UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number:
811-22540
FQF
Trust
(Exact name of registrant as specified in
charter)
230 Congress Street, Floor 5
Boston,
MA 02110
(Address of principal executive offices)
(Zip code)
Ronald C. Martin, Trustee
230 Congress Street, Floor 5
Boston,
MA 02110
(Name and Address of
Agent for Service)
Registrant’s telephone number, including area code:
(617)
292-9801
Date of fiscal year end: June 30
Date of reporting period: September 30, 2012
Item 1. Schedule of Investments.
The Trust’s Schedule of Investments
as of the close of the reporting period prepared pursuant to Rule 12-12 Regulation S-X is as follows:
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 1.3%
|
|
|
|
|
|
|
|
|
Spirit Aerosystems Holdings, Inc., Class A*
|
|
|
1,024
|
|
|
$
|
22,743
|
|
Textron, Inc.
|
|
|
872
|
|
|
|
22,820
|
|
TransDigm Group, Inc.*(a)
|
|
|
160
|
|
|
|
22,699
|
|
|
|
|
|
|
|
|
68,262
|
|
Airlines - 0.5%
|
|
|
|
|
|
|
|
|
US Airways Group, Inc.*(a)
|
|
|
2,180
|
|
|
|
22,803
|
|
|
|
|
|
|
|
|
|
|
Beverages - 1.4%
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
352
|
|
|
|
22,968
|
|
Constellation Brands, Inc., Class A*
|
|
|
708
|
|
|
|
22,904
|
|
Monster Beverage Corp.*(a)
|
|
|
420
|
|
|
|
22,747
|
|
|
|
|
|
|
|
|
68,619
|
|
Biotechnology - 5.4%
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*(a)
|
|
|
200
|
|
|
|
22,880
|
|
Amgen, Inc.(a)
|
|
|
272
|
|
|
|
22,935
|
|
Ariad Pharmaceuticals, Inc.*(a)
|
|
|
944
|
|
|
|
22,868
|
|
Biogen Idec, Inc.*(a)
|
|
|
152
|
|
|
|
22,683
|
|
BioMarin Pharmaceutical, Inc.*
|
|
|
568
|
|
|
|
22,873
|
|
Gilead Sciences, Inc.*
|
|
|
344
|
|
|
|
22,818
|
|
Medivation, Inc.*
|
|
|
404
|
|
|
|
22,769
|
|
Onyx Pharmaceuticals, Inc.*(a)
|
|
|
268
|
|
|
|
22,646
|
|
Pharmacyclics, Inc.*(a)
|
|
|
352
|
|
|
|
22,704
|
|
Regeneron Pharmaceuticals, Inc.*(a)
|
|
|
148
|
|
|
|
22,594
|
|
Seattle Genetics, Inc.*(a)
|
|
|
840
|
|
|
|
22,638
|
|
Theravance, Inc.*
|
|
|
876
|
|
|
|
22,697
|
|
|
|
|
|
|
|
|
273,105
|
|
Building Products - 1.3%
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
472
|
|
|
|
22,826
|
|
Masco Corp.
|
|
|
1,508
|
|
|
|
22,695
|
|
USG Corp.*(a)
|
|
|
1,040
|
|
|
|
22,828
|
|
|
|
|
|
|
|
|
68,349
|
|
Capital Markets - 0.5%
|
|
|
|
|
|
|
|
|
Affiliated Managers Group, Inc.*
|
|
|
188
|
|
|
|
23,124
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 4.5%
|
|
|
|
|
|
|
|
|
Airgas, Inc.(a)
|
|
|
280
|
|
|
|
23,044
|
|
Cytec Industries, Inc.
|
|
|
348
|
|
|
|
22,801
|
|
FMC Corp.
|
|
|
412
|
|
|
|
22,817
|
|
LyondellBasell Industries N.V., Class A
|
|
|
444
|
|
|
|
22,937
|
|
NewMarket Corp.(a)
|
|
|
92
|
|
|
|
22,676
|
|
PPG Industries, Inc.(a)
|
|
|
200
|
|
|
|
22,968
|
|
RPM International, Inc.(a)
|
|
|
796
|
|
|
|
22,718
|
|
Sherwin-Williams Co./The(a)
|
|
|
152
|
|
|
|
22,634
|
|
Valspar Corp.
|
|
|
404
|
|
|
|
22,664
|
|
W.R. Grace & Co.*
|
|
|
388
|
|
|
|
22,923
|
|
|
|
|
|
|
|
|
228,182
|
|
Commercial Banks - 3.1%
|
|
|
|
|
|
|
|
|
BB&T Corp.
|
|
|
688
|
|
|
|
22,814
|
|
Fifth Third Bancorp
|
|
|
1,468
|
|
|
|
22,769
|
|
Regions Financial Corp.
|
|
|
3,164
|
|
|
|
22,812
|
|
Susquehanna Bancshares, Inc.(a)
|
|
|
2,156
|
|
|
|
22,552
|
|
Texas Capital Bancshares, Inc.*
|
|
|
460
|
|
|
|
22,867
|
|
U.S. Bancorp(a)
|
|
|
664
|
|
|
|
22,775
|
|
Wells Fargo & Co.(a)
|
|
|
660
|
|
|
|
22,790
|
|
|
|
|
|
|
|
|
159,379
|
|
Commercial Services & Supplies - 0.4%
|
|
|
|
|
|
|
|
|
Corrections Corp. of America
|
|
|
680
|
|
|
|
22,746
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment - 0.4%
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*
|
|
|
3,808
|
|
|
|
22,524
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals - 1.4%
|
|
|
|
|
|
|
|
|
3D Systems Corp.*
|
|
|
688
|
|
|
|
22,601
|
|
Apple, Inc.(a)
|
|
|
36
|
|
|
|
24,021
|
|
Seagate Technology plc(a)
|
|
|
732
|
|
|
|
22,692
|
|
|
|
|
|
|
|
|
69,314
|
|
Construction & Engineering - 0.5%
|
|
|
|
|
|
|
|
|
Shaw Group, Inc./The*
|
|
|
524
|
|
|
|
22,857
|
|
|
|
|
|
|
|
|
|
|
Construction Materials - 0.5%
|
|
|
|
|
|
|
|
|
Eagle Materials, Inc.
|
|
|
496
|
|
|
|
22,945
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance - 0.4%
|
|
|
|
|
|
|
|
|
Discover Financial Services
|
|
|
572
|
|
|
|
22,726
|
|
|
|
|
|
|
|
|
|
|
Distributors - 0.4%
|
|
|
|
|
|
|
|
|
LKQ Corp.*
|
|
|
1,228
|
|
|
|
22,718
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.4%
|
|
|
|
|
|
|
|
|
tw telecom, inc.*
|
|
|
868
|
|
|
|
22,629
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 1.8%
|
|
|
|
|
|
|
|
|
Cleco Corp.
|
|
|
544
|
|
|
|
22,837
|
|
Duke Energy Corp.
|
|
|
352
|
|
|
|
22,810
|
|
NextEra Energy, Inc.(a)
|
|
|
324
|
|
|
|
22,787
|
|
Pinnacle West Capital Corp.(a)
|
|
|
432
|
|
|
|
22,809
|
|
|
|
|
|
|
|
|
91,243
|
|
Electrical Equipment - 1.4%
|
|
|
|
|
|
|
|
|
EnerSys, Inc.*
|
|
|
644
|
|
|
|
22,727
|
|
Hubbell, Inc., Class B
|
|
|
284
|
|
|
|
22,930
|
|
Roper Industries, Inc.
|
|
|
208
|
|
|
|
22,857
|
|
|
|
|
|
|
|
|
68,514
|
|
Electronic Equipment, Instruments & Components - 0.9%
|
|
|
|
|
|
|
|
|
FEI Co.
|
|
|
420
|
|
|
|
22,470
|
|
Jabil Circuit, Inc.
|
|
|
1,216
|
|
|
|
22,763
|
|
|
|
|
|
|
|
|
45,233
|
|
Energy Equipment & Services - 1.3%
|
|
|
|
|
|
|
|
|
Dresser-Rand Group, Inc.*
|
|
|
416
|
|
|
|
22,926
|
|
Ensco plc, Class A
|
|
|
416
|
|
|
|
22,697
|
|
Oceaneering International, Inc.(a)
|
|
|
412
|
|
|
|
22,763
|
|
|
|
|
|
|
|
|
68,386
|
|
Food & Staples Retailing - 0.9%
|
|
|
|
|
|
|
|
|
Fresh Market, Inc./The*
|
|
|
380
|
|
|
|
22,792
|
|
Whole Foods Market, Inc.
|
|
|
236
|
|
|
|
22,987
|
|
|
|
|
|
|
|
|
45,779
|
|
Food Products - 0.9%
|
|
|
|
|
|
|
|
|
Dean Foods Co.*
|
|
|
1,408
|
|
|
|
23,021
|
|
Hain Celestial Group, Inc./The*
|
|
|
360
|
|
|
|
22,680
|
|
|
|
|
|
|
|
|
45,701
|
|
Health Care Equipment & Supplies - 1.3%
|
|
|
|
|
|
|
|
|
Align Technology, Inc.*(a)
|
|
|
616
|
|
|
|
22,774
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Edwards Lifesciences Corp.*
|
|
|
212
|
|
|
$
|
22,762
|
|
Intuitive Surgical, Inc.*(a)
|
|
|
44
|
|
|
|
21,808
|
|
|
|
|
|
|
|
|
67,344
|
|
Health Care Providers & Services - 0.9%
|
|
|
|
|
|
|
|
|
AMERIGROUP Corp.*
|
|
|
248
|
|
|
|
22,675
|
|
HCA Holdings, Inc.
|
|
|
680
|
|
|
|
22,610
|
|
|
|
|
|
|
|
|
45,285
|
|
Health Care Technology - 0.4%
|
|
|
|
|
|
|
|
|
athenahealth, Inc.*(a)
|
|
|
248
|
|
|
|
22,759
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 1.3%
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co.*
|
|
|
572
|
|
|
|
22,611
|
|
Six Flags Entertainment Corp.(a)
|
|
|
388
|
|
|
|
22,815
|
|
Wyndham Worldwide Corp.(a)
|
|
|
432
|
|
|
|
22,671
|
|
|
|
|
|
|
|
|
68,097
|
|
Household Durables - 2.7%
|
|
|
|
|
|
|
|
|
D.R. Horton, Inc.
|
|
|
1,108
|
|
|
|
22,869
|
|
Jarden Corp.
|
|
|
432
|
|
|
|
22,827
|
|
Lennar Corp., Class A
|
|
|
656
|
|
|
|
22,809
|
|
Mohawk Industries, Inc.*
|
|
|
288
|
|
|
|
23,046
|
|
PulteGroup, Inc.*(a)
|
|
|
1,472
|
|
|
|
22,816
|
|
Toll Brothers, Inc.*(a)
|
|
|
688
|
|
|
|
22,862
|
|
|
|
|
|
|
|
|
137,229
|
|
Household Products - 0.5%
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
424
|
|
|
|
22,892
|
|
|
|
|
|
|
|
|
|
|
Insurance - 4.0%
|
|
|
|
|
|
|
|
|
Allied World Assurance Co. Holdings AG(a)
|
|
|
296
|
|
|
|
22,866
|
|
Allstate Corp./The(a)
|
|
|
576
|
|
|
|
22,815
|
|
American International Group, Inc.*
|
|
|
692
|
|
|
|
22,691
|
|
Arthur J. Gallagher & Co.
|
|
|
636
|
|
|
|
22,781
|
|
Cincinnati Financial Corp.
|
|
|
604
|
|
|
|
22,886
|
|
CNO Financial Group, Inc.
|
|
|
2,340
|
|
|
|
22,581
|
|
Everest Re Group Ltd.(a)
|
|
|
212
|
|
|
|
22,676
|
|
MBIA, Inc.*
|
|
|
2,248
|
|
|
|
22,772
|
|
Protective Life Corp.(a)
|
|
|
868
|
|
|
|
22,750
|
|
|
|
|
|
|
|
|
204,818
|
|
Internet & Catalog Retail - 0.5%
|
|
|
|
|
|
|
|
|
Expedia, Inc.
|
|
|
396
|
|
|
|
22,905
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - 3.6%
|
|
|
|
|
|
|
|
|
Akamai Technologies, Inc.*
|
|
|
596
|
|
|
|
22,803
|
|
AOL, Inc.*
|
|
|
648
|
|
|
|
22,829
|
|
CoStar Group, Inc.*
|
|
|
280
|
|
|
|
22,831
|
|
eBay, Inc.*
|
|
|
472
|
|
|
|
22,850
|
|
Equinix, Inc.*(a)
|
|
|
112
|
|
|
|
23,078
|
|
IAC/InterActiveCorp
|
|
|
440
|
|
|
|
22,906
|
|
Rackspace Hosting, Inc.*
|
|
|
348
|
|
|
|
22,999
|
|
VeriSign, Inc.*(a)
|
|
|
468
|
|
|
|
22,787
|
|
|
|
|
|
|
|
|
183,083
|
|
IT Services - 3.6%
|
|
|
|
|
|
|
|
|
Alliance Data Systems Corp.*(a)
|
|
|
160
|
|
|
|
22,712
|
|
Convergys Corp.
|
|
|
1,444
|
|
|
|
22,628
|
|
CoreLogic, Inc.*
|
|
|
860
|
|
|
|
22,816
|
|
Lender Processing Services, Inc.
|
|
|
816
|
|
|
|
22,758
|
|
NeuStar, Inc., Class A*(a)
|
|
|
572
|
|
|
|
22,897
|
|
Teradata Corp.*(a)
|
|
|
300
|
|
|
|
22,623
|
|
Visa, Inc., Class A(a)
|
|
|
168
|
|
|
|
22,559
|
|
Wright Express Corp.*(a)
|
|
|
328
|
|
|
|
22,868
|
|
|
|
|
|
|
|
|
181,861
|
|
Leisure Equipment & Products - 0.9%
|
|
|
|
|
|
|
|
|
Brunswick Corp.
|
|
|
1,004
|
|
|
|
22,720
|
|
Polaris Industries, Inc.(a)
|
|
|
280
|
|
|
|
22,644
|
|
|
|
|
|
|
|
|
45,364
|
|
Machinery - 2.3%
|
|
|
|
|
|
|
|
|
Chart Industries, Inc.*
|
|
|
308
|
|
|
|
22,746
|
|
Ingersoll-Rand plc
|
|
|
508
|
|
|
|
22,769
|
|
Toro Co./The
|
|
|
580
|
|
|
|
23,072
|
|
Valmont Industries, Inc.
|
|
|
172
|
|
|
|
22,618
|
|
Wabtec Corp.(a)
|
|
|
284
|
|
|
|
22,802
|
|
|
|
|
|
|
|
|
114,007
|
|
Media - 2.3%
|
|
|
|
|
|
|
|
|
CBS Corp., Class B
|
|
|
632
|
|
|
|
22,961
|
|
Charter Communications, Inc., Class A*
|
|
|
304
|
|
|
|
22,821
|
|
Comcast Corp., Class A
|
|
|
636
|
|
|
|
22,750
|
|
Lamar Advertising Co., Class A*
|
|
|
616
|
|
|
|
22,829
|
|
Madison Square Garden Co./The, Class A*(a)
|
|
|
568
|
|
|
|
22,873
|
|
|
|
|
|
|
|
|
114,234
|
|
Metals & Mining - 0.4%
|
|
|
|
|
|
|
|
|
Royal Gold, Inc.
|
|
|
228
|
|
|
|
22,768
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail - 1.3%
|
|
|
|
|
|
|
|
|
Dillard's, Inc., Class A
|
|
|
312
|
|
|
|
22,564
|
|
Dollar General Corp.*
|
|
|
440
|
|
|
|
22,677
|
|
Macy's, Inc.
|
|
|
608
|
|
|
|
22,873
|
|
|
|
|
|
|
|
|
68,114
|
|
Multi-Utilities - 2.3%
|
|
|
|
|
|
|
|
|
CMS Energy Corp.
|
|
|
972
|
|
|
|
22,891
|
|
NiSource, Inc.
|
|
|
896
|
|
|
|
22,830
|
|
SCANA Corp.(a)
|
|
|
472
|
|
|
|
22,783
|
|
Sempra Energy
|
|
|
352
|
|
|
|
22,701
|
|
Wisconsin Energy Corp.(a)
|
|
|
608
|
|
|
|
22,903
|
|
|
|
|
|
|
|
|
114,108
|
|
Oil, Gas & Consumable Fuels - 5.0%
|
|
|
|
|
|
|
|
|
Cheniere Energy, Inc.*
|
|
|
1,472
|
|
|
|
22,890
|
|
Cobalt International Energy, Inc.*
|
|
|
1,024
|
|
|
|
22,804
|
|
Continental Resources, Inc.*
|
|
|
296
|
|
|
|
22,762
|
|
HollyFrontier Corp.
|
|
|
556
|
|
|
|
22,946
|
|
Kinder Morgan, Inc.
|
|
|
640
|
|
|
|
22,733
|
|
Kodiak Oil & Gas Corp.*
|
|
|
2,440
|
|
|
|
22,838
|
|
Marathon Petroleum Corp.(a)
|
|
|
420
|
|
|
|
22,928
|
|
Plains Exploration & Production Co.*
|
|
|
608
|
|
|
|
22,782
|
|
Tesoro Corp.
|
|
|
544
|
|
|
|
22,794
|
|
Valero Energy Corp.
|
|
|
720
|
|
|
|
22,810
|
|
Williams Cos., Inc./The(a)
|
|
|
652
|
|
|
|
22,800
|
|
|
|
|
|
|
|
|
251,087
|
|
Paper & Forest Products - 0.4%
|
|
|
|
|
|
|
|
|
Louisiana-Pacific Corp.*
|
|
|
1,808
|
|
|
|
22,600
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.4%
|
|
|
|
|
|
|
|
|
Questcor Pharmaceuticals, Inc.*
|
|
|
1,228
|
|
|
|
22,718
|
|
Salix Pharmaceuticals Ltd.*(a)
|
|
|
540
|
|
|
|
22,864
|
|
Vivus, Inc.*(a)
|
|
|
1,280
|
|
|
|
22,809
|
|
|
|
|
|
|
|
|
68,391
|
|
Professional Services - 0.9%
|
|
|
|
|
|
|
|
|
Equifax, Inc.
|
|
|
492
|
|
|
|
22,917
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September
30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Verisk Analytics, Inc., Class A*(a)
|
|
|
476
|
|
|
$
|
22,663
|
|
|
|
|
|
|
|
|
45,580
|
|
Real Estate Investment Trusts (REITs) - 7.7%
|
|
|
|
|
|
|
|
|
American Capital Agency Corp.(a)
|
|
|
660
|
|
|
|
22,829
|
|
American Tower Corp.
|
|
|
320
|
|
|
|
22,845
|
|
CBL & Associates Properties, Inc.
|
|
|
1,060
|
|
|
|
22,620
|
|
Digital Realty Trust, Inc.
|
|
|
328
|
|
|
|
22,911
|
|
Douglas Emmett, Inc.
|
|
|
992
|
|
|
|
22,885
|
|
Extra Space Storage, Inc.
|
|
|
688
|
|
|
|
22,876
|
|
General Growth Properties, Inc.
|
|
|
1,180
|
|
|
|
22,986
|
|
HCP, Inc.
|
|
|
512
|
|
|
|
22,774
|
|
Healthcare Realty Trust, Inc.
|
|
|
984
|
|
|
|
22,681
|
|
Kilroy Realty Corp.
|
|
|
512
|
|
|
|
22,927
|
|
LaSalle Hotel Properties
|
|
|
856
|
|
|
|
22,847
|
|
Omega Healthcare Investors, Inc.
|
|
|
1,000
|
|
|
|
22,730
|
|
Simon Property Group, Inc.(a)
|
|
|
152
|
|
|
|
23,075
|
|
Starwood Property Trust, Inc.
|
|
|
976
|
|
|
|
22,712
|
|
Taubman Centers, Inc.(a)
|
|
|
296
|
|
|
|
22,712
|
|
Two Harbors Investment Corp.(a)
|
|
|
1,940
|
|
|
|
22,795
|
|
Weyerhaeuser Co.
|
|
|
868
|
|
|
|
22,690
|
|
|
|
|
|
|
|
|
387,895
|
|
Road & Rail - 1.3%
|
|
|
|
|
|
|
|
|
J.B. Hunt Transport Services, Inc.
|
|
|
436
|
|
|
|
22,689
|
|
Kansas City Southern
|
|
|
300
|
|
|
|
22,734
|
|
Old Dominion Freight Line, Inc.*
|
|
|
756
|
|
|
|
22,801
|
|
|
|
|
|
|
|
|
68,224
|
|
Semiconductors & Semiconductor Equipment - 1.3%
|
|
|
|
|
|
|
|
|
Cirrus Logic, Inc.*
|
|
|
592
|
|
|
|
22,727
|
|
Cymer, Inc.*
|
|
|
444
|
|
|
|
22,671
|
|
KLA-Tencor Corp.
|
|
|
476
|
|
|
|
22,707
|
|
|
|
|
|
|
|
|
68,105
|
|
Software - 2.7%
|
|
|
|
|
|
|
|
|
Aspen Technology, Inc.*
|
|
|
876
|
|
|
|
22,644
|
|
Concur Technologies, Inc.*
|
|
|
308
|
|
|
|
22,709
|
|
Mentor Graphics Corp.*(a)
|
|
|
1,464
|
|
|
|
22,663
|
|
Red Hat, Inc.*
|
|
|
400
|
|
|
|
22,776
|
|
SolarWinds, Inc.*(a)
|
|
|
412
|
|
|
|
22,965
|
|
Ultimate Software Group, Inc.*(a)
|
|
|
224
|
|
|
|
22,870
|
|
|
|
|
|
|
|
|
136,627
|
|
Specialty Retail - 5.9%
|
|
|
|
|
|
|
|
|
American Eagle Outfitters, Inc.(a)
|
|
|
1,080
|
|
|
|
22,766
|
|
Cabela's, Inc.*
|
|
|
416
|
|
|
|
22,747
|
|
Foot Locker, Inc.
|
|
|
644
|
|
|
|
22,862
|
|
Gap, Inc./The
|
|
|
636
|
|
|
|
22,756
|
|
GNC Holdings, Inc., Class A
|
|
|
588
|
|
|
|
22,914
|
|
Home Depot, Inc./The
|
|
|
380
|
|
|
|
22,941
|
|
PetSmart, Inc.(a)
|
|
|
332
|
|
|
|
22,901
|
|
Pier 1 Imports, Inc.
|
|
|
1,212
|
|
|
|
22,713
|
|
Ross Stores, Inc.(a)
|
|
|
356
|
|
|
|
22,998
|
|
Sally Beauty Holdings, Inc.*(a)
|
|
|
908
|
|
|
|
22,782
|
|
TJX Cos., Inc.
|
|
|
508
|
|
|
|
22,753
|
|
Tractor Supply Co.
|
|
|
232
|
|
|
|
22,943
|
|
Ulta Salon Cosmetics & Fragrance, Inc.(a)
|
|
|
236
|
|
|
|
22,728
|
|
|
|
|
|
|
|
|
296,804
|
|
Textiles, Apparel & Luxury Goods - 1.4%
|
|
|
|
|
|
|
|
|
Carter's, Inc.*
|
|
|
424
|
|
|
|
22,828
|
|
Under Armour, Inc., Class A*
|
|
|
408
|
|
|
|
22,779
|
|
VF Corp.(a)
|
|
|
144
|
|
|
|
22,948
|
|
|
|
|
|
|
|
|
68,555
|
|
Thrifts & Mortgage Finance - 0.5%
|
|
|
|
|
|
|
|
|
Ocwen Financial Corp.*(a)
|
|
|
832
|
|
|
|
22,805
|
|
|
|
|
|
|
|
|
|
|
Tobacco - 0.9%
|
|
|
|
|
|
|
|
|
Altria Group, Inc.(a)
|
|
|
684
|
|
|
|
22,839
|
|
Philip Morris International, Inc.
|
|
|
252
|
|
|
|
22,665
|
|
|
|
|
|
|
|
|
45,504
|
|
Trading Companies & Distributors - 1.3%
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
532
|
|
|
|
22,871
|
|
United Rentals, Inc.*(a)
|
|
|
696
|
|
|
|
22,766
|
|
W.W. Grainger, Inc.(a)
|
|
|
108
|
|
|
|
22,504
|
|
|
|
|
|
|
|
|
68,141
|
|
Water Utilities - 0.5%
|
|
|
|
|
|
|
|
|
American Water Works Co., Inc.
|
|
|
616
|
|
|
|
22,829
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.9%
|
|
|
|
|
|
|
|
|
Crown Castle International Corp.*
|
|
|
356
|
|
|
|
22,820
|
|
SBA Communications Corp., Class A*(a)
|
|
|
364
|
|
|
|
22,895
|
|
|
|
|
|
|
|
|
45,715
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $4,099,551)
|
|
|
|
|
|
|
4,558,868
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.0%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (0.9%)
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.
|
|
|
(456
|
)
|
|
|
(22,850
|
)
|
Esterline Technologies Corp.*
|
|
|
(404
|
)
|
|
|
(22,681
|
)
|
|
|
|
|
|
|
|
(45,531
|
)
|
Air Freight & Logistics - (0.9%)
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.
|
|
|
(388
|
)
|
|
|
(22,717
|
)
|
Expeditors International of Washington, Inc.
|
|
|
(628
|
)
|
|
|
(22,834
|
)
|
|
|
|
|
|
|
|
(45,551
|
)
|
Airlines - (0.5%)
|
|
|
|
|
|
|
|
|
Southwest Airlines Co.
|
|
|
(2,600
|
)
|
|
|
(22,802
|
)
|
|
|
|
|
|
|
|
|
|
Auto Components - (3.2%)
|
|
|
|
|
|
|
|
|
BorgWarner, Inc.*
|
|
|
(332
|
)
|
|
|
(22,945
|
)
|
Gentex Corp.
|
|
|
(1,340
|
)
|
|
|
(22,793
|
)
|
Goodyear Tire & Rubber Co./The*
|
|
|
(1,872
|
)
|
|
|
(22,820
|
)
|
Johnson Controls, Inc.
|
|
|
(832
|
)
|
|
|
(22,797
|
)
|
Lear Corp.
|
|
|
(608
|
)
|
|
|
(22,976
|
)
|
Tenneco, Inc.*
|
|
|
(816
|
)
|
|
|
(22,848
|
)
|
Visteon Corp.*
|
|
|
(516
|
)
|
|
|
(22,941
|
)
|
|
|
|
|
|
|
|
(160,120
|
)
|
Automobiles - (0.9%)
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
(2,316
|
)
|
|
|
(22,836
|
)
|
General Motors Co.*
|
|
|
(1,000
|
)
|
|
|
(22,750
|
)
|
|
|
|
|
|
|
|
(45,586
|
)
|
Capital Markets - (4.5%)
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp./The
|
|
|
(1,008
|
)
|
|
|
(22,801
|
)
|
Charles Schwab Corp./The
|
|
|
(1,784
|
)
|
|
|
(22,817
|
)
|
E*TRADE Financial Corp.*
|
|
|
(2,600
|
)
|
|
|
(22,906
|
)
|
Franklin Resources, Inc.
|
|
|
(184
|
)
|
|
|
(23,013
|
)
|
Goldman Sachs Group, Inc./The
|
|
|
(200
|
)
|
|
|
(22,736
|
)
|
Jefferies Group, Inc.
|
|
|
(1,680
|
)
|
|
|
(22,999
|
)
|
Legg Mason, Inc.
|
|
|
(924
|
)
|
|
|
(22,804
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Morgan Stanley
|
|
|
(1,360
|
)
|
|
$
|
(22,767
|
)
|
Stifel Financial Corp.*
|
|
|
(676
|
)
|
|
|
(22,714
|
)
|
Waddell & Reed Financial, Inc., Class A
|
|
|
(692
|
)
|
|
|
(22,677
|
)
|
|
|
|
|
|
|
|
(228,234
|
)
|
Chemicals - (0.5%)
|
|
|
|
|
|
|
|
|
Intrepid Potash, Inc.*
|
|
|
(1,064
|
)
|
|
|
(22,855
|
)
|
|
|
|
|
|
|
|
|
|
Commercial Banks - (1.8%)
|
|
|
|
|
|
|
|
|
First Niagara Financial Group, Inc.
|
|
|
(2,824
|
)
|
|
|
(22,846
|
)
|
Popular, Inc.*
|
|
|
(1,316
|
)
|
|
|
(22,938
|
)
|
TCF Financial Corp.
|
|
|
(1,908
|
)
|
|
|
(22,781
|
)
|
Valley National Bancorp
|
|
|
(2,276
|
)
|
|
|
(22,806
|
)
|
|
|
|
|
|
|
|
(91,371
|
)
|
Commercial Services & Supplies - (1.8%)
|
|
|
|
|
|
|
|
|
Clean Harbors, Inc.*
|
|
|
(472
|
)
|
|
|
(23,057
|
)
|
Iron Mountain, Inc.
|
|
|
(668
|
)
|
|
|
(22,786
|
)
|
Republic Services, Inc.
|
|
|
(832
|
)
|
|
|
(22,888
|
)
|
Waste Connections, Inc.
|
|
|
(760
|
)
|
|
|
(22,990
|
)
|
|
|
|
|
|
|
|
(91,721
|
)
|
Communications Equipment - (2.3%)
|
|
|
|
|
|
|
|
|
Aruba Networks, Inc.*
|
|
|
(1,016
|
)
|
|
|
(22,845
|
)
|
JDS Uniphase Corp.*
|
|
|
(1,844
|
)
|
|
|
(22,838
|
)
|
Juniper Networks, Inc.*
|
|
|
(1,332
|
)
|
|
|
(22,790
|
)
|
Polycom, Inc.*
|
|
|
(2,304
|
)
|
|
|
(22,740
|
)
|
Riverbed Technology, Inc.*
|
|
|
(980
|
)
|
|
|
(22,805
|
)
|
|
|
|
|
|
|
|
(114,018
|
)
|
Computers & Peripherals - (1.4%)
|
|
|
|
|
|
|
|
|
Dell, Inc.
|
|
|
(2,304
|
)
|
|
|
(22,717
|
)
|
Hewlett-Packard Co.
|
|
|
(1,340
|
)
|
|
|
(22,860
|
)
|
NetApp, Inc.*
|
|
|
(696
|
)
|
|
|
(22,885
|
)
|
|
|
|
|
|
|
|
(68,462
|
)
|
Construction & Engineering - (2.2%)
|
|
|
|
|
|
|
|
|
AECOM Technology Corp.*
|
|
|
(1,080
|
)
|
|
|
(22,853
|
)
|
Fluor Corp.
|
|
|
(404
|
)
|
|
|
(22,737
|
)
|
Foster Wheeler AG*
|
|
|
(948
|
)
|
|
|
(22,714
|
)
|
KBR, Inc.
|
|
|
(764
|
)
|
|
|
(22,782
|
)
|
URS Corp.
|
|
|
(644
|
)
|
|
|
(22,740
|
)
|
|
|
|
|
|
|
|
(113,826
|
)
|
Containers & Packaging - (1.8%)
|
|
|
|
|
|
|
|
|
Bemis Co., Inc.
|
|
|
(724
|
)
|
|
|
(22,784
|
)
|
Greif, Inc., Class A
|
|
|
(516
|
)
|
|
|
(22,797
|
)
|
Owens-Illinois, Inc.*
|
|
|
(1,220
|
)
|
|
|
(22,887
|
)
|
Sealed Air Corp.
|
|
|
(1,480
|
)
|
|
|
(22,881
|
)
|
|
|
|
|
|
|
|
(91,349
|
)
|
Diversified Consumer Services - (0.9%)
|
|
|
|
|
|
|
|
|
Apollo Group, Inc., Class A*
|
|
|
(780
|
)
|
|
|
(22,659
|
)
|
Sotheby's
|
|
|
(724
|
)
|
|
|
(22,806
|
)
|
|
|
|
|
|
|
|
(45,465
|
)
|
Diversified Financial Services - (1.8%)
|
|
|
|
|
|
|
|
|
Citigroup, Inc.
|
|
|
(696
|
)
|
|
|
(22,773
|
)
|
Leucadia National Corp.
|
|
|
(1,000
|
)
|
|
|
(22,750
|
)
|
NASDAQ OMX Group, Inc./The
|
|
|
(980
|
)
|
|
|
(22,829
|
)
|
NYSE Euronext
|
|
|
(928
|
)
|
|
|
(22,875
|
)
|
|
|
|
|
|
|
|
(91,227
|
)
|
Diversified Telecommunication Services - (0.4%)
|
|
|
|
|
|
|
|
|
Level 3 Communications, Inc.*
|
|
|
(992
|
)
|
|
|
(22,786
|
)
|
|
|
|
|
|
|
|
|
|
Electric Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
Exelon Corp.
|
|
|
(640
|
)
|
|
|
(22,771
|
)
|
ITC Holdings Corp.
|
|
|
(304
|
)
|
|
|
(22,976
|
)
|
|
|
|
|
|
|
|
(45,747
|
)
|
Electronic Equipment, Instruments & Components - (2.2%)
|
|
|
|
|
|
|
|
|
Corning, Inc.
|
|
|
(1,728
|
)
|
|
|
(22,723
|
)
|
Dolby Laboratories, Inc., Class A*
|
|
|
(692
|
)
|
|
|
(22,663
|
)
|
FLIR Systems, Inc.
|
|
|
(1,140
|
)
|
|
|
(22,772
|
)
|
IPG Photonics Corp.*
|
|
|
(400
|
)
|
|
|
(22,920
|
)
|
Vishay Intertechnology, Inc.*
|
|
|
(2,316
|
)
|
|
|
(22,766
|
)
|
|
|
|
|
|
|
|
(113,844
|
)
|
Energy Equipment & Services - (4.0%)
|
|
|
|
|
|
|
|
|
Baker Hughes, Inc.
|
|
|
(504
|
)
|
|
|
(22,796
|
)
|
Halliburton Co.
|
|
|
(676
|
)
|
|
|
(22,774
|
)
|
Lufkin Industries, Inc.
|
|
|
(424
|
)
|
|
|
(22,820
|
)
|
McDermott International, Inc.*
|
|
|
(1,864
|
)
|
|
|
(22,778
|
)
|
Nabors Industries Ltd.*
|
|
|
(1,616
|
)
|
|
|
(22,672
|
)
|
Patterson-UTI Energy, Inc.
|
|
|
(1,440
|
)
|
|
|
(22,810
|
)
|
Superior Energy Services, Inc.*
|
|
|
(1,112
|
)
|
|
|
(22,818
|
)
|
Unit Corp.*
|
|
|
(548
|
)
|
|
|
(22,742
|
)
|
Weatherford International Ltd.*
|
|
|
(1,800
|
)
|
|
|
(22,824
|
)
|
|
|
|
|
|
|
|
(205,034
|
)
|
Food & Staples Retailing - (0.9%)
|
|
|
|
|
|
|
|
|
Kroger Co./The
|
|
|
(968
|
)
|
|
|
(22,787
|
)
|
Walgreen Co.
|
|
|
(628
|
)
|
|
|
(22,884
|
)
|
|
|
|
|
|
|
|
(45,671
|
)
|
Food Products - (1.3%)
|
|
|
|
|
|
|
|
|
Bunge Ltd.
|
|
|
(340
|
)
|
|
|
(22,797
|
)
|
Smithfield Foods, Inc.*
|
|
|
(1,156
|
)
|
|
|
(22,716
|
)
|
Tyson Foods, Inc., Class A
|
|
|
(1,416
|
)
|
|
|
(22,684
|
)
|
|
|
|
|
|
|
|
(68,197
|
)
|
Gas Utilities - (1.4%)
|
|
|
|
|
|
|
|
|
AGL Resources, Inc.
|
|
|
(560
|
)
|
|
|
(22,910
|
)
|
National Fuel Gas Co.
|
|
|
(424
|
)
|
|
|
(22,913
|
)
|
WGL Holdings, Inc.
|
|
|
(564
|
)
|
|
|
(22,701
|
)
|
|
|
|
|
|
|
|
(68,524
|
)
|
Health Care Equipment & Supplies - (2.7%)
|
|
|
|
|
|
|
|
|
Alere, Inc.*
|
|
|
(1,172
|
)
|
|
|
(22,842
|
)
|
Becton, Dickinson and Co.
|
|
|
(288
|
)
|
|
|
(22,625
|
)
|
Boston Scientific Corp.*
|
|
|
(4,036
|
)
|
|
|
(23,167
|
)
|
Hill-Rom Holdings, Inc.
|
|
|
(784
|
)
|
|
|
(22,783
|
)
|
St Jude Medical, Inc.
|
|
|
(540
|
)
|
|
|
(22,750
|
)
|
Varian Medical Systems, Inc.*
|
|
|
(376
|
)
|
|
|
(22,681
|
)
|
|
|
|
|
|
|
|
(136,848
|
)
|
Health Care Providers & Services - (4.5%)
|
|
|
|
|
|
|
|
|
AmerisourceBergen Corp.
|
|
|
(588
|
)
|
|
|
(22,761
|
)
|
Cardinal Health, Inc.
|
|
|
(584
|
)
|
|
|
(22,759
|
)
|
Cigna Corp.
|
|
|
(484
|
)
|
|
|
(22,830
|
)
|
Health Management Associates, Inc., Class A*
|
|
|
(2,716
|
)
|
|
|
(22,787
|
)
|
Health Net, Inc.*
|
|
|
(1,012
|
)
|
|
|
(22,780
|
)
|
Humana, Inc.
|
|
|
(324
|
)
|
|
|
(22,729
|
)
|
Owens & Minor, Inc.
|
|
|
(760
|
)
|
|
|
(22,709
|
)
|
Tenet Healthcare Corp.*
|
|
|
(3,588
|
)
|
|
|
(22,497
|
)
|
Universal Health Services, Inc., Class B
|
|
|
(496
|
)
|
|
|
(22,682
|
)
|
WellPoint, Inc.
|
|
|
(392
|
)
|
|
|
(22,740
|
)
|
|
|
|
|
|
|
|
(227,274
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Health Care Technology - (0.4%)
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*
|
|
|
(1,808
|
)
|
|
$
|
(22,473
|
)
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - (4.5%)
|
|
|
|
|
|
|
|
|
Carnival Corp.
|
|
|
(628
|
)
|
|
|
(22,884
|
)
|
Chipotle Mexican Grill, Inc.*
|
|
|
(72
|
)
|
|
|
(22,863
|
)
|
Hyatt Hotels Corp., Class A*
|
|
|
(568
|
)
|
|
|
(22,805
|
)
|
International Game Technology
|
|
|
(1,748
|
)
|
|
|
(22,881
|
)
|
Las Vegas Sands Corp.
|
|
|
(492
|
)
|
|
|
(22,814
|
)
|
McDonald's Corp.
|
|
|
(248
|
)
|
|
|
(22,754
|
)
|
MGM Resorts International*
|
|
|
(2,120
|
)
|
|
|
(22,790
|
)
|
Royal Caribbean Cruises Ltd.
|
|
|
(756
|
)
|
|
|
(22,839
|
)
|
Wendy's Co./The
|
|
|
(5,016
|
)
|
|
|
(22,823
|
)
|
Wynn Resorts Ltd.
|
|
|
(196
|
)
|
|
|
(22,626
|
)
|
|
|
|
|
|
|
|
(228,079
|
)
|
Household Durables - (0.9%)
|
|
|
|
|
|
|
|
|
Tempur-Pedic International, Inc.*
|
|
|
(760
|
)
|
|
|
(22,717
|
)
|
Tupperware Brands Corp.
|
|
|
(424
|
)
|
|
|
(22,722
|
)
|
|
|
|
|
|
|
|
(45,439
|
)
|
Household Products - (0.4%)
|
|
|
|
|
|
|
|
|
Energizer Holdings, Inc.
|
|
|
(304
|
)
|
|
|
(22,681
|
)
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - (1.4%)
|
|
|
|
|
|
|
|
|
AES Corp./The*
|
|
|
(2,088
|
)
|
|
|
(22,905
|
)
|
GenOn Energy, Inc.*
|
|
|
(8,952
|
)
|
|
|
(22,649
|
)
|
NRG Energy, Inc.
|
|
|
(1,072
|
)
|
|
|
(22,930
|
)
|
|
|
|
|
|
|
|
(68,484
|
)
|
Insurance - (3.1%)
|
|
|
|
|
|
|
|
|
Assurant, Inc.
|
|
|
(608
|
)
|
|
|
(22,678
|
)
|
Genworth Financial, Inc., Class A*
|
|
|
(4,352
|
)
|
|
|
(22,761
|
)
|
Hartford Financial Services Group, Inc.
|
|
|
(1,168
|
)
|
|
|
(22,706
|
)
|
MetLife, Inc.
|
|
|
(660
|
)
|
|
|
(22,744
|
)
|
Old Republic International Corp.
|
|
|
(2,456
|
)
|
|
|
(22,841
|
)
|
Unum Group
|
|
|
(1,184
|
)
|
|
|
(22,757
|
)
|
Willis Group Holdings plc
|
|
|
(620
|
)
|
|
|
(22,890
|
)
|
|
|
|
|
|
|
|
(159,377
|
)
|
IT Services - (1.3%)
|
|
|
|
|
|
|
|
|
Global Payments, Inc.
|
|
|
(544
|
)
|
|
|
(22,755
|
)
|
SAIC, Inc.
|
|
|
(1,880
|
)
|
|
|
(22,635
|
)
|
Western Union Co./The
|
|
|
(1,248
|
)
|
|
|
(22,739
|
)
|
|
|
|
|
|
|
|
(68,129
|
)
|
Leisure Equipment & Products - (0.5%)
|
|
|
|
|
|
|
|
|
Hasbro, Inc.
|
|
|
(600
|
)
|
|
|
(22,902
|
)
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - (0.9%)
|
|
|
|
|
|
|
|
|
Covance, Inc.*
|
|
|
(488
|
)
|
|
|
(22,784
|
)
|
Waters Corp.*
|
|
|
(272
|
)
|
|
|
(22,666
|
)
|
|
|
|
|
|
|
|
(45,450
|
)
|
Machinery - (4.1%)
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
(264
|
)
|
|
|
(22,715
|
)
|
Crane Co.
|
|
|
(572
|
)
|
|
|
(22,840
|
)
|
Deere & Co.
|
|
|
(276
|
)
|
|
|
(22,767
|
)
|
Dover Corp.
|
|
|
(384
|
)
|
|
|
(22,844
|
)
|
Gardner Denver, Inc.
|
|
|
(376
|
)
|
|
|
(22,714
|
)
|
Harsco Corp.
|
|
|
(1,108
|
)
|
|
|
(22,747
|
)
|
Joy Global, Inc.
|
|
|
(408
|
)
|
|
|
(22,873
|
)
|
Kennametal, Inc.
|
|
|
(616
|
)
|
|
|
(22,841
|
)
|
Navistar International Corp.*
|
|
|
(1,084
|
)
|
|
|
(22,862
|
)
|
|
|
|
|
|
|
|
(205,203
|
)
|
Marine - (0.4%)
|
|
|
|
|
|
|
|
|
Kirby Corp.*
|
|
|
(412
|
)
|
|
|
(22,775
|
)
|
|
|
|
|
|
|
|
|
|
Media - (0.9%)
|
|
|
|
|
|
|
|
|
Cablevision Systems Corp., Class A
|
|
|
(1,440
|
)
|
|
|
(22,824
|
)
|
Live Nation Entertainment, Inc.*
|
|
|
(2,652
|
)
|
|
|
(22,834
|
)
|
|
|
|
|
|
|
|
(45,658
|
)
|
Metals & Mining - (2.7%)
|
|
|
|
|
|
|
|
|
Alcoa, Inc.
|
|
|
(2,572
|
)
|
|
|
(22,762
|
)
|
Allegheny Technologies, Inc.
|
|
|
(716
|
)
|
|
|
(22,840
|
)
|
Cliffs Natural Resources, Inc.
|
|
|
(588
|
)
|
|
|
(23,009
|
)
|
Coeur d'Alene Mines Corp.*
|
|
|
(792
|
)
|
|
|
(22,833
|
)
|
Titanium Metals Corp.
|
|
|
(1,776
|
)
|
|
|
(22,786
|
)
|
Walter Energy, Inc.
|
|
|
(708
|
)
|
|
|
(22,982
|
)
|
|
|
|
|
|
|
|
(137,212
|
)
|
Multiline Retail - (0.9%)
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
(776
|
)
|
|
|
(22,954
|
)
|
Kohl's Corp.
|
|
|
(448
|
)
|
|
|
(22,947
|
)
|
|
|
|
|
|
|
|
(45,901
|
)
|
Multi-Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
Public Service Enterprise Group, Inc.
|
|
|
(712
|
)
|
|
|
(22,912
|
)
|
TECO Energy, Inc.
|
|
|
(1,288
|
)
|
|
|
(22,849
|
)
|
|
|
|
|
|
|
|
(45,761
|
)
|
Office Electronics - (0.5%)
|
|
|
|
|
|
|
|
|
Xerox Corp.
|
|
|
(3,108
|
)
|
|
|
(22,813
|
)
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - (3.6%)
|
|
|
|
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
(1,212
|
)
|
|
|
(22,870
|
)
|
Cimarex Energy Co.
|
|
|
(392
|
)
|
|
|
(22,952
|
)
|
CONSOL Energy, Inc.
|
|
|
(760
|
)
|
|
|
(22,838
|
)
|
Hess Corp.
|
|
|
(424
|
)
|
|
|
(22,777
|
)
|
Newfield Exploration Co.*
|
|
|
(728
|
)
|
|
|
(22,801
|
)
|
Peabody Energy Corp.
|
|
|
(1,024
|
)
|
|
|
(22,825
|
)
|
QEP Resources, Inc.
|
|
|
(720
|
)
|
|
|
(22,795
|
)
|
SM Energy Co.
|
|
|
(424
|
)
|
|
|
(22,943
|
)
|
|
|
|
|
|
|
|
(182,801
|
)
|
Personal Products - (0.4%)
|
|
|
|
|
|
|
|
|
Avon Products, Inc.
|
|
|
(1,424
|
)
|
|
|
(22,713
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (1.8%)
|
|
|
|
|
|
|
|
|
Endo Health Solutions, Inc.*
|
|
|
(724
|
)
|
|
|
(22,965
|
)
|
Hospira, Inc.*
|
|
|
(700
|
)
|
|
|
(22,974
|
)
|
Medicis Pharmaceutical Corp., Class A
|
|
|
(528
|
)
|
|
|
(22,847
|
)
|
Warner Chilcott plc, Class A
|
|
|
(1,692
|
)
|
|
|
(22,842
|
)
|
|
|
|
|
|
|
|
(91,628
|
)
|
Professional Services - (1.3%)
|
|
|
|
|
|
|
|
|
Manpower, Inc.
|
|
|
(620
|
)
|
|
|
(22,816
|
)
|
Nielsen Holdings N.V.*
|
|
|
(760
|
)
|
|
|
(22,785
|
)
|
Towers Watson & Co., Class A
|
|
|
(428
|
)
|
|
|
(22,705
|
)
|
|
|
|
|
|
|
|
(68,306
|
)
|
Real Estate Investment Trusts (REITs) - (4.5%)
|
|
|
|
|
|
|
|
|
Chimera Investment Corp.
|
|
|
(8,408
|
)
|
|
|
(22,786
|
)
|
Corporate Office Properties Trust
|
|
|
(944
|
)
|
|
|
(22,628
|
)
|
Home Properties, Inc.
|
|
|
(372
|
)
|
|
|
(22,793
|
)
|
Mack-Cali Realty Corp.
|
|
|
(848
|
)
|
|
|
(22,557
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Mid-America Apartment Communities, Inc.
|
|
|
(348
|
)
|
|
$
|
(22,728
|
)
|
Piedmont Office Realty Trust, Inc., Class A
|
|
|
(1,304
|
)
|
|
|
(22,611
|
)
|
Senior Housing Properties Trust
|
|
|
(1,044
|
)
|
|
|
(22,738
|
)
|
UDR, Inc.
