capital Share Transactions
For six months ended March 31, 2024 and the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Value   Shares   Value
Absolute Return:              
Institutional Class              
Sales 4,902,693   $ 98,726,751   8,477,602   $ 155,573,132
Reinvestments 653,973   12,458,179   —   —
Redemption Fees* —   155   —   447
Redemptions (8,123,242)   (160,111,441)   (9,293,665)   (169,625,287)
Net decrease (2,566,576)   $ (48,926,356)   (816,063)   $ (14,051,708)
 
               
Enhanced Return:              
Institutional Class              
Sales 1,236,198   $ 15,228,920   3,547,437   $ 37,676,157
Reinvestments 1,481,304   16,398,034   1,517,004   15,822,357
Redemption Fees* —   5,094   —   24
Redemptions (1,356,789)   (16,403,616)   (9,962,634)   (104,083,508)
Net increase/(decrease) 1,360,713   $ 15,228,432   (4,898,193)   $ (50,584,970)
 
               
Neutral:              
Institutional Class              
Sales 639,939   $ 7,893,996   890,177   $ 9,661,525
Reinvestments —   —   —   —
Redemption Fees* —   —   —   —
Redemptions (409,252)   (5,079,128)   (1,835,161)   (20,006,733)
Net increase/(decrease) 230,687   $ 2,814,868   (944,984)   $ (10,345,208)
 
               
Index Plus:              
Institutional Class              
Sales 6,733,752   $ 150,756,309   3,228,802   $ 64,260,674
Reinvestments 595,463   13,016,824   274,450   5,192,591
Redemption Fees* —   6,344   —   295
Redemptions (1,757,416)   (40,243,513)   (5,233,799)   (106,179,078)
Net increase/(decrease) 5,571,799   $ 123,535,964   (1,730,547)   $ (36,725,518)
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Value   Shares   Value
 
Investor Class              
Sales 142,504   $ 3,325,199   29,396   $ 591,271
Reinvestments 22,533   490,529   10,495   197,825
Redemption Fees* —   156   —   8
Redemptions (49,810)   (1,130,477)   (79,384)   (1,601,694)
Net increase/(decrease) 115,227   $ 2,685,407   (39,493)   $ (812,590)
 
Total net increase/(decrease) 5,687,026   $ 126,221,371   (1,770,040)   $ (37,538,108)
               
Large Value:              
Institutional Class              
Sales 1,594,591   $ 22,441,280   223,208   $ 3,069,441
Reinvestments 233,726   3,031,430   229,612   3,134,210
Redemption Fees* —   229   —   —
Redemptions (564,289)   (7,840,623)   (1,235,712)   (16,882,054)
Net increase/(decrease) 1,264,028   $ 17,632,316   (782,892)   $ (10,678,403)
 
               
Enhanced S&P 500 Index:              
Institutional Class              
Sales 117,673   $ 1,881,534   349,659   $ 5,021,211
Reinvestments 40,464   618,689   87,143   1,173,810
Redemption Fees* —   —   —   135
Redemptions (239,194)   (3,996,357)   (224,572)   (3,163,984)
Net increase/(decrease) (81,057)   $ (1,496,134)   212,230   $ 3,031,172
 
               
Hedged Core:              
Institutional Class              
Sales 6,221   $ 70,256   194   $ 1,941
Reinvestments 7,866   86,606   50,909   524,367
Redemption Fees* —   67   —   —
Redemptions (186,759)   (2,196,579)   (71,179)   (725,837)
Net decrease (172,672)   $ (2,039,650)   (20,076)   $ (199,529)
 
               
Defensive Long 500:              
Institutional Class              
Sales 30,674   $ 501,853   238,867   $ 3,246,406
Reinvestments —   —   3,676   51,435
Redemption Fees* —   —   —   —
Redemptions (175,684)   (2,842,537)   (456,322)   (6,516,288)
Net decrease (145,010)   $ (2,340,684)   (213,779)   $ (3,218,447)
 
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Value   Shares   Value
               
Total Return:              
Institutional Class+              
Sales 1,089   $ 12,999   2,840   $ 33,377
Reinvestments 122,128   1,443,551   149,698   1,746,981
Redemption Fees* —   —   —   18
Redemptions (686,158)   (9,036,553)   (122,476)   (1,416,920)
Converted from Investor Class Shares —   —   92,912   1,089,202
Net increase/(decrease) (562,941)   $ (7,580,003)   122,974   $ 1,452,658
 
Investor Class+              
Sales —   $ —   954   $ 11,950
Reinvestments —   —   21,817   254,381
Redemption Fees* —   —   —   1
Redemptions —   —   (156,265)   (1,777,724)
Converted to Institutional Class Shares —   —   (92,993)   (1,089,209)
Net decrease —   $ —   (226,487)   $ (2,600,601)
 
Total net decrease (562,941)   $ (7,580,003)   (103,513)   $ (1,147,943)
               
Enhanced 500 Plus:              
Institutional Class              
Sales 190   $ 2,695   862   $ 9,500
Reinvestments 15,806   193,783   39,432   436,510
Redemption Fees* —   —   —   —
Redemptions —   —   (18,556)   (205,705)
Net increase 15,996   $ 196,478   21,738   $ 240,305
 
               
+ Investor Class Shares were converted to Institutional Class Shares on January 30, 2023.
* There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 30 days or less. The redemption fees are retained by each Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
Significant Shareholders
As of March 31, 2024, the Funds below had shareholders that held 10% or more of the total outstanding shares of each respective Fund. Transactions by these shareholders may have a material impact on each respective Fund.
Neutral  
Affiliated Fund 2%
Large Value  
Affiliated Fund 5%
Non-affiliated Shareholder 39%
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Enhanced S&P 500 Index  
Affiliated Fund 10%
Affiliated Shareholders 1%
Non-affiliated Shareholder 15%
Hedged Core  
Affiliated Fund 36%
Non-affiliated Shareholder 58%
Defensive Long 500  
Affiliated Fund 8%
Non-affiliated Shareholder 76%
Total Return  
Affiliated Shareholders 22%
Non-affiliated Shareholder 52%
Enhanced 500 Plus  
Non-affiliated Shareholder 96%
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
The tax character of distributions paid by the Funds during the year ended September 30, 2023, were as follows:
  Ordinary
Income
Dividend 		  Long-Term
Capital Gain
Dividend 		  Return
of Capital
Enhanced Return $ —   $16,644,612   $—
Index Plus —   7,844,713   —
Large Value 465,370   2,698,784   —
Enhanced S&P 500 Index 120,259   1,053,798   —
Hedged Core 59,308   465,059   —
Defensive Long 500 51,435   —   —
Total Return 110,266   1,897,607   —
Enhanced 500 Plus 18,308   418,202   —
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
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GOTHAM FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
  Capital Loss
Carryforward 		  Undistributed
Ordinary
Income 		  Undistributed
Long-Term
Gain 		  Unrealized
Appreciation/
(Depreciation) 		  Qualified
Late-Year
Losses
Absolute Return $ —   $ —   $18,082,554   $ 89,668,480   $(1,435,471)
Enhanced Return —   —   17,953,240   45,998,170   (1,999,203)
Neutral (71,107,034)   —   —   13,614,208   (317,812)
Index Plus —   —   16,035,507   108,331,410   (2,012,178)
Large Value —   213,176   2,379,773   1,554,262   —
Enhanced S&P 500 Index —   218,226   203,508   1,629,118   —
Hedged Core —   45,301   —   440,312   (42,919)
Defensive Long 500 (3,510,812)   —   —   5,067,274   (90,016)
Total Return —   56,300   811,168   415,156   —
Enhanced 500 Plus —   26,521   92,565   420,212   —
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes. The temporary differences as of September 30, 2023, were primarily attributed to wash sales, capital loss carryforward not yet utilized, deferral of loss on unsettled short sale transactions, straddle losses outstanding and amortization of organizational costs. Foreign currency and short-term capital gains are reported as ordinary income for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregated gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
    Federal
Tax Cost* 		  Unrealized
Appreciation 		  Unrealized
(Depreciation) 		  Net Unrealized
Appreciation
Absolute Return   $513,520,322   $186,352,423   $(29,268,838)   $157,083,585
Enhanced Return   182,249,355   92,294,944   (13,724,685)   78,570,259
Neutral   64,173,586   18,553,295   (5,017,241)   13,536,054
Index Plus   558,592,355   293,216,090   (47,800,318)   245,415,772
Large Value   47,095,288   7,231,751   (256,916)   6,974,835
Enhanced S&P 500 Index   14,623,098   5,361,360   (107,004)   5,254,356
Hedged Core   6,261,423   1,846,822   (146,116)   1,700,706
Defensive Long 500   13,288,825   8,167,810   (1,256,683)   6,911,127
Total Return   11,964,862   2,435,230   (144,858)   2,290,372
Enhanced 500 Plus   4,709,207   1,472,119   (239,323)   1,232,796
* Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report.
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GOTHAM FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30 or (ii) specified ordinary losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2023. For the year ended September 30, 2023, the Funds deferred to October 1, 2023 the following losses:
  Late-Year Ordinary
Losses Deferral 		  Short-Term Capital
Loss Deferral 		  Long-Term Capital
Loss Deferral
Absolute Return $1,435,471   $ —   $—
Enhanced Return 1,999,203   —   —
Neutral 317,812   —   —
Index Plus 2,012,178   —   —
Hedged Core —   42,919   —
Defensive Long 500 90,016   —   —
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of September 30, 2023, the following Funds had total capital loss carryforwards in the following amounts:
  Capital Loss Carryforward
  Short-Term   Long-Term
Neutral $71,107,034   $—
Defensive Long 500 3,510,812   —
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
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GOTHAM FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 974-6852 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Funds' portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
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GOTHAM FUNDS
Statement Regarding Liquidity Risk Management Program
(Unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of FundVantage Trust, on behalf of the Gotham Funds (each a “Fund” and, collectively, the “Funds”), met on November 29-30, 2023 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the Funds, pursuant to the Liquidity Rule. The Board has appointed a committee of individuals to serve as the program administrator for the Funds’ Program (the “Program Committee”). At the Meeting, the Program Committee provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation and any material changes to the Program as of September 30, 2023 (the “Report”).
The Report described the Program’s liquidity classification methodology. It also described the Program Committee’s methodology in determining whether a Highly Liquid Investment Minimum (a “HLIM”) is necessary and noted that, given the composition of each Fund’s portfolio holdings, a HLIM was not currently required for any of the Funds.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing liquidity risk, as follows:
A. Each Fund’s investment strategy and liquidity of Fund investments during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed each Fund’s strategy and its determination that the strategy remains appropriate for an open-end fund structure. This determination was based on each Fund’s holdings of Highly Liquid Investments, the diversification of holdings and the related average position size of the holdings.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: As part of the Report, the Program Committee reviewed historical net redemption activity and noted that it used this information as a component to establish each Fund’s reasonably anticipated trading size. Each Fund has adopted an in-kind redemption policy which may be utilized to meet larger redemption requests. The Program Committee also took into consideration each Fund’s shareholder ownership concentration and the fact that shares of the Funds are offered through intermediaries. The intermediary agreements increase the likelihood of large unanticipated redemptions, meaning a Fund may not have the ability to conduct an orderly sale of portfolio securities. The amount of assets a Fund has on these platforms is a significant factor in the ability of the Fund to meet redemption expectations. In light of each Fund’s holdings, it was noted that each Fund maintains a high level of liquidity to meet shareholder redemptions under both normal and stressed market conditions.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: As part of the Report, the Program Committee reviewed any changes in each Fund’s cash and cash equivalents positions in response to current/anticipated redemption activity or market conditions. It was noted that the Funds do not currently have a borrowing or other credit funding arrangement.
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Table of Contents
Investment Adviser
Gotham Asset Management, LLC
825 Third Avenue, 17th Floor
New York, NY 10022
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
GOTI-0324

Polen Opportunistic High Yield Fund
of
FundVantage Trust
Institutional Class
Investor Class
Class Y
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class 6.38%   11.54%   2.06%   2.71%   4.35% *
ICE BofA U.S. High Yield Index 8.68%   11.04%   2.21%   4.03%   4.76% **
† Not Annualized.
* The Polen Opportunistic High Yield Fund (the “Fund”) Institutional Class commenced operations on July 16, 2015.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   3 Years   5 Years   Since
Inception
Investor Class 6.18%   11.17%   1.68%   2.37%   3.99% *
ICE BofA U.S. High Yield Index 8.68%   11.04%   2.21%   4.03%   4.76% **
† Not Annualized.
* The Polen Opportunistic High Yield Fund (the “Fund”) Investor Class commenced operations on July 16, 2015.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   3 Years   5 Years   Since
Inception
Class Y 6.50%   11.72%   2.12%   2.72%   4.35% *
ICE BofA U.S. High Yield Index 8.68%   11.04%   2.21%   4.03%   4.76% **
† Not Annualized.
* The Polen Opportunistic High Yield Fund (the “Fund”) Class Y commenced operations on July 16, 2015.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (888) 678-6024. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund acquired the assets and liabilities of the Polen DDJ Opportunistic High Yield Fund (the “Predecessor Fund”), a series of ALPS Series Trust, on July 24, 2023. As a result of the reorganization, the Fund is the accounting successor of the Predecessor Fund. Performance results shown in the performance table above for the periods prior to July 24, 2023, reflect the performance of the Predecessor Fund.
The Fund’s “Total Annual Fund Operating Expenses” and “Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement”, as stated in the current prospectus dated February 1, 2024, are 0.92% and 0.89%, respectively, for the Institutional Class shares, 1.26% and 1.14%, respectively, for the Investor Class shares and 0.91% and 0.79%, respectively, for the Class Y shares of the Fund’s average daily net assets, which may differ from the actual expenses incurred by the Fund for the period covered by this report. Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.89% (on an annual basis) with respect to Institutional Class shares and Investor Class shares and 0.79% with respect to Class Y shares’ average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2025 unless the Board of Trustees (“Board of Trustees”) of the Trust approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation
1

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Semi-Annual Report
Performance Data (Concluded)
March 31, 2024
(Unaudited)
and/or assumed expenses for the Fund. The Adviser is permitted to seek reimbursement from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation amount. Total returns would be lower had such fees and expenses not been waived and/or reimbursed.
The Fund evaluates its performance as compared to that of the ICE BofA U.S. High Yield Index, maintained by ICE BofA and comprised of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Indexes are unmanaged and it is not possible to invest directly in an index.
The Fund intends to invest its assets primarily in credit instruments that are rated below investment grade by some or all relevant independent rating agencies, including Moody’s Investors Service, Standard and Poor’s Rating Services and Fitch Ratings (including a significant portion of such assets in credit instruments in the lower tier of the high yield market that are rated B and below). Additionally, certain other high yield securities may be unrated by rating agencies, but determined by the Adviser to be of similar quality as other below investment grade bonds and credit instruments and accordingly purchased for investment by the Fund. The Fund does not have a percentage limitation on investing in securities that are rated below investment grade.
Credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All Fund securities except for those labeled “Not Rated” and “Other” have been rated by Moody’s, S&P or Fitch, which are each a Nationally Recognized Statistical Rating Organization (“NRSRO”). All Index securities except for those labeled “Not Rated” have been rated by Moody’s or S&P. Credit ratings are subject to change.
Mutual fund investing involves risk, including possible loss of principal. It is possible to lose money on an investment in the Fund. Fixed-income investments are subject to interest rate risk; as interest rates rise, their value will decline. Lower-rated securities are subject to additional credit and default risks. Investments in bank loans, which are made by banks or other financial intermediaries to borrowers, will depend primarily upon the creditworthiness of the borrower for payment of principal and interest. Trading in Rule 144A securities may be less active than trading in publicly traded securities. Investments with low trading volumes may be difficult to sell at quoted market prices.
2

