# EDGAR Filing Document

**Accession Number:** 0001506768
**File Stem:** 0001133228-26-003096
**Filing Date:** 2026-3
**Character Count:** 656933
**Document Hash:** 89e707d5cba6c4f0e77174a0a0be201e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001133228-26-003096.hdr.sgml**: 20260305

**ACCESSION NUMBER**: 0001133228-26-003096

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 116

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260305

**DATE AS OF CHANGE**: 20260305

**EFFECTIVENESS DATE**: 20260305

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOCORR INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0001506768

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** OH
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22509
- **FILM NUMBER:** 26725888

**BUSINESS ADDRESS:**
- **STREET 1:** 687 EXCELSIOR BLVD
- **CITY:** EXCELSIOR
- **STATE:** MN
- **ZIP:** 55331
- **BUSINESS PHONE:** 952-767-6900

**MAIL ADDRESS:**
- **STREET 1:** 687 EXCELSIOR BLVD
- **CITY:** EXCELSIOR
- **STATE:** MN
- **ZIP:** 55331

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LoCorr Investment Trust
- **DATE OF NAME CHANGE:** 20101201

## Series and Classes Contracts Data

### LoCorr Macro Strategies Fund (Series ID: S000031540)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000098137 | Class A      | LFMAX           |
| C000098138 | Class C      | LFMCX           |
| C000098139 | Class I      | LFMIX           |

### LoCorr Long/Short Commodities Strategy Fund (Series ID: S000035412)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000108780 | Class A      | LCSAX           |
| C000108781 | Class C      | LCSCX           |
| C000108782 | Class I      | LCSIX           |

### LoCorr Dynamic Opportunity Fund (Series ID: S000040449)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000125631 | Class A      | LEQAX           |
| C000125632 | Class C      | LEQCX           |
| C000125633 | Class I      | LEQIX           |

### LoCorr Spectrum Income Fund (Series ID: S000043632)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000135273 | Class A      | LSPAX           |
| C000135274 | Class C      | LSPCX           |
| C000135275 | Class I      | LSPIX           |

### LoCorr Market Trend Fund (Series ID: S000045488)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000141580 | Class A      | LOTAX           |
| C000141581 | Class C      | LOTCX           |
| C000141582 | Class I      | LOTIX           |

### LoCorr Hedged Core Fund (Series ID: S000084437)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000248819 | Class A      | LHEAX           |
| C000248820 | Class I      | LHEIX           |

### LoCorr Strategic Allocation Fund (Series ID: S000086678)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000252270 | Class A      | LSAAX           |
| C000252271 | Class I      | LSAIX           |

?xml version='1.0' encoding='ASCII'? 2025-10-06194566_LoCorrDynamicOpportunityFund_ClassA_TSRAnnual

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number **<u>811-22509</u>**

**<u>LoCorr Investment Trust</u>**

(Exact name of registrant as specified in charter)

**687 Excelsior Blvd**

**<u>Excelsior, MN 55331</u>**

(Address of principal executive offices) (Zip code)

**CT Corporation System**

**1300 East Ninth Street**

**<u>Cleveland, OH 44114</u>**

(Name and address of agent for service)

**<u>952.767.2920</u>**

Registrant's telephone number, including area code

Date of fiscal year end: **<u>December 31</u>**

Date of reporting period: **<u>December 31, 2025</u>**

**<u>Item 1. Reports to Stockholders.</u>**

(a) ---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Dynamic Opportunity Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LEQAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Dynamic Opportunity Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $263 | 2.60% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (A share class) finished the year up +2.66%, trailing the Morningstar Long-Short Equity category, which closed up +10.47%. Following a drawdown at the beginning of the year, attributable to higher-than-expected reciprocal tariffs announced by the Trump administration, the S&P 500 Index rallied nearly +39% from its April low through the end of the period. For the third consecutive year, the market was led by the Communication Services and Information Technology sectors, with companies in both sectors experiencing strong earnings growth and forecasts driven by Artificial Intelligence. The Fund capitalized on this gain as the long book was a positive contributor in 2025, while the short book was a detractor.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Unity Software, Inc. |
| ↑ | 2. Rocket Cos, Inc. |
| ↑ | 3. Evercore, Inc. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. RH |
| ↓ | 2. Victoria's Secret & Co. |
| ↓ | 3. Cable One, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6395img003.jpg)

LoCorr Dynamic Opportunity Fund PAGE 1 TSR-AR-540132701

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class A (without sales charge)**  | 2.66 | 4.15 | 4.87 |
| **Class A (with sales charge)**  | -3.24 | 2.92 | 4.25 |
| **S&P 500 TR**  | 17.88 | 14.42 | 14.82 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $29603522 |
| **Number of Holdings** | 55 |
| **Net Advisory Fee** | $481893 |
| **Portfolio Turnover** | 1,506% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6395img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Elastic NV  | 4.7% |
|  Unity Software, Inc.  | 4.6% |
|  RH  | 4.6% |
|  Penn National Gaming, Inc.  | 4.2% |
|  Wynn Resorts Ltd.  | 4.1% |
|  SentinelOne, Inc.  | 4.1% |
|  Braze, Inc.  | 4.1% |
|  Verizon Communications, Inc.  | 3.7% |
|  Healthcare Realty Trust, Inc.  | 3.7% |
|  Kinder Morgan, Inc.  | 2.8% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Dynamic Opportunity Fund PAGE 2 TSR-AR-540132701

942311789120691051611925123721415112852132731476615159100001119613640130421714920304261322139927025337863982767.01.831.2 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Dynamic Opportunity Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class C \| LEQCX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Dynamic Opportunity Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class C | $338 | 3.35% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (C share class) finished the year up +1.96%, trailing the Morningstar Long-Short Equity category, which closed up +10.47%. Following a drawdown at the beginning of the year, attributable to higher-than-expected reciprocal tariffs announced by the Trump administration, the S&P 500 Index rallied nearly +39% from its April low through the end of the period. For the third consecutive year, the market was led by the Communication Services and Information Technology sectors, with companies in both sectors experiencing strong earnings growth and forecasts driven by Artificial Intelligence. The Fund capitalized on this gain as the long book was a positive contributor in 2025, while the short book was a detractor.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Unity Software, Inc. |
| ↑ | 2. Rocket Cos, Inc. |
| ↑ | 3. Evercore, Inc. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. RH |
| ↓ | 2. Victoria's Secret & Co. |
| ↓ | 3. Cable One, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6396img003.jpg)

LoCorr Dynamic Opportunity Fund PAGE 1 TSR-AR-540132800

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class C (without sales charge)**  | 1.96 | 3.37 | 4.08 |
| **Class C (with sales charge)**  | 1.96 | 3.37 | 4.08 |
| **S&P 500 TR**  | 17.88 | 14.42 | 14.82 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $29603522 |
| **Number of Holdings** | 55 |
| **Net Advisory Fee** | $481893 |
| **Portfolio Turnover** | 1,506% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6396img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Elastic NV  | 4.7% |
|  Unity Software, Inc.  | 4.6% |
|  RH  | 4.6% |
|  Penn National Gaming, Inc.  | 4.2% |
|  Wynn Resorts Ltd.  | 4.1% |
|  SentinelOne, Inc.  | 4.1% |
|  Braze, Inc.  | 4.1% |
|  Verizon Communications, Inc.  | 3.7% |
|  Healthcare Realty Trust, Inc.  | 3.7% |
|  Kinder Morgan, Inc.  | 2.8% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Dynamic Opportunity Fund PAGE 2 TSR-AR-540132800

1000012402126101091512284126431434412938132651463714924100001119613640130421714920304261322139927025337863982767.01.831.2 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Dynamic Opportunity Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LEQIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Dynamic Opportunity Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $238 | 2.35% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (I share class) finished the year up +2.93%, trailing the Morningstar Long-Short Equity category, which closed up +10.47%. Following a drawdown at the beginning of the year, attributable to higher-than-expected reciprocal tariffs announced by the Trump administration, the S&P 500 Index rallied nearly +39% from its April low through the end of the period. For the third consecutive year, the market was led by the Communication Services and Information Technology sectors, with companies in both sectors experiencing strong earnings growth and forecasts driven by Artificial Intelligence. The Fund capitalized on this gain as the long book was a positive contributor in 2025, while the short book was a detractor.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Unity Software, Inc. |
| ↑ | 2. Rocket Cos, Inc. |
| ↑ | 3. Evercore, Inc. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. RH |
| ↓ | 2. Victoria's Secret & Co. |
| ↓ | 3. Cable One, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6397img003.jpg)

LoCorr Dynamic Opportunity Fund PAGE 1 TSR-AR-540132883

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class I (without sales charge)**  | 2.93 | 4.41 | 5.14 |
| **S&P 500 TR**  | 17.88 | 14.42 | 14.82 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $29603522 |
| **Number of Holdings** | 55 |
| **Net Advisory Fee** | $481893 |
| **Portfolio Turnover** | 1,506% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6397img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Elastic NV  | 4.7% |
|  Unity Software, Inc.  | 4.6% |
|  RH  | 4.6% |
|  Penn National Gaming, Inc.  | 4.2% |
|  Wynn Resorts Ltd.  | 4.1% |
|  SentinelOne, Inc.  | 4.1% |
|  Braze, Inc.  | 4.1% |
|  Verizon Communications, Inc.  | 3.7% |
|  Healthcare Realty Trust, Inc.  | 3.7% |
|  Kinder Morgan, Inc.  | 2.8% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Dynamic Opportunity Fund PAGE 2 TSR-AR-540132883

10000012533512859611245312784113299415238813897114387016034416504510000011196013640313042217148720303926132221399527024933786439827467.01.831.2 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Hedged Core Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LHEAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Hedged Core Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $211 | 2.08% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The LoCorr Hedged Core Fund (A share class) finished the year up +2.54%, generating profits in both its diversified global macro strategy and its commodity-focused strategy. The Morningstar Macro Trading category returned +9.03%, though it is worth noting that the benchmark is highly concentrated with only twelve distinct constituents, with the top five performing strategies generating an average daily correlation of 0.58 to the S&P 500 versus a correlation of just 0.18 for the Fund. Metals and equity trading generated strong positive returns for the Fund. Positions in interest rates, agricultural commodities, and currencies detracted.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. Commodity-linked Equities |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Crude Oil |
| ↓ | 2. Electricity |
| ↓ | 3. Gasoline RBOB |

---

**HOW DID THE FUND PERFORM** **SINCE INCEPTION?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6398img003.jpg)

LoCorr Hedged Core Fund PAGE 1 TSR-AR-540132719

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Since Inception**<br>**(07/10/2024)** |
| **Class A (without sales charge)**  | 2.54 | -1.99 |
| **Class A (with sales charge)**  | -3.31 | -5.84 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | 5.72 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $242853161 |
| **Number of Holdings** | 381 |
| **Net Advisory Fee** | $3184988 |
| **Portfolio Turnover** | 75% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6398img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 33.3% |
|  Galaxy Commodity-Polaris II Fund LLC  | 8.5% |
|  Fannie Mae Connecticut Avenue Securities  | 3.5% |
|  Federal Farm Credit Banks Funding Corp  | 3.4% |
|  Federal Home Loan Banks  | 2.6% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 2.1% |
|  Mars, Inc.  | 1.8% |
|  Morgan Stanley Private Bank NA  | 1.5% |
|  Bank of America Corp.  | 1.5% |
|  BX Trust  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Hedged Core Fund PAGE 2 TSR-AR-540132719

94258922914910000101181085633.319.411.68.68.56.10.30.11.914.0 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Hedged Core Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LHEIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Hedged Core Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $186 | 1.83% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The LoCorr Hedged Core Fund (I share class) finished the year up +2.79%, generating profits in both its diversified global macro strategy and its commodity-focused strategy. The Morningstar Macro Trading category returned +9.03%, though it is worth noting that the benchmark is highly concentrated with only twelve distinct constituents, with the top five performing strategies generating an average daily correlation of 0.58 to the S&P 500 versus a correlation of just 0.18 for the Fund. Metals and equity trading generated strong positive returns for the Fund. Positions in interest rates, agricultural commodities, and currencies detracted.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. Commodity-linked Equities |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Crude Oil |
| ↓ | 2. Electricity |
| ↓ | 3. Gasoline RBOB |

---

**HOW DID THE FUND PERFORM** **SINCE INCEPTION?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6399img003.jpg)

LoCorr Hedged Core Fund PAGE 1 TSR-AR-540132685

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Since Inception**<br>**(07/10/2024)** |
| **Class I (without sales charge)**  | 2.79 | -1.73 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | 5.72 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $242853161 |
| **Number of Holdings** | 381 |
| **Net Advisory Fee** | $3184988 |
| **Portfolio Turnover** | 75% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6399img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 33.3% |
|  Galaxy Commodity-Polaris II Fund LLC  | 8.5% |
|  Fannie Mae Connecticut Avenue Securities  | 3.5% |
|  Federal Farm Credit Banks Funding Corp  | 3.4% |
|  Federal Home Loan Banks  | 2.6% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 2.1% |
|  Mars, Inc.  | 1.8% |
|  Morgan Stanley Private Bank NA  | 1.5% |
|  Bank of America Corp.  | 1.5% |
|  BX Trust  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Hedged Core Fund PAGE 2 TSR-AR-540132685

100000948139745410000010117710856433.319.411.68.68.56.10.30.11.914.0 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Long/Short Commodities Strategy** **Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LCSAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Long/Short Commodities Strategy Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $208 | 2.07% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (A share class) finished the year up +0.88%, producing positive results in a volatile year for commodity markets. This result trailed the +3.76% return for the Morningstar Systematic Trend category, as the Fund's allocation to unique strategies outside of trend following lagged in the second half of the year in what proved to be a strong environment for momentum-oriented approaches. Precious metals primarily drove gains, though industrial metals were also an area of profitability along with commodity-linked equities. Positions in energy, grains, and softs were detractors. Livestock trading was not a material driver of performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Commodity-linked equities |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Electricity |
| ↓ | 2. Gasoline RBOB |
| ↓ | 3. Carbon |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6400img003.jpg)

LoCorr Long/Short Commodities Strategy Fund PAGE 1 TSR-AR-540132404

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class A (without sales charge)**  | 0.88 | 1.59 | 2.78 |
| **Class A (with sales charge)**  | -4.95 | 0.40 | 2.17 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $354858808 |
| **Number of Holdings** | 133 |
| **Net Advisory Fee** | $6982808 |
| **Portfolio Turnover** | 49% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6400img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 34.0% |
|  Galaxy Commodity - Polaris Fund LLC  | 14.2% |
|  Fannie Mae Connecticut Avenue Securities  | 4.3% |
|  Federal Home Loan Banks  | 2.6% |
|  Mars, Inc.  | 1.7% |
|  Bank of America Corp.  | 1.3% |
|  Morgan Stanley Private Bank NA  | 1.4% |
|  SMR Mortgage Trust  | 1.0% |
|  JPMorgan Chase & Co.  | 1.0% |
|  PKHL Commercial Mortgage Trust  | 0.9% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Long/Short Commodities Strategy Fund PAGE 2 TSR-AR-540132404

9428914796871114610450114591312613892134391229112400100001026510628106301155612424122321064111229113691219934.018.114.211.08.02.60.811.3 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Long/Short Commodities Strategy** **Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class C \| LCSCX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Long/Short Commodities Strategy Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class C | $282 | 2.82% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (C share class) finished the year up +0.11%, producing positive results in a volatile year for commodity markets. This result trailed the +3.76% return for the Morningstar Systematic Trend category, as the Fund's allocation to unique strategies outside of trend following lagged in the second half of the year in what proved to be a strong environment for momentum-oriented approaches. Precious metals primarily drove gains, though industrial metals were also an area of profitability along with commodity-linked equities. Positions in energy, grains, and softs were detractors. Livestock trading was not a material driver of performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Commodity-linked equities |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Electricity |
| ↓ | 2. Gasoline RBOB |
| ↓ | 3. Carbon |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6401img003.jpg)

LoCorr Long/Short Commodities Strategy Fund PAGE 1 TSR-AR-540132503

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class C (without sales charge)**  | 0.11 | 0.80 | 2.00 |
| **Class C (with sales charge)**  | 0.11 | 0.80 | 2.00 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $354858808 |
| **Number of Holdings** | 133 |
| **Net Advisory Fee** | $6982808 |
| **Portfolio Turnover** | 49% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6401img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 34.0% |
|  Galaxy Commodity - Polaris Fund LLC  | 14.2% |
|  Fannie Mae Connecticut Avenue Securities  | 4.3% |
|  Federal Home Loan Banks  | 2.6% |
|  Mars, Inc.  | 1.7% |
|  Bank of America Corp.  | 1.3% |
|  Morgan Stanley Private Bank NA  | 1.4% |
|  SMR Mortgage Trust  | 1.0% |
|  JPMorgan Chase & Co.  | 1.0% |
|  PKHL Commercial Mortgage Trust  | 0.9% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Long/Short Commodities Strategy Fund PAGE 2 TSR-AR-540132503

100009639101261156410765117161331613985134221218012193100001026510628106301155612424122321064111229113691219934.018.114.211.08.02.60.811.3 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Long/Short Commodities Strategy** **Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LCSIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Long/Short Commodities Strategy Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $183 | 1.82% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The Fund (I share class) finished the year up +1.14%, producing positive results in a volatile year for commodity markets. This result slightly trailed the +3.76% return for the Morningstar Systematic Trend category, as the Fund's allocation to unique strategies outside of trend following lagged in the second half of the year in what proved to be a strong environment for momentum-oriented approaches. Precious metals primarily drove gains, though industrial metals were also an area of profitability along with commodity-linked equities. Positions in energy, grains, and softs were detractors. Livestock trading was not a material driver of performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Commodity-linked equities |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Electricity |
| ↓ | 2. Gasoline RBOB |
| ↓ | 3. Carbon |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6402img003.jpg)

LoCorr Long/Short Commodities Strategy Fund PAGE 1 TSR-AR-540132602

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class I (without sales charge)**  | 1.14 | 1.82 | 3.04 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $354858808 |
| **Number of Holdings** | 133 |
| **Net Advisory Fee** | $6982808 |
| **Portfolio Turnover** | 49% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6402img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 34.0% |
|  Galaxy Commodity - Polaris Fund LLC  | 14.2% |
|  Fannie Mae Connecticut Avenue Securities  | 4.3% |
|  Federal Home Loan Banks  | 2.6% |
|  Mars, Inc.  | 1.7% |
|  Bank of America Corp.  | 1.3% |
|  Morgan Stanley Private Bank NA  | 1.4% |
|  SMR Mortgage Trust  | 1.0% |
|  JPMorgan Chase & Co.  | 1.0% |
|  PKHL Commercial Mortgage Trust  | 0.9% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Long/Short Commodities Strategy Fund PAGE 2 TSR-AR-540132602

1000009732810335211927211215012325914152815010214549413336513489110000010264710628310629511556112423512232010640611228911369212199334.018.114.211.08.02.60.811.3 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Macro Strategies Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LFMAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Macro Strategies Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $218 | 2.15% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the Fund (A share class) was up +2.56% as the Fund's combination of sub-advisers provided stable returns and prevented large drawdowns. The Fund underperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. DAX |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Brent Crude |
| ↓ | 2. UK Gilt |
| ↓ | 3. Euro |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6403img003.jpg)

LoCorr Macro Strategies Fund PAGE 1 TSR-AR-540132107

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class A (without sales charge)**  | 2.56 | 3.17 | 3.67 |
| **Class A (with sales charge)**  | -3.38 | 1.96 | 3.06 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $1481678840 |
| **Number of Holdings** | 451 |
| **Net Advisory Fee** | $25649201 |
| **Portfolio Turnover** | 62% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6403img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 38.9% |
|  Federal National Mortgage Association  | 4.0% |
|  Fannie Mae Connecticut Avenue Securities  | 2.9% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 2.3% |
|  Mars, Inc.  | 2.0% |
|  Federal Farm Credit Banks Funding Corp.  | 1.7% |
|  Morgan Stanley Private Bank NA  | 1.6% |
|  Bank of America Corp.  | 1.6% |
|  Federal Home Loan Banks  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Macro Strategies Fund PAGE 2 TSR-AR-540132107

94261003910306975410975115691155113284123761318513522100001026510628106301155612424122321064111229113691219938.920.811.99.57.20.60.210.9 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Macro Strategies Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class C \| LFMCX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Macro Strategies Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class C | $293 | 2.90% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the Fund (C share class) was up +1.74% as it was able to capitalize on many of the major market themes driving markets. The Fund underperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. DAX |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Brent Crude |
| ↓ | 2. UK Gilt |
| ↓ | 3. Euro |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6404img003.jpg)

LoCorr Macro Strategies Fund PAGE 1 TSR-AR-540132206

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class C (without sales charge)**  | 1.74 | 2.41 | 2.91 |
| **Class C (with sales charge)**  | 1.74 | 2.41 | 2.91 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $1481678840 |
| **Number of Holdings** | 451 |
| **Net Advisory Fee** | $25649201 |
| **Portfolio Turnover** | 62% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6404img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 38.9% |
|  Federal National Mortgage Association  | 4.0% |
|  Fannie Mae Connecticut Avenue Securities  | 2.9% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 2.3% |
|  Mars, Inc.  | 2.0% |
|  Federal Farm Credit Banks Funding Corp.  | 1.7% |
|  Morgan Stanley Private Bank NA  | 1.6% |
|  Bank of America Corp.  | 1.6% |
|  Federal Home Loan Banks  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Macro Strategies Fund PAGE 2 TSR-AR-540132206

1000010572107751013011302118331172513386123851310013329100001026510628106301155612424122321064111229113691219938.920.811.99.57.20.60.210.9 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Macro Strategies Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LFMIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Macro Strategies Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $193 | 1.90% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the Fund (I share class) was up +2.77% as the Fund's combination of sub-advisers provided stable returns and prevented large drawdowns. The Fund underperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. DAX |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Brent Crude |
| ↓ | 2. UK Gilt |
| ↓ | 3. Euro |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6405img003.jpg)

LoCorr Macro Strategies Fund PAGE 1 TSR-AR-540132305

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class I (without sales charge)**  | 2.77 | 3.42 | 3.93 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $1481678840 |
| **Number of Holdings** | 451 |
| **Net Advisory Fee** | $25649201 |
| **Portfolio Turnover** | 62% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6405img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 38.9% |
|  Federal National Mortgage Association  | 4.0% |
|  Fannie Mae Connecticut Avenue Securities  | 2.9% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 2.3% |
|  Mars, Inc.  | 2.0% |
|  Federal Farm Credit Banks Funding Corp.  | 1.7% |
|  Morgan Stanley Private Bank NA  | 1.6% |
|  Bank of America Corp.  | 1.6% |
|  Federal Home Loan Banks  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Macro Strategies Fund PAGE 2 TSR-AR-540132305

10000010668510984010426211752712422312432714347513403314301614697510000010264710628310629511556112423512232010640611228911369212199338.920.811.99.57.20.60.210.9 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Market Trend Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LOTAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Market Trend Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $210 | 2.06% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the Fund (A share class) was up +3.72% as it was able to capitalize on many of the major market themes driving markets. The Fund slightly underperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Euro |
| ↓ | 2. Brent Crude |
| ↓ | 3. Low Sulfur Gas |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6406img003.jpg)

LoCorr Market Trend Fund PAGE 1 TSR-AR-540132842

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class A (without sales charge)**  | 3.72 | 4.92 | 2.41 |
| **Class A (with sales charge)**  | -2.25 | 3.69 | 1.81 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $285742937 |
| **Number of Holdings** | 236 |
| **Net Advisory Fee** | $4639257 |
| **Portfolio Turnover** | 81% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6406img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 35.0% |
|  Fannie Mae Connecticut Avenue Securities  | 4.5% |
|  Federal Home Loan Banks  | 2.7% |
|  Mars, Inc.  | 1.9% |
|  Ford Credit Auto Owner Trust  | 1.5% |
|  Morgan Stanley Private Bank NA  | 1.5% |
|  Bank of America Corp.  | 1.5% |
|  Federal National Mortgage Association  | 1.3% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Market Trend Fund PAGE 2 TSR-AR-540132842

1119111827106781105995451129411799119011542313699144661500410196102521052410897108981184812737125411090911512116561250735.019.711.49.14.01.80.318.7 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Market Trend Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class C \| LOTCX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Market Trend Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class C | $285 | 2.81% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the Fund (C share class) was up +2.85% as it was able to capitalize on many of the major market themes driving markets. The Fund underperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Euro |
| ↓ | 2. Brent Crude |
| ↓ | 3. Low Sulfur Gas |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6407img003.jpg)

LoCorr Market Trend Fund PAGE 1 TSR-AR-540132834

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class C (without sales charge)**  | 2.85 | 4.12 | 1.63 |
| **Class C (with sales charge)**  | 2.85 | 4.12 | 1.63 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $285742937 |
| **Number of Holdings** | 236 |
| **Net Advisory Fee** | $4639257 |
| **Portfolio Turnover** | 81% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6407img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 35.0% |
|  Fannie Mae Connecticut Avenue Securities  | 4.5% |
|  Federal Home Loan Banks  | 2.7% |
|  Mars, Inc.  | 1.9% |
|  Ford Credit Auto Owner Trust  | 1.5% |
|  Morgan Stanley Private Bank NA  | 1.5% |
|  Bank of America Corp.  | 1.5% |
|  Federal National Mortgage Association  | 1.3% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Market Trend Fund PAGE 2 TSR-AR-540132834

1182912409111121142897931149211924119301535113524141861459010196102521052410897108981184812737125411090911512116561250735.019.711.49.14.01.80.318.7 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Market Trend Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LOTIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Market Trend Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $185 | 1.81% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

For the annual period ending December 31, 2025, the LoCorr Market Trend Fund (I share class) was up +3.99% as it was able to capitalize on many of the major market themes driving markets. The Fund outperformed the +3.76% gain for the Morningstar Systematic Trend Futures category. Trading in equities and metals was a positive contributor to the Fund's returns while interest rates, energy, and currencies detracted. Agricultural commodities were negligible to the Fund's performance.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Gold |
| ↑ | 2. Silver |
| ↑ | 3. Copper |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Euro |
| ↓ | 2. Brent Crude |
| ↓ | 3. Low Sulfur Gas |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6408img003.jpg)

LoCorr Market Trend Fund PAGE 1 TSR-AR-540132826

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class I (without sales charge)**  | 3.99 | 5.17 | 2.66 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $285742937 |
| **Number of Holdings** | 236 |
| **Net Advisory Fee** | $4639257 |
| **Portfolio Turnover** | 81% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6408img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  United States Treasury Note/Bond  | 35.0% |
|  Fannie Mae Connecticut Avenue Securities  | 4.5% |
|  Federal Home Loan Banks  | 2.7% |
|  Mars, Inc.  | 1.9% |
|  Ford Credit Auto Owner Trust  | 1.5% |
|  Morgan Stanley Private Bank NA  | 1.5% |
|  Bank of America Corp.  | 1.5% |
|  Federal National Mortgage Association  | 1.3% |
|  Freddie Mac Structured Agency Credit Risk Debt Notes  | 1.2% |
|  JPMorgan Chase & Co.  | 1.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Market Trend Fund PAGE 2 TSR-AR-540132826

11887812596311400411838110247612146112730012862316713014877915751116379110196310252410523810896610897811847712737112540710909111512311656212507235.019.711.49.14.01.80.318.7 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Spectrum Income Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LSPAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Spectrum Income Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class A | $215 | 2.05% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The LoCorr Spectrum Income Fund (A share class) finished the year in positive territory, returning +9.45% and outperforming the Bloomberg U.S. Aggregate Bond Index, which gained +7.30%. The Fund's largest contributors during the year were gold mining companies, which benefited from rising gold prices, and mortgage REITs, which profited from borrowing at lower short-term rates and investing at higher long-term yields. Increased activity in near-the-money calls, writing on stable, liquid C-corporations to generate additional income was also a tailwind for the portfolio.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Newmont Corp. |
| ↑ | 2. Agnico Eagle Mines Ltd. |
| ↑ | 3. Barrick Mining Corp. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Kinetik Holdings, Inc. |
| ↓ | 2. FS KKR Capital Corp. |
| ↓ | 3. ONEOK, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6409img003.jpg)

LoCorr Spectrum Income Fund PAGE 1 TSR-AR-540132875

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class A (without sales charge)**  | 9.45 | 5.47 | 4.29 |
| **Class A (with sales charge)**  | 3.14 | 4.21 | 3.68 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $69229086 |
| **Number of Holdings** | 85 |
| **Net Advisory Fee** | $903003 |
| **Portfolio Turnover** | 66% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6409img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Annaly Capital Management, Inc.  | 3.2% |
|  Ares Capital Corp.  | 2.8% |
|  Blackstone Secured Lending Fund  | 2.7% |
|  Invesco Mortgage Capital, Inc.  | 2.4% |
|  Anglogold Ashanti PLC  | 2.3% |
|  CVR Partners LP  | 2.3% |
|  Dynex Capital, Inc.  | 2.3% |
|  Cheniere Energy Partners LP  | 2.2% |
|  MPLX LP  | 2.1% |
|  Enterprise Products Partners LP  | 2.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Spectrum Income Fund PAGE 2 TSR-AR-540132875

94301005610409955311308109971334311833120341311314352100001026510628106301155612424122321064111229113691219928.022.220.511.910.41.00.90.35.4 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Spectrum Income Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class C \| LSPCX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Spectrum Income Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class C | $292 | 2.80% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The LoCorr Spectrum Income Fund (C share class) finished the year in positive territory, returning +8.77% and outperforming the Bloomberg U.S. Aggregate Bond Index, which gained +7.30%. The Fund's largest contributors during the year were gold mining companies, which benefited from rising gold prices, and mortgage REITs, which profited from borrowing at lower short-term rates and investing at higher long-term yields. Increased activity in near-the-money calls, writing on stable, liquid C-corporations to generate additional income was also a tailwind for the portfolio.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Newmont Corp. |
| ↑ | 2. Agnico Eagle Mines Ltd. |
| ↑ | 3. Barrick Mining Corp. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Kinetik Holdings, Inc. |
| ↓ | 2. FS KKR Capital Corp. |
| ↓ | 3. ONEOK, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6410img003.jpg)

LoCorr Spectrum Income Fund PAGE 1 TSR-AR-540132867

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class C (without sales charge)**  | 8.77 | 4.72 | 3.51 |
| **Class C (with sales charge)**  | 8.77 | 4.72 | 3.51 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $69229086 |
| **Number of Holdings** | 85 |
| **Net Advisory Fee** | $903003 |
| **Portfolio Turnover** | 66% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6410img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Annaly Capital Management, Inc.  | 3.2% |
|  Ares Capital Corp.  | 2.8% |
|  Blackstone Secured Lending Fund  | 2.7% |
|  Invesco Mortgage Capital, Inc.  | 2.4% |
|  Anglogold Ashanti PLC  | 2.3% |
|  CVR Partners LP  | 2.3% |
|  Dynex Capital, Inc.  | 2.3% |
|  Cheniere Energy Partners LP  | 2.2% |
|  MPLX LP  | 2.1% |
|  Enterprise Products Partners LP  | 2.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Spectrum Income Fund PAGE 2 TSR-AR-540132867

100001058810866990411647112161351211913120111298614124100001026510628106301155612424122321064111229113691219928.022.220.511.910.41.00.90.35.4 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Spectrum Income Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LSPIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Spectrum Income Fund for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** |
| Class I | $189 | 1.80% |

---

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

The LoCorr Spectrum Income Fund (I share class) finished the year in positive territory, returning +9.84% and outperforming the Bloomberg U.S. Aggregate Bond Index, which gained +7.30%. The Fund's largest contributors during the year were gold mining companies, which benefited from rising gold prices, and mortgage REITs, which profited from borrowing at lower short-term rates and investing at higher long-term yields. Increased activity in near-the-money calls, writing on stable, liquid C-corporations to generate additional income was also a tailwind for the portfolio.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. Newmont Corp. |
| ↑ | 2. Agnico Eagle Mines Ltd. |
| ↑ | 3. Barrick Mining Corp. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. Kinetik Holdings, Inc. |
| ↓ | 2. FS KKR Capital Corp. |
| ↓ | 3. ONEOK, Inc. |

---

**HOW DID THE FUND PERFORM** **OVER THE PAST 10 YEARS?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6411img003.jpg)

LoCorr Spectrum Income Fund PAGE 1 TSR-AR-540132859

------

**ANNUAL AVERAGE TOTAL RETURN (%)**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| **Class I (without sales charge)**  | 9.84 | 5.76 | 4.57 |
| **Bloomberg U.S. Aggregate Bond Index**  | 7.30 | -0.36 | 2.01 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $69229086 |
| **Number of Holdings** | 85 |
| **Net Advisory Fee** | $903003 |
| **Portfolio Turnover** | 66% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6411img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  Annaly Capital Management, Inc.  | 3.2% |
|  Ares Capital Corp.  | 2.8% |
|  Blackstone Secured Lending Fund  | 2.7% |
|  Invesco Mortgage Capital, Inc.  | 2.4% |
|  Anglogold Ashanti PLC  | 2.3% |
|  CVR Partners LP  | 2.3% |
|  Dynex Capital, Inc.  | 2.3% |
|  Cheniere Energy Partners LP  | 2.2% |
|  MPLX LP  | 2.1% |
|  Enterprise Products Partners LP  | 2.1% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Spectrum Income Fund PAGE 2 TSR-AR-540132859

10000010685011096010218412133111817314361312783413041514232315633310000010264710628310629511556112423512232010640611228911369212199328.022.220.511.910.41.00.90.35.4 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Strategic Allocation Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class A \| LSAAX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Strategic Allocation Fund for the period of January 8, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** **\*** |
| Class A | $188 | 1.84% |

---

\* Annualized

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

Since launch on January 8, 2025, through the period ending December 31, 2025, the Fund (A share class) was up +4.38% as it was able to capitalize on many of the major market themes driving markets. The Fund modestly trailed the +5.71% gain for the Morningstar Multistrategy category, over the same period. Trading in commodities, equity indices, and individual cash equities were all positive contributors to the Fund's returns while fixed income and foreign currency trading were detractors.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. NVIDIA Corp. |
| ↑ | 2. Apple, Inc. |
| ↑ | 3. Alphabet, Inc. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. EURO FX Future |
| ↓ | 2. LME Copper Forward |
| ↓ | 3. CHF Currency Future |

---

**HOW DID THE FUND PERFORM** **SINCE INCEPTION?** **\***

The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $10,000)

![image](ts6412img003.jpg)

LoCorr Strategic Allocation Fund PAGE 1 TSR-AR-540132677

------

**CUMULATIVE TOTAL RETURN (%)**

---

| | |
|:---|:---|
|  | **Since Inception**<br>**(01/08/2025)** |
| **Class A (without sales charge)**  | 4.38 |
| **Class A (with sales charge)**  | -1.62 |
| **S&P 500 TR**  | 17.12 |
| **ICE BofA US 3-Month Treasury Bill Total Return Index**  | 4.10 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $66776989 |
| **Number of Holdings** | 758 |
| **Net Advisory Fee** | $108120 |
| **Portfolio Turnover** | 72% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6412img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  NVIDIA Corp.  | 3.5% |
|  Apple, Inc.  | 3.1% |
|  Microsoft Corp.  | 2.6% |
|  Alphabet, Inc.  | 2.6% |
|  Amazon.com, Inc.  | 1.6% |
|  Broadcom, Inc.  | 1.2% |
|  Tesla Motors, Inc.  | 1.0% |
|  Meta Platforms, Inc.  | 1.0% |
|  Berkshire Hathaway, Inc.  | 0.8% |
|  JPMorgan Chase & Co.  | 0.7% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Strategic Allocation Fund PAGE 2 TSR-AR-540132677

942598381000011712100001041044.50.40.254.9 ------

---

| | | |
|:---|:---|:---|
| ![image](img62494_202407101049952.jpg) | **LoCorr Strategic Allocation Fund**  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Class I \| LSAIX  | ![image](img36355_202412301833819.jpg) |
| ![image](img62494_202407101049952.jpg) | Annual Shareholder Report \| December 31, 2025  | ![image](img36355_202412301833819.jpg) |

---

This annual shareholder report contains important information about the LoCorr Strategic Allocation Fund for the period of January 8, 2025 to December 31, 2025. You can find additional information about the Fund at https://locorrfunds.com/literature/. You can also request this information by contacting us at 1-855-523-8637.

**WHAT WERE THE FUND COSTS FOR THE PAST YEAR?** (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000** **investment** | **Costs paid as a percentage of** **a $10,000 investment** **\*** |
| Class I | $163 | 1.59% |

---

\* Annualized

**HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?**

Since launch on January 8, 2025, through the period ending December 31, 2025, the Fund (I share class) was up +4.61% as it was able to capitalize on many of the major market themes driving markets. The Fund modestly trailed the +5.71% gain for the Morningstar Multistrategy category, over the same period. Trading in commodities, equity indices, and individual cash equities were all positive contributors to the Fund's returns while fixed income and foreign currency trading were detractors.

---

| | |
|:---|:---|
| **Top Contributors** | **Top Contributors** |
| ↑ | 1. NVIDIA Corp. |
| ↑ | 2. Apple, Inc. |
| ↑ | 3. Alphabet, Inc. |

---

---

| | |
|:---|:---|
| **Top Detractors** | **Top Detractors** |
| ↓ | 1. EURO FX Future |
| ↓ | 2. LME Copper Forward |
| ↓ | 3. CHF Currency Future |

---

**HOW DID THE FUND PERFORM** **SINCE INCEPTION?** **\***

The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.

**CUMULATIVE PERFORMANCE** (Initial Investment of $100,000)

![image](ts6413img003.jpg)

LoCorr Strategic Allocation Fund PAGE 1 TSR-AR-540132669

------

**CUMULATIVE TOTAL RETURN (%)**

---

| | |
|:---|:---|
|  | **Since Inception**<br>**(01/08/2025)** |
| **Class I (without sales charge)**  | 4.61 |
| **S&P 500 TR**  | 17.12 |
| **ICE BofA US 3-Month Treasury Bill Total Return Index**  | 4.10 |

---

Visit https://locorrfunds.com/literature/ for more recent performance information.

\* ***The Fund's past performance is not a good predictor of how the Fund will perform in the future.*** **The graph and table do not** **reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares***.*

**KEY FUND STATISTICS** (as of December 31, 2025)

---

| | |
|:---|:---|
| **Net Assets** | $66776989 |
| **Number of Holdings** | 758 |
| **Net Advisory Fee** | $108120 |
| **Portfolio Turnover** | 72% |

---

**WHAT DID THE FUND INVEST IN?** (as of December 31, 2025)

**Security Type Breakdown (%)**

![image](ts6413img004.jpg)

---

| | |
|:---|:---|
| **Top 10 Issuers** | **(%)** |
|  NVIDIA Corp.  | 3.5% |
|  Apple, Inc.  | 3.1% |
|  Microsoft Corp.  | 2.6% |
|  Alphabet, Inc.  | 2.6% |
|  Amazon.com, Inc.  | 1.6% |
|  Broadcom, Inc.  | 1.2% |
|  Tesla Motors, Inc.  | 1.0% |
|  Meta Platforms, Inc.  | 1.0% |
|  Berkshire Hathaway, Inc.  | 0.8% |
|  JPMorgan Chase & Co.  | 0.7% |

---

For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://locorrfunds.com/literature/.

**HOUSEHOLDING**

To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your LoCorr Fund Management, LLC documents not be householded, please contact LoCorr Fund Management, LLC at 1-855-523-8637, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by LoCorr Fund Management, LLC or your financial intermediary.

LoCorr Strategic Allocation Fund PAGE 2 TSR-AR-540132669

10000010460610000011712410000010409744.50.40.254.9 ------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Note applicable.

**<u>Item 2. Code of Ethics.</u>**

The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

*A copy of the registrant's Code of Ethics is filed herewith.*

**<u>Item 3. Audit Committee Financial Expert.</u>**

The registrant's board of directors has determined that it does not have an audit committee financial expert serving on its audit committee. At this time, the registrant believes that the experience provided by each member of the audit committee together offers the registrant adequate oversight for the registrant's level of financial complexity

**<u>Item 4. Principal Accountant Fees and Services.</u>**

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. These include federal and state income tax returns, review of excise tax distribution calculations and federal excise tax returns. "Other services" provided by the principal accountant were a cursory review of the semi-annual report for LoCorr Investment Trust. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2025 | FYE 12/31/2024 |
| (a) Audit Fees | $316000 | $266000 |
| (b) Audit-Related Fees | $0 | $0 |
| (c) Tax Fees | $60000 | $38500 |
| (d) All Other Fees | $5730 | $4864 |

---

(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

---

| | | |
|:---|:---|:---|
| | FYE 12/31/2025 | FYE 12/31/2024 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |

---

(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent.

(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.

 

---

| | | |
|:---|:---|:---|
| Non-Audit Related Fees | FYE 12/31/2025 | FYE 12/31/2024 |
| Registrant | $0 | $0 |
| Registrant's Investment Adviser | $0 | $0 |

---

(h) The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.

(i) Not applicable

(j) Not applicable

**<u>Item 5. Audit Committee of Listed Registrants.</u>**

Not applicable.

**<u>Item 6. Investments.</u>**

&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule of Investments is included within the financial statements filed under Item 7 of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable

**<u>Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.</u>**

(a) ![](locorr_logo.jpg)

**LoCorr Investment Trust**

Annual Financial Statements and Additional Information

December 31, 2025

------

**TABLE OF CONTENTS** 

---

| | |
|:---|:---|
|  | **Page** |
| [Schedules of Investments ](#tsoi100) |  |
| &nbsp;&nbsp;&nbsp; [LoCorr Dynamic Opportunity Fund](#tsoi1) | [1](#tsoi1) |
| &nbsp;&nbsp;&nbsp; [LoCorr Hedged Core Fund](#tsoi2) | [5](#tsoi2) |
| &nbsp;&nbsp;&nbsp; [LoCorr Long/Short Commodities Strategy Fund](#tsoi3) | [20](#tsoi3) |
| &nbsp;&nbsp;&nbsp; [LoCorr Macro Strategies Fund](#tsoi4) | [29](#tsoi4) |
| &nbsp;&nbsp;&nbsp; [LoCorr Market Trend Fund](#tsoi5) | [44](#tsoi5) |
| &nbsp;&nbsp;&nbsp; [LoCorr Spectrum Income Fund](#tsoi6) | [55](#tsoi6) |
| &nbsp;&nbsp;&nbsp; [LoCorr Strategic Allocation Fund](#tsoi7) | [60](#tsoi7) |
| [Statements of Assets and Liabilities](#tsal) | [82](#tsal) |
| [Statements of Operations](#tsop) | [86](#tsop) |
| [Statements of Changes in Net Assets](#tscna) | [89](#tscna) |
| [Financial Highlights](#tfihi) | [96](#tfihi) |
| [Notes to the Financial Statements](#tnote) | [115](#tnote) |
| [Report of the Independent Registered Public Accounting Firm](#treport) | [147](#treport) |
| [Portfolio Holdings Disclosure](#tport) | [149](#tport) |
| [Proxy Voting Policies, Procedures and Record](#tproxy) | [150](#tproxy) |
| [Qualified Dividend Income ("QDI")/Dividends Received Deduction ("DRD")](#qdi) | [151](#qdi) |
| [Additional Information](#addinf) | [152](#addinf) |

---

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - 76.9%**<br>|  |  |
| **Airlines - 0.9%**<br>|  |  |
| Southwest Airlines Co. | 6680 | $276084  |
| **Apparel - 0.5%**<br>|  |  |
| Capri Holdings Ltd.<sup>(a)</sup> | 5734 | 139910  |
| **Auto Manufacturers - 1.9%**<br>|  |  |
| Tesla Motors, Inc.<sup>(a)</sup> | 1231 | 553605  |
| **Banks - 1.9%**<br>|  |  |
| JPMorgan Chase & Co. | 1757 | 566141  |
| **Beverages - 1.0%**<br>|  |  |
| Primo Brands Corp. | 17856 | 291946  |
| **Building Materials - 0.4%**<br>|  |  |
| AAON, Inc. | 1429 | 108961  |
| **Chemicals - 1.5%**<br>|  |  |
| International Flavors & Fragrances, Inc. | 6642 | 447604  |
| **Coal - 0.9%**<br>|  |  |
| Alpha Metallurgical Resources, Inc.<sup>(a)</sup> | 1348 | 269438  |
| **Computers - 2.6%**<br>|  |  |
| Parsons Corp.<sup>(a)</sup> | 12431 | 768236  |
| **Distribution & Wholesale - 1.9%**<br>|  |  |
| LKQ Corp. | 18443 | 556979  |
| **Diversified Financial Services - 3.8%**<br>|  |  |
| Franklin Resources, Inc. | 18545 | 443040  |
| Rocket Cos., Inc. - Class A | 35077 | 679091  |
|  |  | 1122131  |
| **Energy-Alternate Sources - 0.4%**<br>|  |  |
| Enphase Energy, Inc.<sup>(a)</sup> | 3461 | 110925  |
| **Entertainment - 4.2%**<br>|  |  |
| Penn National Gaming, Inc.<sup>(a)</sup> | 83856 | 1236876  |
| **Home Builders - 1.1%**<br>|  |  |
| Champion Homes, Inc.<sup>(a)</sup> | 3952 | 333944  |
| **Internet - 8.4%**<br>|  |  |
| Alphabet, Inc. - Class A | 2673 | 836649  |
| Amazon.com, Inc.<sup>(a)</sup> | 3607 | 832568  |
| Meta Platforms, Inc. - Class A | 1260 | 831713  |
|  |  | 2500930  |
| **Iron & Steel - 1.8%**<br>|  |  |
| Commercial Metals Co. | 7834 | 542269  |

---

The accompanying notes are an integral part of these financial statements.

1<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Lodging - 4.1%**<br>|  |  |
| Wynn Resorts Ltd. | 10176 | $1224478  |
| **Oil & Gas - 1.9%**<br>|  |  |
| EQT Corp. | 5138 | 275397  |
| Expand Energy Corp. | 2538 | 280094  |
|  |  | 555491  |
| **Packaging & Containers - 1.0%**<br>|  |  |
| Sonoco Products Co. | 6555 | 286060  |
| **Pipelines - 3.8%**<br>|  |  |
| Golar LNG Ltd. | 7525 | 280005  |
| Kinder Morgan, Inc. | 30451 | 837098  |
|  |  | 1117103  |
| **Retail - 5.5%**<br>|  |  |
| RH<sup>(a)</sup> | 7594 | 1360465  |
| Shake Shack, Inc. - Class A<sup>(a)</sup> | 3404 | 276303  |
|  |  | 1636768  |
| **Shipbuilding - 1.0%**<br>|  |  |
| Huntington Ingalls Industries, Inc. | 859 | 292120  |
| **Software - 20.8%**<br>|  |  |
| Akamai Technologies, Inc.<sup>(a)</sup> | 6382 | 556829  |
| Braze, Inc. - Class A<sup>(a)</sup> | 35339 | 1211774  |
| Confluent, Inc. - Class A<sup>(a)</sup> | 13749 | 415770  |
| Elastic NV<sup>(a)</sup> | 18557 | 1399940  |
| Sentinel One, Inc. - Class A<sup>(a)</sup> | 81173 | 1217595  |
| Unity Software, Inc.<sup>(a)</sup> | 30998 | 1369182  |
|  |  | 6171090  |
| **Telecommunications - 5.3%**<br>|  |  |
| Telephone and Data Systems, Inc. | 11018 | 451738  |
| Verizon Communications, Inc. | 27241 | 1109526  |
|  |  | 1561264  |
| **Transportation - 0.3%**<br>|  |  |
| RXO, Inc.<sup>(a)</sup> | 6463 | 81692  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS** <br>**(Cost $22,273,391)** |  | 22752045  |

---

The accompanying notes are an integral part of these financial statements.

2<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **REAL ESTATE INVESTMENT TRUSTS - 5.1%**<br>|  |  |
| Healthcare Realty Trust, Inc. | 64829 | $1098852  |
| Pebblebrook Hotel Trust | 37163 | 420685  |
| &nbsp;&nbsp;&nbsp; **TOTAL REAL ESTATE INVESTMENT TRUSTS** <br>**(Cost $1,405,302)** |  | 1519537  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 82.0%** <br>**(Cost $23,678,693)** |  | $24271582  |
| Money Market Deposit Account - 23.9%<sup>(b)</sup> |  | 7076869  |
| Liabilities in Excess of Other Assets - (5.9)%<sup>(c)</sup> |  | (1744929)  |
| **TOTAL NET ASSETS - 100.0%** |  | $29603522 |

---

Percentages are stated as a percent of net assets.

REIT - Real Estate Investment Trust

<sup>(a)</sup> Non-income producing security.

<sup>(b)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

<sup>(c)</sup> Includes assets pledged as collateral for securities sold short. As of the reporting date, the value of these assets total $9,035,191. 

The accompanying notes are an integral part of these financial statements.

3<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND** 

**SCHEDULE OF SECURITIES SOLD SHORT** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (9.9)%**<br>|  |  |
| **Airlines - (1.3)%**<br>|  |  |
| American Airlines Group, Inc. | (9444) | $(144776)  |
| United Airlines Holdings, Inc. | (2050) | (229231)  |
|  |  | (374007)  |
| **Auto Manufacturers - (0.7)%**<br>|  |  |
| Blue Bird Corp. | (4419) | (207693)  |
| **Commercial Services - (1.0)%**<br>|  |  |
| Automatic Data Processing, Inc. | (1100) | (282953)  |
| **Electronics - (0.7)%**<br>|  |  |
| Badger Meter, Inc. | (1276) | (222547)  |
| **Entertainment - (1.0)%**<br>|  |  |
| Red Rock Resorts, Inc. - Class A | (4801) | (297422)  |
| **Healthcare-Products - (0.7)%**<br>|  |  |
| ResMed, Inc. | (878) | (211484)  |
| **Internet - (0.7)%**<br>|  |  |
| Hims & Hers Health, Inc. | (2835) | (92053)  |
| Wayfair, Inc. - Class A | (1225) | (123002)  |
|  |  | (215055)  |
| **Lodging - (2.0)%**<br>|  |  |
| Boyd Gaming Corp. | (3859) | (328941)  |
| Las Vegas Sands Corp. | (4107) | (267325)  |
|  |  | (596266)  |
| **Machinery-Diversified - (1.4)%**<br>|  |  |
| Flowserve Corp. | (5784) | (401294)  |
| **Software - (0.4)%**<br>|  |  |
| Paychex, Inc. | (1192) | (133718)  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS** <br>**(Proceeds $3,008,922)** |  | (2942439)  |
| **REAL ESTATE INVESTMENT TRUSTS - (3.3)%**<br>|  |  |
| AvalonBay Communities, Inc. | (2326) | (421727)  |
| Camden Property Trust | (1147) | (126262)  |
| Mid-America Apartment Communities, Inc. | (3102) | (430899)  |
| &nbsp;&nbsp;&nbsp; **TOTAL REAL ESTATE INVESTMENT TRUSTS** <br>**(Proceeds $966,914)** |  | (978888)  |
| &nbsp;&nbsp;&nbsp; **TOTAL SECURITIES SOLD SHORT - (13.2)%** <br>**(Proceeds $3,975,836)** |  | $(3921327) |

---

Percentages are stated as a percent of net assets.

The accompanying notes are an integral part of these financial statements.

4<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **U.S. TREASURY SECURITIES - 33.3%**<br>|  |  |
| United States Treasury Note/Bond<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/2026 | $1405000 | $1412206  |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/2027 | 5629400 | 5698888  |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/31/2028 | 6525800 | 6528094  |
| &nbsp;&nbsp;&nbsp; 3.63%, 03/31/2028 | 6210100 | 6227809  |
| &nbsp;&nbsp;&nbsp; 1.38%, 10/31/2028 | 5505000 | 5188032  |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/28/2029 | 940000 | 959424  |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/2029 | 7961300 | 8222219  |
| &nbsp;&nbsp;&nbsp; 3.25%, 06/30/2029 | 21316900 | 21084579  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/28/2030 | 8210000 | 8320643  |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/30/2030 | 6100000 | 6150992  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/30/2030 | 11105000 | 11072032  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY SECURITIES** <br>**(Cost $79,996,345)** |  | 80864918  |
| **CORPORATE BONDS - 19.4%**<br>|  |  |
| **Aerospace & Defense - 0.9%**<br>|  |  |
| Boeing Co., 3.25%, 02/01/2028 | 915000 | 899565  |
| L3Harris Technologies, Inc., 5.40%, 01/15/2027 | 820000 | 831975  |
| RTX Corp., 4.13%, 11/16/2028 | 375000 | 376382  |
|  |  | 2107922  |
| **Agriculture - 0.2%**<br>|  |  |
| Philip Morris International, Inc., 4.63%, 11/01/2029 | 460000 | 468189  |
| **Auto Manufacturers - 0.3%**<br>|  |  |
| General Motors Financial Co., Inc., 5.35%, 01/07/2030 | 740000 | 764718  |
| **Banks - 6.9%**<br>|  |  |
| Bank of America Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38% to 04/27/2027 then SOFR + 1.58%, 04/27/2028 | 1445000 | 1450916  |
| &nbsp;&nbsp;&nbsp; 5.16% to 01/24/2030 then SOFR + 1.00%, 01/24/2031 | 2010000 | 2076637  |
| Citibank NA, 4.58%, 05/29/2027 | 880000 | 889078  |
| Citigroup, Inc., 4.50% to 09/11/2030 then SOFR + 1.17%, 09/11/2031 | 540000 | 542340  |
| Credit Agricole SA, 5.22% to 05/27/2030 then SOFR + 1.46%, 05/27/2031<sup>(a)</sup> | 250000 | 256882  |
|  Deutsche Bank AG/New York NY, 5.00% to 09/11/2029 then SOFR + 1.70%, 09/11/2030 | 290000 | 294612  |
| Federation des Caisses Desjardins du Quebec, 5.70%, 03/14/2028<sup>(a)</sup> | 535000 | 553195  |
| Goldman Sachs Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029 | 315000 | 334174  |
| &nbsp;&nbsp;&nbsp; 5.22% to 04/23/2030 then SOFR + 1.58%, 04/23/2031 | 360000 | 372078  |
| HSBC Holdings PLC, 6.16% to 03/09/2028 then SOFR + 1.97%, 03/09/2029 | 550000 | 572798  |
| JPMorgan Chase & Co., 5.10% to 04/22/2030 then SOFR + 1.44%, 04/22/2031 | 2465000 | 2547254  |
| Morgan Stanley Private Bank NA<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.20% to 11/17/2027 then SOFR + 0.78%, 11/17/2028 | 1150000 | 1153815  |
| &nbsp;&nbsp;&nbsp; 4.47% to 11/19/2030 then SOFR + 1.02%, 11/19/2031 | 2415000 | 2422561  |
| NatWest Markets PLC, 5.41%, 05/17/2029<sup>(a)</sup> | 525000 | 544923  |
| State Street Corp., 4.54%, 02/28/2028 | 440000 | 446848  |

---

The accompanying notes are an integral part of these consolidated financial statements.

5<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** |
| **Banks - (Continued)** | **Banks - (Continued)** | **Banks - (Continued)** |
| &nbsp;&nbsp;&nbsp; UBS Group AG, 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, <br>12/22/2027<sup>(a)</sup> | $975000 | $995379  |
| Wells Fargo & Co., 5.15% to 04/23/2030 then SOFR + 1.50%, 04/23/2031 | 1225000 | 1265554  |
|  |  | 16719044  |
| **Beverages - 0.2%**<br>|  |  |
| PepsiCo, Inc., 4.10%, 01/15/2029 | 510000 | 513035  |
| **Biotechnology - 0.3%**<br>|  |  |
| Amgen, Inc., 5.15%, 03/02/2028 | 615000 | 629599  |
| **Building Materials - 0.1%**<br>|  |  |
| Trane Technologies Financing Ltd., 3.50%, 03/21/2026 | 245000 | 244683  |
| **Commercial Services - 0.1%**<br>|  |  |
| Global Payments, Inc., 4.88%, 11/15/2030 | 335000 | 335739  |
| **Cosmetics & Personal Care - 0.4%**<br>|  |  |
| Haleon US Capital LLC, 3.38%, 03/24/2027 | 1065000 | 1057385  |
| **Diversified Financial Services - 0.4%**<br>|  |  |
| AerCap Ireland Capital/Global Aviation Trust, 6.10%, 01/15/2027 | 1055000 | 1075022  |
| **Electric - 0.9%**<br>|  |  |
| Duke Energy Carolinas LLC, 4.85%, 03/15/2030 | 525000 | 540886  |
| Florida Power & Light Co.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 04/01/2028 | 605000 | 620500  |
| &nbsp;&nbsp;&nbsp; 4.40%, 05/15/2028 | 765000 | 774789  |
| Southern California Edison Co., 1.20%, 02/01/2026 | 150000 | 149457  |
|  |  | 2085632  |
| **Electronics - 0.1%**<br>|  |  |
| Honeywell International, Inc., 4.88%, 09/01/2029 | 235000 | 241552  |
| **Food - 2.4%**<br>|  |  |
| General Mills, Inc., 4.88%, 01/30/2030 | 595000 | 608966  |
| Kraft Heinz Foods Co., 3.88%, 05/15/2027 | 520000 | 518674  |
| Mars, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 03/01/2028<sup>(a)</sup> | 2220000 | 2251005  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/01/2030<sup>(a)</sup> | 2095000 | 2142322  |
| Sysco Corp., 3.25%, 07/15/2027 | 405000 | 401037  |
|  |  | 5922004  |
| **Healthcare-Services - 0.6%**<br>|  |  |
| HCA, Inc., 5.00%, 03/01/2028 | 325000 | 331149  |
| UnitedHealth Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.40%, 06/15/2028 | 300000 | 303480  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/15/2029 | 835000 | 841764  |
|  |  | 1476393  |

---

The accompanying notes are an integral part of these consolidated financial statements.

6<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** |
| **Insurance - 0.4%**<br>|  |  |
| Brown & Brown, Inc., 4.60%, 12/23/2026 | $375000 | $376889  |
| Metropolitan Life Global Funding I, 5.05%, 01/06/2028<sup>(a)</sup> | 155000 | 158200  |
| Principal Life Global Funding II, 0.88%, 01/12/2026<sup>(a)</sup> | 365000 | 364657  |
|  |  | 899746  |
| **Packaging & Containers - 0.2%**<br>|  |  |
| Amcor Group Finance PLC, 5.45%, 05/23/2029 | 470000 | 486140  |
| **Pharmaceuticals - 0.8%**<br>|  |  |
| AbbVie, Inc., 4.80%, 03/15/2029 | 235000 | 240943  |
| CVS Health Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/01/2026 | 995000 | 989976  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/30/2029 | 575000 | 587545  |
|  |  | 1818464  |
| **Pipelines - 0.7%**<br>|  |  |
| Enbridge, Inc., 6.00%, 11/15/2028 | 445000 | 467775  |
| Energy Transfer LP, 6.05%, 12/01/2026 | 975000 | 990721  |
| South Bow USA Infrastructure Holdings LLC, 4.91%, 09/01/2027 | 275000 | 277558  |
|  |  | 1736054  |
| **REITS - 1.6%**<br>|  |  |
| American Homes 4 Rent LP, 4.90%, 02/15/2029 | 255000 | 259425  |
| Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 280000 | 279834  |
| Essex Portfolio LP, 1.70%, 03/01/2028 | 240000 | 228044  |
| Healthcare Realty Holdings LP, 3.75%, 07/01/2027 | 1400000 | 1390516  |
| Kite Realty Group LP, 4.00%, 10/01/2026 | 755000 | 753795  |
| Lineage OP LP, 5.25%, 07/15/2030<sup>(a)</sup> | 485000 | 489653  |
| Prologis Targeted US Logistics Fund LP, 5.25%, 04/01/2029<sup>(a)</sup> | 545000 | 561446  |
|  |  | 3962713  |
| **Retail - 0.4%**<br>|  |  |
| O'Reilly Automotive, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/20/2026 | 570000 | 577705  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/01/2030 | 260000 | 259476  |
| Walmart, Inc., 4.35%, 04/28/2030 | 120000 | 122060  |
|  |  | 959241  |
| **Semiconductors - 0.2%**<br>|  |  |
| Broadcom, Inc., 4.60%, 07/15/2030 | 355000 | 360965  |
| **Software - 0.3%**<br>|  |  |
| Oracle Corp., 4.80%, 08/03/2028 | 390000 | 392094  |
| Roper Technologies, Inc., 4.25%, 09/15/2028 | 415000 | 416644  |
|  |  | 808738  |

---

The accompanying notes are an integral part of these consolidated financial statements.

7<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** | **CORPORATE BONDS - (Continued)** |
| **Telecommunications - 1.0%**<br>|  |  |
| AT&T, Inc., 2.30%, 06/01/2027 | $625000 | $610796  |
| T-Mobile USA, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 07/15/2028 | 410000 | 417542  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/15/2029 | 800000 | 817663  |
| Verizon Communications, Inc., 2.10%, 03/22/2028 | 655000 | 629037  |
|  |  | 2475038  |
| &nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS** <br>**(Cost $46,604,322)** |  | 47148016  |
| **MORTGAGE-BACKED SECURITIES - 11.6%**<br>|  |  |
| &nbsp;&nbsp;&nbsp; ARDN 2025-ARCP Mortgage Trust, Series 2025-ARCP, Class A, 5.50% <br>(1 mo. Term SOFR + 1.75%), 06/15/2035, (1.75% Floor)<sup>(a)</sup> | 1000000 | 1001556  |
| BX Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 06/15/2036, (1.28% Floor)<sup>(a)</sup> | 720000 | 719125  |
| &nbsp;&nbsp;&nbsp; Series 2022-AHP, Class A, 4.74% (1 mo. Term SOFR + 0.99%), 01/17/2039, (0.99% Floor)<sup>(a)</sup> | 900000 | 899453  |
| &nbsp;&nbsp;&nbsp; Series 2025-DELC, Class A, 5.51% (1 mo. Term SOFR + 1.55%), 12/15/2042, (1.55% Floor)<sup>(a)</sup> | 1000000 | 1001246  |
| &nbsp;&nbsp;&nbsp; Computershare Corporate Trust, Series 2024-SVEN, Class A, 6.01%, <br>06/10/2037<sup>(a)</sup> | 500000 | 519630  |
|  DK Trust, Series 2025-LXP, Class A, 5.33% (1 mo. Term SOFR + 1.59%), 08/15/2037, (1.59% Floor)<sup>(a)</sup> | 750000 | 751162  |
| Fannie Mae Connecticut Avenue Securities<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2042, (0.00% Floor)<sup>(a)</sup> | 1500000 | 1536331  |
| &nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M2, 7.72% (30 day avg SOFR US + 3.85%), 05/25/2042, (0.00% Floor)<sup>(a)</sup> | 1500000 | 1554213  |
| &nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M2, 8.52% (30 day avg SOFR US + 4.65%), 06/25/2042, (0.00% Floor)<sup>(a)</sup> | 550000 | 577937  |
| &nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M2, 7.47% (30 day avg SOFR US + 3.60%), 07/25/2042, (0.00% Floor)<sup>(a)</sup> | 500000 | 516847  |
| &nbsp;&nbsp;&nbsp; Series 2023-R01, Class 1M2, 7.62% (30 day avg SOFR US + 3.75%), 12/25/2042, (0.00% Floor)<sup>(a)</sup> | 250000 | 261114  |
| &nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.22% (30 day avg SOFR US + 3.35%), 01/25/2043, (0.00% Floor)<sup>(a)</sup> | 970000 | 1005359  |
| &nbsp;&nbsp;&nbsp; Series 2023-R04, Class 1M2, 7.42% (30 day avg SOFR US + 3.55%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | 1500000 | 1572178  |
| &nbsp;&nbsp;&nbsp; Series 2023-R05, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 06/25/2043, (0.00% Floor)<sup>(a)</sup> | 750000 | 777782  |
| &nbsp;&nbsp;&nbsp; Series 2023-R06, Class 1M2, 6.57% (30 day avg SOFR US + 2.70%), 07/25/2043, (0.00% Floor)<sup>(a)</sup> | 600000 | 616620  |
| Freddie Mac Structured Agency Credit Risk Debt Notes<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1B, 8.37% (30 day avg SOFR US + 4.50%), 06/25/2042, (0.00% Floor)<sup>(a)</sup> | 365000 | 383945  |
| &nbsp;&nbsp;&nbsp; Series 2023-DNA2, Class M1B, 7.12% (30 day avg SOFR US + 3.25%), 04/25/2043, (0.00% Floor)<sup>(a)</sup> | 1500000 | 1560588  |

---

The accompanying notes are an integral part of these consolidated financial statements.

