Preview
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
EXHIBIT 4
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
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 811-21422
Trust for Advised Portfolios
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, Wisconsin 53202
(Address of principal executive offices) (Zip code)
Christopher E. Kashmerick
Trust for Advised Portfolios
2020 East Financial Way, Suite 100
Glendora, CA 91741
(Name and address of agent for service)
(626) 914-7385
Registrant's telephone number, including area code
Date of fiscal year end: August 31
Date of reporting period: August 31, 2019
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Item 1. Reports to Stockholders.
Infinity Q Diversified Alpha Fund
Annual Report to Shareholders
Consolidated Financial Statements
August 31, 2019
Important Notice: The U.S. Securities and Exchange Commission will permit funds to make shareholder reports available electronically beginning
January 1, 2021. Accordingly, paper copies will no longer be mailed. Instead, at that time, the Infinity Q Diversified Alpha Fund will send a notice,
either by mail or e-mail, each time an updated report is available on the Fund’s website (www.infinityqfunds.com)]. Investors enrolled in electronic
delivery will receive the notices by e-mail, with links to the updated report and will not need to take any action. Investors who are not enrolled in
electronic delivery by January 1, 2021 will receive the notices in the mail.
All investors who prefer to receive shareholder reports in a printed format may, at any time, choose that option free of charge. Contact your
financial intermediary to make this election, or direct investors can call 1-844-473-8631.
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Annual Report to Shareholders
Consolidated Financial Statements
August 31, 2019
TABLE OF CONTENTS Page
Adviser’s Shareholder Letter 1
Expense Example 5
Consolidated Financial Statements
Consolidated Schedule of Investments 6
Consolidated Statement of Assets and Liabilities 21
Consolidated Statement of Operations 23
Consolidated Statement of Changes in Net Assets 24
Consolidated Financial Highlights 25
Notes to Consolidated Financial Statements 27
Report of Independent Registered Public Accounting Firm 45
Trustee and Officer Information 46
General Information 48
Approval of Investment Advisory Agreement 49
Privacy Notice 51
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Dear Shareholder:
Infinity Q Capital Management (“Infinity Q”) is a pioneering hedge fund firm managed by a team of professionals who also manage assets for
Wildcat Capital Management, the family office for David Bonderman, the co-founder of $100 Billion private equity firm TPG. The Infinity Q
Diversified Alpha Fund (the “Fund”) attempts to generate positive absolute returns by providing exposure to several “alternative” strategies
including Volatility, Equity Long/Short, Relative Value, and Global Macro. Our strategies are intended to have a low correlation to equity, fixed
income, and credit markets.
Infinity Q combines analytics, research, and trading to manage its investment strategies. Our team analyzes 50 million data points across global
asset classes using robust quantitative models and screens. The team uses extensive due diligence to research discretionary and systematic
investment ideas that originate from this analysis and from the buy side, the sell side and academia. As a final step, we utilize our expertise in
derivatives to optimize trade structuring for both systematic and discretionary strategies. Our “Quantamental” process combines the depth of
private equity investing with the breadth of quantitative analysis. We believe that every year there are 10-15 extremely asymmetric opportunities
across asset classes, and we utilize our breadth to uncover these opportunities, and our depth to research and execute them.
Our portfolio construction and dynamic asset allocation process incorporates risk management throughout and considers proprietary optimizations
and our current macroeconomic outlook. Strategies are added to the portfolio and sized appropriately utilizing both quantitative and qualitative
inputs including expected return, expected tail loss, market payoff distributions, correlations, and liquidity to arrive at our optimal portfolio.
On a total return basis, the Fund’s Institutional Class shares returned 3.81% for the period beginning August 31, 2018 and ending August 30, 2019.
The Fund’s benchmark, the Credit Suisse Hedge Fund Index, had a return of 2.56% over the same period.
In the next section, we provide more detail on the performance attribution by strategy.
Volatility
The Volatility portfolio contributed 715 basis points (“bps”) during the period. The gains were driven by our long equity versus Foreign Exchange
(“FX”) correlation positions, vega neutral equity volatility and equity dispersion positions. Our short equity volatility positions detracted value
over the period.
Global Macro
The Global Macro portfolio contributed 38 bps during the period. The gains were generated by our cross-asset class momentum strategy and GSE
positions. These gains were partially offset by slight overall losses from our FX positions.
Relative Value
The Relative Value portfolio detracted 17 bps during the period. The losses were primarily driven by our commodity liquidity timing trading
strategies. These low-volatility strategies seek to generate returns by providing liquidity to commodity indices during the roll periods of the
commodity futures they hold. These strategies are non-directional and have low correlation to other strategies within our portfolio.
1
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Equity Long/Short (“L/S”)
The Equity L/S strategy detracted 316 bps. The losses were paced by our European equity market neutral strategy and our Healthcare L/S strategy.
Comparison of Change in Value of a Hypothetical $1,000,000 Investment from 9/30/14 (inception) through 08/31/19
(Assumes reinvestment of dividends and capital gains but does not reflect the effect of redemption fees and does not guarantee future
performance)
Total Returns as of August 31, 2019
Infinity Q Diversified Alpha Fund
September 30, 2014 (inception) to
1 Year 3 Years *
August 31, 2018 *
Fund - Institutional Class: IQDNX 3.81% 7.69% 5.13%
Fund - Investor Class: IQDAX (without load) 3.48% 7.39% 4.87%
Credit Suisse Hedge Fund Index 2.56% 3.98% 2.40%
* Returns reported for periods greater than one year are annualized.
The gross expense ratio for the Institutional Share Class is 2.13% without dividend and interest expense, but there is an expense cap at 1.95%. The
gross expense ratio for the Investor Share Class is 2.46% without dividend and interest expense, but there is an expense cap at 2.20%. The Adviser
has contractually agreed to waive fees until at least December 31, 2019.
Performance data quoted represents past performance; past performance is not an indicator or guarantee of future results. The investment
return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their
original cost. Current performance of the Fund may be higher or lower than the performance quoted. Performance current to the most recent
month-end may be obtained by calling 1-844-IQFUND1. The performance presented is net of management fees and expenses and reflects the
reinvestment of dividends and other earnings. Performance data also reflects fee waivers and in the absence of these waivers performance
would be reduced. Performance data does not reflect the 1.00% redemption fee imposed on shares held 60 days or less which would also
reduce performance.
2
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced.
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice
Must be preceded or accompanied by a current prospectus.