|
|
|
(920
|
)
|
|
|
(22,834
|
)
|
Vornado Realty Trust
|
|
|
(280
|
)
|
|
|
(22,694
|
)
|
Washington Real Estate Investment Trust
|
|
|
(844
|
)
|
|
|
(22,636
|
)
|
|
|
|
|
|
|
|
(227,005
|
)
|
Real Estate Management & Development - (0.9%)
|
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., Class A*
|
|
|
(1,444
|
)
|
|
|
(22,887
|
)
|
Jones Lang LaSalle, Inc.
|
|
|
(300
|
)
|
|
|
(22,905
|
)
|
|
|
|
|
|
|
|
(45,792
|
)
|
Road & Rail - (0.9%)
|
|
|
|
|
|
|
|
|
CSX Corp.
|
|
|
(1,100
|
)
|
|
|
(22,825
|
)
|
Ryder System, Inc.
|
|
|
(584
|
)
|
|
|
(22,811
|
)
|
|
|
|
|
|
|
|
(45,636
|
)
|
Semiconductors & Semiconductor Equipment - (2.3%)
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*
|
|
|
(6,732
|
)
|
|
|
(22,687
|
)
|
Altera Corp.
|
|
|
(672
|
)
|
|
|
(22,838
|
)
|
Atmel Corp.*
|
|
|
(4,332
|
)
|
|
|
(22,786
|
)
|
Cypress Semiconductor Corp.*
|
|
|
(2,124
|
)
|
|
|
(22,769
|
)
|
ON Semiconductor Corp.*
|
|
|
(3,732
|
)
|
|
|
(23,027
|
)
|
|
|
|
|
|
|
|
(114,107
|
)
|
Software - (2.3%)
|
|
|
|
|
|
|
|
|
Electronic Arts, Inc.*
|
|
|
(1,800
|
)
|
|
|
(22,842
|
)
|
Informatica Corp.*
|
|
|
(656
|
)
|
|
|
(22,835
|
)
|
QLIK Technologies, Inc.*
|
|
|
(1,020
|
)
|
|
|
(22,858
|
)
|
Rovi Corp.*
|
|
|
(1,568
|
)
|
|
|
(22,752
|
)
|
Solera Holdings, Inc.
|
|
|
(520
|
)
|
|
|
(22,813
|
)
|
|
|
|
|
|
|
|
(114,100
|
)
|
Specialty Retail - (2.7%)
|
|
|
|
|
|
|
|
|
Abercrombie & Fitch Co., Class A
|
|
|
(672
|
)
|
|
|
(22,794
|
)
|
Best Buy Co., Inc.
|
|
|
(1,328
|
)
|
|
|
(22,828
|
)
|
CarMax, Inc.*
|
|
|
(808
|
)
|
|
|
(22,867
|
)
|
Guess?, Inc.
|
|
|
(896
|
)
|
|
|
(22,776
|
)
|
Staples, Inc.
|
|
|
(1,980
|
)
|
|
|
(22,810
|
)
|
Tiffany & Co.
|
|
|
(368
|
)
|
|
|
(22,772
|
)
|
|
|
|
|
|
|
|
(136,847
|
)
|
Textiles, Apparel & Luxury Goods - (0.9%)
|
|
|
|
|
|
|
|
|
Fossil, Inc.*
|
|
|
(268
|
)
|
|
|
(22,700
|
)
|
Warnaco Group, Inc./The*
|
|
|
(440
|
)
|
|
|
(22,836
|
)
|
|
|
|
|
|
|
|
(45,536
|
)
|
Thrifts & Mortgage Finance - (0.5%)
|
|
|
|
|
|
|
|
|
Hudson City Bancorp, Inc.
|
|
|
(2,876
|
)
|
|
|
(22,893
|
)
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - (0.4%)
|
|
|
|
|
|
|
|
|
MetroPCS Communications, Inc.*
|
|
|
(1,944
|
)
|
|
|
(22,764
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $4,678,467)
|
|
|
|
|
|
|
(4,560,508
|
)
|
Other assets less liabilities
— 100.0%
|
|
|
|
|
|
|
5,067,337
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
5,065,697
|
|
|
|
|
|
|
|
|
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $2,081,223.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
|
|
Aggregate gross unrealized appreciation
|
|
$
|
757,946
|
|
Aggregate gross unrealized depreciation
|
|
|
(201,719
|
)
|
Net unrealized appreciation
|
|
$
|
556,227
|
|
Federal income tax cost of investments
|
|
$
|
(557,867
|
)
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares
U.S. Market Neutral Momentum Fund
Schedule
of Investments
September 30, 2012 (Unaudited)
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
394,556
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market Neutral Momentum Index
|
|
$
|
111,030
|
|
|
(447,375
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Momentum Index
|
|
(0.04
|
)%
|
|
(55,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
55,830
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 3.1%
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.(a)
|
|
|
315
|
|
|
$
|
15,785
|
|
Esterline Technologies Corp.*(a)
|
|
|
282
|
|
|
|
15,831
|
|
General Dynamics Corp.(a)
|
|
|
240
|
|
|
|
15,869
|
|
L-3 Communications Holdings, Inc.(a)
|
|
|
219
|
|
|
|
15,705
|
|
Northrop Grumman Corp.(a)
|
|
|
237
|
|
|
|
15,744
|
|
Raytheon Co.
|
|
|
276
|
|
|
|
15,776
|
|
Spirit Aerosystems Holdings, Inc., Class A*
|
|
|
711
|
|
|
|
15,791
|
|
|
|
|
|
|
|
|
110,501
|
|
Air Freight & Logistics - 0.4%
|
|
|
|
|
|
|
|
|
FedEx Corp.(a)
|
|
|
186
|
|
|
|
15,739
|
|
|
|
|
|
|
|
|
|
|
Airlines - 2.7%
|
|
|
|
|
|
|
|
|
Alaska Air Group, Inc.*(a)
|
|
|
450
|
|
|
|
15,777
|
|
Delta Air Lines, Inc.*(a)
|
|
|
1,740
|
|
|
|
15,938
|
|
JetBlue Airways Corp.*(a)
|
|
|
3,285
|
|
|
|
15,735
|
|
Southwest Airlines Co.(a)
|
|
|
1,806
|
|
|
|
15,839
|
|
United Continental Holdings, Inc.*
|
|
|
816
|
|
|
|
15,912
|
|
US Airways Group, Inc.*(a)
|
|
|
1,515
|
|
|
|
15,847
|
|
|
|
|
|
|
|
|
95,048
|
|
Auto Components - 1.8%
|
|
|
|
|
|
|
|
|
Dana Holding Corp.(a)
|
|
|
1,278
|
|
|
|
15,720
|
|
Goodyear Tire & Rubber Co./The*(a)
|
|
|
1,302
|
|
|
|
15,871
|
|
Lear Corp.(a)
|
|
|
423
|
|
|
|
15,985
|
|
TRW Automotive Holdings Corp.*
|
|
|
363
|
|
|
|
15,867
|
|
|
|
|
|
|
|
|
63,443
|
|
Automobiles - 1.4%
|
|
|
|
|
|
|
|
|
Ford Motor Co.(a)
|
|
|
1,611
|
|
|
|
15,885
|
|
General Motors Co.*(a)
|
|
|
696
|
|
|
|
15,834
|
|
Thor Industries, Inc.
|
|
|
438
|
|
|
|
15,908
|
|
|
|
|
|
|
|
|
47,627
|
|
Beverages - 0.4%
|
|
|
|
|
|
|
|
|
Molson Coors Brewing Co., Class B
|
|
|
351
|
|
|
|
15,813
|
|
|
|
|
|
|
|
|
|
|
Capital Markets - 0.9%
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp./The(a)
|
|
|
699
|
|
|
|
15,811
|
|
Goldman Sachs Group, Inc./The(a)
|
|
|
138
|
|
|
|
15,688
|
|
|
|
|
|
|
|
|
31,499
|
|
Chemicals - 0.9%
|
|
|
|
|
|
|
|
|
CF Industries Holdings, Inc.(a)
|
|
|
72
|
|
|
|
16,001
|
|
Huntsman Corp.(a)
|
|
|
1,065
|
|
|
|
15,901
|
|
|
|
|
|
|
|
|
31,902
|
|
Commercial Banks - 2.7%
|
|
|
|
|
|
|
|
|
Fifth Third Bancorp(a)
|
|
|
1,020
|
|
|
|
15,820
|
|
First Niagara Financial Group, Inc.(a)
|
|
|
1,962
|
|
|
|
15,873
|
|
KeyCorp(a)
|
|
|
1,815
|
|
|
|
15,863
|
|
Popular, Inc.*(a)
|
|
|
915
|
|
|
|
15,948
|
|
Regions Financial Corp.(a)
|
|
|
2,199
|
|
|
|
15,855
|
|
SunTrust Banks, Inc.
|
|
|
561
|
|
|
|
15,860
|
|
|
|
|
|
|
|
|
95,219
|
|
Commercial Services & Supplies - 0.9%
|
|
|
|
|
|
|
|
|
R.R. Donnelley & Sons Co.
|
|
|
1,494
|
|
|
|
15,837
|
|
Republic Services, Inc.
|
|
|
579
|
|
|
|
15,928
|
|
|
|
|
|
|
|
|
31,765
|
|
Communications Equipment - 1.8%
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*(a)
|
|
|
2,646
|
|
|
|
15,651
|
|
Cisco Systems, Inc.(a)
|
|
|
825
|
|
|
|
15,749
|
|
Harris Corp.(a)
|
|
|
309
|
|
|
|
15,827
|
|
Polycom, Inc.*(a)
|
|
|
1,602
|
|
|
|
15,812
|
|
|
|
|
|
|
|
|
63,039
|
|
Computers & Peripherals - 1.8%
|
|
|
|
|
|
|
|
|
Dell, Inc.(a)
|
|
|
1,602
|
|
|
|
15,796
|
|
Hewlett-Packard Co.(a)
|
|
|
933
|
|
|
|
15,917
|
|
Seagate Technology plc
|
|
|
507
|
|
|
|
15,717
|
|
Western Digital Corp.
|
|
|
411
|
|
|
|
15,918
|
|
|
|
|
|
|
|
|
63,348
|
|
Construction & Engineering - 1.4%
|
|
|
|
|
|
|
|
|
AECOM Technology Corp.*(a)
|
|
|
750
|
|
|
|
15,870
|
|
KBR, Inc.(a)
|
|
|
531
|
|
|
|
15,834
|
|
URS Corp.
|
|
|
450
|
|
|
|
15,890
|
|
|
|
|
|
|
|
|
47,594
|
|
Consumer Finance - 0.5%
|
|
|
|
|
|
|
|
|
Capital One Financial Corp.(a)
|
|
|
279
|
|
|
|
15,906
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.9%
|
|
|
|
|
|
|
|
|
Owens-Illinois, Inc.*(a)
|
|
|
846
|
|
|
|
15,871
|
|
Rock-Tenn Co., Class A(a)
|
|
|
219
|
|
|
|
15,807
|
|
|
|
|
|
|
|
|
31,678
|
|
Diversified Consumer Services - 0.4%
|
|
|
|
|
|
|
|
|
Apollo Group, Inc., Class A*(a)
|
|
|
543
|
|
|
|
15,774
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 1.4%
|
|
|
|
|
|
|
|
|
Citigroup, Inc.(a)
|
|
|
483
|
|
|
|
15,804
|
|
JPMorgan Chase & Co.(a)
|
|
|
393
|
|
|
|
15,908
|
|
NASDAQ OMX Group, Inc./The(a)
|
|
|
681
|
|
|
|
15,864
|
|
|
|
|
|
|
|
|
47,576
|
|
Electric Utilities - 2.7%
|
|
|
|
|
|
|
|
|
American Electric Power Co., Inc.(a)
|
|
|
360
|
|
|
|
15,818
|
|
Entergy Corp.(a)
|
|
|
228
|
|
|
|
15,800
|
|
Exelon Corp.(a)
|
|
|
444
|
|
|
|
15,798
|
|
IDACORP, Inc.(a)
|
|
|
366
|
|
|
|
15,837
|
|
NV Energy, Inc.(a)
|
|
|
879
|
|
|
|
15,831
|
|
Portland General Electric Co.(a)
|
|
|
585
|
|
|
|
15,818
|
|
|
|
|
|
|
|
|
94,902
|
|
Electrical Equipment - 1.8%
|
|
|
|
|
|
|
|
|
Brady Corp., Class A(a)
|
|
|
540
|
|
|
|
15,811
|
|
EnerSys, Inc.*(a)
|
|
|
447
|
|
|
|
15,775
|
|
General Cable Corp.*(a)
|
|
|
540
|
|
|
|
15,865
|
|
Regal-Beloit Corp.(a)
|
|
|
225
|
|
|
|
15,858
|
|
|
|
|
|
|
|
|
63,309
|
|
Electronic Equipment, Instruments & Components - 3.1%
|
|
|
|
|
|
|
|
|
Arrow Electronics, Inc.*(a)
|
|
|
468
|
|
|
|
15,776
|
|
Avnet, Inc.*(a)
|
|
|
543
|
|
|
|
15,796
|
|
Corning, Inc.(a)
|
|
|
1,200
|
|
|
|
15,780
|
|
Ingram Micro, Inc., Class A*(a)
|
|
|
1,035
|
|
|
|
15,763
|
|
Jabil Circuit, Inc.(a)
|
|
|
846
|
|
|
|
15,837
|
|
TE Connectivity Ltd.
|
|
|
465
|
|
|
|
15,815
|
|
Tech Data Corp.*
|
|
|
348
|
|
|
|
15,764
|
|
|
|
|
|
|
|
|
110,531
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Energy Equipment & Services - 2.2%
|
|
|
|
|
|
|
|
|
Helix Energy Solutions Group, Inc.*(a)
|
|
|
858
|
|
|
$
|
15,676
|
|
Nabors Industries Ltd.*(a)
|
|
|
1,122
|
|
|
|
15,742
|
|
Patterson-UTI Energy, Inc.(a)
|
|
|
999
|
|
|
|
15,824
|
|
Superior Energy Services, Inc.*
|
|
|
774
|
|
|
|
15,882
|
|
Unit Corp.*
|
|
|
381
|
|
|
|
15,811
|
|
|
|
|
|
|
|
|
78,935
|
|
Food & Staples Retailing - 1.8%
|
|
|
|
|
|
|
|
|
CVS Caremark Corp.(a)
|
|
|
330
|
|
|
|
15,979
|
|
Kroger Co./The
|
|
|
672
|
|
|
|
15,819
|
|
Safeway, Inc.
|
|
|
984
|
|
|
|
15,832
|
|
Walgreen Co.
|
|
|
438
|
|
|
|
15,961
|
|
|
|
|
|
|
|
|
63,591
|
|
Food Products - 3.1%
|
|
|
|
|
|
|
|
|
Archer-Daniels-Midland Co.(a)
|
|
|
582
|
|
|
|
15,819
|
|
ConAgra Foods, Inc.
|
|
|
576
|
|
|
|
15,892
|
|
Darling International, Inc.*(a)
|
|
|
867
|
|
|
|
15,857
|
|
Green Mountain Coffee Roasters, Inc.*
|
|
|
663
|
|
|
|
15,746
|
|
Ingredion, Inc.(a)
|
|
|
288
|
|
|
|
15,886
|
|
Smithfield Foods, Inc.*
|
|
|
801
|
|
|
|
15,740
|
|
Tyson Foods, Inc., Class A
|
|
|
984
|
|
|
|
15,764
|
|
|
|
|
|
|
|
|
110,704
|
|
Gas Utilities - 0.4%
|
|
|
|
|
|
|
|
|
AGL Resources, Inc.(a)
|
|
|
387
|
|
|
|
15,832
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 1.8%
|
|
|
|
|
|
|
|
|
Alere, Inc.*(a)
|
|
|
813
|
|
|
|
15,845
|
|
Boston Scientific Corp.*(a)
|
|
|
2,805
|
|
|
|
16,101
|
|
Hill-Rom Holdings, Inc.
|
|
|
546
|
|
|
|
15,867
|
|
Zimmer Holdings, Inc.
|
|
|
234
|
|
|
|
15,823
|
|
|
|
|
|
|
|
|
63,636
|
|
Health Care Providers & Services - 5.8%
|
|
|
|
|
|
|
|
|
Aetna, Inc.(a)
|
|
|
399
|
|
|
|
15,800
|
|
Cigna Corp.(a)
|
|
|
336
|
|
|
|
15,849
|
|
Community Health Systems, Inc.*(a)
|
|
|
543
|
|
|
|
15,823
|
|
Coventry Health Care, Inc.(a)
|
|
|
378
|
|
|
|
15,759
|
|
Health Management Associates, Inc., Class A*(a)
|
|
|
1,887
|
|
|
|
15,832
|
|
Health Net, Inc.*(a)
|
|
|
705
|
|
|
|
15,869
|
|
Humana, Inc.(a)
|
|
|
225
|
|
|
|
15,784
|
|
LifePoint Hospitals, Inc.*(a)
|
|
|
369
|
|
|
|
15,786
|
|
Omnicare, Inc.(a)
|
|
|
468
|
|
|
|
15,898
|
|
Tenet Healthcare Corp.*
|
|
|
2,493
|
|
|
|
15,631
|
|
UnitedHealth Group, Inc.
|
|
|
285
|
|
|
|
15,792
|
|
Universal Health Services, Inc., Class B
|
|
|
345
|
|
|
|
15,777
|
|
WellPoint, Inc.
|
|
|
273
|
|
|
|
15,837
|
|
|
|
|
|
|
|
|
205,437
|
|
Hotels, Restaurants & Leisure - 0.5%
|
|
|
|
|
|
|
|
|
Royal Caribbean Cruises Ltd.(a)
|
|
|
525
|
|
|
|
15,860
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 1.4%
|
|
|
|
|
|
|
|
|
Jarden Corp.(a)
|
|
|
300
|
|
|
|
15,852
|
|
Newell Rubbermaid, Inc.(a)
|
|
|
831
|
|
|
|
15,864
|
|
Whirlpool Corp.
|
|
|
192
|
|
|
|
15,919
|
|
|
|
|
|
|
|
|
47,635
|
|
Household Products - 0.4%
|
|
|
|
|
|
|
|
|
Energizer Holdings, Inc.(a)
|
|
|
210
|
|
|
|
15,668
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.5%
|
|
|
|
|
|
|
|
|
AES Corp./The*(a)
|
|
|
1,452
|
|
|
|
15,928
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 0.5%
|
|
|
|
|
|
|
|
|
General Electric Co.(a)
|
|
|
699
|
|
|
|
15,874
|
|
|
|
|
|
|
|
|
|
|
Insurance - 9.4%
|
|
|
|
|
|
|
|
|
ACE Ltd.(a)
|
|
|
210
|
|
|
|
15,876
|
|
American Financial Group, Inc./OH(a)
|
|
|
417
|
|
|
|
15,804
|
|
American International Group, Inc.*(a)
|
|
|
480
|
|
|
|
15,739
|
|
Aspen Insurance Holdings Ltd.(a)
|
|
|
519
|
|
|
|
15,824
|
|
Assurant, Inc.(a)
|
|
|
423
|
|
|
|
15,778
|
|
Assured Guaranty Ltd.(a)
|
|
|
1,167
|
|
|
|
15,895
|
|
Axis Capital Holdings Ltd.(a)
|
|
|
453
|
|
|
|
15,819
|
|
Endurance Specialty Holdings Ltd.(a)
|
|
|
408
|
|
|
|
15,708
|
|
Everest Re Group Ltd.(a)
|
|
|
147
|
|
|
|
15,723
|
|
Genworth Financial, Inc., Class A*(a)
|
|
|
3,024
|
|
|
|
15,816
|
|
Hartford Financial Services Group, Inc.(a)
|
|
|
810
|
|
|
|
15,746
|
|
Lincoln National Corp.(a)
|
|
|
654
|
|
|
|
15,820
|
|
MBIA, Inc.*
|
|
|
1,560
|
|
|
|
15,803
|
|
MetLife, Inc.(a)
|
|
|
459
|
|
|
|
15,817
|
|
PartnerRe Ltd.(a)
|
|
|
213
|
|
|
|
15,822
|
|
Principal Financial Group, Inc.(a)
|
|
|
588
|
|
|
|
15,841
|
|
Protective Life Corp.(a)
|
|
|
603
|
|
|
|
15,805
|
|
Prudential Financial, Inc.(a)
|
|
|
291
|
|
|
|
15,862
|
|
Reinsurance Group of America, Inc.(a)
|
|
|
273
|
|
|
|
15,798
|
|
Unum Group
|
|
|
822
|
|
|
|
15,799
|
|
Validus Holdings Ltd.
|
|
|
468
|
|
|
|
15,870
|
|
|
|
|
|
|
|
|
331,965
|
|
IT Services - 1.8%
|
|
|
|
|
|
|
|
|
Amdocs Ltd.(a)
|
|
|
483
|
|
|
|
15,934
|
|
Computer Sciences Corp.(a)
|
|
|
492
|
|
|
|
15,847
|
|
Fidelity National Information Services, Inc.(a)
|
|
|
507
|
|
|
|
15,829
|
|
SAIC, Inc.
|
|
|
1,305
|
|
|
|
15,712
|
|
|
|
|
|
|
|
|
63,322
|
|
Life Sciences Tools & Services - 0.9%
|
|
|
|
|
|
|
|
|
Life Technologies Corp.*(a)
|
|
|
324
|
|
|
|
15,837
|
|
Thermo Fisher Scientific, Inc.
|
|
|
270
|
|
|
|
15,884
|
|
|
|
|
|
|
|
|
31,721
|
|
Machinery - 3.2%
|
|
|
|
|
|
|
|
|
AGCO Corp.*(a)
|
|
|
333
|
|
|
|
15,811
|
|
Eaton Corp.(a)
|
|
|
336
|
|
|
|
15,879
|
|
Gardner Denver, Inc.(a)
|
|
|
261
|
|
|
|
15,767
|
|
Kennametal, Inc.(a)
|
|
|
429
|
|
|
|
15,907
|
|
Terex Corp.*
|
|
|
705
|
|
|
|
15,919
|
|
Timken Co.
|
|
|
429
|
|
|
|
15,942
|
|
Trinity Industries, Inc.
|
|
|
528
|
|
|
|
15,824
|
|
|
|
|
|
|
|
|
111,049
|
|
Media - 1.4%
|
|
|
|
|
|
|
|
|
Gannett Co., Inc.(a)
|
|
|
894
|
|
|
|
15,869
|
|
Meredith Corp.
|
|
|
450
|
|
|
|
15,750
|
|
Washington Post Co./The, Class B
|
|
|
45
|
|
|
|
16,336
|
|
|
|
|
|
|
|
|
47,955
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Metals & Mining - 2.7%
|
|
|
|
|
|
|
|
|
Cliffs Natural Resources, Inc.(a)
|
|
|
408
|
|
|
$
|
15,965
|
|
Coeur d'Alene Mines Corp.*(a)
|
|
|
549
|
|
|
|
15,828
|
|
Freeport-McMoRan Copper & Gold, Inc.(a)
|
|
|
402
|
|
|
|
15,911
|
|
Steel Dynamics, Inc.
|
|
|
1,407
|
|
|
|
15,801
|
|
United States Steel Corp.
|
|
|
828
|
|
|
|
15,790
|
|
Walter Energy, Inc.
|
|
|
492
|
|
|
|
15,970
|
|
|
|
|
|
|
|
|
95,265
|
|
Multiline Retail - 1.8%
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
537
|
|
|
|
15,885
|
|
Dillard's, Inc., Class A(a)
|
|
|
219
|
|
|
|
15,838
|
|
Kohl's Corp.(a)
|
|
|
309
|
|
|
|
15,827
|
|
Macy's, Inc.(a)
|
|
|
423
|
|
|
|
15,913
|
|
|
|
|
|
|
|
|
63,463
|
|
Multi-Utilities - 1.4%
|
|
|
|
|
|
|
|
|
Ameren Corp.(a)
|
|
|
486
|
|
|
|
15,878
|
|
PG&E Corp.(a)
|
|
|
372
|
|
|
|
15,873
|
|
Public Service Enterprise Group, Inc.(a)
|
|
|
495
|
|
|
|
15,929
|
|
|
|
|
|
|
|
|
47,680
|
|
Office Electronics - 0.4%
|
|
|
|
|
|
|
|
|
Xerox Corp.
|
|
|
2,160
|
|
|
|
15,854
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 4.5%
|
|
|
|
|
|
|
|
|
Apache Corp.(a)
|
|
|
183
|
|
|
|
15,824
|
|
ConocoPhillips(a)
|
|
|
279
|
|
|
|
15,953
|
|
Hess Corp.(a)
|
|
|
294
|
|
|
|
15,794
|
|
HollyFrontier Corp.(a)
|
|
|
384
|
|
|
|
15,848
|
|
Marathon Oil Corp.(a)
|
|
|
534
|
|
|
|
15,790
|
|
Murphy Oil Corp.(a)
|
|
|
294
|
|
|
|
15,785
|
|
Newfield Exploration Co.*(a)
|
|
|
507
|
|
|
|
15,879
|
|
Peabody Energy Corp.(a)
|
|
|
711
|
|
|
|
15,848
|
|
Tesoro Corp.
|
|
|
378
|
|
|
|
15,838
|
|
Valero Energy Corp.
|
|
|
501
|
|
|
|
15,872
|
|
|
|
|
|
|
|
|
158,431
|
|
Pharmaceuticals - 0.9%
|
|
|
|
|
|
|
|
|
Endo Health Solutions, Inc.*(a)
|
|
|
501
|
|
|
|
15,892
|
|
Warner Chilcott plc, Class A
|
|
|
1,176
|
|
|
|
15,876
|
|
|
|
|
|
|
|
|
31,768
|
|
Real Estate Investment Trusts (REITs) - 2.7%
|
|
|
|
|
|
|
|
|
American Capital Agency Corp.(a)
|
|
|
459
|
|
|
|
15,877
|
|
Annaly Capital Management, Inc.(a)
|
|
|
942
|
|
|
|
15,863
|
|
Chimera Investment Corp.(a)
|
|
|
5,841
|
|
|
|
15,829
|
|
Hatteras Financial Corp.(a)
|
|
|
564
|
|
|
|
15,899
|
|
Invesco Mortgage Capital, Inc.(a)
|
|
|
780
|
|
|
|
15,702
|
|
MFA Financial, Inc.(a)
|
|
|
1,860
|
|
|
|
15,810
|
|
|
|
|
|
|
|
|
94,980
|
|
Road & Rail - 1.8%
|
|
|
|
|
|
|
|
|
Avis Budget Group, Inc.*
|
|
|
1,023
|
|
|
|
15,734
|
|
Hertz Global Holdings, Inc.*(a)
|
|
|
1,158
|
|
|
|
15,899
|
|
Norfolk Southern Corp.(a)
|
|
|
249
|
|
|
|
15,844
|
|
Ryder System, Inc.(a)
|
|
|
408
|
|
|
|
15,936
|
|
|
|
|
|
|
|
|
63,413
|
|
Semiconductors & Semiconductor Equipment - 1.8%
|
|
|
|
|
|
|
|
|
Applied Materials, Inc.(a)
|
|
|
1,413
|
|
|
|
15,776
|
|
Intel Corp.(a)
|
|
|
696
|
|
|
|
15,785
|
|
Marvell Technology Group Ltd.(a)
|
|
|
1,722
|
|
|
|
15,756
|
|
ON Semiconductor Corp.*(a)
|
|
|
2,592
|
|
|
|
15,993
|
|
|
|
|
|
|
|
|
63,310
|
|
Software - 1.8%
|
|
|
|
|
|
|
|
|
Activision Blizzard, Inc.
|
|
|
1,407
|
|
|
|
15,871
|
|
CA, Inc.(a)
|
|
|
612
|
|
|
|
15,768
|
|
Rovi Corp.*
|
|
|
1,089
|
|
|
|
15,802
|
|
Symantec Corp.*
|
|
|
879
|
|
|
|
15,822
|
|
|
|
|
|
|
|
|
63,263
|
|
Specialty Retail - 2.7%
|
|
|
|
|
|
|
|
|
Abercrombie & Fitch Co., Class A(a)
|
|
|
465
|
|
|
|
15,773
|
|
GameStop Corp., Class A
|
|
|
759
|
|
|
|
15,939
|
|
Guess?, Inc.(a)
|
|
|
621
|
|
|
|
15,786
|
|
Men's Wearhouse, Inc./The(a)
|
|
|
459
|
|
|
|
15,803
|
|
Rent-A-Center, Inc.(a)
|
|
|
450
|
|
|
|
15,786
|
|
Staples, Inc.
|
|
|
1,374
|
|
|
|
15,828
|
|
|
|
|
|
|
|
|
94,915
|
|
Trading Companies & Distributors - 0.5%
|
|
|
|
|
|
|
|
|
United Rentals, Inc.*
|
|
|
486
|
|
|
|
15,897
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.9%
|
|
|
|
|
|
|
|
|
MetroPCS Communications, Inc.*(a)
|
|
|
1,350
|
|
|
|
15,809
|
|
Telephone & Data Systems, Inc.
|
|
|
618
|
|
|
|
15,827
|
|
|
|
|
|
|
|
|
31,636
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $3,097,007)
|
|
|
|
|
|
|
3,167,200
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.0%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (0.4%)
|
|
|
|
|
|
|
|
|
TransDigm Group, Inc.*
|
|
|
(111
|
)
|
|
|
(15,748
|
)
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics - (0.9%)
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.
|
|
|
(270
|
)
|
|
|
(15,808
|
)
|
Expeditors International of Washington, Inc.
|
|
|
(438
|
)
|
|
|
(15,926
|
)
|
|
|
|
|
|
|
|
(31,734
|
)
|
Beverages - (1.4%)
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
(243
|
)
|
|
|
(15,856
|
)
|
Coca-Cola Co./The
|
|
|
(417
|
)
|
|
|
(15,817
|
)
|
Monster Beverage Corp.*
|
|
|
(294
|
)
|
|
|
(15,923
|
)
|
|
|
|
|
|
|
|
(47,596
|
)
|
Biotechnology - (5.8%)
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*
|
|
|
(138
|
)
|
|
|
(15,787
|
)
|
Alkermes plc*
|
|
|
(759
|
)
|
|
|
(15,749
|
)
|
Ariad Pharmaceuticals, Inc.*
|
|
|
(654
|
)
|
|
|
(15,843
|
)
|
Biogen Idec, Inc.*
|
|
|
(105
|
)
|
|
|
(15,669
|
)
|
BioMarin Pharmaceutical, Inc.*
|
|
|
(393
|
)
|
|
|
(15,826
|
)
|
Cepheid, Inc.*
|
|
|
(462
|
)
|
|
|
(15,944
|
)
|
Cubist Pharmaceuticals, Inc.*
|
|
|
(330
|
)
|
|
|
(15,734
|
)
|
Medivation, Inc.*
|
|
|
(282
|
)
|
|
|
(15,894
|
)
|
Onyx Pharmaceuticals, Inc.*
|
|
|
(186
|
)
|
|
|
(15,717
|
)
|
Pharmacyclics, Inc.*
|
|
|
(243
|
)
|
|
|
(15,674
|
)
|
Regeneron Pharmaceuticals, Inc.*
|
|
|
(105
|
)
|
|
|
(16,029
|
)
|
Theravance, Inc.*
|
|
|
(609
|
)
|
|
|
(15,779
|
)
|
Vertex Pharmaceuticals, Inc.*
|
|
|
(282
|
)
|
|
|
(15,778
|
)
|
|
|
|
|
|
|
|
(205,423
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Building Products - (0.4%)
|
|
|
|
|
|
|
|
|
Masco Corp.
|
|
|
(1,050
|
)
|
|
$
|
(15,803
|
)
|
|
|
|
|
|
|
|
|
|
Capital Markets - (0.9%)
|
|
|
|
|
|
|
|
|
Eaton Vance Corp.
|
|
|
(549
|
)
|
|
|
(15,899
|
)
|
T. Rowe Price Group, Inc.
|
|
|
(252
|
)
|
|
|
(15,952
|
)
|
|
|
|
|
|
|
|
(31,851
|
)
|
Chemicals - (3.2%)
|
|
|
|
|
|
|
|
|
Airgas, Inc.
|
|
|
(192
|
)
|
|
|
(15,802
|
)
|
Ecolab, Inc.
|
|
|
(246
|
)
|
|
|
(15,943
|
)
|
FMC Corp.
|
|
|
(288
|
)
|
|
|
(15,949
|
)
|
Monsanto Co.
|
|
|
(174
|
)
|
|
|
(15,838
|
)
|
Praxair, Inc.
|
|
|
(153
|
)
|
|
|
(15,894
|
)
|
Sherwin-Williams Co./The
|
|
|
(108
|
)
|
|
|
(16,082
|
)
|
Sigma-Aldrich Corp.
|
|
|
(219
|
)
|
|
|
(15,761
|
)
|
|
|
|
|
|
|
|
(111,269
|
)
|
Commercial Services & Supplies - (0.9%)
|
|
|
|
|
|
|
|
|
Copart, Inc.*
|
|
|
(573
|
)
|
|
|
(15,889
|
)
|
Stericycle, Inc.*
|
|
|
(174
|
)
|
|
|
(15,751
|
)
|
|
|
|
|
|
|
|
(31,640
|
)
|
Communications Equipment - (0.9%)
|
|
|
|
|
|
|
|
|
Aruba Networks, Inc.*
|
|
|
(705
|
)
|
|
|
(15,852
|
)
|
F5 Networks, Inc.*
|
|
|
(150
|
)
|
|
|
(15,705
|
)
|
|
|
|
|
|
|
|
(31,557
|
)
|
Construction & Engineering - (0.5%)
|
|
|
|
|
|
|
|
|
Shaw Group, Inc./The*
|
|
|
(363
|
)
|
|
|
(15,834
|
)
|
|
|
|
|
|
|
|
|
|
Construction Materials - (0.9%)
|
|
|
|
|
|
|
|
|
Eagle Materials, Inc.
|
|
|
(345
|
)
|
|
|
(15,960
|
)
|
Martin Marietta Materials, Inc.
|
|
|
(192
|
)
|
|
|
(15,911
|
)
|
|
|
|
|
|
|
|
(31,871
|
)
|
Distributors - (0.4%)
|
|
|
|
|
|
|
|
|
LKQ Corp.*
|
|
|
(855
|
)
|
|
|
(15,817
|
)
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - (0.9%)
|
|
|
|
|
|
|
|
|
CBOE Holdings, Inc.
|
|
|
(540
|
)
|
|
|
(15,887
|
)
|
Moody's Corp.
|
|
|
(357
|
)
|
|
|
(15,768
|
)
|
|
|
|
|
|
|
|
(31,655
|
)
|
Electric Utilities - (1.4%)
|
|
|
|
|
|
|
|
|
ITC Holdings Corp.
|
|
|
(210
|
)
|
|
|
(15,872
|
)
|
Northeast Utilities
|
|
|
(414
|
)
|
|
|
(15,827
|
)
|
Southern Co./The
|
|
|
(345
|
)
|
|
|
(15,901
|
)
|
|
|
|
|
|
|
|
(47,600
|
)
|
Electrical Equipment - (0.9%)
|
|
|
|
|
|
|
|
|
Acuity Brands, Inc.
|
|
|
(249
|
)
|
|
|
(15,759
|
)
|
Roper Industries, Inc.
|
|
|
(144
|
)
|
|
|
(15,824
|
)
|
|
|
|
|
|
|
|
(31,583
|
)
|
Electronic Equipment, Instruments & Components - (1.8%)
|
|
|
|
|
|
|
|
|
Amphenol Corp., Class A
|
|
|
(270
|
)
|
|
|
(15,898
|
)
|
IPG Photonics Corp.*
|
|
|
(276
|
)
|
|
|
(15,815
|
)
|
National Instruments Corp.
|
|
|
(627
|
)
|
|
|
(15,781
|
)
|
Trimble Navigation Ltd.*
|
|
|
(330
|
)
|
|
|
(15,728
|
)
|
|
|
|
|
|
|
|
(63,222
|
)
|
Energy Equipment & Services - (3.2%)
|
|
|
|
|
|
|
|
|
Cameron International Corp.*
|
|
|
(282
|
)
|
|
|
(15,812
|
)
|
Core Laboratories N.V.
|
|
|
(132
|
)
|
|
|
(16,035
|
)
|
Dresser-Rand Group, Inc.*
|
|
|
(288
|
)
|
|
|
(15,872
|
)
|
Dril-Quip, Inc.*
|
|
|
(219
|
)
|
|
|
(15,742
|
)
|
FMC Technologies, Inc.*
|
|
|
(342
|
)
|
|
|
(15,835
|
)
|
Oceaneering International, Inc.
|
|
|
(285
|
)
|
|
|
(15,746
|
)
|
Schlumberger Ltd.
|
|
|
(219
|
)
|
|
|
(15,840
|
)
|
|
|
|
|
|
|
|
(110,882
|
)
|
Food & Staples Retailing - (1.4%)
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
(159
|
)
|
|
|
(15,920
|
)
|
United Natural Foods, Inc.*
|
|
|
(270
|
)
|
|
|
(15,781
|
)
|
Whole Foods Market, Inc.
|
|
|
(162
|
)
|
|
|
(15,779
|
)
|
|
|
|
|
|
|
|
(47,480
|
)
|
Food Products - (2.2%)
|
|
|
|
|
|
|
|
|
Flowers Foods, Inc.
|
|
|
(783
|
)
|
|
|
(15,801
|
)
|
Hain Celestial Group, Inc./The*
|
|
|
(249
|
)
|
|
|
(15,687
|
)
|
Hershey Co./The
|
|
|
(225
|
)
|
|
|
(15,950
|
)
|
McCormick & Co., Inc.
|
|
|
(255
|
)
|
|
|
(15,820
|
)
|
Mead Johnson Nutrition Co.
|
|
|
(216
|
)
|
|
|
(15,829
|
)
|
|
|
|
|
|
|
|
(79,087
|
)
|
Gas Utilities - (1.4%)
|
|
|
|
|
|
|
|
|
New Jersey Resources Corp.
|
|
|
(345
|
)
|
|
|
(15,773
|
)
|
ONEOK, Inc.
|
|
|
(330
|
)
|
|
|
(15,942
|
)
|
Questar Corp.
|
|
|
(780
|
)
|
|
|
(15,858
|
)
|
|
|
|
|
|
|
|
(47,573
|
)
|
Health Care Equipment & Supplies - (1.3%)
|
|
|
|
|
|
|
|
|
Align Technology, Inc.*
|
|
|
(429
|
)
|
|
|
(15,860
|
)
|
Edwards Lifesciences Corp.*
|
|
|
(147
|
)
|
|
|
(15,783
|
)
|
IDEXX Laboratories, Inc.*
|
|
|
(159
|
)
|
|
|
(15,797
|
)
|
|
|
|
|
|
|
|
(47,440
|
)
|
Health Care Providers & Services - (0.5%)
|
|
|
|
|
|
|
|
|
AMERIGROUP Corp.*
|
|
|
(174
|
)
|
|
|
(15,909
|
)
|
|
|
|
|
|
|
|
|
|
Health Care Technology - (0.9%)
|
|
|
|
|
|
|
|
|
athenahealth, Inc.*
|
|
|
(171
|
)
|
|
|
(15,693
|
)
|
Cerner Corp.*
|
|
|
(204
|
)
|
|
|
(15,791
|
)
|
|
|
|
|
|
|
|
(31,484
|
)
|
Hotels, Restaurants & Leisure - (2.7%)
|
|
|
|
|
|
|
|
|
Chipotle Mexican Grill, Inc.*
|
|
|
(51
|
)
|
|
|
(16,194
|
)
|
Domino's Pizza, Inc.
|
|
|
(420
|
)
|
|
|
(15,834
|
)
|
Marriott International, Inc., Class A
|
|
|
(405
|
)
|
|
|
(15,835
|
)
|
Panera Bread Co., Class A*
|
|
|
(93
|
)
|
|
|
(15,893
|
)
|
Starbucks Corp.
|
|
|
(312
|
)
|
|
|
(15,834
|
)
|
Yum! Brands, Inc.
|
|
|
(240
|
)
|
|
|
(15,922
|
)
|
|
|
|
|
|
|
|
(95,512
|
)
|
Household Durables - (0.4%)
|
|
|
|
|
|
|
|
|
NVR, Inc.*
|
|
|
(18
|
)
|
|
|
(15,201
|
)
|
|
|
|
|
|
|
|
|
|
Household Products - (1.3%)
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
(294
|
)
|
|
|
(15,873
|
)
|
Clorox Co./The
|
|
|
(219
|
)
|
|
|
(15,779
|
)
|
Colgate-Palmolive Co.
|
|
|
(147
|
)
|
|
|
(15,761
|
)
|
|
|
|
|
|
|
|
(47,413
|
)
|
Independent Power Producers & Energy Traders - (0.5%)
|
|
|
|
|
|
|
|
|
Calpine Corp.*
|
|
|
(918
|
)
|
|
|
(15,881
|
)
|
|
|
|
|
|
|
|
|
|
Insurance - (0.5%)
|
|
|
|
|
|
|
|
|
Arthur J. Gallagher & Co.
|
|
|
(444
|
)
|
|
|
(15,904
|
)
|
|
|
|
|
|
|
|
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Internet & Catalog Retail - (1.3%)
|
|
|
|
|
|
|
|
|
Amazon.com, Inc.*
|
|
|
(63
|
)
|
|
$
|
(16,022
|
)
|
HSN, Inc.
|
|
|
(321
|
)
|
|
|
(15,745
|
)
|
priceline.com, Inc.*
|
|
|
(24
|
)
|
|
|
(14,850
|
)
|
|
|
|
|
|
|
|
(46,617
|
)
|
Internet Software & Services - (2.7%)
|
|
|
|
|
|
|
|
|
CoStar Group, Inc.*
|
|
|
(192
|
)
|
|
|
(15,656
|
)
|
eBay, Inc.*
|
|
|
(327
|
)
|
|
|
(15,830
|
)
|
Equinix, Inc.*
|
|
|
(75
|
)
|
|
|
(15,454
|
)
|
LinkedIn Corp., Class A*
|
|
|
(132
|
)
|
|
|
(15,893
|
)
|
Rackspace Hosting, Inc.*
|
|
|
(240
|
)
|
|
|
(15,861
|
)
|
VeriSign, Inc.*
|
|
|
(327
|
)
|
|
|
(15,922
|
)
|
|
|
|
|
|
|
|
(94,616
|
)
|
IT Services - (2.7%)
|
|
|
|
|
|
|
|
|
Automatic Data Processing, Inc.
|
|
|
(270
|
)
|
|
|
(15,838
|
)
|
Gartner, Inc.*
|
|
|
(342
|
)
|
|
|
(15,763
|
)
|
Mastercard, Inc., Class A
|
|
|
(36
|
)
|
|
|
(16,253
|
)
|
Paychex, Inc.
|
|
|
(477
|
)
|
|
|
(15,880
|
)
|
Visa, Inc., Class A
|
|
|
(117
|
)
|
|
|
(15,711
|
)
|
Wright Express Corp.*
|
|
|
(228
|
)
|
|
|
(15,896
|
)
|
|
|
|
|
|
|
|
(95,341
|
)
|
Leisure Equipment & Products - (0.9%)
|
|
|
|
|
|
|
|
|
Brunswick Corp.
|
|
|
(696
|
)
|
|
|
(15,750
|
)
|
Polaris Industries, Inc.
|
|
|
(195
|
)
|
|
|
(15,770
|
)
|
|
|
|
|
|
|
|
(31,520
|
)
|
Life Sciences Tools & Services - (0.5%)
|
|
|
|
|
|
|
|
|
Mettler-Toledo International, Inc.*
|
|
|
(93
|
)
|
|
|
(15,879
|
)
|
|
|
|
|
|
|
|
|
|
Machinery - (2.7%)
|
|
|
|
|
|
|
|
|
Chart Industries, Inc.*
|
|
|
(216
|
)
|
|
|
(15,952
|
)
|
CLARCOR, Inc.
|
|
|
(354
|
)
|
|
|
(15,799
|
)
|
Donaldson Co., Inc.
|
|
|
(456
|
)
|
|
|
(15,828
|
)
|
Graco, Inc.
|
|
|
(315
|
)
|
|
|
(15,838
|
)
|
Nordson Corp.
|
|
|
(270
|
)
|
|
|
(15,827
|
)
|
Pall Corp.
|
|
|
(249
|
)
|
|
|
(15,809
|
)
|
|
|
|
|
|
|
|
(95,053
|
)
|
Media - (0.5%)
|
|
|
|
|
|
|
|
|
Liberty Media Corp. - Liberty Capital, Class A*
|
|
|
(153
|
)
|
|
|
(15,938
|
)
|
|
|
|
|
|
|
|
|
|
Metals & Mining - (2.2%)
|
|
|
|
|
|
|
|
|
Allied Nevada Gold Corp.*
|
|
|
(402
|
)
|
|
|
(15,702
|
)
|
Compass Minerals International, Inc.
|
|
|
(213
|
)
|
|
|
(15,888
|
)
|
Hecla Mining Co.
|
|
|
(2,397
|
)
|
|
|
(15,700
|
)
|
Royal Gold, Inc.
|
|
|
(159
|
)
|
|
|
(15,878
|
)
|
Titanium Metals Corp.
|
|
|
(1,233
|
)
|
|
|
(15,819
|
)
|
|
|
|
|
|
|
|
(78,987
|
)
|
Multiline Retail - (1.3%)
|
|
|
|
|
|
|
|
|
Dollar General Corp.*
|
|
|
(306
|
)
|
|
|
(15,771
|
)
|
Dollar Tree, Inc.*
|
|
|
(327
|
)
|
|
|
(15,786
|
)
|
Family Dollar Stores, Inc.
|
|
|
(240
|
)
|
|
|
(15,912
|
)
|
|
|
|
|
|
|
|
(47,469
|
)
|
Multi-Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
Dominion Resources, Inc.
|
|
|
(300
|
)
|
|
|
(15,882
|
)
|
Wisconsin Energy Corp.
|
|
|
(423
|
)
|
|
|
(15,934
|
)
|
|
|
|
|
|
|
|
(31,816
|
)
|
Oil, Gas & Consumable Fuels - (3.2%)
|
|
|
|
|
|
|
|
|
Cabot Oil & Gas Corp.
|
|
|
(354
|
)
|
|
|
(15,895
|
)
|
Cheniere Energy, Inc.*
|
|
|
(1,023
|
)
|
|
|
(15,908
|
)
|
Cobalt International Energy, Inc.*
|
|
|
(711
|
)
|
|
|
(15,834
|
)
|
Continental Resources, Inc.*
|
|
|
(207
|
)
|
|
|
(15,918
|
)
|
Range Resources Corp.
|
|
|
(228
|
)
|
|
|
(15,930
|
)
|
Spectra Energy Corp.
|
|
|
(540
|
)
|
|
|
(15,854
|
)
|
Williams Cos., Inc./The
|
|
|
(453
|
)
|
|
|
(15,842
|
)
|
|
|
|
|
|
|
|
(111,181
|
)
|
Paper & Forest Products - (0.4%)
|
|
|
|
|
|
|
|
|
Louisiana-Pacific Corp.*
|
|
|
(1,257
|
)
|
|
|
(15,713
|
)
|
|
|
|
|
|
|
|
|
|
Personal Products - (0.5%)
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc./The, Class A
|
|
|
(258
|
)
|
|
|
(15,885
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (1.4%)
|
|
|
|
|
|
|
|
|
Allergan, Inc.
|
|
|
(174
|
)
|
|
|
(15,935
|
)
|
Perrigo Co.
|
|
|
(135
|
)
|
|
|
(15,683
|
)
|
Vivus, Inc.*
|
|
|
(891
|
)
|
|
|
(15,877
|
)
|
|
|
|
|
|
|
|
(47,495
|
)
|
Professional Services - (1.3%)
|
|
|
|
|
|
|
|
|
IHS, Inc., Class A*
|
|
|
(162
|
)
|
|
|
(15,771
|
)
|
Robert Half International, Inc.
|
|
|
(594
|
)
|
|
|
(15,818
|
)
|
Verisk Analytics, Inc., Class A*
|
|
|
(333
|
)
|
|
|
(15,854
|
)
|
|
|
|
|
|
|
|
(47,443
|
)
|
Real Estate Investment Trusts (REITs) - (14.4%)
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
(360
|
)
|
|
|
(15,797
|
)
|
American Tower Corp.