8<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **MORTGAGE-BACKED SECURITIES - (Continued)**  | **MORTGAGE-BACKED SECURITIES - (Continued)**  | **MORTGAGE-BACKED SECURITIES - (Continued)**  |
| &nbsp;&nbsp;&nbsp; Series 2023-HQA1, Class M1B, 7.37% (30 day avg SOFR US + 3.50%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | $1505000 | $1576351  |
| &nbsp;&nbsp;&nbsp; Series 2023-HQA3, Class M2, 7.22% (30 day avg SOFR US + 3.35%), 11/25/2043, (0.00% Floor)<sup>(a)</sup> | 1500000 | 1569348  |
| ILPT Trust, Series 2025-LPF2, Class A, 5.29%, 07/13/2042<sup>(a)(b)</sup> | 1250000 | 1275161  |
|  KREST Commercial Mortgage Securities Trust, Series 2025-AIP4, Class A, 5.05% (1 mo. Term SOFR + 1.30%), 03/15/2042, (1.30% Floor)<sup>(a)</sup> | 1000000 | 998751  |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, 5.29% (1 mo. Term SOFR + 1.54%), 12/15/2039, (1.54% Floor)<sup>(a)</sup> | 242727 | 242651  |
| MIRA Trust 2023-MILE, Series 2023-MILE, Class A, 6.75%, 06/10/2038<sup>(a)</sup> | 750000 | 779112  |
|  MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, 5.16% (1 mo. Term SOFR + 1.40%), 03/15/2039, (1.40% Floor)<sup>(a)</sup> | 825000 | 824486  |
|  Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class A, 3.89%, 08/15/2038<sup>(a)</sup> | 350000 | 341071  |
|  NRTH PARK Mortgage Trust, Series 2025-PARK, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 10/15/2040, (1.39% Floor)<sup>(a)</sup> | 1300000 | 1301220  |
|  NYC Commercial Mortgage Trust, Series 2024-3ELV, Class A, 5.74% (1 mo. Term SOFR + 1.99%), 08/15/2029, (1.99% Floor)<sup>(a)</sup> | 800000 | 800998  |
|  ONNI Commercial Mortgage Trust, Series 2024-APT, Class A, 5.57%, 07/15/2039<sup>(a)(b)</sup> | 750000 | 764226  |
|  SCG Mortgage Trust, Series 2025-SNIP, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 09/15/2042, (1.50% Floor)<sup>(a)</sup> | 750000 | 751171  |
| Stellar Management, Series 2025-IP, Class A, 5.25%, 06/10/2042<sup>(a)(b)</sup> | 750000 | 763757  |
|  Wells Fargo Commercial Mortgage Trust 2024-1CHI, Series 2025-NYCH, Class A, 5.49% (1 mo. Term SOFR + 1.74%), 06/15/2042, (1.74% Floor)<sup>(a)</sup> | 1000000 | 999999  |
| &nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES** <br>**(Cost $28,327,555)** |  | 28243388  |
| **ASSET-BACKED SECURITIES - 8.6%**<br>|  |  |
| Bank of America Auto Trust, Series 2024-1A, Class A3, 5.35%, 11/15/2028<sup>(a)</sup> | 209976 | 211775  |
| BMW Vehicle Lease Trust, Series 2024-2, Class A3, 4.18%, 10/25/2027 | 250000 | 250880  |
| Capital One Financial Corp., Series 2024-A1, Class A, 3.92%, 09/15/2029 | 600000 | 602449  |
| CarMax Auto Owner Trust, Series 2024-4, Class A3, 4.60%, 10/15/2029 | 400000 | 404210  |
| Carvana Auto Receivables Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-P1, Class A4, 5.94%, 01/10/2029<sup>(a)</sup> | 500000 | 507236  |
| &nbsp;&nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 01/10/2030 | 500000 | 503065  |
| CNH Equipment Trust, Series 2024-C, Class A3, 4.03%, 01/15/2030 | 250000 | 250968  |
| Enterprise Fleet Financing, Series 2025-1, Class A3, 4.82%, 02/20/2029<sup>(a)</sup> | 1000000 | 1016713  |
| Financial Holding Corp., Series 2025-B, Class A, 4.85%, 02/15/2030<sup>(a)</sup> | 1250000 | 1273051  |
| Ford Credit Auto Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.07%, 07/15/2029 | 250000 | 250864  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A3, 4.61%, 08/15/2029 | 75000 | 75902  |
| GM Financial Leasing Trust, Series 2024-3, Class A3, 4.21%, 10/20/2027 | 250000 | 250448  |
| Honda Auto Receivables Owner Trust, Series 2024-4, Class A3, 4.33%, 05/15/2029 | 500000 | 502778  |
| Hyundai Auto Receivables Trust, Series 2025-A, Class A2A, 4.33%, 12/15/2027 | 1146167 | 1147395  |
| LAD Auto Receivables Trust, Series 2024-3A, Class A3, 4.52%, 03/15/2029<sup>(a)</sup> | 350000 | 351213  |
|  M&T Bank Auto Receivables Trust, Series 2025-1A, Class A3, 4.73%, 06/17/2030<sup>(a)</sup> | 1250000 | 1266035  |

---

The accompanying notes are an integral part of these consolidated financial statements.

9<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **ASSET-BACKED SECURITIES - (Continued)** | **ASSET-BACKED SECURITIES - (Continued)** | **ASSET-BACKED SECURITIES - (Continued)** |
|  Mercedes-Benz Auto Receivables Trust, Series 2025-1, Class A3, 4.78%, 12/17/2029 | $1000000 | $1015748  |
| MVW Owner Trust, Series 2025-1A, Class A, 4.97%, 09/22/2042<sup>(a)</sup> | 711300 | 721412  |
| &nbsp;&nbsp;&nbsp; OneMain Financial Issuance Trust, Series 2025-1A, Class A, 4.82%, <br>07/14/2038<sup>(a)</sup> | 750000 | 759794  |
|  PenFed Auto Receivables Owner Trust, Series 2025-A, Class A3, 4.03%, 07/15/2030<sup>(a)</sup> | 900000 | 901912  |
|  Porsche Financial Auto Securitization Trust, Series 2024-1A, Class A3, 4.44%, 01/22/2030<sup>(a)</sup> | 500000 | 502049  |
|  Porsche Innovative Lease Owner Trust, Series 2024-2A, Class A3, 4.35%, 10/20/2027<sup>(a)</sup> | 250000 | 250529  |
| Tesla Auto Lease Trust, Series 2024-B, Class A3, 4.82%, 10/20/2027<sup>(a)</sup> | 1100000 | 1105348  |
| T-Mobile US Trust, Series 2024-2A, Class A, 4.25%, 05/21/2029<sup>(a)</sup> | 250000 | 251221  |
| Toyota Auto Receivables Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A3, 4.40%, 06/15/2029 | 350000 | 352439  |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.64%, 08/15/2029 | 1000000 | 1011879  |
| Toyota Lease Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.25%, 04/20/2027<sup>(a)</sup> | 87808 | 88112  |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A3, 3.96%, 11/20/2028<sup>(a)</sup> | 1350000 | 1353553  |
| Verizon Master Trust, Series 2025-3, Class A1A, 4.51%, 03/20/2030 | 1590000 | 1608756  |
| &nbsp;&nbsp;&nbsp; World Omni Auto Receivables Trust, Series 2024-A, Class A3, 4.86%, <br>03/15/2029 | 211380 | 212525  |
| World Omni Auto Trust, Series 2025-A, Class A3, 4.73%, 03/15/2030 | 1000000 | 1012282  |
|  World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A2A, 4.35%, 12/15/2027 | 722529 | 724505  |
| &nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES** <br>**(Cost $20,556,295)** |  | 20737046 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares**  |  |
| **COMMODITY POOLS - 8.5%**<br>|  |  |
| Galaxy Commodity-Polaris II Fund LLC<sup>(c)(d)</sup><br>|  |  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – Core Commodity I Feeder Fund (558) LLC | N/A | 5358470  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC | N/A | 7010067  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – Millburn Resource Oppty Feeder Fund (558) LLC | N/A | 8284179  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMODITY POOLS** <br>**(Cost $20,188,602)** |  | 20652716 |

---

---

| | | |
|:---|:---|:---|
|  | **Par** |  |
| **U.S. GOVERNMENT AGENCY ISSUES - 6.1%**<br>|  |  |
| Federal Farm Credit Banks Funding Corp<br>|  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 09/03/2026 | $400000 | 400768  |
| &nbsp;&nbsp;&nbsp; 1.00%, 10/07/2026 | 1000000 | 981078  |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/23/2027 | 425000 | 424787  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/14/2028 | 2000000 | 2024161  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/28/2028 | 2388000 | 2422413  |
| &nbsp;&nbsp;&nbsp; 3.80%, 04/26/2028 | 2000000 | 2009195 |

---

The accompanying notes are an integral part of these consolidated financial statements.

10<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par**  | **Value**  |
| **U.S. GOVERNMENT AGENCY ISSUES - (Continued)**  | **U.S. GOVERNMENT AGENCY ISSUES - (Continued)**  | **U.S. GOVERNMENT AGENCY ISSUES - (Continued)**  |
| Federal Home Loan Banks<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38%, 06/12/2026 | $500000 | $501469  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/04/2026 | 250000 | 250031  |
| &nbsp;&nbsp;&nbsp; 4.63%, 09/11/2026 | 250000 | 251725  |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/09/2026 | 700000 | 702194  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/10/2027 | 3000000 | 3017431  |
| &nbsp;&nbsp;&nbsp; 4.13%, 09/10/2027 | 425000 | 429397  |
| &nbsp;&nbsp;&nbsp; 4.25%, 12/10/2027 | 1100000 | 1116022  |
| Federal National Mortgage Association, 1.88%, 09/24/2026 | 250000 | 246935  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT AGENCY ISSUES** <br>**(Cost $14,657,461)** |  | 14777606  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 87.5%**<br>**(Cost $210,330,580)** |  | $212423690  |
| Money Market Deposit Account - 6.6%<sup>(e)(f)</sup> |  | 16146722  |
| Other Assets in Excess of Liabilities - 5.9%<sup>(g)</sup> |  | 14282749  |
| **TOTAL NET ASSETS - 100.0%** |  | $242853161 |

---

Par amount is in USD unless otherwise indicated.

Percentages are stated as a percent of net assets.

CMT - Constant Maturity Treasury

LLC - Limited Liability Company

LP - Limited Partnership

PLC - Public Limited Company

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

<sup>(a)</sup> Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of December 31, 2025, the value of these securities total $47,121,003 or 19.4% of the Fund's net assets.

<sup>(b)</sup> Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2025.

<sup>(c)</sup> Non-income producing security.

<sup>(d)</sup> Investment values using net asset value per share as practical expedient and is made through an investment in Galaxy Commodity – Polaris II Fund, LLC ("Galaxy"). See Note 2. Galaxy's Investment objective is to generate diversified investment returns that are uncorrelated with the equity and debt markets by committing its assets to the investment discretion of a select group of experienced sub-managers that pursue various alternative investment strategies. Specifically, Galaxy accesses the sub-managers through an affiliated platform called Galaxy Plus Fund, LLC (the "Platform"), which is a series fund for which each series invests in a separate master fund that is managed by a different sub-manager. The Platform identifies sub-managers that, in its judgement, are capable of generating attractive investment returns whose correlation to the U.S. equity and fixed income markets is minimal. In implementing their strategies, the sub-managers selected by the Platform will have the discretion to invest and trade independent of other sub-managers in the Platform. In a broad variety of securities and other financial instruments (including derivatives). Galaxy has no unfunded commitments or redemption lock-up period, as the investment offers daily redemptions. However, the managers of Galaxy may temporarily suspend redemptions in a certain limited circumstances. The individual series of the Platform offer weekly redemptions.

<sup>(e)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

<sup>(f)</sup> A portion of this deposit account is pledged as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $12,643.

<sup>(g)</sup> Includes assets pledged as collateral for derivative contracts. As of the reporting date, the net value of these assets totals $17,091,131. 

The accompanying notes are an integral part of these consolidated financial statements.

11<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 09/14/2027 | $22276650 | &nbsp;&nbsp;&nbsp;&nbsp; $12452  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/02/2026 | 73690 | &nbsp;&nbsp;&nbsp;&nbsp; 5926  |
| Arabica Coffee | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 03/19/2026 | 653906 | &nbsp;&nbsp;&nbsp;&nbsp; (27332)  |
| Australian Government 3 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/16/2026 | 210207 | &nbsp;&nbsp;&nbsp;&nbsp; 6  |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 03/16/2026 | 1067680 | &nbsp;&nbsp;&nbsp;&nbsp; (4201)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 01/30/2026 | 1825500 | &nbsp;&nbsp;&nbsp;&nbsp; (12438)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 02/27/2026 | 423430 | &nbsp;&nbsp;&nbsp;&nbsp; (5319)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/31/2026 | 60320 | &nbsp;&nbsp;&nbsp;&nbsp; (1221)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/30/2026 | 60250 | &nbsp;&nbsp;&nbsp;&nbsp;(121)  |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 03/16/2026 | 1177575 | &nbsp;&nbsp;&nbsp;&nbsp; (2437)  |
| CAC40 10 Euro Index | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 01/16/2026 | 1533211 | &nbsp;&nbsp;&nbsp;&nbsp; 9324  |
| Canadian 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 03/20/2026 | 2026105 | &nbsp;&nbsp;&nbsp;&nbsp; (27303)  |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 03/17/2026 | 1316160 | &nbsp;&nbsp;&nbsp;&nbsp; 2485  |
| Copper | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/27/2026 | 142050 | &nbsp;&nbsp;&nbsp;&nbsp; 6773  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 01/20/2026 | 1492920 | &nbsp;&nbsp;&nbsp;&nbsp; 3001  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 02/20/2026 | 343320 | &nbsp;&nbsp;&nbsp;&nbsp; (2871)  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 57070 | &nbsp;&nbsp;&nbsp;&nbsp; 28  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/13/2026 | 116544 | &nbsp;&nbsp;&nbsp;&nbsp; (1306)  |
| Dollar Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/16/2026 | 98047 | &nbsp;&nbsp;&nbsp;&nbsp; 25  |
| Dow Jones Industrial Average Index | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 03/20/2026 | 3625200 | &nbsp;&nbsp;&nbsp;&nbsp; (33537)  |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 03/16/2026 | 4417500 | &nbsp;&nbsp;&nbsp;&nbsp; (2101)  |
| Euro STOXX 50 Quanto Index | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 03/20/2026 | 5903328 | &nbsp;&nbsp;&nbsp;&nbsp; 69575  |
| Euro-BTP Italian Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 03/06/2026 | 1129883 | &nbsp;&nbsp;&nbsp;&nbsp; (3296)  |
| French Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/06/2026 | 425152 | &nbsp;&nbsp;&nbsp;&nbsp;(813)  |
| FTSE 100 Index | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 03/20/2026 | 4957971 | &nbsp;&nbsp;&nbsp;&nbsp; 73946  |
| FTSE China A50 Index | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/29/2026 | 45840 | &nbsp;&nbsp;&nbsp;&nbsp;(372)  |
| FTSE/MIB Index | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/20/2026 | 794193 | &nbsp;&nbsp;&nbsp;&nbsp; 7687  |
| German Stock Index | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 03/20/2026 | 4352348 | &nbsp;&nbsp;&nbsp;&nbsp; 25358  |
| Gold | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 02/25/2026 | 3906990 | &nbsp;&nbsp;&nbsp;&nbsp; 61281  |
| Hang Seng China Enterprises Index | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 01/29/2026 | 629171 | &nbsp;&nbsp;&nbsp;&nbsp; (6402)  |
| Hang Seng Index | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 01/29/2026 | 1647757 | &nbsp;&nbsp;&nbsp;&nbsp; (17148)  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 12/15/2026 | 1628655 | &nbsp;&nbsp;&nbsp;&nbsp; 804  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 03/16/2027 | 1954588 | &nbsp;&nbsp;&nbsp;&nbsp; 1393  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 06/15/2027 | 2279645 | &nbsp;&nbsp;&nbsp;&nbsp; 1442  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 09/14/2027 | 8463309 | &nbsp;&nbsp;&nbsp;&nbsp; 7477  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 12/14/2027 | 1301441 | &nbsp;&nbsp;&nbsp;&nbsp; 805  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/14/2028 | 975626 | &nbsp;&nbsp;&nbsp;&nbsp; 688  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 06/20/2028 | 650080 | &nbsp;&nbsp;&nbsp;&nbsp; 268  |
| ICE European Climate Exchange Emissions | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 12/14/2026 | 205354 | &nbsp;&nbsp;&nbsp;&nbsp; 707  |
| Japanese 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/13/2026 | 845314 | &nbsp;&nbsp;&nbsp;&nbsp;(67)  |
| KOSPI 200 Index | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 03/12/2026 | 1371698 | &nbsp;&nbsp;&nbsp;&nbsp; 39247  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 03/16/2026 | 1272650 | &nbsp;&nbsp;&nbsp;&nbsp; 44449  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 03/16/2026 | 3732150 | &nbsp;&nbsp;&nbsp;&nbsp; 449148  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/16/2026 | 199667 | &nbsp;&nbsp;&nbsp;&nbsp; 26624  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 03/16/2026 | 935676 | &nbsp;&nbsp;&nbsp;&nbsp; 20675  |
| Long Gilt | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 03/27/2026 | 2955882 | &nbsp;&nbsp;&nbsp;&nbsp; 9047  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 02/12/2026 | 496000 | &nbsp;&nbsp;&nbsp;&nbsp; 4090  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/12/2026 | 123150 | &nbsp;&nbsp;&nbsp;&nbsp;(453) |

---

The accompanying notes are an integral part of these consolidated financial statements.

12<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/10/2026 | $60925 | &nbsp;&nbsp;&nbsp;&nbsp; $124  |
| Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 03/16/2026 | 1240200 | &nbsp;&nbsp;&nbsp;&nbsp; 548  |
| MSCI EAFE Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 145105 | &nbsp;&nbsp;&nbsp;&nbsp;(457)  |
| MSCI Emerging Markets Index | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/20/2026 | 211710 | &nbsp;&nbsp;&nbsp;&nbsp;(320)  |
| Nasdaq 100 Index | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 03/20/2026 | 5600485 | &nbsp;&nbsp;&nbsp;&nbsp; (11730)  |
| Nifty 50 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/27/2026 | 52551 | &nbsp;&nbsp;&nbsp;&nbsp;(49)  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/12/2026 | 2252298 | &nbsp;&nbsp;&nbsp;&nbsp; (13142)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 01/30/2026 | 445515 | &nbsp;&nbsp;&nbsp;&nbsp; (4949)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/27/2026 | 88343 | &nbsp;&nbsp;&nbsp;&nbsp;(481)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/30/2026 | 72030 | &nbsp;&nbsp;&nbsp;&nbsp;(909)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/27/2026 | 146286 | &nbsp;&nbsp;&nbsp;&nbsp; (2645)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/31/2026 | 82387 | &nbsp;&nbsp;&nbsp;&nbsp;(993)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/30/2026 | 82643 | &nbsp;&nbsp;&nbsp;&nbsp;(733)  |
| Russell 2000 Index | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 03/20/2026 | 3247400 | &nbsp;&nbsp;&nbsp;&nbsp; (65848)  |
| S&P 500 Index | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 03/20/2026 | 7926375 | &nbsp;&nbsp;&nbsp;&nbsp; (18845)  |
| S&P/Toronto Stock Exchange 60 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/19/2026 | 271305 | &nbsp;&nbsp;&nbsp;&nbsp;(628)  |
| SET50 Index | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 03/30/2026 | 42127 | &nbsp;&nbsp;&nbsp;&nbsp;(327)  |
| SGX FTSE Taiwan Index | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/29/2026 | 284520 | &nbsp;&nbsp;&nbsp;&nbsp; 2024  |
| Silver | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/27/2026 | 706030 | &nbsp;&nbsp;&nbsp;&nbsp; 96501  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 03/13/2026 | 314250 | &nbsp;&nbsp;&nbsp;&nbsp; (24553)  |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 03/16/2026 | 1906125 | &nbsp;&nbsp;&nbsp;&nbsp; (11186)  |
| TOPIX Index | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 03/12/2026 | 4576322 | &nbsp;&nbsp;&nbsp;&nbsp; 25566  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 03/20/2026 | 6408937 | &nbsp;&nbsp;&nbsp;&nbsp; (49295)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 03/31/2026 | 9604297 | &nbsp;&nbsp;&nbsp;&nbsp; (5140)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 03/31/2026 | 9072289 | &nbsp;&nbsp;&nbsp;&nbsp; (32790)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 03/20/2026 | 1849500 | &nbsp;&nbsp;&nbsp;&nbsp; (8708)  |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $607028 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description**  | **Contracts** <br>**Sold**  | **Expiration Date**  | **Notional Value**  | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 10 Year Japanese Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 03/12/2026 | $759863 | &nbsp;&nbsp;&nbsp; $6231  |
| 10 Year U.S. Ultra Treasury Notes | &nbsp;&nbsp;&nbsp;&nbsp;(14) | &nbsp;&nbsp; 03/20/2026 | 1610219 | &nbsp;&nbsp;&nbsp; 1378  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp; 09/14/2026 | 2877474 | &nbsp;&nbsp;&nbsp; 1245  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 12/14/2026 | 2588537 | &nbsp;&nbsp;&nbsp;&nbsp;(92)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 03/15/2027 | 2586818 | &nbsp;&nbsp;&nbsp;&nbsp;(224)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(109) | &nbsp;&nbsp; 06/14/2027 | 31306821 | &nbsp;&nbsp;&nbsp; (4966)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 09/13/2027 | 1722077 | &nbsp;&nbsp;&nbsp;&nbsp;(208)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 12/13/2027 | 1434110 | &nbsp;&nbsp;&nbsp;&nbsp;(457)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/13/2028 | 1146524 | &nbsp;&nbsp;&nbsp;&nbsp;(692)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 12/15/2026 | 484225 | &nbsp;&nbsp;&nbsp;&nbsp;(366)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 03/16/2027 | 726675 | &nbsp;&nbsp;&nbsp;&nbsp;(393)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 06/15/2027 | 726637 | &nbsp;&nbsp;&nbsp;&nbsp;(430)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 09/14/2027 | 242137 | &nbsp;&nbsp;&nbsp;&nbsp;(152)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 12/14/2027 | 242012 | &nbsp;&nbsp;&nbsp;&nbsp;(127)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/14/2028 | 483725 | &nbsp;&nbsp;&nbsp;&nbsp;(203)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 06/20/2028 | 241700 | &nbsp;&nbsp;&nbsp;&nbsp;(77)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(19) | &nbsp;&nbsp; 09/19/2028 | 4589450 | &nbsp;&nbsp;&nbsp;&nbsp;(143) |

---

The accompanying notes are an integral part of these consolidated financial statements.

13<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description**  | **Contracts** <br>**Sold**  | **Expiration Date**  | **Notional Value**  | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/02/2026 | $73690 | &nbsp;&nbsp;&nbsp;&nbsp; $(6246)  |
| ASX SPI 200 Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/19/2026 | 144749 | &nbsp;&nbsp;&nbsp;&nbsp; 1017  |
| Australian Government 10 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(69) | &nbsp;&nbsp; 03/16/2026 | 5041443 | &nbsp;&nbsp;&nbsp;&nbsp; 12085  |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/16/2026 | 133460 | &nbsp;&nbsp;&nbsp;&nbsp; 181  |
| BOVESPA Index | &nbsp;&nbsp;&nbsp;&nbsp;(48) | &nbsp;&nbsp; 02/18/2026 | 287190 | &nbsp;&nbsp;&nbsp;&nbsp; (3059)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(15) | &nbsp;&nbsp; 01/30/2026 | 912750 | &nbsp;&nbsp;&nbsp;&nbsp; (6849)  |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/17/2026 | 292480 | &nbsp;&nbsp;&nbsp;&nbsp; (2428)  |
| Corn No. 2 Yellow | &nbsp;&nbsp;&nbsp;&nbsp;(40) | &nbsp;&nbsp; 03/13/2026 | 880500 | &nbsp;&nbsp;&nbsp;&nbsp; 14961  |
| Cotton No. 2 | &nbsp;&nbsp;&nbsp;&nbsp;(13) | &nbsp;&nbsp; 03/09/2026 | 417755 | &nbsp;&nbsp;&nbsp;&nbsp; 10021  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(16) | &nbsp;&nbsp; 01/20/2026 | 918720 | &nbsp;&nbsp;&nbsp;&nbsp; (14700)  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp;(7) | &nbsp;&nbsp; 03/13/2026 | 203952 | &nbsp;&nbsp;&nbsp;&nbsp; 1759  |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/16/2026 | 147250 | &nbsp;&nbsp;&nbsp;&nbsp; 617  |
| Euro BUXL 30 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 03/06/2026 | 1164716 | &nbsp;&nbsp;&nbsp;&nbsp; (2509)  |
| Euro-BOBL | &nbsp;&nbsp;&nbsp;&nbsp;(165) | &nbsp;&nbsp; 03/06/2026 | 22524327 | &nbsp;&nbsp;&nbsp;&nbsp; 4288  |
| Euro-BTP Italian Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/06/2026 | 141235 | &nbsp;&nbsp;&nbsp;&nbsp; 7  |
| Euro-Bund | &nbsp;&nbsp;&nbsp;&nbsp;(126) | &nbsp;&nbsp; 03/06/2026 | 18889931 | &nbsp;&nbsp;&nbsp;&nbsp; 16966  |
| Euro-Schatz | &nbsp;&nbsp;&nbsp;&nbsp;(343) | &nbsp;&nbsp; 03/06/2026 | 43046315 | &nbsp;&nbsp;&nbsp;&nbsp; 17984  |
| French Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 03/06/2026 | 850303 | &nbsp;&nbsp;&nbsp;&nbsp;(97)  |
| Hard Red Winter Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(23) | &nbsp;&nbsp; 03/13/2026 | 591963 | &nbsp;&nbsp;&nbsp;&nbsp; 14966  |
| Japanese 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 03/13/2026 | 6762513 | &nbsp;&nbsp;&nbsp;&nbsp; 42959  |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;(25) | &nbsp;&nbsp; 03/16/2026 | 2005781 | &nbsp;&nbsp;&nbsp;&nbsp; 5230  |
| Lean Hogs | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 02/13/2026 | 68080 | &nbsp;&nbsp;&nbsp;&nbsp; (1215)  |
| London Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/16/2026 | 117999 | &nbsp;&nbsp;&nbsp;&nbsp; (5340)  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/16/2026 | 299447 | &nbsp;&nbsp;&nbsp;&nbsp; (10942)  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 03/16/2026 | 1555062 | &nbsp;&nbsp;&nbsp;&nbsp; (70849)  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/16/2026 | 199667 | &nbsp;&nbsp;&nbsp;&nbsp; (19524)  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 03/16/2026 | 389865 | &nbsp;&nbsp;&nbsp;&nbsp; (11616)  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(15) | &nbsp;&nbsp; 01/28/2026 | 552900 | &nbsp;&nbsp;&nbsp;&nbsp; 14388  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/25/2026 | 31300 | &nbsp;&nbsp;&nbsp;&nbsp; 3848  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/27/2026 | 31530 | &nbsp;&nbsp;&nbsp;&nbsp; 3628  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/30/2026 | 72030 | &nbsp;&nbsp;&nbsp;&nbsp; 725  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 03/13/2026 | 269460 | &nbsp;&nbsp;&nbsp;&nbsp; 3707  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 03/13/2026 | 314250 | &nbsp;&nbsp;&nbsp;&nbsp; 9435  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp;(36) | &nbsp;&nbsp; 02/27/2026 | 605203 | &nbsp;&nbsp;&nbsp;&nbsp; 30907  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp;(45) | &nbsp;&nbsp; 03/20/2026 | 5059687 | &nbsp;&nbsp;&nbsp;&nbsp; (1550)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp; 03/31/2026 | 2087891 | &nbsp;&nbsp;&nbsp;&nbsp; (2081)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp;(61) | &nbsp;&nbsp; 03/31/2026 | 6667586 | &nbsp;&nbsp;&nbsp;&nbsp; (12381)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(16) | &nbsp;&nbsp; 03/20/2026 | 1849500 | &nbsp;&nbsp;&nbsp;&nbsp; (8353)  |
| U.S. Treasury Ultra Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(12) | &nbsp;&nbsp; 03/20/2026 | 1416000 | &nbsp;&nbsp;&nbsp;&nbsp; 80  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(31) | &nbsp;&nbsp; 03/13/2026 | 785850 | &nbsp;&nbsp;&nbsp;&nbsp; 46034  |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $76378  |
| **Net Unrealized Appreciation (Depreciation)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $683406 |

---

The Fund has recorded a liability of $372,371 as of December 31, 2025 related to the current day's variation margin related to these contracts.

<sup>(a)</sup> London Metal Exchange ("LME") futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund's consolidated Statement of Assets and Liabilities. 

The accompanying notes are an integral part of these consolidated financial statements.

14<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Bank of America | 01/02/2026 | AUD | 294000 | USD | 196919 | $(714)  |
| Bank of America | 01/05/2026 | AUD | 453000 | USD | 302454 | (132)  |
| Bank of America | 03/18/2026 | AUD | 5146000 | USD | 3420733 | 13645  |
| Bank of America | 01/02/2026 | CAD | 112000 | USD | 81760 | (153)  |
| Bank of America | 01/21/2026 | CAD | 9110000 | USD | 6625114 | 18683  |
| Bank of America | 03/18/2026 | CAD | 5368000 | USD | 3915201 | 8757  |
| Bank of America | 01/06/2026 | CHF | 64000 | USD | 80704 | 146  |
| Bank of America | 03/18/2026 | CHF | 973000 | USD | 1233042 | 5475  |
| Bank of America | 01/05/2026 | CNH | 1100000 | USD | 157379 | 360  |
| Bank of America | 01/06/2026 | CNH | 2150000 | USD | 307715 | 612  |
| Bank of America | 01/21/2026 | CNH | 37500000 | USD | 5329621 | 53329  |
| Bank of America | 01/02/2026 | EUR | 188000 | USD | 220875 | 83  |
| Bank of America | 01/05/2026 | EUR | 311000 | USD | 365212 | 360  |
| Bank of America | 01/21/2026 | EUR | 6370000 | USD | 7468901 | 24779  |
| Bank of America | 03/18/2026 | EUR | 5813000 | USD | 6839975 | 16246  |
| Bank of America | 01/02/2026 | GBP | 232000 | USD | 312427 | 296  |
| Bank of America | 01/05/2026 | GBP | 239000 | USD | 321596 | 563  |
| Bank of America | 01/21/2026 | GBP | 4980000 | USD | 6631458 | 81170  |
| Bank of America | 02/18/2026 | GBP | 1990000 | USD | 2679411 | 2749  |
| Bank of America | 03/18/2026 | GBP | 3984000 | USD | 5322788 | 46348  |
| Bank of America | 01/05/2026 | JPY | 207274000 | USD | 1327906 | (4041)  |
| Bank of America | 01/06/2026 | JPY | 198972000 | USD | 1270859 | 99  |
| Bank of America | 01/21/2026 | JPY | 724000000 | USD | 4672875 | (41862)  |
| Bank of America | 03/18/2026 | JPY | 149663000 | USD | 965901 | (4055)  |
| Bank of America | 01/21/2026 | MXN | 77430000 | USD | 4237700 | 53285  |
| Bank of America | 03/18/2026 | MXN | 44621000 | USD | 2430141 | 28966  |
| Bank of America | 01/05/2026 | NZD | 34000 | USD | 19701 | (122)  |
| Bank of America | 01/06/2026 | NZD | 99000 | USD | 56962 | 51  |
| Bank of America | 03/18/2026 | NZD | 1022000 | USD | 595096 | (4960)  |
| Bank of America | 01/02/2026 | USD | 197134 | AUD | 294000 | 929  |
| Bank of America | 01/05/2026 | USD | 302408 | AUD | 453000 | 86  |
| Bank of America | 03/18/2026 | USD | 1631475 | AUD | 2442000 | 1714  |
| Bank of America | 01/02/2026 | USD | 81686 | CAD | 112000 | 78  |
| Bank of America | 01/21/2026 | USD | 8073073 | CAD | 11210000 | (102225)  |
| Bank of America | 03/18/2026 | USD | 5983432 | CAD | 8247000 | (45048)  |
| Bank of America | 01/06/2026 | USD | 80749 | CHF | 64000 | (102)  |
| Bank of America | 03/18/2026 | USD | 470947 | CHF | 371000 | (1293)  |
| Bank of America | 01/05/2026 | USD | 157363 | CNH | 1100000 | (376)  |
| Bank of America | 01/06/2026 | USD | 307903 | CNH | 2150000 | (425)  |
| Bank of America | 01/21/2026 | USD | 1618736 | CNH | 11400000 | (17680)  |
| Bank of America | 01/02/2026 | USD | 221166 | EUR | 188000 | 208  |
| Bank of America | 01/05/2026 | USD | 364884 | EUR | 311000 | (689)  |
| Bank of America | 01/21/2026 | USD | 5833595 | EUR | 4990000 | (36651)  |
| Bank of America | 03/18/2026 | USD | 3272776 | EUR | 2772000 | 3304  |
| Bank of America | 01/02/2026 | USD | 313278 | GBP | 232000 | 555  |
| Bank of America | 01/05/2026 | USD | 321346 | GBP | 239000 | (812)  |
| Bank of America | 01/21/2026 | USD | 6678047 | GBP | 4980000 | (34581)  |
| Bank of America | 03/18/2026 | USD | 2315023 | GBP | 1718000 | (282) |

---

The accompanying notes are an integral part of these consolidated financial statements.

15<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Bank of America | 01/05/2026 | USD | 1326661 | JPY | 207274000 | $2796  |
| Bank of America | 01/06/2026 | USD | 1272186 | JPY | 198972000 | 1228  |
| Bank of America | 01/21/2026 | USD | 4659385 | JPY | 724000000 | 28372  |
| Bank of America | 02/18/2026 | USD | 756505 | JPY | 118000000 | (51)  |
| Bank of America | 03/18/2026 | USD | 9041954 | JPY | 1402420000 | 28950  |
| Bank of America | 01/21/2026 | USD | 1358577 | MXN | 24490000 | 1400  |
| Bank of America | 01/05/2026 | USD | 19761 | NZD | 34000 | 182  |
| Bank of America | 01/06/2026 | USD | 57114 | NZD | 99000 | 100  |
| Bank of America | 03/18/2026 | USD | 1646386 | NZD | 2838000 | 7632  |
| Deutsche Bank | 02/18/2026 | USD | 1270000 | NZD | 732332 | (282)  |
| Deutsche Bank | 01/21/2026 | AUD | 5150000 | USD | 3414858 | 22436  |
| Deutsche Bank | 01/21/2026 | BRL | 24850000 | USD | 4572499 | (63115)  |
| Deutsche Bank | 01/05/2026 | CHF | 250000 | USD | 316847 | (1058)  |
| Deutsche Bank | 01/06/2026 | CHF | 630000 | USD | 794021 | 1852  |
| Deutsche Bank | 01/21/2026 | CHF | 3170000 | USD | 3992160 | 19208  |
| Deutsche Bank | 01/21/2026 | CLP | 316000000 | USD | 343251 | 7906  |
| Deutsche Bank | 01/21/2026 | ILS | 740000 | USD | 230276 | 2077  |
| Deutsche Bank | 01/21/2026 | INR | 34010000 | USD | 376699 | 1029  |
| Deutsche Bank | 01/21/2026 | KRW | 808000000 | USD | 550769 | 10541  |
| Deutsche Bank | 01/21/2026 | NOK | 33240000 | USD | 3298583 | (627)  |
| Deutsche Bank | 01/05/2026 | NZD | 660000 | USD | 383469 | (3396)  |
| Deutsche Bank | 01/06/2026 | NZD | 1060000 | USD | 609720 | 724  |
| Deutsche Bank | 01/21/2026 | NZD | 4180000 | USD | 2421392 | (12534)  |
| Deutsche Bank | 01/21/2026 | PLN | 3550000 | USD | 979664 | 9051  |
| Deutsche Bank | 01/05/2026 | SEK | 2440000 | USD | 265495 | (396)  |
| Deutsche Bank | 01/21/2026 | SEK | 31420000 | USD | 3367872 | 48830  |
| Deutsche Bank | 01/21/2026 | SGD | 2820000 | USD | 2183656 | 13408  |
| Deutsche Bank | 01/21/2026 | USD | 3950965 | AUD | 5960000 | (26952)  |
| Deutsche Bank | 01/21/2026 | USD | 2324385 | BRL | 12890000 | (14688)  |
| Deutsche Bank | 01/05/2026 | USD | 315994 | CHF | 250000 | 206  |
| Deutsche Bank | 01/06/2026 | USD | 794248 | CHF | 630000 | (1625)  |
| Deutsche Bank | 01/21/2026 | USD | 2007461 | CHF | 1590000 | (4550)  |
| Deutsche Bank | 01/21/2026 | USD | 209880 | CLP | 192000000 | (3481)  |
| Deutsche Bank | 01/21/2026 | USD | 409417 | INR | 36790000 | 813  |
| Deutsche Bank | 01/21/2026 | USD | 470140 | KRW | 684000000 | (5028)  |
| Deutsche Bank | 01/21/2026 | USD | 338531 | NOK | 3430000 | (1782)  |
| Deutsche Bank | 01/05/2026 | USD | 383011 | NZD | 660000 | 2938  |
| Deutsche Bank | 01/06/2026 | USD | 611593 | NZD | 1060000 | 1148  |
| Deutsche Bank | 01/21/2026 | USD | 2421697 | NZD | 4180000 | 12839  |
| Deutsche Bank | 01/21/2026 | USD | 367314 | PLN | 1320000 | (321)  |
| Deutsche Bank | 01/05/2026 | USD | 265376 | SEK | 2440000 | 277  |
| Deutsche Bank | 01/21/2026 | USD | 1463144 | SEK | 13480000 | (2711)  |
| Deutsche Bank | 01/21/2026 | USD | 668279 | SGD | 860000 | (1748)  |
| Deutsche Bank | 01/21/2026 | USD | 608753 | ZAR | 10230000 | (8077)  |
| Deutsche Bank | 01/21/2026 | ZAR | 28130000 | USD | 1646525 | 49606  |
|  **Net Unrealized Appreciation (Depreciation)** |  |  |  |  |  | $189800 |

---

The accompanying notes are an integral part of these consolidated financial statements.

16<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

AUD - Australian Dollars

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNH - Chinese Offshore Renminbi

EUR - Euro

GBP - British Pound

ILS - Israeli New Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Polish Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these consolidated financial statements.

17<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF SWAP CONTRACTS** 

**December 31, 2025** 

**LONG TOTAL RETURN SWAP CONTRACTS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Termination** <br>**Date** | **Reference** <br>**Index** | **Financing** <br>**Rate** | **Payment** <br>**Frequency** | **Notional** <br>**Amount** | **Value** | **Advance** <br>**Receipt on** <br>**Swap Contracts** <br>**(Received)/Paid** | **Unrealized** <br>(Depreciation) | **Counterparty**  |
| 07-20-2029 | LoCorr HC Basket\* | &nbsp;&nbsp;&nbsp; 0.50% | Quarterly | $52228071 | $(4596775) | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp; $(4596775) | Deutsche Bank AG |

---

**The underlying components of the basket as of December 31, 2025 are shown below:<sup>#</sup>** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Expiration** <br>**Date** | **Number of** <br>**Contracts** <br>**Purchased** <br>(Sold) | **Notional** <br>**Amount** | **Concentration** <br>**% of Exposure**  |
| **Futures Contracts:**<br>|  |  |  |  |
| **Purchase Contracts:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Jan-26 | &nbsp;&nbsp;&nbsp;&nbsp; 527 | $30509888 | &nbsp;&nbsp;&nbsp;&nbsp; 13.76%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Jan-26 | &nbsp;&nbsp;&nbsp;&nbsp; 362 | 22197955 | &nbsp;&nbsp;&nbsp;&nbsp; 10.01%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jan-26 | &nbsp;&nbsp;&nbsp;&nbsp; 215 | 8064616 | &nbsp;&nbsp;&nbsp;&nbsp; 3.64%  |
| &nbsp;&nbsp;&nbsp; Copper (COMEX) | May-26 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | 6664809 | &nbsp;&nbsp;&nbsp;&nbsp; 3.00%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jan-27 | &nbsp;&nbsp;&nbsp;&nbsp; 120 | 5148263 | &nbsp;&nbsp;&nbsp;&nbsp; 2.32%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Apr-26 | &nbsp;&nbsp;&nbsp;&nbsp; 121 | 3907853 | &nbsp;&nbsp;&nbsp;&nbsp; 1.76%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Feb-27 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | 3785647 | &nbsp;&nbsp;&nbsp;&nbsp; 1.71%  |
| &nbsp;&nbsp;&nbsp; Soybean | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | 3667763 | &nbsp;&nbsp;&nbsp;&nbsp; 1.65%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | 3096505 | &nbsp;&nbsp;&nbsp;&nbsp; 1.40%  |
| &nbsp;&nbsp;&nbsp; Wheat | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 112 | 2845600 | &nbsp;&nbsp;&nbsp;&nbsp; 1.28%  |
| &nbsp;&nbsp;&nbsp; Sugar No. 11 | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | 1671770 | &nbsp;&nbsp;&nbsp;&nbsp; 0.75%  |
| &nbsp;&nbsp;&nbsp; Heating Oil | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | 1662648 | &nbsp;&nbsp;&nbsp;&nbsp; 0.75%  |
| &nbsp;&nbsp;&nbsp; Live Cattle | Apr-26 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | 1624589 | &nbsp;&nbsp;&nbsp;&nbsp; 0.73%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 201 | 1593098 | &nbsp;&nbsp;&nbsp;&nbsp; 0.72%  |
| &nbsp;&nbsp;&nbsp; Gasoline RBOB | Jan-26 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | 1420566 | &nbsp;&nbsp;&nbsp;&nbsp; 0.64%  |
| &nbsp;&nbsp;&nbsp; Gold | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | 1281063 | &nbsp;&nbsp;&nbsp;&nbsp; 0.58%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (ICE) | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | 1235897 | &nbsp;&nbsp;&nbsp;&nbsp; 0.56%  |
| &nbsp;&nbsp;&nbsp; Aluminum | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | 994935 | &nbsp;&nbsp;&nbsp;&nbsp; 0.45%  |
| &nbsp;&nbsp;&nbsp; Copper (LME) | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | 975935 | &nbsp;&nbsp;&nbsp;&nbsp; 0.44%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Sep-27 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | 968957 | &nbsp;&nbsp;&nbsp;&nbsp; 0.44%  |
| &nbsp;&nbsp;&nbsp; Zinc | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | 963856 | &nbsp;&nbsp;&nbsp;&nbsp; 0.43%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Jul-27 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | 959277 | &nbsp;&nbsp;&nbsp;&nbsp; 0.43%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Jun-27 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | 947431 | &nbsp;&nbsp;&nbsp;&nbsp; 0.43%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Aug-27 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | 922643 | &nbsp;&nbsp;&nbsp;&nbsp; 0.42%  |
| &nbsp;&nbsp;&nbsp; Corn | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | 897201 | &nbsp;&nbsp;&nbsp;&nbsp; 0.40%  |
| &nbsp;&nbsp;&nbsp; Cotton No. 2 | May-26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | 878558 | &nbsp;&nbsp;&nbsp;&nbsp; 0.40%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | May-27 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | 876301 | &nbsp;&nbsp;&nbsp;&nbsp; 0.40%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Apr-27 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | 871132 | &nbsp;&nbsp;&nbsp;&nbsp; 0.39%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Mar-27 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | 841915 | &nbsp;&nbsp;&nbsp;&nbsp; 0.38%  |
| &nbsp;&nbsp;&nbsp; Low Sulphur Gasoil | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | 777115 | &nbsp;&nbsp;&nbsp;&nbsp;0.35%  |
| **Total Purchase Contracts** |  |  | 112253786 | &nbsp;&nbsp;&nbsp;&nbsp;50.62%  |

---

The accompanying notes are an integral part of these consolidated financial statements.

18<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND** 

**CONSOLIDATED SCHEDULE OF SWAP CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Expiration** <br>**Date** | **Number of** <br>**Contracts** <br>**Purchased** <br>(Sold) | **Notional** <br>**Amount** | **Concentration** <br>**% of Exposure**  |
| **Sale Contracts:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp;(411) | $23746335 | &nbsp;&nbsp;&nbsp;&nbsp; 10.71%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp;(286) | 17428442 | &nbsp;&nbsp;&nbsp;&nbsp; 7.86%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Dec-26 | &nbsp;&nbsp;&nbsp;&nbsp;(191) | 8983905 | &nbsp;&nbsp;&nbsp;&nbsp; 4.05%  |
| &nbsp;&nbsp;&nbsp; Copper (COMEX) | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(44) | 6233862 | &nbsp;&nbsp;&nbsp;&nbsp; 2.81%  |
| &nbsp;&nbsp;&nbsp; Soybean | May-26 | &nbsp;&nbsp;&nbsp;&nbsp;(91) | 4875154 | &nbsp;&nbsp;&nbsp;&nbsp; 2.20%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(64) | 3695806 | &nbsp;&nbsp;&nbsp;&nbsp; 1.67%  |
| &nbsp;&nbsp;&nbsp; Wheat | May-26 | &nbsp;&nbsp;&nbsp;&nbsp;(133) | 3457279 | &nbsp;&nbsp;&nbsp;&nbsp; 1.56%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(91) | 2895115 | &nbsp;&nbsp;&nbsp;&nbsp; 1.31%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(32) | 1962537 | &nbsp;&nbsp;&nbsp;&nbsp; 0.89%  |
| &nbsp;&nbsp;&nbsp; Corn | May-26 | &nbsp;&nbsp;&nbsp;&nbsp;(83) | 1867372 | &nbsp;&nbsp;&nbsp;&nbsp; 0.84%  |
| &nbsp;&nbsp;&nbsp; Sugar No. 11 | Apr-26 | &nbsp;&nbsp;&nbsp;&nbsp;(113) | 1849892 | &nbsp;&nbsp;&nbsp;&nbsp; 0.83%  |
| &nbsp;&nbsp;&nbsp; Heating Oil | Jan-26 | &nbsp;&nbsp;&nbsp;&nbsp;(20) | 1825686 | &nbsp;&nbsp;&nbsp;&nbsp; 0.82%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jul-26 | &nbsp;&nbsp;&nbsp;&nbsp;(44) | 1643094 | &nbsp;&nbsp;&nbsp;&nbsp; 0.74%  |
| &nbsp;&nbsp;&nbsp; Live Cattle | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp;(17) | 1570059 | &nbsp;&nbsp;&nbsp;&nbsp; 0.71%  |
| &nbsp;&nbsp;&nbsp; Cotton No. 2 | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(43) | 1393940 | &nbsp;&nbsp;&nbsp;&nbsp; 0.63%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Apr-26 | &nbsp;&nbsp;&nbsp;&nbsp;(24) | 1389061 | &nbsp;&nbsp;&nbsp;&nbsp; 0.63%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Apr-26 | &nbsp;&nbsp;&nbsp;&nbsp;(23) | 1377340 | &nbsp;&nbsp;&nbsp;&nbsp; 0.62%  |
| &nbsp;&nbsp;&nbsp; Milling Wheat | Mar-26 | &nbsp;&nbsp;&nbsp;&nbsp;(81) | 899378 | &nbsp;&nbsp;&nbsp;&nbsp; 0.41%  |
| &nbsp;&nbsp;&nbsp; Lean Hogs | Feb-26 | &nbsp;&nbsp;&nbsp;&nbsp;(25) | 847279 | &nbsp;&nbsp;&nbsp;&nbsp;0.38%  |
| **Total Sale Contracts** |  |  | 87941536 | &nbsp;&nbsp;&nbsp;&nbsp;39.67%  |
| Other Futures Contracts |  |  | 15949362 | &nbsp;&nbsp;&nbsp;&nbsp;7.19%  |
| Total Futures Contracts |  |  | 216144684 | &nbsp;&nbsp;&nbsp;&nbsp;97.48%  |
| **Cash and Foreign Currency:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Cash and Foreign Currency Purchased:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Dollar |  |  | $5524170 | &nbsp;&nbsp;&nbsp;&nbsp;2.49%  |
| Other Cash and Foreign Currency |  |  | 60650 | &nbsp;&nbsp;&nbsp;&nbsp;0.03%  |
| Total Cash and Foreign Currency |  |  | 5584820 | &nbsp;&nbsp;&nbsp;&nbsp;2.52%  |
| Total Underlying Positions |  |  | $221729504 | &nbsp;&nbsp;&nbsp;&nbsp;100.00% |

---

---

| | |
|:---|:---|
| <sup>#</sup><br>| The investment is not a direct holding of LoCorr Hedged Core Fund. The top 50 holdings and other futures contracts, other forward currency contracts, and other cash and foreign currency were determined based on the absolute notional amount of the positions within the underlying swap basket.<br>|

---

<sup>(1)</sup> Represents the 50 largest components of the basket.

The accompanying notes are an integral part of these consolidated financial statements.

19<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **U.S. TREASURY SECURITIES - 34.0%**<br>|  |  |
| United States Treasury Note/Bond<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/2026 | $7845000 | $7885236  |
| &nbsp;&nbsp;&nbsp; 4.13%, 02/15/2027 | 7835000 | 7886723  |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/2027 | 3240000 | 3279994  |
| &nbsp;&nbsp;&nbsp; 1.38%, 10/31/2028 | 1255000 | 1182740  |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/28/2029 | 8620000 | 8798124  |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/2029 | 28425000 | 29356585  |
| &nbsp;&nbsp;&nbsp; 3.25%, 06/30/2029 | 7810000 | 7724883  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/28/2030 | 26330000 | 26684838  |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/30/2030 | 7430000 | 7492110  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/30/2030 | 20240000 | 20179913  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY SECURITIES** <br>**(Cost $119,621,429)** |  | 120471146  |
| **CORPORATE BONDS - 18.1%**<br>|  |  |
| **Aerospace & Defense - 0.8%**<br>|  |  |
| Boeing Co., 3.25%, 02/01/2028 | 1265000 | 1243660  |
| L3Harris Technologies, Inc., 5.40%, 01/15/2027 | 1095000 | 1110991  |
| RTX Corp., 4.13%, 11/16/2028 | 515000 | 516898  |
|  |  | 2871549  |
| **Agriculture - 0.2%**<br>|  |  |
| Philip Morris International, Inc., 4.63%, 11/01/2029 | 645000 | 656483  |
| **Auto Manufacturers - 0.3%**<br>|  |  |
| General Motors Financial Co., Inc., 5.35%, 01/07/2030 | 1000000 | 1033403  |
| **Banks - 6.1%<sup>(a)</sup>**<br>|  |  |
| Bank of America Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38% to 04/27/2027 then SOFR + 1.58%, 04/27/2028 | 1965000 | 1973045  |
| &nbsp;&nbsp;&nbsp; 5.16% to 01/24/2030 then SOFR + 1.00%, 01/24/2031 | 2720000 | 2810175  |
| Citibank NA, 4.58%, 05/29/2027 | 1155000 | 1166914  |
| Citigroup, Inc., 4.50% to 09/11/2030 then SOFR + 1.17%, 09/11/2031 | 735000 | 738185  |
| Credit Agricole SA, 5.22% to 05/27/2030 then SOFR + 1.46%, 05/27/2031<sup>(b)</sup> | 325000 | 333946  |
|  Deutsche Bank AG/New York NY, 5.00% to 09/11/2029 then SOFR + 1.70%, 09/11/2030 | 235000 | 238737  |
| Federation des Caisses Desjardins du Quebec, 5.70%, 03/14/2028<sup>(b)</sup> | 770000 | 796188  |
| Goldman Sachs Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029 | 425000 | 450869  |
| &nbsp;&nbsp;&nbsp; 5.22% to 04/23/2030 then SOFR + 1.58%, 04/23/2031 | 510000 | 527111  |
| HSBC Holdings PLC, 6.16% to 03/09/2028 then SOFR + 1.97%, 03/09/2029 | 670000 | 697773  |
| JPMorgan Chase & Co., 5.10% to 04/22/2030 then SOFR + 1.44%, 04/22/2031 | 3305000 | 3415283  |
| Morgan Stanley Private Bank NA<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.20% to 11/17/2027 then SOFR + 0.78%, 11/17/2028 | 1520000 | 1525043  |
| &nbsp;&nbsp;&nbsp; 4.47% to 11/19/2030 then SOFR + 1.02%, 11/19/2031 | 3260000 | 3270207  |
| NatWest Markets PLC, 5.41%, 05/17/2029<sup>(b)</sup> | 685000 | 710995  |
| State Street Corp., 4.54%, 02/28/2028 | 615000 | 624572 |

---

The accompanying notes are an integral part of these consolidated financial statements.

20<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Banks - (Continued)**  | **Banks - (Continued)**  | **Banks - (Continued)**  |
| &nbsp;&nbsp;&nbsp; UBS Group AG, 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, <br>12/22/2027<sup>(b)</sup> | $660000 | $673795  |
| Wells Fargo & Co., 5.15% to 04/23/2030 then SOFR + 1.50%, 04/23/2031 | 1665000 | 1720120  |
|  |  | 21672958  |
| **Beverages - 0.2%**<br>|  |  |
| PepsiCo, Inc., 4.10%, 01/15/2029 | 670000 | 673987  |
| **Biotechnology - 0.2%**<br>|  |  |
| Amgen, Inc., 5.15%, 03/02/2028 | 860000 | 880415  |
| **Building Materials - 0.1%**<br>|  |  |
| Trane Technologies Financing Ltd., 3.50%, 03/21/2026 | 345000 | 344553  |
| **Commercial Services - 0.1%**<br>|  |  |
| Global Payments, Inc., 4.88%, 11/15/2030 | 450000 | 450992  |
| **Cosmetics & Personal Care - 0.3%**<br>|  |  |
| Haleon US Capital LLC, 3.38%, 03/24/2027 | 1250000 | 1241063  |
| **Diversified Financial Services - 0.4%**<br>|  |  |
| AerCap Ireland Capital/Global Aviation Trust, 6.10%, 01/15/2027 | 1455000 | 1482613  |
| **Electric - 1.1%**<br>|  |  |
| Duke Energy Carolinas LLC, 4.85%, 03/15/2030 | 710000 | 731484  |
| Florida Power & Light Co.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 04/01/2028 | 840000 | 861520  |
| &nbsp;&nbsp;&nbsp; 4.40%, 05/15/2028 | 1060000 | 1073565  |
| Southern California Edison Co., 1.20%, 02/01/2026 | 225000 | 224185  |
| Virginia Power Fuel Securitization LLC, 5.09%, 05/01/2027 | 856142 | 861784  |
|  |  | 3752538  |
| **Electronics - 0.1%**<br>|  |  |
| Honeywell International, Inc., 4.88%, 09/01/2029 | 325000 | 334061  |
| **Food - 2.3%**<br>|  |  |
| General Mills, Inc., 4.88%, 01/30/2030 | 785000 | 803426  |
| Kraft Heinz Foods Co., 3.88%, 05/15/2027 | 740000 | 738113  |
| Mars, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 03/01/2028<sup>(b)</sup> | 3020000 | 3062177  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/01/2030<sup>(b)</sup> | 2845000 | 2909263  |
| Sysco Corp., 3.25%, 07/15/2027 | 555000 | 549569  |
|  |  | 8062548  |
| **Healthcare-Services - 0.6%**<br>|  |  |
| HCA, Inc., 5.00%, 03/01/2028 | 435000 | 443231  |
| UnitedHealth Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.40%, 06/15/2028 | 390000 | 394523  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/15/2029 | 1125000 | 1134113  |
|  |  | 1971867  |

---

The accompanying notes are an integral part of these consolidated financial statements.

21<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Insurance - 0.4%**<br>|  |  |
| Brown & Brown, Inc., 4.60%, 12/23/2026 | $515000 | $517594  |
| Metropolitan Life Global Funding I, 5.05%, 01/06/2028<sup>(b)</sup> | 330000 | 336814  |
| Principal Life Global Funding II, 0.88%, 01/12/2026<sup>(b)</sup> | 585000 | 584450  |
|  |  | 1438858  |
| **Packaging & Containers - 0.2%**<br>|  |  |
| Amcor Group Finance PLC, 5.45%, 05/23/2029 | 645000 | 667150  |
| **Pharmaceuticals - 0.7%**<br>|  |  |
| AbbVie, Inc., 4.80%, 03/15/2029 | 350000 | 358852  |
| CVS Health Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/01/2026 | 1375000 | 1368057  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/30/2029 | 810000 | 827672  |
|  |  | 2554581  |
| **Pipelines - 0.7%**<br>|  |  |
| Enbridge, Inc., 6.00%, 11/15/2028 | 610000 | 641219  |
| Energy Transfer LP, 6.05%, 12/01/2026 | 1295000 | 1315881  |
| South Bow USA Infrastructure Holdings LLC, 4.91%, 09/01/2027 | 375000 | 378489  |
|  |  | 2335589  |
| **REITS - 1.5%**<br>|  |  |
| American Homes 4 Rent LP, 4.90%, 02/15/2029 | 350000 | 356074  |
| Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 405000 | 404760  |
| Essex Portfolio LP, 1.70%, 03/01/2028 | 330000 | 313561  |
| Healthcare Realty Holdings LP, 3.75%, 07/01/2027 | 1930000 | 1916926  |
| Kite Realty Group LP, 4.00%, 10/01/2026 | 1020000 | 1018372  |
| Lineage OP LP, 5.25%, 07/15/2030<sup>(b)</sup> | 660000 | 666331  |
| Prologis Targeted US Logistics Fund LP, 5.25%, 04/01/2029<sup>(b)</sup> | 760000 | 782934  |
|  |  | 5458958  |
| **Retail - 0.4%**<br>|  |  |
| O'Reilly Automotive, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/20/2026 | 805000 | 815881  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/01/2030 | 375000 | 374244  |
| Walmart, Inc., 4.35%, 04/28/2030 | 215000 | 218691  |
|  |  | 1408816  |
| **Semiconductors - 0.1%**<br>|  |  |
| Broadcom, Inc., 4.60%, 07/15/2030 | 510000 | 518569  |
| **Software - 0.3%**<br>|  |  |
| Oracle Corp., 4.80%, 08/03/2028 | 555000 | 557979  |
| Roper Technologies, Inc., 4.25%, 09/15/2028 | 570000 | 572259  |
|  |  | 1130238 |

---

The accompanying notes are an integral part of these consolidated financial statements.

22<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Telecommunications - 1.0%**<br>|  |  |
| AT&T, Inc., 2.30%, 06/01/2027 | $850000 | $830683  |
| T-Mobile USA, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 07/15/2028 | 560000 | 570301  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/15/2029 | 1080000 | 1103845  |
| Verizon Communications, Inc., 2.10%, 03/22/2028 | 925000 | 888335  |
|  |  | 3393164  |
| &nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS** <br>**(Cost $63,243,535)** |  | 64334953 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** |  |
| **COMMODITY POOLS - 14.2%**<br>|  |  |
| Galaxy Commodity - Polaris Fund LLC<sup>(c)(d)</sup><br>|  |  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – Core Commodity I Feeder Fund (558) LLC | N/A | 20891429  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC | N/A | 18958089  |
| &nbsp;&nbsp;&nbsp; Galaxy Plus Fund – Millburn Resource Oppty Feeder Fund (557) LLC | N/A | 10500931  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMODITY POOLS** <br>**(Cost $55,916,470)** |  | 50350449 |

---

---

| | | |
|:---|:---|:---|
|  | **Par** |  |
| **MORTGAGE-BACKED SECURITIES - 11.0%**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust LLC, Series 2020-5, Class A3, 2.04%, <br>05/25/2065<sup>(b)(e)</sup> | $19195 | 18650  |
|  ARES Commercial Mortgage Trust, Series 2024-IND, Class A, 5.44% (1 mo. Term SOFR + 1.69%), 07/15/2041, (1.69% Floor)<sup>(b)</sup> | 500000 | 500622  |
| BBCMS Trust, Series 2023-C19, Class A2B, 5.75%, 04/15/2056 | 2750000 | 2789082  |
|  BLP Commercial Mortgage Trust, Series 2024-IND2, Class B, 5.44% (1 mo. Term SOFR + 1.69%), 03/15/2041, (1.69% Floor)<sup>(b)</sup> | 1135069 | 1135767  |
| BX Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-XL2, Class B, 4.86% (1 mo. Term SOFR + 1.11%), 10/15/2038, (1.00% Floor)<sup>(b)</sup> | 1249500 | 1248338  |
| &nbsp;&nbsp;&nbsp; Series 2025-DELC, Class A, 5.51% (1 mo. Term SOFR + 1.55%), 12/15/2042, (1.55% Floor)<sup>(b)</sup> | 700000 | 700872  |
|  DK Trust, Series 2025-LXP, Class A, 5.33% (1 mo. Term SOFR + 1.59%), 08/15/2037, (1.59% Floor)<sup>(b)</sup> | 1850000 | 1852866  |
| Fannie Mae Connecticut Avenue Securities<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2042, (0.00% Floor)<sup>(b)</sup> | 1640000 | 1679721  |
| &nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2, 6.87% (30 day avg SOFR US + 3.00%), 04/25/2042, (0.00% Floor)<sup>(b)</sup> | 130000 | 132871  |
| &nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M2, 7.72% (30 day avg SOFR US + 3.85%), 05/25/2042, (0.00% Floor)<sup>(b)</sup> | 915000 | 948070  |
| &nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M2, 8.52% (30 day avg SOFR US + 4.65%), 06/25/2042, (0.00% Floor)<sup>(b)</sup> | 1870000 | 1964986  |
| &nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M2, 7.47% (30 day avg SOFR US + 3.60%), 07/25/2042, (0.00% Floor)<sup>(b)</sup> | 2140000 | 2212104 |

---

The accompanying notes are an integral part of these consolidated financial statements.

23<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par**  | **Value** |
| **MORTGAGE-BACKED SECURITIES - (Continued)** <br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-R01, Class 1M2, 7.62% (30 day avg SOFR US + 3.75%), 12/25/2042, (0.00% Floor)<sup>(b)</sup> | $2830000 | $2955816  |
| &nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.22% (30 day avg SOFR US + 3.35%), 01/25/2043, (0.00% Floor)<sup>(b)</sup> | 2000000 | 2072905  |
| &nbsp;&nbsp;&nbsp; Series 2023-R04, Class 1M2, 7.42% (30 day avg SOFR US + 3.55%), 05/25/2043, (0.00% Floor)<sup>(b)</sup> | 2000000 | 2096238  |
| &nbsp;&nbsp;&nbsp; Series 2023-R05, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 06/25/2043, (0.00% Floor)<sup>(b)</sup> | 225000 | 233335  |
| &nbsp;&nbsp;&nbsp; Series 2023-R08, Class 1M2, 6.37% (30 day avg SOFR US + 2.50%), 10/25/2043, (0.00% Floor)<sup>(b)</sup> | 880000 | 894573  |
|  Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1B, 7.12% (30 day avg SOFR US + 3.25%), 04/25/2043, (0.00% Floor)<sup>(b)</sup> | 2195000 | 2283661  |
|  FRESB Multifamily Structured Pass Through Certificates, Series 2016-SB23, Class A10F, 2.31%, 09/25/2026<sup>(e)</sup> | 388708 | 385198  |
|  GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class A3, 1.53%, 07/25/2061<sup>(b)(e)</sup> | 573836 | 527044  |
|  JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class AS, 4.11%, 09/15/2047 | 597809 | 588836  |
|  Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class A, 3.89%, 08/15/2038<sup>(b)</sup> | 1800000 | 1754079  |
|  New Residential Mortgage Loan Trust, Series 2016-1A, Class A1, 3.75%, 03/25/2056<sup>(b)(e)</sup> | 68526 | 66317  |
|  NRTH PARK Mortgage Trust, Series 2025-PARK, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 10/15/2040, (1.39% Floor)<sup>(b)</sup> | 430000 | 430403  |
|  NYC Commercial Mortgage Trust, Series 2024-3ELV, Class A, 5.74% (1 mo. Term SOFR + 1.99%), 08/15/2029, (1.99% Floor)<sup>(b)</sup> | 1000000 | 1001248  |
|  PKHL Commercial Mortgage Trust, Series 2021-MF, Class A, 4.75% (1 mo. Term SOFR + 0.99%), 07/15/2038, (0.88% Floor)<sup>(b)</sup> | 3250000 | 3063866  |
|  SCG Mortgage Trust, Series 2025-SNIP, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 09/15/2042, (1.50% Floor)<sup>(b)</sup> | 1500000 | 1502343  |
|  SMR Mortgage Trust, Series 2022-IND, Class A, 5.40% (1 mo. Term SOFR + 1.65%), 02/15/2039, (1.65% Floor)<sup>(b)</sup> | 3433789 | 3433201  |
|  TX Trust, Series 2024-HOU, Class A, 5.34% (1 mo. Term SOFR + 1.59%), 06/15/2039, (1.59% Floor)<sup>(b)</sup> | 600000 | 600375  |
| &nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES** <br>**(Cost $39,323,151)** |  | 39073387  |
| **ASSET-BACKED SECURITIES - 8.0%**<br>|  |  |
|  American Express Travel Related Services Co., Inc., Series 2024-1, Class A, 5.23%, 04/15/2029 | 2810000 | 2863281  |
|  Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W6, Class M1, 4.90% (1 mo. Term SOFR + 1.16%), 01/25/2034, (1.05% Floor) | 223429 | 241359  |
|  Asset Backed Securities Corp. Home Equity Loan Trust, Series 2002-HE1, Class M1, 5.51% (1 mo. Term SOFR + 1.76%), 03/15/2032, (1.65% Floor) | 36167 | 40179  |
| Bank of America Auto Trust, Series 2024-1A, Class A3, 5.35%, 11/15/2028<sup>(b)</sup> | 2918667 | 2943671  |
| Barclays Dryrock Funding LLC, Series 2023-1, Class A, 4.72%, 02/15/2029 | 2900000 | 2907363  |
| CarMax Auto Owner Trust, Series 2024-4, Class A3, 4.60%, 10/15/2029 | 2875000 | 2905263  |

---

The accompanying notes are an integral part of these consolidated financial statements.

