HGLB Highland Global Allocation Fund

Shares

U.S. Equity — 53.7%

Communication Services — 24.0%

Telesat, Class B (a)

TerreStar Corporation (a)(b)(c)(d)(e)

Healthcare — 0.4%

Heron Therapeutics, Inc. (a)(f)

Patterson (f)

Information Technology — 2.5%

Salesforce Inc (a)(f)

Materials — 1.4%

Real Estate — 25.4%

Alexandria Real Estate Equities, REIT (f)

City Office, REIT (f)

Elme Communities, REIT (f)

GAF REIT (a)(b)(c)(d)

Healthcare Realty Trust, REIT, Class A (f)

Independence Realty Trust, Inc., REIT (f)

NexPoint Diversified Real Estate Trust REIT (d)(f)

NexPoint Real Estate Finance
REIT (d)(f)

NexPoint Residential Trust, Inc., REIT (d)(f)

United Development Funding IV, REIT (a)(b)(c)(d)

Whitestone, REIT, Class B (f)

Total U.S. Equity
(Cost $136,261,410)

Principal Amount ($)

U.S. Senior Loans (h) — 12.6%

Communication Services — 7.7%

TerreStar Corporation, Term Loan A, 1st Lien,

11% PIK 02/27/28 (b)(c)(d)

Real Estate — 4.9%

NexPoint SFR Operating Partnership, LP, 05/24/27 (b)(c)(d)

NHT Operating Partnership LLC Secured Promissory Note,
02/22/27 (b)(c)(d)

Total U.S. Senior Loans
(Cost $34,047,652)

Shares

U.S. Master Limited Partnerships — 9.1%

Energy — 9.1%

Energy Transfer L.P. (f)

Western Midstream Partners L.P. (f)

Total U.S. Master Limited Partnerships
(Cost $32,696,103)

Non-U.S. Equity — 7.5%

Communication Services — 0.0%

Grupo Clarin, Class B (a)(g)

Consumer Discretionary — 1.0%

MercadoLibre, Inc. (a)(f)(g)

Toys ‘R’ Us (a)(b)(c)(g)

Energy — 3.6%

Targa Resources (f)(g)

Transocean (a)(g)

Financials — 0.0%

Grupo Supervielle SA ADR (g)(i)

Healthcare — 0.0%

HLS Therapeutics Inc. (g)

Industrials — 0.4%

GL Events (g)

Information Technology — 0.0%

Avaya Holdings Corp. (a)(f)(g)

StoneCo, Class A (a)(f)(g)

Utilities — 2.5%

Central Puerto ADR (f)(g)(i)

Pampa Energia ADR (a)(f)(g)

Vistra Energy Corp. (f)(g)

Total Non-U.S. Equity
(Cost $21,341,880)

U.S. LLC Interest — 7.5%

Real Estate — 7.5%

GAF REIT Sub II, LLC (a)(b)(c)(d)

GAF REIT Sub III, LLC (b)(c)(d)

SFR WLIF III, LLC (b)(c)(d)

Total U.S. LLC Interest
(Cost $21,352,345)

Units

U.S. Warrants — 7.0%

Energy — 7.0%

Quarternorth Energy Holding Inc. (a)

Quarternorth Energy Holding Inc. Tranche 1, Expires 08/27/2029 (a)

Quarternorth Energy Holding Inc. Tranche 2, Expires 08/27/2029 (a)

Quarternorth Energy Holding Inc. Tranche 3, Expires 08/27/2029 (a)

Total U.S. Warrants
(Cost $12,952,253)

U.S. Rights — 3.8%

Utilities — 3.8%

Total U.S. Rights
(Cost $22,029,102)

Principal Amount ($)

Non-U.S. Sovereign Bonds — 3.1%

Argentine Republic Government International Bond

1.00%, 7/9/2029 (g)

3.50%, 7/9/2041(g)(j)

Total Non-U.S. Sovereign Bonds
(Cost $16,474,665)

Shares

U.S. Preferred Stock — 2.7%

Healthcare — 1.3%

Apnimed (b)(c)(k)

Real Estate — 1.4%

Braemar Hotels & Resorts, Inc., REIT (a)(i)(k)

Total U.S. Preferred Stock
(Cost $6,551,621)

Principal Amount ($)

U.S. Asset-Backed Securities — 2.6%

CFCRE Commercial Mortgage Trust, Series 2017-C8, Class D 3.00%, 6/15/2050 (l)

Principal Amount ($)

U.S. Asset-Backed Securities (continued)

FREMF Mortgage Trust, Series 2021-KF112, Class CS SOFR30A + 6.250%, 9.98%, 1/25/2031 (l)

Total U.S. Asset-Backed Securities
(Cost $6,947,346)

Shares

Non-U.S. Master Limited Partnership — 0.7%

Energy — 0.7%

Enterprise Products Partners (f)(g)

Total Non-U.S. Master Limited Partnership
(Cost $2,151,846)

Principal Amount ($)

U.S. Corporate Bonds & Notes — 0.3%

Communication Services — 0.3%

iHeartCommunications, Inc.