|
|
|
(222
|
)
|
|
|
(15,849
|
)
|
Apartment Investment & Management Co., Class A
|
|
|
(609
|
)
|
|
|
(15,828
|
)
|
AvalonBay Communities, Inc.
|
|
|
(117
|
)
|
|
|
(15,911
|
)
|
Boston Properties, Inc.
|
|
|
(144
|
)
|
|
|
(15,928
|
)
|
BRE Properties, Inc.
|
|
|
(339
|
)
|
|
|
(15,896
|
)
|
Camden Property Trust
|
|
|
(246
|
)
|
|
|
(15,865
|
)
|
CBL & Associates Properties, Inc.
|
|
|
(738
|
)
|
|
|
(15,749
|
)
|
Digital Realty Trust, Inc.
|
|
|
(228
|
)
|
|
|
(15,926
|
)
|
Equity Lifestyle Properties, Inc.
|
|
|
(234
|
)
|
|
|
(15,940
|
)
|
Equity Residential
|
|
|
(276
|
)
|
|
|
(15,878
|
)
|
Essex Property Trust, Inc.
|
|
|
(108
|
)
|
|
|
(16,010
|
)
|
Extra Space Storage, Inc.
|
|
|
(477
|
)
|
|
|
(15,860
|
)
|
Federal Realty Investment Trust
|
|
|
(150
|
)
|
|
|
(15,795
|
)
|
General Growth Properties, Inc.
|
|
|
(819
|
)
|
|
|
(15,954
|
)
|
Highwoods Properties, Inc.
|
|
|
(483
|
)
|
|
|
(15,755
|
)
|
Home Properties, Inc.
|
|
|
(258
|
)
|
|
|
(15,808
|
)
|
Kilroy Realty Corp.
|
|
|
(354
|
)
|
|
|
(15,852
|
)
|
Macerich Co./The
|
|
|
(279
|
)
|
|
|
(15,967
|
)
|
Mid-America Apartment Communities, Inc.
|
|
|
(243
|
)
|
|
|
(15,870
|
)
|
Plum Creek Timber Co., Inc.
|
|
|
(360
|
)
|
|
|
(15,782
|
)
|
Post Properties, Inc.
|
|
|
(330
|
)
|
|
|
(15,827
|
)
|
Public Storage
|
|
|
(114
|
)
|
|
|
(15,865
|
)
|
Rayonier, Inc.
|
|
|
(321
|
)
|
|
|
(15,732
|
)
|
Regency Centers Corp.
|
|
|
(324
|
)
|
|
|
(15,788
|
)
|
Simon Property Group, Inc.
|
|
|
(105
|
)
|
|
|
(15,940
|
)
|
Taubman Centers, Inc.
|
|
|
(207
|
)
|
|
|
(15,883
|
)
|
UDR, Inc.
|
|
|
(639
|
)
|
|
|
(15,860
|
)
|
Vornado Realty Trust
|
|
|
(195
|
)
|
|
|
(15,805
|
)
|
Washington Real Estate Investment Trust
|
|
|
(585
|
)
|
|
|
(15,690
|
)
|
Weingarten Realty Investors
|
|
|
(561
|
)
|
|
|
(15,770
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Weyerhaeuser Co.
|
|
|
(603
|
)
|
|
$
|
(15,762
|
)
|
|
|
|
|
|
|
|
(507,142
|
)
|
Road & Rail - (0.4%)
|
|
|
|
|
|
|
|
|
Landstar System, Inc.
|
|
|
(333
|
)
|
|
|
(15,744
|
)
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - (0.4%)
|
|
|
|
|
|
|
|
|
Cavium, Inc.*
|
|
|
(471
|
)
|
|
|
(15,698
|
)
|
|
|
|
|
|
|
|
|
|
Software - (6.3%)
|
|
|
|
|
|
|
|
|
ACI Worldwide, Inc.*
|
|
|
(375
|
)
|
|
|
(15,848
|
)
|
ANSYS, Inc.*
|
|
|
(216
|
)
|
|
|
(15,854
|
)
|
Aspen Technology, Inc.*
|
|
|
(609
|
)
|
|
|
(15,743
|
)
|
Citrix Systems, Inc.*
|
|
|
(207
|
)
|
|
|
(15,850
|
)
|
CommVault Systems, Inc.*
|
|
|
(270
|
)
|
|
|
(15,849
|
)
|
Concur Technologies, Inc.*
|
|
|
(213
|
)
|
|
|
(15,705
|
)
|
FactSet Research Systems, Inc.
|
|
|
(165
|
)
|
|
|
(15,909
|
)
|
Fortinet, Inc.*
|
|
|
(660
|
)
|
|
|
(15,932
|
)
|
QLIK Technologies, Inc.*
|
|
|
(708
|
)
|
|
|
(15,866
|
)
|
Red Hat, Inc.*
|
|
|
(279
|
)
|
|
|
(15,886
|
)
|
Salesforce.com, Inc.*
|
|
|
(105
|
)
|
|
|
(16,033
|
)
|
SolarWinds, Inc.*
|
|
|
(288
|
)
|
|
|
(16,053
|
)
|
Ultimate Software Group, Inc.*
|
|
|
(156
|
)
|
|
|
(15,928
|
)
|
VMware, Inc., Class A*
|
|
|
(165
|
)
|
|
|
(15,962
|
)
|
|
|
|
|
|
|
|
(222,418
|
)
|
Specialty Retail - (3.6%)
|
|
|
|
|
|
|
|
|
Dick's Sporting Goods, Inc.
|
|
|
(306
|
)
|
|
|
(15,866
|
)
|
PetSmart, Inc.
|
|
|
(231
|
)
|
|
|
(15,934
|
)
|
Ross Stores, Inc.
|
|
|
(246
|
)
|
|
|
(15,892
|
)
|
Sally Beauty Holdings, Inc.*
|
|
|
(630
|
)
|
|
|
(15,807
|
)
|
TJX Cos., Inc.
|
|
|
(354
|
)
|
|
|
(15,856
|
)
|
Tractor Supply Co.
|
|
|
(162
|
)
|
|
|
(16,020
|
)
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
|
|
(165
|
)
|
|
|
(15,890
|
)
|
Urban Outfitters, Inc.*
|
|
|
(423
|
)
|
|
|
(15,888
|
)
|
|
|
|
|
|
|
|
(127,153
|
)
|
Textiles, Apparel & Luxury Goods - (0.5%)
|
|
|
|
|
|
|
|
|
Under Armour, Inc., Class A*
|
|
|
(285
|
)
|
|
|
(15,912
|
)
|
|
|
|
|
|
|
|
|
|
Tobacco - (0.9%)
|
|
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
|
(474
|
)
|
|
|
(15,827
|
)
|
Philip Morris International, Inc.
|
|
|
(177
|
)
|
|
|
(15,919
|
)
|
|
|
|
|
|
|
|
(31,746
|
)
|
Trading Companies & Distributors - (1.8%)
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
(369
|
)
|
|
|
(15,863
|
)
|
MSC Industrial Direct Co., Inc., Class A
|
|
|
(234
|
)
|
|
|
(15,786
|
)
|
W.W. Grainger, Inc.
|
|
|
(75
|
)
|
|
|
(15,628
|
)
|
Watsco, Inc.
|
|
|
(210
|
)
|
|
|
(15,916
|
)
|
|
|
|
|
|
|
|
(63,193
|
)
|
Water Utilities - (0.4%)
|
|
|
|
|
|
|
|
|
Aqua America, Inc.
|
|
|
(639
|
)
|
|
|
(15,822
|
)
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - (0.9%)
|
|
|
|
|
|
|
|
|
Crown Castle International Corp.*
|
|
|
(246
|
)
|
|
|
(15,768
|
)
|
SBA Communications Corp., Class A*
|
|
|
(252
|
)
|
|
|
(15,851
|
)
|
|
|
|
|
|
|
|
(31,619
|
)
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $3,039,824)
|
|
|
|
|
|
|
(3,167,369
|
)
|
Other assets less liabilities — 100.0%
|
|
|
|
|
|
|
3,517,451
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
3,517,282
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $2,524,539.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and
short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation
|
|
$
|
251,457
|
|
Aggregate gross unrealized depreciation
|
|
|
(403,752
|
)
|
Net unrealized depreciation
|
|
$
|
(152,295
|
)
|
Federal income tax cost of investments
|
|
$
|
152,126
|
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Value Fund
Schedule of Investments
September 30, 2012 (Unaudited)
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
310,386
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral Value Index
|
|
$
|
39,347
|
|
|
(345,860
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Value Index
|
|
(0.04)%
|
|
|
(5,374
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,973
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.1%
|
|
|
|
|
|
|
|
|
Airlines - 0.9%
|
|
|
|
|
|
|
|
|
JetBlue Airways Corp.*(a)
|
|
|
4,492
|
|
|
$
|
21,517
|
|
US Airways Group, Inc.*(a)
|
|
|
2,072
|
|
|
|
21,673
|
|
|
|
|
|
|
|
|
43,190
|
|
Auto Components - 3.6%
|
|
|
|
|
|
|
|
|
BorgWarner, Inc.*(a)
|
|
|
316
|
|
|
|
21,839
|
|
Dana Holding Corp.(a)
|
|
|
1,748
|
|
|
|
21,500
|
|
Gentex Corp.(a)
|
|
|
1,272
|
|
|
|
21,637
|
|
Goodyear Tire & Rubber Co./The*(a)
|
|
|
1,780
|
|
|
|
21,698
|
|
Johnson Controls, Inc.(a)
|
|
|
792
|
|
|
|
21,701
|
|
Tenneco, Inc.*
|
|
|
776
|
|
|
|
21,728
|
|
TRW Automotive Holdings Corp.*
|
|
|
496
|
|
|
|
21,680
|
|
Visteon Corp.*
|
|
|
488
|
|
|
|
21,696
|
|
|
|
|
|
|
|
|
173,479
|
|
Automobiles - 0.9%
|
|
|
|
|
|
|
|
|
Ford Motor Co.(a)
|
|
|
2,200
|
|
|
|
21,692
|
|
Harley-Davidson, Inc.(a)
|
|
|
512
|
|
|
|
21,693
|
|
|
|
|
|
|
|
|
43,385
|
|
Biotechnology - 0.9%
|
|
|
|
|
|
|
|
|
Alkermes plc*
|
|
|
1,040
|
|
|
|
21,580
|
|
Onyx Pharmaceuticals, Inc.*
|
|
|
256
|
|
|
|
21,632
|
|
|
|
|
|
|
|
|
43,212
|
|
Building Products - 1.8%
|
|
|
|
|
|
|
|
|
Lennox International, Inc.(a)
|
|
|
448
|
|
|
|
21,665
|
|
Masco Corp.
|
|
|
1,436
|
|
|
|
21,612
|
|
Owens Corning*(a)
|
|
|
648
|
|
|
|
21,682
|
|
USG Corp.*
|
|
|
988
|
|
|
|
21,687
|
|
|
|
|
|
|
|
|
86,646
|
|
Capital Markets - 5.4%
|
|
|
|
|
|
|
|
|
Affiliated Managers Group, Inc.*(a)
|
|
|
176
|
|
|
|
21,648
|
|
Ameriprise Financial, Inc.(a)
|
|
|
384
|
|
|
|
21,769
|
|
Charles Schwab Corp./The
|
|
|
1,696
|
|
|
|
21,692
|
|
E*TRADE Financial Corp.*(a)
|
|
|
2,468
|
|
|
|
21,743
|
|
Eaton Vance Corp.(a)
|
|
|
748
|
|
|
|
21,662
|
|
Invesco Ltd.(a)
|
|
|
868
|
|
|
|
21,691
|
|
Jefferies Group, Inc.(a)
|
|
|
1,596
|
|
|
|
21,849
|
|
Legg Mason, Inc.(a)
|
|
|
880
|
|
|
|
21,719
|
|
Morgan Stanley(a)
|
|
|
1,292
|
|
|
|
21,628
|
|
Raymond James Financial, Inc.
|
|
|
592
|
|
|
|
21,697
|
|
T. Rowe Price Group, Inc.
|
|
|
344
|
|
|
|
21,775
|
|
Waddell & Reed Financial, Inc., Class A
|
|
|
660
|
|
|
|
21,628
|
|
|
|
|
|
|
|
|
260,501
|
|
Chemicals - 0.9%
|
|
|
|
|
|
|
|
|
Huntsman Corp.(a)
|
|
|
1,456
|
|
|
|
21,738
|
|
Rockwood Holdings, Inc.
|
|
|
464
|
|
|
|
21,622
|
|
|
|
|
|
|
|
|
43,360
|
|
Commercial Banks - 2.7%
|
|
|
|
|
|
|
|
|
Huntington Bancshares, Inc./OH(a)
|
|
|
3,156
|
|
|
|
21,776
|
|
Popular, Inc.*(a)
|
|
|
1,252
|
|
|
|
21,822
|
|
Regions Financial Corp.
|
|
|
3,008
|
|
|
|
21,688
|
|
SunTrust Banks, Inc.
|
|
|
768
|
|
|
|
21,711
|
|
Webster Financial Corp.
|
|
|
912
|
|
|
|
21,615
|
|
Zions Bancorp
|
|
|
1,052
|
|
|
|
21,729
|
|
|
|
|
|
|
|
|
130,341
|
|
Communications Equipment - 2.3%
|
|
|
|
|
|
|
|
|
Ciena Corp.*(a)
|
|
|
1,608
|
|
|
|
21,869
|
|
F5 Networks, Inc.*(a)
|
|
|
208
|
|
|
|
21,778
|
|
JDS Uniphase Corp.*(a)
|
|
|
1,748
|
|
|
|
21,649
|
|
Juniper Networks, Inc.*(a)
|
|
|
1,264
|
|
|
|
21,627
|
|
Riverbed Technology, Inc.*
|
|
|
928
|
|
|
|
21,594
|
|
|
|
|
|
|
|
|
108,517
|
|
Construction & Engineering - 0.9%
|
|
|
|
|
|
|
|
|
Foster Wheeler AG*(a)
|
|
|
900
|
|
|
|
21,564
|
|
KBR, Inc.(a)
|
|
|
724
|
|
|
|
21,590
|
|
|
|
|
|
|
|
|
43,154
|
|
Containers & Packaging - 0.5%
|
|
|
|
|
|
|
|
|
Owens-Illinois, Inc.*(a)
|
|
|
1,160
|
|
|
|
21,762
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 0.9%
|
|
|
|
|
|
|
|
|
Sotheby's(a)
|
|
|
688
|
|
|
|
21,672
|
|
Weight Watchers International, Inc.
|
|
|
408
|
|
|
|
21,542
|
|
|
|
|
|
|
|
|
43,214
|
|
Diversified Financial Services - 1.4%
|
|
|
|
|
|
|
|
|
Bank of America Corp.(a)
|
|
|
2,456
|
|
|
|
21,687
|
|
Citigroup, Inc.(a)
|
|
|
660
|
|
|
|
21,595
|
|
Leucadia National Corp.(a)
|
|
|
952
|
|
|
|
21,658
|
|
|
|
|
|
|
|
|
64,940
|
|
Diversified Telecommunication Services - 0.4%
|
|
|
|
|
|
|
|
|
Level 3 Communications, Inc.*(a)
|
|
|
940
|
|
|
|
21,592
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 0.9%
|
|
|
|
|
|
|
|
|
Great Plains Energy, Inc.
|
|
|
976
|
|
|
|
21,726
|
|
UNS Energy Corp.
|
|
|
516
|
|
|
|
21,599
|
|
|
|
|
|
|
|
|
43,325
|
|
Electrical Equipment - 2.2%
|
|
|
|
|
|
|
|
|
Acuity Brands, Inc.
|
|
|
340
|
|
|
|
21,519
|
|
EnerSys, Inc.*(a)
|
|
|
612
|
|
|
|
21,597
|
|
General Cable Corp.*(a)
|
|
|
740
|
|
|
|
21,741
|
|
GrafTech International Ltd.*(a)
|
|
|
2,408
|
|
|
|
21,648
|
|
Rockwell Automation, Inc.
|
|
|
312
|
|
|
|
21,700
|
|
|
|
|
|
|
|
|
108,205
|
|
Electronic Equipment, Instruments & Components - 1.8%
|
|
|
|
|
|
|
|
|
Arrow Electronics, Inc.*(a)
|
|
|
640
|
|
|
|
21,575
|
|
IPG Photonics Corp.*
|
|
|
380
|
|
|
|
21,774
|
|
Jabil Circuit, Inc.(a)
|
|
|
1,156
|
|
|
|
21,640
|
|
Vishay Intertechnology, Inc.*
|
|
|
2,200
|
|
|
|
21,626
|
|
|
|
|
|
|
|
|
86,615
|
|
Energy Equipment & Services - 4.5%
|
|
|
|
|
|
|
|
|
Baker Hughes, Inc.(a)
|
|
|
480
|
|
|
|
21,710
|
|
CARBO Ceramics, Inc.
|
|
|
344
|
|
|
|
21,645
|
|
Halliburton Co.(a)
|
|
|
644
|
|
|
|
21,696
|
|
Helix Energy Solutions Group, Inc.*(a)
|
|
|
1,172
|
|
|
|
21,412
|
|
Helmerich & Payne, Inc.(a)
|
|
|
452
|
|
|
|
21,520
|
|
Nabors Industries Ltd.*(a)
|
|
|
1,536
|
|
|
|
21,550
|
|
National Oilwell Varco, Inc.(a)
|
|
|
268
|
|
|
|
21,470
|
|
Oil States International, Inc.*(a)
|
|
|
272
|
|
|
|
21,613
|
|
Patterson-UTI Energy, Inc.(a)
|
|
|
1,364
|
|
|
|
21,606
|
|
Weatherford International Ltd.*
|
|
|
1,712
|
|
|
|
21,708
|
|
|
|
|
|
|
|
|
215,930
|
|
Gas Utilities - 1.3%
|
|
|
|
|
|
|
|
|
National Fuel Gas Co.(a)
|
|
|
400
|
|
|
|
21,616
|
|
Piedmont Natural Gas Co., Inc.(a)
|
|
|
664
|
|
|
|
21,567
|
|
WGL Holdings, Inc.
|
|
|
536
|
|
|
|
21,574
|
|
|
|
|
|
|
|
|
64,757
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Health Care Equipment & Supplies - 0.5%
|
|
|
|
|
|
|
|
|
Alere, Inc.*(a)
|
|
|
1,112
|
|
|
$
|
21,673
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 4.9%
|
|
|
|
|
|
|
|
|
AMERIGROUP Corp.*(a)
|
|
|
236
|
|
|
|
21,577
|
|
Brookdale Senior Living, Inc.*(a)
|
|
|
936
|
|
|
|
21,734
|
|
Centene Corp.*(a)
|
|
|
584
|
|
|
|
21,847
|
|
Community Health Systems, Inc.*(a)
|
|
|
740
|
|
|
|
21,564
|
|
Express Scripts Holding Co.*
|
|
|
344
|
|
|
|
21,559
|
|
Health Management Associates, Inc., Class A*(a)
|
|
|
2,580
|
|
|
|
21,646
|
|
Health Net, Inc.*(a)
|
|
|
960
|
|
|
|
21,610
|
|
HealthSouth Corp.*(a)
|
|
|
900
|
|
|
|
21,654
|
|
Tenet Healthcare Corp.*
|
|
|
3,408
|
|
|
|
21,368
|
|
Universal Health Services, Inc., Class B
|
|
|
472
|
|
|
|
21,585
|
|
WellCare Health Plans, Inc.*
|
|
|
384
|
|
|
|
21,715
|
|
|
|
|
|
|
|
|
237,859
|
|
Hotels, Restaurants & Leisure - 4.0%
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co.*(a)
|
|
|
544
|
|
|
|
21,504
|
|
Hyatt Hotels Corp., Class A*(a)
|
|
|
536
|
|
|
|
21,521
|
|
Marriott International, Inc., Class A(a)
|
|
|
552
|
|
|
|
21,583
|
|
MGM Resorts International*(a)
|
|
|
2,012
|
|
|
|
21,629
|
|
Royal Caribbean Cruises Ltd.
|
|
|
716
|
|
|
|
21,630
|
|
Starwood Hotels & Resorts Worldwide, Inc.(a)
|
|
|
376
|
|
|
|
21,793
|
|
Vail Resorts, Inc.
|
|
|
376
|
|
|
|
21,676
|
|
Wyndham Worldwide Corp.
|
|
|
412
|
|
|
|
21,622
|
|
Wynn Resorts Ltd.
|
|
|
188
|
|
|
|
21,703
|
|
|
|
|
|
|
|
|
194,661
|
|
Household Durables - 1.8%
|
|
|
|
|
|
|
|
|
Harman International Industries, Inc.(a)
|
|
|
468
|
|
|
|
21,603
|
|
MDC Holdings, Inc.(a)
|
|
|
564
|
|
|
|
21,720
|
|
PulteGroup, Inc.*(a)
|
|
|
1,400
|
|
|
|
21,700
|
|
Tempur-Pedic International, Inc.*
|
|
|
724
|
|
|
|
21,640
|
|
|
|
|
|
|
|
|
86,663
|
|
Independent Power Producers & Energy Traders - 1.4%
|
|
|
|
|
|
|
|
|
AES Corp./The*(a)
|
|
|
1,984
|
|
|
|
21,765
|
|
GenOn Energy, Inc.*(a)
|
|
|
8,500
|
|
|
|
21,505
|
|
NRG Energy, Inc.(a)
|
|
|
1,016
|
|
|
|
21,732
|
|
|
|
|
|
|
|
|
65,002
|
|
Insurance - 5.4%
|
|
|
|
|
|
|
|
|
Aflac, Inc.(a)
|
|
|
452
|
|
|
|
21,642
|
|
American International Group, Inc.*(a)
|
|
|
660
|
|
|
|
21,641
|
|
Assured Guaranty Ltd.(a)
|
|
|
1,596
|
|
|
|
21,738
|
|
CNO Financial Group, Inc.(a)
|
|
|
2,224
|
|
|
|
21,462
|
|
Genworth Financial, Inc., Class A*(a)
|
|
|
4,132
|
|
|
|
21,610
|
|
Hartford Financial Services Group, Inc.(a)
|
|
|
1,108
|
|
|
|
21,539
|
|
Lincoln National Corp.(a)
|
|
|
892
|
|
|
|
21,577
|
|
MBIA, Inc.*
|
|
|
2,136
|
|
|
|
21,638
|
|
MetLife, Inc.(a)
|
|
|
628
|
|
|
|
21,641
|
|
Principal Financial Group, Inc.(a)
|
|
|
804
|
|
|
|
21,660
|
|
Protective Life Corp.(a)
|
|
|
824
|
|
|
|
21,597
|
|
Prudential Financial, Inc.(a)
|
|
|
396
|
|
|
|
21,586
|
|
|
|
|
|
|
|
|
259,331
|
|
IT Services - 0.4%
|
|
|
|
|
|
|
|
|
Lender Processing Services, Inc.(a)
|
|
|
776
|
|
|
|
21,643
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products - 0.4%
|
|
|
|
|
|
|
|
|
Brunswick Corp.(a)
|
|
|
956
|
|
|
|
21,634
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.5%
|
|
|
|
|
|
|
|
|
PAREXEL International Corp.*
|
|
|
708
|
|
|
|
21,778
|
|
|
|
|
|
|
|
|
|
|
Machinery - 5.9%
|
|
|
|
|
|
|
|
|
AGCO Corp.*(a)
|
|
|
456
|
|
|
|
21,651
|
|
Cummins, Inc.(a)
|
|
|
236
|
|
|
|
21,762
|
|
Ingersoll-Rand plc(a)
|
|
|
480
|
|
|
|
21,514
|
|
Joy Global, Inc.(a)
|
|
|
388
|
|
|
|
21,751
|
|
Manitowoc Co., Inc./The(a)
|
|
|
1,628
|
|
|
|
21,717
|
|
Navistar International Corp.*(a)
|
|
|
1,032
|
|
|
|
21,765
|
|
Nordson Corp.(a)
|
|
|
368
|
|
|
|
21,572
|
|
Oshkosh Corp.*(a)
|
|
|
792
|
|
|
|
21,725
|
|
Robbins & Myers, Inc.
|
|
|
364
|
|
|
|
21,694
|
|
Terex Corp.*
|
|
|
964
|
|
|
|
21,767
|
|
Timken Co.
|
|
|
588
|
|
|
|
21,850
|
|
Trinity Industries, Inc.
|
|
|
724
|
|
|
|
21,698
|
|
WABCO Holdings, Inc.*
|
|
|
380
|
|
|
|
21,915
|
|
|
|
|
|
|
|
|
282,381
|
|
Media - 2.7%
|
|
|
|
|
|
|
|
|
CBS Corp., Class B(a)
|
|
|
600
|
|
|
|
21,798
|
|
DreamWorks Animation SKG, Inc., Class A*
|
|
|
1,128
|
|
|
|
21,691
|
|
Gannett Co., Inc.(a)
|
|
|
1,224
|
|
|
|
21,726
|
|
Interpublic Group of Cos., Inc./The(a)
|
|
|
1,956
|
|
|
|
21,751
|
|
Live Nation Entertainment, Inc.*(a)
|
|
|
2,516
|
|
|
|
21,663
|
|
Omnicom Group, Inc.(a)
|
|
|
420
|
|
|
|
21,655
|
|
|
|
|
|
|
|
|
130,284
|
|
Metals & Mining - 2.3%
|
|
|
|
|
|
|
|
|
Allegheny Technologies, Inc.(a)
|
|
|
680
|
|
|
|
21,692
|
|
Cliffs Natural Resources, Inc.(a)
|
|
|
556
|
|
|
|
21,756
|
|
Molycorp, Inc.*
|
|
|
1,884
|
|
|
|
21,666
|
|
Steel Dynamics, Inc.
|
|
|
1,924
|
|
|
|
21,607
|
|
United States Steel Corp.
|
|
|
1,132
|
|
|
|
21,587
|
|
|
|
|
|
|
|
|
108,308
|
|
Multiline Retail - 0.9%
|
|
|
|
|
|
|
|
|
Saks, Inc.*
|
|
|
2,112
|
|
|
|
21,775
|
|
Sears Holdings Corp.*
|
|
|
392
|
|
|
|
21,752
|
|
|
|
|
|
|
|
|
43,527
|
|
Multi-Utilities - 0.9%
|
|
|
|
|
|
|
|
|
CenterPoint Energy, Inc.
|
|
|
1,020
|
|
|
|
21,726
|
|
TECO Energy, Inc.
|
|
|
1,224
|
|
|
|
21,714
|
|
|
|
|
|
|
|
|
43,440
|
|
Oil, Gas & Consumable Fuels - 4.1%
|
|
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.*(a)
|
|
|
3,288
|
|
|
|
21,602
|
|
Arch Coal, Inc.(a)
|
|
|
3,436
|
|
|
|
21,750
|
|
Cobalt International Energy, Inc.*
|
|
|
972
|
|
|
|
21,647
|
|
Denbury Resources, Inc.*(a)
|
|
|
1,340
|
|
|
|
21,654
|
|
Peabody Energy Corp.(a)
|
|
|
972
|
|
|
|
21,666
|
|
Rosetta Resources, Inc.*
|
|
|
448
|
|
|
|
21,459
|
|
SandRidge Energy, Inc.*
|
|
|
3,112
|
|
|
|
21,691
|
|
Spectra Energy Corp.
|
|
|
740
|
|
|
|
21,726
|
|
Whiting Petroleum Corp.*
|
|
|
456
|
|
|
|
21,605
|
|
|
|
|
|
|
|
|
194,800
|
|
Paper & Forest Products - 0.4%
|
|
|
|
|
|
|
|
|
Louisiana-Pacific Corp.*
|
|
|
1,716
|
|
|
|
21,450
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Pharmaceuticals - 1.4%
|
|
|
|
|
|
|
|
|
Mylan, Inc.*(a)
|
|
|
888
|
|
|
$
|
21,667
|
|
Salix Pharmaceuticals Ltd.*
|
|
|
512
|
|
|
|
21,678
|
|
Warner Chilcott plc, Class A
|
|
|
1,604
|
|
|
|
21,654
|
|
|
|
|
|
|
|
|
64,999
|
|
Professional Services - 0.9%
|
|
|
|
|
|
|
|
|
Manpower, Inc.(a)
|
|
|
588
|
|
|
|
21,638
|
|
Robert Half International, Inc.
|
|
|
812
|
|
|
|
21,624
|
|
|
|
|
|
|
|
|
43,262
|
|
Real Estate Investment Trusts (REITs) - 1.8%
|
|
|
|
|
|
|
|
|
CBL & Associates Properties, Inc.(a)
|
|
|
1,008
|
|
|
|
21,511
|
|
DiamondRock Hospitality Co.(a)
|
|
|
2,248
|
|
|
|
21,648
|
|
Host Hotels & Resorts, Inc.(a)
|
|
|
1,348
|
|
|
|
21,636
|
|
LaSalle Hotel Properties(a)
|
|
|
812
|
|
|
|
21,672
|
|
|
|
|
|
|
|
|
86,467
|
|
Real Estate Management & Development - 1.4%
|
|
|
|
|
|
|
|
|
CBRE Group, Inc., Class A*(a)
|
|
|
1,180
|
|
|
|
21,724
|
|
Forest City Enterprises, Inc., Class A*(a)
|
|
|
1,372
|
|
|
|
21,746
|
|
Jones Lang LaSalle, Inc.(a)
|
|
|
284
|
|
|
|
21,683
|
|
|
|
|
|
|
|
|
65,153
|
|
Road & Rail - 1.3%
|
|
|
|
|
|
|
|
|
Avis Budget Group, Inc.*(a)
|
|
|
1,396
|
|
|
|
21,471
|
|
Con-way, Inc.(a)
|
|
|
792
|
|
|
|
21,677
|
|
Hertz Global Holdings, Inc.*(a)
|
|
|
1,584
|
|
|
|
21,748
|
|
|
|
|
|
|
|
|
64,896
|
|
Semiconductors & Semiconductor Equipment - 5.4%
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*(a)
|
|
|
6,396
|
|
|
|
21,555
|
|
Atmel Corp.*(a)
|
|
|
4,112
|
|
|
|
21,629
|
|
Cavium, Inc.*(a)
|
|
|
644
|
|
|
|
21,464
|
|
Cypress Semiconductor Corp.*(a)
|
|
|
2,016
|
|
|
|
21,611
|
|
Fairchild Semiconductor International, Inc.*(a)
|
|
|
1,644
|
|
|
|
21,569
|
|
International Rectifier Corp.*(a)
|
|
|
1,288
|
|
|
|
21,497
|
|
Lam Research Corp.*(a)
|
|
|
680
|
|
|
|
21,614
|
|
Microsemi Corp.*(a)
|
|
|
1,068
|
|
|
|
21,435
|
|
NVIDIA Corp.*(a)
|
|
|
1,620
|
|
|
|
21,611
|
|
ON Semiconductor Corp.*(a)
|
|
|
3,544
|
|
|
|
21,866
|
|
Skyworks Solutions, Inc.*
|
|
|
916
|
|
|
|
21,586
|
|
Teradyne, Inc.*
|
|
|
1,524
|
|
|
|
21,671
|
|
|
|
|
|
|
|
|
259,108
|
|
Software - 1.8%
|
|
|
|
|
|
|
|
|
Autodesk, Inc.*(a)
|
|
|
648
|
|
|
|
21,624
|
|
Citrix Systems, Inc.*(a)
|
|
|
284
|
|
|
|
21,746
|
|
Parametric Technology Corp.*(a)
|
|
|
988
|
|
|
|
21,538
|
|
Salesforce.com, Inc.*(a)
|
|
|
140
|
|
|
|
21,377
|
|
|
|
|
|
|
|
|
86,285
|
|
Specialty Retail - 2.3%
|
|
|
|
|
|
|
|
|
Abercrombie & Fitch Co., Class A(a)
|
|
|
636
|
|
|
|
21,573
|
|
ANN, Inc.*
|
|
|
572
|
|
|
|
21,582
|
|
Ascena Retail Group, Inc.*
|
|
|
1,016
|
|
|
|
21,793
|
|
Guess?, Inc.(a)
|
|
|
852
|
|
|
|
21,658
|
|
Williams-Sonoma, Inc.
|
|
|
492
|
|
|
|
21,633
|
|
|
|
|
|
|
|
|
108,239
|
|
Textiles, Apparel & Luxury Goods - 1.8%
|
|
|
|
|
|
|
|
|
Coach, Inc.(a)
|
|
|
388
|
|
|
|
21,736
|
|
Deckers Outdoor Corp.*
|
|
|
592
|
|
|
|
21,691
|
|
Fossil, Inc.*(a)
|
|
|
256
|
|
|
|
21,683
|
|
Under Armour, Inc., Class A*
|
|
|
388
|
|
|
|
21,662
|
|
|
|
|
|
|
|
|
86,772
|
|
Trading Companies & Distributors - 0.9%
|
|
|
|
|
|
|
|
|
United Rentals, Inc.*
|
|
|
664
|
|
|
|
21,719
|
|
WESCO International, Inc.*
|
|
|
380
|
|
|
|
21,736
|
|
|
|
|
|
|
|
|
43,455
|
|
Wireless Telecommunication Services - 0.4%
|
|
|
|
|
|
|
|
|
Sprint Nextel Corp.*
|
|
|
3,900
|
|
|
|
21,528
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $4,430,008)
|
|
|
|
|
|
|
4,330,723
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.1%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (2.7%)
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.
|
|
|
(432
|
)
|
|
|
(21,648
|
)
|
General Dynamics Corp.
|
|
|
(328
|
)
|
|
|
(21,687
|
)
|
Lockheed Martin Corp.
|
|
|
(232
|
)
|
|
|
(21,664
|
)
|
Raytheon Co.
|
|
|
(380
|
)
|
|
|
(21,721
|
)
|
Rockwell Collins, Inc.
|
|
|
(404
|
)
|
|
|
(21,671
|
)
|
TransDigm Group, Inc.*
|
|
|
(152
|
)
|
|
|
(21,564
|
)
|
|
|
|
|
|
|
|
(129,955
|
)
|
Air Freight & Logistics - (0.9%)
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.
|
|
|
(368
|
)
|
|
|
(21,547
|
)
|
United Parcel Service, Inc., Class B
|
|
|
(304
|
)
|
|
|
(21,757
|
)
|
|
|
|
|
|
|
|
(43,304
|
)
|
Beverages - (0.9%)
|
|
|
|
|
|
|
|
|
Dr. Pepper Snapple Group, Inc.
|
|
|
(484
|
)
|
|
|
(21,553
|
)
|
PepsiCo, Inc.
|
|
|
(308
|
)
|
|
|
(21,797
|
)
|
|
|
|
|
|
|
|
(43,350
|
)
|
Biotechnology - (2.2%)
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*
|
|
|
(188
|
)
|
|
|
(21,507
|
)
|
Amgen, Inc.
|
|
|
(256
|
)
|
|
|
(21,586
|
)
|
BioMarin Pharmaceutical, Inc.*
|
|
|
(540
|
)
|
|
|
(21,746
|
)
|
Celgene Corp.*
|
|
|
(284
|
)
|
|
|
(21,698
|
)
|
Regeneron Pharmaceuticals, Inc.*
|
|
|
(140
|
)
|
|
|
(21,372
|
)
|
|
|
|
|
|
|
|
(107,909
|
)
|
Chemicals - (3.6%)
|
|
|
|
|
|
|
|
|
Airgas, Inc.
|
|
|
(264
|
)
|
|
|
(21,727
|
)
|
Ecolab, Inc.
|
|
|
(336
|
)
|
|
|
(21,776
|
)
|
International Flavors & Fragrances, Inc.
|
|
|
(364
|
)
|
|
|
(21,687
|
)
|
Olin Corp.
|
|
|
(992
|
)
|
|
|
(21,556
|
)
|
Praxair, Inc.
|
|
|
(208
|
)
|
|
|
(21,607
|
)
|
Sherwin-Williams Co./The
|
|
|
(144
|
)
|
|
|
(21,443
|
)
|
Sigma-Aldrich Corp.
|
|
|
(300
|
)
|
|
|
(21,591
|
)
|
Valspar Corp.
|
|
|
(384
|
)
|
|
|
(21,543
|
)
|
|
|
|
|
|
|
|
(172,930
|
)
|
Commercial Services & Supplies - (4.1%)
|
|
|
|
|
|
|
|
|
Avery Dennison Corp.
|
|
|
(684
|
)
|
|
|
(21,765
|
)
|
Copart, Inc.*
|
|
|
(784
|
)
|
|
|
(21,740
|
)
|
Corrections Corp. of America
|
|
|
(648
|
)
|
|
|
(21,676
|
)
|
Covanta Holding Corp.
|
|
|
(1,260
|
)
|
|
|
(21,621
|
)
|
Iron Mountain, Inc.
|
|
|
(636
|
)
|
|
|
(21,694
|
)
|
Republic Services, Inc.
|
|
|
(792
|
)
|
|
|
(21,788
|
)
|
Stericycle, Inc.*
|
|
|
(240
|
)
|
|
|
(21,725
|
)
|
Waste Connections, Inc.
|
|
|
(724
|
)
|
|
|
(21,901
|
)
|
Waste Management, Inc.
|
|
|
(676
|
)
|
|
|
(21,686
|
)
|
|
|
|
|
|
|
|
(195,596
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Communications Equipment - (0.9%)
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*
|
|
|
(3,616
|
)
|
|
$
|
(21,389
|
)
|
Motorola Solutions, Inc.
|
|
|
(428
|
)
|
|
|
(21,635
|
)
|
|
|
|
|
|
|
|
(43,024
|
)
|
Computers & Peripherals - (0.4%)
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
(32
|
)
|
|
|
(21,352
|
)
|
|
|
|
|
|
|
|
|
|
Construction & Engineering - (0.9%)
|
|
|
|
|
|
|
|
|
Quanta Services, Inc.*
|
|
|
(876
|
)
|
|
|
(21,637
|
)
|
Shaw Group, Inc./The*
|
|
|
(496
|
)
|
|
|
(21,636
|
)
|
|
|
|
|
|
|
|
(43,273
|
)
|
Construction Materials - (0.5%)
|
|
|
|
|
|
|
|
|
Martin Marietta Materials, Inc.
|
|
|
(264
|
)
|
|
|
(21,878
|
)
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - (2.3%)
|
|
|
|
|
|
|
|
|
AptarGroup, Inc.
|
|
|
(420
|
)
|
|
|
(21,718
|
)
|
Ball Corp.
|
|
|
(512
|
)
|
|
|
(21,663
|
)
|
Bemis Co., Inc.
|
|
|
(688
|
)
|
|
|
(21,651
|
)
|
Crown Holdings, Inc.*
|
|
|
(592
|
)
|
|
|
(21,756
|
)
|
Sonoco Products Co.
|
|
|
(700
|
)
|
|
|
(21,693
|
)
|
|
|
|
|
|
|
|
(108,481
|
)
|
Diversified Financial Services - (0.4%)
|
|
|
|
|
|
|
|
|
CBOE Holdings, Inc.
|
|
|
(736
|
)
|
|
|
(21,653
|
)
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - (1.4%)
|
|
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
(576
|
)
|
|
|
(21,715
|
)
|
CenturyLink, Inc.
|
|
|
(536
|
)
|
|
|
(21,655
|
)
|
Verizon Communications, Inc.
|
|
|
(476
|
)
|
|
|
(21,691
|
)
|
|
|
|
|
|
|
|
(65,061
|
)
|
Electric Utilities - (2.3%)
|
|
|
|
|
|
|
|
|
Duke Energy Corp.
|
|
|
(335
|
)
|
|
|
(21,708
|
)
|
Entergy Corp.
|
|
|
(312
|
)
|
|
|
(21,622
|
)
|
OGE Energy Corp.
|
|
|
(392
|
)
|
|
|
(21,740
|
)
|
Southern Co./The
|
|
|
(472
|
)
|
|
|
(21,754
|
)
|
Xcel Energy, Inc.
|
|
|
(784
|
)
|
|
|
(21,725
|
)
|
|
|
|
|
|
|
|
(108,549
|
)
|
Electronic Equipment, Instruments & Components - (0.4%)
|
|
|
|
|
|
|
|
|
Ingram Micro, Inc., Class A*
|
|
|
(1,416
|
)
|
|
|
(21,566
|
)
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - (2.7%)
|
|
|
|
|
|
|
|
|
Bristow Group, Inc.
|
|
|
(428
|
)
|
|
|
(21,636
|
)
|
Core Laboratories N.V.
|
|
|
(180
|
)
|
|
|
(21,866
|
)
|
Diamond Offshore Drilling, Inc.
|
|
|
(328
|
)
|
|
|
(21,586
|
)
|
Dresser-Rand Group, Inc.*
|
|
|
(396
|
)
|
|
|
(21,824
|
)
|
SEACOR Holdings, Inc.*
|
|
|
(256
|
)
|
|
|
(21,340
|
)
|
Tidewater, Inc.
|
|
|
(444
|
)
|
|
|
(21,547
|
)
|
|
|
|
|
|
|
|
(129,799
|
)
|
Food & Staples Retailing - (2.7%)
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
(216
|
)
|
|
|
(21,627
|
)
|
CVS Caremark Corp.
|
|
|
(448
|
)
|
|
|
(21,692
|
)
|
Kroger Co./The
|
|
|
(920
|
)
|
|
|
(21,657
|
)
|
Sysco Corp.
|
|
|
(692
|
)
|
|
|
(21,639
|
)
|
Walgreen Co.
|
|
|
(596
|
)
|
|
|
(21,718
|
)
|
Wal-Mart Stores, Inc.
|
|
|
(292
|
)
|
|
|
(21,550
|
)
|
|
|
|
|
|
|
|
(129,883
|
)
|
Food Products - (5.0%)
|
|
|
|
|
|
|
|
|
Campbell Soup Co.
|
|
|
(624
|
)
|
|
|
(21,728
|
)
|
Flowers Foods, Inc.
|
|
|
(1,072
|
)
|
|
|
(21,633
|
)
|
General Mills, Inc.
|
|
|
(544
|
)
|
|
|
(21,678
|
)
|
H.J. Heinz Co.
|
|
|
(388
|
)
|
|
|
(21,709
|
)
|
Hershey Co./The
|
|
|
(308
|
)
|
|
|
(21,834
|
)
|
Hormel Foods Corp.
|
|
|
(740
|
)
|
|
|
(21,638
|
)
|
JM Smucker Co./The
|
|
|
(252
|
)
|
|
|
(21,755
|
)
|
Kellogg Co.
|
|
|
(420
|
)
|
|
|
(21,697
|
)
|
McCormick & Co., Inc.
|
|
|
(348
|
)
|
|
|
(21,590
|
)
|
Ralcorp Holdings, Inc.*
|
|
|
(296
|
)
|
|
|
(21,608
|
)
|
TreeHouse Foods, Inc.*
|
|
|
(412
|
)
|
|
|
(21,630
|
)
|
|
|
|
|
|
|
|
(238,500
|
)
|
Health Care Equipment & Supplies - (0.9%)
|
|
|
|
|
|
|
|
|
C.R. Bard, Inc.
|
|
|
(208
|
)
|
|
|
(21,767
|
)
|
ResMed, Inc.
|
|
|
(532
|
)
|
|
|
(21,530
|
)
|
|
|
|
|
|
|
|
(43,297
|
)
|
Health Care Providers & Services - (0.9%)
|
|
|
|
|
|
|
|
|
DaVita, Inc.*
|
|
|
(208
|
)
|
|
|
(21,551
|
)
|
HCA Holdings, Inc.
|
|
|
(648
|
)
|
|
|
(21,546
|
)
|
|
|
|
|
|
|
|
(43,097
|
)
|
Health Care Technology - (0.9%)
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*
|
|
|
(1,716
|
)
|
|
|
(21,330
|
)
|
Cerner Corp.*
|
|
|
(280
|
)
|
|
|
(21,675
|
)
|
|
|
|
|
|
|
|
(43,005
|
)
|
Hotels, Restaurants & Leisure - (0.9%)
|
|
|
|
|
|
|
|
|
McDonald's Corp.
|
|
|
(236
|
)
|
|
|
(21,653
|
)
|
Wendy's Co./The
|
|
|
(4,760
|
)
|
|
|
(21,658
|
)
|
|
|
|
|
|
|
|
(43,311
|
)
|
Household Products - (1.8%)
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
(404
|
)
|
|
|
(21,812
|
)
|
Clorox Co./The
|
|
|
(300
|
)
|
|
|
(21,615
|
)
|
Colgate-Palmolive Co.
|
|
|
(200
|
)
|
|
|
(21,444
|
)
|
Kimberly-Clark Corp.
|
|
|
(252
|
)
|
|
|
(21,616
|
)
|
|
|
|
|
|
|
|
(86,487
|
)
|
Insurance - (9.5%)
|
|
|
|
|
|
|
|
|
Alleghany Corp.*
|
|
|
(64
|
)
|
|
|
(22,076
|
)
|
Allied World Assurance Co. Holdings AG
|
|
|
(280
|
)
|
|
|
(21,630
|
)
|
Arch Capital Group Ltd.*
|
|
|
(520
|
)
|
|
|
(21,674
|
)
|
Arthur J. Gallagher & Co.
|
|
|
(604
|
)
|
|
|
(21,635
|
)
|
Aspen Insurance Holdings Ltd.
|
|
|
(708
|
)
|
|
|
(21,587
|
)
|
Axis Capital Holdings Ltd.
|
|
|
(620
|
)
|
|
|
(21,650
|
)
|
Chubb Corp./The
|
|
|
(284
|
)
|
|
|
(21,664
|
)
|
Cincinnati Financial Corp.
|
|
|
(572
|
)
|
|
|
(21,673
|
)
|
Endurance Specialty Holdings Ltd.
|
|
|
(560
|
)
|
|
|
(21,560
|
)
|
Everest Re Group Ltd.
|
|
|
(204
|
)
|
|
|
(21,820
|
)
|
Fidelity National Financial, Inc., Class A
|
|
|
(1,016
|
)
|
|
|
(21,732
|
)
|
Hanover Insurance Group, Inc./The
|
|
|
(580
|
)
|
|
|
(21,611
|
)
|
HCC Insurance Holdings, Inc.
|
|
|
(640
|
)
|
|
|
(21,690
|
)
|
Markel Corp.*
|
|
|
(48
|
)
|
|
|
(22,007
|
)
|
PartnerRe Ltd.
|
|
|
(292
|
)
|
|
|
(21,690
|
)
|
ProAssurance Corp.
|
|
|
(240
|
)
|
|
|
(21,706
|
)
|
RenaissanceRe Holdings Ltd.
|
|
|
(280
|
)
|
|
|
(21,571
|
)
|
Travelers Cos., Inc./The
|
|
|
(316
|
)
|
|
|
(21,570
|
)
|
Validus Holdings Ltd.
|
|
|
(640
|
)
|
|
|
(21,702
|
)
|
W.R. Berkley Corp.
|
|
|
(576
|
)
|
|
|
(21,594
|
)
|
Willis Group Holdings plc
|
|
|
(588
|
)
|
|
|
(21,709
|
)
|
|
|
|
|
|
|
|
(455,551
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Internet & Catalog Retail - (0.5%)
|
|
|
|
|
|
|
|
|
Expedia, Inc.
|
|
|
(376
|
)
|
|
$
|
(21,748
|
)
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - (1.3%)
|
|
|
|
|
|
|
|
|
AOL, Inc.*
|
|
|
(612
|
)
|
|
|
(21,561
|
)
|
IAC/InterActiveCorp
|
|
|
(416
|
)
|
|
|
(21,657
|
)
|
VeriSign, Inc.*
|
|
|
(444
|
)
|
|
|
(21,618
|
)
|
|
|
|
|
|
|
|
(64,836
|
)
|
IT Services - (3.6%)
|
|
|
|
|
|
|
|
|
Amdocs Ltd.
|
|
|
(660
|
)
|
|
|
(21,774
|
)
|
Automatic Data Processing, Inc.
|
|
|
(368
|
)
|
|
|
(21,587
|
)
|
Broadridge Financial Solutions, Inc.
|
|
|
(924
|
)
|
|
|
(21,557
|
)
|
Gartner, Inc.*
|
|
|
(468
|
)
|
|
|
(21,570
|
)
|
Genpact Ltd.