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including applicable redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any) or redemption fees. Therefore, the second line of each accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning Account Value
October 1, 2023 		  Ending Account Value
March 31, 2024 		  Annualized
Expense Ratio 		  Expenses Paid
During Period*
Polen Opportunistic High Yield Fund
Institutional Class              
Actual $1,000.00   $1,063.80   0.89%   $4.59
Hypothetical (5% return before expenses) 1,000.00   1,020.55   0.89%   4.50
Investor Class              
Actual $1,000.00   $1,061.80   1.14%   $5.88
Hypothetical (5% return before expenses) 1,000.00   1,019.30   1.14%   5.76
Class Y              
Actual $1,000.00   $1,065.00   0.79%   $4.08
Hypothetical (5% return before expenses) 1,000.00   1,021.05   0.79%   3.99
* Expenses are equal to an annualized expense ratio for the six-month period ended March 31, 2024 of 0.89% for Institutional Class, 1.14% for Investor Class and 0.79% for Class Y, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Fund's ending account values on the first line of each table are based on the actual six-month total returns for the Fund of 6.38%, 6.18% and 6.50% for Institutional Class, Investor Class and Class Y, respectively.
3

 

Polen Opportunistic High Yield Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by industry of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
CORPORATE BONDS:      
Materials 12.8%   $ 40,286,604
Industrial Products 11.9   37,354,929
Health Care 7.1   22,262,696
Insurance 5.6   17,581,605
Software & Technology Services 5.3   16,510,712
Consumer Discretionary Products 4.5   14,178,510
Consumer Discretionary Services 3.9   12,424,436
Financial Services 3.6   11,222,498
Media 3.4   10,676,436
Retail & Wholesale - Discretionary 3.3   10,411,705
Consumer Staple Products 2.0   6,377,407
Oil & Gas 0.9   2,806,019
Industrial Services 0.6   1,929,727
Retail & Wholesale - Staples 0.6   1,906,823
SENIOR LOANS:      
Media 5.8   18,345,775
Health Care 3.9   12,125,621
Industrial Services 2.7   8,622,233
Consumer Discretionary Services 2.7   8,442,444
Software & Technology Services 2.5   7,943,025
Materials 2.5   7,896,606
Industrial Products 2.3   7,158,103
Consumer Staple Products 2.2   6,738,247
Technology Hardware & Semiconductors 1.2   3,758,185
Consumer Discretionary Products 1.0   3,014,046
Financial Services 0.8   2,401,027
Retail & Wholesale - Discretionary 0.6   1,985,437
Insurance 0.6   1,834,888
Retail & Wholesale - Staples 0.3   923,363
Telecommunications 0.1   432,320
COMMON STOCKS:      
Materials 0.2   670,658
Industrial Products 0.2   502,226
Retail & Wholesale - Discretionary 0.0   122,745
Software & Technology Services 0.0   14,742
WARRANTS:      
Industrial Products 0.0   —
Other Assets in Excess of Liabilities 4.9   15,407,896
NET ASSETS 100.0%   $314,269,694
Portfolio holdings are subject to change at any time.
See Note 1. The industry designations set forth in the schedule above are those of the Bloomberg Industry Classification System ("BICS").
The accompanying notes are an integral part of the financial statements.
4

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS† — 65.5%
Consumer Discretionary Products — 4.5%
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(a) $ 2,040,000   $   2,025,346
Clarios Global LP, 8.50%, 5/15/27(a)  1,080,000     1,083,443
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(a)  8,080,000     7,170,687
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(a)   4,450,000     3,899,034
       14,178,510
Consumer Discretionary Services — 3.9%
Boyd Gaming Corp., 4.75%, 6/15/31(a)  2,470,000     2,272,570
Raising Cane's Restaurants, LLC, 9.375%, 5/1/29(a)  7,140,000     7,723,459
Scientific Games Holdings LP, 6.625%, 3/1/30(a)   2,510,000     2,428,407
       12,424,436
Consumer Staple Products — 2.0%
B&G Foods, Inc., 5.25%, 4/1/25  1,370,000     1,364,072
Fiesta Purchaser, Inc., 7.875%, 3/1/31(a)  1,790,000     1,849,901
Simmons Foods, Inc., 4.625%, 3/1/29(a)   3,580,000     3,163,434
        6,377,407
Financial Services — 3.6%
NFP Corp., 6.875%, 8/15/28(a)  9,500,000     9,625,552
NFP Corp., 8.50%, 10/1/31(a)   1,450,000     1,596,946
       11,222,498
Health Care — 7.1%
Fortrea Holdings, Inc., 7.50%, 7/1/30(a)  2,700,000     2,792,264
Option Care Health, Inc., 4.375%, 10/31/29(a)  5,150,000     4,729,443
Surgery Center Holdings, Inc., 6.75%, 7/1/25(a)  1,023,000     1,023,742
Surgery Center Holdings, Inc., 10.00%, 4/15/27(a)  3,686,000     3,694,762
Surgery Center Holdings, Inc., 7.25%, 4/15/32(a)  2,520,000     2,544,188
Tenet Healthcare Corp., 6.125%, 10/1/28   7,490,000     7,478,297
       22,262,696
Industrial Products — 11.9%
Chart Industries, Inc., 7.50%, 1/1/30(a)   4,230,000     4,399,044
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Industrial Products — (Continued)
Chart Industries, Inc., 9.50%, 1/1/31(a) $4,150,000   $   4,522,393
F-Brasile SpA, Series XR, 7.375%, 8/15/26(a) 4,690,000     4,683,470
Madison IAQ, LLC, 5.875%, 6/30/29(a) 7,250,000     6,643,300
Material Sciences Corp., 12.79%, 7/9/26(b)(c)(d) 105,420       105,420
SPX Flow, Inc., 8.75%, 4/1/30(a) 5,805,000     5,869,093
Titan Acquisition Ltd., 7.75%, 4/15/26(a) 3,521,000     3,519,785
TransDigm, Inc., 6.75%, 8/15/28(a) 1,460,000     1,482,845
TransDigm, Inc., 4.875%, 5/1/29 1,660,000     1,545,851
TransDigm, Inc., 6.875%, 12/15/30(a) 3,510,000     3,581,945
TransDigm, Inc., 6.625%, 3/1/32(a) 990,000     1,001,783
       37,354,929
Industrial Services — 0.6%
IEA Energy Services, LLC, 6.625%, 8/15/29(a) 2,000,000     1,929,727
Insurance — 5.6%
AssuredPartners, Inc., 7.50%, 2/15/32(a) 4,000,000     3,934,250
GTCR AP Finance, Inc., 8.00%, 5/15/27(a) 2,080,000     2,088,593
HUB International Ltd., 7.375%, 1/31/32(a) 9,310,000     9,378,512
Jones Deslauriers Insurance Management, Inc., 8.50%, 3/15/30(a) 2,090,000     2,180,250
       17,581,605
Materials — 12.8%
AmeriTex HoldCo Intermediate, LLC, 10.25%, 10/15/28(a) 1,350,000     1,451,123
Baffinland Iron Mines Corp., 8.75%, 7/15/26(a) 12,480,000    11,546,965
Century Aluminum Co., 7.50%, 4/1/28(a) 12,415,000    12,400,467
Intelligent Packaging Ltd. Finco, Inc., 6.00%, 9/15/28(a) 1,430,000     1,360,180
LABL, Inc., 6.75%, 7/15/26(a) 1,820,000     1,798,545
LABL, Inc., 9.50%, 11/1/28(a) 600,000       607,703
Northwest Acquisitions ULC, 7.125%, 11/1/22(a)(c)(e) 1,650,000         1,997
Oscar AcquisitionCo., LLC, 9.50%, 4/15/30(a) 6,670,000     6,586,137
 
The accompanying notes are an integral part of the financial statements.
5

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Materials — (Continued)
SCIH Salt Holdings, Inc., 6.625%, 5/1/29(a) $3,863,000   $   3,580,134
Specialty Steel Holdings, Inc., 15.39%, 11/15/26(b)(c) 195,000       195,000
Trident TPI Holdings, Inc., 12.75%, 12/31/28(a) 710,000       758,353
       40,286,604
Media — 3.4%
Arches Buyer, Inc., 6.125%, 12/1/28(a) 1,940,000     1,631,649
CCO Holdings, LLC, 4.50%, 5/1/32 1,840,000     1,479,024
CCO Holdings, LLC , 4.50%, 6/1/33(a) 1,890,000     1,477,881
CCO Holdings, LLC , 4.25%, 1/15/34(a) 2,930,000     2,216,493
Clear Channel Outdoor Holdings, Inc., 9.00%, 9/15/28(a) 1,840,000     1,919,738
Clear Channel Outdoor Holdings, Inc., 7.875%, 4/1/30(a) 940,000       935,228
Scripps Escrow II, Inc., 5.375%, 1/15/31(a) 1,490,000       918,548
Sterling Entertainment Enterprises, LLC, 10.25%, 1/15/25(b)(c)(d) 100,000        97,875
       10,676,436
Oil & Gas — 0.9%
Forum Energy Technologies, Inc., 9.00%, 8/4/25 1,682,042     1,682,883
Teine Energy Ltd., 6.875%, 4/15/29(a) 1,150,000     1,123,136
        2,806,019
Retail & Wholesale - Discretionary — 3.3%
Hertz Corp. (The), 4.625%, 12/1/26(a) 1,710,000     1,554,234
High Ridge Brands Escrow, 8.875%, 3/15/25(b)(c) 125,000            —
SRS Distribution, Inc., 6.00%, 12/1/29(a) 4,840,000     4,943,697
Wand NewCo 3, Inc., 7.625%, 1/30/32(a) 3,780,000     3,913,774
       10,411,705
Retail & Wholesale - Staples — 0.6%
US Foods, Inc., 7.25%, 1/15/32(a) 1,830,000     1,906,823
  Par
Value 		  Value
CORPORATE BONDS — (Continued)
Software & Technology Services — 5.3%
Boost Newco Borrower, LLC, 7.50%, 1/15/31(a) $ 660,000   $     691,741
Central Parent, Inc., 7.25%, 6/15/29(a) 770,000       786,812
Central Parent, LLC, 8.00%, 6/15/29(a) 780,000       809,080
Dun & Bradstreet Corp. (The), 5.00%, 12/15/29(a) 720,000       665,639
Presidio Holdings, Inc., 8.25%, 2/1/28(a) 5,730,000     5,712,690
Twilio, Inc., 3.875%, 3/15/31 1,580,000     1,381,333
UKG, Inc., 6.875%, 2/1/31(a)(c) 6,340,000     6,463,417
       16,510,712
TOTAL CORPORATE BONDS
(Cost $205,142,218) 		    205,930,107
SENIOR LOANS†(f) — 29.2%
Consumer Discretionary Products — 1.0%
DexKo Global, Inc., 2023 Incremental Term Loans, 9.559% (SOFR +425 bps), 10/4/28 778,050       776,105
RealTruck Goup, Inc., Initial Term Loan, 8.945% (SOFR +361 bps), 1/31/28 2,252,583     2,237,941
        3,014,046
Consumer Discretionary Services — 2.7%
Kuehg Corp., Initial Term Loan, 10.302% (SOFR +500 bps), 6/12/30(g) 4,202,725     4,219,557
Learning Care Group U.S. No.2, Inc., Initial Term Loans, 10.059% - 10.093% (SOFR +475 bps), 8/11/28 4,208,850     4,222,887
        8,442,444
Consumer Staple Products — 2.2%
Kronos Acquisition Holdings, Inc., Tranche B-1 Term Loan, 9.314% (SOFR +401 bps), 12/22/26 4,515,000     4,526,017
VC GB Holdings I Corp., Second Lien Initial Term Loan, 12.314% (SOFR +701 bps), 7/23/29 2,220,000     2,212,230
        6,738,247
 
The accompanying notes are an integral part of the financial statements.
6

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
SENIOR LOANS — (Continued)
Financial Services — 0.8%
Nexus Buyer, LLC, Amendment No. 5 Term Loans, 9.827% (SOFR +450 bps), 12/11/28 $1,491,000   $   1,484,477
Nexus Buyer, LLC, Second Lien Term Loan, 11.677% (SOFR +635 bps), 11/5/29 920,000       916,550
        2,401,027
Health Care — 3.9%
Aveanna Healthcare, LLC, Initial Term Loan, 12.493% (SOFR +715 bps), 12/10/29 4,000,000     3,450,000
EyeCare Partners, LLC, First Lien Amendment No. 2 Term Loans, 9.913% (SOFR +450 bps), 11/15/28(c) 1,273,875       684,708
EyeCare Partners, LLC, Second Lien Initial Term Loan, 12.324% (SOFR +701 bps), 11/15/29(c) 3,430,000     1,269,100
Medical Solutions Holdings, Inc., Second Lien Term Loan, 12.427% (SOFR +710 bps), 11/1/29 1,770,000     1,442,550
Packaging Coordinators Midco, Inc., First Lien Term B Loan, 9.071% (SOFR +376 bps), 11/30/27 4,363,766     4,378,013
SM Wellness Holdings, Inc., Second Lien Initial Term Loan, 13.574% (SOFR +800 bps), 4/16/29(b)(c) 1,030,000       901,250
       12,125,621
Industrial Products — 2.3%
Engineered Machinery Holdings, Inc., Incremental USD 1st Lien Term Loan, 9.321% (SOFR +401 bps), 5/19/28 1,112,890     1,110,285
Engineered Machinery Holdings, Inc., Second Lien Amendment No 3 Incremental Term Loan, 11.571% (SOFR +626 bps), 5/21/29 2,645,812     2,621,563
Engineered Machinery Holdings, Inc., Second Lien Incremental Amendment No 2 Term Loan, 12.071% (SOFR +676 bps), 5/21/29 3,456,499     3,426,255
        7,158,103
  Par
Value 		  Value
SENIOR LOANS — (Continued)
Industrial Services — 2.7%
Ankura Consulting Group, LLC, Second Lien Closing Date Term Loan, 13.443% (SOFR +811 bps), 3/19/29(c) $ 650,000   $     607,750
CHG Healthcare Services, Inc., 2023 Incremental Term Loans, 9.080% - 9.093% (SOFR +375 bps), 9/29/28 1,665,825     1,672,080
Infinite Bidco, LLC, Second Lien Initial Term Loan, 12.574% (SOFR +726 bps), 3/2/29 4,245,740     3,626,563
LaserShip, Inc., Second Lien Initial Loan, 13.071% (SOFR +776 bps), 5/7/29 3,280,000     2,715,840
        8,622,233
Insurance — 0.6%
Asurion, LLC, New B-4 Term Loan, 10.692% (SOFR +536 bps), 1/20/29 2,040,000     1,834,888
Materials — 2.5%
Arctic Canadian Diamond Company Ltd., Second Lien Term Loan, 10.00%, 12/31/27(b)(c)(d) 370,501       370,500
Aruba Investments Holdings, LLC, First Lien Initial Dollar Term Loan, 9.43% (SOFR +410 bps), 11/24/27 1,678,897     1,678,897
Aruba Investments Holdings, LLC, Second Lien Initial Term Loan, 13.18% (SOFR +785 bps), 11/24/28 3,450,000     3,441,375
CP Iris Holdco I, Inc., Initial Term Loan, 12.427% (SOFR +710 bps), 10/1/29 1,720,000     1,608,200
Trident TPI Holdings, Inc., Tranche B-5 Initial Term Loan, 9.809% (SOFR +450 bps), 9/15/28 795,990       797,634
        7,896,606
Media — 5.8%
Arches Buyer, Inc., Refinancing Term Loan, 8.68% (SOFR +335 bps), 12/6/27(g) 2,912,474     2,827,736
Auction.com, LLC, Term Loan, 11.327% (SOFR +600 bps), 5/26/28 6,556,116     6,336,486
 