Mutual fund investing involves risk. Principal loss is possible. Derivatives, such as Credit Default Swaps (CDS) and Forwards and Futures,
involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be
greater than the risks presented by more traditional investments. Investing in commodities may subject the Fund to greater risks and volatility
as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government
regulations. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in
accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest
rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a
greater risk of loss to principal and interest than higher-rated securities. The Fund may make short sales of securities, which involves the risk
that losses may exceed the original amount invested. The Fund may use leverage which may exaggerate the effect of any increase or decrease in
the value of portfolio securities or the Net Asset Value of the Fund, and money borrowed will be subject to interest costs.
Absolute return strategies are not designed to outperform stocks and bonds during strong market rallies.
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security.
Alpha is an annualized return measure of how much better or worse a fund’s performance is relative to an index of funds in the same category, after
allowing for differences in risk.
Basis point (bp) is a unit equal to 1/100th of 1% and is used to denote the change in a financial instrument.
Correlation is a statistic that measures the degree to which two securities move in relation to each other. The correlation coefficient value must fall
between -1.0 and +1.0.
Vega Neutral strategies have near zero exposure to market implied volatility.
The Credit Suisse Hedge Fund Index is an asset-weighted hedge fund index and includes only funds, as opposed to separate accounts. The index
uses the Credit Suisse Hedge Fund Database, which tracks approximately 9,000 funds and consists only of funds with a minimum of US$50 million
under management, a 12-month track record, and audited financial statements. The index is calculated and rebalanced on a monthly basis, and
reflects performance net of all hedge fund component performance fees and expenses.
One cannot invest directly in an index.
3
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Diversification does not assure a profit nor protect against loss in a declining market.
Infinity Q Capital Management is the Advisor to the Infinity Q Diversified Alpha Fund, which is distributed by Quasar Distributors, LLC.
Infinity Q Capital Management, LLC was launched to offer certain of Wildcat’s investment strategies to institutional and retail clients. Wildcat
Capital Management, LLC was formed in September 2011 to act as the family investment office for the founding partner of TPG Capital, David
Bonderman. The investment team and control functions are largely the same for both Wildcat and Infinity Q. Quasar Distributors, LLC is not
affiliated with TPG Capital or Wildcat Capital Management, LLC.
4
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Expense Example
For the Period Ended August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, dividend expense, and interest
expense; and (2) ongoing costs, including management fees and other Fund expenses. This Example is 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.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2019 to
August 31, 2019 (the “Period”).
Actual Expenses
The first line of the table below 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 you paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses
Paid During the Period” to estimate the expenses you paid on your account during the Period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical Performance (5% return before expenses)” 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 the 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 the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as
redemption fees. Therefore, the information under the heading “Hypothetical Performance (5% Return Before Expenses)” 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.
Expenses Paid During the Period
EXPENSES
PAID
BEGINNING ENDING ANNUALIZED DURING
ACCOUNT ACCOUNT EXPENSE THE
VALUE VALUE RATIO PERIOD(1)
Infinity Q Diversified Alpha Fund - Investor Class
Actual Fund Return $1,000.00 $1,013.80 2.47% $12.54
Hypothetical 5% Return $1,000.00 $1,012.75 2.47% $12.53
Infinity Q Diversified Alpha Fund - Institutional Class
Actual Fund Return $1,000.00 $1,015.40 2.22% $11.28
Hypothetical 5% Return $1,000.00 $1,014.01 2.22% $11.27
(1) Expenses are equal to each class’s annualized expense ratio of 2.47% for Investor Class and 2.22% for Institutional Class, multiplied by the average account
value over the period, multiplied by 184/365 (to reflect the Period).
5
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments
August 31, 2019
COMMON STOCKS (4.4%) Shares Value
Health Care (3.8%)
GW Pharmaceuticals plc - ADR(a) 7,000 $ 996,870
NantHealth, Inc.(a) 81,870 39,658
NuCana plc - ADR(a) 515,154 4,677,598
Optinose, Inc.(a) 443,837 3,399,791
UroGen Pharma Ltd.(a) 452,284 15,355,042
Urovant Sciences Ltd.(a) 199,291 1,757,747
Total Health Care 26,226,706
Energy (0.6%)
Cameco Corp. 500,000 4,385,000
TOTAL COMMON STOCKS (Cost $32,650,914) $ 30,611,706
EXCHANGE TRADED FUNDS (9.0%)
iShares 20+ Year Treasury Bond ETF 26,989 3,974,940
iShares iBoxx High Yield Corporate Bond ETF 109,049 9,504,711
iShares iBoxx Investment Grade Corporate Bond ETF 72,426 9,328,469
iShares J.P. Morgan USD Emerging Markets Bond ETF 72,479 8,336,535
iShares National Muni Bond ETF 43,350 4,993,920
SPDR Gold Trust (a) 154,828 22,256,525
United States Natural Gas Fund LP 2,500 49,425
Vanguard High Yield Dividend Yield Fund ETF 41,565 3,581,240
TOTAL EXCHANGE TRADED FUNDS (Cost $59,537,627) $ 62,025,765
PREFERRED STOCKS (1.4%) (b)
Federal Home Loan Mortgage Corp. (a), 5.57%, Series V 73,338 748,048
Federal Home Loan Mortgage Corp. (a), 6.02%, Series X 30,723 352,700
Federal Home Loan Mortgage Corp. (a), 6.55%, Series Y 9,754 105,343
Federal Home Loan Mortgage Corp. (a), 7.875%, (3 month U.S. LIBOR + 4.16%) (c),
December 31, 2022, Series Z 293,399 3,532,524
Federal National Mortgage Association (a), 4.50%, (3 month U.S. LIBOR + 0.75%), Series P
23,392 243,511
Federal National Mortgage Association (a), (2 YR CMT - 0.16%), March 31, 2020, Series F
2,598 51,700
Federal National Mortgage Association (a), 7.00% (10 YR CMT + 2.375%), Series O 5,462 113,063
Federal National Mortgage Association (a), 7.625%, Series R 9,503 102,632
Federal National Mortgage Association (a), 7.75% (3 month U.S. LIBOR +4.23%) (c),
December 31,
2020(b), Series S 295,044 3,575,933
Federal National Mortgage Association(a), 8.25%, Series T 42,830 471,130
TOTAL PREFERRED STOCKS (Cost $8,162,183) $ 9,296,584
OPTIONS PURCHASED (2.1%)(a)
Contracts Notional
Call Options Purchased (0.3%)
Beyond Meat, Inc., Expires November 15, 2019 at $175.00 500 8,381,500 USD 342,500
iPath B S&P 500 VIX Short-Term Futures ETN , Expires September 6, 2019 at $31.00 745 2,011,500 USD 23,840
SX5E Dividend Points Index, Expires December 16, 2022 at $105.00 100,000 11,050,000 EUR 1,405,680
Total Call Options Purchased (Premiums paid $2,484,901) 1,772,020
Put Options Purchased (0.5%)
iShares Nasdaq Biotechnology ETF, Expires September 6, 2019 at $100.50 6,000 61,758,000 USD 288,000
S&P 500 Index, Expires September 3, 2019 at $2,765.00 1,500 438,969,000 USD 45,000
S&P 500 Index, Expires September 3, 2019 at $2,780.00 1,000 292,646,000 USD 50,000
S&P 500 Index, Expires September 3, 2019 at $2,855.00 1,500 438,969,000 USD 429,000
S&P 500 Index, Expires September 3, 2019 at $2,860.00 1,000 292,646,000 USD 345,000
S&P 500 Index, Expires October 18, 2019 at $2,850.00 30 8,779,380 USD 148,800
SPX Volatility Index, Expires September 18, 2019 at $16.00 14,000 26,572,000 USD 735,000
SPX Volatility Index, Expires September 18, 2019 at $17.00 12,000 22,776,000 USD 1,110,000
SX5E Dividend Points Index, Expires December 18, 2020 at $115.00 700,000 77,350,000 EUR 269,266
Total Put Options Purchased (Premiums paid $4,390,361) 3,420,066
The accompanying notes are an integral part of these financial statements.