6.38%, 05/01/26 (f)

8.38%, 05/01/27 (f)

Total U.S. Corporate Bonds & Notes
(Cost $1,634,946)

Units

Non-U.S. Warrants — 0.0%

Communication Services — 0.0%

iHeartCommunications, Inc., Expires 05/01/2039 (a)(g)

Industrials — 0.0%

American Airlines Group,
Inc. (a)(b)(c)(g)

Total Non-U.S. Warrants
(Cost $23,084)

Principal Amount ($)

Non-U.S. Asset-Backed Security — 0.0%

Pamco Cayman, Ltd., Series 1997-1A, Class B 7.91%, 8/6/2013 (b)(c)(g)(l)

Total Non-U.S. Asset-Backed Security
(Cost $167,413)

Shares

U.S. Exchange-Traded Funds — 3.7%

Direxion Daily S&P 500 Bull 3X (i)

ProShares UltraPro QQQ

Teucrium Corn Fund (f)

VelocityShares 3x Long Silver ETN linked to the S&P GSCI Silver Index (f)

Total U.S. Exchange-Traded Funds
(Cost $11,454,772)

Non-U.S. Registered Investment Company — 1.3%

BB Votorantim Highland Infrastructure LLC (b)(c)(d)

Total Non-U.S. Registered Investment Company
(Cost $4,571,783)

U.S. Registered Investment Companies — 5.7%

Highland Income Fund (d)(f)

NexPoint Event Driven Fund, Class Z (d)

NexPoint Merger Arbitrage Fund, Class Z (d)

Total U.S. Registered Investment Companies
(Cost $15,557,003)

Principal Amount ($)

U.S. Repurchase Agreements — 0.5%

Bank of America 4.300%, dated 12/30/2022 to be repurchased on 01/03/2023, repurchase price $287,076 (collateralized by U.S. Government and Treasury obligations, ranging in par value $1,140—$39,235, 1.500%—6.500%, 05/01/2037 – 05/01/2058; with total market value $292,678)(m)(n)

Citigroup 4.250%, dated 12/30/2022 to be repurchased on 01/03/2023, repurchase price $84,964 (collateralized by U.S. Government and Treasury obligations, ranging in par value $0—$18,136, 0.000% - 4.500%, 04/11/2023 – 10/31/2029; with total market value $86,622)(m)(n)

Principal Amount ($)

U.S. Repurchase Agreements (continued)

Daiwa 4.300%, dated 12/30/2022 to be repurchased on 01/03/2023, repurchase price $287,076 (collateralized by U.S. Government and Treasury obligations, ranging in par value $1—$91,075, 1.500% - 6.000%, 08/01/2023 – 01/01/2053; with total market value $292,678)(m)(n)

RBC 4.300%, dated 12/30/2022 to be repurchased on 01/03/2023, repurchase price $287,076 (collateralized by U.S. Government and Treasury obligations, ranging in par value $0—$78,562, 2.000% - 6.000%, 09/01/2024 – 10/20/2052; with total market value $292,678)(m)(n)

Truist 4.320%, dated 12/30/2022 to be repurchased on 01/03/2023, repurchase price $287,077 (collateralized by U.S. Government and Treasury obligations, ranging in par value $0—$87,303, 1.500% - 6.500%, 05/31/2024 – 12/01/2052; with total market value $292,680)(m)(n)

Total U.S. Repurchase Agreements
(Cost $1,232,680)

Shares

U.S. Cash Equivalent — 2.2%

Money Market Fund(o) — 2.2%

Dreyfus Treasury Obligations Cash Management, Institutional Class 4.170%

Total U.S. Cash Equivalent
(Cost $5,935,482)

Total Investments—124.0%

    (Cost $353,383,386)

Shares

Securities Sold Short— (1.4)%

U.S. Equity — (1.4)%

Communication Services — (1.1)%

Netflix, Inc. (p)

Consumer Staples — (0.3)%

WD-40 Co.

Total U.S. Equity (Proceeds $1,665,944)

Total Securities Sold Short- (1.4)% (Proceeds $1,665,944)

Other Assets & Liabilities, Net - (22.6)%(q)

Net Assets—100.0%

Non-Income producing security.

Securities with a total aggregate value of $138,526,064, or 52.2% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Investment Portfolio for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.

Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $138,526,064, or 52.2% of net assets, were fair valued under the Fund’s valuation procedures as of December 31, 2022. Please see Notes to Investment Portfolio.

Affiliated issuer. Assets with a total aggregate fair value of $178,004,882, or 67.1% of net assets, were affiliated with the Fund as of December 31, 2022.

Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the policies and procedures established by the Board. Additional Information regarding such securities follows:

Restricted
Security   

Security

Type

TerreStar Corporation

MPM Holdings, Inc.

All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged as collateral was $105,357,674.

As described in the Fund’s prospectus, a company is considered to be a non-U.S. issuer if the company’s securities principally trade on a market outside of the United States, the company derives a majority of its revenues or profits outside of the United States, the company is not organized in the United States, or the company is significantly exposed to the economic fortunes and risks of regions outside the United States.

Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Fund invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread (unless otherwise identified, all senior loans carry a variable rate of interest). These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity maybe substantially less than the stated maturity shown.

Securities (or a portion of securities) on loan. As of December 31, 2022, the fair value of securities loaned was $1,200,744. The loaned securities were secured with cash and/or securities collateral of $1,228,418. Collateral is calculated based on prior day’s prices.

Step Coupon Security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

Perpetual security with no stated maturity date.

Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. The Board has determined these investments to be liquid. At December 31, 2022, these securities amounted to $6,890,507 or 2.6% of net assets.

Tri-Party Repurchase Agreement.

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of December 31, 2022 was $1,232,680.

Rate reported is 7 day effective yield.

No dividend payable on security sold short.

As of December 31, 2022, $3,547,786 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”.