The accompanying notes are an integral part of the financial statements.
7

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Par
Value 		  Value
SENIOR LOANS — (Continued)
Media — (Continued)
Auction.com, LLC, Term Loan, 13.50% (PRIME +300 bps), 5/26/28 $ 17,483   $      16,897
Clear Channel Outdoor Holdings, Inc., 2024 Refinancing Term Loan, 9.441% (SOFR +411 bps), 8/21/28 1,410,000     1,411,762
MH Sub I, LLC, Second Lien Term Loan, 11.58% (SOFR +625 bps), 2/23/29 8,020,000     7,752,894
       18,345,775
Retail & Wholesale - Discretionary — 0.6%
TA TT Buyer, LLC, Initial Term Loan, 10.302% (SOFR +500 bps), 4/2/29 666,604       670,217
Wand NewCo 3, Inc., Term Loan, 9.08% (SOFR +375 bps), 1/30/31 1,310,000     1,315,220
        1,985,437
Retail & Wholesale - Staples — 0.3%
Quirch Foods Holdings, LLC, Term Loan, 10.324% (SOFR +501 bps), 10/27/27 920,486       923,363
Software & Technology Services — 2.5%
AthenaHealth Group, Inc., Initial Term Loan, 8.58% (SOFR +325 bps), 2/15/29 960,798       954,121
Cloudera, Inc., Second Lien Term Loan, 11.43% (SOFR +610 bps), 10/8/29 860,000       854,625
Mitchell International, Inc., Second Lien Initial Term Loan, 11.942% (SOFR +661 bps), 10/15/29 1,650,000     1,651,031
Skopima Consilio, Second Lien Initial Term Loan, 12.945% (SOFR +761 bps), 4/30/29 2,050,000     1,993,625
UKG, Inc., Second Lien 2021 Incremental Term Loan, 10.68% (SOFR +535 bps), 5/3/27 2,463,448     2,489,623
        7,943,025
Technology Hardware & Semiconductors — 1.2%
Altar Bidco, Inc., Second Lien Initial Term Loan, 10.399% (SOFR +560 bps), 2/1/30 3,794,939     3,758,185
  Par
Value 		  Value
SENIOR LOANS — (Continued)
Telecommunications — 0.1%
Xplornet Communications, Inc., Second Lien Initial Term Loan, 12.564% (SOFR +726 bps), 10/1/29(c) $1,930,000   $     432,320
TOTAL SENIOR LOANS
(Cost $97,173,407) 		   91,621,320
  Number
of Shares 		 
COMMON STOCKS† — 0.4%
Industrial Products — 0.2%
Utex Industries, Inc.(b)(c)(d)*   7,506   502,226
Materials — 0.2%
Arctic Canadian Diamond Co. Ltd.(b)(c)(d)*     541   150,939
Burgundy Diamond Mines Ltd.(c)(d)* 983,076   124,921
Real Alloy Holding, Inc.(b)(c)(d)*       3   226,832
Specialty Steel Holdings, Inc.(b)(c)*       1   167,966
      670,658
Retail & Wholesale - Discretionary — 0.0%
ATD New Holdings, Inc.(b)(c)*   2,940   122,745
Software & Technology Services — 0.0%
Skillsoft Corp.*   1,638    14,742
TOTAL COMMON STOCKS
(Cost $1,139,177) 		  1,310,371
  Par
Value 		 
WARRANTS † — 0.0%
Industrial Products — 0.0%
Utex Industries Holdings, LLC, Strike Price: $114.76, 12/3/25(b)(c)(d)* 1,150          —
TOTAL WARRANTS
(Cost $—) 		           —
 
TOTAL INVESTMENTS - 95.1%
(Cost $303,454,802) 		  298,861,798
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.9%    15,407,896
NET ASSETS - 100.0%   $ 314,269,694
 
The accompanying notes are an integral part of the financial statements.
8

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities were purchased in accordance with the guidelines approved by the Fund’s Board of Trustees and may be resold, in transactions exempt from registration, to qualified institutional buyers. At March 31, 2024, these securities amounted to $190,600,352 or 60.65% of net assets. These securities have been determined by the Adviser to be liquid securities.
(b) Security is fair valued by the Adviser in accordance with the policies established by the Board of Trustees.
(c) Security is deemed illiquid at March 31, 2024.
(d) Security deemed to be restricted as of March 31, 2024. As of March 31, 2024, the fair value of restricted securities in the aggregate was $1,578,713, representing 0.50% of the Fund’s net assets. Additional information on restricted securities can be found in Note 1.
(e) Security is currently in default.
(f) Floating rate note. Coupon rate, reference index and spread shown at March 31, 2024.
(g) All or a portion of this Senior Loan will settle after March 31, 2024, at which time the interest rate will be determined. Rates shown, if any, are for the settled portion.
† See Note 1. The industry designations set forth in the schedule above are those of the Bloomberg Industry Classification System ("BICS").
* Non-income producing.
LLC Limited Liability Company
LP Limited Partnership
SOFR Secured Overnight Funding Rate
USD United States Dollar
 
The accompanying notes are an integral part of the financial statements.
9

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Statement of Assets and Liabilities
March 31, 2024
(Unaudited)
Assets  
Investments, at value (Cost $303,454,802) $298,861,798
Cash and cash equivalents 12,560,343
Receivables:  
Investments sold 3,424,195
Capital shares sold 2,831
Interest 4,963,026
Prepaid expenses and other assets 7,079
Total Assets 319,819,272
Liabilities  
Payables:  
Investments purchased 4,925,579
Distributions to shareholders 335,494
Investment adviser 147,755
Capital shares redeemed 38,017
Administration and accounting fees 26,331
Shareholder servicing fees 859
Distribution fees (Investor Class Shares) 374
Accrued expenses 75,169
Total Liabilities 5,549,578
Contingencies and Commitments (Note 2) —
Net Assets $314,269,694
Net Assets Consisted of:  
Capital stock, $0.01 par value $ 432,446
Paid-in capital 353,279,354
Total distributable loss (39,442,106)
Net Assets $314,269,694
Institutional Class Shares:  
Net assets $ 3,413,610
Shares outstanding 467,274
Net asset value, offering and redemption price per share $ 7.31
Investor Class Shares:  
Net assets $ 1,772,250
Shares outstanding 243,722
Net asset value, offering and redemption price per share $ 7.27
Class Y Shares:  
Net assets $309,083,834
Shares outstanding 42,533,610
Net asset value, offering and redemption price per share $ 7.27
The accompanying notes are an integral part of the financial statements.
10

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Statement of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
Investment income  
Interest $ 13,362,623
Dividends 28,801
Total investment income 13,391,424
Expenses  
Advisory fees(Note 2) 1,061,810
Registration and filing fees 59,338
Transfer agent fees(Note 2) 38,176
Trustees’ and officers’ fees(Note 2) 30,420
Administration and accounting fees(Note 2) 30,111
Audit fees 22,426
Legal fees 13,272
Shareholder reporting fees 12,920
Custodian fees(Note 2) 7,136
Distribution fees (Investor Class)(Note 2) 2,070
Other expenses 10,317
Total expenses before waivers and reimbursements 1,287,996
Less: waivers and reimbursements(Note 2) (85,685)
Net expenses after waivers and reimbursements 1,202,311
Net investment income 12,189,113
Net realized and unrealized gain/(loss) from investments:  
Net realized loss from investments (7,770,138)
Net change in unrealized appreciation on investments 14,674,492
Net realized and unrealized gain on investments 6,904,354
Net increase in net assets resulting from operations $ 19,093,467
The accompanying notes are an integral part of the financial statements.
11

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Statements of Changes in Net Assets
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:      
Net investment income $ 12,189,113   $ 24,557,149
Net realized losses from investments (7,770,138)   (17,865,163)
Net change in unrealized appreciation on investments 14,674,492   19,392,245
Net increase in net assets resulting from operations 19,093,467   26,084,231
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class (93,687)   (26,399)
Investor Class (67,265)   (119,305)
Class Y (12,168,514)   (24,452,801)
Net decrease in net assets from dividends and distributions to shareholders (12,329,466)   (24,598,505)
Increase in net assets derived from capital share transactions (Note 4) 18,046,563   29,534,571
Total increase in net assets 24,810,564   31,020,297
Net assets      
Beginning of period/year 289,459,130   258,438,833
End of period/year $314,269,694   $289,459,130
The accompanying notes are an integral part of the financial statements.
12

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 7.16   $ 7.11   $ 8.58   $ 8.09   $ 8.72   $ 9.54
Net investment income(1) 0.28   0.63   0.43   0.52   0.61 (2)   0.84
Net realized and unrealized gain/(loss) on investments 0.17   0.05   (1.45)   0.48   (0.64)   (0.83)
Total from investment operations 0.45   0.68   (1.02)   1.00   (0.03)   0.01
Dividends and distributions to shareholders from:                      
Net investment income (0.30)   (0.63)   (0.45)   (0.51)   (0.60)   (0.83)
Net realized capital gains —   —   (0.00) (3)   —   —   —
Total dividends and distributions to shareholders (0.30)   (0.63)   (0.45)   (0.51)   (0.60)   (0.83)
Redemption fees —   0.00 (3)   —   —   —   —
Net asset value, end of period $ 7.31   $ 7.16   $ 7.11   $ 8.58   $ 8.09   $ 8.72
Total investment return(4) 6.38%   9.97%   (12.25)%   12.63%   (0.11)%   0.16%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $ 3,414   $ 554   $ 12   $ 708   $ 668   $ 719
Ratio of expenses to average net assets 0.89% (5)   0.89%   0.79% (6)   0.79% (6)   0.79% (6)   0.79% (6)
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(7) 1.11% (5)   0.92%   0.90%   0.98%   1.32%   2.98%
Ratio of net investment income to average net assets 7.94% (5)   8.96%   5.14%   6.11%   7.44%   9.20%
Portfolio turnover rate 35% (8)   43%   36% (8)   74%   66%   43%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) According to the Predecessor Fund’s shareholder services plan with respect to the Fund’s Institutional Class shares, any amount of such payment not paid during the Fund’s fiscal year for such services activities shall be reimbursed to the Fund as soon as practical after the end of the fiscal year. Fees were reimbursed to the Fund during the year ended September 30, 2019 in the amounts of 0.10% of average net assets of Institutional Class shares. For the years ended September 30, 2022, September 30, 2021 and September 30, 2020, no fees were accrued and thus no fees were reimbursed.
(7) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(8) Not annualized.
The accompanying notes are an integral part of the financial statements.
13

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights (Continued)
Contained below is per share operating performance data for Investor Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Investor Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 7.13   $ 7.09   $ 8.61   $ 8.12   $ 8.75   $ 9.55
Net investment income(1) 0.28   0.61   0.45   0.49   0.59 (2)   0.80
Net realized and unrealized gain/(loss) on investments 0.15   0.04   (1.49)   0.48   (0.65)   (0.82)
Total from investment operations 0.43   0.65   (1.04)   0.97   (0.06)   (0.02)
Dividends and distributions to shareholders from:                      
Net investment income (0.29)   (0.61)   (0.48)   (0.48)   (0.57)   (0.79)
Net realized capital gains —   —   (0.00) (3)   —   —   —
Total dividends and distributions to shareholders (0.29)   (0.61)   (0.48)   (0.48)   (0.57)   (0.79)
Redemption fees —   0.00 (3)   —   0.00 (3)   0.00 (3)   0.01
Net asset value, end of period $ 7.27   $ 7.13   $ 7.09   $ 8.61   $ 8.12   $ 8.75
Total investment return(4) 6.18%   9.47%   (12.51)%   12.20%   (0.46)%   (0.12)%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $ 1,772   $ 1,413   $ 1,384   $ 2,480   $ 2,579   $ 6,467
Ratio of expenses to average net assets 1.14% (5)   1.14%   1.14%   1.14%   1.14%   1.14%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 1.44% (5)   1.26%   1.24%   1.33%   1.71%   3.20%
Ratio of net investment income to average net assets 7.69% (5)   8.47%   5.63%   5.75%   6.98%   8.74%
Portfolio turnover rate 35% (7)   43%   36% (7)   74%   66%   43%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(7) Not annualized.
The accompanying notes are an integral part of the financial statements.
14

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Financial Highlights (Concluded)
Contained below is per share operating performance data for Class Y shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Class Y shares
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 7.11   $ 7.07   $ 8.59   $ 8.10   $ 8.72   $ 9.53
Net investment income(1) 0.29   0.63   0.49   0.52   0.60 (2)   0.83
Net realized and unrealized gain/(loss) on investments 0.16   0.04   (1.50)   0.48   (0.63)   (0.82)
Total from investment operations 0.45   0.67   (1.01)   1.00   (0.03)   0.01
Dividends and distributions to shareholders from:                      
Net investment income (0.29)   (0.63)   (0.51)   (0.51)   (0.59)   (0.82)
Net realized capital gains —   —   (0.00) (3)   —   —   —
Total dividends and distributions to shareholders (0.29)   (0.63)   (0.51)   (0.51)   (0.59)   (0.82)
Redemption fees 0.00 (3)   0.00 (3)   0.00 (3)   —   —   —
Net asset value, end of period $ 7.27   $ 7.11   $ 7.07   $ 8.59   $ 8.10   $ 8.72
Total investment return(4) 6.50%   9.90%   (12.23)%   12.61%   (0.03)%   0.12%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $309,084   $287,492   $257,043   $243,732   $135,801   $20,367
Ratio of expenses to average net assets 0.79% (5)   0.79%   0.79%   0.79%   0.79%   0.79%
Ratio of expenses to average net assets without waivers and/or reimbursements, if any(6) 0.84% (5)   0.91%   0.89%   0.99%   1.24%   3.01%
Ratio of net investment income to average net assets 8.04% (5)   8.82%   6.12%   6.07%   7.36%   9.14%
Portfolio turnover rate 35% (7)   43%   36% (7)   74%   66%   43%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) The amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and redemptions of Fund shares in relation to income earned and/or fluctuating market value of the investments of the Fund.
(3) Amount is less than $0.005 per share.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(5) Annualized.
(6) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(7) Not annualized.
The accompanying notes are an integral part of the financial statements.
15

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Polen Opportunistic High Yield Fund (the “Fund”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”). The Fund is a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. The Fund offers three separate classes of shares, Institutional Class, Investor Class and Class Y shares. Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) serves as investment adviser to the Polen Opportunistic High Yield Fund pursuant to an investment advisory agreement with the Trust.
The Fund commenced investment operations on July 24, 2023. Prior to that date, the Fund acquired the assets and assumed the liabilities of the Polen DDJ Opportunistic High Yield Fund (the “Predecessor Fund”), a series of ALPS Series Trust (“ALPS”), in a tax-free reorganization as set out in an Agreement and Plan of Reorganization, dated as of April 17, 2023 (the “Plan”). The Predecessor Fund commenced investment operations on July 16, 2015. The Plan was approved by the Trust's Board of Trustees on February 27, 2023, by the Board of Trustees of ALPS on February 16, 2023, and by the beneficial owners of the Predecessor Fund on July 5, 2023. The tax-free reorganization was accomplished on July 24, 2023. Financial information included for the dates prior to the reorganization is that of the Predecessor Fund. As a result of the reorganization, the Fund assumed the performance and accounting history of the Predecessor Fund listed in the table below:
Predecessor Fund
(series of ALPS Series Trust) 		  Polen Opportunistic High Yield Fund
(series of FundVantage Trust) 		  Net Assets   Shares
Outstanding
Class I  
Institutional Class
   $ 554,159   77,440
Class II  
Investor Class
   1,412,805   198,233
Institutional Class  
Class Y
   287,492,166   40,429,876
Effective April 1, 2024, the Fund changed its fiscal year end from September 30 to April 30. The information contained in this report is for the six-month period from October 1, 2023 to March 31, 2024.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation – The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are generally valued at amortized cost, provided such amount approximates fair value. Fixed income securities are valued on the basis of broker quotations or valuations provided by a pricing service, which utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). Securities that do not have a readily available current market value are valued in good faith by the Adviser as “valuation designee” under the oversight of the Trust's Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser’s fair valuation determinations will be reviewed by the Trust’s Board of Trustees.
16