24<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par**  | **Value** |
| **ASSET-BACKED SECURITIES - (Continued)** <br>|  |  |
| &nbsp;&nbsp;&nbsp; DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, <br>11/20/2051<sup>(b)</sup> | $1968000 | $1930462  |
| Elara Depositor LLC, Series 2021-A, Class A, 1.36%, 08/27/2035<sup>(b)</sup> | 663050 | 635244  |
| Financial Holding Corp., Series 2024-D, Class A, 5.34%, 04/15/2029<sup>(b)</sup> | 1890000 | 1921023  |
| Ford Credit Auto Owner Trust, Series 2024-D, Class A3, 4.61%, 08/15/2029 | 800000 | 809624  |
|  GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.78%, 08/16/2028 | 1101059 | 1111607  |
| Hilton Grand Vacations, Inc., Series 2019-AA, Class A, 2.34%, 07/25/2033<sup>(b)</sup> | 333769 | 332816  |
| &nbsp;&nbsp;&nbsp; Honda Auto Receivables Owner Trust, Series 2024-1, Class A3, 5.21%, <br>08/15/2028 | 1696577 | 1711608  |
| Marriott Vacations Worldwide Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.22%, 10/20/2038<sup>(b)</sup> | 100045 | 99920  |
| &nbsp;&nbsp;&nbsp; Series 2021-1WA, Class A, 1.14%, 01/22/2041<sup>(b)</sup> | 241899 | 233889  |
| Navient Student Loan Trust, Series 2021-A, Class A, 0.84%, 05/15/2069<sup>(b)</sup> | 366588 | 336900  |
| Taco Bell Corp., Series 2021-1A, Class A2I, 1.95%, 08/25/2051<sup>(b)</sup> | 1498313 | 1459725  |
| T-Mobile US Trust, Series 2024-1A, Class A, 5.05%, 09/20/2029<sup>(b)</sup> | 1330000 | 1338169  |
| &nbsp;&nbsp;&nbsp; Toyota Auto Receivables Owner Trust, Series 2024-B, Class A3, 5.33%, <br>01/16/2029 | 2485025 | 2511954  |
| Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 06/21/2027 | 2000000 | 2013443  |
| &nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES** <br>**(Cost $28,200,599)** |  | 28347500  |
| **U.S. GOVERNMENT AGENCY ISSUES - 2.6%**<br>|  |  |
| Federal Home Loan Banks<br>|  |  |
| &nbsp;&nbsp;&nbsp; 0.60%, 02/12/2026 | 3100000 | 3089155  |
| &nbsp;&nbsp;&nbsp; 1.10%, 02/25/2028 | 6475000 | 6125782  |
|  United States of America Executive Branch, Series 2012-20K, Class 1, 2.09%, 11/01/2032 | 2865 | 2694  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT AGENCY ISSUES** <br>**(Cost $9,134,362)** |  | 9217631  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 87.9%** <br>**(Cost $315,439,546)** |  | $311795066  |
| Money Market Deposit Account - 3.8%<sup>(f)(g)</sup> |  | 13627272  |
| Other Assets in Excess of Liabilities - 8.3%<sup>(h)</sup> |  | 29436470  |
| **TOTAL NET ASSETS - 100.0%** |  | $354858808 |

---

Par amount is in USD unless otherwise indicated.

Percentages are stated as a percent of net assets.

CMT - Constant Maturity Treasury

LLC - Limited Liability Company

LP - Limited Partnership

PLC - Public Limited Company

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

The accompanying notes are an integral part of these consolidated financial statements.

25<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

<sup>(a)</sup> To the extent that the Fund invests more heavily in particular industries or sectors of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors.

<sup>(b)</sup> Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of December 31, 2025, the value of these securities total $57,398,983 or 16.2% of the Fund's net assets.

<sup>(c)</sup> Non-income producing security.

<sup>(d)</sup> Investment valued using net asset value per share as practical expedient. See Note 2. Galaxy Commodity - Polaris Fund, LLC's ("Galaxy") investment objective is to generate diversified investment returns that are uncorrelated with the equity and debt markets by committing its assets to the investment discretion of a select group of experienced sub-managers that pursue various alternative investment strategies. Specifically, Galaxy accesses the sub-managers through an affiliated platform called Galaxy Plus Fund, LLC (the "Platform"). The Platform identifies sub-managers that, in its judgment, are capable of generating attractive investment returns whose correlation to the U.S. equity and fixed-income markets is minimal. In implementing their strategies, the sub-managers selected by the Platform will have the discretion to invest and trade in a broad variety of securities and other financial instruments (including derivatives). Galaxy has no unfunded commitments or redemption lock-up period, as the investment offers daily redemptions. However, the managers of Galaxy may temporarily suspend redemptions in certain limited circumstances.

<sup>(e)</sup> Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2025.

<sup>(f)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

<sup>(g)</sup> A portion of this deposit account is held by LCLSCS Fund Limited and pledged as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $45,840.

<sup>(h)</sup> Includes assets pledged as collateral for derivative contracts. As of the reporting date, the value of these assets totals $448,176. 

The accompanying notes are an integral part of these consolidated financial statements.

26<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF SWAP CONTRACTS** 

**December 31, 2025** 

**LONG TOTAL RETURN SWAP CONTRACTS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Termination Date** | **Reference** <br>**Index** | **Financing** <br>**Rate** | **Payment** <br>**Frequency** | **Notional** <br>**Amount** | **Value** | **Advance** <br>**Receipt on** <br>**Swap Contracts** <br>**(Received)/Paid** | **Unrealized** <br>**Appreciation** | **Counterparty**  |
| 12-17-2027 | LoCorr <br>Commodities <br>Index<sup>#</sup> | &nbsp;&nbsp;&nbsp; 0.50% | Quarterly | $79211224 | $28784105 | &nbsp;&nbsp; $(26097386) | $2686719 | Deutsche Bank AG |

---

<sup>#</sup> *Comprised of a proprietary basket of Commodity Trading Advisor's "CTA") Programs investing in various futures contracts, forward currency contracts, foreign currency and other similar investments. See Notes 2 & 3.* 

**The underlying components of the basket as of December 31, 2025 are shown below:<sup>#</sup>** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Expiration** <br>**Date** | **Number of** <br>**Contracts** <br>**Purchased** <br>(Sold) | **Notional** <br>**Amount** | **Concentration %** <br>**of Exposure**  |
| **Futures Contracts:**<br>|  |  |  |  |
| **Purchase Contracts:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Jan-26 | &nbsp;&nbsp; 2326 | $134736099 | &nbsp;&nbsp;&nbsp;&nbsp; 14.89%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Jan-26 | &nbsp;&nbsp; 1599 | 98029398 | &nbsp;&nbsp;&nbsp;&nbsp; 10.84%  |
| &nbsp;&nbsp;&nbsp; Copper (COMEX) | May-26 | &nbsp;&nbsp; 205 | 29432767 | &nbsp;&nbsp;&nbsp;&nbsp; 3.26%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jan-26 | &nbsp;&nbsp; 602 | 22576979 | &nbsp;&nbsp;&nbsp;&nbsp; 2.50%  |
| &nbsp;&nbsp;&nbsp; Soybean | Mar-26 | &nbsp;&nbsp; 307 | 16197376 | &nbsp;&nbsp;&nbsp;&nbsp; 1.79%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jan-27 | &nbsp;&nbsp; 357 | 15259612 | &nbsp;&nbsp;&nbsp;&nbsp; 1.69%  |
| &nbsp;&nbsp;&nbsp; Wheat | Mar-26 | &nbsp;&nbsp; 493 | 12566585 | &nbsp;&nbsp;&nbsp;&nbsp; 1.39%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Apr-26 | &nbsp;&nbsp; 362 | 11704429 | &nbsp;&nbsp;&nbsp;&nbsp; 1.29%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Feb-27 | &nbsp;&nbsp; 302 | 11220775 | &nbsp;&nbsp;&nbsp;&nbsp; 1.24%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Feb-26 | &nbsp;&nbsp; 287 | 9118575 | &nbsp;&nbsp;&nbsp;&nbsp; 1.01%  |
| &nbsp;&nbsp;&nbsp; Sugar No. 11 | Feb-26 | &nbsp;&nbsp; 440 | 7382778 | &nbsp;&nbsp;&nbsp;&nbsp; 0.82%  |
| &nbsp;&nbsp;&nbsp; Heating Oil | Feb-26 | &nbsp;&nbsp; 82 | 7342495 | &nbsp;&nbsp;&nbsp;&nbsp; 0.81%  |
| &nbsp;&nbsp;&nbsp; Live Cattle | Apr-26 | &nbsp;&nbsp; 77 | 7174420 | &nbsp;&nbsp;&nbsp;&nbsp; 0.79%  |
| &nbsp;&nbsp;&nbsp; Gasoline RBOB | Jan-26 | &nbsp;&nbsp; 87 | 6273427 | &nbsp;&nbsp;&nbsp;&nbsp; 0.69%  |
| &nbsp;&nbsp;&nbsp; Gold | Feb-26 | &nbsp;&nbsp; 13 | 5657362 | &nbsp;&nbsp;&nbsp;&nbsp; 0.63%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (ICE) | Feb-26 | &nbsp;&nbsp; 95 | 5457899 | &nbsp;&nbsp;&nbsp;&nbsp; 0.60%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Feb-26 | &nbsp;&nbsp; 595 | 4721991 | &nbsp;&nbsp;&nbsp;&nbsp; 0.52%  |
| &nbsp;&nbsp;&nbsp; Aluminum | Mar-26 | &nbsp;&nbsp; 59 | 4393777 | &nbsp;&nbsp;&nbsp;&nbsp; 0.49%  |
| &nbsp;&nbsp;&nbsp; Copper (LME) | Mar-26 | &nbsp;&nbsp; 14 | 4309873 | &nbsp;&nbsp;&nbsp;&nbsp; 0.48%  |
| &nbsp;&nbsp;&nbsp; Zinc | Mar-26 | &nbsp;&nbsp; 55 | 4256528 | &nbsp;&nbsp;&nbsp;&nbsp; 0.47%  |
| &nbsp;&nbsp;&nbsp; Corn | Mar-26 | &nbsp;&nbsp; 179 | 3962172 | &nbsp;&nbsp;&nbsp;&nbsp; 0.44%  |
| &nbsp;&nbsp;&nbsp; Cotton No. 2 | May-26 | &nbsp;&nbsp; 118 | 3879841 | &nbsp;&nbsp;&nbsp;&nbsp; 0.43%  |
| &nbsp;&nbsp;&nbsp; Low Sulphur Gasoil | Feb-26 | &nbsp;&nbsp; 55 | 3431851 | &nbsp;&nbsp;&nbsp;&nbsp; 0.38%  |
| &nbsp;&nbsp;&nbsp; Coffee | May-26 | &nbsp;&nbsp; 24 | 3086795 | &nbsp;&nbsp;&nbsp;&nbsp; 0.34%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Sep-27 | &nbsp;&nbsp; 302 | 2872020 | &nbsp;&nbsp;&nbsp;&nbsp; 0.32%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Jul-27 | &nbsp;&nbsp; 302 | 2843326 | &nbsp;&nbsp;&nbsp;&nbsp; 0.31%  |
| &nbsp;&nbsp;&nbsp; Natural Gas (NYMEX) | Jun-27 | &nbsp;&nbsp; 302 | 2808214 | &nbsp;&nbsp;&nbsp;&nbsp;0.31%  |
| **Total Purchase Contracts** |  |  | 440697364 | &nbsp;&nbsp;&nbsp;&nbsp;48.73%  |

---

The accompanying notes are an integral part of these consolidated financial statements.

27<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND** 

**CONSOLIDATED SCHEDULE OF SWAP CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Expiration** <br>**Date** | **Number of** <br>**Contracts** <br>**Purchased** <br>(Sold) | **Notional** <br>**Amount** | **Concentration %** <br>**of Exposure**  |
| **Sale Contracts:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Feb-26 | &nbsp;&nbsp; (1817) | $104867268 | &nbsp;&nbsp;&nbsp;&nbsp; 11.60%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Feb-26 | &nbsp;&nbsp; (1263) | 76966536 | &nbsp;&nbsp;&nbsp;&nbsp; 8.51%  |
| &nbsp;&nbsp;&nbsp; Copper (COMEX) | Mar-26 | (194) | 27529640 | &nbsp;&nbsp;&nbsp;&nbsp; 3.05%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Dec-26 | (566) | 26628575 | &nbsp;&nbsp;&nbsp;&nbsp; 2.95%  |
| &nbsp;&nbsp;&nbsp; Soybean | May-26 | (404) | 21529388 | &nbsp;&nbsp;&nbsp;&nbsp; 2.38%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Mar-26 | (284) | 16321217 | &nbsp;&nbsp;&nbsp;&nbsp; 1.81%  |
| &nbsp;&nbsp;&nbsp; Wheat | May-26 | (586) | 15267847 | &nbsp;&nbsp;&nbsp;&nbsp; 1.69%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Mar-26 | (143) | 8666850 | &nbsp;&nbsp;&nbsp;&nbsp; 0.96%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Mar-26 | (262) | 8300815 | &nbsp;&nbsp;&nbsp;&nbsp; 0.92%  |
| &nbsp;&nbsp;&nbsp; Corn | May-26 | (367) | 8246585 | &nbsp;&nbsp;&nbsp;&nbsp; 0.91%  |
| &nbsp;&nbsp;&nbsp; Sugar No. 11 | Apr-26 | (498) | 8169393 | &nbsp;&nbsp;&nbsp;&nbsp; 0.90%  |
| &nbsp;&nbsp;&nbsp; Heating Oil | Jan-26 | (90) | 8062494 | &nbsp;&nbsp;&nbsp;&nbsp; 0.89%  |
| &nbsp;&nbsp;&nbsp; Live Cattle | Feb-26 | (75) | 6933610 | &nbsp;&nbsp;&nbsp;&nbsp; 0.77%  |
| &nbsp;&nbsp;&nbsp; Cotton No. 2 | Mar-26 | (192) | 6155840 | &nbsp;&nbsp;&nbsp;&nbsp; 0.68%  |
| &nbsp;&nbsp;&nbsp; WTI Crude (NYMEX) | Apr-26 | (107) | 6134296 | &nbsp;&nbsp;&nbsp;&nbsp; 0.68%  |
| &nbsp;&nbsp;&nbsp; Brent Crude (ICE) | Apr-26 | (100) | 6082533 | &nbsp;&nbsp;&nbsp;&nbsp; 0.67%  |
| &nbsp;&nbsp;&nbsp; Natural Gas | Jul-26 | (130) | 4870180 | &nbsp;&nbsp;&nbsp;&nbsp; 0.54%  |
| &nbsp;&nbsp;&nbsp; Milling Wheat | Mar-26 | (356) | 3971785 | &nbsp;&nbsp;&nbsp;&nbsp; 0.44%  |
| &nbsp;&nbsp;&nbsp; Lean Hogs | Feb-26 | (109) | 3741709 | &nbsp;&nbsp;&nbsp;&nbsp; 0.41%  |
| &nbsp;&nbsp;&nbsp; Gasoline RBOB | Feb-26 | (43) | 3159839 | &nbsp;&nbsp;&nbsp;&nbsp; 0.35%  |
| &nbsp;&nbsp;&nbsp; U.K. Natural Gas | Jan-26 | (110) | 3099277 | &nbsp;&nbsp;&nbsp;&nbsp; 0.34%  |
| &nbsp;&nbsp;&nbsp; Hard Red Wheat | May-26 | (114) | 3024945 | &nbsp;&nbsp;&nbsp;&nbsp;0.33%  |
| **Total Sale Contracts** |  |  | 377730622 | &nbsp;&nbsp;&nbsp;&nbsp;41.78%  |
| Other Futures Contracts |  |  | 63065513 | &nbsp;&nbsp;&nbsp;&nbsp;6.98%  |
| Total Futures Contracts |  |  | 881493499 | &nbsp;&nbsp;&nbsp;&nbsp;97.50%  |
| **Cash and Foreign Currency:**<br>|  |  |  |  |
| **Cash and Foreign Currency Purchased:<sup>(1)</sup>**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Dollar |  |  | $22365942 | &nbsp;&nbsp;&nbsp;&nbsp;2.47%  |
| Other Cash and Foreign Currency |  |  | 267860 | &nbsp;&nbsp;&nbsp;&nbsp;0.03%  |
| Total Cash and Foreign Currency |  |  | 22633802 | &nbsp;&nbsp;&nbsp;&nbsp;2.50%  |
| Total Underlying Positions |  |  | $904127301 | &nbsp;&nbsp;&nbsp;&nbsp;100.00% |

---

---

| | |
|:---|:---|
| <sup>#</sup><br>| The investment is not a direct holding of LoCorr Long/Short Commodities Strategy Fund. The top 50 holdings and other futures contracts, other forward currency contracts, and other cash and foreign currency were determined based on the absolute notional amount of the positions within the underlying swap basket.<br>|

---

<sup>(1)</sup> Represents the 50 largest components of the basket.

The accompanying notes are an integral part of these consolidated financial statements.

28<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **U.S. TREASURY SECURITIES - 38.9%**<br>|  |  |
| United States Treasury Note/Bond<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/2026 | $140000 | $140718  |
| &nbsp;&nbsp;&nbsp; 4.13%, 02/15/2027 | 29790000 | 29986660  |
| &nbsp;&nbsp;&nbsp; 1.38%, 10/31/2028 | 3240000 | 3053447  |
| &nbsp;&nbsp;&nbsp; 3.75%, 12/31/2028 | 4675000 | 4703306  |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/28/2029 | 115885000 | 118279655  |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/2029 | 145460000 | 150227224  |
| &nbsp;&nbsp;&nbsp; 3.25%, 06/30/2029 | 90490000 | 89503800  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/28/2030 | 94525000 | 95798872  |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/30/2030 | 19500000 | 19663008  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/30/2030 | 65335000 | 65141037  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY SECURITIES** <br>**(Cost $568,324,373)** |  | 576497727  |
| **CORPORATE BONDS - 20.8%**<br>|  |  |
| **Aerospace & Defense - 0.9%**<br>|  |  |
| Boeing Co., 3.25%, 02/01/2028 | 6065000 | 5962688  |
| L3Harris Technologies, Inc., 5.40%, 01/15/2027 | 5335000 | 5412911  |
| RTX Corp., 4.13%, 11/16/2028 | 2560000 | 2569435  |
|  |  | 13945034  |
| **Agriculture - 0.2%**<br>|  |  |
| Philip Morris International, Inc., 4.63%, 11/01/2029 | 3150000 | 3206079  |
| **Auto Manufacturers - 0.3%**<br>|  |  |
| General Motors Financial Co., Inc., 5.35%, 01/07/2030 | 4875000 | 5037839  |
| **Banks - 7.2%**<br>|  |  |
| Bank of America Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38% to 04/27/2027 then SOFR + 1.58%, 04/27/2028 | 9470000 | 9508770  |
| &nbsp;&nbsp;&nbsp; 5.16% to 01/24/2030 then SOFR + 1.00%, 01/24/2031 | 13365000 | 13808086  |
| Citibank NA, 4.58%, 05/29/2027 | 5880000 | 5940654  |
| Citigroup, Inc., 4.50% to 09/11/2030 then SOFR + 1.17%, 09/11/2031 | 3545000 | 3560363  |
| Credit Agricole SA, 5.22% to 05/27/2030 then SOFR + 1.46%, 05/27/2031<sup>(a)</sup> | 1305000 | 1340924  |
|  Deutsche Bank AG/New York NY, 5.00% to 09/11/2029 then SOFR + 1.70%, 09/11/2030 | 1460000 | 1483217  |
| Federation des Caisses Desjardins du Quebec, 5.70%, 03/14/2028<sup>(a)</sup> | 3550000 | 3670735  |
| Goldman Sachs Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029 | 2025000 | 2148259  |
| &nbsp;&nbsp;&nbsp; 5.22% to 04/23/2030 then SOFR + 1.58%, 04/23/2031 | 2445000 | 2527033  |
| HSBC Holdings PLC, 6.16% to 03/09/2028 then SOFR + 1.97%, 03/09/2029 | 3420000 | 3561765  |
| JPMorgan Chase & Co., 5.10% to 04/22/2030 then SOFR + 1.44%, 04/22/2031 | 16120000 | 16657902  |
| Morgan Stanley Private Bank NA<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.20% to 11/17/2027 then SOFR + 0.78%, 11/17/2028 | 7400000 | 7424549  |
| &nbsp;&nbsp;&nbsp; 4.47% to 11/19/2030 then SOFR + 1.02%, 11/19/2031 | 15905000 | 15954799  |
| NatWest Markets PLC, 5.41%, 05/17/2029<sup>(a)</sup> | 3615000 | 3752184  |
| State Street Corp., 4.54%, 02/28/2028 | 2960000 | 3006069 |

---

The accompanying notes are an integral part of these consolidated financial statements.

29<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Banks - (Continued)**  | **Banks - (Continued)**  | **Banks - (Continued)**  |
|  UBS Group AG, 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, 12/22/2027<sup>(a)</sup> | $3180000 | $3246466  |
| Wells Fargo & Co., 5.15% to 04/23/2030 then SOFR + 1.50%, 04/23/2031 | 8090000 | 8357820  |
|  |  | 105949595  |
| **Beverages - 0.2%**<br>|  |  |
| PepsiCo, Inc., 4.10%, 01/15/2029 | 3275000 | 3294489  |
| **Biotechnology - 0.3%**<br>|  |  |
| Amgen, Inc., 5.15%, 03/02/2028 | 3970000 | 4064239  |
| **Building Materials - 0.1%**<br>|  |  |
| Trane Technologies Financing Ltd., 3.50%, 03/21/2026 | 1655000 | 1652857  |
| **Commercial Services - 0.1%**<br>|  |  |
| Global Payments, Inc., 4.88%, 11/15/2030 | 2195000 | 2199841  |
| **Cosmetics & Personal Care - 0.4%**<br>|  |  |
| Haleon US Capital LLC, 3.38%, 03/24/2027 | 6050000 | 6006742  |
| **Diversified Financial Services - 0.5%**<br>|  |  |
| AerCap Ireland Capital/Global Aviation Trust, 6.10%, 01/15/2027 | 6720000 | 6847533  |
| **Electric - 1.0%**<br>|  |  |
| Duke Energy Carolinas LLC, 4.85%, 03/15/2030 | 3405000 | 3508032  |
| Florida Power & Light Co.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 04/01/2028 | 4100000 | 4205040  |
| &nbsp;&nbsp;&nbsp; 4.40%, 05/15/2028 | 5195000 | 5261480  |
| Southern California Edison Co., 1.20%, 02/01/2026 | 995000 | 991397  |
| Virginia Power Fuel Securitization LLC, 5.09%, 05/01/2027 | 1361169 | 1370139  |
|  |  | 15336088  |
| **Electronics - 0.1%**<br>|  |  |
| Honeywell International, Inc., 4.88%, 09/01/2029 | 1570000 | 1613774  |
| **Food - 2.6%**<br>|  |  |
| General Mills, Inc., 4.88%, 01/30/2030 | 3865000 | 3955720  |
| Kraft Heinz Foods Co., 3.88%, 05/15/2027 | 3560000 | 3550923  |
| Mars, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 03/01/2028<sup>(a)</sup> | 14680000 | 14885021  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/01/2030<sup>(a)</sup> | 13800000 | 14111715  |
| Sysco Corp., 3.25%, 07/15/2027 | 2680000 | 2653775  |
|  |  | 39157154  |
| **Healthcare-Services - 0.7%**<br>|  |  |
| HCA, Inc., 5.00%, 03/01/2028 | 2160000 | 2200870  |
| UnitedHealth Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.40%, 06/15/2028 | 1940000 | 1962501  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/15/2029 | 5540000 | 5584877  |
|  |  | 9748248  |

---

The accompanying notes are an integral part of these consolidated financial statements.

30<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Insurance - 0.4%**<br>|  |  |
| Brown & Brown, Inc., 4.60%, 12/23/2026 | $2430000 | $2442241  |
| Metropolitan Life Global Funding I, 5.05%, 01/06/2028<sup>(a)</sup> | 1430000 | 1459526  |
| Principal Life Global Funding II, 0.88%, 01/12/2026<sup>(a)</sup> | 2530000 | 2527620  |
|  |  | 6429387  |
| **Packaging & Containers - 0.2%**<br>|  |  |
| Amcor Group Finance PLC, 5.45%, 05/23/2029 | 3125000 | 3232317  |
| **Pharmaceuticals - 0.8%**<br>|  |  |
| AbbVie, Inc., 4.80%, 03/15/2029 | 1600000 | 1640467  |
| CVS Health Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/01/2026 | 6560000 | 6526877  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/30/2029 | 3835000 | 3918668  |
|  |  | 12086012  |
| **Pipelines - 0.8%**<br>|  |  |
| Enbridge, Inc., 6.00%, 11/15/2028 | 2875000 | 3022141  |
| Energy Transfer LP, 6.05%, 12/01/2026 | 6370000 | 6472711  |
| South Bow USA Infrastructure Holdings LLC, 4.91%, 09/01/2027 | 1880000 | 1897489  |
|  |  | 11392341  |
| **REITS - 1.8%**<br>|  |  |
| American Homes 4 Rent LP, 4.90%, 02/15/2029 | 1640000 | 1668459  |
| Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 1910000 | 1908866  |
| Essex Portfolio LP, 1.70%, 03/01/2028 | 1635000 | 1553554  |
| Healthcare Realty Holdings LP, 3.75%, 07/01/2027 | 9345000 | 9281696  |
| Kite Realty Group LP, 4.00%, 10/01/2026 | 4950000 | 4942099  |
| Lineage OP LP, 5.25%, 07/15/2030<sup>(a)</sup> | 3240000 | 3271082  |
| Prologis Targeted US Logistics Fund LP, 5.25%, 04/01/2029<sup>(a)</sup> | 3710000 | 3821954  |
|  |  | 26447710  |
| **Retail - 0.5%**<br>|  |  |
| O'Reilly Automotive, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/20/2026 | 3915000 | 3967919  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/01/2030 | 1795000 | 1791382  |
| Walmart, Inc., 4.35%, 04/28/2030 | 1000000 | 1017166  |
|  |  | 6776467  |
| **Semiconductors - 0.2%**<br>|  |  |
| Broadcom, Inc., 4.60%, 07/15/2030 | 2395000 | 2435241  |
| **Software - 0.4%**<br>|  |  |
| Oracle Corp., 4.80%, 08/03/2028 | 2655000 | 2669252  |
| Roper Technologies, Inc., 4.25%, 09/15/2028 | 2730000 | 2740817  |
|  |  | 5410069  |

---

The accompanying notes are an integral part of these consolidated financial statements.

31<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Telecommunications - 1.1%**<br>|  |  |
| AT&T, Inc., 2.30%, 06/01/2027 | $4080000 | $3987276  |
| T-Mobile USA, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 07/15/2028 | 2685000 | 2734390  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/15/2029 | 5320000 | 5437459  |
| Verizon Communications, Inc., 2.10%, 03/22/2028 | 4540000 | 4360046  |
|  |  | 16519171  |
| &nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS** <br>**(Cost $303,665,463)** |  | 308788227  |
| **MORTGAGE-BACKED SECURITIES - 11.9%**<br>|  |  |
|  Alen Mortgage Trust, Series 2021-ACEN, Class A, 5.02% (1 mo. Term SOFR + 1.26%), 04/15/2034, (1.15% Floor)<sup>(a)</sup> | 3150000 | 2999404  |
|  Angel Oak Mortgage Trust LLC, Series 2020-5, Class A3, 2.04%, 05/25/2065<sup>(a)(b)</sup> | 46069 | 44759  |
|  ARDN 2025-ARCP Mortgage Trust, Series 2025-ARCP, Class A, 5.50% (1 mo. Term SOFR + 1.75%), 06/15/2035, (1.75% Floor)<sup>(a)</sup> | 10000000 | 10015556  |
|  ARES Commercial Mortgage Trust, Series 2024-IND, Class A, 5.44% (1 mo. Term SOFR + 1.69%), 07/15/2041, (1.69% Floor)<sup>(a)</sup> | 1420000 | 1421767  |
| BBCMS Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-VFM, Class A1, 2.47%, 03/10/2036<sup>(a)</sup> | 61209 | 60982  |
| &nbsp;&nbsp;&nbsp; Series 2023-C19, Class A2B, 5.75%, 04/15/2056 | 7135000 | 7236401  |
| BLP Commercial Mortgage Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-IND2, Class B, 5.44% (1 mo. Term SOFR + 1.69%), 03/15/2041, (1.69% Floor)<sup>(a)</sup> | 2942613 | 2944424  |
| &nbsp;&nbsp;&nbsp; Series 2025-IND2, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 12/15/2042, (1.50% Floor)<sup>(a)</sup> | 5000000 | 5003115  |
| BX Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-CIP, Class A, 4.79% (1 mo. Term SOFR + 1.04%), 12/15/2038, (0.92% Floor)<sup>(a)</sup> | 1913228 | 1913501  |
| &nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 06/15/2036, (1.28% Floor)<sup>(a)</sup> | 2000000 | 1997571  |
| &nbsp;&nbsp;&nbsp; Series 2021-XL2, Class B, 4.86% (1 mo. Term SOFR + 1.11%), 10/15/2038, (1.00% Floor)<sup>(a)</sup> | 3850000 | 3846421  |
| &nbsp;&nbsp;&nbsp; Series 2022-AHP, Class A, 4.74% (1 mo. Term SOFR + 0.99%), 01/17/2039, (0.99% Floor)<sup>(a)</sup> | 965000 | 964414  |
| &nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, 5.03% (1 mo. Term SOFR + 1.28%), 01/15/2039, (1.28% Floor)<sup>(a)</sup> | 1750000 | 1748936  |
| &nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 03/15/2041, (1.39% Floor)<sup>(a)</sup> | 2355548 | 2356998  |
| &nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class A, 5.13% (1 mo. Term SOFR + 1.38%), 08/15/2042, (1.38% Floor)<sup>(a)</sup> | 1724913 | 1727061  |
| &nbsp;&nbsp;&nbsp; Series 2025-DELC, Class A, 5.51% (1 mo. Term SOFR + 1.55%), 12/15/2042, (1.55% Floor)<sup>(a)</sup> | 2000000 | 2002491  |
|  Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD6, Class A5, 3.46%, 11/13/2050 | 2300000 | 2271606  |
|  Computershare Corporate Trust, Series 2024-SVEN, Class A, 6.01%, 06/10/2037<sup>(a)</sup> | 1000000 | 1039259  |

---

The accompanying notes are an integral part of these consolidated financial statements.

32<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **MORTGAGE-BACKED SECURITIES - (Continued)** <br>|  |  |
| Fannie Mae Connecticut Avenue Securities<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1M2, 7.37% (30 day avg SOFR US + 3.50%), 03/25/2042, (0.00% Floor)<sup>(a)</sup> | $4790000 | $4919184  |
| &nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2042, (0.00% Floor)<sup>(a)</sup> | 3350000 | 3431138  |
| &nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2, 6.87% (30 day avg SOFR US + 3.00%), 04/25/2042, (0.00% Floor)<sup>(a)</sup> | 380000 | 388392  |
| &nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M2, 7.72% (30 day avg SOFR US + 3.85%), 05/25/2042, (0.00% Floor)<sup>(a)</sup> | 1675000 | 1735538  |
| &nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M2, 8.52% (30 day avg SOFR US + 4.65%), 06/25/2042, (0.00% Floor)<sup>(a)</sup> | 4255706 | 4471873  |
| &nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M2, 7.47% (30 day avg SOFR US + 3.60%), 07/25/2042, (0.00% Floor)<sup>(a)</sup> | 6105000 | 6310699  |
| &nbsp;&nbsp;&nbsp; Series 2023-R01, Class 1M2, 7.62% (30 day avg SOFR US + 3.75%), 12/25/2042, (0.00% Floor)<sup>(a)</sup> | 4400000 | 4595616  |
| &nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.22% (30 day avg SOFR US + 3.35%), 01/25/2043, (0.00% Floor)<sup>(a)</sup> | 5000000 | 5182263  |
| &nbsp;&nbsp;&nbsp; Series 2023-R04, Class 1M2, 7.42% (30 day avg SOFR US + 3.55%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | 5302000 | 5557126  |
| &nbsp;&nbsp;&nbsp; Series 2023-R05, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 06/25/2043, (0.00% Floor)<sup>(a)</sup> | 1875000 | 1944455  |
| &nbsp;&nbsp;&nbsp; Series 2023-R06, Class 1M2, 6.57% (30 day avg SOFR US + 2.70%), 07/25/2043, (0.00% Floor)<sup>(a)</sup> | 3060000 | 3144760  |
| &nbsp;&nbsp;&nbsp; Series 2023-R08, Class 1M2, 6.37% (30 day avg SOFR US + 2.50%), 10/25/2043, (0.00% Floor)<sup>(a)</sup> | 740000 | 752254  |
| &nbsp;&nbsp;&nbsp; Series 2024-R02, Class 1M2, 5.67% (30 day avg SOFR US + 1.80%), 02/25/2044, (0.00% Floor)<sup>(a)</sup> | 530000 | 532810  |
| Freddie Mac Structured Agency Credit Risk Debt Notes<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1B, 8.37% (30 day avg SOFR US + 4.50%), 06/25/2042, (0.00% Floor)<sup>(a)</sup> | 7820000 | 8225882  |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA6, Class M1B, 7.57% (30 day avg SOFR US + 3.70%), 09/25/2042, (0.00% Floor)<sup>(a)</sup> | 3010000 | 3139821  |
| &nbsp;&nbsp;&nbsp; Series 2023-DNA1, Class M1B, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2043, (0.00% Floor)<sup>(a)</sup> | 2085000 | 2160307  |
| &nbsp;&nbsp;&nbsp; Series 2023-DNA2, Class M1B, 7.12% (30 day avg SOFR US + 3.25%), 04/25/2043, (0.00% Floor)<sup>(a)</sup> | 5210000 | 5420443  |
| &nbsp;&nbsp;&nbsp; Series 2023-HQA1, Class M1B, 7.37% (30 day avg SOFR US + 3.50%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | 10230000 | 10714995  |
| &nbsp;&nbsp;&nbsp; Series 2023-HQA3, Class M2, 7.22% (30 day avg SOFR US + 3.35%), 11/25/2043, (0.00% Floor)<sup>(a)</sup> | 4150000 | 4341863  |
|  FRESB Multifamily Structured Pass Through Certificates, Series 2016-SB23, Class A10F, 2.31%, 09/25/2026<sup>(b)</sup> | 798189 | 790980  |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, Series 2017-GS6, Class A3, 3.43%, <br>05/10/2050 | 2000000 | 1977684  |
|  GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class A3, 1.53%, 07/25/2061<sup>(a)(b)</sup> | 828874 | 761286  |
|  GSAT Trust 2025-BMF, Series 2025-BMF, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 07/15/2040, (1.50% Floor)<sup>(a)</sup> | 2900000 | 2903624  |

---

The accompanying notes are an integral part of these consolidated financial statements.

33<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **MORTGAGE-BACKED SECURITIES - (Continued)** <br>|  |  |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, 5.29% (1 mo. Term SOFR + 1.54%), 12/15/2039, (1.54% Floor)<sup>(a)</sup> | $728180 | $727954  |
|  Ladder Capital Commercial Mortgage Securities LLC, Series 2013-GCP, Class A1, 3.57%, 02/15/2036<sup>(a)</sup> | 822471 | 801287  |
|  MCR Mortgage Trust, Series 2024-HTL, Class A, 5.51% (1 mo. Term SOFR + 1.76%), 02/15/2037, (1.76% Floor)<sup>(a)</sup> | 946688 | 946943  |
|  MILE Trust 2025-STNE, Series 2025-STNE, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 07/15/2042, (1.50% Floor)<sup>(a)</sup> | 3100000 | 3101936  |
|  Natixis Commercial Mortgage Securities Trust, Series 2019-LVL, Class A, 3.89%, 08/15/2038<sup>(a)</sup> | 3700000 | 3605607  |
| New Residential Mortgage Loan Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1, 3.75%, 03/25/2056<sup>(a)(b)</sup> | 428163 | 414362  |
| &nbsp;&nbsp;&nbsp; Series 2017-2A, Class A3, 4.00%, 03/25/2057<sup>(a)(b)</sup> | 650602 | 633947  |
|  NRTH PARK Mortgage Trust, Series 2025-PARK, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 10/15/2040, (1.39% Floor)<sup>(a)</sup> | 6070000 | 6075696  |
|  NYC Commercial Mortgage Trust, Series 2024-3ELV, Class A, 5.74% (1 mo. Term SOFR + 1.99%), 08/15/2029, (1.99% Floor)<sup>(a)</sup> | 5650000 | 5657051  |
|  ONNI Commercial Mortgage Trust, Series 2024-APT, Class A, 5.57%, 07/15/2039<sup>(a)(b)</sup> | 1600000 | 1630350  |
|  PKHL Commercial Mortgage Trust, Series 2021-MF, Class A, 4.75% (1 mo. Term SOFR + 0.99%), 07/15/2038, (0.88% Floor)<sup>(a)</sup> | 5750000 | 5420686  |
|  SCG Mortgage Trust, Series 2025-SNIP, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 09/15/2042, (1.50% Floor)<sup>(a)</sup> | 4750000 | 4757418  |
|  SMR Mortgage Trust, Series 2022-IND, Class A, 5.40% (1 mo. Term SOFR + 1.65%), 02/15/2039, (1.65% Floor)<sup>(a)</sup> | 1922922 | 1922592  |
|  TX Trust, Series 2024-HOU, Class A, 5.34% (1 mo. Term SOFR + 1.59%), 06/15/2039, (1.59% Floor)<sup>(a)</sup> | 2000000 | 2001248  |
|  Wells Fargo Commercial Mortgage Trust 2024-1CHI, Series 2025-B33RP, Class A, 5.10% (1 mo. Term SOFR + 1.35%), 08/15/2042, (1.35% Floor)<sup>(a)</sup> | 5250000 | 5247676  |
|  WF-RBS Commercial Mortgage Trust, Series 2014-C22, Class AS, 4.07%, 09/15/2057<sup>(b)</sup> | 302070 | 286976  |
| &nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES** <br>**(Cost $176,716,904)** |  | 176229388  |
| **ASSET-BACKED SECURITIES - 9.5%**<br>|  |  |
| American Express Travel Related Services Co., Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 5.23%, 04/15/2029 | 9350000 | 9527286  |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A, 4.28%, 04/15/2030 | 570000 | 576614  |
|  Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W6, Class M1, 4.90% (1 mo. Term SOFR + 1.16%), 01/25/2034, (1.05% Floor) | 521424 | 563268  |
| Bank of America Auto Trust, Series 2024-1A, Class A3, 5.35%, 11/15/2028<sup>(a)</sup> | 4388500 | 4426096  |
| CarMax Auto Owner Trust, Series 2024-4, Class A3, 4.60%, 10/15/2029 | 11090000 | 11206737  |
| Carvana Auto Receivables Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 789934 | 790616  |
| &nbsp;&nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 01/10/2030 | 265000 | 266624  |
| CNH Equipment Trust, Series 2024-C, Class A3, 4.03%, 01/15/2030 | 2775000 | 2785740 |

---

The accompanying notes are an integral part of these consolidated financial statements.

34<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **ASSET-BACKED SECURITIES - (Continued)** <br>|  |  |
|  DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051<sup>(a)</sup> | $3936000 | $3860925  |
| Elara Depositor LLC, Series 2021-A, Class A, 1.36%, 08/27/2035<sup>(a)</sup> | 663050 | 635244  |
| Financial Holding Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 4.95%, 02/15/2029<sup>(a)</sup> | 4000000 | 4041771  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/2029<sup>(a)</sup> | 4440000 | 4512879  |
| Ford Credit Auto Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/2028 | 3597560 | 3630490  |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.07%, 07/15/2029 | 8075000 | 8102908  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A3, 4.61%, 08/15/2029 | 3400000 | 3440904  |
|  GM Financial Consumer Automobile Receivables Trust, Series 2024-2, Class A3, 5.10%, 03/16/2029 | 4734785 | 4775337  |
| GM Financial Leasing Trust, Series 2024-2, Class A3, 5.39%, 07/20/2027 | 11711806 | 11763178  |
| Hilton Grand Vacations, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-AA, Class A, 2.34%, 07/25/2033<sup>(a)</sup> | 348714 | 347718  |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.50%, 03/25/2038<sup>(a)</sup> | 2454677 | 2507499  |
|  Honda Auto Receivables Owner Trust, Series 2024-1, Class A3, 5.21%, 08/15/2028 | 2781407 | 2806050  |
| Marriott Vacations Worldwide Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.22%, 10/20/2038<sup>(a)</sup> | 240107 | 239808  |
| &nbsp;&nbsp;&nbsp; Series 2021-1WA, Class A, 1.14%, 01/22/2041<sup>(a)</sup> | 592234 | 572624  |
| Mercedes-Benz Auto Lease Trust, Series 2025-B, Class A3, 3.88%, 04/16/2029 | 6900000 | 6902213  |
| MVW Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.32%, 02/20/2043<sup>(a)</sup> | 2990500 | 3051833  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.97%, 09/22/2042<sup>(a)</sup> | 4036215 | 4093591  |
| Navient Student Loan Trust, Series 2021-A, Class A, 0.84%, 05/15/2069<sup>(a)</sup> | 1008116 | 926474  |
|  Porsche Financial Auto Securitization Trust, Series 2024-1A, Class A3, 4.44%, 01/22/2030<sup>(a)</sup> | 1500000 | 1506146  |
|  Sierra Timeshare Conduit Receivables Funding LLC, Series 2023-2A, Class A, 5.80%, 04/20/2040<sup>(a)</sup> | 348093 | 357599  |
|  SoFi Professional Loan Program LLC, Series 2021-B, Class AFX, 1.14%, 02/15/2047<sup>(a)</sup> | 1003586 | 879641  |
| Synchrony Bank, Series 2024-A1, Class A, 5.04%, 03/15/2030 | 1300000 | 1318262  |
| Taco Bell Corp., Series 2021-1A, Class A2I, 1.95%, 08/25/2051<sup>(a)</sup> | 5767275 | 5618745  |
| Tesla Auto Lease Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.30%, 06/21/2027<sup>(a)</sup> | 2002374 | 2009509  |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.82%, 10/20/2027<sup>(a)</sup> | 3730000 | 3748133  |
| T-Mobile US Trust, Series 2024-1A, Class A, 5.05%, 09/20/2029<sup>(a)</sup> | 2140000 | 2153144  |
| Toyota Auto Receivables Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-C, Class A3, 3.76%, 04/15/2027 | 446264 | 446180  |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 5.33%, 01/16/2029 | 11580218 | 11705704  |
| Toyota Lease Owner Trust, Series 2024-A, Class A3, 5.25%, 04/20/2027<sup>(a)</sup> | 2686923 | 2696242  |
| Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 06/21/2027 | 4750000 | 4781926  |
|  World Omni Automobile Lease Securitization Trust, Series 2024-A, Class A3, 5.26%, 10/15/2027 | 6720000 | 6769647  |
| &nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES** <br>**(Cost $139,555,200)** |  | 140345305  |

---

The accompanying notes are an integral part of these consolidated financial statements.

35<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **U.S. GOVERNMENT AGENCY ISSUES - 7.2%**<br>|  |  |
| Federal Farm Credit Banks Funding Corp, 4.75%, 12/14/2026 | $3725000 | $3765114  |
| Federal Farm Credit Banks Funding Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.63%, 03/05/2026 | 13745000 | 13769566  |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/14/2026 | 11900000 | 11965312  |
| Federal Home Loan Banks<br>|  |  |
| &nbsp;&nbsp;&nbsp; 0.60%, 02/12/2026 | 7100000 | 7075161  |
| &nbsp;&nbsp;&nbsp; 1.10%, 02/25/2028 | 11160000 | 10558104  |
| Federal National Mortgage Association<br>|  |  |
| &nbsp;&nbsp;&nbsp; 1.88%, 09/24/2026 | 26835000 | 26506044  |
| &nbsp;&nbsp;&nbsp; 0.75%, 10/08/2027 | 34505000 | 32898874  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT AGENCY ISSUES** <br>**(Cost $105,471,819)** |  | 106538175  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 88.3%** <br>**(Cost $1,293,733,759)** |  | $1308398822  |
| Money Market Deposit Account - 3.9%<sup>(c)(d)</sup> |  | 57397332  |
| Other Assets in Excess of Liabilities - 7.8%<sup>(e)</sup> |  | 115882686  |
| **TOTAL NET ASSETS - 100.0%** |  | $1481678840 |

---

Par amount is in USD unless otherwise indicated.

Percentages are stated as a percent of net assets.

CMT - Constant Maturity Treasury

LLC - Limited Liability Company

LP - Limited Partnership

PLC - Public Limited Company

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

<sup>(a)</sup> Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of December 31, 2025, the value of these securities total $263,938,589 or 17.8% of the Fund's net assets.

<sup>(b)</sup> Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2025.

<sup>(c)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

<sup>(d)</sup> A portion of this deposit account is pledged as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $14,333.

<sup>(e)</sup> Includes assets pledged as collateral for derivative contracts. As of the reporting date, the value of these assets totals $108,056,404. 

The accompanying notes are an integral part of these consolidated financial statements.

36<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp; 1101 | &nbsp;&nbsp; 09/14/2027 | $266593388 | &nbsp;&nbsp;&nbsp; $149364  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/02/2026 | 73690 | &nbsp;&nbsp;&nbsp; 5925  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 2 | &nbsp;&nbsp; 01/28/2026 | 149017 | &nbsp;&nbsp;&nbsp; 5599  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/17/2026 | 74646 | &nbsp;&nbsp;&nbsp; 4518  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/25/2026 | 74786 | &nbsp;&nbsp;&nbsp; 2977  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/26/2026 | 74805 | &nbsp;&nbsp;&nbsp; 2314  |
| Arabica Coffee | &nbsp;&nbsp; 58 | &nbsp;&nbsp; 03/19/2026 | 7585313 | &nbsp;&nbsp;&nbsp; (384630)  |
| Australian Government 3 Year Bonds | &nbsp;&nbsp; 32 | &nbsp;&nbsp; 03/16/2026 | 2242207 | &nbsp;&nbsp;&nbsp;&nbsp;(91)  |
| Australian Dollar | &nbsp;&nbsp; 190 | &nbsp;&nbsp; 03/16/2026 | 12678700 | &nbsp;&nbsp;&nbsp; (48690)  |
| Brent Crude Oil | &nbsp;&nbsp; 355 | &nbsp;&nbsp; 01/30/2026 | 21601750 | &nbsp;&nbsp;&nbsp; (149651)  |
| Brent Crude Oil | &nbsp;&nbsp; 82 | &nbsp;&nbsp; 02/27/2026 | 4960180 | &nbsp;&nbsp;&nbsp; (59414)  |
| Brent Crude Oil | &nbsp;&nbsp; 17 | &nbsp;&nbsp; 03/31/2026 | 1025440 | &nbsp;&nbsp;&nbsp; (15222)  |
| Brent Crude Oil | &nbsp;&nbsp; 10 | &nbsp;&nbsp; 04/30/2026 | 602500 | &nbsp;&nbsp;&nbsp; (8463)  |
| Brent Crude Oil | &nbsp;&nbsp; 5 | &nbsp;&nbsp; 05/29/2026 | 301100 | &nbsp;&nbsp;&nbsp; (4146)  |
| Brent Crude Oil | &nbsp;&nbsp; 2 | &nbsp;&nbsp; 06/30/2026 | 120380 | &nbsp;&nbsp;&nbsp;&nbsp;(713)  |
| British Pound | &nbsp;&nbsp; 163 | &nbsp;&nbsp; 03/16/2026 | 13710338 | &nbsp;&nbsp;&nbsp; (28780)  |
| CAC40 10 Euro Index | &nbsp;&nbsp; 191 | &nbsp;&nbsp; 01/16/2026 | 18302708 | &nbsp;&nbsp;&nbsp; 101123  |
| Canadian 10 Year Government Bonds | &nbsp;&nbsp; 284 | &nbsp;&nbsp; 03/20/2026 | 25017988 | &nbsp;&nbsp;&nbsp; (330996)  |
| Canadian Dollar | &nbsp;&nbsp; 208 | &nbsp;&nbsp; 03/17/2026 | 15208960 | &nbsp;&nbsp;&nbsp; 29623  |
| CME Bitcoin Reference Rate (BRR) | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/30/2026 | 439425 | &nbsp;&nbsp;&nbsp; (11891)  |
| Copper | &nbsp;&nbsp; 15 | &nbsp;&nbsp; 03/27/2026 | 2130750 | &nbsp;&nbsp;&nbsp; 35297  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/20/2026 | 311469 | &nbsp;&nbsp;&nbsp; 44772  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/25/2026 | 311146 | &nbsp;&nbsp;&nbsp; 31811  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/27/2026 | 311121 | &nbsp;&nbsp;&nbsp; 28189  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/02/2026 | 311096 | &nbsp;&nbsp;&nbsp; 24612  |
| Crude Oil | &nbsp;&nbsp; 314 | &nbsp;&nbsp; 01/20/2026 | 18029880 | &nbsp;&nbsp;&nbsp; 61017  |
| Crude Oil | &nbsp;&nbsp; 67 | &nbsp;&nbsp; 02/20/2026 | 3833740 | &nbsp;&nbsp;&nbsp; (28097)  |
| Crude Oil | &nbsp;&nbsp; 6 | &nbsp;&nbsp; 03/20/2026 | 342420 | &nbsp;&nbsp;&nbsp; (2631)  |
| Crude Soybean Oil | &nbsp;&nbsp; 50 | &nbsp;&nbsp; 03/13/2026 | 1456800 | &nbsp;&nbsp;&nbsp; (17694)  |
| Dollar Index | &nbsp;&nbsp; 9 | &nbsp;&nbsp; 03/16/2026 | 882423 | &nbsp;&nbsp;&nbsp; 1249  |
| Dow Jones Industrial Average Index | &nbsp;&nbsp; 175 | &nbsp;&nbsp; 03/20/2026 | 42294000 | &nbsp;&nbsp;&nbsp; (382638)  |
| Euro | &nbsp;&nbsp; 351 | &nbsp;&nbsp; 03/16/2026 | 51684750 | &nbsp;&nbsp;&nbsp; (192661)  |
| Euro STOXX 50 Quanto Index | &nbsp;&nbsp; 1023 | &nbsp;&nbsp; 03/20/2026 | 70222148 | &nbsp;&nbsp;&nbsp; 829273  |
| Euro-BTP Italian Government Bonds | &nbsp;&nbsp; 97 | &nbsp;&nbsp; 03/06/2026 | 13699831 | &nbsp;&nbsp;&nbsp; (38341)  |
| French Government Bonds | &nbsp;&nbsp; 39 | &nbsp;&nbsp; 03/06/2026 | 5526971 | &nbsp;&nbsp;&nbsp; (9380)  |
| FTSE 100 Index | &nbsp;&nbsp; 443 | &nbsp;&nbsp; 03/20/2026 | 59361654 | &nbsp;&nbsp;&nbsp; 880518  |
| FTSE China A50 Index | &nbsp;&nbsp; 39 | &nbsp;&nbsp; 01/29/2026 | 595920 | &nbsp;&nbsp;&nbsp; (4212)  |
| FTSE/JSE Top 40 Index | &nbsp;&nbsp; 5 | &nbsp;&nbsp; 03/19/2026 | 330151 | &nbsp;&nbsp;&nbsp; 576  |
| FTSE/MIB Index | &nbsp;&nbsp; 36 | &nbsp;&nbsp; 03/20/2026 | 9530320 | &nbsp;&nbsp;&nbsp; 93480  |
| German Stock Index | &nbsp;&nbsp; 66 | &nbsp;&nbsp; 03/20/2026 | 47875829 | &nbsp;&nbsp;&nbsp; 471289  |
| Gold | &nbsp;&nbsp; 110 | &nbsp;&nbsp; 02/25/2026 | 47752100 | &nbsp;&nbsp;&nbsp; 754071  |
| Hang Seng China Enterprises Index | &nbsp;&nbsp; 137 | &nbsp;&nbsp; 01/29/2026 | 7836040 | &nbsp;&nbsp;&nbsp; (78583)  |
| Hang Seng Index | &nbsp;&nbsp; 128 | &nbsp;&nbsp; 01/29/2026 | 21091292 | &nbsp;&nbsp;&nbsp; (211110)  |
| IBEX 35 Index | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/16/2026 | 203068 | &nbsp;&nbsp;&nbsp; 3993  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp; 58 | &nbsp;&nbsp; 12/15/2026 | 18892393 | &nbsp;&nbsp;&nbsp; 10153  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp; 75 | &nbsp;&nbsp; 03/16/2027 | 24432347 | &nbsp;&nbsp;&nbsp; 16421  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp; 80 | &nbsp;&nbsp; 06/15/2027 | 26053082 | &nbsp;&nbsp;&nbsp; 16449  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp; 312 | &nbsp;&nbsp; 09/14/2027 | 101559707 | &nbsp;&nbsp;&nbsp; 90724  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp; 43 | &nbsp;&nbsp; 12/14/2027 | 13990490 | &nbsp;&nbsp;&nbsp; 9325 |

---

The accompanying notes are an integral part of these consolidated financial statements.

37<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 03/14/2028 | $12032718 | &nbsp;&nbsp;&nbsp; $8320  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 06/20/2028 | 7150882 | &nbsp;&nbsp;&nbsp; 4140  |
| ICE European Climate Exchange Emissions | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 12/14/2026 | 2156219 | &nbsp;&nbsp;&nbsp; (2681)  |
| Japanese 10 Year Government Bonds | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/13/2026 | 5917199 | &nbsp;&nbsp;&nbsp;&nbsp;(212)  |
| KOSPI 200 Index | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 03/12/2026 | 16038319 | &nbsp;&nbsp;&nbsp; 499200  |
| Live Cattle | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 02/27/2026 | 277920 | &nbsp;&nbsp;&nbsp; 593  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp; 03/16/2026 | 14148871 | &nbsp;&nbsp;&nbsp; 544136  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp; 03/16/2026 | 46651875 | &nbsp;&nbsp;&nbsp; 5446328  |
| London Metals - Lead<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/16/2026 | 351346 | &nbsp;&nbsp;&nbsp;&nbsp;(863)  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 03/16/2026 | 998336 | &nbsp;&nbsp;&nbsp; 94128  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp; 03/16/2026 | 8499057 | &nbsp;&nbsp;&nbsp; 190357  |
| Long Gilt | &nbsp;&nbsp;&nbsp; 288 | &nbsp;&nbsp; 03/27/2026 | 35470581 | &nbsp;&nbsp;&nbsp; 88452  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 02/12/2026 | 6634000 | &nbsp;&nbsp;&nbsp; 53542  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 03/12/2026 | 1724100 | &nbsp;&nbsp;&nbsp; 1239  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 04/10/2026 | 487400 | &nbsp;&nbsp;&nbsp; 690  |
| Mexican Peso | &nbsp;&nbsp;&nbsp; 529 | &nbsp;&nbsp; 03/16/2026 | 14579240 | &nbsp;&nbsp;&nbsp;&nbsp;(393)  |
| MSCI EAFE Index | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 03/20/2026 | 2466785 | &nbsp;&nbsp;&nbsp; (7053)  |
| MSCI Emerging Markets Index | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 03/20/2026 | 2328810 | &nbsp;&nbsp;&nbsp; (3737)  |
| Nasdaq 100 Index | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 03/20/2026 | 67714955 | &nbsp;&nbsp;&nbsp; (163230)  |
| Natural Gas | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 05/27/2026 | 34310 | &nbsp;&nbsp;&nbsp; (1542)  |
| Nifty 50 Index | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 01/27/2026 | 630612 | &nbsp;&nbsp;&nbsp;&nbsp;(453)  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 03/12/2026 | 29601634 | &nbsp;&nbsp;&nbsp; (99886)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp; 01/30/2026 | 4989768 | &nbsp;&nbsp;&nbsp; (58623)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 02/27/2026 | 883428 | &nbsp;&nbsp;&nbsp; (10673)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/31/2026 | 174006 | &nbsp;&nbsp;&nbsp; (2305)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/30/2026 | 86058 | &nbsp;&nbsp;&nbsp; (1274)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 01/30/2026 | 1152480 | &nbsp;&nbsp;&nbsp; (14893)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 02/27/2026 | 1462860 | &nbsp;&nbsp;&nbsp; (25165)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/31/2026 | 576710 | &nbsp;&nbsp;&nbsp; (7854)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 04/30/2026 | 578504 | &nbsp;&nbsp;&nbsp; (6569)  |
| Russell 2000 Index | &nbsp;&nbsp;&nbsp; 318 | &nbsp;&nbsp; 03/20/2026 | 39718200 | &nbsp;&nbsp;&nbsp; (762352)  |
| S&P 500 Index | &nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp; 03/20/2026 | 95461125 | &nbsp;&nbsp;&nbsp; (192027)  |
| S&P/Toronto Stock Exchange 60 Index | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 03/19/2026 | 2713052 | &nbsp;&nbsp;&nbsp; (4153)  |
| SET50 Index | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 03/30/2026 | 494988 | &nbsp;&nbsp;&nbsp; (4017)  |
| SGX FTSE Taiwan Index | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 01/29/2026 | 2940040 | &nbsp;&nbsp;&nbsp; 25461  |
| Silver | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 03/27/2026 | 10943465 | &nbsp;&nbsp;&nbsp; 1540653  |
| Soybeans | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 03/13/2026 | 3613875 | &nbsp;&nbsp;&nbsp; (297738)  |
| Swiss Franc | &nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp; 03/16/2026 | 23350031 | &nbsp;&nbsp;&nbsp; (131183)  |
| TOPIX Index | &nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp; 03/12/2026 | 55787538 | &nbsp;&nbsp;&nbsp; 296841  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp; 03/20/2026 | 76569937 | &nbsp;&nbsp;&nbsp; (480463)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp; 03/31/2026 | 114833984 | &nbsp;&nbsp;&nbsp; (62818)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp; 03/31/2026 | 109195383 | &nbsp;&nbsp;&nbsp; (267909)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 03/20/2026 | 22309594 | &nbsp;&nbsp;&nbsp; (5399)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/12/2026 | 77199 | &nbsp;&nbsp;&nbsp; 3340  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/09/2026 | 77637 | &nbsp;&nbsp;&nbsp; 981  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/02/2026 | 77848 | &nbsp;&nbsp;&nbsp; 469  |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $7880033 |

---

The accompanying notes are an integral part of these consolidated financial statements.

38<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 10 Year Japanese Government Bonds | (11) | &nbsp;&nbsp; 03/12/2026 | $928722 | &nbsp;&nbsp;&nbsp; $6988  |
| 10 Year U.S. Ultra Treasury Notes | (165) | &nbsp;&nbsp; 03/20/2026 | 18977578 | &nbsp;&nbsp;&nbsp; 13519  |
| 3 Month Euribor | (119) | &nbsp;&nbsp; 09/14/2026 | 34241939 | &nbsp;&nbsp;&nbsp; 16334  |
| 3 Month Euribor | (113) | &nbsp;&nbsp; 12/14/2026 | 32500515 | &nbsp;&nbsp;&nbsp; (1923)  |
| 3 Month Euribor | (103) | &nbsp;&nbsp; 03/15/2027 | 29604693 | &nbsp;&nbsp;&nbsp; (3403)  |
| 3 Month Euribor | (1311) | &nbsp;&nbsp; 06/14/2027 | 376543506 | &nbsp;&nbsp;&nbsp; (66149)  |
| 3 Month Euribor | (75) | &nbsp;&nbsp; 09/13/2027 | 21525966 | &nbsp;&nbsp;&nbsp; (4245)  |
| 3 Month Euribor | (62) | &nbsp;&nbsp; 12/13/2027 | 17782959 | &nbsp;&nbsp;&nbsp; (3931)  |
| 3 Month Euribor | (51) | &nbsp;&nbsp; 03/13/2028 | 14618178 | &nbsp;&nbsp;&nbsp; (8554)  |
| 3-Month Secured Overnight Financing Rate | (21) | &nbsp;&nbsp; 12/15/2026 | 5084363 | &nbsp;&nbsp;&nbsp; (3685)  |
| 3-Month Secured Overnight Financing Rate | (31) | &nbsp;&nbsp; 03/16/2027 | 7508975 | &nbsp;&nbsp;&nbsp; (4077)  |
| 3-Month Secured Overnight Financing Rate | (34) | &nbsp;&nbsp; 06/15/2027 | 8235225 | &nbsp;&nbsp;&nbsp; (5057)  |
| 3-Month Secured Overnight Financing Rate | (12) | &nbsp;&nbsp; 09/14/2027 | 2905650 | &nbsp;&nbsp;&nbsp; (1783)  |
| 3-Month Secured Overnight Financing Rate | (10) | &nbsp;&nbsp; 12/14/2027 | 2420125 | &nbsp;&nbsp;&nbsp; (1267)  |
| 3-Month Secured Overnight Financing Rate | (23) | &nbsp;&nbsp; 03/14/2028 | 5562837 | &nbsp;&nbsp;&nbsp; (2401)  |
| 3-Month Secured Overnight Financing Rate | (10) | &nbsp;&nbsp; 06/20/2028 | 2417000 | &nbsp;&nbsp;&nbsp;&nbsp;(754)  |
| 3-Month Secured Overnight Financing Rate | (214) | &nbsp;&nbsp; 09/19/2028 | 51691700 | &nbsp;&nbsp;&nbsp;&nbsp;(987)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 01/02/2026 | 73690 | &nbsp;&nbsp;&nbsp; (6247)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | (2) | &nbsp;&nbsp; 01/28/2026 | 149016 | &nbsp;&nbsp;&nbsp; (4859)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 02/17/2026 | 74646 | &nbsp;&nbsp;&nbsp; (4841)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 02/25/2026 | 74786 | &nbsp;&nbsp;&nbsp; (3750)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 02/26/2026 | 74805 | &nbsp;&nbsp;&nbsp; (3189)  |
| ASX SPI 200 Index | (9) | &nbsp;&nbsp; 03/19/2026 | 1302737 | &nbsp;&nbsp;&nbsp; 8265  |
| Australian Government 10 Year Bonds | (823) | &nbsp;&nbsp; 03/16/2026 | 60131991 | &nbsp;&nbsp;&nbsp; 142577  |
| Australian Dollar | (18) | &nbsp;&nbsp; 03/16/2026 | 1201140 | &nbsp;&nbsp;&nbsp; 1459  |
| Brent Crude Oil | (173) | &nbsp;&nbsp; 01/30/2026 | 10527050 | &nbsp;&nbsp;&nbsp; (77551)  |
| Canadian Dollar | (49) | &nbsp;&nbsp; 03/17/2026 | 3582880 | &nbsp;&nbsp;&nbsp; (17216)  |
| Copper - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 01/20/2026 | 311469 | &nbsp;&nbsp;&nbsp; (45465)  |
| Copper - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 02/25/2026 | 311146 | &nbsp;&nbsp;&nbsp; (36066)  |
| Copper - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 02/27/2026 | 311121 | &nbsp;&nbsp;&nbsp; (23591)  |
| Copper - 90 day settlement<sup>(a)</sup> | (1) | &nbsp;&nbsp; 03/02/2026 | 311096 | &nbsp;&nbsp;&nbsp; (25507)  |
| Corn No. 2 Yellow | (483) | &nbsp;&nbsp; 03/13/2026 | 10632037 | &nbsp;&nbsp;&nbsp; 178284  |
| Cotton No. 2 | (157) | &nbsp;&nbsp; 03/09/2026 | 5045195 | &nbsp;&nbsp;&nbsp; 123321  |
| Crude Oil | (186) | &nbsp;&nbsp; 01/20/2026 | 10680120 | &nbsp;&nbsp;&nbsp; (195688)  |
| Crude Oil | (1) | &nbsp;&nbsp; 04/21/2026 | 57000 | &nbsp;&nbsp;&nbsp; 678  |
| Crude Soybean Oil | (90) | &nbsp;&nbsp; 03/13/2026 | 2622240 | &nbsp;&nbsp;&nbsp; 18699  |
| Ether Dollar Reference Rate | (1) | &nbsp;&nbsp; 01/30/2026 | 149350 | &nbsp;&nbsp;&nbsp;&nbsp;(285)  |
| Euro | (8) | &nbsp;&nbsp; 03/16/2026 | 1178000 | &nbsp;&nbsp;&nbsp; 5253  |
| Euro BUXL 30 Year Bonds | (104) | &nbsp;&nbsp; 03/06/2026 | 13458939 | &nbsp;&nbsp;&nbsp; (38298)  |
| Euro-BOBL | (1973) | &nbsp;&nbsp; 03/06/2026 | 269336342 | &nbsp;&nbsp;&nbsp; 48218  |
| Euro-BTP Italian Government Bonds | (11) | &nbsp;&nbsp; 03/06/2026 | 1553589 | &nbsp;&nbsp;&nbsp; 139  |
| Euro-Bund | (1480) | &nbsp;&nbsp; 03/06/2026 | 221881728 | &nbsp;&nbsp;&nbsp; 80385  |
| Euro-Schatz | (4059) | &nbsp;&nbsp; 03/06/2026 | 509402306 | &nbsp;&nbsp;&nbsp; 210474  |
| French Government Bonds | (72) | &nbsp;&nbsp; 03/06/2026 | 10203638 | &nbsp;&nbsp;&nbsp; (5903)  |
| Hard Red Winter Wheat | (271) | &nbsp;&nbsp; 03/13/2026 | 6974862 | &nbsp;&nbsp;&nbsp; 187276  |
| Japanese 10 Year Government Bonds | (106) | &nbsp;&nbsp; 03/13/2026 | 89603294 | &nbsp;&nbsp;&nbsp; 610180  |

---

The accompanying notes are an integral part of these consolidated financial statements.