6
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments (continued)
August 31, 2019
Notional /
Shares Counterparty Vega Notional Value
Over the Counter Options Purchased (1.2%)
1 Year Swaption Payer, 2.25% vs. 3 Mo LIBOR, Expires September 11, 2019 - MS 500,000,000 USD$ -
1 Year Swaption Payer, 2.25% vs. 3 Mo LIBOR, Expires September 11, 2019(d) - MS 500,000,000 USD -
Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019(e) ^ - MS 80,000,000 USD 398,000
Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020(e) ^ - CITI 25,000,000 USD 182,775
EUR / USD & EUR / CHF Dual Digital Option, Expires October 24, 2019(f) - CS 4,800,000 EUR 467,001
EUR / USD & USD / CAD Dual Digital Option, Expires October 7, 2019(g) - CITI 6,000,000 USD 150,522
EUR / USD & USD / JPY Dual Digital Option, Expires October 24, 2019(h) - CITI 6,000,000 USD 851,772
EUR / USD & USD / RUB & USD / IDR Worst of Put, Expires January 20, DB 132,000,000 USD
2020(i) - 327,624
MXN Call / EUR Put Binary Option, Expires March 27, 2020 at 21.00 MXN - MS 6,000,000 EUR 765,932
SX5E & EUR / USD Dual Digital Option, Expires December 20, 2019(j) - DB 5,800,000 USD 744,755
SX5E & EUR / USD Dual Digital Option, Expires October 18, 2019(k) - MS 3,000,000 EUR 101,532
SX5E Index Digital Call Option, Expires December 17, 2021 at $4,000.00 - CITI 3,000,000 EUR 481,481
SX5E Index Digital Call Option, Expires December 17, 2021 at $4,000.00 - UBS 5,000,000 EUR 802,469
TRY Call / EUR Put Digital Option, Expires January 24, 2020 at 6.25 TRY - DB 2,000,000 EUR 433,508
TRY Call / USD Put, Expires December 20, 2019 at 5.75 TRY(l) - MS 50,000,000 USD 445,700
USD / INR & USD / TWD Dual Digital Option, Expires September 9, 2019(m) - DB 5,000,000 USD 49,965
USD / JPY & USD / KRW Dual Digital Option, Expires November 22, 2019(n) - CITI 5,500,000 USD 464,404
USD Call / CNH Put, Expires November 14, 2019 at 7.15 EUR(o) - DB 120,000,000 USD 929,520
USD Call / EUR Put Binary Option, Expires May 26, 2021 at 1.05 EUR - CS 3,000,000 EUR 490,236
USD Call / SAR Put Binary Option, Expires February 24, 2020 at 4.2 SAR - MS 5,000,000 USD -
Total Over the Counter Options Purchased (Premiums paid $8,476,251) 8,087,196
Currency Options Purchased (0.1%)
AUD Call / USD Put, Expires September 20, 2019 at 0.72 USD - MS 110,000,000 AUD 148
EUR Call / USD Put, Expires September 6, 2019 at 1.095 EUR - CITI 230,000,000 EUR 182,002
EUR Call / USD Put, Expires September 6, 2019 at 1.125 EUR - MS 150,000,000 EUR 824
NOK Call / USD Put, Expires September 6, 2019 at 8.35 NOK - MS 80,000,000 USD -
USD Call / EUR Put, Expires October 4, 2019 at 1.09 EUR - DB 120,000,000 EUR 466,347
Total Currency Options Purchased (Premiums paid $1,324,624) 649,321
TOTAL OPTIONS PURCHASED (Premiums paid $16,676,137) $ 13,928,603
SHORT-TERM INVESTMENTS (46.9%)
Fidelity Investments Money Market Funds - Gvmt. Portfolio - Class I, 2.00%
(p) 307,270,223 307,270,223
STIT Invesco Government & Agency Portfolio - Institutional Class, 2.02%
(p) (q) 15,583,424 15,583,424
TOTAL SHORT-TERM INVESTMENTS (Cost $322,853,647) $ 322,853,647
TOTAL INVESTMENTS (63.8%) (Cost $439,880,508) $ 438,716,305
OTHER ASSETS IN EXCESS OF LIABILITIES (36.2%) 249,013,231
TOTAL NET ASSETS (100.0%) $ 687,729,536
Counterparty abbreviations: BAML - Bank of America Merrill Lynch, CS - Credit Suisse, CITI - Citigroup, DB - Deutsche Bank Securities, MS - Morgan Stanley
^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2.
ADR - American Depositary Receipt
(a) Non-income producing security.
(b) All Federal Home Loan Mortgage Corp. and Federal National Mortgage Association are callable. The date disclosed is the next call date. If no date, issue is
callable at any time.
(c) Variable Rate security. Rates disclosed as of August 31, 2019.
(d) Payment from Swaption payer is contigent on if the SPX Index is below 2,750.00.
(e) Terms and underlying basket components are listed on the following page.
(f) Payment from counterparty is received if the EUR/USD exchange rate is below 1.10 and the EUR/CHF exchange rate is above 1.11 at expiration.