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The Fund has a fundamental policy with respect to industry concentration that it will not invest 25% or more of the value of the Fund’s assets in securities of issuers in any one industry. Since inception the Fund has utilized BICS at the sub-industry level for defining industries for purposes of monitoring compliance with its industry concentration policy. However, at times, the Fund may utilize other industry classification systems such as Morningstar Global Equity Classification Structure (“MGECS”) or Global Industry Classification Standard (“GICS”), as applicable, for purposes other than compliance monitoring.
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
•  Level 1 — quoted prices in active markets for identical securities;
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
The valuations for fixed income securities are typically the prices supplied by independent third-party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third-party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. To the extent that these inputs are observable, the fair value of fixed income securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Floating rate senior loan notes (“Senior Loans”) are fair valued based on a quoted price received from a single broker-dealer or an average of quoted prices received from multiple broker-dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the fair values of Senior Loans would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
The following is a summary of the inputs used, as of March 31, 2024, in valuing the Fund's investments carried at fair value:
    Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Polen Opportunistic High Yield Fund            
Assets                
Corporate Bonds                
Consumer Discretionary Products   $ 14,178,510   $ —   $ 14,178,510   $ —
Consumer Discretionary Services   12,424,436   —   12,424,436   —
Consumer Staple Products   6,377,407   —   6,377,407   —
Financial Services   11,222,498   —   11,222,498   —
Health Care   22,262,696   —   22,262,696   —
Industrial Products   37,354,929   —   37,249,509   105,420
Industrial Services   1,929,727   —   1,929,727   —
Insurance   17,581,605   —   17,581,605   —
Materials   40,286,604   —   40,091,604   195,000
Media   10,676,436   —   10,578,561   97,875
Oil & Gas   2,806,019   —   2,806,019   —
Retail & Wholesale - Discretionary   10,411,705   —   10,411,705   —
Retail & Wholesale - Staples   1,906,823   —   1,906,823   —
17

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
    Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Software & Technology Services   $ 16,510,712   $ —   $ 16,510,712   $ —
Senior Loans                
Consumer Discretionary Products   3,014,046   —   3,014,046   —
Consumer Discretionary Services   8,442,444   —   8,442,444   —
Consumer Staple Products   6,738,247   —   6,738,247   —
Financial Services   2,401,027   —   2,401,027   —
Health Care   12,125,621   —   11,224,371   901,250
Industrial Products   7,158,103   —   7,158,103   —
Industrial Services   8,622,233   —   8,622,233   —
Insurance   1,834,888   —   1,834,888   —
Materials   7,896,606   —   7,526,106   370,500
Media   18,345,775   —   18,345,775   —
Retail & Wholesale - Discretionary   1,985,437   —   1,985,437   —
Retail & Wholesale - Staples   923,363   —   923,363   —
Software & Technology Services   7,943,025   —   7,943,025   —
Technology Hardware & Semiconductors   3,758,185   —   3,758,185   —
Telecommunications   432,320   —   432,320   —
Common Stocks                
Industrial Products   502,226   —   —   502,226
Materials   670,658   124,921   —   545,737
Retail & Wholesale - Discretionary   122,745   —   —   122,745
Software & Technology Services   14,742   14,742   —   —
Warrants                
Industrial Products   —   —   —   — *
Total Assets   $ 298,861,798   $ 139,663   $ 295,881,382   $ 2,840,753
* Current value is $0.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges, where applicable.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Fund has an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Fund had an amount of transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
18

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
There are significant unobservable inputs used in the fair value measurement of the Fund's Level 3 investments. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is recorded on the accrual basis, using the effective yield method. Dividends are recorded on the ex-dividend date. The Fund may be subject to foreign taxes on income, a portion of which may be recoverable. The Fund applies for refunds where available. Distribution (12b-1) fees relating to a specific class are charged directly to that class. Fund level expenses common to all classes, investment income and realized and unrealized gains and losses on investments are generally allocated to each class based upon the relative daily net assets of each class. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statement of Operations. General expenses of the Trust are generally allocated to the Fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund. The Fund’s investment income, expenses (other than class-specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid to shareholders and are recorded on ex-date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
Debt Investment Risk — Debt investments are affected primarily by the financial condition of the companies or other entities that have issued them and by changes in interest rates. There is a risk that an issuer of a Fund's debt investments may not be able to meet its financial obligations (e. g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or seek bankruptcy protection. Securities such as high-yield bonds, e.g., bonds with low credit ratings by Moody's (Ba or lower) or Standard & Poor's (BB and lower) or if unrated are of comparable quality as determined by the Adviser, are especially subject to credit risk during periods of economic uncertainty or during economic downturns and are more likely to default on their interest and/or principal payments than higher rated securities. Debt investments may be affected by changes in interest rates.
19

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise.
Senior Loans — The Fund invests primarily in senior loans and other floating rate investments. Senior loans typically are rated below investment grade. Below investment grade securities, including senior loans, involve greater risk of loss, are subject to greater price volatility, and may be less liquid and more difficult to value, especially during periods of economic uncertainty or change, than higher rated debt securities. Market quotations for these securities may be volatile and/or subject to large spreads between bid and ask prices. These securities once sold, may not settle for an extended period (for example, several weeks or even longer). A Fund will not receive its sale proceeds until that time, which may constrain a Fund’s ability to meet its obligations. A Fund may invest in securities of issuers that are in default or that are in bankruptcy. The value of collateral, if any, securing a senior loan can decline or may be insufficient to meet the issuer’s obligations or may be difficult to liquidate. No active trading market may exist for many senior loans, and many loans are subject to restrictions on resale. Any secondary market may be subject to irregular trading activity and extended settlement periods. There is less readily available, reliable information about most senior loans than is the case for many other types of securities. Loans may not be considered “securities,” and purchasers, such as a Fund, therefore may not be entitled to rely on the anti-fraud protections afforded by federal securities laws.
Equity Securities Risk — Stock markets are volatile. The price of equity securities fluctuates based on changes in a company's financial condition, historical and prospective earnings of the company, interest rates, investor perceptions and overall market and economic conditions. The prices of securities change in response to many factors including the value of its assets.
Unfunded Loan Commitments — The Fund may enter into unfunded loan commitments. Unfunded loan commitments may be partially or wholly unfunded. During the contractual period, the Fund is obliged to provide funding to the borrower upon demand. A fee is earned by a Fund on the unfunded loan commitment and is recorded as interest income on the Statement of Operations. Unfunded loan commitments on senior loan participations and assignments, if any, are marked to market daily and valued according to the Trust’s valuation policies and procedures. Any applicable net unrealized appreciation or depreciation at the end of the reporting period is recorded as an asset and any change in net unrealized appreciation or depreciation for the reporting period is recorded within the change in net unrealized appreciation or depreciation on investments. A corresponding payable for investments purchased has also been recorded, which represents the actual unfunded amount on the balance sheet date. Unfunded loan commitments are included in the Portfolio of Investments. At March 31, 2024, there were no unfunded loan commitments.
Restricted Securities — Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer's expense, either upon demand by a fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid. The Fund will not incur any registration costs upon such resale. The Fund's restricted securities are valued at the price provided by pricing services or dealers in the secondary market or, if no market prices are available, at the fair value price as determined by the Fund's adviser pursuant to the Fund's fair value policy, subject to oversight by the Board. The Fund has acquired certain securities, the sale of which is restricted under applicable provisions of the Securities Act of 1933. It is possible that the fair value price may differ significantly from the amount that may ultimately be realized in the near term, and the difference could be material.
The below securities are restricted from resale as of March 31, 2024:
  Security Type   Acquisition
Date 		  Cost   Value
Arctic Canadian Diamond Co. Ltd. Common Stocks   2/4/2021   $ —   $ 150,939
Arctic Canadian Diamond Company Ltd. Senior Loans   2/3/2021   370,501   370,500
Burgundy Diamond Mines Ltd. Common Stocks   7/3/2023   164,739   124,921
Material Sciences Corp. Corporate Bonds   7/9/2018   105,420   105,420
Real Alloy Holding, Inc. Common Stocks   5/31/2018   103,329   226,832
Sterling Entertainment Enterprises, LLC Corporate Bonds   12/27/2017   99,774   97,875
20

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  Security Type   Acquisition
Date 		  Cost   Value
Utex Industries Holdings, LLC Warrants   12/3/2020   $ —   $ —
Utex Industries, Inc. Common Stocks   12/3/2020   368,394   502,226
              $ 1,578,713
Restricted securities under Rule 144A, including the aggregate value and percentage of net assets of the Fund, have been identified in the Portfolio of Investments.
2. Transactions with Related Parties and Other Service Providers
Polen Capital Credit, LLC (“Polen Credit” or the “Adviser”) serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Trust (“the Advisory Agreement”). For its services, the Adviser is paid a monthly fee at the annual rate of 0.70% of the Fund’s average daily net assets. The Adviser has contractually agreed to reduce its investment advisory fee and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses (excluding taxes, fees and expenses attributable to a distribution or service plan adopted by the Trust, interest, extraordinary items, “Acquired Fund Fees and Expenses” and brokerage commissions) do not exceed 0.89% with respect to Institutional Class shares and Investor Class shares and 0.79% with respect to Class Y shares’ (on an annual basis) average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until August 31, 2025, unless the Board of Trustees of the Trust approves its earlier termination. The Adviser had contractually agreed to limit the amount of the Predecessor Fund’s total operating expenses (excluding Distribution and Service (12b-1) Fees, Shareholder Servicing fees, “acquired fund fees and expenses”, brokerage expenses, interest expenses, taxes and extraordinary expenses) to an annual rate of 0.79% of the Fund’s average daily net assets of each of the Institutional Class, Class I and Class II shares. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts reduced or reimbursed for a period of up to three (3) years from the date on which each Adviser reduced its compensation and/or assumed expenses for the Fund and the Predecessor Fund. The Adviser is permitted to seek reimbursement from the Fund, subject to certain limitations, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of reimbursement. No recoupment will occur unless the Fund’s expenses are below the Expense Limitation amount.
As of March 31, 2024, the amount of potential recovery was as follows:
  Expiration
  09/30/2024   09/30/2025   09/30/2026   03/31/2027   Total
  $234,322   $273,460   $334,289   85,685   $927,756
The Fund has not recorded a commitment or contingent liability at March 31, 2024.
Other Service Providers
The Bank of New York Mellon (“BNY Mellon”) serves as administrator and custodian for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Fund. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Fund, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Fund and have
21

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
agreed to compensate the intermediaries for providing those services. The fees incurred by the Fund for these services are included in Transfer agent fees in the Statement of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Fund pursuant to an underwriting agreement between the Trust and the Underwriter.
The Trust and the Underwriter are parties to an underwriting agreement. The Trust has adopted a distribution plan for the Investor Class shares in accordance with Rule 12b-1 under the 1940 Act. Pursuant to the Investor Class shares plan, the Fund compensates the Underwriter for direct and indirect costs and expenses incurred in connection with advertising, marketing and other distribution services in an amount not to exceed 0.25% on an annualized basis of the average daily net assets of the Fund’s Investor Class shares.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Fund or the Trust.
JW Fund Management LLC (“JWFM”) provides a Principal Executive Officer and Principal Financial Officer to the Trust. Chenery Compliance Group, LLC (“Chenery”) provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
  Purchases   Sales
Polen Opportunistic High Yield Fund $111,674,398   $103,617,058
4. Capital Share Transactions
For six months ended March 31, 2024 and the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Amount   Shares   Amount
Institutional Class              
Sales 383,830   $ 2,753,914   218,382   $ 1,588,492
Reinvestments 12,921   93,199   3,536   25,357
Redemption Fees* —   —   —   67
Redemptions (6,917)   (50,031)   (146,128)   (1,057,645)
Net increase 389,834   $ 2,797,082   75,790   $ 556,271
22

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Amount   Shares   Amount
 
Investor Class              
Sales 69,995   $ 499,059   20,757   $ 149,027
Reinvestments 6,705   47,929   11,134   79,285
Redemption Fees* —   —   —   53
Redemptions (31,211)   (223,343)   (28,927)   (206,180)
Net increase 45,489   $ 323,645   2,964   $ 22,185
 
Class Y              
Sales 2,605,837   $ 18,523,313   3,053,375   $ 21,770,583
Reinvestments 1,415,553   10,101,907   2,912,183   20,669,776
Redemption Fees* —   61   —   10,221
Redemptions (1,917,656)   (13,699,445)   (1,911,688)   (13,494,465)
Net increase 2,103,734   $ 14,925,836   4,053,870   $ 28,956,115
 
Total net increase 2,539,057   $ 18,046,563   4,132,624   $ 29,534,571
               
* There is a 1.00% redemption fee that may be charged on shares redeemed which have been held 60 days or less. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.
As of March 31, 2024, the Fund had a shareholder that held 10% or more of the total outstanding shares of the Fund. Transactions by this shareholder may have a material impact on the Fund.
Polen Opportunistic High Yield Fund  
Non-affiliated Shareholder 13%
5. Federal Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
Distributions are determined in accordance with federal income tax regulations, which may differ in amount or character from net investment income and realized gains for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the components of net assets based on the tax treatment; temporary differences do not require reclassifications. For the year ended September 30, 2023, there were reclassifications between components of total distributable earnings. These permanent differences are primarily attributable to reclassification of capital gains to ordinary income, premium sold adjustment and defaulted bonds. Net assets were not affected by these adjustments.
23

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
For the year ended September 30, 2023, the tax character of distributions paid by the Fund was $24,598,505 of ordinary income dividend. Distributions from net investment income and short-term gains are treated as ordinary income for federal income tax purposes.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
  Capital Loss
Carryforward 		  Undistributed
Ordinary
Income 		  Unrealized
Appreciation/
(Depreciation)
Polen Opportunistic High Yield Fund $(26,383,120)   $132,674   $(19,955,661)
           
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
    Federal
Tax Cost* 		  Unrealized
Appreciation 		  Unrealized
(Depreciation) 		  Net Unrealized
(Depreciation)
Polen Opportunistic High Yield Fund   $303,454,802   $6,575,475   $(11,168,479)   $(4,593,004)
* Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Fund had capital loss carryforward of $26,383,120, of which $7,513,427 are short-term losses and $18,869,693 are long-term losses and have an unlimited period of capital loss carryforward.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
24

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 678-6024 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. The Fund’s portfolio holdings on Form N-PORT are available on the SEC’s website at http://www.sec.gov.
25

 

POLEN OPPORTUNISTIC HIGH YIELD FUND
Privacy Notice
(Unaudited)
The privacy of your personal financial information is extremely important to us. When you open an account with us, we collect a significant amount of information from you in order to properly invest and administer your account. We take very seriously the obligation to keep that information private and confidential, and we want you to know how we protect that important information.
We collect nonpublic personal information about you from applications or other forms you complete and from your transactions with us or our affiliates. We do not disclose information about you, or our former clients, to our affiliates or to service providers or other third parties, except as permitted by law. We share only the information required to properly administer your accounts, which enables us to send transaction confirmations, monthly or quarterly statements, financials and tax forms. Even within FundVantage Trust and its affiliated entities, a limited number of people who actually service accounts will have access to your personal financial information. Further, we do not share information about our current or former clients with any outside marketing groups or sales entities.
To ensure the highest degree of security and confidentiality, FundVantage Trust and its affiliates maintain various physical, electronic and procedural safeguards to protect your personal information. We also apply special measures for authentication of information you request or submit to us on our web site.
If you have questions or comments about our privacy practices, please call us at (888) 678-6024.
26

 

Investment Adviser
Polen Capital Credit, LLC
1075 Main Street
Suite 320
Waltham, MA 02451
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
POL-0324

Sirios Long/Short Fund
Sirios Focus Fund
of
FundVantage Trust
Institutional Class
SEMI-ANNUAL REPORT
March 31, 2024
(Unaudited)
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

 

 

SIRIOS LONG/SHORT FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   3 Years   5 Years   Since
Inception
Institutional Class Shares 14.88%   19.48%   7.17%   6.66%   6.35% *
HFRX Equity Hedge Index 7.13%   9.66%   5.34%   5.57%   3.90% **
† Not Annualized.
* The Sirios Long/Short Fund (the "Fund") Institutional Class commenced operation on May 3, 2018.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2024, are 2.46% and 1.66%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), dividend and interest expense on short sales of securities, and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2025, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the HFRX Equity Hedge Index (“HFRX Index”). Hedge Fund Research, Inc. constructs the HFRX Index methodology. The HFRX Index is comprised of long/short equity hedge funds. The HFRX Index is unmanaged and its returns (i) do not include sales charges or fees, which would lower performance; and (ii) are subject to a variety of material distortions, as investments in hedge funds typically involve substantial risks, including the “risk of ruin.” It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Mutual Fund investing involves risk, including loss of principal.
3