|
|
|
(1,296
|
)
|
|
|
(21,617
|
)
|
International Business Machines Corp.
|
|
|
(104
|
)
|
|
|
(21,575
|
)
|
Paychex, Inc.
|
|
|
(652
|
)
|
|
|
(21,705
|
)
|
SAIC, Inc.
|
|
|
(1,784
|
)
|
|
|
(21,479
|
)
|
|
|
|
|
|
|
|
(172,864
|
)
|
Marine - (0.4%)
|
|
|
|
|
|
|
|
|
Kirby Corp.*
|
|
|
(392
|
)
|
|
|
(21,670
|
)
|
|
|
|
|
|
|
|
|
|
Media - (0.9%)
|
|
|
|
|
|
|
|
|
Charter Communications, Inc., Class A*
|
|
|
(288
|
)
|
|
|
(21,620
|
)
|
Madison Square Garden Co./The, Class A*
|
|
|
(540
|
)
|
|
|
(21,746
|
)
|
|
|
|
|
|
|
|
(43,366
|
)
|
Metals & Mining - (1.8%)
|
|
|
|
|
|
|
|
|
Allied Nevada Gold Corp.*
|
|
|
(552
|
)
|
|
|
(21,561
|
)
|
Compass Minerals International, Inc.
|
|
|
(288
|
)
|
|
|
(21,482
|
)
|
Newmont Mining Corp.
|
|
|
(388
|
)
|
|
|
(21,732
|
)
|
Royal Gold, Inc.
|
|
|
(216
|
)
|
|
|
(21,570
|
)
|
|
|
|
|
|
|
|
(86,345
|
)
|
Multiline Retail - (2.7%)
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
(736
|
)
|
|
|
(21,771
|
)
|
Dollar General Corp.*
|
|
|
(420
|
)
|
|
|
(21,647
|
)
|
Dollar Tree, Inc.*
|
|
|
(448
|
)
|
|
|
(21,627
|
)
|
Family Dollar Stores, Inc.
|
|
|
(328
|
)
|
|
|
(21,746
|
)
|
Kohl's Corp.
|
|
|
(424
|
)
|
|
|
(21,717
|
)
|
Target Corp.
|
|
|
(340
|
)
|
|
|
(21,580
|
)
|
|
|
|
|
|
|
|
(130,088
|
)
|
Multi-Utilities - (3.2%)
|
|
|
|
|
|
|
|
|
Consolidated Edison, Inc.
|
|
|
(364
|
)
|
|
|
(21,800
|
)
|
Dominion Resources, Inc.
|
|
|
(408
|
)
|
|
|
(21,600
|
)
|
MDU Resources Group, Inc.
|
|
|
(980
|
)
|
|
|
(21,599
|
)
|
NiSource, Inc.
|
|
|
(852
|
)
|
|
|
(21,709
|
)
|
PG&E Corp.
|
|
|
(508
|
)
|
|
|
(21,676
|
)
|
Sempra Energy
|
|
|
(336
|
)
|
|
|
(21,669
|
)
|
Wisconsin Energy Corp.
|
|
|
(576
|
)
|
|
|
(21,698
|
)
|
|
|
|
|
|
|
|
(151,751
|
)
|
Oil, Gas & Consumable Fuels - (3.6%)
|
|
|
|
|
|
|
|
|
Cabot Oil & Gas Corp.
|
|
|
(484
|
)
|
|
|
(21,732
|
)
|
Chevron Corp.
|
|
|
(184
|
)
|
|
|
(21,447
|
)
|
ConocoPhillips
|
|
|
(380
|
)
|
|
|
(21,728
|
)
|
Energen Corp.
|
|
|
(416
|
)
|
|
|
(21,803
|
)
|
EQT Corp.
|
|
|
(364
|
)
|
|
|
(21,476
|
)
|
Exxon Mobil Corp.
|
|
|
(236
|
)
|
|
|
(21,582
|
)
|
Kinder Morgan, Inc.
|
|
|
(608
|
)
|
|
|
(21,596
|
)
|
Williams Cos., Inc./The
|
|
|
(620
|
)
|
|
|
(21,681
|
)
|
|
|
|
|
|
|
|
(173,045
|
)
|
Pharmaceuticals - (4.1%)
|
|
|
|
|
|
|
|
|
Abbott Laboratories
|
|
|
(316
|
)
|
|
|
(21,665
|
)
|
Allergan, Inc.
|
|
|
(236
|
)
|
|
|
(21,613
|
)
|
Bristol-Myers Squibb Co.
|
|
|
(640
|
)
|
|
|
(21,600
|
)
|
Eli Lilly & Co.
|
|
|
(456
|
)
|
|
|
(21,619
|
)
|
Forest Laboratories, Inc.*
|
|
|
(608
|
)
|
|
|
(21,651
|
)
|
Hospira, Inc.*
|
|
|
(664
|
)
|
|
|
(21,792
|
)
|
Johnson & Johnson
|
|
|
(316
|
)
|
|
|
(21,776
|
)
|
Perrigo Co.
|
|
|
(188
|
)
|
|
|
(21,840
|
)
|
Watson Pharmaceuticals, Inc.*
|
|
|
(252
|
)
|
|
|
(21,460
|
)
|
|
|
|
|
|
|
|
(195,016
|
)
|
Professional Services - (1.8%)
|
|
|
|
|
|
|
|
|
IHS, Inc., Class A*
|
|
|
(224
|
)
|
|
|
(21,806
|
)
|
Nielsen Holdings N.V.*
|
|
|
(720
|
)
|
|
|
(21,586
|
)
|
Towers Watson & Co., Class A
|
|
|
(408
|
)
|
|
|
(21,644
|
)
|
Verisk Analytics, Inc., Class A*
|
|
|
(452
|
)
|
|
|
(21,520
|
)
|
|
|
|
|
|
|
|
(86,556
|
)
|
Real Estate Investment Trusts (REITs) - (7.2%)
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
(496
|
)
|
|
|
(21,764
|
)
|
American Capital Agency Corp.
|
|
|
(628
|
)
|
|
|
(21,723
|
)
|
American Tower Corp.
|
|
|
(304
|
)
|
|
|
(21,703
|
)
|
Annaly Capital Management, Inc.
|
|
|
(1,288
|
)
|
|
|
(21,690
|
)
|
AvalonBay Communities, Inc.
|
|
|
(160
|
)
|
|
|
(21,758
|
)
|
Camden Property Trust
|
|
|
(336
|
)
|
|
|
(21,669
|
)
|
Chimera Investment Corp.
|
|
|
(7,976
|
)
|
|
|
(21,615
|
)
|
Digital Realty Trust, Inc.
|
|
|
(312
|
)
|
|
|
(21,793
|
)
|
Equity Lifestyle Properties, Inc.
|
|
|
(320
|
)
|
|
|
(21,798
|
)
|
Federal Realty Investment Trust
|
|
|
(204
|
)
|
|
|
(21,481
|
)
|
Hatteras Financial Corp.
|
|
|
(768
|
)
|
|
|
(21,650
|
)
|
MFA Financial, Inc.
|
|
|
(2,544
|
)
|
|
|
(21,624
|
)
|
Mid-America Apartment Communities, Inc.
|
|
|
(332
|
)
|
|
|
(21,683
|
)
|
National Retail Properties, Inc.
|
|
|
(704
|
)
|
|
|
(21,472
|
)
|
Senior Housing Properties Trust
|
|
|
(992
|
)
|
|
|
(21,606
|
)
|
Starwood Property Trust, Inc.
|
|
|
(924
|
)
|
|
|
(21,501
|
)
|
|
|
|
|
|
|
|
(346,530
|
)
|
Road & Rail - (0.4%)
|
|
|
|
|
|
|
|
|
J.B. Hunt Transport Services, Inc.
|
|
|
(412
|
)
|
|
|
(21,440
|
)
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - (0.4%)
|
|
|
|
|
|
|
|
|
Marvell Technology Group Ltd.
|
|
|
(2,352
|
)
|
|
|
(21,521
|
)
|
|
|
|
|
|
|
|
|
|
Software - (3.1%)
|
|
|
|
|
|
|
|
|
Adobe Systems, Inc.*
|
|
|
(668
|
)
|
|
|
(21,683
|
)
|
ANSYS, Inc.*
|
|
|
(296
|
)
|
|
|
(21,726
|
)
|
BMC Software, Inc.*
|
|
|
(520
|
)
|
|
|
(21,575
|
)
|
Intuit, Inc.
|
|
|
(368
|
)
|
|
|
(21,668
|
)
|
Microsoft Corp.
|
|
|
(728
|
)
|
|
|
(21,680
|
)
|
Solera Holdings, Inc.
|
|
|
(492
|
)
|
|
|
(21,584
|
)
|
Synopsys, Inc.*
|
|
|
(656
|
)
|
|
|
(21,661
|
)
|
|
|
|
|
|
|
|
(151,577
|
)
|
Specialty Retail - (3.6%)
|
|
|
|
|
|
|
|
|
Advance Auto Parts, Inc.
|
|
|
(316
|
)
|
|
|
(21,627
|
)
|
AutoZone, Inc.*
|
|
|
(60
|
)
|
|
|
(22,180
|
)
|
Lowe's Cos., Inc.
|
|
|
(716
|
)
|
|
|
(21,652
|
)
|
O'Reilly Automotive, Inc.*
|
|
|
(260
|
)
|
|
|
(21,741
|
)
|
Ross Stores, Inc.
|
|
|
(336
|
)
|
|
|
(21,706
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
High Beta Fund
Schedule of Investments
September 30, 2012 (Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Sally Beauty Holdings, Inc.*
|
|
|
(864
|
)
|
|
$
|
(21,678
|
)
|
TJX Cos., Inc.
|
|
|
(484
|
)
|
|
|
(21,678
|
)
|
Tractor Supply Co.
|
|
|
(220
|
)
|
|
|
(21,756
|
)
|
|
|
|
|
|
|
|
(174,018
|
)
|
Thrifts & Mortgage Finance - (0.5%)
|
|
|
|
|
|
|
|
|
Capitol Federal Financial, Inc.
|
|
|
(1,820
|
)
|
|
|
(21,767
|
)
|
|
|
|
|
|
|
|
|
|
Tobacco - (1.3%)
|
|
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
|
(648
|
)
|
|
|
(21,636
|
)
|
Lorillard, Inc.
|
|
|
(184
|
)
|
|
|
(21,427
|
)
|
Reynolds American, Inc.
|
|
|
(500
|
)
|
|
|
(21,670
|
)
|
|
|
|
|
|
|
|
(64,733
|
)
|
Water Utilities - (0.5%)
|
|
|
|
|
|
|
|
|
American Water Works Co., Inc.
|
|
|
(588
|
)
|
|
|
(21,791
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $4,255,383)
|
|
|
|
|
|
|
(4,331,473
|
)
|
Other assets less liabilities
— 100.0%
|
|
|
|
|
|
|
4,810,183
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
4,809,433
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $3,171,190.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation
|
|
$
|
244,971
|
|
Aggregate gross unrealized depreciation
|
|
|
(532,447
|
)
|
Net unrealized depreciation
|
|
$
|
(287,476
|
)
|
Federal income tax cost of investments
|
|
$
|
286,726
|
|
|
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
415,803
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral High Beta Index
|
|
$
|
61,803
|
|
|
(461,366
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral High Beta Index
|
|
(0.04)%
|
|
|
(19,709
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
42,094
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 2.2%
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.
|
|
|
550
|
|
|
$
|
27,560
|
|
Esterline Technologies Corp.*
|
|
|
490
|
|
|
|
27,509
|
|
Exelis, Inc.
|
|
|
2,670
|
|
|
|
27,608
|
|
Hexcel Corp.*
|
|
|
1,150
|
|
|
|
27,623
|
|
Teledyne Technologies, Inc.*(a)
|
|
|
435
|
|
|
|
27,575
|
|
|
|
|
|
|
|
|
137,875
|
|
Airlines - 0.9%
|
|
|
|
|
|
|
|
|
Alaska Air Group, Inc.*
|
|
|
785
|
|
|
|
27,522
|
|
US Airways Group, Inc.*(a)
|
|
|
2,645
|
|
|
|
27,667
|
|
|
|
|
|
|
|
|
55,189
|
|
Auto Components - 2.3%
|
|
|
|
|
|
|
|
|
Dana Holding Corp.
|
|
|
2,230
|
|
|
|
27,429
|
|
Gentex Corp.
|
|
|
1,620
|
|
|
|
27,556
|
|
Goodyear Tire & Rubber Co./The*
|
|
|
2,270
|
|
|
|
27,671
|
|
Tenneco, Inc.*(a)
|
|
|
990
|
|
|
|
27,720
|
|
Visteon Corp.*(a)
|
|
|
625
|
|
|
|
27,788
|
|
|
|
|
|
|
|
|
138,164
|
|
Biotechnology - 1.4%
|
|
|
|
|
|
|
|
|
Alkermes plc*
|
|
|
1,325
|
|
|
|
27,494
|
|
Cepheid, Inc.*
|
|
|
805
|
|
|
|
27,780
|
|
Myriad Genetics, Inc.*
|
|
|
1,025
|
|
|
|
27,665
|
|
|
|
|
|
|
|
|
82,939
|
|
Building Products - 0.9%
|
|
|
|
|
|
|
|
|
A.O. Smith Corp.(a)
|
|
|
480
|
|
|
|
27,619
|
|
Lennox International, Inc.
|
|
|
570
|
|
|
|
27,565
|
|
|
|
|
|
|
|
|
55,184
|
|
Capital Markets - 1.3%
|
|
|
|
|
|
|
|
|
Federated Investors, Inc., Class B
|
|
|
1,335
|
|
|
|
27,621
|
|
Stifel Financial Corp.*(a)
|
|
|
820
|
|
|
|
27,552
|
|
Waddell & Reed Financial, Inc., Class A
|
|
|
840
|
|
|
|
27,527
|
|
|
|
|
|
|
|
|
82,700
|
|
Chemicals - 1.4%
|
|
|
|
|
|
|
|
|
Cabot Corp.
|
|
|
755
|
|
|
|
27,610
|
|
Intrepid Potash, Inc.*
|
|
|
1,290
|
|
|
|
27,709
|
|
Scotts Miracle-Gro Co./The, Class A(a)
|
|
|
640
|
|
|
|
27,821
|
|
|
|
|
|
|
|
|
83,140
|
|
Commercial Banks - 5.4%
|
|
|
|
|
|
|
|
|
Associated Banc-Corp
|
|
|
2,100
|
|
|
|
27,657
|
|
Bank of Hawaii Corp.
|
|
|
605
|
|
|
|
27,600
|
|
CapitalSource, Inc.
|
|
|
3,660
|
|
|
|
27,743
|
|
City National Corp./CA
|
|
|
535
|
|
|
|
27,558
|
|
First Horizon National Corp.
|
|
|
2,850
|
|
|
|
27,445
|
|
Fulton Financial Corp.
|
|
|
2,810
|
|
|
|
27,707
|
|
Popular, Inc.*(a)
|
|
|
1,595
|
|
|
|
27,801
|
|
Prosperity Bancshares, Inc.(a)
|
|
|
645
|
|
|
|
27,490
|
|
SVB Financial Group*(a)
|
|
|
455
|
|
|
|
27,509
|
|
TCF Financial Corp.(a)
|
|
|
2,310
|
|
|
|
27,581
|
|
Valley National Bancorp(a)
|
|
|
2,755
|
|
|
|
27,605
|
|
Webster Financial Corp.
|
|
|
1,160
|
|
|
|
27,492
|
|
|
|
|
|
|
|
|
331,188
|
|
Commercial Services & Supplies - 0.9%
|
|
|
|
|
|
|
|
|
Covanta Holding Corp.
|
|
|
1,605
|
|
|
|
27,542
|
|
R.R. Donnelley & Sons Co.
|
|
|
2,605
|
|
|
|
27,613
|
|
|
|
|
|
|
|
|
55,155
|
|
Communications Equipment - 2.2%
|
|
|
|
|
|
|
|
|
Aruba Networks, Inc.*
|
|
|
1,230
|
|
|
|
27,657
|
|
Brocade Communications Systems, Inc.*
|
|
|
4,615
|
|
|
|
27,298
|
|
JDS Uniphase Corp.*
|
|
|
2,230
|
|
|
|
27,618
|
|
Polycom, Inc.*(a)
|
|
|
2,795
|
|
|
|
27,587
|
|
ViaSat, Inc.*(a)
|
|
|
740
|
|
|
|
27,661
|
|
|
|
|
|
|
|
|
137,821
|
|
Computers & Peripherals - 0.4%
|
|
|
|
|
|
|
|
|
Diebold, Inc.
|
|
|
815
|
|
|
|
27,474
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering - 0.9%
|
|
|
|
|
|
|
|
|
EMCOR Group, Inc.
|
|
|
960
|
|
|
|
27,398
|
|
Foster Wheeler AG*
|
|
|
1,150
|
|
|
|
27,554
|
|
|
|
|
|
|
|
|
54,952
|
|
Construction Materials - 0.5%
|
|
|
|
|
|
|
|
|
Eagle Materials, Inc.
|
|
|
600
|
|
|
|
27,756
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.5%
|
|
|
|
|
|
|
|
|
Greif, Inc., Class A
|
|
|
625
|
|
|
|
27,613
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 0.9%
|
|
|
|
|
|
|
|
|
Sotheby's(a)
|
|
|
880
|
|
|
|
27,720
|
|
Weight Watchers International, Inc.
|
|
|
520
|
|
|
|
27,456
|
|
|
|
|
|
|
|
|
55,176
|
|
Diversified Financial Services - 0.5%
|
|
|
|
|
|
|
|
|
CBOE Holdings, Inc.
|
|
|
940
|
|
|
|
27,655
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.4%
|
|
|
|
|
|
|
|
|
tw telecom, inc.*(a)
|
|
|
1,055
|
|
|
|
27,504
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 2.3%
|
|
|
|
|
|
|
|
|
Cleco Corp.
|
|
|
660
|
|
|
|
27,707
|
|
Great Plains Energy, Inc.
|
|
|
1,245
|
|
|
|
27,714
|
|
Hawaiian Electric Industries, Inc.
|
|
|
1,050
|
|
|
|
27,625
|
|
IDACORP, Inc.
|
|
|
635
|
|
|
|
27,476
|
|
Portland General Electric Co.
|
|
|
1,020
|
|
|
|
27,581
|
|
|
|
|
|
|
|
|
138,103
|
|
Electrical Equipment - 0.4%
|
|
|
|
|
|
|
|
|
Polypore International, Inc.*(a)
|
|
|
780
|
|
|
|
27,573
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components - 2.2%
|
|
|
|
|
|
|
|
|
Anixter International, Inc.
|
|
|
480
|
|
|
|
27,581
|
|
FEI Co.
|
|
|
510
|
|
|
|
27,285
|
|
Ingram Micro, Inc., Class A*
|
|
|
1,805
|
|
|
|
27,490
|
|
Tech Data Corp.*(a)
|
|
|
610
|
|
|
|
27,633
|
|
Universal Display Corp.*
|
|
|
800
|
|
|
|
27,504
|
|
|
|
|
|
|
|
|
137,493
|
|
Energy Equipment & Services - 4.0%
|
|
|
|
|
|
|
|
|
CARBO Ceramics, Inc.(a)
|
|
|
435
|
|
|
|
27,370
|
|
Dril-Quip, Inc.*
|
|
|
380
|
|
|
|
27,314
|
|
Helix Energy Solutions Group, Inc.*
|
|
|
1,495
|
|
|
|
27,314
|
|
Lufkin Industries, Inc.
|
|
|
510
|
|
|
|
27,448
|
|
McDermott International, Inc.*(a)
|
|
|
2,260
|
|
|
|
27,617
|
|
Patterson-UTI Energy, Inc.
|
|
|
1,745
|
|
|
|
27,641
|
|
SEACOR Holdings, Inc.*(a)
|
|
|
330
|
|
|
|
27,509
|
|
Tidewater, Inc.(a)
|
|
|
570
|
|
|
|
27,662
|
|
Unit Corp.*(a)
|
|
|
665
|
|
|
|
27,598
|
|
|
|
|
|
|
|
|
247,473
|
|
Food & Staples Retailing - 1.4%
|
|
|
|
|
|
|
|
|
Casey's General Stores, Inc.
|
|
|
485
|
|
|
|
27,713
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Harris Teeter Supermarkets, Inc.
|
|
|
710
|
|
|
$
|
27,576
|
|
United Natural Foods, Inc.*(a)
|
|
|
470
|
|
|
|
27,472
|
|
|
|
|
|
|
|
|
82,761
|
|
Food Products - 2.3%
|
|
|
|
|
|
|
|
|
Darling International, Inc.*
|
|
|
1,510
|
|
|
|
27,618
|
|
Dean Foods Co.*
|
|
|
1,705
|
|
|
|
27,877
|
|
Flowers Foods, Inc.
|
|
|
1,370
|
|
|
|
27,646
|
|
Hain Celestial Group, Inc./The*
|
|
|
435
|
|
|
|
27,405
|
|
TreeHouse Foods, Inc.*(a)
|
|
|
530
|
|
|
|
27,825
|
|
|
|
|
|
|
|
|
138,371
|
|
Gas Utilities - 1.4%
|
|
|
|
|
|
|
|
|
Atmos Energy Corp.
|
|
|
775
|
|
|
|
27,737
|
|
Piedmont Natural Gas Co., Inc.(a)
|
|
|
850
|
|
|
|
27,608
|
|
WGL Holdings, Inc.
|
|
|
685
|
|
|
|
27,571
|
|
|
|
|
|
|
|
|
82,916
|
|
Health Care Equipment & Supplies - 1.4%
|
|
|
|
|
|
|
|
|
Hill-Rom Holdings, Inc.
|
|
|
950
|
|
|
|
27,607
|
|
STERIS Corp.(a)
|
|
|
775
|
|
|
|
27,489
|
|
Thoratec Corp.*(a)
|
|
|
800
|
|
|
|
27,680
|
|
|
|
|
|
|
|
|
82,776
|
|
Health Care Providers & Services - 4.0%
|
|
|
|
|
|
|
|
|
Centene Corp.*
|
|
|
745
|
|
|
|
27,870
|
|
Community Health Systems, Inc.*
|
|
|
945
|
|
|
|
27,537
|
|
Health Management Associates, Inc., Class A*
|
|
|
3,295
|
|
|
|
27,645
|
|
Health Net, Inc.*
|
|
|
1,225
|
|
|
|
27,575
|
|
HealthSouth Corp.*
|
|
|
1,150
|
|
|
|
27,669
|
|
LifePoint Hospitals, Inc.*
|
|
|
640
|
|
|
|
27,379
|
|
Owens & Minor, Inc.(a)
|
|
|
920
|
|
|
|
27,490
|
|
Tenet Healthcare Corp.*(a)
|
|
|
4,350
|
|
|
|
27,274
|
|
WellCare Health Plans, Inc.*
|
|
|
490
|
|
|
|
27,710
|
|
|
|
|
|
|
|
|
248,149
|
|
Health Care Technology - 0.4%
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*(a)
|
|
|
2,195
|
|
|
|
27,284
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 4.1%
|
|
|
|
|
|
|
|
|
Bally Technologies, Inc.*
|
|
|
560
|
|
|
|
27,658
|
|
Brinker International, Inc.
|
|
|
785
|
|
|
|
27,711
|
|
Cheesecake Factory, Inc./The
|
|
|
775
|
|
|
|
27,706
|
|
Domino's Pizza, Inc.
|
|
|
735
|
|
|
|
27,710
|
|
Gaylord Entertainment Co.*
|
|
|
695
|
|
|
|
27,473
|
|
Life Time Fitness, Inc.*
|
|
|
605
|
|
|
|
27,673
|
|
Six Flags Entertainment Corp.(a)
|
|
|
470
|
|
|
|
27,636
|
|
Vail Resorts, Inc.
|
|
|
480
|
|
|
|
27,672
|
|
Wendy's Co./The
|
|
|
6,080
|
|
|
|
27,664
|
|
|
|
|
|
|
|
|
248,903
|
|
Household Durables - 0.9%
|
|
|
|
|
|
|
|
|
Harman International Industries, Inc.
|
|
|
595
|
|
|
|
27,465
|
|
Tempur-Pedic International, Inc.*
|
|
|
920
|
|
|
|
27,499
|
|
|
|
|
|
|
|
|
54,964
|
|
Independent Power Producers & Energy Traders - 0.4%
|
|
|
|
|
|
|
|
|
GenOn Energy, Inc.*
|
|
|
10,845
|
|
|
|
27,438
|
|
|
|
|
|
|
|
|
|
|
Insurance - 3.1%
|
|
|
|
|
|
|
|
|
Aspen Insurance Holdings Ltd.
|
|
|
905
|
|
|
|
27,593
|
|
Assured Guaranty Ltd.
|
|
|
2,035
|
|
|
|
27,717
|
|
CNO Financial Group, Inc.
|
|
|
2,835
|
|
|
|
27,358
|
|
MBIA, Inc.*
|
|
|
2,725
|
|
|
|
27,604
|
|
Old Republic International Corp.(a)
|
|
|
2,975
|
|
|
|
27,667
|
|
ProAssurance Corp.(a)
|
|
|
305
|
|
|
|
27,584
|
|
Protective Life Corp.(a)
|
|
|
1,050
|
|
|
|
27,521
|
|
|
|
|
|
|
|
|
193,044
|
|
Internet & Catalog Retail - 0.4%
|
|
|
|
|
|
|
|
|
HSN, Inc.
|
|
|
560
|
|
|
|
27,468
|
|
|
|
|
|
|
|
|
|
|
IT Services - 1.3%
|
|
|
|
|
|
|
|
|
DST Systems, Inc.
|
|
|
485
|
|
|
|
27,432
|
|
NeuStar, Inc., Class A*(a)
|
|
|
690
|
|
|
|
27,621
|
|
Wright Express Corp.*(a)
|
|
|
395
|
|
|
|
27,539
|
|
|
|
|
|
|
|
|
82,592
|
|
Leisure Equipment & Products - 0.4%
|
|
|
|
|
|
|
|
|
Brunswick Corp.
|
|
|
1,215
|
|
|
|
27,495
|
|
|
|
|
|
|
|
|
|
|
Machinery - 4.5%
|
|
|
|
|
|
|
|
|
Actuant Corp., Class A
|
|
|
965
|
|
|
|
27,618
|
|
Chart Industries, Inc.*
|
|
|
375
|
|
|
|
27,694
|
|
CLARCOR, Inc.
|
|
|
620
|
|
|
|
27,671
|
|
Harsco Corp.
|
|
|
1,345
|
|
|
|
27,613
|
|
ITT Corp.
|
|
|
1,375
|
|
|
|
27,706
|
|
Middleby Corp.*(a)
|
|
|
240
|
|
|
|
27,754
|
|
Oshkosh Corp.*(a)
|
|
|
1,010
|
|
|
|
27,704
|
|
Robbins & Myers, Inc.(a)
|
|
|
465
|
|
|
|
27,714
|
|
Terex Corp.*(a)
|
|
|
1,230
|
|
|
|
27,773
|
|
Trinity Industries, Inc.
|
|
|
920
|
|
|
|
27,572
|
|
|
|
|
|
|
|
|
276,819
|
|
Media - 1.8%
|
|
|
|
|
|
|
|
|
Cinemark Holdings, Inc.
|
|
|
1,230
|
|
|
|
27,589
|
|
Live Nation Entertainment, Inc.*
|
|
|
3,210
|
|
|
|
27,638
|
|
Regal Entertainment Group, Class A(a)
|
|
|
1,965
|
|
|
|
27,648
|
|
Washington Post Co./The, Class B
|
|
|
75
|
|
|
|
27,227
|
|
|
|
|
|
|
|
|
110,102
|
|
Metals & Mining - 2.3%
|
|
|
|
|
|
|
|
|
Carpenter Technology Corp.
|
|
|
530
|
|
|
|
27,730
|
|
Coeur d'Alene Mines Corp.*
|
|
|
960
|
|
|
|
27,677
|
|
Compass Minerals International, Inc.(a)
|
|
|
370
|
|
|
|
27,598
|
|
Titanium Metals Corp.(a)
|
|
|
2,155
|
|
|
|
27,649
|
|
Walter Energy, Inc.(a)
|
|
|
855
|
|
|
|
27,753
|
|
|
|
|
|
|
|
|
138,407
|
|
Multiline Retail - 0.5%
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
940
|
|
|
|
27,805
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities - 0.4%
|
|
|
|
|
|
|
|
|
Vectren Corp.(a)
|
|
|
965
|
|
|
|
27,599
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 2.7%
|
|
|
|
|
|
|
|
|
Berry Petroleum Co., Class A
|
|
|
680
|
|
|
|
27,628
|
|
Kodiak Oil & Gas Corp.*
|
|
|
2,960
|
|
|
|
27,706
|
|
McMoRan Exploration Co.*(a)
|
|
|
2,355
|
|
|
|
27,671
|
|
Oasis Petroleum, Inc.*(a)
|
|
|
935
|
|
|
|
27,554
|
|
Rosetta Resources, Inc.*(a)
|
|
|
575
|
|
|
|
27,543
|
|
Teekay Corp.(a)
|
|
|
885
|
|
|
|
27,612
|
|
|
|
|
|
|
|
|
165,714
|
|
Paper & Forest Products - 0.9%
|
|
|
|
|
|
|
|
|
Domtar Corp.
|
|
|
350
|
|
|
|
27,402
|
|
Louisiana-Pacific Corp.*
|
|
|
2,190
|
|
|
|
27,375
|
|
|
|
|
|
|
|
|
54,777
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Pharmaceuticals - 1.8%
|
|
|
|
|
|
|
|
|
Medicis Pharmaceutical Corp., Class A
|
|
|
640
|
|
|
$
|
27,693
|
|
Questcor Pharmaceuticals, Inc.*
|
|
|
1,485
|
|
|
|
27,472
|
|
Salix Pharmaceuticals Ltd.*
|
|
|
655
|
|
|
|
27,733
|
|
Vivus, Inc.*(a)
|
|
|
1,555
|
|
|
|
27,710
|
|
|
|
|
|
|
|
|
110,608
|
|
Real Estate Investment Trusts (REITs) - 6.3%
|
|
|
|
|
|
|
|
|
American Realty Capital Trust, Inc.
|
|
|
2,345
|
|
|
|
27,507
|
|
Colonial Properties Trust
|
|
|
1,305
|
|
|
|
27,470
|
|
Corporate Office Properties Trust
|
|
|
1,145
|
|
|
|
27,446
|
|
Entertainment Properties Trust
|
|
|
610
|
|
|
|
27,102
|
|
Healthcare Realty Trust, Inc.
|
|
|
1,190
|
|
|
|
27,429
|
|
Highwoods Properties, Inc.
|
|
|
845
|
|
|
|
27,564
|
|
Invesco Mortgage Capital, Inc.
|
|
|
1,360
|
|
|
|
27,377
|
|
LaSalle Hotel Properties
|
|
|
1,035
|
|
|
|
27,624
|
|
Mack-Cali Realty Corp.
|
|
|
1,025
|
|
|
|
27,265
|
|
Omega Healthcare Investors, Inc.(a)
|
|
|
1,210
|
|
|
|
27,503
|
|
Post Properties, Inc.
|
|
|
575
|
|
|
|
27,577
|
|
Starwood Property Trust, Inc.
|
|
|
1,180
|
|
|
|
27,459
|
|
Two Harbors Investment Corp.(a)
|
|
|
2,350
|
|
|
|
27,613
|
|
Washington Real Estate Investment Trust(a)
|
|
|
1,020
|
|
|
|
27,356
|
|
|
|
|
|
|
|
|
384,292
|
|
Real Estate Management & Development - 0.5%
|
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., Class A*
|
|
|
1,750
|
|
|
|
27,738
|
|
|
|
|
|
|
|
|
|
|
Road & Rail - 1.8%
|
|
|
|
|
|
|
|
|
Con-way, Inc.
|
|
|
1,010
|
|
|
|
27,644
|
|
Landstar System, Inc.
|
|
|
580
|
|
|
|
27,422
|
|
Old Dominion Freight Line, Inc.*
|
|
|
915
|
|
|
|
27,596
|
|
Ryder System, Inc.
|
|
|
710
|
|
|
|
27,733
|
|
|
|
|
|
|
|
|
110,395
|
|
Semiconductors & Semiconductor Equipment - 1.8%
|
|
|
|
|
|
|
|
|
Atmel Corp.*
|
|
|
5,250
|
|
|
|
27,615
|
|
Cirrus Logic, Inc.*
|
|
|
720
|
|
|
|
27,641
|
|
Cypress Semiconductor Corp.*
|
|
|
2,575
|
|
|
|
27,604
|
|
Fairchild Semiconductor International, Inc.*
|
|
|
2,095
|
|
|
|
27,486
|
|
|
|
|
|
|
|
|
110,346
|
|
Software - 3.1%
|
|
|
|
|
|
|
|
|
Aspen Technology, Inc.*
|
|
|
1,065
|
|
|
|
27,530
|
|
CommVault Systems, Inc.*
|
|
|
470
|
|
|
|
27,589
|
|
Compuware Corp.*
|
|
|
2,790
|
|
|
|
27,649
|
|
Parametric Technology Corp.*(a)
|
|
|
1,260
|
|
|
|
27,468
|
|
QLIK Technologies, Inc.*(a)
|
|
|
1,235
|
|
|
|
27,677
|
|
Rovi Corp.*(a)
|
|
|
1,900
|
|
|
|
27,569
|
|
Ultimate Software Group, Inc.*(a)
|
|
|
270
|
|
|
|
27,567
|
|
|
|
|
|
|
|
|
193,049
|
|
Specialty Retail - 2.7%
|
|
|
|
|
|
|
|
|
Aaron's, Inc.(a)
|
|
|
990
|
|
|
|
27,532
|
|
Buckle, Inc./The
|
|
|
610
|
|
|
|
27,712
|
|
GameStop Corp., Class A
|
|
|
1,325
|
|
|
|
27,825
|
|
Guess?, Inc.
|
|
|
1,085
|
|
|
|
27,581
|
|
Pier 1 Imports, Inc.
|
|
|
1,470
|
|
|
|
27,548
|
|
Rent-A-Center, Inc.
|
|
|
790
|
|
|
|
27,713
|
|
|
|
|
|
|
|
|
165,911
|
|
Textiles, Apparel & Luxury Goods - 2.3%
|
|
|
|
|
|
|
|
|
Deckers Outdoor Corp.*
|
|
|
755
|
|
|
|
27,663
|
|
Hanesbrands, Inc.*
|
|
|
865
|
|
|
|
27,576
|
|
Steven Madden Ltd.*
|
|
|
635
|
|
|
|
27,762
|
|
Warnaco Group, Inc./The*(a)
|
|
|
530
|
|
|
|
27,507
|
|
Wolverine World Wide, Inc.
|
|
|
620
|
|
|
|
27,510
|
|
|
|
|
|
|
|
|
138,018
|
|
Thrifts & Mortgage Finance - 0.5%
|
|
|
|
|
|
|
|
|
Capitol Federal Financial, Inc.
|
|
|
2,320
|
|
|
|
27,747
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors - 1.3%
|
|
|
|
|
|
|
|
|
Air Lease Corp.*
|
|
|
1,355
|
|
|
|
27,642
|
|
GATX Corp.
|
|
|
645
|
|
|
|
27,374
|
|
Watsco, Inc.(a)
|
|
|
365
|
|
|
|
27,663
|
|
|
|
|
|
|
|
|
82,679
|
|
Water Utilities - 0.5%
|
|
|
|
|
|
|
|
|
Aqua America, Inc.
|
|
|
1,115
|
|
|
|
27,607
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.9%
|
|
|
|
|
|
|
|
|
MetroPCS Communications, Inc.*(a)
|
|
|
2,355
|
|
|
|
27,577
|
|
Telephone & Data Systems, Inc.(a)
|
|
|
1,075
|
|
|
|
27,531
|
|
|
|
|
|
|
|
|
55,108
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $5,291,867)
|
|
|
|
|
|
|
5,517,009
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.2%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (3.6%)
|
|
|
|
|
|
|
|
|
Boeing Co./The
|
|
|
(395
|
)
|
|
|
(27,500
|
)
|
General Dynamics Corp.
|
|
|
(420
|
)
|
|
|
(27,770
|
)
|
Honeywell International, Inc.
|
|
|
(460
|
)
|
|
|
(27,485
|
)
|
Lockheed Martin Corp.
|
|
|
(295
|
)
|
|
|
(27,547
|
)
|
Northrop Grumman Corp.
|
|
|
(415
|
)
|
|
|
(27,568
|
)
|
Precision Castparts Corp.
|
|
|
(170
|
)
|
|
|
(27,768
|
)
|
Raytheon Co.
|
|
|
(485
|
)
|
|
|
(27,723
|
)
|
United Technologies Corp.
|
|
|
(355
|
)
|
|
|
(27,793
|
)
|
|
|
|
|
|
|
|
(221,154
|
)
|
Air Freight & Logistics - (0.9%)
|
|
|
|
|
|
|
|
|
FedEx Corp.
|
|
|
(325
|
)
|
|
|
(27,502
|
)
|
United Parcel Service, Inc., Class B
|
|
|
(385
|
)
|
|
|
(27,554
|
)
|
|
|
|
|
|
|
|
(55,056
|
)
|
Auto Components - (0.4%)
|
|
|
|
|
|
|
|
|
Johnson Controls, Inc.
|
|
|
(1,010
|
)
|
|
|
(27,674
|
)
|
|
|
|
|
|
|
|
|
|
Automobiles - (0.9%)
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
(2,810
|
)
|
|
|
(27,707
|
)
|
General Motors Co.*
|
|
|
(1,215
|
)
|
|
|
(27,641
|
)
|
|
|
|
|
|
|
|
(55,348
|
)
|
Beverages - (0.9%)
|
|
|
|
|
|
|
|
|
Coca-Cola Co./The
|
|
|
(730
|
)
|
|
|
(27,689
|
)
|
PepsiCo, Inc.
|
|
|
(390
|
)
|
|
|
(27,600
|
)
|
|
|
|
|
|
|
|
(55,289
|
)
|
Biotechnology - (1.8%)
|
|
|
|
|
|
|
|
|
Amgen, Inc.
|
|
|
(330
|
)
|
|
|
(27,826
|
)
|
Biogen Idec, Inc.*
|
|
|
(185
|
)
|
|
|
(27,607
|
)
|
Celgene Corp.*
|
|
|
(360
|
)
|
|
|
(27,504
|
)
|
Gilead Sciences, Inc.*
|
|
|
(415
|
)
|
|
|
(27,527
|
)
|
|
|
|
|
|
|
|
(110,464
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Capital Markets - (3.2%)
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp./The
|
|
|
(1,220
|
)
|
|
$
|
(27,596
|
)
|
BlackRock, Inc.
|
|
|
(155
|
)
|
|
|
(27,637
|
)
|
Charles Schwab Corp./The
|
|
|
(2,165
|
)
|
|
|
(27,690
|
)
|
Franklin Resources, Inc.
|
|
|
(220
|
)
|
|
|
(27,515
|
)
|
Goldman Sachs Group, Inc./The
|
|
|
(245
|
)
|
|
|
(27,852
|
)
|
Morgan Stanley
|
|
|
(1,650
|
)
|
|
|
(27,621
|
)
|
State Street Corp.
|
|
|
(660
|
)
|
|
|
(27,694
|
)
|
|
|
|
|
|
|
|
(193,605
|
)
|
Chemicals - (4.1%)
|
|
|
|
|
|
|
|
|
Air Products & Chemicals, Inc.
|
|
|
(335
|
)
|
|
|
(27,705
|
)
|
Dow Chemical Co./The
|
|
|
(955
|
)
|
|
|
(27,657
|
)
|
E.I. du Pont de Nemours & Co.
|
|
|
(550
|
)
|
|
|
(27,649
|
)
|
Ecolab, Inc.
|
|
|
(425
|
)
|
|
|
(27,544
|
)
|
LyondellBasell Industries N.V., Class A
|
|
|
(540
|
)
|
|
|
(27,896
|
)
|
Monsanto Co.
|
|
|
(305
|
)
|
|
|
(27,761
|
)
|
Mosaic Co./The
|
|
|
(480
|
)
|
|
|
(27,653
|
)
|
Praxair, Inc.
|
|
|
(265
|
)
|
|
|
(27,528
|
)
|
Sherwin-Williams Co./The
|
|
|
(185
|
)
|
|
|
(27,548
|
)
|
|
|
|
|
|
|
|
(248,941
|
)
|
Commercial Banks - (1.8%)
|
|
|
|
|
|
|
|
|
BB&T Corp.
|
|
|
(835
|
)
|
|
|
(27,689
|
)
|
PNC Financial Services Group, Inc.
|
|
|
(440
|
)
|
|
|
(27,764
|
)
|
U.S. Bancorp
|
|
|
(805
|
)
|
|
|
(27,611
|
)
|
Wells Fargo & Co.
|
|
|
(800
|
)
|
|
|
(27,624
|
)
|
|
|
|
|
|
|
|
(110,688
|
)
|
Commercial Services & Supplies - (0.9%)
|
|
|
|
|
|
|
|
|
Tyco International Ltd.
|
|
|
(490
|
)
|
|
|
(27,567
|
)
|
Waste Management, Inc.
|
|
|
(860
|
)
|
|
|
(27,589
|
)
|
|
|
|
|
|
|
|
(55,156
|
)
|
Communications Equipment - (1.3%)
|
|
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
|
(1,440
|
)
|
|
|
(27,490
|
)
|
Motorola Solutions, Inc.
|
|
|
(545
|
)
|
|
|
(27,550
|
)
|
QUALCOMM, Inc.
|
|
|
(440
|
)
|
|
|
(27,495
|
)
|
|
|
|
|
|
|
|
(82,535
|
)
|
Computers & Peripherals - (1.8%)
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
(40
|
)
|
|
|
(26,690
|
)
|
Dell, Inc.
|
|
|
(2,795
|
)
|
|
|
(27,559
|
)
|
EMC Corp.*
|
|
|
(1,010
|
)
|
|
|
(27,543
|
)
|
Hewlett-Packard Co.
|
|
|
(1,625
|
)
|
|
|
(27,722
|
)
|
|
|
|
|
|
|
|
(109,514
|
)
|
Consumer Finance - (1.3%)
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
(485
|
)
|
|
|
(27,577
|
)
|
Capital One Financial Corp.
|
|
|
(485
|
)
|
|
|
(27,650
|
)
|
Discover Financial Services
|
|
|
(695
|
)
|
|
|
(27,612
|
)
|
|
|
|
|
|
|
|
(82,839
|
)
|
Diversified Financial Services - (1.8%)
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
|
(3,135
|
)
|
|
|
(27,682
|
)
|
Citigroup, Inc.
|
|
|
(845
|
)
|
|
|
(27,648
|
)
|
CME Group, Inc.
|
|
|
(485
|
)
|
|
|
(27,791
|
)
|
JPMorgan Chase & Co.
|
|
|
(685
|
)
|
|
|
(27,729
|
)
|
|
|
|
|
|
|
|
(110,850
|
)
|
Diversified Telecommunication Services - (1.4%)
|
|
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
(735
|
)
|
|
|
(27,709
|
)
|
CenturyLink, Inc.
|
|
|
(685
|
)
|
|
|
(27,674
|
)
|
Verizon Communications, Inc.
|
|
|
(610
|
)
|
|
|
(27,798
|
)
|
|
|
|
|
|
|
|
(83,181
|
)
|
Electric Utilities - (3.2%)
|
|
|
|
|
|
|
|
|
American Electric Power Co., Inc.
|
|
|
(630
|
)
|
|
|
(27,682
|
)
|
Duke Energy Corp.
|
|
|
(430
|
)
|
|
|
(27,864
|
)
|
Exelon Corp.
|
|
|
(775
|
)
|
|
|
(27,574
|
)
|
FirstEnergy Corp.
|
|
|
(625
|
)
|
|
|
(27,563
|
)
|
NextEra Energy, Inc.
|
|
|
(395
|
)
|
|
|
(27,780
|
)
|
PPL Corp.
|
|
|
(955
|
)
|
|
|
(27,743
|
)
|
Southern Co./The
|
|
|
(600
|
)
|
|
|
(27,654
|
)
|
|
|
|
|
|
|
|
(193,860
|
)
|
Electrical Equipment - (0.4%)
|
|
|
|
|
|
|
|
|
Emerson Electric Co.
|
|
|
(570
|
)
|
|
|
(27,514
|
)
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components - (0.9%)
|
|
|
|
|
|
|
|
|
Corning, Inc.
|
|
|
(2,095
|
)
|
|
|
(27,549
|
)
|
TE Connectivity Ltd.
|
|
|
(815
|
)
|
|
|
(27,718
|
)
|
|
|
|
|
|
|
|
(55,267
|
)
|
Energy Equipment & Services - (1.8%)
|
|
|
|
|
|
|
|
|
Baker Hughes, Inc.
|
|
|
(615
|
)
|
|
|
(27,816
|
)
|
Halliburton Co.
|
|
|
(820
|
)
|
|
|
(27,626
|
)
|
National Oilwell Varco, Inc.
|
|
|
(345
|
)
|
|
|
(27,638
|
)
|
Schlumberger Ltd.
|
|
|
(385
|
)
|
|
|
(27,847
|
)
|
|
|
|
|
|
|
|
(110,927
|
)
|
Food & Staples Retailing - (2.7%)
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
(275
|
)
|
|
|
(27,534
|
)
|
CVS Caremark Corp.
|
|
|
(575
|
)
|
|
|
(27,842
|
)
|
Sysco Corp.
|
|
|
(885
|
)
|
|
|
(27,674
|
)
|
Walgreen Co.
|
|
|
(760
|
)
|
|
|
(27,694
|
)
|
Wal-Mart Stores, Inc.
|
|
|
(375
|
)
|
|
|
(27,675
|
)
|
Whole Foods Market, Inc.
|
|
|
(285
|
)
|
|
|
(27,759
|
)
|
|
|
|
|
|
|
|
(166,178
|
)
|
Food Products - (1.8%)
|
|
|
|
|
|
|
|
|
Archer-Daniels-Midland Co.
|
|
|
(1,015
|
)
|
|
|
(27,588
|
)
|
General Mills, Inc.
|
|
|
(695
|
)
|
|
|
(27,696
|
)
|
Kellogg Co.
|
|
|
(535
|
)
|
|
|
(27,638
|
)
|
Kraft Foods, Inc., Class A
|
|
|
(670
|
)
|
|
|
(27,704
|
)
|
|
|
|
|
|
|
|
(110,626
|
)
|
Health Care Equipment & Supplies - (2.2%)
|
|
|
|
|
|
|
|
|
Baxter International, Inc.
|
|
|
(460
|
)
|
|
|
(27,719
|
)
|
Covidien plc
|
|
|
(465
|
)
|
|
|
(27,630
|
)
|
Intuitive Surgical, Inc.*
|
|
|
(55
|
)
|
|
|
(27,260
|
)
|
Medtronic, Inc.
|
|
|
(640
|
)
|
|
|
(27,597
|
)
|
Stryker Corp.
|
|
|
(495
|
)
|
|
|
(27,552
|
)
|
|
|
|
|
|
|
|
(137,758
|
)
|
Health Care Providers & Services - (1.8%)
|
|
|
|
|
|
|
|
|
Express Scripts Holding Co.*
|
|
|
(440
|
)
|
|
|
(27,575
|
)
|
McKesson Corp.
|
|
|
(320
|
)
|
|
|
(27,529
|
)
|
UnitedHealth Group, Inc.
|
|
|
(500
|
)
|
|
|
(27,705
|
)
|
WellPoint, Inc.
|
|
|
(475
|
)
|
|
|
(27,555
|
)
|
|
|
|
|
|
|
|
(110,364
|
)
|
Hotels, Restaurants & Leisure - (2.2%)
|
|
|
|
|
|
|
|
|
Carnival Corp.
|
|
|
(760
|
)
|
|
|
(27,694
|
)
|
Las Vegas Sands Corp.
|
|
|
(595
|
)
|
|
|
(27,590
|
)
|
McDonald's Corp.
|
|
|
(300
|
)
|
|
|
(27,525
|
)
|
Starbucks Corp.