(g) Payment from counterparty is received if the EUR/USD exchange rate is above 1.15 and the USD/CAD exchange rate is above 1.35 at expiration.
(h) Payment from counterparty is received if the EUR/USD exchange rate is below 1.10 and the USD/JPY exchange rate is below 105 at expiration.
(i) The final payout will equal the minimum value of one of the following three components multiplied by the notional amount as of January 20, 2020. If each of
the return is negative, the option will expire worthless.
1. EUR / USD 1.1559 strike.
2. USD / RUB 64.964 strike.
3. USD / IDR 14,377 strike.
(j) Payment from counterparty is received if the SX5E Index is below 3,050.00 and the EUR/USD exchange rate is at or below 1.11 at expiration.
The accompanying notes are an integral part of these financial statements.
7
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments (continued)
August 31, 2019
(k)Payment from counterparty is received if the SX5E Index is below 3,250.00 and the EUR/USD exchange rate is above 1.15 at expiration.
(l)Option includes reverse knockout barrier at the TRY/USD exchange rate of 5.10. If exchange rate decreases below the barrier, the option becomes worthless.
(m)Payment from counterparty is received if the USD/INR exchange rate is below 68.50 and the USD/TWD exchange rate is above 31.75 at expiration.
(n)Payment from counterparty is received if the USD/JPY exchange rate is at or below 103 and the USD/KRW exchange rate is at or above 1,250 at expiration.
(o)Option includes reverse knockout barrier at the USD/CNH exchange rate of 7.50. If exchange rate increases above the barrier, the option becomes worthless.
(p)Rate quoted is seven-day yield at period end.
(q)Position held in the Subsidiary. See Notes.
The accompanying notes are an integral part of these financial statements.
8
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments (continued)
August 31, 2019
The following tables provide information on the underlying components of each option on dispersion basket. Underlying components are equally
weighted. The payout will equal the notional amount multiplied by the average absolute difference between the return of each underlying security
and the return of the basket in excess of the strike. If the average difference is less than the strike, the option will expire worthless.
Citi Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020
Effective November 28, 2018 Notional: $25,000,000
Initial Price Level
Security at November 28, 2018
Bank of America Corp. 28.43 USD
Wells Fargo & Co. 54.35 USD
JPMorgan Chase & Co. 110.94 USD
Morgan Stanley 45.31 USD
The Goldman Sachs Group, Inc. 198.35 USD
Morgan Stanley Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019
Effective January 10, 2018 Notional: $80,000,000
Initial Price Level
Security at January 10, 2018
Alphabet, Inc. - Class A 1110.14USD
Analog Devices, Inc. 90.11USD
Apple, Inc. 174.29USD
Aptiv plc 90.46USD
Bayerische Motoren Werke AG 89.40EUR
BP plc 530.50GBP
Continental AG 242.40EUR
Daimler AG-REG 74.15EUR
Ford Motor Co. 13.03USD
General Motors Co. 43.00USD
Hitachi Ltd. 917.50JPY
Honda Motor Corp 4102.00JPY
Infineon Technologies AG 24.57EUR
Michelin 128.85EUR
Nidec Corp 16865.00JPY
Progressive Corp 55.68USD
Renault SA 88.09EUR
Royal Dutch Shell plc - Class A 2557.00GBP
SKF AB - Class B 187.50SEK
Tesla, Inc. 334.80USD
The Allstate Corp 100.43USD
The Goodyear Tire & Rubber Co. 33.47USD
Toyota Motor Corp 7706.00JPY
Umicore S.A. 43.62EUR
Valeo S.A. 65.68EUR
Volkswagen AG-PREF 178.20EUR
The accompanying notes are an integral part of these financial statements.
9
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021
NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021
Infinity Q Diversified Alpha Fund
Consolidated Schedule of Investments (continued)
August 31, 2019
SECURITIES SOLD SHORT (-0.5%) Shares Value
COMMON STOCK (-0.5%)
Packaged Foods (-0.4%)
Beyond Meat, Inc. (18,300) $ (3,067,629)
TOTAL COMMON STOCK (Cost $3,560,276)
EXCHANGE TRADED FUND (-0.1%)
Invesco DB US Dollar Bullish Fund ETF (16,200) (435,294)
TOTAL EXCHANGE TRADED FUND (Cost $419,263)
TOTAL SECURITIES SOLD SHORT (Proceeds $3,979,539) $ (3,502,923)
WRITTEN OPTIONS (-2.3%)
Contracts Notional
Call Options Written (-0.8%)
iPath B S&P 500 VIX Short-Term Futures ETN , Expires January 15, 2021 at $50.00 (2,500) (6,750,000) USD (1,200,000)
S&P 500 Index, Expires December 20, 2019 at $2,950.00 (180) (52,676,280) USD (1,642,500)
SPDR Gold Trust, Expires January 17, 2020 at $136.00 (2,000) (28,750,000) USD (2,045,000)
SX5E Dividend Points Index, Expires December 16, 2022 at $115.00 (100,000) (11,050,000) EUR (728,668)
Total Call Options Written (Premiums received $4,402,191) (5,616,168)
Put Options Written (-0.9%)
iShares iBoxx High Yield Corporate Bond ETF, Expires December 20, 2019 at $85.00 (5,000) (43,580,000) USD (625,000)
iShares J.P. Morgan USD Emerging Markets Bond, Expires December 20, 2019 at $112.00 (3,250) (37,381,500) USD (422,500)
S&P 500 Index, Expires September 3, 2019 at $2,810.00 (3,000)(877,938,000) USD (240,000)
S&P 500 Index, Expires September 3, 2019 at $2,820.00 (2,000)(585,292,000) USD (210,000)
S&P 500 Index, Expires October 18, 2019 at $2,850.00 (100) (29,264,600) USD (492,000)
S&P 500 Index, Expires December 20, 2019 at $2,950.00 (150) (43,896,900) USD (1,790,250)
SPDR Gold Trust, Expires January 17, 2020 at $116.00 (2,000) (28,750,000) USD (14,000)
SPX Volatility Index, Expires September 18, 2019 at $15.00 (12,000) (22,776,000) USD (300,000)
SPX Volatility Index, Expires September 18, 2019 at $16.00 (12,000) (22,776,000) USD (630,000)
SPX Volatility Index, Expires October 16, 2019 at $16.00 (14,000) (26,572,000) USD (1,085,000)
SX5E Dividend Points Index, Expires December 16, 2022 at $90.00 (100,000) (11,050,000) EUR (383,567)
Total Put Options Written (Premiums received $7,834,515) (6,192,317)
Counterparty Notional
Over the Counter Options
Preview
FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 EXHIBIT 4 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 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 811-21422 Trust for Advised Portfolios (Exact name of registrant as specified in charter) 615 East Michigan Street Milwaukee, Wisconsin 53202 (Address of principal executive offices) (Zip code) Christopher E. Kashmerick Trust for Advised Portfolios 2020 East Financial Way, Suite 100 Glendora, CA 91741 (Name and address of agent for service) (626) 914-7385 Registrant's telephone number, including area code Date of fiscal year end: August 31 Date of reporting period: August 31, 2019 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Item 1. Reports to Stockholders. Infinity Q Diversified Alpha Fund Annual Report to Shareholders Consolidated Financial Statements August 31, 2019 Important Notice: The U.S. Securities and Exchange Commission will permit funds to make shareholder reports available electronically beginning January 1, 2021. Accordingly, paper copies will no longer be mailed. Instead, at that time, the Infinity Q Diversified Alpha Fund will send a notice, either by mail or e-mail, each time an updated report is available on the Fund’s website (www.infinityqfunds.com)]. Investors enrolled in electronic delivery will receive the notices by e-mail, with links to the updated report and will not need to take any action. Investors who are not enrolled in electronic delivery by January 1, 2021 will receive the notices in the mail. All investors who prefer to receive shareholder reports in a printed format may, at any time, choose that option free of charge. Contact your financial intermediary to make this election, or direct investors can call 1-844-473-8631. FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Annual Report to Shareholders Consolidated Financial Statements August 31, 2019 TABLE OF CONTENTS Page Adviser’s Shareholder Letter 1 Expense Example 5 Consolidated Financial Statements Consolidated Schedule of Investments 6 Consolidated Statement of Assets and Liabilities 21 Consolidated Statement of Operations 23 Consolidated Statement of Changes in Net Assets 24 Consolidated Financial Highlights 25 Notes to Consolidated Financial Statements 27 Report of Independent Registered Public Accounting Firm 45 Trustee and Officer Information 46 General Information 48 Approval of Investment Advisory Agreement 49 Privacy Notice 51 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Dear Shareholder: Infinity Q Capital Management (“Infinity Q”) is a pioneering hedge fund firm managed by a team of professionals who also manage assets for Wildcat Capital Management, the family office for David Bonderman, the co-founder of $100 Billion private equity firm TPG. The Infinity Q Diversified Alpha Fund (the “Fund”) attempts to generate positive absolute returns by providing exposure to several “alternative” strategies including Volatility, Equity Long/Short, Relative Value, and Global Macro. Our strategies are intended to have a low correlation to equity, fixed income, and credit markets. Infinity Q combines analytics, research, and trading to manage its investment strategies. Our team analyzes 50 million data points across global asset classes using robust quantitative models and screens. The team uses extensive due diligence to research discretionary and systematic investment ideas that originate from this analysis and from the buy side, the sell side and academia. As a final step, we utilize our expertise in derivatives to optimize trade structuring for both systematic and discretionary strategies. Our “Quantamental” process combines the depth of private equity investing with the breadth of quantitative analysis. We believe that every year there are 10-15 extremely asymmetric opportunities across asset classes, and we utilize our breadth to uncover these opportunities, and our depth to research and execute them. Our portfolio construction and dynamic asset allocation process incorporates risk management throughout and considers proprietary optimizations and our current macroeconomic outlook. Strategies are added to the portfolio and sized appropriately utilizing both quantitative and qualitative inputs including expected return, expected tail loss, market payoff distributions, correlations, and liquidity to arrive at our optimal portfolio. On a total return basis, the Fund’s Institutional Class shares returned 3.81% for the period beginning August 31, 2018 and ending August 30, 2019. The Fund’s benchmark, the Credit Suisse Hedge Fund Index, had a return of 2.56% over the same period. In the next section, we provide more detail on the performance attribution by strategy. Volatility The Volatility portfolio contributed 715 basis points (“bps”) during the period. The gains were driven by our long equity versus Foreign Exchange (“FX”) correlation positions, vega neutral equity volatility and equity dispersion positions. Our short equity volatility positions detracted value over the period. Global Macro The Global Macro portfolio contributed 38 bps during the period. The gains were generated by our cross-asset class momentum strategy and GSE positions. These gains were partially offset by slight overall losses from our FX positions. Relative Value The Relative Value portfolio detracted 17 bps during the period. The losses were primarily driven by our commodity liquidity timing trading strategies. These low-volatility strategies seek to generate returns by providing liquidity to commodity indices during the roll periods of the commodity futures they hold. These strategies are non-directional and have low correlation to other strategies within our portfolio. 1 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Equity Long/Short (“L/S”) The Equity L/S strategy detracted 316 bps. The losses were paced by our European equity market neutral strategy and our Healthcare L/S strategy. Comparison of Change in Value of a Hypothetical $1,000,000 Investment from 9/30/14 (inception) through 08/31/19 (Assumes reinvestment of dividends and capital gains but does not reflect the effect of redemption fees and does not guarantee future performance) Total Returns as of August 31, 2019 Infinity Q Diversified Alpha Fund September 30, 2014 (inception) to 1 Year 3 Years * August 31, 2018 * Fund - Institutional Class: IQDNX 3.81% 7.69% 5.13% Fund - Investor Class: IQDAX (without load) 3.48% 7.39% 4.87% Credit Suisse Hedge Fund Index 2.56% 3.98% 2.40% * Returns reported for periods greater than one year are annualized. The gross expense ratio for the Institutional Share Class is 2.13% without dividend and interest expense, but there is an expense cap at 1.95%. The gross expense ratio for the Investor Share Class is 2.46% without dividend and interest expense, but there is an expense cap at 2.20%. The Adviser has contractually agreed to waive fees until at least December 31, 2019. Performance data quoted represents past performance; past performance is not an indicator or guarantee of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be higher or lower than the performance quoted. Performance current to the most recent month-end may be obtained by calling 1-844-IQFUND1. The performance presented is net of management fees and expenses and reflects the reinvestment of dividends and other earnings. Performance data also reflects fee waivers and in the absence of these waivers performance would be reduced. Performance data does not reflect the 1.00% redemption fee imposed on shares held 60 days or less which would also reduce performance. 