 

SIRIOS FOCUS FUND
Semi-Annual Report
Performance Data
March 31, 2024
(Unaudited)
Average Annual Total Returns for the Periods Ended March 31, 2024
  Six
Months† 		  1 Year   3 Years   Since
Inception
Institutional Class Shares 21.09%   26.77%   9.02%   10.88% *
S&P 500® Total Return Index 23.48%   29.88%   11.48%   13.03% **
† Not Annualized.
* The Sirios Focus Fund (the "Fund") Institutional Class commenced operation on December 16, 2020.
** Benchmark performance is from the commencement date of the Fund Class only and is not the commencement date of the benchmark itself.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained by calling (866) 640-5704. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The tables do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated February 1, 2024, are 2.97% and 1.62%, respectively, for Institutional Class shares of the Fund’s average daily net assets. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. Sirios Capital Management, L.P. (the “Adviser”) has contractually agreed to reduce its compensation and/or reimburse certain expenses of the Fund to the extent necessary to ensure that the Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by FundVantage Trust (the “Trust”), dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until February 1, 2025, unless the Board of Trustees of the Trust approves its earlier termination. This agreement may be terminated only by the Fund’s Board of Trustees. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for the Fund. The Adviser is permitted to seek recoupment from the Fund, for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless the Fund’s expenses are below the Expense Limitation.
The Fund evaluates its performance as compared to that of the Standard & Poor’s 500® (“S&P 500®“) Total Return Index. The S&P 500®Total Return Index is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
The Fund is non-diversified and invests in a limited number of securities. As a result, the Fund’s investment performance may be more volatile, as it may be more susceptible to risks associated with a single economic, political, or regulatory event than a fund that invests in a greater number of issuers.
Short sales theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase.
An index is unmanaged and it is not possible to invest in an index. Mutual Fund investing involves risk, including loss of principal.
4

 

SIRIOS FUNDS
Fund Expense Disclosure
March 31, 2024
(Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees (if any); and (2) ongoing costs, including management fees, distribution and/or service (Rule 12b-1) fees (if any) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from October 1, 2023 through March 31, 2024 and held for the entire period.
Actual Expenses
The first line of each Fund in the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of each Fund in the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
  Beginning Account Value
October 1, 2023 		  Ending Account Value
March 31, 2024 		  Annualized
Expense Ratio 		  Expenses Paid
During Period
Sirios Long/Short Fund
Institutional Class*              
Actual $1,000.00   $1,148.80   1.70%   $9.13**
Hypothetical (5% return before expenses) 1,000.00   1,016.50   1.70%   8.57**
Sirios Focus Fund
Institutional Class***              
Actual $1,000.00   $1,210.90   1.60%   $8.84
Hypothetical (5% return before expenses) 1,000.00   1,017.00   1.60%   8.07
* Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 1.70% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 14.88%.
** These amounts include dividends paid on securities which the Fund has sold short (“Short-sale dividends”). The amount of short-sale interest expense was 0.10% of average net assets for the Institutional Class shares of the Fund.
*** Expenses are equal to the annualized expense ratio for the six-month period ended March 31, 2024 of 1.60% for Institutional Class shares, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (183), then divided by 366 to reflect the period. The Institutional Class shares ending account values on the first line of the table is based on the actual six-month total return of 21.09%.
5

 

Sirios Long/Short Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
LONG POSITIONS:      
COMMON STOCKS:      
Healthcare-Products 13.7%   $ 4,784,132
Software 8.7   3,039,371
Semiconductors 7.8   2,733,222
Internet 5.5   1,918,955
Pharmaceuticals 3.6   1,268,778
Miscellaneous Manufacturing 3.5   1,226,077
Transportation 3.3   1,143,996
Aerospace & Defense 3.0   1,063,572
Private Equity 3.0   1,047,688
Commercial Services 2.9   1,016,963
Environmental Control 2.1   729,981
Auto Manufacturers 1.9   670,369
Leisure Time 1.4   501,687
Airlines 1.3   469,365
Machinery-Diversified 1.2   408,475
Telecommunications 1.0   364,144
Banks 1.0   353,672
Beverages 1.0   353,288
Healthcare-Services 0.6   207,789
Total Common Stocks 66.5   23,301,524
Short-Term Investment 32.1   11,252,622
Total Long Positions 98.6   34,554,146
SHORT POSITIONS:      
COMMON STOCKS :      
Media (0.2)   (64,418)
Beverages (0.5)   (167,835)
Apparel (0.5)   (176,589)
Aerospace & Defense (0.6)   (222,246)
Diversified Financial Services (1.1)   (367,609)
Commercial Services (1.1)   (391,842)
Total Short Position (4.0)   (1,390,539)
Other Assets in Excess of Liabilities 5.4   1,882,175
NET ASSETS 100.0%   $35,045,782
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
6

 

SIRIOS LONG/SHORT FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
LONG POSITIONS — 98.6%
COMMON STOCKS — 66.5%
Aerospace & Defense — 3.0%
HEICO Corp., Class A      6,909   $  1,063,572
Airlines — 1.3%
Delta Air Lines, Inc.†      9,805      469,365
Auto Manufacturers — 1.9%
PACCAR, Inc.†      5,411      670,369
Banks — 1.0%
Wells Fargo & Co.      6,102      353,672
Beverages — 1.0%
Constellation Brands, Inc., Class A†      1,300      353,288
Commercial Services — 2.9%
Global Payments, Inc.      6,364      850,612
S&P Global, Inc.        391      166,351
       1,016,963
Environmental Control — 2.1%
Clean Harbors, Inc.*      1,860      374,436
Waste Connections, Inc. (Canada)      2,067      355,545
         729,981
Healthcare-Products — 13.7%
Abbott Laboratories      5,790      658,091
Alcon, Inc. (Switzerland)     18,312    1,525,207
Boston Scientific Corp.†*     13,303      911,122
CONMED Corp.      2,409      192,913
Globus Medical, Inc., Class A*     17,580      942,991
Lantheus Holdings, Inc.*      1,789      111,347
Medtronic PLC (Ireland)      5,077      442,461
       4,784,132
Healthcare-Services — 0.6%
HCA Healthcare, Inc.        623      207,789
Internet — 5.5%
Amazon.com, Inc.*      4,162      750,742
Meta Platforms, Inc., Class A      1,754      851,707
Uber Technologies, Inc.*      4,111      316,506
       1,918,955
Leisure Time — 1.4%
Royal Caribbean Cruises Ltd.*      3,609      501,687
Machinery-Diversified — 1.2%
Ingersoll Rand, Inc.†      4,302      408,475
Miscellaneous Manufacturing — 3.5%
General Electric Co.      6,985    1,226,077
  Number
of Shares 		  Value
Common Stocks — (Continued)
Pharmaceuticals — 3.6%
Becton Dickinson & Co.†      2,191   $    542,163
Eli Lilly & Co.†        934      726,615
       1,268,778
Private Equity — 3.0%
Carlyle Group, Inc. (The)     22,334    1,047,688
Semiconductors — 7.8%
Advanced Micro Devices, Inc.†*      3,375      609,154
Intel Corp.†      9,522      420,587
NVIDIA Corp.        778      702,969
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)      7,354    1,000,512
       2,733,222
Software — 8.7%
Adobe, Inc.†*        674      340,100
Clear Secure, Inc., Class A     17,084      363,377
Microsoft Corp.      2,060      866,683
Roper Technologies, Inc.†      1,915    1,074,009
Smartsheet, Inc., Class A*     10,265      395,202
       3,039,371
Telecommunications — 1.0%
T-Mobile US, Inc.†      2,231      364,144
Transportation — 3.3%
Old Dominion Freight Line, Inc.†      2,146      470,639
Union Pacific Corp.†      2,738      673,357
       1,143,996
TOTAL COMMON STOCKS
(Cost $17,669,348) 		    23,301,524
SHORT-TERM INVESTMENTS — 32.1%
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 5.20%(a)
(Cost $11,252,622) 		11,252,622   11,252,622
 
TOTAL LONG POSITIONS - 98.6%
(Cost $28,921,970) 		    34,554,146
SHORT POSITIONS — (4.0)%
Common Stocks — (4.0)%
Aerospace & Defense — (0.6)%
Airbus SE, ADR (France)     (3,389)      (156,436)
Boeing Co. (The)*       (341)      (65,810)
        (222,246)
 
The accompanying notes are an integral part of the financial statements.
7

 

SIRIOS LONG/SHORT FUND
Portfolio of Investments (Continued)
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
Common Stocks — (Continued)
Apparel — (0.5)%
NIKE, Inc., Class B     (1,879)   $   (176,589)
Beverages — (0.5)%
PepsiCo, Inc.       (959)     (167,835)
Commercial Services — (1.1)%
Automatic Data Processing, Inc.     (1,569)     (391,842)
Diversified Financial Services — (1.1)%
Capital One Financial Corp.     (2,469)     (367,609)
Media — (0.2)%
Comcast Corp., Class A     (1,486)      (64,418)
Total Common Stocks
(Proceeds $1,238,171) 		    (1,390,539)
 
    Value
TOTAL SHORT POSITIONS - (4.0)%
(Proceeds $1,238,171) 		  $ (1,390,539)
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.4%    1,882,175
NET ASSETS - 100.0%   $ 35,045,782
† Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts or securities sold short. (See Note 1 of the Notes to Financial Statements)
* Non-income producing.
(a) Rate disclosed is the 7-day yield at March 31, 2024.
 
Forward foreign currency contracts outstanding as of March 31, 2024 were as follows:
Currency Purchased   Currency Sold   Expiration   Counterparty   Unrealized
Appreciation/
(Depreciation)
GBP 423,000   USD 534,868   06/20/24   MS   $ (746)
USD 2,372,346   EUR 2,169,000   06/20/24   MS   24,400
USD 3,523,169   GBP 2,766,000   06/20/24   MS   30,537
                    $54,191
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2024.
Reference
Entity/Index (Receive) 		  Pay   Payment
Frequency 		  Counterparty   Expiration
Date 		  Notional
Amount 		  Value and
Unrealized
Appreciation/
(Depreciation)*
Airbus SE   U.S. Fed Funds +0.550%   Maturity   MS   01/22/25   $ 365,095   $ 323,784
ASML Holding NV   U.S. Fed Funds +0.550%   Maturity   MS   01/22/25   488,294   253,689
BAE Systems PLC   U.S. Fed Funds +0.550%   Maturity   MS   01/22/25   193,060   171,497
London Stock Exchange Group PLC   U.S. Fed Funds +0.550%   Maturity   MS   01/22/25   1,556,947   356,296
Pernod Ricard SA   U.S. Fed Funds +0.550%   Maturity   MS   01/22/25   417,789   (33,199)
Airbus SE   U.S. Fed Funds +0.550%   Maturity   MS   03/24/27   393,244   65,115
Intermediate Capital Group PLC   U.S. Fed Funds +0.550%   Maturity   MS   03/24/27   521,618   (4,646)
                        $1,132,536
The accompanying notes are an integral part of the financial statements.
8

 

SIRIOS LONG/SHORT FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
The following table represents Total Return Swaps - Short positions and their related values as of March 31, 2024.
Reference
Entity/Index (Pay) 		  Receive   Payment
Frequency 		  Counterparty   Expiration
Date 		  Notional
Amount 		  Value and
Unrealized
Appreciation/
(Depreciation)*
S&P 500 Equal Weight Financial   U.S. Fed Funds -0.350%   Maturity   MS   07/31/24   $1,321,186   $ (81,538)
S&P 500 Index   U.S. Fed Funds -0.250%   Maturity   MS   12/05/24   878,225   (82,196)
Moody's Corporation   U.S. Fed Funds -0.300%   Maturity   MS   12/06/24   316,712   21,312
Health Care Select Sector   U.S. Fed Funds -0.250%   Maturity   MS   01/24/25   912,819   (36,503)
Dow Jones U.S. Real Estate Index   U.S. Fed Funds -0.200%   Maturity   MS   12/02/25   113,104   (1,134)
S&P 500 Equal Weight Consumer Discretionary   U.S. Fed Funds -0.350%   Maturity   MS   12/02/25   264,085   (31,178)
Industrial Select Sector Index   U.S. Fed Funds -0.350%   Maturity   MS   01/06/27   1,258,255   (191,837)
S&P Pharmaceuticals Select Industry Index   U.S. Fed Funds -0.350%   Maturity   MS   01/07/27   633,885   (77,350)
S&P Transportation Select Industry Index   U.S. Fed Funds -0.700%   Maturity   MS   01/07/27   302,867   (22,254)
                        $(502,678)
Total Swap Contracts                       $ 629,858
* Includes $(67,821) related to open trades, dividends receivables/payables and swap receivables/payables activities.
ADR American Depositary Receipt
EUR Euro
GBP British Pound
MS Morgan Stanley
PLC Public Limited Company
USD United States Dollar
The accompanying notes are an integral part of the financial statements.
9

 

Sirios Focus Fund
Portfolio Holdings Summary Table
March 31, 2024
(Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
  % of Net
Assets 		  Value
COMMON STOCKS:      
Healthcare-Products 13.1%   $ 3,145,001
Semiconductors 10.6   2,547,882
Software 8.5   2,052,707
Internet 7.8   1,877,213
Aerospace & Defense 5.0   1,191,342
Pharmaceuticals 3.6   865,958
Miscellaneous Manufacturing 3.3   785,848
Transportation 3.1   737,698
Private Equity 2.8   680,570
Commercial Services 2.5   612,881
Environmental Control 2.1   498,022
Auto Manufacturers 1.8   439,314
Leisure Time 1.3   320,974
Airlines 1.3   309,288
Machinery-Diversified 1.1   270,987
Banks 1.0   241,809
Telecommunications 1.0   241,729
Beverages 1.0   230,724
Healthcare-Services 0.6   135,747
Total Common Stocks 71.5   17,185,694
Short-Term Investment 27.4   6,575,229
Other Assets in Excess of Liabilities 1.1   253,771
NET ASSETS 100.0%   $24,014,694
Portfolio holdings are subject to change at any time.
The Fund obtains its short exposure through the use of one or more swap contracts. Refer to the Portfolio of Investments for more details on the individual swap contracts.
The accompanying notes are an integral part of the financial statements.
10

 

SIRIOS FOCUS FUND
Portfolio of Investments
March 31, 2024
(Unaudited)
  Number
of Shares 		  Value
COMMON STOCKS — 71.5%
Aerospace & Defense — 5.0%
HEICO Corp., Class A     7,739   $  1,191,342
Airlines — 1.3%
Delta Air Lines, Inc.     6,461      309,288
Auto Manufacturers — 1.8%
PACCAR, Inc.     3,546      439,314
Banks — 1.0%
Wells Fargo & Co.     4,172      241,809
Beverages — 1.0%
Constellation Brands, Inc., Class A       849      230,724
Commercial Services — 2.5%
Global Payments, Inc.     4,092      546,936
S&P Global, Inc.       155       65,945
         612,881
Environmental Control — 2.1%
Clean Harbors, Inc.*     1,264      254,456
Waste Connections, Inc. (Canada)     1,416      243,566
         498,022
Healthcare-Products — 13.1%
Abbott Laboratories†     3,963      450,435
Alcon, Inc. (Switzerland)    12,538    1,044,290
Boston Scientific Corp.†*     8,915      610,589
CONMED Corp.     1,653      132,372
Globus Medical, Inc., Class A*    11,269      604,469
Medtronic PLC (Ireland)     3,475      302,846
       3,145,001
Healthcare-Services — 0.6%
HCA Healthcare, Inc.       407      135,747
Internet — 7.8%
Amazon.com, Inc.*     2,723      491,175
Meta Platforms, Inc., Class A     2,416    1,173,161
Uber Technologies, Inc.*     2,765      212,877
       1,877,213
Leisure Time — 1.3%
Royal Caribbean Cruises Ltd.*     2,309      320,974
Machinery-Diversified — 1.1%
Ingersoll Rand, Inc.     2,854      270,987
Miscellaneous Manufacturing — 3.3%
General Electric Co.     4,477      785,848
Pharmaceuticals — 3.6%
Becton Dickinson & Co.     1,500      371,175
Eli Lilly & Co.†       636      494,783
         865,958
  Number
of Shares 		  Value
Common Stocks — (Continued)
Private Equity — 2.8%
Carlyle Group, Inc. (The)    14,508   $    680,570
Semiconductors — 10.6%
Advanced Micro Devices, Inc.*     2,316      418,015
Intel Corp.     6,407      282,997
NVIDIA Corp.       530      478,887
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)    10,055    1,367,983
       2,547,882
Software — 8.5%
Adobe, Inc.*       459      231,611
Clear Secure, Inc., Class A    11,544      245,541
Microsoft Corp.     1,403      590,270
Roper Technologies, Inc.     1,283      719,558
Smartsheet, Inc., Class A*     6,902      265,727
       2,052,707
Telecommunications — 1.0%
T-Mobile US, Inc.†     1,481      241,729
Transportation — 3.1%
Old Dominion Freight Line, Inc.     1,380      302,648
Union Pacific Corp.     1,769      435,050
         737,698
TOTAL COMMON STOCKS
(Cost $14,890,619) 		    17,185,694
SHORT-TERM INVESTMENTS — 27.4%
Dreyfus Treasury Obligations Cash Management Fund, Institutional Shares, 5.20%(a)
(Cost $6,575,229) 		6,575,229    6,575,229
 
TOTAL INVESTMENTS - 98.9%
(Cost $21,465,848) 		    23,760,923
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1%        253,771
NET ASSETS - 100.0%     $ 24,014,694
† Security position is either entirely or partially held in a segregated account as collateral for swap agreements and forward foreign currency contracts. (See Note 1 of the Notes to Financial Statements)
* Non-income producing.
(a) Rate disclosed is the 7-day yield at March 31, 2024.
 