|
|
|
(545
|
)
|
|
|
(27,659
|
)
|
Yum! Brands, Inc.
|
|
|
(415
|
)
|
|
|
(27,531
|
)
|
|
|
|
|
|
|
|
(137,999
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Household Products - (1.4%)
|
|
|
|
|
|
|
|
|
Colgate-Palmolive Co.
|
|
|
(260
|
)
|
|
$
|
(27,877
|
)
|
Kimberly-Clark Corp.
|
|
|
(325
|
)
|
|
|
(27,879
|
)
|
Procter & Gamble Co./The
|
|
|
(400
|
)
|
|
|
(27,744
|
)
|
|
|
|
|
|
|
|
(83,500
|
)
|
Industrial Conglomerates - (1.4%)
|
|
|
|
|
|
|
|
|
3M Co.
|
|
|
(300
|
)
|
|
|
(27,726
|
)
|
Danaher Corp.
|
|
|
(500
|
)
|
|
|
(27,575
|
)
|
General Electric Co.
|
|
|
(1,220
|
)
|
|
|
(27,706
|
)
|
|
|
|
|
|
|
|
(83,007
|
)
|
Insurance - (5.0%)
|
|
|
|
|
|
|
|
|
ACE Ltd.
|
|
|
(365
|
)
|
|
|
(27,594
|
)
|
Aflac, Inc.
|
|
|
(580
|
)
|
|
|
(27,770
|
)
|
American International Group, Inc.*
|
|
|
(840
|
)
|
|
|
(27,544
|
)
|
Aon plc
|
|
|
(530
|
)
|
|
|
(27,714
|
)
|
Berkshire Hathaway, Inc., Class B*
|
|
|
(315
|
)
|
|
|
(27,783
|
)
|
Chubb Corp./The
|
|
|
(360
|
)
|
|
|
(27,461
|
)
|
Loews Corp.
|
|
|
(670
|
)
|
|
|
(27,644
|
)
|
Marsh & McLennan Cos., Inc.
|
|
|
(815
|
)
|
|
|
(27,653
|
)
|
MetLife, Inc.
|
|
|
(800
|
)
|
|
|
(27,568
|
)
|
Prudential Financial, Inc.
|
|
|
(505
|
)
|
|
|
(27,528
|
)
|
Travelers Cos., Inc./The
|
|
|
(405
|
)
|
|
|
(27,645
|
)
|
|
|
|
|
|
|
|
(303,904
|
)
|
Internet & Catalog Retail - (0.9%)
|
|
|
|
|
|
|
|
|
Amazon.com, Inc.*
|
|
|
(110
|
)
|
|
|
(27,975
|
)
|
priceline.com, Inc.*
|
|
|
(45
|
)
|
|
|
(27,843
|
)
|
|
|
|
|
|
|
|
(55,818
|
)
|
Internet Software & Services - (1.3%)
|
|
|
|
|
|
|
|
|
eBay, Inc.*
|
|
|
(570
|
)
|
|
|
(27,594
|
)
|
Google, Inc., Class A*
|
|
|
(35
|
)
|
|
|
(26,407
|
)
|
Yahoo!, Inc.*
|
|
|
(1,730
|
)
|
|
|
(27,637
|
)
|
|
|
|
|
|
|
|
(81,638
|
)
|
IT Services - (2.7%)
|
|
|
|
|
|
|
|
|
Accenture plc, Class A
|
|
|
(395
|
)
|
|
|
(27,662
|
)
|
Automatic Data Processing, Inc.
|
|
|
(470
|
)
|
|
|
(27,570
|
)
|
Cognizant Technology Solutions Corp., Class A*
|
|
|
(395
|
)
|
|
|
(27,618
|
)
|
International Business Machines Corp.
|
|
|
(135
|
)
|
|
|
(28,006
|
)
|
Mastercard, Inc., Class A
|
|
|
(60
|
)
|
|
|
(27,089
|
)
|
Visa, Inc., Class A
|
|
|
(205
|
)
|
|
|
(27,527
|
)
|
|
|
|
|
|
|
|
(165,472
|
)
|
Life Sciences Tools & Services - (0.4%)
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
(715
|
)
|
|
|
(27,492
|
)
|
|
|
|
|
|
|
|
|
|
Machinery - (3.6%)
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
(320
|
)
|
|
|
(27,533
|
)
|
Cummins, Inc.
|
|
|
(300
|
)
|
|
|
(27,663
|
)
|
Deere & Co.
|
|
|
(335
|
)
|
|
|
(27,634
|
)
|
Eaton Corp.
|
|
|
(585
|
)
|
|
|
(27,647
|
)
|
Illinois Tool Works, Inc.
|
|
|
(465
|
)
|
|
|
(27,654
|
)
|
Ingersoll-Rand plc
|
|
|
(615
|
)
|
|
|
(27,564
|
)
|
PACCAR, Inc.
|
|
|
(695
|
)
|
|
|
(27,817
|
)
|
Parker Hannifin Corp.
|
|
|
(330
|
)
|
|
|
(27,582
|
)
|
|
|
|
|
|
|
|
(221,094
|
)
|
Media - (3.6%)
|
|
|
|
|
|
|
|
|
CBS Corp., Class B
|
|
|
(765
|
)
|
|
|
(27,793
|
)
|
Comcast Corp., Class A
|
|
|
(770
|
)
|
|
|
(27,543
|
)
|
DIRECTV*
|
|
|
(525
|
)
|
|
|
(27,542
|
)
|
News Corp., Class A
|
|
|
(1,125
|
)
|
|
|
(27,596
|
)
|
Time Warner Cable, Inc.
|
|
|
(290
|
)
|
|
|
(27,567
|
)
|
Time Warner, Inc.
|
|
|
(610
|
)
|
|
|
(27,651
|
)
|
Viacom, Inc., Class B
|
|
|
(515
|
)
|
|
|
(27,599
|
)
|
Walt Disney Co./The
|
|
|
(530
|
)
|
|
|
(27,708
|
)
|
|
|
|
|
|
|
|
(220,999
|
)
|
Metals & Mining - (0.9%)
|
|
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold, Inc.
|
|
|
(700
|
)
|
|
|
(27,706
|
)
|
Newmont Mining Corp.
|
|
|
(495
|
)
|
|
|
(27,725
|
)
|
|
|
|
|
|
|
|
(55,431
|
)
|
Multiline Retail - (0.9%)
|
|
|
|
|
|
|
|
|
Macy's, Inc.
|
|
|
(735
|
)
|
|
|
(27,651
|
)
|
Target Corp.
|
|
|
(435
|
)
|
|
|
(27,609
|
)
|
|
|
|
|
|
|
|
(55,260
|
)
|
Multi-Utilities - (1.4%)
|
|
|
|
|
|
|
|
|
Consolidated Edison, Inc.
|
|
|
(465
|
)
|
|
|
(27,849
|
)
|
Dominion Resources, Inc.
|
|
|
(520
|
)
|
|
|
(27,529
|
)
|
PG&E Corp.
|
|
|
(650
|
)
|
|
|
(27,735
|
)
|
|
|
|
|
|
|
|
(83,113
|
)
|
Oil, Gas & Consumable Fuels - (5.4%)
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
|
|
|
(395
|
)
|
|
|
(27,618
|
)
|
Apache Corp.
|
|
|
(320
|
)
|
|
|
(27,671
|
)
|
Chevron Corp.
|
|
|
(240
|
)
|
|
|
(27,975
|
)
|
ConocoPhillips
|
|
|
(485
|
)
|
|
|
(27,732
|
)
|
Devon Energy Corp.
|
|
|
(460
|
)
|
|
|
(27,830
|
)
|
EOG Resources, Inc.
|
|
|
(245
|
)
|
|
|
(27,452
|
)
|
Exxon Mobil Corp.
|
|
|
(305
|
)
|
|
|
(27,892
|
)
|
Kinder Morgan, Inc.
|
|
|
(780
|
)
|
|
|
(27,706
|
)
|
Occidental Petroleum Corp.
|
|
|
(320
|
)
|
|
|
(27,539
|
)
|
Phillips 66
|
|
|
(595
|
)
|
|
|
(27,590
|
)
|
Spectra Energy Corp.
|
|
|
(945
|
)
|
|
|
(27,745
|
)
|
Williams Cos., Inc./The
|
|
|
(795
|
)
|
|
|
(27,801
|
)
|
|
|
|
|
|
|
|
(332,551
|
)
|
Paper & Forest Products - (0.5%)
|
|
|
|
|
|
|
|
|
International Paper Co.
|
|
|
(765
|
)
|
|
|
(27,785
|
)
|
|
|
|
|
|
|
|
|
|
Personal Products - (0.5%)
|
|
|
|
|
|
|
|
|
Estee Lauder Cos., Inc./The, Class A
|
|
|
(450
|
)
|
|
|
(27,707
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (3.2%)
|
|
|
|
|
|
|
|
|
Abbott Laboratories
|
|
|
(405
|
)
|
|
|
(27,767
|
)
|
Allergan, Inc.
|
|
|
(300
|
)
|
|
|
(27,474
|
)
|
Bristol-Myers Squibb Co.
|
|
|
(820
|
)
|
|
|
(27,675
|
)
|
Eli Lilly & Co.
|
|
|
(585
|
)
|
|
|
(27,735
|
)
|
Johnson & Johnson
|
|
|
(400
|
)
|
|
|
(27,564
|
)
|
Merck & Co., Inc.
|
|
|
(615
|
)
|
|
|
(27,736
|
)
|
Pfizer, Inc.
|
|
|
(1,115
|
)
|
|
|
(27,708
|
)
|
|
|
|
|
|
|
|
(193,659
|
)
|
Real Estate Investment Trusts (REITs) - (3.6%)
|
|
|
|
|
|
|
|
|
American Tower Corp.
|
|
|
(390
|
)
|
|
|
(27,842
|
)
|
Boston Properties, Inc.
|
|
|
(250
|
)
|
|
|
(27,653
|
)
|
Equity Residential
|
|
|
(480
|
)
|
|
|
(27,614
|
)
|
General Growth Properties, Inc.
|
|
|
(1,430
|
)
|
|
|
(27,856
|
)
|
HCP, Inc.
|
|
|
(620
|
)
|
|
|
(27,578
|
)
|
Prologis, Inc.
|
|
|
(790
|
)
|
|
|
(27,674
|
)
|
Public Storage
|
|
|
(200
|
)
|
|
|
(27,834
|
)
|
Simon Property Group, Inc.
|
|
|
(180
|
)
|
|
|
(27,326
|
)
|
|
|
|
|
|
|
|
(221,377
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Size Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Road & Rail - (1.4%)
|
|
|
|
|
|
|
|
|
CSX Corp.
|
|
|
(1,335
|
)
|
|
$
|
(27,701
|
)
|
Norfolk Southern Corp.
|
|
|
(435
|
)
|
|
|
(27,679
|
)
|
Union Pacific Corp.
|
|
|
(235
|
)
|
|
|
(27,895
|
)
|
|
|
|
|
|
|
|
(83,275
|
)
|
Semiconductors & Semiconductor Equipment - (1.3%)
|
|
|
|
|
|
|
|
|
Broadcom Corp., Class A*
|
|
|
(795
|
)
|
|
|
(27,491
|
)
|
Intel Corp.
|
|
|
(1,215
|
)
|
|
|
(27,556
|
)
|
Texas Instruments, Inc.
|
|
|
(1,000
|
)
|
|
|
(27,550
|
)
|
|
|
|
|
|
|
|
(82,597
|
)
|
Software - (2.7%)
|
|
|
|
|
|
|
|
|
Adobe Systems, Inc.*
|
|
|
(850
|
)
|
|
|
(27,591
|
)
|
Intuit, Inc.
|
|
|
(470
|
)
|
|
|
(27,674
|
)
|
Microsoft Corp.
|
|
|
(925
|
)
|
|
|
(27,546
|
)
|
Oracle Corp.
|
|
|
(880
|
)
|
|
|
(27,711
|
)
|
Salesforce.com, Inc.*
|
|
|
(180
|
)
|
|
|
(27,484
|
)
|
VMware, Inc., Class A*
|
|
|
(285
|
)
|
|
|
(27,571
|
)
|
|
|
|
|
|
|
|
(165,577
|
)
|
Specialty Retail - (1.4%)
|
|
|
|
|
|
|
|
|
Home Depot, Inc./The
|
|
|
(460
|
)
|
|
|
(27,770
|
)
|
Lowe's Cos., Inc.
|
|
|
(915
|
)
|
|
|
(27,670
|
)
|
TJX Cos., Inc.
|
|
|
(615
|
)
|
|
|
(27,546
|
)
|
|
|
|
|
|
|
|
(82,986
|
)
|
Textiles, Apparel & Luxury Goods - (0.9%)
|
|
|
|
|
|
|
|
|
Coach, Inc.
|
|
|
(495
|
)
|
|
|
(27,730
|
)
|
NIKE, Inc., Class B
|
|
|
(290
|
)
|
|
|
(27,524
|
)
|
|
|
|
|
|
|
|
(55,254
|
)
|
Tobacco - (1.8%)
|
|
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
|
(830
|
)
|
|
|
(27,714
|
)
|
Lorillard, Inc.
|
|
|
(240
|
)
|
|
|
(27,948
|
)
|
Philip Morris International, Inc.
|
|
|
(305
|
)
|
|
|
(27,432
|
)
|
Reynolds American, Inc.
|
|
|
(640
|
)
|
|
|
(27,737
|
)
|
|
|
|
|
|
|
|
(110,831
|
)
|
Trading Companies & Distributors - (0.9%)
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
(645
|
)
|
|
|
(27,729
|
)
|
W.W. Grainger, Inc.
|
|
|
(135
|
)
|
|
|
(28,130
|
)
|
|
|
|
|
|
|
|
(55,859
|
)
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $5,103,042)
|
|
|
|
|
|
|
(5,528,973
|
)
|
Other assets less liabilities —
100.2%
|
|
|
|
|
|
|
6,140,490
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
6,128,526
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $1,877,323.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation
|
|
$
|
344,307
|
|
Aggregate gross unrealized depreciation
|
|
|
(968,247
|
)
|
Net unrealized depreciation
|
|
$
|
(623,940
|
)
|
Federal income tax cost of investments
|
|
$
|
611,976
|
|
|
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
481,086
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral Size Index
|
|
$
|
128,968
|
|
|
(527,517
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Size Index
|
|
(0.04)%
|
|
|
(82,883
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
46,085
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.9%
|
|
|
|
|
|
|
|
|
General Dynamics Corp.
|
|
|
231
|
|
|
$
|
15,274
|
|
Precision Castparts Corp.(a)
|
|
|
93
|
|
|
|
15,190
|
|
|
|
|
|
|
|
|
30,464
|
|
Air Freight & Logistics - 0.9%
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.
|
|
|
261
|
|
|
|
15,282
|
|
Expeditors International of Washington, Inc.
|
|
|
423
|
|
|
|
15,380
|
|
|
|
|
|
|
|
|
30,662
|
|
Auto Components - 0.9%
|
|
|
|
|
|
|
|
|
Gentex Corp.
|
|
|
900
|
|
|
|
15,309
|
|
TRW Automotive Holdings Corp.*(a)
|
|
|
351
|
|
|
|
15,342
|
|
|
|
|
|
|
|
|
30,651
|
|
Beverages - 0.9%
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
237
|
|
|
|
15,464
|
|
Monster Beverage Corp.*(a)
|
|
|
282
|
|
|
|
15,273
|
|
|
|
|
|
|
|
|
30,737
|
|
Biotechnology - 2.7%
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*(a)
|
|
|
135
|
|
|
|
15,444
|
|
Biogen Idec, Inc.*(a)
|
|
|
102
|
|
|
|
15,222
|
|
Celgene Corp.*
|
|
|
201
|
|
|
|
15,357
|
|
Myriad Genetics, Inc.*
|
|
|
567
|
|
|
|
15,303
|
|
United Therapeutics Corp.*(a)
|
|
|
273
|
|
|
|
15,255
|
|
Vertex Pharmaceuticals, Inc.*
|
|
|
273
|
|
|
|
15,274
|
|
|
|
|
|
|
|
|
91,855
|
|
Capital Markets - 3.6%
|
|
|
|
|
|
|
|
|
BlackRock, Inc.(a)
|
|
|
87
|
|
|
|
15,512
|
|
Eaton Vance Corp.
|
|
|
531
|
|
|
|
15,378
|
|
Federated Investors, Inc., Class B
|
|
|
741
|
|
|
|
15,331
|
|
Franklin Resources, Inc.(a)
|
|
|
123
|
|
|
|
15,384
|
|
SEI Investments Co.(a)
|
|
|
714
|
|
|
|
15,315
|
|
T. Rowe Price Group, Inc.(a)
|
|
|
243
|
|
|
|
15,382
|
|
TD Ameritrade Holding Corp.(a)
|
|
|
1,005
|
|
|
|
15,447
|
|
Waddell & Reed Financial, Inc., Class A
|
|
|
465
|
|
|
|
15,238
|
|
|
|
|
|
|
|
|
122,987
|
|
Chemicals - 3.6%
|
|
|
|
|
|
|
|
|
Albemarle Corp.
|
|
|
291
|
|
|
|
15,330
|
|
CF Industries Holdings, Inc.(a)
|
|
|
69
|
|
|
|
15,334
|
|
FMC Corp.
|
|
|
279
|
|
|
|
15,451
|
|
Intrepid Potash, Inc.*(a)
|
|
|
714
|
|
|
|
15,337
|
|
LyondellBasell Industries N.V., Class A(a)
|
|
|
297
|
|
|
|
15,343
|
|
Mosaic Co./The(a)
|
|
|
267
|
|
|
|
15,382
|
|
NewMarket Corp.(a)
|
|
|
63
|
|
|
|
15,528
|
|
Sigma-Aldrich Corp.(a)
|
|
|
213
|
|
|
|
15,330
|
|
|
|
|
|
|
|
|
123,035
|
|
Communications Equipment - 1.3%
|
|
|
|
|
|
|
|
|
Aruba Networks, Inc.*(a)
|
|
|
681
|
|
|
|
15,312
|
|
F5 Networks, Inc.*
|
|
|
147
|
|
|
|
15,391
|
|
Plantronics, Inc.(a)
|
|
|
432
|
|
|
|
15,263
|
|
|
|
|
|
|
|
|
45,966
|
|
Computers & Peripherals - 0.5%
|
|
|
|
|
|
|
|
|
Apple, Inc.(a)
|
|
|
24
|
|
|
|
16,014
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering - 1.4%
|
|
|
|
|
|
|
|
|
Fluor Corp.
|
|
|
273
|
|
|
|
15,365
|
|
Foster Wheeler AG*
|
|
|
639
|
|
|
|
15,310
|
|
KBR, Inc.(a)
|
|
|
513
|
|
|
|
15,298
|
|
|
|
|
|
|
|
|
45,973
|
|
Distributors - 0.5%
|
|
|
|
|
|
|
|
|
Genuine Parts Co.
|
|
|
252
|
|
|
|
15,380
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 0.4%
|
|
|
|
|
|
|
|
|
Apollo Group, Inc., Class A*
|
|
|
525
|
|
|
|
15,251
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 1.8%
|
|
|
|
|
|
|
|
|
CBOE Holdings, Inc.
|
|
|
522
|
|
|
|
15,357
|
|
CME Group, Inc.
|
|
|
267
|
|
|
|
15,299
|
|
IntercontinentalExchange, Inc.*(a)
|
|
|
114
|
|
|
|
15,209
|
|
Leucadia National Corp.(a)
|
|
|
672
|
|
|
|
15,288
|
|
|
|
|
|
|
|
|
61,153
|
|
Diversified Telecommunication Services - 0.5%
|
|
|
|
|
|
|
|
|
Windstream Corp.
|
|
|
1,518
|
|
|
|
15,347
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 1.8%
|
|
|
|
|
|
|
|
|
Cleco Corp.
|
|
|
366
|
|
|
|
15,365
|
|
Pinnacle West Capital Corp.
|
|
|
291
|
|
|
|
15,365
|
|
PPL Corp.(a)
|
|
|
531
|
|
|
|
15,425
|
|
Southern Co./The
|
|
|
333
|
|
|
|
15,348
|
|
|
|
|
|
|
|
|
61,503
|
|
Electrical Equipment - 0.9%
|
|
|
|
|
|
|
|
|
Babcock & Wilcox Co./The*
|
|
|
603
|
|
|
|
15,358
|
|
Rockwell Automation, Inc.(a)
|
|
|
219
|
|
|
|
15,232
|
|
|
|
|
|
|
|
|
30,590
|
|
Electronic Equipment, Instruments & Components - 1.3%
|
|
|
|
|
|
|
|
|
Dolby Laboratories, Inc., Class A*
|
|
|
465
|
|
|
|
15,229
|
|
FEI Co.
|
|
|
282
|
|
|
|
15,087
|
|
IPG Photonics Corp.*(a)
|
|
|
267
|
|
|
|
15,299
|
|
|
|
|
|
|
|
|
45,615
|
|
Energy Equipment & Services - 4.0%
|
|
|
|
|
|
|
|
|
CARBO Ceramics, Inc.
|
|
|
243
|
|
|
|
15,290
|
|
Diamond Offshore Drilling, Inc.
|
|
|
231
|
|
|
|
15,202
|
|
Dril-Quip, Inc.*
|
|
|
213
|
|
|
|
15,310
|
|
Halliburton Co.(a)
|
|
|
453
|
|
|
|
15,262
|
|
Helmerich & Payne, Inc.
|
|
|
321
|
|
|
|
15,283
|
|
National Oilwell Varco, Inc.(a)
|
|
|
192
|
|
|
|
15,381
|
|
Oceaneering International, Inc.(a)
|
|
|
276
|
|
|
|
15,249
|
|
Patterson-UTI Energy, Inc.(a)
|
|
|
966
|
|
|
|
15,301
|
|
Schlumberger Ltd.
|
|
|
213
|
|
|
|
15,406
|
|
|
|
|
|
|
|
|
137,684
|
|
Food & Staples Retailing - 0.5%
|
|
|
|
|
|
|
|
|
Fresh Market, Inc./The*
|
|
|
258
|
|
|
|
15,475
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.9%
|
|
|
|
|
|
|
|
|
Green Mountain Coffee Roasters, Inc.*(a)
|
|
|
639
|
|
|
|
15,176
|
|
Hormel Foods Corp.
|
|
|
525
|
|
|
|
15,351
|
|
|
|
|
|
|
|
|
30,527
|
|
Gas Utilities - 1.8%
|
|
|
|
|
|
|
|
|
National Fuel Gas Co.
|
|
|
285
|
|
|
|
15,401
|
|
New Jersey Resources Corp.(a)
|
|
|
333
|
|
|
|
15,225
|
|
Questar Corp.(a)
|
|
|
756
|
|
|
|
15,369
|
|
WGL Holdings, Inc.
|
|
|
378
|
|
|
|
15,215
|
|
|
|
|
|
|
|
|
61,210
|
|
Health Care Equipment & Supplies - 3.6%
|
|
|
|
|
|
|
|
|
Align Technology, Inc.*(a)
|
|
|
414
|
|
|
|
15,306
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Edwards Lifesciences Corp.*
|
|
|
141
|
|
|
$
|
15,139
|
|
Hill-Rom Holdings, Inc.(a)
|
|
|
528
|
|
|
|
15,344
|
|
IDEXX Laboratories, Inc.*(a)
|
|
|
153
|
|
|
|
15,200
|
|
Intuitive Surgical, Inc.*(a)
|
|
|
30
|
|
|
|
14,869
|
|
Stryker Corp.
|
|
|
276
|
|
|
|
15,362
|
|
Thoratec Corp.*(a)
|
|
|
444
|
|
|
|
15,362
|
|
Varian Medical Systems, Inc.*(a)
|
|
|
255
|
|
|
|
15,382
|
|
|
|
|
|
|
|
|
121,964
|
|
Health Care Providers & Services - 0.4%
|
|
|
|
|
|
|
|
|
WellCare Health Plans, Inc.*(a)
|
|
|
270
|
|
|
|
15,268
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 1.8%
|
|
|
|
|
|
|
|
|
Cheesecake Factory, Inc./The
|
|
|
429
|
|
|
|
15,337
|
|
Chipotle Mexican Grill, Inc.*(a)
|
|
|
48
|
|
|
|
15,242
|
|
Panera Bread Co., Class A*(a)
|
|
|
90
|
|
|
|
15,380
|
|
Starbucks Corp.(a)
|
|
|
303
|
|
|
|
15,377
|
|
|
|
|
|
|
|
|
61,336
|
|
Household Durables - 0.9%
|
|
|
|
|
|
|
|
|
Garmin Ltd.
|
|
|
366
|
|
|
|
15,277
|
|
Harman International Industries, Inc.
|
|
|
330
|
|
|
|
15,233
|
|
|
|
|
|
|
|
|
30,510
|
|
Industrial Conglomerates - 0.4%
|
|
|
|
|
|
|
|
|
3M Co.(a)
|
|
|
165
|
|
|
|
15,249
|
|
|
|
|
|
|
|
|
|
|
Insurance - 10.4%
|
|
|
|
|
|
|
|
|
ACE Ltd.
|
|
|
204
|
|
|
|
15,423
|
|
Aflac, Inc.
|
|
|
321
|
|
|
|
15,370
|
|
Alleghany Corp.*(a)
|
|
|
45
|
|
|
|
15,522
|
|
Allied World Assurance Co. Holdings AG(a)
|
|
|
198
|
|
|
|
15,296
|
|
American Financial Group, Inc./OH(a)
|
|
|
402
|
|
|
|
15,236
|
|
American International Group, Inc.*(a)
|
|
|
465
|
|
|
|
15,247
|
|
Arch Capital Group Ltd.*(a)
|
|
|
369
|
|
|
|
15,380
|
|
Arthur J. Gallagher & Co.
|
|
|
429
|
|
|
|
15,367
|
|
Assurant, Inc.(a)
|
|
|
411
|
|
|
|
15,330
|
|
Assured Guaranty Ltd.(a)
|
|
|
1,128
|
|
|
|
15,363
|
|
Axis Capital Holdings Ltd.
|
|
|
441
|
|
|
|
15,400
|
|
Brown & Brown, Inc.
|
|
|
588
|
|
|
|
15,329
|
|
Chubb Corp./The
|
|
|
201
|
|
|
|
15,332
|
|
Fidelity National Financial, Inc., Class A
|
|
|
717
|
|
|
|
15,337
|
|
HCC Insurance Holdings, Inc.
|
|
|
453
|
|
|
|
15,352
|
|
Marsh & McLennan Cos., Inc.
|
|
|
453
|
|
|
|
15,370
|
|
PartnerRe Ltd.(a)
|
|
|
207
|
|
|
|
15,376
|
|
ProAssurance Corp.
|
|
|
171
|
|
|
|
15,465
|
|
Progressive Corp./The(a)
|
|
|
738
|
|
|
|
15,306
|
|
Reinsurance Group of America, Inc.(a)
|
|
|
264
|
|
|
|
15,278
|
|
RenaissanceRe Holdings Ltd.(a)
|
|
|
198
|
|
|
|
15,254
|
|
Torchmark Corp.
|
|
|
300
|
|
|
|
15,405
|
|
Validus Holdings Ltd.(a)
|
|
|
453
|
|
|
|
15,361
|
|
|
|
|
|
|
|
|
353,099
|
|
Internet & Catalog Retail - 0.4%
|
|
|
|
|
|
|
|
|
priceline.com, Inc.*(a)
|
|
|
24
|
|
|
|
14,849
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - 1.4%
|
|
|
|
|
|
|
|
|
AOL, Inc.*
|
|
|
435
|
|
|
|
15,325
|
|
eBay, Inc.*
|
|
|
315
|
|
|
|
15,249
|
|
Google, Inc., Class A*(a)
|
|
|
21
|
|
|
|
15,845
|
|
|
|
|
|
|
|
|
46,419
|
|
IT Services - 4.5%
|
|
|
|
|
|
|
|
|
Accenture plc, Class A
|
|
|
219
|
|
|
|
15,337
|
|
Automatic Data Processing, Inc.
|
|
|
261
|
|
|
|
15,310
|
|
Cognizant Technology Solutions Corp., Class A*
|
|
|
219
|
|
|
|
15,312
|
|
Convergys Corp.
|
|
|
972
|
|
|
|
15,231
|
|
Jack Henry & Associates, Inc.(a)
|
|
|
405
|
|
|
|
15,350
|
|
Mastercard, Inc., Class A
|
|
|
33
|
|
|
|
14,899
|
|
Paychex, Inc.(a)
|
|
|
462
|
|
|
|
15,380
|
|
Teradata Corp.*(a)
|
|
|
201
|
|
|
|
15,157
|
|
Total System Services, Inc.(a)
|
|
|
648
|
|
|
|
15,358
|
|
Visa, Inc., Class A(a)
|
|
|
114
|
|
|
|
15,308
|
|
|
|
|
|
|
|
|
152,642
|
|
Leisure Equipment & Products - 0.4%
|
|
|
|
|
|
|
|
|
Polaris Industries, Inc.(a)
|
|
|
189
|
|
|
|
15,284
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.4%
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
396
|
|
|
|
15,226
|
|
|
|
|
|
|
|
|
|
|
Machinery - 4.9%
|
|
|
|
|
|
|
|
|
CLARCOR, Inc.
|
|
|
342
|
|
|
|
15,263
|
|
Cummins, Inc.
|
|
|
165
|
|
|
|
15,215
|
|
Donaldson Co., Inc.
|
|
|
441
|
|
|
|
15,307
|
|
Flowserve Corp.(a)
|
|
|
120
|
|
|
|
15,329
|
|
Gardner Denver, Inc.
|
|
|
252
|
|
|
|
15,223
|
|
Lincoln Electric Holdings, Inc.
|
|
|
393
|
|
|
|
15,347
|
|
Parker Hannifin Corp.(a)
|
|
|
183
|
|
|
|
15,295
|
|
Robbins & Myers, Inc.(a)
|
|
|
258
|
|
|
|
15,377
|
|
Timken Co.(a)
|
|
|
414
|
|
|
|
15,384
|
|
Valmont Industries, Inc.(a)
|
|
|
117
|
|
|
|
15,386
|
|
WABCO Holdings, Inc.*(a)
|
|
|
267
|
|
|
|
15,398
|
|
|
|
|
|
|
|
|
168,524
|
|
Metals & Mining - 0.9%
|
|
|
|
|
|
|
|
|
Cliffs Natural Resources, Inc.
|
|
|
393
|
|
|
|
15,378
|
|
Freeport-McMoRan Copper & Gold, Inc.
|
|
|
387
|
|
|
|
15,318
|
|
|
|
|
|
|
|
|
30,696
|
|
Multiline Retail - 0.9%
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
522
|
|
|
|
15,441
|
|
Dollar Tree, Inc.*
|
|
|
318
|
|
|
|
15,351
|
|
|
|
|
|
|
|
|
30,792
|
|
Multi-Utilities - 1.4%
|
|
|
|
|
|
|
|
|
CenterPoint Energy, Inc.
|
|
|
723
|
|
|
|
15,400
|
|
Public Service Enterprise Group, Inc.(a)
|
|
|
477
|
|
|
|
15,350
|
|
Wisconsin Energy Corp.(a)
|
|
|
408
|
|
|
|
15,369
|
|
|
|
|
|
|
|
|
46,119
|
|
Oil, Gas & Consumable Fuels - 2.7%
|
|
|
|
|
|
|
|
|
Chevron Corp.
|
|
|
132
|
|
|
|
15,386
|
|
Exxon Mobil Corp.
|
|
|
168
|
|
|
|
15,364
|
|
HollyFrontier Corp.
|
|
|
372
|
|
|
|
15,352
|
|
Marathon Petroleum Corp.(a)
|
|
|
282
|
|
|
|
15,394
|
|
Occidental Petroleum Corp.(a)
|
|
|
177
|
|
|
|
15,233
|
|
Rosetta Resources, Inc.*(a)
|
|
|
318
|
|
|
|
15,232
|
|
|
|
|
|
|
|
|
91,961
|
|
Personal Products - 0.5%
|
|
|
|
|
|
|
|
|
Nu Skin Enterprises, Inc., Class A(a)
|
|
|
396
|
|
|
|
15,377
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.8%
|
|
|
|
|
|
|
|
|
Bristol-Myers Squibb Co.
|
|
|
453
|
|
|
|
15,289
|
|
Eli Lilly & Co.(a)
|
|
|
324
|
|
|
|
15,361
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Forest Laboratories, Inc.*
|
|
|
432
|
|
|
$
|
15,384
|
|
Questcor Pharmaceuticals, Inc.*(a)
|
|
|
825
|
|
|
|
15,262
|
|
|
|
|
|
|
|
|
61,296
|
|
Professional Services - 0.4%
|
|
|
|
|
|
|
|
|
Robert Half International, Inc.(a)
|
|
|
573
|
|
|
|
15,259
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) - 0.9%
|
|
|
|
|
|
|
|
|
Public Storage(a)
|
|
|
111
|
|
|
|
15,448
|
|
Rayonier, Inc.(a)
|
|
|
312
|
|
|
|
15,291
|
|
|
|
|
|
|
|
|
30,739
|
|
Real Estate Management & Development - 0.5%
|
|
|
|
|
|
|
|
|
Jones Lang LaSalle, Inc.(a)
|
|
|
201
|
|
|
|
15,346
|
|
|
|
|
|
|
|
|
|
|
Road & Rail - 0.9%
|
|
|
|
|
|
|
|
|
Landstar System, Inc.(a)
|
|
|
324
|
|
|
|
15,319
|
|
Werner Enterprises, Inc.
|
|
|
717
|
|
|
|
15,322
|
|
|
|
|
|
|
|
|
30,641
|
|
Semiconductors & Semiconductor Equipment - 3.1%
|
|
|
|
|
|
|
|
|
Altera Corp.
|
|
|
450
|
|
|
|
15,293
|
|
Atmel Corp.*
|
|
|
2,910
|
|
|
|
15,306
|
|
Cirrus Logic, Inc.*
|
|
|
399
|
|
|
|
15,318
|
|
Hittite Microwave Corp.*(a)
|
|
|
276
|
|
|
|
15,310
|
|
Intel Corp.
|
|
|
675
|
|
|
|
15,309
|
|
KLA-Tencor Corp.
|
|
|
321
|
|
|
|
15,313
|
|
Teradyne, Inc.*(a)
|
|
|
1,080
|
|
|
|
15,358
|
|
|
|
|
|
|
|
|
107,207
|
|
Software - 3.2%
|
|
|
|
|
|
|
|
|
Autodesk, Inc.*
|
|
|
459
|
|
|
|
15,317
|
|
FactSet Research Systems, Inc.
|
|
|
159
|
|
|
|
15,331
|
|
Fortinet, Inc.*
|
|
|
639
|
|
|
|
15,426
|
|
Intuit, Inc.
|
|
|
261
|
|
|
|
15,368
|
|
MICROS Systems, Inc.*
|
|
|
312
|
|
|
|
15,325
|
|
Microsoft Corp.(a)
|
|
|
513
|
|
|
|
15,277
|
|
SolarWinds, Inc.*(a)
|
|
|
276
|
|
|
|
15,384
|
|
|
|
|
|
|
|
|
107,428
|
|
Specialty Retail - 6.8%
|
|
|
|
|
|
|
|
|
ANN, Inc.*
|
|
|
405
|
|
|
|
15,281
|
|
Ascena Retail Group, Inc.*
|
|
|
717
|
|
|
|
15,380
|
|
Bed Bath & Beyond, Inc.*
|
|
|
243
|
|
|
|
15,309
|
|
Buckle, Inc./The
|
|
|
339
|
|
|
|
15,401
|
|
Chico's FAS, Inc.
|
|
|
846
|
|
|
|
15,321
|
|
Dick's Sporting Goods, Inc.
|
|
|
297
|
|
|
|
15,399
|
|
DSW, Inc., Class A
|
|
|
231
|
|
|
|
15,412
|
|
Guess?, Inc.
|
|
|
603
|
|
|
|
15,328
|
|
Pier 1 Imports, Inc.
|
|
|
816
|
|
|
|
15,292
|
|
Ross Stores, Inc.(a)
|
|
|
237
|
|
|
|
15,310
|
|
TJX Cos., Inc.
|
|
|
342
|
|
|
|
15,318
|
|
Tractor Supply Co.(a)
|
|
|
156
|
|
|
|
15,427
|
|
Ulta Salon Cosmetics & Fragrance, Inc.(a)
|
|
|
159
|
|
|
|
15,312
|
|
Urban Outfitters, Inc.*(a)
|
|
|
411
|
|
|
|
15,437
|
|
Williams-Sonoma, Inc.
|
|
|
348
|
|
|
|
15,302
|
|
|
|
|
|
|
|
|
230,229
|
|
Textiles, Apparel & Luxury Goods - 3.6%
|
|
|
|
|
|
|
|
|
Coach, Inc.
|
|
|
273
|
|
|
|
15,293
|
|
Crocs, Inc.*
|
|
|
945
|
|
|
|
15,318
|
|
Deckers Outdoor Corp.*
|
|
|
420
|
|
|
|
15,389
|
|
Fossil, Inc.*
|
|
|
180
|
|
|
|
15,246
|
|
NIKE, Inc., Class B(a)
|
|
|
162
|
|
|
|
15,375
|
|
Ralph Lauren Corp.(a)
|
|
|
102
|
|
|
|
15,426
|
|
Steven Madden Ltd.*(a)
|
|
|
351
|
|
|
|
15,346
|
|
Wolverine World Wide, Inc.
|
|
|
345
|
|
|
|
15,308
|
|
|
|
|
|
|
|
|
122,701
|
|
Trading Companies & Distributors - 1.4%
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
357
|
|
|
|
15,347
|
|
MSC Industrial Direct Co., Inc., Class A(a)
|
|
|
228
|
|
|
|
15,381
|
|
W.W. Grainger, Inc.(a)
|
|
|
75
|
|
|
|
15,628
|
|
|
|
|
|
|
|
|
46,356
|
|
Wireless Telecommunication Services - 0.4%
|
|
|
|
|
|
|
|
|
Telephone & Data Systems, Inc.(a)
|
|
|
597
|
|
|
|
15,289
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $2,833,023)
|
|
|
|
|
|
|
3,065,885
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.0%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (0.9%)
|
|
|
|
|
|
|
|
|
Esterline Technologies Corp.*
|
|
|
(273
|
)
|
|
|
(15,326
|
)
|
Textron, Inc.
|
|
|
(585
|
)
|
|
|
(15,310
|
)
|
|
|
|
|
|
|
|
(30,636
|
)
|
Airlines - (0.9%)
|
|
|
|
|
|
|
|
|
JetBlue Airways Corp.*
|
|
|
(3,180
|
)
|
|
|
(15,232
|
)
|
Southwest Airlines Co.
|
|
|
(1,749
|
)
|
|
|
(15,339
|
)
|
|
|
|
|
|
|
|
(30,571
|
)
|
Auto Components - (0.9%)
|
|
|
|
|
|
|
|
|
Goodyear Tire & Rubber Co./The*
|
|
|
(1,260
|
)
|
|
|
(15,359
|
)
|
Visteon Corp.*
|
|
|
(345
|
)
|
|
|
(15,339
|
)
|
|
|
|
|
|
|
|
(30,698
|
)
|
Beverages - (0.5%)
|
|
|
|
|
|
|
|
|
Beam, Inc.
|
|
|
(267
|
)
|
|
|
(15,363
|
)
|
|
|
|
|
|
|
|
|
|
Biotechnology - (2.3%)
|
|
|
|
|
|
|
|
|
Alkermes plc*
|
|
|
(735
|
)
|
|
|
(15,251
|
)
|
BioMarin Pharmaceutical, Inc.*
|
|
|
(381
|
)
|
|
|
(15,343
|
)
|
Medivation, Inc.*
|
|
|
(273
|
)
|
|
|
(15,386
|
)
|
Regeneron Pharmaceuticals, Inc.*
|
|
|
(102
|
)
|
|
|
(15,572
|
)
|
Theravance, Inc.*
|
|
|
(591
|
)
|
|
|
(15,313
|
)
|
|
|
|
|
|
|
|
(76,865
|
)
|
Building Products - (0.9%)
|
|
|
|
|
|
|
|
|
Masco Corp.
|
|
|
(1,017
|
)
|
|
|
(15,306
|
)
|
Owens Corning*
|
|
|
(459
|
)
|
|
|
(15,358
|
)
|
|
|
|
|
|
|
|
(30,664
|
)
|
Capital Markets - (1.8%)
|
|
|
|
|
|
|
|
|
E*TRADE Financial Corp.*
|
|
|
(1,749
|
)
|
|
|
(15,409
|
)
|
Goldman Sachs Group, Inc./The
|
|
|
(135
|
)
|
|
|
(15,347
|
)
|
Morgan Stanley
|
|
|
(915
|
)
|
|
|
(15,317
|
)
|
Stifel Financial Corp.*
|
|
|
(456
|
)
|
|
|
(15,321
|
)
|
|
|
|
|
|
|
|
(61,394
|
)
|
Chemicals - (1.8%)
|
|
|
|
|
|
|
|
|
Ashland, Inc.
|
|
|
(213
|
)
|
|
|
(15,251
|
)
|
Dow Chemical Co./The
|
|
|
(531
|
)
|
|
|
(15,378
|
)
|
Ecolab, Inc.
|
|
|
(237
|
)
|
|
|
(15,360
|
)
|
Valspar Corp.
|
|
|
(273
|
)
|
|
|
(15,315
|
)
|
|
|
|
|
|
|
|
(61,304
|
)
|
Commercial Banks - (1.8%)
|
|
|
|
|
|
|
|
|
Associated Banc-Corp
|
|
|
(1,167
|
)
|
|
|
(15,370
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
CIT Group, Inc.*
|
|
|
(390
|
)
|
|
$
|
(15,362
|
)
|
First Horizon National Corp.
|
|
|
(1,581
|
)
|
|
|
(15,225
|
)
|
TCF Financial Corp.
|
|
|
(1,281
|
)
|
|
|
(15,295
|
)
|
|
|
|
|
|
|
|
(61,252
|
)
|
Commercial Services & Supplies - (2.3%)
|
|
|
|
|
|
|
|
|
Avery Dennison Corp.
|
|
|
(483
|
)
|
|
|
(15,369
|
)
|
Corrections Corp. of America
|
|
|
(459
|
)
|
|
|
(15,353
|
)
|
Covanta Holding Corp.
|
|
|
(891
|
)
|
|
|
(15,290
|
)
|
Republic Services, Inc.
|
|
|
(561
|
)
|
|
|
(15,433
|
)
|
Waste Management, Inc.
|
|
|
(477
|
)
|
|
|
(15,302
|
)
|
|
|
|
|
|
|
|
(76,747
|
)
|
Communications Equipment - (1.3%)
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*
|
|
|
(2,562
|
)
|
|
|
(15,154
|
)
|
JDS Uniphase Corp.*
|
|
|
(1,239
|
)
|
|
|
(15,345
|
)
|
ViaSat, Inc.*
|
|
|
(411
|
)
|
|
|
(15,363
|
)
|
|
|
|
|
|
|
|
(45,862
|
)
|
Computers & Peripherals - (0.9%)
|
|
|
|
|
|
|
|
|
Hewlett-Packard Co.
|
|
|
(903
|
)
|
|
|
(15,405
|
)
|
NCR Corp.*
|
|
|
(657
|
)
|
|
|
(15,315
|
)
|
|
|
|
|
|
|
|
(30,720
|
)
|
Construction & Engineering - (0.9%)
|
|
|
|
|
|
|
|
|
Shaw Group, Inc./The*
|
|
|
(351
|
)
|
|
|
(15,310
|
)
|
URS Corp.
|
|
|
(435
|
)
|
|
|
(15,360
|
)
|
|
|
|
|
|
|
|
(30,670
|
)
|
Construction Materials - (0.9%)
|
|
|
|
|
|
|
|
|
Martin Marietta Materials, Inc.
|
|
|
(186
|
)
|
|
|
(15,414
|
)
|
Vulcan Materials Co.
|
|
|
(324
|
)
|
|
|
(15,325
|
)
|
|
|
|
|
|
|
|
(30,739
|
)
|
Containers & Packaging - (2.2%)
|
|
|
|
|
|
|
|
|
Bemis Co., Inc.
|
|
|
(486
|
)
|
|
|
(15,294
|
)
|
Greif, Inc., Class A
|
|
|
(345
|
)
|
|
|
(15,242
|
)
|
Owens-Illinois, Inc.*
|
|
|
(819
|
)
|
|
|
(15,365
|
)
|
Rock-Tenn Co., Class A
|
|
|
(213
|
)
|
|
|
(15,374
|
)
|
Sealed Air Corp.
|
|
|
(996
|
)
|
|
|
(15,398
|
)
|
|
|
|
|
|
|
|
(76,673
|
)
|
Diversified Financial Services - (1.4%)
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
|
(1,737
|
)
|
|
|
(15,338
|
)
|
Citigroup, Inc.
|
|
|
(468
|
)
|
|
|
(15,313
|
)
|
JPMorgan Chase & Co.
|
|
|
(381
|
)
|
|
|
(15,423
|
)
|
|
|
|
|
|
|
|
(46,074
|
)
|
Diversified Telecommunication Services - (0.4%)
|
|
|
|
|
|
|
|
|
Level 3 Communications, Inc.*
|
|
|
(666
|
)
|
|
|
(15,298
|
)
|
|
|
|
|
|
|
|
|
|
Electric Utilities - (2.7%)
|
|
|
|
|
|
|
|
|
Edison International
|
|
|
(336
|
)
|
|
|
(15,352
|
)
|
Great Plains Energy, Inc.
|
|
|
(690
|
)
|
|
|
(15,359
|
)
|
NV Energy, Inc.
|
|
|
(849
|
)
|
|
|
(15,291
|
)
|
OGE Energy Corp.
|
|
|
(276
|
)
|
|
|
(15,307
|
)
|
Pepco Holdings, Inc.
|
|
|
(810
|
)
|
|
|
(15,309
|
)
|
UIL Holdings Corp.
|
|
|
(426
|
)
|
|
|
(15,276
|
)
|
|
|
|
|
|
|
|
(91,894
|
)
|
Electrical Equipment - (0.5%)
|
|
|
|
|
|
|
|
|
General Cable Corp.*
|
|
|
(522
|
)
|
|
|
(15,336
|
)
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - (2.2%)
|
|
|
|
|
|
|
|
|
Nabors Industries Ltd.*
|
|
|
(1,086
|
)
|
|
|
(15,237
|
)
|
Noble Corp.*
|
|
|
(429
|
)
|
|
|
(15,350
|
)
|
SEACOR Holdings, Inc.*
|
|
|
(183
|
)
|
|
|
(15,255
|
)
|
Transocean Ltd.
|
|
|
(342
|
)
|
|
|
(15,352
|
)
|
Weatherford International Ltd.*
|
|
|
(1,212
|
)
|
|
|
(15,368
|
)
|
|
|
|
|
|
|
|
(76,562
|
)
|
Food & Staples Retailing - (0.4%)
|
|
|
|
|
|
|
|
|
Kroger Co./The
|
|
|
(651
|
)
|
|
|
(15,325
|
)
|
|
|
|
|
|
|
|
|
|
Food Products - (2.7%)
|
|
|
|
|
|
|
|
|
Archer-Daniels-Midland Co.
|
|
|
(564
|
)
|
|
|
(15,330
|
)
|
Bunge Ltd.
|
|
|
(228
|
)
|
|
|
(15,287
|
)
|
Hillshire Brands Co.
|
|
|
(573
|
)
|
|
|
(15,345
|
)
|
Kraft Foods, Inc., Class A
|
|
|
(372
|
)
|
|
|
(15,382
|
)
|
Ralcorp Holdings, Inc.*
|
|
|
(210
|
)
|
|
|
(15,330
|
)
|
TreeHouse Foods, Inc.*
|
|
|
(294
|
)
|
|
|
(15,435
|
)
|
|
|
|
|
|
|
|
(92,109
|
)
|
Gas Utilities - (0.5%)
|
|
|
|
|
|
|
|
|
UGI Corp.
|
|
|
(483
|
)
|
|
|
(15,335
|
)
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - (2.3%)
|
|
|
|
|
|
|
|
|
Alere, Inc.*
|
|
|
(789
|
)
|
|
|
(15,378
|
)
|
Boston Scientific Corp.*
|
|
|
(2,715
|
)
|
|
|
(15,584
|
)
|
DENTSPLY International, Inc.