39<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;(287) | &nbsp;&nbsp; 03/16/2026 | $23026369 | &nbsp;&nbsp;&nbsp; $56215  |
| Lean Hogs | &nbsp;&nbsp;&nbsp;&nbsp;(22) | &nbsp;&nbsp; 02/13/2026 | 748880 | &nbsp;&nbsp;&nbsp; (16953)  |
| London Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(30) | &nbsp;&nbsp; 03/16/2026 | 1769987 | &nbsp;&nbsp;&nbsp; (19245)  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(41) | &nbsp;&nbsp; 03/16/2026 | 3069332 | &nbsp;&nbsp;&nbsp; (112367)  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(62) | &nbsp;&nbsp; 03/16/2026 | 19282775 | &nbsp;&nbsp;&nbsp; (686061)  |
| London Metals - Lead<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 03/16/2026 | 401538 | &nbsp;&nbsp;&nbsp; 6401  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(13) | &nbsp;&nbsp; 03/16/2026 | 1297837 | &nbsp;&nbsp;&nbsp; (121640)  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(19) | &nbsp;&nbsp; 03/16/2026 | 1481487 | &nbsp;&nbsp;&nbsp; (26696)  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(184) | &nbsp;&nbsp; 01/28/2026 | 6782240 | &nbsp;&nbsp;&nbsp; 61133  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 01/29/2026 | 111198 | &nbsp;&nbsp;&nbsp;&nbsp;(499)  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(11) | &nbsp;&nbsp; 02/25/2026 | 344300 | &nbsp;&nbsp;&nbsp; 15298  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 03/27/2026 | 252240 | &nbsp;&nbsp;&nbsp; 15174  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 04/28/2026 | 32300 | &nbsp;&nbsp;&nbsp; 528  |
| New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 03/16/2026 | 288400 | &nbsp;&nbsp;&nbsp; 60  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/12/2026 | 161022 | &nbsp;&nbsp;&nbsp; 143  |
| Platinum | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 04/28/2026 | 102210 | &nbsp;&nbsp;&nbsp; 4393  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(18) | &nbsp;&nbsp; 01/30/2026 | 1296540 | &nbsp;&nbsp;&nbsp; 6014  |
| S&P Mid Cap 400 Index | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/20/2026 | 1330080 | &nbsp;&nbsp;&nbsp; 28543  |
| Sao Paulo Stock Exchange Index (Bovespa) | &nbsp;&nbsp;&nbsp;&nbsp;(120) | &nbsp;&nbsp; 02/18/2026 | 3589872 | &nbsp;&nbsp;&nbsp; (30110)  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp;(110) | &nbsp;&nbsp; 03/13/2026 | 3293400 | &nbsp;&nbsp;&nbsp; 47993  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp;(70) | &nbsp;&nbsp; 03/13/2026 | 3666250 | &nbsp;&nbsp;&nbsp; 114736  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp;(425) | &nbsp;&nbsp; 02/27/2026 | 7144760 | &nbsp;&nbsp;&nbsp; 348487  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp;(527) | &nbsp;&nbsp; 03/20/2026 | 59254563 | &nbsp;&nbsp;&nbsp; (19144)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp;(124) | &nbsp;&nbsp; 03/31/2026 | 25889844 | &nbsp;&nbsp;&nbsp; (26259)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp;(716) | &nbsp;&nbsp; 03/31/2026 | 78262158 | &nbsp;&nbsp;&nbsp; (144361)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(196) | &nbsp;&nbsp; 03/20/2026 | 22656375 | &nbsp;&nbsp;&nbsp; (99554)  |
| U.S. Treasury Ultra Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(138) | &nbsp;&nbsp; 03/20/2026 | 16284000 | &nbsp;&nbsp;&nbsp; 3714  |
| US Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 03/16/2026 | 181950 | &nbsp;&nbsp;&nbsp;&nbsp;(197)  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(372) | &nbsp;&nbsp; 03/13/2026 | 9430200 | &nbsp;&nbsp;&nbsp; 530769  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/12/2026 | 77198 | &nbsp;&nbsp;&nbsp; (3798)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/09/2026 | 77637 | &nbsp;&nbsp;&nbsp; (1031)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/02/2026 | 77848 | &nbsp;&nbsp;&nbsp; (1605)  |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $985458  |
| **Net Unrealized Appreciation (Depreciation)** |  |  |  | &nbsp;&nbsp;&nbsp; $8865491 |

---

The Fund has recorded a liability of $4,644,753 as of December 31, 2025 related to the current day's variation margin related to these contracts.

<sup>(a)</sup> London Metal Exchange ("LME") futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund's consolidated Statement of Assets and Liabilities. 

The accompanying notes are an integral part of these consolidated financial statements.

40<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Bank of America | 03/18/2026 | AUD | 61444000 | USD | 40845058 | $161923  |
| Bank of America | 01/21/2026 | CAD | 110280000 | USD | 80195949 | 229726  |
| Bank of America | 03/18/2026 | CAD | 64796000 | USD | 47257937 | 107340  |
| Bank of America | 01/06/2026 | CHF | 912000 | USD | 1150041 | 2079  |
| Bank of America | 03/18/2026 | CHF | 12029000 | USD | 15245494 | 66035  |
| Bank of America | 01/05/2026 | CNH | 11750000 | USD | 1681132 | 3806  |
| Bank of America | 01/06/2026 | CNH | 25540000 | USD | 3655360 | 7286  |
| Bank of America | 01/21/2026 | CNH | 448610000 | USD | 63756788 | 639075  |
| Bank of America | 01/02/2026 | EUR | 1952000 | USD | 2293348 | 855  |
| Bank of America | 01/05/2026 | EUR | 3781000 | USD | 4440137 | 4334  |
| Bank of America | 01/21/2026 | EUR | 75550000 | USD | 88582663 | 294507  |
| Bank of America | 03/18/2026 | EUR | 69618000 | USD | 81915085 | 196799  |
| Bank of America | 01/02/2026 | GBP | 2727000 | USD | 3672373 | 3474  |
| Bank of America | 01/05/2026 | GBP | 3166000 | USD | 4259932 | 7662  |
| Bank of America | 01/21/2026 | GBP | 59240000 | USD | 78882646 | 967981  |
| Bank of America | 02/18/2026 | GBP | 23630000 | USD | 31816447 | 32518  |
| Bank of America | 03/18/2026 | GBP | 47248000 | USD | 63125543 | 549390  |
| Bank of America | 01/06/2026 | JPY | 2348533000 | USD | 14999895 | 1646  |
| Bank of America | 01/21/2026 | MXN | 924710000 | USD | 50607608 | 637601  |
| Bank of America | 03/18/2026 | MXN | 544418000 | USD | 29654854 | 348552  |
| Bank of America | 01/06/2026 | NZD | 1188000 | USD | 683542 | 616  |
| Bank of America | 01/02/2026 | USD | 2334118 | AUD | 3481000 | 11029  |
| Bank of America | 01/05/2026 | USD | 3394872 | AUD | 5085000 | 1251  |
| Bank of America | 03/18/2026 | USD | 19440177 | AUD | 29101000 | 18522  |
| Bank of America | 01/02/2026 | USD | 1021072 | CAD | 1400000 | 977  |
| Bank of America | 01/02/2026 | USD | 2296833 | EUR | 1952000 | 2629  |
| Bank of America | 03/18/2026 | USD | 39178359 | EUR | 33184000 | 39045  |
| Bank of America | 01/02/2026 | USD | 3682484 | GBP | 2727000 | 6638  |
| Bank of America | 03/18/2026 | USD | 26696239 | GBP | 19809000 | 151  |
| Bank of America | 01/05/2026 | USD | 16145088 | JPY | 2522486000 | 33897  |
| Bank of America | 01/06/2026 | USD | 15016292 | JPY | 2348533000 | 14751  |
| Bank of America | 01/21/2026 | USD | 55702586 | JPY | 8655000000 | 341514  |
| Bank of America | 03/18/2026 | USD | 107608937 | JPY | 16691027000 | 339868  |
| Bank of America | 01/21/2026 | USD | 16349304 | MXN | 294730000 | 16075  |
| Bank of America | 01/05/2026 | USD | 240624 | NZD | 414000 | 2215  |
| Bank of America | 01/06/2026 | USD | 685363 | NZD | 1188000 | 1205  |
| Bank of America | 03/18/2026 | USD | 20097845 | NZD | 34644000 | 93268  |
| Bank of America | 01/02/2026 | AUD | 3481000 | USD | 2331546 | (8457)  |
| Bank of America | 01/05/2026 | AUD | 5085000 | USD | 3394909 | (1288)  |
| Bank of America | 01/02/2026 | CAD | 1400000 | USD | 1022006 | (1911)  |
| Bank of America | 01/05/2026 | CHF | 152000 | USD | 192070 | (71)  |
| Bank of America | 01/05/2026 | JPY | 2522486000 | USD | 16160406 | (49215)  |
| Bank of America | 01/21/2026 | JPY | 8655000000 | USD | 55860993 | (499920)  |
| Bank of America | 03/18/2026 | JPY | 1665842000 | USD | 10757473 | (51522)  |
| Bank of America | 01/05/2026 | NZD | 414000 | USD | 239889 | (1480)  |
| Bank of America | 03/18/2026 | NZD | 12802000 | USD | 7453617 | (61324) |

---

The accompanying notes are an integral part of these consolidated financial statements.

41<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Bank of America | 01/21/2026 | USD | 97396183 | CAD | 135240000 | $(1232474)  |
| Bank of America | 03/18/2026 | USD | 72217277 | CAD | 99537000 | (543349)  |
| Bank of America | 01/05/2026 | USD | 191924 | CHF | 152000 | (76)  |
| Bank of America | 01/06/2026 | USD | 1150700 | CHF | 912000 | (1421)  |
| Bank of America | 03/18/2026 | USD | 6092018 | CHF | 4802000 | (20374)  |
| Bank of America | 01/05/2026 | USD | 1680924 | CNH | 11750000 | (4014)  |
| Bank of America | 01/06/2026 | USD | 3657599 | CNH | 25540000 | (5048)  |
| Bank of America | 01/21/2026 | USD | 19573516 | CNH | 137850000 | (214205)  |
| Bank of America | 01/05/2026 | USD | 4436125 | EUR | 3781000 | (8346)  |
| Bank of America | 01/21/2026 | USD | 69158792 | EUR | 59160000 | (437149)  |
| Bank of America | 01/05/2026 | USD | 4257121 | GBP | 3166000 | (10473)  |
| Bank of America | 01/21/2026 | USD | 79438658 | GBP | 59240000 | (411969)  |
| Bank of America | 02/18/2026 | USD | 9013909 | JPY | 1406000000 | (640)  |
| Bank of America | 03/18/2026 | USD | 499715 | MXN | 9076000 | (472)  |
| Deutsche Bank | 01/21/2026 | AUD | 61850000 | USD | 41011129 | 269773  |
| Deutsche Bank | 01/06/2026 | CHF | 7480000 | USD | 9427423 | 21985  |
| Deutsche Bank | 01/21/2026 | CHF | 37760000 | USD | 47551946 | 230151  |
| Deutsche Bank | 01/21/2026 | CLP | 3756000000 | USD | 4079584 | 94296  |
| Deutsche Bank | 01/21/2026 | ILS | 8820000 | USD | 2744781 | 24616  |
| Deutsche Bank | 01/21/2026 | INR | 410360000 | USD | 4544953 | 12663  |
| Deutsche Bank | 01/21/2026 | KRW | 9716000000 | USD | 6622838 | 126779  |
| Deutsche Bank | 01/06/2026 | NZD | 12620000 | USD | 7258827 | 8916  |
| Deutsche Bank | 01/21/2026 | PLN | 42030000 | USD | 11598247 | 107583  |
| Deutsche Bank | 01/21/2026 | SEK | 374490000 | USD | 40137671 | 585463  |
| Deutsche Bank | 01/21/2026 | SGD | 33710000 | USD | 26102710 | 160770  |
| Deutsche Bank | 01/05/2026 | USD | 3766708 | CHF | 2980000 | 2514  |
| Deutsche Bank | 01/21/2026 | USD | 4935542 | INR | 443510000 | 9751  |
| Deutsche Bank | 01/05/2026 | USD | 4572910 | NZD | 7880000 | 35073  |
| Deutsche Bank | 01/06/2026 | USD | 7281302 | NZD | 12620000 | 13559  |
| Deutsche Bank | 01/21/2026 | USD | 28844766 | NZD | 49790000 | 151696  |
| Deutsche Bank | 01/05/2026 | USD | 3324543 | SEK | 30570000 | 3202  |
| Deutsche Bank | 01/21/2026 | ZAR | 335040000 | USD | 19608565 | 593065  |
| Deutsche Bank | 02/18/2026 | USD | 15150000 | NZD | 8735893 | (3562)  |
| Deutsche Bank | 01/21/2026 | BRL | 295510000 | USD | 54381512 | (757042)  |
| Deutsche Bank | 01/05/2026 | CHF | 2980000 | USD | 3776847 | (12652)  |
| Deutsche Bank | 01/21/2026 | NOK | 397910000 | USD | 39488421 | (9192)  |
| Deutsche Bank | 01/05/2026 | NZD | 7880000 | USD | 4578386 | (40548)  |
| Deutsche Bank | 01/21/2026 | NZD | 49790000 | USD | 28842316 | (149245)  |
| Deutsche Bank | 01/05/2026 | SEK | 30570000 | USD | 3326304 | (4964)  |
| Deutsche Bank | 01/21/2026 | USD | 47371193 | AUD | 71460000 | (323766)  |
| Deutsche Bank | 01/21/2026 | USD | 27612165 | BRL | 153110000 | (171811)  |
| Deutsche Bank | 01/06/2026 | USD | 9430109 | CHF | 7480000 | (19299)  |
| Deutsche Bank | 01/21/2026 | USD | 23885307 | CHF | 18920000 | (56359)  |
| Deutsche Bank | 01/21/2026 | USD | 2486658 | CLP | 2275000000 | (41451)  |
| Deutsche Bank | 01/21/2026 | USD | 3137 | ILS | 10000 | (3)  |
| Deutsche Bank | 01/21/2026 | USD | 5654033 | KRW | 8227000000 | (61189)  |

---

The accompanying notes are an integral part of these consolidated financial statements.

42<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Deutsche Bank | 01/21/2026 | USD | 4260359 | NOK | 43170000 | $(22816)  |
| Deutsche Bank | 01/21/2026 | USD | 4313603 | PLN | 15500000 | (3322)  |
| Deutsche Bank | 01/21/2026 | USD | 17471203 | SEK | 160990000 | (35319)  |
| Deutsche Bank | 01/21/2026 | USD | 8057238 | SGD | 10370000 | (22035)  |
| Deutsche Bank | 01/21/2026 | USD | 7252292 | ZAR | 121900000 | (97811)  |
| **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** | **Net Unrealized Appreciation (Depreciation)** |  | $2240511 |

---

AUD - Australian Dollars

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNH - Chinese Offshore Renminbi

EUR - Euro

GBP - British Pound

ILS - Israeli New Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Polish Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these consolidated financial statements.

43<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **U.S. TREASURY SECURITIES - 35.0%**<br>|  |  |
| United States Treasury Note/Bond<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/2026 | $1825000 | $1834360  |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/2027 | 1430000 | 1447651  |
| &nbsp;&nbsp;&nbsp; 1.38%, 10/31/2028 | 5015000 | 4726246  |
| &nbsp;&nbsp;&nbsp; 4.25%, 02/28/2029 | 18215000 | 18591396  |
| &nbsp;&nbsp;&nbsp; 4.63%, 04/30/2029 | 23205000 | 23965508  |
| &nbsp;&nbsp;&nbsp; 3.25%, 06/30/2029 | 17505000 | 17314223  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/28/2030 | 19860000 | 20127644  |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/30/2030 | 3135000 | 3161207  |
| &nbsp;&nbsp;&nbsp; 3.63%, 09/30/2030 | 8985000 | 8958326  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY SECURITIES** <br>**(Cost $98,657,121)** |  | 100126561  |
| **CORPORATE BONDS - 19.7%**<br>|  |  |
| **Aerospace & Defense - 0.9%**<br>|  |  |
| Boeing Co., 3.25%, 02/01/2028 | 1100000 | 1081444  |
| L3Harris Technologies, Inc., 5.40%, 01/15/2027 | 985000 | 999385  |
| RTX Corp., 4.13%, 11/16/2028 | 455000 | 456677  |
|  |  | 2537506  |
| **Agriculture - 0.2%**<br>|  |  |
| Philip Morris International, Inc., 4.63%, 11/01/2029 | 550000 | 559792  |
| **Auto Manufacturers - 0.3%**<br>|  |  |
| General Motors Financial Co., Inc., 5.35%, 01/07/2030 | 890000 | 919729  |
| **Banks - 6.8%**<br>|  |  |
| Bank of America Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.38% to 04/27/2027 then SOFR + 1.58%, 04/27/2028 | 1735000 | 1742103  |
| &nbsp;&nbsp;&nbsp; 5.16% to 01/24/2030 then SOFR + 1.00%, 01/24/2031 | 2440000 | 2520893  |
| Citibank NA, 4.58%, 05/29/2027 | 1100000 | 1111347  |
| Citigroup, Inc., 4.50% to 09/11/2030 then SOFR + 1.17%, 09/11/2031 | 650000 | 652817  |
| Credit Agricole SA, 5.22% to 05/27/2030 then SOFR + 1.46%, 05/27/2031<sup>(a)</sup> | 250000 | 256882  |
|  Deutsche Bank AG/New York NY, 5.00% to 09/11/2029 then SOFR + 1.70%, 09/11/2030 | 265000 | 269214  |
| Federation des Caisses Desjardins du Quebec, 5.70%, 03/14/2028<sup>(a)</sup> | 645000 | 666936  |
| Goldman Sachs Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 6.48% to 10/24/2028 then SOFR + 1.77%, 10/24/2029 | 380000 | 403130  |
| &nbsp;&nbsp;&nbsp; 5.22% to 04/23/2030 then SOFR + 1.58%, 04/23/2031 | 440000 | 454763  |
| HSBC Holdings PLC, 6.16% to 03/09/2028 then SOFR + 1.97%, 03/09/2029 | 575000 | 598835  |
| JPMorgan Chase & Co., 5.10% to 04/22/2030 then SOFR + 1.44%, 04/22/2031 | 2945000 | 3043271  |
| Morgan Stanley Private Bank NA<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.20% to 11/17/2027 then SOFR + 0.78%, 11/17/2028 | 1375000 | 1379561  |
| &nbsp;&nbsp;&nbsp; 4.47% to 11/19/2030 then SOFR + 1.02%, 11/19/2031 | 2890000 | 2899049  |
| NatWest Markets PLC, 5.41%, 05/17/2029<sup>(a)</sup> | 755000 | 783651  |
| State Street Corp., 4.54%, 02/28/2028 | 540000 | 548404 |

---

The accompanying notes are an integral part of these consolidated financial statements.

44<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Banks - (Continued)**  | **Banks - (Continued)**  | **Banks - (Continued)**  |
| &nbsp;&nbsp;&nbsp; UBS Group AG, 6.33% to 12/22/2026 then 1 yr. CMT Rate + 1.60%, <br>12/22/2027<sup>(a)</sup> | $665000 | $678899  |
| Wells Fargo & Co., 5.15% to 04/23/2030 then SOFR + 1.50%, 04/23/2031 | 1470000 | 1518664  |
|  |  | 19528419  |
| **Beverages - 0.2%**<br>|  |  |
| PepsiCo, Inc., 4.10%, 01/15/2029 | 610000 | 613630  |
| **Biotechnology - 0.3%**<br>|  |  |
| Amgen, Inc., 5.15%, 03/02/2028 | 735000 | 752447  |
| **Building Materials - 0.1%**<br>|  |  |
| Trane Technologies Financing Ltd., 3.50%, 03/21/2026 | 335000 | 334566  |
| **Commercial Services - 0.2%**<br>|  |  |
| Global Payments, Inc., 4.88%, 11/15/2030 | 410000 | 410904  |
| **Cosmetics & Personal Care - 0.4%**<br>|  |  |
| Haleon US Capital LLC, 3.38%, 03/24/2027 | 1200000 | 1191420  |
| **Diversified Financial Services - 0.5%**<br>|  |  |
| AerCap Ireland Capital/Global Aviation Trust, 6.10%, 01/15/2027 | 1245000 | 1268628  |
| **Electric - 0.9%**<br>|  |  |
| Duke Energy Carolinas LLC, 4.85%, 03/15/2030 | 630000 | 649063  |
| Florida Power & Light Co.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 04/01/2028 | 715000 | 733318  |
| &nbsp;&nbsp;&nbsp; 4.40%, 05/15/2028 | 920000 | 931773  |
| Southern California Edison Co., 1.20%, 02/01/2026 | 185000 | 184330  |
|  |  | 2498484  |
| **Electronics - 0.1%**<br>|  |  |
| Honeywell International, Inc., 4.88%, 09/01/2029 | 285000 | 292946  |
| **Food - 2.5%**<br>|  |  |
| General Mills, Inc., 4.88%, 01/30/2030 | 715000 | 731783  |
| Kraft Heinz Foods Co., 3.88%, 05/15/2027 | 625000 | 623406  |
| Mars, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 03/01/2028<sup>(a)</sup> | 2690000 | 2727568  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/01/2030<sup>(a)</sup> | 2540000 | 2597374  |
| Sysco Corp., 3.25%, 07/15/2027 | 490000 | 485205  |
|  |  | 7165336  |
| **Healthcare-Services - 0.6%**<br>|  |  |
| HCA, Inc., 5.00%, 03/01/2028 | 395000 | 402474  |
| UnitedHealth Group, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.40%, 06/15/2028 | 360000 | 364176  |
| &nbsp;&nbsp;&nbsp; 4.25%, 01/15/2029 | 1005000 | 1013141  |
|  |  | 1779791  |

---

The accompanying notes are an integral part of these consolidated financial statements.

45<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Insurance - 0.4%**<br>|  |  |
| Brown & Brown, Inc., 4.60%, 12/23/2026 | $450000 | $452267  |
| Metropolitan Life Global Funding I, 5.05%, 01/06/2028<sup>(a)</sup> | 295000 | 301091  |
| Principal Life Global Funding II, 0.88%, 01/12/2026<sup>(a)</sup> | 435000 | 434591  |
|  |  | 1187949  |
| **Packaging & Containers - 0.2%**<br>|  |  |
| Amcor Group Finance PLC, 5.45%, 05/23/2029 | 575000 | 594746  |
| **Pharmaceuticals - 0.8%**<br>|  |  |
| AbbVie, Inc., 4.80%, 03/15/2029 | 290000 | 297335  |
| CVS Health Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 2.88%, 06/01/2026 | 1195000 | 1188966  |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/30/2029 | 700000 | 715272  |
|  |  | 2201573  |
| **Pipelines - 0.7%**<br>|  |  |
| Enbridge, Inc., 6.00%, 11/15/2028 | 535000 | 562381  |
| Energy Transfer LP, 6.05%, 12/01/2026 | 1170000 | 1188865  |
| South Bow USA Infrastructure Holdings LLC, 4.91%, 09/01/2027 | 330000 | 333070  |
|  |  | 2084316  |
| **REITS - 1.7%**<br>|  |  |
| American Homes 4 Rent LP, 4.90%, 02/15/2029 | 305000 | 310293  |
| Brixmor Operating Partnership LP, 4.13%, 06/15/2026 | 345000 | 344795  |
| Essex Portfolio LP, 1.70%, 03/01/2028 | 295000 | 280305  |
| Healthcare Realty Holdings LP, 3.75%, 07/01/2027 | 1653000 | 1641802  |
| Kite Realty Group LP, 4.00%, 10/01/2026 | 905000 | 903555  |
| Lineage OP LP, 5.25%, 07/15/2030<sup>(a)</sup> | 585000 | 590612  |
| Prologis Targeted US Logistics Fund LP, 5.25%, 04/01/2029<sup>(a)</sup> | 655000 | 674766  |
|  |  | 4746128  |
| **Retail - 0.4%**<br>|  |  |
| O'Reilly Automotive, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 11/20/2026 | 685000 | 694259  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/01/2030 | 315000 | 314365  |
| Walmart, Inc., 4.35%, 04/28/2030 | 180000 | 183090  |
|  |  | 1191714  |
| **Semiconductors - 0.2%**<br>|  |  |
| Broadcom, Inc., 4.60%, 07/15/2030 | 435000 | 442309  |
| **Software - 0.3%**<br>|  |  |
| Oracle Corp., 4.80%, 08/03/2028 | 470000 | 472523  |
| Roper Technologies, Inc., 4.25%, 09/15/2028 | 500000 | 501981  |
|  |  | 974504  |

---

The accompanying notes are an integral part of these consolidated financial statements.

46<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  | **CORPORATE BONDS - (Continued)**  |
| **Telecommunications - 1.0%**<br>|  |  |
| AT&T, Inc., 2.30%, 06/01/2027 | $750000 | $732955  |
| T-Mobile USA, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 07/15/2028 | 495000 | 504105  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/15/2029 | 960000 | 981196  |
| Verizon Communications, Inc., 2.10%, 03/22/2028 | 780000 | 749083  |
|  |  | 2967339  |
| &nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS** <br>**(Cost $55,368,552)** |  | 56244176  |
| **MORTGAGE-BACKED SECURITIES - 11.4%**<br>|  |  |
|  Alen Mortgage Trust, Series 2021-ACEN, Class A, 5.02% (1 mo. Term SOFR + 1.26%), 04/15/2034, (1.15% Floor)<sup>(a)</sup> | 600000 | 571315  |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust LLC, Series 2020-5, Class A3, 2.04%, <br>05/25/2065<sup>(a)(b)</sup> | 7678 | 7460  |
|  ARDN 2025-ARCP Mortgage Trust, Series 2025-ARCP, Class A, 5.50% (1 mo. Term SOFR + 1.75%), 06/15/2035, (1.75% Floor)<sup>(a)</sup> | 1000000 | 1001556  |
| BANK-2022, Series 2022-BNK39, Class A1, 1.74%, 02/15/2055 | 163044 | 160870  |
| BLP Commercial Mortgage Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-IND2, Class B, 5.44% (1 mo. Term SOFR + 1.69%), 03/15/2041, (1.69% Floor)<sup>(a)</sup> | 454028 | 454307  |
| &nbsp;&nbsp;&nbsp; Series 2025-IND2, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 12/15/2042, (1.50% Floor)<sup>(a)</sup> | 1000000 | 1000623  |
| BX Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, 5.03% (1 mo. Term SOFR + 1.28%), 01/15/2039, (1.28% Floor)<sup>(a)</sup> | 250000 | 249848  |
| &nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 03/15/2041, (1.39% Floor)<sup>(a)</sup> | 1009521 | 1010142  |
| &nbsp;&nbsp;&nbsp; Series 2025-DELC, Class A, 5.51% (1 mo. Term SOFR + 1.55%), 12/15/2042, (1.55% Floor)<sup>(a)</sup> | 355000 | 355442  |
|  DK Trust, Series 2025-LXP, Class A, 5.33% (1 mo. Term SOFR + 1.59%), 08/15/2037, (1.59% Floor)<sup>(a)</sup> | 925000 | 926433  |
| Fannie Mae Connecticut Avenue Securities<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1M2, 7.37% (30 day avg SOFR US + 3.50%), 03/25/2042, (0.00% Floor)<sup>(a)</sup> | 1470000 | 1509645  |
| &nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2042, (0.00% Floor)<sup>(a)</sup> | 1150000 | 1177853  |
| &nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2, 6.87% (30 day avg SOFR US + 3.00%), 04/25/2042, (0.00% Floor)<sup>(a)</sup> | 35000 | 35773  |
| &nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M2, 7.72% (30 day avg SOFR US + 3.85%), 05/25/2042, (0.00% Floor)<sup>(a)</sup> | 605000 | 626866  |
| &nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M2, 8.52% (30 day avg SOFR US + 4.65%), 06/25/2042, (0.00% Floor)<sup>(a)</sup> | 1050000 | 1103334  |
| &nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M2, 7.47% (30 day avg SOFR US + 3.60%), 07/25/2042, (0.00% Floor)<sup>(a)</sup> | 1930000 | 1995029  |
| &nbsp;&nbsp;&nbsp; Series 2023-R01, Class 1M2, 7.62% (30 day avg SOFR US + 3.75%), 12/25/2042, (0.00% Floor)<sup>(a)</sup> | 865000 | 903456  |

---

The accompanying notes are an integral part of these consolidated financial statements.

47<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **MORTGAGE-BACKED SECURITIES - (Continued)**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-R02, Class 1M2, 7.22% (30 day avg SOFR US + 3.35%), 01/25/2043, (0.00% Floor)<sup>(a)</sup> | $1445000 | $1497674  |
| &nbsp;&nbsp;&nbsp; Series 2023-R04, Class 1M2, 7.42% (30 day avg SOFR US + 3.55%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | 600000 | 628871  |
| &nbsp;&nbsp;&nbsp; Series 2023-R05, Class 1M2, 6.97% (30 day avg SOFR US + 3.10%), 06/25/2043, (0.00% Floor)<sup>(a)</sup> | 550000 | 570374  |
| &nbsp;&nbsp;&nbsp; Series 2023-R06, Class 1M2, 6.57% (30 day avg SOFR US + 2.70%), 07/25/2043, (0.00% Floor)<sup>(a)</sup> | 2050000 | 2106784  |
| &nbsp;&nbsp;&nbsp; Series 2023-R08, Class 1M2, 6.37% (30 day avg SOFR US + 2.50%), 10/25/2043, (0.00% Floor)<sup>(a)</sup> | 380000 | 386293  |
| &nbsp;&nbsp;&nbsp; Series 2024-R02, Class 1M2, 5.67% (30 day avg SOFR US + 1.80%), 02/25/2044, (0.00% Floor)<sup>(a)</sup> | 210000 | 211113  |
| Freddie Mac Structured Agency Credit Risk Debt Notes<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-DNA1, Class M1B, 6.97% (30 day avg SOFR US + 3.10%), 03/25/2043, (0.00% Floor)<sup>(a)</sup> | 745000 | 771908  |
| &nbsp;&nbsp;&nbsp; Series 2023-DNA2, Class M1B, 7.12% (30 day avg SOFR US + 3.25%), 04/25/2043, (0.00% Floor)<sup>(a)</sup> | 1605000 | 1669829  |
| &nbsp;&nbsp;&nbsp; Series 2023-HQA1, Class M1B, 7.37% (30 day avg SOFR US + 3.50%), 05/25/2043, (0.00% Floor)<sup>(a)</sup> | 890000 | 932194  |
|  JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class AS, 4.11%, 09/15/2047 | 303333 | 298780  |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, 5.29% (1 mo. Term SOFR + 1.54%), 12/15/2039, (1.54% Floor)<sup>(a)</sup> | 2068033 | 2067390  |
|  MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, 5.16% (1 mo. Term SOFR + 1.40%), 03/15/2039, (1.40% Floor)<sup>(a)</sup> | 1500000 | 1499066  |
|  NRTH PARK Mortgage Trust, Series 2025-PARK, Class A, 5.14% (1 mo. Term SOFR + 1.39%), 10/15/2040, (1.39% Floor)<sup>(a)</sup> | 1300000 | 1301220  |
|  NYC Commercial Mortgage Trust, Series 2024-3ELV, Class A, 5.74% (1 mo. Term SOFR + 1.99%), 08/15/2029, (1.99% Floor)<sup>(a)</sup> | 1875000 | 1877340  |
|  PKHL Commercial Mortgage Trust, Series 2021-MF, Class A, 4.75% (1 mo. Term SOFR + 0.99%), 07/15/2038, (0.88% Floor)<sup>(a)</sup> | 1000000 | 942728  |
|  SCG Mortgage Trust, Series 2025-SNIP, Class A, 5.25% (1 mo. Term SOFR + 1.50%), 09/15/2042, (1.50% Floor)<sup>(a)</sup> | 1500000 | 1502343  |
|  SMR Mortgage Trust, Series 2022-IND, Class A, 5.40% (1 mo. Term SOFR + 1.65%), 02/15/2039, (1.65% Floor)<sup>(a)</sup> | 1144596 | 1144400  |
| &nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES** <br>**(Cost $32,678,396)** |  | 32498259  |
| **ASSET-BACKED SECURITIES - 9.1%**<br>|  |  |
|  American Express Travel Related Services Co., Inc., Series 2024-1, Class A, 5.23%, 04/15/2029 | 1870000 | 1905457  |
| Avis Budget Car Rental LLC, Series 2023-2A, Class A, 5.20%, 10/20/2027<sup>(a)</sup> | 200000 | 201296  |
| CarMax Auto Owner Trust, Series 2024-4, Class A3, 4.60%, 10/15/2029 | 2450000 | 2475789  |
| Carvana Auto Receivables Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 316796 | 317070  |
| &nbsp;&nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 01/10/2030 | 400000 | 402452  |
| CNH Equipment Trust, Series 2024-C, Class A3, 4.03%, 01/15/2030 | 1000000 | 1003870  |

---

The accompanying notes are an integral part of these consolidated financial statements.

48<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Par** | **Value**  |
| **ASSET-BACKED SECURITIES - (Continued)** <br>|  |  |
| DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051<sup>(a)</sup> | $624000 | $612098  |
| Financial Holding Corp.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 4.95%, 02/15/2029<sup>(a)</sup> | 500000 | 505221  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/2029<sup>(a)</sup> | 1240000 | 1260354  |
| Ford Credit Auto Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/2028 | 1105133 | 1115249  |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.07%, 07/15/2029 | 2450000 | 2458467  |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A3, 4.61%, 08/15/2029 | 750000 | 759023  |
| GM Financial Consumer Automobile Receivables Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-4, Class A3, 5.78%, 08/16/2028 | 974013 | 983344  |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 5.10%, 03/16/2029 | 755551 | 762022  |
| GM Financial Leasing Trust, Series 2024-2, Class A3, 5.39%, 07/20/2027 | 2082911 | 2092047  |
| Hilton Grand Vacations, Inc.<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-AA, Class A, 2.34%, 07/25/2033<sup>(a)</sup> | 99633 | 99348  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.72%, 01/25/2038<sup>(a)</sup> | 51478 | 52677  |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.50%, 03/25/2038<sup>(a)</sup> | 275806 | 281741  |
| Honda Auto Receivables Owner Trust, Series 2024-1, Class A3, 5.21%, 08/15/2028 | 766722 | 773515  |
| MVW Owner Trust<br>|  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.32%, 02/20/2043<sup>(a)</sup> | 1610682 | 1643716  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.97%, 09/22/2042<sup>(a)</sup> | 475579 | 482339  |
|  Sierra Timeshare Conduit Receivables Funding LLC, Series 2023-2A, Class A, 5.80%, 04/20/2040<sup>(a)</sup> | 88875 | 91302  |
| Taco Bell Corp., Series 2021-1A, Class A2I, 1.95%, 08/25/2051<sup>(a)</sup> | 1007063 | 981127  |
| T-Mobile US Trust, Series 2024-1A, Class A, 5.05%, 09/20/2029<sup>(a)</sup> | 610000 | 613747  |
| Toyota Auto Receivables Owner Trust, Series 2024-B, Class A3, 5.33%, 01/16/2029 | 2832929 | 2863627  |
| Toyota Lease Owner Trust, Series 2024-A, Class A3, 5.25%, 04/20/2027<sup>(a)</sup> | 122931 | 123358  |
| Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 06/21/2027 | 1300000 | 1308738  |
| &nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES** <br>**(Cost $25,947,152)** |  | 26168994  |
| **U.S. GOVERNMENT AGENCY ISSUES - 4.0%**<br>|  |  |
| Federal Home Loan Banks<br>|  |  |
| &nbsp;&nbsp;&nbsp; 0.60%, 02/12/2026 | 1990000 | 1983038  |
| &nbsp;&nbsp;&nbsp; 1.00%, 03/23/2026 | 1950000 | 1938828  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/10/2027 | 1500000 | 1508716  |
| &nbsp;&nbsp;&nbsp; 1.10%, 02/25/2028 | 2365000 | 2237448  |
| Federal National Mortgage Association, 0.75%, 10/08/2027 | 3825000 | 3646955  |
| &nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT AGENCY ISSUES** <br>**(Cost $11,205,820)** |  | 11314985  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 79.2%** <br>**(Cost $223,857,041)** |  | $226352975  |
| Money Market Deposit Account - 7.1%<sup>(c)(d)</sup> |  | 20160186  |
| Other Assets in Excess of Liabilities - 13.7%<sup>(e)</sup> |  | 39229776  |
| **TOTAL NET ASSETS - 100.0%** |  | $285742937 |

---

The accompanying notes are an integral part of these consolidated financial statements.

49<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

Par amount is in USD unless otherwise indicated.

Percentages are stated as a percent of net assets.

CMT - Constant Maturity Treasury

LLC - Limited Liability Company

LP - Limited Partnership

PLC - Public Limited Company

REIT - Real Estate Investment Trust

SOFR - Secured Overnight Financing Rate

<sup>(a)</sup> Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of December 31, 2025, the value of these securities total $48,699,303 or 17.0% of the Fund's net assets.

<sup>(b)</sup> Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of December 31, 2025.

<sup>(c)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

<sup>(d)</sup> A portion of this deposit account is pledged as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $1,327,045.

<sup>(e)</sup> Includes assets pledged as collateral for derivative contracts. As of the reporting date, the value of these assets totals $36,298,491. 

The accompanying notes are an integral part of these consolidated financial statements.

50<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp; 09/14/2027 | $162958538 | &nbsp;&nbsp;&nbsp; $90712  |
| Arabica Coffee | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 03/19/2026 | 4054219 | &nbsp;&nbsp;&nbsp; (236412)  |
| CAC40 10 Euro Index | &nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp; 01/16/2026 | 11115781 | &nbsp;&nbsp;&nbsp; 61071  |
| Canadian 10 Year Government Bonds | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp; 03/20/2026 | 13125635 | &nbsp;&nbsp;&nbsp; (199474)  |
| Dollar Index | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 03/16/2026 | 490235 | &nbsp;&nbsp;&nbsp; 969  |
| Dow Jones Industrial Average Index | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 03/20/2026 | 22717920 | &nbsp;&nbsp;&nbsp; (215597)  |
| Euro STOXX 50 Quanto Index | &nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp; 03/20/2026 | 33223382 | &nbsp;&nbsp;&nbsp; 409447  |
| FTSE 100 Index | &nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp; 03/20/2026 | 29613827 | &nbsp;&nbsp;&nbsp; 498605  |
| German Stock Index | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 03/20/2026 | 20310958 | &nbsp;&nbsp;&nbsp; 258106  |
| Gold | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 02/25/2026 | 23441940 | &nbsp;&nbsp;&nbsp; 574905  |
| Hang Seng Index | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 01/29/2026 | 7744459 | &nbsp;&nbsp;&nbsp; (66337)  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 09/14/2027 | 49477806 | &nbsp;&nbsp;&nbsp; 46725  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 03/16/2026 | 6363249 | &nbsp;&nbsp;&nbsp; 243425  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 03/16/2026 | 20837837 | &nbsp;&nbsp;&nbsp; 2571262  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 03/16/2026 | 3898650 | &nbsp;&nbsp;&nbsp; 99297  |
| Long Gilt | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 03/27/2026 | 9360292 | &nbsp;&nbsp;&nbsp; 8942  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 02/12/2026 | 2604000 | &nbsp;&nbsp;&nbsp; 33649  |
| Nasdaq 100 Index | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 03/20/2026 | 31566370 | &nbsp;&nbsp;&nbsp; (29541)  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 03/12/2026 | 17696629 | &nbsp;&nbsp;&nbsp; (63635)  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 01/30/2026 | 1960266 | &nbsp;&nbsp;&nbsp; (21517)  |
| Russell 2000 Index | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp; 03/20/2026 | 18610100 | &nbsp;&nbsp;&nbsp; (426254)  |
| S&P 500 Index | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 03/20/2026 | 42388875 | &nbsp;&nbsp;&nbsp; (6440)  |
| Silver | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 03/27/2026 | 6707285 | &nbsp;&nbsp;&nbsp; 951397  |
| Soybeans | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 03/13/2026 | 2199750 | &nbsp;&nbsp;&nbsp; (182619)  |
| TOPIX Index | &nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp; 03/12/2026 | 30726730 | &nbsp;&nbsp;&nbsp; 160144  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp; 03/20/2026 | 46774000 | &nbsp;&nbsp;&nbsp; (289900)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp; 03/31/2026 | 67856445 | &nbsp;&nbsp;&nbsp; (37015)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp; 611 | &nbsp;&nbsp; 03/31/2026 | 66785164 | &nbsp;&nbsp;&nbsp; (163975)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 03/20/2026 | 13640062 | &nbsp;&nbsp;&nbsp; (6055)  |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $4063885 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 10 Year Japanese Government Bonds | (15) | &nbsp;&nbsp; 03/12/2026 | $1266439 | &nbsp;&nbsp;&nbsp; $8428  |
| 3 Month Euribor | (749) | &nbsp;&nbsp; 06/14/2027 | 215126686 | &nbsp;&nbsp;&nbsp; (37238)  |
| Australian Government 10 Year Bonds | (482) | &nbsp;&nbsp; 03/16/2026 | 35217035 | &nbsp;&nbsp;&nbsp; 83785  |
| Brent Crude Oil | (106) | &nbsp;&nbsp; 01/30/2026 | 6450100 | &nbsp;&nbsp;&nbsp; (46970)  |
| Corn No. 2 Yellow | (191) | &nbsp;&nbsp; 03/13/2026 | 4204387 | &nbsp;&nbsp;&nbsp; 68899  |
| Cotton No. 2 | (76) | &nbsp;&nbsp; 03/09/2026 | 2442260 | &nbsp;&nbsp;&nbsp; 67747  |
| Crude Oil | (113) | &nbsp;&nbsp; 01/20/2026 | 6488460 | &nbsp;&nbsp;&nbsp; (121361)  |
| Crude Soybean Oil | (55) | &nbsp;&nbsp; 03/13/2026 | 1602480 | &nbsp;&nbsp;&nbsp; 11994  |
| Euro-BOBL | (756) | &nbsp;&nbsp; 03/06/2026 | 103202369 | &nbsp;&nbsp;&nbsp; (21458)  |
| Euro-Bund | (481) | &nbsp;&nbsp; 03/06/2026 | 72111562 | &nbsp;&nbsp;&nbsp; 38430  |
| Euro-Schatz | (1440) | &nbsp;&nbsp; 03/06/2026 | 180719222 | &nbsp;&nbsp;&nbsp; 131940  |
| Hard Red Winter Wheat | (152) | &nbsp;&nbsp; 03/13/2026 | 3912100 | &nbsp;&nbsp;&nbsp; 103526  |
| Japanese 10 Year Government Bonds | (64) | &nbsp;&nbsp; 03/13/2026 | 54100102 | &nbsp;&nbsp;&nbsp; 367040  |

---

The accompanying notes are an integral part of these consolidated financial statements.

51<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value / Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| London Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(18) | &nbsp;&nbsp; 03/16/2026 | $1061992 | &nbsp;&nbsp;&nbsp; $(17545)  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 03/16/2026 | 449170 | &nbsp;&nbsp;&nbsp; (21214)  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(20) | &nbsp;&nbsp; 03/16/2026 | 6220250 | &nbsp;&nbsp;&nbsp; (116912)  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 03/16/2026 | 233919 | &nbsp;&nbsp;&nbsp; (5416)  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(49) | &nbsp;&nbsp; 01/28/2026 | 1806140 | &nbsp;&nbsp;&nbsp; (2286)  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(11) | &nbsp;&nbsp; 01/30/2026 | 792330 | &nbsp;&nbsp;&nbsp; 2848  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp;(18) | &nbsp;&nbsp; 03/13/2026 | 538920 | &nbsp;&nbsp;&nbsp; 8304  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp;(249) | &nbsp;&nbsp; 02/27/2026 | 4185989 | &nbsp;&nbsp;&nbsp; 190487  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(194) | &nbsp;&nbsp; 03/13/2026 | 4917900 | &nbsp;&nbsp;&nbsp; 259179  |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $952207  |
| **Net Unrealized Appreciation (Depreciation)** |  |  |  | &nbsp;&nbsp;&nbsp; $5016092 |

---

The Fund has recorded a liability of $2,057,439 as of December 31, 2025 related to the current day's variation margin related to these contracts.

<sup>(a)</sup> London Metal Exchange ("LME") futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund's consolidated Statement of Assets and Liabilities. 

The accompanying notes are an integral part of these consolidated financial statements.

52<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Bank of America | 01/02/2026 | AUD | 2093000 | USD | 1401875 | $(5085)  |
| Bank of America | 01/05/2026 | AUD | 3088000 | USD | 2061637 | (771)  |
| Bank of America | 03/18/2026 | AUD | 37271000 | USD | 24776342 | 97873  |
| Bank of America | 01/02/2026 | CAD | 842000 | USD | 614662 | (1148)  |
| Bank of America | 03/18/2026 | CAD | 39401000 | USD | 28736522 | 65244  |
| Bank of America | 01/05/2026 | CHF | 102000 | USD | 128892 | (51)  |
| Bank of America | 01/06/2026 | CHF | 550000 | USD | 693555 | 1254  |
| Bank of America | 03/18/2026 | CHF | 7338000 | USD | 9300162 | 40265  |
| Bank of America | 01/02/2026 | EUR | 1211000 | USD | 1422769 | 531  |
| Bank of America | 01/05/2026 | EUR | 2364000 | USD | 2776163 | 2660  |
| Bank of America | 03/18/2026 | EUR | 42263000 | USD | 49727449 | 120213  |
| Bank of America | 01/02/2026 | GBP | 1681000 | USD | 2263754 | 2142  |
| Bank of America | 01/05/2026 | GBP | 1936000 | USD | 2604937 | 4685  |
| Bank of America | 03/18/2026 | GBP | 28629000 | USD | 38249266 | 333313  |
| Bank of America | 01/05/2026 | JPY | 709403000 | USD | 4545488 | (14510)  |
| Bank of America | 01/06/2026 | JPY | 610614000 | USD | 3900643 | (272)  |
| Bank of America | 03/18/2026 | JPY | 1044330000 | USD | 6745220 | (33572)  |
| Bank of America | 03/18/2026 | MXN | 334059000 | USD | 18198567 | 211750  |
| Bank of America | 01/05/2026 | NZD | 253000 | USD | 146599 | (904)  |
| Bank of America | 01/06/2026 | NZD | 726000 | USD | 417720 | 377  |
| Bank of America | 03/18/2026 | NZD | 7910000 | USD | 4605301 | (37809)  |
| Bank of America | 01/02/2026 | USD | 1403442 | AUD | 2093000 | 6652  |
| Bank of America | 01/05/2026 | USD | 2061643 | AUD | 3088000 | 777  |
| Bank of America | 03/18/2026 | USD | 11690776 | AUD | 17501000 | 10821  |
| Bank of America | 01/02/2026 | USD | 614103 | CAD | 842000 | 589  |
| Bank of America | 03/18/2026 | USD | 44008861 | CAD | 60656000 | (330114)  |
| Bank of America | 01/05/2026 | USD | 128791 | CHF | 102000 | (51)  |
| Bank of America | 01/06/2026 | USD | 693951 | CHF | 550000 | (858)  |
| Bank of America | 03/18/2026 | USD | 3660823 | CHF | 2886000 | (12722)  |
| Bank of America | 01/02/2026 | USD | 1424901 | EUR | 1211000 | 1602  |
| Bank of America | 01/05/2026 | USD | 2773637 | EUR | 2364000 | (5186)  |
| Bank of America | 03/18/2026 | USD | 23558339 | EUR | 19954000 | 23326  |
| Bank of America | 01/02/2026 | USD | 2269953 | GBP | 1681000 | 4057  |
| Bank of America | 01/05/2026 | USD | 2603217 | GBP | 1936000 | (6405)  |
| Bank of America | 03/18/2026 | USD | 15974684 | GBP | 11854000 | (652)  |
| Bank of America | 01/05/2026 | USD | 4541622 | JPY | 709403000 | 10644  |
| Bank of America | 01/06/2026 | USD | 3908646 | JPY | 610614000 | 8275  |
| Bank of America | 03/18/2026 | USD | 65972589 | JPY | 10232910000 | 208228  |
| Bank of America | 03/18/2026 | USD | 369996 | MXN | 6720000 | (349)  |
| Bank of America | 01/05/2026 | USD | 147048 | NZD | 253000 | 1353  |
| Bank of America | 01/06/2026 | USD | 418833 | NZD | 726000 | 736  |
| Bank of America | 03/18/2026 | USD | 12329144 | NZD | 21252000 | 57545  |
|  **Net Unrealized Appreciation (Depreciation)** |  |  |  |  |  | $764453 |

---

The accompanying notes are an integral part of these consolidated financial statements.

53<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

AUD - Australian Dollars

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

NZD - New Zealand Dollar

USD - United States Dollar

The accompanying notes are an integral part of these consolidated financial statements.

54<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - 28.0%**<br>|  |  |
| **Chemicals - 1.0%**<br>|  |  |
| Dow, Inc.<sup>(a)</sup> | 29321 | $685525  |
| **Computers - 0.9%**<br>|  |  |
| HP, Inc.<sup>(a)</sup> | 28599 | 637186  |
| **Diversified Financial Services - 2.1%**<br>|  |  |
| Artisan Partners Asset Management, Inc. - Class A | 14476 | 589752  |
| OneMain Holdings, Inc. | 12556 | 848158  |
|  |  | 1437910  |
| **Electric - 1.0%**<br>|  |  |
| AES Corp.<sup>(a)</sup> | 49155 | 704883  |
| **Food - 1.8%**<br>|  |  |
| Campbell's Co.<sup>(a)</sup> | 22063 | 614896  |
| General Mills, Inc.<sup>(a)</sup> | 14184 | 659556  |
|  |  | 1274452  |
| **Hand & Machine Tools - 1.0%**<br>|  |  |
| Stanley Black & Decker, Inc.<sup>(a)</sup> | 8958 | 665400  |
| **Mining - 7.3%**<br>|  |  |
| Agnico Eagle Mines Ltd. | 5808 | 984630  |
| Anglogold Ashanti PLC | 18675 | 1592604  |
| Barrick Mining Corp. | 19783 | 861550  |
| Newmont Corp. | 8264 | 825161  |
| Rio Tinto PLC - ADR | 9945 | 795898  |
|  |  | 5059843  |
| **Pharmaceuticals - 0.9%**<br>|  |  |
| Pfizer, Inc.<sup>(a)</sup> | 26433 | 658182  |
| **Pipelines - 4.2%**<br>|  |  |
| Enbridge, Inc. | 18984 | 908005  |
| Hess Midstream LP - Class A | 34023 | 1173793  |
| Kinetik Holdings, Inc. | 22662 | 816965  |
|  |  | 2898763  |
| **Retail - 0.9%**<br>|  |  |
| Best Buy Co., Inc.<sup>(a)</sup> | 9183 | 614618  |
| **Semiconductors - 0.9%**<br>|  |  |
| Skyworks Solutions, Inc.<sup>(a)</sup> | 10184 | 645767  |
| **Telecommunications - 1.0%**<br>|  |  |
| Verizon Communications, Inc.<sup>(a)</sup> | 16619 | 676892  |
| **Transportation - 5.0%**<br>|  |  |
| Dorian LPG Ltd. | 28192 | 686193  |
| FLEX LNG Ltd. | 37272 | 929936  |

---

The accompanying notes are an integral part of these consolidated financial statements.

55<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Transportation - (Continued)** <br>|  |  |
| Frontline PLC | 44774 | $976969  |
| Genco Shipping & Trading Ltd. | 45518 | 838897  |
|  |  | 3431995  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS** <br>**(Cost $18,206,327)** |  | 19391416 |

---

---

| | | |
|:---|:---|:---|
|  | **Units** |  |
| **MASTER LIMITED PARTNERSHIPS - 22.2%**  | **MASTER LIMITED PARTNERSHIPS - 22.2%**  | **MASTER LIMITED PARTNERSHIPS - 22.2%**  |
| **Chemicals - 2.3%**<br>|  |  |
| CVR Partners LP<sup>(b)</sup> | 15420 | 1580550  |
| **Coal - 1.1%**<br>|  |  |
| Alliance Resource Partners LP | 33135 | 769726  |
| **Diversified Financial Services - 1.1%**<br>|  |  |
| AllianceBernstein Holding LP | 19399 | 746473  |
| **Gas - 0.8%**<br>|  |  |
| Global Partners LP | 13773 | 576400  |
| **Oil & Gas - 1.3%**<br>|  |  |
| Black Stone Minerals LP | 61024 | 811009  |
| TXO Partners LP | 7876 | 84037  |
|  |  | 895046  |
| **Oil & Gas Services - 2.8%**<br>|  |  |
| Cross America Partners LP | 45273 | 932624  |
| USA Compression Partners LP | 44117 | 1014691  |
|  |  | 1947315  |
| **Pipelines - 12.8%**<br>|  |  |
| Cheniere Energy Partners LP | 28809 | 1540705  |
| Delek Logistics Partners LP | 31639 | 1411732  |
| Energy Transfer LP<sup>(b)</sup> | 86193 | 1421323  |
| Enterprise Products Partners LP | 44535 | 1427792  |
| MPLX LP | 27473 | 1466234  |
| Plains All American Pipeline LP | 52401 | 941122  |
| Western Midstream Partners LP | 16728 | 660756  |
|  |  | 8869664  |
| &nbsp;&nbsp;&nbsp; **TOTAL MASTER LIMITED PARTNERSHIPS** <br>**(Cost $10,260,922)** |  | 15385174  |
| **REAL ESTATE INVESTMENT TRUSTS - 20.5%**<br>|  |  |
| AGNC Investment Corp.<sup>(b)</sup> | 129725 | 1390652  |
| American Homes 4 Rent - Class A | 19063 | 611922  |
| Annaly Capital Management, Inc. | 98780 | 2208721  |
| Digital Realty Trust, Inc. | 4271 | 660766  |
| Dynex Capital, Inc. | 111692 | 1564805 |

---

The accompanying notes are an integral part of these consolidated financial statements.

56<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Units**  | **Value**  |
| **REAL ESTATE INVESTMENT TRUSTS - (Continued)**  | **REAL ESTATE INVESTMENT TRUSTS - (Continued)**  | **REAL ESTATE INVESTMENT TRUSTS - (Continued)**  |
| Gaming and Leisure Properties, Inc. | 14931 | $667266  |
| Global Net Lease, Inc.<sup>(b)</sup> | 96236 | 827630  |
| Invesco Mortgage Capital, Inc. | 195059 | 1640446  |
| Iron Mountain, Inc. | 7699 | 638632  |
| Rayonier, Inc. | 1 | 20  |
| Rithm Capital Corp. | 126463 | 1378447  |
| Sabra Health Care, Inc. | 37422 | 708773  |
| Starwood Property Trust, Inc. | 70882 | 1276585  |
| VICI Properties, Inc. | 21312 | 599293  |
| &nbsp;&nbsp;&nbsp; **TOTAL REAL ESTATE INVESTMENT TRUSTS** <br>**(Cost $12,924,436)** |  | 14173958 |

---

---

| | | |
|:---|:---|:---|
|  | **Shares** |  |
| **CLOSED-END FUNDS - 11.9%**<br>|  |  |
| BlackRock Core Bond Trust | 69909 | 670427  |
| FS Credit Opportunities Corp. | 93134 | 586744  |
| KKR Income Opportunities Fund | 44182 | 512070  |
| Morgan Stanley Emerging Markets Debt Fund, Inc. | 78840 | 582628  |
| Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 131360 | 713285  |
| Neuberger High Yield Strategies Fund, Inc. | 92114 | 685328  |
| Nuveen Credit Strategies Income Fund | 137766 | 691585  |
| Nuveen Preferred & Income Opportunities Fund | 70603 | 572590  |
| NYLI CBRE Global Infrastructure Megatrends Term Fund | 48622 | 669039  |
| PIMCO Access Income Fund - Class ACC | 40947 | 626489  |
| PIMCO Dynamic Income Opportunities Fund | 48855 | 676153  |
| Templeton Emerging Markets Income Fund | 101988 | 657823  |
| Western Asset Diversified Income Fund | 43951 | 606963  |
| &nbsp;&nbsp;&nbsp; **TOTAL CLOSED-END FUNDS** <br>**(Cost $7,958,423)** |  | 8251124  |
| **BUSINESS DEVELOPMENT COMPANIES - 10.4%**<br>|  |  |
| Ares Capital Corp. | 96460 | 1951386  |
| Blackstone Secured Lending Fund | 71500 | 1882595  |
| Blue Owl Capital Corp. | 45804 | 569344  |
| FS KKR Capital Corp. | 66835 | 989826  |
| Hercules Capital, Inc. | 34818 | 655275  |
| Oaktree Specialty Lending Corp. | 40848 | 520403  |
| Trinity Capital, Inc. | 44417 | 650709  |
| &nbsp;&nbsp;&nbsp; **TOTAL BUSINESS DEVELOPMENT COMPANIES** <br>**(Cost $7,986,483)** |  | 7219538 |

---

The accompanying notes are an integral part of these consolidated financial statements.

57<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND** 

**SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Share**  | **Value**  |
| **PREFERRED STOCKS - 1.0%**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Series B, 9.74% (3 mo. Term SOFR + 6.05%), <br>Perpetual | 27829 | $647024  |
| &nbsp;&nbsp;&nbsp; **TOTAL PREFERRED STOCKS** <br>**(Cost $500,558)** |  | 647024  |
| **ROYALTY TRUSTS - 0.9%**<br>|  |  |
| Kimbell Royalty Partners LP | 53339 | 627267  |
| &nbsp;&nbsp;&nbsp; **TOTAL ROYALTY TRUSTS** <br>**(Cost $657,122)** |  | 627267  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 94.9%** <br>**(Cost $58,494,271)** |  | $65695501  |
| Money Market Deposit Account - 5.1%<sup>(c)</sup> |  | 3564460  |
| Liabilities in Excess of Other Assets - (0.0)%<sup>(d)(e)</sup> |  | (30875)  |
| **TOTAL NET ASSETS - 100.0%** |  | $69229086 |

---

Percentages are stated as a percent of net assets.

ADR - American Depositary Receipt

LP - Limited Partnership

PLC - Public Limited Company

SOFR - Secured Overnight Financing Rate

<sup>(a)</sup> Held in connection with written option contracts. See Schedule of Written Options for further information.

<sup>(b)</sup> All of a portion of this security is held as collateral for options written. As of the reporting date, the value of this collateral is $4,177,969

<sup>(c)</sup> The U.S. Bank Money Market Deposit Account (the "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025, was 3.45%.

<sup>(d)</sup> Represents less than 0.05% of net assets.

<sup>(e)</sup> Includes assets pledged as collateral for derivatives. As of the reporting date, the value of these assets totals $73,975. 

The accompanying notes are an integral part of these consolidated financial statements.

58<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND** 

**SCHEDULE OF WRITTEN OPTIONS** 

**December 31, 2025** 

---

| | | | |
|:---|:---|:---|:---|
|  | **Notional** <br>**Amount** | **Contracts** | **Value**  |
| **WRITTEN OPTIONS - (0.3)%**  | **WRITTEN OPTIONS - (0.3)%**  | **WRITTEN OPTIONS - (0.3)%**  | **WRITTEN OPTIONS - (0.3)%**  |
| **Call Options - (0.3)%**<br>|  |  |  |
| AES Corp., Expiration: 01/16/2026; Exercise Price: $13.50 | $(704094) | &nbsp;&nbsp;&nbsp;&nbsp;(491) | $(54010)  |
| Best Buy Co., Inc., Expiration: 01/16/2026; Exercise Price: $69.00 | (609063) | &nbsp;&nbsp;&nbsp;&nbsp;(91) | (8190)  |
| Campbell's Co., Expiration: 01/16/2026; Exercise Price: $28.50 | (613140) | &nbsp;&nbsp;&nbsp;&nbsp;(220) | (5060)  |
| Dow, Inc., Expiration: 01/16/2026; Exercise Price: $22.50 | (685034) | &nbsp;&nbsp;&nbsp;&nbsp;(293) | (38090)  |
| General Mills, Inc., Expiration: 01/16/2026; Exercise Price: $47.50 | (655650) | &nbsp;&nbsp;&nbsp;&nbsp;(141) | (3807)  |
| HP, Inc., Expiration: 01/16/2026; Exercise Price: $23.00 | (634980) | &nbsp;&nbsp;&nbsp;&nbsp;(285) | (9405)  |
| Pfizer, Inc., Expiration: 01/16/2026; Exercise Price: $25.00 | (654870) | &nbsp;&nbsp;&nbsp;&nbsp;(263) | (9731)  |
| Skyworks Solutions, Inc., Expiration: 01/16/2026; Exercise Price: $65.00 | (640441) | &nbsp;&nbsp;&nbsp;&nbsp;(101) | (15150)  |
| Stanley Black & Decker, Inc., Expiration: 01/16/2026; Exercise Price: $75.00 | (661092) | &nbsp;&nbsp;&nbsp;&nbsp;(89) | (15931)  |
| Verizon Communications, Inc., Expiration: 01/16/2026; Exercise Price: $40.00 | (676118) | &nbsp;&nbsp;&nbsp;&nbsp;(166) | (15438)  |
| &nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS** <br>**(Premiums received $203,443)** |  |  | $(174812) |

---

Percentages are stated as a percent of net assets.

The accompanying notes are an integral part of these consolidated financial statements.

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**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - 44.5%**<br>|  |  |
| **Advertising - 0.0%<sup>(a)</sup>**<br>|  |  |
| Omnicom Group, Inc. | 406 | $32784  |
| **Aerospace & Defense - 1.0%**<br>|  |  |
| Boeing Co.<sup>(b)</sup> | 440 | 95533  |
| General Dynamics Corp. | 124 | 41746  |
| General Electric Co. | 651 | 200528  |
| Howmet Aerospace, Inc. | 140 | 28703  |
| L3Harris Technologies, Inc. | 65 | 19082  |
| Lockheed Martin Corp. | 66 | 31922  |
| Northrop Grumman Corp. | 78 | 44476  |
| RTX Corp. | 668 | 122511  |
| TransDigm Group, Inc. | 42 | 55854  |
|  |  | 640355  |
| **Agriculture - 0.3%**<br>|  |  |
| Altria Group, Inc. | 562 | 32405  |
| Archer-Daniels-Midland Co. | 327 | 18799  |
| Philip Morris International, Inc. | 863 | 138425  |
|  |  | 189629  |
| **Airlines - 0.1%**<br>|  |  |
| Delta Air Lines, Inc. | 305 | 21167  |
| United Airlines Holdings, Inc.<sup>(b)</sup> | 158 | 17668  |
|  |  | 38835  |
| **Apparel - 0.1%**<br>|  |  |
| Deckers Outdoor Corp.<sup>(b)</sup> | 364 | 37736  |
| NIKE, Inc. - Class B | 244 | 15545  |
|  |  | 53281  |
| **Auto Manufacturers - 1.2%**<br>|  |  |
| Cummins, Inc. | 70 | 35731  |
| Ford Motor Co. | 2417 | 31711  |
| General Motors Co. | 455 | 37001  |
| PACCAR, Inc. | 155 | 16974  |
| Tesla Motors, Inc.<sup>(b)</sup> | 1499 | 674130  |
|  |  | 795547  |
| **Banks - 2.0%**<br>|  |  |
| Bank of America Corp. | 4039 | 222145  |
| Bank of New York Mellon Corp. | 290 | 33666  |
| Citigroup, Inc. | 790 | 92185  |
| Fifth Third Bancorp | 649 | 30380  |
| Goldman Sachs Group, Inc. | 116 | 101964  |
| Huntington Bancshares, Inc./OH | 3445 | 59771  |
| JPMorgan Chase & Co. | 1397 | 450141  |
| M&T Bank Corp. | 73 | 14708  |
| Morgan Stanley | 538 | 95511  |
| Northern Trust Corp. | 75 | 10244  |

---

The accompanying notes are an integral part of these consolidated financial statements.