The accompanying notes are an integral part of the financial statements.
11

 

SIRIOS FOCUS FUND
Portfolio of Investments (Concluded)
March 31, 2024
(Unaudited)
Forward foreign currency contracts outstanding as of March 31, 2024 were as follows:
Currency Purchased   Currency Sold   Expiration   Counterparty   Unrealized
Appreciation/
(Depreciation)
GBP 458,000   USD 579,116   06/20/24   MS   $ (799)
USD 1,566,252   EUR 1,432,000   06/20/24   MS   16,110
USD 2,611,251   GBP 2,050,000   06/20/24   MS   22,713
                    $38,024
The following table represents Total Return Swaps - Long positions and their related values as of March 31, 2024.
Reference
Entity/Index (Receive) 		  Pay   Payment
Frequency 		  Counterparty   Expiration
Date 		  Notional
Amount 		  Value and
Unrealized
Appreciation/
(Depreciation)*
Airbus SE   U.S. Fed Funds +0.550%   Maturity   MS   04/23/24   $148,840   $116,646
BAE Systems PLC   U.S. Fed Funds +0.550%   Maturity   MS   04/23/24   72,688   64,460
London Stock Exchange Group PLC   U.S. Fed Funds +0.550%   Maturity   MS   04/23/24   415,803   93,100
Pernod Ricard SA   U.S. Fed Funds +0.550%   Maturity   MS   04/23/24   151,617   (12,048)
Airbus SE   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   475,424   45,942
ASML Holding NV   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   406,209   82,040
BAE Systems PLC   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   96,258   4,707
Intermediate Capital Group PLC   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   357,697   (3,216)
London Stock Exchange Group PLC   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   861,738   (3,976)
Pernod Ricard SA   U.S. Fed Funds +0.550%   Maturity   MS   05/14/26   105,316   (2,022)
Total Swap Contracts                       $385,633
* Includes $(73,534) related to open trades, dividends receivables/payables and swap receivables/payables activities.
ADR American Depositary Receipt
EUR Euro
GBP British Pound
MS Morgan Stanley
PLC Public Limited Company
USD United States Dollar
The accompanying notes are an integral part of the financial statements.
12

 

SIRIOS FUNDS
Statements of Assets and Liabilities
March 31, 2024
(Unaudited)
  Sirios
Long/Short
Fund 		  Sirios
Focus
Fund
Assets      
Investments, at value* $34,554,146   $23,760,923
Foreign currency, at value (Cost $31,707 and $14,155, respectively) 31,894   14,238
Cash (segregated for securities sold short and derivative instruments) 1,226,433   —
Receivables:      
Investments sold 175,120   —
Dividends and interest 63,810   39,141
Swap contract settlement 41   —
Unrealized appreciation on swap contracts 1,191,693   406,895
Unrealized appreciation on forward foreign currency contracts 54,937   38,823
Prepaid expenses and other assets 11,115   400
Total Assets 37,309,189   24,260,420
Liabilities      
Securities sold short, at value (proceeds received $1,238,171) 1,390,539   —
Unrealized depreciation on swap contracts 561,835   21,262
Unrealized depreciation on forward foreign currency contracts 746   799
Payables:      
Investments purchased 204,623   141,829
Investment adviser 20,218   7,558
Audit fees 18,062   16,216
Due to custodian 13,506   8,394
Administration and accounting fees 11,837   13,247
Dividends and fees on securities sold short 3,410   —
Accrued expenses 38,631   36,421
Total Liabilities 2,263,407   245,726
Contingencies and Commitments (Note 2) —   —
Net Assets $35,045,782   $24,014,694
Net Assets Consisted of:      
Capital stock, $0.01 par value $ 27,342   $ 18,919
Paid-in capital 27,770,374   21,119,093
Total distributable earnings 7,248,066   2,876,682
Net Assets $35,045,782   $24,014,694
Institutional Class Shares:      
Net assets $35,045,782   $24,014,694
Shares outstanding 2,734,155   1,891,875
Net asset value, offering and redemption price per share $ 12.82   $ 12.69
Investments, at cost $28,921,970   $21,465,848
The accompanying notes are an integral part of the financial statements.
13

 

SIRIOS FUNDS
Statements of Operations
For the Six Months Ended March 31, 2024
(Unaudited)
  Sirios
Long/Short
Fund 		  Sirios
Focus
Fund
Investment income      
Interest $ 251,412   $ 92,267
Dividends 120,241   54,079
Less: foreign taxes withheld (2,768)   (1,912)
Total investment income 368,885   144,434
Expenses      
Advisory fees(Note 2) 217,765   62,335
Administration and accounting fees(Note 2) 28,198   33,079
Trustees’ and officers’ fees(Note 2) 24,408   9,487
Legal fees 20,993   8,332
Audit fees 18,063   16,216
Fees on securities sold short and derivative instruments(Note 1) 16,169   —
Transfer agent fees(Note 2) 14,820   14,758
Registration and filing fees 13,145   2,993
Shareholder reporting fees 10,892   10,306
Custodian fees(Note 2) 7,702   7,509
Other expenses 16,188   15,009
Total expenses before waivers and reimbursements 388,343   180,024
Less: waivers and reimbursements(Note 2) (114,081)   (69,206)
Net expenses after waivers and reimbursements 274,262   110,818
Net investment income 94,623   33,616
Net realized and unrealized gain/(loss) from investments:      
Net realized gain from investments 1,991,230   665,075
Net realized loss from securities sold short (30,123)   —
Net realized gain/(loss) from swaps (39,217)   127,214
Net realized loss from foreign currency transactions (50)   —
Net realized loss from forward foreign currency contracts (97,733)   (30,606)
Net change in unrealized appreciation on investments 3,116,789   1,330,796
Net change in unrealized depreciation on securities sold short (180,817)   —
Net change in unrealized appreciation/(depreciation) on swaps (298,904)   283,137
Net change in unrealized appreciation on foreign currency translations 1,645   669
Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts (12,178)   10,066
Net realized and unrealized gain on investments 4,450,642   2,386,351
Net increase in net assets resulting from operations $4,545,265   $2,419,967
The accompanying notes are an integral part of the financial statements.
14

 

SIRIOS FUNDS
Statements of Changes in Net Assets
  Sirios Long/Short Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase in net assets from operations:      
Net investment income $ 94,623   $ 132,359
Net realized gains from investments, securities sold short, swaps, foreign currency transactions and forward foreign currency contracts 1,824,107   919,647
Net change in unrealized appreciation on investments, securities sold short, swaps, foreign currency translations and forward foreign currency contracts 2,626,535   2,256,834
Net increase in net assets resulting from operations 4,545,265   3,308,840
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class —   (735,114)
Net decrease in net assets from dividends and distributions to shareholders —   (735,114)
Increase in net assets derived from capital share transactions (Note 4) —   735,114
Total increase in net assets 4,545,265   3,308,840
Net assets      
Beginning of period 30,500,517   27,191,677
End of period $35,045,782   $30,500,517
The accompanying notes are an integral part of the financial statements.
15

 

SIRIOS FUNDS
Statements of Changes in Net Assets (Concluded)
  Sirios Focus Fund
  For the
Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year
Ended
September 30, 2023
Net increase/(decrease) in net assets from operations:      
Net investment income/(loss) $ 33,616   $ (7,549)
Net realized gains from investments, swaps, foreign currency transactions and forward foreign currency contracts 761,683   230,670
Net change in unrealized appreciation on investments, swaps, foreign currency translations and forward foreign currency contracts 1,624,668   1,648,598
Net increase in net assets resulting from operations 2,419,967   1,871,719
Less dividends and distributions to shareholders from:      
Total distributable earnings:      
Institutional Class —   (298,700)
Net decrease in net assets from dividends and distributions to shareholders —   (298,700)
Increase in net assets derived from capital share transactions (Note 4) 10,000,000   298,700
Total increase in net assets 12,419,967   1,871,719
Net assets      
Beginning of period 11,594,727   9,723,008
End of period $24,014,694   $11,594,727
The accompanying notes are an integral part of the financial statements.
16

 

Sirios Long/Short Fund
Financial Highlights
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Year Ended
September 30,
2021 		  For the
Year Ended
September 30,
2020 		  For the
Year Ended
September 30,
2019
Per Share Operating Performance                      
Net asset value, beginning of period $ 11.16   $ 10.20   $ 11.76   $ 10.06   $ 10.66   $ 10.68
Net investment income/(loss)(1) 0.03   0.05   (0.06)   (0.07)   (0.07)   (0.02)
Net realized and unrealized gain/(loss) on investments 1.63   1.19   (0.94)   1.87   (0.47)   0.27
Total from investment operations 1.66   1.24   (1.00)   1.80   (0.54)   0.25
Dividends and distributions to shareholders from:                      
Net investment income —   (0.28)   —   —   (0.06)   (0.01)
Net realized capital gains —   —   (0.56)   (0.10)   —   (0.26)
Total dividends and distributions to shareholders —   (0.28)   (0.56)   (0.10)   (0.06)   (0.27)
Net asset value, end of period $ 12.82   $ 11.16   $ 10.20   $ 11.76   $ 10.06   $ 10.66
Total investment return(2) 14.88%   12.26%   (9.10)%   17.93%   (5.13)%   2.74%
Ratios/Supplemental Data                      
Net assets, end of period (in 000s) $35,046   $30,501   $27,192   $29,894   $25,486   $26,945
Ratio of expenses to average net assets 1.70% (3)(4)   1.66% (4)   1.62% (4)   1.69% (4)   1.60%   2.21% (4)
Ratio of expenses to average net assets without waivers and reimbursements(5) 2.41% (3)   2.46%   2.43%   2.49%   2.49%   3.33%
Ratio of net investment income/(loss) to average net assets 0.59% (3)   0.45%   (0.57)%   (0.62)%   (0.66)%   (0.22)%
Portfolio turnover rate 39% (6)   79%   108%   127%   153%   134%
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Annualized.
(4) Ratio of expenses to average net assets with waivers and expense reimbursement, excluding short-sale dividend expense, was 1.60% for the six months ended March 31, 2024, and for years ended September 30, 2023, 2022, 2021 and 2019, respectively.
(5) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(6) Not annualized.
The accompanying notes are an integral part of the financial statements.
17

 

Sirios Focus Fund
Financial Highlights (Concluded)
Contained below is per share operating performance data for Institutional Class shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been derived from information provided in the financial statements and should be read in conjunction with the financial statements and the notes thereto.
  Institutional Class
  For the
Six Months Ended
March 31,
2024
(Unaudited) 		  For the
Year Ended
September 30,
2023 		  For the
Year Ended
September 30,
2022 		  For the
Period Ended
September 30,
2021*
Per Share Operating Performance              
Net asset value, beginning of period $ 10.47   $ 9.03   $ 11.68   $ 10.00
Net investment income/(loss)(1) 0.03   (0.01)   (0.07)   (0.05)
Net realized and unrealized gain/(loss) on investments 2.19   1.73   (1.70)   1.73
Total from investment operations 2.22   1.72   (1.77)   1.68
Dividends and distributions to shareholders from:              
Net investment income —   (0.28)   —   —
Net realized capital gains —   —   (0.88)   —
Total dividends and distributions to shareholders —   (0.28)   (0.88)   —
Net asset value, end of period $ 12.69   $ 10.47   $ 9.03   $ 11.68
Total investment return(2) 21.09%   19.18%   (16.74)%   16.80%
Ratios/Supplemental Data              
Net assets, end of period (in 000s) $24,015   $11,595   $ 9,723   $11,679
Ratio of expenses to average net assets 1.60% (3)   1.60%   1.60%   1.60% (3)
Ratio of expenses to average net assets without waivers and reimbursements(4) 2.60% (3)   2.95%   2.73%   3.10% (3)
Ratio of net investment income/(loss) to average net assets 0.49% (3)   (0.07)%   (0.67)%   (0.60)% (3)
Portfolio turnover rate 56% (5)   80%   105%   96% (5)
* Commencement of operations on December 16, 2020.
(1) The selected per share data was calculated using the average shares outstanding method for the period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total returns for periods less than one year are not annualized.
(3) Annualized.
(4) During the period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).
(5) Not annualized.
The accompanying notes are an integral part of the financial statements.
18

 

SIRIOS FUNDS
Notes to Financial Statements
March 31, 2024
(Unaudited)
1. Organization and Significant Accounting Policies
The Sirios Long/Short Fund and the Sirios Focus Fund are non-diversified, open-end management investment companies registered under the Investment Company Act of 1940, as amended (the “1940 Act”) (the Sirios Long/Short Fund and the Sirios Focus Fund are each a “Fund”, and together, the “Funds”). The Sirios Long/Short Fund commenced investment operations on May 3, 2018 and the Sirios Focus Fund commenced investment operations on December 16, 2020. The Funds are each a separate series of FundVantage Trust (the “Trust”) which was organized as a Delaware statutory trust on August 28, 2006. The Trust is a “series trust” authorized to issue an unlimited number of separate series or classes of shares of beneficial interest. Each series is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one series is not deemed to be a shareholder of any other series. Each Fund offers Class A, Advisor Class, Institutional Class and Retail Class shares. As of March 31, 2024, Class A, Advisor Class and Retail Class shares have not been issued.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Each Fund’s equity securities listed on any national exchange market system will be valued at the last sale price. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing price. If there were no transactions on that day, securities traded principally on an exchange will be valued at the mean of the last bid and ask prices prior to the market close. Prices for equity securities normally are supplied by an independent pricing service approved by the Trust’s Board of Trustees (“Board of Trustees”). Fixed income securities are valued based on market quotations, which are furnished by an independent pricing service. Fixed income securities having remaining maturities of 60 days or less are generally valued at amortized cost, provided such amount approximates market value. Any assets held by the Funds that are denominated in foreign currencies are valued daily in U.S. dollars at the foreign currency exchange rates that are prevailing at the time that the Fund determines the daily NAV per share. Foreign securities may trade on weekends or other days when the Funds do not calculate NAV. As a result, the market value of these investments may change on days when you cannot buy or sell shares of the Funds. Foreign securities are valued based on prices from the primary market in which they are traded and are translated from the local currency into U.S. dollars using current exchange rates. Forward foreign currency contracts are valued at the forward rate. Investments in any mutual fund are valued at their respective NAVs as determined by those mutual funds each business day (which may use fair value pricing as disclosed in their prospectuses). OTC investments (including swap contracts) are generally valued by approved pricing services that use evaluated prices from various observable market factors. Securities that do not have a readily available current market value are valued in good faith by the Adviser as "valuation designee" under the oversight of the Trust’s Board of Trustees. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The Adviser has adopted written policies and procedures for valuing securities and other assets in circumstances where market quotes are not readily available. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Adviser pursuant to its policies and procedures. On a quarterly basis, the Adviser's fair valuation determinations will be reviewed by the Trust's Board of Trustees.
19