|
|
|
(405
|
)
|
|
|
(15,447
|
)
|
Hologic, Inc.*
|
|
|
(756
|
)
|
|
|
(15,301
|
)
|
Teleflex, Inc.
|
|
|
(222
|
)
|
|
|
(15,282
|
)
|
|
|
|
|
|
|
|
(76,992
|
)
|
Health Care Providers & Services - (2.7%)
|
|
|
|
|
|
|
|
|
Brookdale Senior Living, Inc.*
|
|
|
(663
|
)
|
|
|
(15,395
|
)
|
Community Health Systems, Inc.*
|
|
|
(525
|
)
|
|
|
(15,299
|
)
|
Health Management Associates, Inc., Class A*
|
|
|
(1,827
|
)
|
|
|
(15,329
|
)
|
LifePoint Hospitals, Inc.*
|
|
|
(357
|
)
|
|
|
(15,272
|
)
|
Omnicare, Inc.
|
|
|
(453
|
)
|
|
|
(15,388
|
)
|
Tenet Healthcare Corp.*
|
|
|
(2,412
|
)
|
|
|
(15,123
|
)
|
|
|
|
|
|
|
|
(91,806
|
)
|
Health Care Technology - (0.4%)
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*
|
|
|
(1,218
|
)
|
|
|
(15,140
|
)
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - (3.6%)
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co.*
|
|
|
(384
|
)
|
|
|
(15,179
|
)
|
Life Time Fitness, Inc.*
|
|
|
(336
|
)
|
|
|
(15,369
|
)
|
MGM Resorts International*
|
|
|
(1,425
|
)
|
|
|
(15,319
|
)
|
Penn National Gaming, Inc.*
|
|
|
(357
|
)
|
|
|
(15,387
|
)
|
Royal Caribbean Cruises Ltd.
|
|
|
(507
|
)
|
|
|
(15,316
|
)
|
Six Flags Entertainment Corp.
|
|
|
(261
|
)
|
|
|
(15,347
|
)
|
Wendy's Co./The
|
|
|
(3,372
|
)
|
|
|
(15,342
|
)
|
Wyndham Worldwide Corp.
|
|
|
(291
|
)
|
|
|
(15,272
|
)
|
|
|
|
|
|
|
|
(122,531
|
)
|
Household Durables - (3.2%)
|
|
|
|
|
|
|
|
|
Jarden Corp.
|
|
|
(291
|
)
|
|
|
(15,376
|
)
|
Leggett & Platt, Inc.
|
|
|
(615
|
)
|
|
|
(15,406
|
)
|
Lennar Corp., Class A
|
|
|
(441
|
)
|
|
|
(15,334
|
)
|
Mohawk Industries, Inc.*
|
|
|
(195
|
)
|
|
|
(15,604
|
)
|
Newell Rubbermaid, Inc.
|
|
|
(807
|
)
|
|
|
(15,406
|
)
|
PulteGroup, Inc.*
|
|
|
(990
|
)
|
|
|
(15,345
|
)
|
Toll Brothers, Inc.*
|
|
|
(462
|
)
|
|
|
(15,352
|
)
|
|
|
|
|
|
|
|
(107,823
|
)
|
Household Products - (0.4%)
|
|
|
|
|
|
|
|
|
Energizer Holdings, Inc.
|
|
|
(204
|
)
|
|
|
(15,220
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Independent Power Producers & Energy Traders - (1.8%)
|
|
|
|
|
|
|
|
|
AES Corp./The*
|
|
|
(1,404
|
)
|
|
$
|
(15,402
|
)
|
Calpine Corp.*
|
|
|
(888
|
)
|
|
|
(15,362
|
)
|
GenOn Energy, Inc.*
|
|
|
(6,018
|
)
|
|
|
(15,226
|
)
|
NRG Energy, Inc.
|
|
|
(720
|
)
|
|
|
(15,401
|
)
|
|
|
|
|
|
|
|
(61,391
|
)
|
Industrial Conglomerates - (0.4%)
|
|
|
|
|
|
|
|
|
General Electric Co.
|
|
|
(675
|
)
|
|
|
(15,329
|
)
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail - (0.5%)
|
|
|
|
|
|
|
|
|
Liberty Interactive Corp., Class A*
|
|
|
(831
|
)
|
|
|
(15,373
|
)
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - (0.5%)
|
|
|
|
|
|
|
|
|
Equinix, Inc.*
|
|
|
(75
|
)
|
|
|
(15,454
|
)
|
|
|
|
|
|
|
|
|
|
IT Services - (1.8%)
|
|
|
|
|
|
|
|
|
Computer Sciences Corp.
|
|
|
(474
|
)
|
|
|
(15,268
|
)
|
CoreLogic, Inc.*
|
|
|
(579
|
)
|
|
|
(15,361
|
)
|
Fidelity National Information Services, Inc.
|
|
|
(489
|
)
|
|
|
(15,267
|
)
|
SAIC, Inc.
|
|
|
(1,263
|
)
|
|
|
(15,206
|
)
|
|
|
|
|
|
|
|
(61,102
|
)
|
Machinery - (3.2%)
|
|
|
|
|
|
|
|
|
Harsco Corp.
|
|
|
(747
|
)
|
|
|
(15,336
|
)
|
Manitowoc Co., Inc./The
|
|
|
(1,152
|
)
|
|
|
(15,368
|
)
|
Pentair, Inc.
|
|
|
(348
|
)
|
|
|
(15,489
|
)
|
SPX Corp.
|
|
|
(234
|
)
|
|
|
(15,306
|
)
|
Stanley Black & Decker, Inc.
|
|
|
(201
|
)
|
|
|
(15,326
|
)
|
Terex Corp.*
|
|
|
(681
|
)
|
|
|
(15,377
|
)
|
Trinity Industries, Inc.
|
|
|
(510
|
)
|
|
|
(15,285
|
)
|
|
|
|
|
|
|
|
(107,487
|
)
|
Media - (4.1%)
|
|
|
|
|
|
|
|
|
Charter Communications, Inc., Class A*
|
|
|
(204
|
)
|
|
|
(15,314
|
)
|
Cinemark Holdings, Inc.
|
|
|
(681
|
)
|
|
|
(15,275
|
)
|
Comcast Corp., Class A
|
|
|
(429
|
)
|
|
|
(15,345
|
)
|
Lamar Advertising Co., Class A*
|
|
|
(414
|
)
|
|
|
(15,343
|
)
|
Liberty Global, Inc., Class A*
|
|
|
(255
|
)
|
|
|
(15,491
|
)
|
Live Nation Entertainment, Inc.*
|
|
|
(1,782
|
)
|
|
|
(15,343
|
)
|
News Corp., Class A
|
|
|
(624
|
)
|
|
|
(15,307
|
)
|
Time Warner Cable, Inc.
|
|
|
(162
|
)
|
|
|
(15,400
|
)
|
Time Warner, Inc.
|
|
|
(339
|
)
|
|
|
(15,367
|
)
|
|
|
|
|
|
|
|
(138,185
|
)
|
Metals & Mining - (2.2%)
|
|
|
|
|
|
|
|
|
Alcoa, Inc.
|
|
|
(1,731
|
)
|
|
|
(15,319
|
)
|
Commercial Metals Co.
|
|
|
(1,164
|
)
|
|
|
(15,365
|
)
|
Newmont Mining Corp.
|
|
|
(273
|
)
|
|
|
(15,291
|
)
|
Steel Dynamics, Inc.
|
|
|
(1,362
|
)
|
|
|
(15,295
|
)
|
Walter Energy, Inc.
|
|
|
(474
|
)
|
|
|
(15,386
|
)
|
|
|
|
|
|
|
|
(76,656
|
)
|
Multi-Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
MDU Resources Group, Inc.
|
|
|
(696
|
)
|
|
|
(15,340
|
)
|
NiSource, Inc.
|
|
|
(603
|
)
|
|
|
(15,364
|
)
|
|
|
|
|
|
|
|
(30,704
|
)
|
Office Electronics - (0.5%)
|
|
|
|
|
|
|
|
|
Xerox Corp.
|
|
|
(2,091
|
)
|
|
|
(15,348
|
)
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - (5.4%)
|
|
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.*
|
|
|
(2,328
|
)
|
|
|
(15,295
|
)
|
Anadarko Petroleum Corp.
|
|
|
(219
|
)
|
|
|
(15,312
|
)
|
Arch Coal, Inc.
|
|
|
(2,433
|
)
|
|
|
(15,401
|
)
|
Berry Petroleum Co., Class A
|
|
|
(378
|
)
|
|
|
(15,358
|
)
|
Kinder Morgan, Inc.
|
|
|
(432
|
)
|
|
|
(15,345
|
)
|
Pioneer Natural Resources Co.
|
|
|
(147
|
)
|
|
|
(15,347
|
)
|
Plains Exploration & Production Co.*
|
|
|
(408
|
)
|
|
|
(15,288
|
)
|
Range Resources Corp.
|
|
|
(219
|
)
|
|
|
(15,301
|
)
|
Southwestern Energy Co.*
|
|
|
(441
|
)
|
|
|
(15,338
|
)
|
Teekay Corp.
|
|
|
(492
|
)
|
|
|
(15,350
|
)
|
Williams Cos., Inc./The
|
|
|
(441
|
)
|
|
|
(15,422
|
)
|
WPX Energy, Inc.*
|
|
|
(927
|
)
|
|
|
(15,379
|
)
|
|
|
|
|
|
|
|
(184,136
|
)
|
Personal Products - (0.4%)
|
|
|
|
|
|
|
|
|
Avon Products, Inc.
|
|
|
(957
|
)
|
|
|
(15,264
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (1.8%)
|
|
|
|
|
|
|
|
|
Endo Health Solutions, Inc.*
|
|
|
(486
|
)
|
|
|
(15,416
|
)
|
Hospira, Inc.*
|
|
|
(471
|
)
|
|
|
(15,458
|
)
|
Medicis Pharmaceutical Corp., Class A
|
|
|
(354
|
)
|
|
|
(15,318
|
)
|
Mylan, Inc.*
|
|
|
(627
|
)
|
|
|
(15,299
|
)
|
|
|
|
|
|
|
|
(61,491
|
)
|
Professional Services - (0.4%)
|
|
|
|
|
|
|
|
|
Nielsen Holdings N.V.*
|
|
|
(510
|
)
|
|
|
(15,290
|
)
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) - (10.3%)
|
|
|
|
|
|
|
|
|
Annaly Capital Management, Inc.
|
|
|
(912
|
)
|
|
|
(15,358
|
)
|
Apartment Investment & Management Co., Class A
|
|
|
(591
|
)
|
|
|
(15,360
|
)
|
Boston Properties, Inc.
|
|
|
(138
|
)
|
|
|
(15,264
|
)
|
CBL & Associates Properties, Inc.
|
|
|
(714
|
)
|
|
|
(15,237
|
)
|
Colonial Properties Trust
|
|
|
(726
|
)
|
|
|
(15,282
|
)
|
Corporate Office Properties Trust
|
|
|
(636
|
)
|
|
|
(15,245
|
)
|
DCT Industrial Trust, Inc.
|
|
|
(2,376
|
)
|
|
|
(15,373
|
)
|
DDR Corp.
|
|
|
(1,005
|
)
|
|
|
(15,437
|
)
|
Douglas Emmett, Inc.
|
|
|
(666
|
)
|
|
|
(15,365
|
)
|
Duke Realty Corp.
|
|
|
(1,044
|
)
|
|
|
(15,347
|
)
|
Equity Lifestyle Properties, Inc.
|
|
|
(225
|
)
|
|
|
(15,327
|
)
|
Equity Residential
|
|
|
(267
|
)
|
|
|
(15,360
|
)
|
Essex Property Trust, Inc.
|
|
|
(102
|
)
|
|
|
(15,120
|
)
|
General Growth Properties, Inc.
|
|
|
(792
|
)
|
|
|
(15,428
|
)
|
Healthcare Realty Trust, Inc.
|
|
|
(660
|
)
|
|
|
(15,213
|
)
|
Highwoods Properties, Inc.
|
|
|
(468
|
)
|
|
|
(15,266
|
)
|
Home Properties, Inc.
|
|
|
(252
|
)
|
|
|
(15,440
|
)
|
Kilroy Realty Corp.
|
|
|
(345
|
)
|
|
|
(15,449
|
)
|
Mid-America Apartment Communities, Inc.
|
|
|
(234
|
)
|
|
|
(15,283
|
)
|
Regency Centers Corp.
|
|
|
(315
|
)
|
|
|
(15,350
|
)
|
UDR, Inc.
|
|
|
(618
|
)
|
|
|
(15,339
|
)
|
Vornado Realty Trust
|
|
|
(189
|
)
|
|
|
(15,318
|
)
|
Weingarten Realty Investors
|
|
|
(546
|
)
|
|
|
(15,348
|
)
|
|
|
|
|
|
|
|
(352,509
|
)
|
Real Estate Management & Development - (0.5%)
|
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., Class A*
|
|
|
(972
|
)
|
|
|
(15,406
|
)
|
|
|
|
|
|
|
|
|
|
Road & Rail - (1.8%)
|
|
|
|
|
|
|
|
|
Avis Budget Group, Inc.*
|
|
|
(990
|
)
|
|
|
(15,226
|
)
|
Con-way, Inc.
|
|
|
(561
|
)
|
|
|
(15,354
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Hertz Global Holdings, Inc.*
|
|
|
(1,122
|
)
|
|
$
|
(15,405
|
)
|
Ryder System, Inc.
|
|
|
(393
|
)
|
|
|
(15,351
|
)
|
|
|
|
|
|
|
|
(61,336
|
)
|
Semiconductors & Semiconductor Equipment - (2.2%)
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*
|
|
|
(4,527
|
)
|
|
|
(15,256
|
)
|
Lam Research Corp.*
|
|
|
(483
|
)
|
|
|
(15,352
|
)
|
Micron Technology, Inc.*
|
|
|
(2,541
|
)
|
|
|
(15,208
|
)
|
Microsemi Corp.*
|
|
|
(756
|
)
|
|
|
(15,173
|
)
|
ON Semiconductor Corp.*
|
|
|
(2,508
|
)
|
|
|
(15,474
|
)
|
|
|
|
|
|
|
|
(76,463
|
)
|
Software - (3.1%)
|
|
|
|
|
|
|
|
|
ACI Worldwide, Inc.*
|
|
|
(363
|
)
|
|
|
(15,340
|
)
|
Aspen Technology, Inc.*
|
|
|
(591
|
)
|
|
|
(15,277
|
)
|
Concur Technologies, Inc.*
|
|
|
(207
|
)
|
|
|
(15,262
|
)
|
Nuance Communications, Inc.*
|
|
|
(612
|
)
|
|
|
(15,233
|
)
|
Rovi Corp.*
|
|
|
(1,053
|
)
|
|
|
(15,279
|
)
|
Salesforce.com, Inc.*
|
|
|
(102
|
)
|
|
|
(15,575
|
)
|
Solera Holdings, Inc.
|
|
|
(348
|
)
|
|
|
(15,267
|
)
|
|
|
|
|
|
|
|
(107,233
|
)
|
Specialty Retail - (0.9%)
|
|
|
|
|
|
|
|
|
Cabela's, Inc.*
|
|
|
(279
|
)
|
|
|
(15,256
|
)
|
CarMax, Inc.*
|
|
|
(543
|
)
|
|
|
(15,367
|
)
|
|
|
|
|
|
|
|
(30,623
|
)
|
Thrifts & Mortgage Finance - (1.8%)
|
|
|
|
|
|
|
|
|
Capitol Federal Financial, Inc.
|
|
|
(1,290
|
)
|
|
|
(15,428
|
)
|
Hudson City Bancorp, Inc.
|
|
|
(1,932
|
)
|
|
|
(15,379
|
)
|
New York Community Bancorp, Inc.
|
|
|
(1,083
|
)
|
|
|
(15,335
|
)
|
Ocwen Financial Corp.*
|
|
|
(558
|
)
|
|
|
(15,295
|
)
|
|
|
|
|
|
|
|
(61,437
|
)
|
Trading Companies & Distributors - (0.9%)
|
|
|
|
|
|
|
|
|
GATX Corp.
|
|
|
(360
|
)
|
|
|
(15,279
|
)
|
United Rentals, Inc.*
|
|
|
(468
|
)
|
|
|
(15,308
|
)
|
|
|
|
|
|
|
|
(30,587
|
)
|
Wireless Telecommunication Services - (0.9%)
|
|
|
|
|
|
|
|
|
SBA Communications Corp., Class A*
|
|
|
(243
|
)
|
|
|
(15,285
|
)
|
Sprint Nextel Corp.*
|
|
|
(2,760
|
)
|
|
|
(15,235
|
)
|
|
|
|
|
|
|
|
(30,520
|
)
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $2,948,666)
|
|
|
|
|
|
|
(3,066,927
|
)
|
Other assets less liabilities
— 100.0%
|
|
|
|
|
|
|
3,408,999
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
3,407,957
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $1,621,221.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
|
|
Aggregate gross unrealized appreciation
|
|
$
|
475,295
|
|
Aggregate gross unrealized depreciation
|
|
|
(469,289
|
)
|
Net unrealized appreciation
|
|
$
|
6,006
|
|
Federal income tax cost of investments
|
|
$
|
(7,048
|
)
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Quality Fund
Schedule of Investments
September 30, 2012
(Unaudited)
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
273,091
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral Quality Index
|
|
$
|
66,998
|
|
|
(290,878
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Quality Index
|
|
(0.04)%
|
|
|
(47,630
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,368
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 0.9%
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.
|
|
|
288
|
|
|
$
|
14,432
|
|
Esterline Technologies Corp.*
|
|
|
258
|
|
|
|
14,484
|
|
|
|
|
|
|
|
|
28,916
|
|
Air Freight & Logistics - 0.9%
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.
|
|
|
246
|
|
|
|
14,403
|
|
Expeditors International of Washington, Inc.
|
|
|
399
|
|
|
|
14,508
|
|
|
|
|
|
|
|
|
28,911
|
|
Airlines - 0.4%
|
|
|
|
|
|
|
|
|
Southwest Airlines Co.(a)
|
|
|
1,650
|
|
|
|
14,471
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 2.7%
|
|
|
|
|
|
|
|
|
Gentex Corp.
|
|
|
849
|
|
|
|
14,442
|
|
Goodyear Tire & Rubber Co./The*
|
|
|
1,188
|
|
|
|
14,482
|
|
Johnson Controls, Inc.
|
|
|
528
|
|
|
|
14,467
|
|
Lear Corp.(a)
|
|
|
387
|
|
|
|
14,625
|
|
Tenneco, Inc.*(a)
|
|
|
516
|
|
|
|
14,448
|
|
Visteon Corp.*(a)
|
|
|
327
|
|
|
|
14,538
|
|
|
|
|
|
|
|
|
87,002
|
|
Automobiles - 0.9%
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
1,470
|
|
|
|
14,494
|
|
General Motors Co.*
|
|
|
636
|
|
|
|
14,469
|
|
|
|
|
|
|
|
|
28,963
|
|
Capital Markets - 4.5%
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp./The
|
|
|
639
|
|
|
|
14,454
|
|
Charles Schwab Corp./The(a)
|
|
|
1,134
|
|
|
|
14,504
|
|
E*TRADE Financial Corp.*
|
|
|
1,650
|
|
|
|
14,536
|
|
Franklin Resources, Inc.
|
|
|
117
|
|
|
|
14,633
|
|
Goldman Sachs Group, Inc./The(a)
|
|
|
126
|
|
|
|
14,324
|
|
Jefferies Group, Inc.
|
|
|
1,065
|
|
|
|
14,580
|
|
Legg Mason, Inc.
|
|
|
588
|
|
|
|
14,512
|
|
Morgan Stanley(a)
|
|
|
864
|
|
|
|
14,463
|
|
Stifel Financial Corp.*(a)
|
|
|
429
|
|
|
|
14,414
|
|
Waddell & Reed Financial, Inc., Class A
|
|
|
441
|
|
|
|
14,452
|
|
|
|
|
|
|
|
|
144,872
|
|
Chemicals - 0.4%
|
|
|
|
|
|
|
|
|
Scotts Miracle-Gro Co./The, Class A(a)
|
|
|
333
|
|
|
|
14,476
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks - 1.8%
|
|
|
|
|
|
|
|
|
First Niagara Financial Group, Inc.
|
|
|
1,794
|
|
|
|
14,513
|
|
Popular, Inc.*(a)
|
|
|
834
|
|
|
|
14,537
|
|
TCF Financial Corp.(a)
|
|
|
1,209
|
|
|
|
14,435
|
|
Valley National Bancorp(a)
|
|
|
1,443
|
|
|
|
14,459
|
|
|
|
|
|
|
|
|
57,944
|
|
Commercial Services & Supplies - 2.7%
|
|
|
|
|
|
|
|
|
Clean Harbors, Inc.*
|
|
|
297
|
|
|
|
14,508
|
|
Iron Mountain, Inc.
|
|
|
426
|
|
|
|
14,531
|
|
Pitney Bowes, Inc.(a)
|
|
|
1,044
|
|
|
|
14,428
|
|
R.R. Donnelley & Sons Co.
|
|
|
1,365
|
|
|
|
14,469
|
|
Republic Services, Inc.
|
|
|
528
|
|
|
|
14,525
|
|
Waste Connections, Inc.
|
|
|
483
|
|
|
|
14,611
|
|
|
|
|
|
|
|
|
87,072
|
|
Communications Equipment - 1.8%
|
|
|
|
|
|
|
|
|
JDS Uniphase Corp.*(a)
|
|
|
1,170
|
|
|
|
14,490
|
|
Juniper Networks, Inc.*
|
|
|
843
|
|
|
|
14,424
|
|
Polycom, Inc.*(a)
|
|
|
1,464
|
|
|
|
14,450
|
|
Riverbed Technology, Inc.*(a)
|
|
|
621
|
|
|
|
14,451
|
|
|
|
|
|
|
|
|
57,815
|
|
Computers & Peripherals - 1.4%
|
|
|
|
|
|
|
|
|
Dell, Inc.
|
|
|
1,464
|
|
|
|
14,435
|
|
Hewlett-Packard Co.
|
|
|
852
|
|
|
|
14,535
|
|
NetApp, Inc.*(a)
|
|
|
441
|
|
|
|
14,500
|
|
|
|
|
|
|
|
|
43,470
|
|
Construction & Engineering - 2.3%
|
|
|
|
|
|
|
|
|
AECOM Technology Corp.*
|
|
|
687
|
|
|
|
14,537
|
|
Fluor Corp.
|
|
|
258
|
|
|
|
14,520
|
|
Foster Wheeler AG*
|
|
|
603
|
|
|
|
14,448
|
|
KBR, Inc.
|
|
|
486
|
|
|
|
14,493
|
|
URS Corp.(a)
|
|
|
411
|
|
|
|
14,512
|
|
|
|
|
|
|
|
|
72,510
|
|
Containers & Packaging - 1.8%
|
|
|
|
|
|
|
|
|
Bemis Co., Inc.
|
|
|
459
|
|
|
|
14,445
|
|
Greif, Inc., Class A
|
|
|
327
|
|
|
|
14,447
|
|
Owens-Illinois, Inc.*(a)
|
|
|
774
|
|
|
|
14,520
|
|
Sealed Air Corp.(a)
|
|
|
939
|
|
|
|
14,517
|
|
|
|
|
|
|
|
|
57,929
|
|
Diversified Consumer Services - 1.3%
|
|
|
|
|
|
|
|
|
Apollo Group, Inc., Class A*
|
|
|
495
|
|
|
|
14,380
|
|
Sotheby's(a)
|
|
|
459
|
|
|
|
14,459
|
|
Weight Watchers International, Inc.
|
|
|
273
|
|
|
|
14,414
|
|
|
|
|
|
|
|
|
43,253
|
|
Diversified Financial Services - 1.8%
|
|
|
|
|
|
|
|
|
Citigroup, Inc.
|
|
|
441
|
|
|
|
14,430
|
|
Leucadia National Corp.
|
|
|
636
|
|
|
|
14,469
|
|
NASDAQ OMX Group, Inc./The
|
|
|
621
|
|
|
|
14,466
|
|
NYSE Euronext
|
|
|
591
|
|
|
|
14,568
|
|
|
|
|
|
|
|
|
57,933
|
|
Diversified Telecommunication Services - 0.9%
|
|
|
|
|
|
|
|
|
Frontier Communications Corp.
|
|
|
2,913
|
|
|
|
14,274
|
|
Level 3 Communications, Inc.*
|
|
|
630
|
|
|
|
14,471
|
|
|
|
|
|
|
|
|
28,745
|
|
Electric Utilities - 0.9%
|
|
|
|
|
|
|
|
|
Exelon Corp.
|
|
|
408
|
|
|
|
14,517
|
|
ITC Holdings Corp.
|
|
|
192
|
|
|
|
14,511
|
|
|
|
|
|
|
|
|
29,028
|
|
Electrical Equipment - 0.4%
|
|
|
|
|
|
|
|
|
Polypore International, Inc.*
|
|
|
408
|
|
|
|
14,423
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components - 2.2%
|
|
|
|
|
|
|
|
|
Corning, Inc.
|
|
|
1,098
|
|
|
|
14,439
|
|
Dolby Laboratories, Inc., Class A*
|
|
|
438
|
|
|
|
14,344
|
|
FLIR Systems, Inc.
|
|
|
723
|
|
|
|
14,442
|
|
Universal Display Corp.*
|
|
|
420
|
|
|
|
14,440
|
|
Vishay Intertechnology, Inc.*(a)
|
|
|
1,470
|
|
|
|
14,450
|
|
|
|
|
|
|
|
|
72,115
|
|
Energy Equipment & Services - 3.6%
|
|
|
|
|
|
|
|
|
Baker Hughes, Inc.
|
|
|
321
|
|
|
|
14,519
|
|
CARBO Ceramics, Inc.
|
|
|
228
|
|
|
|
14,346
|
|
Halliburton Co.
|
|
|
429
|
|
|
|
14,453
|
|
McDermott International, Inc.*(a)
|
|
|
1,182
|
|
|
|
14,444
|
|
Nabors Industries Ltd.*(a)
|
|
|
1,026
|
|
|
|
14,395
|
|
Patterson-UTI Energy, Inc.
|
|
|
912
|
|
|
|
14,446
|
|
Superior Energy Services, Inc.*(a)
|
|
|
705
|
|
|
|
14,466
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Weatherford International Ltd.*(a)
|
|
|
1,143
|
|
|
$
|
14,493
|
|
|
|
|
|
|
|
|
115,562
|
|
Food & Staples Retailing - 1.4%
|
|
|
|
|
|
|
|
|
Kroger Co./The
|
|
|
615
|
|
|
|
14,477
|
|
Safeway, Inc.
|
|
|
900
|
|
|
|
14,481
|
|
Walgreen Co.(a)
|
|
|
399
|
|
|
|
14,540
|
|
|
|
|
|
|
|
|
43,498
|
|
Food Products - 0.9%
|
|
|
|
|
|
|
|
|
Green Mountain Coffee Roasters, Inc.*
|
|
|
606
|
|
|
|
14,393
|
|
Tyson Foods, Inc., Class A
|
|
|
900
|
|
|
|
14,418
|
|
|
|
|
|
|
|
|
28,811
|
|
Gas Utilities - 1.3%
|
|
|
|
|
|
|
|
|
AGL Resources, Inc.(a)
|
|
|
354
|
|
|
|
14,482
|
|
National Fuel Gas Co.
|
|
|
267
|
|
|
|
14,429
|
|
WGL Holdings, Inc.
|
|
|
357
|
|
|
|
14,369
|
|
|
|
|
|
|
|
|
43,280
|
|
Health Care Equipment & Supplies - 2.7%
|
|
|
|
|
|
|
|
|
Alere, Inc.*
|
|
|
744
|
|
|
|
14,501
|
|
Becton, Dickinson and Co.
|
|
|
183
|
|
|
|
14,376
|
|
Boston Scientific Corp.*
|
|
|
2,562
|
|
|
|
14,706
|
|
Hill-Rom Holdings, Inc.
|
|
|
498
|
|
|
|
14,472
|
|
St Jude Medical, Inc.
|
|
|
342
|
|
|
|
14,408
|
|
Varian Medical Systems, Inc.*(a)
|
|
|
240
|
|
|
|
14,477
|
|
|
|
|
|
|
|
|
86,940
|
|
Health Care Providers & Services - 3.6%
|
|
|
|
|
|
|
|
|
Cardinal Health, Inc.
|
|
|
369
|
|
|
|
14,380
|
|
Cigna Corp.
|
|
|
306
|
|
|
|
14,434
|
|
Health Management Associates, Inc., Class A*
|
|
|
1,725
|
|
|
|
14,473
|
|
Health Net, Inc.*
|
|
|
642
|
|
|
|
14,451
|
|
Humana, Inc.
|
|
|
204
|
|
|
|
14,311
|
|
Tenet Healthcare Corp.*(a)
|
|
|
2,277
|
|
|
|
14,277
|
|
Universal Health Services, Inc., Class B(a)
|
|
|
315
|
|
|
|
14,405
|
|
WellPoint, Inc.(a)
|
|
|
249
|
|
|
|
14,444
|
|
|
|
|
|
|
|
|
115,175
|
|
Health Care Technology - 0.4%
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*
|
|
|
1,149
|
|
|
|
14,282
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 2.7%
|
|
|
|
|
|
|
|
|
Hyatt Hotels Corp., Class A*
|
|
|
360
|
|
|
|
14,454
|
|
International Game Technology
|
|
|
1,110
|
|
|
|
14,530
|
|
Las Vegas Sands Corp.
|
|
|
312
|
|
|
|
14,468
|
|
MGM Resorts International*(a)
|
|
|
1,344
|
|
|
|
14,448
|
|
Royal Caribbean Cruises Ltd.
|
|
|
480
|
|
|
|
14,501
|
|
Wynn Resorts Ltd.(a)
|
|
|
126
|
|
|
|
14,545
|
|
|
|
|
|
|
|
|
86,946
|
|
Household Durables - 0.9%
|
|
|
|
|
|
|
|
|
Tempur-Pedic International, Inc.*(a)
|
|
|
483
|
|
|
|
14,437
|
|
Tupperware Brands Corp.
|
|
|
270
|
|
|
|
14,469
|
|
|
|
|
|
|
|
|
28,906
|
|
Household Products - 0.4%
|
|
|
|
|
|
|
|
|
Energizer Holdings, Inc.
|
|
|
192
|
|
|
|
14,325
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 1.4%
|
|
|
|
|
|
|
|
|
AES Corp./The*
|
|
|
1,326
|
|
|
|
14,546
|
|
GenOn Energy, Inc.*
|
|
|
5,682
|
|
|
|
14,375
|
|
NRG Energy, Inc.(a)
|
|
|
681
|
|
|
|
14,567
|
|
|
|
|
|
|
|
|
43,488
|
|
Insurance - 3.1%
|
|
|
|
|
|
|
|
|
Assurant, Inc.
|
|
|
387
|
|
|
|
14,435
|
|
Genworth Financial, Inc., Class A*
|
|
|
2,763
|
|
|
|
14,451
|
|
Hartford Financial Services Group, Inc.
|
|
|
741
|
|
|
|
14,405
|
|
MetLife, Inc.(a)
|
|
|
420
|
|
|
|
14,473
|
|
Old Republic International Corp.(a)
|
|
|
1,557
|
|
|
|
14,480
|
|
Unum Group(a)
|
|
|
750
|
|
|
|
14,415
|
|
Willis Group Holdings plc
|
|
|
393
|
|
|
|
14,510
|
|
|
|
|
|
|
|
|
101,169
|
|
Internet & Catalog Retail - 0.5%
|
|
|
|
|
|
|
|
|
Netflix, Inc.*(a)
|
|
|
267
|
|
|
|
14,535
|
|
|
|
|
|
|
|
|
|
|
IT Services - 1.3%
|
|
|
|
|
|
|
|
|
Global Payments, Inc.
|
|
|
345
|
|
|
|
14,431
|
|
SAIC, Inc.
|
|
|
1,194
|
|
|
|
14,376
|
|
Western Union Co./The(a)
|
|
|
792
|
|
|
|
14,430
|
|
|
|
|
|
|
|
|
43,237
|
|
Leisure Equipment & Products - 0.5%
|
|
|
|
|
|
|
|
|
Hasbro, Inc.
|
|
|
381
|
|
|
|
14,543
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 1.4%
|
|
|
|
|
|
|
|
|
Covance, Inc.*
|
|
|
309
|
|
|
|
14,427
|
|
Illumina, Inc.*
|
|
|
303
|
|
|
|
14,605
|
|
Waters Corp.*
|
|
|
174
|
|
|
|
14,499
|
|
|
|
|
|
|
|
|
43,531
|
|
Machinery - 3.1%
|
|
|
|
|
|
|
|
|
Caterpillar, Inc.
|
|
|
168
|
|
|
|
14,455
|
|
Crane Co.
|
|
|
363
|
|
|
|
14,495
|
|
Deere & Co.
|
|
|
174
|
|
|
|
14,353
|
|
Gardner Denver, Inc.
|
|
|
240
|
|
|
|
14,498
|
|
Harsco Corp.
|
|
|
705
|
|
|
|
14,474
|
|
Joy Global, Inc.
|
|
|
258
|
|
|
|
14,463
|
|
Navistar International Corp.*(a)
|
|
|
687
|
|
|
|
14,489
|
|
|
|
|
|
|
|
|
101,227
|
|
Marine - 0.4%
|
|
|
|
|
|
|
|
|
Kirby Corp.*
|
|
|
261
|
|
|
|
14,428
|
|
|
|
|
|
|
|
|
|
|
Media - 1.4%
|
|
|
|
|
|
|
|
|
Cablevision Systems Corp., Class A
|
|
|
915
|
|
|
|
14,503
|
|
DreamWorks Animation SKG, Inc., Class A*
|
|
|
756
|
|
|
|
14,538
|
|
Live Nation Entertainment, Inc.*(a)
|
|
|
1,683
|
|
|
|
14,490
|
|
|
|
|
|
|
|
|
43,531
|
|
Metals & Mining - 2.7%
|
|
|
|
|
|
|
|
|
Alcoa, Inc.
|
|
|
1,632
|
|
|
|
14,443
|
|
Allegheny Technologies, Inc.(a)
|
|
|
453
|
|
|
|
14,451
|
|
Allied Nevada Gold Corp.*
|
|
|
369
|
|
|
|
14,413
|
|
Cliffs Natural Resources, Inc.
|
|
|
372
|
|
|
|
14,556
|
|
United States Steel Corp.(a)
|
|
|
759
|
|
|
|
14,474
|
|
Walter Energy, Inc.(a)
|
|
|
447
|
|
|
|
14,510
|
|
|
|
|
|
|
|
|
86,847
|
|
Multiline Retail - 1.4%
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*
|
|
|
492
|
|
|
|
14,554
|
|
J.C. Penney Co., Inc.(a)
|
|
|
594
|
|
|
|
14,428
|
|
Sears Holdings Corp.*(a)
|
|
|
261
|
|
|
|
14,483
|
|
|
|
|
|
|
|
|
43,465
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Multi-Utilities - 0.9%
|
|
|
|
|
|
|
|
|
Public Service Enterprise Group, Inc.(a)
|
|
|
450
|
|
|
$
|
14,481
|
|
TECO Energy, Inc.(a)
|
|
|
819
|
|
|
|
14,529
|
|
|
|
|
|
|
|
|
29,010
|
|
Office Electronics - 0.4%
|
|
|
|
|
|
|
|
|
Xerox Corp.
|
|
|
1,974
|
|
|
|
14,489
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 3.6%
|
|
|
|
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
768
|
|
|
|
14,492
|
|
Cimarex Energy Co.
|
|
|
249
|
|
|
|
14,579
|
|
CONSOL Energy, Inc.
|
|
|
483
|
|
|
|
14,514
|
|
Hess Corp.
|
|
|
270
|
|
|
|
14,504
|
|
Newfield Exploration Co.*(a)
|
|
|
462
|
|
|
|
14,470
|
|
Peabody Energy Corp.(a)
|
|
|
651
|
|
|
|
14,511
|
|
QEP Resources, Inc.(a)
|
|
|
456
|
|
|
|
14,437
|
|
Ultra Petroleum Corp.*(a)
|
|
|
663
|
|
|
|
14,573
|
|
|
|
|
|
|
|
|
116,080
|
|
Personal Products - 0.4%
|
|
|
|
|
|
|
|
|
Avon Products, Inc.
|
|
|
903
|
|
|
|
14,403
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.8%
|
|
|
|
|
|
|
|
|
Endo Health Solutions, Inc.*
|
|
|
459
|
|
|
|
14,559
|
|
Hospira, Inc.*
|
|
|
444
|
|
|
|
14,572
|
|
Medicis Pharmaceutical Corp., Class A
|
|
|
336
|
|
|
|
14,539
|
|
Warner Chilcott plc, Class A(a)
|
|
|
1,074
|
|
|
|
14,499
|
|
|
|
|
|
|
|
|
58,169
|
|
Professional Services - 0.9%
|
|
|
|
|
|
|
|
|
Manpower, Inc.(a)
|
|
|
393
|
|
|
|
14,462
|
|
Towers Watson & Co., Class A
|
|
|
273
|
|
|
|
14,483
|
|
|
|
|
|
|
|
|
28,945
|
|
Real Estate Investment Trusts (REITs) - 4.5%
|
|
|
|
|
|
|
|
|
Chimera Investment Corp.
|
|
|
5,337
|
|
|
|
14,463
|
|
Corporate Office Properties Trust
|
|
|
600
|
|
|
|
14,382
|
|
Home Properties, Inc.
|
|
|
237
|
|
|
|
14,521
|
|
Mack-Cali Realty Corp.
|
|
|
537
|
|
|
|
14,284
|
|
Mid-America Apartment Communities, Inc.
|
|
|
222
|
|
|
|
14,499
|
|
Piedmont Office Realty Trust, Inc., Class A
|
|
|
828
|
|
|
|
14,358
|
|
Senior Housing Properties Trust
|
|
|
663
|
|
|
|
14,440
|
|
UDR, Inc.
|
|
|
582
|
|
|
|
14,445
|
|
Vornado Realty Trust
|
|
|
180
|
|
|
|
14,589
|
|
Washington Real Estate Investment Trust
|
|
|
534
|
|
|
|
14,322
|
|
|
|
|
|
|
|
|
144,303
|
|
Real Estate Management & Development - 0.9%
|
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., Class A*
|
|
|
918
|
|
|
|
14,550
|
|
Jones Lang LaSalle, Inc.
|
|
|
189
|
|
|
|
14,430
|
|
|
|
|
|
|
|
|
28,980
|
|
Road & Rail - 0.9%
|
|
|
|
|
|
|
|
|
CSX Corp.
|
|
|
699
|
|
|
|
14,504
|
|
Ryder System, Inc.(a)
|
|
|
372
|
|
|
|
14,531
|
|
|
|
|
|
|
|
|
29,035
|
|
Semiconductors & Semiconductor Equipment - 2.7%
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*
|
|
|
4,272
|
|
|
|
14,397
|
|
Atmel Corp.*
|
|
|
2,748
|
|
|
|
14,454
|
|
Cree, Inc.*
|
|
|
567
|
|
|
|
14,475
|
|
Cypress Semiconductor Corp.*
|
|
|
1,347
|
|
|
|
14,440
|
|
First Solar, Inc.*
|
|
|
654
|
|
|
|
14,483
|
|
ON Semiconductor Corp.*(a)
|
|
|
2,370
|
|
|
|
14,623
|
|
|
|
|
|
|
|
|
86,872
|
|
Software - 2.3%
|
|
|
|
|
|
|
|
|
Electronic Arts, Inc.*
|
|
|
1,143
|
|
|
|
14,505
|
|
Informatica Corp.*
|
|
|
417
|
|
|
|
14,516
|
|
QLIK Technologies, Inc.*(a)
|
|
|
645
|
|
|
|
14,454
|
|
Rovi Corp.*(a)
|
|
|
996
|
|
|
|
14,452
|
|
Solera Holdings, Inc.
|
|
|
330
|
|
|
|
14,477
|
|
|
|
|
|
|
|
|
72,404
|
|
Specialty Retail - 3.2%
|
|
|
|
|
|
|
|
|
Abercrombie & Fitch Co., Class A(a)
|
|
|
426
|
|
|
|
14,450
|
|
Best Buy Co., Inc.
|
|
|
840
|
|
|
|
14,439
|
|
CarMax, Inc.*
|
|
|
513
|
|
|
|
14,518
|
|
GameStop Corp., Class A
|
|
|
693
|
|
|
|
14,553
|
|
Guess?, Inc.
|
|
|
570
|
|
|
|
14,489
|
|
Staples, Inc.
|
|
|
1,257
|
|
|
|
14,481
|
|
Tiffany & Co.(a)
|
|
|
234
|
|
|
|
14,480
|
|
|
|
|
|
|
|
|
101,410
|
|
Textiles, Apparel & Luxury Goods - 1.4%
|
|
|
|
|
|
|
|
|
Deckers Outdoor Corp.*
|
|
|
396
|
|
|
|
14,509
|
|
Fossil, Inc.*(a)
|
|
|
171
|
|
|
|
14,484
|
|
Warnaco Group, Inc./The*(a)
|
|
|
279
|
|
|
|
14,480
|
|
|
|
|
|
|
|
|
43,473
|
|
Thrifts & Mortgage Finance - 0.5%
|
|
|
|
|
|
|
|
|
Hudson City Bancorp, Inc.
|
|
|
1,824
|
|
|
|
14,519
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors - 0.5%
|
|
|
|
|
|
|
|
|
Air Lease Corp.*
|
|
|
711
|
|
|
|
14,504
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $3,019,909)
|
|
|
|
|
|
|
2,894,170
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (90.1%)
|
|
|
|
|
|
|
|
|
Aerospace & Defense - (1.4%)
|
|
|
|
|
|
|
|
|
Spirit Aerosystems Holdings, Inc., Class A*
|
|
|
(651
|
)
|
|
|
(14,459
|
)
|
Textron, Inc.
|
|
|
(555
|
)
|
|
|
(14,524
|
)
|
TransDigm Group, Inc.*
|
|
|
(102
|
)
|
|
|
(14,471
|
)
|
|
|
|
|
|
|
|
(43,454
|
)
|
Airlines - (0.5%)
|
|
|
|
|
|
|
|
|
US Airways Group, Inc.*
|
|
|
(1,386
|
)
|
|
|
(14,498
|
)
|
|
|
|
|
|
|
|
|
|
Beverages - (1.4%)
|
|
|
|
|
|
|
|
|
Brown-Forman Corp., Class B
|
|
|
(222
|
)
|
|
|
(14,486
|
)
|
Constellation Brands, Inc., Class A*
|
|
|
(450
|
)
|
|
|
(14,557
|
)
|
Monster Beverage Corp.*
|
|
|
(267
|
)
|
|
|
(14,461
|
)
|
|
|
|
|
|
|
|
(43,504
|
)
|
Biotechnology - (4.9%)
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*
|
|
|
(126
|
)
|
|
|
(14,414
|
)
|
Amgen, Inc.
|
|
|
(171
|
)
|
|
|
(14,419
|
)
|
Ariad Pharmaceuticals, Inc.*
|
|
|
(600
|
)
|
|
|
(14,535
|
)
|
Biogen Idec, Inc.*
|
|
|
(96
|
)
|
|
|
(14,326
|
)
|
BioMarin Pharmaceutical, Inc.*
|
|
|
(360
|
)
|
|
|
(14,497
|
)
|
Gilead Sciences, Inc.*
|
|
|
(219
|
)
|
|
|
(14,526
|
)
|
Medivation, Inc.*
|
|
|
(258
|
)
|
|
|
(14,541
|
)
|
Onyx Pharmaceuticals, Inc.*
|
|
|
(171
|
)
|
|
|
(14,450
|
)
|
Pharmacyclics, Inc.*
|
|
|
(222
|
)
|
|
|
(14,319
|
)
|
Regeneron Pharmaceuticals, Inc.*
|
|
|
(96
|
)
|
|
|
(14,655
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Theravance, Inc.*
|
|
|
(558
|
)
|
|
$
|
(14,458
|
)
|
|
|
|
|
|
|
|
(159,140
|
)
|
Building Products - (0.9%)
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
(300
|
)
|
|
|
(14,508
|
)
|
Masco Corp.
|
|
|
(960
|
)
|
|
|
(14,448
|
)
|
|
|
|
|
|
|
|
(28,956
|
)
|
Capital Markets - (0.4%)
|
|
|
|
|
|
|
|
|
Affiliated Managers Group, Inc.*
|
|
|
(117
|
)
|
|
|
(14,391
|
)
|
|
|
|
|
|
|
|
|
|
Chemicals - (4.5%)
|
|
|
|
|
|
|
|
|
Airgas, Inc.
|
|
|
(177
|
)
|
|
|
(14,567
|
)
|
Cytec Industries, Inc.
|
|
|
(222
|
)
|
|
|
(14,545
|
)
|
FMC Corp.
|
|
|
(264
|
)
|
|
|
(14,620
|
)
|
LyondellBasell Industries N.V., Class A
|
|
|
(282
|
)
|
|
|
(14,568
|
)
|
NewMarket Corp.
|
|
|
(60
|
)
|
|
|
(14,789
|
)
|
PPG Industries, Inc.
|
|
|
(126
|
)
|
|
|
(14,470
|
)
|
RPM International, Inc.
|
|
|
(507
|
)
|
|
|
(14,470
|
)
|
Sherwin-Williams Co./The
|
|
|
(99
|
)
|
|
|
(14,742
|
)
|
Valspar Corp.
|
|
|
(258
|
)
|
|
|
(14,474
|
)
|
W.R. Grace & Co.*
|
|
|
(246
|
)
|
|
|
(14,534
|
)
|
|
|
|
|
|
|
|
(145,779
|
)
|
Commercial Banks - (3.2%)
|
|
|
|
|
|
|
|
|
BB&T Corp.
|
|
|
(438
|
)
|
|
|
(14,524
|
)
|
East West Bancorp, Inc.
|
|
|
(687
|
)
|
|
|
(14,509
|
)
|
Fifth Third Bancorp
|
|
|
(933
|
)
|
|
|
(14,471
|
)
|
Regions Financial Corp.
|
|
|
(2,010
|
)
|
|
|
(14,492
|
)
|
Susquehanna Bancshares, Inc.
|
|
|
(1,371
|
)
|
|
|
(14,341
|
)
|
U.S. Bancorp
|
|
|
(423
|
)
|
|
|
(14,509
|
)
|
Wells Fargo & Co.
|
|
|
(420
|
)
|
|
|
(14,503
|
)
|
|
|
|
|
|
|
|
(101,349
|
)
|
Commercial Services & Supplies - (0.4%)
|
|
|
|
|
|
|
|
|
Corrections Corp. of America
|
|
|
(432
|
)
|
|
|
(14,450
|
)
|
|
|
|
|
|
|
|
|
|
Communications Equipment - (0.4%)
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*
|
|
|
(2,418
|
)
|
|
|
(14,302
|
)
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals - (1.3%)
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
(21
|
)
|
|
|
(14,012
|
)
|
Seagate Technology plc
|
|
|
(465
|
)
|
|
|
(14,415
|
)
|
Western Digital Corp.
|
|
|
(375
|
)
|
|
|
(14,524
|
)
|
|
|
|
|
|
|
|
(42,951
|
)
|
Construction & Engineering - (0.5%)
|
|
|
|
|
|
|
|
|
Shaw Group, Inc./The*
|
|
|
(333
|
)
|
|
|
(14,525
|
)
|
|
|
|
|
|
|
|
|
|
Construction Materials - (0.5%)
|
|
|
|
|
|
|
|
|
Eagle Materials, Inc.