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Banks - (Continued)**  | **Banks - (Continued)**  | **Banks - (Continued)**  |
| PNC Financial Services Group, Inc. | 212 | $44251  |
| State Street Corp. | 89 | 11482  |
| Truist Financial Corp. | 240 | 11810  |
| US Bancorp | 543 | 28975  |
| Wells Fargo & Co. | 1625 | 151450  |
|  |  | 1358683  |
| **Beverages - 0.5%**<br>|  |  |
| Brown-Forman Corp. - Class B | 515 | 13421  |
| Coca-Cola Co. | 2167 | 151495  |
| Constellation Brands, Inc. - Class A | 160 | 22074  |
| Keurig Dr Pepper, Inc. | 738 | 20671  |
| Monster Beverage Corp.<sup>(b)</sup> | 244 | 18707  |
| PepsiCo, Inc. | 675 | 96876  |
|  |  | 323244  |
| **Biotechnology - 0.5%**<br>|  |  |
| Amgen, Inc. | 246 | 80518  |
| Corteva, Inc. | 551 | 36933  |
| Gilead Sciences, Inc. | 685 | 84077  |
| Regeneron Pharmaceuticals, Inc. | 49 | 37822  |
| Vertex Pharmaceuticals, Inc.<sup>(b)</sup> | 150 | 68004  |
|  |  | 307354  |
| **Building Materials - 0.3%**<br>|  |  |
| Builders FirstSource, Inc.<sup>(b)</sup> | 154 | 15845  |
| Carrier Global Corp. | 618 | 32655  |
| CRH PLC | 228 | 28454  |
| Johnson Controls International PLC | 286 | 34249  |
| Martin Marietta Materials, Inc. | 34 | 21170  |
| Trane Technologies PLC | 62 | 24130  |
| Vulcan Materials Co. | 57 | 16258  |
|  |  | 172761  |
| **Chemicals - 0.4%**<br>|  |  |
| Albemarle Corp. | 117 | 16548  |
| CF Industries Holdings, Inc. | 272 | 21037  |
| DuPont de Nemours, Inc. | 149 | 5990  |
| Ecolab, Inc. | 241 | 63267  |
| Linde PLC | 150 | 63959  |
| LyondellBasell Industries NV - Class A | 1398 | 60533  |
| Sherwin-Williams Co. | 71 | 23006  |
|  |  | 254340  |
| **Commercial Services - 0.6%**<br>|  |  |
| Automatic Data Processing, Inc. | 123 | 31639  |
| Cintas Corp. | 142 | 26706  |
| Moody's Corp. | 63 | 32184  |
| PayPal Holdings, Inc. | 291 | 16989  |

---

The accompanying notes are an integral part of these consolidated financial statements.

61<br>

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Commercial Services - (Continued)**  | **Commercial Services - (Continued)**  | **Commercial Services - (Continued)**  |
| Quanta Services, Inc. | 124 | $52335  |
| Rollins, Inc. | 461 | 27669  |
| S&P Global, Inc. | 198 | 103473  |
| United Rentals, Inc. | 57 | 46131  |
| Verisk Analytics, Inc. | 249 | 55699  |
|  |  | 392825  |
| **Computers - 3.8%**<br>|  |  |
| Accenture PLC - Class A | 335 | 89880  |
| Apple, Inc. | 7528 | 2046562  |
| Crowdstrike Holdings, Inc. - Class A<sup>(b)</sup> | 97 | 45470  |
| Dell Technologies, Inc. - Class C | 210 | 26435  |
| Fortinet, Inc.<sup>(b)</sup> | 371 | 29461  |
| Gartner, Inc.<sup>(b)</sup> | 120 | 30274  |
| HP, Inc. | 638 | 14215  |
| International Business Machines Corp. | 579 | 171506  |
| NetApp, Inc. | 168 | 17991  |
| Sandisk Corp./DE<sup>(b)</sup> | 62 | 14717  |
| Seagate Technology Holdings PLC | 59 | 16248  |
| Super Micro Computer, Inc.<sup>(b)</sup> | 477 | 13962  |
| Western Digital Corp. | 160 | 27563  |
|  |  | 2544284  |
| **Cosmetics & Personal Care - 0.4%**<br>|  |  |
| Colgate-Palmolive Co. | 587 | 46385  |
| Estee Lauder Cos., Inc. - Class A | 278 | 29112  |
| Kenvue, Inc. | 2531 | 43660  |
| Procter & Gamble Co. | 1029 | 147466  |
|  |  | 266623  |
| **Distribution & Wholesale - 0.0%<sup>(a)</sup>**<br>|  |  |
| Pool Corp. | 81 | 18529  |
| WW Grainger, Inc. | 14 | 14126  |
|  |  | 32655  |
| **Diversified Financial Services - 1.9%**<br>|  |  |
| American Express Co. | 280 | 103586  |
| Apollo Global Management, Inc. | 160 | 23162  |
| Blackrock, Inc. | 37 | 39603  |
| Capital One Financial Corp. | 421 | 102034  |
| Cboe Global Markets, Inc. | 40 | 10040  |
| Charles Schwab Corp. | 882 | 88121  |
| CME Group, Inc. | 302 | 82470  |
| Coinbase Global, Inc. - Class A<sup>(b)</sup> | 82 | 18543  |
| Interactive Brokers Group, Inc. - Class A | 223 | 14341  |
| Invesco Ltd. | 1099 | 28871  |
| Mastercard, Inc. - Class A | 546 | 311700  |
| Nasdaq, Inc. | 329 | 31956  |

---

The accompanying notes are an integral part of these consolidated financial statements.

62<br>

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Diversified Financial Services - (Continued)**  | **Diversified Financial Services - (Continued)**  | **Diversified Financial Services - (Continued)**  |
| Raymond James Financial, Inc. | 53 | $8511  |
| Synchrony Financial | 143 | 11930  |
| Visa, Inc. - Class A | 1066 | 373857  |
|  |  | 1248725  |
| **Electric - 0.9%**<br>|  |  |
| AES Corp. | 794 | 11386  |
| Alliant Energy Corp. | 55 | 3576  |
| Ameren Corp. | 69 | 6890  |
| American Electric Power Co., Inc. | 227 | 26175  |
| CenterPoint Energy, Inc. | 209 | 8013  |
| Consolidated Edison, Inc. | 217 | 21552  |
| Constellation Energy Corp. | 240 | 84785  |
| Dominion Energy, Inc. | 345 | 20214  |
| DTE Energy Co. | 99 | 12769  |
| Duke Energy Corp. | 373 | 43719  |
| Edison International | 277 | 16626  |
| Entergy Corp. | 165 | 15251  |
| Eversource Energy | 335 | 22556  |
| Exelon Corp. | 487 | 21228  |
| FirstEnergy Corp. | 214 | 9581  |
| NextEra Energy, Inc. | 1063 | 85338  |
| NRG Energy, Inc. | 285 | 45383  |
| PG&E Corp. | 1998 | 32108  |
| PPL Corp. | 194 | 6794  |
| Public Service Enterprise Group, Inc. | 185 | 14855  |
| Sempra | 506 | 44675  |
| Southern Co. | 240 | 20928  |
| Vistra Energy Corp. | 91 | 14681  |
| WEC Energy Group, Inc. | 103 | 10862  |
| Xcel Energy, Inc. | 204 | 15067  |
|  |  | 615012  |
| **Electrical Components & Equipment - 0.1%**<br>|  |  |
| AMETEK, Inc. | 90 | 18478  |
| Eaton Corp. PLC | 112 | 35673  |
| Emerson Electric Co. | 204 | 27075  |
| Generac Holdings, Inc.<sup>(b)</sup> | 172 | 23456  |
|  |  | 104682  |
| **Electronics - 0.4%**<br>|  |  |
| Amphenol Corp. - Class A | 576 | 77840  |
| Garmin Ltd. | 74 | 15011  |
| Honeywell International, Inc. | 412 | 80377  |
| Hubbell, Inc. | 22 | 9770  |
| Jabil, Inc. | 41 | 9349  |
| Keysight Technologies, Inc.<sup>(b)</sup> | 78 | 15849  |

---

The accompanying notes are an integral part of these consolidated financial statements.

63<br>

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Electronics - (Continued)**  | **Electronics - (Continued)**  | **Electronics - (Continued)**  |
| Mettler-Toledo International, Inc.<sup>(b)</sup>  | 20  | $27884  |
| TE Connectivity PLC | 74 | 16836  |
| Trimble, Inc.<sup>(b)</sup> | 312 | 24445  |
|  |  | 277361  |
| **Energy-Alternate Sources - 0.0%<sup>(a)</sup>**<br>|  |  |
| First Solar, Inc.<sup>(b)</sup> | 52 | 13584  |
| **Engineering & Construction - 0.0%<sup>(a)</sup>**<br>|  |  |
| EMCOR Group, Inc. | 24 | 14683  |
| Jacobs Solutions, Inc. | 69 | 9140  |
|  |  | 23823  |
| **Entertainment - 0.1%**<br>|  |  |
| Live Nation Entertainment, Inc.<sup>(b)</sup> | 289 | 41182  |
| **Environmental Control - 0.0%<sup>(a)</sup>**<br>|  |  |
| Pentair PLC | 140 | 14580  |
| **Food - 0.2%**<br>|  |  |
| Hershey Co. | 201 | 36578  |
| Kroger Co. | 238 | 14870  |
| Mondelez International, Inc. - Class A | 1141 | 61420  |
| Sysco Corp. | 168 | 12380  |
|  |  | 125248  |
| **Gas - 0.0%<sup>(a)</sup>**<br>|  |  |
| Atmos Energy Corp. | 126 | 21121  |
| **Healthcare-Products - 1.2%**<br>|  |  |
| Abbott Laboratories | 935 | 117146  |
| Agilent Technologies, Inc. | 134 | 18233  |
| Align Technology, Inc.<sup>(b)</sup> | 114 | 17801  |
| Bio-Techne Corp. | 254 | 14938  |
| Boston Scientific Corp.<sup>(b)</sup> | 750 | 71513  |
| Cooper Cos., Inc.<sup>(b)</sup> | 194 | 15900  |
| Danaher Corp. | 323 | 73941  |
| Edwards Lifesciences Corp.<sup>(b)</sup> | 222 | 18925  |
| GE HealthCare Technologies, Inc. | 199 | 16322  |
| IDEXX Laboratories, Inc.<sup>(b)</sup> | 30 | 20296  |
| Insulet Corp.<sup>(b)</sup> | 32 | 9096  |
| Intuitive Surgical, Inc.<sup>(b)</sup> | 136 | 77025  |
| Medtronic PLC | 784 | 75311  |
| ResMed, Inc. | 57 | 13730  |
| STERIS PLC | 42 | 10648  |
| Stryker Corp. | 183 | 64319  |
| Thermo Fisher Scientific, Inc. | 216 | 125161  |
| Waters Corp.<sup>(b)</sup> | 64 | 24309  |

---

The accompanying notes are an integral part of these consolidated financial statements.

64<br>

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**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Healthcare-Products - (Continued)**  | **Healthcare-Products - (Continued)**  | **Healthcare-Products - (Continued)**  |
| West Pharmaceutical Services, Inc. | 112 | $30816  |
| Zimmer Biomet Holdings, Inc. | 226 | 20322  |
|  |  | 835752  |
| **Healthcare-Services - 0.6%**<br>|  |  |
| Centene Corp.<sup>(b)</sup> | 1469 | 60449  |
| Charles River Laboratories International, Inc.<sup>(b)</sup> | 103 | 20547  |
| Elevance Health, Inc. | 238 | 83431  |
| HCA Healthcare, Inc. | 131 | 61159  |
| Humana, Inc. | 58 | 14856  |
| IQVIA Holdings, Inc.<sup>(b)</sup> | 78 | 17582  |
| Labcorp Holdings, Inc. | 39 | 9784  |
| UnitedHealth Group, Inc. | 302 | 99693  |
| Universal Health Services, Inc. - Class B | 60 | 13081  |
|  |  | 380582  |
| **Home Builders - 0.1%**<br>|  |  |
| DR Horton, Inc. | 105 | 15123  |
| Lennar Corp. - Class A | 227 | 23336  |
| PulteGroup, Inc. | 247 | 28963  |
|  |  | 67422  |
| **Insurance - 1.5%**<br>|  |  |
| Aflac, Inc. | 141 | 15548  |
| Allstate Corp. | 68 | 14154  |
| American International Group, Inc. | 550 | 47053  |
| Arch Capital Group Ltd.<sup>(b)</sup> | 259 | 24843  |
| Assurant, Inc. | 51 | 12283  |
| Berkshire Hathaway, Inc. - Class B<sup>(b)</sup> | 1013 | 509185  |
| Chubb Ltd. | 300 | 93636  |
| Cincinnati Financial Corp. | 68 | 11106  |
| Erie Indemnity Co. - Class A | 51 | 14619  |
| Hartford Insurance Group, Inc. | 250 | 34450  |
| Loews Corp. | 146 | 15375  |
| Marsh & McLennan Cos., Inc. | 620 | 115022  |
| MetLife, Inc. | 221 | 17446  |
| Principal Financial Group, Inc. | 160 | 14114  |
| Progressive Corp. | 85 | 19356  |
| Prudential Financial, Inc. | 117 | 13207  |
| Travelers Cos., Inc. | 105 | 30456  |
| W R Berkley Corp. | 56 | 3927  |
| Willis Towers Watson PLC | 71 | 23331  |
|  |  | 1029111  |
| **Internet - 6.0%**<br>|  |  |
| Alphabet, Inc. - Class A | 3033 | 949329  |
| Alphabet, Inc. - Class C | 2448 | 768182  |
| Amazon.com, Inc.<sup>(b)</sup> | 4620 | 1066388  |

---

The accompanying notes are an integral part of these consolidated financial statements.

65<br>

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Internet - (Continued)**  | **Internet - (Continued)**  | **Internet - (Continued)**  |
| AppLovin Corp. - Class A<sup>(b)</sup> | 110 | $74120  |
| Booking Holdings, Inc. | 12 | 64264  |
| CDW Corp. | 118 | 16072  |
| DoorDash, Inc. - Class A<sup>(b)</sup> | 119 | 26951  |
| EBAY, Inc. | 372 | 32401  |
| Expedia Group, Inc. | 56 | 15865  |
| Gen Digital, Inc. | 706 | 19196  |
| Match Group, Inc. | 267 | 8622  |
| Meta Platforms, Inc. - Class A | 1007 | 664711  |
| Netflix, Inc.<sup>(b)</sup> | 1758 | 164830  |
| Palo Alto Networks, Inc.<sup>(b)</sup> | 192 | 35367  |
| Robinhood Markets, Inc. - Class A<sup>(b)</sup> | 317 | 35853  |
| Uber Technologies, Inc.<sup>(b)</sup> | 910 | 74356  |
| VeriSign, Inc. | 62 | 15063  |
|  |  | 4031570  |
| **Iron & Steel - 0.0%<sup>(a)</sup>**<br>|  |  |
| Nucor Corp. | 189 | 30828  |
| **Leisure Time - 0.1%**<br>|  |  |
| Carnival Corp.<sup>(b)</sup> | 570 | 17408  |
| Norwegian Cruise Line Holdings Ltd.<sup>(b)</sup> | 762 | 17008  |
| Royal Caribbean Cruises Ltd. | 108 | 30123  |
|  |  | 64539  |
| **Lodging - 0.2%**<br>|  |  |
| Hilton Worldwide Holdings, Inc. | 183 | 52567  |
| Las Vegas Sands Corp. | 217 | 14124  |
| Marriott International, Inc./MD - Class A | 140 | 43434  |
|  |  | 110125  |
| **Machinery-Construction & Mining - 0.4%**<br>|  |  |
| Caterpillar, Inc. | 252 | 144363  |
| GE Vernova, Inc. | 157 | 102611  |
|  |  | 246974  |
| **Machinery-Diversified - 0.3%**<br>|  |  |
| Deere & Co. | 112 | 52144  |
| IDEX Corp. | 104 | 18506  |
| Ingersoll Rand, Inc. | 290 | 22974  |
| Nordson Corporation | 58 | 13945  |
| Otis Worldwide Corp. | 170 | 14849  |
| Rockwell Automation, Inc. | 45 | 17508  |
| Wabtec Corp. | 212 | 45251  |
| Xylem, Inc./NY | 103 | 14027  |
|  |  | 199204 |

---

The accompanying notes are an integral part of these consolidated financial statements.

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**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Media - 0.4%**<br>|  |  |
| Comcast Corp. - Class A | 3133 | $93645  |
| Fox Corp. - Class A | 52 | 3800  |
| Walt Disney Co. | 1024 | 116500  |
| Warner Bros Discovery, Inc.<sup>(b)</sup> | 1339 | 38590  |
|  |  | 252535  |
| **Mining - 0.2%**<br>|  |  |
| Freeport-McMoRan, Inc. | 780 | 39616  |
| Newmont Corp. | 690 | 68897  |
|  |  | 108513  |
| **Miscellaneous Manufacturing - 0.2%**<br>|  |  |
| 3M Co. | 210 | 33621  |
| A O Smith Corp. | 143 | 9564  |
| Axon Enterprise, Inc.<sup>(b)</sup> | 25 | 14198  |
| Illinois Tool Works, Inc. | 73 | 17980  |
| Parker-Hannifin Corp. | 70 | 61527  |
| Textron, Inc. | 140 | 12204  |
|  |  | 149094  |
| **Oil & Gas - 1.1%**<br>|  |  |
| APA Corp. | 511 | 12499  |
| Chevron Corp. | 944 | 143875  |
| ConocoPhillips | 293 | 27428  |
| Devon Energy Corp. | 721 | 26410  |
| Diamondback Energy, Inc. | 135 | 20294  |
| EOG Resources, Inc. | 145 | 15226  |
| EQT Corp. | 306 | 16402  |
| Exxon Mobil Corp. | 2679 | 322391  |
| Marathon Petroleum Corp. | 200 | 32526  |
| Occidental Petroleum Corp. | 484 | 19902  |
| Phillips 66 | 315 | 40648  |
| Texas Pacific Land Corp. | 63 | 18095  |
| Valero Energy Corp. | 77 | 12535  |
|  |  | 708231  |
| **Oil & Gas Services - 0.1%**<br>|  |  |
| Halliburton Co. | 1177 | 33262  |
| SLB Ltd. | 759 | 29130  |
|  |  | 62392  |
| **Packaging & Containers - 0.0%<sup>(a)</sup>**<br>|  |  |
| Amcor PLC | 2977 | 24828  |
| Packaging Corp. of America | 67 | 13818  |
|  |  | 38646  |

---

The accompanying notes are an integral part of these consolidated financial statements.

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**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Pharmaceuticals - 2.1%** | **Pharmaceuticals - 2.1%** | **Pharmaceuticals - 2.1%** |
| AbbVie, Inc. | 766 | $175023  |
| Becton Dickinson & Co. | 74 | 14361  |
| Bristol-Myers Squibb Co. | 1365 | 73628  |
| Cardinal Health, Inc. | 96 | 19728  |
| Cencora, Inc. | 98 | 33100  |
| CVS Health Corp. | 678 | 53806  |
| Eli Lilly & Co. | 410 | 440619  |
| Henry Schein, Inc.<sup>(b)</sup> | 155 | 11715  |
| Johnson & Johnson | 1435 | 296973  |
| McKesson Corp. | 72 | 59061  |
| Merck & Co., Inc. | 1446 | 152206  |
| Pfizer, Inc. | 1195 | 29755  |
| Viatris, Inc. | 1162 | 14467  |
|  |  | 1374442  |
| **Pipelines - 0.1%**<br>|  |  |
| Kinder Morgan, Inc. | 882 | 24246  |
| Williams Cos., Inc. | 421 | 25306  |
|  |  | 49552  |
| **Private Equity - 0.2%**<br>|  |  |
| Blackstone, Inc. | 451 | 69517  |
| KKR & Co., Inc. | 380 | 48443  |
|  |  | 117960  |
| **Real Estate - 0.1%**<br>|  |  |
| CBRE Group, Inc. - Class A<sup>(b)</sup> | 248 | 39876  |
| CoStar Group, Inc.<sup>(b)</sup> | 270 | 18155  |
|  |  | 58031  |
| **REITS - 0.7%**<br>|  |  |
| Alexandria Real Estate Equities, Inc. | 325 | 15906  |
| American Tower Corp. | 269 | 47228  |
| Crown Castle, Inc. | 172 | 15286  |
| Digital Realty Trust, Inc. | 99 | 15316  |
| Equinix, Inc. | 50 | 38308  |
| Essex Property Trust, Inc. | 68 | 17794  |
| Extra Space Storage, Inc. | 114 | 14845  |
| Host Hotels & Resorts, Inc. | 527 | 9344  |
| Iron Mountain, Inc. | 200 | 16590  |
| Prologis, Inc. | 548 | 69958  |
| Realty Income Corp. | 892 | 50282  |
| Simon Property Group, Inc. | 167 | 30913  |
| Welltower, Inc. | 711 | 131969  |
|  |  | 473739  |

---

The accompanying notes are an integral part of these consolidated financial statements.

68<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Retail - 1.8%** | **Retail - 1.8%** | **Retail - 1.8%** |
| AutoZone, Inc.<sup>(b)</sup> | 4 | $13566  |
| Best Buy Co., Inc. | 384 | 25701  |
| Carvana Co.<sup>(b)</sup> | 46 | 19413  |
| Chipotle Mexican Grill, Inc.<sup>(b)</sup> | 394 | 14578  |
| Costco Wholesale Corp. | 139 | 119865  |
| Dollar General Corp. | 225 | 29873  |
| Dollar Tree, Inc.<sup>(b)</sup> | 122 | 15007  |
| Domino's Pizza, Inc. | 44 | 18340  |
| Genuine Parts Co. | 118 | 14509  |
| Home Depot, Inc. | 368 | 126629  |
| Lowe's Cos., Inc. | 476 | 114792  |
| McDonald's Corp. | 472 | 144257  |
| O'Reilly Automotive, Inc.<sup>(b)</sup> | 185 | 16874  |
| Ross Stores, Inc. | 140 | 25220  |
| Starbucks Corp. | 539 | 45389  |
| Target Corp. | 426 | 41642  |
| TJX Cos., Inc. | 693 | 106452  |
| Tractor Supply Co. | 274 | 13703  |
| Ulta Beauty, Inc.<sup>(b)</sup> | 33 | 19965  |
| Walmart, Inc. | 2488 | 277188  |
| Williams-Sonoma, Inc. | 118 | 21074  |
| Yum! Brands, Inc. | 107 | 16187  |
|  |  | 1240224  |
| **Semiconductors - 6.3%**<br>|  |  |
| Advanced Micro Devices, Inc.<sup>(b)</sup> | 640 | 137062  |
| Analog Devices, Inc. | 543 | 147262  |
| Applied Materials, Inc. | 366 | 94058  |
| Broadcom, Inc. | 2370 | 820257  |
| Intel Corp.<sup>(b)</sup> | 2276 | 83984  |
| KLA Corp. | 90 | 109357  |
| Lam Research Corp. | 490 | 83878  |
| Micron Technology, Inc. | 592 | 168963  |
| Monolithic Power Systems, Inc. | 38 | 34442  |
| NVIDIA Corp. | 12454 | 2322671  |
| NXP Semiconductors NV | 471 | 102235  |
| ON Semiconductor Corp.<sup>(b)</sup> | 457 | 24747  |
| QUALCOMM, Inc. | 199 | 34039  |
| Teradyne, Inc. | 86 | 16646  |
| Texas Instruments, Inc. | 106 | 18390  |
|  |  | 4197991  |

---

The accompanying notes are an integral part of these consolidated financial statements.

69<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Software - 4.7%** | **Software - 4.7%** | **Software - 4.7%** |
| Adobe, Inc.<sup>(b)</sup> | 60 | $20999  |
| Autodesk, Inc.<sup>(b)</sup> | 246 | 72819  |
| Cadence Design Systems, Inc.<sup>(b)</sup> | 166 | 51888  |
| Datadog, Inc. - Class A<sup>(b)</sup> | 183 | 24886  |
| Electronic Arts, Inc. | 159 | 32489  |
| Fair Isaac Corp.<sup>(b)</sup> | 17 | 28741  |
| Fidelity National Information Services, Inc. | 564 | 37484  |
| Intuit, Inc. | 203 | 134471  |
| Microsoft Corp. | 3627 | 1754090  |
| MSCI, Inc. | 44 | 25244  |
| Oracle Corp. | 1036 | 201927  |
| Palantir Technologies, Inc. - Class A<sup>(b)</sup> | 1192 | 211878  |
| Paychex, Inc. | 791 | 88734  |
| Paycom Software, Inc. | 176 | 28047  |
| PTC, Inc.<sup>(b)</sup> | 120 | 20905  |
| Roper Technologies, Inc. | 147 | 65434  |
| Salesforce, Inc. | 333 | 88215  |
| ServiceNow, Inc.<sup>(b)</sup> | 831 | 127301  |
| Synopsys, Inc.<sup>(b)</sup> | 32 | 15031  |
| Take-Two Interactive Software, Inc.<sup>(b)</sup> | 181 | 46342  |
| Tyler Technologies, Inc.<sup>(b)</sup> | 35 | 15888  |
| Workday, Inc. - Class A<sup>(b)</sup> | 94 | 20189  |
|  |  | 3113002  |
| **Telecommunications - 0.8%**<br>|  |  |
| Arista Networks, Inc.<sup>(b)</sup> | 771 | 101024  |
| AT&T, Inc. | 2650 | 65826  |
| Cisco Systems, Inc. | 2372 | 182715  |
| Corning, Inc. | 346 | 30296  |
| T-Mobile US, Inc. | 114 | 23146  |
| Verizon Communications, Inc. | 3534 | 143940  |
|  |  | 546947  |
| **Toys, Games & Hobbies - 0.1%**<br>|  |  |
| Hasbro, Inc. | 552 | 45264  |
| **Transportation - 0.4%**<br>|  |  |
| C.H. Robinson Worldwide, Inc. | 109 | 17523  |
| CSX Corp. | 953 | 34546  |
| Expeditors International of Washington, Inc. | 209 | 31143  |
| FedEx Corp. | 123 | 35530  |
| JB Hunt Transport Services, Inc. | 122 | 23710  |
| Norfolk Southern Corp. | 100 | 28872  |
| Union Pacific Corp. | 319 | 73791  |
| United Parcel Service, Inc. - Class B | 185 | 18350  |
|  |  | 263465 |

---

The accompanying notes are an integral part of these consolidated financial statements.

70<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF INVESTMENTS** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value**  |
| **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  | **COMMON STOCKS - (Continued)**  |
| **Water - 0.0%<sup>(a)</sup>** | **Water - 0.0%<sup>(a)</sup>** | **Water - 0.0%<sup>(a)</sup>** |
| American Water Works Co., Inc. | 114 | $14877  |
| &nbsp;&nbsp;&nbsp; **TOTAL COMMON STOCKS** <br>**(Cost $25,384,833)** |  | 29699530  |
| &nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 44.5%** <br>**(Cost $25,384,833)** |  | $29699530  |
| Money Market Deposit Account - 45.3%<sup>(c)(d)</sup> |  | 30217138  |
| Other Assets in Excess of Liabilities - 10.2%<sup>(e)</sup> |  | 6860321  |
| **TOTAL NET ASSETS - 100.0%** |  | $66776989 |

---

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

REIT - Real Estate Investment Trust

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents less than 0.05% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(c) The U.S. Bank Money Market Deposit Account (the
 "MMDA") is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that
 is determined based on market conditions and is subject to change daily. The rate as of December 31, 2025 was 3.45%.

&nbsp;&nbsp;&nbsp;&nbsp;(d) A portion of this deposit account is pledged
 as collateral for derivative contracts. As of the reporting date, the value of this collateral totals $44,474.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Includes assets pledged as collateral for derivative
 contracts. As of the reporting date, the value of these assets totals $5,500,179.

The accompanying notes are an integral part of these consolidated financial statements.

71<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 10 Year U.S. Ultra Treasury Notes | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | $230031 | &nbsp;&nbsp; $(111)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 09/14/2026 | 287747 | &nbsp;&nbsp;&nbsp;&nbsp;(544)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 12/14/2026 | 1725691 | &nbsp;&nbsp; 438  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 12/13/2027 | 286822 | &nbsp;&nbsp;&nbsp;&nbsp;(867)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 12/15/2026 | 484225 | &nbsp;&nbsp;&nbsp;&nbsp;(141)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/16/2027 | 242225 | &nbsp;&nbsp;&nbsp;&nbsp;(77)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 12/14/2027 | 242013 | &nbsp;&nbsp;&nbsp;&nbsp;(89)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 01/02/2026 | 147380 | &nbsp;&nbsp; 8509  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/07/2026 | 74338 | &nbsp;&nbsp; 4720  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/12/2026 | 74388 | &nbsp;&nbsp; 6432  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/20/2026 | 223312 | &nbsp;&nbsp; 14495  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/28/2026 | 74508 | &nbsp;&nbsp; 3130  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/03/2026 | 74584 | &nbsp;&nbsp; 3241  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/04/2026 | 74596 | &nbsp;&nbsp; 3254  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 02/13/2026 | 373419 | &nbsp;&nbsp; 15277  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/25/2026 | 74786 | &nbsp;&nbsp; 3519  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/26/2026 | 149610 | &nbsp;&nbsp; 6572  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/27/2026 | 74812 | &nbsp;&nbsp; 2632  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/02/2026 | 74818 | &nbsp;&nbsp; 3272  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/09/2026 | 74871 | &nbsp;&nbsp; 3249  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/12/2026 | 299542 | &nbsp;&nbsp; 12253  |
| Arabica Coffee | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/19/2026 | 130781 | &nbsp;&nbsp; (6733)  |
| ASX SPI 200 Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/19/2026 | 289497 | &nbsp;&nbsp; 147  |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 03/16/2026 | 4137260 | &nbsp;&nbsp; 10475  |
| BOVESPA Index | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 02/18/2026 | 364970 | &nbsp;&nbsp; 5657  |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 03/16/2026 | 2271037 | &nbsp;&nbsp; 24  |
| CAC40 10 Euro Index | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 01/16/2026 | 1149908 | &nbsp;&nbsp; 661  |
| Canadian 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 88092 | &nbsp;&nbsp;&nbsp;&nbsp;(189)  |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 03/17/2026 | 3290400 | &nbsp;&nbsp; (2640)  |
| Copper | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/27/2026 | 284100 | &nbsp;&nbsp; 19571  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/02/2026 | 314959 | &nbsp;&nbsp; 50004  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/05/2026 | 311385 | &nbsp;&nbsp; 42580  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/07/2026 | 311445 | &nbsp;&nbsp; 40690  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/20/2026 | 934406 | &nbsp;&nbsp; 137368  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/04/2026 | 311259 | &nbsp;&nbsp; 41730  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/09/2026 | 311363 | &nbsp;&nbsp; 41797  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/13/2026 | 622842 | &nbsp;&nbsp; 79924  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/18/2026 | 311146 | &nbsp;&nbsp; 40781  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/03/2026 | 311073 | &nbsp;&nbsp; 19582  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/12/2026 | 311052 | &nbsp;&nbsp; 22989  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 12/14/2026 | 88308 | &nbsp;&nbsp; (4903)  |
| Dow Jones Industrial Average Index | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/20/2026 | 966720 | &nbsp;&nbsp; (10336)  |
| Dow Jones U.S. Micro-Cap Total Stock Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | 48336 | &nbsp;&nbsp;&nbsp;&nbsp;(520)  |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/16/2026 | 14725 | &nbsp;&nbsp;&nbsp;&nbsp;(19)  |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 03/16/2026 | 2650500 | &nbsp;&nbsp;&nbsp;&nbsp;(978)  |
| Euro STOXX 50 Quanto Index | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 03/20/2026 | 1853370 | &nbsp;&nbsp; 20295  |

---

The accompanying notes are an integral part of these consolidated financial statements.

72<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Euro STOXX Banks Index | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 03/20/2026 | $297084 | &nbsp;&nbsp; $6948  |
| Euro/Pound Sterling Cross Currency Rate | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/16/2026 | 147482 | &nbsp;&nbsp;&nbsp;&nbsp;(701)  |
| Euro-BTP Italian Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 03/06/2026 | 2824707 | &nbsp;&nbsp; (3533)  |
| Euro-Bund | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/06/2026 | 449760 | &nbsp;&nbsp; (3743)  |
| Feeder Cattle | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/26/2026 | 172663 | &nbsp;&nbsp; 3198  |
| Financial Select Sector Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | 339515 | &nbsp;&nbsp;&nbsp;&nbsp;(998)  |
| FTSE 100 Index | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 03/20/2026 | 1607991 | &nbsp;&nbsp; 18034  |
| FTSE China A50 Index | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 01/29/2026 | 657040 | &nbsp;&nbsp; (4838)  |
| FTSE/JSE Top 40 Index | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 03/19/2026 | 528242 | &nbsp;&nbsp; 5061  |
| FTSE/MIB Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | 529462 | &nbsp;&nbsp; 7652  |
| German Stock Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 725391 | &nbsp;&nbsp; 12279  |
| Gold | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 02/25/2026 | 1302330 | &nbsp;&nbsp; 14274  |
| IBEX 35 Index | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/16/2026 | 609205 | &nbsp;&nbsp; 9273  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 09/15/2026 | 1301980 | &nbsp;&nbsp; 13  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 12/15/2026 | 1628655 | &nbsp;&nbsp; 417  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/16/2027 | 1303058 | &nbsp;&nbsp; 620  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 06/15/2027 | 976991 | &nbsp;&nbsp;&nbsp;&nbsp;(3)  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 09/14/2027 | 976536 | &nbsp;&nbsp; 301  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 12/14/2027 | 650720 | &nbsp;&nbsp; 268  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/14/2028 | 975626 | &nbsp;&nbsp; 98  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 06/20/2028 | 650080 | &nbsp;&nbsp; 167  |
| ICE 3 Month SONIA Rate | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 09/19/2028 | 649743 | &nbsp;&nbsp; 99  |
| ICE European Climate Exchange Emissions | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 12/14/2026 | 205354 | &nbsp;&nbsp; 4621  |
| KOSPI 200 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/12/2026 | 105515 | &nbsp;&nbsp; 3071  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/20/2026 | 148469 | &nbsp;&nbsp; (4118)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/11/2026 | 49880 | &nbsp;&nbsp; (2375)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/13/2026 | 99860 | &nbsp;&nbsp;&nbsp;&nbsp;(748)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/16/2026 | 99885 | &nbsp;&nbsp; (1625)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/27/2026 | 49874 | &nbsp;&nbsp; 595  |
| Lean Hogs | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 02/13/2026 | 102120 | &nbsp;&nbsp; 274  |
| Lean Hogs | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 04/15/2026 | 143840 | &nbsp;&nbsp; 1831  |
| Lean Hogs | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 06/12/2026 | 41150 | &nbsp;&nbsp; 3798  |
| Live Cattle | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 02/27/2026 | 185280 | &nbsp;&nbsp; 896  |
| Live Cattle | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 06/30/2026 | 90710 | &nbsp;&nbsp; 1138  |
| London Cocoa | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/16/2026 | 117999 | &nbsp;&nbsp; (2227)  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 03/16/2026 | 973203 | &nbsp;&nbsp; 28205  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 03/16/2026 | 933038 | &nbsp;&nbsp; 52995  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 03/16/2026 | 499168 | &nbsp;&nbsp; 37583  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/16/2026 | 311892 | &nbsp;&nbsp; (3806)  |
| Long Gilt | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/27/2026 | 246323 | &nbsp;&nbsp;&nbsp;&nbsp;(836)  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/12/2026 | 123150 | &nbsp;&nbsp; 1023  |
| Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp; 03/16/2026 | 2397720 | &nbsp;&nbsp; 31800  |
| MSCI Emerging Markets Index | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 03/20/2026 | 1270260 | &nbsp;&nbsp; 23621  |
| MSCI Singapore Index | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 01/29/2026 | 277423 | &nbsp;&nbsp; (1141)  |
| Nasdaq 100 Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | 1018270 | &nbsp;&nbsp; 2142  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 01/02/2026 | 200106 | &nbsp;&nbsp; 18781  |

---

The accompanying notes are an integral part of these consolidated financial statements.

73<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/05/2026 | $99041 | &nbsp;&nbsp; $10133  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 01/06/2026 | 198116 | &nbsp;&nbsp; 17226  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 02/13/2026 | 298588 | &nbsp;&nbsp; 24435  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/05/2026 | 199458 | &nbsp;&nbsp; 9428  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/06/2026 | 99740 | &nbsp;&nbsp; (1106)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/19/2026 | 99749 | &nbsp;&nbsp; 5844  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/31/2026 | 99876 | &nbsp;&nbsp; 751  |
| Nifty 50 Index | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 01/27/2026 | 472959 | &nbsp;&nbsp; (2072)  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/12/2026 | 505750 | &nbsp;&nbsp; 2298  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 03/12/2026 | 740041 | &nbsp;&nbsp; (2221)  |
| Nikkei 225 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/12/2026 | 161022 | &nbsp;&nbsp;&nbsp;&nbsp;(464)  |
| OMXS30 Index | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 01/16/2026 | 628958 | &nbsp;&nbsp; 12488  |
| Russell 2000 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 12490 | &nbsp;&nbsp;&nbsp;&nbsp;(382)  |
| Russell 2000 Index | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/20/2026 | 499600 | &nbsp;&nbsp; (12204)  |
| S&P 500 Index | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/20/2026 | 2412375 | &nbsp;&nbsp; (9255)  |
| S&P Mid Cap 400 Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/20/2026 | 665040 | &nbsp;&nbsp; (10202)  |
| S&P/Toronto Stock Exchange 60 Index | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/19/2026 | 542610 | &nbsp;&nbsp;&nbsp;&nbsp;(331)  |
| Sao Paulo Stock Exchange Index (Bovespa) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 02/18/2026 | 448734 | &nbsp;&nbsp; 6824  |
| SGX FTSE Taiwan Index | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 01/29/2026 | 758720 | &nbsp;&nbsp; 11365  |
| SGX TSI Iron Ore | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 02/27/2026 | 420440 | &nbsp;&nbsp; (1362)  |
| Short-term Euro-BTP | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 03/06/2026 | 4666960 | &nbsp;&nbsp; (1342)  |
| South Korean Won | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/19/2026 | 29993 | &nbsp;&nbsp;&nbsp;&nbsp;(496)  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/13/2026 | 29940 | &nbsp;&nbsp;&nbsp;&nbsp;(682)  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 05/14/2026 | 106100 | &nbsp;&nbsp; (9655)  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 07/14/2026 | 53713 | &nbsp;&nbsp;&nbsp;&nbsp;(540)  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 11/13/2026 | 53225 | &nbsp;&nbsp; (2577)  |
| STOXX 600 Bank Spread Index | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/20/2026 | 84015 | &nbsp;&nbsp; 2339  |
| STOXX Europe 600 Index | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 03/20/2026 | 804130 | &nbsp;&nbsp; 12887  |
| STOXX Europe 600 Index | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 30297 | &nbsp;&nbsp; 622  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/30/2026 | 16419 | &nbsp;&nbsp; 177  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 09/30/2026 | 16822 | &nbsp;&nbsp; 143  |
| Swiss Franc | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 03/16/2026 | 1270750 | &nbsp;&nbsp; (2585)  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/20/2026 | 202780 | &nbsp;&nbsp; 25525  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/13/2026 | 203035 | &nbsp;&nbsp; 18997  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/12/2026 | 202995 | &nbsp;&nbsp; (3877)  |
| Tokyo Price Index | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 03/12/2026 | 87168 | &nbsp;&nbsp; 641  |
| TOPIX Index | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 03/12/2026 | 1525441 | &nbsp;&nbsp; 12643  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 03/20/2026 | 562187 | &nbsp;&nbsp; (1415)  |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 03/31/2026 | 10648242 | &nbsp;&nbsp; (1104)  |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 03/31/2026 | 2186094 | &nbsp;&nbsp; (1892)  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 115594 | &nbsp;&nbsp;&nbsp;&nbsp;(283)  |
| U.S. Treasury Ultra Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/20/2026 | 118000 | &nbsp;&nbsp;&nbsp;&nbsp;(564)  |
| White Maize | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/24/2026 | 21341 | &nbsp;&nbsp; (1495)  |
| White Sugar | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/13/2026 | 21375 | &nbsp;&nbsp; 244  |
| White Sugar | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 04/15/2026 | 21260 | &nbsp;&nbsp;&nbsp;&nbsp;(331)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 01/02/2026 | 231884 | &nbsp;&nbsp; 3036  |

---

The accompanying notes are an integral part of these consolidated financial statements.

74<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Purchased** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 01/05/2026 | $77091 | &nbsp;&nbsp; $51  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 01/06/2026 | 154228 | &nbsp;&nbsp; 3456  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 02/13/2026 | 310939 | &nbsp;&nbsp; 8571  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 02/18/2026 | 77651 | &nbsp;&nbsp; 2771  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/02/2026 | 77848 | &nbsp;&nbsp; 679  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 03/03/2026 | 77873 | &nbsp;&nbsp; 695  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/05/2026 | 155876 | &nbsp;&nbsp; 278  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 03/06/2026 | 155890 | &nbsp;&nbsp; 1446  |
|  |  |  |  | &nbsp;&nbsp; $1025061 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| 1 Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/29/2026 | $402241 | &nbsp;&nbsp;&nbsp; $(64)  |
| 3 Month Canadian Overnight Repo Rate Average | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 06/16/2026 | 889904 | &nbsp;&nbsp;&nbsp; 39  |
| 3 Month Canadian Overnight Repo Rate Average | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 09/15/2026 | 1067557 | &nbsp;&nbsp;&nbsp;&nbsp;(17)  |
| 3 Month Canadian Overnight Repo Rate Average | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 12/15/2026 | 711158 | &nbsp;&nbsp;&nbsp;&nbsp;(324)  |
| 3 Month Canadian Overnight Repo Rate Average | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/16/2027 | 710466 | &nbsp;&nbsp;&nbsp;&nbsp;(215)  |
| 3 Month Canadian Overnight Repo Rate Average | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 06/15/2027 | 532303 | &nbsp;&nbsp;&nbsp;&nbsp;(177)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(29) | &nbsp;&nbsp; 06/15/2026 | 8346378 | &nbsp;&nbsp;&nbsp; (1579)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(20) | &nbsp;&nbsp; 09/14/2026 | 5754948 | &nbsp;&nbsp;&nbsp; 2703  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(14) | &nbsp;&nbsp; 12/14/2026 | 4026612 | &nbsp;&nbsp;&nbsp; (1171)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(37) | &nbsp;&nbsp; 03/15/2027 | 10634695 | &nbsp;&nbsp;&nbsp; (2974)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(13) | &nbsp;&nbsp; 06/14/2027 | 3733841 | &nbsp;&nbsp;&nbsp; (1949)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 09/13/2027 | 2583116 | &nbsp;&nbsp;&nbsp;&nbsp;(962)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 12/13/2027 | 2581397 | &nbsp;&nbsp;&nbsp;&nbsp;(888)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(12) | &nbsp;&nbsp; 03/13/2028 | 3439571 | &nbsp;&nbsp;&nbsp; (1212)  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 06/19/2028 | 2291520 | &nbsp;&nbsp;&nbsp; 787  |
| 3 Month Euribor | &nbsp;&nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp; 03/19/2029 | 2859846 | &nbsp;&nbsp;&nbsp;&nbsp;(240)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 09/15/2026 | 241725 | &nbsp;&nbsp;&nbsp; 23  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(12) | &nbsp;&nbsp; 12/15/2026 | 2905350 | &nbsp;&nbsp;&nbsp;&nbsp;(405)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 09/14/2027 | 242137 | &nbsp;&nbsp;&nbsp;&nbsp;(164)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 06/20/2028 | 241700 | &nbsp;&nbsp;&nbsp;&nbsp;(102)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 09/19/2028 | 241550 | &nbsp;&nbsp;&nbsp;&nbsp;(77)  |
| 3-Month Secured Overnight Financing Rate | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 09/18/2029 | 482100 | &nbsp;&nbsp;&nbsp; 47  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/02/2026 | 147380 | &nbsp;&nbsp;&nbsp; (8901)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/07/2026 | 74337 | &nbsp;&nbsp;&nbsp; (3032)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/12/2026 | 74388 | &nbsp;&nbsp;&nbsp; (3060)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 01/20/2026 | 223312 | &nbsp;&nbsp;&nbsp; (9391)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/28/2026 | 74508 | &nbsp;&nbsp;&nbsp; (2601)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/03/2026 | 74584 | &nbsp;&nbsp;&nbsp; (3123)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/04/2026 | 74596 | &nbsp;&nbsp;&nbsp; (3119)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 02/13/2026 | 373419 | &nbsp;&nbsp;&nbsp; (16524)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/25/2026 | 74786 | &nbsp;&nbsp;&nbsp; (3199)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/26/2026 | 74805 | &nbsp;&nbsp;&nbsp; (2523)  |
| Aluminum - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/12/2026 | 74885 | &nbsp;&nbsp;&nbsp; (2840)  |
| Australian Government 10 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(29) | &nbsp;&nbsp; 03/16/2026 | 2118867 | &nbsp;&nbsp;&nbsp; (1049)  |

---

The accompanying notes are an integral part of these consolidated financial statements.

75<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Australian Government 3 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(52) | &nbsp;&nbsp; 03/16/2026 | $3643587 | &nbsp;&nbsp;&nbsp; $1658  |
| Australian 90 Day Bank Bills | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 12/10/2026 | 3963847 | &nbsp;&nbsp;&nbsp; 3062  |
| Australian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(95) | &nbsp;&nbsp; 03/16/2026 | 6339350 | &nbsp;&nbsp;&nbsp; (35522)  |
| BMF US Dollar Fut Feb 26 | &nbsp;&nbsp;&nbsp;&nbsp;(20) | &nbsp;&nbsp; 01/30/2026 | 1009616 | &nbsp;&nbsp;&nbsp; 7980  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/30/2026 | 60850 | &nbsp;&nbsp;&nbsp; 789  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/27/2026 | 60490 | &nbsp;&nbsp;&nbsp;&nbsp;(982)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/31/2026 | 120640 | &nbsp;&nbsp;&nbsp;&nbsp;(263)  |
| Brent Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 10/30/2026 | 180660 | &nbsp;&nbsp;&nbsp; 4437  |
| British Pound | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 03/16/2026 | 672900 | &nbsp;&nbsp;&nbsp; (6531)  |
| Canadian 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(11) | &nbsp;&nbsp; 03/20/2026 | 969007 | &nbsp;&nbsp;&nbsp;&nbsp;(415)  |
| Canadian Canola Oil | &nbsp;&nbsp;&nbsp;&nbsp;(15) | &nbsp;&nbsp; 03/13/2026 | 131667 | &nbsp;&nbsp;&nbsp; 4049  |
| Canadian Canola Oil | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 05/14/2026 | 17873 | &nbsp;&nbsp;&nbsp;&nbsp;(4)  |
| Canadian Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/17/2026 | 73120 | &nbsp;&nbsp;&nbsp;&nbsp;(619)  |
| CBOE Volatility Index | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 02/18/2026 | 37068 | &nbsp;&nbsp;&nbsp; 1181  |
| Class III Milk | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/03/2026 | 31200 | &nbsp;&nbsp;&nbsp;&nbsp;(362)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/02/2026 | 314959 | &nbsp;&nbsp;&nbsp; (43768)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/05/2026 | 311385 | &nbsp;&nbsp;&nbsp; (40716)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/07/2026 | 311445 | &nbsp;&nbsp;&nbsp; (47287)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 01/20/2026 | 934405 | &nbsp;&nbsp;&nbsp; (124836)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/04/2026 | 311259 | &nbsp;&nbsp;&nbsp; (42876)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/09/2026 | 311363 | &nbsp;&nbsp;&nbsp; (40968)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 02/13/2026 | 622842 | &nbsp;&nbsp;&nbsp; (60666)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/18/2026 | 311146 | &nbsp;&nbsp;&nbsp; (23224)  |
| Copper - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/03/2026 | 311073 | &nbsp;&nbsp;&nbsp; (19627)  |
| Corn No. 2 Yellow | &nbsp;&nbsp;&nbsp;&nbsp;(11) | &nbsp;&nbsp; 03/13/2026 | 242138 | &nbsp;&nbsp;&nbsp; 1963  |
| Corn No. 2 Yellow | &nbsp;&nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp; 05/14/2026 | 179300 | &nbsp;&nbsp;&nbsp; 2394  |
| Corn No. 2 Yellow | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 07/14/2026 | 136350 | &nbsp;&nbsp;&nbsp; 1199  |
| Corn No. 2 Yellow | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 12/14/2026 | 207225 | &nbsp;&nbsp;&nbsp; 1029  |
| Cotton No. 2 | &nbsp;&nbsp;&nbsp;&nbsp;(14) | &nbsp;&nbsp; 03/09/2026 | 449890 | &nbsp;&nbsp;&nbsp; 1557  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/20/2026 | 57220 | &nbsp;&nbsp;&nbsp; 1498  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 03/20/2026 | 171210 | &nbsp;&nbsp;&nbsp; (1145)  |
| Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 04/21/2026 | 57000 | &nbsp;&nbsp;&nbsp; (1102)  |
| Crude Palm Oil | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 02/13/2026 | 149150 | &nbsp;&nbsp;&nbsp; (1593)  |
| Crude Palm Oil | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 49901 | &nbsp;&nbsp;&nbsp;&nbsp;(683)  |
| Crude Palm Oil | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 04/15/2026 | 125031 | &nbsp;&nbsp;&nbsp; (1756)  |
| Crude Palm Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/15/2026 | 24988 | &nbsp;&nbsp;&nbsp;&nbsp;(372)  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp; 03/13/2026 | 262224 | &nbsp;&nbsp;&nbsp; 442  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 05/14/2026 | 88362 | &nbsp;&nbsp;&nbsp;&nbsp;(121)  |
| Crude Soybean Oil | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 07/14/2026 | 89028 | &nbsp;&nbsp;&nbsp; 113  |
| Dollar Index | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/16/2026 | 196094 | &nbsp;&nbsp;&nbsp; 714  |
| Euro | &nbsp;&nbsp;&nbsp;&nbsp;(125) | &nbsp;&nbsp; 03/16/2026 | 18406250 | &nbsp;&nbsp;&nbsp; (119668)  |
| Euro BUXL 30 Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(7) | &nbsp;&nbsp; 03/06/2026 | 905890 | &nbsp;&nbsp;&nbsp; 9234  |
| Euro-BOBL | &nbsp;&nbsp;&nbsp;&nbsp;(40) | &nbsp;&nbsp; 03/06/2026 | 5460443 | &nbsp;&nbsp;&nbsp; 4923  |
| Euro-BTP Italian Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/06/2026 | 141235 | &nbsp;&nbsp;&nbsp; 480  |
| Euro-Bund | &nbsp;&nbsp;&nbsp;&nbsp;(21) | &nbsp;&nbsp; 03/06/2026 | 3148322 | &nbsp;&nbsp;&nbsp; 10324  |
| Euro-Schatz | &nbsp;&nbsp;&nbsp;&nbsp;(86) | &nbsp;&nbsp; 03/06/2026 | 10792954 | &nbsp;&nbsp;&nbsp; (3847)  |

---

The accompanying notes are an integral part of these consolidated financial statements.

76<br>

------

**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| European Rapeseed | &nbsp;&nbsp;&nbsp;&nbsp;(13) | &nbsp;&nbsp; 01/30/2026 | $346228 | &nbsp;&nbsp;&nbsp; $9446  |
| European Rapeseed | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 04/30/2026 | 52884 | &nbsp;&nbsp;&nbsp; 452  |
| French Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(12) | &nbsp;&nbsp; 03/06/2026 | 1700606 | &nbsp;&nbsp;&nbsp; 6642  |
| Frozen Concentrated Orange Juice | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/11/2026 | 30180 | &nbsp;&nbsp;&nbsp;&nbsp;(332)  |
| FTSE 100 Index | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/20/2026 | 267998 | &nbsp;&nbsp;&nbsp; (3847)  |
| Hang Seng China Enterprises Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/29/2026 | 57197 | &nbsp;&nbsp;&nbsp; 205  |
| Hang Seng China Enterprises Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/29/2026 | 11439 | &nbsp;&nbsp;&nbsp; 211  |
| Hang Seng Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/29/2026 | 164776 | &nbsp;&nbsp;&nbsp; 2472  |
| Hard Red Winter Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 03/13/2026 | 154425 | &nbsp;&nbsp;&nbsp; 1912  |
| Hard Red Winter Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/14/2026 | 26400 | &nbsp;&nbsp;&nbsp; 260  |
| Japanese 10 Year Government Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 1690628 | &nbsp;&nbsp;&nbsp; 9032  |
| Japanese Yen | &nbsp;&nbsp;&nbsp;&nbsp;(56) | &nbsp;&nbsp; 03/16/2026 | 4492950 | &nbsp;&nbsp;&nbsp; 24103  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 01/20/2026 | 148469 | &nbsp;&nbsp;&nbsp; 276  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/11/2026 | 49880 | &nbsp;&nbsp;&nbsp;&nbsp;(159)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 02/13/2026 | 99860 | &nbsp;&nbsp;&nbsp; 3423  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 02/16/2026 | 99885 | &nbsp;&nbsp;&nbsp;&nbsp;(952)  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/26/2026 | 49849 | &nbsp;&nbsp;&nbsp; 96  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/27/2026 | 49874 | &nbsp;&nbsp;&nbsp; 159  |
| Lead - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/09/2026 | 50047 | &nbsp;&nbsp;&nbsp;&nbsp;(352)  |
| London Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/13/2026 | 58919 | &nbsp;&nbsp;&nbsp; (1511)  |
| London Metals - Aluminum<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 03/16/2026 | 224585 | &nbsp;&nbsp;&nbsp; (6253)  |
| London Metals - Copper<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/16/2026 | 622025 | &nbsp;&nbsp;&nbsp; (32874)  |
| London Metals - Nickel<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 03/16/2026 | 499168 | &nbsp;&nbsp;&nbsp; (59679)  |
| London Metals - Zinc<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/16/2026 | 77973 | &nbsp;&nbsp;&nbsp; (1760)  |
| Long Gilt | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/27/2026 | 123162 | &nbsp;&nbsp;&nbsp;&nbsp;(392)  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 04/10/2026 | 60925 | &nbsp;&nbsp;&nbsp;&nbsp;(76)  |
| Low Sulphur Gas Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/12/2026 | 60500 | &nbsp;&nbsp;&nbsp;&nbsp;(451)  |
| Maize | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/05/2026 | 11062 | &nbsp;&nbsp;&nbsp;&nbsp;(134)  |
| Mexican Peso | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 03/16/2026 | 110240 | &nbsp;&nbsp;&nbsp; (1900)  |
| MIAX Red Wheat FutMar26 | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 57400 | &nbsp;&nbsp;&nbsp; 619  |
| Milling Wheat No. 2 | &nbsp;&nbsp;&nbsp;&nbsp;(30) | &nbsp;&nbsp; 03/10/2026 | 334491 | &nbsp;&nbsp;&nbsp; (2208)  |
| Milling Wheat No. 2 | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 05/11/2026 | 44951 | &nbsp;&nbsp;&nbsp; 1537  |
| Milling Wheat No. 2 | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 09/10/2026 | 22916 | &nbsp;&nbsp;&nbsp; 967  |
| Mini Dollar Future Feb 26 | &nbsp;&nbsp;&nbsp;&nbsp;(43) | &nbsp;&nbsp; 01/30/2026 | 434135 | &nbsp;&nbsp;&nbsp; 3014  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/27/2026 | 18430 | &nbsp;&nbsp;&nbsp; 956  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/28/2026 | 73720 | &nbsp;&nbsp;&nbsp; 416  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/25/2026 | 31300 | &nbsp;&nbsp;&nbsp;&nbsp;(92)  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/27/2026 | 63060 | &nbsp;&nbsp;&nbsp; 107  |
| Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 09/28/2026 | 112830 | &nbsp;&nbsp;&nbsp; 1415  |
| New Zealand Dollar | &nbsp;&nbsp;&nbsp;&nbsp;(14) | &nbsp;&nbsp; 03/16/2026 | 807520 | &nbsp;&nbsp;&nbsp; 4228  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/02/2026 | 200106 | &nbsp;&nbsp;&nbsp; (16352)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/05/2026 | 99041 | &nbsp;&nbsp;&nbsp; (6046)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/06/2026 | 198116 | &nbsp;&nbsp;&nbsp; (14076)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 02/13/2026 | 298588 | &nbsp;&nbsp;&nbsp; (30605)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/02/2026 | 99672 | &nbsp;&nbsp;&nbsp; (8215)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/05/2026 | 99683 | &nbsp;&nbsp;&nbsp; (10198)  |

---

The accompanying notes are an integral part of these consolidated financial statements.

77<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FUTURES CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Contracts** <br>**Sold** | **Expiration Date** | **Notional Value** | **Value/Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/05/2026 | $199458 | &nbsp;&nbsp;&nbsp; $(18786)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/06/2026 | 99740 | &nbsp;&nbsp;&nbsp; (8211)  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/19/2026 | 99749 | &nbsp;&nbsp;&nbsp; 1120  |
| Nickel - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/31/2026 | 99876 | &nbsp;&nbsp;&nbsp; 1104  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/30/2026 | 89103 | &nbsp;&nbsp;&nbsp; 1649  |
| NY Harbor ULSD | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/31/2026 | 87003 | &nbsp;&nbsp;&nbsp; 435  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/30/2026 | 72030 | &nbsp;&nbsp;&nbsp; 691  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(5) | &nbsp;&nbsp; 03/31/2026 | 411936 | &nbsp;&nbsp;&nbsp; 2688  |
| Reformulated Gasoline Blendstock | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 04/30/2026 | 165287 | &nbsp;&nbsp;&nbsp; (1788)  |
| Robusta Coffee | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/22/2026 | 38720 | &nbsp;&nbsp;&nbsp; 2629  |
| Rough Rice | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 39700 | &nbsp;&nbsp;&nbsp; 845  |
| S&P Real Estate Select Sector Stock Index | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/20/2026 | 49813 | &nbsp;&nbsp;&nbsp;&nbsp;(26)  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 59880 | &nbsp;&nbsp;&nbsp; 636  |
| Soybean Meal | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 05/14/2026 | 121600 | &nbsp;&nbsp;&nbsp; 941  |
| Soybeans | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 03/13/2026 | 104750 | &nbsp;&nbsp;&nbsp; 1883  |
| Sugar #11 | &nbsp;&nbsp;&nbsp;&nbsp;(19) | &nbsp;&nbsp; 02/27/2026 | 319413 | &nbsp;&nbsp;&nbsp; (7511)  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/20/2026 | 202780 | &nbsp;&nbsp;&nbsp; (18843)  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/13/2026 | 203035 | &nbsp;&nbsp;&nbsp; 3672  |
| Tin - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/19/2026 | 202842 | &nbsp;&nbsp;&nbsp; 15953  |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp;&nbsp;(23) | &nbsp;&nbsp; 03/20/2026 | 2586063 | &nbsp;&nbsp;&nbsp; 14007  |
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(12) | &nbsp;&nbsp; 03/20/2026 | 1387125 | &nbsp;&nbsp;&nbsp; (2575)  |
| U.S. Treasury Ultra Bonds | &nbsp;&nbsp;&nbsp;&nbsp;(6) | &nbsp;&nbsp; 03/20/2026 | 708000 | &nbsp;&nbsp;&nbsp; 10586  |
| UK Natural Gas | &nbsp;&nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp; 02/26/2026 | 288451 | &nbsp;&nbsp;&nbsp; (1059)  |
| US Cocoa | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 05/13/2026 | 61020 | &nbsp;&nbsp;&nbsp; (6032)  |
| US Dollar/Swedish Krona Cross Currency Rate | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/16/2026 | 99719 | &nbsp;&nbsp;&nbsp; 1556  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(16) | &nbsp;&nbsp; 03/13/2026 | 405600 | &nbsp;&nbsp;&nbsp; 18417  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 05/14/2026 | 77775 | &nbsp;&nbsp;&nbsp; 368  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 07/14/2026 | 53125 | &nbsp;&nbsp;&nbsp; 1633  |
| Wheat | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 12/14/2026 | 84712 | &nbsp;&nbsp;&nbsp; 506  |
| WTI Light Sweet Crude Oil | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/16/2026 | 57420 | &nbsp;&nbsp;&nbsp;&nbsp;(541)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp; 01/02/2026 | 231884 | &nbsp;&nbsp;&nbsp; (4669)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 01/05/2026 | 77091 | &nbsp;&nbsp;&nbsp; (1434)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp; 01/06/2026 | 154228 | &nbsp;&nbsp;&nbsp; (2622)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(4) | &nbsp;&nbsp; 02/13/2026 | 310939 | &nbsp;&nbsp;&nbsp; (4880)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 02/18/2026 | 77651 | &nbsp;&nbsp;&nbsp;&nbsp;(686)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/03/2026 | 77873 | &nbsp;&nbsp;&nbsp;&nbsp;(728)  |
| Zinc - 90 day settlement<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp; 03/06/2026 | 77945 | &nbsp;&nbsp;&nbsp; (625)  |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $(754423)  |
| **Net Unrealized Appreciation (Depreciation)** |  |  |  | &nbsp;&nbsp;&nbsp; $270638 |

---

The Fund has recorded a liability of $46,696 as of December 31, 2025 related to the current day's variation margin related to these contracts.

<sup>(a)</sup> London Metal Exchange ("LME") futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The unrealized appreciation on these contracts is a receivable for unsettled open futures contracts and the unrealized depreciation is a payable for unsettled open futures contracts on the Fund's consolidated Statement of Assets and Liabilities. 

The accompanying notes are an integral part of these consolidated financial statements.

78<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Deutsche Bank | 01/14/2026 | AUD | 221540 | EUR | 125000 | $860  |
| Deutsche Bank | 01/14/2026 | AUD | 800000 | JPY | 82903088 | 3987  |
| Deutsche Bank | 01/14/2026 | AUD | 2400000 | NZD | 2750345 | 17323  |
| Deutsche Bank | 01/14/2026 | AUD | 2200000 | USD | 1465505 | 2803  |
| Deutsche Bank | 02/03/2026 | BRL | 556431 | USD | 100000 | 653  |
| Deutsche Bank | 01/14/2026 | CAD | 1000000 | JPY | 113038240 | 6472  |
| Deutsche Bank | 01/14/2026 | CAD | 2000000 | USD | 1456219 | 1878  |
| Deutsche Bank | 01/14/2026 | CHF | 1281652 | EUR | 1375000 | 3556  |
| Deutsche Bank | 01/14/2026 | CHF | 250000 | JPY | 49020008 | 2754  |
| Deutsche Bank | 01/14/2026 | CHF | 875000 | USD | 1105752 | 616  |
| Deutsche Bank | 01/12/2026 | CLP | 92872300 | USD | 100000 | 3154  |
| Deutsche Bank | 01/14/2026 | CNH | 25317659 | USD | 3600000 | 32613  |
| Deutsche Bank | 01/14/2026 | EUR | 800000 | JPY | 146057960 | 7146  |
| Deutsche Bank | 01/14/2026 | EUR | 500000 | NOK | 5924989 | 139  |
| Deutsche Bank | 01/14/2026 | GBP | 87298 | EUR | 100000 | 72  |
| Deutsche Bank | 01/14/2026 | GBP | 1000000 | JPY | 208597168 | 14512  |
| Deutsche Bank | 01/14/2026 | GBP | 812500 | USD | 1088739 | 6455  |
| Deutsche Bank | 01/14/2026 | ILS | 1596239 | USD | 500000 | 1209  |
| Deutsche Bank | 01/02/2026 | INR | 9038385 | USD | 100000 | 542  |
| Deutsche Bank | 01/05/2026 | INR | 80986121 | USD | 900000 | 624  |
| Deutsche Bank | 01/12/2026 | INR | 54122073 | USD | 600000 | 1525  |
| Deutsche Bank | 01/20/2026 | INR | 80956553 | USD | 892359 | 6846  |
| Deutsche Bank | 01/14/2026 | MXN | 24500000 | USD | 1354453 | 4250  |
| Deutsche Bank | 01/14/2026 | NOK | 6047952 | USD | 600000 | 58  |
| Deutsche Bank | 01/14/2026 | PLN | 1692972 | EUR | 400000 | 1141  |
| Deutsche Bank | 01/14/2026 | PLN | 4316242 | USD | 1200000 | 2190  |
| Deutsche Bank | 01/14/2026 | SEK | 9504220 | EUR | 875000 | 4120  |
| Deutsche Bank | 01/14/2026 | SEK | 10074493 | NOK | 11000000 | 3719  |
| Deutsche Bank | 01/14/2026 | SEK | 8333103 | USD | 900000 | 5813  |
| Deutsche Bank | 01/14/2026 | SGD | 1804439 | USD | 1400000 | 5163  |
| Deutsche Bank | 01/23/2026 | TWD | 3153850 | USD | 100000 | 539  |
| Deutsche Bank | 01/14/2026 | USD | 668984 | AUD | 1000000 | 1571  |
| Deutsche Bank | 01/14/2026 | USD | 882198 | EUR | 750000 | 202  |
| Deutsche Bank | 01/02/2026 | USD | 101065 | INR | 9038385 | 523  |
| Deutsche Bank | 01/05/2026 | USD | 900000 | INR | 80831610 | 1095  |
| Deutsche Bank | 01/14/2026 | USD | 803545 | JPY | 125000000 | 4505  |
| Deutsche Bank | 01/30/2026 | USD | 100000 | KRW | 143256237 | 447  |
| Deutsche Bank | 02/02/2026 | USD | 200000 | KRW | 286984474 | 542  |
| Deutsche Bank | 01/14/2026 | USD | 194575 | MXN | 3500000 | 475  |
| Deutsche Bank | 01/14/2026 | USD | 639767 | NZD | 1100000 | 6059  |
| Deutsche Bank | 01/14/2026 | ZAR | 30303079 | USD | 1800000 | 28148  |
| Deutsche Bank | 01/14/2026 | AUD | 1800000 | CAD | 1649673 | (1348)  |
| Deutsche Bank | 01/05/2026 | BRL | 549846 | USD | 101417 | (1206)  |
| Deutsche Bank | 01/14/2026 | CAD | 181975 | AUD | 200000 | (814)  |
| Deutsche Bank | 01/14/2026 | EUR | 750000 | AUD | 1322783 | (847)  |
| Deutsche Bank | 01/14/2026 | EUR | 1125000 | CAD | 1817014 | (1698)  |

---

The accompanying notes are an integral part of these consolidated financial statements.