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
•  Level 1 — quoted prices in active markets for identical securities;
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out are recognized at the value at the end of the period.
Securities listed on a non-U.S. exchange are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees and categorized as Level 2 investments within the hierarchy. The fair valuations for these securities may not be the same as quoted or published prices of the securities on their primary markets. Securities for which daily fair value prices from the independent fair value pricing service are not available are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of valuation time, as provided by an independent pricing service approved by the Board of Trustees.
The following is a summary of the inputs used, as of March 31, 2024, in valuing each Fund's investments carried at fair value:
  Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Sirios Long/Short Fund            
Assets              
Long Positions:              
Common Stocks $ 23,301,524   $ 23,301,524   $ —   $ —
Short-Term Investments 11,252,622   11,252,622   —   —
Derivatives:              
Equity Contracts              
Total Return Swap Contracts 1,191,693   —   1,191,693   —
Foreign Currency Contracts              
Forward Foreign Currency Contracts 54,937   —   54,937   —
Total Assets $ 35,800,776   $ 34,554,146   $ 1,246,630   $ —
Liabilities              
Short Positions              
Common Stocks $ (1,390,539)   $ (1,390,539)   $ —   $ —
Derivatives:              
Equity Contracts              
Total Return Swap Contracts (561,835)   —   (561,835)   —
Foreign Currency Contracts              
Forward Foreign Currency Contracts (746)   —   (746)   —
Total Liabilities $ (1,953,120)   $ (1,390,539)   $ (562,581)   $ —
20

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
  Total
Value at
03/31/24 		  Level 1
Quoted
Price 		  Level 2
Other
Significant
Observable
Inputs 		  Level 3
Significant
Unobservable
Inputs
Sirios Focus Fund            
Assets              
Common Stocks $ 17,185,694   $ 17,185,694   $ —   $ —
Short-Term Investments 6,575,229   6,575,229   —   —
Derivatives:              
Equity Contracts              
Total Return Swap Contracts 406,895   —   406,895   —
Foreign Currency Contracts              
Forward Foreign Currency Contracts 38,823   —   38,823   —
Total Assets $ 24,206,641   $ 23,760,923   $ 445,718   $ —
Liabilities              
Derivatives:              
Equity Contracts              
Total Return Swap Contracts $ (21,262)   $ —   $ (21,262)   $ —
Foreign Currency Contracts              
Forward Foreign Currency Contracts (799)   —   (799)   —
Total Liabilities $ (22,061)   $ —   $ (22,061)   $ —
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third-party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that present changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. A reconciliation of Level 3 investments is presented only when the Funds have an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to net assets. The amounts and reasons for all transfers in and out of Level 3 are disclosed when the Funds had an amount of transfers during the reporting period that was meaningful in relation to net assets as of the end of the reporting period.
For the six months ended March 31, 2024, there were no transfers in or out of Level 3.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be material.
Investment Transactions, Investment Income and Expenses — Investment transactions are recorded on trade date for financial statement preparation purposes. Realized gains and losses on investments sold are recorded on the identified cost basis.
21

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums are recorded on a daily basis using the effective yield method except for short-term securities, which records discounts and premiums on a straight-line basis. Dividends are recorded on the ex-dividend date. Estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gain distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. The Funds may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned. General expenses of the Trust are generally allocated to each fund under methodologies approved by the Board of Trustees. Expenses directly attributable to a particular fund in the Trust are charged directly to that fund.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date. The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currency transactions in the Statements of Operations.
Cash and Cash Equivalents — Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. Each Fund maintains deposits with a high quality financial institution in an amount that is in excess of federally insured limits.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on ex-date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Other — In the normal course of business, each Fund may enter into contracts that provide general indemnifications. Each Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.
The SEC adopted Rule 18f-4 (the “Derivatives Rule”) under the 1940 Act. The Derivatives Rule generally requires a fund to adopt a written derivatives risk management program with risk guidelines that must cover certain elements, but that will otherwise be tailored based on how a fund’s use of derivatives may affect its investment portfolio and overall risk profile. A fund’s derivatives risk management program must also include provisions for stress testing, backtesting, internal reporting and escalation, and program review elements.
The Derivatives Rule requires funds engaging in derivatives transactions to comply with an outer limit on fund leverage risk based on a fund’s value at risk (“VaR”). This outer limit is based on a relative VaR test that compares the fund’s VaR to the VaR of a designated reference portfolio for that fund, or, in the absence of an appropriate reference portfolio, to 20% of the value of the fund’s net assets.
22

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The Derivatives Rule requires that a Fund’s Board of Trustees approve the appointment of a person or persons to oversee the administration of a Fund’s derivatives risk management program (“Derivatives Risk Manager” or “DRM”). The Board of Trustees has appointed a person or persons from the Fund’s investment adviser to serve as the DRM for the Program pursuant to Rule 18f-4. The DRM responsibilities include:
•       Regular communication with the Investment Adviser with respect to the implementation of the Program;
•       Completion and monitoring of a risk assessment for each Fund; and
•       Periodic reporting to the Board.
Forward Foreign Currency Contracts — A forward foreign currency contract ("Forward Contract") is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. Each Fund records realized gains or losses at the time the Forward Contract is closed. A Forward Contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. Each Fund utilized Forward Contracts for hedging purposes to protect each Fund's return against adverse currency movements.
For the six months ended March 31, 2024, the Funds' average quarterly volume of forward foreign currency contracts, purchased and sold, were as follows:
  Forward Foreign
Currency
Contracts - Purchased 		  Forward Foreign
Currency
Contracts - Sold
Sirios Long/Short Fund $363,896   $5,254,173
Sirios Focus Fund $199,806   $2,428,035
Purchased Options — The Funds may purchase option contracts. They are subject to interest rate and other risk exposure in the normal course of pursuing their investment objectives. The risk associated with purchasing an option is that the Funds pay a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Total Return Swaps — Total return swaps are contracts in which both parties agree to make payments of the total return from a reference instrument during a specified period. The total return includes appreciation or depreciation on the underlying asset, plus any interest or dividend payments. The unrealized appreciation or depreciation also includes interest charges and credits ("financing fees") related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate, such as the U.S. effective federal funds rate ("EFFR"). Payments under the swap are based upon an agreed upon principal amount but, since the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation or depreciation related to the change in the valuation of the notional amount of the swap is combined with the amount due to the Fund at termination or settlement. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the swap or unfavorable changes occur to the underlying reference instrument). The Funds used total return swaps to enhance returns, obtain short exposure as part of the Funds' strategy and for market exposure.
For the six months ended March 31, 2024, the average quarterly notional volume of the total return swaps were as follows:
  Notional Amount - Long   Notional Amount - Short
Sirios Long/Short Fund $4,014,490   $7,143,627
Sirios Focus Fund 2,159,742   —
23

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
As of March 31, 2024, the Sirios Long/Short Fund and the Sirios Focus Fund had securities pledged as collateral for total return swaps and forward foreign currency contracts totaling $4,261,533 and $1,092,281, respectively.
Counterparty Risk — Certain of the derivatives entered into by each Fund may not be traded on an exchange but instead will be privately negotiated in the over-the-counter market. This means that these instruments are traded between counterparties based on contractual relationships. Relying on a counterparty exposes a Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing a Fund to suffer a loss. If a counterparty defaults on its payment obligations to a Fund, this default will cause the value of an investment in a Fund to decrease. In addition, to the extent a Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. Each Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of each Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by each Fund.
Each Fund is subject to the risk that issuers of the instruments in which it invests and trades may default on their obligations, and that certain events may occur that have an immediate and significant adverse effect on the value of those instruments. There can be no assurance that an issuer will not default, or that an event that has an immediate and significant adverse effect on the value of an instrument will not occur, and that each Fund will not sustain a loss on a transaction as a result.
Liquidity Risk — Each Fund may be subject to liquidity risk primarily due to investments in derivatives. Each Fund may invest up to 15% of its net assets in illiquid securities or instruments. Certain derivatives, such as swaps, forward contracts and options may not be readily marketable and, therefore, may be deemed to be illiquid. An asset is not readily marketable if it cannot be sold within seven business days in the ordinary course of business for approximately the amount at which it is valued. Investments in illiquid assets involve the risk that the Fund may be unable to sell the asset or sell it at a reasonable price. In addition, each Fund may be required to liquidate positions or close out derivatives on unfavorable terms at a time contrary to the interests of each Fund in order to raise cash to pay redemptions.
An investment in derivatives is also subject to the risk that the Fund may not be able to terminate the derivatives effective on whatever date it chooses, or that the settlement of any early termination may depend on subsequent market movements. As a result, each Fund may be exposed to the risk of additional losses due to such delays.
Master Netting Agreement — In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, each Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”). An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event each Fund’s net assets decline by a stated percentage or each Fund fails to meet the terms of its ISDA Master Agreements. The result would cause each Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements — For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by each Fund and the counterparty. Cash collateral that has been pledged to cover obligations of each Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by each Fund, if any, is noted in the Portfolio of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of each Fund. Any additional required collateral is delivered to/pledged by each Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent
24

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
amounts due to each Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent each Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts. For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
The following tables present derivative assets and liabilities net of amounts available for offset under a master netting agreement and any related collateral received or posted by each Fund for forward foreign currency contracts and total return swaps as of March 31, 2024:
Counterparty Derivative
Assets - Gross 		Derivative
Available
for Offset 		Collateral
Received 		Derivative
Assets - Net*
Sirios Long/Short Fund        
Morgan Stanley $1,246,630 $(562,581) $— $684,049
Sirios Focus Fund        
Morgan Stanley $ 445,718 $ (22,061) $— $423,657
* Net amount represents the net receivable from the counterparty in the event of a default.
Counterparty Derivative
Liabilities - Gross 		Derivative
Available
for Offset 		Collateral
Posted 		Derivative
Liabilities - Net **
Sirios Long/Short Fund        
Morgan Stanley $(562,581) $562,581 $— $—
Sirios Focus Fund        
Morgan Stanley $ (22,061) $ 22,061 $— $—
** Net amount represents the net payable to the counterparty in the event of a default.
Currency Risk — Each Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which each Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect each Fund's NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for each Fund is determined on the basis of U.S. dollars, each Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of each Fund's holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of each Fund's holdings in foreign securities.
Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
Short Sales — Each Fund may sell securities short. A short sale involves the sale by a Fund of a security that it does not own with the anticipation of purchasing the same security at a later date at a lower price. If the price of the security has increased during this time, then a Fund will incur a loss equal to the increase in price from the time that the short sale was entered into plus any premiums and interest paid to the third party. Therefore, short sales involve the risk that losses may be exaggerated, potentially losing more money than the actual cost of the investment. Also, there is the risk that the third party to the short sale may fail to honor its
25

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
contract terms, causing a loss to a Fund. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. The Funds comply with guidelines established by the Securities and Exchange Commission and other applicable regulatory bodies with respect to coverage of short sales.
As of March 31, 2024, the Sirios Long/Short Fund had securities sold short totaling $1,390,539, securities pledged as collateral totaling $1,199,466 and deposits with brokers for securities sold short totaling $1,226,433.
In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged fees on securities sold short. Such income or fee is calculated on a daily basis based upon the market value of securities sold short and a variable rate that is dependent upon the availability of such security.
Disclosures About Derivative Instruments and Hedging Activities
The following tables provide quantitative disclosures about fair value amounts of, gains and losses on, each Fund’s derivative instruments as of March 31, 2024.
The following table lists the fair values of each Fund’s derivative holdings as of March 31, 2024 grouped by contract type and risk exposure category:
Sirios Long/Short Fund
Derivative Type 		Location
Statements of Assets and Liabilities 		Equity
Risk 		Foreign Currency
Risk 		Total
Asset Derivatives  
Forward Foreign Currency Contracts Unrealized appreciation on forward foreign currency contracts $ — $54,937 $ 54,937
Swap Contracts Unrealized appreciation on swap contracts 1,191,693 — 1,191,693
Total Value - Assets $1,191,693 $54,937 $1,246,630
Liability Derivatives  
Forward Foreign Currency Contracts Unrealized depreciation on forward foreign currency contracts $ — $ (746) $ (746)
Swap Contracts Unrealized depreciation on swap contracts (561,835) — (561,835)
Total Value - Liabilities $ (561,835) $ (746) $ (562,581)
Sirios Focus Fund
Derivative Type 		Location
Statements of Assets and Liabilities 		Equity
Risk 		Foreign Currency
Risk 		Total
Asset Derivatives  
Forward Foreign Currency Contracts Unrealized appreciation on forward foreign currency contracts $ — $38,823 $ 38,823
Swap Contracts Unrealized appreciation on swap contracts 406,895 — 406,895
Total Value - Assets $406,895 $38,823 $445,718
Liability Derivatives  
Forward Foreign Currency Contracts Unrealized depreciation on forward foreign currency contracts $ — $ (799) $ (799)
Swap Contracts Unrealized depreciation on swap contracts (21,262) — (21,262)
Total Value - Liabilities $ (21,262) $ (799) $ (22,061)
26

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
The following table lists the amounts of realized gains or losses included in net decrease in net assets resulting from operations for the six months ended March 31, 2024, grouped by contract type and risk exposure:
Sirios Long/Short Fund
Derivative Type 		Location
Statements of Operations 		Equity
Risk 		Foreign Currency
Risk 		Total
Realized Gain (Loss)  
Forward Foreign Currency Contracts Net realized gain/(loss) from forward foreign currency contracts $ — $(97,733) $ (97,733)
Swap Contracts Net realized gain/(loss) from swap contracts (39,217) — (39,217)
Total Realized Loss $(39,217) $(97,733) $(136,950)
Sirios Focus Fund
Derivative Type 		Location
Statements of Operations 		Equity
Risk 		Foreign Currency
Risk 		Total
Realized Gain (Loss)  
Forward Foreign Currency Contracts Net realized gain/(loss) from forward foreign currency contracts $ — $(30,606) $ (30,606)
Swap Contracts Net realized gain/(loss) from swap contracts 127,214 — 127,214
Total Realized Gain (Loss) $127,214 $(30,606) $ 96,608
The following table lists the amounts of change in unrealized appreciation (depreciation) included in net decrease in net assets resulting from operations for the six months ended March 31, 2024, grouped by contract type and risk exposure:
Sirios Long/Short Fund
Derivative Type 		Location
Statements of Operations 		Equity
Risk 		Foreign Currency
Risk 		Total
Change in Appreciation (Depreciation)  
Forward Foreign Currency Contracts Net change in unrealized depreciation on forward foreign currency contracts $ — $(12,178) $ (12,178)
Swap Contracts Net change in unrealized depreciation on swap contracts (298,904) — (298,904)
Total Change in Appreciation (Depreciation) $(298,904) $(12,178) $(311,082)
Sirios Focus Fund
Derivative Type 		Location
Statements of Operations 		Equity
Risk 		Foreign Currency
Risk 		Total
Change in Appreciation (Depreciation)  
Forward Foreign Currency Contracts Net change in unrealized depreciation on forward foreign currency contracts $ — $10,066 $ 10,066
Swap Contracts Net change in unrealized appreciation on swap contracts 283,137 — 283,137
Total Change in Appreciation (Depreciation) $283,137 $10,066 $293,203
27