|
|
|
(315
|
)
|
|
|
(14,572
|
)
|
|
|
|
|
|
|
|
|
|
Consumer Finance - (0.4%)
|
|
|
|
|
|
|
|
|
Discover Financial Services
|
|
|
(363
|
)
|
|
|
(14,422
|
)
|
|
|
|
|
|
|
|
|
|
Distributors - (0.4%)
|
|
|
|
|
|
|
|
|
LKQ Corp.*
|
|
|
(780
|
)
|
|
|
(14,430
|
)
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - (0.4%)
|
|
|
|
|
|
|
|
|
tw telecom, inc.*
|
|
|
(552
|
)
|
|
|
(14,391
|
)
|
|
|
|
|
|
|
|
|
|
Electric Utilities - (1.4%)
|
|
|
|
|
|
|
|
|
Cleco Corp.
|
|
|
(345
|
)
|
|
|
(14,483
|
)
|
Duke Energy Corp.
|
|
|
(226
|
)
|
|
|
(14,645
|
)
|
Pinnacle West Capital Corp.
|
|
|
(276
|
)
|
|
|
(14,573
|
)
|
|
|
|
|
|
|
|
(43,701
|
)
|
Electrical Equipment - (1.4%)
|
|
|
|
|
|
|
|
|
EnerSys, Inc.*
|
|
|
(408
|
)
|
|
|
(14,398
|
)
|
Hubbell, Inc., Class B
|
|
|
(180
|
)
|
|
|
(14,533
|
)
|
Roper Industries, Inc.
|
|
|
(132
|
)
|
|
|
(14,506
|
)
|
|
|
|
|
|
|
|
(43,437
|
)
|
Electronic Equipment, Instruments & Components - (0.9%)
|
|
|
|
|
|
|
|
|
FEI Co.
|
|
|
(267
|
)
|
|
|
(14,285
|
)
|
Jabil Circuit, Inc.
|
|
|
(771
|
)
|
|
|
(14,433
|
)
|
|
|
|
|
|
|
|
(28,718
|
)
|
Energy Equipment & Services - (0.9%)
|
|
|
|
|
|
|
|
|
Dresser-Rand Group, Inc.*
|
|
|
(264
|
)
|
|
|
(14,549
|
)
|
Oceaneering International, Inc.
|
|
|
(261
|
)
|
|
|
(14,420
|
)
|
|
|
|
|
|
|
|
(28,969
|
)
|
Food & Staples Retailing - (0.5%)
|
|
|
|
|
|
|
|
|
Whole Foods Market, Inc.
|
|
|
(150
|
)
|
|
|
(14,610
|
)
|
|
|
|
|
|
|
|
|
|
Food Products - (0.9%)
|
|
|
|
|
|
|
|
|
Dean Foods Co.*
|
|
|
(894
|
)
|
|
|
(14,617
|
)
|
Hain Celestial Group, Inc./The*
|
|
|
(228
|
)
|
|
|
(14,364
|
)
|
|
|
|
|
|
|
|
(28,981
|
)
|
Gas Utilities - (0.5%)
|
|
|
|
|
|
|
|
|
ONEOK, Inc.
|
|
|
(300
|
)
|
|
|
(14,493
|
)
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - (1.4%)
|
|
|
|
|
|
|
|
|
Align Technology, Inc.*
|
|
|
(390
|
)
|
|
|
(14,418
|
)
|
Edwards Lifesciences Corp.*
|
|
|
(135
|
)
|
|
|
(14,495
|
)
|
Intuitive Surgical, Inc.*
|
|
|
(30
|
)
|
|
|
(14,869
|
)
|
|
|
|
|
|
|
|
(43,782
|
)
|
Health Care Providers & Services - (1.8%)
|
|
|
|
|
|
|
|
|
AMERIGROUP Corp.*
|
|
|
(159
|
)
|
|
|
(14,537
|
)
|
Brookdale Senior Living, Inc.*
|
|
|
(627
|
)
|
|
|
(14,559
|
)
|
HCA Holdings, Inc.
|
|
|
(432
|
)
|
|
|
(14,364
|
)
|
HMS Holdings Corp.*
|
|
|
(432
|
)
|
|
|
(14,442
|
)
|
|
|
|
|
|
|
|
(57,902
|
)
|
Health Care Technology - (0.4%)
|
|
|
|
|
|
|
|
|
athenahealth, Inc.*
|
|
|
(156
|
)
|
|
|
(14,316
|
)
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - (1.3%)
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co.*
|
|
|
(363
|
)
|
|
|
(14,349
|
)
|
Six Flags Entertainment Corp.
|
|
|
(246
|
)
|
|
|
(14,465
|
)
|
Wyndham Worldwide Corp.
|
|
|
(276
|
)
|
|
|
(14,485
|
)
|
|
|
|
|
|
|
|
(43,299
|
)
|
Household Durables - (2.7%)
|
|
|
|
|
|
|
|
|
D.R. Horton, Inc.
|
|
|
(705
|
)
|
|
|
(14,551
|
)
|
Jarden Corp.
|
|
|
(276
|
)
|
|
|
(14,584
|
)
|
Lennar Corp., Class A
|
|
|
(417
|
)
|
|
|
(14,499
|
)
|
Mohawk Industries, Inc.*
|
|
|
(183
|
)
|
|
|
(14,644
|
)
|
PulteGroup, Inc.*
|
|
|
(936
|
)
|
|
|
(14,508
|
)
|
Toll Brothers, Inc.*
|
|
|
(438
|
)
|
|
|
(14,555
|
)
|
|
|
|
|
|
|
|
(87,341
|
)
|
Household Products - (0.5%)
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
(270
|
)
|
|
|
(14,577
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Insurance - (3.6%)
|
|
|
|
|
|
|
|
|
Allied World Assurance Co. Holdings AG
|
|
|
(189
|
)
|
|
$
|
(14,600
|
)
|
Allstate Corp./The
|
|
|
(366
|
)
|
|
|
(14,497
|
)
|
American International Group, Inc.*
|
|
|
(441
|
)
|
|
|
(14,461
|
)
|
Arthur J. Gallagher & Co.
|
|
|
(405
|
)
|
|
|
(14,507
|
)
|
Cincinnati Financial Corp.
|
|
|
(384
|
)
|
|
|
(14,550
|
)
|
CNO Financial Group, Inc.
|
|
|
(1,485
|
)
|
|
|
(14,330
|
)
|
Everest Re Group Ltd.
|
|
|
(135
|
)
|
|
|
(14,440
|
)
|
Protective Life Corp.
|
|
|
(552
|
)
|
|
|
(14,468
|
)
|
|
|
|
|
|
|
|
(115,853
|
)
|
Internet & Catalog Retail - (0.5%)
|
|
|
|
|
|
|
|
|
Expedia, Inc.
|
|
|
(252
|
)
|
|
|
(14,576
|
)
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - (3.6%)
|
|
|
|
|
|
|
|
|
Akamai Technologies, Inc.*
|
|
|
(378
|
)
|
|
|
(14,462
|
)
|
AOL, Inc.*
|
|
|
(411
|
)
|
|
|
(14,479
|
)
|
CoStar Group, Inc.*
|
|
|
(177
|
)
|
|
|
(14,433
|
)
|
eBay, Inc.*
|
|
|
(300
|
)
|
|
|
(14,523
|
)
|
Equinix, Inc.*
|
|
|
(69
|
)
|
|
|
(14,217
|
)
|
IAC/InterActiveCorp
|
|
|
(279
|
)
|
|
|
(14,525
|
)
|
Rackspace Hosting, Inc.*
|
|
|
(219
|
)
|
|
|
(14,474
|
)
|
VeriSign, Inc.*
|
|
|
(297
|
)
|
|
|
(14,461
|
)
|
|
|
|
|
|
|
|
(115,574
|
)
|
IT Services - (3.6%)
|
|
|
|
|
|
|
|
|
Alliance Data Systems Corp.*
|
|
|
(102
|
)
|
|
|
(14,479
|
)
|
Convergys Corp.
|
|
|
(918
|
)
|
|
|
(14,385
|
)
|
CoreLogic, Inc.*
|
|
|
(546
|
)
|
|
|
(14,485
|
)
|
Lender Processing Services, Inc.
|
|
|
(519
|
)
|
|
|
(14,475
|
)
|
NeuStar, Inc., Class A*
|
|
|
(363
|
)
|
|
|
(14,531
|
)
|
Teradata Corp.*
|
|
|
(192
|
)
|
|
|
(14,479
|
)
|
Visa, Inc., Class A
|
|
|
(108
|
)
|
|
|
(14,502
|
)
|
Wright Express Corp.*
|
|
|
(207
|
)
|
|
|
(14,432
|
)
|
|
|
|
|
|
|
|
(115,768
|
)
|
Leisure Equipment & Products - (0.9%)
|
|
|
|
|
|
|
|
|
Brunswick Corp.
|
|
|
(639
|
)
|
|
|
(14,460
|
)
|
Polaris Industries, Inc.
|
|
|
(180
|
)
|
|
|
(14,557
|
)
|
|
|
|
|
|
|
|
(29,017
|
)
|
Machinery - (2.3%)
|
|
|
|
|
|
|
|
|
Chart Industries, Inc.*
|
|
|
(195
|
)
|
|
|
(14,401
|
)
|
Ingersoll-Rand plc
|
|
|
(321
|
)
|
|
|
(14,387
|
)
|
Toro Co./The
|
|
|
(369
|
)
|
|
|
(14,679
|
)
|
Valmont Industries, Inc.
|
|
|
(111
|
)
|
|
|
(14,596
|
)
|
Wabtec Corp.
|
|
|
(180
|
)
|
|
|
(14,452
|
)
|
|
|
|
|
|
|
|
(72,515
|
)
|
Media - (2.3%)
|
|
|
|
|
|
|
|
|
CBS Corp., Class B
|
|
|
(402
|
)
|
|
|
(14,605
|
)
|
Charter Communications, Inc., Class A*
|
|
|
(195
|
)
|
|
|
(14,639
|
)
|
Comcast Corp., Class A
|
|
|
(405
|
)
|
|
|
(14,487
|
)
|
Lamar Advertising Co., Class A*
|
|
|
(390
|
)
|
|
|
(14,453
|
)
|
Madison Square Garden Co./The, Class A*
|
|
|
(360
|
)
|
|
|
(14,497
|
)
|
|
|
|
|
|
|
|
(72,681
|
)
|
Metals & Mining - (0.4%)
|
|
|
|
|
|
|
|
|
Royal Gold, Inc.
|
|
|
(144
|
)
|
|
|
(14,380
|
)
|
|
|
|
|
|
|
|
|
|
Multiline Retail - (1.3%)
|
|
|
|
|
|
|
|
|
Dillard's, Inc., Class A
|
|
|
(198
|
)
|
|
|
(14,320
|
)
|
Dollar General Corp.*
|
|
|
(282
|
)
|
|
|
(14,534
|
)
|
Macy's, Inc.
|
|
|
(384
|
)
|
|
|
(14,446
|
)
|
|
|
|
|
|
|
|
(43,300
|
)
|
Multi-Utilities - (2.3%)
|
|
|
|
|
|
|
|
|
CMS Energy Corp.
|
|
|
(615
|
)
|
|
|
(14,483
|
)
|
NiSource, Inc.
|
|
|
(570
|
)
|
|
|
(14,524
|
)
|
SCANA Corp.
|
|
|
(300
|
)
|
|
|
(14,481
|
)
|
Sempra Energy
|
|
|
(225
|
)
|
|
|
(14,510
|
)
|
Wisconsin Energy Corp.
|
|
|
(387
|
)
|
|
|
(14,578
|
)
|
|
|
|
|
|
|
|
(72,576
|
)
|
Oil, Gas & Consumable Fuels - (5.4%)
|
|
|
|
|
|
|
|
|
Cheniere Energy, Inc.*
|
|
|
(936
|
)
|
|
|
(14,555
|
)
|
Cobalt International Energy, Inc.*
|
|
|
(651
|
)
|
|
|
(14,498
|
)
|
Continental Resources, Inc.*
|
|
|
(189
|
)
|
|
|
(14,534
|
)
|
Exxon Mobil Corp.
|
|
|
(159
|
)
|
|
|
(14,541
|
)
|
HollyFrontier Corp.
|
|
|
(351
|
)
|
|
|
(14,486
|
)
|
Kinder Morgan, Inc.
|
|
|
(408
|
)
|
|
|
(14,492
|
)
|
Kodiak Oil & Gas Corp.*
|
|
|
(1,551
|
)
|
|
|
(14,517
|
)
|
Marathon Petroleum Corp.
|
|
|
(267
|
)
|
|
|
(14,576
|
)
|
Plains Exploration & Production Co.*
|
|
|
(387
|
)
|
|
|
(14,501
|
)
|
Tesoro Corp.
|
|
|
(345
|
)
|
|
|
(14,455
|
)
|
Valero Energy Corp.
|
|
|
(459
|
)
|
|
|
(14,541
|
)
|
Williams Cos., Inc./The
|
|
|
(417
|
)
|
|
|
(14,582
|
)
|
|
|
|
|
|
|
|
(174,278
|
)
|
Paper & Forest Products - (0.4%)
|
|
|
|
|
|
|
|
|
Louisiana-Pacific Corp.*
|
|
|
(1,149
|
)
|
|
|
(14,362
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (0.9%)
|
|
|
|
|
|
|
|
|
Salix Pharmaceuticals Ltd.*
|
|
|
(342
|
)
|
|
|
(14,480
|
)
|
Vivus, Inc.*
|
|
|
(813
|
)
|
|
|
(14,488
|
)
|
|
|
|
|
|
|
|
(28,968
|
)
|
Professional Services - (0.9%)
|
|
|
|
|
|
|
|
|
Equifax, Inc.
|
|
|
(312
|
)
|
|
|
(14,533
|
)
|
Verisk Analytics, Inc., Class A*
|
|
|
(303
|
)
|
|
|
(14,426
|
)
|
|
|
|
|
|
|
|
(28,959
|
)
|
Real Estate Investment Trusts (REITs) - (8.1%)
|
|
|
|
|
|
|
|
|
American Capital Agency Corp.
|
|
|
(420
|
)
|
|
|
(14,528
|
)
|
American Tower Corp.
|
|
|
(204
|
)
|
|
|
(14,563
|
)
|
CBL & Associates Properties, Inc.
|
|
|
(675
|
)
|
|
|
(14,404
|
)
|
Digital Realty Trust, Inc.
|
|
|
(207
|
)
|
|
|
(14,459
|
)
|
Douglas Emmett, Inc.
|
|
|
(630
|
)
|
|
|
(14,534
|
)
|
Extra Space Storage, Inc.
|
|
|
(435
|
)
|
|
|
(14,464
|
)
|
General Growth Properties, Inc.
|
|
|
(750
|
)
|
|
|
(14,610
|
)
|
HCP, Inc.
|
|
|
(327
|
)
|
|
|
(14,545
|
)
|
Healthcare Realty Trust, Inc.
|
|
|
(624
|
)
|
|
|
(14,383
|
)
|
Host Hotels & Resorts, Inc.
|
|
|
(900
|
)
|
|
|
(14,445
|
)
|
Kilroy Realty Corp.
|
|
|
(324
|
)
|
|
|
(14,509
|
)
|
LaSalle Hotel Properties
|
|
|
(543
|
)
|
|
|
(14,493
|
)
|
Omega Healthcare Investors, Inc.
|
|
|
(636
|
)
|
|
|
(14,456
|
)
|
Simon Property Group, Inc.
|
|
|
(96
|
)
|
|
|
(14,574
|
)
|
Starwood Property Trust, Inc.
|
|
|
(618
|
)
|
|
|
(14,381
|
)
|
Taubman Centers, Inc.
|
|
|
(189
|
)
|
|
|
(14,502
|
)
|
Two Harbors Investment Corp.
|
|
|
(1,233
|
)
|
|
|
(14,488
|
)
|
Weyerhaeuser Co.
|
|
|
(552
|
)
|
|
|
(14,429
|
)
|
|
|
|
|
|
|
|
(260,767
|
)
|
Road & Rail - (1.8%)
|
|
|
|
|
|
|
|
|
J.B. Hunt Transport Services, Inc.
|
|
|
(276
|
)
|
|
|
(14,363
|
)
|
Kansas City Southern
|
|
|
(192
|
)
|
|
|
(14,550
|
)
|
Old Dominion Freight Line, Inc.*
|
|
|
(480
|
)
|
|
|
(14,477
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Union Pacific Corp.
|
|
|
(123
|
)
|
|
$
|
(14,600
|
)
|
|
|
|
|
|
|
|
(57,990
|
)
|
Semiconductors & Semiconductor Equipment - (1.3%)
|
|
|
|
|
|
|
|
|
Cirrus Logic, Inc.*
|
|
|
(378
|
)
|
|
|
(14,511
|
)
|
Cymer, Inc.*
|
|
|
(282
|
)
|
|
|
(14,399
|
)
|
KLA-Tencor Corp.
|
|
|
(303
|
)
|
|
|
(14,455
|
)
|
|
|
|
|
|
|
|
(43,365
|
)
|
Software - (2.7%)
|
|
|
|
|
|
|
|
|
Aspen Technology, Inc.*
|
|
|
(558
|
)
|
|
|
(14,424
|
)
|
Concur Technologies, Inc.*
|
|
|
(195
|
)
|
|
|
(14,377
|
)
|
Mentor Graphics Corp.*
|
|
|
(930
|
)
|
|
|
(14,397
|
)
|
Red Hat, Inc.*
|
|
|
(255
|
)
|
|
|
(14,520
|
)
|
SolarWinds, Inc.*
|
|
|
(261
|
)
|
|
|
(14,548
|
)
|
Ultimate Software Group, Inc.*
|
|
|
(141
|
)
|
|
|
(14,396
|
)
|
|
|
|
|
|
|
|
(86,662
|
)
|
Specialty Retail - (6.3%)
|
|
|
|
|
|
|
|
|
American Eagle Outfitters, Inc.
|
|
|
(687
|
)
|
|
|
(14,482
|
)
|
Cabela's, Inc.*
|
|
|
(264
|
)
|
|
|
(14,435
|
)
|
DSW, Inc., Class A
|
|
|
(219
|
)
|
|
|
(14,611
|
)
|
Foot Locker, Inc.
|
|
|
(408
|
)
|
|
|
(14,484
|
)
|
Gap, Inc./The
|
|
|
(405
|
)
|
|
|
(14,491
|
)
|
GNC Holdings, Inc., Class A
|
|
|
(375
|
)
|
|
|
(14,614
|
)
|
Home Depot, Inc./The
|
|
|
(240
|
)
|
|
|
(14,489
|
)
|
PetSmart, Inc.
|
|
|
(210
|
)
|
|
|
(14,486
|
)
|
Pier 1 Imports, Inc.
|
|
|
(771
|
)
|
|
|
(14,448
|
)
|
Ross Stores, Inc.
|
|
|
(225
|
)
|
|
|
(14,535
|
)
|
Sally Beauty Holdings, Inc.*
|
|
|
(576
|
)
|
|
|
(14,452
|
)
|
TJX Cos., Inc.
|
|
|
(324
|
)
|
|
|
(14,512
|
)
|
Tractor Supply Co.
|
|
|
(147
|
)
|
|
|
(14,537
|
)
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
|
|
(150
|
)
|
|
|
(14,446
|
)
|
|
|
|
|
|
|
|
(203,022
|
)
|
Textiles, Apparel & Luxury Goods - (1.4%)
|
|
|
|
|
|
|
|
|
Carter's, Inc.*
|
|
|
(270
|
)
|
|
|
(14,537
|
)
|
Under Armour, Inc., Class A*
|
|
|
(261
|
)
|
|
|
(14,572
|
)
|
VF Corp.
|
|
|
(90
|
)
|
|
|
(14,342
|
)
|
|
|
|
|
|
|
|
(43,451
|
)
|
Thrifts & Mortgage Finance - (0.4%)
|
|
|
|
|
|
|
|
|
Ocwen Financial Corp.*
|
|
|
(528
|
)
|
|
|
(14,472
|
)
|
|
|
|
|
|
|
|
|
|
Tobacco - (0.9%)
|
|
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
|
(435
|
)
|
|
|
(14,525
|
)
|
Philip Morris International, Inc.
|
|
|
(162
|
)
|
|
|
(14,570
|
)
|
|
|
|
|
|
|
|
(29,095
|
)
|
Trading Companies & Distributors - (1.3%)
|
|
|
|
|
|
|
|
|
Fastenal Co.
|
|
|
(336
|
)
|
|
|
(14,445
|
)
|
United Rentals, Inc.*
|
|
|
(444
|
)
|
|
|
(14,523
|
)
|
W.W. Grainger, Inc.
|
|
|
(69
|
)
|
|
|
(14,377
|
)
|
|
|
|
|
|
|
|
(43,345
|
)
|
Water Utilities - (0.5%)
|
|
|
|
|
|
|
|
|
American Water Works Co., Inc.
|
|
|
(393
|
)
|
|
|
(14,565
|
)
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - (0.9%)
|
|
|
|
|
|
|
|
|
Crown Castle International Corp.*
|
|
|
(225
|
)
|
|
|
(14,422
|
)
|
SBA Communications Corp., Class A*
|
|
|
(231
|
)
|
|
|
(14,530
|
)
|
|
|
|
|
|
|
|
(28,952
|
)
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $2,605,853)
|
|
|
|
|
|
|
(2,897,733
|
)
|
Other assets less liabilities
— 100.1%
|
|
|
|
|
|
|
3,219,332
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
3,215,769
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $1,215,028.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
|
|
Aggregate gross unrealized appreciation
|
|
$
|
103,750
|
|
Aggregate gross unrealized depreciation
|
|
|
(546,570
|
)
|
Net unrealized depreciation
|
|
$
|
(442,820
|
)
|
Federal income tax cost of investments
|
|
$
|
439,257
|
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Momentum Fund
Schedule of Investments
September 30, 2012
(Unaudited)
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
276,557
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral Anti-Momentum Index
|
|
$
|
44,675
|
|
|
(270,821
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Anti-Momentum Index
|
|
(0.04)%
|
|
|
(48,351
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(3,676
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Common Stocks Held Long - 90.0%
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 2.7%
|
|
|
|
|
|
|
|
|
Alliant Techsystems, Inc.(a)
|
|
|
2,266
|
|
|
$
|
113,549
|
|
General Dynamics Corp.(a)
|
|
|
1,716
|
|
|
|
113,462
|
|
Lockheed Martin Corp.(a)
|
|
|
1,232
|
|
|
|
115,044
|
|
Raytheon Co.(a)
|
|
|
2,002
|
|
|
|
114,435
|
|
Rockwell Collins, Inc.(a)
|
|
|
2,134
|
|
|
|
114,468
|
|
TransDigm Group, Inc.*
|
|
|
814
|
|
|
|
115,482
|
|
|
|
|
|
|
|
|
686,440
|
|
Air Freight & Logistics - 0.9%
|
|
|
|
|
|
|
|
|
C.H. Robinson Worldwide, Inc.(a)
|
|
|
1,936
|
|
|
|
113,353
|
|
United Parcel Service, Inc., Class B
|
|
|
1,584
|
|
|
|
113,367
|
|
|
|
|
|
|
|
|
226,720
|
|
Beverages - 0.9%
|
|
|
|
|
|
|
|
|
Dr. Pepper Snapple Group, Inc.
|
|
|
2,552
|
|
|
|
113,640
|
|
PepsiCo, Inc.(a)
|
|
|
1,606
|
|
|
|
113,657
|
|
|
|
|
|
|
|
|
227,297
|
|
Biotechnology - 1.8%
|
|
|
|
|
|
|
|
|
Alexion Pharmaceuticals, Inc.*(a)
|
|
|
990
|
|
|
|
113,256
|
|
Amgen, Inc.(a)
|
|
|
1,364
|
|
|
|
115,013
|
|
Celgene Corp.*(a)
|
|
|
1,496
|
|
|
|
114,294
|
|
Regeneron Pharmaceuticals, Inc.*(a)
|
|
|
748
|
|
|
|
114,190
|
|
|
|
|
|
|
|
|
456,753
|
|
Chemicals - 3.6%
|
|
|
|
|
|
|
|
|
Airgas, Inc.(a)
|
|
|
1,386
|
|
|
|
114,068
|
|
Ecolab, Inc.(a)
|
|
|
1,760
|
|
|
|
114,066
|
|
International Flavors & Fragrances, Inc.(a)
|
|
|
1,914
|
|
|
|
114,036
|
|
Olin Corp.(a)
|
|
|
5,236
|
|
|
|
113,778
|
|
Praxair, Inc.(a)
|
|
|
1,100
|
|
|
|
114,268
|
|
Sherwin-Williams Co./The(a)
|
|
|
770
|
|
|
|
114,661
|
|
Sigma-Aldrich Corp.
|
|
|
1,584
|
|
|
|
114,000
|
|
Valspar Corp.
|
|
|
2,024
|
|
|
|
113,546
|
|
|
|
|
|
|
|
|
912,423
|
|
Commercial Services & Supplies - 3.6%
|
|
|
|
|
|
|
|
|
Avery Dennison Corp.(a)
|
|
|
3,586
|
|
|
|
114,107
|
|
Corrections Corp. of America(a)
|
|
|
3,410
|
|
|
|
114,064
|
|
Covanta Holding Corp.(a)
|
|
|
6,622
|
|
|
|
113,634
|
|
Iron Mountain, Inc.(a)
|
|
|
3,344
|
|
|
|
114,064
|
|
Republic Services, Inc.(a)
|
|
|
4,158
|
|
|
|
114,387
|
|
Stericycle, Inc.*
|
|
|
1,254
|
|
|
|
113,512
|
|
Waste Connections, Inc.
|
|
|
3,806
|
|
|
|
115,131
|
|
Waste Management, Inc.
|
|
|
3,542
|
|
|
|
113,627
|
|
|
|
|
|
|
|
|
912,526
|
|
Communications Equipment - 1.3%
|
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc.*(a)
|
|
|
19,030
|
|
|
|
112,563
|
|
Motorola Solutions, Inc.(a)
|
|
|
2,244
|
|
|
|
113,434
|
|
Tellabs, Inc.
|
|
|
32,406
|
|
|
|
114,717
|
|
|
|
|
|
|
|
|
340,714
|
|
Construction & Engineering - 0.4%
|
|
|
|
|
|
|
|
|
Quanta Services, Inc.*(a)
|
|
|
4,620
|
|
|
|
114,114
|
|
|
|
|
|
|
|
|
|
|
Construction Materials - 0.5%
|
|
|
|
|
|
|
|
|
Martin Marietta Materials, Inc.(a)
|
|
|
1,386
|
|
|
|
114,858
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 2.7%
|
|
|
|
|
|
|
|
|
AptarGroup, Inc.(a)
|
|
|
2,200
|
|
|
|
113,762
|
|
Ball Corp.(a)
|
|
|
2,684
|
|
|
|
113,560
|
|
Bemis Co., Inc.(a)
|
|
|
3,630
|
|
|
|
114,236
|
|
Crown Holdings, Inc.*(a)
|
|
|
3,124
|
|
|
|
114,807
|
|
Greif, Inc., Class A(a)
|
|
|
2,574
|
|
|
|
113,720
|
|
Sonoco Products Co.
|
|
|
3,696
|
|
|
|
114,539
|
|
|
|
|
|
|
|
|
684,624
|
|
Diversified Telecommunication Services - 1.4%
|
|
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
3,036
|
|
|
|
114,457
|
|
CenturyLink, Inc.(a)
|
|
|
2,816
|
|
|
|
113,766
|
|
Verizon Communications, Inc.
|
|
|
2,508
|
|
|
|
114,290
|
|
|
|
|
|
|
|
|
342,513
|
|
Electric Utilities - 2.3%
|
|
|
|
|
|
|
|
|
Duke Energy Corp.(a)
|
|
|
1,760
|
|
|
|
114,048
|
|
Entergy Corp.(a)
|
|
|
1,650
|
|
|
|
114,345
|
|
OGE Energy Corp.(a)
|
|
|
2,046
|
|
|
|
113,471
|
|
Southern Co./The
|
|
|
2,486
|
|
|
|
114,580
|
|
Xcel Energy, Inc.
|
|
|
4,136
|
|
|
|
114,608
|
|
|
|
|
|
|
|
|
571,052
|
|
Electronic Equipment, Instruments & Components - 0.4%
|
|
|
|
|
|
|
|
|
Ingram Micro, Inc., Class A*
|
|
|
7,436
|
|
|
|
113,250
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - 2.7%
|
|
|
|
|
|
|
|
|
Bristow Group, Inc.(a)
|
|
|
2,244
|
|
|
|
113,434
|
|
Core Laboratories N.V.(a)
|
|
|
946
|
|
|
|
114,920
|
|
Diamond Offshore Drilling, Inc.(a)
|
|
|
1,738
|
|
|
|
114,378
|
|
Dresser-Rand Group, Inc.*
|
|
|
2,068
|
|
|
|
113,967
|
|
SEACOR Holdings, Inc.*(a)
|
|
|
1,364
|
|
|
|
113,703
|
|
Tidewater, Inc.
|
|
|
2,354
|
|
|
|
114,240
|
|
|
|
|
|
|
|
|
684,642
|
|
Food & Staples Retailing - 3.1%
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.(a)
|
|
|
1,144
|
|
|
|
114,543
|
|
CVS Caremark Corp.(a)
|
|
|
2,354
|
|
|
|
113,981
|
|
Kroger Co./The(a)
|
|
|
4,840
|
|
|
|
113,934
|
|
Safeway, Inc.
|
|
|
7,084
|
|
|
|
113,981
|
|
Sysco Corp.
|
|
|
3,652
|
|
|
|
114,198
|
|
Walgreen Co.
|
|
|
3,146
|
|
|
|
114,640
|
|
Wal-Mart Stores, Inc.
|
|
|
1,540
|
|
|
|
113,652
|
|
|
|
|
|
|
|
|
798,929
|
|
Food Products - 4.9%
|
|
|
|
|
|
|
|
|
Campbell Soup Co.(a)
|
|
|
3,278
|
|
|
|
114,140
|
|
ConAgra Foods, Inc.(a)
|
|
|
4,136
|
|
|
|
114,112
|
|
Flowers Foods, Inc.(a)
|
|
|
5,632
|
|
|
|
113,654
|
|
General Mills, Inc.(a)
|
|
|
2,860
|
|
|
|
113,971
|
|
H.J. Heinz Co.(a)
|
|
|
2,046
|
|
|
|
114,474
|
|
Hershey Co./The(a)
|
|
|
1,606
|
|
|
|
113,849
|
|
Hormel Foods Corp.(a)
|
|
|
3,894
|
|
|
|
113,861
|
|
Kellogg Co.(a)
|
|
|
2,200
|
|
|
|
113,652
|
|
McCormick & Co., Inc.(a)
|
|
|
1,848
|
|
|
|
114,650
|
|
Ralcorp Holdings, Inc.*(a)
|
|
|
1,562
|
|
|
|
114,026
|
|
TreeHouse Foods, Inc.*
|
|
|
2,178
|
|
|
|
114,345
|
|
|
|
|
|
|
|
|
1,254,734
|
|
Health Care Equipment & Supplies - 1.3%
|
|
|
|
|
|
|
|
|
C.R. Bard, Inc.(a)
|
|
|
1,100
|
|
|
|
115,115
|
|
Edwards Lifesciences Corp.*(a)
|
|
|
1,056
|
|
|
|
113,383
|
|
ResMed, Inc.(a)
|
|
|
2,816
|
|
|
|
113,963
|
|
|
|
|
|
|
|
|
342,461
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Health Care Providers & Services - 0.4%
|
|
|
|
|
|
|
|
|
HCA Holdings, Inc.
|
|
|
3,410
|
|
|
$
|
113,383
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology - 0.9%
|
|
|
|
|
|
|
|
|
Allscripts Healthcare Solutions, Inc.*(a)
|
|
|
9,042
|
|
|
|
112,392
|
|
Cerner Corp.*(a)
|
|
|
1,474
|
|
|
|
114,102
|
|
|
|
|
|
|
|
|
226,494
|
|
Hotels, Restaurants & Leisure - 1.4%
|
|
|
|
|
|
|
|
|
McDonald's Corp.(a)
|
|
|
1,254
|
|
|
|
115,055
|
|
Wendy's Co./The
|
|
|
25,058
|
|
|
|
114,014
|
|
Yum! Brands, Inc.
|
|
|
1,716
|
|
|
|
113,839
|
|
|
|
|
|
|
|
|
342,908
|
|
Household Durables - 0.4%
|
|
|
|
|
|
|
|
|
Garmin Ltd.
|
|
|
2,728
|
|
|
|
113,867
|
|
|
|
|
|
|
|
|
|
|
Household Products - 1.8%
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.(a)
|
|
|
2,112
|
|
|
|
114,027
|
|
Clorox Co./The(a)
|
|
|
1,584
|
|
|
|
114,127
|
|
Colgate-Palmolive Co.(a)
|
|
|
1,056
|
|
|
|
113,224
|
|
Kimberly-Clark Corp.(a)
|
|
|
1,342
|
|
|
|
115,117
|
|
|
|
|
|
|
|
|
456,495
|
|
Industrial Conglomerates - 0.4%
|
|
|
|
|
|
|
|
|
3M Co.(a)
|
|
|
1,232
|
|
|
|
113,861
|
|
|
|
|
|
|
|
|
|
|
Insurance - 9.9%
|
|
|
|
|
|
|
|
|
Allied World Assurance Co. Holdings AG(a)
|
|
|
1,474
|
|
|
|
113,866
|
|
Arch Capital Group Ltd.*(a)
|
|
|
2,750
|
|
|
|
114,620
|
|
Arthur J. Gallagher & Co.(a)
|
|
|
3,190
|
|
|
|
114,266
|
|
Aspen Insurance Holdings Ltd.(a)
|
|
|
3,740
|
|
|
|
114,033
|
|
Assurant, Inc.(a)
|
|
|
3,058
|
|
|
|
114,063
|
|
Axis Capital Holdings Ltd.(a)
|
|
|
3,278
|
|
|
|
114,468
|
|
Chubb Corp./The(a)
|
|
|
1,496
|
|
|
|
114,115
|
|
Cincinnati Financial Corp.(a)
|
|
|
3,014
|
|
|
|
114,200
|
|
Endurance Specialty Holdings Ltd.(a)
|
|
|
2,948
|
|
|
|
113,498
|
|
Everest Re Group Ltd.(a)
|
|
|
1,056
|
|
|
|
112,950
|
|
Fidelity National Financial, Inc., Class A(a)
|
|
|
5,346
|
|
|
|
114,351
|
|
Hanover Insurance Group, Inc./The
|
|
|
3,058
|
|
|
|
113,941
|
|
HCC Insurance Holdings, Inc.(a)
|
|
|
3,366
|
|
|
|
114,074
|
|
Markel Corp.*(a)
|
|
|
242
|
|
|
|
110,954
|
|
PartnerRe Ltd.(a)
|
|
|
1,540
|
|
|
|
114,391
|
|
ProAssurance Corp.(a)
|
|
|
1,276
|
|
|
|
115,401
|
|
Progressive Corp./The(a)
|
|
|
5,478
|
|
|
|
113,614
|
|
RenaissanceRe Holdings Ltd.(a)
|
|
|
1,474
|
|
|
|
113,557
|
|
Travelers Cos., Inc./The
|
|
|
1,672
|
|
|
|
114,131
|
|
Validus Holdings Ltd.
|
|
|
3,366
|
|
|
|
114,141
|
|
W.R. Berkley Corp.
|
|
|
3,036
|
|
|
|
113,820
|
|
Willis Group Holdings plc
|
|
|
3,102
|
|
|
|
114,526
|
|
|
|
|
|
|
|
|
2,506,980
|
|
Internet & Catalog Retail - 0.5%
|
|
|
|
|
|
|
|
|
Expedia, Inc.(a)
|
|
|
1,980
|
|
|
|
114,523
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services - 1.4%
|
|
|
|
|
|
|
|
|
AOL, Inc.*
|
|
|
3,234
|
|
|
|
113,934
|
|
IAC/InterActiveCorp(a)
|
|
|
2,200
|
|
|
|
114,532
|
|
VeriSign, Inc.*
|
|
|
2,354
|
|
|
|
114,616
|
|
|
|
|
|
|
|
|
343,082
|
|
IT Services - 3.6%
|
|
|
|
|
|
|
|
|
Amdocs Ltd.(a)
|
|
|
3,476
|
|
|
|
114,673
|
|
Automatic Data Processing, Inc.(a)
|
|
|
1,936
|
|
|
|
113,566
|
|
Broadridge Financial Solutions, Inc.(a)
|
|
|
4,862
|
|
|
|
113,430
|
|
Gartner, Inc.*(a)
|
|
|
2,464
|
|
|
|
113,566
|
|
International Business Machines Corp.(a)
|
|
|
550
|
|
|
|
114,098
|
|
NeuStar, Inc., Class A*(a)
|
|
|
2,860
|
|
|
|
114,486
|
|
Paychex, Inc.(a)
|
|
|
3,432
|
|
|
|
114,251
|
|
SAIC, Inc.(a)
|
|
|
9,394
|
|
|
|
113,104
|
|
|
|
|
|
|
|
|
911,174
|
|
Marine - 0.5%
|
|
|
|
|
|
|
|
|
Kirby Corp.*(a)
|
|
|
2,068
|
|
|
|
114,319
|
|
|
|
|
|
|
|
|
|
|
Media - 1.8%
|
|
|
|
|
|
|
|
|
Charter Communications, Inc., Class A*(a)
|
|
|
1,518
|
|
|
|
113,956
|
|
Madison Square Garden Co./The, Class A*(a)
|
|
|
2,838
|
|
|
|
114,286
|
|
Regal Entertainment Group, Class A
|
|
|
8,118
|
|
|
|
114,221
|
|
Washington Post Co./The, Class B
|
|
|
308
|
|
|
|
111,813
|
|
|
|
|
|
|
|
|
454,276
|
|
Metals & Mining - 1.8%
|
|
|
|
|
|
|
|
|
Allied Nevada Gold Corp.*(a)
|
|
|
2,904
|
|
|
|
113,430
|
|
Compass Minerals International, Inc.(a)
|
|
|
1,518
|
|
|
|
113,228
|
|
Newmont Mining Corp.(a)
|
|
|
2,046
|
|
|
|
114,596
|
|
Royal Gold, Inc.(a)
|
|
|
1,144
|
|
|
|
114,240
|
|
|
|
|
|
|
|
|
455,494
|
|
Multiline Retail - 2.3%
|
|
|
|
|
|
|
|
|
Big Lots, Inc.*(a)
|
|
|
3,872
|
|
|
|
114,534
|
|
Dollar Tree, Inc.*(a)
|
|
|
2,376
|
|
|
|
114,701
|
|
Family Dollar Stores, Inc.(a)
|
|
|
1,716
|
|
|
|
113,771
|
|
Kohl's Corp.(a)
|
|
|
2,222
|
|
|
|
113,811
|
|
Target Corp.
|
|
|
1,804
|
|
|
|
114,500
|
|
|
|
|
|
|
|
|
571,317
|
|
Multi-Utilities - 3.2%
|
|
|
|
|
|
|
|
|
Consolidated Edison, Inc.(a)
|
|
|
1,914
|
|
|
|
114,630
|
|
Dominion Resources, Inc.(a)
|
|
|
2,156
|
|
|
|
114,139
|
|
MDU Resources Group, Inc.(a)
|
|
|
5,170
|
|
|
|
113,947
|
|
NiSource, Inc.
|
|
|
4,488
|
|
|
|
114,354
|
|
PG&E Corp.(a)
|
|
|
2,684
|
|
|
|
114,526
|
|
Sempra Energy
|
|
|
1,760
|
|
|
|
113,502
|
|
Wisconsin Energy Corp.
|
|
|
3,036
|
|
|
|
114,366
|
|
|
|
|
|
|
|
|
799,464
|
|
Oil, Gas & Consumable Fuels - 3.6%
|
|
|
|
|
|
|
|
|
Cabot Oil & Gas Corp.(a)
|
|
|
2,552
|
|
|
|
114,585
|
|
Chevron Corp.(a)
|
|
|
968
|
|
|
|
112,830
|
|
ConocoPhillips(a)
|
|
|
2,002
|
|
|
|
114,474
|
|
Energen Corp.
|
|
|
2,200
|
|
|
|
115,302
|
|
EQT Corp.
|
|
|
1,936
|
|
|
|
114,224
|
|
Exxon Mobil Corp.
|
|
|
1,254
|
|
|
|
114,678
|
|
Kinder Morgan, Inc.(a)
|
|
|
3,212
|
|
|
|
114,090
|
|
Williams Cos., Inc./The
|
|
|
3,278
|
|
|
|
114,632
|
|
|
|
|
|
|
|
|
914,815
|
|
Pharmaceuticals - 4.5%
|
|
|
|
|
|
|
|
|
Abbott Laboratories(a)
|
|
|
1,672
|
|
|
|
114,632
|
|
Allergan, Inc.(a)
|
|
|
1,254
|
|
|
|
114,841
|
|
Bristol-Myers Squibb Co.(a)
|
|
|
3,366
|
|
|
|
113,603
|
|
Eli Lilly & Co.(a)
|
|
|
2,398
|
|
|
|
113,689
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Endo Health Solutions, Inc.*
|
|
|
3,608
|
|
|
$
|
114,446
|
|
Forest Laboratories, Inc.*(a)
|
|
|
3,212
|
|
|
|
114,379
|
|
Hospira, Inc.*(a)
|
|
|
3,498
|
|
|
|
114,804
|
|
Johnson & Johnson(a)
|
|
|
1,650
|
|
|
|
113,702
|
|
Perrigo Co.(a)
|
|
|
990
|
|
|
|
115,008
|
|
Watson Pharmaceuticals, Inc.*
|
|
|
1,342
|
|
|
|
114,285
|
|
|
|
|
|
|
|
|
1,143,389
|
|
Professional Services - 1.3%
|
|
|
|
|
|
|
|
|
IHS, Inc., Class A*(a)
|
|
|
1,166
|
|
|
|
113,510
|
|
Towers Watson & Co., Class A
|
|
|
2,134
|
|
|
|
113,209
|
|
Verisk Analytics, Inc., Class A*
|
|
|
2,376
|
|
|
|
113,121
|
|
|
|
|
|
|
|
|
339,840
|
|
Real Estate Investment Trusts (REITs) - 7.2%
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.(a)
|
|
|
2,596
|
|
|
|
113,913
|
|
American Capital Agency Corp.(a)
|
|
|
3,300
|
|
|
|
114,147
|
|
American Tower Corp.(a)
|
|
|
1,606
|
|
|
|
114,652
|
|
Annaly Capital Management, Inc.(a)
|
|
|
6,776
|
|
|
|
114,108
|
|
Camden Property Trust(a)
|
|
|
1,782
|
|
|
|
114,921
|
|
Chimera Investment Corp.(a)
|
|
|
42,020
|
|
|
|
113,874
|
|
Digital Realty Trust, Inc.(a)
|
|
|
1,628
|
|
|
|
113,716
|
|
Equity Lifestyle Properties, Inc.(a)
|
|
|
1,672
|
|
|
|
113,897
|
|
Equity Residential(a)
|
|
|
1,980
|
|
|
|
113,909
|
|
Federal Realty Investment Trust(a)
|
|
|
1,078
|
|
|
|
113,513
|
|
Hatteras Financial Corp.(a)
|
|
|
4,048
|
|
|
|
114,113
|
|
MFA Financial, Inc.(a)
|
|
|
13,376
|
|
|
|
113,696
|
|
National Retail Properties, Inc.(a)
|
|
|
3,718
|
|
|
|
113,399
|
|
Realty Income Corp.
|
|
|
2,772
|
|
|
|
113,347
|
|
Senior Housing Properties Trust
|
|
|
5,214
|
|
|
|
113,561
|
|
Starwood Property Trust, Inc.
|
|
|
4,862
|
|
|
|
113,139
|
|
|
|
|
|
|
|
|
1,821,905
|
|
Semiconductors & Semiconductor Equipment - 0.4%
|
|
|
|
|
|
|
|
|
Marvell Technology Group Ltd.(a)
|
|
|
12,386
|
|
|
|
113,332
|
|
|
|
|
|
|
|
|
|
|
Software - 2.7%
|
|
|
|
|
|
|
|
|
Adobe Systems, Inc.*(a)
|
|
|
3,520
|
|
|
|
114,259
|
|
ANSYS, Inc.*(a)
|
|
|
1,562
|
|
|
|
114,651
|
|
BMC Software, Inc.*
|
|
|
2,728
|
|
|
|
113,185
|
|
Microsoft Corp.(a)
|
|
|
3,828
|
|
|
|
113,998
|
|
Solera Holdings, Inc.
|
|
|
2,596
|
|
|
|
113,886
|
|
Synopsys, Inc.*
|
|
|
3,454
|
|
|
|
114,051
|
|
|
|
|
|
|
|
|
684,030
|
|
Specialty Retail - 3.2%
|
|
|
|
|
|
|
|
|
Advance Auto Parts, Inc.(a)
|
|
|
1,672
|
|
|
|
114,432
|
|
AutoZone, Inc.*(a)
|
|
|
308
|
|
|
|
113,858
|
|
Lowe's Cos., Inc.(a)
|
|
|
3,762
|
|
|
|
113,763
|
|
O'Reilly Automotive, Inc.*(a)
|
|
|
1,364
|
|
|
|
114,058
|
|
Ross Stores, Inc.(a)
|
|
|
1,782
|
|
|
|
115,117
|
|
TJX Cos., Inc.
|
|
|
2,552
|
|
|
|
114,304
|
|
Tractor Supply Co.
|
|
|
1,166
|
|
|
|
115,306
|
|
|
|
|
|
|
|
|
800,838
|
|
Thrifts & Mortgage Finance - 0.5%
|
|
|
|
|
|
|
|
|
Capitol Federal Financial, Inc.(a)
|
|
|
9,570
|
|
|
|
114,457
|
|
|
|
|
|
|
|
|
|
|
Tobacco - 1.4%
|
|
|
|
|
|
|
|
|
Altria Group, Inc.(a)
|
|
|
3,410
|
|
|
|
113,860
|
|
Lorillard, Inc.(a)
|
|
|
990
|
|
|
|
115,285
|
|
Reynolds American, Inc.(a)
|
|
|
2,640
|
|
|
|
114,418
|
|
|
|
|
|
|
|
|
343,563
|
|
Water Utilities - 0.4%
|
|
|
|
|
|
|
|
|
American Water Works Co., Inc.(a)
|
|
|
3,080
|
|
|
|
114,145
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks Held Long
|
|
|
|
|
|
|
|
|
(Cost $22,157,592)
|
|
|
|
|
|
|
22,812,001
|
|
|
|
|
|
|
|
|
|
|
Securities Sold Short - (89.9%)
|
|
|
|
|
|
|
|
|
Airlines - (0.9%)
|
|
|
|
|
|
|
|
|
JetBlue Airways Corp.*
|
|
|
(23,650
|
)
|
|
|
(113,283
|
)
|
US Airways Group, Inc.*
|
|
|
(10,912
|
)
|
|
|
(114,140
|
)
|
|
|
|
|
|
|
|
(227,423
|
)
|
Auto Components - (3.6%)
|
|
|
|
|
|
|
|
|
BorgWarner, Inc.*
|
|
|
(1,650
|
)
|
|
|
(114,032
|
)
|
Dana Holding Corp.
|
|
|
(9,196
|
)
|
|
|
(113,111
|
)
|
Gentex Corp.
|
|
|
(6,688
|
)
|
|
|
(113,763
|
)
|
Goodyear Tire & Rubber Co./The*
|
|
|
(9,350
|
)
|
|
|
(113,976
|
)
|
Johnson Controls, Inc.
|
|
|
(4,158
|
)
|
|
|
(113,929
|
)
|
Tenneco, Inc.*
|
|
|
(4,070
|
)
|
|
|
(113,960
|
)
|
TRW Automotive Holdings Corp.*
|
|
|
(2,596
|
)
|
|
|
(113,471
|
)
|
Visteon Corp.*
|
|
|
(2,574
|
)
|
|
|
(114,440
|
)
|
|
|
|
|
|
|
|
(910,682
|
)
|
Automobiles - (0.9%)
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
(11,572
|
)
|
|
|
(114,100
|
)
|
Harley-Davidson, Inc.