79<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement Date** | **Currency Purchased** | **Currency Purchased** | **Currency Sold** | **Currency Sold** | **Unrealized** <br>**Appreciation** <br>(Depreciation)  |
| Deutsche Bank | 01/14/2026 | EUR | 900000 | GBP | 789717 | $(6090)  |
| Deutsche Bank | 01/14/2026 | EUR | 100000 | PLN | 422502 | (79)  |
| Deutsche Bank | 01/14/2026 | EUR | 1625000 | USD | 1911746 | (757)  |
| Deutsche Bank | 01/14/2026 | HUF | 327311111 | USD | 1000000 | (151)  |
| Deutsche Bank | 01/14/2026 | JPY | 20860528 | AUD | 200000 | (135)  |
| Deutsche Bank | 01/14/2026 | JPY | 18183814 | EUR | 100000 | (1363)  |
| Deutsche Bank | 01/14/2026 | JPY | 52508010 | GBP | 250000 | (1335)  |
| Deutsche Bank | 01/14/2026 | JPY | 25000000 | USD | 161315 | (1507)  |
| Deutsche Bank | 01/30/2026 | KRW | 863188579 | USD | 600000 | (147)  |
| Deutsche Bank | 01/14/2026 | NZD | 1800000 | JPY | 162704976 | (3086)  |
| Deutsche Bank | 01/14/2026 | NZD | 400000 | USD | 232966 | (2527)  |
| Deutsche Bank | 01/15/2026 | TWD | 3124730 | USD | 100000 | (444)  |
| Deutsche Bank | 01/05/2026 | USD | 100000 | BRL | 549846 | (211)  |
| Deutsche Bank | 01/14/2026 | USD | 655819 | CAD | 900000 | (325)  |
| Deutsche Bank | 01/14/2026 | USD | 472725 | CHF | 375000 | (1433)  |
| Deutsche Bank | 01/12/2026 | USD | 100000 | CLP | 92267400 | (2482)  |
| Deutsche Bank | 01/14/2026 | USD | 700000 | CNH | 4913082 | (4936)  |
| Deutsche Bank | 01/14/2026 | USD | 336701 | GBP | 250000 | (282)  |
| Deutsche Bank | 01/12/2026 | USD | 600000 | INR | 54278100 | (3259)  |
| Deutsche Bank | 01/16/2026 | USD | 210351 | INR | 19071147 | (1544)  |
| Deutsche Bank | 01/20/2026 | USD | 892359 | INR | 80718369 | (4200)  |
| Deutsche Bank | 01/27/2026 | USD | 689649 | INR | 62254863 | (1452)  |
| Deutsche Bank | 01/30/2026 | USD | 600000 | INR | 54231960 | (1896)  |
| Deutsche Bank | 01/16/2026 | USD | 300000 | KRW | 440925000 | (6249)  |
| Deutsche Bank | 01/20/2026 | USD | 500000 | KRW | 736518016 | (11633)  |
| Deutsche Bank | 01/14/2026 | USD | 300000 | TRY | 13107605 | (2060)  |
| Deutsche Bank | 01/26/2026 | USD | 100000 | TWD | 3157226 | (667)  |
| Deutsche Bank | 01/29/2026 | USD | 200000 | TWD | 6299411 | (896)  |
| Deutsche Bank | 01/14/2026 | USD | 500000 | ZAR | 8340669 | (3183)  |
|  **Net Unrealized Appreciation (Depreciation)** |  |  |  |  |  | $116057 |

---

AUD - Australian Dollars

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNH - Chinese Offshore Renminbi

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

ILS - Israeli New Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

The accompanying notes are an integral part of these consolidated financial statements.

80<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR STRATEGIC ALLOCATION FUND** 

**CONSOLIDATED SCHEDULE OF FORWARD CURRENCY CONTRACTS** 

**December 31, 2025(Continued)** 

PLN - Polish Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these consolidated financial statements.

81<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Assets and Liabilities** 

**December 31, 2025** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **LoCorr** <br>**Dynamic** <br>**Opportunity** <br>**Fund** | **LoCorr** <br>**Hedged Core** <br>**Fund** <br>(Consolidated) | **LoCorr** <br>**Long/Short** <br>**Commodities** <br>**Strategy Fund** <br>(Consolidated) | **LoCorr** <br>**Macro** <br>**Strategies Fund** <br>(Consolidated) | **LoCorr** <br>**Market Trend** <br>**Fund** <br>(Consolidated)  |
| **ASSETS:**<br>|  |  |  |  |  |
| Investments, at value | $24271582 | $212423690 | $311795066 | $1308398822 | $226352975  |
|  Deposit at broker for securities sold short | 7685191 |  |  |  | —  |
|  Cash - interest bearing deposit account (Note 2) | 7076869 | 16146722 | 13627272 | 57397332 | 20160186  |
|  Cash held as collateral for securities sold short (Note 2) | 1350000 |  |  |  | —  |
|  Cash held as collateral for forward currency contracts (Note 2) |  | 1691165 |  | 30380000 | 6080000  |
| Receivable for investments sold | 346919 |  |  |  | —  |
| Interest receivable | 49085 | 1424181 | 2235898 | 10545473 | 1765622  |
| Dividends receivable | 12519 |  |  |  | —  |
| Receivable for fund shares sold | 857 | 730954 | 168670 | 646116 | 499173  |
|  Receivable for unsettled futures contracts  | —  | 546822  | —  | 6436857  | 2913985  |
|  Receivable for open forward currency contracts |  | 638425 |  | 7638095 | 1214912  |
| Receivable for swap contracts, net |  |  | 28784105 |  | —  |
|  Deposit at broker for future contracts (Note 2) |  | 6423435 |  | 77676404 | 30218491  |
|  Deposit at broker for swap contracts (Note 2) |  | 8976531 | 448176 |  | —  |
| Prepaid expenses and other assets | 16739 | 3417 | 43128 | 27205 | 22081  |
| &nbsp;&nbsp;&nbsp; **Total assets** | 40809761 | 249005342 | 357102315 | 1499146304 | 289227425  |
| **LIABILITIES:**<br>|  |  |  |  |  |
| Securities sold short, at value | 3921327 |  |  |  | —  |
| Payable for unsettled futures contracts | —  | 119177  | —  | 1107575  | 143542  |
| Variation margin on futures contracts |  | 372371 |  | 4644753 | 2057439  |
|  Payable for open forward currency contracts  | —  | 448625  | —  | 5397584  | 450459  |
| Payable for investments purchased | 6080001 | 613 |  | 7081 | —  |
| Distributions payable | 837932 |  | 1 |  | —  |
| Payable for capital shares redeemed | 240877 | 59671 | 1379595 | 3388404 | 202401  |
|  Payable for fund administration and accounting fees | 29393 | 74664 | 100194 | 222937 | 81291  |
| Payable for audit fees | 26500 | 76020 | 57500 | 57500 | 48500  |
| Payable to adviser (Note 5) | 23623 | 270096 | 481529 | 2094904 | 362085  |
| Dividends payable | 17652 |  |  |  | —  |
|  Payable for transfer agent fees and expenses | 17394 | 42465 | 95892 | 271899 | 73566  |
|  Payable for distribution and shareholder servicing fees | 4247 | 66127 | 69067 | 118121 | 44081  |
| Payable for swap contracts, net |  | 4596775 |  |  | —  |
| Deferred organizational expenses |  | 11 |  |  | —  |
| Payable to custodian |  |  | 20282 |  | —  |
|  Payable for expenses and other liabilities | 7293 | 25566 | 39447 | 156706 | 21124  |
| &nbsp;&nbsp;&nbsp; **Total liabilities** | 11206239 | 6152181 | 2243507 | 17467464 | 3484488  |
| **NET ASSETS** | $29603522 | $242853161 | $354858808 | $1481678840 | $285742937  |

---

The accompanying notes are an integral part of these financial statements.

82<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Assets and Liabilities** 

**December 31, 2025(Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **LoCorr** <br>**Dynamic** <br>**Opportunity** <br>**Fund** | **LoCorr** <br>**Hedged Core** <br>**Fund** <br>(Consolidated) | **LoCorr** <br>**Long/Short** <br>**Commodities** <br>**Strategy Fund** <br>(Consolidated) | **LoCorr** <br>**Macro** <br>**Strategies Fund** <br>(Consolidated) | **LoCorr** <br>**Market Trend** <br>**Fund** <br>(Consolidated)  |
| **Net Assets Consists of:**<br>|  |  |  |  |  |
| Paid-in capital | $30914558 | $245240168 | $383350307 | $1677280809 | $336941328  |
| Total accumulated losses | (1311036) | (2387007) | (28491499) | (195601969) | (51198391) |
| &nbsp;&nbsp;&nbsp; **Total net assets** | $29603522 | $242853161 | $354858808 | $1481678840 | $285742937  |
| **Class A**<br>|  |  |  |  |  |
| Net assets | $2833410 | $26109641 | $15205102 | $50777816 | $17958433  |
| Shares issued and outstanding<sup>(a)</sup> | 263802 | 2756114 | 1783116 | 6672565 | 1616977  |
| Net asset value per share<sup>(b)</sup> | $10.74 | $9.47 | $8.53 | $7.61 | $11.11  |
| &nbsp;&nbsp;&nbsp; Max offering price per share <br>(net asset value per share dividend by 0.9425, 0.9425, 0.9425, 0.9425 and 0.9425)<sup>(1)</sup> | $11.40 | $10.05 | $9.05 | $8.07 | $11.78  |
| **Class C**<br>|  |  |  |  |  |
| Net assets | $450065 | $— | $3696550 | $21325640 | $7437454  |
| Shares issued and outstanding<sup>(a)</sup> | 46278 |  | 460710 | 2996065 | 716914  |
| Net asset value per share | $9.73 | $— | $8.02 | $7.12 | $10.37  |
| **Class I**<br>|  |  |  |  |  |
| Net assets | $26320047 | $216743520 | $335957156 | $1409575384 | $260347050  |
| Shares issued and outstanding<sup>(a)</sup> | 2372527 | 22861799 | 38977460 | 181331081 | 23462755  |
| Net asset value per share | $11.09 | $9.48 | $8.62 | $7.77 | $11.10  |
| **Cost:**<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments, at cost | $23678693 | $210330580 | $315439546 | $1293733759 | $223857041  |
| **Proceeds:**<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Securities sold short proceeds | $3975836 | $— | $— | $— | $— |

---

<sup>(a)</sup> Unlimited shares authorized, no par value.

<sup>(b)</sup> A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. 

<sup>(1)</sup> Reflects a maximum sales charge of 5.75%, 5.75%, 5.75%, 5.75% and 5.75% on investments of $25,000 or more, the offering price is reduced. 

The accompanying notes are an integral part of these financial statements.

83<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Assets and Liabilities** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **LoCorr** <br>**Spectrum** <br>**Income Fund** | **LoCorr** <br>**Strategic** <br>**Allocation Fund** <br>(Consolidated)  |
| **ASSETS:**<br>|  |  |
| Investments, at value | $65695501 | $29699530  |
| Cash - interest bearing deposit account (Note 2) | 3564460 | 30217138  |
| Cash held as collateral for forward currency contracts (Note 2) |  | 371910  |
| Dividends receivable | 386560 | 15442  |
| Receivable for investments sold | 112508 | 812  |
| Deposit at broker for option contracts (Note 2) | 73975 | —  |
| Interest receivable | 8476 | 80786  |
| Receivable for fund shares sold | 5526 | 1277059  |
| Dividend tax reclaims receivable |  | 191  |
| Receivable for open forward currency contracts |  | 186299  |
| Receivable for unsettled futures contracts | —  | 905281  |
| Deposit at broker for future contracts (Note 2) |  | 5128269  |
| Deferred organizational expenses |  | 1351  |
| Prepaid expenses and other assets | 38948 | —  |
| &nbsp;&nbsp;&nbsp; **Total assets** | 69885954 | 67884068  |
| **LIABILITIES:**<br>|  |  |
| Written option, at value | 174812 | —  |
| Payable for unsettled futures contracts  | —  | 768939  |
| Variation margin on futures contracts |  | 46696  |
| Payable for open forward currency contracts  |  | 70242  |
| Payable for capital shares redeemed | 139938 | 11719  |
| Distributions payable | 109809 | —  |
| Payable to Adviser (Note 5) | 68305 | 76110  |
| Payable for investments purchased | 46484 | —  |
| Payable for transfer agent fees and expenses | 29077 | 9168  |
| Payable for audit fees | 29000 | 53500  |
| Payable for fund administration and accounting fees | 28176 | 40651  |
| Payable for distribution and shareholder servicing fees | 19459 | 903  |
| Payable for expenses and other liabilities | 11808 | 29151  |
| &nbsp;&nbsp;&nbsp; **Total liabilities** | 656868 | 1107079  |
| **NET ASSETS** | $69229086 | $66776989  |
| **Net Assets Consists of:**<br>|  |  |
| Paid-in capital | $104650527 | $63759021  |
| Total distributable earnings/(accumulated losses) | (35421441) | 3017968  |
| &nbsp;&nbsp;&nbsp; **Total net assets** | $69229086 | $66776989  |
| **Class A**<br>|  |  |
| Net assets | $18603733 | $1276461  |
| Shares issued and outstanding<sup>(a)</sup> | 3431427 | 123311  |
| Net asset value per share<sup>(b)</sup> | $5.42 | $10.35  |
|  Max offering price per share (net asset value per share dividend by 0.9425 and 0.9425)<sup>(2)</sup> | $5.75 | $10.98  |

---

The accompanying notes are an integral part of these financial statements.

84<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Assets and Liabilities** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **LoCorr** <br>**Spectrum** <br>**Income Fund** | **LoCorr** <br>**Strategic** <br>**Allocation Fund** <br>(Consolidated)  |
| **Class C**<br>|  |  |
| Net assets | $5556653 | $—  |
| Shares issued and outstanding<sup>(a)</sup> | 1006755 | —  |
| Net asset value per share | $5.52<sup>(c)</sup> | $—  |
| **Class I**<br>|  |  |
| Net assets | $45068700 | $65500528  |
| Shares issued and outstanding<sup>(a)</sup> | 8363712 | 6325378  |
| Net asset value per share | $5.39<sup>(c)</sup> | $10.36  |
| **Cost:**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Investments, at cost | $58494271 | $25384833  |
| **PROCEEDS:**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Written options premium received | $203443 | $— |

---

<sup>(a)</sup> Unlimited shares authorized, no par value.

<sup>(b)</sup> A 1.00% contingent deferred sales charge may apply to redemptions made within twelve months of purchase. The contingent deferred sales charge only applies to Class A share purchases of $1 million or more. 

<sup>(c)</sup> Redemptions made within 60 days of purchase may be assessed a redemption fee of 2.00%. 

<sup>(2)</sup> Reflects a maximum sales charge of 5.75% and 5.75%, on investments of $25,000 of more, the offering price is reduced. 

The accompanying notes are an integral part of these financial statements.

85<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Operations** 

**For the Year Ended December 31, 2025** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **LoCorr** <br>**Dynamic** <br>**Opportunity** <br>**Fund** | **LoCorr** <br>**Hedged Core** <br>**Fund** <br>(Consolidated) | **LoCorr** <br>**Long/Short** <br>**Commodities** <br>**Strategy Fund** <br>(Consolidated) | **LoCorr** <br>**Macro** <br>**Strategies Fund** <br>(Consolidated) | **LoCorr** <br>**Market Trend** <br>**Fund** <br>(Consolidated)  |
| **INVESTMENT INCOME:**<br>|  |  |  |  |  |
| Dividend income | $394524 | $— | $— | $— | $—  |
| Less: issuance fees | (60) |  |  |  | —  |
| Less: dividend withholding taxes | (2758) |  |  |  | —  |
| Interest income | 507705 | 8354737 | 13655863 | 65773677 | 12615327  |
| Broker interest income - net  | 422441  | 260791  | 18481  | 2832961  | 721951  |
| &nbsp;&nbsp;&nbsp; **Total investment income** | 1321852 | 8615528 | 13674344 | 68606638 | 13337278  |
| **EXPENSES:**<br>|  |  |  |  |  |
| Investment advisory fee | 612616 | 3248662 | 6982808 | 25649201 | 4639257  |
| &nbsp;&nbsp;&nbsp; Fund administration and accounting <br>fees | 111932 | 282977 | 405962 | 893661 | 329249  |
| Transfer agent fees | 95477 | 337857 | 756539 | 2027722 | 368793  |
| Federal and state registration fees | 55494 | 63737 | 83761 | 122993 | 65315  |
| Audit fees | 26080 | 81380 | 60889 | 62806 | 50591  |
| Custodian fees | 20582 | 41180 | 18578 | 89802 | 20096  |
| Distribution expenses - Class A | 7660 | 58169 | 41873 | 141548 | 44796  |
| Distribution expenses - Class C | 5465 |  | 43912 | 230589 | 87753  |
| Trustees' fees | 7375 | 38623 | 85601 | 283642 | 57130  |
| Reports to shareholders | 5755 | 20009 | 60196 | 274187 | 36921  |
| Legal fees | 4701 | 11742 | 19602 | 45820 | 16222  |
| Other expenses and fees | 3449 | 38339 | 11988 | 27521 | 7958  |
| Total expense before dividend expense | 956586  | 4222675  | 8571709  | 29849492  | 5724081  |
|  Dividend expense on securities sold short (Note 2)  | 148815  | —  | —  | —  | —  |
| &nbsp;&nbsp;&nbsp; Total expenses | 1105401 | 4222675 | 8571709 | 29849492 | 5724081  |
| &nbsp;&nbsp;&nbsp; Expense reimbursement by Adviser | (130723) | (87470) |  |  | —  |
| &nbsp;&nbsp;&nbsp; Expense recoupment by Adviser |  | 23796 |  |  | —  |
| &nbsp;&nbsp;&nbsp; Net expenses | 974678 | 4159001 | 8571709 | 29849492 | 5724081  |
| **Net investment income** | 347174 | 4456527 | 5102635 | 38757146 | 7613197  |
|  **REALIZED AND UNREALIZED GAIN (LOSS)**<br>|  |  |  |  |  |
| Net realized gain (loss) from:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments | (160536) | (638082) | (21858863) | 5906902 | 1357253  |
| &nbsp;&nbsp;&nbsp; Securities sold short | (483639) |  |  |  | —  |
| &nbsp;&nbsp;&nbsp; Futures contracts |  | (90595) |  | (6380703) | (583039)  |
| &nbsp;&nbsp;&nbsp; Forward currency contracts |  | (382112) |  | (6514787) | (3953530)  |
| &nbsp;&nbsp;&nbsp; Swap contracts |  |  | 4417230 |  | —  |
| &nbsp;&nbsp;&nbsp; Other investments |  | 2887 |  | 37226 | —  |
| &nbsp;&nbsp;&nbsp; Foreign currency translation | (1130) | 175222 |  | 2060871 | (6083)  |
| Net realized gain (loss) | (645305) | (932680) | (17441633) | (4890491) | (3185399)  |

---

The accompanying notes are an integral part of these financial statements.

86<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Operations** 

**For the Year Ended December 31, 2025(Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **LoCorr** <br>**Dynamic** <br>**Opportunity** <br>**Fund** | **LoCorr** <br>**Hedged Core** <br>**Fund** <br>(Consolidated) | **LoCorr** <br>**Long/Short** <br>**Commodities** <br>**Strategy Fund** <br>(Consolidated) | **LoCorr** <br>**Macro** <br>**Strategies Fund** <br>(Consolidated) | **LoCorr** <br>**Market Trend** <br>**Fund** <br>(Consolidated)  |
|  Net change in unrealized appreciation (depreciation) on:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments | $1121624 | $4367586 | $32919521 | $13938357 | $2673156  |
| &nbsp;&nbsp;&nbsp; Securities sold short | (8361) |  |  |  | —  |
| &nbsp;&nbsp;&nbsp; Future contracts |  | 771044 |  | 8221380 | 5483783  |
| &nbsp;&nbsp;&nbsp; Forward currency contracts |  | (558753) |  | (12252590) | (7141084)  |
| &nbsp;&nbsp;&nbsp; Swap contracts |  | (2460566) | (14185596) |  | —  |
| &nbsp;&nbsp;&nbsp; Foreign currency translation | 27 | (62307) |  | (3915358) | (29619)  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 1113290 | 2057004 | 18733925 | 5991789 | 986236  |
| **Net realized and unrealized gain** <br>&nbsp;&nbsp;&nbsp;&nbsp;(loss) | 467985 | 1124324 | 1292292 | 1101298 | (2199163)  |
|  **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $815159 | $5580851 | $6394927 | $39858444 | $5414034 |

---

The accompanying notes are an integral part of these financial statements.

87<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**STATEMENTS OF OPERATIONS** 

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**December 31, 2025**  | **For the Period from** <br>**January 8, 2025** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2025**  |
|  | **LoCorr** <br>**Spectrum** <br>**Income Fund** | **LoCorr** <br>**Strategic** <br>**Allocation Fund** <br>(Consolidated)  |
| **INVESTMENT INCOME:**<br>|  |  |
| Dividend income | &nbsp;&nbsp;&nbsp; $4029874 | &nbsp;&nbsp;&nbsp; $219988  |
| Less: issuance fees | &nbsp;&nbsp;&nbsp; (1259) | &nbsp;&nbsp;&nbsp;&nbsp;(2)  |
| Less: dividend withholding taxes | &nbsp;&nbsp;&nbsp; (13631) | &nbsp;&nbsp;&nbsp;&nbsp;(226)  |
| Interest income | &nbsp;&nbsp;&nbsp; 124178 | &nbsp;&nbsp;&nbsp; 638283  |
| Broker interest income - net  | &nbsp;&nbsp;&nbsp; 4898 | &nbsp;&nbsp;&nbsp; 40857  |
| &nbsp;&nbsp;&nbsp; **Total investment income** | &nbsp;&nbsp;&nbsp; 4144060 | &nbsp;&nbsp;&nbsp; 898900  |
| **EXPENSES:**<br>|  |  |
| Investment advisory fee | &nbsp;&nbsp;&nbsp; 939154 | &nbsp;&nbsp;&nbsp; 449051  |
| Transfer agent fees | &nbsp;&nbsp;&nbsp; 141597 | &nbsp;&nbsp;&nbsp; 53082  |
| Fund administration and accounting fees | &nbsp;&nbsp;&nbsp; 114182 | &nbsp;&nbsp;&nbsp; 153598  |
| Distribution expenses - Class A | &nbsp;&nbsp;&nbsp; 44319 | &nbsp;&nbsp;&nbsp; 1506  |
| Distribution expenses - Class C | &nbsp;&nbsp;&nbsp; 66777 | &nbsp;&nbsp;&nbsp; —  |
| Federal and state registration fees | &nbsp;&nbsp;&nbsp; 60430 | &nbsp;&nbsp;&nbsp; 50177  |
| Audit fees | &nbsp;&nbsp;&nbsp; 28629 | &nbsp;&nbsp;&nbsp; 53969  |
| Reports to shareholders | &nbsp;&nbsp;&nbsp; 28560 | &nbsp;&nbsp;&nbsp; 2555  |
| Trustees' fees | &nbsp;&nbsp;&nbsp; 13184 | &nbsp;&nbsp;&nbsp; 7083  |
| Custodian fees | &nbsp;&nbsp;&nbsp; 6259 | &nbsp;&nbsp;&nbsp; 35334  |
| Legal fees | &nbsp;&nbsp;&nbsp; 1668 | &nbsp;&nbsp;&nbsp; 21866  |
| Other expenses and fees | &nbsp;&nbsp;&nbsp; 2853 | &nbsp;&nbsp;&nbsp; 90832  |
| &nbsp;&nbsp;&nbsp; Total expenses | &nbsp;&nbsp;&nbsp; 1447612 | &nbsp;&nbsp;&nbsp; 919053  |
| &nbsp;&nbsp;&nbsp; Expense reimbursement by Adviser | &nbsp;&nbsp;&nbsp; (36151) | &nbsp;&nbsp;&nbsp; (352082)  |
| &nbsp;&nbsp;&nbsp; Expense recoupment by Adviser | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 11151  |
| &nbsp;&nbsp;&nbsp; Net expenses | &nbsp;&nbsp;&nbsp; 1411461 | &nbsp;&nbsp;&nbsp; 578122  |
| **Net investment income** | &nbsp;&nbsp;&nbsp; 2732599 | &nbsp;&nbsp;&nbsp; 320778  |
| **REALIZED AND UNREALIZED GAIN (LOSS)**<br>|  |  |
| Net realized gain (loss) from:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp; 705570 | &nbsp;&nbsp;&nbsp; (1307767)  |
| &nbsp;&nbsp;&nbsp; Written options expired or closed | &nbsp;&nbsp;&nbsp; 1885789 | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Futures contracts | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (526240)  |
| &nbsp;&nbsp;&nbsp; Forward currency contracts | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (22682)  |
| &nbsp;&nbsp;&nbsp; Other investments | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (8199)  |
| &nbsp;&nbsp;&nbsp; Foreign currency translation | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 98052  |
| Net realized gain (loss) | &nbsp;&nbsp;&nbsp; 2591359 | &nbsp;&nbsp;&nbsp; (1766836)  |
| Net change in unrealized appreciation (depreciation) on:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Investments | &nbsp;&nbsp;&nbsp; 1165152 | &nbsp;&nbsp;&nbsp; 4314697  |
| &nbsp;&nbsp;&nbsp; Written options | &nbsp;&nbsp;&nbsp; 28631 | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Future contracts | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 270638  |
| &nbsp;&nbsp;&nbsp; Forward currency contracts | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 116057  |
| &nbsp;&nbsp;&nbsp; Foreign currency translation | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (30817)  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp; 1193783 | &nbsp;&nbsp;&nbsp; 4670575  |
| **Net realized and unrealized gain (loss)** | &nbsp;&nbsp;&nbsp; 3785142 | &nbsp;&nbsp;&nbsp; 2903739  |
|  **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | &nbsp;&nbsp;&nbsp; $6517741 | &nbsp;&nbsp;&nbsp; $3224517 |

---

The accompanying notes are an integral part of these financial statements.

88<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Dynamic Opportunity Fund** | **LoCorr Dynamic Opportunity Fund** | **LoCorr Hedged Core Fund (Consolidated)**  | **LoCorr Hedged Core Fund (Consolidated)**  |
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended** <br>**December 31,**<br>**2025**  | **Period from** <br>**July 10** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2024**  |
|  | **2025**  | **2024**  | **Year Ended** <br>**December 31,**<br>**2025**  | **Period from** <br>**July 10** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2024**  |
| **OPERATIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | $347174 | $321470 | $4456527 | &nbsp;&nbsp;&nbsp; $638135  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | (645305) | 9033382 | (932680) | &nbsp;&nbsp;&nbsp; (236080)  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 1113290 | (3870353) | 2057004 | &nbsp;&nbsp;&nbsp; (3740706)  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from operations** | 815159 | 5484499 | 5580851 | &nbsp;&nbsp;&nbsp; (3338651)  |
| **DISTRIBUTIONS TO SHAREHOLDERS:** | **DISTRIBUTIONS TO SHAREHOLDERS:** |  |  |  |
| &nbsp;&nbsp;&nbsp; From earnings - Class A | (502472) | (25004) | (451623) | &nbsp;&nbsp;&nbsp; (120611)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class C | (80762) | (1808) |  | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; From earnings - Class I | (4601926) | (573954) | (4484768) | &nbsp;&nbsp;&nbsp; (796324)  |
| &nbsp;&nbsp;&nbsp; **Total distributions to shareholders** | (5185160) | (600766) | (4936391) | &nbsp;&nbsp;&nbsp; (916935)  |
| **CAPITAL TRANSACTIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | 287481 | 898846 | 8028065 | &nbsp;&nbsp;&nbsp; 20832919  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | 473489 | 24446 | 451623 | &nbsp;&nbsp;&nbsp; 120611  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | (826341) | (1433009) | (2677160) | &nbsp;&nbsp;&nbsp; (328619)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | 191776 | 4200 |  | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | 79725 | 1793 |  | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | (428352) | (1318608) |  | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | 5578604 | 21756206 | 183681619 | &nbsp;&nbsp;&nbsp; 190560166  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | 3794015 | 443049 | 2985810 | &nbsp;&nbsp;&nbsp; 548143  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | (26692469) | (36207144) | (120995201) | &nbsp;&nbsp;&nbsp; (36743689)  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from capital transactions** | (17542072) | (15830221) | 71474756 | &nbsp;&nbsp;&nbsp; 174989531  |
| **Net increase (decrease) in net assets**  | (21912073) | (10946488) | 72119216 | &nbsp;&nbsp;&nbsp; 170733945  |
| **NET ASSETS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Beginning of the period | 51515595 | 62462083 | 170733945 | &nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; End of the period | $29603522 | $51515595 | $242853161 | &nbsp;&nbsp;&nbsp; $170733945  |

---

The accompanying notes are an integral part of these financial statements.

89<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Dynamic Opportunity Fund** | **LoCorr Dynamic Opportunity Fund** | **LoCorr Hedged Core Fund (Consolidated)**  | **LoCorr Hedged Core Fund (Consolidated)**  |
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended** <br>**December 31,**<br>**2025**  | **Period from** <br>**July 10** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2024**  |
|  | **2025**  | **2024**  | **Year Ended** <br>**December 31,**<br>**2025**  | **Period from** <br>**July 10** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2024**  |
| **SHARES TRANSACTIONS**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp;&nbsp; 22835 | &nbsp;&nbsp;&nbsp; 76316 | &nbsp;&nbsp;&nbsp; 840428 | &nbsp;&nbsp;&nbsp;&nbsp; 2171345  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp;&nbsp; 44046 | &nbsp;&nbsp;&nbsp; 1937 | &nbsp;&nbsp;&nbsp; 47892 | &nbsp;&nbsp;&nbsp;&nbsp; 12629  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp;&nbsp; (67971) | &nbsp;&nbsp;&nbsp; (124563) | &nbsp;&nbsp;&nbsp; (281810) | &nbsp;&nbsp;&nbsp;&nbsp; (34370)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | &nbsp;&nbsp;&nbsp; 16786 | &nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | &nbsp;&nbsp;&nbsp; 8194 | &nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | &nbsp;&nbsp;&nbsp; (36905) | &nbsp;&nbsp;&nbsp; (123863) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp;&nbsp; 435413 | &nbsp;&nbsp;&nbsp; 1828125 | &nbsp;&nbsp;&nbsp; 19254595 | &nbsp;&nbsp;&nbsp;&nbsp; 19787141  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp;&nbsp; 341803 | &nbsp;&nbsp;&nbsp; 34186 | &nbsp;&nbsp;&nbsp; 316293 | &nbsp;&nbsp;&nbsp;&nbsp; 57337  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp;&nbsp; (2069752) | &nbsp;&nbsp;&nbsp; (3040609) | &nbsp;&nbsp;&nbsp; (12693896) | &nbsp;&nbsp;&nbsp;&nbsp; (3859671)  |
| &nbsp;&nbsp;&nbsp; **Total increase (decrease) in shares outstanding** | &nbsp;&nbsp;&nbsp; (1305551) | &nbsp;&nbsp;&nbsp; (1347918) | &nbsp;&nbsp;&nbsp; 7483502 | &nbsp;&nbsp;&nbsp;&nbsp; 18134411 |

---

The accompanying notes are an integral part of these financial statements.

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Long/Short Commodities** <br>**Strategy Fund (Consolidated)** | **LoCorr Long/Short Commodities** <br>**Strategy Fund (Consolidated)** | **LoCorr Macro Strategies Fund** <br>(Consolidated)  | **LoCorr Macro Strategies Fund** <br>(Consolidated)  |
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2025** | **2024** | **2025** | **2024** |
| **OPERATIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | $5102635 | $12073709 | $38757146 | $44389029  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | (17441633) | (34121932) | (4890491) | 2392338  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 18733925 | (32707303) | 5991789 | 51454019  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from operations** | 6394927 | (54755526) | 39858444 | 98235386  |
| **DISTRIBUTIONS TO SHAREHOLDERS:** | **DISTRIBUTIONS TO SHAREHOLDERS:** |  |  |  |
| &nbsp;&nbsp;&nbsp; From earnings - Class A | (310099) | (397613) | (1562605) | (1731750)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class C | (69382) | (75561) | (567320) | (542117)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class I | (7970835) | (14058797) | (43707005) | (44762428)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class A |  | (8616) |  | (47728)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class C |  | (1637) |  | (14941)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class I |  | (304660) |  | (1233673)  |
| &nbsp;&nbsp;&nbsp; **Total distributions to shareholders** | (8350316) | (14846884) | (45836930) | (48332637)  |
| **CAPITAL TRANSACTIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | 3478633 | 10157661 | 11885989 | 20625280  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | 291304 | 367961 | 1530772 | 1735856  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | (8463714) | (91685315) | (23864389) | (34395302)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | 357463 | 683351 | 3069998 | 5039873  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | 64511 | 72676 | 562812 | 552080  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | (1769682) | (4406365) | (7543326) | (14562744)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | 168182069 | 283265865 | 619734868 | 658072601  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | 6885881 | 11709221 | 40291973 | 41727557  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | (318931813) | (552765686) | (697462558) | (681191796)  |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from capital transactions | (149905348) | (342600631) | (51793861) | (2396595)  |
| &nbsp;&nbsp;&nbsp; **NET INCREASE (DECREASE) IN NET ASSETS** | (151860737) | (412203041) | (57772347) | 47506154  |
| **NET ASSETS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Beginning of the year | 506719545 | 918922586 | 1539451187 | 1491945033  |
| &nbsp;&nbsp;&nbsp; End of the year | $354858808 | $506719545 | $1481678840 | $1539451187  |

---

The accompanying notes are an integral part of these financial statements.

91<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Long/Short Commodities** <br>**Strategy Fund (Consolidated)** | **LoCorr Long/Short Commodities** <br>**Strategy Fund (Consolidated)** | **LoCorr Macro Strategies Fund** <br>(Consolidated)  | **LoCorr Macro Strategies Fund** <br>(Consolidated)  |
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2025** | **2024** | **2025** | **2024** |
| **SHARES TRANSACTIONS**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp; 396914 | &nbsp;&nbsp; 1063007 | &nbsp;&nbsp; 1554963 | &nbsp;&nbsp; 2634563  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp; 34150 | &nbsp;&nbsp; 41021 | &nbsp;&nbsp; 202483 | &nbsp;&nbsp; 227504  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp; (963499) | &nbsp;&nbsp; (9535849) | &nbsp;&nbsp; (3127160) | &nbsp;&nbsp; (4406890)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | &nbsp;&nbsp; 43056 | &nbsp;&nbsp; 75697 | &nbsp;&nbsp; 429210 | &nbsp;&nbsp; 685053  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | &nbsp;&nbsp; 8034 | &nbsp;&nbsp; 8560 | &nbsp;&nbsp; 79606 | &nbsp;&nbsp; 76891  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | &nbsp;&nbsp; (213940) | &nbsp;&nbsp; (487842) | &nbsp;&nbsp; (1053773) | &nbsp;&nbsp; (1989593)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp; 18959523 | &nbsp;&nbsp; 29227547 | &nbsp;&nbsp; 79454606 | &nbsp;&nbsp; 82185481  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp; 798826 | &nbsp;&nbsp; 1290983 | &nbsp;&nbsp; 5219167 | &nbsp;&nbsp; 5356554  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp; (36024960) | &nbsp;&nbsp; (57900924) | &nbsp;&nbsp; (89549339) | &nbsp;&nbsp; (85497168)  |
| &nbsp;&nbsp;&nbsp; **Total increase (decrease) in shares outstanding** | &nbsp;&nbsp; (16961896) | &nbsp;&nbsp; (36217800) | &nbsp;&nbsp; (6790237) | &nbsp;&nbsp; (727605) |

---

The accompanying notes are an integral part of these financial statements.

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Market Trend Fund (Consolidated)** | **LoCorr Market Trend Fund (Consolidated)** | **LoCorr Spectrum Income Fund**  | **LoCorr Spectrum Income Fund**  |
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2025** | **2024**  | **2025** | **2024**  |
| **OPERATIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $7613197 | &nbsp;&nbsp; $10664023 | $2732599 | $2574460  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; (3185399) | &nbsp;&nbsp; (13678109) | 2591359 | 2781641  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | &nbsp;&nbsp; 986236 | &nbsp;&nbsp; 24882263 | 1193783 | 808066  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from operations** | &nbsp;&nbsp; 5414034 | &nbsp;&nbsp; 21868177 | 6517741 | 6164167  |
| **DISTRIBUTIONS TO SHAREHOLDERS:** | **DISTRIBUTIONS TO SHAREHOLDERS:** |  |  |  |
| &nbsp;&nbsp;&nbsp; From earnings - Class A | &nbsp;&nbsp; (407974) | &nbsp;&nbsp; (987564) | (1014413) | (944110)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class C | &nbsp;&nbsp; (148591) | &nbsp;&nbsp; (708177) | (334059) | (482464)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class I | &nbsp;&nbsp; (6745709) | &nbsp;&nbsp; (18266315) | (2840542) | (3060755)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class A | &nbsp;&nbsp; — | &nbsp;&nbsp; — | (496455) | (351528)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class C | &nbsp;&nbsp; — | &nbsp;&nbsp; — | (163489) | (179639)  |
| &nbsp;&nbsp;&nbsp; From Return of Capital - Class I | &nbsp;&nbsp; — | &nbsp;&nbsp; — | (1390166) | (1139633)  |
| &nbsp;&nbsp;&nbsp; **Total distributions to shareholders** | &nbsp;&nbsp; (7302274) | &nbsp;&nbsp; (19962056) | (6239124) | (6158129)  |
| **CAPITAL TRANSACTIONS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp; 4849602 | &nbsp;&nbsp; 8834557 | 5883942 | 6104844  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp; 389759 | &nbsp;&nbsp; 939491 | 1236053 | 992096  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp; (8209182) | &nbsp;&nbsp; (14605363) | (6098869) | (4869441)  |
| &nbsp;&nbsp;&nbsp; Redemption fees - Class A | &nbsp;&nbsp; — | &nbsp;&nbsp; — | 2289 | 4269  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | &nbsp;&nbsp; 1509465 | &nbsp;&nbsp; 3124804 | 533126 | 678558  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | &nbsp;&nbsp; 146848 | &nbsp;&nbsp; 700333 | 446242 | 561973  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | &nbsp;&nbsp; (6627984) | &nbsp;&nbsp; (9550377) | (3089377) | (3930526)  |
| &nbsp;&nbsp;&nbsp; Redemption fees - Class C | &nbsp;&nbsp; — | &nbsp;&nbsp; — | 981 | 2484  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp; 137054891 | &nbsp;&nbsp; 174302373 | 14211827 | 18651664  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp; 6476281 | &nbsp;&nbsp; 17613747 | 3158219 | 3256782  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp; (192697952) | &nbsp;&nbsp; (240618524) | (18188802) | (36473868)  |
| &nbsp;&nbsp;&nbsp; Redemption fees - Class I | &nbsp;&nbsp; — | &nbsp;&nbsp; — | 6151 | 13413  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from capital transactions** | &nbsp;&nbsp; (57108272) | &nbsp;&nbsp; (59258959) | (1898218) | (15007752)  |
| **NET INCREASE (DECREASE) IN NET ASSETS** | &nbsp;&nbsp; (58996512) | &nbsp;&nbsp; (57352838) | (1619601) | (15001714)  |
| **NET ASSETS:**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Beginning of the year | &nbsp;&nbsp; 344739449 | &nbsp;&nbsp; 402092287 | 70848687 | 85850401  |
| &nbsp;&nbsp;&nbsp; End of the year | &nbsp;&nbsp; $285742937 | &nbsp;&nbsp; $344739449 | $69229086 | $70848687  |

---

The accompanying notes are an integral part of these financial statements.

93<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **LoCorr Market Trend Fund (Consolidated)** | **LoCorr Market Trend Fund (Consolidated)** | **LoCorr Spectrum Income Fund**  | **LoCorr Spectrum Income Fund**  |
|  | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** | **Year Ended December 31,** |
|  | **2025** | **2024**  | **2025** | **2024**  |
| **SHARES TRANSACTIONS**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp;&nbsp;&nbsp; 453971 | &nbsp;&nbsp;&nbsp;&nbsp; 742877 | &nbsp;&nbsp; 1080765 | &nbsp;&nbsp; 1104828  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp;&nbsp;&nbsp; 35823 | &nbsp;&nbsp;&nbsp;&nbsp; 85253 | &nbsp;&nbsp; 227037 | &nbsp;&nbsp; 180409  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp;&nbsp;&nbsp; (771386) | &nbsp;&nbsp;&nbsp;&nbsp; (1257841) | &nbsp;&nbsp; (1120267) | &nbsp;&nbsp; (893957)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class C | &nbsp;&nbsp;&nbsp;&nbsp; 149238 | &nbsp;&nbsp;&nbsp;&nbsp; 283541 | &nbsp;&nbsp; 95329 | &nbsp;&nbsp; 121517  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class C | &nbsp;&nbsp;&nbsp;&nbsp; 14439 | &nbsp;&nbsp;&nbsp;&nbsp; 67665 | &nbsp;&nbsp; 80518 | &nbsp;&nbsp; 100818  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class C | &nbsp;&nbsp;&nbsp;&nbsp; (669698) | &nbsp;&nbsp;&nbsp;&nbsp; (872630) | &nbsp;&nbsp; (558821) | &nbsp;&nbsp; (706016)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp;&nbsp;&nbsp; 12906549 | &nbsp;&nbsp;&nbsp;&nbsp; 14772054 | &nbsp;&nbsp; 2608834 | &nbsp;&nbsp; 3409220  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp;&nbsp;&nbsp; 595794 | &nbsp;&nbsp;&nbsp;&nbsp; 1599795 | &nbsp;&nbsp; 583167 | &nbsp;&nbsp; 596093  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp;&nbsp;&nbsp; (18449607) | &nbsp;&nbsp;&nbsp;&nbsp; (20750836) | &nbsp;&nbsp; (3363701) | &nbsp;&nbsp; (6720069)  |
| &nbsp;&nbsp;&nbsp; **Total increase (decrease) in shares outstanding** | &nbsp;&nbsp;&nbsp;&nbsp; (5734877) | &nbsp;&nbsp;&nbsp;&nbsp; (5330122) | &nbsp;&nbsp; (367139) | &nbsp;&nbsp; (2807157) |

---

The accompanying notes are an integral part of these financial statements.

94<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Statements of Changes in Net Assets(Continued)** 

---

| | |
|:---|:---|
|  | **LoCorr** <br>**Strategic** <br>**Allocation Fund** <br>(Consolidated)  |
|  | **Period Ended** <br>**from** <br>**January 8, 2025** <br>**(Commencement** <br>**of Operations)** <br>**through** <br>**December 31, 2025**  |
| **OPERATIONS:**<br>|  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $320778  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; (1766836)  |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | &nbsp;&nbsp; 4670575  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from operations** | &nbsp;&nbsp; 3224517  |
| **DISTRIBUTIONS TO SHAREHOLDERS:**<br>|  |
| &nbsp;&nbsp;&nbsp; From earnings - Class A | &nbsp;&nbsp; (10236)  |
| &nbsp;&nbsp;&nbsp; From earnings - Class I | &nbsp;&nbsp; (587891)  |
| &nbsp;&nbsp;&nbsp; **Total distributions to shareholders** | &nbsp;&nbsp; (598127)  |
| **CAPITAL TRANSACTIONS:**<br>|  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp; 1210721  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp; 8436  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp; (26788)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp; 77456846  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp; 532191  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp; (15030807)  |
| &nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from capital transactions** | &nbsp;&nbsp; 64150599  |
| **NET INCREASE (DECREASE) IN NET ASSETS** | &nbsp;&nbsp; 66776989  |
| **NET ASSETS:**<br>|  |
| &nbsp;&nbsp;&nbsp; Beginning of the period | &nbsp;&nbsp; —  |
| &nbsp;&nbsp;&nbsp; End of the period | &nbsp;&nbsp; $66776989  |
| **SHARES TRANSACTIONS**<br>|  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class A | &nbsp;&nbsp; 125147  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class A | &nbsp;&nbsp; 821  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class A | &nbsp;&nbsp; (2657)  |
| &nbsp;&nbsp;&nbsp; Shares sold - Class I | &nbsp;&nbsp; 7832227  |
| &nbsp;&nbsp;&nbsp; Shares issued from reinvestment of distributions - Class I | &nbsp;&nbsp; 51820  |
| &nbsp;&nbsp;&nbsp; Shares redeemed - Class I | &nbsp;&nbsp; (1558669)  |
| &nbsp;&nbsp;&nbsp; **Total increase (decrease) in shares outstanding** | &nbsp;&nbsp; 6448689 |

---

The accompanying notes are an integral part of these financial statements.

95<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND - CLASS A** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $12.62 | $11.43 | $11.22 | $12.46 | $11.62  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.08 | 0.04 | 0.09 | (0.09) | (0.23)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.26 | 1.24 | 0.27 | (1.00) | 1.85  |
| **Total from investment operations**  | 0.34 | 1.28 | 0.36 | (1.09) | 1.62  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.19) | (0.06) | (0.11) |  | —  |
| Net realized gains | (2.03) | (0.03) | (0.04) | (0.15) | (0.78)  |
| **Total distributions** | (2.22) | (0.09) | (0.15) | (0.15) | (0.78)  |
| **Net asset value, end of year** | $10.74 | $12.62 | $11.43 | $11.22 | $12.46  |
| Total investment return<sup>(c)</sup> | 2.66% | 11.24% | 3.19% | (9.18)% | 14.38%  |
| **Net assets, end of year, in thousands** | $2833 | $3342 | $3557 | $3534 | $4010  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.92% | 2.60% | 2.53% | 2.82% | 3.90%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.60% | 2.40% | 2.47% | 2.51% | 2.67%  |
|  Ratio of expenses to average net assets (excluding dividend, interest, and tax expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.56% | 2.44% | 2.30% | 2.55% | 3.47%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.24% | 2.24% | 2.24% | 2.24% | 2.24%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 0.31% | 0.17% | 0.73% | (1.08)% | (3.02)%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 0.63% | 0.38% | 0.79% | (0.77)% | (1.79)%  |
| Portfolio turnover rate<sup>(d)</sup> | 1,506% | 755% | 932% | 686% | 506% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(d)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short.

The accompanying notes are an integral part of these financial statements.

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND - CLASS C** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $11.61 | $10.55 | $10.33 | $11.58 | $10.93  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | (0.01) | (0.04) | 0.00<sup>(c)</sup> | (0.16) | (0.31)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.24 | 1.13 | 0.26 | (0.94) | 1.74  |
| **Total from investment operations**  | 0.23 | 1.09 | 0.26 | (1.10) | 1.43  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.08) |  |  |  | —  |
| Net realized gains | (2.03) | (0.03) | (0.04) | (0.15) | (0.78)  |
| **Total distributions** | (2.11) | (0.03) | (0.04) | (0.15) | (0.78)  |
| **Net asset value, end of year** | $9.73 | $11.61 | $10.55 | $10.33 | $11.58  |
| Total investment return<sup>(d)</sup> | 1.96% | 10.34% | 2.43% | (9.80)% | 13.46%  |
| **Net assets, end of year, in thousands** | $450 | $676 | $1914 | $3086 | $2786  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 3.67% | 3.35% | 3.28% | 3.57% | 4.65%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 3.35% | 3.15% | 3.22% | 3.26% | 3.42%  |
|  Ratio of expenses to average net assets (excluding dividend, interest, and tax expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 3.31% | 3.19% | 3.05% | 2.30% | 4.22%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.99% | 2.99% | 2.99% | 2.99% | 2.99%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | (0.44)% | (0.58)% | (0.02)% | (1.83)% | (3.77)%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | (0.12)% | (0.37)% | 0.04% | (1.52)% | (2.54)%  |
| Portfolio turnover rate<sup>(e)</sup> | 1,506% | 755% | 932% | 686% | 506% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short.

The accompanying notes are an integral part of these financial statements.

97<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR DYNAMIC OPPORTUNITY FUND - CLASS I** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $12.96 | $11.77 | $11.54 | $12.77 | $11.86  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** | **INCOME (LOSS) FROM INVESTMENT OPERATIONS:** |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.11 | 0.08 | 0.12 | (0.06) | (0.20)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.27 | 1.27 | 0.29 | (1.02) | 1.89  |
| **Total from investment operations**  | 0.38 | 1.35 | 0.41 | (1.08) | 1.69  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.22) | (0.13) | (0.14) |  | —  |
| Net realized gains | (2.03) | (0.03) | (0.04) | (0.15) | (0.78)  |
| **Total distributions** | (2.25) | (0.16) | (0.18) | (0.15) | (0.78)  |
| **Net asset value, end of year** | $11.09 | $12.96 | $11.77 | $11.54 | $12.77  |
| Total investment return | 2.93% | 11.45% | 3.44% | (8.80)% | 14.58%  |
| **Net assets, end of year, in thousands** | $26320 | $47498 | $56991 | $75415 | $17713  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.67% | 2.35% | 2.28% | 2.57% | 3.65%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.35% | 2.15% | 2.22% | 2.26% | 2.42%  |
|  Ratio of expenses to average net assets (excluding dividend, interest, and tax expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.31% | 2.19% | 2.05% | 2.30% | 3.22%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 1.99% | 1.99% | 1.99% | 1.99% | 1.99%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 0.56% | 0.42% | 0.98% | (0.83)% | (2.77)%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 0.88% | 0.63% | 1.04% | (0.52)% | (1.54)%  |
| Portfolio turnover rate<sup>(c)</sup> | 1,506% | 755% | 932% | 686% | 506% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes securities sold short.

The accompanying notes are an integral part of these financial statements.

98<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND - CLASS A** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the period)** 

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**December 31,** <br>**2025** | **Period from** <br>**July 10** <br>**(Commencement** <br>**of operations)** <br>**through** <br>**December 31,**<br>**2024<sup>\*(a)</sup>**  |
| **PER SHARE**<br>|  |  |
| Net asset value, beginning of period | &nbsp;&nbsp; $9.41 | &nbsp;&nbsp;&nbsp;&nbsp; $10.00  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |
| Net investment income (loss)<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.17 | &nbsp;&nbsp;&nbsp;&nbsp;0.08  |
| Net realized and unrealized gain (loss)<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.07 | &nbsp;&nbsp;&nbsp;&nbsp; (0.61)  |
| **Total from investment operations**  | &nbsp;&nbsp;&nbsp;&nbsp;0.24 | &nbsp;&nbsp;&nbsp;&nbsp; (0.53)  |
| **DISTRIBUTIONS:**<br>|  |  |
| Net investment income | &nbsp;&nbsp; (0.18) | &nbsp;&nbsp;&nbsp;&nbsp; (0.06)  |
| **Total distributions** | &nbsp;&nbsp; (0.18) | &nbsp;&nbsp;&nbsp;&nbsp; (0.06)  |
| **Net asset value, end of period** | &nbsp;&nbsp; $9.47 | &nbsp;&nbsp;&nbsp;&nbsp; $9.41  |
| Total investment return<sup>(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2.54% | &nbsp;&nbsp;&nbsp;&nbsp; (5.33)%  |
| **Net Assets, End of Period, in Thousands** | &nbsp;&nbsp; $26110 | &nbsp;&nbsp;&nbsp;&nbsp; $20227  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>**<br>|  |  |
| Ratio of expenses to average net assets:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp; 2.11% | &nbsp;&nbsp;&nbsp;&nbsp; 2.61%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp; 2.08% | &nbsp;&nbsp;&nbsp;&nbsp; 2.08%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp; 1.74% | &nbsp;&nbsp;&nbsp;&nbsp; 1.15%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp; 1.77% | &nbsp;&nbsp;&nbsp;&nbsp; 1.68%  |
| Portfolio turnover rate<sup>(f)</sup> | &nbsp;&nbsp; 75% | &nbsp;&nbsp;&nbsp;&nbsp; 82% |

---

<sup>\*</sup> All ratios have been annualized except total investment return and portfolio turnover.

<sup>(a)</sup> Commencement date of the Fund was July 10, 2024.

<sup>(b)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(c)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the CTAs included in the swap nor the commodity pool in which the Fund invests.

<sup>(f)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

99<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR HEDGED CORE FUND - CLASS I** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the period)** 

---

| | | |
|:---|:---|:---|
|  | **Year Ended** <br>**December 31,** <br>**2025** | **Period from** <br>**July 10** <br>**(Commencement** <br>**of operations)** <br>**through** <br>**December 31,** <br>**2024<sup>\*(a)</sup>**  |
| **PER SHARE**<br>|  |  |
| Net asset value, beginning of period | &nbsp;&nbsp; $9.42 | &nbsp;&nbsp;&nbsp; $10.00  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |
| Net investment income (loss)<sup>(b)</sup> | 0.19 | &nbsp;&nbsp;&nbsp;&nbsp;0.09  |
| Net realized and unrealized gain (loss)<sup>(c)</sup> | 0.07 | &nbsp;&nbsp;&nbsp; (0.61)  |
| **Total from investment operations**  | 0.26 | &nbsp;&nbsp;&nbsp; (0.52)  |
| **DISTRIBUTIONS:**<br>|  |  |
| Net investment income | &nbsp;&nbsp; (0.20) | &nbsp;&nbsp;&nbsp; (0.06)  |
| **Total distributions** | &nbsp;&nbsp; (0.20) | &nbsp;&nbsp;&nbsp; (0.06)  |
| **Net Asset Value, End of Period** | &nbsp;&nbsp; $9.48 | &nbsp;&nbsp;&nbsp; $9.42  |
| Total investment return<sup>(d)</sup> | &nbsp;&nbsp; 2.79% | &nbsp;&nbsp;&nbsp; (5.29)%  |
| **Net Assets, End of Period, in Thousands** | &nbsp;&nbsp; $216744 | &nbsp;&nbsp;&nbsp; $150507  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>**<br>|  |  |
| Ratio of expenses to average net assets:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp; 1.86% | &nbsp;&nbsp;&nbsp; 2.36%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp; 1.83% | &nbsp;&nbsp;&nbsp; 1.83%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp; 1.99% | &nbsp;&nbsp;&nbsp; 1.40%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp; 2.02% | &nbsp;&nbsp;&nbsp; 1.93%  |
| Portfolio turnover rate<sup>(f)</sup> | &nbsp;&nbsp; 75% | &nbsp;&nbsp;&nbsp; 82% |

---

<sup>\*</sup> All ratios have been annualized except total investment return and portfolio turnover.

<sup>(a)</sup> Commencement date of the Fund was July 10, 2024.

<sup>(b)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(c)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the CTAs included in the swap nor the commodity pool in which the Fund invests.

<sup>(f)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

100<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND - CLASS A** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $8.63 | $9.61 | $10.10 | $10.58 | $9.89  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.08 | 0.12 | 0.13 | (0.05) | (0.14)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.00<sup>(c)</sup> | (0.93) | (0.46) | 0.66 | 1.57  |
| **Total from investment operations**  | 0.08 | (0.81) | (0.33) | 0.61 | 1.43  |
| **Distributions From:**<br>|  |  |  |  |  |
| Net investment income | (0.18) | (0.17) | (0.16) | (1.09) | (0.74)  |
| Return of capital |  | (0.00) <sup>(c)</sup> | (0.00) <sup>(c)</sup> |  | —  |
| **Total distributions** | (0.18) | (0.17) | (0.16) | (1.09) | (0.74)  |
| **Net asset value, end of year** | $8.53 | $8.63 | $9.61 | $10.10 | $10.58  |
| Total investment return<sup>(d)</sup> | 0.88% | (8.54)% | (3.26)% | 5.84% | 14.55%  |
| **Net assets, end of year, in thousands** | $15205 | $19974 | $103239 | $187553 | $35149  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.07% | 2.00% | 1.94% | 2.00%<sup>(f)</sup> | 2.08%<sup>(f)</sup>  |
|  Ratio of net investment income (loss) to average net assets: | 0.86% | 1.27% | 1.37% | (0.46)%<sup>(f)</sup> | (1.31)%<sup>(f)</sup>  |
| Portfolio turnover rate<sup>(g)</sup> | 49% | 109% | 64% | 90% | 66% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the CTAs included in the swap nor the commodity pool in which the Fund invests.

<sup>(f)</sup> Includes 0.07% and 0.08% service fees paid for options for the years ended December 31, 2022 and December 31, 2021, respectively.

<sup>(g)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

101<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND - CLASS C** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $8.16 | $9.12 | $9.58 | $10.08 | $9.47  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.01 | 0.05 | 0.06 | (0.13) | (0.21)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | (0.00) <sup>(c)</sup> | (0.89) | (0.45) | 0.63 | 1.50  |
| **Total from investment operations**  | 0.01 | (0.84) | (0.39) | 0.50 | 1.29  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.15) | (0.12) | (0.07) | (1.00) | (0.68)  |
| Return of capital |  | (0.00) <sup>(c)</sup> | (0.00) <sup>(c)</sup> |  | —  |
| **Total distributions** | (0.15) | (0.12) | (0.07) | (1.00) | (0.68)  |
| **Net asset value, end of year** | $8.02 | $8.16 | $9.12 | $9.58 | $10.08  |
| Total investment return<sup>(d)</sup> | 0.11% | (9.25)% | (4.03)% | 5.03% | 13.66%  |
| **Net assets, end of year, in thousands** | $3697 | $5089 | $9369 | $13384 | $11058  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>** <br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.82% | 2.75% | 2.69% | 2.75%<sup>(f)</sup> | 2.83%<sup>(f)</sup>  |
|  Ratio of net investment income (loss) to average net assets: | 0.11% | 0.52% | 0.62% | (1.21)%<sup>(f)</sup> | (2.06)%<sup>(f)</sup>  |
| Portfolio turnover rate<sup>(g)</sup> | 49% | 109% | 64% | 90% | 66% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the CTAs included in the swap nor the commodity pool in which the Fund invests.

<sup>(f)</sup> Includes 0.07% and 0.08% service fees paid for options for the years ended December 31, 2022 and December 31, 2021, respectively.

<sup>(g)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

102<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR LONG/SHORT COMMODITIES STRATEGY FUND - CLASS I** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $8.72 | $9.76 | $10.26 | $10.72 | $10.00  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.10 | 0.15 | 0.16 | (0.02) | (0.11)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.00<sup>(c)</sup> | (0.95) | (0.48) | 0.66 | 1.59  |
| **Total from investment operations**  | 0.10 | (0.80) | (0.32) | 0.64 | 1.48  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.20) | (0.23) | (0.18) | (1.10) | (0.76)  |
| Return of capital |  | (0.01) | (0.00) <sup>(c)</sup> |  | —  |
| **Total distributions** | (0.20) | (0.24) | (0.18) | (1.10) | (0.76)  |
| **Net asset value, end of year** | $8.62 | $8.72 | $9.76 | $10.26 | $10.72  |
| Total investment return | 1.14% | (8.34)% | (3.07)% | 6.06% | 14.82%  |
| **Net assets, end of year, in thousands** | $335957 | $481656 | $806315 | $1165464 | $852152  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(d)</sup>**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 1.82% | 1.75% | 1.69% | 1.75%<sup>(e)</sup> | 1.83%<sup>(e)</sup>  |
|  Ratio of net investment income (loss) to average net assets: | 1.11% | 1.52% | 1.62% | (0.21)%<sup>(e)</sup> | (1.06)%<sup>(e)</sup>  |
| Portfolio turnover rate<sup>(f)</sup> | 49% | 109% | 64% | 90% | 66% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Ratios do not include the income and expenses of the CTAs included in the swap nor the commodity pool in which the Fund invests.

<sup>(e)</sup> Includes 0.07% and 0.08% service fees paid for options for the years ended December 31, 2022 and December 31, 2021, respectively.