2 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced. Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice Must be preceded or accompanied by a current prospectus. Mutual fund investing involves risk. Principal loss is possible. Derivatives, such as Credit Default Swaps (CDS) and Forwards and Futures, involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments. Investing in commodities may subject the Fund to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. The Fund may use leverage which may exaggerate the effect of any increase or decrease in the value of portfolio securities or the Net Asset Value of the Fund, and money borrowed will be subject to interest costs. Absolute return strategies are not designed to outperform stocks and bonds during strong market rallies. Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security. Alpha is an annualized return measure of how much better or worse a fund’s performance is relative to an index of funds in the same category, after allowing for differences in risk. Basis point (bp) is a unit equal to 1/100th of 1% and is used to denote the change in a financial instrument. Correlation is a statistic that measures the degree to which two securities move in relation to each other. The correlation coefficient value must fall between -1.0 and +1.0. Vega Neutral strategies have near zero exposure to market implied volatility. The Credit Suisse Hedge Fund Index is an asset-weighted hedge fund index and includes only funds, as opposed to separate accounts. The index uses the Credit Suisse Hedge Fund Database, which tracks approximately 9,000 funds and consists only of funds with a minimum of US$50 million under management, a 12-month track record, and audited financial statements. The index is calculated and rebalanced on a monthly basis, and reflects performance net of all hedge fund component performance fees and expenses. One cannot invest directly in an index. 3 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Diversification does not assure a profit nor protect against loss in a declining market. Infinity Q Capital Management is the Advisor to the Infinity Q Diversified Alpha Fund, which is distributed by Quasar Distributors, LLC. Infinity Q Capital Management, LLC was launched to offer certain of Wildcat’s investment strategies to institutional and retail clients. Wildcat Capital Management, LLC was formed in September 2011 to act as the family investment office for the founding partner of TPG Capital, David Bonderman. The investment team and control functions are largely the same for both Wildcat and Infinity Q. Quasar Distributors, LLC is not affiliated with TPG Capital or Wildcat Capital Management, LLC. 4 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Expense Example For the Period Ended August 31, 2019 (Unaudited) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, dividend expense, and interest expense; and (2) ongoing costs, including management fees and other Fund expenses. This Example is 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. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2019 to August 31, 2019 (the “Period”). Actual Expenses The first line of the table below 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 you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the Period. Hypothetical Example for Comparison Purposes The information in the table under the heading “Hypothetical Performance (5% return before expenses)” 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 the 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 the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as redemption fees. Therefore, the information under the heading “Hypothetical Performance (5% Return Before Expenses)” 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. Expenses Paid During the Period EXPENSES PAID BEGINNING ENDING ANNUALIZED DURING ACCOUNT ACCOUNT EXPENSE THE VALUE VALUE RATIO PERIOD(1) Infinity Q Diversified Alpha Fund - Investor Class Actual Fund Return $1,000.00 $1,013.80 2.47% $12.54 Hypothetical 5% Return $1,000.00 $1,012.75 2.47% $12.53 Infinity Q Diversified Alpha Fund - Institutional Class Actual Fund Return $1,000.00 $1,015.40 2.22% $11.28 Hypothetical 5% Return $1,000.00 $1,014.01 2.22% $11.27 (1) Expenses are equal to each class’s annualized expense ratio of 2.47% for Investor Class and 2.22% for Institutional Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the Period). 5 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Consolidated Schedule of Investments August 31, 2019 COMMON STOCKS (4.4%) Shares Value Health Care (3.8%) GW Pharmaceuticals plc - ADR(a) 7,000 $ 996,870 NantHealth, Inc.(a) 81,870 39,658 NuCana plc - ADR(a) 515,154 4,677,598 Optinose, Inc.(a) 443,837 3,399,791 UroGen Pharma Ltd.(a) 452,284 15,355,042 Urovant Sciences Ltd.