|
|
|
(2,684
|
)
|
|
|
(113,721
|
)
|
|
|
|
|
|
|
|
(227,821
|
)
|
Biotechnology - (1.3%)
|
|
|
|
|
|
|
|
|
Alkermes plc*
|
|
|
(5,456
|
)
|
|
|
(113,212
|
)
|
Onyx Pharmaceuticals, Inc.*
|
|
|
(1,342
|
)
|
|
|
(113,399
|
)
|
Theravance, Inc.*
|
|
|
(4,378
|
)
|
|
|
(113,434
|
)
|
|
|
|
|
|
|
|
(340,045
|
)
|
Building Products - (0.9%)
|
|
|
|
|
|
|
|
|
Lennox International, Inc.
|
|
|
(2,354
|
)
|
|
|
(113,839
|
)
|
Owens Corning*
|
|
|
(3,410
|
)
|
|
|
(114,099
|
)
|
|
|
|
|
|
|
|
(227,938
|
)
|
Capital Markets - (5.4%)
|
|
|
|
|
|
|
|
|
Affiliated Managers Group, Inc.*
|
|
|
(924
|
)
|
|
|
(113,652
|
)
|
Ameriprise Financial, Inc.
|
|
|
(2,002
|
)
|
|
|
(113,493
|
)
|
E*TRADE Financial Corp.*
|
|
|
(13,002
|
)
|
|
|
(114,548
|
)
|
Eaton Vance Corp.
|
|
|
(3,938
|
)
|
|
|
(114,044
|
)
|
Invesco Ltd.
|
|
|
(4,576
|
)
|
|
|
(114,354
|
)
|
Jefferies Group, Inc.
|
|
|
(8,404
|
)
|
|
|
(115,051
|
)
|
Legg Mason, Inc.
|
|
|
(4,620
|
)
|
|
|
(114,022
|
)
|
Morgan Stanley
|
|
|
(6,798
|
)
|
|
|
(113,798
|
)
|
Raymond James Financial, Inc.
|
|
|
(3,102
|
)
|
|
|
(113,688
|
)
|
Stifel Financial Corp.*
|
|
|
(3,388
|
)
|
|
|
(113,837
|
)
|
T. Rowe Price Group, Inc.
|
|
|
(1,804
|
)
|
|
|
(114,193
|
)
|
Waddell & Reed Financial, Inc., Class A
|
|
|
(3,476
|
)
|
|
|
(113,909
|
)
|
|
|
|
|
|
|
|
(1,368,589
|
)
|
Chemicals - (1.8%)
|
|
|
|
|
|
|
|
|
Chemtura Corp.*
|
|
|
(6,666
|
)
|
|
|
(114,788
|
)
|
Huntsman Corp.
|
|
|
(7,678
|
)
|
|
|
(114,633
|
)
|
LyondellBasell Industries N.V., Class A
|
|
|
(2,222
|
)
|
|
|
(114,789
|
)
|
Rockwood Holdings, Inc.
|
|
|
(2,442
|
)
|
|
|
(113,797
|
)
|
|
|
|
|
|
|
|
(458,007
|
)
|
Commercial Banks - (3.2%)
|
|
|
|
|
|
|
|
|
Comerica, Inc.
|
|
|
(3,674
|
)
|
|
|
(114,078
|
)
|
Huntington Bancshares, Inc./OH
|
|
|
(16,610
|
)
|
|
|
(114,609
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Popular, Inc.*
|
|
|
(6,578
|
)
|
|
$
|
(114,654
|
)
|
Regions Financial Corp.
|
|
|
(15,818
|
)
|
|
|
(114,048
|
)
|
SunTrust Banks, Inc.
|
|
|
(4,048
|
)
|
|
|
(114,437
|
)
|
Webster Financial Corp.
|
|
|
(4,796
|
)
|
|
|
(113,665
|
)
|
Zions Bancorp
|
|
|
(5,544
|
)
|
|
|
(114,511
|
)
|
|
|
|
|
|
|
|
(800,002
|
)
|
Communications Equipment - (2.7%)
|
|
|
|
|
|
|
|
|
Ciena Corp.*
|
|
|
(8,470
|
)
|
|
|
(115,192
|
)
|
F5 Networks, Inc.*
|
|
|
(1,100
|
)
|
|
|
(115,170
|
)
|
JDS Uniphase Corp.*
|
|
|
(9,218
|
)
|
|
|
(114,165
|
)
|
Juniper Networks, Inc.*
|
|
|
(6,644
|
)
|
|
|
(113,679
|
)
|
Polycom, Inc.*
|
|
|
(11,528
|
)
|
|
|
(113,781
|
)
|
Riverbed Technology, Inc.*
|
|
|
(4,884
|
)
|
|
|
(113,651
|
)
|
|
|
|
|
|
|
|
(685,638
|
)
|
Construction & Engineering - (1.4%)
|
|
|
|
|
|
|
|
|
Fluor Corp.
|
|
|
(2,024
|
)
|
|
|
(113,911
|
)
|
Foster Wheeler AG*
|
|
|
(4,752
|
)
|
|
|
(113,858
|
)
|
KBR, Inc.
|
|
|
(3,828
|
)
|
|
|
(114,151
|
)
|
|
|
|
|
|
|
|
(341,920
|
)
|
Containers & Packaging - (0.5%)
|
|
|
|
|
|
|
|
|
Owens-Illinois, Inc.*
|
|
|
(6,094
|
)
|
|
|
(114,323
|
)
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - (0.5%)
|
|
|
|
|
|
|
|
|
Sotheby's
|
|
|
(3,630
|
)
|
|
|
(114,345
|
)
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - (1.3%)
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
|
(12,914
|
)
|
|
|
(114,030
|
)
|
Citigroup, Inc.
|
|
|
(3,476
|
)
|
|
|
(113,735
|
)
|
Leucadia National Corp.
|
|
|
(5,016
|
)
|
|
|
(114,114
|
)
|
|
|
|
|
|
|
|
(341,879
|
)
|
Diversified Telecommunication Services - (0.5%)
|
|
|
|
|
|
|
|
|
Level 3 Communications, Inc.*
|
|
|
(4,950
|
)
|
|
|
(113,702
|
)
|
|
|
|
|
|
|
|
|
|
Electric Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
Great Plains Energy, Inc.
|
|
|
(5,126
|
)
|
|
|
(114,105
|
)
|
UNS Energy Corp.
|
|
|
(2,728
|
)
|
|
|
(114,194
|
)
|
|
|
|
|
|
|
|
(228,299
|
)
|
Electrical Equipment - (0.9%)
|
|
|
|
|
|
|
|
|
GrafTech International Ltd.*
|
|
|
(12,672
|
)
|
|
|
(113,921
|
)
|
Rockwell Automation, Inc.
|
|
|
(1,628
|
)
|
|
|
(113,228
|
)
|
|
|
|
|
|
|
|
(227,149
|
)
|
Electronic Equipment, Instruments & Components - (2.2%)
|
|
|
|
|
|
|
|
|
Anixter International, Inc.
|
|
|
(1,980
|
)
|
|
|
(113,771
|
)
|
Arrow Electronics, Inc.*
|
|
|
(3,366
|
)
|
|
|
(113,468
|
)
|
IPG Photonics Corp.*
|
|
|
(2,002
|
)
|
|
|
(114,714
|
)
|
Jabil Circuit, Inc.
|
|
|
(6,072
|
)
|
|
|
(113,668
|
)
|
Vishay Intertechnology, Inc.*
|
|
|
(11,572
|
)
|
|
|
(113,753
|
)
|
|
|
|
|
|
|
|
(569,374
|
)
|
Energy Equipment & Services - (4.0%)
|
|
|
|
|
|
|
|
|
Baker Hughes, Inc.
|
|
|
(2,530
|
)
|
|
|
(114,432
|
)
|
Halliburton Co.
|
|
|
(3,388
|
)
|
|
|
(114,142
|
)
|
Helix Energy Solutions Group, Inc.*
|
|
|
(6,182
|
)
|
|
|
(112,945
|
)
|
Helmerich & Payne, Inc.
|
|
|
(2,376
|
)
|
|
|
(113,121
|
)
|
Nabors Industries Ltd.*
|
|
|
(8,074
|
)
|
|
|
(113,278
|
)
|
Oil States International, Inc.*
|
|
|
(1,430
|
)
|
|
|
(113,628
|
)
|
Patterson-UTI Energy, Inc.
|
|
|
(7,194
|
)
|
|
|
(113,953
|
)
|
Superior Energy Services, Inc.*
|
|
|
(5,566
|
)
|
|
|
(114,214
|
)
|
Weatherford International Ltd.*
|
|
|
(8,998
|
)
|
|
|
(114,095
|
)
|
|
|
|
|
|
|
|
(1,023,808
|
)
|
Food Products - (0.5%)
|
|
|
|
|
|
|
|
|
Darling International, Inc.*
|
|
|
(6,248
|
)
|
|
|
(114,276
|
)
|
|
|
|
|
|
|
|
|
|
Gas Utilities - (1.3%)
|
|
|
|
|
|
|
|
|
National Fuel Gas Co.
|
|
|
(2,112
|
)
|
|
|
(114,133
|
)
|
Piedmont Natural Gas Co., Inc.
|
|
|
(3,498
|
)
|
|
|
(113,615
|
)
|
WGL Holdings, Inc.
|
|
|
(2,816
|
)
|
|
|
(113,344
|
)
|
|
|
|
|
|
|
|
(341,092
|
)
|
Health Care Equipment & Supplies - (0.5%)
|
|
|
|
|
|
|
|
|
Alere, Inc.*
|
|
|
(5,852
|
)
|
|
|
(114,055
|
)
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - (4.9%)
|
|
|
|
|
|
|
|
|
AMERIGROUP Corp.*
|
|
|
(1,254
|
)
|
|
|
(114,653
|
)
|
Brookdale Senior Living, Inc.*
|
|
|
(4,928
|
)
|
|
|
(114,428
|
)
|
Community Health Systems, Inc.*
|
|
|
(3,894
|
)
|
|
|
(113,471
|
)
|
Express Scripts Holding Co.*
|
|
|
(1,804
|
)
|
|
|
(113,057
|
)
|
Health Management Associates, Inc., Class A*
|
|
|
(13,574
|
)
|
|
|
(113,886
|
)
|
Health Net, Inc.*
|
|
|
(5,060
|
)
|
|
|
(113,900
|
)
|
HealthSouth Corp.*
|
|
|
(4,730
|
)
|
|
|
(113,804
|
)
|
Tenet Healthcare Corp.*
|
|
|
(17,930
|
)
|
|
|
(112,421
|
)
|
Universal Health Services, Inc., Class B
|
|
|
(2,486
|
)
|
|
|
(113,685
|
)
|
VCA Antech, Inc.*
|
|
|
(5,786
|
)
|
|
|
(114,158
|
)
|
WellCare Health Plans, Inc.*
|
|
|
(2,002
|
)
|
|
|
(113,213
|
)
|
|
|
|
|
|
|
|
(1,250,676
|
)
|
Hotels, Restaurants & Leisure - (4.5%)
|
|
|
|
|
|
|
|
|
Gaylord Entertainment Co.*
|
|
|
(2,860
|
)
|
|
|
(113,056
|
)
|
Hyatt Hotels Corp., Class A*
|
|
|
(2,838
|
)
|
|
|
(113,946
|
)
|
Las Vegas Sands Corp.
|
|
|
(2,464
|
)
|
|
|
(114,256
|
)
|
Marriott International, Inc., Class A
|
|
|
(2,904
|
)
|
|
|
(113,546
|
)
|
MGM Resorts International*
|
|
|
(10,582
|
)
|
|
|
(113,756
|
)
|
Royal Caribbean Cruises Ltd.
|
|
|
(3,762
|
)
|
|
|
(113,650
|
)
|
Starwood Hotels & Resorts Worldwide, Inc.
|
|
|
(1,980
|
)
|
|
|
(114,761
|
)
|
Vail Resorts, Inc.
|
|
|
(1,980
|
)
|
|
|
(114,147
|
)
|
Wyndham Worldwide Corp.
|
|
|
(2,178
|
)
|
|
|
(114,301
|
)
|
Wynn Resorts Ltd.
|
|
|
(990
|
)
|
|
|
(114,286
|
)
|
|
|
|
|
|
|
|
(1,139,705
|
)
|
Household Durables - (1.8%)
|
|
|
|
|
|
|
|
|
Harman International Industries, Inc.
|
|
|
(2,464
|
)
|
|
|
(113,738
|
)
|
MDC Holdings, Inc.
|
|
|
(2,970
|
)
|
|
|
(114,375
|
)
|
PulteGroup, Inc.*
|
|
|
(7,348
|
)
|
|
|
(113,894
|
)
|
Tempur-Pedic International, Inc.*
|
|
|
(3,806
|
)
|
|
|
(113,761
|
)
|
|
|
|
|
|
|
|
(455,768
|
)
|
Independent Power Producers & Energy Traders - (1.4%)
|
|
|
|
|
|
|
|
|
AES Corp./The*
|
|
|
(10,428
|
)
|
|
|
(114,395
|
)
|
GenOn Energy, Inc.*
|
|
|
(44,748
|
)
|
|
|
(113,213
|
)
|
NRG Energy, Inc.
|
|
|
(5,346
|
)
|
|
|
(114,351
|
)
|
|
|
|
|
|
|
|
(341,959
|
)
|
Insurance - (4.9%)
|
|
|
|
|
|
|
|
|
Aflac, Inc.
|
|
|
(2,376
|
)
|
|
|
(113,763
|
)
|
American International Group, Inc.*
|
|
|
(3,454
|
)
|
|
|
(113,257
|
)
|
Assured Guaranty Ltd.
|
|
|
(8,404
|
)
|
|
|
(114,463
|
)
|
CNO Financial Group, Inc.
|
|
|
(11,704
|
)
|
|
|
(112,944
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
Genworth Financial, Inc., Class A*
|
|
|
(21,758
|
)
|
|
$
|
(113,794
|
)
|
Hartford Financial Services Group, Inc.
|
|
|
(5,830
|
)
|
|
|
(113,335
|
)
|
Lincoln National Corp.
|
|
|
(4,686
|
)
|
|
|
(113,354
|
)
|
MetLife, Inc.
|
|
|
(3,300
|
)
|
|
|
(113,718
|
)
|
Principal Financial Group, Inc.
|
|
|
(4,246
|
)
|
|
|
(114,387
|
)
|
Protective Life Corp.
|
|
|
(4,334
|
)
|
|
|
(113,594
|
)
|
Prudential Financial, Inc.
|
|
|
(2,090
|
)
|
|
|
(113,926
|
)
|
|
|
|
|
|
|
|
(1,250,535
|
)
|
Internet Software & Services - (0.5%)
|
|
|
|
|
|
|
|
|
eBay, Inc.*
|
|
|
(2,354
|
)
|
|
|
(113,957
|
)
|
|
|
|
|
|
|
|
|
|
IT Services - (0.5%)
|
|
|
|
|
|
|
|
|
Lender Processing Services, Inc.
|
|
|
(4,092
|
)
|
|
|
(114,126
|
)
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products - (0.4%)
|
|
|
|
|
|
|
|
|
Brunswick Corp.
|
|
|
(5,016
|
)
|
|
|
(113,512
|
)
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - (0.9%)
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc.
|
|
|
(2,948
|
)
|
|
|
(113,350
|
)
|
PAREXEL International Corp.*
|
|
|
(3,718
|
)
|
|
|
(114,366
|
)
|
|
|
|
|
|
|
|
(227,716
|
)
|
Machinery - (6.7%)
|
|
|
|
|
|
|
|
|
AGCO Corp.*
|
|
|
(2,398
|
)
|
|
|
(113,857
|
)
|
Cummins, Inc.
|
|
|
(1,232
|
)
|
|
|
(113,603
|
)
|
Harsco Corp.
|
|
|
(5,544
|
)
|
|
|
(113,818
|
)
|
Ingersoll-Rand plc
|
|
|
(2,530
|
)
|
|
|
(113,395
|
)
|
Joy Global, Inc.
|
|
|
(2,046
|
)
|
|
|
(114,699
|
)
|
Kennametal, Inc.
|
|
|
(3,080
|
)
|
|
|
(114,206
|
)
|
Manitowoc Co., Inc./The
|
|
|
(8,558
|
)
|
|
|
(114,164
|
)
|
Navistar International Corp.*
|
|
|
(5,412
|
)
|
|
|
(114,139
|
)
|
Nordson Corp.
|
|
|
(1,936
|
)
|
|
|
(113,488
|
)
|
Oshkosh Corp.*
|
|
|
(4,158
|
)
|
|
|
(114,054
|
)
|
Robbins & Myers, Inc.
|
|
|
(1,914
|
)
|
|
|
(114,074
|
)
|
Terex Corp.*
|
|
|
(5,060
|
)
|
|
|
(114,255
|
)
|
Timken Co.
|
|
|
(3,080
|
)
|
|
|
(114,453
|
)
|
Trinity Industries, Inc.
|
|
|
(3,806
|
)
|
|
|
(114,066
|
)
|
WABCO Holdings, Inc.*
|
|
|
(1,980
|
)
|
|
|
(114,186
|
)
|
|
|
|
|
|
|
|
(1,710,457
|
)
|
Media - (1.8%)
|
|
|
|
|
|
|
|
|
CBS Corp., Class B
|
|
|
(3,146
|
)
|
|
|
(114,294
|
)
|
Gannett Co., Inc.
|
|
|
(6,446
|
)
|
|
|
(114,416
|
)
|
Interpublic Group of Cos., Inc./The
|
|
|
(10,296
|
)
|
|
|
(114,492
|
)
|
Live Nation Entertainment, Inc.*
|
|
|
(13,244
|
)
|
|
|
(114,031
|
)
|
|
|
|
|
|
|
|
(457,233
|
)
|
Metals & Mining - (1.4%)
|
|
|
|
|
|
|
|
|
Allegheny Technologies, Inc.
|
|
|
(3,564
|
)
|
|
|
(113,692
|
)
|
Cliffs Natural Resources, Inc.
|
|
|
(2,926
|
)
|
|
|
(114,494
|
)
|
Steel Dynamics, Inc.
|
|
|
(10,142
|
)
|
|
|
(113,895
|
)
|
|
|
|
|
|
|
|
(342,081
|
)
|
Multi-Utilities - (0.9%)
|
|
|
|
|
|
|
|
|
CenterPoint Energy, Inc.
|
|
|
(5,368
|
)
|
|
|
(114,338
|
)
|
TECO Energy, Inc.
|
|
|
(6,446
|
)
|
|
|
(114,352
|
)
|
|
|
|
|
|
|
|
(228,690
|
)
|
Oil, Gas & Consumable Fuels - (4.5%)
|
|
|
|
|
|
|
|
|
Alpha Natural Resources, Inc.*
|
|
|
(17,314
|
)
|
|
|
(113,753
|
)
|
Arch Coal, Inc.
|
|
|
(18,084
|
)
|
|
|
(114,472
|
)
|
Cobalt International Energy, Inc.*
|
|
|
(5,104
|
)
|
|
|
(113,666
|
)
|
Denbury Resources, Inc.*
|
|
|
(7,040
|
)
|
|
|
(113,766
|
)
|
Peabody Energy Corp.
|
|
|
(5,126
|
)
|
|
|
(114,259
|
)
|
Rosetta Resources, Inc.*
|
|
|
(2,376
|
)
|
|
|
(113,810
|
)
|
SM Energy Co.
|
|
|
(2,112
|
)
|
|
|
(114,280
|
)
|
Spectra Energy Corp.
|
|
|
(3,894
|
)
|
|
|
(114,328
|
)
|
Valero Energy Corp.
|
|
|
(3,608
|
)
|
|
|
(114,302
|
)
|
Whiting Petroleum Corp.*
|
|
|
(2,398
|
)
|
|
|
(113,617
|
)
|
|
|
|
|
|
|
|
(1,140,253
|
)
|
Paper & Forest Products - (0.4%)
|
|
|
|
|
|
|
|
|
Louisiana-Pacific Corp.*
|
|
|
(9,042
|
)
|
|
|
(113,025
|
)
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - (1.4%)
|
|
|
|
|
|
|
|
|
Mylan, Inc.*
|
|
|
(4,664
|
)
|
|
|
(113,802
|
)
|
Salix Pharmaceuticals Ltd.*
|
|
|
(2,706
|
)
|
|
|
(114,572
|
)
|
Warner Chilcott plc, Class A
|
|
|
(8,448
|
)
|
|
|
(114,048
|
)
|
|
|
|
|
|
|
|
(342,422
|
)
|
Professional Services - (0.4%)
|
|
|
|
|
|
|
|
|
Manpower, Inc.
|
|
|
(3,080
|
)
|
|
|
(113,344
|
)
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) - (1.8%)
|
|
|
|
|
|
|
|
|
CBL & Associates Properties, Inc.
|
|
|
(5,302
|
)
|
|
|
(113,145
|
)
|
DiamondRock Hospitality Co.
|
|
|
(11,836
|
)
|
|
|
(113,980
|
)
|
Host Hotels & Resorts, Inc.
|
|
|
(7,084
|
)
|
|
|
(113,698
|
)
|
LaSalle Hotel Properties
|
|
|
(4,268
|
)
|
|
|
(113,913
|
)
|
|
|
|
|
|
|
|
(454,736
|
)
|
Real Estate Management & Development - (1.4%)
|
|
|
|
|
|
|
|
|
CBRE Group, Inc., Class A*
|
|
|
(6,204
|
)
|
|
|
(114,216
|
)
|
Forest City Enterprises, Inc., Class A*
|
|
|
(7,216
|
)
|
|
|
(114,374
|
)
|
Jones Lang LaSalle, Inc.
|
|
|
(1,496
|
)
|
|
|
(114,219
|
)
|
|
|
|
|
|
|
|
(342,809
|
)
|
Road & Rail - (1.8%)
|
|
|
|
|
|
|
|
|
Avis Budget Group, Inc.*
|
|
|
(7,348
|
)
|
|
|
(113,012
|
)
|
Con-way, Inc.
|
|
|
(4,158
|
)
|
|
|
(113,804
|
)
|
Hertz Global Holdings, Inc.*
|
|
|
(8,338
|
)
|
|
|
(114,481
|
)
|
Ryder System, Inc.
|
|
|
(2,926
|
)
|
|
|
(114,290
|
)
|
|
|
|
|
|
|
|
(455,587
|
)
|
Semiconductors & Semiconductor Equipment - (4.9%)
|
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc.*
|
|
|
(33,660
|
)
|
|
|
(113,434
|
)
|
Atmel Corp.*
|
|
|
(21,648
|
)
|
|
|
(113,868
|
)
|
Cypress Semiconductor Corp.*
|
|
|
(10,604
|
)
|
|
|
(113,675
|
)
|
Fairchild Semiconductor International, Inc.*
|
|
|
(8,646
|
)
|
|
|
(113,436
|
)
|
International Rectifier Corp.*
|
|
|
(6,776
|
)
|
|
|
(113,091
|
)
|
Lam Research Corp.*
|
|
|
(3,586
|
)
|
|
|
(113,981
|
)
|
Micron Technology, Inc.*
|
|
|
(18,876
|
)
|
|
|
(112,973
|
)
|
NVIDIA Corp.*
|
|
|
(8,536
|
)
|
|
|
(113,870
|
)
|
ON Semiconductor Corp.*
|
|
|
(18,656
|
)
|
|
|
(115,108
|
)
|
Skyworks Solutions, Inc.*
|
|
|
(4,818
|
)
|
|
|
(113,536
|
)
|
Teradyne, Inc.*
|
|
|
(8,030
|
)
|
|
|
(114,187
|
)
|
|
|
|
|
|
|
|
(1,251,159
|
)
|
Software - (1.8%)
|
|
|
|
|
|
|
|
|
Autodesk, Inc.*
|
|
|
(3,410
|
)
|
|
|
(113,792
|
)
|
Citrix Systems, Inc.*
|
|
|
(1,496
|
)
|
|
|
(114,549
|
)
|
Parametric Technology Corp.*
|
|
|
(5,214
|
)
|
|
|
(113,665
|
)
|
Salesforce.com, Inc.*
|
|
|
(748
|
)
|
|
|
(114,212
|
)
|
|
|
|
|
|
|
|
(456,218
|
)
|
Specialty Retail - (3.1%)
|
|
|
|
|
|
|
|
|
Abercrombie & Fitch Co., Class A
|
|
|
(3,344
|
)
|
|
|
(113,428
|
)
|
See accompanying notes to schedule of investments.
|
FQF Trust
QuantShares U.S. Market Neutral
Anti-Beta Fund
Schedule of Investments
September 30, 2012
(Unaudited)
|
|
Number
of Shares
|
|
|
Value
|
|
ANN, Inc.*
|
|
|
(3,014
|
)
|
|
$
|
(113,718
|
)
|
Ascena Retail Group, Inc.*
|
|
|
(5,346
|
)
|
|
|
(114,672
|
)
|
Chico's FAS, Inc.
|
|
|
(6,292
|
)
|
|
|
(113,948
|
)
|
Guess?, Inc.
|
|
|
(4,488
|
)
|
|
|
(114,085
|
)
|
Rent-A-Center, Inc.
|
|
|
(3,256
|
)
|
|
|
(114,221
|
)
|
Williams-Sonoma, Inc.
|
|
|
(2,596
|
)
|
|
|
(114,146
|
)
|
|
|
|
|
|
|
|
(798,218
|
)
|
Textiles, Apparel & Luxury Goods - (1.3%)
|
|
|
|
|
|
|
|
|
Coach, Inc.
|
|
|
(2,024
|
)
|
|
|
(113,385
|
)
|
Fossil, Inc.*
|
|
|
(1,342
|
)
|
|
|
(113,667
|
)
|
Under Armour, Inc., Class A*
|
|
|
(2,046
|
)
|
|
|
(114,228
|
)
|
|
|
|
|
|
|
|
(341,280
|
)
|
Trading Companies & Distributors - (0.9%)
|
|
|
|
|
|
|
|
|
United Rentals, Inc.*
|
|
|
(3,476
|
)
|
|
|
(113,700
|
)
|
WESCO International, Inc.*
|
|
|
(2,002
|
)
|
|
|
(114,514
|
)
|
|
|
|
|
|
|
|
(228,214
|
)
|
Wireless Telecommunication Services - (0.4%)
|
|
|
|
|
|
|
|
|
Sprint Nextel Corp.*
|
|
|
(20,526
|
)
|
|
|
(113,304
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds Received $22,100,122)
|
|
|
|
|
|
|
(22,787,351
|
)
|
Other assets less liabilities
— 99.9%
|
|
|
|
|
|
|
25,333,029
|
|
Net Assets — 100.0%
|
|
|
|
|
|
$
|
25,357,679
|
|
*
|
Non-income producing security.
|
(a)
|
All or a portion of these securities were held in a segregated account as collateral for securities sold short. At September 30, 2012, the aggregate amount held in a segregated account was $18,194,767.
|
As of September 30, 2012, the gross unrealized appreciation (depreciation) of investments (both long and short positions) based on the aggregate cost of investments for federal income tax purposes was as follows:
|
|
Aggregate gross unrealized appreciation
|
|
$
|
1,378,836
|
|
Aggregate gross unrealized depreciation
|
|
|
(1,934,205
|
)
|
Net unrealized depreciation
|
|
$
|
(555,369
|
)
|
Federal income tax cost of investments
|
|
$
|
580,019
|
|
|
Total Return Swap Agreements
Notional Amount
|
|
|
Expiration Date
|
|
Counterparty
|
|
Fund Pays
|
|
Fund Receives
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
|
2,346,614
|
USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
0.66%
|
|
Dow Jones U.S. Thematic Market
Neutral Anti-Beta Index
|
|
$
|
177,200
|
|
|
(2,361,954
|
)USD
|
|
10/03/2013
|
|
Morgan Stanley
|
|
Dow Jones U.S. Thematic Market Neutral Anti-Beta Index
|
|
(0.04)%
|
|
|
(163,408
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,792
|
|
See accompanying notes to schedule of investments.
|
FQF Trust
Notes to Quarterly Schedule of Investments
September 30, 2012 (Unaudited)
FQF Trust (the “Trust”), a
Delaware statutory trust, was formed on November 19, 2009, and is registered as a diversified, open-end management investment company
under the Investment Company Act of 1940 (the "1940 Act"), as amended. The Trust currently consists of seven
series (collectively the “Funds” or individually the “Fund”): QuantShares U.S. Market Neutral Momentum
Fund, QuantShares U.S. Market Neutral Value Fund, QuantShares U.S. Market Neutral High Beta Fund, QuantShares U.S. Market Neutral
Size Fund, QuantShares U.S. Market Neutral Quality Fund, QuantShares U.S. Market Neutral Anti-Momentum Fund, and QuantShares U.S.
Market Neutral Anti-Beta Fund. FFCM, LLC (the “Adviser”) is the investment adviser to each Fund.
The investment objective of each Fund is
to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of a specified
benchmark index (each, a “Target Index”). There can be no assurance that the Funds will achieve their respective investment
objectives.
The preparation of the Schedule of Investments
in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires
management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during
the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ
from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value the Funds
ultimately realize upon sale of the securities.
Investment Valuation
The value of each Fund’s securities
is based on such securities’ closing price on local markets when available. If a security’s market price is not readily
available or does not otherwise accurately reflect the fair value of such security, the security will be valued by another method
that the Adviser believes will better reflect fair value in accordance with the Trust’s valuation guidelines which are approved
by the Board of Trustees (the “Trustees”). Each Fund may use fair value pricing in a variety of circumstances, including
but not limited to, situations when the value of a Fund’s security has been materially affected by events occurring after
the close of the market on which such security is principally traded (such as a corporate action or other news that may materially
affect the price of such security) or trading in such security has been suspended or halted. Fair value pricing involves subjective
judgments and it is possible that a fair value determination for a security is materially different than the value that could be
realized upon the sale of such security. In addition, fair value pricing could result in a difference between the prices used to
calculate a Fund’s net asset value and the prices used by the Fund’s Target Index. This may adversely affect a Fund’s
ability to track its Target Index. Open-end investment companies are valued at their net asset value.
Generally, the Fund prices its swap agreements
daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying
reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due time zone
differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent
pricing service approved by the Trustees) and records the change in value, if any, as unrealized gain or loss. Gains or losses
are realized upon termination of the swap agreements or reset dates, as appropriate.
Short-term debt securities having a maturity
date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter
at amortized cost, which approximates fair market value, based on their value on the 61st day where such securities are of the
highest credit quality. Amortized cost shall not be used if the use of amortized cost would be inappropriate due to credit or other
impairments of the issuer.
The Funds disclose the fair value of their
investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained
from sources independent of the Funds (observable inputs) and (2) the Funds’ own assumptions about market participant assumptions
developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the
hierarchy are as follows:
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
•
Level 1
—
Quoted prices in active markets for identical assets.
•
Level 2
—
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit
risk, etc.).
•
Level 3
—
Significant unobservable inputs (including each 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.
The following is a summary of the valuations
as of September 30, 2012, for each Fund based upon the three levels defined above:
|
|
LEVEL 1 -
Quoted Prices
|
|
|
LEVEL 2 -
Other Significant
Observable
Inputs
|
|
|
|
|
|
|
Common
Stocks
|
|
|
Swap
Agreements*
|
|
|
Totals
|
|
QuantShares U.S. Market Neutral Momentum Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
4,558,868
|
|
|
$
|
111,030
|
|
|
$
|
4,669,898
|
|
Liabilities:
|
|
|
(4,560,508
|
)
|
|
|
(55,200
|
)
|
|
|
(4,615,708
|
)
|
Totals:
|
|
$
|
(1,640
|
)
|
|
$
|
55,830
|
|
|
$
|
54,190
|
|
QuantShares U.S. Market Neutral Value Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
3,167,200
|
|
|
$
|
39,347
|
|
|
$
|
3,206,547
|
|
Liabilities:
|
|
|
(3,167,369
|
)
|
|
|
(5,374
|
)
|
|
|
(3,172,743
|
)
|
Totals:
|
|
$
|
(169
|
)
|
|
$
|
33,973
|
|
|
$
|
33,804
|
|
QuantShares U.S. Market Neutral High Beta Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
4,330,723
|
|
|
$
|
61,803
|
|
|
$
|
4,392,526
|
|
Liabilities:
|
|
|
(4,331,473
|
)
|
|
|
(19,709
|
)
|
|
|
(4,351,182
|
)
|
Totals:
|
|
$
|
(750
|
)
|
|
$
|
42,094
|
|
|
$
|
41,344
|
|
QuantShares U.S. Market Neutral Size Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
5,517,009
|
|
|
$
|
128,968
|
|
|
$
|
5,645,977
|
|
Liabilities:
|
|
|
(5,528,973
|
)
|
|
|
(82,883
|
)
|
|
|
(5,611,856
|
)
|
Totals:
|
|
$
|
(11,964
|
)
|
|
$
|
46,085
|
|
|
$
|
34,121
|
|
QuantShares U.S. Market Neutral Quality Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
3,065,885
|
|
|
$
|
66,998
|
|
|
$
|
3,132,883
|
|
Liabilities:
|
|
|
(3,066,927
|
)
|
|
|
(47,630
|
)
|
|
|
(3,114,557
|
)
|
Totals:
|
|
$
|
(1,042
|
)
|
|
$
|
19,368
|
|
|
$
|
18,326
|
|
QuantShares U.S. Market Neutral Anti-Momentum Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
2,894,170
|
|
|
$
|
44,675
|
|
|
$
|
2,938,845
|
|
Liabilities:
|
|
|
(2,897,733
|
)
|
|
|
(48,351
|
)
|
|
|
(2,946,084
|
)
|
Totals:
|
|
$
|
(3,563
|
)
|
|
$
|
(3,676
|
)
|
|
$
|
(7,239
|
)
|
QuantShares U.S. Market Neutral Anti-Beta Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
$
|
22,812,001
|
|
|
$
|
177,200
|
|
|
$
|
22,989,201
|
|
Liabilities:
|
|
|
(22,787,351
|
)
|
|
|
(163,408
|
)
|
|
|
(22,950,759
|
)
|
Totals:
|
|
$
|
24,650
|
|
|
$
|
13,792
|
|
|
$
|
38,442
|
|
* The tables above are based on market
values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding
the valuation inputs for a derivative are likely to be more significant to a Fund’s net asset value than the uncertainties
surrounding inputs for a non-derivative security with the same market value.
For the period ended September 30, 2012,
there were no Level 3 investments in a Fund held for which significant unobservable inputs were used to determine fair value. Please
refer to the Schedules of Investments to view equity securities segregated by industry type.
There were no transfers between Level 1
and Level 2 for the period ending September 30, 2012.
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
Real
Estate Investment Trusts (“REITs”)
Each Fund may invest in real estate investment trusts (“REITs”).
Equity REITs invest primarily in real property while mortgage REITs make construction, development and long term mortgage loans.
Their value may be affected by changes in the value of the underlying property of the REIT, the creditworthiness of the issuer,
property taxes, interest rates, and tax and regulatory requirements, such as those relating to the environment.
REITs are dependent upon management skill, are not diversified and
are subject to heavy cash flow dependency, default by borrowers, self liquidation and the possibility of failing to qualify for
tax free income status under the Internal Revenue Code of 1986 and failing to maintain exempt status under the 1940 Act.
Short
Sales
A
short sale is a transaction in which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow
the security to make delivery to the buyer. A Fund is then obligated to replace the security borrowed by borrowing the same security
from another lender, purchasing it at the market price at the time of replacement or paying the lender an amount equal to the cost
of purchasing the security. The price at such time may be more or less than the price at which the security was sold by the Fund.
Until the security is replaced, a Fund is required to repay the lender any dividends it receives, or interest which accrues, during
the period of the loan. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of
the security sold. The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements,
until the short position is closed out. A Fund also will incur transaction costs in effecting short sales.
A
Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and
the date on which the Fund closes out the short sale. A Fund will realize a gain if the price of the security declines in price
between those dates. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium,
dividends or interest a Fund may be required to pay, if any, in connection with a short sale. Short sales may be subject to unlimited
losses as the price of a security can rise infinitely.
Whenever
a Fund engages in short sales, it earmarks or segregates liquid securities or cash in an amount that, when combined with the amount
of collateral deposited with the broker in connection with the short sale (other than the proceeds of the short sale), equals the
current market value of the security sold short. The earmarked or segregated assets are marked-to-market daily and cannot be sold
or liquidated unless replaced with liquid assets of equal value.
Funds
may not be able to borrow stocks that are short positions in a Target Index as their supply may be insufficient or the cost to
borrow may be prohibitively expensive due to market or stock specific conditions. Under such circumstances, the Funds
may not achieve their investment objectives.
Futures
The
Funds may purchase or sell stock index futures contracts as a substitute for a comparable market position in the underlying securities
or to satisfy regulatory requirements. A stock index futures contract obligates the seller to deliver (and the purchaser to take)
an amount of cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the final settlement
price of a specific stock index futures contract and the price at which the agreement is made. No physical delivery of the underlying
stocks in the index is made.
The
Funds generally choose to engage in closing or offsetting transactions before final settlement wherein a second identical futures
contract is sold to offset a long position (or bought to offset a short position). In such cases, the obligation is to deliver
(or take delivery of) cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the
price of the offsetting transaction and the price at which the original contract was entered into. If the original position entered
into is a long position (futures contract purchased), there will be a gain (loss) if the offsetting sell transaction is done at
a higher (lower) price, inclusive of commissions. If the original position entered into is a short position (futures contract sold),
there will be a gain (loss) if the offsetting buy transaction is done at a lower (higher) price, inclusive of commissions.
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
Upon
entering into a futures contract, each Fund will be required to deposit with the broker an amount of cash, U.S. government and
agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. This amount,
known as “initial margin,” is in the nature of a performance bond or good faith deposit on the contract and is returned
to a Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments,
known as “variation margin,” to and from the broker will be made daily as the price of the index underlying the futures
contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as “marking-to-market.”
At any time prior to expiration of a futures contract, a Fund may elect to close its position by taking an opposite position, which
will operate to terminate the Fund’s existing position in the contract.
Although
the Funds intend to sell futures contracts only if there is an active market for such contracts, no assurance can be given that
a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit
the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached
in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified
periods during the day. Futures contract prices could move to the limit for several consecutive trading days with little or no
trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If
trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the
Fund will be required to make daily cash payments of variation margin. The risk that a Fund will be unable to close out a futures
position will be minimized by entering into such transactions on a national securities exchange with an active and liquid secondary
market.
Swaps
The
Funds all entered into swap agreements during the period. The Funds may enter into equity or equity index swap agreements for purposes
of attempting to gain exposure to an index or group of securities without actually purchasing those securities, or to hedge a position.
Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more
than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates
of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped”
between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of
a particular dollar amount invested in a “basket” of securities representing a particular index or group of securities.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated
with ordinary portfolio securities transactions.
Each
Fund may enter into swap agreements to invest in a market without owning or taking physical custody of securities in circumstances
in which direct investment is restricted for legal reasons or is otherwise impracticable. The counterparty to any swap agreement
will typically be a bank, investment banking firm or broker/dealer. On a long swap, the counterparty will generally agree to pay
the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested
in the particular stocks, plus the dividends that would have been received on those stocks.
A
Fund agrees to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount,
if any, by which the notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to
a Fund on any swap agreement should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid
by the Fund on the notional amount. As a trading technique, the Adviser may substitute physical securities with a swap agreement
having risk characteristics substantially similar to the underlying securities.
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
Swap
agreements typically are settled on a net basis, which means that the two payment streams are netted out, with a Fund receiving
or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement
or periodically during its term. Swap agreements do not involve the delivery of securities or other underlying assets. Accordingly,
the risk of loss with respect to swap agreements is limited to the net amount of payments that a Fund is contractually obligated
to make. If the other party to a swap agreement defaults, a Fund’s risk of loss consists of the net amount of payments that
such Fund is contractually entitled to receive. The net amount of the excess, if any, of a Fund’s obligations over its entitlements
with respect to each equity swap will be accrued on a daily basis and an amount of cash or liquid assets, having an aggregate value
at least equal to such accrued excess, will be earmarked or segregated by a Fund’s custodian; this cash and liquid assets
cannot be sold unless replaced with cash or liquid assets of equal value. Inasmuch as these transactions are entered into for hedging
purposes or are offset by earmarked or segregated cash or liquid assets, as permitted by applicable law, these transactions will
not be construed to constitute senior securities within the meaning of the 1940 Act, and will not be subject to a Fund’s
borrowing restrictions.
The
swap market has grown substantially in recent years with a large number of banks and investment banking firms acting both as principals
and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid in comparison
with the markets for other similar instruments which are traded in the OTC market. The Adviser, under the oversight of the Trustees,
is responsible for determining and monitoring the liquidity of the Funds’ transactions in swap agreements.
In
the normal course of business, a Fund enters into International Swaps and Derivatives Association (“ISDA”) agreements
with certain counterparties for derivative transactions. These agreements contain among other conditions, events of default and
termination events, and various covenants and representations. Certain of the Fund’s ISDA agreements contain provisions that
require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund’s
NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Fund were to trigger such provisions
and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements
and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant
to the terms of its ISDA agreements, the Fund will have already collateralized its liability under such agreements, in some cases
only in excess of certain threshold amounts.
Repurchase
Agreements
Each
of the Funds may enter into repurchase agreements with financial institutions in pursuit of its investment objectives, as “cover”
for the investment techniques it employs, or for liquidity purposes. Under a repurchase agreement, a Fund purchases a debt security
and simultaneously agrees to sell the security back to the seller at a mutually agreed-upon future price and date, normally one
day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during
the purchaser’s holding period. While the maturities of the underlying securities in repurchase transactions may be more
than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed
to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large,
well-capitalized and well-established financial institutions whose condition will be continually monitored by the Adviser. In addition,
the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including
any accrued interest earned on the repurchase agreement.
In
the event of a default or bankruptcy by a selling financial institution, a Fund will seek to liquidate such collateral which could
involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were
less than the repurchase price, the Fund could suffer a loss. A Fund also may experience difficulties and incur certain costs in
exercising its rights to the collateral and may lose the interest the Fund expected to receive under the repurchase agreement.
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
Momentum Risk:
For the QuantShares
U.S. Market Neutral Momentum Fund, momentum investing entails investing in securities that have had above average recent returns
and shorting securities that have had below-average returns. These securities may be more volatile than a broad cross-section of
securities, and momentum may be an indicator that a security’s price is peaking. In addition, there may be periods when the
momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy may suffer.
Value Risk:
For the QuantShares
U.S. Market Neutral Value Fund, value factor investing entails investing in securities that have below-average valuations based
on ratios such as earnings to price or book to price and shorting securities that have above average valuations based on the same
ratios. There may be periods when the value style is out of favor, and during which the investment performance of a Fund using
a value strategy may suffer. In addition, value stocks, including those in the Target Index, are subject to the risks that their
intrinsic value may never be realized by the market and that their prices may go down.
Beta Risk:
For the QuantShares U.S.
Market Neutral High Beta Fund, beta investing entails investing in securities that have above-average betas and shorting securities
that have below-average betas. Beta measures the relative volatility of the value of a security compared with that of a market
index; beta is calculated using historical market index data. There is a risk that the present and future volatility of a security,
relative to the market index, will not be the same as it has historically been and thus that the Fund will not be invested in high
beta securities. In addition, the Fund may be more volatile than the universe since it will have long exposure to the most volatile
stocks in the universe and short exposure to the least volatile stocks in the universe.
Size Risk:
For the QuantShares U.S.
Market Neutral Size Fund, size investing entails investing in securities within the universe that have below average market capitalizations
and shorting securities within the universe with above-average market capitalizations. There may be periods when the size style
is out of favor, and during which the investment performance of a Fund using a size strategy may suffer.
Quality Risk:
For the QuantShares
U.S. Market Neutral Quality Fund, quality investing entails investing in securities that have above-average quality characteristics
and shorting securities with below-average quality characteristics as defined by return on equity and the debt-to-equity ratio.
There may be periods when the quality style is out of favor, and during which the investment performance of a Fund using a quality
strategy may suffer. There is a risk that quality factors may in some or all periods not be good indicators of the market price
of a security.
Anti-Momentum Risk:
For the QuantShares
U.S. Market Neutral Anti-Momentum Fund, anti-momentum investing entails investing in securities that have had below-average recent
returns and shorting securities that have had above-average recent returns. These securities may be more volatile than a broad
cross-section of securities. In addition, there may be periods when the anti-momentum style is out of favor, and during which the
investment performance of a Fund using an anti-momentum strategy may suffer.
Anti-Beta Risk:
For the QuantShares
U.S. Market Neutral Anti-Beta Fund, anti-beta investing entails investing in securities that have below-average betas and shorting
securities that have above-average betas. Beta measures the relative volatility of the value of a security compared with that of
a market index; beta is calculated using historical market data. There is a risk that the present and future volatility of a security,
relative to the market index, will not be the same as it has historically been and thus that the Fund will not be invested in low
beta securities. In addition, the Fund may be more volatile than the universe since it will have short exposure to the most volatile
stocks in the universe and long exposure to the least volatile stocks in the universe.
Derivatives Risk:
Derivatives, including
swap agreements and futures contracts, may involve risks different from, or greater than, those associated with more traditional
investments. As a result of investing in derivatives, a Fund could lose more than the amount it invests. Derivatives may be highly
illiquid, and a Fund may not be able to close out or sell a derivative position at a particular time or at an anticipated price.
FQF Trust
Notes to Quarterly Schedule of Investments (continued)
September 30, 2012 (Unaudited)
Derivatives also may be subject to counterparty
risk, which includes the risk that a loss may be sustained by a Fund as a result of the insolvency or bankruptcy of, or other non-compliance
by, the other party to the transaction.
Industry Concentration Risk:
To
the extent that the Target Index is concentrated in a particular industry, a Fund also will be concentrated in that industry and
may subject a Fund to a greater loss as a result of adverse economic, business or other developments affecting that industry.
Leverage Risk:
A Fund’s use
of short selling and swap agreements allows the Fund to obtain investment exposures greater than it could otherwise obtain and
specifically to effectively increase, or leverage, its total long and short investment exposures more than its net asset value
by a significant amount.
Market Neutral Style Risk:
There
is a risk that the Adviser’s sampling strategy, or the Target Index, will not construct a portfolio that limits a Fund’s
exposure to general market movements, in which case the Fund’s performance may reflect general market movements. Further,
if the portfolio is constructed to limit a Fund’s exposure to general market movements, during a ‘‘bull’’
market, when most equity securities and long-only equity ETFs are increasing in value, the Fund’s short positions will likely
cause a Fund to underperform the overall U.S. equity market and such ETFs. In addition, because a Fund employs a dollar neutral
strategy to achieve market neutrality, the beta of the Fund (
i.e.,
the relative volatility of the Fund as compared to the
market) will vary over time and may not be equal to zero.
Passive Investment Risk:
The Adviser
does not actively manage the Funds and therefore does not attempt to analyze, quantify or control the risks associated with investing
in stocks of companies in the Target Index.
Premium/Discount Risk:
Although
it is expected that the market price of a Fund’s shares typically will approximate its NAV, there may be times when the market
price and the NAV differ and a Fund’s shares may trade at a premium or discount to NAV.
Short Sale Risk:
If a Fund sells
a stock short and subsequently has to buy the security back at a higher price, the Fund will realize a loss on the transaction.
The amount a Fund could lose on a short sale is potentially unlimited because there is no limit on the price a shorted security
might attain (as compared to a long position, where the maximum loss is the amount invested). The use of short sales increases
the exposure of a Fund to the market, and may increase losses and the volatility of returns. If the short portfolio (made up of
the lowest ranked securities within each sector) outperforms the long portfolio (made up of the highest ranked securities within
each sector), the performance of a Fund would be negatively affected.
Item 2. Controls and Procedures.
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(a)
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The Registrant's principal executive officer and principal financial officers have concluded, based
on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date
of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information
required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time
periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is
accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers,
as appropriate to allow timely decisions regarding required disclosure.
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(b)
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There were no changes in the Registrant's internal control over financial reporting that occurred
during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially
affect, the Registrant’s internal control over financial reporting.
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Item 3. Exhibits.
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 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.
FQF Trust
By:
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/s/ William DeRoche
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William DeRoche
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President
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November 20, 2012
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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:
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/s/ William DeRoche
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William DeRoche
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President
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November 20, 2012
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By:
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/s/ Brent Arvidson
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Brent Arvidson
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Principal Financial Officer and Treasurer
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November 20, 2012
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