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
2. Transactions with Related Parties and Other Service Providers
Sirios Capital Management, L.P. (“Sirios”) serves as the investment adviser to each Fund pursuant to an investment advisory agreement with the Trust. For its services, the Adviser earns a monthly fee at the annual rate of 1.35% of the Sirios Long/Short Fund’s average daily net assets; and 0.90% of the Sirios Focus Fund’s average daily net assets. The Adviser has contractually agreed to reduce its compensation and/or reimburse certain expenses of each Fund to the extent necessary to ensure that each Fund’s total operating expenses, excluding taxes, interest, extraordinary items, brokerage commissions, fees and expenses attributable to a distribution or service plan adopted by the Trust, dividend and interest expense on short sales of securities and “Acquired Fund Fees and Expenses,” as defined in Form N-1A, do not exceed 1.60% (on an annual basis) of each Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation will remain in place until April 30, 2025 for the Sirios Long/Short Fund and February 1, 2025 for the Sirios Focus Fund, unless the Board of Trustees approves its earlier termination. The Adviser is entitled to recover, subject to approval by the Board of Trustees, such amounts waived, reduced or reimbursed for a period of up to three (3) years from the date on which the Adviser reduced its compensation and/or assumed expenses for each Fund. The Adviser is permitted to seek recoupment from each Fund for fees it waived and Fund expenses it paid to the extent the total annual fund operating expenses do not exceed the limits described above or any lesser limits in effect at the time of the reimbursement. No reimbursement will occur unless each Fund’s expenses are below the Expense Limitation. As of March 31, 2024, the amount of potential recovery was as follows:
  Expiration
  09/30/2024   09/30/2025   09/30/2026   03/31/2027   Total
Sirios Long/Short Fund $118,847   $238,000   $237,648   $114,081   $708,576
Sirios Focus Fund 81,172   128,899   151,615   69,206   430,892
The Funds have not recorded a commitment or contingent liability at March 31, 2024.
For the six months ended ended March 31, 2024, the Adviser earned advisory fees of $217,765 and $62,335 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively. For the six months ended March 31, 2024, the Adviser waived fees and/or reimbursed expenses of $114,081 and $69,206 for the Sirios Long/Short Fund and the Sirios Focus Fund, respectively.
Other Service Providers
The Bank of New York Mellon ("BNY Mellon") serves as administrator and custodian for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees. For providing certain custodial services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
BNY Mellon Investment Servicing (US) Inc. (the “Transfer Agent”) provides transfer agent services to the Funds. The Transfer Agent is entitled to receive a monthly fee, subject to certain minimum, and out of pocket expenses.
The Trust, on behalf of the Funds, has entered into agreements with financial intermediaries to provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries investing in the Funds and have agreed to compensate the intermediaries for providing those services. The fees incurred by the Funds for these services are included in Transfer agent fees in the Statements of Operations.
Foreside Funds Distributors LLC (the “Underwriter”) provides principal underwriting services to the Funds pursuant to an underwriting agreement between the Trust and the Underwriter.
Trustees and Officers
The Trust is governed by its Board of Trustees. The Trustees receive compensation in the form of an annual retainer and per meeting fees for their services to the Trust. An employee of BNY Mellon serves as the Secretary of the Trust and is not compensated by the Funds or the Trust.
28

 

SIRIOS FUNDS
Notes to Financial Statements (Continued)
March 31, 2024
(Unaudited)
JW Fund Management LLC ("JWFM") provides a Principal Executive Officer and Principal Financial Officer, to the Trust. Chenery Compliance Group, LLC ("Chenery") provides the Trust with a Chief Compliance Officer and an Anti-Money Laundering Officer. JWFM and Chenery are compensated for their services provided to the Trust.
3. Investment in Securities
For the six months ended March 31, 2024, aggregated purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
  Purchases   Sales
Sirios Long/Short Fund $ 8,979,777   $12,141,990
Sirios Focus Fund 12,339,294   5,778,537
4. Capital Share Transactions
For the six months ended March 31, 2024 and for the year ended September 30, 2023, transactions in capital shares (authorized shares unlimited) were as follows:
  For the Six Months Ended
March 31, 2024
(Unaudited) 		  For the Year Ended
September 30, 2023
  Shares   Amount   Shares   Amount
Sirios Long/Short Fund:              
Institutional Class              
Sales —   $ —   —   $ —
Reinvestments —   —   69,415   735,114
Redemptions —   —   —   —
Net increase —   $ —   69,415   $735,114
 
               
Sirios Focus Fund:              
Institutional Class              
Sales 784,930   $10,000,000   —   $ —
Reinvestments —   —   30,020   298,700
Redemptions —   —   —   —
Net increase 784,930   $10,000,000   30,020   $298,700
 
               
5. Federal Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as tax benefit or expense in the current year. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
29

 

SIRIOS FUNDS
Notes to Financial Statements (Concluded)
March 31, 2024
(Unaudited)
For the year ended September 30, 2023, the tax character of distributions paid by the Sirios Long/Short Fund was $735,114 of ordinary income. The tax character of distributions paid by the Sirios Focus Fund was $298,700 of ordinary income dividends.
As of September 30, 2023, the components of distributable earnings on a tax basis were as follows:
  Capital Loss
Carryforward 		  Unrealized
Appreciation/
(Depreciation) 		  Qualified
Late-Year
Losses
Sirios Long/Short Fund $(329,378)   $3,251,097   $(218,918)
Sirios Focus Fund (478,133)   1,038,461   (103,613)
The differences between the book and tax basis components of distributable earnings relate primarily to the timing and recognition of income and gains for federal income tax purposes.
As of March 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
    Federal
Tax Cost* 		  Unrealized
Appreciation 		  Unrealized
(Depreciation) 		  Net Unrealized
Appreciation
Sirios Long/Short Fund   $28,921,970   $7,004,964   $(841,107)   $6,163,857
Sirios Focus Fund   21,465,848   2,805,407   (86,675)   2,718,732
* Because tax adjustments are calculated annually at the end of each Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous year’s federal income tax information, please refer to the Notes to Financial Statements section in each Fund’s most recent annual report.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and September 30 and late year ordinary losses ((i) ordinary losses between January 1 and September 30, and (ii) specified ordinary and currency losses between November 1 and September 30) as occurring on the first day of the following tax year. For the year ended September 30, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until October 1, 2023. For the year ended September 30, 2023, the Sirios Long/Short Fund and the Sirios Focus Fund had late year ordinary loss deferrals of $218,918 and $103,613, respectively.
Accumulated capital losses represent net capital loss carryforwards as of September 30, 2023 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2023, the Funds’ capital loss carryforward, which were comprised of both short-term losses and long-term losses, and had an unlimited period of capital loss carryover were as follows:
  Capital Loss Carryforward
  Short-Term   Long-Term
Sirios Long/Short Fund $329,378   $—
Sirios Focus Fund 478,133   —
6. Subsequent Events
Management has evaluated the impact of all subsequent events on each Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:
On May 8, 2024, the Board approved plans to liquidate and terminate the Sirios Focus Fund and Sirios Long/Short Fund, which final liquidations occurred on May 17, 2024 and May 29, 2024, respectively.
Management has evaluated, and has determined, there are no additional subsequent events.
30

 

SIRIOS FUNDS
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Funds uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 640-5704 and on the Securities and Exchange Commission's (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended December 31 and June 30) as an exhibit to its reports on Form N-PORT. Each Fund's portfolio holdings on Form N-PORT are available on the SEC's website at http://www.sec.gov.
Board Consideration of Investment Advisory Agreement
At an in-person meeting held on November 29-30, 2023 (the “Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of FundVantage Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement between Sirios Capital Management, L.P. (“Sirios” or the “Adviser”) and the Trust (the “Sirios Agreement”) on behalf of the Sirios Long/Short Fund and the Sirios Focus Fund (together, the “Sirios Funds”). At the Meeting, the Board considered the continuation of the Sirios Agreement with respect to the Sirios Funds for an additional one-year period.
In determining whether to approve the Sirios Agreement, the Trustees, including the Independent Trustees, considered information provided by Sirios in response to a request for information in accordance with Section 15(c) of the 1940 Act (the “Sirios 15(c) Response”) regarding (i) the services performed by Sirios for the Sirios Funds, (ii) the composition and qualifications of Sirios’ portfolio management staff, (iii) any potential or actual material conflicts of interest which may arise in connection with the management of the Sirios Funds, (iv) the investment performance of the Sirios Funds, (v) the financial condition of Sirios, (vi) brokerage selection procedures (including soft dollar arrangements, if any), (vii) the procedures for allocating investment opportunities between the Sirios Funds and other clients, (viii) results of any independent audit or regulatory examination, including any recommendations or deficiencies noted, (ix) any litigation, investigation or administrative proceeding which may have a material impact on Sirios’ ability to service the Sirios Funds, and (x) compliance with the Sirios Funds’ investment objectives, policies and practices (including codes of ethics and proxy voting policies), federal securities laws and other regulatory requirements. In addition to the information in the Sirios 15(c) Response, the Trustees received additional information at Board meetings throughout the year covering matters such as the relative performance of the Sirios Funds; compliance with the Sirios Funds’ investment objective, policies, strategy and limitations; the compliance of portfolio management personnel with applicable codes of ethics; and the adherence to pricing procedures as established by the Board.
The Board considered additional information provided by representatives from Sirios invited to participate in the Meeting regarding Sirios’ history, performance, investment strategy, and compliance program. Representatives of Sirios responded to questions from the Board. In addition to the foregoing information, the Trustees also considered all other factors they believed to be relevant to considering the approval of the Sirios Agreement, including the specific matters discussed below. In their deliberations, the Trustees did not identify any particular information that was controlling, and different Trustees may have attributed different weights to the various factors. After deliberating, the Trustees determined that the overall arrangement between the Sirios Funds and Sirios, as provided by the terms of the Sirios Agreement, including the advisory fees under the Agreement, were fair and reasonable in light of the services provided, expenses incurred and such other matters as the Trustees considered relevant.
Based on the Sirios 15(c) Response, the Trustees concluded that (i) the nature, extent and quality of the services provided (or to be provided) by Sirios are appropriate and consistent with the terms of the Sirios Agreement, (ii) that the quality of those services has been, and continues to be, consistent with industry norms, (iii) the Sirios Funds are likely to benefit from the provision of those services, (iv) Sirios has sufficient personnel, with the appropriate skills and experience, to serve the Sirios Funds effectively and has
31

 

SIRIOS FUNDS
Other Information (Continued)
(Unaudited)
demonstrated its continuing ability to attract and retain qualified personnel, and (v) the satisfactory nature, extent, and quality of services currently provided to the Sirios Funds is likely to continue under the Sirios Agreement.
The Trustees considered the investment performance for the Sirios Funds and Sirios. The Trustees reviewed historical performance charts which showed the performance of the Sirios Funds as compared to their respective benchmark indices and Lipper categories for the year-to-date, one-year, two-year, three-year, five-year and since inception periods ended September 30, 2023, as applicable. The Trustees considered the short-term and long-term performance of the Sirios Funds, as applicable. The Trustees noted that they considered performance reports provided at Board meetings throughout the year.
Sirios Long/Short Fund. The Trustees noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the HFRX Equity Hedge Index for the year-to-date, one-year and since inception periods ended September 30, 2023, and underperformed for the three-year and five-year periods ended September 30, 2023. They further noted that the Sirios Long/Short Fund’s Institutional Class shares outperformed the Lipper Alternative Long/Short Equity Funds Classification for the year-to-date, one-year and three-year periods ended September 30, 2023, and underperformed for the five-year and since inception periods ended September 30, 2023.
Sirios Focus Fund. The Trustees noted that the Sirios Focus Fund’s Institutional Class shares underperformed the S&P 500 Total Return Index for the year-to-date, one-year, two-year and since inception periods ended September 30, 2023. They further noted that the Sirios Focus Fund’s Institutional Class shares outperformed the Lipper Global Multi-Cap Core Classification for the year-to-date, one-year, two-year and since inception periods ended September 30, 2023.
The Trustees concluded that the performance of each of the Sirios Funds was within an acceptable range of performance relative to other mutual funds with similar investment objectives, strategies and policies based on the information provided at the Meeting.
The Trustees noted that the representatives of Sirios had provided information regarding its advisory fees and an analysis of these fees in relation to the services provided to the Sirios Funds and any other ancillary benefit resulting from the Sirios’ relationship with the Sirios Funds.
The Trustees also reviewed information regarding the fees Sirios charges to certain other clients and evaluated explanations provided by Sirios as to differences in fees charged to the Sirios Funds and other similarly managed accounts, where applicable. The Trustees also reviewed a peer comparison of advisory fees and total expenses for each Sirios Fund versus those funds in the Fund’s applicable Lipper category (the “Peer Group”). The Trustees concluded that the advisory fees and services provided by Sirios are consistent with those of other advisers that manage mutual funds with investment objectives, strategies and policies similar to those of the Sirios Funds as measured by the information provided by Sirios.
The Board considered, among other data, the specific factors and related conclusions set forth below with respect to each Sirios Fund:
Sirios Long/Short Fund. The contractual advisory fee and net total expense ratio for the Sirios Long/Short Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Long/Short Fund’s Peer Group.
Sirios Focus Fund. The contractual advisory fee and net total expense ratio for the Sirios Focus Fund’s Institutional Class shares were higher than the median of the contractual advisory fee and net total expense ratio for those funds in the Sirios Focus Fund’s Peer Group.
The Trustees considered the costs of the services provided by Sirios, the compensation and benefits received by Sirios in providing services to the Sirios Funds, the profitability and certain additional information related to the financial condition of Sirios. In addition, the Trustees considered any direct or indirect revenues received by affiliates of Sirios. The Trustees considered the extent to which economies of scale would be realized relative to fee levels as the Sirios Funds grow, and whether the advisory fee levels reflect those economies of scale for the benefit of shareholders.
32

 

SIRIOS FUNDS
Other Information (Concluded)
(Unaudited)
The Trustees considered and determined that economies of scale for the benefit of shareholders should be achieved if assets of the Sirios Funds increase because fixed expenses will be spread across a larger asset base. The Trustees also noted that the Sirios Funds’ advisory fees do not include “breakpoint” reductions in the advisory fee rates at specific asset levels but that Sirios has contractually agreed to waive fees and/or reimburse certain expenses of the Sirios Funds for the benefit of shareholders.
At the Meeting, after consideration of all the factors and taking into consideration the information presented, the Board, including the Independent Trustees, unanimously approved the continuation of the Sirios Agreement for an additional one-year period. In arriving at their decision, the Trustees did not identify any single matter as controlling, but made their determination in light of all the circumstances.
33

 

Investment Adviser
Sirios Capital Management, L.P.
One International Place
Boston, MA 02110
Administrator
The Bank of New York Mellon
103 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
500 Ross Street, 154-0520
Pittsburgh, PA 15262
Principal Underwriter
Foreside Funds Distributors LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103-7096
Legal Counsel
Troutman Pepper Hamilton Sanders LLP
3000 Two Logan Square
18th and Arch Streets
Philadelphia, PA 19103
SIR-0324

  (b)

Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form.

 

(b)

Not applicable.

 

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable. 

 

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

(a)(1)

  

Not applicable.

(a)(2)

  

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(2)(1) Not applicable.

(a)(2)(2) Not applicable.

(b)

  

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) FundVantage Trust

 

By (Signature and Title)* 

  

/s/ Joel L. Weiss     

 

Joel L. Weiss, President and

 

Chief Executive Officer

 

(principal executive officer)

Date June 5, 2024  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)* 

  

/s/ Joel L. Weiss     

 

Joel L. Weiss, President and

 

Chief Executive Officer

 

(principal executive officer)

Date  June 5, 2024  

 

By (Signature and Title)* 

  

/s/ Christine S. Catanzaro  

 

Christine S. Catanzaro, Treasurer and

 

Chief Financial Officer

 

(principal financial officer)

Date June 5, 2024  

* Print the name and title of each signing officer under his or her signature.

ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

302 CERTIFICATIONS

906 CERTIFICATION