(a) 199,291 1,757,747 Total Health Care 26,226,706 Energy (0.6%) Cameco Corp. 500,000 4,385,000 TOTAL COMMON STOCKS (Cost $32,650,914) $ 30,611,706 EXCHANGE TRADED FUNDS (9.0%) iShares 20+ Year Treasury Bond ETF 26,989 3,974,940 iShares iBoxx High Yield Corporate Bond ETF 109,049 9,504,711 iShares iBoxx Investment Grade Corporate Bond ETF 72,426 9,328,469 iShares J.P. Morgan USD Emerging Markets Bond ETF 72,479 8,336,535 iShares National Muni Bond ETF 43,350 4,993,920 SPDR Gold Trust (a) 154,828 22,256,525 United States Natural Gas Fund LP 2,500 49,425 Vanguard High Yield Dividend Yield Fund ETF 41,565 3,581,240 TOTAL EXCHANGE TRADED FUNDS (Cost $59,537,627) $ 62,025,765 PREFERRED STOCKS (1.4%) (b) Federal Home Loan Mortgage Corp. (a), 5.57%, Series V 73,338 748,048 Federal Home Loan Mortgage Corp. (a), 6.02%, Series X 30,723 352,700 Federal Home Loan Mortgage Corp. (a), 6.55%, Series Y 9,754 105,343 Federal Home Loan Mortgage Corp. (a), 7.875%, (3 month U.S. LIBOR + 4.16%) (c), December 31, 2022, Series Z 293,399 3,532,524 Federal National Mortgage Association (a), 4.50%, (3 month U.S. LIBOR + 0.75%), Series P 23,392 243,511 Federal National Mortgage Association (a), (2 YR CMT - 0.16%), March 31, 2020, Series F 2,598 51,700 Federal National Mortgage Association (a), 7.00% (10 YR CMT + 2.375%), Series O 5,462 113,063 Federal National Mortgage Association (a), 7.625%, Series R 9,503 102,632 Federal National Mortgage Association (a), 7.75% (3 month U.S. LIBOR +4.23%) (c), December 31, 2020(b), Series S 295,044 3,575,933 Federal National Mortgage Association(a), 8.25%, Series T 42,830 471,130 TOTAL PREFERRED STOCKS (Cost $8,162,183) $ 9,296,584 OPTIONS PURCHASED (2.1%)(a) Contracts Notional Call Options Purchased (0.3%) Beyond Meat, Inc., Expires November 15, 2019 at $175.00 500 8,381,500 USD 342,500 iPath B S&P 500 VIX Short-Term Futures ETN , Expires September 6, 2019 at $31.00 745 2,011,500 USD 23,840 SX5E Dividend Points Index, Expires December 16, 2022 at $105.00 100,000 11,050,000 EUR 1,405,680 Total Call Options Purchased (Premiums paid $2,484,901) 1,772,020 Put Options Purchased (0.5%) iShares Nasdaq Biotechnology ETF, Expires September 6, 2019 at $100.50 6,000 61,758,000 USD 288,000 S&P 500 Index, Expires September 3, 2019 at $2,765.00 1,500 438,969,000 USD 45,000 S&P 500 Index, Expires September 3, 2019 at $2,780.00 1,000 292,646,000 USD 50,000 S&P 500 Index, Expires September 3, 2019 at $2,855.00 1,500 438,969,000 USD 429,000 S&P 500 Index, Expires September 3, 2019 at $2,860.00 1,000 292,646,000 USD 345,000 S&P 500 Index, Expires October 18, 2019 at $2,850.00 30 8,779,380 USD 148,800 SPX Volatility Index, Expires September 18, 2019 at $16.00 14,000 26,572,000 USD 735,000 SPX Volatility Index, Expires September 18, 2019 at $17.00 12,000 22,776,000 USD 1,110,000 SX5E Dividend Points Index, Expires December 18, 2020 at $115.00 700,000 77,350,000 EUR 269,266 Total Put Options Purchased (Premiums paid $4,390,361) 3,420,066 The accompanying notes are an integral part of these financial statements. 6 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Consolidated Schedule of Investments (continued) August 31, 2019 Notional / Shares Counterparty Vega Notional Value Over the Counter Options Purchased (1.2%) 1 Year Swaption Payer, 2.25% vs. 3 Mo LIBOR, Expires September 11, 2019 - MS 500,000,000 USD$ - 1 Year Swaption Payer, 2.25% vs. 3 Mo LIBOR, Expires September 11, 2019(d) - MS 500,000,000 USD - Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019(e) ^ - MS 80,000,000 USD 398,000 Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020(e) ^ - CITI 25,000,000 USD 182,775 EUR / USD & EUR / CHF Dual Digital Option, Expires October 24, 2019(f) - CS 4,800,000 EUR 467,001 EUR / USD & USD / CAD Dual Digital Option, Expires October 7, 2019(g) - CITI 6,000,000 USD 150,522 EUR / USD & USD / JPY Dual Digital Option, Expires October 24, 2019(h) - CITI 6,000,000 USD 851,772 EUR / USD & USD / RUB & USD / IDR Worst of Put, Expires January 20, DB 132,000,000 USD 2020(i) - 327,624 MXN Call / EUR Put Binary Option, Expires March 27, 2020 at 21.00 MXN - MS 6,000,000 EUR 765,932 SX5E & EUR / USD Dual Digital Option, Expires December 20, 2019(j) - DB 5,800,000 USD 744,755 SX5E & EUR / USD Dual Digital Option, Expires October 18, 2019(k) - MS 3,000,000 EUR 101,532 SX5E Index Digital Call Option, Expires December 17, 2021 at $4,000.00 - CITI 3,000,000 EUR 481,481 SX5E Index Digital Call Option, Expires December 17, 2021 at $4,000.00 - UBS 5,000,000 EUR 802,469 TRY Call / EUR Put Digital Option, Expires January 24, 2020 at 6.25 TRY - DB 2,000,000 EUR 433,508 TRY Call / USD Put, Expires December 20, 2019 at 5.75 TRY(l) - MS 50,000,000 USD 445,700 USD / INR & USD / TWD Dual Digital Option, Expires September 9, 2019(m) - DB 5,000,000 USD 49,965 USD / JPY & USD / KRW Dual Digital Option, Expires November 22, 2019(n) - CITI 5,500,000 USD 464,404 USD Call / CNH Put, Expires November 14, 2019 at 7.15 EUR(o) - DB 120,000,000 USD 929,520 USD Call / EUR Put Binary Option, Expires May 26, 2021 at 1.05 EUR - CS 3,000,000 EUR 490,236 USD Call / SAR Put Binary Option, Expires February 24, 2020 at 4.2 SAR - MS 5,000,000 USD - Total Over the Counter Options Purchased (Premiums paid $8,476,251) 8,087,196 Currency Options Purchased (0.1%) AUD Call / USD Put, Expires September 20, 2019 at 0.72 USD - MS 110,000,000 AUD 148 EUR Call / USD Put, Expires September 6, 2019 at 1.095 EUR - CITI 230,000,000 EUR 182,002 EUR Call / USD Put, Expires September 6, 2019 at 1.125 EUR - MS 150,000,000 EUR 824 NOK Call / USD Put, Expires September 6, 2019 at 8.35 NOK - MS 80,000,000 USD - USD Call / EUR Put, Expires October 4, 2019 at 1.09 EUR - DB 120,000,000 EUR 466,347 Total Currency Options Purchased (Premiums paid $1,324,624) 649,321 TOTAL OPTIONS PURCHASED (Premiums paid $16,676,137) $ 13,928,603 SHORT-TERM INVESTMENTS (46.9%) Fidelity Investments Money Market Funds - Gvmt. Portfolio - Class I, 2.00% (p) 307,270,223 307,270,223 STIT Invesco Government & Agency Portfolio - Institutional Class, 2.02% (p) (q) 15,583,424 15,583,424 TOTAL SHORT-TERM INVESTMENTS (Cost $322,853,647) $ 322,853,647 TOTAL INVESTMENTS (63.8%) (Cost $439,880,508) $ 438,716,305 OTHER ASSETS IN EXCESS OF LIABILITIES (36.2%) 249,013,231 TOTAL NET ASSETS (100.0%) $ 687,729,536 Counterparty abbreviations: BAML - Bank of America Merrill Lynch, CS - Credit Suisse, CITI - Citigroup, DB - Deutsche Bank Securities, MS - Morgan Stanley ^ Inputs or methodology used in determining the value of these investments involve significant unobservable inputs. See Note 2. ADR - American Depositary Receipt (a) Non-income producing security. (b) All Federal Home Loan Mortgage Corp. and Federal National Mortgage Association are callable. The date disclosed is the next call date. If no date, issue is callable at any time. (c) Variable Rate security. Rates disclosed as of August 31, 2019. (d) Payment from Swaption payer is contigent on if the SPX Index is below 2,750.00. (e) Terms and underlying basket components are listed on the following page. (f) Payment from counterparty is received if the EUR/USD exchange rate is below 1.10 and the EUR/CHF exchange rate is above 1.11 at expiration. (g) Payment from counterparty is received if the EUR/USD exchange rate is above 1.15 and the USD/CAD exchange rate is above 1.35 at expiration. (h) Payment from counterparty is received if the EUR/USD exchange rate is below 1.10 and the USD/JPY exchange rate is below 105 at expiration. (i) The final payout will equal the minimum value of one of the following three components multiplied by the notional amount as of January 20, 2020. If each of the return is negative, the option will expire worthless. 