<sup>(f)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

103<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MACRO STRATEGIES FUND - CLASS A** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $7.64 | $7.38 | $8.15 | $8.13 | $8.53  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.17 | 0.20 | 0.17 | (0.01) | (0.10)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.02 | 0.28 | (0.72) | 1.21 | 0.09  |
| **Total from investment operations**  | 0.19 | 0.48 | (0.55) | 1.20 | (0.01)  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.22) | (0.21) | (0.22) | (0.24) | (0.39)  |
| Net realized gains |  |  |  | (0.94) | —  |
| Return of capital |  | (0.01) |  |  | —  |
| **Total distributions** | (0.22) | (0.22) | (0.22) | (1.18) | (0.39)  |
| **Net asset value, end of year** | $7.61 | $7.64 | $7.38 | $8.15 | $8.13  |
| Total investment return<sup>(c)</sup> | 2.56% | 6.54% | (6.71)% | 15.01% | (0.15)%  |
| **Net assets, end of year, in thousands** | $50778 | $61449 | $70795 | $79936 | $84981  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.15% | 2.13% | 2.14% | 2.13% | 2.15%  |
|  Ratio of net investment income (loss) to average net assets: | 2.27% | 2.53% | 2.17% | (0.11)% | (1.10)%  |
| Portfolio turnover rate<sup>(d)</sup> | 62% | 90% | 74% | 76% | 75% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(d)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

104<br>

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**LOCORR MACRO STRATEGIES FUND - CLASS C** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $7.19 | $6.95 | $7.67 | $7.72 | $8.11  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.11 | 0.13 | 0.11 | (0.07) | (0.15)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.01 | 0.27 | (0.68) | 1.14 | 0.08  |
| **Total from investment operations**  | 0.12 | 0.40 | (0.57) | 1.07 | (0.07)  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.19) | (0.16) | (0.15) | (0.18) | (0.32)  |
| Net realized gains |  |  |  | (0.94) | —  |
| Return of capital |  | (0.00) <sup>(c)</sup> |  |  | —  |
| **Total distributions** | (0.19) | (0.16) | (0.15) | (1.12) | (0.32)  |
| **Net asset value, end of year** | $7.12 | $7.19 | $6.95 | $7.67 | $7.72  |
| Total investment return<sup>(d)</sup> | 1.74% | 5.77% | (7.48)% | 14.17% | (0.91)%  |
| **Net assets, end of year, in thousands** | $21326 | $25444 | $33146 | $51327 | $34789  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.90% | 2.88% | 2.89% | 2.88% | 2.90%  |
|  Ratio of net investment income (loss) to average net assets: | 1.52% | 1.78% | 1.42% | (0.86)% | (1.85)%  |
| Portfolio turnover rate<sup>(e)</sup> | 62% | 90% | 74% | 76% | 75% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

105<br>

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**LOCORR MACRO STRATEGIES FUND - CLASS I** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $7.80 | $7.54 | $8.31 | $8.27 | $8.67  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.20 | 0.22 | 0.20 | 0.01 | (0.08)  |
| Net realized and unrealized gain <br>&nbsp;&nbsp;&nbsp;&nbsp;(loss)<sup>(b)</sup> | 0.01 | 0.29 | (0.73) | 1.23 | 0.09  |
| **Total from investment operations**  | 0.21 | 0.51 | (0.53) | 1.24 | 0.01  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.24) | (0.24) | (0.24) | (0.26) | (0.41)  |
| Net realized gains |  |  |  | (0.94) | —  |
| Return of capital |  | (0.01) |  |  | —  |
| **Total distributions** | (0.24) | (0.25) | (0.24) | (1.20) | (0.41)  |
| **Net asset value, end of year** | $7.77 | $7.80 | $7.54 | $8.31 | $8.27  |
| Total investment return | 2.77% | 6.70% | (6.58)% | 15.40% | 0.08%  |
| **Net assets, end of year, in thousands** | $1409575 | $1452558 | $1388004 | $2234445 | $1306255  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 1.90% | 1.88% | 1.89% | 1.88% | 1.90%  |
|  Ratio of net investment income (loss) to average net assets: | 2.52% | 2.78% | 2.42% | 0.14% | (0.85)%  |
| Portfolio turnover rate<sup>(c)</sup> | 62% | 90% | 74% | 76% | 75% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

106<br>

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**LOCORR MARKET TREND FUND - CLASS A** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $10.97 | $10.89 | $12.55 | $11.41 | $11.70  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.24 | 0.29 | 0.26 | (0.01) | (0.13)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.16 | 0.32 | (1.65) | 3.34 | 0.22  |
| **Total from investment operations** | 0.40 | 0.61 | (1.39) | 3.33 | 0.09  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.26) | (0.53) | (0.27) | (0.53) | (0.38)  |
| Net realized gains |  |  |  | (1.66) | —  |
| **Total distributions** | (0.26) | (0.53) | (0.27) | (2.19) | (0.38)  |
| **Net asset value, end of year** | $11.11 | $10.97 | $10.89 | $12.55 | $11.41  |
| Total investment return<sup>(c)</sup> | 3.72% | 5.60% | (11.18)% | 29.59% | 0.87%  |
| **Net assets, end of year, in thousands** | $17958 | $20822 | $25345 | $27903 | $15109  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.06% | 2.02% | 2.00% | 2.00% | 2.02%  |
|  Ratio of net investment income (loss) to average net assets: | 2.25% | 2.47% | 2.13% | (0.10)% | (1.10)%  |
| Portfolio turnover rate<sup>(d)</sup> | 81% | 140% | 77% | 100% | 110% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(d)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

107<br>

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**LOCORR MARKET TREND FUND - CLASS C** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $10.30 | $10.36 | $11.95 | $11.02 | $11.30  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.15 | 0.20 | 0.16 | (0.12) | (0.22)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.14 | 0.31 | (1.57) | 3.23 | 0.23  |
| **Total from investment operations** | 0.29 | 0.51 | (1.41) | 3.11 | 0.01  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.22) | (0.57) | (0.18) | (0.52) | (0.29)  |
| Net realized gains |  |  |  | (1.66) | —  |
| **Total distributions** | (0.22) | (0.57) | (0.18) | (2.18) | (0.29)  |
| **Net asset value, end of year** | $10.37 | $10.30 | $10.36 | $11.95 | $11.02  |
| Total investment return<sup>(c)</sup> | 2.85% | 4.90% | (11.90)% | 28.67% | 0.05%  |
| **Net assets, end of year, in thousands** | $7437 | $12592 | $18079 | $19569 | $10825  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 2.81% | 2.77% | 2.75% | 2.75% | 2.77%  |
|  Ratio of net investment income (loss) to average net assets: | 1.50% | 1.72% | 1.38% | (0.85)% | (1.85)%  |
| Portfolio turnover rate<sup>(d)</sup> | 81% | 140% | 77% | 100% | 110% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(d)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

108<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR MARKET TREND FUND - CLASS I** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $10.96 | $10.94 | $12.61 | $11.45 | $11.74  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.27 | 0.32 | 0.30 | 0.02 | (0.10)  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.16 | 0.32 | (1.67) | 3.36 | 0.22  |
| **Total from investment operations** | 0.43 | 0.64 | (1.37) | 3.38 | 0.12  |
| **DISTRIBUTIONS:**<br>|  |  |  |  |  |
| Net investment income | (0.29) | (0.62) | (0.30) | (0.56) | (0.41)  |
| Net realized gains |  |  |  | (1.66) | —  |
| **Total distributions** | (0.29) | (0.62) | (0.30) | (2.22) | (0.41)  |
| **Net asset value, end of year** | $11.10 | $10.96 | $10.94 | $12.61 | $11.45  |
| Total investment return | 3.99% | 5.87% | (10.98)% | 29.94% | 1.04%  |
| **Net assets, end of year, in thousands** | $260347 | $311326 | $358668 | $457260 | $240507  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets: | 1.81% | 1.77% | 1.75% | 1.75% | 1.77%  |
|  Ratio of net investment income (loss) to average net assets: | 2.50% | 2.72% | 2.38% | 0.15% | (0.85)%  |
| Portfolio turnover rate<sup>(c)</sup> | 81% | 140% | 77% | 100% | 110% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

109<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND - CLASS A** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $5.39 | $5.38 | $5.76 | $6.98 | $6.15  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.20 | 0.19 | 0.17 | 0.17 | 0.08  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.29 | 0.28 | (0.09) | (0.93) | 1.21  |
| **Total from investment operations** | 0.49 | 0.47 | 0.08 | (0.76) | 1.29  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.31) | (0.34) | (0.24) | (0.17) | (0.28)  |
| Return of capital | (0.15) | (0.12) | (0.22) | (0.29) | (0.18)  |
| **Total distributions** | (0.46) | (0.46) | (0.46) | (0.46) | (0.46)  |
| **Redemption Fees<sup>(c)</sup>** | 0.00 | 0.00 | 0.00 | 0.00 | 0.00  |
| **Net asset value, end of year** | $5.42 | $5.39 | $5.38 | $5.76 | $6.98  |
| Total investment return<sup>(d)</sup> | 9.45% | 8.96% | 1.70% | (11.31)% | 21.33%  |
| **Net assets, end of year, in thousands** | $18604 | $17480 | $15350 | $15696 | $13838  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>**<br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.10% | 2.07% | 2.02% | 2.02% | 2.06%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.05% | 2.05% | 2.03% | 2.09% | 2.05%  |
|  Ratio of expenses to average net assets (excluding dividend and interest expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.10% | 2.07% | 2.02% | 1.98% | 2.06%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.05% | 2.05% | 2.03% | 2.05% | 2.05%  |
|  Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 3.64% | 3.44% | 3.07% | 2.63% | 1.21%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 3.69% | 3.47% | 3.06% | 2.56% | 1.22%  |
| Portfolio turnover rate<sup>(f)</sup> | 66% | 57% | 38% | 50% | 53% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the investment companies in which the Fund invests.

<sup>(f)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

110<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND - CLASS C** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $5.47 | $5.45 | $5.83 | $7.05 | $6.21  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.16 | 0.15 | 0.13 | 0.12 | 0.03  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.31 | 0.29 | (0.09) | (0.92) | 1.23  |
| **Total from investment operations** | 0.47 | 0.44 | 0.04 | (0.80) | 1.26  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.28) | (0.31) | (0.21) | (0.15) | (0.26)  |
| Return of capital | (0.14) | (0.11) | (0.21) | (0.27) | (0.16)  |
| **Total distributions** | (0.42) | (0.42) | (0.42) | (0.42) | (0.42)  |
| **Redemption Fees<sup>(c)</sup>** | 0.00 | 0.00 | 0.00 | 0.00 | 0.00  |
| **Net asset value, end of year** | $5.52 | $5.47 | $5.45 | $5.83 | $7.05  |
| Total investment return<sup>(d)</sup> | 8.77% | 8.12% | 0.82% | (11.83)% | 20.47%  |
| **Net assets, end of year, in thousands** | $5557 | $7606 | $10218 | $14617 | $17777  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(e)</sup>** <br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.85% | 2.82% | 2.77% | 2.77% | 2.81%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.80% | 2.80% | 2.78% | 2.84% | 2.80%  |
|  Ratio of expenses to average net assets (excluding dividend and interest expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.85% | 2.82% | 2.77% | 2.73% | 2.81%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.80% | 2.80% | 2.78% | 2.80% | 2.80%  |
|  Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 2.89% | 2.69% | 2.32% | 1.88% | 0.46%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 2.94% | 2.72% | 2.31% | 1.81% | 0.47%  |
| Portfolio turnover rate<sup>(f)</sup> | 66% | 57% | 38% | 50% | 53% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Ratios do not include the income and expenses of the investment companies in which the Fund invests.

<sup>(f)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

111<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR SPECTRUM INCOME FUND - CLASS I** 

**FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the year)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  | **Year Ended December 31,**  |
|  | **2025** | **2024** | **2023** | **2022** | **2021**  |
| **PER SHARE**<br>|  |  |  |  |  |
| Net asset value, beginning of year | $5.36 | $5.36 | $5.74 | $6.95 | $6.13  |
|  **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |  |  |  |  |
| Net investment income (loss)<sup>(a)</sup> | 0.21 | 0.20 | 0.18 | 0.18 | 0.10  |
| Net realized and unrealized gain (loss)<sup>(b)</sup> | 0.30 | 0.28 | (0.08) | (0.91) | 1.20  |
| **Total from investment operations** | 0.51 | 0.48 | 0.10 | (0.73) | 1.30  |
| **Distributions From:** <br>|  |  |  |  |  |
| Net investment income | (0.32) | (0.35) | (0.25) | (0.18) | (0.29)  |
| Return of capital | (0.16) | (0.13) | (0.23) | (0.30) | (0.19)  |
| **Total distributions** | (0.48) | (0.48) | (0.48) | (0.48) | (0.48)  |
| **Redemption Fees<sup>(c)</sup>** | 0.00 | 0.00 | 0.00 | 0.00 | 0.00  |
| **Net asset value, end of year** | $5.39 | $5.36 | $5.36 | $5.74 | $6.95  |
| Total investment return | 9.84% | 9.13% | 2.02% | (10.99)% | 21.53%  |
| **Net assets, end of year, in thousands** | $45069 | $45762 | $60282 | $86170 | $44192  |
| **RATIOS/SUPPLEMENTAL DATA:<sup>(d)</sup>** <br>|  |  |  |  |  |
| Ratio of expenses to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 1.85% | 1.82% | 1.77% | 1.77% | 1.81%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 1.80% | 1.80% | 1.78% | 1.84% | 1.80%  |
|  Ratio of expenses to average net assets (excluding dividend and interest expense):<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 1.85% | 1.82% | 1.77% | 1.73% | 1.81%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 1.80% | 1.80% | 1.78% | 1.80% | 1.80%  |
|  Ratio of net investment income (loss) to average net assets:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | 3.89% | 3.69% | 3.32% | 2.88% | 1.46%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | 3.94% | 3.72% | 3.31% | 2.81% | 1.47%  |
| Portfolio turnover rate<sup>(e)</sup> | 66% | 57% | 38% | 50% | 53% |

---

<sup>(a)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(b)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(c)</sup> Amount represents less than $0.005 per share.

<sup>(d)</sup> Ratios do not include the income and expenses of the investment companies in which the Fund invests.

<sup>(e)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

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**LOCORR STRATEGIC ALLOCATION FUND - CLASS A** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the period)** 

---

| | |
|:---|:---|
|  | **Period from** <br>**January 8** <br>**(Commencement** <br>**of operations)** <br>**through** <br>**December 31,** <br>**2025<sup>(a)</sup>**  |
| **PER SHARE**<br>|  |
| Net asset value, beginning of period | &nbsp;&nbsp;&nbsp;&nbsp; $10.00  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |
| Net investment income (loss)<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.06  |
| Net realized and unrealized gain (loss)<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.38  |
| **Total from investment operations** | &nbsp;&nbsp;&nbsp;&nbsp;0.44  |
| **DISTRIBUTIONS:**<br>|  |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.09)  |
| **Total distributions** | &nbsp;&nbsp;&nbsp;&nbsp; (0.09)  |
| **Net asset value, end of period**  | &nbsp;&nbsp;&nbsp;&nbsp; $10.35  |
| Total investment return<sup>(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4.38%  |
| **Net Assets, End of Period, in Thousands**  | &nbsp;&nbsp;&nbsp;&nbsp; $1276  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |
| Ratio of expenses to average net assets:<br>|  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 2.78%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 1.84%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; (0.30)%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 0.64%  |
| Portfolio turnover rate<sup>(e)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 72% |

---

<sup>\*</sup> All ratios have been annualized except total investment return and portfolio turnover.

<sup>(a)</sup> Commencement date of the Fund was January 8, 2025.

<sup>(b)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(c)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(d)</sup> Total investment return excludes the effect of applicable sales charges.

<sup>(e)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

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**LOCORR STRATEGIC ALLOCATION FUND - CLASS I** 

**CONSOLIDATED FINANCIAL HIGHLIGHTS** 

**Selected Data and Ratios (for a share outstanding throughout the period)** 

---

| | |
|:---|:---|
|  | **Period from** <br>**January 8** <br>**(Commencement** <br>**of operations)** <br>**through** <br>**December 31,** <br>**2025<sup>(a)</sup>**  |
| **PER SHARE**<br>|  |
| Net asset value, beginning of period | &nbsp;&nbsp;&nbsp;&nbsp; $10.00  |
| **INCOME (LOSS) FROM INVESTMENT OPERATIONS:**<br>|  |
| Net investment income (loss)<sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.09  |
| Net realized and unrealized gain (loss)<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;0.37  |
| **Total from investment operations** | &nbsp;&nbsp;&nbsp;&nbsp;0.46  |
| **DISTRIBUTIONS:**<br>|  |
| Net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.10)  |
| **Total distributions** | &nbsp;&nbsp;&nbsp;&nbsp; (0.10)  |
| **Net asset value, end of period**  | &nbsp;&nbsp;&nbsp;&nbsp; $10.36  |
| Total investment return | &nbsp;&nbsp;&nbsp;&nbsp; 4.61%  |
| **Net Assets, End of Period, in Thousands**  | &nbsp;&nbsp;&nbsp;&nbsp; $65501  |
| **RATIOS/SUPPLEMENTAL DATA:**<br>|  |
| Ratio of expenses to average net assets:<br>|  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 2.53%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 1.59%  |
| Ratio of net investment income (loss) to average net assets:<br>|  |
| &nbsp;&nbsp;&nbsp; Before expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; (0.05)%  |
| &nbsp;&nbsp;&nbsp; After expense waiver or recovery | &nbsp;&nbsp;&nbsp;&nbsp; 0.89%  |
| Portfolio turnover rate<sup>(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 72% |

---

<sup>\*</sup> All ratios have been annualized except total investment return and portfolio turnover.

<sup>(a)</sup> Commencement date of the Fund was January 8, 2025.

<sup>(b)</sup> Net investment income (loss) per share is based on average shares outstanding.

<sup>(c)</sup> Realized and unrealized gains and losses per share in this caption may be balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the Fund's statement of operations due to share transactions for the period.

<sup>(d)</sup> Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Consists of long-term investments only; excludes derivative instruments.

The accompanying notes are an integral part of these consolidated financial statements.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025** 

1. Organization

LoCorr Investment Trust (the "Trust"), an Ohio business trust, was formed on November 15, 2010 and is an open-end management investment company registered under the Investment Company Act of 1940, as amended ("1940 Act"). Each fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codiﬁcation ("ASC") Topic 946, Financial Services- Investment Companies. The LoCorr Dynamic Opportunity Fund, LoCorr Hedged Core Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Macro Strategies Fund, LoCorr Market Trend Fund, LoCorr Spectrum Income Fund and the LoCorr Strategic Allocation Fund (individually a "Fund" and collectively the "Funds") are series within the Trust. The Funds are each diversified funds.

The **LoCorr Dynamic Opportunity Fund's** primary investment objective is long-term capital appreciation with reduced volatility compared to traditional broad-based equity market indices as a secondary objective.

The **LoCorr Hedged Core Fund's** primary investment objective is capital appreciation in rising and falling equity and commodities markets with managing volatility as a secondary objective.

The **LoCorr Long/Short Commodities Strategy Fund's** primary investment objective is capital appreciation in rising and falling commodities markets with managing volatility as a secondary objective.

The **LoCorr Macro Strategies Fund's** primary investment objective is capital appreciation in rising and falling equity markets with managing volatility as a secondary objective.

The **LoCorr Market Trend Fund's** primary investment objective is capital appreciation in rising and falling equity markets with managing volatility as a secondary objective.

The **LoCorr Spectrum Income Fund's** primary investment objective is current income with capital appreciation as a secondary objective.

The **LoCorr Strategic Allocation Fund's** primary investment objective is capital appreciation.

**Wholly-owned and Controlled Subsidiaries** 

In order to achieve their investment objectives, the LoCorr Hedged Core Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Macro Strategies Fund, the LoCorr Market Trend Fund, and the LoCorr Strategic Allocation Fund each invest up to 25% of their total assets (measured at the time of purchase) in wholly-owned subsidiaries, LCHC Fund Limited ("LCHC"), LCLSCS Fund Limited ("LCLSCS"), LCMFS Fund Limited ("LCMFS"), LCMT Fund Limited ("LCMT"), and LCSA Fund Limited ("LCSA"), respectively; each company is incorporated under the laws of the Cayman Islands. LCHC, LCLSCS, LCMFS, LCMT, and LCSA act as investment vehicles in order to enter into certain investments for the LoCorr Hedged Core Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Macro Strategies Fund, the LoCorr Market Trend Fund, and the LoCorr Strategic Allocation Fund, respectively, consistent with their investment objectives and policies speciﬁed in the Prospectuses and Statement of Additional Information.

At December 31, 2025, investments in LCHC, LCLSCS, LCMFS, LCMT, and LCSA represented 10.80%, 22.44%, 1.02%, 2.70%, and 2.41% of the total net assets of LoCorr Hedged Core Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Macro Strategies Fund, LoCorr Market Trend Fund, and LoCorr Strategic Allocation Fund, respectively.

The consolidated ﬁnancial statements of the LoCorr Hedged Core Fund, the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Macro Strategies Fund, the LoCorr Market Trend Fund, and the LoCorr Strategic Allocation Fund each include the investment activity and ﬁnancial statements of LCHC, LCLSCS, LCMFS, LCMT, and LCSA, respectively. All intercompany accounts and transactions have been eliminated in consolidation. Because each Fund may invest a substantial portion of its assets in its respective subsidiary, the Fund may be considered to be investing indirectly in some of those investments through its subsidiary. For that reason, references to the Fund may also encompass its subsidiary. The subsidiary will be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Fund when viewed on a consolidated basis. Each Fund and its

subsidiary area "commodity pool" under the U.S. Commodity Exchange Act and LoCorr Fund Management, LLC

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

(the "Adviser" or "Management") is a "commodity pool operator" registered with and regulated by the Commodity Futures Trading Commission ("CFTC"). As a result, additional CFTC- mandated disclosure, reporting and recordkeeping obligations apply with respect to each Fund and its respective subsidiary under CFTC and the U.S. Securities and Exchange Commission (the "SEC") harmonized regulations.

**Share Classes** 

The LoCorr Dynamic Opportunity Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Macro Strategies Fund, LoCorr Market Trend Fund, and LoCorr Spectrum Income Fund all currently offer three classes of shares: Class A, Class C and Class I shares. The LoCorr Hedged Core Fund and LoCorr Strategic Allocation Fund currently offer two classes of shares: Class A and Class I shares. Each share class represents an interest in the same assets of the Fund, has the same rights and is identical in all material respects except that (i) Class A shares have a maximum front end sales load of 5.75% and maximum deferred sales charge of 1.00% and Class C shares have a maximum deferred sales charge of 1.00%, (ii) Class A shares have a 12b-1 fee of 0.25% and Class C shares have a 12b-1 fee of 1.00%; (iii) certain other class-speciﬁc expenses will be borne solely by the class to which such expenses are attributable and (iv) each class will have exclusive voting rights with respect to matters relating to its own distribution arrangements.

All classes with respect to the LoCorr Spectrum Income Fund are subject to a 2.00% redemption fee on redemptions made within 60 days of the original purchase. As of May 1, 2017, none of the other Funds are subject to a redemption fee.

The following table presents the class-speciﬁc commencement of operations dates for each of the Funds:

---

| | | | |
|:---|:---|:---|:---|
|  | **Commencement of Operations**  | **Commencement of Operations**  | **Commencement of Operations**  |
|  | **Class A**  | **Class C**  | **Class I**  |
| LoCorr Macro Strategies Fund | March 22, 2011 | March 24, 2011 | March 24, 2011  |
| LoCorr Long/Short Commodities Strategy Fund | January 1, 2012 | January 1, 2012 | January 1, 2012  |
| LoCorr Dynamic Opportunity Fund | May 10, 2013 | May 10, 2013 | May 10, 2013  |
| LoCorr Spectrum Income Fund | January 1, 2014 | January 1, 2014 | January 1, 2014  |
| LoCorr Market Trend Fund | July 1, 2014 | July 1, 2014 | July 1, 2014  |
| LoCorr Hedged Core Fund | July 10, 2024 | N/A | July 10, 2024  |
| LoCorr Strategic Allocation Fund | January 8, 2025 | N/A | January 8, 2025 |

---

The Funds may issue an unlimited number of shares of beneﬁcial interest, with no par value. All shares of the Funds have equal rights and privileges, except as to class-speciﬁc rights and privileges described above.

2. SIGNIFICANT Accounting Policies

The following is a summary of signiﬁcant accounting policies consistently followed by the Funds in the preparation of the ﬁnancial statements. These policies are in conformity with generally accepted accounting principles in the United States of America ("GAAP").

**Investment Valuation** 

The Funds follow fair valuation accounting standards in accordance with GAAP, which establish a deﬁnition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad levels listed below:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

---

| | |
|:---|:---|
| Level 2 –<br>| Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.  |

---

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | |
|:---|:---|
| Level 3 –<br>| Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds' own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.  |

---

Generally, the Funds' investments are valued each day at the last quoted sales price on each investment's primary exchange. Investments traded or dealt in one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or, in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers' Automated Quotation System ("NASDAQ") National Market System for which market quotations are readily available shall be valued using the NASDAQ Ofﬁcial Closing Price.

The Funds may use independent pricing services to assist in calculating the value of the Funds' investments. In addition, market prices for foreign investments are not determined at the same time of day as the net asset value ("NAV") for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges and these exchanges may trade on weekends or other days when the Funds do not price their shares, the value of some of the Funds' portfolio investments may change on days when you may not be able to buy or sell the Funds' shares. In computing the NAV, the Funds value foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the New York Stock Exchange. Prices of foreign investments quoted in foreign currencies are translated into U.S. dollars at current rates. If events materially affecting the value of an investment in the Funds' portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares, the investment will be valued at fair value.

Certain investments such as commodity pools are measured based upon NAV as a practical expedient to determine fair value and are not required to be categorized in the fair value hierarchy.

American Depositary Receipts

The Funds may invest in sponsored and unsponsored American Depositary Receipts ("ADRs"), which are receipts issued by an American bank or trust company evidencing ownership of underlying securities issued by a foreign issuer. ADRs, in registered form, are designed for use in U.S. securities markets. Unsponsored ADRs may be created without the participation of the foreign issuer. Holders of unsponsored ADRs generally bear all the costs of the ADR facility, whereas foreign issuers typically bear certain costs in a sponsored ADR. The bank or trust company depositary of an unsponsored ADR may be under no obligation to distribute shareholder communications received from the foreign issuer or to pass through voting rights. ADRs are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for speciﬁc securities.

Cash and Cash Equivalents

Idle cash may be swept into various overnight demand deposits and is classified as Cash held in interest bearing deposit account on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limits. Amounts swept overnight are available on the next business day.

Equity Securities

Equity securities, including common stocks, preferred stocks, securities convertible into common stocks such as convertible bonds, warrants, rights, options, master limited partnership ("MLP") interests, real estate investment trusts ("REITs"), business development companies ("BDCs") and royalty trusts are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reﬂect the fair market value of such securities. MLP interests are limited partnerships, the interests in which (known as "units") typically trade publicly, like stock. MLPs are also called publicly traded partnerships and public limited partnerships. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for speciﬁc securities.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

Exchange Traded Funds

The Funds may invest in Exchange Traded Funds ("ETFs"). They are managed by professionals and provide the investor with diversiﬁcation, cost and tax efﬁciency, liquidity, marginability, usability for hedging, the ability to go long and short, and (for some ETFs) the provision of periodic distributions. Additionally, some ETFs are unit investment trusts ("UITs"), which are unmanaged portfolios overseen by trustees. ETFs generally have two markets. The primary market is where institutions swap "creation units" in block-multiples of shares, typically 25,000 or 50,000, for in-kind securities and cash in the form of dividends. The secondary market is where individual investors can trade as little as a single share during trading hours on the exchange. This is different from open-ended mutual funds that are traded after hours once the NAV is calculated. ETF shares may trade at a premium or discount to NAV per share. ETFs share many similar risks with open-end and closed-end funds. ETFs are generally categorized in Level 1 of the fair value hierarchy.

The Funds may invest in ETFs and other investment companies that hold a portfolio of foreign securities. Investing in securities of foreign companies and countries involves certain considerations and risks that are not typically associated with investing in U.S. government securities and securities of domestic companies. There may be less publicly available information about a foreign issuer than a domestic one, and foreign companies are not generally subject to uniform accounting, auditing and ﬁnancial standards and requirements comparable to those applicable to U.S. companies. There may also be less government supervision and regulation of foreign securities exchanges, brokers and listed companies than exists in the United States. Interest and dividends paid by foreign issuers may be subject to withholding and other foreign taxes, which may decrease the net return on such investments as compared to dividends and interest paid to the Funds by domestic companies or the U.S. government. There may be the possibility of expropriations, seizure or nationalization of foreign deposits, conﬁscatory taxation, political, economic or social instability, or diplomatic developments that could affect assets of the Funds held in foreign countries. Finally, the establishment of exchange controls or other foreign governmental laws or restrictions could adversely affect the payment of obligations.

Fixed Income Securities

Fixed income securities and certificates of deposit with maturities more than 60 days when acquired generally are valued using an evaluated price supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker dealer quotes, yields, bids, offers and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are generally categorized in Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

The fair value of asset backed securities and mortgage-backed securities is estimated on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage-backed securities are generally categorized in Level 2 of the fair value hierarchy.

Short-term investments in fixed income securities and certificates of deposit with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are generally categorized in Level 2.

Investment Companies

With respect to any portion of the Funds' assets that are invested in one or more open-end management investment companies, including money market funds, registered under the 1940 Act, the Funds' NAV is calculated based upon the NAVs of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under which those companies will use fair value pricing and the effects of using fair value pricing.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

The Funds generally will purchase shares of closed-end investment companies only in the secondary market. The shares of many closed end investment companies, after their initial public offering, frequently trade at a price per share that is less than the NAV per share, the difference representing the "market discount" of such shares. This market discount may be due in part to the investment objective of long-term appreciation, which is sought by many closed-end investment companies, as well as to the fact that the shares of closed-end investment companies are not redeemable by the holder upon demand to the issuer at the next determined NAV but rather are subject to the principles of supply and demand in the secondary market. A relative lack of secondary market purchasers of closed-end investment company shares also may contribute to such shares trading at a discount to their NAV. Closed-end investment companies are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.

Financial Derivative Instruments

Financial derivative instruments, such as forward currency contracts, futures contracts, options, or swap agreements, derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker- dealer quotations or a pricing service at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates.

Forward currency contracts represent the purchase or sale of a speciﬁc quantity of a foreign currency at the current or spot price, with delivery and settlement at a speciﬁed future date. Forward currency contracts are presented at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying ﬁnancial instruments. Forward currency contracts are generally categorized in Level 2.

Futures contracts are carried at fair value using the primary exchange's closing (settlement) price and are generally categorized in Level 1.

The Funds may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or stock indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. Purchased or written options are generally categorized in Level 1 of the fair value hierarchy.

Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures, forward currency and foreign currency contracts constituting the contract's stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2.

Fair Value Pricing

If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by the Adviser in accordance with procedures approved by the Board of Trustees (the "Board") and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund's NAV will reﬂect certain portfolio investments' fair value rather than their market price. Fair value pricing involves subjective judgments, and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that investment. The fair value prices can differ from market prices when they become available or when a price becomes available.

Fair value determinations are required for the following securities:

&nbsp;&nbsp;&nbsp;&nbsp;• securities for which market quotations are
 not readily available at the valuation time on a particular business day (including without limitation securities for which there is a
 short and temporary lapse in the provision of a price by the regular pricing source);

&nbsp;&nbsp;&nbsp;&nbsp;• securities determined to be illiquid in accordance
 with the Trust's Liquidity Procedures; and

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

&nbsp;&nbsp;&nbsp;&nbsp;• securities with respect to which an event that
 will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported
 on the principal exchange on which the securities are traded, but prior to the relevant Fund's calculation of its NAV.

&nbsp;&nbsp;&nbsp;&nbsp;• For any open-end mutual funds that do not provide
 timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those 'similar' funds and determine which are most
 appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the
 NAV percentage move of those 'similar' funds for the day to create an aggregate average percentage move, which it shall use
 to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized,
 in addition to monitoring secondary market activity during the day.

Performing Fair Value Pricing

The Adviser considers all appropriate factors relevant to the value of securities for which market quotations are not readily available. No single standard for determining fair value can be established, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount that the owner might reasonably expect to receive for them upon their current sale.

As a general matter, the Funds' Adviser will value the portfolio security or other asset primarily by reference to the public market if there is a public market for securities of the same class or similar securities; primarily by reference to private transactions if public market reference is not available and private transaction reports are available; and primarily by use of one or more analytical methods or models if public and private market references are not available or not reliable. The Adviser will use cost only if no better method of valuation is available.

The Adviser regularly evaluates whether its pricing methodologies continue to result in values that the Funds might reasonably expect to receive upon a current sale. In order to do this, the Adviser compares its fair value prices with values that are available from other sources (if there are any). The next actual sales price of a security might be one such source. However, the next-day opening prices or next actual sales prices for a security may differ from the fair value of that security as of the time for NAV calculation, given the subjectivity inherent in fair valuation and the fact that events could occur after NAV calculation. Thus, discrepancies between fair values and next-day opening prices or next actual sales prices may occur on a regular and recurring basis. These discrepancies do not necessarily indicate that the Adviser's fair value methodology is inappropriate. Nonetheless, systematic comparisons of fair values to the next-day opening prices or next actual sales prices are useful to assist the Adviser with ongoing monitoring and evaluation of the appropriateness of its fair value methodologies. The above guidance does not purport to delineate all factors that may be considered. The Adviser takes into consideration all indications of value available to it in determining the fair value assigned to a particular security.

The following table summarizes LoCorr Dynamic Opportunity Fund's investments and securities sold short as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Assets:**<br>|  |  |  |  |
| **Investments**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $22752045 | $— | $— | $22752045  |
| &nbsp;&nbsp;&nbsp; Real Estate Investment Trusts  | 1519537  | —  |  | 1519537  |
| **Total Investments** | $24271582 | $— | $— | $24271582  |
| **Liabilities:**<br>|  |  |  |  |
| **Securities Sold Short**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $(2942439) | $— | $— | $(2942439)  |
| &nbsp;&nbsp;&nbsp; Real Estate Investment Trusts  | (978888)  | —  | —  | (978888) |
| **Total Securities Sold Short** | $(3921327) | $— | $— | $(3921327) |

---

See the Fund's schedule of investments and schedule of securities sold short for detail by industry classification.

The LoCorr Dynamic Opportunity Fund did not hold any Level 3 assets during the period.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

The following table summarizes LoCorr Hedged Core Fund's consolidated investments, other financial instruments and swap contracts as of December 31, 2025:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **NAV as Practical** <br>**Expedient** | **Total**  |
| **Assets:**<br>|  |  |  |  |  |
| **Investments**<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Securities | $— | $80864918 | $— | $— | $80864918  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  | 47148016 |  |  | 47148016  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 28243388 |  |  | 28243388  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 20737046 |  |  | 20737046  |
| &nbsp;&nbsp;&nbsp; Commodity Pools |  |  |  | 20652716 | 20652716  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency <br>Issues |  | 14777606 |  |  | 14777606  |
| **Total Investments** | $— | $191770974 | $— | $20652716 | $212423690  |
| **Other Financial Instruments\***<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $1274141 | $— | $— | $— | $1274141  |
| &nbsp;&nbsp;&nbsp; Forwards |  | 638425 |  |  | 638425  |
| &nbsp;&nbsp;&nbsp; **Total Other Financial** <br>**Instruments** | $1274141 | $638425 | $— | $— | $1912566  |
| **Liabilities:**<br>|  |  |  |  |  |
| **Other Financial Instruments\***<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Long Total Return Swap Contracts | $— | $(4596775) | $— | $— | $(4596775)  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | (590735) |  |  |  | (590735)  |
| &nbsp;&nbsp;&nbsp; Forwards |  | (448625) |  |  | (448625)  |
|  **Total Other Financial Instruments** | $(590735) | $(5045400) | $— | $— | $(5636135) |

---

See the Fund's consolidated schedule of investments for the investments detailed by industry classification.

\* The fair value of the Fund's investment in other financial instruments represents the net unrealized depreciation at December 31, 2025.

The LoCorr Hedged Core Fund did not hold any Level 3 assets during the period.

The following table summarizes LoCorr Long/Short Commodities Strategy Fund's consolidated investments and swap contracts as of December 31, 2025:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **NAV as Practical** <br>**Expedient** | **Total**  |
| **Assets:**<br>|  |  |  |  |  |
| **Investments**<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Securities | $— | $120471146 | $— | $— | $120471146  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  | 64334953 |  |  | 64334953  |
| &nbsp;&nbsp;&nbsp; Commodity Pools |  |  |  | 50350449 | 50350449  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 39073387 |  |  | 39073387  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 28347500 |  |  | 28347500  |
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Issues |  | 9217631 |  |  | 9217631  |
| **Total Investments** | $— | $261444617 | $— | $50350449 | $311795066  |

---

121<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **NAV as Practical** <br>**Expedient** | **Total**  |
| **Swap Contracts\***<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Long Total Return Swap Contracts | $— | $2686719 | $— | $— | $2686719  |
| **Total Swap Contracts** | $— | $2686719 | $— | $— | $2686719 |

---

See the Fund's consolidated schedule of investments for the investments detailed by industry classification.

\* The fair value of the Fund's investment in swap contracts represents the net unrealized appreciation at December 31, 2025.

The LoCorr Long/Short Commodities Strategy Fund did not hold any Level 3 assets during the period.

The following table summarizes LoCorr Macro Strategies Fund's consolidated investments and other financial instruments as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Assets:**<br>|  |  |  |  |
| **Investments**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Securities | $— | $576497727 | $— | $576497727  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  | 308788227 |  | 308788227  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 176229388 |  | 176229388  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 140345305 |  | 140345305  |
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Issues |  | 106538175 |  | 106538175  |
| **Total Investments** | $— | $1308398822 | $— | $1308398822  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $15395182 | $— | $— | $15395182  |
| &nbsp;&nbsp;&nbsp; Forwards |  | 7638095 |  | 7638095  |
| **Total Other Financial Instruments** | $15395182 | $7638095 | $— | $23033277  |
| **Liabilities:**<br>|  |  |  |  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $(6529691) | $— | $— | $(6529691)  |
| &nbsp;&nbsp;&nbsp; Forwards |  | (5397584) |  | (5397584)  |
| **Total Other Financial Instruments** | $(6529691) | $(5397584) | $— | $(11927275) |

---

See the Fund's consolidated schedule of investments for the investments detailed by industry classification.

\* The fair value of the Fund's other financial instruments represent the net unrealized appreciation (depreciation) at December 31, 2025.

The LoCorr Macro Strategies Fund did not hold any Level 3 assets during the period.

The following table summarizes LoCorr Market Trend Fund's consolidated investments and other financial instruments as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Assets:**<br>|  |  |  |  |
| **Investments**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Securities | $— | $100126561 | $— | $100126561  |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  | 56244176 |  | 56244176  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 32498259 |  | 32498259  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 26168994 |  | 26168994  |
| &nbsp;&nbsp;&nbsp; U.S. Government Agency Issues |  | 11314985 |  | 11314985  |
| **Total Investments** | $— | $226352975 | $— | $226352975  |

---

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $7351263 | $— | $— | $7351263  |
| &nbsp;&nbsp;&nbsp; Forwards |  | 1214912 |  | 1214912  |
| **Total Other Financial Instruments** | $7351263 | $1214912 | $— | $8566175  |
| **Liabilities:**<br>|  |  |  |  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $(2335171) | $— | $— | $(2335171)  |
| &nbsp;&nbsp;&nbsp; Forwards |  | (450459) |  | (450459)  |
| **Total Other Financial Instruments** | $(2335171) | $(450459) | $— | $(2785630) |

---

See the Fund's consolidated schedule of investments for the investments detailed by industry classification.

\* The fair value of the Fund's other financial instruments represent the net unrealized appreciation (depreciation) at December 31, 2025.

The LoCorr Market Trend Fund did not hold any Level 3 assets during the period.

The following table summarizes LoCorr Spectrum Income Fund's investments as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Assets:**<br>|  |  |  |  |
| **Investments**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $19391416 | $— | $— | $19391416  |
| &nbsp;&nbsp;&nbsp; Master Limited Partnerships | 15385174 |  |  | 15385174  |
| &nbsp;&nbsp;&nbsp; Real Estate Investment Trusts | 14173958 |  |  | 14173958  |
| &nbsp;&nbsp;&nbsp; Closed-End Funds | 8251124 |  |  | 8251124  |
| &nbsp;&nbsp;&nbsp; Business Development Companies | 7219538 |  |  | 7219538  |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | 647024 |  |  | 647024  |
| &nbsp;&nbsp;&nbsp; Royalty Trusts | 627267 |  |  | 627267  |
| **Total Investments** | $65695501 | $— | $— | $65695501  |
| **Liabilities:** <br>|  |  |  |  |
| **Written Option**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Call Options | $(174812) | $— | $— | $(174812)  |
| **Total Written Option** | $(174812) | $— | $— | $(174812) |

---

See the Fund's schedule of investments for detail by industry classification.

The LoCorr Spectrum Income Fund did not hold any Level 3 assets during the period.

The following table summarizes LoCorr Strategic Allocation Fund's consolidated investments and other financial instruments as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Assets:**<br>|  |  |  |  |
| **Investments**<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $29699530 | $— | $— | $29699530  |
| **Total Investments** | $29699530 | $— | $— | $29699530  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $1368229 | $— | $— | $1368229  |
| &nbsp;&nbsp;&nbsp; Forwards |  | 186299 |  | 186299  |
| **Total Other Financial Instruments** | $1368229 | $186299 | $— | $1554528  |

---

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Security Classification** | **Level 1** | **Level 2** | **Level 3** | **Total**  |
| **Liabilities:**<br>|  |  |  |  |
| **Other Financial Instruments\***<br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | $(1097591) | $— | $— | $(1097591)  |
| &nbsp;&nbsp;&nbsp; Forwards |  | (70242) |  | (70242)  |
| **Total Other Financial Instruments** | $(1097591) | $(70242) | $— | $(1167833) |

---

See the Fund's consolidated schedule of investments for the investments detailed by industry classification.

\* The fair value of the Fund's other financial instruments represent the net unrealized appreciation (depreciation) at December 31, 2025.

The LoCorr Strategic Allocation Fund did not hold any Level 3 assets during the period.

**Allocation of Income and Expenses** 

Net investment income, other than class speciﬁc expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative NAV of outstanding shares of each class of shares at the beginning of the day (after adjusting for the current capital shares activity of the respective class). Expenses associated with a speciﬁc Fund in the Trust are charged to that Fund. Common expenses are typically allocated based upon the relative net assets of each Fund, or by other equitable means.

**Deposits with Broker** 

Forward Currency and Futures Contracts

When trading derivative instruments, such as futures contracts, a Fund is only required to post initial or variation margin with the exchange or clearing broker. The use of margin in trading these instruments has the effect of creating leverage, which can expose the Fund to substantial gains or losses occurring from relatively small price changes in the value of the underlying instrument and can increase the volatility of the Fund's returns. Volatility is a statistical measure of the dispersion of returns of an investment, where higher volatility generally indicates greater risk. At December 31, 2025, the LoCorr Hedged Core Fund, the LoCorr Macro Strategies Fund, the LoCorr Market Trend Fund and the LoCorr Strategic Allocation Fund pledged cash and cash equivalents, deﬁned as short-term, highly liquid investments that are readily convertible to known amounts of cash at U.S. Bank, N.A. ("U.S. Bank") to Bank of America Merrill Lynch and Deutsche Bank for each Fund's investment in forward currency contracts. See the Funds' consolidated statements of assets and liabilities for these amounts.

Upon entering into a futures contract, and to maintain the Fund's open positions in futures contracts, the Fund is required to deposit with its custodian or futures broker in a segregated account in the name of the futures broker an amount of cash, U.S. government securities, suitable money market instruments, or other liquid securities, known as "initial margin." The margin required for a particular futures contract is set by the exchange on which the contract is traded and may be signiﬁcantly modiﬁed from time to time by the exchange during the term of the contract. Futures contracts are customarily purchased and sold on margins that may range upward from less than 5% of the value of the contract being traded.

At December 31, 2025, the LoCorr Hedged Core Fund and LCHC, collectively, had cash and cash equivalents on deposit with the broker for derivative instruments which is presented on the Fund's consolidated statement of assets and liabilities. In addition, LCHC pledged a portion of its deposit account as collateral for derivative instruments. See the Fund's consolidated schedule of investments for the fair value of the deposit account pledged as collateral.

At December 31, 2025, the LoCorr Macro Strategies Fund and LCMFS, collectively, had cash and cash equivalents on deposit with the broker for derivative instruments which is presented on the Fund's consolidated statement of assets and liabilities. In addition, LCMFS pledged a portion of its deposit account as collateral for derivative instruments. See the Fund's consolidated schedule of investments for the fair value of the deposit account pledged as collateral.

At December 31, 2025, the LoCorr Market Trend Fund and LCMT, collectively, had cash and cash equivalents on deposit with the broker for derivative instruments which is presented on the Fund's consolidated statement of assets and

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

liabilities. In addition, LCMT pledged a portion of its deposit account as collateral for derivative instruments. See the Fund's consolidated schedule of investments for the fair value of the deposit account pledged as collateral.

At December 31, 2025, the LoCorr Strategic Allocation Fund and LCSA, collectively, had cash and cash equivalents on deposit with the broker for derivative instruments which is presented on the Fund's consolidated statement of assets and liabilities. In addition, LCSA pledged a portion of its deposit account as collateral for derivative instruments. See the Fund's consolidated schedule of investments for the fair value of the deposit account pledged as collateral.

If the price of an open futures contract changes (by increase in underlying instrument or index in the case of a sale or by decrease in the case of a purchase) so that the loss on the futures contract reaches a point at which the margin on deposit does not satisfy margin requirements, the broker will require an increase in the margin. However, if the value of a position increases because of favorable price changes in the futures contract so that the margin deposit exceeds the required margin, the broker will pay the excess to the Fund.

These subsequent payments, called "variation margin," to and from the futures broker (with the exception of futures contracts traded on the London Metal Exchange ("LME")), are made on a daily basis as the price of the underlying assets ﬂuctuate making the long and short positions in the futures contract more or less valuable, a process known as "marking to the market." The variation margin on LME futures contracts do not settle daily, but rather settle at their respective maturity dates. At period end, the unrealized appreciation and depreciation on LME futures contracts is shown as receivable for unsettled open futures contracts and payable for unsettled open futures contracts, respectively, on the Funds' consolidated statements of assets and liabilities. The Funds expect to earn interest income on any margin deposits, which is disclosed as broker interest income on the Funds' consolidated statements of operations.

Securities Sold Short

At December 31, 2025, the LoCorr Dynamic Opportunity Fund pledged cash with U.S. Bank as collateral for securities sold short. See the Fund's statement of assets and liabilities for amounts.

Swap Contracts

LCHC and LCLSCS each have a substantial portion of their assets on deposit with Deutsche Bank in connection with their trading of swap contracts. These assets are partially restricted due to deposit requirements. As of December 31, 2025, the LoCorr Hedged Core Fund and the LoCorr Long/Short Commodities Strategy Fund held cash and cash equivalents on deposit with Deutsche Bank, which are presented on the consolidated statements of assets and liabilities as deposits with broker for swap contracts. In addition, each Fund pledged a portion of its deposit account as collateral for its swap contract; the fair value of the amounts pledged is disclosed in the consolidated schedule of investments. Risks associated with these arrangements include the possibility that the counterparty may be unable to meet the terms of its contracts, and such risks may increase if the counterparty's financial condition deteriorates.

Options

At December 31, 2025, the LoCorr Spectrum Income Fund had cash on deposit with Pershing, LLC for options contracts which is presented on the Fund's statement of assets and liabilities. In addition, the LoCorr Spectrum Income Fund pledged securities as collateral for options. See the Fund's consolidated schedule of investments for the fair value of securities pledged as collateral.

**Distributable Earnings and Investment Transactions** 

Net investment income and net realized gains (losses) may differ for ﬁnancial reporting and tax purposes because of temporary or permanent book/tax differences. To the extent these differences are permanent; reclassiﬁcations are made to the appropriate equity accounts in the period that the difference arises. Realized gains and losses from securities transactions are calculated on the identified cost basis.

Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassiﬁed between ﬁnancial and tax reporting. These reclassiﬁcations have no effect on net assets or NAV per share. See Note 7.

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**Distributions from Earnings** 

Shareholder transactions are recorded on trade date. Dividends from net investment income are declared and paid at least annually by the Funds. Distribution of net realized capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The character of distributions made during the periods from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to the difference in the recognition of income, expense and gain items for ﬁnancial statement and tax purposes.

During the year ended December 31, 2025, dividends for the LoCorr Spectrum Income Fund were distributed monthly. The estimated characterization of the distributions paid ill be an ordinary dividend, qualiﬁed dividend or return of capital.

This estimate is based on the Fund's operating results during the period. It is anticipated that a signiﬁcant portion of the distributions of the Fund's investments in MLP and certain investments in REITs and royalty trusts will be comprised of return of capital as a result of the tax character of cash distributions made by each Fund's investments. The actual characterization of the distributions made during the period is not determined until after the end of the ﬁscal year.

The tax character of distributions paid during the periods was as follows:

---

| | | | |
|:---|:---|:---|:---|
| | **Tax Year Ended December 31, 2025**  | **Tax Year Ended December 31, 2025**  | **Tax Year Ended December 31, 2025**  |
| <br>**Fund** | **Ordinary** <br>**Income** | **Long-Term** <br>**Capital Gains** | **Return of** <br>**Capital**  |
| LoCorr Dynamic Opportunity Fund | $5185160 | $— | $—  |
| LoCorr Spectrum Income Fund | 4189014 |  | 2050110 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Tax Year Ended September 30, 2025**  | **Tax Year Ended September 30, 2025**  | **Tax Year Ended September 30, 2025**  |
| <br>**Fund** | **Ordinary** <br>**Income** | **Long-Term** <br>**Capital Gains** | **Return of** <br>**Capital**  |
| LoCorr Hedged Core Fund | $— | $—  | $—  |
| LoCorr Long/Short Commodities Strategy Fund |  |  | —  |
| LoCorr Macro Strategies Fund |  |  | —  |
| LoCorr Market Trend Fund |  |  | —  |
| LoCorr Strategic Allocation Fund |  |  |  |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Tax Year Ended December 31, 2024**  | **Tax Year Ended December 31, 2024**  | **Tax Year Ended December 31, 2024**  |
| <br>**Fund** | **Ordinary** <br>**Income** | **Long-Term** <br>**Capital Gains** | **Return of** <br>**Capital**  |
| LoCorr Dynamic Opportunity Fund | $600766 | $—  | $—  |
| LoCorr Hedged Core Fund | 916935 |  | —  |
| LoCorr Long/Short Commodities Strategy Fund | 14531971 |  | 314913  |
| LoCorr Macro Strategies Fund | 47036295 |  | 1296342  |
| LoCorr Market Trend Fund | 19962056 |  | —  |
| LoCorr Spectrum Income Fund | 4487329 |  | 1670800 |

---

**Federal Income Taxes** 

The Funds intend to qualify as regulated investment companies pursuant to Subchapter M of the Internal Revenue Code of 1986, as amended. The Funds intend to distribute substantially all of their investment company net taxable income and net capital gains to shareholders. Therefore, no federal income tax provision is required.

As of and during the tax years ended September 30, 2025 and December 31, 2025, the Funds did not have any tax positions that did not meet the "more- likely-than-not" threshold of being sustained by applicable tax authorities. The Funds recognize interest and penalties, if any, related to unrecognized tax beneﬁts on uncertain tax positions as interest or other expense in the statements of operations. During the year ended December 31, 2025, the Funds did not incur any interest or penalties.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

For tax purposes, LCHC, LCLSCS, LCMFS, LCMT, and LCSA are exempted Cayman Islands investment companies. LCHC, LCLSCS, LCMFS, LCMT, and LCSA have each received an undertaking from the Government of the Cayman Islands exempting them from all local income, proﬁts, and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, LCHC, LCLSCS, LCMFS, LCMT, and LCSA are controlled foreign corporations ("CFCs") and as such are not subject to U.S. income tax. However, as a wholly-owned CFC, the net income and capital gain of each CFC, to the extent of its earnings and proﬁts, will be included each year in the respective Funds' investment company taxable income.

**Foreign Securities and Currency** 

Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the ﬂuctuations arising from changes in market prices of securities held. Such ﬂuctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.

**Forward Currency Contracts** 

Gains or losses are realized when foreign currency contracts are liquidated. Any change in net unrealized gain or loss is reported in the statements of operations.

**Futures Contracts** 

A futures contract provides for the future sale by one party and purchase by another party of a speciﬁed amount of a speciﬁc ﬁnancial instrument (e.g., units of a stock index) for a speciﬁed price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and margin deposits must be maintained.

Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. Unlike when a Fund purchases or sells a security, no price would be paid or received by the Fund upon the purchase or sale of a futures contract.

Although certain futures contracts, by their terms, require actual future delivery of and payment for the underlying instruments, in practice most futures contracts are usually closed out before the delivery date. Gains or losses are realized when contracts are liquidated.

The transaction costs must also be included in these calculations. There can be no assurance, however, that a Fund will be able to enter into an offsetting transaction with respect to a particular futures contract at a particular time. If a Fund is not able to enter into an offsetting transaction, the Fund will continue to be required to maintain the margin deposits on the futures contract. Any change in net unrealized gain or loss is reported in the statements of operations.

**Indemniﬁcations** 

In the normal course of business, the Funds enter into contracts that contain general indemniﬁcations to other parties. The Funds' maximum exposure under these contracts is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**Market and Credit Risks** 

The Funds may engage in the speculative trading of U.S. and foreign futures, forward currency and swap contracts (collectively, "derivatives"). The Funds are exposed to both market risk, which is the risk arising from changes in the fair value of the contracts and credit risk, which is the risk of failure by another party to perform according to the terms of a contract.

Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker's proprietary activities. A customer's cash and other property (for example, U.S. government securities) deposited with a broker are considered commingled with all other customer funds subject to the broker's segregation requirements. In the event of a broker's insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the Funds are exposed to a market risk equal to the notional contract value of swap, futures and forward currency contracts purchased and unlimited liability on such contracts sold short.

The Funds also engage in investing its assets in U.S. government securities. Risks arise from investments in U.S. government securities due to possible market illiquidity. U.S. government securities are also sensitive to changes in interest rates and economic conditions.

The Funds have established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that they will, in fact, succeed in doing so.

**New Accounting Pronouncements and/or SEC Regulatory Updates** 

The Funds adopted the FASB Accounting Standards Update 2023-09, "Income Taxes (Topic 740) Improvements to Income Tax Disclosures" ("ASU 2023-09"). Adoption of the new standard by the Funds impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations. A disaggregation of income taxes paid by the jurisdiction is presented when significant income taxes are paid. Income taxes paid by the Funds for the year were determined to not be significant.

**Options on Securities** 

The Funds may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or stock indices and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Option trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater ﬂuctuation than an investment in the underlying instruments themselves.

A call option for a particular security gives the purchaser of the option the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security at the stated exercise price at any time prior to the expiration date of the option, regardless of the market price of the security.

A Fund's obligation to sell an instrument subject to a call option written by it, or to purchase an instrument subject to a put option written by it, may be terminated prior to the expiration date of the option by the Fund's execution of a closing purchase transaction, which is effected by purchasing on an exchange an option of the same series (i.e., same underlying instrument, exercise price and expiration date) as the option previously written. A closing purchase transaction will ordinarily be effected to realize a proﬁt on an outstanding option, to prevent an underlying instrument from being called, to permit the sale of the underlying instrument or to permit the writing of a new option containing different terms on such underlying instrument. The cost of such a liquidation purchase plus transactions costs may be greater than the premium received upon the original option, in which event the Fund will have incurred a loss in the

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

transaction. There is no assurance that a liquid secondary market will exist for any particular option. An option writer unable to effect a closing purchase transaction will not be able to sell the underlying instrument or liquidate the assets held in a segregated account, as described below, until the option expires or the optioned instrument is delivered upon exercise. In such circumstances, the writer will be subject to the risk of market decline or appreciation in the instrument during such period.

If an option purchased by a Fund expires unexercised, the Fund realizes a loss equal to the premium paid. If a Fund enters into a closing sale transaction on an option purchased by it, the Fund will realize a gain if the premium received by the Fund on the closing transaction is more than the premium paid to purchase the option or a loss if it is less. If an option written by a Fund expires on the stipulated expiration date or if the Fund enters into a closing purchase transaction, it will realize a gain (or loss if the cost of a closing purchase transaction exceeds the net premium received when the option is sold). If an option written by the Fund is exercised, the proceeds of the sale will be increased by the net premium originally received and the Fund will realize a gain or loss.

**Security Transactions and Investment Income** 

Security transactions are recorded on trade date. Generally, realized gains and losses on sales of investments are calculated on the speciﬁcally identiﬁed cost basis of the securities.

Dividend income, less foreign taxes withheld, if any, are recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds' understanding of the applicable country's tax rules and rates.

Distributions received from the investments in MLP interests, REITs, private investments, closed end funds, business development companies and royalty trusts generally are comprised of ordinary income, capital gains and return of capital. Distributions from commodity pools are recorded on the effective date, based on the character determined by the underlying commodity pool. For ﬁnancial statement purposes, the Funds use estimates to characterize these distributions received as return of capital, capital gains or ordinary income. Such estimates are based on historical information available from each MLP, REIT, private investment, closed end fund, business development company or royalty trust and other industry sources. These estimates may subsequently be revised based on information received from the MLP, REIT, private investment, closed end fund, business development company or royalty trust after their tax reporting periods are concluded, as the actual character of these distributions is not known until after the ﬁscal year end of the Funds. The distributions received from the MLP, REIT, private investment, closed-end fund, business development company and royalty trust securities that have been classiﬁed as income and capital gains are included in investment income and net realized gain (loss) on investments, respectively, on the statements of operations. The distributions received that are classiﬁed as return of capital reduce the cost of investments on the statements of assets and liabilities.

Interest income and expense is recognized on the accrual basis. Market discounts, premiums and original issue discounts on ﬁxed-income securities are amortized daily over the expected life of the security using the effective yield method.

**Short Sales** 

The Funds may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline. When a Fund makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Funds are required to make a margin deposit in connection with such short sales; the Funds may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.

If the price of the security sold short increases between the time of the short sale and the time a Fund covers its short position, the Fund will incur a loss; conversely, if the price declines, the Fund will realize a gain. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

short and the securities being hedged. Gains or losses from closed positions of securities sold short are presented as net realized gain or loss on securities sold short on the statements of operations.

In addition, the Funds are required to pay the lender any dividends declared on short positions. Dividends declared on open short positions are recorded on ex-date and shown as an expense for ﬁnancial reporting purposes. To borrow the security, the Funds also may be required to pay fees, which are shown as an expense for ﬁnancial reporting purposes. A Fund may receive rebate income or be charged a fee for borrowed securities. Such income or fee is calculated on a daily basis based upon the value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these broker charges on a net basis as broker interest income or interest expense on the Funds' statements of operations.

To the extent the Funds sell securities short, it will provide collateral to the broker-dealer and (except in the case of short sales "against the box") will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current fair value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is "against the box" to the extent the Funds contemporaneously own or have the right to obtain at no added cost, securities identical to those sold short. Short sales are collateralized by cash deposits with the counterparty broker and pledged securities held at the custodian, U.S. Bank. The collateral required is determined daily by reference to the fair value of the short positions.

**Total Return Swap Contracts** 

The Funds may enter into total return swap agreements. A total return swap entered into by the Funds is a derivative contract that transfers the market risk of underlying portfolios of futures contracts, forward currency contracts and foreign currencies (considered the "index" within each total return swap contract) between counterparties. The "notional amount" of each total return swap agreement is the agreed upon amount or value of the index used for calculating the returns that the parties to a swap agreement have agreed to exchange. The total return swaps are marked to market daily and any change is recorded in unrealized gain/loss on the consolidated statements of operations based on the value of the index on which the total return swap is referenced, as deﬁned within the total return swap agreement between the counterparties. The composition of the index may vary based on how the underlying portfolio of futures contracts, forward currency contracts and foreign currencies is traded. A Fund's obligation under total return swap agreement, including any related fees, offset against amounts owed to the Fund in the case of positive performance, will be covered by designating liquid assets on the Fund's books and records (see the consolidated statement of assets and liabilities for deposits with broker for derivative instruments). Gains or losses will be realized when the total return swap contracts are liquidated and will be presented as net realized gain or loss on swap contracts on the consolidated statements of operations. Changes in notional value and any cash holding adjustments, which represent voluntary realizations by a Fund of swap value at any point in time, are also presented as net realized gain or loss on swap contracts on the consolidated statements of operations. Further, any cash holding adjustments realized by a Fund are subject to interest charges, which are recorded as part of unrealized gain/loss on the consolidated statements of operations. A corresponding asset or liability for "advance receipt on swap contracts" or "advance payment on swap contracts," respectively, is recorded on the consolidated statements of assets and liabilities for the gain or loss realized on changes in notional value. Total return swaps outstanding at period end, if any, are listed after the Funds' consolidated schedules of investments.

**Use of Estimates** 

The preparation of ﬁnancial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the ﬁnancial statements and the reported revenues and expenses during the reporting period. Actual results could differ from those estimates.

**Warrants** 

The Funds may invest in warrants. Warrants are options to purchase common stock at a speciﬁc price (usually at a premium above the market value of the optioned common stock at issuance) valid for a speciﬁc period of time. Warrants may have a life ranging from less than one year to twenty years, or they may be perpetual. However, most warrants have expiration dates after which they are worthless. In addition, a warrant is worthless if the market price of

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

the common stock does not exceed the warrant's exercise price during the life of the warrant. Warrants have no voting rights, pay no dividends and have no rights with respect to the assets of the corporation issuing them. The percentage increase or decrease in the market price of the warrant may tend to be greater than the percentage increase or decrease in the market price of the optioned common stock.

3. Derivative and Other Financial Instruments

The Funds may invest in derivatives such as futures, forward currency, options, and swap contracts, in order to hedge against market movements while liquidating certain positions and buying other securities or as substitutes for securities, as well as for speculative purposes to gain exposure to such market movements.

The Funds' market risk related to their derivatives trading is inﬂuenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, weather, supply and demand of commodities, the market value of futures and forward currency contracts, the diversiﬁcation effects among the Funds' open positions and the liquidity of the markets in which they trade.

The following are the primary trading risk exposures by market sector of the Funds as encompassed in the total return swap contracts:

**Agricultural. (grains, livestock and softs). The Funds' primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions.** 

**Currencies. Exchange rate risk is a principal market exposure of the Funds. The Funds' currency exposure is to exchange rate ﬂuctuations, primarily ﬂuctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The ﬂuctuations are inﬂuenced by interest rate changes as well as political and general economic conditions. The Funds trade in a large number of currencies including cross-rates– e.g., positions between two currencies other than the U.S. dollar.** 

**Energy. The Funds' primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial proﬁts and losses have been and are expected to continue to be experienced in this market.** 

**Interest Rates. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Funds and indirectly the value of its stock index currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Funds' proﬁtability. The Funds' primary interest rate exposure is to interest rate ﬂuctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the United States and the Eurozone. However, the Funds also may take positions in futures contracts on the government debt of other nations. The Funds anticipate that interest rates in these industrialized countries or areas, both long-term and short-term, will remain a primary market exposure of the Funds for the foreseeable future.** 

**Metals. The Funds' metals market exposure is to ﬂuctuations in the price of aluminum, copper, gold, lead, nickel, palladium, tin, silver and zinc.** 

**Stock Index. The Funds' equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.** 

The Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to market and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

At December 31, 2025, the LoCorr Hedged Core Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Macro Strategies Fund, LoCorr Market Trend Fund, and the LoCorr Strategic Allocation Fund held derivative and other

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

financial instruments which are not subject to a master netting arrangement. The following table presents derivative financial instruments that are subject to enforceable netting agreements, collateral agreements, or other similar agreements as of the reporting date.

**LoCorr Hedged Core Fund - December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Pledged** <br>(Received)  | **Net Amount**  |
| **Assets:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $638425 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $638425 | $—  | $—  | $638425  |
| **Total** | &nbsp;&nbsp; $638425 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $638425 | $— | $— | $638425 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Received** <br>(Pledged)  | **Net Amount**  |
| **Liabilities:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $448625 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $448625 | $—  | &nbsp;&nbsp; $(448625) | $—  |
| &nbsp;&nbsp;&nbsp; Swap <br>Contracts\* | &nbsp;&nbsp; 4596775 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4596775 |  | &nbsp;&nbsp; (4596775) | —  |
| **Total** | &nbsp;&nbsp; $5045400 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $5045400 | $— | &nbsp;&nbsp; $(5045400) | $— |

---

\* Includes $0 of advance receipt on swap contracts. 

**LoCorr Long/Short Commodities Strategy Fund - December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & iabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & iabilities** | **Financial** <br>**Instruments** | **Collateral Pledged** <br>(Received)  | **Net Amount**  |
| **Assets:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Swap <br>Contracts\* | &nbsp;&nbsp; $28784105 | &nbsp;&nbsp; $—  | &nbsp;&nbsp; $28784105 | $—  | $— | $28784105  |
| **Total** | &nbsp;&nbsp; $28784105 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $28784105 | $— | $— | $28784105 |

---

\* Includes $26,097,386 of advance receipt on swap contracts.

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**LoCorr Macro Strategies Fund - December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Pledged** <br>(Received)  | **Net Amount**  |
| **Assets:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $7638095 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $7638095 | $—  | $—  | $7638095  |
| **Total** | &nbsp;&nbsp; $7638095 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $7638095 | $— | $— | $7638095 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Received** <br>(Pledged)  | **Net Amount**  |
| **Liabilities:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $5397584 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $5397584 | $—  | &nbsp;&nbsp; $(5397584) | $—  |
| **Total** | &nbsp;&nbsp; $5397584 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $5397584 | $— | &nbsp;&nbsp; $(5397584) | $— |

---

**LoCorr Market Trend Fund - December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Pledged** <br>(Received)  | **Net Amount**  |
| **Assets:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $1214912 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $1214912 | $—  | $—  | $1214912  |
| **Total** | &nbsp;&nbsp; $1214912 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $1214912 | $— | $— | $1214912 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Received** <br>(Pledged)  | **Net Amount**  |
| **Liabilities:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $450459 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $450459 | $—  | &nbsp;&nbsp; $(450459) | $—  |
| **Total** | &nbsp;&nbsp; $450459 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $450459 | $— | &nbsp;&nbsp; $(450459) | $— |

---

133<br>

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**LoCorr Strategic Allocation Fund - December 31, 2025** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized**<br>**Assets** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Pledged** <br>(Received)  | **Net Amount**  |
| **Assets:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $186299 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $186299 | $—  | $—  | $186299  |
| **Total** | &nbsp;&nbsp; $186299 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $186299 | $— | $— | $186299 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Gross Amounts not offset in the** <br>**Consolidated Statement** <br>**of Assets & Liabilities** | **Net Amount**  |
|  | **Gross Amounts of** <br>**Recognized** <br>**Liabilities** | **Gross Amounts** <br>**Offset in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Net Amounts** <br>**Presented in the** <br>**Consolidated** <br>**Statement of** <br>**Assets & Liabilities** | **Financial** <br>**Instruments** | **Collateral Received** <br>(Pledged)  | **Net Amount**  |
| **Liabilities:**<br>|  |  |  |  |  |  |
| **Description**<br>|  |  |  |  |  |  |
|  Forward currency contracts | &nbsp;&nbsp; $70242 | &nbsp;&nbsp;&nbsp; $—  | &nbsp;&nbsp;&nbsp; $70242 | $—  | &nbsp;&nbsp; $(70242) | $—  |
| **Total** | &nbsp;&nbsp; $70242 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $70242 | $— | &nbsp;&nbsp; $(70242) | $— |

---

<sup>(a)</sup> Reflects the current day variation margin and unsettled open futures contracts as separately reported within the Fund's consolidated statement of assets and liabilities.