1. EUR / USD 1.1559 strike. 2. USD / RUB 64.964 strike. 3. USD / IDR 14,377 strike. (j) Payment from counterparty is received if the SX5E Index is below 3,050.00 and the EUR/USD exchange rate is at or below 1.11 at expiration. The accompanying notes are an integral part of these financial statements. 7 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Consolidated Schedule of Investments (continued) August 31, 2019 (k)Payment from counterparty is received if the SX5E Index is below 3,250.00 and the EUR/USD exchange rate is above 1.15 at expiration. (l)Option includes reverse knockout barrier at the TRY/USD exchange rate of 5.10. If exchange rate decreases below the barrier, the option becomes worthless. (m)Payment from counterparty is received if the USD/INR exchange rate is below 68.50 and the USD/TWD exchange rate is above 31.75 at expiration. (n)Payment from counterparty is received if the USD/JPY exchange rate is at or below 103 and the USD/KRW exchange rate is at or above 1,250 at expiration. (o)Option includes reverse knockout barrier at the USD/CNH exchange rate of 7.50. If exchange rate increases above the barrier, the option becomes worthless. (p)Rate quoted is seven-day yield at period end. (q)Position held in the Subsidiary. See Notes. The accompanying notes are an integral part of these financial statements. 8 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Consolidated Schedule of Investments (continued) August 31, 2019 The following tables provide information on the underlying components of each option on dispersion basket. Underlying components are equally weighted. The payout will equal the notional amount multiplied by the average absolute difference between the return of each underlying security and the return of the basket in excess of the strike. If the average difference is less than the strike, the option will expire worthless. Citi Dispersion Basket, 9% Volatility Strike, Expires January 17, 2020 Effective November 28, 2018 Notional: $25,000,000 Initial Price Level Security at November 28, 2018 Bank of America Corp. 28.43 USD Wells Fargo & Co. 54.35 USD JPMorgan Chase & Co. 110.94 USD Morgan Stanley 45.31 USD The Goldman Sachs Group, Inc. 198.35 USD Morgan Stanley Dispersion Basket, 30% Volatility Strike, Expires December 20, 2019 Effective January 10, 2018 Notional: $80,000,000 Initial Price Level Security at January 10, 2018 Alphabet, Inc. - Class A 1110.14USD Analog Devices, Inc. 90.11USD Apple, Inc. 174.29USD Aptiv plc 90.46USD Bayerische Motoren Werke AG 89.40EUR BP plc 530.50GBP Continental AG 242.40EUR Daimler AG-REG 74.15EUR Ford Motor Co. 13.03USD General Motors Co. 43.00USD Hitachi Ltd. 917.50JPY Honda Motor Corp 4102.00JPY Infineon Technologies AG 24.57EUR Michelin 128.85EUR Nidec Corp 16865.00JPY Progressive Corp 55.68USD Renault SA 88.09EUR Royal Dutch Shell plc - Class A 2557.00GBP SKF AB - Class B 187.50SEK Tesla, Inc. 334.80USD The Allstate Corp 100.43USD The Goodyear Tire & Rubber Co. 33.47USD Toyota Motor Corp 7706.00JPY Umicore S.A. 43.62EUR Valeo S.A. 65.68EUR Volkswagen AG-PREF 178.20EUR The accompanying notes are an integral part of these financial statements. 9 FILED: NEW YORK COUNTY CLERK 06/01/2021 08:52 PM INDEX NO. 651295/2021 NYSCEF DOC. NO. 45 RECEIVED NYSCEF: 06/01/2021 Infinity Q Diversified Alpha Fund Consolidated Schedule of Investments (continued) August 31, 2019 SECURITIES SOLD SHORT (-0.5%) Shares Value COMMON STOCK (-0.5%) Packaged Foods (-0.4%) Beyond Meat, Inc. (18,300) $ (3,067,629) TOTAL COMMON STOCK (Cost $3,560,276) EXCHANGE TRADED FUND (-0.1%) Invesco DB US Dollar Bullish Fund ETF (16,200) (435,294) TOTAL EXCHANGE TRADED FUND (Cost $419,263) TOTAL SECURITIES SOLD SHORT (Proceeds $3,979,539) $ (3,502,923) WRITTEN OPTIONS (-2.3%) Contracts Notional Call Options Written (-0.8%) iPath B S&P 500 VIX Short-Term Futures ETN , Expires January 15, 2021 at $50.00 (2,500) (6,750,000) USD (1,200,000) S&P 500 Index, Expires December 20, 2019 at $2,950.00 (180) (52,676,280) USD (1,642,500) SPDR Gold Trust, Expires January 17, 2020 at $136.00 (2,000) (28,750,000) USD (2,045,000) SX5E Dividend Points Index, Expires December 16, 2022 at $115.00 (100,000) (11,050,000) EUR (728,668) Total Call Options Written (Premiums received $4,402,191) (5,616,168) Put Options Written (-0.9%) iShares iBoxx High Yield Corporate Bond ETF, Expires December 20, 2019 at $85.00 (5,000) (43,580,000) USD (625,000) iShares J.P. Morgan USD Emerging Markets Bond, Expires December 20, 2019 at $112.00 (3,250) (37,381,500) USD (422,500) S&P 500 Index, Expires September 3, 2019 at $2,810.00 (3,000)(877,938,000) USD (240,000) S&P 500 Index, Expires September 3, 2019 at $2,820.00 (2,000)(585,292,000) USD (210,000) S&P 500 Index, Expires October 18, 2019 at $2,850.00 (100) (29,264,600) USD (492,000) S&P 500 Index, Expires December 20, 2019 at $2,950.00 (150) (43,896,900) USD (1,790,250) SPDR Gold Trust, Expires January 17, 2020 at $116.00 (2,000) (28,750,000) USD (14,000) SPX Volatility Index, Expires September 18, 2019 at $15.00 (12,000) (22,776,000) USD (300,000) SPX Volatility Index, Expires September 18, 2019 at $16.00 (12,000) (22,776,000) USD (630,000) SPX Volatility Index, Expires October 16, 2019 at $16.00 (14,000) (26,572,000) USD (1,085,000) SX5E Dividend Points Index, Expires December 16, 2022 at $90.00 (100,000) (11,050,000) EUR (383,567) Total Put Options Written (Premiums received $7,834,515) (6,192,317) Counterparty Notional Over the Counter Options