The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds' consolidated statements of assets and liabilities and consolidated statements of operations. Fair value of swap contracts are recorded in the consolidated statements of assets and liabilities as net unrealized appreciation on swap contracts or net unrealized depreciation on swap contracts.

Since the derivatives held long or short are for speculative trading purposes, the derivative instruments are not designated as hedging instruments. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open contracts from the preceding period, are recognized as part of realized and unrealized gain (loss) in the consolidated statements of operations.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

The following table presents the fair value of consolidated derivative instruments for the LoCorr Hedged Core Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Macro Strategies Fund, LoCorr Market Trend Fund and LoCorr Strategic Allocation Fund as of December 31, 2025 as presented on each Fund's consolidated statements of assets and liabilities:

---

| | | | |
|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| <br>**Derivatives Not Accounted for as Hedging Instruments** | **Assets** | **Liabilities**  | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| L**oCorr Hedged Core Fund**<br>|  |  |  |
| Forward Currency Contracts<sup>(a)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long | $542670 | $137165 | $405505  |
| &nbsp;&nbsp;&nbsp; Short | 95755 | 311460 | (215705)  |
| Total Forward Currency Contracts | 638425 | 448625 | 189800  |
| Futures Contracts<sup>(b)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 719327 | 86325 | 633002  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 252728 | 168805 | 83923  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 3058 | 19925 | (16867)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 34382 | 127412 | (93030)  |
| &nbsp;&nbsp;&nbsp; Total Long Contracts | 1009495 | 402467 | 607028  |
| &nbsp;&nbsp;&nbsp; Short Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 154379 | 147281 | 7098  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 1017 | 3060 | (2043)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 6029 | 2428 | 3601  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 103221 | 35499 | 67722  |
| &nbsp;&nbsp;&nbsp; Total Short Contracts | 264646 | 188268 | 76378  |
| Total Futures Contracts | 1274141 | 590735 | 683406  |
| Total Forward Currency Contracts and Futures Contracts | $1912566 | $1039360 | $873206  |
| Long Total Return Swap Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; LoCorr Commodities Index | $— | $4596775 | $(4596775)  |
| **LoCorr Long/Short Commodities Strategy Fund**<br>|  |  |  |
| Long Total Return Swap Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; LoCorr Commodities Index | $2686719 | $— | $2686719  |
| **LoCorr Macro Strategies Fund**<br>|  |  |  |
| Forward Currency Contracts<sup>(a)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long | 6499265 | 1648831 | 4850434  |
| &nbsp;&nbsp;&nbsp; Short | 1138830 | 3748753 | (2609923)  |
| &nbsp;&nbsp;&nbsp; Total Forward Currency Contracts | 7638095 | 5397584 | 2240511  |
| Futures Contracts<sup>(b)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 8877559 | 1100841 | 7776718  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 3201754 | 1913451 | 1288303  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 30871 | 413597 | (382726)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 393348 | 1195610 | (802262)  |
| &nbsp;&nbsp;&nbsp; Total Long Contracts | 12503532 | 4623499 | 7880033  |

---

135<br>

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| <br>**Derivatives Not Accounted for as Hedging Instruments** | **Assets** | **Liabilities**  | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| &nbsp;&nbsp;&nbsp; Short Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | $1659184 | $1416845 | $242339  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 36951 | 30110 | 6841  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 62986 | 17501 | 45485  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 1132529 | 441736 | 690793  |
| &nbsp;&nbsp;&nbsp; Total Short Contracts | 2891650 | 1906192 | 985458  |
| Total Futures Contracts | 15395182 | 6529691 | 8865491  |
| Total Forward Currency Contracts and Futures Contracts | $23033277 | $11927275 | $11106002  |
| **LoCorr Market Trend Fund**<br>|  |  |  |
| Forward Currency Contracts<sup>(a)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long | 880307 | 94122 | 786185  |
| &nbsp;&nbsp;&nbsp; Short | 334605 | 356337 | (21732)  |
| Total Forward Currency Contracts | 1214912 | 450459 | 764453  |
| Futures Contracts<sup>(b)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 4473935 | 440548 | 4033387  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 1387372 | 807804 | 579568  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 969 |  | 969  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 146379 | 696418 | (550039)  |
| &nbsp;&nbsp;&nbsp; Total Long Contracts | 6008655 | 1944770 | 4063885  |
| &nbsp;&nbsp;&nbsp; Short Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 712985 | 331704 | 381281  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 629623 | 58697 | 570926  |
| &nbsp;&nbsp;&nbsp; Total Short Contracts | 1342608 | 390401 | 952207  |
| Total Futures Contracts | 7351263 | 2335171 | 5016092  |
| Total Forward Currency Contracts and Futures Contracts | $8566175 | $2785630 | $5780545  |
| **LoCorr Spectrum Income Fund**<br>|  |  |  |
| Options <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options | $— | $174812 | $(174812)  |
| Total Options | $— | $174812 | $(174812)  |
| **LoCorr Strategic Allocation Fund**<br>|  |  |  |
| Forward Currency Contracts<sup>(a)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long | 170880 | 23534 | 147346  |
| &nbsp;&nbsp;&nbsp; Short | 15419 | 46708 | (31289)  |
| Total Forward Currency Contracts | 186299 | 70242 | 116057  |
| Futures Contracts<sup>(b)</sup> <br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Long Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 930674 | 48165 | 882509  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 176946 | 54960 | 121986  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 42298 | 7418 | 34880  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 2420 | 16734 | (14314)  |
| &nbsp;&nbsp;&nbsp; Total Long Contracts | 1152338 | 127277 | 1025061  |

---

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| <br>**Derivatives Not Accounted for as Hedging Instruments** | **Assets** | **Liabilities**  | **Net Unrealized** <br>**Gain (Loss) on** <br>**Open Positions**  |
| &nbsp;&nbsp;&nbsp; Short Contracts <br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | $96679 | $781403 | $(684724)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 4069 | 3873 | 196  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | 41595 | 164241 | (122646)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | 73548 | 20797 | 52751  |
| &nbsp;&nbsp;&nbsp; Total Short Contracts | 215891 | 970314 | (754423)  |
| Total Futures Contracts | 1368229 | 1097591 | 270638  |
| Total Forward Currency Contracts and Futures Contracts | $1554528 | $1167833 | $386695 |

---

<sup>(a)</sup> Unrealized appreciation on forward currency contracts is a receivable and unrealized depreciation on forward currency contracts is a payable on the Fund's consolidated statement of assets and liabilities.

<sup>(b)</sup> Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund's consolidated schedule of open futures contracts. Only the current day variation margin and unsettled open futures contracts is separately reported within the Fund's consolidated statement of assets and liabilities. 

The following table presents the results of the derivative trading and information related to volume for the year ended December 31, 2025. The below captions of "Net Realized" and "Net Change in Unrealized" correspond to the captions in each Fund's consolidated and non-consolidated statement of operations.

---

| | | |
|:---|:---|:---|
| | **Gain (Loss) from Trading**  | **Gain (Loss) from Trading**  |
| <br>**Fund and Type of Derivative Instrument** | **Net Realized** | **Net Change** <br>**in Unrealized**  |
| L**oCorr Hedged Core Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $(382112) | $(558753)  |
| &nbsp;&nbsp;&nbsp; Futures Contracts <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 1263612 | 613409  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 3704838 | 440083  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | (773908) | (50898)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | (4285137) | (231550)  |
| Total Futures Contracts | (90595) | 771044  |
| Total Forward Currency Contracts and Futures Contracts | $(472707) | $212291  |
| Swap Contracts | $— | $(2460566)  |
| **LoCorr Long/Short Commodities Strategy Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Swap Contracts | $4417230 | $(14185596)  |
| **LoCorr Macro Strategies Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $(6514787) | $(12252590)  |
| &nbsp;&nbsp;&nbsp; Futures Contracts <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 14300994 | 5097593  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 47897754 | 8077295  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | (8917399) | (1005073)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | (59662052) | (3948435)  |
| Total Futures Contracts | (6380703) | 8221380  |
| Total Forward Currency Contracts and Futures Contracts | $(12895490) | $(4031210)  |

---

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
| | **Gain (Loss) from Trading**  | **Gain (Loss) from Trading**  |
| <br>**Fund and Type of Derivative Instrument** | **Net Realized** | **Net Change** <br>**in Unrealized**  |
| **LoCorr Market Trend Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $(3953530) | $(7141084)  |
| &nbsp;&nbsp;&nbsp; Futures Contracts <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 5866718 | 3464047  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 10197997 | 5059739  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | (211397) | (179547)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | (16436357) | (2860456)  |
| &nbsp;&nbsp;&nbsp; Total Futures Contracts | (583039) | 5483783  |
| Total Forward Currency Contracts and Futures Contracts | $(4536569) | $(1657301)  |
| **LoCorr Spectrum Income Fund**<br>|  |  |
| Options <br>|  |  |
| &nbsp;&nbsp;&nbsp; Written Options<sup>(a)</sup> | 1885789 | 28631  |
| Total Options | $1885789 | $28631  |
| **LoCorr Strategic Allocation Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $(22682) | $116057  |
| &nbsp;&nbsp;&nbsp; Futures Contracts <br>|  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commodity | 335863 | 197785  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity | 1045660 | 122182  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign exchange | (1096655) | (87766)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest rate | (811108) | 38437  |
| &nbsp;&nbsp;&nbsp; Total Futures Contracts | (526240) | 270638  |
| Total Forward Currency Contracts and Futures Contracts | $(548922) | $386695 |

---

<sup>(a)</sup> Purchased options are included within net realized gain (loss) on investments and net change in unrealized appreciation/depreciation on investments.

The average monthly notional amount is shown as an indicator of volume. The average monthly notional amounts during the year ended December 31, 2025 were:

---

| | | |
|:---|:---|:---|
|  | **Average Notional Amount**  | **Average Notional Amount**  |
|  | **Long Contracts** | **Short Contracts**  |
| **LoCorr Hedged Core Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $75529717 | $80516554  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | 194402387 | 113182374  |
| &nbsp;&nbsp;&nbsp; Swap Contracts | 44043456 | —  |
| **LoCorr Long/Short Commodities Strategy Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Swap Contracts | $113703531 | $—  |
| **LoCorr Macro Strategies Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $1039924917 | $1138335643  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | 2602214650 | 1581788875  |
| **LoCorr Market Trend Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | $259335355 | $306694503  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | 915161007 | 465569779  |

---

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **Average Notional Amount**  | **Average Notional Amount**  |
|  | **Long Contracts** | **Short Contracts**  |
| **LoCorr Spectrum Income Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Options<sup>(a)</sup> | &nbsp;&nbsp; $34420000 | &nbsp;&nbsp; $6013685  |
| **LoCorr Strategic Allocation Fund**<br>|  |  |
| &nbsp;&nbsp;&nbsp; Forward Currency Contracts | &nbsp;&nbsp; $20526319 | &nbsp;&nbsp; $18229152  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | &nbsp;&nbsp; 66772401 | &nbsp;&nbsp; 56248279 |

---

<sup>(a)</sup> Represents an average of each month the Fund held purchased or written options.

The swap contracts and the commodity-related futures contracts reported in the tables in Note 3 represent balances and activity of each Fund's respective wholly-owned and controlled subsidiary. See Note 2.

Please refer to the Funds' prospectus for a full listing of risks associated with these investments.

4. Investment Transactions

The cost of security purchases and proceeds from security sales, excluding short-term investments, derivative instruments, short sales and purchases to cover short sales, for the year ended December 31, 2025, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **U.S. Government Obligations** | **U.S. Government Obligations** | **All Other**  | **All Other**  |
|  | **Purchases** | **Sales** | **Purchases** | **Sales**  |
| LoCorr Dynamic Opportunity Fund | $— | $— | $392113097 | $404803053  |
| LoCorr Hedged Core Fund | 142474440 | 90878969 | 123581934 | 40635265  |
| LoCorr Long/Short Commodities Strategy Fund | 112093507 | 121555729 | 85661140 | 222862024  |
| LoCorr Macro Strategies Fund | 458396994 | 507859037 | 371851001 | 416029193  |
| LoCorr Market Trend Fund | 137245871 | 154961187 | 66933936 | 111658950  |
| LoCorr Spectrum Income Fund |  |  | 45515069 | 48446503  |
| LoCorr Strategic Allocation Fund |  |  | 40247170 | 13546154 |

---

5. Management Fees and Other Transactions with Affiliates

Management Agreement

The Trust has a Management Agreement with the Adviser, with whom certain ofﬁcers and Trustees of the Funds are afﬁliated, to furnish investment advisory services to the Funds. Pursuant to the Management Agreement, the Adviser is entitled to receive a fee, paid monthly, as follows:

---

| | |
|:---|:---|
| **Fund** | **Annual Advisory Fee as a Percentage of** <br>**the Average Daily Net Assets of the Fund**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%  |
| LoCorr Hedged Core Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%  |
| LoCorr Macro Strategies Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%  |
| LoCorr Market Trend Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%  |
| LoCorr Strategic Allocation Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.24% |

---

Pursuant to the Management Agreement, the Adviser is entitled to receive a fee, paid monthly, in accordance with the Incremental Advisory Fee schedule below based on the LoCorr Long/Short Commodities Strategy Fund's average daily net assets.

---

| | |
|:---|:---|
| **Net Assets for the LoCorr Long/Short Commodities Strategy Fund** | **Incremental** <br>**Advisory Fee\***  |
| $0.0 - $0.5 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.50%  |
| $0.5 - $1.0 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.40%  |
| $1.0 - $1.5 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.30%  |

---

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | |
|:---|:---|
| **Net Assets for the LoCorr Long/Short Commodities Strategy Fund** | **Incremental** <br>**Advisory Fee\***  |
| $1.5 - $2.0 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.20%  |
| $2.0 - $2.5 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.10%  |
| Over $2.5 billion | &nbsp;&nbsp;&nbsp;&nbsp; 1.00% |

---

\* Incremental advisory fee represents the fees paid on net assets at the related net asset level. For example, with $3 billion in net assets in the Fund, the Adviser would earn 1.50% on the ﬁrst $500 million, plus 1.40% on the next $500 million, plus 1.30% on the next $500 million, plus 1.20% on the next $500 million, plus 1.10% on the next $500 million, plus 1.00% on the ﬁnal $500 million. 

As of and for the year ended December 31, 2025, the Funds reported the following in regards to management fees:

---

| | | |
|:---|:---|:---|
| **Fund** | **Management Fees** <br>**For the Year Ended** <br>**December 31, 2025** | **Accrued Net** <br>**Management** <br>**Fees as of** <br>**December 31, 2025**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp;&nbsp; $612616 | &nbsp;&nbsp;&nbsp; $23623  |
| LoCorr Hedged Core Fund | &nbsp;&nbsp;&nbsp; 3248662 | &nbsp;&nbsp;&nbsp; 270096  |
| LoCorr Long/Short Commodities Strategy Fund | &nbsp;&nbsp;&nbsp; 6982808 | &nbsp;&nbsp;&nbsp; 481529  |
| LoCorr Macro Strategies Fund | &nbsp;&nbsp;&nbsp; 25649201 | &nbsp;&nbsp;&nbsp; 2094904  |
| LoCorr Market Trend Fund | &nbsp;&nbsp;&nbsp; 4639257 | &nbsp;&nbsp;&nbsp; 362085  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp;&nbsp; 939154 | &nbsp;&nbsp;&nbsp; 68305  |
| LoCorr Strategic Allocation Fund | &nbsp;&nbsp;&nbsp; 449051 | &nbsp;&nbsp;&nbsp; 76110 |

---

**Sub-Advisory Agreements** 

Sub-advisory services are provided to the Funds, pursuant to agreements between the Adviser and the below listed sub- advisers. Under the terms of these sub-advisory agreements, the Adviser compensates the sub-advisers based on the portion of each Fund's average daily net assets which they have been allocated to manage.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; **LoCorr Dynamic Opportunity Fund:**<br>**Kettle Hill Capital Management, LLC**<br>**LoCorr Hedged Core Fund:** <br>**Graham Capital Management, L.P.** <br>**Millburn Ridgefield Corporation** <br>**Nuveen Asset Management, LLC**<br>**Revolution Capital Management LLC**<br>**R.G. Niederhoffer Capital Management** <br>**LoCorr Long/Short Commodities Strategy Fund:**<br>**Nuveen Asset Management, LLC** <br>**LoCorr Macro Strategies Fund:** <br>**Graham Capital Management, L.P.** <br>**Millburn Ridgefield Corporation**<br>**Nuveen Asset Management, LLC**<br>**Revolution Capital Management, LLC**<br>**R.G. Niederhoffer Capital Management**  | &nbsp;&nbsp;&nbsp; **LoCorr Market Trend Fund:** <br>**Graham Capital Management, L.P.** <br>**Nuveen Asset Management, LLC** <br>**LoCorr Spectrum Income Fund:** <br>**Bramshill Investments, LLC** <br>**LoCorr Strategic Allocation Fund:** <br>**Crabel Capital Management, LLC** <br>**P/E Global, LLC** <br>**DG Partners LLP** <br>**Parametric Portfolio Associates, LLC** |

---

The Adviser is solely responsible for the payment of the sub-adviser's fees, and the sub-adviser agrees not to seek payment of its fees from the Trust or the Funds.

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

Expense Limitation Agreement

The Funds' Adviser has contractually agreed to waive management fees and/or reimburse the Funds for expenses they incur, but only to the extent necessary to maintain the Funds' total annual operating expenses after fee waiver and/or reimbursement (excluding any Rule 12b-1 distribution and/or servicing fees, taxes, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividend expenses on short sales, swap fees, indirect expenses, expenses of other investment companies in which the Funds may invest, or extraordinary expenses such as litigation expenses and inclusive of offering and organizational costs incurred prior to the commencement of operations) at the percentages listed below:

---

| | | |
|:---|:---|:---|
| **Fund** | **Expense Limit as a** <br>**Percentage of the Average Daily** <br>**Net Assets of the Fund** | **Effective Period Through**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.99% | April 30, 2026  |
| LoCorr Hedged Core Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.83% | April 30, 2026  |
| LoCorr Long/Short Commodities Strategy Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95% | April 30, 2026  |
| LoCorr Macro Strategies Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.99% | April 30, 2026  |
| LoCorr Market Trend Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95% | April 30, 2026  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80% | April 30, 2026  |
| LoCorr Strategic Allocation Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.59% | April 30, 2026 |

---

Any waiver or reimbursement is subject to repayment by the respective Fund within the three ﬁscal years following the ﬁscal year in which the expenses occurred if the Fund is able to make the repayment without exceeding its current expense limitation and the expense limitation at the time of the waiver and the repayment is approved by the Board.

The total amounts of management fees waived and/or expenses reimbursed which are subject to recovery, and their related expiration date are as follows:

**LoCorr Dynamic Opportunity Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Recovery to Adviser** | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31,**  |
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Year Ended** <br>**December 31, 2025**  | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31,**  |
| Year Ended December 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp; $(130723) | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(130723) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2028  |
| Year Ended December 31, 2024 | &nbsp;&nbsp;&nbsp;&nbsp; (110435) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (110435) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2027  |
| Year Ended December 31, 2023 | &nbsp;&nbsp;&nbsp;&nbsp; (50998) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (50998) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  |
| **Total** | &nbsp;&nbsp;&nbsp;&nbsp; $(292156) | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(292156) |  |

---

**LoCorr Hedged Core Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Recovery to Adviser** | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Year Ended** <br>**December 31, 2025**  | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| Year Ended December 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp; $(87470) | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(87470) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2028 |
| Year Ended December 31, 2024 | &nbsp;&nbsp;&nbsp;&nbsp; (178397) | &nbsp;&nbsp;&nbsp;&nbsp; 23796 | &nbsp;&nbsp;&nbsp;&nbsp; (154601) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2027  |
| **Total** | &nbsp;&nbsp;&nbsp;&nbsp; $(265867) | &nbsp;&nbsp;&nbsp;&nbsp; $23796 | &nbsp;&nbsp;&nbsp;&nbsp; $(242071) |  |

---

**LoCorr Spectrum Income Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Recovery to Adviser** | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Year Ended** <br>**December 31, 2025**  | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| Year Ended December 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp; $(36151) | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(36151) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2028  |
| Year Ended December 31, 2024 | &nbsp;&nbsp;&nbsp;&nbsp; (16242) |  | &nbsp;&nbsp;&nbsp;&nbsp; (16242) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2027 |
| **Total** | &nbsp;&nbsp;&nbsp;&nbsp; $(52393) | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(52393) |  |

---

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**LoCorr Strategic Allocation Fund** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Recovery to Adviser** | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| **Period** | **Management Fees** <br>(Waived) by Adviser <br>**Subject to Recovery**  | **Year Ended** <br>**December 31, 2025**  | **Remaining Available** <br>**Subject to Recovery** | **Subject to Recovery** <br>**on or Before Fiscal** <br>**Year Ending December 31**  |
| Year Ended December 31, 2025 | &nbsp;&nbsp;&nbsp;&nbsp; $(352082) | &nbsp;&nbsp;&nbsp;&nbsp; $11151 | &nbsp;&nbsp;&nbsp;&nbsp; $(340931) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2028  |
| **Total** | &nbsp;&nbsp;&nbsp;&nbsp; $(352082) | &nbsp;&nbsp;&nbsp;&nbsp; $11151 | &nbsp;&nbsp;&nbsp;&nbsp; $(340931) |  |

---

For the year ended December 31, 2022, fees waived by the Adviser for the LoCorr Dynamic Opportunity Fund totaling $154,575, expired on December 31, 2025 and are no longer eligible for recovery by the Adviser.

At December 31, 2025, there were no fees subject to recovery for the LoCorr Long/Short Commodities Strategy Fund, the LoCorr Macro Strategies Fund, or the LoCorr Market Trend Fund.

Rule 12b-1 Distribution Agreement

The Funds have entered into a Rule 12b-1 distribution agreement with Quasar Distributors, LLC ("Quasar"). Class A shareholders pay distribution expenses to Quasar at the annual rate not to exceed 0.25% of the Fund's average daily net assets. Class C shareholders pay to Quasar an annual rate not to exceed 1.00%, which is comprised of 0.75% in distribution expenses and 0.25% in service fees, of the Fund's average daily net assets. Class I shareholders pay no 12b-1 fees.

Sales Charges

Contingent deferred sales charges ("CDSC") do not represent expenses of the Fund. They are deducted from the proceed of sales of Fund shares from redemption proceeds prior to remittance. The CDSC retained by the Distributor on the redemption of shares is shown in the following table for the year ended December 31, 2025.

---

| | | |
|:---|:---|:---|
| **Fund**  | **Class A CDSC** <br>**Retained by** <br>**Distributor** | **Class C CDSC** <br>**Retained by** <br>**Distributor**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $—  |
| LoCorr Hedged Core Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; N/A  |
| LoCorr Long/Short Commodities Strategy Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 844  |
| LoCorr Macro Strategies Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 782  |
| LoCorr Market Trend Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 1671  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 498  |
| LoCorr Strategic Allocation Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; N/A |

---

6. Fund Shares

At December 31, 2025, there were an unlimited number of shares of beneﬁcial interest authorized.

**Conversion Feature** 

Class C shares purchased directly from the Funds or through a financial intermediary, except as otherwise disclosed in the Funds' prospectus, automatically convert to Class A shares in the month of the 8-year anniversary date of the purchase of the Class C shares, based on the relative NAV of each such class without the imposition of any sales charge, fee or other charge.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

7. Federal Tax Information

The components of cost and accumulated earnings (losses) on a tax basis as of tax year end December 31, 2025 were as follows<sup>(1)</sup>:

---

| | | |
|:---|:---|:---|
|  | **LoCorr Dynamic** <br>**Opportunity Fund** | **LoCorr Spectrum** <br>**Income Fund**  |
| Tax cost of portfolio | &nbsp;&nbsp; $21150960 | $54831947  |
| Gross unrealized appreciation | &nbsp;&nbsp; $955586 | $13571060  |
| Gross unrealized depreciation | &nbsp;&nbsp; (1756291) | (2882319)  |
| Net unrealized depreciation | &nbsp;&nbsp; (800705) | 10688741  |
| Undistributed ordinary income | &nbsp;&nbsp; 42397 | —  |
| Undistributed long-term capital gains | &nbsp;&nbsp; — | —  |
| Total earnings accumulated | &nbsp;&nbsp; 42397 | —  |
| Other accumulated losses | &nbsp;&nbsp; (552728) | (46110182)  |
| Total distributable earnings (accumulated losses) | &nbsp;&nbsp; $(1311036) | $(35421441) |

---

At December 31, 2025, the components of cost and unrealized appreciation/depreciation on a tax basis for tax year end September 30, 2025 were as follows<sup>(1)</sup>:

---

| | | | |
|:---|:---|:---|:---|
|  | **LoCorr Hedged** <br>**Core Fund<sup>(2)</sup>** | **LoCorr Long/Short** <br>**Commodities** <br>**Strategy Fund<sup>(2)</sup>** | **LoCorr Macro** <br>**Strategies Fund<sup>(2)</sup>**  |
| Tax cost of portfolio | $239666489 | &nbsp;&nbsp; $440414548 | $1309647061  |
| Gross unrealized appreciation | $6048520 | &nbsp;&nbsp; $10919885 | $45757721  |
| Gross unrealized depreciation | (7788139) | &nbsp;&nbsp; (11900815) | (22270114)  |
| Net unrealized depreciation | (1739619) | &nbsp;&nbsp; (980930) | 23487607 |

---

---

| | | |
|:---|:---|:---|
|  | **LoCorr Market** <br>**Trend Fund<sup>(2)</sup>** | **LoCorr Strategic** <br>**Allocation Fund<sup>(2)</sup>**  |
| Tax cost of portfolio | $228931490 | &nbsp;&nbsp; $26379324  |
| Gross unrealized appreciation | $20786786 | &nbsp;&nbsp; $6095290  |
| Gross unrealized depreciation | (12559711) | &nbsp;&nbsp; (1510278)  |
| Net unrealized appreciation | 8227075 | &nbsp;&nbsp; 4585012 |

---

The components of distributable earnings on a tax basis for tax year end September 30, 2025 were as follows<sup>(1)</sup>:

---

| | | | |
|:---|:---|:---|:---|
|  | **LoCorr Hedged** <br>**Core Fund<sup>(2)</sup>** | **LoCorr Long/Short** <br>**Commodities** <br>**Strategy Fund<sup>(2)</sup>** | **LoCorr Macro** <br>**Strategies Fund<sup>(2)</sup>**  |
| Undistributed ordinary income | $3705359 | &nbsp;&nbsp; $6251722 | $36629444  |
| Undistributed long-term capital gains |  | &nbsp;&nbsp; — | —  |
| Total earnings accumulated | 3705359 | &nbsp;&nbsp; 6251722 | 36629444  |
| Other accumulated losses | (2899330) | &nbsp;&nbsp; (21697447) | (245673741)  |
| Unrealized appreciation/(depreciation) on investments | (111823) | &nbsp;&nbsp; 1579746 | 39683330  |
| Total distributable earnings (accumulated losses) | $694206 | &nbsp;&nbsp; $(13865979) | $(169360967) |

---

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**[**TABLE OF CONTENTS**](#TOC)**

**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

---

| | | |
|:---|:---|:---|
|  | **LoCorr Market** <br>**Trend Fund<sup>(2)</sup>** | **LoCorr Strategic** <br>**Allocation Fund<sup>(2)</sup>**  |
| Undistributed ordinary income | $5550680 | &nbsp;&nbsp; $492046  |
| Undistributed long-term capital gains |  | &nbsp;&nbsp; —  |
| Total earnings accumulated | 5550680 | &nbsp;&nbsp; 492046  |
| Other accumulated losses | (75277594) | &nbsp;&nbsp; (2331291)  |
| Unrealized appreciation/(depreciation) on investments | 15403483 | &nbsp;&nbsp; 3773228  |
| Total distributable earnings (accumulated losses) | $(54323431) | &nbsp;&nbsp; $1933983 |

---

<sup>(1)</sup> Total Portfolio represents aggregate amounts of Fund's investments, securities sold short, forward currency contracts and futures contracts, where applicable.

<sup>(2)</sup> Tax Cost is presented on a non-consolidated basis and includes each of the Fund's investment in the respective CFC's and the unrealized appreciation and depreciation associated with those investments.

Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributed primarily to the tax deferral of losses on wash sales, mark to market, investments in partnerships and other temporary differences.

The following reclassifications were made within the components of net assets as of December 31, 2025:

---

| | | |
|:---|:---|:---|
|  | **Total Distributable** <br>**Earnings/** <br>**(Accumulated Loss)** | **Paid-in Capital**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp;&nbsp; $1122 | $(1122)  |
| LoCorr Hedged Core Fund<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 587316 | (587316)  |
| LoCorr Long/Short Commodities Strategy Fund<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 15908071 | (15908071)  |
| LoCorr Macro Strategies Fund<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 3514592 | (3514592)  |
| LoCorr Market Trend Fund<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 3555142 | (3555142)  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp;&nbsp; 370858 | (370858)  |
| LoCorr Strategic Allocation Fund<sup>(a)</sup> | &nbsp;&nbsp;&nbsp; 391578 | (391578) |

---

<sup>(a)</sup> Reclassification adjustments are based on tax year ended September 30, 2025.

The LoCorr Dynamic Opportunity Fund's reclassifications are primarily the result of prior year true-ups.

The LoCorr Hedged Core Fund's reclassifications are primarily attributable to certain reclassifications related to the Fund's wholly-owned subsidiary.

The LoCorr Long/Short Commodities Strategy Fund's reclassifications are primarily attributable to certain reclassifications related to the Fund's wholly-owned subsidiary.

The LoCorr Macro Strategies Fund's reclassifications are primarily attributable to certain reclassifications related to the Fund's wholly-owned subsidiary.

The LoCorr Market Trend Fund's reclassifications are primarily attributable to certain reclassifications related to the Fund's wholly-owned subsidiary.

The LoCorr Spectrum Income Fund's reclassifications are primarily attributable to certain reclassifications related to prior year true-ups.

The LoCorr Strategic Allocation Fund's reclassifications are primarily attributable to certain reclassifications related to the Fund's wholly-owned subsidiary.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. The Funds elected to defer no capital losses for the tax years ended September 30, 2025 and December 31, 2025.

---

| | | |
|:---|:---|:---|
|  | **Post October** <br>**Loss Deferral** | **Late Year** <br>**Loss Deferral**  |
| LoCorr Dynamic Opportunity Fund | &nbsp;&nbsp; $— | &nbsp;&nbsp; $—  |
| LoCorr Hedged Core Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; —  |
| LoCorr Long/Short Commodities Strategy Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; —  |
| LoCorr Macro Strategies Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; —  |
| LoCorr Market Trend Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; —  |
| LoCorr Spectrum Income Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; —  |
| LoCorr Strategic Allocation Fund | &nbsp;&nbsp; — | &nbsp;&nbsp; — |

---

At tax years ended September 30, 2025 and December 31, 2025, non-expiring capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:

---

| | | |
|:---|:---|:---|
|  | **Capital Loss Carryover** | **Capital Loss Carryover** |
|  | **Short-Term** | **Long-Term**  |
| LoCorr Dynamic Opportunity Fund<sup>(a)</sup> | $430269 | $84089 |
| LoCorr Hedged Core Fund<sup>(b)</sup> | 586567 | 1945005 |
| LoCorr Long/Short Commodities Strategy Fund<sup>(b)</sup> | 8335900 | 13361547 |
| LoCorr Macro Strategies Fund<sup>(b)</sup> | 98825909 | 142501802 |
| LoCorr Market Trend Fund<sup>(b)</sup> | 29127243 | 44417272 |
| LoCorr Spectrum Income Fund<sup>(a)</sup> | 19644948 | 25532096 |
| LoCorr Strategic Allocation Fund<sup>(b)</sup> | 1222705 | 962608 |

---

<sup>(a)</sup> Tax year ended December 31, 2025

<sup>(b)</sup> Tax year ended September 30, 2025

During the year ended December 31, 2025, the LoCorr Long/Short Commodities Strategy Fund and the LoCorr Spectrum Income Fund utilized unlimited capital loss carryover of $976,377 and $1,187,291 respectively. The LoCorr Dynamic Opportunity Fund, LoCorr Hedged Core Fund, The LoCorr Macro Strategies Fund, the LoCorr Market Trend Fund and the LoCorr Strategic Allocation did not utilize any capital loss carryovers.

8. Line of Credit

The Trust entered into an unsecured, uncommitted Loan Agreement ("Line of Credit" or "LOC") with U.S. Bank not individually but as an umbrella facility on behalf of the Funds in the Trust. The LOC expires on March 4, 2026. The LOC was established to provide the Funds a temporary short-term liquidity source, subject to certain restrictions, covenants and the right of setoff on the Funds' assets, to meet unanticipated redemptions. Under terms of the LOC, borrowings for each Fund are limited to the lesser of one-third of the net unencumbered assets (including the amount borrowed) of the respective Fund, 5% of the gross assets of the respective Fund or $50 million in the aggregate for all of the Funds under this agreement. U.S. Bank, N.A. charges an interest rate per annum equal to the Prime Rate (6.75% as of December 31, 2025).

The Funds did not utilize the Line of Credit for the year ended December 31, 2025.

9. Subsequent Events

In preparing the ﬁnancial statements, the Adviser has evaluated events after December 31, 2025.

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**LoCorr Investment Trust** 

**Notes to the Financial Statements** 

**December 31, 2025(Continued)** 

**Declaration of Dividends** 

The LoCorr Spectrum Income Fund declared the following ordinary income distributions:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Dividend Declaration Date<sup>(a)</sup>**  | **Shareholder of**<br>**Record Date**  | **Distribution Amount per Share Class**  | **Distribution Amount per Share Class**  | **Distribution Amount per Share Class**  |
| **Dividend Declaration Date<sup>(a)</sup>**  | **Shareholder of**<br>**Record Date**  | **Class A** | **Class C** | **Class I**  |
| January 30, 2026 | January 29, 2026 | $0.03860 | $0.03470 | $0.04000  |
| February 27, 2026 | February 26, 2026  | $0.03860  | $0.03470  | $0.04000 |

---

<sup>(a)</sup> Ex-date, reinvest date and payable date.

The estimated characterization of the distributions paid will be an ordinary dividend, qualiﬁed dividend or return of capital. See Note 2 for additional information.

There were no additional subsequent events since December 31, 2025, through the date the ﬁnancial statements were issued that would require adjustments to or additional disclosure in these ﬁnancial statements.

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**LoCorr Investment Trust** 

**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM** 

To the Shareholders and Board of Trustees of

LoCorr Investment Trust

<u>Opinion on the Financial Statements</u>

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, written options, forward currency contracts, futures contracts, swap contracts, and securities sold short (as applicable), of LoCorr Investment Trust comprising the funds listed below (the "Funds") as of December 31, 2025, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2025, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below, in conformity with accounting principles generally accepted in the United States of America.

---

| | | | |
|:---|:---|:---|:---|
| **Fund Name** | **Statements of** <br>**Operations** | **Statements of** <br>**Changes in Net Assets** | **Financial Highlights**  |
| <br> LoCorr Macro Strategies Fund<sup>\*</sup>, LoCorr Long/Short Commodities Strategy Fund<sup>\*</sup>, and LoCorr Market Trend Fund<sup>\*</sup><br>| For the year ended December 31, 2025 | For each of the two years in the period ended December 31, 2025 | For each of the five years in the period ended December 31, 2025  |
| LoCorr Dynamic Opportunity Fund and LoCorr Spectrum Income Fund | For the year ended December 31, 2025 | For each of the two years in the period ended December 31, 2025 | For each of the five years in the period ended December 31, 2025  |
| LoCorr Hedged Core Fund<sup>\*</sup> | For the year ended December 31, 2025 | For the year ended December 31, 2025 and the period from July 10, 2024 (commencement of operations) through December 31, 2024  | For the year ended December 31, 2025 and the period from July 10, 2024 (commencement of operations) through December 31, 2024  |
| LoCorr Strategic Allocation Fund<sup>\*</sup> | For the period from January 8, 2025 (commencement of operations) through December 31, 2025 | For the period from January 8, 2025 (commencement of operations) through December 31, 2025 | For the period from January 8, 2025 (commencement of operations) through December 31, 2025 |

---

<sup>\*</sup> The financial statements referred to throughout are consolidated.

<u>Basis for Opinion</u>

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2025, by correspondence with the custodian, brokers, and underlying fund sponsor; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

147<br>

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**LoCorr Investment Trust** 

**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM(Continued)** 

We have served as the Funds' auditor since 2011**.**

![](wilson_signx1.jpg)

COHEN & COMPANY, LTD.

Greenwood Village, CO

February 27, 2026

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**[**TABLE OF CONTENTS**](#TOC)**

**LOCORR INVESTMENT TRUST** 

**Portfolio Holdings Disclosure (Unaudited)** 

The Funds file a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission (the "SEC") for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds' Part F of Form N-PORT are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Part F of Form N-PORT may also be obtained by calling toll-free 1-855-523-8637.

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**LOCORR INVESTMENT TRUST** 

**Proxy voting policies, procedures and record (Unaudited)** 

You may obtain a description of the Funds' (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Funds voted any proxies related to portfolio securities during the most recent 12-month period ended December 31 for which an SEC filing has been made, without charge, upon request by contacting the Funds directly at 1-855-523-8637, or on the EDGAR Database on the SEC's website (http:// www.sec.gov).

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**LoCorr Investment Trust** 

**QUALIFIED DIVIDEND INCOME ("QDI")/DIVIDENDS RECEIVED DEDUCTION ("DRD") (Unaudited)** 

**Qualified Dividend Income/Dividends Received Deduction**

For the fiscal year ended December 31, 2025, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and growth Tax Relief Reconcilliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified income was as follows:

---

| | |
|:---|:---|
|  | **QDI %** |
| LoCorr Macro Strategies Fund  | 0.00%  |
| LoCorr Long/Short Commodities Strategy Fund  | 0.00%  |
| LoCorr Dynamic Equity Fund  | 5.21%  |
| LoCorr Market Trends Fund  | 0.00%  |
| LoCorr Spectrum Income Fund  | 30.46%  |
| LoCorr Hedged Core Fund  | 0.00%  |
| LoCorr Strategic Allocation Fund  | 0.00% |

---

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2025 was as follows:

---

| | |
|:---|:---|
|  | **DRD %**  |
| LoCorr Macro Strategies Fund  | 0.00%  |
| LoCorr Long/Short Commodities Strategy Fund  | 0.00%  |
| LoCorr Dynamic Equity Fund  | 5.21%  |
| LoCorr Market Trends Fund  | 0.00%  |
| LoCorr Spectrum Income Fund  | 13.70%  |
| LoCorr Hedged Core Fund  | 0.00%  |
| LoCorr Strategic Allocation Fund  | 0.00% |

---

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**LoCorr Investment Trust** 

**Additional Information (Unaudited)** 

**The below information is required disclosure from Form N-CSR**

**Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.** 

There were no changes in or disagreements with accountants during the period covered by this report.

**Item 9. Proxy Disclosure for Open-End Investment Companies.** 

There were no matters submitted to a vote of shareholders during the period covered by this report.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.** 

Refer to information provided within financial statements.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.** 

**Review of Management and Sub-Advisory Agreements** 

Counsel then referred the Trustees to Section 6 of the Board materials for the approval and renewal of the investment advisory and sub-advisory agreements.

The Trustees reviewed the memorandum provided by Counsel which had been provided to them prior to the meeting entitled, "Duties of Trustees with Respect to Approval and Renewal of Investment Advisory and Sub-Advisory Contracts". The Trustees, including a majority of the Trustees who are not "interested persons" of the Trust within the meaning of the 1940 Act (the "Independent Trustees"), reviewed the various factors relevant to its consideration of the management agreement and the various subadvisory agreements and the legal responsibilities of the Trustees related to such consideration. These factors included the following:

&nbsp;&nbsp;&nbsp;&nbsp;• The nature, extent and quality of the services
 provided by the investment adviser to the fund;

&nbsp;&nbsp;&nbsp;&nbsp;• The investment performance of the fund and the
 investment adviser;

&nbsp;&nbsp;&nbsp;&nbsp;• The costs of the services to be provided and
 the profits to be realized by the adviser and its affiliates from the relationship with the fund;

&nbsp;&nbsp;&nbsp;&nbsp;• The extent to which economies of scale will be
 realized as the fund grows; and

&nbsp;&nbsp;&nbsp;&nbsp;• Whether the fee levels reflect these economies
 of scale to the benefit of the shareholders.

The Trustees reviewed the responses to the 15(c) questionnaires and the management and sub-advisory agreements prior to the Meeting.

**Approval of Advisory Agreement** 

The Trustees considered the nature, extent and quality of services to be provided to the LSA Fund and reviewed the 15(c) responses, which included a review of the key personnel of the Adviser. Counsel noted for the Trustees that there had not been any material changes in the Adviser's personnel in the past year.

The Trustees reviewed the Adviser's investment program for the LSA Fund its investment objective. A representative of the Adviser indicated that the Adviser oversees and continually evaluates subadvisers and that the Adviser also will provide overall portfolio and risk management consistent with the Fund's investment strategy, guidelines and limitations.

Counsel stated that there had not been any recent litigations or examinations of the Adviser by any regulatory body. After a discussion, the Trustees concluded that the Adviser continues to be well resourced with experienced personnel and investment expertise and has provided, and is expected to provide, high quality services to the Funds and their respective shareholders.

A representative from the Adviser reviewed the Adviser's financial statements and insurance policy with the Trustees. The Trustees concluded that, based on their review of the Adviser's financial statements and discussions with the Adviser, the Adviser has sufficient resources to provide advisory services to each of the Funds.

The representative of the Adviser reviewed the Trust's compliance policies and procedures and Adviser's code of ethics. Counsel noted for the Board that the Adviser's codes of ethics had been recently revised to cover personal trading in bitcoin and ether futures. The Board noted that there had not been any compliance issues with respect to the Adviser's

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**LoCorr Investment Trust** 

**Additional Information (Unaudited)(Continued)** 

management of other Funds. After a discussion, the Trustees concluded that the Adviser had compliance policies and procedures in place in order to perform its duties under the management agreements for the LSA Fund.

With respect to the LSA Fund, the Trustees noted the successful implementation of similar strategies for other Funds in the Trust, nothing that as a new fund, the LSA Fund did not have any performance of its own.

The Board then reviewed the proposed management fee for the LSA Fund. The Trustees noted that the proposed management fee was 1.19%. The Trustees reviewed the relevant peer group and Morningstar category averages and ranges of management fees, noting that the proposed management fee for the LSA Fund was well below the Peer Group average and within the ranges of each comparison. After a discussion, the Trustees determined that the proposed management fee was reasonable.

**Approval of Sub-Advisory Agreements** 

P/E Investments, LLC ("P/E"), Sub-Adviser (LSA Fund & LCSA Fund Limited)

The Trustees then considered the responses provided by P/E Investments ("P/E") in its 15(c) questionnaire. The Board first reviewed the nature, extent and quality of services to be provided by P/E to the LSA Fund. Counsel and a representative of the Adviser reviewed the personnel that would be responsible for providing services to the LSA Fund. Counsel further noted that P/E did not report having any recent compliance or litigation issues in the past 36 months. The Trustees noted that the Trust's CCO provided a memo in the Materials that he had reviewed the compliance program for P/E and concluded that it was reasonable designed for its business. The Board observed that P/E had appropriate insurance policies in place.

The Board then reviewed P/E's performance for the strategy it intended to use for the LSA Fund. The Trustees noted the attractive historical returns of the strategy. After a discussion, the Trustees concluded that it expected P/E to provide satisfactory performance for the Fund.

Counsel then directed the Trustees to information related to P/E's proposed subadvisory fee, noting that P/E did not report managing any similar accounts or funds. The Trustees then reviewed P/E's estimated profits with respect to the LSA Fund. After a discussion, the Trustees agreed that the subadvisory fee and P/E's estimated profitability with respect to the LSA Fund was reasonable.

Having requested and received such information from P/E as the Trustees believed to be reasonably necessary to evaluate the terms of the subadvisory agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that renewal of the subadvisory agreement with P/E for the LSA Fund is in the best interests of the Fund and its future shareholders.

Crabel Capital Management, LLC ("Crabel"), Sub-Adviser (LSA Fund & LCSA Fund Limited)

The Trustees reviewed the responses provided by Crabel Capital Management ("Crabel") in its 15(c) subadvisory questionnaire. The Trustees considered the nature, extent and quality of services to be provided by Crabel to the LSA Fund using its Advanced Trend trading program. A representative of the Adviser reviewed the personnel that would be responsible for providing subadvisory services to the Fund. Counsel reported to the Trustees that Crabel did not report having any recent compliance or litigation issues in the past 36 months. The Board discussed that Crabel had recently undergone a routine NFA examination but that no results had yet been reported. The Trustees noted that the Trust's CCO provided a memo in the Materials that he had reviewed the compliance program for Crabel and concluded that it was reasonable designed for its business. A representative of the Adviser indicated that it would keep the Board informed as to any material issues that arose from the NFA examination. Counsel reviewed the insurance policies in place for Crabel with the Board.

The Board then reviewed Crabel's performance for the trading strategy it intended to use for the LSA Fund against its chosen benchmark index. The Trustees noted the attractive returns of the strategy over the 5 -year, 10-year and since inception periods. After a discussion, the Trustees concluded that it expected Crabel to provide satisfactory performance for the Fund.

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**LoCorr Investment Trust** 

**Additional Information (Unaudited)(Continued)** 

The Trustees then reviewed information related to Crabel's proposed subadvisory fee, noting the higher fees Crabel charged for similar accounts. The Trustees then considered Crabel's estimated profits with respect to the LSA Fund. After a discussion, the Trustees agreed that the proposed subadvisory fee and Crabel's estimated profitability with respect to the LSA Fund was reasonable.

Having requested and received such information from Crabel as the Trustees believed to be reasonably necessary to evaluate the terms of the subadvisory agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that renewal of the subadvisory agreement with Crabel for the LSA Fund is in the best interests of the Fund and its future shareholders.

Parametric Portfolio Associates, LLC ("Parametric"), Sub-Adviser (LSA Fund & LCSA Fund Limited)

The Trustees then considered the responses provided by Parametric Portfolio Associates ("Parametric") in its 15(c) questionnaire. The Board first reviewed the nature, extent and quality of services to be provided by Parametric to the LSA Fund. The Trustees noted that Parametric was an indirect subsidiary of Morgan Stanley. A representative of the Adviser reviewed Parametric's investment strategy and its personnel that would be responsible for providing services to the LSA Fund. After a discussion, the Board noted that the key individuals at Parametric were well-qualified and had extensive industry experience. Counsel further noted that P/E did not report having any recent material compliance or litigation issues in the past 36 months. The Trustees noted that the Trust's CCO provided a memo in the Materials that he had reviewed the compliance program for Parametric and concluded that it was reasonable designed for its business. The Board further observed that Parametric had appropriate insurance policies in place.

The Board then reviewed Parametric's composite performance for the strategy it intended to use for the LSA Fund. The Trustees noted the historical returns of the strategy, noting that they were essentially in line with its benchmark. After a discussion, the Trustees concluded that it expected Parametric to provide satisfactory performance for the Fund.

Counsel then directed the Trustees to information related to Parametric's proposed tiered subadvisory fee, noting that Parametric has represented that such fees were comparable to those charged to other similar subadvisory clients. The Trustees then reviewed Parametric's estimated profits with respect to the LSA Fund. After a discussion, the Trustees agreed that the subadvisory fee and Parametric's estimated profitability with respect to the LSA Fund was reasonable.

Having requested and received such information from Parametric as the Trustees believed to be reasonably necessary to evaluate the terms of the subadvisory agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that renewal of the subadvisory agreement with Parametric for the LSA Fund is in the best interests of the Fund and its future

DG Partners LLP ("DG"), Sub-Adviser (LSA Fund & LCSA Fund Limited)

The Board of Trustees then considered the responses provided by DG Partners LLP ("DG") in its 15(c) questionnaire. The Board noted that DG was an affiliate of one of the Fund's current subadvisers, BH-DG Systematic Trading LLP ("BHDG"), and that DG would be using the same personnel and resources as BHDG had been employing since the Fund's inception. The Board evaluated the nature, extent and quality of services to be provided by DG to the LSA Fund, reviewing the investment and compliance personnel that would be responsible for providing services to the Fund. Counsel further noted that DG did not report having any recent compliance, regulatory or litigation issues in the past 36 months. The Trustees noted that the Trust's CCO provided a memo in the Materials that he had reviewed the compliance program for DG and concluded that it was reasonably designed for its business.

The Trustees reviewed the subadvisers' performance since the Fund's since inception, noting that the Fund had not yet completed one year of operations. After a discussion, the Trustees concluded that it expected DG to provide satisfactory performance for the Fund.

Counsel then directed the Trustees to information related to DG's subadvisory fee with the Board observing that the proposed fee was favorable compared the fee charged by DG to its private fund. The Trustees then reviewed DG's estimated profits with respect to the LSA Fund. After a discussion, the Trustees agreed that the subadvisory fee and DG's estimated profitability with respect to the LSA Fund was reasonable.

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**LoCorr Investment Trust** 

**Additional Information (Unaudited)(Continued)** 

Having requested and received such information from DG as the Trustees believed to be reasonably necessary to evaluate the terms of the subadvisory agreement, and as assisted by the advice of Counsel, the Trustees concluded that the fee structure is reasonable and that renewal of the subadvisory agreement with DG for the LSA Fund is in the best interests of the Fund and its future shareholders.

155<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Financial Highlights are included within the financial statements filed under Item 7 of this Form.

**<u>Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.</u>**

There were no changes in or disagreements with accountants during the period covered by this report.

**<u>Item 9. Proxy Disclosure for Open-End Investment Companies.</u>**

There were no matters submitted to a vote of shareholders during the period covered by this report.

**<u>Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.</u>**

The information is included as part of the Financial Statements filed under Item 7 of this Form.

**<u>Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.</u>**

The information is included as part of the Financial Statements filed under Item 7 of this Form.

**<u>Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 13. Portfolio Managers of Closed-End Management Investment Companies.</u>**

 

Not applicable to open-end investment companies.

**<u>Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.</u>**

Not applicable to open-end investment companies.

**<u>Item 15. Submission of Matters to a Vote of Security Holders.</u>**

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of trustees.

**<u>Item 16. Controls and Procedures.</u>**

&nbsp;&nbsp;&nbsp;&nbsp;(a) The Registrant's Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's disclosure controls
 and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of a date within 90 days
 of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange
 Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring
 that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known
 to them by others within the Registrant and by the Registrant's service provider.

&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act)
 that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the
 Registrant's internal control over financial reporting.

**<u>Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>**

Not applicable to open-end investment companies.

**<u>Item 18. Recovery of Erroneously Awarded Compensation.</u>**

Not applicable.

**<u>Item 19. Exhibits.</u>**

&nbsp;&nbsp;&nbsp;&nbsp;*(a)* [(1) *Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.*](lit-efp22581_ex99code.htm)

 

Filed herewith.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed.

Not applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(3) *A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).*](lit-efp22581_ex99cert.htm)

Filed herewith.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) *Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.*

Not applicable for open-end investment companies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(5)* Change in the registrant's independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange
 Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not
 previously disclosed, the information should relate to events occurring during the reporting period.

There was no change in the registrant's independent public accountant for the period covered by the report.

&nbsp;&nbsp;&nbsp;&nbsp;*(b)* [*Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*](lit-efp22581_ex99906cert.htm)

 

Furnished herewith.

**SIGNATURES**

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

(Registrant) LoCorr
 Investment Trust

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Kevin Kinzie |
|  | Kevin Kinzie, Principal Executive Officer |

---

Date <u>3/4/2026</u>

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

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Kevin Kinzie |
|  | Kevin Kinzie, Principal Executive Officer |

---

Date <u>3/4/2026</u>

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Jon Essen |
|  | Jon Essen, Principal Financial Officer |

---

Date <u>3/4/2026</u>

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

## Ex-99.Codeeth

**EX.99.CODE ETH**

**<u>4.2</u>** <u>Code of Ethics</u>

**CODE OF ETHICS**

**I. Statement of General Principles**

This Code of Ethics has been adopted by LoCorr Investment Trust (the "Trust") for the purpose of instructing all employees, officers, directors and trustees of the Trust and LoCorr Fund Management, LLC, the adviser to the Trust (the "Adviser"), in their ethical obligations and to provide rules for their personal securities transactions. All such persons owe a fiduciary duty to the Trust and its shareholders. A fiduciary duty means a duty of loyalty, fairness and good faith towards the Trust and its shareholders, and the obligation to adhere not only to the specific provisions of this Code but to the general principles that guide the Code. These general principles are:

&nbsp;&nbsp;&nbsp;&nbsp;• The
 duty at all times to place the interests of the Trust and its shareholders first;

&nbsp;&nbsp;&nbsp;&nbsp;• The
 requirement that all personal securities transactions be conducted in a manner consistent
 with the Code of Ethics and in such a manner as to avoid any actual or potential conflict
 of interest or any abuse of any individual's position of trust and responsibility; and

&nbsp;&nbsp;&nbsp;&nbsp;• The
 fundamental standard that such employees, officers, directors and trustees should not take
 inappropriate advantage of their positions, or of their relationship with the Trust or its
 shareholders.

It is imperative that the personal trading activities of the employees, officers, directors and trustees of the Trust and the Adviser, respectively, be conducted with the highest regard for these general principles in order to avoid any possible conflict of interest, any appearance of a conflict, or activities that could lead to disciplinary action. This includes executing transactions through or for the benefit of a third party when the transaction is not in keeping with the general principles of this Code.

All personal securities transactions must also comply with the Securities & Exchange Commission's Rule 17j-1. Under this rule, no Employee may:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• employ any device, scheme
or artifice to defraud the Trust or any of its shareholders;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• make
 to the Trust or any of its shareholders any untrue statement of a material fact or omit to
 state to such client a material fact necessary in order to make the statements made, in light
 of the circumstances under which they are made, not misleading;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• engage
 in any act, practice, or course of business which operates or would operate as a fraud or
 deceit upon the Trust or any of its shareholders; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• engage in any manipulative
practice with respect to the Trust or any of its shareholders.

**II. Definitions**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A. <u>Advisory Employees</u>: Employees who, in connection with their regular functions or duties, make, participate in, or obtain information regarding the purchase or sale of securities by a Fund, or whose functions relate to the making of any recommendation with respect to purchases or sales. The Compliance Officer will maintain a current list of all Advisory Employees.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;B. <u>Beneficial Interest</u>: ownership or any benefits of ownership, including the opportunity to directly or indirectly profit or otherwise obtain financial benefits from any interest in a security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;C. <u>Compliance Officer</u>: the Compliance Officer for the Adviser and the Trust is Jon C. Essen.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;D. <u>Disinterested Trustees</u>: trustees of the Trust whose affiliation with the Trust is solely by reason of being a trustee of the Trust.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;E. <u>Employee Account</u>: each account in which an Employee or a member of his or her family has any direct or indirect Beneficial Interest or over which such person exercises control or influence, including, but not limited to, any joint account, partnership, corporation, trust or estate. An Employee's family members

include the Employee's spouse, minor children, any person living in the home of the Employee and any relative of the Employee (including in-laws) to whose support an Employee directly or indirectly contributes.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;F. <u>Employees</u>: the employees, officers, and trustees of the Trust and the employees, officers and directors of the Adviser, including Advisory Employees. The Compliance Officer will maintain a current list of all Employees.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;G. <u>Exempt Transactions</u>: transactions which are 1) effected in an amount or in a manner over which the Employee has no direct or indirect influence or control, 2) pursuant to a systematic dividend reinvestment plan, systematic cash purchase plan or systematic withdrawal plan, 3) in connection with the exercise or sale of rights to purchase additional securities from an issuer and granted by such issuer pro-rata to all holders of a class of its securities, 4) in connection with the call by the issuer of a preferred stock or bond, 5) pursuant to the exercise by a second party of a put or call option, 6) closing transactions no more than five business days prior to the expiration of a related put or call option, 7) inconsequential to any Fund because the transaction is very unlikely to affect a highly liquid market or because the security is clearly not related economically to any securities that a Fund may purchase or sell, 8) involving shares of a security of a company with a market capitalization in excess of $500 million.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;H. <u>Funds</u>: any series of the Trust.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I. <u>Related Securities</u>: securities issued by the same issuer or issuer under common control, or when either security gives the holder any contractual rights with respect to the other security, including options, warrants or other convertible securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;J. <u>Securities</u>: any note, stock, treasury stock, bond, debenture, evidence of indebtedness, certificate of interest or participation in any profit-sharing agreement, collateral-trust certificate, pre-organization certificate or subscription, transferable share, investment contract, voting-trust certificate, certificate of deposit for a security, fractional undivided interest in oil, gas or other mineral rights, or, in general, any interest or instrument commonly known as a "security," or any certificate or interest or participation in temporary or interim certificate for, receipt for, guarantee of, or warrant or right to subscribe to or purchase (including options) any of the foregoing; except for the following: 1) securities issued by the government of the United States, 2) bankers' acceptances, 3) bank certificates of deposit, 4) commercial paper, and 5) shares of unaffiliated registered open-end investment companies (other than exchange traded funds).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;K. <u>Securities Transaction</u>: the purchase or sale, or any action to accomplish the purchase or sale, of a Security for an Employee Account. The term Securities Transaction does not include transactions executed by the Adviser for the benefit of unaffiliated persons, such as investment advisory and brokerage clients.

**III. Personal Investment Guidelines**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**A. Personal Accounts** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Personal Investment Guidelines in this Section III do not apply to Exempt Transactions unless the transaction involves a private placement or initial public offering. Employees must remember that regardless of the transaction's status as exempt or not exempt, the Employee's fiduciary obligations remain unchanged.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. While trustees of the Trust are subject at all times to the fiduciary obligations described in this Code, the Personal Investment Guidelines and Compliance Procedures in Sections III and IV of this Code apply to Disinterested Trustees only if such person knew, or in the ordinary course of fulfilling the duties of that position, should have known, that during the fifteen days immediately preceding or after the date of the such person's transaction that the same Security or a Related Security was or was to be purchased or sold for a Fund or that such purchase or sale for a Fund was being considered, in which case such Sections apply only to such transaction.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Employees may not execute a Securities Transaction on a day during which a purchase or sell order in that same Security or a Related Security is pending for a Fund unless the Securities Transaction is combined ("blocked") with the Fund's transaction. Securities Transactions executed in violation of this prohibition shall be unwound or, if not possible or practical, the Employee must disgorge to the Fund the value received by the Employee due to any favorable price differential received by the Employee. For example, if

the Employee buys 100 shares at $10 per share, and the Fund buys 1000 shares at $11 per share, the Employee will pay $100 (100 shares x $1 differential) to the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Any Securities Transactions in a private placement must be authorized by the Compliance Officer, in writing, prior to the transaction. In connection with a private placement acquisition, the Compliance Officer will take into account, among other factors, whether the investment opportunity should be reserved for a Fund, and whether the opportunity is being offered to the Employee by virtue of the Employee's position with the Trust or the Adviser. If the private placement acquisition is authorized, the Compliance Officer shall retain a record of the authorization and the rationale supporting the authorization. Employees who have been authorized to acquire securities in a private placement will, in connection therewith, be required to disclose that investment if and when the Employee takes part in any subsequent investment in the same issuer. In such circumstances, the determination to purchase Securities of that issuer on behalf of a Fund will be subject to an independent review by personnel of the Adviser with no personal interest in the issuer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. Employees are prohibited from acquiring any Securities in an initial public offering without the prior written approval of the Compliance Officer. This restriction is imposed in order to preclude any possibility of an Employee profiting improperly from the Employee's position with the Trust or the Adviser. If the initial public offering is authorized, the Compliance Officer shall retain a record of the authorization and the rationale supporting the authorization.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6. Access Persons are prohibited from engaging in transactions in ether and bitcoin derivatives, unless such transactions have been cleared in advance by the Compliance Officer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**B. Other Restrictions**

Employees are prohibited from serving on the boards of directors of publicly traded companies, absent prior authorization by the Compliance Officer. The consideration of prior authorization will be based upon a determination that the board service will be consistent with the interests of the Trust and the Funds' shareholders. In the event that board service is authorized, Employees serving as directors will be isolated from other Employees making investment decisions with respect to the securities of the company in question.

**IV. Compliance Procedures**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**A. Employee Disclosure**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Within ten (10) days of commencement of employment with the Trust or the Adviser, each Employee must certify that he or she has read and understands this Code and recognizes that he or she is subject to it, and must disclose the following information, which information must be current as of a date no more than 45 days prior to the date the person became an Employee: a) the title, number of shares and principal amount of each Security in which the Employee has a Beneficial Interest when the person became an Employee, b) the name of any broker/dealer with whom the Employee maintained an account when the person became an Employee, and c) the date the report is submitted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Annually, each Employee must certify that he or she has read and understands this Code and recognizes that he or she is subject to it, that he or she has complied with the requirements of this Code and has disclosed or reported all personal Securities Transactions required to be disclosed or reported pursuant to the requirements of this Code. In addition, each Employee shall annually provide the following information (as of a date no more than 30 days before the report is submitted): a) the title, number of shares and principal amount of each Security in which the Employee had any Beneficial Interest, b) the name of any broker, dealer or bank with whom the Employee maintains an account in which any Securities are held for the direct or indirect benefit of the Employee, and c) the date the report is submitted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**B. Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. All Employees must provide copies of all periodic broker account statements to the Compliance Officer. Each Employee must report, no later than thirty (30) days after the close of each calendar quarter, on the Securities Transaction Report form provided by the Trust or the Adviser, all transactions in which the Employee acquired or sold any direct or indirect Beneficial Interest in a Security, including Exempt Transactions, and certify that he or she has reported all transactions required to be disclosed pursuant to the requirements of this Code. The report will also identify any trading account, in which the Employee has a direct or indirect Beneficial Interest, established during the quarter with a broker, dealer or bank. The Employee may

exclude transactions effected pursuant to an automatic investment plan. An automatic investment plan is a program in which regular periodic purchases (or withdrawals) are made automatically in (or from) investment accounts in accordance with a predetermined schedule and allocation. An automatic investment plan includes a dividend reinvestment plan.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The Compliance Officer will, on a quarterly basis, check the trading account statements provided by brokers to verify that the Employee has not violated the Code. The Compliance Officer shall identify all Employees, inform those persons of their reporting obligations, and maintain a record of all current and former access persons.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. If an Employee violates this Code, the Compliance Officer will report the violation to management personnel of the Trust and the Adviser for appropriate remedial action which, in addition to the actions specifically delineated in other sections of this Code, may include a reprimand of the Employee, or suspension or termination of the Employee's relationship with the Trust and/or the Adviser.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The management personnel of the Trust will prepare an annual report to the Trust's board of trustees that summarizes existing procedures and any changes in the procedures made during the past year and certify to the Trust's Board of Trustees that the Adviser and the Trust have each adopted procedures reasonably necessary to prevent Employees from violating this Code. The report will describe any issues existing under this Code since the last report, including without limitation, information about any material violations of this Code, any significant remedial action during the past year and any recommended procedural or substantive changes to this Code based on management's experience under this Code, evolving industry practices or legal developments.

**Responsible Party/Compliance Process:** Chief Compliance Officer/Investment Adviser

## Ex-99.Cert

**EX.99.CERT**

**<u>CERTIFICATIONS</u>**

I, Kevin Kinzie, certify that:

1. I have reviewed this report on Form N-CSR of LoCorr Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 3/4/2026 | /s/ Kevin Kinzie |
|  |  | Kevin Kinzie<br> Principal Executive Officer |

---

**<u>CERTIFICATIONS</u>**

I, Jon Essen, certify that:

1. I have reviewed this report on Form N-CSR of LoCorr Investment Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | 3/4/2026 | /s/ Jon Essen |
|  |  | Jon Essen<br> Principal Financial Officer |

---

## Exhibit 99.906

**EX.99.906CERT**

**<u>Certification Pursuant to Section 906 of the Sarbanes-Oxley Act</u>**

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the LoCorr Investment Trust, does hereby certify, to such officer's knowledge, that the report on Form N-CSR of the LoCorr Investment Trust for the period ended December 31, 2025 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the LoCorr Investment Trust for the stated period.

---

| | | |
|:---|:---|:---|
| /s/ Kevin Kinzie | /s/ Kevin Kinzie | /s/ Jon Essen |
| Kevin Kinzie<br> Principal Financial Officer, LoCorr Investment Trust | Kevin Kinzie<br> Principal Financial Officer, LoCorr Investment Trust | Jon Essen<br> Principal Financial Officer, LoCorr Investment Trust |
| Dated: | 3/4/2026 |  |

---

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by LoCorr Investment Trust for purposes of Section 18 of the Securities Exchange Act of 1934.